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Derivative Instruments | 3 Months Ended
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Mar. 31, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Instruments | Derivative Instruments We maintain an overall risk management strategy that incorporates the use of derivative instruments to minimize significant unplanned fluctuations in earnings that are caused by interest rate risk, foreign currency exchange risk, equity market risk, basis risk, commodity risk and credit risk. We assess these risks by continually identifying and monitoring changes in our exposures that may adversely affect expected future cash flows and by evaluating hedging opportunities. Derivative activities are monitored by various management committees. The committees are responsible for overseeing the implementation of various hedging strategies that are developed through the analysis of financial simulation models and other internal and industry sources. The resulting hedging strategies are incorporated into our overall risk management strategies. See Note 13 for additional disclosures related to the fair value of our derivative instruments. Interest Rate Contracts We use derivative instruments as part of our interest rate risk management strategy. These instruments are economic hedges unless otherwise noted and include: Forward-Starting Interest Rate Swaps We use forward-starting interest rate swaps to hedge the interest rate exposure within our annuity and life insurance products. Interest Rate Cap Corridors We use interest rate cap corridors to provide a level of protection from the effect of rising interest rates for certain annuity contracts and life insurance products. Interest rate cap corridors involve purchasing an interest rate cap at a specific cap rate and selling an interest rate cap with a higher cap rate. For each corridor, the amount of quarterly payments, if any, is determined by the rate at which the underlying index rate resets above the original capped rate. The corridor limits the benefit the purchaser can receive as the related interest rate index rises above the higher capped rate. There is no additional liability to us other than the purchase price associated with the interest rate cap corridor. Interest Rate Futures We use interest rate futures contracts to hedge the liability exposure on certain options in variable annuity products. These futures contracts require payment between our counterparty and us on a daily basis for changes in the futures index price. Interest Rate Swap Agreements We use interest rate swap agreements to hedge the liability exposure on certain options in variable annuity products. We also use interest rate swap agreements designated and qualifying as cash flow hedges to hedge the interest rate risk of floating-rate bond coupon payments by replicating a fixed-rate bond. Finally, we use interest rate swap agreements designated and qualifying as fair value hedges to hedge against changes in the fair value of certain fixed-rate long-term debt and fixed maturity securities due to interest rate risks. Bond Forwards and Treasury and Reverse Treasury Locks We use treasury locks designated and qualifying as cash flow hedges to hedge the interest rate exposure related to our issuance of fixed-rate securities or the anticipated future cash flows of floating-rate fixed maturity securities due to changes in interest rates. In addition, we use bond forwards and reverse treasury locks designated and qualifying as cash flow hedges to hedge the interest rate exposure related to the anticipated purchase of fixed-rate securities or the anticipated future cash flows of floating-rate fixed maturity securities due to changes in interest rates. These derivatives are primarily structured to hedge interest rate risk inherent in the assumptions used to price certain liabilities. Foreign Currency Contracts We use derivative instruments as part of our foreign currency risk management strategy. These instruments are economic hedges unless otherwise noted and include: Currency Futures We use currency futures to hedge foreign exchange risk associated with certain options in variable annuity products. Currency futures exchange one currency for another at a specified date in the future at a specified exchange rate. Foreign Currency Swaps We use foreign currency swaps to hedge foreign exchange risk of investments in