Investments and Derivative Instruments Level 1 (Notes)

9 Months Ended

Sep. 30, 2015

Investments and Derivative Instruments [Abstract]

Investments and Derivative Instruments [Text Block]

Net Realized Capital Gains (Losses)

	Three Months Ended September 30,						Nine Months Ended September 30,
(Before tax)	2015			2014			2015			2014
Gross gains on sales	$	83		$	116		$	401		$	421
Gross losses on sales	(73		)	(29		)	(333		)	(191		)
Net OTTI losses recognized in earnings	(40		)	(14		)	(63		)	(43		)
Valuation allowances on mortgage loans	1			—			(2		)	(3		)
Periodic net coupon settlements on credit derivatives	3			—			8			1
Results of variable annuity hedge program
GMWB derivatives, net	(32		)	6			(35		)	15
Macro hedge program	51			12			24			(13		)
Total results of variable annuity hedge program	19			18			(11		)	2
Other, net [1]	(37		)	(22		)	(30		)	(157		)
Net realized capital gains (losses)	$	(44	)	$	69		$	(30	)	$	30

[1] Primarily consists of changes in the value of non-qualifying derivatives, transactional foreign currency revaluation gains (losses) on yen denominated fixed payout annuity liabilities and gains (losses) on non-qualifying derivatives used to hedge the foreign currency exposure of the liabilities. For the three months ended September 30, 2015 and 2014, gains (losses) from transactional foreign currency revaluation of the yen denominated fixed payout annuity liabilities were $(17) and $83, respectively. For the nine months ended September 30, 2015 and 2014, gains (losses) from transactional foreign currency revaluation of the yen denominated fixed payout annuity liabilities were $(1) and $38, respectively. For the three months ended September 30, 2015 and 2014, gains (losses) on instruments used to hedge the foreign currency exposure on the fixed payout annuities were $8 and $(86), respectively. For the nine months ended September 30, 2015 and 2014, gains (losses) on instruments used to hedge the foreign currency exposure on the fixed payout annuities were $(23) and $(58), respectively.

Net realized capital gains and losses from investment sales are reported as a component of revenues and are determined on a specific identification basis. Before tax, net gains and losses on sales and impairments previously reported as unrealized gains in AOCI were$(29) and $14, respectively, for thethree and nine months endedSeptember 30, 2015, and $61and$186for thethree and nine months endedSeptember 30, 2014, respectively. Proceeds from sales of AFS securities totaled $4.5 billion and $16.3 billion, respectively, for three and nine months endedSeptember 30, 2015, and $5.2 billion and $19.6 billion for the three and nine months endedSeptember 30, 2014,respectively.

Recognition and Presentation of Other-Than-Temporary Impairments

The Company deems bonds and certain equity securities with debt-like characteristics (collectively “debt securities”) to be other-than-temporarily impaired (“impaired”) if a security meets the following conditions: a) the Company intends to sell or it is more likely than not that the Company will be required to sell the security before a recovery in value, or b) the Company does not expect to recover the entire amortized cost basis of the security. If the Company intends to sell or it is more likely than not that the Company will be required to sell the security before a recovery in value, a charge is recorded in net realized capital losses equal to the difference between the fair value and amortized cost basis of the security. For those impaired debt securities which do not meet the first condition and for which the Company does not expect to recover the entire amortized cost basis, the difference between the security’s amortized cost basis and the fair value is separated into the portion representing a credit OTTI, which is recorded in net realized capital losses, and the remaining non-credit impairment, which is recorded in OCI. Generally, the Company determines a security’s credit impairment as the difference between its amortized cost basis and its best estimate of expected future cash flows discounted at the security’s effective yield prior to impairment. The remaining non-credit impairment is the difference between the security’s fair value and the Company’s best estimate of expected future cash flows discounted at the security’s effective yield prior to the impairment, which typically represents current market liquidity and risk premiums. The previous amortized cost basis less the impairment recognized in net realized capital losses becomes the security’s new cost basis. The Company accretes the new cost basis to the estimated future cash flows over the expected remaining life of the security by prospectively adjusting the security’s yield, if necessary.

