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Derivatives (Tables)
 9 Months Ended
Sep. 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:
September 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$3,549 $2,154 $2 $3,186 $3,224 $4 
Foreign currency swapsForeign currency exchange rate908 8 32 1,106 8 78 
Foreign currency forwardsForeign currency exchange rate1,545 — 52 1,936 24 — 
Subtotal6,002 2,162 86 6,228 3,256 82 
Cash flow hedges:
Interest rate swapsInterest rate4,429 35 1 4,750 44 — 
Interest rate forwardsInterest rate6,874 60 155 7,377 513 120 
Foreign currency swapsForeign currency exchange rate41,201 1,602 1,456 38,604 1,549 2,017 
Subtotal52,504 1,697 1,612 50,731 2,106 2,137 
Net investment in a foreign operation (“NIFO”) hedges:
Foreign currency forwardsForeign currency exchange rate341 18 — 164 — 3 
Currency optionsForeign currency exchange rate3,000 114 — 3,600 70 — 
Subtotal3,341 132 — 3,764 70 3 
Total qualifying hedges61,847 3,991 1,698 60,723 5,432 2,222 
Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate swapsInterest rate41,430 3,793 144 49,561 3,683 38 
Interest rate floorsInterest rate8,201 202 — 12,701 350 — 
Interest rate capsInterest rate77,814 69 — 40,730 13 — 
Interest rate futuresInterest rate2,239 3 1 1,498 — 2 
Interest rate optionsInterest rate12,508 485 17 17,746 502 5 
Interest rate forwardsInterest rate367 — 37 351 — 10 
Interest rate total return swapsInterest rate1,048 6 31 1,048 — 59 
Synthetic GICsInterest rate39,365 — — 38,646 — — 
Foreign currency swapsForeign currency exchange rate12,635 690 664 13,265 603 693 
Foreign currency forwardsForeign currency exchange rate15,911 99 563 15,643 209 310 
Currency futuresForeign currency exchange rate867 1 — 914 3 — 
Currency optionsForeign currency exchange rate900 — — 1,350 — — 
Credit default swaps — purchasedCredit3,042 14 110 2,978 9 121 
Credit default swaps — writtenCredit8,739 180 5 9,609 196 — 
Equity futuresEquity market4,417 48 14 5,427 14 38 
Equity index optionsEquity market31,016 898 441 22,954 834 437 
Equity variance swapsEquity market733 17 15 716 15 12 
Equity total return swapsEquity market3,482 23 11 3,294 3 282 
Total non-designated or nonqualifying derivatives264,714 6,528 2,053 238,431 6,434 2,007 
Total$326,561 $10,519 $3,751 $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 September 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
Other
Comprehensive
Income (Loss)
(In millions)
Gain (Loss) on Fair Value Hedges:
Interest rate derivatives:
Derivatives designated as hedging instruments (1)$1 $— $— $(53)$— $— N/A
Hedged items(2)— — 48 — — N/A
Foreign currency exchange rate derivatives:
Derivatives designated as hedging instruments (1)28 (9)— — — — N/A
Hedged items(22)9 — — — — N/A
Amount excluded from the assessment of hedge effectiveness— (2)— — — — N/A
Subtotal
5 (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$24 
Amount of gains (losses) reclassified from AOCI into income14 6 — — — 1 (21)
Foreign currency exchange rate derivatives: (1)
Amount of gains (losses) deferred in AOCIN/AN/AN/AN/AN/AN/A398 
Amount of gains (losses) reclassified from AOCI into income2 (259)— — — — 257 
Foreign currency transaction gains (losses) on hedged items— 256 — — — — — 
Credit derivatives: (1)
Amount of gains (losses) deferred in AOCIN/AN/AN/AN/AN/AN/A20 
Amount of gains (losses) reclassified from AOCI into income— — — — — — — 
Subtotal
16 3 — — — 1 678 
Gain (Loss) on NIFO Hedges:
Foreign currency exchange rate derivatives (1)N/AN/AN/AN/AN/AN/A12 
Non-derivative hedging instrumentsN/AN/AN/AN/AN/AN/A2 
