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Derivatives (Tables)
 9 Months Ended
Sep. 30, 2013
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivatives Instruments Statements of Financial Performance and Financial Position, Location
 
 
 
 
September 30, 2013
 
December 31, 2012
 
 
Primary Underlying Risk Exposure
 
Notional
Amount
 
Estimated Fair Value
 
Notional
Amount
 
Estimated Fair Value
 
 
Assets
 
Liabilities
 
Assets
 
Liabilities
 
 
 
 
(In millions)
Derivatives Designated as Hedging Instruments
 
 
 
 
 
 
 
 
 
 
 
 
Fair value hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
Interest rate
 
$
6,452

 
$
1,412

 
$
61

 
$
5,397

 
$
1,921

 
$
90

Foreign currency swaps
 
Foreign currency exchange rate
 
3,004

 
264

 
123

 
3,187

 
332

 
85

Subtotal
 
 
 
9,456

 
1,676

 
184

 
8,584

 
2,253

 
175

Cash flow hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
Interest rate
 
3,221

 
174

 
85

 
3,642

 
705

 
—

Interest rate forwards
 
Interest rate
 
495

 
21

 
—

 
675

 
139

 
—

Foreign currency swaps
 
Foreign currency exchange rate
 
11,813

 
329

 
541

 
9,038

 
219

 
355

Subtotal
 
 
 
15,529

 
524

 
626

 
13,355

 
1,063

 
355

Foreign operations hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign currency forwards
 
Foreign currency exchange rate
 
3,448

 
10

 
94

 
2,552

 
43

 
61

Currency options
 
Foreign currency exchange rate
 
5,769

 
161

 
11

 
4,375

 
43

 
3

Subtotal
 
 
 
9,217

 
171

 
105

 
6,927

 
86

 
64

Total qualifying hedges
 
34,202

 
2,371

 
915

 
28,866

 
3,402

 
594

Derivatives Not Designated or Not Qualifying as Hedging Instruments
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
Interest rate
 
112,153

 
3,584

 
1,671

 
83,250

 
5,201

 
2,043

Interest rate floors
 
Interest rate
 
63,064

 
587

 
456

 
56,246

 
1,174

 
837

Interest rate caps
 
Interest rate
 
34,960

 
157

 
—

 
49,465

 
74

 
—

Interest rate futures
 
Interest rate
 
7,217

 
3

 
7

 
11,684

 
1

 
38

Interest rate options
 
Interest rate
 
40,871

 
335

 
203

 
16,328

 
640

 
60

Synthetic GICs
 
Interest rate
 
4,406

 
—

 
—

 
4,162

 
—

 
—

Foreign currency swaps
 
Foreign currency exchange rate
 
8,626

 
143

 
641

 
8,208

 
199

 
736

Foreign currency forwards
 
Foreign currency exchange rate
 
11,873

 
70

 
143

 
9,202

 
26

 
288

Currency futures
 
Foreign currency exchange rate
 
1,334

 
2

 
—

 
1,408

 
4

 
—

Currency options
 
Foreign currency exchange rate
 
949

 
43

 
5

 
129

 
1

 
—

Credit default swaps — purchased
 
Credit
 
3,511

 
10

 
38

 
3,674

 
11

 
34

Credit default swaps — written
 
Credit
 
9,387

 
119

 
2

 
8,879

 
79

 
5

Equity futures
 
Equity market
 
5,430

 
30

 
4

 
7,008

 
14

 
132

Equity options
 
Equity market
 
37,374

 
1,699

 
823

 
22,920

 
2,825

 
356

Variance swaps
 
Equity market
 
21,961

 
147

 
530

 
19,830

 
122

 
310

Total rate of return swaps
 
Equity market
 
3,794

 
1

 
120

 
3,092

 
4

 
103

Total non-designated or non-qualifying derivatives
 
366,910

 
6,930

 
4,643

 
305,485

 
10,375

 
4,942

Total
 
 
 
$
401,112

 
$
9,301

 
$
5,558

 
$
334,351

 
$
13,777

 
$
5,536
Components of Net Derivatives Gains (Losses)
 
Three Months 
 Ended 
 September 30,
 
Nine Months 
 Ended 
 September 30,
 
2013
 
2012
 
2013
 
2012
 
(In millions)
Derivatives and hedging gains (losses) (1)
$
(1,444
)
 
$
(945
)
 