The Company’s evaluation of whether a credit impairment exists for debt securities includes but is not limited to, the following factors: (a) changes in the financial condition of the security’s underlying collateral, (b) whether the issuer is current on contractually obligated interest and principal payments, (c) changes in the financial condition, credit rating and near-term prospects of the issuer, (d) the extent to which the fair value has been less than the amortized cost of the security and (e) the payment structure of the security. The Company’s best estimate of expected future cash flows used to determine the credit loss amount is a quantitative and qualitative process that incorporates information received from third-party sources along with certain internal assumptions and judgments regarding the future performance of the security. The Company’s best estimate of future cash flows involves assumptions including, but not limited to, various performance indicators, such as historical and projected default and recovery rates, credit ratings, current and projected delinquency rates, and loan-to-value ("LTV") ratios. In addition, for structured securities, the Company considers factors including, but not limited to, average cumulative collateral loss rates that vary by vintage year, commercial and residential property value declines that vary by property type and location and commercial real estate delinquency levels. These assumptions require the use of significant management judgment and include the probability of issuer default and estimates regarding timing and amount of expected recoveries which may include estimating the underlying collateral value. In addition, projections of expected future debt security cash flows may change based upon new information regarding the performance of the issuer and/or underlying collateral such as changes in the projections of the underlying property value estimates.

For equity securities where the decline in the fair value is deemed to be other-than-temporary, a charge is recorded in net realized capital losses equal to the difference between the fair value and cost basis of the security. The previous cost basis less the impairment becomes the security’s new cost basis. The Company asserts its intent and ability to retain those equity securities deemed to be temporarily impaired until the price recovers. Once identified, these securities are systematically restricted from trading unless approved by investment and accounting professionals. The investment and accounting professionals will only authorize the sale of these securities based on predefined criteria that relate to events that could not have been reasonably foreseen. Examples of the criteria include, but are not limited to, the deterioration in the issuer’s financial condition, security price declines, a change in regulatory requirements or a major business combination or major disposition.

The primary factors considered in evaluating whether an impairment exists for an equity security include, but are not limited to: (a) the length of time and extent to which the fair value has been less than the cost of the security, (b) changes in the financial condition, credit rating and near-term prospects of the issuer, (c) whether the issuer is current on preferred stock dividends and (d) the intent and ability of the Company to retain the investment for a period of time sufficient to allow for recovery.

Impairments for thethree and nine months endedSeptember 30, 2015, were $40 and $63, respectively, and $14 and $43 for three and nine months endedSeptember 30, 2014, respectively. Impairments for the three and nine months endedSeptember 30, 2015, primarily consisted of securities in an unrealized loss position which the Company had made the decision to sell, and impairments caused by issuer specific deterioration.Impairments for the three months endedSeptember 30, 2014, primarily consisted of securities in an unrealized loss position which the Company had made the decision to sell. Impairments for thenine months endedSeptember 30, 2014, primarily consisted of credit impairments caused by issuer specific deterioration.

The following table presents a roll-forward of the Company’s cumulative credit impairments on debt securities held.

	Three Months Ended September 30,						Nine Months Ended September 30,
(Before tax)	2015			2014			2015			2014
Balance as of beginning of period	$	(388	)	$	(488	)	$	(424	)	$	(552	)
Additions for credit impairments recognized on [1]:
Securities not previously impaired	—			(1		)	(3		)	(9		)
Securities previously impaired	(12		)	(3		)	(13		)	(17		)
Reductions for credit impairments previously recognized on:
Securities that matured or were sold during the period	51			49			61			122
Securities the Company made the decision to sell or more likely than not will be required to sell	—			—			2			—
Securities due to an increase in expected cash flows	12			6			40			19
Balance as of end of period	$	(337	)	$	(437	)	$	(337	)	$	(437	)

[1] These additions are included in the net OTTI losses recognized in earnings in the Condensed Consolidated Statements of Operations.

Available-for-Sale Securities

The following table presents the Company’s AFS securities by type.

	September 30, 2015												December 31, 2014
	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value		Non-Credit OTTI [1]			Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value		Non-Credit OTTI [1]
ABS	$	2,715	$	37	$	(36	)	$	2,716	$	—		$	2,470	$	39	$	(37	)	$	2,472	$	(1	)
CDOs [2]	2,962		89		(17		)	3,031		—			2,776		98		(36		)	2,841		—
CMBS	4,404		163		(25		)	4,542		(6		)	4,235		196		(16		)	4,415		(6		)
Corporate	25,427		1,636		(291		)	26,772		(1		)	25,188		2,382		(211		)	27,359		(3		)
Foreign govt./govt. agencies	1,258		43		(46		)	1,255		—			1,592		73		(29		)	1,636		—
Municipal	11,275		959		(23		)	12,211		—			11,735		1,141		(5		)	12,871		—
RMBS	3,777		101		(19		)	3,859		—			3,815		122		(19		)	3,918		(1		)
U.S. Treasuries	4,457		274		(8		)	4,723		—			3,551		326		(5		)	3,872		—
Total fixed maturities, AFS	$	56,275	$	3,302	$	(465	)	$	59,109	$	(7	)	$	55,362	$	4,377	$	(358	)	$	59,384	$	(11	)
Equity securities, AFS [3]	826		34		(47		)	813		—			676		50		(27		)	699		—
Total AFS securities	$	57,101	$	3,336	$	(512	)	$	59,922	$	(7	)	$	56,038	$	4,427	$	(385	)	$	60,083	$	(11	)

