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Derivatives (Tables)
 6 Months Ended
Jun. 30, 2016
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, 2016
 
December 31, 2015
 
 
Primary Underlying Risk Exposure
 
Gross
Notional
Amount
 
Estimated Fair Value
 
Gross
Notional
Amount
 
Estimated Fair Value
 
 
Assets
 
Liabilities
 
Assets
 
Liabilities
 
 
 
 
(In millions)
Derivatives Designated as Hedging Instruments:
 
 
 
 
 
 
 
 
 
 
 
 
Fair value hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
Interest rate
 
$
5,435

 
$
2,831

 
$
20

 
$
5,528

 
$
2,215

 
$
12

Foreign currency swaps
 
Foreign currency exchange rate
 
1,221

 
26

 
155

 
2,154

 
62

 
159

Foreign currency forwards
 
Foreign currency exchange rate
 
1,485

 
186

 
—

 
1,685

 
—

 
52

Subtotal
 
 
 
8,141

 
3,043

 
175

 
9,367

 
2,277

 
223

Cash flow hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
Interest rate
 
2,332

 
695

 
—

 
2,190

 
487

 
—

Interest rate forwards
 
Interest rate
 
1,610

 
56

 
2

 
105

 
23

 
—

Foreign currency swaps
 
Foreign currency exchange rate
 
26,256

 
2,326

 
1,767

 
23,661

 
1,303

 
1,803

Subtotal
 
 
 
30,198

 
3,077

 
1,769

 
25,956

 
1,813

 
1,803

Foreign operations hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign currency forwards
 
Foreign currency exchange rate
 
1,466

 
4

 
61

 
3,916

 
63

 
12

Currency options
 
Foreign currency exchange rate
 
8,246

 
16

 
199

 
7,569

 
205

 
36

Subtotal
 
 
 
9,712

 
20

 
260

 
11,485

 
268

 
48

Total qualifying hedges
 
48,051

 
6,140

 
2,204

 
46,808

 
4,358

 
2,074

Derivatives Not Designated or Not Qualifying as Hedging Instruments:
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
Interest rate
 
74,587

 
9,659

 
3,472

 
89,336

 
5,111

 
2,247

Interest rate floors
 
Interest rate
 
15,201

 
407

 
47

 
23,837

 
311

 
48

Interest rate caps
 
Interest rate
 
79,030

 
36

 
2

 
68,928

 
105

 
3

Interest rate futures
 
Interest rate
 
7,969

 
2

 
12

 
5,808

 
4

 
7

Interest rate options
 
Interest rate
 
23,156

 
2,417

 
1

 
30,234

 
1,177

 
30

Interest rate forwards
 
Interest rate
 
128

 
11

 
—

 
43

 
1

 
—

Interest rate total return swaps
 
Interest rate
 
2,775

 
172

 
—

 
—

 
—

 
—

Synthetic GICs
 
Interest rate
 
3,962

 
—

 
—

 
4,216

 
—

 
—

Foreign currency swaps
 
Foreign currency exchange rate
 
12,655

 
1,120

 
522

 
11,081

 
766

 
431

Foreign currency forwards
 
Foreign currency exchange rate
 
17,822

 
1,083

 
260

 
11,724

 
154

 
220

Currency futures
 
Foreign currency exchange rate
 
1,009

 
—

 
2

 
930

 
—

 
—

Currency options
 
Foreign currency exchange rate
 
6,137

 
218

 
6

 
9,590

 
466

 
189

Credit default swaps — purchased
 
Credit
 
1,823

 
16

 
37

 
1,870

 
28

 
34

Credit default swaps — written
 
Credit
 
11,183

 
106

 
10

 
10,311

 
78

 
13

Equity futures
 
Equity market
 
12,649

 
2

 
194

 
7,206

 
63

 
18

Equity index options
 
Equity market
 
55,075

 
1,906

 
1,218

 
55,682

 
1,542

 
1,041

Equity variance swaps
 
Equity market
 
23,608

 
209

 
682

 
23,437

 
195

 
636

Equity total return swaps
 
Equity market
 
4,001

 
59

 
35

 
3,803

 
47

 
58

Total non-designated or nonqualifying derivatives
 
352,770

 
17,423

 
6,500

 
358,036

 
10,048

 
4,975

Total
 
 
 