$
(6,527
)
 
$
(1,277
)
Embedded derivatives
898

 
227

 
3,661

 
673

Total net derivative gains (losses)
$
(546
)
 
$
(718
)
 
$
(2,866
)
 
$
(604
)
__________________
(1)
Includes foreign currency transaction gains (losses) on hedged items in cash flow and non-qualifying hedging relationships, which are not presented elsewhere in this note.
Earned Income On Derivatives And Income Statement Location
 
Three Months 
 Ended 
 September 30,
 
Nine Months 
 Ended 
 September 30,
 
2013
 
2012
 
2013
 
2012
 
(In millions)
Qualifying hedges:
 
 
 
 
 
 
 
Net investment income
$
31

 
$
27

 
$
102

 
$
82

Interest credited to policyholder account balances
39

 
39

 
110

 
122

Other expenses
(1
)
 
(2
)
 
(5
)
 
(4
)
Non-qualifying hedges:
 
 
 
 
 
 
 
Net investment income
(2
)
 
(1
)
 
(5
)
 
(4
)
Other revenues
—

 
11

 
—

 
44

Net derivative gains (losses)
62

 
109

 
277

 
338

Policyholder benefits and claims
(147
)
 
(52
)
 
(203
)
 
(62
)
Total
$
(18
)
 
$
131

 
$
276

 
$
516
Amount and location of gains (losses) recognized in income for derivatives that are not designated or qualifying as hedging instruments
 
Net
Derivative
Gains (Losses)
 
Net
Investment
Income (1)
 
Policyholder
Benefits and
Claims (2)
 
Other
Revenues (3)
 
(In millions)
Three Months Ended September 30, 2013:
 
 
 
 
 
 
 
Interest rate derivatives
$
(487
)
 
$
—

 
$
—

 
$
—

Foreign currency exchange rate derivatives
(259
)
 
—

 
—

 
—

Credit derivatives — purchased
(3
)
 
(5
)
 
—

 
—

Credit derivatives — written
45

 
1

 
—

 
—

Equity derivatives
(884
)
 
(11
)
 
(160
)
 
—

Total
$
(1,588
)
 
$
(15
)
 
$
(160
)
 
$
—

Three Months Ended September 30, 2012:
 
 
 
 
 
 
 
Interest rate derivatives
$
(251
)
 
$
—

 
$
—

 
$
30

Foreign currency exchange rate derivatives
(145
)
 
—

 
—

 
—

Credit derivatives — purchased
(91
)
 
(6
)
 
—

 
—

Credit derivatives — written
79

 
—

 
—

 
—

Equity derivatives
(679
)
 
2

 
(186
)
 
—

Total
$
(1,087
)
 
$
(4
)
 
$
(186
)
 
$
30

Nine Months Ended September 30, 2013:
 
 
 
 
 
 
 
Interest rate derivatives
$
(2,848
)
 
$
—

 
$
(17
)
 
$
—

Foreign currency exchange rate derivatives
(1,243
)
 
—

 
—

 
—

Credit derivatives — purchased
(8
)
 
(9
)
 
—

 
—

Credit derivatives — written
72

 
1

 
—

 
—

Equity derivatives
(2,766
)
 
(22
)
 
(516
)
 
—

Total
$
(6,793
)
 
$
(30
)
 
$
(533
)
 
$
—

Nine Months Ended September 30, 2012:
 
 
 
 
 
 
 
Interest rate derivatives
$
467

 
$
—

 
$
—

 
$
35

Foreign currency exchange rate derivatives
(167
)
 
—

 
—

 
—

Credit derivatives — purchased
(262
)
 
(13
)
 
—

 
—

Credit derivatives — written
130

 
—

 
—

 
—

Equity derivatives
(1,825
)
 
(6
)
 
(399
)
 
—

Total
$
(1,657
)
 
$
(19
)
 
$
(399
)
 
$
35

__________________
(1)
Changes in estimated fair value related to economic hedges of equity method investments in joint ventures; changes in estimated fair value related to derivatives held in relation to trading portfolios; and changes in estimated fair value related to derivatives held within contractholder-directed unit-linked investments.
(2)
Changes in estimated fair value related to economic hedges of variable annuity guarantees included in future policy benefits.
(3)
Changes in estimated fair value related to derivatives held in connection with the Company’s mortgage banking activities prior to the MetLife Bank Divestiture.
Net derivatives gains (losses) recognized on fair value derivatives and the related hedged items
Derivatives in Fair Value
Hedging Relationships
 
