DERIVATIVES (Tables)

6 Months Ended

Jun. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The tables below present quantitative disclosures about the Company’s derivative instruments, including those embedded in other contracts required to be accounted for as derivative instruments.

Derivative Instruments by Category



	At June 30, 2019						Gains (Losses) Reported in Net Income (Loss) Six Months Ended June 30, 2019
			Fair Value
	Notional Amount		Asset Derivatives		Liability Derivatives
	(in millions)
Freestanding Derivatives (1) (2):
Equity contracts:
Futures	$	6,446	$	—	$	—	$	(930	)
Swaps	9,474		18		164		(1,260		)
Options	48,121		3,915		1,442		1,276
Interest rate contracts:
Swaps	26,896		1,133		238		1,597
Futures	12,718		—		—		25
Swaptions	2,746		52		—		7
Credit contracts:
Credit default swaps	1,232		22		—		13
Other freestanding contracts:
Foreign currency contracts	1,412		—		15		(27		)
Margin	—		36		—		—
Collateral	—		10		3,281		—

Embedded Derivatives (2):
GMIB reinsurance contracts	—		2,196		—		217
GMxB derivative features liability (3)	—		—		6,749		(1,116		)
SCS, SIO, MSO and IUL indexed features (4)	—		—		2,233		(1,535		)
Total	$	109,045	$	7,382	$	14,122	$	(1,733	)

______________


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


(2)	Reported in Net derivative gains (losses) in the consolidated statements of income (loss).


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


(4)	SCS, SIO, MSO and IUL indexed features are reported in Policyholders’ account balances in the consolidated balance sheets.



	At December 31, 2018						Gains (Losses) Reported in Net Income (Loss) Six Months Ended June 30, 2018
			Fair Value
	Notional Amount		Asset Derivatives		Liability Derivatives
	(in millions)
Freestanding Derivatives (1) (2):
Equity contracts:
Futures	$	10,411	$	—	$	—	$	(276	)
Swaps	7,697		140		168		(49		)
Options	21,698		2,119		1,163		233
Interest rate contracts:
Swaps	27,003		632		194		(515		)
Futures	11,448		—		—		109
Credit contracts:
Credit default swaps	1,282		17		—		(2		)
Other freestanding contracts:
Foreign currency contracts	2,097		27		14		13
Margin	—		7		5		—
Collateral	—		3		1,564		—

Embedded Derivatives (2):
GMIB reinsurance contracts	—		1,991		—		(1,233		)
GMxB derivative features liability (3)	—		—		5,431		928
SCS, SIO, MSO and IUL indexed features (4)	—		—		687		(310		)
Total	$	81,636	$	4,936	$	9,226	$	(1,102	)

______________


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


(2)	Reported in Net derivative gains (losses) in the consolidated statements of income (loss).


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


(4)	SCS, SIO, MSO and IUL indexed features are reported in Policyholders’ account balances in the consolidated balance sheets.

Offsetting Financial Assets and Liabilities and Derivative Instruments

The following table presents information about the Company’s offsetting financial assets and liabilities and derivative instruments at December 31, 2018.

Offsetting of Financial Assets and Liabilities and Derivative Instruments

At December 31, 2018



	Gross Amount Recognized		Gross Amount Offset in the Balance Sheets		Net Amount Presented in the Balance Sheets
	(in millions)
Assets:
Total derivatives	$	2,946	$	2,912	$	34
Other financial instruments	1,520		—		1,520
Other invested assets	$	4,466	$	2,912	$	1,554
Liabilities:
Total derivatives	$	3,109	$	2,912	$	197
Other financial liabilities	1,263		—		1,263
Other liabilities	$	4,372	$	2,912	$	1,460

Securities sold under agreement to repurchase (1)	$	571	$	—	$	571

______________


(1)	Excludes expense of $2 million in Securities sold under agreement to repurchase.

The following table presents information about the Company’s offsetting of financial assets and liabilities and derivative instruments at June 30, 2019.

Offsetting of Financial Assets and Liabilities and Derivative Instruments

At June 30, 2019



	Gross Amount Recognized		Gross Amount Offset in the Balance Sheets		Net Amount Presented in the Balance Sheets
	(in millions)
Assets:
Total derivatives	$	5,185	$	5,114	$	71
Other financial instruments	1,701		—		1,701
Other invested assets	$	6,886	$	5,114	$	1,772

Liabilities:
Total derivatives	$	5,114	$	5,089	$	25
Other financial liabilities	1,521		—		1,521
Other liabilities	$	6,635	$	5,089	$	1,546

Gross Collateral Amounts Not Offset in Consolidated Balance Sheets

The following table presents information about the Company’s gross collateral amounts that are not offset in the consolidated balance sheets at June 30, 2019.

Collateral Amounts Not Offset in the Consolidated Balance Sheets

At June 30, 2019



	Net Amount Presented in the Balance Sheets		Collateral (Received)/Held
	Net Amount Presented in the Balance Sheets		Financial Instruments		Cash		Net Amount
	(in millions)
Assets:
Total derivatives	$	3,281	$	238	$	2,972	$	71
Other financial instruments	1,701		—		—		1,701
Other invested assets	$	4,982	$	238	$	2,972	$	1,772

Liabilities:
Total derivatives	$	25	$	—	$	—	$	25
Other financial liabilities	1,521		—		—		1,521
Other liabilities	$	1,546	$	—	$	—	$	1,546

The following table presents information about the Company’s gross collateral amounts that are not offset in the consolidated balance sheets at December 31, 2018.

Collateral Amounts Not Offset in the Consolidated Balance Sheets

At December 31, 2018



	Net Amount Presented in the Balance Sheets		Collateral (Received)/Held
	Net Amount Presented in the Balance Sheets		Financial Instruments			Cash			Net Amount
	(in millions)
Assets:
Total derivatives	$	1,397	$	—		$	(1,363	)	$	34
Other financial instruments	1,520		—			—			1,520
Other invested assets	$	2,917	$	—		$	(1,363	)	$	1,554

Liabilities:
Total derivatives	$	197	$	—		$	—		$	197
Other financial liabilities	1,263		—			—			1,263
Other liabilities	$	1,460	$	—		$	—		$	1,460

Securities sold under agreement to repurchase (1) (2) (3)	$	571	$	(588	)	$	—		$	(17	)

______________


(1)	Excludes expense of $2 million in Securities sold under agreement to repurchase.


(2)	U.S. Treasury and agency securities are in Fixed maturities available-for-sale on the consolidated balance sheets.


(3)	Cash is included in Cash and cash equivalents on consolidated balance sheets.

Repurchase Agreements Accounted for as Secured Borrowings

The following table presents information about repurchase agreements accounted for as secured borrowings in the consolidated balance sheets at December 31, 2018.

Repurchase Agreement Accounted for as Secured Borrowings

At December 31, 2018



	Remaining Contractual Maturity of the Agreements
	Overnight and Continuous		Up to 30 days		30–90 days		Greater Than 90 days		Total
	(in millions)
Securities sold under agreement to repurchase (1):
U.S. Treasury and agency securities	$	—	$	571	$	—	$	—	$	571
Total	$	—	$	571	$	—	$	—	$	571

______________


(1)	Excludes expense of $2 million in Securities sold under agreement to repurchase on the consolidated balance sheets.

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References

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+ Details