XML 35 R23.htm IDEA: XBRL DOCUMENT v3.8.0.1
Derivatives (Tables)
 9 Months Ended
Sep. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivatives Instruments Statements of Financial Performance and Financial Position, Location
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, 2017
 
December 31, 2016
 
Primary Underlying Risk Exposure
 
Gross
Notional
Amount
 
Estimated Fair Value
 
Gross
Notional
Amount
 
Estimated Fair Value
 
Assets
 
Liabilities
 
Assets
 
Liabilities
 
 
 
(In millions)
Derivatives Designated as Hedging Instruments:
 
 
 
 
 
 
 
 
 
 
 
 
Fair value hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
Interest rate
 
$
182

 
$
44

 
$
—

 
$
310

 
$
41

 
$
—

Cash flow hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
Interest rate
 
45

 
8

 
—

 
45

 
7

 
—

Foreign currency swaps
Foreign currency exchange rate
 
1,599

 
118

 
48

 
1,493

 
202

 
11

Subtotal
 
 
1,644

 
126

 
48

 
1,538

 
209

 
11

Total qualifying hedges
 
 
1,826

 
170

 
48

 
1,848

 
250

 
11

Derivatives Not Designated or Not Qualifying as Hedging Instruments:
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
Interest rate
 
20,227

 
994

 
786

 
28,175

 
1,928

 
1,687

Interest rate floors
Interest rate
 
—

 
—

 
—

 
2,100

 
6

 
2

Interest rate caps
Interest rate
 
5,032

 
7

 
—

 
12,042

 
25

 
—

Interest rate futures
Interest rate
 
282

 
—

 
—

 
1,288

 
9

 
—

Interest rate options
Interest rate
 
24,600

 
183

 
28

 
15,520

 
136

 
—

Interest rate total return swaps
Interest rate
 
—

 
—

 
—

 
3,876

 
—

 
611

Foreign currency swaps
Foreign currency exchange rate
 
970

 
82

 
25

 
1,261

 
155

 
4

Foreign currency forwards
Foreign currency exchange rate
 
166

 
1

 
—

 
158

 
9

 
—

Credit default swaps — purchased
Credit
 
37

 
—

 
—

 
37

 
—

 
—

Credit default swaps — written
Credit
 
1,901

 
37

 
—

 
1,913

 
28

 
—

Equity futures
Equity market
 
2,535

 
—

 
11

 
8,037

 
38

 
—

Equity index options
Equity market
 
47,728

 
827

 
1,568

 
37,501

 
897

 
934

Equity variance swaps
Equity market
 
14,894

 
176

 
607

 
14,894

 
140

 
517

Equity total return swaps
Equity market
 
1,794

 
—

 
63

 
2,855

 
1

 
117

Total non-designated or nonqualifying derivatives
 
120,166

 
2,307

 
3,088

 
129,657

 
3,372

 
3,872

Total
 
 
$
121,992

 
$
2,477

 
$
3,136

 
$
131,505

 
$
3,622

 
$
3,883

The following table presents earned income on derivatives:
 
 
Three Months
Ended
September 30,
 
Nine Months
Ended
September 30,
 
 
2017
 
2016
 
2017
 
2016
 
 
(In millions)
Qualifying hedges:
 
 
 
 
 
 
 
 
Net investment income
 
$
5

 
$
5

 
$
17

 
$
14

Nonqualifying hedges:
 
 
 
 
 
 
 
 
Net derivative gains (losses)
 
67

 
125

 
253

 
321

Policyholder benefits and claims
 
1

 
4

 
8

 
11

Total
 
$
73

 
$
134

 
$
278

 
$
346
Amount and location of gains (losses) recognized in income for derivatives that are not designated or qualifying as hedging instruments
The following table presents the amount and location of gains (losses) recognized in income for derivatives that were not designated or qualifying as hedging instruments:
 
Net
Derivative
Gains (Losses)
 
Net
Investment
Income (1)
 
