DERIVATIVES (Tables)

9 Months Ended

Sep. 30, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of 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

	September 30, 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	$	1,267	$	178	$	118	$	921	$	7	$	42
Interest swaps	955		1		252		955		—		395
Total: designated for hedge accounting	2,222		179		370		1,876		7		437
Derivatives: not designated for hedge accounting (1)
Equity contracts:
Futures	3,648		—		—		2,213		—		—
Swaps	9,763		23		—		13,310		5		—
Options	36,687		6,207		3,897		48,380		12,015		5,059
Interest rate contracts:
Futures	5,456		—		—		12,455		—		—
Swaps	1,116		—		134		1,876		—		45
Swaptions	—		—		—		—		—		—
Credit contracts:
Credit default swaps	100		—		2		619		2		3
Currency contracts:
Currency swaps	326		24		—		541		1		—
Currency forwards	—		—		—		—		—		—
Other freestanding contracts:
Margin	—		98		—		—		102		—
Collateral	—		140		3,323		—		178		6,154
Total: Not designated for hedge accounting	57,096		6,492		7,356		79,394		12,303		11,261

	September 30, 2022						December 31, 2021
			Fair Value						Fair Value
	Notional Amount		Derivative Assets		Derivative Liabilities		Notional Amount		Derivative Assets		Derivative Liabilities
	(in millions)
Embedded derivatives:
Amounts due from reinsurers (5)	—		4,312		—		—		5,813		—
GMIB reinsurance contracts (2)	—		1,372		—		—		2,068		—
GMxB derivative features liability (3)	—		—		5,834		—		—		8,525
SCS, SIO, MSO and IUL indexed features (4)	—		—		2,056		—		—		6,641
Total embedded derivatives	—		5,684		7,890		—		7,881		15,166
Total derivative instruments	$	59,318	$	12,355	$	15,616	$	81,270	$	20,191	$	26,864

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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).

	Three Months Ended September 30, 2022								Nine Months Ended September 30, 2022
	Net Derivatives Gain(Losses) (1) (2)		Net Investment Income		Interest Credited To Policyholders Account Balances		AOCI		Net Derivatives Gain(Losses) (1) (2)		Net Investment Income		Interest Credited To Policyholders Account Balances		AOCI
	(in millions)
Derivatives: designated for hedge accounting
Cash flow hedges:
Currency swaps	$	7	$	5	$	(36)	$	111	$	21	$	7	$	(46)	$	116
Interest swaps	(38)		—		—		94		(79)		—		—		242
Total: designated for hedge accounting	(31)		5		(36)		205		(58)		7		(46)		358
Derivatives: not designated for hedge accounting
Equity contracts:
Futures	34		—		—		—		548		—		—		—
Swaps	591		—		—		—		3,353		—		—		—
Options	(650)		—		—		—		(4,381)		—		—		—
Interest rate contracts:
Futures	(412)		—		—		—		(1,445)		—		—		—
Swaps	(125)		—		—		—		(428)		—		—		—
Swaptions	—		—		—		—		—		—		—		—
Credit contracts:
Credit default swaps	—		—		—		—		8		—		—		—
Currency contracts:
Currency swaps	23		—		—		—		41		—		—		—
Currency forwards	—		—		—		—		—		—		—		—
Other contracts:
Margin	—		—		—		—		—		—		—		—
Collateral	—		—		—		—		—		—		—		—
Total: not designated for hedge accounting	(539)		—		—		—		(2,304)		—		—		—
Embedded derivatives:
Amounts due from reinsurers	(364)		—		—		—		(1,506)		—		—		—
GMIB reinsurance contracts	(227)		—		—		—		(672)		—		—		—
GMxB derivative features liability	427		—		—		—		2,932		—		—		—
SCS, SIO, MSO and IUL indexed features	766		—		—		—		4,543		—		—		—
Total embedded derivatives	602		—		—		—		5,297		—		—		—
Total derivatives	$	32	$	5	$	(36)	$	205	$	2,935	$	7	$	(46)	$	358

