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Derivatives (Tables)
 6 Months Ended
Jun. 30, 2014
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivatives Instruments Statements of Financial Performance and Financial Position, Location
The following table presents the gross notional amount, estimated fair value and primary underlying risk exposure of the Company’s derivatives, excluding embedded derivatives, held at:
 
 
 
 
June 30, 2014
 
December 31, 2013
 
 
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
 
$
6,213

 
$
1,653

 
$
30

 
$
6,419

 
$
1,282

 
$
78

Foreign currency swaps
 
Foreign currency exchange rate
 
1,780

 
229

 
31

 
2,713

 
252

 
135

Foreign currency forwards
 
Foreign currency exchange rate
 
2,825

 
4

 
4

 
2,935

 
—

 
77

Subtotal
 
 
 
10,818

 
1,886

 
65

 
12,067

 
1,534

 
290

Cash flow hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
Interest rate
 
2,878

 
266

 
17

 
3,121

 
83

 
141

Interest rate forwards
 
Interest rate
 
640

 
45

 
8

 
450

 
7

 
7

Foreign currency swaps
 
Foreign currency exchange rate
 
14,921

 
457

 
614

 
12,452

 
401

 
660

Subtotal
 
 
 
18,439

 
768

 
639

 
16,023

 
491

 
808

Foreign operations hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign currency forwards
 
Foreign currency exchange rate
 
2,725

 
1

 
19

 
3,182

 
82

 
47

Currency options
 
Foreign currency exchange rate
 
6,419

 
39

 
68

 
7,362

 
318

 
—

Subtotal
 
 
 
9,144

 
40

 
87

 
10,544

 
400

 
47

Total qualifying hedges
 
38,401

 
2,694

 
791

 
38,634

 
2,425

 
1,145

Derivatives Not Designated or Not Qualifying as Hedging Instruments
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
Interest rate
 
95,551

 
3,405

 
1,388

 
107,354

 
3,330

 
1,767

Interest rate floors
 
Interest rate
 
67,265

 
457

 
285

 
63,064

 
451

 
346

Interest rate caps
 
Interest rate
 
36,605

 
111

 
—

 
39,460

 
177

 
—

Interest rate futures
 
Interest rate
 
6,364

 
3

 
6

 
6,011

 
9

 
9

Interest rate options
 
Interest rate
 
39,361

 
524

 
179

 
40,978

 
255

 
243

Synthetic GICs
 
Interest rate
 
4,362

 
—

 
—

 
4,409

 
—

 
—

Foreign currency swaps
 
Foreign currency exchange rate
 
9,222

 
124

 
712

 
9,307

 
133

 
684

Foreign currency forwards
 
Foreign currency exchange rate
 
12,669

 
107

 
95

 
11,311

 
69

 
359

Currency futures
 
Foreign currency exchange rate
 
382

 
1

 
—

 
1,316

 
1

 
1

Currency options
 
Foreign currency exchange rate
 
8,389

 
155

 
7

 
2,265

 
53

 
48

Credit default swaps — purchased
 
Credit
 
3,675

 
6

 
49

 
3,725

 
7

 
51

Credit default swaps — written
 
Credit
 
9,982

 
175

 
2

 
9,055

 
166

 
1

Equity futures
 
Equity market
 
5,814

 
1

 
11

 
5,157

 
1

 
43

Equity options
 
Equity market
 
38,116

 
1,272

 
1,228

 
37,411

 
1,344

 
1,068

Variance swaps
 
Equity market
 
21,985

 
217

 
691

 
21,636

 
174

 
577

TRRs
 
Equity market
 
3,449

 
—

 
138

 
3,802

 
—

 
179

Total non-designated or non-qualifying derivatives
 
363,191

 
6,558

 
4,791

 
366,261

 
6,170

 
5,376

Total
 
 
 
$
401,592

 
$
9,252

 
$
5,582

 
$
404,895

 
$
8,595

 
$
6,521
Components of Net Derivatives Gains (Losses)
The components of net derivative gains (losses) were as follows:
 
Three Months 
 Ended 
 June 30,
 
Six Months 
 Ended 
 June 30,
 
2014
 
2013
 
2014
 
2013
 
(In millions)
Derivatives and hedging gains (losses) (1)
$
82

 
$
(2,769
)
 