Policyholder
Benefits and
Claims (2) 
 
(In millions)
Three Months Ended September 30, 2017
 
 
 
 
 
Interest rate derivatives
$
(81
)
 
$
—

 
$
6

Foreign currency exchange rate derivatives
(30
)
 
—

 
—

Credit derivatives — written
6

 
—

 
—

Equity derivatives
(712
)
 
—

 
(64
)
Total
$
(817
)
 
$
—

 
$
(58
)
Three Months Ended September 30, 2016
 
 
 
 
 
Interest rate derivatives
$
(372
)
 
$
—

 
$
(3
)
Foreign currency exchange rate derivatives
(8
)
 
—

 
—

Credit derivatives — written
9

 
—

 
—

Equity derivatives
(794
)
 
(2
)
 
(188
)
Total
$
(1,165
)
 
$
(2
)
 
$
(191
)
Nine Months Ended September 30, 2017
 
 
 
 
 
Interest rate derivatives
$
(145
)
 
$
—

 
$
8

Foreign currency exchange rate derivatives
(72
)
 
—

 
—

Credit derivatives — written
17

 
—

 
—

Equity derivatives
(2,123
)
 
(1
)
 
(341
)
Total
$
(2,323
)
 
$
(1
)
 
$
(333
)
Nine Months Ended September 30, 2016
 
 
 
 
 
Interest rate derivatives
$
1,044

 
$
—

 
$
26

Foreign currency exchange rate derivatives
24

 
—

 
—

Credit derivatives — written
8

 
—

 
—

Equity derivatives
(1,145
)
 
(6
)
 
(205
)
Total
$
(69
)
 
$
(6
)
 
$
(179
)
__________________
(1)
Changes in estimated fair value related to economic hedges of equity method investments in joint ventures.
(2)
Changes in estimated fair value related to economic hedges of variable annuity guarantees included in future policy benefits.
Net derivatives gains (losses) recognized on fair value derivatives and the related hedged items
The Company recognizes gains and losses on derivatives and the related hedged items in fair value hedges within net derivative gains (losses). The following table presents the amount of such net derivative gains (losses):


Derivatives in Fair Value
Hedging Relationships
 


Hedged Items in Fair Value
Hedging Relationships
 
Net Derivative
Gains (Losses)
Recognized
for Derivatives
 
Net Derivative
Gains (Losses)
Recognized for
Hedged Items
 
Ineffectiveness
Recognized in
Net Derivative
Gains (Losses)
 
 
 
 
(In millions)
Three Months Ended September 30, 2017
 
 
 
 
 
 
Interest rate swaps:
 
Fixed maturity securities
 
$
—

 
$
—

 
$
—

 
 
Policyholder liabilities (1)
 
1

 
(1
)
 
—

Total
 
$
1

 
$
(1
)
 
$
—

Three Months Ended September 30, 2016
 
 
 
 
 
 
Interest rate swaps:
 
Fixed maturity securities
 
$
2

 
$
(1
)
 
$
1

 
 
Policyholder liabilities (1)
 
1

 
(1
)
 
—

Total
 
$
3

 
$
(2
)
 
$
1

Nine Months Ended September 30, 2017
 
 
 
 
 
 
Interest rate swaps:
 
Fixed maturity securities
 
$
—

 
$
—

 
$
—

 
 
Policyholder liabilities (1)
 
2

 
(2
)
 
—

Total
 
$
2

 
$
(2
)
 
$
—

Nine Months Ended September 30, 2016
 
 
 
 
 
 
Interest rate swaps:
 
Fixed maturity securities
 
$
(1
)
 
$
1

 
$
—

 
 
Policyholder liabilities (1)
 
25

 
(25
)
 
—

Total
 
$
24

 
$
(24
)
 
$
—

__________________
(1)
Fixed rate liabilities reported in policyholder account balances or future policy benefits.
Schedule of Cash Flow Hedging Instruments, Statements of Financial Performance and Financial Position, Location
The following table presents the effects of derivatives in cash flow hedging relationships on the consolidated and combined statements of operations and comprehensive income (loss) and the consolidated and combined statements of equity:
Derivatives in Cash Flow
Hedging Relationships
 
