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Fair Value
 9 Months Ended
Sep. 30, 2020
Fair Value Disclosures [Abstract]  
Fair Value 7. Fair ValueConsiderable judgment is often required in interpreting the market data used to develop estimates of fair value, and the use of different assumptions or valuation methodologies may have a material effect on the estimated fair value amounts.
Recurring Fair Value Measurements
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, 2020
Fair Value Hierarchy
Level 1Level 2Level 3
Total 
Estimated
Fair Value
(In millions)
Assets
Fixed maturity securities AFS:
U.S. corporate
$— $53,028 $6,306 $59,334 
U.S. government and agency
14,763 20,174 — 34,937 
Foreign corporate
— 23,033 7,574 30,607 
RMBS
479 22,683 3,116 26,278 
ABS
— 11,604 918 12,522 
Municipals
— 8,971 3 8,974 
CMBS
— 6,490 298 6,788 
Foreign government
— 5,127 7 5,134 
Total fixed maturity securities AFS
15,242 151,110 18,222 184,574 
Short-term investments
2,048 304 — 2,352 
Residential mortgage loans — FVO
— — 176 176 
Other investments
302 314 522 1,138 
Derivative assets: (1)
Interest rate
— 7,468 763 8,231 
Foreign currency exchange rate
— 2,143 3 2,146 
Credit
— 110 17 127 
Equity market
1 640 30 671 
Total derivative assets
1 10,361 813 11,175 
Separate account assets (2)
26,384 97,553 955 124,892 
Total assets (3)
$43,977 $259,642 $20,688 $324,307 
Liabilities
Derivative liabilities: (1)
Interest rate
$— $95 $8 $103 
Foreign currency exchange rate
— 1,308 — 1,308 
Credit
— 5 1 6 
Equity market
13 251 13 277 
Total derivative liabilities
13 1,659 22 1,694 
Embedded derivatives within liability host contracts (4)
— — 2,348 2,348 
Separate account liabilities (2)
18 10 8 36 
Total liabilities
$31 $1,669 $2,378 $4,078 
December 31, 2019
Fair Value Hierarchy
Level 1Level 2Level 3
Total
Estimated
Fair Value
(In millions)
Assets
Fixed maturity securities AFS:
U.S. corporate
$— $53,975 $4,484 $58,459 
Foreign corporate
— 25,403 4,898 30,301 
U.S. government and agency
11,484 17,764 — 29,248 
RMBS
3 20,158 2,612 22,773 
ABS
— 9,459 742 10,201 
Municipals
— 7,849 7 7,856 
CMBS
— 5,679 41 5,720 
Foreign government
— 4,996 10 5,006 
Total fixed maturity securities AFS
11,487 145,283 12,794 169,564 
Short-term investments
1,077 789 17 1,883 
Residential mortgage loans — FVO
— — 188 188 
Other investments
396 56 799 1,251 
Derivative assets: (1)
Interest rate
— 5,690 80 5,770 
Foreign currency exchange rate
— 1,642 — 1,642 
Credit
— 172 32 204 
Equity market
— 439 25 464 
Total derivative assets
— 7,943 137 8,080 
Separate account assets (2)
22,753 94,192 922 117,867 
Total assets (3)
$35,713 $248,263 $14,857 $298,833 
Liabilities
Derivative liabilities: (1)
Interest rate
$— $167 $191 $358 
Foreign currency exchange rate
— 1,225 — 1,225 
Credit
— 11 1 12 
Equity market
5 485 17 507 
Total derivative liabilities
5 1,888 209 2,102 
Embedded derivatives within liability host contracts (4)
— — 1,325 1,325 
Separate account liabilities (2)
1 14 7 22 
Total liabilities
$6 $1,902 $1,541 $3,449 
__________________
(1)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.
(2)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.
(3)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, 2020 and December 31, 2019, the estimated fair value of such investments was $71 million and $90 million, respectively.
(4)Embedded derivatives within liability host contracts are presented within policyholder account balances and other liabilities on the interim condensed consolidated balance sheets.
The following describes the valuation methodologies used to measure assets and liabilities at fair value.
