OFFSETTING OF ASSETS AND LIABILITIES

3 Months Ended

Mar. 31, 2021

Certain of the Company’s derivative instruments are subject to enforceable master netting arrangements that provide for the net settlement of all derivative contracts between the Company and a counterparty in the event of default or upon the occurrence of certain termination events. Collateral support agreements associated with each master netting arrangement provide that the Company will receive or pledge financial collateral in the event either minimum thresholds, or in certain cases ratings levels, have been reached. Additionally, certain of the Company’s repurchase agreements provide for net settlement on termination of the agreement. Refer to Note 10, Debt and Other Obligations for details of the Company’s repurchase agreement programs.

Collateral received includes both cash and non-cash collateral. Cash collateral received by the Company is recorded on the consolidated condensed balance sheet as “cash”, with a corresponding amount recorded in “other liabilities” to represent the Company’s obligation to return the collateral. Non-cash collateral received by the Company is not recognized on the consolidated condensed balance sheet unless the Company exercises its right to sell or re-pledge the underlying asset. There was no fair value of non-cash collateral received as of March 31, 2021 or as of December 31, 2020.

The tables below present the derivative instruments by assets and liabilities for the Company as of March 31, 2021:


	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Balance Sheets		Net Amounts of Assets Presented in the Balance Sheets		Gross Amounts Not Offset in the Balance Sheets
							Financial Instruments		Collateral Received		Net Amount
	(Dollars In Millions)
Offsetting of Assets
Derivatives:
Free-Standing derivatives	$	1,335	$	—	$	1,335	$	950	$	316	$	69
Total derivatives, subject to a master netting arrangement or similar arrangement	1,335		—		1,335		950		316		69
Derivatives not subject to a master netting arrangement or similar arrangement
Embedded derivative - Modco reinsurance treaties	68		—		68		—		—		68
Embedded derivative - GLWB	161		—		161		—		—		161
Embedded derivative - FIA	60		—		60		—		—		60

Total derivatives, not subject to a master netting arrangement or similar arrangement	289		—		289		—		—		289
Total derivatives	1,624		—		1,624		950		316		358
Total Assets	$	1,624	$	—	$	1,624	$	950	$	316	$	358


	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Balance Sheets		Net Amounts of Liabilities Presented in the Balance Sheets		Gross Amounts Not Offset in the Balance Sheets
							Financial Instruments		Collateral Posted		Net Amount
	(Dollars In Millions)
Offsetting of Liabilities
Derivatives:
Free-Standing derivatives	$	953	$	—	$	953	$	950			$	3
Total derivatives, subject to a master netting arrangement or similar arrangement	953		—		953		950		—		3
Derivatives, not subject to a master netting arrangement or similar arrangement
Embedded derivative - Modco reinsurance treaties	229		—		229		—		—		229
Funds withheld derivative	12		—		12		—		—		12
Embedded derivative - GLWB	579		—		579		—		—		579
Embedded derivative - FIA	643		—		643		—		—		643
Embedded derivative - IUL	179		—		179		—		—		179
Other	56		—		56		—		—		56
Total derivatives, not subject to a master netting arrangement or similar arrangement	1,698		—		1,698		—		—		1,698
Total derivatives	2,651		—		2,651		950		—		1,701
Repurchase agreements(1)	854		—		854		—		—		854
Total Liabilities	$	3,505	$	—	$	3,505	$	950	$	—	$	2,555

(1) Borrowings under repurchase agreements are for a term less than 90 days.

The tables below present the derivative instruments by assets and liabilities for the Company as of December 31, 2020.


	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Balance Sheets		Net Amounts of Assets Presented in the Balance Sheets		Gross Amounts Not Offset in the Balance Sheets
							Financial Instruments		Collateral Received		Net Amount
	(Dollars In Millions)
Offsetting of Assets
Derivatives:
Free-Standing derivatives	$	1,337	$	—	$	1,337	$	865	$	290	$	182
Total derivatives, subject to a master netting arrangement or similar arrangement	1,337		—		1,337		865		290		182
Derivatives not subject to a master netting arrangement or similar arrangement
Embedded derivative - Modco reinsurance treaties	101		—		101		—		—		101
Embedded derivative - GLWB	138		—		138		—		—		138

Embedded derivative - FIA	60		—		60		—		—		60
Total derivatives, not subject to a master netting arrangement or similar arrangement	299		—		299		—		—		299
Total derivatives	1,636		—		1,636		865		290		481
Total Assets	$	1,636	$	—	$	1,636	$	865	$	290	$	481


	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Balance Sheets		Net Amounts of Liabilities Presented in the Balance Sheets		Gross Amounts Not Offset in the Balance Sheets
							Financial Instruments		Collateral Posted		Net Amount
	(Dollars In Millions)
Offsetting of Liabilities
Derivatives:
Free-Standing derivatives	$	871	$	—	$	871	$	865	$	4	$	2
Total derivatives, subject to a master netting arrangement or similar arrangement	871		—		871		865		4		2
Derivatives not subject to a master netting arrangement or similar arrangement
Embedded derivative - Modco reinsurance treaties	389		—		389		—		—		389
Funds withheld derivative	10		—		10		—		—		10
Embedded derivative - GLWB	960		—		960		—		—		960
Embedded derivative - FIA	633		—		633		—		—		633
Embedded derivative - IUL	201		—		201		—		—		201
Other	55		—		55		—		—		55
Total derivatives, not subject to a master netting arrangement or similar arrangement	2,248		—		2,248		—		—		2,248
Total derivatives	3,119		—		3,119		865		4		2,250
Repurchase agreements(1)	—		—		—		—		—		—
Total Liabilities	$	3,119	$	—	$	3,119	$	865	$	4	$	2,250

(1) Borrowings under repurchase agreements are for a term less than 90 days.