$
534

 
$
(5,083
)
Embedded derivatives
229

 
1,079

 
120

 
2,763

Total net derivative gains (losses)
$
311

 
$
(1,690
)
 
$
654

 
$
(2,320
)
__________________
(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
The following table presents earned income on derivatives:
 
Three Months 
 Ended 
 June 30,
 
Six Months 
 Ended 
 June 30,
 
2014
 
2013
 
2014
 
2013
 
(In millions)
Qualifying hedges:
 
 
 
 
 
 
 
Net investment income
$
34

 
$
35

 
$
67

 
$
71

Interest credited to policyholder account balances
32

 
36

 
64

 
71

Other expenses
—

 
(1
)
 
(1
)
 
(4
)
Non-qualifying hedges:
 
 
 
 
 
 
 
Net investment income
(1
)
 
(2
)
 
(2
)
 
(3
)
Net derivative gains (losses)
149

 
200

 
368

 
215

Policyholder benefits and claims
(56
)
 
9

 
(64
)
 
(56
)
Total
$
158

 
$
277

 
$
432

 
$
294
Amount and location of gains (losses) recognized in income for derivatives that are not designated or qualifying as hedging instruments
The following table presents the amount and location of gains (losses) recognized in income for derivatives that were not designated or qualifying as hedging instruments:
 
Net
Derivative
Gains (Losses)
 
Net
Investment
Income (1)
 
Policyholder
Benefits and
Claims (2)
 
(In millions)
Three Months Ended June 30, 2014
 
 
 
 
 
Interest rate derivatives
$
305

 
$
—

 
$
10

Foreign currency exchange rate derivatives
(81
)
 
—

 
—

Credit derivatives — purchased
(7
)
 
(1
)
 
—

Credit derivatives — written
22

 
—

 
—

Equity derivatives
(425
)
 
(6
)
 
(119
)
Total
$
(186
)
 
$
(7
)
 
$
(109
)
Three Months Ended June 30, 2013
 
 
 
 
 
Interest rate derivatives
$
(2,128
)
 
$
—

 
$
(19
)
Foreign currency exchange rate derivatives
(533
)
 
—

 
—

Credit derivatives — purchased
1

 
(1
)
 
—

Credit derivatives — written
(5
)
 
—

 
—

Equity derivatives
(329
)
 
(4
)
 
(82
)
Total
$
(2,994
)
 
$
(5
)
 
$
(101
)
Six Months Ended June 30, 2014
 
 
 
 
 
Interest rate derivatives
$
603

 
$
—

 
$
22

Foreign currency exchange rate derivatives
(12
)
 
—

 
—

Credit derivatives — purchased
(6
)
 
—

 
—

Credit derivatives — written
13

 
—

 
—

Equity derivatives
(606
)
 
(12
)
 
(157
)
Total
$
(8
)
 
$
(12
)
 
$
(135
)
Six Months Ended June 30, 2013
 
 
 
 
 
Interest rate derivatives
$
(2,361
)
 
$
—

 
$
(17
)
Foreign currency exchange rate derivatives
(984
)
 
—

 
—

Credit derivatives — purchased
(5
)
 
(4
)
 
—

Credit derivatives — written
27

 
—

 
—

Equity derivatives
(1,882
)
 
(11
)
 
(356
)
Total
$
(5,205
)
 
$
(15
)
 
$
(373
)
__________________
(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.
Net derivatives gains (losses) recognized on fair value derivatives and the related hedged items
The Company recognizes gains and losses on derivatives and the related hedged items in fair value hedges within net derivative gains (losses). The following table presents the amount of such net derivative gains (losses):
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 June 30, 2014
 
 
Interest rate swaps:
 
Fixed maturity securities
 
$
(3
)
 
$
2

 
$
(1
)
 
 
Policyholder liabilities (1)
 
137

 
(131
)
 
6

Foreign currency swaps:
 
Foreign-denominated fixed maturity securities
 
(3
)
 
3

 
—

 
 
Foreign-denominated PABs (2)
 
1

 
(3
)
 
(2
)
Foreign currency forwards:
 
Foreign-denominated fixed maturity securities
 
6

 
(5
)
 
1

Total
 
$
138

 
$
(134
)
 
$
4

Three Months Ended June 30, 2013
 
 
 