fixed maturity securities denominated in foreign currencies. A foreign currency swap is a contractual agreement to exchange one currency for another at specified dates in the future at a specified exchange rate. We also use foreign currency swaps designated and qualifying as cash flow hedges to hedge foreign exchange risk of investments in fixed maturity securities denominated in foreign currencies. Foreign Currency Forwards We use foreign currency forwards to hedge foreign exchange risk of investments in fixed maturity securities denominated in foreign currencies. A foreign currency forward is a contractual agreement to exchange one currency for another at specified dates in the future at a specified current exchange rate. Equity Market Contracts We use derivative instruments as part of our equity market risk management strategy that are economic hedges and include: Call Options Based on the S&P 500® Index and Other Indices We use call options to hedge the liability exposure on certain options in variable annuity, RILA, fixed indexed annuity, IUL and VUL products. Our RILA, fixed indexed annuity and IUL contracts permit the holder to elect an interest rate return or an equity market component, where interest credited to the contracts is linked to the performance of the S&P 500 Index or other indices. Policyholders may elect to rebalance index options at renewal dates. At the end of each indexed term, which can be up to six years, we have the opportunity to re-price the indexed component by establishing participation rates, caps, spreads and specified rates, subject to contractual guarantees. We use call options that are highly correlated to the portfolio allocation decisions of our policyholders, such that we are economically hedged with respect to equity returns for the current reset period. Consumer Price Index Swaps We use consumer price index swaps to hedge the liability exposure on certain options in fixed annuity products. Consumer price index swaps are contracts entered into at no cost and whose payoff is the difference between the consumer price index inflation rate and the fixed-rate determined as of inception. Equity Futures We use equity futures contracts to hedge the liability exposure on certain options in variable annuity products. These futures contracts require payment between our counterparty and us on a daily basis for changes in the futures index price. Put Options We use put options to hedge the liability exposure on certain options in variable annuity, RILA and VUL products. Put options are contracts that require the buyers to pay at a specified future date the amount, if any, by which a specified equity index is less than the strike rate stated in the agreement, applied to a notional amount. Total Return Swaps We use total return swaps to hedge the liability exposure on certain options in variable annuity, RILA and VUL products. In addition, we use total return swaps to hedge a portion of the liability related to our deferred compensation plans. We receive the total return on a portfolio of indexes and pay a floating-rate of interest. Commodity Contracts We use commodity contracts to economically hedge certain investments that are closely tied to the changes in commodity values. The commodity contract is an over-the-counter contract that combines a purchase put/sold call to lock in a commodity price within a predetermined range in exchange for a net premium. Credit Contracts We use derivative instruments as part of our credit risk management strategy that are economic hedges and include: Credit Default Swaps – Buying Protection We use credit default swaps (“CDSs”) to hedge the liability exposure on certain options in variable annuity products. We buy CDSs to hedge against a drop in bond prices due to credit concerns of certain bond issuers. A CDS allows us to put the bond back to the counterparty at par upon a default event by the bond issuer. A default event is defined as bankruptcy, failure to pay, obligation acceleration or restructuring. CDSs – Selling Protection We use CDSs to hedge the liability exposure on certain options in variable annuity products. We sell CDSs to offer credit protection to policyholders and investors. The CDSs hedge the policyholders and investors against a drop in bond prices due to credit concerns of certain bond issuers. A CDS allows the investor to put the bond back to us at par upon a default event by the