XML 34 R22.htm IDEA: XBRL DOCUMENT v3.5.0.2
Derivative Instruments (Tables)
 9 Months Ended
Sep. 30, 2016
Derivative Instruments [Abstract]  
Outstanding Derivative Instruments With Off-Balance-Sheet Risks



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



As of September 30, 2016

 

As of December 31, 2015

 



Notional

 

Fair Value

 

Notional

 

Fair Value

 



Amounts

 

Asset

 

Liability

 

Amounts

 

Asset

 

Liability

 

Qualifying Hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash flow hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (1)

$

 2,694 

 

$

 206 

 

$

 377 

 

$

 2,937 

 

$

 192 

 

$

 46 

 

Foreign currency contracts (1)

 

 1,038 

 

 

 140 

 

 

 12 

 

 

 910 

 

 

 84 

 

 

 2 

 

Total cash flow hedges

 

 3,732 

 

 

 346 

 

 

 389 

 

 

 3,847 

 

 

 276 

 

 

 48 

 

Fair value hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (1)

 

 1,512 

 

 

 420 

 

 

 279 

 

 

 1,529 

 

 

 269 

 

 

 198 

 

Non-Qualifying Hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (1)

 

 67,740 

 

 

 2,092 

 

 

 307 

 

 

 71,898 

 

 

 1,088 

 

 

 330 

 

Foreign currency contracts (1)

 

 204 

 

 

 -

 

 

 -

 

 

 74 

 

 

 -

 

 

 -

 

Equity market contracts (1)

 

 29,637 

 

 

 567 

 

 

 492 

 

 

 27,882 

 

 

 680 

 

 

 269 

 

Credit contracts (2)

 

 91 

 

 

 -

 

 

 -

 

 

 103 

 

 

 -

 

 

 9 

 

Embedded derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

GLB reserves (2)

 

 -

 

 

 -

 

 

 1,877 

 

 

 -

 

 

 -

 

 

 953 

 

Reinsurance related (3)

 

 -

 

 

 -

 

 

 137 

 

 

 -

 

 

 -

 

 

 87 

 

Indexed annuity and IUL contracts (4)

 

 -

 

 

 -

 

 

 1,125 

 

 

 -

 

 

 -

 

 

 1,100 

 

Total derivative instruments

$

 102,916 

 

$

 3,425 

 

$

 4,606 

 

$

 105,333 

 

$

 2,313 

 

$

 2,994 

 



(1)

Reported in derivative investments and other liabilities on our Consolidated Balance Sheets.

(2)

Reported in other liabilities on our Consolidated Balance Sheets.

(3)

Reported in reinsurance related embedded derivatives on our Consolidated Balance Sheets.

(4)

Reported in future contract benefits on our Consolidated Balance Sheets.
Maturity Of The Notional Amounts Of Derivative Financial Instruments



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



Remaining Life as of September 30, 2016

 



Less Than

 

1 - 5

 

6 - 10

 

11 - 30

 

Over 30

 

 

 



1 Year

 

Years

 

Years

 

Years

 

Years

 

Total

 

Interest rate contracts (1)

$

 10,629 

 

$

 25,755 

 

$

 21,506 

 

$

 12,843 

 

$

 1,213 

 

$

 71,946 

 

Foreign currency contracts (2)

 

 229 

 

 

 120 

 

 

 277 

 

 

 616 

 

 

 -

 

 

 1,242 

 

Equity market contracts

 

 18,556 

 

 

 8,742 

 

 

 1,872 

 

 

 17 

 

 

 450 

 

 

 29,637 

 

Credit contracts

 

 85 

 

 

 -

 

 

 6 

 

 

 -

 

 

 -

 

 

 91 

 

Total derivative instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

with notional amounts

$

 29,499 

 

$

 34,617 

 

$

 23,661 

 

$

 13,476 

 

$

 1,663 

 

$

 102,916 

 



(1)

As of September 30, 2016, the latest maturity date for which we were hedging our exposure to the variability in future cash flows for these instruments was April 2067.