[1] Represents the amount of cumulative non-credit OTTI losses recognized in OCI on securities that also had credit impairments. These losses are included in gross unrealized losses as of September 30, 2015, and December 31, 2014.

[2] Gross unrealized gains (losses) exclude the fair value of bifurcated embedded derivatives within certain securities. Subsequent changes in value are recorded in net realized capital gains (losses).

[3] Excludes equity securities, FVO, with a cost and fair value of $351 and $348, respectively, as of December 31, 2014. The Company did not hold any equity securities, FVO as of September 30, 2015.

The following table presents the Company’s fixed maturities, AFS, by contractual maturity year.

	September 30, 2015				December 31, 2014
Contractual Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
One year or less	$	2,395	$	2,413	$	2,141	$	2,168
Over one year through five years	10,997		11,427		11,264		11,827
Over five years through ten years	9,190		9,438		8,802		9,226
Over ten years	19,835		21,683		19,859		22,517
Subtotal	42,417		44,961		42,066		45,738
Mortgage-backed and asset-backed securities	13,858		14,148		13,296		13,646
Total fixed maturities, AFS	$	56,275	$	59,109	$	55,362	$	59,384

Estimated maturities may differ from contractual maturities due to security call or prepayment provisions. Due to the potential for variability in payment speeds (i.e. prepayments or extensions), mortgage-backed and asset-backed securities are not categorized by contractual maturity.

Concentration of Credit Risk

The Company aims to maintain a diversified investment portfolio including issuer, sector and geographic stratification, where applicable, and has established certain exposure limits, diversification standards and review procedures to mitigate credit risk. The Company had no investment exposure to any credit concentration risk of a single issuer greater than 10% of the Company's stockholders' equity, other than the U.S. government and certain U.S. government agencies as of September 30, 2015, or December 31, 2014.

Unrealized Losses on AFS Securities

The following tables present the Company’s unrealized loss aging for AFS securities by type and length of time the security was in a continuous unrealized loss position.

	September 30, 2015
	Less Than 12 Months							12 Months or More							Total
	Amortized Cost		Fair Value		Unrealized Losses			Amortized Cost		Fair Value		Unrealized Losses			Amortized Cost		Fair Value		Unrealized Losses
ABS	$	791	$	789	$	(2	)	$	358	$	324	$	(34	)	$	1,149	$	1,113	$	(36	)
CDOs [1]	1,047		1,041		(6		)	1,104		1,090		(11		)	2,151		2,131		(17		)
CMBS	745		730		(15		)	189		179		(10		)	934		909		(25		)
Corporate	6,528		6,298		(230		)	660		599		(61		)	7,188		6,897		(291		)
Foreign govt./govt. agencies	517		485		(32		)	127		113		(14		)	644		598		(46		)
Municipal	841		821		(20		)	38		35		(3		)	879		856		(23		)
RMBS	835		830		(5		)	402		388		(14		)	1,237		1,218		(19		)
U.S. Treasuries	766		758		(8		)	8		8		—			774		766		(8		)
Total fixed maturities, AFS	$	12,070	$	11,752	$	(318	)	$	2,886	$	2,736	$	(147	)	$	14,956	$	14,488	$	(465	)
Equity securities, AFS [2]	445		409		(36		)	74		63		(11		)	519		472		(47		)
Total securities in an unrealized loss position	$	12,515	$	12,161	$	(354	)	$	2,960	$	2,799	$	(158	)	$	15,475	$	14,960	$	(512	)

