DERIVATIVES (Tables)

9 Months Ended

Sep. 30, 2023

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, 2023
					Fair Value
	Notional Amount		Notional Amount- FWH and NI Modco		Derivative Assets		Derivative Assets - FWH and NI Modco		Derivative Liabilities		Derivative Liabilities - FWH and NI Modco		Net Derivatives
	(in millions)
Derivatives: designated for hedge accounting (1)
Cash flow hedges:
Currency swaps	$	2,140	$	—	$	86	$	—	$	87	$	—	$	(1)
Interest swaps	952		—		—		—		294		—		(294)
Total: designated for hedge accounting	3,092		—		86		—		381		—		(295)
Derivatives: not designated for hedge accounting (1)
Equity contracts:
Futures	3,739		2,214		—		—		—		—		—
Swaps	1,784		10,702		7		41		—		—		48
Options	6,466		38,010		1,680		7,849		393		2,039		7,097
Interest rate contracts:
Futures	807		5,642		—		—		—		—		—
Swaps	258		2,796		—		—		3		154		(157)
Credit contracts:
Credit default swaps	101		—		—		—		2		—		(2)
Currency contracts:
Currency swaps	721		—		38		—		—		—		38
Other freestanding contracts:
Margin	—		—		88		262		—		—		350
Collateral	—		—		156		—		7,486		—		(7,330)
Total: Not designated for hedge accounting	13,876		59,364		1,969		8,152		7,884		2,193		44

Embedded derivatives:
SCS, SIO, MSO and IUL indexed features (2) (5)	—		—		5,554		—		6,985		—		(1,431)
Funds withheld payable (3)	—		—		—		—		(567)		—		567
Modco payable (4)	—		—		823		—		—		—		823
Total embedded derivatives	—		—		6,377		—		6,418		—		(41)

Total derivative instruments	$	16,968	$	59,364	$	8,432	$	8,152	$	14,683	$	2,193	$	(292)

______________

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

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

(3)Reported in funds withheld payable in the consolidated balance sheets.

(4)Recorded in amounts due from reinsurers in the consolidated balance sheets.

(5)SCS embedded derivative asset is recorded as a modco receivable. This is presented net in the consolidated balance sheets.


	December 31, 2022
					Fair Value
	Notional Amount		Notional Amount - FWH and NI Modco		Derivative Assets		Derivative Assets - FWH and NI Modco		Derivative Liabilities		Derivative Liabilities - FWH and NI Modco		Net Derivatives
	(in millions)
Derivatives: designated for hedge accounting (1)
Cash flow hedges:
Currency swaps	$	1,431	$	—	$	99	$	—	$	85	$	—	$	14
Interest swaps	955		—		—		—		294		—		(294)
Total: designated for hedge accounting	2,386		—		99		—		379		—		(280)
Derivatives: not designated for hedge accounting (1)
Equity contracts:
Futures	4,320		—		—		—		—		—		—
Swaps	11,159		—		38		—		—		—		38
Options	39,863		—		7,549		—		3,396		—		4,153
Interest rate contracts:
Futures	12,693		—		—		—		—		—		—
Swaps	1,498		—		—		—		166		—		(166)
Credit contracts:
Credit default swaps	102		—		—		—		2		—		(2)
Currency contracts:
Currency swaps	397		—		4		—		13		—		(9)
Other freestanding contracts:
Margin	—		—		193		—		—		—		193
Collateral	—		—		142		—		4,469		—		(4,327)
Total: Not designated for hedge accounting	70,032		—		7,926		—		8,046		—		(120)

Embedded derivatives:
SCS, SIO, MSO and IUL indexed features (2)	—		—		—		—		4,077		—		(4,077)
Funds withheld payable	—		—		—		—		—		—		—
Modco payable	—		—		—		—		—		—		—
Total embedded derivatives	—		—		—		—		4,077		—		(4,077)

Total derivative instruments	$	72,418	$	—	$	8,025	$	—	$	12,502	$	—	$	(4,477)

______________

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

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

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


	Three Months Ended September 30, 2023										Nine Months Ended September 30, 2023
	Net Derivatives Gains (Losses) (1) (2)		Net-FWH and NI modco Derivatives Gains (Losses)		Net Investment Income		Interest Credited To Policyholders Account Balances		AOCI		Net Derivatives Gains (Losses) (1) (2)		Net-FWH and NI modco Derivatives Gains (Losses)		Net Investment Income		Interest Credited To Policyholders Account Balances		AOCI
	(in millions)

Derivatives: designated for hedge accounting
Cash flow hedges:

Currency swaps	$	(12)	$	—	$	3	$	(33)	$	14	$	(2)	$	—	$	8	$	(59)	$	41
Interest swaps	8		—		—		—		27		(13)		—		—		—		30
Total: designated for hedge accounting	(4)		—		3		(33)		41		(15)		—		8		(59)		71
Derivatives: not designated for hedge accounting
Equity contracts:
Futures	(48)		90		—		—		—		(145)		(68)		—		—		—
Swaps	105		558		—		—		—		(612)		(33)		—		—		—
Options	(124)		(674)		—		—		—		1,733		1,358		—		—		—
Interest rate contracts:
Futures	(31)		103		—		—		—		(92)		179		—		—		—
Swaps	(55)		(234)		—		—		—		(68)		(228)		—		—		—
Swaptions	—		—		—		—		—		—		—		—		—		—
Credit contracts:
Credit default swaps	—		—		—		—		—		—		—		—		—		—
Currency contracts:
Currency swaps	28		—		—		—		—		9		—		—		—		—
Currency forwards	—		—		—		—		—		—		—		—		—		—