bond issuer. A default event is defined as bankruptcy, failure to pay, obligation acceleration or restructuring. Embedded Derivatives We have embedded derivatives that include: RILA, Fixed Indexed Annuity and IUL Contracts Embedded Derivatives Our RILA, fixed indexed annuity and IUL contracts permit the holder to elect an interest rate return or an equity market component, where interest credited to the contracts is linked to the performance of the S&P 500® Index or other indices. Policyholders may elect to rebalance index options at renewal dates. At the end of each indexed term, which can be up to six years, we have the opportunity to re-price the indexed component by establishing participation rates, caps, spreads and specified rates, subject to contractual guarantees. We use options that are highly correlated to the portfolio allocation decisions of our policyholders, such that we are economically hedged with respect to equity returns for the current reset period. Reinsurance-Related Embedded Derivatives We have certain modified coinsurance and coinsurance with funds withheld reinsurance agreements with embedded derivatives related to the withheld assets of the related funds. These derivatives are considered total return swaps with contractual returns that are attributable to various assets and liabilities associated with these reinsurance agreements. Primary Risks Managed by Derivatives We have derivative instruments with off-balance-sheet risks whose notional or contract amounts exceed the related credit exposure. Outstanding derivative instruments with off-balance-sheet risks (in millions) were as follows:
| As of March 31, 2024 |  | As of December 31, 2023
| Notional Amounts |  | Fair Value |  | Notional Amounts |  | Fair Value
|  | Asset |  | Liability |  |  | Asset |  | Liability
Qualifying Hedges |  |  |  |  |  |  |  |  |  |  |
Cash flow hedges: |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts (1) | $ | 1,583 |  |  | $ | 242 |  |  | $ | 28 |  |  | $ | 1,698 |  |  | $ | 181 |  |  | $ | 47 |
Foreign currency contracts (1) | 4,722 |  |  | 467 |  |  | 60 |  |  | 4,662 |  |  | 423 |  |  | 78 |
Total cash flow hedges | 6,305 |  |  | 709 |  |  | 88 |  |  | 6,360 |  |  | 604 |  |  | 125 |
Fair value hedges: |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts (1) | 1,076 |  |  | 2 |  |  | 32 |  |  | 1,081 |  |  | 1 |  |  | 39 |
Foreign currency contracts (1) | 25 |  |  | – |  |  | – |  |  | 25 |  |  | – |  |  | 1 |
Total fair value hedges | 1,101 |  |  | 2 |  |  | 32 |  |  | 1,106 |  |  | 1 |  |  | 40 |
Non-Qualifying Hedges |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts (1) | 72,592 |  |  | 771 |  |  | 1,027 |  |  | 90,829 |  |  | 636 |  |  | 979 |
Foreign currency contracts (1) | 370 |  |  | 13 |  |  | 3 |  |  | 306 |  |  | 11 |  |  | 6 |
Equity market contracts (1) | 231,313 |  |  | 13,816 |  |  | 5,953 |  |  | 225,626 |  |  | 10,244 |  |  | 4,227 |
Credit contracts (1) | 39 |  |  | – |  |  | – |  |  | 91 |  |  | – |  |  | – |
Embedded derivatives: |  |  |  |  |  |  |  |  |  |  |
Reinsurance-related (2) | – |  |  | – |  |  | 355 |  |  | – |  |  | – |  |  | 552 |
RILA, fixed indexed annuity and IUL |  |  |  |  |  |  |  |  |  |  |
contracts (3) | – |  |  | 973 |  |  | 10,896 |  |  | – |  |  | 940 |  |  | 9,077 |
Total derivative instruments | $ | 311,720 |  |  | $ | 16,284 |  |  | $ | 18,354 |  |  | $ | 324,318 |  |  | $ | 12,436 |  |  | $ | 15,006 |
(1) These asset and liability balances are presented on a gross basis. Amounts are reported in derivative investments and other liabilities on the Consolidated Balance Sheets after the evaluation for right of offset subject to master netting agreements. (2) Reported in funds withheld reinsurance liabilities on the Consolidated Balance Sheets. (3) Reported in policyholder account balances and deposit assets on the Consolidated Balance Sheets. The maturity of the notional amounts of derivative instruments (in millions) was as follows:
| Remaining Life as of March 31, 2024
| Less Than 1 Year |  | 1 – 5 Years |  | 6 - 10 Years |  | 11 - 30 Years |  | Over 30 Years |  | Total
Interest rate contracts (1) | $ | 9,795 |  |  | $ | 19,247 |  |  | $ | 22,649 |  |  | $ | 22,347 |  |  | $ | 1,213 |  |  | $ | 75,251 |
Foreign currency contracts (2) | 356 |  |  | 1,007 |  |  | 1,725 |  |  | 1,987 |  |  | 42 |  |  | 5,117 |
Equity market contracts | 186,027 |  |  | 34,228 |  |  | 7,262 |  |  | 8 |  |  | 3,788 |  |  | 231,313 |
