DERIVATIVES (Tables)

3 Months Ended

Mar. 31, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments by Category

The following table presents the gross notional amount and estimated fair value of the Company’s derivatives:

Derivative Instruments by Category

	March 31, 2022						December 31, 2021
			Fair Value						Fair Value
	Notional Amount		Derivative Assets		Derivative Liabilities		Notional Amount		Derivative Assets		Derivative Liabilities
	(in millions)
Derivatives: Designated for hedge accounting (1)
Cash Flow Hedges:
Currency Swaps	$	1,256	$	11	$	55	$	921	$	7	$	42
Interest Swaps	955		—		439		955		—		395
Total: Designated for hedge accounting	2,211		11		494		1,876		7		437
Derivatives: Not designated for hedge accounting (1)
Equity contracts:
Futures	4,370		2		2		2,640		—		1
Swaps	12,415		9		11		13,378		6		4
Options	44,415		10,690		4,372		48,489		12,024		5,065
Interest rate contracts:
Futures	11,521		—		—		12,575		—		—
Swaps	1,885		5		116		1,889		—		46
Swaptions	—		—		—		—		—		—
Credit contracts:
Credit default swaps	766		11		8		774		9		10
Currency contracts
Currency Swaps	566		6		—		541		1		—
Currency forwards	80		8		7		79		8		7
Other freestanding contracts:
Margin	—		192		—		—		125		—
Collateral	—		217		5,744		—		178		6,160
Total: Not designated for hedge accounting	76,018		11,140		10,260		80,365		12,351		11,293
Embedded Derivatives:
Amounts due from reinsurers (5)	—		5,056		—		—		5,813		—
GMIB reinsurance contracts (2)	—		1,582		—		—		1,848		—
GMxB derivative features liability (3)	—		—		6,924		—		—		8,525
SCS, SIO, MSO and IUL indexed features (4)	—		—		6,126		—		—		6,773
Total Embedded Derivatives	—		6,638		13,050		—		7,661		15,298
Total derivative instruments	$	78,229	$	17,789	$	23,804	$	82,241	$	20,019	$	27,028

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(1)Reported in other invested assets in the consolidated balance sheets.

(2) Reported in GMIB reinsurance contract asset in the consolidated balance sheets.

(3)    Reported in future policy benefits and other policyholders’ liabilities in the consolidated balance sheets.

(4)    Reported in policyholders’ account balances in the consolidated balance sheets.

(5)    Represents GMIB NLG ceded related to the Venerable Transaction.

The following table presents the effects of derivative instruments on the consolidated statements of income and comprehensive income (loss).

Derivative Instruments by Category

	Three Months Ended March 31, 2022						Three Months Ended March 31, 2021
	(in millions)
	Net Derivatives Gain(Losses) (1)		Interest Credited To Policyholders Account Balances		AOCI		Net Derivatives Gain(Losses) (1)		Interest Credited To Policyholders Account Balances		AOCI
Derivatives: Designated for hedge accounting
Cash Flow Hedges:
Currency Swaps	$	(4)	$	(18)	$	13	$	—	$	—	$	—
Interest Swaps	(14)		—		(20)		(4)		—		(6)
Total: Designated for hedge accounting	(18)		(18)		(7)		(4)		—		(6)
Derivatives: Not Designated for hedge accounting
Equity contracts
Futures	58		—		—		(288)		—		—
Swaps	734		—		—		(1,271)		—		—
Options	(284)		—		—		1,145		—		—
Interest Rate contracts
Futures	(512)		—		—		(949)		—		—
Swaps	(149)		—		—		(2,911)		—		—
Swaptions	—		—		—		—		—		—
Credit contracts
Credit Default Swaps	2		—		—		—		—		—
Currency contracts
Currency Swaps	5		—		—		1		—		—
Currency forwards	1		—		—		—		—		—
Other freestanding contracts
Margin	—		—		—		—		—		—
Collateral	—		—		—		—		—		—
Total: Not designated for hedge accounting	(145)		—		—		(4,273)		—		—
Embedded Derivatives
Amounts due from reinsurers	(767)		—		—		—		—		—
GMIB reinsurance contracts	(260)		—		—		(578)		—		—
GMxB derivative features liability (2)	1,688		—		—		3,408		—		—
SCS, SIO,MSO and IUL indexed features	323		—		—		(1,145)		—		—
Total Embedded Derivatives	$	984	$	—	$	—	$	1,685	$	—	$	—
Total derivative instruments	$	821	$	(18)	$	(7)	$	(2,592)	$	—	$	(6)

