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Derivatives (Tables)
 6 Months Ended
Jun. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Primary Risks Managed by Derivatives
The following table presents the primary underlying risk exposure, gross notional amount and estimated fair value of the Company’s derivatives, excluding embedded derivatives, held at:
June 30, 2021December 31, 2020
Primary Underlying Risk ExposureGross
Notional
Amount		Estimated Fair ValueGross
Notional
Amount		Estimated Fair Value
AssetsLiabilitiesAssetsLiabilities
(In millions)
Derivatives Designated as Hedging Instruments:
Fair value hedges:
Interest rate swapsInterest rate$3,581 $2,165 $3 $3,186 $3,224 $4 
Foreign currency swapsForeign currency exchange rate908 6 59 1,106 8 78 
Foreign currency forwardsForeign currency exchange rate1,736 — 77 1,936 24 — 
Subtotal6,225 2,171 139 6,228 3,256 82 
Cash flow hedges:
Interest rate swapsInterest rate4,480 25 — 4,750 44 — 
Interest rate forwardsInterest rate7,234 75 183 7,377 513 120 
Foreign currency swapsForeign currency exchange rate40,972 1,358 1,712 38,604 1,549 2,017 
Subtotal52,686 1,458 1,895 50,731 2,106 2,137 
Net investment in a foreign operation (“NIFO”) hedges:
Foreign currency forwardsForeign currency exchange rate341 8 — 164 — 3 
Currency optionsForeign currency exchange rate3,000 113 — 3,600 70 — 
Subtotal3,341 121 — 3,764 70 3 
Total qualifying hedges62,252 3,750 2,034 60,723 5,432 2,222 
Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate swapsInterest rate43,920 3,923 64 49,561 3,683 38 
Interest rate floorsInterest rate12,201 241 — 12,701 350 — 
Interest rate capsInterest rate76,614 63 — 40,730 13 — 
Interest rate futuresInterest rate2,427 — 4 1,498 — 2 
Interest rate optionsInterest rate13,342 541 25 17,746 502 5 
Interest rate forwardsInterest rate309 — 37 351 — 10 
Interest rate total return swapsInterest rate1,048 15 22 1,048 — 59 
Synthetic GICsInterest rate37,773 — — 38,646 — — 
Foreign currency swapsForeign currency exchange rate12,667 624 591 13,265 603 693 
Foreign currency forwardsForeign currency exchange rate14,810 119 569 15,643 209 310 
Currency futuresForeign currency exchange rate869 — 4 914 3 — 
Currency optionsForeign currency exchange rate900 — — 1,350 — — 
Credit default swaps — purchasedCredit2,999 12 115 2,978 9 121 
Credit default swaps — writtenCredit9,216 192 6 9,609 196 — 
Equity futuresEquity market4,227 9 9 5,427 14 38 
Equity index optionsEquity market30,947 853 478 22,954 834 437 
Equity variance swapsEquity market716 17 15 716 15 12 
Equity total return swapsEquity market2,554 2 55 3,294 3 282 
Total non-designated or nonqualifying derivatives267,539 6,611 1,994 238,431 6,434 2,007 
Total$329,791 $10,361 $4,028 $299,154 $11,866 $4,229 
The Effects of Derivatives on the Interim Condensed Consolidated Statements of Operations and Comprehensive Income (Loss) The following table presents the interim condensed consolidated financial statement location and amount of gain (loss) recognized on fair value, cash flow, NIFO, nonqualifying hedging relationships and embedded derivatives:
Three Months Ended June 30, 2021
Net
Investment
Income
Net
Investment
Gains
(Losses)
Net
Derivative
Gains
(Losses)
Policyholder
Benefits and
Claims
Interest
Credited to
Policyholder
Account
Balances
Other
Expenses
OCI
(In millions)
Gain (Loss) on Fair Value Hedges:
Interest rate derivatives:
Derivatives designated as hedging instruments (1)$— $— $— $237 $— $— N/A
Hedged items1 — — (242)— — N/A
Foreign currency exchange rate derivatives:
Derivatives designated as hedging instruments (1)(1)(7)— — — — N/A
Hedged items1 7 — — — — N/A
Amount excluded from the assessment of hedge effectiveness— (2)— — — — N/A
Subtotal
1 (2)— (5)— — N/A
Gain (Loss) on Cash Flow Hedges:
Interest rate derivatives: (1)
Amount of gains (losses) deferred in AOCIN/AN/AN/AN/AN/AN/A$510 
Amount of gains (losses) reclassified from AOCI into income15 19 — — — — (34)
Foreign currency exchange rate derivatives: (1)
Amount of gains (losses) deferred in AOCIN/AN/AN/AN/AN/AN/A322 
Amount of gains (losses) reclassified from AOCI into income1 95 — — — 1 (97)
Foreign currency transaction gains (losses) on hedged items— (95)— — — — — 
Credit derivatives: (1)
Amount of gains (losses) deferred in AOCIN/AN/AN/AN/AN/AN/A(4)
Amount of gains (losses) reclassified from AOCI into income— — — — — — — 
Subtotal
16 19 — — — 1 697 
Gain (Loss) on NIFO Hedges:
Foreign currency exchange rate derivatives (1)N/AN/AN/AN/AN/AN/A17 
Non-derivative hedging instrumentsN/AN/AN/AN/AN/AN/A2 
Subtotal
N/AN/AN/AN/AN/AN/A19 
Gain (Loss) on Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate derivatives (1)— — 636 8 — — N/A
Foreign currency exchange rate derivatives (1)— — (123)— — — N/A
Credit derivatives — purchased (1)— — (7)— — — N/A
Credit derivatives — written (1)— — 30 — — — N/A
Equity derivatives (1)(15)— (363)(103)— — N/A
Foreign currency transaction gains (losses) on hedged items— — 7 — — — N/A
Subtotal
(15)— 180 (95)— — N/A
Earned income on derivatives27 — 245 52 (38)— — 
Embedded derivatives (2)N/AN/A(4)— N/AN/AN/A
Total
$29 $17 $421 $(48)$(38)$1 $716 
Three Months Ended June 30, 2020
Net
Investment
Income
Net
Investment
Gains
(Losses)
Net
Derivative
Gains
(Losses)
Policyholder
Benefits and
Claims
Interest
Credited to
Policyholder
Account
Balances
Other
Expenses
OCI
(In millions)
Gain (Loss) on Fair Value Hedges:
Interest rate derivatives:
Derivatives designated as hedging instruments (1)$(1)$— $— $(31)$— $— N/A
Hedged items4 — — 17 — — N/A
Foreign currency exchange rate derivatives:
Derivatives designated as hedging instruments (1)(5)2 — — — — N/A
Hedged items5 (3)— — — — N/A
Amount excluded from the assessment of hedge effectiveness— (14)— — — — N/A
Subtotal
3 (15)— (14)— — N/A
Gain (Loss) on Cash Flow Hedges:
Interest rate derivatives: (1)
Amount of gains (losses) deferred in AOCIN/AN/AN/AN/AN/AN/A$(108)
Amount of gains (losses) reclassified from AOCI into income9 42 — — — — (51)
Foreign currency exchange rate derivatives: (1)
Amount of gains (losses) deferred in AOCIN/AN/AN/AN/AN/AN/A(445)
Amount of gains (losses) reclassified from AOCI into income1 287 — — — 1 (289)
Foreign currency transaction gains (losses) on hedged items— (250)— — — — — 
Credit derivatives: (1)
Amount of gains (losses) deferred in AOCIN/AN/AN/AN/AN/AN/A(86)
Amount of gains (losses) reclassified from AOCI into income— — — — — — — 
Subtotal
10 79 — — — 1 (979)
Gain (Loss) on NIFO Hedges:
Foreign currency exchange rate derivatives (1)N/AN/AN/AN/AN/AN/A(11)
Non-derivative hedging instrumentsN/AN/AN/AN/AN/AN/A(1)
Subtotal
N/AN/AN/AN/AN/AN/A(12)
Gain (Loss) on Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate derivatives (1)(2)— (212)19 — — N/A