Credit contracts | – |  |  | 39 |  |  | – |  |  | – |  |  | – |  |  | 39 |
Total derivative instruments with |  |  |  |  |  |  |  |  |  |  |
notional amounts | $ | 196,178 |  |  | $ | 54,521 |  |  | $ | 31,636 |  |  | $ | 24,342 |  |  | $ | 5,043 |  |  | $ | 311,720 |
(1) As of March 31, 2024, the latest maturity date for which we were hedging our exposure to the variability in future cash flows for these instruments was April 20, 2067. (2) As of March 31, 2024, the latest maturity date for which we were hedging our exposure to the variability in future cash flows for these instruments was June 16, 2061. The following amounts (in millions) were recorded on the Consolidated Balance Sheets related to cumulative basis adjustments for fair value hedges:
| Amortized Cost of the Hedged Assets / (Liabilities) |  | Cumulative Fair Value Hedging Adjustment Included in the Amortized Cost of the Hedged Assets / (Liabilities)
| As of March 31, 2024 |  | As of December 31, 2023 |  | As of March 31, 2024 |  | As of December 31, 2023
Line Item in the Consolidated Balance Sheets in |  |  |  |  |  |  |
which the Hedged Item is Included |  |  |  |  |  |  |
Fixed maturity AFS securities, at fair value | $ | 510 |  |  | $ | 534 |  |  | $ | 21 |  |  | $ | 39 |
Long-term debt (1) | (686) |  |  | (703) |  |  | 189 |  |  | 172 |
(1) Includes $(322) million and $(326) million of unamortized adjustments from discontinued hedges as of March 31, 2024, and December 31, 2023, respectively. The change in our unrealized gain (loss) on derivative instruments within accumulated other comprehensive income (loss) (“AOCI”) (in millions) was as follows:
| For the Three Months Ended March 31,
| 2024 |  | 2023
Unrealized Gain (Loss) on Derivative Instruments |  |  |
Balance as of beginning-of-year | $ | 375 |  |  | $ | 388 |
Other comprehensive income (loss): |  |  |
Unrealized holding gains (losses) arising during the period: |  |  |
Cash flow hedges: |  |  |
Interest rate contracts | 89 |  |  | 58 |
Foreign currency contracts | (25) |  |  | 76 |
Change in foreign currency exchange rate adjustment | 101 |  |  | (67) |
Income tax benefit (expense) | (35) |  |  | (15) |
Less: |  |  |
Reclassification adjustment for gains (losses) |  |  |
included in net income (loss): |  |  |
Cash flow hedges: |  |  |
Foreign currency contracts (1) | 15 |  |  | 14 |
Interest rate contracts (2) | 9 |  |  | 6 |
Foreign currency contracts (3) | – |  |  | 2 |
Income tax benefit (expense) | (5) |  |  | (5) |
Balance as of end-of-period | $ | 486 |  |  | $ | 423 |
(1) The OCI offset is reported within net investment income on the Consolidated Statements of Comprehensive Income (Loss). (2) The OCI offset is reported within interest and debt expense on the Consolidated Statements of Comprehensive Income (Loss). (3) The OCI offset is reported within realized gain (loss) on the Consolidated Statements of Comprehensive Income (Loss). The effects of qualifying and non-qualifying hedges (in millions) on the Consolidated Statements of Comprehensive Income (Loss) were as follows:
| Gain (Loss) Recognized in Income For the Three Months Ended March 31,
| 2024 |  | 2023
| Realized Gain (Loss) |  | Net Investment Income |  | Interest and Debt Expense |  | Realized Gain (Loss) |  | Net Investment Income |  | Interest and Debt Expense
Total Line Items in which the Effects of |  |  |  |  |  |  |  |  |  |  |
Fair Value or Cash Flow Hedges are |  |  |  |  |  |  |  |  |  |  |
Recorded | $ | (434) |  |  | $ | 1,346 |  |  | $ | 81 |  |  | $ | (828) |  |  | $ | 1,466 |  |  | $ | 83 |
Qualifying Hedges |  |  |  |  |  |  |  |  |  |  |
Gain or (loss) on fair value hedging |  |  |  |  |  |  |  |  |  |  |
relationships: |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts: |  |  |  |  |  |  |  |  |  |  |
Hedged items | – |  |  | (18) |  |  | 17 |  |  | – |  |  | 16 |  |  | (21) |
Derivatives designated as hedging |  |  |  |  |  |  |  |  |  |  |
instruments | – |  |  | 18 |  |  | (17) |  |  | – |  |  | (16) |  |  | 21 |
Foreign currency contracts: |  |  |  |  |  |  |  |  |  |  |
Hedged items | – |  |  | (1) |  |  | – |  |  | – |  |  | – |  |  | – |
Derivatives designated as hedging |  |  |  |  |  |  |  |  |  |  |
instruments | – |  |  | 1 |  |  | – |  |  | – |  |  | – |  |  | – |
Gain or (loss) on cash flow hedging |  |  |  |  |  |  |  |  |  |  |
relationships: |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts: |  |  |  |  |  |  |  |  |  |  |
