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DERIVATIVES (Tables)

6 Months Ended

Jun. 30, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments by Category

The following table presents the gross notional amount and fair value of the Company’s derivatives:

Derivative Instruments by Category


	June 30, 2024
					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	$	2,629	$	—	$	99	$	—	$	92	$	—	$	7
Interest swaps	952		—		—		—		328		—		(328)
Total: designated for hedge accounting	3,581		—		99		—		420		—		(321)


	June 30, 2024
					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: not designated for hedge accounting (1)
Equity contracts:
Futures	2,349		3,206		—		—		—		—		—
Swaps	840		14,197		3		51		—		17		37
Options	9,311		44,777		3,091		12,019		728		2,464		11,918
Interest rate contracts:
Futures	1,533		6,164		—		—		—		—		—
Swaps	526		2,055		1		17		4		16		(2)
Credit contracts:
Credit default swaps	102		—		—		—		1		—		(1)
Currency contracts:
Currency swaps	803		—		3		—		4		—		(1)
Other freestanding contracts:
Margin	—		—		99		204		—		—		303
Collateral	—		—		113		—		11,711		—		(11,598)
Total: Not designated for hedge accounting	15,464		70,399		3,310		12,291		12,448		2,497		656

Embedded derivatives:
SCS, SIO, MSO and IUL indexed features (2) (5)	—		—		8,960		—		11,756		—		(2,796)
Funds withheld payable (3)	—		—		—		—		(87)		—		87
Modco payable (4)	—		—		(183)		—		—		—		(183)
Total embedded derivatives	—		—		8,777		—		11,669		—		(2,892)

Total derivative instruments	$	19,045	$	70,399	$	12,186	$	12,291	$	24,537	$	2,497	$	(2,557)

______________

(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 to reinsurers.

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


	December 31, 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	$	2,358	$	—	$	79	$	—	$	90	$	—	$	(11)
Interest swaps	952		—		—		—		311		—		(311)
Total: designated for hedge accounting	3,310		—		79		—		401		—		(322)
Derivatives: not designated for hedge accounting (1)
Equity contracts:
Futures	2,055		3,429		—		—		—		—		—
Swaps	1,996		12,930		7		45		—		—		52
Options	7,445		41,501		2,169		9,675		524		2,203		9,117
Interest rate contracts:
Futures	1,000		6,572		—		—		—		—		—
Swaps	495		2,381		34		83		1		1		115
Credit contracts:
Credit default swaps	103		—		—		—		2		—		(2)
Currency contracts:
Currency swaps	823		—		—		—		27		—		(27)
Other freestanding contracts:
Margin	—		—		96		231		—		—		327
Collateral	—		—		75		—		8,276		—		(8,201)
Total: Not designated for hedge accounting	13,917		66,813		2,381		10,034		8,830		2,204		1,381

Embedded derivatives:
SCS, SIO, MSO and IUL indexed features (2) (5)	—		—		7,140		—		9,081		—		(1,941)
Funds withheld payable (3)	—		—		—		—		100		—		(100)
Modco payable (4)	—		—		(411)		—		—		—		(411)
Total embedded derivatives	—		—		6,729		—		9,181		—		(2,452)

Total derivative instruments	$	17,227	$	66,813	$	9,189	$	10,034	$	18,412	$	2,204	$	(1,393)

______________

(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.

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


	Three Months Ended June 30, 2024										Six Months Ended June 30, 2024
	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)
Derivative instruments:
Derivatives: designated for hedge accounting
Cash flow hedges:
Currency/Interest rate contracts:
Currency swaps	$	—	$	—	$	4	$	(5)	$	22	$	1	$	—	$	7	$	(23)	$	38
Interest swaps	—		—		(17)		—		13		—		—		(14)		—		6
Total: designated for hedge accounting	—		—		(13)		(5)		35		1		—		(7)		(23)		44
Derivatives: not designated for hedge accounting
Equity contracts:
Futures	15		(33)		—		—		—		115		(46)		—		—		—
Swaps	(10)		(87)		—		—		—		(158)		(1,050)		—		—		—
Options	217		770		—		—		—		656		2,732		—		—		—
Interest rate contracts:
Futures	(18)		35		—		—		—		(55)		85		—		—		—
Swaps	(15)		(74)		—		—		—		(43)		(210)		—		—		—
Swaptions	—		—		—		—		—		—		—		—		—		—
Credit contracts:
Credit default swaps	—		—		—		—		—		—		—		—		—		—
Currency contracts:
Currency swaps	1		—		—		—		—		14		—		—		—		—

Other contracts:
Margin	—		—		—		—		—		—		—		—		—		—
Collateral	—		—		—		—		—		—		—		—		—		—


	Three Months Ended June 30, 2024										Six Months Ended June 30, 2024
	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)
Total: not designated for hedge accounting	190		611		—		—		—		529		1,511		—		—		—

Embedded derivatives:
SCS, SIO, MSO and IUL indexed features	(255)		—		—		—		—		(854)		—		—		—		—
Funds withheld payable	89		—		—		—		—		1,106		—		—		—		—
Modco payable	(850)		—		—		—		—		(2,822)		—		—		—		—
Total embedded derivatives	(1,016)		—		—		—		—		(2,570)		—		—		—		—

Total derivatives	$	(826)	$	611	$	(13)	$	(5)	$	35	$	(2,040)	$	1,511	$	(7)	$	(23)	$	44

______________

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

(2) Investment fees of $6 million and $11 million for the three and six months ended June 30, 2024, respectively, are reported in net derivative gains (losses) in the consolidated statements of income (loss).