Investments
Securities, Short-term Investments and Other Investments
When available, the estimated fair value of these financial instruments is based on quoted prices in active markets that are readily and regularly obtainable. Generally, these are the most liquid of the Company’s securities holdings and valuation of these securities does not involve management’s judgment.
When quoted prices in active markets are not available, the determination of estimated fair value is based on market standard valuation methodologies, giving priority to observable inputs. The significant inputs to the market standard valuation methodologies for certain types of securities with reasonable levels of price transparency are inputs that are observable in the market or can be derived principally from, or corroborated by, observable market data. When observable inputs are not available, the market standard valuation methodologies rely on inputs that are significant to the estimated fair value that are not observable in the market or cannot be derived principally from, or corroborated by, observable market data. These unobservable inputs can be based in large part on management’s judgment or estimation and cannot be supported by reference to market activity. Even though these inputs are unobservable, management believes they are consistent with what other market participants would use when pricing such securities and are considered appropriate given the circumstances.
The estimated fair value of other investments is determined on a basis consistent with the methodologies described herein for securities.
The valuation approaches and key inputs for each category of assets or liabilities that are classified within Level 2 and Level 3 of the fair value hierarchy are presented below. The primary valuation approaches are the market approach, which considers recent prices from market transactions involving identical or similar assets or liabilities, and the income approach, which converts expected future amounts (e.g. cash flows) to a single current, discounted amount. The valuation of most instruments listed below is determined using independent pricing sources, matrix pricing, discounted cash flow methodologies or other similar techniques that use either observable market inputs or unobservable inputs.
Instrument
Level 2
Observable Inputs
Level 3
Unobservable Inputs
Fixed maturity securities AFS
U.S. corporate and Foreign corporate securities
Valuation Approaches: Principally the market and income approaches.
Valuation Approaches: Principally the market approach.
Key Inputs:
Key Inputs:
•
quoted prices in markets that are not active
•
illiquidity premium
•benchmark yields; spreads off benchmark yields; new issuances; issuer ratings•delta spread adjustments to reflect specific credit-related issues
•trades of identical or comparable securities; duration•credit spreads
•
privately-placed securities are valued using the additional key inputs:
•
quoted prices in markets that are not active for identical or similar
securities that are less liquid and based on lower levels of trading
activity than securities classified in Level 2
•
market yield curve; call provisions
•
observable prices and spreads for similar public or private securities that
incorporate the credit quality and industry sector of the issuer
•

independent non-binding broker quotations
•
delta spread adjustments to reflect specific credit-related issues
U.S. government and agency securities, Municipals and Foreign government securities
Valuation Approaches: Principally the market approach.
Valuation Approaches: Principally the market approach.
Key Inputs:
Key Inputs:
•
quoted prices in markets that are not active
•
independent non-binding broker quotations
•
benchmark U.S. Treasury yield or other yields
•
quoted prices in markets that are not active for identical or similar
securities that are less liquid and based on lower levels of trading
activity than securities classified in Level 2
•
the spread off the U.S. Treasury yield curve for the identical security
•issuer ratings and issuer spreads; broker-dealer quotations•credit spreads
•
comparable securities that are actively traded
Structured Products
Valuation Approaches: Principally the market and income approaches.
Valuation Approaches: Principally the market and income approaches.
Key Inputs:
Key Inputs:
•quoted prices in markets that are not active•
credit spreads
•
spreads for actively traded securities; spreads off benchmark yields
•
quoted prices in markets that are not active for identical or similar
securities that are less liquid and based on lower levels of trading
activity than securities classified in Level 2
•
expected prepayment speeds and volumes
•
current and forecasted loss severity; ratings; geographic region
•
independent non-binding broker quotations
•
weighted average coupon and weighted average maturity
•credit ratings
•
average delinquency rates; debt-service coverage ratios
•
credit ratings
•
issuance-specific information, including, but not limited to:
•collateral type; structure of the security; vintage of the loans
•payment terms of the underlying assets
•
payment priority within the tranche; deal performance
Instrument
Level 2
Observable Inputs
Level 3
Unobservable Inputs
Short-term investments and Other investments
•
Certain short-term investments and other investments are of a similar nature and class to the fixed maturity securities AFS described above; while certain other investments are similar to equity securities. The valuation approaches and observable inputs used in their valuation are also similar to those described above. Other investments contain equity securities valued using quoted pries in markets that are not considered active.