(2)

As of September 30, 2016, the latest maturity date for which we were hedging our exposure to the variability in future cash flows for these instruments was December 2045.
Change In Our Unrealized Gain On Derivative Instruments In Accumulated OCI



 

 

 

 

 

 



 

 

 

 

 

 



For the Nine

 



Months Ended

 



September 30,

 



2016

 

2015

 

Unrealized Gain (Loss) on Derivative Instruments

 

 

 

 

 

 

Balance as of beginning-of-year

$

 132

 

$

 139

 

Other comprehensive income (loss):

 

 

 

 

 

 

Unrealized holding gains (losses) arising during the period:

 

 

 

 

 

 

Cash flow hedges:

 

 

 

 

 

 

Interest rate contracts

 

 (319

)

 

 (255

)

Foreign currency contracts

 

 22

 

 

 55

 

Change in foreign currency exchange rate adjustment

 

 42

 

 

 35

 

Change in DAC, VOBA, DSI and DFEL

 

 -

 

 

 1

 

Income tax benefit (expense)

 

 89

 

 

 57

 

Less:

 

 

 

 

 

 

Reclassification adjustment for gains (losses)

 

 

 

 

 

 

included in net income (loss):

 

 

 

 

 

 

Cash flow hedges:

 

 

 

 

 

 

Interest rate contracts (1)

 

 4

 

 

 (193

)

Interest rate contracts (2)

 

 (6

)

 

 1

 

Interest rate contracts (3)

 

 1

 

 

 -

 

Foreign currency contracts (1)

 

 7

 

 

 5

 

Foreign currency contracts (3)

 

 6

 

 

 -

 

Associated amortization of DAC, VOBA, DSI and DFEL

 

 (1

)

 

 2

 

Income tax benefit (expense)

 

 (4

)

 

 65

 

Balance as of end-of-period

$

 (41

)

$

 152

 



(1)

The OCI offset is reported within net investment income on our Consolidated Statements of Comprehensive Income (Loss).

(2)

The OCI offset is reported within interest and debt expense on our Consolidated Statements of Comprehensive Income (Loss).

(3)

The OCI offset is reported within realized gain (loss) on our Consolidated Statements of Comprehensive Income (Loss).



Gains (Losses) On Derivative Instruments Recorded Within Income (Loss) From Continuing Operations



 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 



For the Three

 

For the Nine

 

 



Months Ended

 

Months Ended

 

 



September 30,

 

September 30,

 

 



2016

 

2015

 

2016

 

2015

 

 

Qualifying Hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash flow hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (1)

$

 1

 

$

 1

 

$

 4

 

$

 5

 

 

Interest rate contracts (2)

 

 (4

)

 

 -

 

 

 (6

)

 

 1

 

 

Interest rate contracts (3)

 

 1

 

 

 -

 

 

 1

 

 

 -

 

 

Foreign currency contracts (1)

 

 4

 

 

 2

 

 

 7

 

 

 5

 

 

Foreign currency contracts (3)

 

 3

 

 

 -

 

 

 6

 

 

 -

 

 

Total cash flow hedges

 

 5

 

 

 3

 

 

 12

 

 

 11

 

 

Fair value hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (1)

 

 (8

)

 

 (7

)

 

 (22

)

 

 (22

)

 

Interest rate contracts (2)

 

 8

 

 

 8

 

 

 24

 

 

 24

 

 

Interest rate contracts (3)

 

 5

 

 

 (44

)

 

 (81

)

 

 (214

)

 

Total fair value hedges

 

 5

 

 

 (43

)

 

 (79

)

 

 (212

)

 

Non-Qualifying Hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (3)

 

 19

 

 

 625

 

 

 1,609

 

 

 435

 

 

Foreign currency contracts (3)

 

 (2

)

 

 (6

)

 

 (5

)

 

 (12

)

 

Equity market contracts (3)

 

 (519

)

 

 491

 

 

 (1,100

)

 

 201

 

 

Equity market contracts (4)

 

 7

 

 

 (10

)

 

 9

 

 

 (6

)

 

Credit contracts (3)

 

 1

 

 

 (5

)

 

 (6

)

 

 (4

)

 

Embedded derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

GLB reserves (3)

 

 581

 

 

 (1,439

)

 

 (924

)

 

 (1,113

)

 

Reinsurance related (3)

 

 (3

)

 

 4

 

 

 (50

)

 

 34

 

 

Indexed annuity and IUL contracts (3)

 

 (64

)

 

 86

 

 

 (76

)

 

 39

 

 

Total derivative instruments

$

 30

 

$

 (294

)

$

 (610

)

$

 (627

)

 



(1)

Reported in net investment income on our Consolidated Statements of Comprehensive Income (Loss).