Hedged Items in Fair Value
Hedging Relationships
 
Net Derivative
Gains (Losses)
Recognized
for Derivatives
 
Net Derivative
Gains (Losses)
Recognized for
Hedged Items
 
Ineffectiveness
Recognized in
Net Derivative
Gains (Losses)
 
 
 
 
(In millions)
Three Months Ended September 30, 2013:
 
 
 
 
 
 
Interest rate swaps:
 
Fixed maturity securities
 
$
(3
)
 
$
3

 
$
—

 
 
Policyholder liabilities (1)
 
(102
)
 
105

 
3

Foreign currency swaps:
 
Foreign-denominated fixed maturity securities
 
(7
)
 
6

 
(1
)
 
 
Foreign-denominated PABs (2)
 
103

 
(100
)
 
3

Foreign currency forwards:    
 
Foreign-denominated fixed maturity securities
 
—

 
—

 
—

Total
 
$
(9
)
 
$
14

 
$
5

Three Months Ended September 30, 2012:
 
 
 
 
 
 
Interest rate swaps:
 
Fixed maturity securities
 
$
(9
)
 
$
7

 
$
(2
)
 
 
Policyholder liabilities (1)
 
(47
)
 
51

 
4

Foreign currency swaps:
 
Foreign-denominated fixed maturity securities
 
(2
)
 
2

 
—

 
 
Foreign-denominated PABs (2)
 
66

 
(68
)
 
(2
)
Foreign currency forwards:
 
Foreign-denominated fixed maturity securities
 
18

 
(19
)
 
(1
)
Total
 
$
26

 
$
(27
)
 
$
(1
)
Nine Months Ended September 30, 2013:
 
 
 
 
 
 
Interest rate swaps:
 
Fixed maturity securities
 
$
35

 
$
(35
)
 
$
—

 
 
Policyholder liabilities (1)
 
(638
)
 
638

 
—

Foreign currency swaps:
 
Foreign-denominated fixed maturity securities
 
10

 
(10
)
 
—

 
 
Foreign-denominated PABs (2)
 
(91
)
 
96

 
5

Foreign currency forwards:    
 
Foreign-denominated fixed maturity securities
 
—

 
—

 
—

Total
 
$
(684
)
 
$
689

 
$
5

Nine Months Ended September 30, 2012:
 
 
 
 
 
 
Interest rate swaps:
 
Fixed maturity securities
 
$
(13
)
 
$
10

 
$
(3
)
 
 
Policyholder liabilities (1)
 
67

 
(54
)
 
13

Foreign currency swaps:
 
Foreign-denominated fixed maturity securities
 
(1
)
 
1

 
—

 
 
Foreign-denominated PABs (2)
 
(10
)
 
(7
)
 
(17
)
Foreign currency forwards:
 
Foreign-denominated fixed maturity securities
 
11

 
(13
)
 
(2
)
Total
 
$
54

 
$
(63
)
 
$
(9
)
__________________
(1)
Fixed rate liabilities reported in PABs or future policy benefits.
(2)
Fixed rate or floating rate liabilities.
Derivatives and Non-Derivative Hedging Instruments in Net Investment Hedging Relationships
Derivatives in Net Investment Hedging Relationships (1), (2)
 
Amount of Gains (Losses) Deferred in AOCI
(Effective Portion)
 
 
(In millions)
Three Months Ended September 30, 2013:
 
 
Foreign currency forwards
 
$
(154
)
Currency options
 
(122
)
Total
 
$
(276
)
Three Months Ended September 30, 2012:
 
 
Foreign currency forwards
 
$
(54
)
Currency options
 
(24
)
Total
 
$
(78
)
Nine Months Ended September 30, 2013:
 
 
Foreign currency forwards
 
$
11

Currency options
 
99

Total
 
$
110

Nine Months Ended September 30, 2012:
 
 
Foreign currency forwards
 
$
(64
)
Currency options
 
(48
)
Total
 
$
(112
)

__________________
(1)
During the three months and nine months ended September 30, 2013 and 2012, there were no sales or substantial liquidations of net investments in foreign operations that would have required the reclassification of gains or losses from AOCI into earnings.
(2)
There was no ineffectiveness recognized for the Company’s hedges of net investments in foreign operations. All components of each derivative’s gain or loss were included in the assessment of hedge effectiveness.
Schedule of estimated fair value, maximum amount of future payments and weighted average years to maturity of written credit default swaps
 