•
Certain short-term investments and other investments are of a similar nature and class to the fixed maturity securities AFS described above; while certain other investments are similar to equity securities. The valuation approaches and unobservable inputs used in their valuation are also similar to those described above. Other investments contain equity securities that use key unobservable inputs such as credit ratings; issuance structures, in addition to those described above for fixed maturities AFS.
Residential mortgage loans — FVO
• N/A
Valuation Approaches: Principally the market approach.
Valuation Techniques and Key Inputs: These investments are based primarily on matrix pricing or other similar techniques that utilize inputs from mortgage servicers that are unobservable or cannot be derived principally from, or corroborated by, observable market data.
Separate account assets and Separate account liabilities (1)
Mutual funds and hedge funds without readily determinable fair values as prices are not published publicly
Key Input:•N/A
•
quoted prices or reported NAV provided by the fund managers
Other limited partnership interests
•N/A
Valued giving consideration to the underlying holdings
of the partnerships and adjusting, if appropriate.
Key Inputs:
•liquidity; bid/ask spreads; performance record of the fund manager
•
other relevant variables that may impact the exit value of the particular
partnership interest
__________________
(1)Estimated fair value equals carrying value, based on the value of the underlying assets, including: mutual fund interests, fixed maturity securities, equity securities, derivatives, hedge funds, other limited partnership interests, short-term investments and cash and cash equivalents. Fixed maturity securities, equity securities, derivatives, short-term investments and cash and cash equivalents are similar in nature to the instruments described under “— Securities, Short-term Investments and Other Investments” and “— Derivatives — Freestanding Derivatives.”
Derivatives
The estimated fair value of derivatives is determined through the use of quoted market prices for exchange-traded derivatives, or through the use of pricing models for OTC-bilateral and OTC-cleared derivatives. The determination of estimated fair value, when quoted market values are not available, is based on market standard valuation methodologies and inputs that management believes are consistent with what other market participants would use when pricing such instruments. Derivative valuations can be affected by changes in interest rates, foreign currency exchange rates, financial indices, credit spreads, default risk, nonperformance risk, volatility, liquidity and changes in estimates and assumptions used in the pricing models.
The significant inputs to the pricing models for most OTC-bilateral and OTC-cleared derivatives are inputs that are observable in the market or can be derived principally from, or corroborated by, observable market data. Certain OTC-bilateral and OTC-cleared derivatives may rely on inputs that are significant to the estimated fair value that are not observable in the market or cannot be derived principally from, or corroborated by, observable market data. These unobservable inputs may involve significant management judgment or estimation. Even though unobservable, these inputs are based on assumptions deemed appropriate given the circumstances and management believes they are consistent with what other market participants would use when pricing such instruments.
Most inputs for OTC-bilateral and OTC-cleared derivatives are mid-market inputs but, in certain cases, liquidity adjustments are made when they are deemed more representative of exit value. Market liquidity, as well as the use of different methodologies, assumptions and inputs, may have a material effect on the estimated fair values of the Company’s derivatives and could materially affect net income.
The credit risk of both the counterparty and the Company are considered in determining the estimated fair value for all OTC-bilateral and OTC-cleared derivatives, and any potential credit adjustment is based on the net exposure by counterparty after taking into account the effects of netting agreements and collateral arrangements. The Company values its OTC-bilateral and OTC-cleared derivatives using standard swap curves which may include a spread to the risk-free rate, depending upon specific collateral arrangements. This credit spread is appropriate for those parties that execute trades at pricing levels consistent with similar collateral arrangements. As the Company and its significant derivative counterparties generally execute trades at such pricing levels and hold sufficient collateral, additional credit risk adjustments are not currently required in the valuation process. The Company’s ability to consistently execute at such pricing levels is, in part, due to the netting agreements and collateral arrangements that are in place with all of its significant derivative counterparties. An evaluation of the requirement to make additional credit risk adjustments is performed by the Company each reporting period.