Subtotal
N/AN/AN/AN/AN/AN/A14 
Gain (Loss) on Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate derivatives (1)(1)— (379)(12)— — N/A
Foreign currency exchange rate derivatives (1)— — (128)(2)— — N/A
Credit derivatives — purchased (1)— — 4 — — — N/A
Credit derivatives — written (1)— — (2)— — — N/A
Equity derivatives (1)(1)— 47 5 — — N/A
Foreign currency transaction gains (losses) on hedged items— — (65)— — — N/A
Subtotal
(2)— (523)(9)— — N/A
Earned income on derivatives62 — 258 55 (43)— — 
Embedded derivatives (2)N/AN/A47 — N/AN/AN/A
Total
$81 $1 $(218)$41 $(43)$1 $692 
Three Months Ended September 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
Other
Comprehensive
Income (Loss)
(In millions)
Gain (Loss) on Fair Value Hedges:
Interest rate derivatives:
Derivatives designated as hedging instruments (1)$1 $— $— $(154)$— $— N/A
Hedged items— — — 139 — — N/A
Foreign currency exchange rate derivatives:
Derivatives designated as hedging instruments (1)(50)44 — — — — N/A
Hedged items46 (41)— — — — N/A
Amount excluded from the assessment of hedge effectiveness— (4)— — — — N/A
Subtotal
(3)(1)— (15)— — N/A
Gain (Loss) on Cash Flow Hedges:
Interest rate derivatives: (1)
Amount of gains (losses) deferred in AOCIN/AN/AN/AN/AN/AN/A$(203)
Amount of gains (losses) reclassified from AOCI into income9 10 — — — 1 (20)
Foreign currency exchange rate derivatives: (1)
Amount of gains (losses) deferred in AOCIN/AN/AN/AN/AN/AN/A(615)
Amount of gains (losses) reclassified from AOCI into income2 435 — — — — (437)
Foreign currency transaction gains (losses) on hedged items— (393)— — — — — 
Credit derivatives: (1)
Amount of gains (losses) deferred in AOCIN/AN/AN/AN/AN/AN/A(28)
Amount of gains (losses) reclassified from AOCI into income— — — — — — — 
Subtotal
11 52 — — — 1 (1,303)
Gain (Loss) on NIFO Hedges:
Foreign currency exchange rate derivatives (1)N/AN/AN/AN/AN/AN/A(29)
Non-derivative hedging instrumentsN/AN/AN/AN/AN/AN/A(8)
Subtotal
N/AN/AN/AN/AN/AN/A(37)
Gain (Loss) on Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate derivatives (1)— — (601)(9)— — N/A
Foreign currency exchange rate derivatives (1)— — (190)2 — — N/A
Credit derivatives — purchased (1)— — (8)— — — N/A
Credit derivatives — written (1)— — (9)— — — N/A
Equity derivatives (1)(6)— (499)(90)— — N/A
Foreign currency transaction gains (losses) on hedged items— — 56 — — — N/A
Subtotal
(6)— (1,251)(97)— — N/A
Earned income on derivatives50 — 262 52 (36)— — 
Embedded derivatives (2)N/AN/A408 — N/AN/AN/A
Total
$52 $51 $(581)$(60)$(36)$1 $(1,340)
Nine Months Ended September 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		Other
Comprehensive
Income (Loss)
(In millions)
Gain (Loss) on Fair Value Hedges:
Interest rate derivatives:
Derivatives designated as hedging instruments (1)
$4 $— $— $(418)$— $— N/A
Hedged items
(4)— — 379 — — N/A
Foreign currency exchange rate derivatives:
Derivatives designated as hedging instruments (1)
40 (144)— — — — N/A
Hedged items
(33)139 — — — — N/A
Amount excluded from the assessment of hedge effectiveness
— (6)— — — — N/A
Subtotal
7 (11)— (39)— — N/A
Gain (Loss) on Cash Flow Hedges:
Interest rate derivatives: (1)
Amount of gains (losses) deferred in AOCI
N/AN/AN/AN/AN/AN/A$(687)
Amount of gains (losses) reclassified from AOCI into income
41 54 — — — 2 (97)
Foreign currency exchange rate derivatives: (1)
Amount of gains (losses) deferred in AOCI
N/AN/AN/AN/AN/AN/A567 
Amount of gains (losses) reclassified from AOCI into income
6 (383)— — — 1 376 
Foreign currency transaction gains (losses) on hedged items
— 372 — — — — — 