 
 
 
Interest rate swaps:
 
Fixed maturity securities
 
$
30

 
$
(30
)
 
$
—

 
 
Policyholder liabilities (1)
 
(383
)
 
381

 
(2
)
Foreign currency swaps:
 
Foreign-denominated fixed maturity securities
 
13

 
(11
)
 
2

 
 
Foreign-denominated PABs (2)
 
(55
)
 
63

 
8

Foreign currency forwards:
 
Foreign-denominated fixed maturity securities
 
—

 
—

 
—

Total
 
$
(395
)
 
$
403

 
$
8

Six Months Ended June 30, 2014
 
 
Interest rate swaps:
 
Fixed maturity securities
 
$
(2
)
 
$
3

 
$
1

 
 
Policyholder liabilities (1)
 
346

 
(335
)
 
11

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

 
—

 
 
Foreign-denominated PABs (2)
 
(26
)
 
29

 
3

Foreign currency forwards:
 
Foreign-denominated fixed maturity securities
 
16

 
(14
)
 
2

Total
 
$
327

 
$
(310
)
 
$
17

Six Months Ended June 30, 2013
 
 
 
 
 
 
Interest rate swaps:
 
Fixed maturity securities
 
$
38

 
$
(38
)
 
$
—

 
 
Policyholder liabilities (1)
 
(536
)
 
533

 
(3
)
Foreign currency swaps:
 
Foreign-denominated fixed maturity securities
 
17

 
(16
)
 
1

 
 
Foreign-denominated PABs (2)
 
(194
)
 
196

 
2

Foreign currency forwards:
 
Foreign-denominated fixed maturity securities
 
—

 
—

 
—

Total
 
$
(675
)
 
$
675

 
$
—

__________________
(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
The following table presents the effects of derivatives in net investment hedging relationships on the consolidated statements of operations and comprehensive income (loss) and the consolidated statements of equity:
Derivatives in Net Investment Hedging Relationships (1), (2)
 
Amount of Gains (Losses) Deferred in AOCI
 (Effective Portion)
 
 
(In millions)
Three Months Ended June 30, 2014
 
 
Foreign currency forwards
 
$
(45
)
Currency options
 
(124
)
Total
 
$
(169
)
Three Months Ended June 30, 2013
 
 
Foreign currency forwards
 
$
85

Currency options
 
131

Total
 
$
216

Six Months Ended June 30, 2014
 
 
Foreign currency forwards
 
$
(79
)
Currency options
 
(238
)
Total
 
$
(317
)
Six Months Ended June 30, 2013
 
 
Foreign currency forwards
 
$
165

Currency options
 
221

Total
 
$
386


__________________
(1)
In May 2014, the Company sold its interest in MAL, which was a hedged item in a net investment hedging relationship. As a result, during both the three months and six months ended June 30, 2014, the Company released losses of $77 million from accumulated other comprehensive income (loss) into earnings upon the sale. See Note 3. During the three months and six months ended June 30, 2013, 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
The following table presents the estimated fair value, maximum amount of future payments and weighted average years to maturity of written credit default swaps at:
 
 
June 30, 2014
 
December 31, 2013
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)
 
$
9

 
$
605

 
2.4

 
$
10

 
$
545

 
2.6

Credit default swaps referencing indices
 
15

 
2,877

 
1.9

 
26

 
2,739

 
1.5

Subtotal
 
24

 
3,482

 
2.0

 
36

 
3,284

 
1.6

Baa
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps (corporate)
 
27

 
1,478

 
2.9

 
24

 
1,320

 
3.1

Credit default swaps referencing indices
 
89

 
4,635

 
4.7

 
73

 
4,071

 
4.7

Subtotal
 
116

 
6,113

 
4.3

 
97

 
5,391

 
4.3

Ba
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps (corporate)
 
—

 
15

 
3.1

 
—

 
5

 
3.8

Credit default swaps referencing indices
 
—

 
—

 
—

 
—

 
—

 
—

Subtotal
 
—

 
15

 
3.1

 
—

 
5

 
3.8

B
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps (corporate)
 