Freestanding Derivatives
Level 2 Valuation Approaches and Key Inputs:
This level includes all types of derivatives utilized by the Company with the exception of exchange-traded derivatives included within Level 1 and those derivatives with unobservable inputs as described in Level 3.
Level 3 Valuation Approaches and Key Inputs:
These valuation methodologies generally use the same inputs as described in the corresponding sections for Level 2 measurements of derivatives. However, these derivatives result in Level 3 classification because one or more of the significant inputs are not observable in the market or cannot be derived principally from, or corroborated by, observable market data.
Freestanding derivatives are principally valued using the income approach. Valuations of non-option-based derivatives utilize present value techniques, whereas valuations of option-based derivatives utilize option pricing models. Key inputs are as follows:
InstrumentInterest RateForeign Currency
Exchange Rate		CreditEquity Market
Inputs common to Level 2 and Level 3 by instrument type
•
swap yield curves
•
swap yield curves
•
swap yield curves
•
swap yield curves
•
basis curves
•
basis curves
•
credit curves
•
spot equity index levels
•interest rate volatility (1)•
currency spot rates
•
recovery rates
•
dividend yield curves
•cross currency basis curves•
equity volatility (1)
Level 3•
swap yield curves (2)
•
swap yield curves (2)
•
swap yield curves (2)
•
dividend yield curves (2)
•
basis curves (2)
•
basis curves (2)
•
credit curves (2)
•
equity volatility (1), (2)
•repurchase rates•
cross currency basis curves (2)
•

credit spreads •
correlation between model
inputs (1)
•
currency correlation
•repurchase rates
•
independent non-binding
broker quotations
__________________
(1)Option-based only.
(2)Extrapolation beyond the observable limits of the curve(s).
Embedded Derivatives
Embedded derivatives principally include certain direct and assumed variable annuity guarantees, annuity contracts, and investment risk within funds withheld related to certain reinsurance agreements. Embedded derivatives are recorded at estimated fair value with changes in estimated fair value reported in net income.
The Company issues certain variable annuity products with guaranteed minimum benefits. GMWBs, GMABs and certain GMIBs contain embedded derivatives, which are measured at estimated fair value separately from the host variable annuity contract, with changes in estimated fair value reported in net derivative gains (losses). These embedded derivatives are classified within policyholder account balances on the consolidated balance sheets.
The Company calculates the fair value of these embedded derivatives, which is estimated as the present value of projected future benefits minus the present value of projected future fees using actuarial and capital market assumptions including expectations concerning policyholder behavior. The calculation is based on in-force business, projecting future cash flows from the embedded derivative over multiple risk neutral stochastic scenarios using observable risk-free rates.
Capital market assumptions, such as risk-free rates and implied volatilities, are based on market prices for publicly traded instruments to the extent that prices for such instruments are observable. Implied volatilities beyond the observable period are extrapolated based on observable implied volatilities and historical volatilities. Actuarial assumptions, including mortality, lapse, withdrawal and utilization, are unobservable and are reviewed at least annually based on actuarial studies of historical experience.
The valuation of these guarantee liabilities includes nonperformance risk adjustments and adjustments for a risk margin related to non-capital market inputs. The nonperformance adjustment is determined by taking into consideration publicly available information relating to spreads in the secondary market for MetLife, Inc.’s debt, including related credit default swaps. These observable spreads are then adjusted, as necessary, to reflect the priority of these liabilities and the claims paying ability of the issuing insurance subsidiaries as compared to MetLife, Inc.
Risk margins are established to capture the non-capital market risks of the instrument which represent the additional compensation a market participant would require to assume the risks related to the uncertainties of such actuarial assumptions as annuitization, premium persistency, partial withdrawal and surrenders. The establishment of risk margins requires the use of significant management judgment, including assumptions of the amount and cost of capital needed to cover the guarantees. These guarantees may be more costly than expected in volatile or declining equity markets. Market conditions including, but not limited to, changes in interest rates, equity indices, market volatility and foreign currency exchange rates; changes in nonperformance risk; and variations in actuarial assumptions regarding policyholder behavior, mortality and risk margins related to non-capital market inputs, may result in significant fluctuations in the estimated fair value of the guarantees that could materially affect net income.
