XML 44 R30.htm IDEA: XBRL DOCUMENT

Fair Value (Tables)

9 Months Ended

Sep. 30, 2021

The assets and liabilities measured at estimated fair value on a recurring basis and their corresponding placement in the fair value hierarchy, including those items for which the Company has elected the FVO, are presented below at:


	September 30, 2021 (1)
	Fair Value Hierarchy
	Level 1		Level 2		Level 3		Total Estimated Fair Value
	(In millions)
Assets
Fixed maturity securities AFS:
U.S. corporate	$	—	$	80,783	$	11,229	$	92,012
Foreign government	—		63,274		106		63,380
Foreign corporate	—		50,415		13,507		63,922
U.S. government and agency	27,492		20,608		—		48,100
RMBS	8		27,023		3,236		30,267
ABS	—		15,878		1,525		17,403
Municipals	—		14,006		34		14,040
CMBS	—		11,095		819		11,914
Total fixed maturity securities AFS	27,500		283,082		30,456		341,038
Equity securities	594		196		151		941
Unit-linked and FVO Securities (2)	9,171		2,051		833		12,055
Short-term investments (3)	5,287		1,201		57		6,545
Residential mortgage loans — FVO	—		—		134		134
Other investments	—		49		845		894
Derivative assets: (4)
Interest rate	3		6,744		60		6,807
Foreign currency exchange rate	1		2,527		4		2,532
Credit	—		174		20		194
Equity market	48		931		7		986
Total derivative assets	52		10,376		91		10,519
Embedded derivatives within asset host contracts (5)	—		—		39		39
Separate account assets (6)	78,361		101,190		1,403		180,954
Total assets (7)	$	120,965	$	398,145	$	34,009	$	553,119
Liabilities
Derivative liabilities: (4)
Interest rate	$	1	$	349	$	38	$	388
Foreign currency exchange rate	—		2,509		258		2,767
Credit	—		110		5		115
Equity market	14		467		—		481
Total derivative liabilities	15		3,435		301		3,751
Embedded derivatives within liability host contracts (5)	—		—		626		626
Separate account liabilities (6)	4		13		4		21
Total liabilities	$	19	$	3,448	$	931	$	4,398


	December 31, 2020 (1)
	Fair Value Hierarchy
	Level 1		Level 2		Level 3		Total Estimated Fair Value
	(In millions)
Assets
Fixed maturity securities AFS:
U.S. corporate	$	—	$	83,214	$	10,202	$	93,416
Foreign government	—		71,582		117		71,699
Foreign corporate	—		55,509		13,899		69,408
U.S. government and agency	23,180		23,920		—		47,100
RMBS	—		27,133		3,302		30,435
ABS	—		15,734		1,385		17,119
Municipals	—		13,722		—		13,722
CMBS	—		11,308		602		11,910
Total fixed maturity securities AFS	23,180		302,122		29,507		354,809
Equity securities	636		293		150		1,079
Unit-linked and FVO Securities (2)	10,559		2,059		701		13,319
Short-term investments (3)	2,762		568		43		3,373

Residential mortgage loans — FVO	—		—		165		165


Other investments	83		229		573		885
Derivative assets: (4)
Interest rate	—		7,840		489		8,329
Foreign currency exchange rate	3		2,287		176		2,466
Credit	—		180		25		205
Equity market	14		830		22		866
Total derivative assets	17		11,137		712		11,866
Embedded derivatives within asset host contracts (5)	—		—		55		55
Separate account assets (6)	91,850		107,035		1,085		199,970
Total assets (7)	$	129,087	$	423,443	$	32,991	$	585,521
Liabilities
Derivative liabilities: (4)
Interest rate	$	2	$	168	$	68	$	238
Foreign currency exchange rate	—		3,063		38		3,101
Credit	—		121		—		121
Equity market	38		719		12		769
Total derivative liabilities	40		4,071		118		4,229
Embedded derivatives within liability host contracts (5)	—		—		1,196		1,196
Separate account liabilities (6)	12		8		6		26
Total liabilities	$	52	$	4,079	$	1,320	$	5,451

__________________

(1)Excludes amounts for financial instruments reclassified to assets held-for-sale or liabilities held-for-sale. Assets held-for-sale and liabilities held-for-sale are valued on a basis consistent with similar instruments described herein. See Note 3 for information on the Company’s business dispositions.