Foreign currency exchange rate derivatives (1)— — (132)(1)— — N/A
Credit derivatives — purchased (1)— — (61)— — — N/A
Credit derivatives — written (1)— — 162 — — — N/A
Equity derivatives (1)— — (1,043)(99)— — N/A
Foreign currency transaction gains (losses) on hedged items— — (3)— — — N/A
Subtotal
(2)— (1,289)(81)— — N/A
Earned income on derivatives69 — 208 44 (38)— — 
Embedded derivatives (2)N/AN/A371 — N/AN/AN/A
Total
$80 $64 $(710)$(51)$(38)$1 $(991)
Six Months Ended June 30, 2021
Net
Investment
Income		Net
Investment
Gains
(Losses)		Net
Derivative
Gains
(Losses)		Policyholder
Benefits and
Claims		Interest
Credited to
Policyholder
Account
Balances		Other
Expenses		OCI
(In millions)
Gain (Loss) on Fair Value Hedges:
Interest rate derivatives:
Derivatives designated as hedging instruments (1)
$3 $— $— $(365)$— $— N/A
Hedged items
(2)— — 331 — — N/A
Foreign currency exchange rate derivatives:
Derivatives designated as hedging instruments (1)
12 (135)— — — — N/A
Hedged items
(11)130 — — — — N/A
Amount excluded from the assessment of hedge effectiveness
— (4)— — — — N/A
Subtotal
2 (9)— (34)— — N/A
Gain (Loss) on Cash Flow Hedges:
Interest rate derivatives: (1)
Amount of gains (losses) deferred in AOCI
N/AN/AN/AN/AN/AN/A$(711)
Amount of gains (losses) reclassified from AOCI into income
27 48 — — — 1 (76)
Foreign currency exchange rate derivatives: (1)
Amount of gains (losses) deferred in AOCI
N/AN/AN/AN/AN/AN/A169 
Amount of gains (losses) reclassified from AOCI into income
4 (124)— — — 1 119 
Foreign currency transaction gains (losses) on hedged items
— 116 — — — — — 
Credit derivatives: (1)
Amount of gains (losses) deferred in AOCI
N/AN/AN/AN/AN/AN/A(72)
Amount of gains (losses) reclassified from AOCI into income
— — — — — — — 
Subtotal
31 40 — — — 2 (571)
Gain (Loss) on NIFO Hedges:
Foreign currency exchange rate derivatives (1)N/AN/AN/AN/AN/AN/A46 
Non-derivative hedging instrumentsN/AN/AN/AN/AN/AN/A29 
Subtotal
N/AN/AN/AN/AN/AN/A75 
Gain (Loss) on Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate derivatives (1)
2 — (1,614)(39)— — N/A
Foreign currency exchange rate derivatives (1)
— — (606)3 — — N/A
Credit derivatives — purchased (1)
— — 12 — — — N/A
Credit derivatives — written (1)
— — 35 — — — N/A
Equity derivatives (1)
(32)— (1,039)(207)— — N/A
Foreign currency transaction gains (losses) on hedged items
— — 232 — — — N/A
Subtotal
(30)— (2,980)(243)— — N/A
Earned income on derivatives
66 — 497 105 (77)— — 
Embedded derivatives (2)
N/AN/A669 — N/AN/AN/A
Total
$69 $31 $(1,814)$(172)$(77)$2 $(496)
Six Months Ended June 30, 2020
Net
Investment
Income
Net
Investment
Gains
(Losses)
Net
Derivative
Gains
(Losses)
Policyholder
Benefits and
Claims
Interest
Credited to
Policyholder
Account
Balances
Other
Expenses
OCI
(In millions)
Gain (Loss) on Fair Value Hedges:
Interest rate derivatives:
Derivatives designated as hedging instruments (1)
$(12)$— $— $743 $— $— N/A
Hedged items
9 — — (752)— — N/A
Foreign currency exchange rate derivatives:
Derivatives designated as hedging instruments (1)
67 14 — — — — N/A
Hedged items
(60)(13)— — — — N/A
Amount excluded from the assessment of hedge effectiveness
— (34)— — — — N/A
Subtotal
4 (33)— (9)— — N/A
Gain (Loss) on Cash Flow Hedges:
Interest rate derivatives: (1)
Amount of gains (losses) deferred in AOCI
N/AN/AN/AN/AN/AN/A$1,903 
Amount of gains (losses) reclassified from AOCI into income