(1)Reported in net derivative gains (losses) in the consolidated statements of income (loss).(2)Excludes settlement fees of $46 million on CS Life reinsurance contract for the three months ended March 31, 2021.

Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss)

The table that follow below present a roll-forward of cash flow hedges recognized in AOCI.

Roll-forward of Cash flow hedges in AOCI

	Three Months Ended March 31,
	2022		2021
	(in millions)
Balance, beginning of period	$	(208)	$	(126)
Amount recorded in AOCI
Currency Swaps	(3)		—
Interest Swaps	(39)		(22)
Total Amount recorded in AOCI	(42)		(22)
Amount reclassified from AOCI to income
Currency Swaps	16		—
Interest Swaps	19		16
Total Amount reclassified from AOCI to income	35		16
Ending Balance, March 31 (1)	$	(215)	$	(132)

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(1) The Company does not estimate the amount of the deferred losses in AOCI at three months ended March 31, 2022 and 2021 which will be released and reclassified into Net income (loss) over the next 12 months as the amounts cannot be reasonably estimated.

Offsetting Financial Assets and Liabilities and Derivative Instruments

The following tables presents information about the Company’s offsetting of financial assets and liabilities and derivative instruments as of March 31, 2022 and December 31, 2021:

Offsetting of Financial Assets and Liabilities and Derivative Instruments

As of March 31, 2022

	Gross Amount Recognized		Gross Amount Offset in the Balance Sheets		Net Amount Presented in the Balance Sheets		Gross Amount not Offset in the Balance Sheets (3)		Net Amount
	(in millions)
Assets:
Derivative assets (1)	$	11,151	$	10,611	$	540	$	—	$	540
Other financial assets	2,085		—		2,085		—		2,085
Other invested assets	$	13,236	$	10,611	$	2,625	$	—	$	2,625
Liabilities:
Derivative liabilities (2)	$	10,754	$	10,611	$	143	$	—	$	143
Other financial liabilities	3,887		—		3,887		—		3,887
Other liabilities	$	14,641	$	10,611	$	4,030	$	—	$	4,030

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(1)Excludes Investment Management and Research segment’s derivative assets of consolidated VIEs/VOEs.

(2)Excludes Investment Management and Research segment’s derivative liabilities of consolidated VIEs/VOEs.

(3)Financial instruments sent (held).

As of December 31, 2021

	Gross Amount Recognized		Gross Amount Offset in the Balance Sheets		Net Amount Presented in the Balance Sheets		Gross Amount not Offset in the Balance Sheets (3)		Net Amount
	(in millions)
Assets:
Derivative assets (1)	$	12,358	$	10,756	$	1,602	$	(961)	$	641
Other financial assets	1,989		—		1,989		—		1,989
Other invested assets	$	14,347	$	10,756	$	3,591	$	(961)	$	2,630
Liabilities:
Derivative liabilities (2)	$	10,770	$	10,756	$	14	$	—	$	14
Other financial liabilities	3,919		—		3,919		—		3,919
Other liabilities	$	14,689	$	10,756	$	3,933	$	—	$	3,933

______________

(1)Excludes Investment Management and Research segment’s derivative assets of consolidated VIEs/VOEs.

(2)Excludes Investment Management and Research segment’s derivative liabilities of consolidated VIEs/VOEs.

(3)Financial instruments sent (held).