	December 31, 2014
	Less Than 12 Months							12 Months or More							Total
	Amortized Cost		Fair Value		Unrealized Losses			Amortized Cost		Fair Value		Unrealized Losses			Amortized Cost		Fair Value		Unrealized Losses
ABS	$	897	$	893	$	(4	)	$	473	$	440	$	(33	)	$	1,370	$	1,333	$	(37	)
CDOs [1]	748		743		(5		)	1,489		1,461		(31		)	2,237		2,204		(36		)
CMBS	230		227		(3		)	319		306		(13		)	549		533		(16		)
Corporate	3,082		2,980		(102		)	1,177		1,068		(109		)	4,259		4,048		(211		)
Foreign govt./govt. agencies	363		349		(14		)	227		212		(15		)	590		561		(29		)
Municipal	74		73		(1		)	86		82		(4		)	160		155		(5		)
RMBS	320		318		(2		)	433		416		(17		)	753		734		(19		)
U.S. Treasuries	432		431		(1		)	361		357		(4		)	793		788		(5		)
Total fixed maturities, AFS	$	6,146	$	6,014	$	(132	)	$	4,565	$	4,342	$	(226	)	$	10,711	$	10,356	$	(358	)
Equity securities, AFS [2]	172		160		(12		)	102		87		(15		)	274		247		(27		)
Total securities in an unrealized loss position	$	6,318	$	6,174	$	(144	)	$	4,667	$	4,429	$	(241	)	$	10,985	$	10,603	$	(385	)

[1] Unrealized losses exclude the change in fair value of bifurcated embedded derivatives within certain securities, for which changes in fair value are recorded in net realized capital gains (losses).

[2] As of September 30, 2015, and December 31, 2014, excludes equity securities, FVO which are included in equity securities, AFS on the Condensed Consolidated Balance Sheets.

As of September 30, 2015, AFS securities in an unrealized loss position, consisted of 4,208 securities, primarily in the corporate sector, which are depressed primarily due to an increase in interest rates and/or widening of credit spreads since the securities were purchased. As of September 30, 2015, 88% of these securities were depressed less than 20% of cost or amortized cost. The increase in unrealized losses as compared to December 31, 2014, was primarily attributable to wider credit spreads, partially offset by a decline in interest rates.

Most of the securities depressed for twelve months or more relate to certain floating rate corporate securities with greater than 10 years to maturity concentrated in the financial services sector, structured securities with exposure to commercial and residential real estate and student loan ABS. Corporate securities and student loan ABS, are primarily depressed because the securities have floating-rate coupons and have long-dated maturities, or are perpetual, and current credit spreads are wider than when these securities were purchased. For certain commercial and residential real estate securities, current market spreads continue to be wider than spreads at the securities' respective purchase dates. The Company neither has an intention to sell nor does it expect to be required to sell the securities outlined in the preceding discussion.

Mortgage Loans

Mortgage Loan Valuation Allowances

The Company’s security monitoring process reviews mortgage loans on a quarterly basis to identify potential credit losses. Commercial mortgage loans are considered to be impaired when management estimates that, based upon current information and events, it is probable that the Company will be unable to collect amounts due according to the contractual terms of the loan agreement. Criteria used to determine if an impairment exists include, but are not limited to: current and projected macroeconomic factors, such as unemployment rates, and property-specific factors such as rental rates, occupancy levels, LTV ratios and debt service coverage ratios (“DSCR”). In addition, the Company considers historic, current and projected delinquency rates and property values. These assumptions require the use of significant management judgment and include the probability and timing of borrower default and loss severity estimates. In addition, projections of expected future cash flows may change based upon new information regarding the performance of the borrower and/or underlying collateral such as changes in the projections of the underlying property value estimates.

For mortgage loans that are deemed impaired, a valuation allowance is established for the difference between the carrying amount and the Company’s share of either (a) the present value of the expected future cash flows discounted at the loan’s effective interest rate, (b) the loan’s observable market price or, most frequently, (c) the fair value of the collateral. A valuation allowance has been established for either individual loans or as a projected loss contingency for loans with an LTV ratio of 90% or greater and consideration of other credit quality factors, including DSCR. Changes in valuation allowances are recorded in net realized capital gains and losses. Interest income on impaired loans is accrued to the extent it is deemed collectible and the loans continue to perform under the original or restructured terms. Interest income ceases to accrue for loans when it is probable that the Company will not receive interest and principal payments according to the contractual terms of the loan agreement. Loans may resume accrual status when it is determined that sufficient collateral exists to satisfy the full amount of the loan and interest payments, as well as when it is probable cash will be received in the foreseeable future. Interest income on defaulted loans is recognized when received.

	September 30, 2015							December 31, 2014
	Amortized Cost [1]		Valuation Allowance			Carrying Value		Amortized Cost [1]		Valuation Allowance			Carrying Value
Total commercial mortgage loans	$	5,572	$	(20	)	$	5,552	$	5,574	$	(18	)	$	5,556

[1] Amortized cost represents carrying value prior to valuation allowances, if any.