15 48 — — — 1 (64)
Foreign currency exchange rate derivatives: (1)
Amount of gains (losses) deferred in AOCI
N/AN/AN/AN/AN/AN/A1,169 
Amount of gains (losses) reclassified from AOCI into income
1 (164)— — — 1 162 
Foreign currency transaction gains (losses) on hedged items
— 203 — — — — — 
Credit derivatives: (1)
Amount of gains (losses) deferred in AOCI
N/AN/AN/AN/AN/AN/A(24)
Amount of gains (losses) reclassified from AOCI into income
— — — — — — — 
Subtotal
16 87 — — — 2 3,146 
Gain (Loss) on NIFO Hedges:
Foreign currency exchange rate derivatives (1)N/AN/AN/AN/AN/AN/A99 
Non-derivative hedging instrumentsN/AN/AN/AN/AN/AN/A(3)
Subtotal
N/AN/AN/AN/AN/AN/A96 
Gain (Loss) on Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate derivatives (1)
(6)— 3,965 67 — — N/A
Foreign currency exchange rate derivatives (1)
— — 3 (9)— — N/A
Credit derivatives — purchased (1)
— — 12 — — — N/A
Credit derivatives — written (1)
— — (149)— — — N/A
Equity derivatives (1)
— — 516 109 — — N/A
Foreign currency transaction gains (losses) on hedged items
— — (160)— — — N/A
Subtotal
(6)— 4,187 167 — — N/A
Earned income on derivatives
146 — 355 83 (82)— — 
Embedded derivatives (2)
N/AN/A(1,051)— N/AN/AN/A
Total
$160 $54 $3,491 $241 $(82)$2 $3,242 
__________________
(1)Excludes earned income on derivatives.
(2)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 ($8) million and ($51) million for the three months and six months ended June 30, 2021, respectively, and ($110) million and $75 million for the three months and six months ended June 30, 2020, respectively.
Fair Value Hedges
The following table presents the balance sheet classification, carrying amount and cumulative fair value hedging adjustments for items designated and qualifying as hedged items in fair value hedges:
Balance Sheet Line ItemCarrying Amount
 of the Hedged
Assets/(Liabilities)		Cumulative Amount
of Fair Value Hedging Adjustments
Included in the Carrying Amount of Hedged
Assets/(Liabilities) (1)
June 30, 2021December 31, 2020June 30, 2021December 31, 2020
(In millions)
Fixed maturity securities AFS$2,368 $2,699 $(1)$(1)
Mortgage loans$785 $952 $(2)$20 
Future policy benefits$(4,715)$(5,512)$(969)$(1,307)
__________________
(1)Includes ($181) million and ($1) million of hedging adjustments on discontinued hedging relationships at June 30, 2021 and December 31, 2020, respectively.
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, 2021December 31, 2020
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 (3)
$5 $169 3.5$5 $208 2.7
Credit default swaps referencing indices
24 1,779 2.027 1,779 2.5
Subtotal
29 1,948 2.132 1,987 2.5
Baa
Single name credit default swaps (3)
2 139 2.63 249 2.5
Credit default swaps referencing indices
155 7,027 5.1156 7,318 5.5
Subtotal
157 7,166 5.1159 7,567 5.4
Ba
Single name credit default swaps (3)
— 12 4.5— — —
Credit default swaps referencing indices
(1)20 4.5— — —
Subtotal
(1)32 4.5— — —
B
Credit default swaps referencing indices
5 55 4.55 55 5.0
Subtotal
5 55 4.55 55 5.0
Caa3
Credit default swaps referencing indices
(4)15 4.5— — —
Subtotal
(4)15 4.5— — —
Total
$186 $9,216 4.5$196 $9,609 4.8
__________________
(1)The rating agency designations are based on availability and the midpoint of the applicable ratings among Moody’s Investors Service (“Moody’s”), S&P Global Ratings (“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.