Amount of Gains
(Losses) Deferred in
AOCI on Derivatives
 
Amount and Location
of Gains (Losses)
Reclassified from
AOCI into Income (Loss)
 
Amount and Location
of Gains (Losses)
Recognized in Income
(Loss) on Derivatives
 
 
(Effective Portion)
 
(Effective Portion)
 
(Ineffective Portion)
 
 
 
 
Net Derivative
Gains (Losses)
 
Net Investment
Income
 
Net Derivative
Gains (Losses)
 
 
 
 
(In millions)
 
 
Three Months Ended September 30, 2017
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
—

 
$
—

 
$
—

 
$
—

Interest rate forwards
 
1

 
—

 
1

 
—

Foreign currency swaps
 
(53
)
 
—

 
—

 
—

Total
 
$
(52
)
 
$
—

 
$
1

 
$
—

Three Months Ended September 30, 2016
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
1

 
$
—

 
$
1

 
$
—

Interest rate forwards
 
2

 
1

 
1

 
—

Foreign currency swaps
 
(19
)
 
5

 
—

 
—

Total
 
$
(16
)
 
$
6

 
$
2

 
$
—

Nine Months Ended September 30, 2017
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
1

 
$
—

 
$
2

 
$
—

Interest rate forwards
 
2

 
2

 
2

 
—

Foreign currency swaps
 
(107
)
 
11

 
—

 
—

Total
 
$
(104
)
 
$
13

 
$
4

 
$
—

Nine Months Ended September 30, 2016
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
37

 
$
12

 
$
2

 
$
—

Interest rate forwards
 
9

 
2

 
2

 
—

Foreign currency swaps
 
29

 
6

 
—

 
—

Total
 
$
75

 
$
20

 
$
4

 
$
—
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, 2017
 
December 31, 2016
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)
 
$
—

 
$
25

 
2.9

 
$
—

 
$
45

 
2.2

Credit default swaps referencing indices
 
11

 
533

 
3.0

 
8

 
433

 
3.7

Subtotal
 
11

 
558

 
3.0

 
8

 
478

 
3.6

Baa
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps (3)
 
1

 
130

 
1.3

 
2

 
180

 
1.6

Credit default swaps referencing indices
 
25

 
1,188

 
5.3

 
18

 
1,235

 
4.8

Subtotal
 
26

 
1,318

 
4.9

 
20

 
1,415

 
4.4

Ba
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps (3)
 
—

 
25

 
4.7

 
—

 
20

 
2.7

Credit default swaps referencing indices
 
—

 
—

 
—

 
—

 
—

 
—

Subtotal
 
—

 
25

 
4.7

 
—

 
20

 
2.7

Total
 
$
37

 
$
1,901

 
4.3

 
$
28

 
$
1,913

 
4.2

__________________
(1)
The rating agency designations are based on availability and the midpoint of the applicable ratings among Moody’s Investors Service (“Moody’s”), Standard & Poor’s 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 state and political subdivisions.
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, 2017
 
December 31, 2016
Derivatives Subject to a Master Netting Arrangement or a Similar Arrangement
 
Assets
 
Liabilities
 
Assets
 
Liabilities
 
 
(In millions)
Gross estimated fair value of derivatives:
 
 
 
 
 
 
 
 
OTC-bilateral (1)
 
$
2,514

 
$
3,096

 
$
3,411

 
$
2,929

OTC-cleared (1), (6)
 
32

 
22

 
268

 
905

Exchange-traded
 
—

 
11

 
47

 
—

Total gross estimated fair value of derivatives (1)
 
2,546

 
3,129

 
3,726

 
3,834

Amounts offset on the consolidated and combined balance sheets
 
—

 
—

 
—

 
—

Estimated fair value of derivatives presented on the consolidated and combined balance sheets (1), (6)
 