	Three Months Ended June 30, 2023										Six Months Ended June 30, 2023
	Net Derivatives Gain (Losses) (1) (2)		Net-FWH and NI modco Derivatives Gains (Losses)		Net Investment Income		Interest Credited To Policyholders Account Balances		AOCI		Net Derivatives Gain(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	$	2	$	—	$	2	$	8	$	3	$	10	$	—	$	5	$	(26)	$	28
Interest Swaps	(16)		—		—		—		30		(21)		—		—		—		2
Total: Designated for hedge accounting	(14)				2		8		33		(11)				5		(26)		30


	Three Months Ended June 30, 2023					Six Months Ended June 30, 2023
	Net Derivatives Gain (Losses) (1) (2)	Net-FWH and NI modco Derivatives Gains (Losses)	Net Investment Income	Interest Credited To Policyholders Account Balances	AOCI	Net Derivatives Gain(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	58	(158)	—	—	—	(96)	(158)	—	—	—
Swaps	(113)	(591)	—	—	—	(716)	(591)	—	—	—
Options	361	2,032	—	—	—	1,858	2,032	—	—	—
Interest rate contracts:
Futures	(19)	76	—	—	—	(62)	76	—	—	—
Swaps	(61)	5	—	—	—	(14)	5	—	—	—
Credit contracts:
Credit default swaps	—	—	—	—	—	—	—	—	—	—
Currency contracts:
Currency swaps	(9)	—	—	—	—	(19)	—	—	—	—
Currency forwards	—	—	—	—	—	—	—	—	—	—
Other contracts:
Margin	—	—	—	—	—	—	—	—	—	—
Collateral	—	—	—	—	—	—	—	—	—	—
Total: Not designated for hedge accounting	217	1,364	—	—	—	951	1,364	—	—	—

Embedded Derivatives:
SCS, SIO, MSO and IUL indexed features	(453)	—	—	—	—	(2,027)	—	—	—	—
Funds withheld payable	599	—	—	—	—	599	—	—	—	—


	Three Months Ended June 30, 2023										Six Months Ended June 30, 2023
	Net Derivatives Gain (Losses) (1) (2)		Net-FWH and NI modco Derivatives Gains (Losses)		Net Investment Income		Interest Credited To Policyholders Account Balances		AOCI		Net Derivatives Gain(Losses) (1) (2)		Net-FWH and NI modco Derivatives Gains (Losses)		Net Investment Income		Interest Credited To Policyholders Account Balances		AOCI
	(in millions)
Modco payable	(1,930)		—		—		—		—		(1,930)		—		—		—		—
Total Embedded Derivatives	(1,784)		—		—		—		—		(3,358)		—		—		—		—

Total derivatives instruments	$	(1,581)	$	1,364	$	2	$	8	$	33	$	(2,418)	$	1,364	$	5	$	(26)	$	30

______________

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

(2) Investment fees of $4 million and $8 million for the three and six months ended June 30, 2023, 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 June 30,				Six Months Ended June 30,
	2024		2023		2024		2023
	(in millions)
Balance, beginning of period	$	(21)	$	19	$	(31)	$	22
Amount recorded in AOCI
Currency swaps	19		13		19		6
Interest swaps	(9)		10		(17)		(27)
Total amount recorded in AOCI	10		23		2		(21)
Amount reclassified (to) from income to AOCI
Currency swaps (1)	3		(10)		20		22
Interest swaps (1)	21		20		22		29
Total amount reclassified (to) from income to AOCI	24		10		42		51
Balance, end of period (2)	$	13	$	52	$	13	$	52

______________

(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 three and six months ended June 30, 2024 and 2023 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 June 30, 2024


	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	$	15,700	$	12,268	$	3,432	$	(2,944)	$	488
Secured lending	131		—		131		—		131
Other financial assets	1,603		—		1,603		—		1,603
Other invested assets	$	17,434	$	12,268	$	5,166	$	(2,944)	$	2,222

Liabilities:
Derivative liabilities	$	12,422	$	12,268	$	154	$	—	$	154
Secured lending	131		—		131		—		131
Other financial liabilities	2,423		—		2,423		—		2,423
Other liabilities	$	14,976	$	12,268	$	2,708	$	—	$	2,708

______________

(1)Financial instruments sent (held).

As of December 31, 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	$	12,495	$	8,326	$	4,169	$	(3,076)	$	1,093
Secured lending	93		—		93		—		93
Other financial assets	1,690		—		1,690		—		1,690
Other invested assets	$	14,278	$	8,326	$	5,952	$	(3,076)	$	2,876

Liabilities:
Derivative liabilities	$	8,359	$	8,326	$	33	$	—	$	33
Secured lending	93		—		93		—		93
Other financial liabilities	2,370		—		2,370		—		2,370
Other liabilities	$	10,822	$	8,326	$	2,496	$	—	$	2,496

______________

(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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