(3)Single name credit default swaps may be referenced to the credit of corporations, foreign governments, or municipals.
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, 2021December 31, 2020
Derivatives Subject to a Master Netting Arrangement or a Similar Arrangement AssetsLiabilitiesAssetsLiabilities
(In millions)
Gross estimated fair value of derivatives:
OTC-bilateral (1)
$9,971 $3,955 $11,348 $4,111 
OTC-cleared (1)
495 30 593 20 
Exchange-traded
9 17 17 40 
Total gross estimated fair value of derivatives presented on the interim condensed consolidated balance sheets (1)
10,475 4,002 11,958 4,171 
Gross amounts not offset on the interim condensed consolidated balance sheets:
Gross estimated fair value of derivatives: (2)
OTC-bilateral
(2,453)(2,453)(2,926)(2,926)
OTC-cleared
(10)(10)(7)(7)
Exchange-traded
(1)(1)— — 
Cash collateral: (3), (4)
OTC-bilateral
(6,110)— (6,842)— 
OTC-cleared
(464)(16)(530)(5)
Exchange-traded
— (6)— (23)
Securities collateral: (5)
OTC-bilateral
(1,284)(1,477)(1,453)(1,100)
OTC-cleared
— (4)— (1)
Exchange-traded
— (10)— (1)
Net amount after application of master netting agreements and collateral
$153 $25 $200 $108 
__________________
(1)At June 30, 2021 and December 31, 2020, derivative assets included income (expense) accruals reported in accrued investment income or in other liabilities of $114 million and $92 million, respectively, and derivative liabilities included (income) expense accruals reported in accrued investment income or in other liabilities of ($26) million and ($58) 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, where the centralized clearinghouse treats variation margin as collateral, is included in cash and cash equivalents, short-term investments or in fixed maturity securities AFS, and the obligation to return it is included in payables for collateral under securities loaned and other transactions on the balance sheet. For certain collateral agreements, cash collateral is pledged to the Company as initial margin on its OTC-bilateral derivatives.
(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, 2021 and December 31, 2020, the Company received excess cash collateral of $106 million and $265 million, respectively, and provided excess cash collateral of $229 million and $238 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, 2021, none of the collateral had been sold or re-pledged. Securities collateral pledged by the Company is reported in fixed maturity securities AFS 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, 2021 and December 31, 2020, the Company received excess securities collateral with an estimated fair value of $57 million and $231 million, respectively, for its OTC-bilateral derivatives, which are not included in the table above due to the foregoing limitation. At June 30, 2021 and December 31, 2020, the Company provided excess securities collateral with an estimated fair value of $173 million and $269 million, respectively, for its OTC-bilateral derivatives, $1.3 billion and $2.1 billion, respectively, for its OTC-cleared derivatives, and $233 million and $318 million, respectively, for its exchange-traded derivatives, which are not included in the table above due to the foregoing limitation.
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, 2021December 31, 2020
Derivatives Subject to a Master Netting Arrangement or a Similar Arrangement AssetsLiabilitiesAssetsLiabilities
(In millions)
Gross estimated fair value of derivatives:
OTC-bilateral (1)
$9,971 $3,955 $11,348 $4,111 
OTC-cleared (1)
495 30 593 20 
Exchange-traded
9 17 17 40 
Total gross estimated fair value of derivatives presented on the interim condensed consolidated balance sheets (1)
10,475 4,002 11,958 4,171 
Gross amounts not offset on the interim condensed consolidated balance sheets:
Gross estimated fair value of derivatives: (2)
OTC-bilateral
(2,453)(2,453)(2,926)(2,926)
OTC-cleared
(10)(10)(7)(7)
Exchange-traded
(1)(1)— — 
Cash collateral: (3), (4)
OTC-bilateral
(6,110)— (6,842)— 
OTC-cleared
(464)(16)(530)(5)
Exchange-traded
— (6)— (23)
Securities collateral: (5)
OTC-bilateral
(1,284)(1,477)(1,453)(1,100)
OTC-cleared
— (4)— (1)
Exchange-traded
— (10)— (1)
Net amount after application of master netting agreements and collateral
$153 $25 $200 $108 
__________________
(1)At June 30, 2021 and December 31, 2020, derivative assets included income (expense) accruals reported in accrued investment income or in other liabilities of $114 million and $92 million, respectively, and derivative liabilities included (income) expense accruals reported in accrued investment income or in other liabilities of ($26) million and ($58) 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, where the centralized clearinghouse treats variation margin as collateral, is included in cash and cash equivalents, short-term investments or in fixed maturity securities AFS, and the obligation to return it is included in payables for collateral under securities loaned and other transactions on the balance sheet. For certain collateral agreements, cash collateral is pledged to the Company as initial margin on its OTC-bilateral derivatives.