2,546

 
3,129

 
3,726

 
3,834

Gross amounts not offset on the consolidated and combined balance sheets:
 
 
 
 
 
 
 
 
Gross estimated fair value of derivatives: (2)
 
 
 
 
 
 
 
 
OTC-bilateral
 
(2,050
)
 
(2,050
)
 
(2,231
)
 
(2,231
)
OTC-cleared
 
(2
)
 
(2
)
 
(165
)
 
(165
)
Exchange-traded
 
—

 
—

 
—

 
—

Cash collateral: (3), (4)
 
 
 
 
 
 
 
 
OTC-bilateral
 
(347
)
 
—

 
(653
)
 
—

OTC-cleared
 
(25
)
 
(19
)
 
(92
)
 
(740
)
Exchange-traded
 
—

 
—

 
—

 
—

Securities collateral: (5)
 
 
 
 
 
 
 
 
OTC-bilateral
 
(114
)
 
(1,037
)
 
(429
)
 
(698
)
OTC-cleared
 
—

 
(1
)
 
—

 
—

Exchange-traded
 
—

 
(11
)
 
—

 
—

Net amount after application of master netting agreements and collateral
 
$
8

 
$
9

 
$
156

 
$
—

__________________
(1)
At September 30, 2017 and December 31, 2016, derivative assets included income or expense accruals reported in accrued investment income or in other liabilities of $69 million and $104 million, respectively, and derivative liabilities included (income) or expense accruals reported in accrued investment income or in other liabilities of ($7) million and ($49) million, respectively.
(2)
Estimated fair value of derivatives is limited to the amount that is subject to set-off and includes income or expense accruals.
(3)
Cash collateral received by the Company for OTC-bilateral and OTC-cleared derivatives is included in cash and cash equivalents, short-term investments or in fixed maturity securities, and the obligation to return it is included in payables for collateral under securities loaned and other transactions on the balance sheet.
(4)
The receivable for the return of cash collateral provided by the Company is inclusive of initial margin on exchange-traded and OTC-cleared derivatives and is included in premiums, reinsurance and other receivables on the balance sheet. The amount of cash collateral offset in the table above is limited to the net estimated fair value of derivatives after application of netting agreements. At September 30, 2017 and December 31, 2016, the Company received excess cash collateral of $296 million and $4 million, respectively, and provided excess cash collateral of $2 million and $25 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, 2017, none of the collateral had been sold or re-pledged. Securities collateral pledged by the Company is reported in fixed maturity securities on the balance sheet. Subject to certain constraints, the counterparties are permitted by contract to sell or re-pledge this collateral. The amount of securities collateral offset in the table above is limited to the net estimated fair value of derivatives after application of netting agreements and cash collateral. At September 30, 2017 and December 31, 2016, the Company received excess securities collateral with an estimated fair value of $152 million and $135 million, respectively, for its OTC-bilateral derivatives, which are not included in the table above due to the foregoing limitation. At September 30, 2017 and December 31, 2016, the Company provided excess securities collateral with an estimated fair value of $296 million and $108 million, respectively, for its OTC-bilateral derivatives, and $426 million and $630 million, respectively, for its OTC-cleared derivatives, and $103 million and $453 million, respectively, for its exchange-traded derivatives, which are not included in the table above due to the foregoing limitation.
(6)
Effective January 3, 2017, the CME amended its rulebook, resulting in the characterization of variation margin transfers as settlement payments, as opposed to adjustments to collateral. See Note 1 for further information on the CME amendments.
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, 2017
 
December 31, 2016
Derivatives Subject to a Master Netting Arrangement or a Similar Arrangement
 
Assets
 
Liabilities
 
Assets
 
Liabilities
 
 
(In millions)
Gross estimated fair value of derivatives:
 
 
 
 
 
 
 
 
OTC-bilateral (1)
 
$
2,514

 
$
3,096

 
$
3,411

 
$
2,929

OTC-cleared (1), (6)
 