The estimated fair value of the embedded derivatives within funds withheld related to certain ceded reinsurance is determined based on the change in estimated fair value of the underlying assets held by the Company in a reference portfolio backing the funds withheld liability. The estimated fair value of the underlying assets is determined as described in “— Investments — Securities, Short-term Investments and Other Investments.” The estimated fair value of these embedded derivatives is included, along with their funds withheld hosts, in other liabilities on the consolidated balance sheets with changes in estimated fair value recorded in net derivative gains (losses). Changes in the credit spreads on the underlying assets, interest rates and market volatility may result in significant fluctuations in the estimated fair value of these embedded derivatives that could materially affect net income.
The Company issues certain annuity contracts which allow the policyholder to participate in returns from equity indices. These equity indexed features are embedded derivatives which are measured at estimated fair value separately from the host fixed annuity contract, with changes in estimated fair value reported in net derivative gains (losses). These embedded derivatives are classified within policyholder account balances on the consolidated balance sheets.
The estimated fair value of the embedded equity indexed derivatives, based on the present value of future equity returns to the policyholder using actuarial and present value assumptions including expectations concerning policyholder behavior, is calculated by the Company’s actuarial department. The calculation is based on in-force business and uses standard capital market techniques, such as Black-Scholes, to calculate the value of the portion of the embedded derivative for which the terms are set. The portion of the embedded derivative covering the period beyond where terms are set is calculated as the present value of amounts expected to be spent to provide equity indexed returns in those periods. The valuation of these embedded derivatives also includes the establishment of a risk margin, as well as changes in nonperformance risk.
Embedded Derivatives Within Asset and Liability Host Contracts
Level 3 Valuation Approaches and Key Inputs:
Direct and assumed guaranteed minimum benefits
These embedded derivatives are principally valued using the income approach. Valuations are based on option pricing techniques, which utilize significant inputs that may include swap yield curves, currency exchange rates and implied volatilities. These embedded derivatives result in Level 3 classification because one or more of the significant inputs are not observable in the market or cannot be derived principally from, or corroborated by, observable market data. Significant unobservable inputs generally include: the extrapolation beyond observable limits of the swap yield curves and implied volatilities, actuarial assumptions for policyholder behavior and mortality and the potential variability in policyholder behavior and mortality, nonperformance risk and cost of capital for purposes of calculating the risk margin.
Embedded derivatives within funds withheld related to certain ceded reinsurance
These embedded derivatives are principally valued using the income approach. The valuations are based on present value techniques, which utilize significant inputs that may include the swap yield curves and the fair value of assets within the reference portfolio. These embedded derivatives result in Level 3 classification because one or more of the significant inputs are not observable in the market or cannot be derived principally from, or corroborated by, observable market data. Significant unobservable inputs generally include the fair value of certain assets within the reference portfolio which are not observable in the market and cannot be derived principally from, or corroborated by, observable market data.
Transfers between Levels
Overall, transfers between levels occur when there are changes in the observability of inputs and market activity.
Transfers into or out of Level 3:
Assets and liabilities are transferred into Level 3 when a significant input cannot be corroborated with market observable data. This occurs when market activity decreases significantly and underlying inputs cannot be observed, current prices are not available, and/or when there are significant variances in quoted prices, thereby affecting transparency. Assets and liabilities are transferred out of Level 3 when circumstances change such that a significant input can be corroborated with market observable data. This may be due to a significant increase in market activity, a specific event, or one or more significant input(s) becoming observable.