(2)Unit-linked and FVO Securities were primarily comprised of Unit-linked investments at both September 30, 2021 and December 31, 2020.

(3)Short-term investments as presented in the tables above differ from the amounts presented on the interim condensed consolidated balance sheets because certain short-term investments are not measured at estimated fair value on a recurring basis.

(4)Derivative assets are presented within other invested assets on the interim condensed consolidated balance sheets and derivative liabilities are presented within other liabilities on the interim condensed consolidated balance sheets. The amounts are presented gross in the tables above to reflect the presentation on the interim condensed consolidated balance sheets, but are presented net for purposes of the rollforward in the Fair Value Measurements Using Significant Unobservable Inputs (Level 3) tables.

(5)Embedded derivatives within asset host contracts are presented within premiums, reinsurance and other receivables and other invested assets on the interim condensed consolidated balance sheets. Embedded derivatives within liability host contracts are presented within policyholder account balances and other liabilities on the interim condensed consolidated balance sheets.

(6)Investment performance related to separate account assets is fully offset by corresponding amounts credited to contractholders whose liability is reflected within separate account liabilities. Separate account liabilities are set equal to the estimated fair value of separate account assets. Separate account liabilities presented in the tables above represent derivative liabilities.

(7)Total assets included in the fair value hierarchy exclude other limited partnership interests that are measured at estimated fair value using the net asset value (“NAV”) per share (or its equivalent) practical expedient. At September 30, 2021 and December 31, 2020, the estimated fair value of such investments was $82 million and $75 million, respectively.

Fair Value Inputs, Quantitative Information

The following table presents certain quantitative information about the significant unobservable inputs used in the fair value measurement, and the sensitivity of the estimated fair value to changes in those inputs, for the more significant asset and liability classes measured at fair value on a recurring basis using significant unobservable inputs (Level 3) at:


					September 30, 2021				December 31, 2020				Impact of Increase in Input on Estimated Fair Value (2)
	Valuation Techniques		Significant Unobservable Inputs		Range			Weighted Average (1)	Range			Weighted Average (1)
Fixed maturity securities AFS (3)
U.S. corporate and foreign corporate	•	Matrix pricing	•	Offered quotes (4)	1	-	170	111	—	-	186	117	Increase
	•	Market pricing	•	Quoted prices (4)	—	-	113	99	—	-	116	98	Increase
	•	Consensus pricing	•	Offered quotes (4)	99	-	107	100	54	-	104	101	Increase
RMBS	•	Market pricing	•	Quoted prices (4)	—	-	180	99	—	-	159	98	Increase (5)
ABS	•	Market pricing	•	Quoted prices (4)	3	-	109	102	1	-	112	100	Increase (5)
	•	Consensus pricing	•	Offered quotes (4)	102	-	102	102	100	-	100	100	Increase (5)
Derivatives
Interest rate	•	Present value techniques	•	Swap yield (6)	149	-	221	199	92	-	184	149	Increase (7)
			•	Repurchase rates (8)	—	-	—	—	(12)	-	1	(6)	Decrease (7)
			•	Volatility (9)	0%	-	1%	1%	—	-	—	—	Increase (7)
Foreign currency exchange rate	•	Present value techniques	•	Swap yield (6)	(129)	-	1,873	117	(309)	-	248	(144)	Increase (7)
Credit	•	Present value techniques	•	Credit spreads (10)	96	-	128	104	96	-	99	98	Decrease (7)
	•	Consensus pricing	•	Offered quotes (11)
Equity market	•	Present value techniques or option pricing models	•	Volatility (12)	—	-	—	—	21%	-	29%	28%	Increase (7)
			•	Correlation (13)	—	-	—	—	10%	-	30%	10%
Embedded derivatives
Direct, assumed and ceded guaranteed minimum benefits	•	Option pricing techniques	•	Mortality rates:
				Ages 0 - 40	0%	-	0.17%	0.08%	0%	-	0.17%	0.06%	Decrease (14)
				Ages 41 - 60	0.03%	-	0.75%	0.27%	0.03%	-	0.75%	0.30%	Decrease (14)
				Ages 61 - 115	0.12%	-	100%	2.08%	0.12%	-	100%	1.90%	Decrease (14)
			•	Lapse rates:
				Durations 1 - 10	0.25%	-	100%	6.30%	0.25%	-	100%	6.86%	Decrease (15)
				Durations 11 - 20	0.50%	-	100%	5.22%	0.50%	-	100%	5.18%	Decrease (15)
				Durations 21 - 116	0.50%	-	100%	5.22%	0.50%	-	100%	5.18%	Decrease (15)
			•	Utilization rates	0%	-	22%	0.22%	0%	-	22%	0.17%	Increase (16)
			•	Withdrawal rates	0%	-	20%	3.72%	0%	-	20%	3.98%	(17)
			•	Long-term equity volatilities	7.71%	-	25%	18.60%	8.33%	-	27%	18.70%	Increase (18)
			•	Nonperformance risk spread	0.05%	-	1.17%	0.35%	0.04%	-	1.18%	0.40%	Decrease (19)

