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DERIVATIVES (Tables)

6 Months Ended

Jun. 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

			June 30, 2023																		December 31, 2022
									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			$	1,633					$	110					$	82					$	1,431					$	99					$	85
Interest swaps			954						—						320						955						—						294
Total: designated for hedge accounting			2,587						110						402						2,386						99						379
Derivatives: not designated for hedge accounting (1)
Equity contracts:
Futures			7,553						2						1						5,151						2						—
Swaps			13,073						50						10						11,188						39						9
Options			48,468						11,305						2,851						40,122						7,583						3,412
Interest rate contracts:
Futures			8,749						—						—						12,693						—						—
Swaps			1,920						6						118						1,515						—						166
Credit contracts:
Credit default swaps			284						11						8						327						18						9
Currency contracts:
Currency swaps			455						1						8						397						4						13
Currency forwards			39						18						18						62						31						32
Other freestanding contracts:
Margin			—						414						—						—						226						—
Collateral			—						158						7,273						—						142						4,472
Total: not designated for hedge accounting			80,541						11,965						10,287						71,455						8,045						8,113
Embedded derivatives:
SCS, SIO, MSO and IUL indexed features (2)			—						—						8,895						—						—						4,164
Total embedded derivatives			—						—						8,895						—						—						4,164
Total derivative instruments			$	83,128					$	12,075					$	19,584					$	73,841					$	8,144					$	12,656

___________

(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).

Derivative Instruments by Category

			Three Months Ended June 30, 2023																					Six Months Ended June 30, 2023
			Net Derivatives Gain (Losses) (1)						Net Investment Income			Interest Credited To Policyholders Account Balances						AOCI						Net Derivatives Gain (Losses) (1)						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)						—			—						3
Total: designated for hedge accounting			(14)						2			8						33						(11)						5			(26)						31
Derivatives: not Designated for hedge accounting
Equity contracts:
Futures			(27)						—			—						—						(159)						—			—						—
Swaps			(706)						—			—						—						(1,309)						—			—						—
Options			2,499						—			—						—						4,000						—			—						—
Interest rate contracts:
Futures			44						—			—						—						10						—			—						—
Swaps			(56)						—			—						—						(9)						—			—						—
Credit contracts:
Credit default swaps			(2)						—			—						—						(5)						—			—						—
Currency contracts:
Currency swaps			(9)						—			—						—						(19)						—			—						—
Currency forwards			—						—			—						—						—						—			—						—
Other freestanding contracts:
Margin			—						—			—						—						—						—			—						—
Collateral			—						—			—						—						—						—			—						—
Total: not designated for hedge accounting			1,743						—			—						—						2,509						—			—						—
Embedded derivatives:
SCS, SIO,MSO and IUL indexed features			(2,646)						—			—						—						(4,256)						—			—						—
Total embedded derivatives			(2,646)						—			—						—						(4,256)						—			—						—
Total derivative instruments			$	(917)					$	2		$	8					$	33					$	(1,758)					$	5		$	(26)					$	31

______________

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

			Three Months Ended June 30, 2022																					Six Months Ended June 30, 2022
			Net Derivatives Gain (Losses) (1)						Net Investment Income			Interest Credited To Policyholders Account Balances						AOCI						Net Derivatives Gain (Losses) (1)						Net Investment Income			Interest Credited To Policyholders Account Balances						AOCI
			(in millions)
Derivatives: designated for hedge accounting
Cash flow hedges:
Currency swaps			$	18					$	1		$	8					$	(8)					$	14					$	2		$	(10)					$	5
Interest swaps			(27)						—			—						168						(41)						—			—						148
Total: designated for hedge accounting			(9)						1			8						160						(27)						2			(10)						153
Derivatives: not Designated for hedge accounting
Equity contracts:
Futures			398						—			—						—						456						—			—						—
Swaps			2,043						—			—						—						2,778						—			—						—
Options			(3,446)						—			—						—						(3,730)						—			—						—
Interest rate contracts:
Futures			(546)						—			—						—						(1,058)						—			—						—
Swaps			(154)						—			—						—						(303)						—			—						—
Credit contracts:
Credit default swaps			13						—			—						—						14						—			—						—
Currency contracts:
Currency swaps			13						—			—						—						18						—			—						—
Currency forwards			2						—			—						—						2						—			—						—
Other freestanding contracts:
Margin			—						—			—						—						—						—			—						—
Collateral			—						—			—						—						—						—			—						—
Total: not designated for hedge accounting			(1,677)						—			—						—						(1,823)						—			—						—
Embedded derivatives:
SCS, SIO,MSO and IUL indexed features			3,544						—			—						—						3,867						—			—						—
Total embedded derivatives			3,544						—			—						—						3,867						—			—						—
Total derivative instruments			$	1,858					$	1		$	8					$	160					$	2,017					$	2		$	(10)					$	153

.

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,
			2023						2022						2023						2022
			(in millions)
Balance, beginning of period			$	19					$	(215)					$	22					$	(208)
Amount recorded in AOCI
Currency swaps			13						3						6						—
Interest swaps			10						137						(27)						98
Total amount recorded in AOCI			23						140						(21)						98
Amount reclassified from AOCI to income
Currency swaps (1)			(10)						(10)						22						6
Interest swaps (1)			20						31						29						50
Total amount reclassified from AOCI to income			10						21						51						56
Balance, end of period (2)			$	52					$	(54)					$	52					$	(54)

_______________

(1)    Currency swaps reclassified from AOCI to income are reported in net investment income in the consolidated statements of income (loss). Interest swaps reclassified from AOCI to income are 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, 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 as of June 30, 2023 and December 31, 2022:

Offsetting of Financial Assets and Liabilities and Derivative Instruments

As of June 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 (3)						Net Amount
			(in millions)
Assets:
Derivative assets (1)			$	12,074					$	9,321					$	2,753					$	(1,367)					$	1,386
Secured Lending			29						—						29						—						29
Other financial assets			2,453						—						2,453						—						2,453
Other invested assets			$	14,556					$	9,321					$	5,235					$	(1,367)					$	3,868
Liabilities:
Derivative liabilities (2)			$	9,322					$	9,321					$	1					$	—					$	1
Secured Lending			29						—						$	29					—						29
Other financial liabilities			6,380						—						6,380						—						6,380
Other liabilities			$	15,731					$	9,321					$	6,410					$	—					$	6,410

______________

(1)Excludes Investment Management and Research segment’s derivative assets of consolidated VIEs/VOEs.

(2)Excludes Investment Management and Research segment’s derivative liabilities of consolidated VIEs/VOEs.

(3)Financial instruments/Collateral 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 (3)						Net Amount
			(in millions)
Assets:
Derivative assets (1)			$	8,143					$	7,047					$	1,096					$	(848)					$	248
Other financial assets			2,789						—						2,789						—						2,789
Other invested assets			$	10,932					$	7,047					$	3,885					$	(848)					$	3,037
Liabilities:
Derivative liabilities (2)			$	7,645					$	7,047					$	598					$	—					$	598
Other financial liabilities			6,510						—						6,510						—						6,510
Other liabilities			$	14,155					$	7,047					$	7,108					$	—					$	7,108

______________

(1)Excludes Investment Management and Research segment’s derivative assets of consolidated VIEs/VOEs.

(2)Excludes Investment Management and Research segment’s derivative liabilities of consolidated VIEs/VOEs.

(3)Financial instruments sent (held).

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