 
September 30, 2013
 
December 31, 2012
Rating Agency Designation of Referenced
Credit Obligations (1)
 
Estimated
Fair Value
of Credit
Default
Swaps
 
Maximum
Amount
of Future
Payments under
Credit Default
Swaps (2)
 
Weighted
Average
Years to
Maturity (3)
 
Estimated
Fair Value
of Credit
Default
Swaps
 
Maximum
Amount
of Future
Payments under
Credit Default
Swaps (2)
 
Weighted
Average
Years to
Maturity (3)
 
 
(In millions)
 
 
 
(In millions)
 
 
Aaa/Aa/A
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps (corporate)
 
$
8

 
$
652

 
2.4
 
$
10

 
$
777

 
2.7
Credit default swaps referencing indices
 
28

 
2,814

 
1.5
 
42

 
2,713

 
2.1
Subtotal
 
36

 
3,466

 
1.6
 
52

 
3,490

 
2.2
Baa
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps (corporate)
 
20

 
1,645

 
3.5
 
8

 
1,314

 
3.4
Credit default swaps referencing indices
 
43

 
3,886

 
4.9
 
11

 
3,750

 
4.9
Subtotal
 
63

 
5,531

 
4.5
 
19

 
5,064

 
4.5
Ba
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps (corporate)
 
—

 
15

 
4.5
 
—

 
25

 
2.7
Credit default swaps referencing indices
 
—

 
—

 
0.0
 
—

 
—

 
0.0
Subtotal
 
—

 
15

 
4.5
 
—

 
25

 
2.7
B
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps (corporate)
 
—

 
—

 
0.0
 
—

 
—

 
0.0
Credit default swaps referencing indices
 
18

 
375

 
5.1
 
3

 
300

 
4.9
Subtotal
 
18

 
375

 
5.1
 
3

 
300

 
4.9
Total
 
$
117

 
$
9,387

 
3.4
 
$
74

 
$
8,879

 
3.6
__________________
(1)
The rating agency designations are based on availability and the midpoint of the applicable ratings among Moody’s Investors Service (“Moody’s”), Standard & Poor’s Ratings Services (“S&P”) and Fitch Ratings. If no rating is available from a rating agency, then an internally developed rating is used.
(2)
Assumes the value of the referenced credit obligations is zero.
(3)
The weighted average years to maturity of the credit default swaps is calculated based on weighted average notional amounts.
Estimated Fair Value of Derivative Assets and Liabilities after Master Netting Agreements and Cash Collateral
 
 
September 30, 2013
 
December 31, 2012
Derivatives Subject to a Master Netting Arrangement or a Similar Arrangement
 
Assets
 
Liabilities
 
Assets
 
Liabilities
 
 
(In millions)
Gross estimated fair value of derivatives:
 
 
 
 
 
 
 
 
OTC-bilateral (1)
 
$
9,252

 
$
5,443

 
$
14,048

 
$
5,480

OTC-cleared (1)
 
214

 
153

 
—

 
—

Exchange-traded
 
35

 
11

 
19

 
170

Total gross estimated fair value of derivatives (1)
 
9,501

 
5,607

 
14,067

 
5,650

Amounts offset in the consolidated balance sheets
 
—

 
—

 
—

 
—

Estimated fair value of derivatives presented in the consolidated balance sheets (1)
 
9,501

 
5,607

 
14,067

 
5,650

Gross amounts not offset in the consolidated balance sheets:
 
 
 
 
 
 
 
 
Gross estimated fair value of derivatives: (2)
 
 
 
 
 
 
 
 
OTC-bilateral
 
(4,308
)
 
(4,308
)
 
(4,562
)
 
(4,562
)
OTC-cleared
 
(147
)
 
(147
)
 
—

 
—

Exchange-traded
 
(7
)
 
(7
)
 
(19
)
 
(19
)
Cash collateral: (3)
 
 
 
 
 
 
 
 
OTC-bilateral
 
(2,336
)
 
(3
)
 
(5,960
)
 
(1
)
OTC-cleared
 
(67
)
 
(6
)
 
—

 
—

Exchange-traded
 
—

 
(4
)
 
—

 
(151
)
Securities collateral: (4)
 
 
 
 
 