32

 
22

 
268

 
905

Exchange-traded
 
—

 
11

 
47

 
—

Total gross estimated fair value of derivatives (1)
 
2,546

 
3,129

 
3,726

 
3,834

Amounts offset on the consolidated and combined balance sheets
 
—

 
—

 
—

 
—

Estimated fair value of derivatives presented on the consolidated and combined balance sheets (1), (6)
 
2,546

 
3,129

 
3,726

 
3,834

Gross amounts not offset on the consolidated and combined balance sheets:
 
 
 
 
 
 
 
 
Gross estimated fair value of derivatives: (2)
 
 
 
 
 
 
 
 
OTC-bilateral
 
(2,050
)
 
(2,050
)
 
(2,231
)
 
(2,231
)
OTC-cleared
 
(2
)
 
(2
)
 
(165
)
 
(165
)
Exchange-traded
 
—

 
—

 
—

 
—

Cash collateral: (3), (4)
 
 
 
 
 
 
 
 
OTC-bilateral
 
(347
)
 
—

 
(653
)
 
—

OTC-cleared
 
(25
)
 
(19
)
 
(92
)
 
(740
)
Exchange-traded
 
—

 
—

 
—

 
—

Securities collateral: (5)
 
 
 
 
 
 
 
 
OTC-bilateral
 
(114
)
 
(1,037
)
 
(429
)
 
(698
)
OTC-cleared
 
—

 
(1
)
 
—

 
—

Exchange-traded
 
—

 
(11
)
 
—

 
—

Net amount after application of master netting agreements and collateral
 
$
8

 
$
9

 
$
156

 
$
—

__________________
(1)
At September 30, 2017 and December 31, 2016, derivative assets included income or expense accruals reported in accrued investment income or in other liabilities of $69 million and $104 million, respectively, and derivative liabilities included (income) or expense accruals reported in accrued investment income or in other liabilities of ($7) million and ($49) million, respectively.
(2)
Estimated fair value of derivatives is limited to the amount that is subject to set-off and includes income or expense accruals.
(3)
Cash collateral received by the Company for OTC-bilateral and OTC-cleared derivatives is included in cash and cash equivalents, short-term investments or in fixed maturity securities, and the obligation to return it is included in payables for collateral under securities loaned and other transactions on the balance sheet.
(4)
The receivable for the return of cash collateral provided by the Company is inclusive of initial margin on exchange-traded and OTC-cleared derivatives and is included in premiums, reinsurance and other receivables on the balance sheet. The amount of cash collateral offset in the table above is limited to the net estimated fair value of derivatives after application of netting agreements. At September 30, 2017 and December 31, 2016, the Company received excess cash collateral of $296 million and $4 million, respectively, and provided excess cash collateral of $2 million and $25 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, 2017, none of the collateral had been sold or re-pledged. Securities collateral pledged by the Company is reported in fixed maturity securities on the balance sheet. Subject to certain constraints, the counterparties are permitted by contract to sell or re-pledge this collateral. The amount of securities collateral offset in the table above is limited to the net estimated fair value of derivatives after application of netting agreements and cash collateral. At September 30, 2017 and December 31, 2016, the Company received excess securities collateral with an estimated fair value of $152 million and $135 million, respectively, for its OTC-bilateral derivatives, which are not included in the table above due to the foregoing limitation. At September 30, 2017 and December 31, 2016, the Company provided excess securities collateral with an estimated fair value of $296 million and $108 million, respectively, for its OTC-bilateral derivatives, and $426 million and $630 million, respectively, for its OTC-cleared derivatives, and $103 million and $453 million, respectively, for its exchange-traded derivatives, which are not included in the table above due to the foregoing limitation.
(6)
Effective January 3, 2017, the CME amended its rulebook, resulting in the characterization of variation margin transfers as settlement payments, as opposed to adjustments to collateral. See Note 1 for further information on the CME amendments.
Derivative Instruments, Gain (Loss) [Line Items]  
Components of Net Derivatives Gains (Losses)
The components of net derivative gains (losses) were as follows:
 