(2)

Reported in interest and debt expense on our Consolidated Statements of Comprehensive Income (Loss).

(3)

Reported in realized gain (loss) on our Consolidated Statements of Comprehensive Income (Loss).

(4)

Reported in commissions and other expenses on our Consolidated Statements of Comprehensive Income (Loss).
Gains (Losses) On Derivative Instruments Designated As Cash Flow Hedges



 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 



For the Three

 

For the Nine

 



Months Ended

 

Months Ended

 



September 30,

 

September 30,

 



2016

 

2015

 

2016

 

2015

 

Offset to net investment income

$

 5

 

$

 3

 

$

 11

 

$

 10

 

Offset to realized gain (loss)

 

 4

 

 

 -

 

 

 7

 

 

 -

 

Offset to interest and debt expense

 

 (4

)

 

 -

 

 

 (6

)

 

 1

 



 

 

 

 

 

 

 

 

 

 

 

 



Open Credit Default Swap Liabilities



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of September 30, 2016

 



 

 

 

 

 

Credit

 

 

 

 

 

 

 

 

 



 

Reason

 

Nature

 

Rating of

 

Number

 

 

 

 

Maximum

 



 

for

 

of

Underlying

of

 

Fair

 

Potential

 

Maturity

 

Entering

 

Recourse

Obligation (1)

Instruments

 

Value (2)

 

Payout

 

12/20/2016 (3)

 

(4)

 

(5)

 

BB

 

 2 

 

$

 -

 

$

 45 

 

3/20/2017 (3)

 

(4)

 

(5)

 

BBB+

 

 2 

 

 

 -

 

 

 40 

 



 

 

 

 

 

 

 

 4 

 

$

 -

 

$

 85 

 





 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of December 31, 2015

 



 

 

 

 

 

Credit

 

 

 

 

 

 

 

 

 



 

Reason

 

Nature

 

Rating of

 

Number

 

 

 

 

Maximum

 



 

for

 

of

Underlying

of

 

Fair

 

Potential

 

Maturity

 

Entering

 

Recourse

Obligation (1)

Instruments

 

Value (2)

 

Payout

 

12/20/2016 (3)

 

(4)

 

(5)

 

BBB-

 

 2

 

$

 (2

)

$

 45

 

3/20/2017 (3)

 

(4)

 

(5)

 

BBB-

 

 3

 

 

 (7

)

 

 58

 



 

 

 

 

 

 

 

 5

 

$

 (9

)

$

 103

 



(1)

Represents average credit ratings based on the midpoint of the applicable ratings among Moody’s, S&P and Fitch Ratings, as scaled to the corresponding S&P ratings.

(2)

Broker quotes are used to determine the market value of these credit default swaps.

(3)

These credit default swaps were sold to a counterparty of the consolidated VIEs discussed in Note 4 in our 2015 Form 10-K.

(4)

Credit default swaps were entered into in order to generate income by providing default protection in return for a quarterly payment.

(5)

Sellers do not have the right to demand indemnification or compensation from third parties in case of a loss (payment) on the contract.

Collateral Support Agreements



 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 



 

As of

 

 

As of

 

 



September 30,

December 31,

 



 

2016

 

 

2015

 

 

Maximum potential payout

 

$

 85 

 

 

$

 103 

 

 

Less:  Counterparty thresholds

 

 

 -

 

 

 

 -

 

 

Maximum collateral potentially required to post

 

$

 85 

 

 

$

 103 

 

 



Schedule Of Collateral Amounts With Rights To Reclaim Or Obligation To Return Cash



 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 



 

As of September 30, 2016

 

As of December 31, 2015

 



 

Collateral

 

Collateral

 

Collateral

 

Collateral

 



 