As of September 30, 2015, and December 31, 2014, the carrying value of mortgage loans associated with the valuation allowance was $80 and $140, respectively. There were no mortgage loans held-for-sale as of September 30, 2015, or December 31, 2014. As of September 30, 2015, loans within the Company’s mortgage loan portfolio that have had extensions or restructurings other than what is allowable under the original terms of the contract are immaterial.

The following table presents the activity within the Company’s valuation allowance for mortgage loans. These loans have been evaluated both individually and collectively for impairment. Loans evaluated collectively for impairment are immaterial.

	2015			2014
Balance, as of January 1	$	(18	)	$	(67	)
(Additions)/Reversals	(4		)	(3		)
Deductions	2			51
Balance, as of September 30	$	(20	)	$	(19	)

The weighted-average LTV ratio of the Company’s commercial mortgage loan portfolio was 55% as of September 30, 2015, while the weighted-average LTV ratio at origination of these loans was 62%. LTV ratios compare the loan amount to the value of the underlying property collateralizing the loan. The loan values are updated no less than annually through property level reviews of the portfolio. Factors considered in the property valuation include, but are not limited to, actual and expected property cash flows, geographic market data and capitalization rates. DSCR compares a property’s net operating income to the borrower’s principal and interest payments. The weighted average DSCR of the Company’s commercial mortgage loan portfolio was 2.67x as of September 30, 2015. As of September 30, 2015, and December 31, 2014, the Company held one delinquent commercial mortgage loan past due by 90 days or more. The loan had a total carrying value and valuation allowance of $6 and $2, respectively, and was not accruing income.

The following table presents the carrying value of the Company’s commercial mortgage loans by LTV and DSCR.

Commercial Mortgage Loans Credit Quality
	September 30, 2015			December 31, 2014
Loan-to-value	Carrying Value		Avg. Debt-Service Coverage Ratio	Carrying Value		Avg. Debt-Service Coverage Ratio
Greater than 80%	$	23	1.16x	$	53	1.07x
65% - 80%	722		1.80x	789		1.75x
Less than 65%	4,807		2.82x	4,714		2.66x
Total commercial mortgage loans	$	5,552	2.67x	$	5,556	2.51x

The following tables present the carrying value of the Company’s mortgage loans by region and property type.

Mortgage Loans by Region
	September 30, 2015				December 31, 2014
	Carrying Value		Percent of Total		Carrying Value		Percent of Total
East North Central	$	259	4.7	%	$	211	3.8	%
East South Central	14		0.3	%	—		—	%
Middle Atlantic	419		7.5	%	468		8.4	%
Mountain	47		0.8	%	88		1.6	%
New England	406		7.3	%	381		6.9	%
Pacific	1,619		29.3	%	1,607		29.0	%
South Atlantic	1,173		21.1	%	1,019		18.3	%
West North Central	30		0.5	%	44		0.8	%
West South Central	311		5.6	%	302		5.4	%
Other [1]	1,274		22.9	%	1,436		25.8	%
Total mortgage loans	$	5,552	100.0	%	$	5,556	100.0	%

[1] Primarily represents loans collateralized by multiple properties in various regions.

Mortgage Loans by Property Type
	September 30, 2015				December 31, 2014
	Carrying Value		Percent of Total		Carrying Value		Percent of Total
Commercial
Agricultural	$	33	0.6	%	$	46	0.8	%
Industrial	1,437		25.9	%	1,476		26.6	%
Lodging	26		0.5	%	26		0.5	%
Multifamily	1,339		24.1	%	1,190		21.4	%
Office	1,504		27.1	%	1,517		27.3	%
Retail	1,063		19.1	%	1,147		20.6	%
Other	150		2.7	%	154		2.8	%
Total mortgage loans	$	5,552	100.0	%	$	5,556	100.0	%

Mortgage Servicing

The Company originates, sells and services commercial mortgage loans on behalf of third parties and recognizes servicing fees over the period that services are performed in fee income. As of September 30, 2015, under this program the Company serviced commercial mortgage loans with a total outstanding principal of $148 of which $59 was serviced on behalf of third parties and $89 was retained and reported on the Company’s Condensed Consolidated Balance Sheets, including $20 in separate account assets. Servicing rights are carried at the lower of cost or fair value and were zero as of September 30, 2015, because servicing fees were market-level fees at origination and remain adequate to compensate the Company to administer the servicing.