Assets and Liabilities Measured at Fair Value Using Significant Unobservable Inputs (Level 3)
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, 2020December 31, 2019Impact of
Increase in Input
on Estimated
Fair Value (2)
Valuation
Techniques
Significant
Unobservable Inputs		RangeWeighted
Average (1)		RangeWeighted
Average (1)
Fixed maturity securities AFS (3)
U.S. corporate and foreign corporate
•
Matrix pricing
•Offered quotes (4)1-1811145-145110Increase
•
Market pricing
•
Quoted prices (4)
2-11710025-131101Increase
RMBS
•
Market pricing
•
Quoted prices (4)
—-14397—-11995Increase (5)
ABS
•
Market pricing
•
Quoted prices (4)
5-106988-10198Increase (5)
Derivatives
Interest rate
•
Present value techniques
•
Swap yield (6)
69-163127190-251Increase (7)
•Repurchase rates (8)(2)-73(6)-6Decrease (7)
Foreign currency exchange rate
•
Present value techniques
•
Swap yield (6)
(34)-(14)(19)(22)-(5)Increase (7)
Credit
•
Present value techniques
•
Credit spreads (9)
97-1009996-100Decrease (7)
•
Consensus pricing
•
Offered quotes (10)
Equity market•
Present value techniques or option pricing models
•
Volatility (11)
27%-31%30%14%-23%Increase (7)
•
Correlation (12)
10%-30%10%10%-30%
Embedded derivatives
Direct and assumed guaranteed minimum benefits
•
Option pricing techniques
•
Mortality rates:
Ages 0 - 400.01%-0.12%0.06%0.01%-0.18%Decrease (13)
Ages 41 - 60
0.05%-0.65%0.30%0.04%-0.57%Decrease (13)
Ages 61 - 115
0.31%-100%1.90%0.26%-100%Decrease (13)
•
Lapse rates:
Durations 1 - 10
0.25%-100%6.86%0.25%-100%Decrease (14)
Durations 11 - 20
4.70%-100%5.18%3%-100%Decrease (14)
Durations 21 - 116
2%-100%5.18%2%-100%Decrease (14)
•
Utilization rates
0%-22%0.17%0%-22%Increase (15)
•
Withdrawal rates
0.25%-10%3.98%0.25%-10%(16)
•
Long-term equity volatilities
16.66%-22.21%18.70%16.24%-21.65%Increase (17)
•
Nonperformance risk spread
0.04%-0.45%0.40%0.03%-0.43%Decrease (18)
__________________
(1)The weighted average for fixed maturity securities AFS and derivatives is determined based on the estimated fair value of the securities. 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.
(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)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.
(10)At both September 30, 2020 and December 31, 2019, independent non-binding broker quotations were used in the determination of less than 1% of the total net derivative estimated fair value.
(11)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.
(12)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.
(13)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.
(14)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.
(15)The utilization rate assumption estimates the percentage of contractholders with a GMIB or 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.
(16)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.
(17)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.
(18)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.
Generally, all other classes of assets and liabilities classified within Level 3 that are not included in the preceding table use the same valuation techniques and significant unobservable inputs as previously described for Level 3. The sensitivity of the estimated fair value to changes in the significant unobservable inputs for these other assets and liabilities is similar in nature to that described in the preceding table.
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)Structured
Products		Foreign
Government		MunicipalsShort-term
Investments
 (In millions)
Three Months Ended September 30, 2020
Balance, beginning of period
$12,978 $4,546 $15 $— $— 
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)
(3)23 — — — 
Total realized/unrealized gains (losses) included in AOCI
409 80 — 1 — 
Purchases (3)
705 263 — 2 — 
Sales (3)
(485)(282)— — — 
Issuances (3)
— — — — — 
Settlements (3)
— — — — — 
Transfers into Level 3 (4)
512 26 — — — 
Transfers out of Level 3 (4)
(236)(324)(8)— — 
Balance, end of period
$13,880 $4,332 $7 $3 $— 
Three Months Ended September 30, 2019
Balance, beginning of period
$7,650 $3,242 $10 $7 $113 
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)