__________________

(1)The weighted average for fixed maturity securities AFS and derivatives is determined based on the estimated fair value of the securities and derivatives. The weighted average for embedded derivatives is determined based on a combination of account values and experience data.

(2)The impact of a decrease in input would have resulted in the opposite impact on estimated fair value. For embedded derivatives, changes to direct and assumed guaranteed minimum benefits are based on liability positions; changes to ceded guaranteed minimum benefits are based on asset positions.

(3)Significant increases (decreases) in expected default rates in isolation would have resulted in substantially lower (higher) valuations.

(4)Range and weighted average are presented in accordance with the market convention for fixed maturity securities AFS of dollars per hundred dollars of par.

(5)Changes in the assumptions used for the probability of default would have been accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumptions used for prepayment rates.

(6)Ranges represent the rates across different yield curves and are presented in basis points. The swap yield curves are utilized among different types of derivatives to project cash flows, as well as to discount future cash flows to present value. Since this valuation methodology uses a range of inputs across a yield curve to value the derivative, presenting a range is more representative of the unobservable input used in the valuation.

(7)Changes in estimated fair value are based on long U.S. dollar net asset positions and will be inversely impacted for short U.S. dollar net asset positions.

(8)Ranges represent different repurchase rates utilized as components within the valuation methodology and are presented in basis points.

(9)Ranges represent the underlying interest rate volatility quoted in percentage points. Since this valuation methodology uses an equivalent of LIBOR for secured overnight financing rate volatility, presenting a range is more representative of the unobservable input used in the valuation.

(10)Represents the risk quoted in basis points of a credit default event on the underlying instrument. Credit derivatives with significant unobservable inputs are primarily comprised of written credit default swaps.

(11)At both September 30, 2021 and December 31, 2020, independent non-binding broker quotations were used in the determination of less than 1% of the total net derivative estimated fair value.

(12)Ranges represent the underlying equity volatility quoted in percentage points. Since this valuation methodology uses a range of inputs across multiple volatility surfaces to value the derivative, presenting a range is more representative of the unobservable input used in the valuation.

(13)Ranges represent the different correlation factors utilized as components within the valuation methodology. Presenting a range of correlation factors is more representative of the unobservable input used in the valuation. Increases (decreases) in correlation in isolation will increase (decrease) the significance of the change in valuations.

(14)Mortality rates vary by age and by demographic characteristics such as gender. Mortality rate assumptions are based on company experience. A mortality improvement assumption is also applied. For any given contract, mortality rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative.

