DERIVATIVES (Tables)

12 Months Ended

Dec. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments by Category

The tables below present quantitative disclosures about the Company’s derivative instruments designated in hedging relationships and derivative instruments which have not been designated in hedging relationships, including those embedded in other contracts required to be accounted for as derivative instruments.

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

Derivative Instruments by Category

	December 31, 2021						December 31, 2020
			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	$	921	$	7	$	42	$	—	$	—	$	—
Interest Swaps	955		—		395		957		—		219
Total: Designated for Hedge Accounting	1,876		7		437		957		—		219
Derivatives: Not designated for Hedge accounting (1)
Equity contracts:
Futures (5)	2,213		—		—		4,267		—		—
Swaps (5)	13,310		5		—		22,404		6		—
Options	48,380		12,015		5,059		35,786		8,383		3,715
Interest rate contracts:
Futures (5)	12,455		—		—		18,161		—		—
Swaps (5)	1,876		—		45		22,816		551		434
Swaptions	—		—		—		—		—		—
Credit contracts:
Credit default swaps	619		2		3		919		8		1
Currency contracts:
Currency Swaps	541		1		—		347		—		—
Currency forwards	—		—		—		—		—		—
Other contracts:
Margin	—		102		—		—		26		66
Collateral	—		178		6,154		—		212		3,835
Total: Not designated for Hedge accounting	79,394		12,303		11,261		104,700		9,186		8,051
Embedded Derivatives:
Amounts due from reinsurers (6)	—		5,813		—		—		—		—
GMIB reinsurance contracts (2)	—		2,068		—		—		2,859		—
GMxB derivative features liability (3)	—		—		8,525		—		—		10,936
SCS, SIO, MSO and IUL indexed features (4)	—		—		6,641		—		—		4,378
Total Embedded Derivatives	—		7,881		15,166		—		2,859		15,314
Total derivative instruments	$	81,270	$	20,191	$	26,864	$	105,657	$	12,045	$	23,584

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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)    Decrease in futures and swaps notional as of December 31, 2021 is primarily due to the Venerable Transaction (see Note 1 of the Notes to these Consolidated Financial Statements).

(6)    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).

	Year Ended December 31, 2021						Year Ended December 31, 2020						Year Ended December 31, 2019
	Net Derivatives Gain(Losses) (1) (2)		Interest Credited To Policyholders Account Balances		AOCI		Net Derivatives Gain(Losses) (1) (2)		Interest Credited To Policyholders Account Balances		AOCI		Net Derivatives Gain(Losses) (1) (2)		Interest Credited To Policyholders Account Balances		AOCI
	(in millions)
Derivatives: Designated for hedge accounting
Cash flow hedges:
Currency swaps	$	(2)	$	(45)	$	5	$	—	$	—	$	—	$	—	$	—	$	—
Interest swaps	(69)		—		(87)		(9)		—		(87)		4		—		(28)
Total: Designated for hedge accounting	(71)		(45)		(82)		(9)		—		(87)		4		—		(28)
Derivatives: Not designated for hedge accounting
Equity contracts:
Futures	(607)		—		—		(955)		—		—		(1,294)		—		—
Swaps	(3,608)		—		—		(3,353)		—		—		(2,405)		—		—
Options	3,883		—		—		1,663		—		—		2,211		—		—
Interest rate contracts:
Futures	(727)		—		—		1,745		—		—		139		—		—
Swaps	(2,316)		—		—		2,832		—		—		2,033		—		—
Swaptions	—		—		—		9		—		—		(35)		—		—
Credit contracts:
Credit default swaps	1		—		—		—		—		—		16		—		—
Currency contracts:
Currency swaps	3		—		—		(2)		—		—		(9)		—		—
Currency forwards	—		—		—		—		—		—		—		—		—
Other contracts:
Margin	—		—		—		—		—		—		—		—		—
Collateral	—		—		—		—		—		—		—		—		—
Total: Not designated for hedge accounting	(3,371)		—		—		1,939		—		—		656		—		—

Embedded Derivatives:
Amounts due from reinsurers	517		—		—		—		—		—		—		—		—
GMIB reinsurance contracts	(777)		—		—		472		—		—		500		—		—
GMxB derivative features liability	2,792		—		—		(2,238)		—		—		(2,439)		—		—
SCS, SIO, MSO and IUL indexed features	(3,760)		—		—		(1,693)		—		—		(2,552)		—		—
Total Embedded Derivatives	(1,228)		—		—		(3,459)		—		—		(4,491)		—		—
Total Derivatives	$	(4,670)	$	(45)	$	(82)	$	(1,529)	$	—	$	(87)	$	(3,831)	$	—	$	(28)

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

(2)For the years ended December 31, 2021 and 2020, investment fees of $15 million and $12 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)

Rollforward of Cash flow hedges in AOCI

	Year Ended December 31,
	2021		2020		2019
	(in millions)
Balance, beginning of period	$	(126)	$	(38)	$	(10)
Amount recorded in AOCI	—		—		—
Currency Swaps	(35)		—		—
Interest Swaps	(183)		(108)		(45)
Total Amount recorded in AOCI	(218)		(108)		(45)
Amount reclassified from AOCI to income	—		—		—
Currency Swaps	40		—		—
Interest Swaps	96		20		17
Total Amount reclassified from AOCI to income	136		20		17
Ending Balance, December 31 (1)	$	(208)	$	(126)	$	(38)

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(1) The Company does not estimate the amount of the deferred losses in AOCI at years ended December 31, 2021, 2020 and 2019 which will be released and reclassified into Net income (loss) over the next 12 months as the amounts cannot be reasonably estimated.

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 December 31, 2021 and December 31, 2020:

Offsetting of Financial Assets and Liabilities and Derivative Instruments

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

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(1)Financial instruments sent (held).

As of December 31, 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	$	9,186	$	8,206	$	980	$	(53)	$	927
Other financial assets	1,403		—		1,403		—		1,403
Other invested assets	$	10,589	$	8,206	$	2,383	$	(53)	$	2,330
Liabilities:
Derivative liabilities	$	8,218	$	8,206	$	12	$	—	$	12
Other financial liabilities	1,568		—		1,568		—		1,568
Other liabilities	$	9,786	$	8,206	$	1,580	$	—	$	1,580

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(1)Financial instruments sent (held).