Variable Interest Entities

The Company is involved with various special purpose entities and other entities that are deemed to be VIEs primarily as a collateral or investment manager and as an investor through normal investment activities, as well as a means of accessing capital through a contingent capital facility.

A VIE is an entity that either has investors that lack certain essential characteristics of a controlling financial interest or lacks sufficient funds to finance its own activities without financial support provided by other entities. The Company performs ongoing qualitative assessments of its VIEs to determine whether the Company has a controlling financial interest in the VIE and therefore is the primary beneficiary. The Company is deemed to have a controlling financial interest when it has both the ability to direct the activities that most significantly impact the economic performance of the VIE and the obligation to absorb losses or right to receive benefits from the VIE that could potentially be significant to the VIE. Based on the Company’s assessment, if it determines it is the primary beneficiary, the Company consolidates the VIE in the Company’s Condensed Consolidated Financial Statements.

Consolidated VIEs

The following table presents the carrying value of assets and liabilities, and the maximum exposure to loss relating to the VIEs for which the Company is the primary beneficiary. Creditors have no recourse against the Company in the event of default by these VIEs nor does the Company have any implied or unfunded commitments to these VIEs. The Company’s financial or other support provided to these VIEs is limited to its collateral or investment management services and original investment.

	September 30, 2015						December 31, 2014
	Total Assets		Total Liabilities [1]		Maximum Exposure to Loss [2]		Total Assets		Total Liabilities [1]		Maximum Exposure to Loss [2]
CDOs [3]	$	5	$	5	$	—	$	5	$	5	$	—
Investment funds [4]	198		—		201		238		—		243
Limited partnerships and other alternative investments	2		—		2		3		1		2
Total	$	205	$	5	$	203	$	246	$	6	$	245

[1] Included in other liabilities in the Company’s Condensed Consolidated Balance Sheets.

[2] The maximum exposure to loss represents the maximum loss amount that the Company could recognize as a reduction in net investment income or as a realized capital loss and is the cost basis of the Company’s investment.

[3] Total assets included in cash in the Company’s Condensed Consolidated Balance Sheets.

[4] Total assets included in fixed maturities, FVO, short-term investments, equity, AFS, and cash in the Company’s Condensed Consolidated Balance Sheets.

CDOs represent structured investment vehicles for which the Company has a controlling financial interest as it provides collateral management services, earns a fee for those services and also holds investments in the securities issued by these vehicles. Investment funds represent wholly-owned fixed income funds for which the Company has management and control of the investments which is the activity that most significantly impacts its economic performance. Limited partnerships represent one hedge fund of funds for which the Company holds a majority interest in the fund as an investment.

Non-Consolidated VIEs

The Company holds a significant variable interest for one VIE for which it is not the primary beneficiary and, therefore, was not consolidated on the Company’s Condensed Consolidated Balance Sheets. This VIE represents a contingent capital facility ("facility") that has been held by the Company since February 2007 and for which the Company has no implied or unfunded commitments. Assets and liabilities recorded for the contingent capital facility were $8 and $8, respectively, as of September 30, 2015, and $12 and $14, respectively, as of December 31, 2014. Additionally, the Company has a maximum exposure to loss of $3 and $3, respectively, as of September 30, 2015, and December 31, 2014, which represents the issuance costs that were incurred to establish the facility. The Company does not have a controlling financial interest as it does not manage the assets of the facility nor does it have the obligation to absorb losses or the right to receive benefits that could potentially be significant to the facility, as the asset manager has significant variable interest in the vehicle. The Company’s financial or other support provided to the facility is limited to providing ongoing support to cover the facility’s operating expenses. For further information on the facility, see Note 12 - Debt of Notes to Consolidated Financial Statements included in The Hartford’s 2014 Form 10-K Annual Report.

In addition, the Company, through normal investment activities, makes passive investments in structured securities issued by VIEs for which the Company is not the manager which are included in ABS, CDOs, CMBS and RMBS in the Available-for-Sale Securities table and fixed maturities, FVO, in the Company’s Condensed Consolidated Balance Sheets. The Company has not provided financial or other support with respect to these investments other than its original investment. For these investments, the Company determined it is not the primary beneficiary due to the relative size of the Company’s investment in comparison to the principal amount of the structured securities issued by the VIEs, the level of credit subordination which reduces the Company’s obligation to absorb losses or right to receive benefits and the Company’s inability to direct the activities that most significantly impact the economic performance of the VIEs. The Company’s maximum exposure to loss on these investments is limited to the amount of the Company’s investment.