Posted by

 

Posted by

 

Posted by

 

Posted by

 

S&P

 

Counter-

 

LNC

 

Counter-

 

LNC

 

Credit

 

Party

 

(Held by

 

Party

 

(Held by

 

Rating of

 

(Held by

 

Counter-

 

(Held by

 

Counter-

 

Counterparty

 

LNC)

 

Party)

 

LNC)

 

Party)

 



 

 

 

 

 

 

 

 

 

 

 

 

 

AA-

 

$

 145

 

$

 -

 

$

 92

 

$

 -

 

A+

 

 

 57

 

 

 (15

)

 

 67

 

 

 -

 

A

 

 

 1,574

 

 

 (427

)

 

 866

 

 

 (143

)

A-

 

 

 5

 

 

 -

 

 

 11

 

 

 -

 

BBB+

 

 

 600

 

 

 (82

)

 

 351

 

 

 -

 



 

$

 2,381

 

$

 (524

)

$

 1,387

 

$

 (143

)



Schedule Of Offsetting Assets And Liabilities



 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 



 

As of September 30, 2016

 



 

 

 

 

Embedded

 

 

 

 



Derivative

Derivative

 

 

 

 



Instruments

Instruments

 

Total

 



 

 

 

 

 

 

 

 

 

 

 

 

Financial Assets

 

 

 

 

 

 

 

 

 

 

 

 

Gross amount of recognized assets

 

$

 3,103

 

 

$

 -

 

 

$

 3,103

 

Gross amounts offset

 

 

 (933

)

 

 

 -

 

 

 

 (933

)

Net amount of assets

 

 

 2,170

 

 

 

 -

 

 

 

 2,170

 

Gross amounts not offset:

 

 

 

 

 

 

 

 

 

 

 

 

Cash collateral

 

 

 (2,381

)

 

 

 -

 

 

 

 (2,381

)

Net amount

 

$

 (211

)

 

$

 -

 

 

$

 (211

)



 

 

 

 

 

 

 

 

 

 

 

 

Financial Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Gross amount of recognized liabilities

 

$

 534

 

 

$

 3,139

 

 

$

 3,673

 

Gross amounts offset

 

 

 (322

)

 

 

 -

 

 

 

 (322

)

Net amount of liabilities

 

 

 212

 

 

 

 3,139

 

 

 

 3,351

 

Gross amounts not offset:

 

 

 

 

 

 

 

 

 

 

 

 

Cash collateral

 

 

 (524

)

 

 

 -

 

 

 

 (524

)

Net amount

 

$

 (312

)

 

$

 3,139

 

 

$

 2,827

 









 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 



 

As of December 31, 2015

 



 

 

 

 

Embedded

 

 

 

 



Derivative

Derivative

 

 

 

 



Instruments

Instruments

 

Total

 



 

 

 

 

 

 

 

 

 

 

 

 

Financial Assets

 

 

 

 

 

 

 

 

 

 

 

 

Gross amount of recognized assets

 

$

 2,250

 

 

$

 -

 

 

$

 2,250

 

Gross amounts offset

 

 

 (713

)

 

 

 -

 

 

 

 (713

)

Net amount of assets

 

 

 1,537

 

 

 

 -

 

 

 

 1,537

 

Gross amounts not offset:

 

 

 

 

 

 

 

 

 

 

 

 

Cash collateral

 

 

 (1,387

)

 

 

 -

 

 

 

 (1,387

)

Net amount

 

$

 150

 

 

$

 -

 

 

$

 150

 



 

 

 

 

 

 

 

 

 

 

 

 

Financial Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Gross amount of recognized liabilities

 

$

 139

 

 

$

 2,140

 

 

$

 2,279

 

Gross amounts offset

 

 

 (61

)

 

 

 -

 

 

 

 (61

)

Net amount of liabilities

 

 

 78

 

 

 

 2,140

 

 

 

 2,218

 

Gross amounts not offset:

 

 

 

 

 

 

 

 

 

 

 

 

Cash collateral

 

 

 (143

)

 

 

 -

 

 

 

 (143

)

Net amount

 

$

 (65

)

 

$

 2,140

 

 

$

 2,075