(15)Base lapse rates are adjusted at the contract level based on a comparison of the actuarially calculated guaranteed values and the current policyholder account value, as well as other factors, such as the applicability of any surrender charges. A dynamic lapse function reduces the base lapse rate when the guaranteed amount is greater than the account value as in the money contracts are less likely to lapse. Lapse rates are also generally assumed to be lower in periods when a surrender charge applies. For any given contract, lapse rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative.

(16)The utilization rate assumption estimates the percentage of contractholders with GMIBs or a lifetime withdrawal benefit who will elect to utilize the benefit upon becoming eligible. The rates may vary by the type of guarantee, the amount by which the guaranteed amount is greater than the account value, the contract’s withdrawal history and by the age of the policyholder. For any given contract, utilization rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative.

(17)The withdrawal rate represents the percentage of account balance that any given policyholder will elect to withdraw from the contract each year. The withdrawal rate assumption varies by age and duration of the contract, and also by other factors such as benefit type. For any given contract, withdrawal rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative. For GMWBs, any increase (decrease) in withdrawal rates results in an increase (decrease) in the estimated fair value of the guarantees. For GMABs and GMIBs, any increase (decrease) in withdrawal rates results in a decrease (increase) in the estimated fair value.

(18)Long-term equity volatilities represent equity volatility beyond the period for which observable equity volatilities are available. For any given contract, long-term equity volatility rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative.

(19)Nonperformance risk spread varies by duration and by currency. For any given contract, multiple nonperformance risk spreads will apply, depending on the duration of the cash flow being discounted for purposes of valuing the embedded derivative.

Fair Value, Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables summarize the change of all assets (liabilities) measured at estimated fair value on a recurring basis using significant unobservable inputs (Level 3):


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Fixed Maturity Securities AFS
	Corporate (6)		Foreign Government		Structured Products		Municipals		Equity Securities		Unit-linked and FVO Securities
	(In millions)
Three Months Ended September 30, 2021
Balance, beginning of period	$	23,773	$	145	$	6,003	$	—	$	143	$	849
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)	(22)		—		9		—		6		(9)
Total realized/unrealized gains (losses) included in AOCI	(402)		—		36		—		—		—
Purchases (3)	1,853		12		334		34		8		9
Sales (3)	(475)		(10)		(401)		—		(5)		(8)
Issuances (3)	—		—		—		—		—		—
Settlements (3)	—		—		—		—		—		—
Transfers into Level 3 (4)	242		10		6		—		—		—
Transfers out of Level 3 (4)	(233)		(51)		(407)		—		(1)		(8)
Balance, end of period	$	24,736	$	106	$	5,580	$	34	$	151	$	833
Three Months Ended September 30, 2020
Balance, beginning of period	$	20,732	$	57	$	5,377	$	—	$	373	$	589
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)	(1)		(1)		23		—		6		35
Total realized/unrealized gains (losses) included in AOCI	673		6		96		1		—		—
Purchases (3)	1,023		12		550		10		—		7
Sales (3)	(529)		—		(305)		—		(69)		(13)
Issuances (3)	—		—		—		—		—		—
Settlements (3)	—		—		—		—		—		—
Transfers into Level 3 (4)	622		44		39		—		—		—
Transfers out of Level 3 (4)	(377)		(9)		(368)		—		(158)		(2)
Balance, end of period	$	22,143	$	109	$	5,412	$	11	$	152	$	616
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at September 30, 2021 (5)	$	(18)	$	—	$	9	$	—	$	6	$	(9)
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at September 30, 2020 (5)	$	(3)	$	(3)	$	13	$	—	$	3	$	35
Changes in unrealized gains (losses) included in AOCI for the instruments still held at September 30, 2021 (5)	$	(387)	$	—	$	36	$	—	$	—	$	—
Changes in unrealized gains (losses) included in AOCI for the instruments still held at September 30, 2020 (5)	$	665	$	3	$	95	$	1	$	—	$	—