—

 
—

 
—

 
—

 
—

 
—

Credit default swaps referencing indices
 
33

 
372

 
4.9

 
32

 
375

 
4.9

Subtotal
 
33

 
372

 
4.9

 
32

 
375

 
4.9

Total
 
$
173

 
$
9,982

 
3.5

 
$
165

 
$
9,055

 
3.4

__________________
(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
The estimated fair values of the Company’s net derivative assets and net derivative liabilities after the application of master netting agreements and collateral were as follows at:
 
 
June 30, 2014
 
December 31, 2013
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)
 
$
9,151

 
$
5,281

 
$
8,537

 
$
6,367

OTC-cleared (1)
 
310

 
335

 
302

 
129

Exchange-traded
 
5

 
17

 
11

 
53

Total gross estimated fair value of derivatives (1)
 
9,466

 
5,633

 
8,850

 
6,549

Amounts offset on the consolidated balance sheets
 
—

 
—

 
—

 
—

Estimated fair value of derivatives presented on the consolidated balance sheets (1)
 
9,466

 
5,633

 
8,850

 
6,549

Gross amounts not offset on the consolidated balance sheets:
 
 
 
 
 
 
 
 
Gross estimated fair value of derivatives: (2)
 
 
 
 
 
 
 
 
OTC-bilateral
 
(4,134
)
 
(4,134
)
 
(4,631
)
 
(4,631
)
OTC-cleared
 
(195
)
 
(195
)
 
(122
)
 
(122
)
Exchange-traded
 
(3
)
 
(3
)
 
(5
)
 
(5
)
Cash collateral: (3)
 
 
 
 
 
 
 
 
OTC-bilateral
 
(1,960
)
 
(4
)
 
(1,679
)
 
(3
)
OTC-cleared
 
(115
)
 
(140
)
 
(169
)
 
(7
)
Exchange-traded
 
—

 
(13
)
 
—

 
(44
)
Securities collateral: (4)
 
 
 
 
 
 
 
 
OTC-bilateral
 
(2,891
)
 
(971
)
 
(2,105
)
 
(1,464
)
OTC-cleared
 
—

 
—

 
—

 
—

Exchange-traded
 
—

 
(1
)
 
—

 
(4
)
Net amount after application of master netting agreements and collateral
 
$
168

 
$
172

 
$
139

 
$
269

__________________
(1)
At June 30, 2014 and December 31, 2013, derivative assets include income or expense accruals reported in accrued investment income or in other liabilities of $214 million and $255 million, respectively, and derivative liabilities include income or expense accruals reported in accrued investment income or in other liabilities of $51 million and $28 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 on the balance sheet. 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 on the balance sheet. 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 June 30, 2014 and December 31, 2013, the Company received excess cash collateral of $63 million and $104 million, respectively, and provided excess cash collateral of $226 million and $236 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 balance sheet. Subject to certain constraints, the Company is permitted by contract to sell or repledge this collateral, but at June 30, 2014 none of the collateral had been sold or repledged. Securities collateral pledged by the Company is reported in fixed maturity securities on the balance sheet. 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 June 30, 2014 and December 31, 2013, the Company received excess securities collateral with an estimated fair value of $105 million and $238 million, respectively, for its OTC-bilateral derivatives, which are not included in the table above due to the foregoing limitation. At June 30, 2014 and December 31, 2013, the Company provided excess securities collateral with an estimated fair value of $74 million and $66 million, respectively, for its OTC-bilateral derivatives, and $130 million and $141 million, respectively, for its OTC-cleared derivatives, and $200 million and $81 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
The following table presents the effects of derivatives in cash flow hedging relationships on the consolidated statements of operations and comprehensive income (loss) and the consolidated statements of equity:
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 June 30, 2014
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
134

 
$
12

 
$
2

 
$
—

 
$
(5
)
Interest rate forwards
 
11

 
2

 
1

 
1

 
—

Foreign currency swaps
 
30

 
62

 
—

 
—

 
(1
)
Credit forwards
 
—

 
—

 
—

 
—

 
—

Total
 
$
175

 
$
76

 
$
3

 
$
1

 
$
(6
)
Three Months Ended June 30, 2013
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
(273
)
 
$
10

 
$
2

 
$
—

 
$
6

Interest rate forwards
 
(5
)
 
3

 
—

 
—

 
1

Foreign currency swaps
 
(30
)
 
(68
)
 
(1
)
 
—

 
2

Credit forwards
 
(3
)
 