$
400,821

 
$
23,563

 
$
8,704

 
$
404,844

 
$
14,406

 
$
7,049

The following table presents earned income on derivatives:
 
 
Three Months 
 Ended 
 June 30,
 
Six Months 
 Ended 
 June 30,
 
 
2016
 
2015
 
2016
 
2015
 
 
(In millions)
Qualifying hedges:
 
 
 
 
 
 
 
 
Net investment income
 
$
73

 
$
45

 
$
130

 
$
103

Interest credited to policyholder account balances
 
1

 
13

 
7

 
15

Other expenses
 
(4
)
 
1

 
(6
)
 
(2
)
Nonqualifying hedges:
 
 
 
 
 
 
 
 
Net investment income
 
(1
)
 
(1
)
 
(1
)
 
(2
)
Net derivative gains (losses)
 
248

 
240

 
531

 
501

Policyholder benefits and claims
 
6

 
4

 
11

 
8

Total
 
$
323

 
$
302

 
$
672

 
$
623
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,
 
 
2016
 
2015
 
2016
 
2015
 
 
(In millions)
Freestanding derivatives and hedging gains (losses) (1)
 
$
2,525

 
$
(1,733
)
 
$
5,029

 
$
(885
)
Embedded derivatives gains (losses)
 
(4,624
)
 
821

 
(5,793
)
 
794

Total net derivative gains (losses)
 
$
(2,099
)
 
$
(912
)
 
$
(764
)
 
$
(91
)
__________________
(1)
Includes foreign currency transaction gains (losses) on hedged items in cash flow and nonqualifying hedging relationships, which are not presented elsewhere in this note.
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 not qualifying as hedging instruments:
 
 
Net
Derivative
Gains (Losses)
 
Net
Investment
Income (1)
 
Policyholder
Benefits and
Claims (2)
 
 
(In millions)
Three Months Ended June 30, 2016
 
 
 
 
 
 
Interest rate derivatives
 
$
1,657

 
$
—

 
$
55

Foreign currency exchange rate derivatives
 
1,196

 
—

 
(11
)
Credit derivatives — purchased
 
(22
)
 
(10
)
 
—

Credit derivatives — written
 
3

 
9

 
—

Equity derivatives
 
(213
)
 
(3
)
 
(65
)
Total
 
$
2,621

 
$
(4
)
 
$
(21
)
Three Months Ended June 30, 2015
 
 
 
 
 
 
Interest rate derivatives
 
$
(1,459
)
 
$
—

 
$
(18
)
Foreign currency exchange rate derivatives
 
(590
)
 
—

 
—

Credit derivatives — purchased
 
4

 
1

 
—

Credit derivatives — written
 
(34
)
 
—

 
—

Equity derivatives
 
(186
)
 
(3
)
 
(27
)
Total
 
$
(2,265
)
 
$
(2
)
 
$
(45
)
Six Months Ended June 30, 2016
 
 
 
 
 
 
Interest rate derivatives
 
$
3,629

 
$
—

 
$
97

Foreign currency exchange rate derivatives
 
1,719

 
—

 
(12
)
Credit derivatives — purchased
 
(27
)
 
—

 
—

Credit derivatives — written
 
(3
)
 
—

 
—

Equity derivatives
 
(260
)
 
(14
)
 
(33
)
Total
 
$
5,058

 
$
(14
)
 
$
52

Six Months Ended June 30, 2015
 
 
 
 
 
 
Interest rate derivatives
 
$
(907
)
 
$
—

 
$
(7
)
Foreign currency exchange rate derivatives
 
79

 
—

 
—

Credit derivatives — purchased
 
(7
)
 
—

 
—

Credit derivatives — written
 
(31
)
 
1

 
—

Equity derivatives
 
(648
)
 
(7
)
 
(126
)
Total
 
$
(1,514
)
 
$
(6
)
 
$
(133
)
__________________
(1)
Changes in estimated fair value related to economic hedges of equity method investments in joint ventures, derivatives held in relation to trading portfolios and 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, 2016
 
 
Interest rate swaps:
 
Fixed maturity securities
 
$
(3
)
 
$
—

 
$
(3
)
 
 
Policyholder liabilities (1)
 
197

 
(200
)
 
(3
)
Foreign currency swaps:
 