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Short-term Investments		Residential Mortgage Loans — FVO		Other Investments		Net Derivatives (7)		Net Embedded Derivatives (8)		Separate Accounts (9)
	(In millions)
Three Months Ended September 30, 2021
Balance, beginning of period	$	113	$	140	$	781	$	57	$	(574)	$	1,249
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)	1		—		45		(279)		47		12
Total realized/unrealized gains (losses) included in AOCI	(2)		—		—		55		—		—
Purchases (3)	2		—		116		7		—		161
Sales (3)	(28)		—		(72)		—		—		(18)
Issuances (3)	—		—		—		(1)		—		—
Settlements (3)	—		(6)		—		(49)		(60)		—
Transfers into Level 3 (4)	1		—		—		—		—		—
Transfers out of Level 3 (4)	(30)		—		(25)		—		—		(5)
Balance, end of period	$	57	$	134	$	845	$	(210)	$	(587)	$	1,399
Three Months Ended September 30, 2020
Balance, beginning of period	$	7	$	175	$	491	$	798	$	(1,925)	$	1,056
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)	(2)		6		(8)		61		408		(3)
Total realized/unrealized gains (losses) included in AOCI	(2)		—		—		(24)		(15)		—
Purchases (3)	1		—		3		—		—		72
Sales (3)	(1)		—		—		—		—		(25)
Issuances (3)	—		—		—		—		—		(2)
Settlements (3)	—		(5)		—		(111)		(66)		—
Transfers into Level 3 (4)	—		—		—		—		—		—
Transfers out of Level 3 (4)	—		—		—		13		—		(9)
Balance, end of period	$	3	$	176	$	486	$	737	$	(1,598)	$	1,089
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at September 30, 2021 (5)	$	—	$	(1)	$	40	$	(273)	$	44	$	—
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at September 30, 2020 (5)	$	(2)	$	6	$	(7)	$	47	$	403	$	—
Changes in unrealized gains (losses) included in AOCI for the instruments still held at September 30, 2021 (5)	$	—	$	—	$	—	$	25	$	1	$	—
Changes in unrealized gains (losses) included in AOCI for the instruments still held at September 30, 2020 (5)	$	(1)	$	—	$	—	$	(28)	$	(14)	$	—


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Fixed Maturity Securities AFS
	Corporate (6)		Foreign Government		Structured Products		Municipals		Equity Securities		Unit-linked and FVO Securities
	(In millions)
Nine Months Ended September 30, 2021
Balance, beginning of period	$	24,101	$	117	$	5,289	$	—	$	150	$	701
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)	(28)		—		36		—		16		53
Total realized/unrealized gains (losses) included in AOCI	(1,171)		(1)		9		—		—		—
Purchases (3)	3,395		13		1,333		34		10		20
Sales (3)	(951)		(7)		(1,049)		—		(21)		(16)
Issuances (3)	—		—		—		—		—		—
Settlements (3)	—		—		—		—		—		—
Transfers into Level 3 (4)	139		13		256		—		—		86
Transfers out of Level 3 (4)	(749)		(29)		(294)		—		(4)		(11)
Balance, end of period	$	24,736	$	106	$	5,580	$	34	$	151	$	833
Nine Months Ended September 30, 2020
Balance, beginning of period	$	14,229	$	117	$	4,458	$	7	$	430	$	625
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)	(80)		(1)		30		—		2		8
Total realized/unrealized gains (losses) included in AOCI	371		(1)		(18)		1		—		—
Purchases (3)	3,653		12		2,067		10		9		20
Sales (3)	(911)		(7)		(704)		—		(105)		(99)
Issuances (3)	—		—		—		—		—		—
Settlements (3)	—		—		—		—		—		—
Transfers into Level 3 (4)	5,416		3		73		—		—		153
Transfers out of Level 3 (4)	(535)		(14)		(494)		(7)		(184)		(91)
Balance, end of period	$	22,143	$	109	$	5,412	$	11	$	152	$	616
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at September 30, 2021 (5)	$	(21)	$	—	$	33	$	—	$	11	$	53
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at September 30, 2020 (5)	$	(42)	$	(2)	$	36	$	—	$	1	$	10
Changes in unrealized gains (losses) included in AOCI for the instruments still held at September 30, 2021 (5)	$	(1,141)	$	(1)	$	11	$	—	$	—	$	—
Changes in unrealized gains (losses) included in AOCI for the instruments still held at September 30, 2020 (5)	$	350	$	2	$	(12)	$	1	$	—	$	—