	Three Months Ended September 30, 2023										Nine Months Ended September 30, 2023
	Net Derivatives Gains (Losses) (1) (2)		Net-FWH and NI modco Derivatives Gains (Losses)		Net Investment Income		Interest Credited To Policyholders Account Balances		AOCI		Net Derivatives Gains (Losses) (1) (2)		Net-FWH and NI modco Derivatives Gains (Losses)		Net Investment Income		Interest Credited To Policyholders Account Balances		AOCI
	(in millions)
Other contracts:
Margin	—		—		—		—		—		—		—		—		—		—
Collateral	—		—		—		—		—		—		—		—		—		—
Total: not designated for hedge accounting	(125)		(157)		—		—		—		825		1,208		—		—		—

Embedded derivatives:
SCS, SIO, MSO and IUL indexed features	181		—		—		—		—		(1,846)		—		—		—		—
Funds withheld payable	(48)		—		—		—		—		551		—		—		—		—
Modco payable	1,099		—		—		—		—		(830)		—		—		—		—
Total embedded derivatives	1,232		—		—		—		—		(2,125)		—		—		—		—

Total derivatives	$	1,103	$	(157)	$	3	$	(33)	$	41	$	(1,315)	$	1,208	$	8	$	(59)	$	71


	Three Months Ended September 30, 2022										Nine Months Ended September 30, 2022
	Net Derivatives Gains (Losses) (1) (2)		Net - FWH and NI Modco Derivatives Gains (Losses)		Net Investment Income		Interest Credited To Policyholders Account Balances		AOCI		Net Derivatives Gains (Losses) (1) (2)		Net - FWH and NI Modco Derivatives Gains (Losses)		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


	Three Months Ended September 30, 2022										Nine Months Ended September 30, 2022
	Net Derivatives Gains (Losses) (1) (2)		Net - FWH and NI Modco Derivatives Gains (Losses)		Net Investment Income		Interest Credited To Policyholders Account Balances		AOCI		Net Derivatives Gains (Losses) (1) (2)		Net - FWH and NI Modco Derivatives Gains (Losses)		Net Investment Income		Interest Credited To Policyholders Account Balances		AOCI
	(in millions)
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:
SCS, SIO, MSO and IUL indexed features	766		—		—		—		—		4,543		—		—		—		—
Funds withheld payable	—		—		—		—		—		—		—		—		—		—
Modco payable	—		—		—		—		—		—		—		—		—		—
Total embedded derivatives	766		—		—		—		—		4,543		—		—		—		—

Total derivatives	$	196	$	—	$	5	$	(36)	$	205	$	2,181	$	—	$	7	$	(46)	$	358

_____________

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

(2)Investment fees of $5 million and $13 million for the three and nine months ended September 30, 2023, respectively and $6 million and $14 million for the three and nine months ended September 30, 2022, 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,
	2023		2022		2023		2022
	(in millions)
Balance, beginning of period	$	52	$	(55)	$	22	$	(208)
Amount recorded in AOCI
Currency swaps	(17)		77		(12)		77
Interest swaps	31		51		4		149
Total amount recorded in AOCI	14		128		(8)		226
Amount reclassified from income to AOCI
Currency swaps (1)	31		34		53		39
Interest swaps (1)	(4)		43		26		93
Total amount reclassified from income to AOCI	27		77		79		132
Balance, end of period (2)	$	93	$	150	$	93	$	150

______________

(1) Currency swaps income is reported in net investment income in the consolidated statements of income (loss). Interest swaps income is reported in net derivative gains (losses) in the consolidated statements of income (loss).

(2) The Company does not estimate the amount of the deferred losses in AOCI at September 30, 2023 and 2022 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:

Offsetting of Financial Assets and Liabilities and Derivative Instruments

As of September 30, 2023


	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	$	10,208	$	6,793	$	3,415	$	(3,047)	$	368
Secured lending	86		—		86		—		86
Other financial assets	1,995		—		1,995		—		1,995
Other invested assets	$	12,289	$	6,793	$	5,496	$	(3,047)	$	2,449

Liabilities:
Derivative liabilities	$	7,410	$	6,793	$	617	$	—	$	617
Secured lending	86		—		86		—		86
Other financial liabilities	2,660		—		2,660		—		2,660
Other liabilities	$	10,156	$	6,793	$	3,363	$	—	$	3,363

______________

(1)Financial instruments sent (held).

As of December 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 (1)		Net Amount
	(in millions)
Assets:
Derivative assets	$	8,024	$	6,980	$	1,044	$	(848)	$	196
Secured lending	—		—		—		—		—
Other financial assets	1,791		—		1,791		—		1,791
Other invested assets	$	9,815	$	6,980	$	2,835	$	(848)	$	1,987

Liabilities:
Derivative liabilities	$	7,577	$	6,980	$	597	$	—	$	597
Secured lending	—		—		—		—		—
Other financial liabilities	2,081		—		2,081		—		2,081
Other liabilities	$	9,658	$	6,980	$	2,678	$	—	$	2,678

______________

(1)Financial instruments sent (held).

- 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.

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