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DERIVATIVES (Tables)
 6 Months Ended
Jun. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Instruments by Category
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, 2020Six Months Ended June 30, 2020
 
Fair Value
 Notional
Amount
Derivative Assets
Derivative
Liabilities
Net Derivative
Gains (Losses) (2)
(in millions)
Derivative instruments:
Freestanding derivatives (1):
Equity contracts:
Futures$3,848  $—  $—  $(126) 
Swaps17,760  77  79  963  
Options36,469  4,333  2,442  (1,387) 
Interest rate contracts:
Swaps24,771  2,089  432  3,658  
Futures23,565  —  —  2,072  
Swaptions—  —  —  9  
Credit contracts:
Credit default swaps1,252  10  4  (7) 
Other freestanding contracts:
Foreign currency contracts347  —  —  (3) 
Margin—  51  77  —  
Collateral—  14  3,288  —  
Embedded derivatives:
GMIB reinsurance contracts (3)—  3,433  —  1,026  
GMxB derivative features liability (4)—  —  12,382  (3,946) 
SCS, SIO, MSO and IUL indexed features (5)—  —  1,690  1,377  
Total derivative instruments$108,012  $10,007  $20,394  
Net derivative gains (losses) (6)



$3,636  
______________
(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 GMIB reinsurance contract asset in the consolidated balance sheets.
(4)Reported in Future policy benefits and other policyholders’ liabilities in the consolidated balance sheets.
(5)Reported in Policyholders’ account balances in the consolidated balance sheets.
(6)Investment fees of $6 million are reported in Net derivative gains (losses) in the consolidated statements of income (loss).
Derivative Instruments by Category
At December 31, 2019Six Months Ended June 30, 2019
 
Fair Value
 
Notional
Amount
Derivative Assets
Derivative
Liabilities
Net Derivative
Gains (Losses) (2)
(in millions)
Derivative instruments:
Freestanding derivatives (1):
Equity contracts:
Futures$3,510  $—  $—  $(930) 
Swaps17,064  9  279  (1,260) 
Options47,766  5,080  1,749  1,276  
Interest rate contracts:
Swaps23,700  467  523  1,597  
Futures20,424  —  —  25  
Swaptions3,201  16  —  7  
Credit contracts:
Credit default swaps1,232  18  —  13  
Other freestanding contracts:
Foreign currency contracts501  3  —  (27) 
Margin—  140  —  —  
Collateral—  72  3,001  —  
Embedded derivatives:
GMIB reinsurance contracts (3)—  2,466  —  217  
GMxB derivative features liability (4)—  —  8,246  (1,116) 
SCS, SIO, MSO and IUL indexed features (5)—  —  3,150  (1,535) 
Total derivative instruments$117,398  $8,271  $16,948  
Net derivative gains (losses)



$(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 GMIB reinsurance contract asset in the consolidated balance sheets.
(4)Reported in Future policy benefits and other policyholders’ liabilities in the consolidated balance sheets.
(5)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 of financial assets and liabilities and derivative instruments at June 30, 2020:
Offsetting of Financial Assets and Liabilities and Derivative Instruments
At June 30, 2020
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 (1)
Net Amount
(in millions)
Assets:
Derivative assets$6,573  $6,134  $439  $(118) $321  
Other financial assets1,523  —  1,523  —  1,523  
Other invested assets$8,096  $6,134  $1,962  $(118) $1,844  
Liabilities:
Derivative liabilities$6,203  $6,134  $69  $—  $69  
Other financial liabilities1,462  —  1,462  —  1,462  
Other liabilities$7,665  $6,134  $1,531  $—  $1,531  
______________
(1) Financial instrument/s sent (held).
The following table presents information about the Company’s offsetting of financial assets and liabilities and derivative instruments at December 31, 2019.
Offsetting of Financial Assets and Liabilities and Derivative Instruments
At December 31, 2019
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 (1)
Net Amount
(in millions)
Assets:
Derivative assets$5,804  $5,429  $375  $(77) $298  
Other financial instruments1,781  —  1,781  —  1,781  
Other invested assets$7,585  $5,429  $2,156  $(77) $2,079  
Liabilities:
Derivative liabilities$5,474  $5,429  $45  $—  $45  
Other financial liabilities1,723  —  1,723  —  1,723  
Other liabilities$7,197  $5,429  $1,768  $—  $1,768  
______________
(1)Financial instruments sent (held).