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Short-term Investments		Residential Mortgage Loans — FVO		Other Investments		Net Derivatives (7)		Net Embedded Derivatives (8)		Separate Accounts (9)
	(In millions)
Nine Months Ended September 30, 2021
Balance, beginning of period	$	43	$	165	$	573	$	594	$	(1,141)	$	1,079
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)	1		(3)		70		(490)		716		14
Total realized/unrealized gains (losses) included in AOCI	(2)		—		—		(365)		22		—
Purchases (3)	55		—		299		14		—		336
Sales (3)	(37)		(11)		(72)		—		—		(43)
Issuances (3)	—		—		—		(6)		—		(1)
Settlements (3)	—		(17)		—		43		(184)		6
Transfers into Level 3 (4)	—		—		—		1		—		10
Transfers out of Level 3 (4)	(3)		—		(25)		(1)		—		(2)
Balance, end of period	$	57	$	134	$	845	$	(210)	$	(587)	$	1,399
Nine Months Ended September 30, 2020
Balance, beginning of period	$	32	$	188	$	455	$	(146)	$	(742)	$	980
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)	(6)		10		(11)		163		(643)		(2)
Total realized/unrealized gains (losses) included in AOCI	(1)		—		—		980		(21)		—
Purchases (3)	2		—		42		—		—		204
Sales (3)	(17)		(7)		—		—		—		(95)
Issuances (3)	—		—		—		—		—		(4)
Settlements (3)	—		(15)		—		(253)		(192)		1
Transfers into Level 3 (4)	9		—		—		—		—		10
Transfers out of Level 3 (4)	(16)		—		—		(7)		—		(5)
Balance, end of period	$	3	$	176	$	486	$	737	$	(1,598)	$	1,089
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at September 30, 2021 (5)	$	—	$	(7)	$	66	$	(392)	$	715	$	—
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at September 30, 2020 (5)	$	(6)	$	6	$	(7)	$	3	$	(653)	$	—
Changes in unrealized gains (losses) included in AOCI for the instruments still held at September 30, 2021 (5)	$	—	$	—	$	—	$	(206)	$	22	$	—
Changes in unrealized gains (losses) included in AOCI for the instruments still held at September 30, 2020 (5)	$	(1)	$	—	$	—	$	801	$	(20)	$	—

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(1)Amortization of premium/accretion of discount is included within net investment income. Impairments charged to net income (loss) on securities are included in net investment gains (losses), while changes in estimated fair value of residential mortgage loans — FVO are included in net investment income. Lapses associated with net embedded derivatives are included in net derivative gains (losses). Substantially all realized/unrealized gains (losses) included in net income (loss) for net derivatives and net embedded derivatives are reported in net derivative gains (losses).

(2)Interest and dividend accruals, as well as cash interest coupons and dividends received, are excluded from the rollforward.

(3)Items purchased/issued and then sold/settled in the same period are excluded from the rollforward. Fees attributed to embedded derivatives are included in settlements.

(4)Items transferred into and then out of Level 3 in the same period are excluded from the rollforward.

(5)Changes in unrealized gains (losses) included in net income (loss) and included in AOCI relate to assets and liabilities still held at the end of the respective periods. Substantially all changes in unrealized gains (losses) included in net income (loss) for net derivatives and net embedded derivatives are reported in net derivative gains (losses).

(6)Comprised of U.S. and foreign corporate securities.

(7)Freestanding derivative assets and liabilities are presented net for purposes of the rollforward.

(8)Embedded derivative assets and liabilities are presented net for purposes of the rollforward.

(9)Investment performance related to separate account assets is fully offset by corresponding amounts credited to contractholders within separate account liabilities. Therefore, such changes in estimated fair value are not recorded in net income (loss). For the purpose of this disclosure, these changes are presented within net investment gains (losses). Separate account assets and liabilities are presented net for the purposes of the rollforward.