	Three Months Ended September 30, 2021								Nine Months Ended September 30, 2021
	Net Derivatives Gain(Losses) (1) (2)		Net Investment Income		Interest Credited To Policyholders Account Balances		AOCI		Net Derivatives Gain(Losses) (1) (2)		Net Investment Income		Interest Credited To Policyholders Account Balances		AOCI
	(in millions)
Derivatives: designated for hedge accounting
Cash flow hedges:
Currency swaps	$	—	$	—	$	(15)	$	7	$	—	$	—	$	(32)	$	7
Interest swaps	(26)		—		—		(9)		(54)		$	—	$	—	(42)
Total: designated for hedge accounting	(26)		—		(15)		(2)		(54)		$	—	$	(32)	(35)
Derivatives: not designated for hedge accounting
Equity contracts:
Futures	(6)		—		—		—		(466)		$	—	$	—	—
Swaps	(3)		—		—		—		(2,609)		$	—	$	—	—
Options	(169)		—		—		—		2,175		$	—	$	—	—
Interest rate contracts:
Futures	(92)		—		—		—		(888)		$	—	$	—	—
Swaps	67		—		—		—		(2,375)		$	—	$	—	—
Swaptions	—		—		—		—		—		$	—	$	—	—
Credit contracts:
Credit default swaps	—		—		—		—		2		$	—	$	—	—
Currency contracts:
Currency swaps	3		—		—		—		3		$	—	$	—	—
Currency forwards	—		—		—		—		—		$	—	$	—	—
Other contracts:
Margin	—		—		—		—		—		$	—	$	—	—
Collateral	—		—		—		—		—		$	—	$	—	—
Total: not designated for hedge accounting	(200)		—		—		—		(4,158)		$	—	$	—	—
Embedded derivatives:
Amounts due from reinsurers	344		—		—		—		586		$	—	$	—	—
GMIB reinsurance contracts	(128)		—		—		—		(694)		$	—	$	—	—
GMxB derivative features liability	(395)		—		—		—		2,291		$	—	$	—	—
SCS, SIO, MSO and IUL indexed features	173		—		—		—		(2,113)		$	—	$	—	—
Total embedded derivatives	(6)		—		—		—		70		$	—	$	—	—
Total derivatives	$	(232)	$	—	$	(15)	$	(2)	$	(4,142)	$	—	$	(32)	$	(35)

_____________

(1)Reported in net derivative gains (losses) in the consolidated statements of income (loss).

(2)For the three and nine months ended September 30, 2022 and 2021, investment fees of $6 million and $4 million, $14 million and $10 million respectively, are reported in net derivative gains (losses) in the consolidated statements of income (loss).

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

The following table presents a roll-forward of cash flow hedges recognized in AOCI.

Roll-forward of Cash flow hedges in AOCI

	Three Months Ended September 30,				Nine Months Ended September 30,
	2022		2021		2022		2021
	(in millions)
Balance, beginning of period	$	(55)	$	(158)	$	(208)	$	(126)
Amount recorded in AOCI	—		—		—		—
Currency swaps	77		7		77		7
Interest swaps	51		(40)		149		(118)
Total amount recorded in AOCI	128		(33)		226		(111)
Amount reclassified from AOCI to income	—		—		—		—
Currency swaps	34		—		39		—
Interest swaps	43		31		93		77
Total amount reclassified from AOCI to income	77		31		132		77
Balance, end of period (1)	$	150	$	(160)	$	150	$	(160)

______________

(1) The Company does not estimate the amount of the deferred losses in AOCI at three and nine months ended September 30, 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.

Schedule of 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 September 30, 2022 and December 31, 2021:

Offsetting of Financial Assets and Liabilities and Derivative Instruments

As of September 30, 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 (1)		Net Amount
	(in millions)
Assets:
Derivative assets	$	6,672	$	5,971	$	701	$	(596)	$	105
Other financial assets	1,272		—		1,272		—		1,272
Other invested assets	$	7,944	$	5,971	$	1,973	$	(596)	$	1,377
Liabilities:
Derivative liabilities	$	7,131	$	5,971	$	1,160	$	—	$	1,160
Other financial liabilities	2,213		—		2,213		—		2,213
Other liabilities	$	9,344	$	5,971	$	3,373	$	—	$	3,373

______________

(1)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 (1)		Net Amount
	(in millions)
Assets:
Derivative assets	$	12,309	$	10,724	$	1,585	$	(961)	$	624
Other financial assets	1,325		—		1,325		—		1,325
Other invested assets	$	13,634	$	10,724	$	2,910	$	(961)	$	1,949
Liabilities:
Derivative liabilities	$	10,738	$	10,724	$	14	$	—	$	14
Other financial liabilities	2,064		—		2,064		—		2,064
Other liabilities	$	12,802	$	10,724	$	2,078	$	—	$	2,078

______________

(1)Financial instruments sent (held).