Amount of gain or (loss) reclassified |  |  |  |  |  |  |  |  |  |  |
from AOCI into income | – |  |  | – |  |  | 9 |  |  | – |  |  | – |  |  | 6 |
Foreign currency contracts: |  |  |  |  |  |  |  |  |  |  |
Amount of gain or (loss) reclassified |  |  |  |  |  |  |  |  |  |  |
from AOCI into income | – |  |  | 15 |  |  | – |  |  | 2 |  |  | 14 |  |  | – |
Non-Qualifying Hedges |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts | (163) |  |  | – |  |  | – |  |  | 332 |  |  | – |  |  | – |
Foreign currency contracts | – |  |  | – |  |  | – |  |  | (1) |  |  | – |  |  | – |
Equity market contracts | 2,134 |  |  | – |  |  | – |  |  | (53) |  |  | – |  |  | – |
Commodity contracts | – |  |  | – |  |  | – |  |  | 11 |  |  | – |  |  | – |
Credit contracts | – |  |  | – |  |  | – |  |  | (1) |  |  | – |  |  | – |
Embedded derivatives: |  |  |  |  |  |  |  |  |  |  |
Reinsurance-related | 197 |  |  | – |  |  | – |  |  | (49) |  |  | – |  |  | – |
RILA, fixed indexed annuity and IUL |  |  |  |  |  |  |  |  |  |  |
contracts | (1,642) |  |  | – |  |  | – |  |  | (713) |  |  | – |  |  | – |
As of March 31, 2024, $99 million of the deferred net gains (losses) on derivative instruments in AOCI were expected to be reclassified to earnings during the next 12 months. This reclassification would be due primarily to interest rate variances related to our interest rate swap agreements. For the three months ended March 31, 2024 and 2023, there were no material reclassifications to earnings due to hedged firm commitments no longer deemed probable or due to hedged forecasted transactions that had not occurred by the end of the originally specified time period. Information related to our CDSs for which we are the seller (dollars in millions) was as follows:
|  | As of March 31, 2024
Credit Contract Type |  | Maturity |  | Reason for Entering |  | Name of Recourse |  | Credit Rating of Underlying Obligation (1) |  | Number of Instruments |  | Fair Value (2) |  | Maximum Potential Payout
Basket CDSs |  | 12/20/2028 |  | (3) |  | (4) |  | BBB+ |  | 1 |  | $ | 1 |  |  | $ | 39 |
(1) Represents average credit ratings based on the midpoint of the applicable ratings among Moody’s, S&P and Fitch Ratings, as scaled to the corresponding S&P ratings. (2) Third-party valuation specialists are used to determine the market value of our CDSs. (3) CDSs were entered into in order to hedge the liability exposure on certain variable annuity products. (4) Sellers do not have the right to demand indemnification or compensation from third parties in case of a loss (payment) on the contract. As of December 31, 2023, we did not have any exposure related to CDSs for which we are the seller. Details underlying the associated collateral of our CDSs for which we are the seller if credit risk-related contingent features were triggered (in millions) were as follows:
| As of March 31, 2024 |  | As of December 31, 2023
Maximum potential payout | $ | 39 |  |  | $ | – |
Less: Counterparty thresholds | – |  |  | – |
Maximum collateral potentially required to post | $ | 39 |  |  | $ | – |
Certain of our CDS agreements contain contractual provisions that allow for the netting of collateral with our counterparties related to all of our collateralized financing transactions that we have outstanding. If these netting agreements were not in place, our counterparties would have been required to post $1 million of collateral as of March 31, 2024. Credit Risk We are exposed to credit losses in the event of non-performance by our counterparties on various derivative contracts and reflect assumptions regarding the credit or non-performance risk. The non-performance risk is based upon assumptions for each counterparty’s credit spread over the estimated weighted average life of the counterparty exposure, less collateral held. As of March 31, 2024, the non-performance risk adjustment was zero. The credit risk associated with such agreements is minimized by entering into agreements with financial institutions with long-standing, superior performance records. Additionally, we maintain a policy of requiring derivative contracts to be governed by an International Swaps and Derivatives Association (“ISDA”) Master Agreement. We are required to maintain minimum ratings as a matter of routine practice in negotiating ISDA agreements. Under nearly all ISDA agreements, our insurance subsidiaries have agreed to