Credit derivatives: (1)
Amount of gains (losses) deferred in AOCI
N/AN/AN/AN/AN/AN/A(52)
Amount of gains (losses) reclassified from AOCI into income
— — — — — — — 
Subtotal
47 43 — — — 3 107 
Gain (Loss) on NIFO Hedges:
Foreign currency exchange rate derivatives (1)N/AN/AN/AN/AN/AN/A58 
Non-derivative hedging instrumentsN/AN/AN/AN/AN/AN/A31 
Subtotal
N/AN/AN/AN/AN/AN/A89 
Gain (Loss) on Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate derivatives (1)
1 — (1,993)(51)— — N/A
Foreign currency exchange rate derivatives (1)
— — (734)1 — — N/A
Credit derivatives — purchased (1)
— — 16 — — — N/A
Credit derivatives — written (1)
— — 33 — — — N/A
Equity derivatives (1)
(33)— (992)(202)— — N/A
Foreign currency transaction gains (losses) on hedged items
— — 167 — — — N/A
Subtotal
(32)— (3,503)(252)— — N/A
Earned income on derivatives
128 — 755 160 (120)— — 
Embedded derivatives (2)
N/AN/A716 — N/AN/AN/A
Total
$150 $32 $(2,032)$(131)$(120)$3 $196 
Nine Months Ended September 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
Other
Comprehensive
Income (Loss)
(In millions)
Gain (Loss) on Fair Value Hedges:
Interest rate derivatives:
Derivatives designated as hedging instruments (1)
$(11)$— $— $589 $— $— N/A
Hedged items
9 — — (613)— — N/A
Foreign currency exchange rate derivatives:
Derivatives designated as hedging instruments (1)
17 58 — — — — N/A
Hedged items
(14)(54)— — — — N/A
Amount excluded from the assessment of hedge effectiveness
— (38)— — — — N/A
Subtotal
1 (34)— (24)— — 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$1,700 
Amount of gains (losses) reclassified from AOCI into income
24 58 — — — 2 (84)
Foreign currency exchange rate derivatives: (1)
Amount of gains (losses) deferred in AOCI
N/AN/AN/AN/AN/AN/A554 
Amount of gains (losses) reclassified from AOCI into income
3 271 — — — 1 (275)
Foreign currency transaction gains (losses) on hedged items
— (190)— — — — — 
Credit derivatives: (1)
Amount of gains (losses) deferred in AOCI
N/AN/AN/AN/AN/AN/A(52)
Amount of gains (losses) reclassified from AOCI into income
— — — — — — — 
Subtotal
27 139 — — — 3 1,843 
Gain (Loss) on NIFO Hedges:
Foreign currency exchange rate derivatives (1)N/AN/AN/AN/AN/AN/A70 
Non-derivative hedging instrumentsN/AN/AN/AN/AN/AN/A(11)
Subtotal
N/AN/AN/AN/AN/AN/A59 
Gain (Loss) on Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate derivatives (1)
(6)— 3,364 58 — — N/A
Foreign currency exchange rate derivatives (1)
— — (187)(7)— — N/A
Credit derivatives — purchased (1)
— — 4 — — — N/A
Credit derivatives — written (1)
— — (158)— — — N/A
Equity derivatives (1)
(6)— 17 19 — — N/A
Foreign currency transaction gains (losses) on hedged items
— — (104)— — — N/A
Subtotal
(12)— 2,936 70 — — N/A
Earned income on derivatives
196 — 617 135 (118)— — 
Embedded derivatives (2)
N/AN/A(643)— N/AN/AN/A
Total
$212 $105 $2,910 $181 $(118)$3 $1,902 
__________________
(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 $3 million and ($48) million for the three months and nine months ended September 30, 2021, respectively, and ($12) million and $63 million for the three months and nine months ended September 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)
September 30, 2021December 31, 2020September 30, 2021December 31, 2020
(In millions)
Fixed maturity securities AFS$2,117 $2,699 $(1)$(1)
Mortgage loans$749 $952 $(3)$20 
Future policy benefits$(4,713)$(5,512)$(911)$(1,307)
__________________
(1)Includes ($169) million and ($1) million of hedging adjustments on discontinued hedging relationships at September 30, 2021 and December 31, 2020, respectively.