 
 
 
OTC-bilateral
 
(2,299
)
 
(848
)
 
(3,526
)
 
(875
)
OTC-cleared
 
—

 
—

 
—

 
—

Exchange-traded
 
—

 
—

 
—

 
—

Net amount after application of master netting agreements and collateral
 
$
337

 
$
284

 
$
—

 
$
42

__________________
(1)
At September 30, 2013 and December 31, 2012, derivative assets include income or expense accruals reported in accrued investment income or in other liabilities of $200 million and $290 million, respectively, and derivative liabilities include income or expense accruals reported in accrued investment income or in other liabilities of $49 million and $114 million, respectively.
(2)
Estimated fair value of derivatives is limited to the amount that is subject to set-off and includes income or expense accruals.
(3)
Cash collateral received is included in cash and cash equivalents, short-term investments or in fixed maturity securities, and the obligation to return it is included in payables for collateral under securities loaned and other transactions in the consolidated balance sheets. The receivable for the return of cash collateral provided by the Company is inclusive of initial margin on exchange-traded and OTC-cleared derivatives and is included in premiums, reinsurance and other receivables in the consolidated balance sheets. The amount of cash collateral offset in the table above is limited to the net estimated fair value of derivatives after application of netting agreements. At September 30, 2013 and December 31, 2012, the Company received excess cash collateral of $47 million and $0, respectively, and provided excess cash collateral of $389 million and $290 million, respectively, which is not included in the table above due to the foregoing limitation.
(4)
Securities collateral received by the Company is held in separate custodial accounts and is not recorded on the consolidated balance sheets. Subject to certain constraints, the Company is permitted by contract to sell or repledge this collateral, but at September 30, 2013 none of the collateral had been sold or repledged. Securities collateral pledged by the Company is reported in fixed maturity securities in the consolidated balance sheets. Subject to certain constraints, the counterparties are permitted by contract to sell or repledge this collateral. The amount of securities collateral offset in the table above is limited to the net estimated fair value of derivatives after application of netting agreements and cash collateral. At September 30, 2013 and December 31, 2012, the Company received excess securities collateral of $202 million and $161 million, respectively, for its OTC-bilateral derivatives which are not included in the table above due to the foregoing limitation. At September 30, 2013 and December 31, 2012, the Company provided excess securities collateral of $169 million and $0, respectively, for its OTC-bilateral derivatives, $123 million and $0, respectively, for its OTC-cleared derivatives, and $39 million and $40 million, respectively, for its exchange-traded derivatives, which are not included in the table above due to the foregoing limitation.
Derivative Instruments, Gain (Loss) [Line Items]  
Schedule of Cash Flow Hedging Instruments, Statements of Financial Performance and Financial Position, Location
Derivatives in Cash Flow
Hedging Relationships
 
Amount of Gains
(Losses) Deferred in
AOCI on Derivatives
 
Amount and Location
of Gains (Losses)
Reclassified from
AOCI into Income (Loss)
 
Amount and Location
of Gains (Losses)
Recognized in Income (Loss)
on Derivatives
 
 
(Effective Portion)
 
(Effective Portion)
 
(Ineffective Portion)
 
 
 
 
Net Derivative
Gains (Losses)
 
Net Investment
Income
 
Other
Expenses
 
Net Derivative
Gains (Losses)
 
 
 
 
(In millions)
 
 
Three Months Ended September 30, 2013:
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
(110
)
 
$
3

 
$
2

 
$
—

 
$
(4
)
Interest rate forwards
 
(11
)
 
2

 
1

 
(1
)
 
—

Foreign currency swaps
 
(165
)
 
216

 
—

 
1

 
(2
)
Credit forwards
 
(1
)
 
—

 
—

 
—

 
—

Total
 
$
(287
)
 
$
221

 
$
3

 
$
—

 
$
(6
)
Three Months Ended September 30, 2012:
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
(93
)
 
$
2

 
$
2

 
$
1

 
$
—

Interest rate forwards
 
(16
)
 
—

 
—

 
(1
)
 
—

Foreign currency swaps
 
(215
)
 
(3
)
 
(1
)
 
—

 
(7
)
Credit forwards
 
—

 
—

 
—

 
—

 
—

Total
 
$
(324
)
 
$
(1
)
 
$
1

 
$
—

 
$
(7
)
Nine Months Ended September 30, 2013:
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
(507
)
 