maintain certain financial strength ratings. A downgrade below these levels could result in termination of derivative contracts, at which time any amounts payable by us would be dependent on the market value of the underlying derivative contracts. In certain transactions, we and the counterparty have entered into a credit support annex requiring either party to post collateral when net exposures exceed pre-determined thresholds. These thresholds vary by counterparty and credit rating. The amount of such exposure is essentially the net replacement cost or market value less collateral held for such agreements with each counterparty if the net market value is in our favor. We did not have any exposure as of March 31, 2024, or December 31, 2023. The amounts recognized (in millions) by S&P credit rating of counterparty, for which we had the right to reclaim cash collateral or were obligated to return cash collateral, were as follows:
| As of March 31, 2024 |  | As of December 31, 2023
S&P Credit Rating of Counterparty | Collateral Posted by Counter- Party (Held by LNC) |  | Collateral Posted by LNC (Held by Counter- Party) |  | Collateral Posted by Counter- Party (Held by LNC) |  | Collateral Posted by LNC (Held by Counter- Party)
AA- | $ | 3,403 |  |  | $ | (71) |  |  | $ | 2,378 |  |  | $ | (63) |
A+ | 2,929 |  |  | (43) |  |  | 2,496 |  |  | (125) |
A | 90 |  |  | – |  |  | 82 |  |  | – |
A- | 481 |  |  | – |  |  | 273 |  |  | – |
| $ | 6,903 |  |  | $ | (114) |  |  | $ | 5,229 |  |  | $ | (188) |
Balance Sheet Offsetting Information related to the effects of offsetting on the Consolidated Balance Sheets (in millions) was as follows:
| As of March 31, 2024
| Derivative Instruments |  | Embedded Derivative Instruments |  | Total
Financial Assets |  |  |  |  |
Gross amount of recognized assets | $ | 15,250 |  |  | $ | 973 |  |  | $ | 16,223 |
Gross amounts offset | (6,856) |  |  | – |  |  | (6,856) |
Net amount of assets | 8,394 |  |  | 973 |  |  | 9,367 |
Gross amounts not offset: |  |  |  |  |
Cash collateral | (6,903) |  |  | – |  |  | (6,903) |
Non-cash collateral (1) | (1,491) |  |  | – |  |  | (1,491) |
Net amount | $ | – |  |  | $ | 973 |  |  | $ | 973 |
Financial Liabilities |  |  |  |  |
Gross amount of recognized liabilities | $ | 273 |  |  | $ | 11,251 |  |  | $ | 11,524 |
Gross amounts offset | (87) |  |  | – |  |  | (87) |
Net amount of liabilities | 186 |  |  | 11,251 |  |  | 11,437 |
Gross amounts not offset: |  |  |  |  |
Cash collateral | (114) |  |  | – |  |  | (114) |
Non-cash collateral (2) | (72) |  |  | – |  |  | (72) |
Net amount | $ | – |  |  | $ | 11,251 |  |  | $ | 11,251 |
(1) Excludes excess non-cash collateral received of $1.4 billion, as the collateral offset is limited to the net estimated fair value of derivatives after application of netting arrangements. (2) Excludes excess non-cash collateral pledged of $89 million, as the collateral offset is limited to the net estimated fair value of derivatives after application of netting arrangements.
| As of December 31, 2023
| Derivative Instruments |  | Embedded Derivative Instruments |  | Total
Financial Assets |  |  |  |  |
Gross amount of recognized assets | $ | 10,927 |  |  | $ | 940 |  |  | $ | 11,867 |
Gross amounts offset | (4,453) |  |  | – |  |  | (4,453) |
Net amount of assets | 6,474 |  |  | 940 |  |  | 7,414 |
Gross amounts not offset: |  |  |  |  |
Cash collateral | (5,229) |  |  | – |  |  | (5,229) |
Non-cash collateral (1) | (1,245) |  |  | – |  |  | (1,245) |
Net amount | $ | – |  |  | $ | 940 |  |  | $ | 940 |
Financial Liabilities |  |  |  |  |
Gross amount of recognized liabilities | $ | 967 |  |  | $ | 9,629 |  |  | $ | 10,596 |
Gross amounts offset | (612) |  |  | – |  |  | (612) |
Net amount of liabilities | 355 |  |  | 9,629 |  |  | 9,984 |
Gross amounts not offset: |  |  |  |  |
Cash collateral | (188) |  |  | – |  |  | (188) |
Non-cash collateral (2) | (167) |  |  | – |  |  | (167) |
Net amount | $ | – |  |  | $ | 9,629 |  |  | $ | 9,629 |
(1) Excludes excess non-cash collateral received of $1.3 billion, as the collateral offset is limited to the net estimated fair value of derivatives after application of netting arrangements. (2) Excludes excess non-cash collateral pledged of $82 million, as the collateral offset is limited to the net estimated fair value of derivatives after application of netting arrangements.

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