For the Company’s foreign currency forwards, the change in the estimated fair value of the derivative related to the changes in the difference between the spot price and the forward price is excluded from the assessment of hedge effectiveness. The Company has elected to record changes in estimated fair value of excluded components in earnings. For all other derivatives, 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:
September 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 3.2$5 $208 2.7
Credit default swaps referencing indices
21 1,778 1.727 1,779 2.5
Subtotal
26 1,947 1.932 1,987 2.5
Baa
Single name credit default swaps (3)
2 152 2.53 249 2.5
Credit default swaps referencing indices
145 6,468 5.7156 7,318 5.5
Subtotal
147 6,620 5.6159 7,567 5.4
Ba
Single name credit default swaps (3)
2 82 1.5— — —
Credit default swaps referencing indices
(1)20 4.2— — —
Subtotal
1 102 2.0— — —
B
Credit default swaps referencing indices
5 55 4.25 55 5.0
Subtotal
5 55 4.25 55 5.0
Caa3
Credit default swaps referencing indices
(4)15 4.2— — —
Subtotal
(4)15 4.2— — —
Total
$175 $8,739 4.7$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:
September 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)
$10,034 $3,675 $11,348 $4,111 
OTC-cleared (1)
516 39 593 20 
Exchange-traded
52 15 17 40 
Total gross estimated fair value of derivatives presented on the interim condensed consolidated balance sheets (1)
10,602 3,729 11,958 4,171 
Gross amounts not offset on the interim condensed consolidated balance sheets:
Gross estimated fair value of derivatives: (2)
OTC-bilateral
(2,206)(2,206)(2,926)(2,926)
OTC-cleared
(13)(13)(7)(7)
Exchange-traded
(2)(2)— — 
Cash collateral: (3), (4)
OTC-bilateral
(6,396)— (6,842)— 
OTC-cleared
(434)(16)(530)(5)
Exchange-traded
— (9)— (23)
Securities collateral: (5)
OTC-bilateral
(1,249)(1,367)(1,453)(1,100)
OTC-cleared
— (9)— (1)
Exchange-traded
— (3)— (1)
Net amount after application of master netting agreements and collateral
$302 $104 $200 $108 
__________________
(1)At September 30, 2021 and December 31, 2020, derivative assets included income (expense) accruals reported in accrued investment income or in other liabilities of $83 million and $92 million, respectively, and derivative liabilities included (income) expense accruals reported in accrued investment income or in other liabilities of ($22) 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 September 30, 2021 and December 31, 2020, the Company received excess cash collateral of $103 million and $265 million, respectively, and provided excess cash collateral of $158 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 September 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 September 30, 2021 and December 31, 2020, the Company received excess securities collateral with an estimated fair value of $98 million and $231 million, respectively, for its OTC-bilateral derivatives, which are not included in the table above due to the foregoing limitation. At September 30, 2021 and December 31, 2020, the Company provided excess securities collateral with an estimated fair value of $194 million and $269 million, respectively, for its OTC-bilateral derivatives, $1.2 billion and $2.1 billion, respectively, for its OTC-cleared derivatives, and $214 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:
September 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)
$10,034 $3,675 $11,348 $4,111 
OTC-cleared (1)
516 39 593 20 
Exchange-traded
52 15 17 40 
Total gross estimated fair value of derivatives presented on the interim condensed consolidated balance sheets (1)
10,602 3,729 11,958 4,171 
Gross amounts not offset on the interim condensed consolidated balance sheets:
Gross estimated fair value of derivatives: (2)
OTC-bilateral
(2,206)(2,206)(2,926)(2,926)
OTC-cleared
(13)(13)(7)(7)
Exchange-traded
(2)(2)— — 
Cash collateral: (3), (4)
OTC-bilateral
(6,396)— (6,842)— 
OTC-cleared
(434)(16)(530)(5)
Exchange-traded
— (9)— (23)
Securities collateral: (5)
OTC-bilateral
(1,249)(1,367)(1,453)(1,100)
OTC-cleared
— (9)— (1)
Exchange-traded
— (3)— (1)
Net amount after application of master netting agreements and collateral
$302 $104 $200 $108 
__________________
(1)At September 30, 2021 and December 31, 2020, derivative assets included income (expense) accruals reported in accrued investment income or in other liabilities of $83 million and $92 million, respectively, and derivative liabilities included (income) expense accruals reported in accrued investment income or in other liabilities of ($22) 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 September 30, 2021 and December 31, 2020, the Company received excess cash collateral of $103 million and $265 million, respectively, and provided excess cash collateral of $158 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 September 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 September 30, 2021 and December 31, 2020, the Company received excess securities collateral with an estimated fair value of $98 million and $231 million, respectively, for its OTC-bilateral derivatives, which are not included in the table above due to the foregoing limitation. At September 30, 2021 and December 31, 2020, the Company provided excess securities collateral with an estimated fair value of $194 million and $269 million, respectively, for its OTC-bilateral derivatives, $1.2 billion and $2.1 billion, respectively, for its OTC-cleared derivatives, and $214 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.
September 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)$1,242 $227 $1,469 $1,182 $3 $1,185 
Estimated fair value of collateral provided:
Fixed maturity securities AFS
$1,300 $188 $1,488 $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 LocationSeptember 30, 2021December 31, 2020
(In millions)
Embedded derivatives within asset host contracts:
Ceded guaranteed minimum benefitsPremiums, reinsurance and other receivables$39 $55 
Embedded derivatives within liability host contracts:
Direct guaranteed minimum benefitsPolicyholder account balances$296 $651 
Assumed guaranteed minimum benefitsPolicyholder account balances131 283 
Funds withheld on ceded reinsuranceOther liabilities41 100 
Fixed annuities with equity indexed returnsPolicyholder account balances157 138 
Other guaranteesPolicyholder account balances1 24 
Embedded derivatives within liability host contracts
$626 $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.
September 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)$1,242 $227 $1,469 $1,182 $3 $1,185 
Estimated fair value of collateral provided:
Fixed maturity securities AFS
$1,300 $188 $1,488 $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 LocationSeptember 30, 2021December 31, 2020
(In millions)
Embedded derivatives within asset host contracts:
Ceded guaranteed minimum benefitsPremiums, reinsurance and other receivables$39 $55 
Embedded derivatives within liability host contracts:
Direct guaranteed minimum benefitsPolicyholder account balances$296 $651 
Assumed guaranteed minimum benefitsPolicyholder account balances131 283 
Funds withheld on ceded reinsuranceOther liabilities41 100 
Fixed annuities with equity indexed returnsPolicyholder account balances157 138 
Other guaranteesPolicyholder account balances1 24 
Embedded derivatives within liability host contracts
$626 $1,196