(11)10 — — 1 
Total realized/unrealized gains (losses) included in AOCI
79 — — — — 
Purchases (3)
732 425 — — 251 
Sales (3)
(203)(116)— — (2)
Issuances (3)
— — — — — 
Settlements (3)
— — — — — 
Transfers into Level 3 (4)
527 — — — — 
Transfers out of Level 3 (4)
(58)(104)— — — 
Balance, end of period
$8,716 $3,457 $10 $7 $363 
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at September 30, 2020 (5)$(5)$13 $— $— $— 
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at September 30, 2019 (5)$(4)$10 $— $— $1 
Changes in unrealized gains (losses) included in AOCI for the instruments still held at September 30, 2020 (5)$401 $80 $— $1 $— 
 Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 Residential
Mortgage
Loans - FVO
Other
Investments
Net
Derivatives (7)		Net Embedded
Derivatives (8)		Separate
Accounts (9) 
 (In millions)
Three Months Ended September 30, 2020
Balance, beginning of period
$175 $696 $938 $(2,571)$912 
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)
6 14 5 270 — 
Total realized/unrealized gains (losses) included in AOCI
— — (20)— — 
Purchases (3)
— — — — 72 
Sales (3)
— (60)— — (26)
Issuances (3)
— — — — (2)
Settlements (3)
(5)— (132)(47)— 
Transfers into Level 3 (4)
— — — — — 
Transfers out of Level 3 (4)
— (128)— — (9)
Balance, end of period
$176 $522 $791 $(2,348)$947 
Three Months Ended September 30, 2019
Balance, beginning of period
$262 $620 $73 $(1,219)$925 
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)
2 5 81 (424)5 
Total realized/unrealized gains (losses) included in AOCI
— — 215 — — 
Purchases (3)
— 51 — — 89 
Sales (3)
(39)(22)— — (88)
Issuances (3)
— — — — — 
Settlements (3)
(7)— (115)(52)(2)
Transfers into Level 3 (4)
— — — — — 
Transfers out of Level 3 (4)
— — — — — 
Balance, end of period
$218 $654 $254 $(1,695)$929 
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at September 30, 2020 (5)$6 $13 $1 $266 $— 
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at September 30, 2019 (5)$(8)$6 $28 $(423)$— 
Changes in unrealized gains (losses) included in AOCI for the instruments still held at September 30, 2020 (5)$— $— $(28)$— $— 
 Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 Fixed Maturity Securities AFS
 Corporate (6)Structured
Products		Foreign
Government		MunicipalsShort-term
Investments
 (In millions)
Nine Months Ended September 30, 2020
Balance, beginning of period
$9,382 $3,395 $10 $7 $17 
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)
(85)29 — — — 
Total realized/unrealized gains (losses) included in AOCI
157 (18)— 1 — 
Purchases (3)
2,307 1,555 — 2 — 
Sales (3)
(823)(570)(1)— (2)
Issuances (3)
— — — — — 
Settlements (3)
— — — — — 
Transfers into Level 3 (4)
3,339 57 — — — 
Transfers out of Level 3 (4)
(397)(116)(2)(7)(15)
Balance, end of period
$13,880 $4,332 $7 $3 $— 
Nine Months Ended September 30, 2019
Balance, beginning of period
$7,101 $3,541 $10 $— $25 
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)
(13)34 — — 1 
Total realized/unrealized gains (losses) included in AOCI
439 41 — — (1)
Purchases (3)
1,495 597 — 7 363 
Sales (3)
(483)(408)(1)— (25)
Issuances (3)
— — — — — 
Settlements (3)
— — — — — 
Transfers into Level 3 (4)
484 1 1 — — 
Transfers out of Level 3 (4)
(307)(349)— — — 
Balance, end of period
$8,716 $3,457 $10 $7 $363 
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at September 30, 2020 (5)$(48)$34 $— $— $— 
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at September 30, 2019 (5)$(8)$33 $— $— $1 
Changes in unrealized gains (losses) included in AOCI for the instruments still held at September 30, 2020 (5)$135 $(18)$— $1 $— 
 Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 Residential
Mortgage
Loans - FVO
Other
 Investments
Net
Derivatives (7)		Net Embedded
Derivatives (8)
Separate
Accounts (9) 
 (In millions)
Nine Months Ended September 30, 2020
Balance, beginning of period
$188 $799 $(72)$(1,325)$915 
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)
10 18 236 (889)1 
Total realized/unrealized gains (losses) included in AOCI
— — 993 — — 
Purchases (3)
— 31 — — 119 
Sales (3)
(7)(97)— — (90)
Issuances (3)
— — — — (4)