Foreign-denominated fixed maturity securities
 
7

 
(8
)
 
(1
)
 
 
Foreign-denominated policyholder account balances (2)
 
(51
)
 
48

 
(3
)
Foreign currency forwards:
 
Foreign-denominated fixed maturity securities
 
137

 
(126
)
 
11

Total
 
$
287

 
$
(286
)
 
$
1

Three Months Ended June 30, 2015
 
 
 
 
 
 
Interest rate swaps:
 
Fixed maturity securities
 
$
4

 
$
(2
)
 
$
2

 
 
Policyholder liabilities (1)
 
(366
)
 
362

 
(4
)
Foreign currency swaps:
 
Foreign-denominated fixed maturity securities
 
(3
)
 
5

 
2

 
 
Foreign-denominated policyholder account balances (2)
 
110

 
(112
)
 
(2
)
Foreign currency forwards:
 
Foreign-denominated fixed maturity securities
 
(81
)
 
74

 
(7
)
Total
 
$
(336
)
 
$
327

 
$
(9
)
Six Months Ended June 30, 2016
 
 
Interest rate swaps:
 
Fixed maturity securities
 
$
(11
)
 
$
7

 
$
(4
)
 
 
Policyholder liabilities (1)
 
543

 
(548
)
 
(5
)
Foreign currency swaps:
 
Foreign-denominated fixed maturity securities
 
6

 
(6
)
 
—

 
 
Foreign-denominated policyholder account balances (2)
 
(26
)
 
23

 
(3
)
Foreign currency forwards:
 
Foreign-denominated fixed maturity securities
 
276

 
(254
)
 
22

Total
 
$
788

 
$
(778
)
 
$
10

Six Months Ended June 30, 2015
 
 
 
 
 
 
Interest rate swaps:
 
Fixed maturity securities
 
$
(1
)
 
$
5

 
$
4

 
 
Policyholder liabilities (1)
 
(169
)
 
164

 
(5
)
Foreign currency swaps:
 
Foreign-denominated fixed maturity securities
 
7

 
(3
)
 
4

 
 
Foreign-denominated policyholder account balances (2)
 
(139
)
 
133

 
(6
)
Foreign currency forwards:
 
Foreign-denominated fixed maturity securities
 
(98
)
 
90

 
(8
)
Total
 
$
(400
)
 
$
389

 
$
(11
)
__________________
(1)
Fixed rate liabilities reported in policyholder account balances 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, 2016
 
 
Foreign currency forwards
 
$
(104
)
Currency options
 
(146
)
Total
 
$
(250
)
Three Months Ended June 30, 2015
 
 
Foreign currency forwards
 
$
45

Currency options
 
(2
)
Total
 
$
43

Six Months Ended June 30, 2016
 
 
Foreign currency forwards
 
$
(335
)
Currency options
 
(314
)
Total
 
$
(649
)
Six Months Ended June 30, 2015
 
 
Foreign currency forwards
 
$
156

Currency options
 
(43
)
Total
 
$
113


__________________
(1)
During both the three months and six months ended June 30, 2016 and 2015, 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, 2016
 
December 31, 2015
Rating Agency Designation of Referenced
Credit Obligations (1)
 
Estimated
Fair Value
of Credit
Default
Swaps
 
Maximum
Amount of Future
Payments under
Credit Default
Swaps
 
Weighted
Average
Years to
Maturity (2)
 
Estimated
Fair Value
of Credit
Default
Swaps
 
Maximum
Amount of Future
Payments under
Credit Default
Swaps
 
Weighted
Average
Years to
Maturity (2)
 
 
(Dollars in millions)
Aaa/Aa/A
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps (corporate)
 
$
5

 
$
529

 
3.2

 
$
6

 
$
661

 
2.5

Credit default swaps referencing indices
 
14

 
1,936

 
3.7

 
6

 
1,635

 
3.4

Subtotal
 
19

 
2,465

 
3.6

 
12

 
2,296

 
3.2

Baa
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps (corporate)
 
5

 
956

 
2.4

 
8

 
1,349

 
2.5

Credit default swaps referencing indices
 
66

 
7,471

 
4.9

 
37

 
5,863

 
4.8

Subtotal
 
71

 
8,427

 
4.6

 
45

 
7,212

 
4.4

Ba
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps (corporate)
 