(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, 2021 and December 31, 2020, the Company received excess cash collateral of $106 million and $265 million, respectively, and provided excess cash collateral of $229 million and $238 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, 2021, none of the collateral had been sold or re-pledged. Securities collateral pledged by the Company is reported in fixed maturity securities AFS 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, 2021 and December 31, 2020, the Company received excess securities collateral with an estimated fair value of $57 million and $231 million, respectively, for its OTC-bilateral derivatives, which are not included in the table above due to the foregoing limitation. At June 30, 2021 and December 31, 2020, the Company provided excess securities collateral with an estimated fair value of $173 million and $269 million, respectively, for its OTC-bilateral derivatives, $1.3 billion and $2.1 billion, respectively, for its OTC-cleared derivatives, and $233 million and $318 million, respectively, for its exchange-traded derivatives, which are not included in the table above due to the foregoing limitation.
Estimated Fair Value of OTC-bilateral derivatives after considering effect of netting agreements
The following table presents the estimated fair value of the Company’s OTC-bilateral derivatives that were 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.
June 30, 2021December 31, 2020
Derivatives
Subject to
Credit-
Contingent
Provisions
Derivatives
Not Subject
to Credit-
Contingent
Provisions
TotalDerivatives
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)$1,479 $23 $1,502 $1,182 $3 $1,185 
Estimated fair value of collateral provided:
Fixed maturity securities AFS
$1,584 $20 $1,604 $1,222 $2 $1,224 
__________________
(1)After taking into consideration the existence of netting agreements.
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 LocationJune 30, 2021December 31, 2020
(In millions)
Embedded derivatives within asset host contracts:
Ceded guaranteed minimum benefitsPremiums, reinsurance and other receivables$48 $55 
Embedded derivatives within liability host contracts:
Direct guaranteed minimum benefitsPolicyholder account balances$230 $651 
Assumed guaranteed minimum benefitsPolicyholder account balances146 283 
Funds withheld on ceded reinsuranceOther liabilities71 100 
Fixed annuities with equity indexed returnsPolicyholder account balances162 138 
Other guaranteesPolicyholder account balances13 24 
Embedded derivatives within liability host contracts
$622 $1,196 
Embedded Derivatives [Table Text Block]
The following table presents the estimated fair value of the Company’s OTC-bilateral derivatives that were 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.
June 30, 2021December 31, 2020
Derivatives
Subject to
Credit-
Contingent
Provisions
Derivatives
Not Subject
to Credit-
Contingent
Provisions
TotalDerivatives
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)$1,479 $23 $1,502 $1,182 $3 $1,185 
Estimated fair value of collateral provided:
Fixed maturity securities AFS
$1,584 $20 $1,604 $1,222 $2 $1,224 
__________________
(1)After taking into consideration the existence of netting agreements.
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 LocationJune 30, 2021December 31, 2020
(In millions)
Embedded derivatives within asset host contracts:
Ceded guaranteed minimum benefitsPremiums, reinsurance and other receivables$48 $55 
Embedded derivatives within liability host contracts:
Direct guaranteed minimum benefitsPolicyholder account balances$230 $651 
Assumed guaranteed minimum benefitsPolicyholder account balances146 283 
Funds withheld on ceded reinsuranceOther liabilities71 100 
Fixed annuities with equity indexed returnsPolicyholder account balances162 138 
Other guaranteesPolicyholder account balances13 24 
Embedded derivatives within liability host contracts
$622 $1,196