Repurchase Agreements, Dollar Roll Transactions and Other Collateral Transactions

From time to time, the Company enters into repurchase agreements and dollar roll transactions to manage liquidity or to earn incremental spread income. A repurchase agreement is a transaction in which one party (transferor) agrees to sell securities to another party (transferee) in return for cash (or securities), with a simultaneous agreement to repurchase the same securities at a specified price at a later date. A dollar roll is a type of repurchase agreement where a mortgage backed security is sold with an agreement to repurchase substantially the same security at a specified time in the future. These transactions generally have a contractual maturity of ninety days or less and the carrying amounts of these instruments approximates fair value.

As part of repurchase agreements and dollar roll transactions, the Company transfers collateral of U.S. government and government agency securities and receives cash. For the repurchase agreements, the Company obtains cash in an amount equal to at least 95% of the fair value of the securities transferred. The agreements contain contractual provisions that require additional collateral to be transferred when necessary and provide the counterparty the right to sell or re-pledge the securities transferred. The cash received from the repurchase program is typically invested in short-term investments or fixed maturities. Repurchase agreements include master netting provisions that provide the counterparties the right to offset claims and apply securities held by them with respect to their obligations in the event of a default. Although the Company has the contractual right to offset claims, fixed maturities do not meet the specific conditions for net presentation under U.S. GAAP. The Company accounts for the repurchase agreements and dollar roll transactions as collateralized borrowings. The securities transferred under repurchase agreements and dollar roll transactions are included in fixed maturities, AFS with the obligation to repurchase those securities recorded in other liabilities on the Company's Condensed Consolidated Balance Sheets.

As of September 30, 2015, the Company reported in fixed maturities, AFS and cash on the Condensed Consolidated Balance Sheets financial collateral pledged relating to repurchase agreements of $315. The Company reported a corresponding obligation to repurchase the pledged securities of $315 in other liabilities on the Condensed Consolidated Balance Sheets. The Company had no outstanding dollar roll transactions as of September 30, 2015. The Company had no outstanding repurchase agreements or dollar roll transactions as of December 31, 2014.

The Company is required by law to deposit securities with government agencies in certain states in which it conducts business. As of September 30, 2015, and December 31, 2014, the fair value of securities on deposit was approximately $2.7 billion and $2.5 billion, respectively.

As of September 30, 2015, and December 31, 2014, the Company has pledged as collateral $35 and $34, respectively, of U.S. government securities and government agency securities or cash for letters of credit.

For disclosure of collateral in support of derivative transactions, refer to the Derivative Collateral Arrangements section of this note.

Derivative Instruments

The Company utilizes a variety of OTC, OTC-cleared and exchange traded derivative instruments as a part of its overall risk management strategy as well as to enter into replication transactions. Derivative instruments are used to manage risk associated with interest rate, equity market, commodity market, credit spread, issuer default, price, and currency exchange rate risk or volatility. Replication transactions are used as an economical means to synthetically replicate the characteristics and performance of assets that would be permissible investments under the Company’s investment policies. The Company also may enter into and has previously issued financial instruments and products that either are accounted for as free-standing derivatives, such as certain reinsurance contracts, or may contain features that are deemed to be embedded derivative instruments, such as the GMWB rider included with certain variable annuity products.

Strategies That Qualify for Hedge Accounting

Certain derivatives that the Company enters into satisfy the hedge accounting requirements as outlined in Note 1 - Basis of Presentation and Significant Accounting Policies of Notes to Consolidated Financial Statements, included in The Hartford’s 2014 Form 10-K Annual Report. Typically, these hedge relationships include interest rate swaps and, to a lesser extent, foreign currency swaps where the terms or expected cash flows of the hedged item closely match the terms of the swap. The swaps are typically used to manage interest rate duration of certain fixed maturity securities or liability contracts. The hedge strategies by hedge accounting designation include:

Cash Flow Hedges

Interest rate swaps are predominantly used to manage portfolio duration and better match cash receipts from assets with cash disbursements required to fund liabilities. These derivatives primarily convert interest receipts on floating-rate fixed maturity securities to fixed rates. The Company also enters into forward starting swap agreements to hedge the interest rate exposure related to the purchase of fixed-rate securities, primarily to hedge interest rate risk inherent in the assumptions used to price certain liabilities.

Foreign currency swaps are used to convert foreign currency-denominated cash flows related to certain investment receipts and liability payments to U.S. dollars in order to reduce cash flow fluctuations due to changes in currency rates.