(1
)
 
60

 
1.7

 
(2
)
 
64

 
2.3

Credit default swaps referencing indices
 
—

 
100

 
0.5

 
(1
)
 
100

 
1.0

Subtotal
 
(1
)
 
160

 
0.9

 
(3
)
 
164

 
1.5

B
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps (corporate)
 
—

 
—

 
—

 
—

 
—

 
—

Credit default swaps referencing indices
 
7

 
131

 
4.1

 
11

 
639

 
4.9

Subtotal
 
7

 
131

 
4.1

 
11

 
639

 
4.9

Total
 
$
96

 
$
11,183

 
4.3

 
$
65

 
$
10,311

 
4.1

__________________
(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)
The weighted average years to maturity of the credit default swaps is calculated based on weighted average gross 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, 2016
 
December 31, 2015
Derivatives Subject to a Master Netting Arrangement or a Similar Arrangement (6)
 
Assets
 
Liabilities
 
Assets
 
Liabilities
 
 
(In millions)
Gross estimated fair value of derivatives:
 
 
 
 
 
 
 
 
OTC-bilateral (1)
 
$
19,961

 
$
6,710

 
$
13,017

 
$
5,848

OTC-cleared (1)
 
3,836

 
1,801

 
1,600

 
1,217

Exchange-traded
 
4

 
208

 
67

 
25

Total gross estimated fair value of derivatives (1)
 
23,801

 
8,719

 
14,684

 
7,090

Amounts offset on the consolidated balance sheets
 
—

 
—

 
—

 
—

Estimated fair value of derivatives presented on the consolidated balance sheets (1)
 
23,801

 
8,719

 
14,684

 
7,090

Gross amounts not offset on the consolidated balance sheets:
 
 
 
 
 
 
 
 
Gross estimated fair value of derivatives: (2)
 
 
 
 
 
 
 
 
OTC-bilateral
 
(5,279
)
 
(5,279
)
 
(4,368
)
 
(4,368
)
OTC-cleared
 
(1,788
)
 
(1,788
)
 
(1,200
)
 
(1,200
)
Exchange-traded
 
(1
)
 
(1
)
 
(1
)
 
(1
)
Cash collateral: (3), (4)
 
 
 
 
 
 
 
 
OTC-bilateral
 
(11,291
)
 
—

 
(6,140
)
 
(7
)
OTC-cleared
 
(1,658
)
 
—

 
(378
)
 
(10
)
Exchange-traded
 
—

 
(107
)
 
—

 
(20
)
Securities collateral: (5)
 
 
 
 
 
 
 
 
OTC-bilateral
 
(3,109
)
 
(1,332
)
 
(2,078
)
 
(1,395
)
OTC-cleared
 
—

 
—

 
—

 
—

Exchange-traded
 
—

 
(97
)
 
—

 
(3
)
Net amount after application of master netting agreements and collateral
 
$
675

 
$
115

 
$
519

 
$
86

__________________
(1)
At June 30, 2016 and December 31, 2015, derivative assets included income or expense accruals reported in accrued investment income or in other liabilities of $238 million and $278 million, respectively, and derivative liabilities included income or expense accruals reported in accrued investment income or in other liabilities of $15 million and $41 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 by the Company for OTC-bilateral and OTC-cleared derivatives 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.
(4)
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, 2016 and December 31, 2015, the Company received excess cash collateral of $792 million and $89 million, respectively, and provided excess cash collateral of $305 million and $204 million, respectively, which is not included in the table above due to the foregoing limitation.
(5)
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 re-pledge this collateral, but at June 30, 2016, none of the collateral had been sold or re-pledged. 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 re-pledge 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, 2016 and December 31, 2015, the Company received excess securities collateral with an estimated fair value of $336 million and $100 million, respectively, for its OTC-bilateral derivatives, which are not included in the table above due to the foregoing limitation. At June 30, 2016 and December 31, 2015, the Company provided excess securities collateral with an estimated fair value of $179 million and $150 million, respectively, for its OTC-bilateral derivatives, and $419 million and $315 million, respectively, for its OTC-cleared derivatives, and $343 million and $224 million, respectively, for its exchange-traded derivatives, which are not included in the table above due to the foregoing limitation.
(6)
See Note 6 for information regarding the Company’s gross and net payables and receivables under repurchase agreement transactions.
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, 2016
 