 
Three Months
Ended
September 30,
 
Nine Months
Ended
September 30,
 
 
2017
 
2016
 
2017
 
2016
 
 
(In millions)
Freestanding derivatives and hedging gains (losses) (1)
 
$
(746
)
 
$
(1,032
)
 
$
(2,097
)
 
$
258

Embedded derivatives gains (losses)
 
582

 
531

 
890

 
(3,439
)
Total net derivative gains (losses)
 
$
(164
)
 
$
(501
)
 
$
(1,207
)
 
$
(3,181
)
__________________
(1)
Includes foreign currency transaction gains (losses) on hedged items in cash flow and nonqualifying hedging relationships, which are not presented elsewhere in this note.
Schedule of Derivative Instruments
OTC-bilateral derivatives that are not subject to collateral agreements are excluded from this table.  
 
 
September 30, 2017
 
December 31, 2016
 
 
(In millions)
Estimated fair value of derivatives in a net liability position (1)
 
$
1,046

 
$
698

Estimated Fair Value of Collateral Provided:
 
 
 
 
Fixed maturity securities
 
$
1,193

 
$
777

Cash
 
$
—

 
$
—

Fair Value of Incremental Collateral Provided Upon:
 
 
 
 
One-notch downgrade in financial strength rating
 
$
—

 
$
—

Downgrade in financial strength rating to a level that triggers full overnight collateralization or termination of the derivative position
 
$
—

 
$
—

__________________
(1)
After taking into consideration the existence of netting agreements.
Embedded Derivative Financial Instruments [Member]  
Derivative Instruments, Gain (Loss) [Line Items]  
Components of Net Derivatives Gains (Losses)
The following table presents changes in estimated fair value related to embedded derivatives:
 
 
Three Months
Ended
September 30,
 
Nine Months
Ended
September 30,
 
 
2017
 
2016
 
2017
 
2016
 
 
(In millions)
Net derivative gains (losses) (1), (2)
 
$
582

 
$
531

 
$
890

 
$
(3,439
)
Policyholder benefits and claims
 
$
(21
)
 
$
(14
)
 
$
(22
)
 
$
91

__________________
(1)
The valuation of direct and assumed guaranteed minimum benefits includes a nonperformance risk adjustment. The amounts included in net derivative gains (losses) in connection with this adjustment were $457 million and $385 million for the three months and nine months ended September 30, 2017, respectively, and ($78) million and $563 million for the three months and nine months ended September 30, 2016, respectively. In addition, the valuation of ceded guaranteed minimum benefits includes a nonperformance risk adjustment. The amounts included in net derivative gains (losses) in connection with this adjustment, were less than ($1) million for both the three months and nine months ended September 30, 2017, and $8 million and ($64) million for the three months and nine months ended September 30, 2016, respectively.
(2)
See Note 12 for discussion of related party net derivative gains (losses).
Schedule of Derivative Instruments
The following table presents the estimated fair value and balance sheet location of the Company’s embedded derivatives that have been separated from their host contracts at:
 
Balance Sheet Location
 
September 30, 2017
 
December 31, 2016
 
 
 
(In millions)
Embedded derivatives within asset host contracts:
 
 
 
 
 
Ceded guaranteed minimum benefits
Premiums, reinsurance and other receivables
 
$
220

 
$
628

Options embedded in debt or equity securities
Investments
 
(56
)
 
(49
)
Embedded derivatives within asset host contracts
 
$
164

 
$
579

 
 
 
 
 
 
Embedded derivatives within liability host contracts:
 
 
 
 
 
Direct guaranteed minimum benefits
Policyholder account balances
 
$
1,419

 
$
2,359

Assumed guaranteed minimum benefits
Policyholder account balances
 
—

 
460

Fixed annuities with equity indexed returns
Policyholder account balances
 
511


192

Embedded derivatives within liability host contracts
 
$
1,930

 
$
3,011