Settlements (3)
(15)— (366)(134)1 
Transfers into Level 3 (4)
— — — — 10 
Transfers out of Level 3 (4)
— (229)— — (5)
Balance, end of period
$176 $522 $791 $(2,348)$947 
Nine Months Ended September 30, 2019
Balance, beginning of period
$299 $571 $(192)$(704)$937 
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)
8 63 51 (847)10 
Total realized/unrealized gains (losses) included in AOCI
— — 439 — — 
Purchases (3)
— 80 4 — 129 
Sales (3)
(64)(60)— — (146)
Issuances (3)
— — (1)— 2 
Settlements (3)
(25)— (47)(144)(3)
Transfers into Level 3 (4)
— — — — — 
Transfers out of Level 3 (4)
— — — — — 
Balance, end of period
$218 $654 $254 $(1,695)$929 
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at September 30, 2020 (5)$6 $20 $52 $(894)$— 
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at September 30, 2019 (5)$(7)$55 $36 $(843)$— 
Changes in unrealized gains (losses) included in AOCI for the instruments still held at September 30, 2020 (5)$— $— $801 $— $— 
__________________
(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 Company elects the FVO for certain residential mortgage loans that are managed on a total return basis. 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, 2020December 31, 2019
(In millions)
Unpaid principal balance$185 $209 
Difference between estimated fair value and unpaid principal balance(9)(21)
Carrying value at estimated fair value$176 $188 
Loans in nonaccrual status$48 $47 
Loans more than 90 days past due$24 $18 
Loans in nonaccrual status or more than 90 days past due, or both — difference between aggregate estimated fair value and unpaid principal balance
$(15)$(19)
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). The estimated fair values for these assets were determined using significant unobservable inputs (Level 3).
September 30,Three Months Ended September 30,Nine Months Ended
September 30,
202020192020201920202019
Carrying Value After MeasurementGains (Losses)
(In millions)
Mortgage loans, net (1)$265 $13 $(30)$— $(38)$— 
__________________
(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 following tables provide fair value information for financial instruments that are carried on the balance sheet at amounts other than fair value. These tables exclude the following financial instruments: cash and cash equivalents, accrued investment income, payables for collateral under securities loaned and other transactions, short-term debt and those short-term investments that are not securities, such as time deposits, and therefore are not included in the three-level hierarchy table disclosed in the “— Recurring Fair Value Measurements” section. The Company believes that due to the short-term nature of these excluded assets, which are primarily classified in Level 2, the estimated fair value approximates carrying value. All remaining balance sheet amounts excluded from the tables below are not considered financial instruments subject to this disclosure.
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, 2020
Fair Value Hierarchy
Carrying
Value		Level 1Level 2Level 3Total
Estimated
Fair Value
(In millions)
Assets
Mortgage loans
$65,926 $— $— $69,275 $69,275 
Policy loans
$6,018 $— $264 $7,163 $7,427 
Other invested assets
$2,806 $— $2,527 $136 $2,663 
Premiums, reinsurance and other receivables
$13,916 $— $288 $14,102 $14,390 
Liabilities
Policyholder account balances
$77,736 $— $— $83,223 $83,223 
Long-term debt
$1,606 $— $1,994 $— $1,994 
Other liabilities
$13,798 $— $1,265 $12,883 $14,148 
Separate account liabilities
$59,230 $— $59,230 $— $59,230 

December 31, 2019
Fair Value Hierarchy
Carrying
Value		Level 1Level 2Level 3Total
Estimated
Fair Value
(In millions)
Assets
Mortgage loans
$65,361 $— $— $67,680 $67,680 
Policy loans
$6,100 $— $263 $6,935 $7,198 
Other invested assets
$2,964 $— $2,708 $158 $2,866 
Premiums, reinsurance and other
receivables
$14,042 $— $367 $14,488 $14,855 
Liabilities
Policyholder account balances
$73,693 $— $— $75,885 $75,885 
Long-term debt
$1,543 $— $1,888 $— $1,888 
Other liabilities
$12,789 $— $113 $12,819 $12,932 
Separate account liabilities
$52,830 $— $52,830 $— $52,830