$
17

 
$
6

 
$
—

 
$
—

Interest rate forwards
 
(41
)
 
8

 
2

 
(2
)
 
1

Foreign currency swaps
 
(108
)
 
(41
)
 
(2
)
 
1

 
4

Credit forwards
 
(4
)
 
—

 
1

 
—

 
—

Total
 
$
(660
)
 
$
(16
)
 
$
7

 
$
(1
)
 
$
5

Nine Months Ended September 30, 2012:
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
105

 
$
1

 
$
3

 
$
(2
)
 
$
—

Interest rate forwards
 
(4
)
 
—

 
1

 
(1
)
 
—

Foreign currency swaps
 
(105
)
 
2

 
(4
)
 
1

 
(6
)
Credit forwards
 
—

 
—

 
1

 
—

 
—

Total
 
$
(4
)
 
$
3

 
$
1

 
$
(2
)
 
$
(6
)
Schedule of Derivative Instruments
 
 
 
 
Estimated Fair Value of
Collateral Provided:
 
Fair Value of Incremental
Collateral Provided Upon:
 
 
Estimated
Fair Value of
Derivatives in Net
Liability Position (1)
 
Fixed Maturity
Securities
 
Cash
 
One Notch
Downgrade
in the
Company’s
Credit
Rating
 
Downgrade in the
Company’s Credit Rating
to a Level that Triggers
Full Overnight
Collateralization or
Termination of
the Derivative Position
 
 
(In millions)
September 30, 2013:
 
 
 
 
 
 
 
 
 
 
Derivatives subject to credit-contingent provisions
 
$
1,068

 
$
1,017

 
$
—

 
$
25

 
$
49

Derivatives not subject to credit-contingent provisions
 
12

 
—

 
5

 
—

 
—

Total
 
$
1,080

 
$
1,017

 
$
5

 
$
25

 
$
49

December 31, 2012:
 
 
 
 
 
 
 
 
 
 
Derivatives subject to credit-contingent provisions
 
$
771

 
$
775

 
$
—

 
$
35

 
$
73

Derivatives not subject to credit-contingent provisions
 
79

 
100

 
1

 
—

 
—

Total
 
$
850

 
$
875

 
$
1

 
$
35

 
$
73

__________________
(1)
After taking into consideration the existence of netting agreements.
Embedded Derivative Financial Instruments [Member]
  
Derivative Instruments, Gain (Loss) [Line Items]  
Schedule of Cash Flow Hedging Instruments, Statements of Financial Performance and Financial Position, Location
 
Three Months 
 Ended 
 September 30,
 
Nine Months 
 Ended 
 September 30,
 
2013
 
2012
 
2013
 
2012
 
(In millions)
Net derivative gains (losses) (1)
$
898

 
$
227

 
$
3,661

 
$
673

Policyholder benefits and claims
$
(30
)
 
$
(4
)
 
$
(110
)
 
$
(9
)
__________________
(1)
The valuation of guaranteed minimum benefits includes a nonperformance risk adjustment. The amounts included in net derivative gains (losses), in connection with this adjustment were ($145) million and ($795) million for the three months and nine months ended September 30, 2013, respectively, and ($534) million and ($1.2) billion for the three months and nine months ended September 30, 2012, respectively.
Schedule of Derivative Instruments
 
 
Balance Sheet Location
 
September 30, 2013
 
December 31, 2012
 
 
 
 
(In millions)
Net embedded derivatives within asset host contracts:
 
 
 
 
 
 
Ceded guaranteed minimum benefits
 
Premiums, reinsurance and other receivables
 
$
280

 
$
439

Funds withheld on assumed reinsurance
 
Other invested assets
 
42

 
66

Options embedded in debt or equity securities
 
Investments
 
(136
)
 
(88
)
Other
 
Other invested assets
 
—

 
1

Net embedded derivatives within asset host contracts
 
$
186

 
$
418

 
 
 
 
 
 
 
Net embedded derivatives within liability host contracts:
 
 
 
 
 
 
Direct guaranteed minimum benefits
 
PABs
 
$
(1,414
)
 
$
923

Assumed guaranteed minimum benefits
 
PABs
 
1,705

 
2,582

Funds withheld on ceded reinsurance
 
Other liabilities
 
84

 
162

Other
 
PABs
 
7

 
17

Net embedded derivatives within liability host contracts
 
$
382

 
$
3,684