Fair Value Option

The following table presents information for residential mortgage loans which are accounted for under the FVO and were initially measured at fair value.


	September 30, 2021		December 31, 2020
	(In millions)
Unpaid principal balance	$	135	$	172
Difference between estimated fair value and unpaid principal balance	(1)		(7)
Carrying value at estimated fair value	$	134	$	165
Loans in nonaccrual status	$	32	$	45
Loans more than 90 days past due	$	16	$	27
Loans in nonaccrual status or more than 90 days past due, or both — difference between aggregate estimated fair value and unpaid principal balance	$	(6)	$	(13)

Nonrecurring Fair Value Measurements

The following table presents information for assets measured at estimated fair value on a nonrecurring basis during the periods and still held at the reporting dates (for example, when there is evidence of impairment), using significant unobservable inputs (Level 3).


	September 30,		December 31,		Three Months Ended September 30,				Nine Months Ended September 30,
	2021		2020		2021		2020		2021		2020
	Carrying Value After Measurement				Gains (Losses)
	(In millions)
Mortgage loans, net (1)	$	389	$	408	$	(16)	$	(43)	$	(41)	$	(52)

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(1)Estimated fair values for impaired mortgage loans are based on estimated fair value of the underlying collateral.

Fair Value of Financial Instruments Carried at Other Than Fair Value

The carrying values and estimated fair values for such financial instruments, and their corresponding placement in the fair value hierarchy, are summarized as follows at:


	September 30, 2021 (1)
			Fair Value Hierarchy
	Carrying Value		Level 1		Level 2		Level 3		Total Estimated Fair Value
	(In millions)
Assets
Mortgage loans (2)	$	80,830	$	—	$	—	$	84,846	$	84,846
Policy loans	$	9,186	$	—	$	—	$	10,968	$	10,968

Other invested assets	$	1,053	$	—	$	791	$	262	$	1,053
Premiums, reinsurance and other receivables	$	2,582	$	—	$	755	$	2,015	$	2,770
Other assets	$	296	$	—	$	101	$	192	$	293
Liabilities
Policyholder account balances	$	125,437	$	—	$	—	$	130,454	$	130,454
Long-term debt	$	13,923	$	—	$	16,825	$	—	$	16,825
Collateral financing arrangement	$	806	$	—	$	—	$	669	$	669
Junior subordinated debt securities	$	3,155	$	—	$	4,589	$	—	$	4,589
Other liabilities	$	3,328	$	—	$	1,737	$	2,261	$	3,998
Separate account liabilities	$	97,752	$	—	$	97,752	$	—	$	97,752


	December 31, 2020 (1)
			Fair Value Hierarchy
	Carrying Value		Level 1		Level 2		Level 3		Total Estimated Fair Value
	(In millions)
Assets
Mortgage loans (2)	$	83,754	$	—	$	—	$	88,675	$	88,675
Policy loans	$	9,493	$	—	$	—	$	11,598	$	11,598

Other invested assets	$	1,188	$	—	$	814	$	374	$	1,188
Premiums, reinsurance and other receivables	$	2,729	$	—	$	908	$	2,070	$	2,978
Other assets	$	300	$	—	$	111	$	190	$	301
Liabilities
Policyholder account balances	$	126,458	$	—	$	—	$	134,569	$	134,569
Long-term debt	$	14,492	$	—	$	18,332	$	—	$	18,332
Collateral financing arrangement	$	845	$	—	$	—	$	710	$	710
Junior subordinated debt securities	$	3,153	$	—	$	4,604	$	—	$	4,604
Other liabilities	$	2,113	$	—	$	527	$	2,606	$	3,133
Separate account liabilities	$	115,682	$	—	$	115,682	$	—	$	115,682

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(1)Excludes amounts for financial instruments reclassified to assets held-for-sale or liabilities held-for-sale. See Note 3 for information on the Company’s business dispositions.

(2)Includes mortgage loans measured at estimated fair value on a nonrecurring basis and excludes mortgage loans measured at estimated fair value on a recurring basis.