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DERIVATIVES (Tables)
 9 Months Ended
Sep. 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 September 30, 2020Nine Months Ended September 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$3,739 $— $— $(347)
Swaps20,667 27 18 (594)
Options31,679 5,543 2,791 (480)
Interest rate contracts:
Swaps23,952 1,696 338 3,588 
Futures19,484 — — 2,058 
Swaptions— — — 9 
Credit contracts:
Credit default swaps1,252 9 4 (4)
Other freestanding contracts:
Foreign currency contracts347 — — (3)
Margin— 40 125 — 
Collateral— 14 4,959 — 
Embedded derivatives:
GMIB reinsurance contracts (3)— 3,247 — 849 
GMxB derivative features liability (4)— — 11,985 (3,382)
SCS, SIO, MSO and IUL indexed features (5)— — 2,502 410 
Total derivative instruments$101,120 $10,576 $22,722 
Net derivative gains (losses) (6)



$2,104 
______________
(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 $9 million are reported in Net derivative gains (losses) in the consolidated statements of income (loss).
Derivative Instruments by Category
At December 31, 2019Nine Months Ended September 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 $— $— $(967)
Swaps17,064 9 279 (1,263)
Options47,766 5,080 1,749 1,241 
Interest rate contracts:
Swaps23,700 467 523 2,844 
Futures20,424 — — 183 
Swaptions3,201 16 — 146 
Credit contracts:
Credit default swaps1,232 18 — 13 
Other freestanding contracts:
Foreign currency contracts501 3 — (13)
Margin— 140 — — 
Collateral— 72 3,001 — 
Embedded derivatives:
GMIB reinsurance contracts (3)— 2,466 — 881 
GMxB derivative features liability (4)— — 8,316 (3,656)
SCS, SIO, MSO and IUL indexed features (5)— — 3,150 (1,489)
Total derivative instruments$117,398 $8,271 $17,018 
Net derivative gains (losses)



$(2,080)
______________
(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 September 30, 2020:
Offsetting of Financial Assets and Liabilities and Derivative Instruments
At September 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$7,330 $7,241 $89 $(54)$35 
Other financial assets1,434 — 1,434 — 1,434 
Other invested assets$8,764 $7,241 $1,523 $(54)$1,469 
Liabilities:
Derivative liabilities$8,181 $7,241 $940 $— $940 
Other financial liabilities1,579 — 1,579 — 1,579 
Other liabilities$9,760 $7,241 $2,519 $— $2,519 
______________
(1) Financial instruments 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 liabilities1,724 — 1,724 — 1,724 
Other liabilities$7,198 $5,429 $1,769 $— $1,769 
______________
(1)Financial instruments sent (held).