December 31, 2015
Derivatives Subject to a Master Netting Arrangement or a Similar Arrangement (6)
 
Assets
 
Liabilities
 
Assets
 
Liabilities
 
 
(In millions)
Gross estimated fair value of derivatives:
 
 
 
 
 
 
 
 
OTC-bilateral (1)
 
$
19,961

 
$
6,710

 
$
13,017

 
$
5,848

OTC-cleared (1)
 
3,836

 
1,801

 
1,600

 
1,217

Exchange-traded
 
4

 
208

 
67

 
25

Total gross estimated fair value of derivatives (1)
 
23,801

 
8,719

 
14,684

 
7,090

Amounts offset on the consolidated balance sheets
 
—

 
—

 
—

 
—

Estimated fair value of derivatives presented on the consolidated balance sheets (1)
 
23,801

 
8,719

 
14,684

 
7,090

Gross amounts not offset on the consolidated balance sheets:
 
 
 
 
 
 
 
 
Gross estimated fair value of derivatives: (2)
 
 
 
 
 
 
 
 
OTC-bilateral
 
(5,279
)
 
(5,279
)
 
(4,368
)
 
(4,368
)
OTC-cleared
 
(1,788
)
 
(1,788
)
 
(1,200
)
 
(1,200
)
Exchange-traded
 
(1
)
 
(1
)
 
(1
)
 
(1
)
Cash collateral: (3), (4)
 
 
 
 
 
 
 
 
OTC-bilateral
 
(11,291
)
 
—

 
(6,140
)
 
(7
)
OTC-cleared
 
(1,658
)
 
—

 
(378
)
 
(10
)
Exchange-traded
 
—

 
(107
)
 
—

 
(20
)
Securities collateral: (5)
 
 
 
 
 
 
 
 
OTC-bilateral
 
(3,109
)
 
(1,332
)
 
(2,078
)
 
(1,395
)
OTC-cleared
 
—

 
—

 
—

 
—

Exchange-traded
 
—

 
(97
)
 
—

 
(3
)
Net amount after application of master netting agreements and collateral
 
$
675

 
$
115

 
$
519

 
$
86

__________________
(1)
At June 30, 2016 and December 31, 2015, derivative assets included income or expense accruals reported in accrued investment income or in other liabilities of $238 million and $278 million, respectively, and derivative liabilities included income or expense accruals reported in accrued investment income or in other liabilities of $15 million and $41 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 by the Company for OTC-bilateral and OTC-cleared derivatives 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.
(4)
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, 2016 and December 31, 2015, the Company received excess cash collateral of $792 million and $89 million, respectively, and provided excess cash collateral of $305 million and $204 million, respectively, which is not included in the table above due to the foregoing limitation.
(5)
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 re-pledge this collateral, but at June 30, 2016, none of the collateral had been sold or re-pledged. 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 re-pledge 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, 2016 and December 31, 2015, the Company received excess securities collateral with an estimated fair value of $336 million and $100 million, respectively, for its OTC-bilateral derivatives, which are not included in the table above due to the foregoing limitation. At June 30, 2016 and December 31, 2015, the Company provided excess securities collateral with an estimated fair value of $179 million and $150 million, respectively, for its OTC-bilateral derivatives, and $419 million and $315 million, respectively, for its OTC-cleared derivatives, and $343 million and $224 million, respectively, for its exchange-traded derivatives, which are not included in the table above due to the foregoing limitation.
(6)
See Note 6 for information regarding the Company’s gross and net payables and receivables under repurchase agreement transactions.
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, 2016
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
140

 
$
18

 
$
4

 
$
—

 
$
1

Interest rate forwards
 
38

 
(1
)
 
2

 
1

 
—

Foreign currency swaps
 
622

 
(269
)
 
(1
)
 
—

 
4

Credit forwards
 
—

 
3

 
—

 
—

 
—

Total
 
$
800

 
$
(249
)
 
$
5

 
$
1

 
$
5

Three Months Ended June 30, 2015
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
(269
)
 
$
7

 
$
3

 
$
—

 
$
(1
)
Interest rate forwards
 
(20
)
 