—

 
1

 
—

 
—

Total
 
$
(311
)
 
$
(55
)
 
$
2

 
$
—

 
$
9

Six Months Ended June 30, 2014
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
362

 
$
27

 
$
4

 
$
—

 
$
—

Interest rate forwards
 
52

 
2

 
2

 
1

 
1

Foreign currency swaps
 
82

 
98

 
(1
)
 
1

 
(1
)
Credit forwards
 
—

 
—

 
—

 
—

 
—

Total
 
$
496

 
$
127

 
$
5

 
$
2

 
$
—

Six Months Ended June 30, 2013
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
(397
)
 
$
14

 
$
4

 
$
—

 
$
4

Interest rate forwards
 
(30
)
 
6

 
1

 
(1
)
 
1

Foreign currency swaps
 
57

 
(257
)
 
(2
)
 
—

 
6

Credit forwards
 
(3
)
 
—

 
1

 
—

 
—

Total
 
$
(373
)
 
$
(237
)
 
$
4

 
$
(1
)
 
$
11
Schedule of Derivative Instruments
The following table presents the estimated fair value of the Company’s OTC-bilateral derivatives that are in a net liability position after considering the effect of netting agreements, together with the estimated fair value and balance sheet location of the collateral pledged. The table also presents the incremental collateral that the Company would be required to provide if there was a one notch downgrade in the Company’s credit rating at the reporting date or if the Company’s credit rating sustained a downgrade to a level that triggered full overnight collateralization or termination of the derivative position at the reporting date. OTC-bilateral derivatives that are not subject to collateral agreements are excluded from this table.
 
 
 
 
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)
June 30, 2014
 
 
 
 
 
 
 
 
 
 
Derivatives subject to credit-contingent provisions
 
$
1,082

 
$
1,045

 
$
—

 
$
32

 
$
58

Derivatives not subject to credit-contingent provisions
 
24

 
—

 
4

 
—

 
—

Total
 
$
1,106

 
$
1,045

 
$
4

 
$
32

 
$
58

December 31, 2013
 
 
 
 
 
 
 
 
 
 
Derivatives subject to credit-contingent provisions
 
$
1,674

 
$
1,530

 
$
—

 
$
27

 
$
34

Derivatives not subject to credit-contingent provisions
 
20

 
—

 
3

 
—

 
—

Total
 
$
1,694

 
$
1,530

 
$
3

 
$
27

 
$
34

__________________
(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
The following table presents changes in estimated fair value related to embedded derivatives:
 
Three Months 
 Ended 
 June 30,
 
Six Months 
 Ended 
 June 30,
 
2014
 
2013
 
2014
 
2013
 
(In millions)
Net derivative gains (losses) (1)
$
229

 
$
1,079

 
$
120

 
$
2,763

Policyholder benefits and claims
$
8

 
$
(33
)
 
$
23

 
$
(80
)
__________________
(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 ($51) million and ($8) million for the three months and six months ended June 30, 2014, respectively, and ($236) million and ($650) million for the three months and six months ended June 30, 2013, respectively.
Schedule of Derivative Instruments
The following table presents the estimated fair value and balance sheet location of the Company’s embedded derivatives that have been separated from their host contracts at:
 
 
Balance Sheet Location
 
June 30, 2014
 
December 31, 2013
 
 
 
 
(In millions)
Net embedded derivatives within asset host contracts:
 
 
 
 
 
 
Ceded guaranteed minimum benefits
 
Premiums, reinsurance and other receivables
 
$
273

 
$
247

Funds withheld on assumed reinsurance
 
Other invested assets
 
55

 
38

Options embedded in debt or equity securities
 
Investments
 
(170
)
 
(145
)
Net embedded derivatives within asset host contracts
 
$
158

 
$
140

 
 
 
 
 
 
 
Net embedded derivatives within liability host contracts:
 
 
 
 
 
 
Direct guaranteed minimum benefits
 
PABs
 
$
(2,274
)
 
$
(2,296
)
Assumed guaranteed minimum benefits
 
PABs
 
1,461

 
1,262

Funds withheld on ceded reinsurance
 
Other liabilities
 
105

 
60

Other
 
PABs
 
24

 
5

Net embedded derivatives within liability host contracts
 
$
(684
)
 
$
(969
)