1

 
1

 
—

 
—

Foreign currency swaps
 
(106
)
 
290

 
(1
)
 
1

 
(2
)
Credit forwards
 
—

 
—

 
1

 
—

 
—

Total
 
$
(395
)
 
$
298

 
$
4

 
$
1

 
$
(3
)
Six Months Ended June 30, 2016
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
353

 
$
28

 
$
7

 
$
—

 
$
—

Interest rate forwards
 
47

 
1

 
3

 
1

 
—

Foreign currency swaps
 
1,096

 
37

 
(1
)
 
1

 
2

Credit forwards
 
—

 
3

 
—

 
—

 
—

Total
 
$
1,496

 
$
69

 
$
9

 
$
2

 
$
2

Six Months Ended June 30, 2015
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
(95
)
 
$
12

 
$
6

 
$
—

 
$
2

Interest rate forwards
 
(5
)
 
4

 
2

 
1

 
—

Foreign currency swaps
 
(108
)
 
(277
)
 
(1
)
 
1

 
2

Credit forwards
 
—

 
—

 
1

 
—

 
—

Total
 
$
(208
)
 
$
(261
)
 
$
8

 
$
2

 
$
4
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 MetLife, Inc. would be required to provide if there was a one-notch downgrade in MetLife, Inc.’s senior unsecured debt rating at the reporting date or if the Company’s credit or financial strength rating, as applicable, 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.
 
 
June 30, 2016
 
December 31, 2015
 
 
Derivatives
Subject to
Credit-
Contingent
Provisions
 
Derivatives
Not Subject
to Credit-
Contingent
Provisions
 
Total
 
Derivatives
Subject to
Credit-
Contingent
Provisions
 
Derivatives
Not Subject
to Credit-
Contingent
Provisions
 
Total
 
 
(In millions)
Estimated Fair Value of Derivatives in a Net Liability Position (1)
 
$
1,395

 
$
34

 
$
1,429

 
$
1,270

 
$
207

 
$
1,477

Estimated Fair Value of Collateral Provided:
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturity securities
 
$
1,449

 
$
51

 
$
1,500

 
$
1,365

 
$
174

 
$
1,539

Cash
 
$
—

 
$
—

 
$
—

 
$
4

 
$
4

 
$
8

Estimated Fair Value of Incremental Collateral Provided Upon:
 
 
 
 
 

 
 
 
 
 

One-notch downgrade in the Company’s credit or financial strength rating, as applicable
 
$
1

 
$
—

 
$
1

 
$
1

 
$
—

 
$
1

Downgrade in the Company’s credit or financial strength rating, as applicable, to a level that triggers full overnight collateralization or termination of the derivative position
 
$
1

 
$
—

 
$
1

 
$
1

 
$
—

 
$
1

__________________
(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,
 
 
2016
 
2015
 
2016
 
2015
 
 
(In millions)
Net derivative gains (losses) (1)
 
$
(4,624
)
 
$
821

 
$
(5,793
)
 
$
794

Policyholder benefits and claims
 
$
60

 
$
(43
)
 
$
105

 
$
(19
)
__________________
(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 $1.1 billion and $1.5 billion for the three months and six months ended June 30, 2016, respectively, and ($100) million and ($31) million for the three months and six months ended June 30, 2015, 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, 2016
 
December 31, 2015
 
 
 
 
(In millions)
Net embedded derivatives within asset host contracts:
 
 
 
 
 
 
Ceded guaranteed minimum benefits
 
Premiums, reinsurance and other receivables
 
$
544

 
$
356

Funds withheld on assumed reinsurance
 
Other invested assets
 
64

 
35

Options embedded in debt or equity securities
 
Investments
 
(257
)
 
(220
)
Net embedded derivatives within asset host contracts
 
$
351

 
$
171

Net embedded derivatives within liability host contracts:
 
 
 
 
 
 
Direct guaranteed minimum benefits
 
Policyholder account balances and Future policy benefits
 
$
5,582

 
$
(20
)
Assumed guaranteed minimum benefits
 
Policyholder account balances
 
1,748

 
965

Funds withheld on ceded reinsurance
 
Other liabilities
 
76

 
(14
)
Other
 
Policyholder account balances
 
6

 
4

Net embedded derivatives within liability host contracts
 
$
7,412

 
$
935