Fair Value Hedges

Interest rate swaps are used to hedge the changes in fair value of fixed maturity securities due to fluctuations in interest rates. These swaps are typically used to manage interest rate duration.

Non-Qualifying Strategies

Derivative relationships that do not qualify for hedge accounting (“non-qualifying strategies”) primarily include the hedge program for the Company's variable annuity products as well as the hedging and replication strategies that utilize credit default swaps. In addition, hedges of interest rate, foreign currency, and commodity risk of certain fixed maturities and liabilities do not qualify for hedge accounting.

The non-qualifying strategies include:

Interest Rate Swaps, Swaptions and Futures

The Company uses interest rate swaps, swaptions and futures to manage duration between assets and liabilities in certain investment portfolios. In addition, the Company enters into interest rate swaps to terminate existing swaps, thereby offsetting the changes in value of the original swap. As of September 30, 2015, and December 31, 2014, the notional amount of interest rate swaps in offsetting relationships was $13.0 billion and 13.1 billion, respectively.

Foreign Currency Swaps and Forwards

The Company enters into foreign currency swaps and forwards to convert the foreign currency exposures of certain foreign currency-denominated fixed maturity investments to U.S. dollars.

Fixed Payout Annuity Hedge

The Company formerly offered certain variable annuity products with a guaranteed minimum income benefit ("GMIB") and continues to reinsure certain yen denominated fixed payout annuities. The Company invests in U.S. dollar denominated assets to support the reinsurance liability. The Company entered into pay U.S. dollar, receive yen swap contracts to hedge the currency and yen interest rate exposure between the U.S. dollar denominated assets and the yen denominated fixed liability reinsurance payments.

Credit Contracts

Credit default swaps are used to purchase credit protection on an individual entity or referenced index to economically hedge against default risk and credit-related changes in value on fixed maturity securities. Credit default swaps are also used to assume credit risk related to an individual entity or referenced index as a part of replication transactions. These contracts require the Company to pay or receive a periodic fee in exchange for compensation from the counterparty should the referenced security issuers experience a credit event, as defined in the contract. The Company is also exposed to credit risk related to certain structured fixed maturity securities that have embedded credit derivatives, which reference a standard index of corporate securities. In addition, the Company enters into credit default swaps to terminate existing credit default swaps, thereby offsetting the changes in value of the original swap going forward.

Equity Index Swaps and Options

During 2014, the Company entered into total return swaps to hedge equity risk of specific common stock investments which are accounted for using fair value option in order to align the accounting treatment within net realized capital gains (losses). The Company may also use equity index options to hedge the impact of an adverse equity market environment on the investment portfolio. In addition, the Company formerly offered certain equity indexed products, a portion of which contain embedded derivatives that require bifurcation. The Company uses equity index swaps to economically hedge the equity volatility risk associated with the equity indexed products.

Commodity Contracts

During 2015, the Company purchased for $11 put option contracts on West Texas Intermediate oil futures with a strike of $35 dollars per barrel in order to partially offset potential losses related to certain fixed maturity securities that could arise if oil prices decline substantially. These options expire in early 2016.

GMWB Derivatives, Net

The Company formerly offered certain variable annuity products with GMWB riders. The GMWB product is a bifurcated embedded derivative (“GMWB product derivatives”) that has a notional value equal to the GRB. The Company uses reinsurance contracts to transfer a portion of its risk of loss due to GMWB. The reinsurance contracts covering GMWB (“GMWB reinsurance contracts”) are accounted for as free-standing derivatives with a notional amount equal to the GRB amount.

The Company utilizes derivatives (“GMWB hedging instruments”) as part of an actively managed program designed to hedge a portion of the capital market risk exposures of the non-reinsured GMWB riders due to changes in interest rates, equity market levels, and equity volatility. These derivatives include customized swaps, interest rate swaps and futures, and equity swaps, options and futures, on certain indices including the S&P 500 index, EAFE index and NASDAQ index. The following table presents notional and fair value for GMWB hedging instruments.

	Notional Amount				Fair Value
	September 30, 2015		December 31, 2014		September 30, 2015		December 31, 2014
Customized swaps	$	5,851	$	7,041	$	155	$	124
Equity swaps, options, and futures	1,663		3,761		25		39
Interest rate swaps and futures	3,625		3,640		27		11
Total	$	11,139	$	14,442	$	207	$	174

Macro Hedge Program

The Company utilizes equity options, swaps, futures, and foreign currency options to partially hedge against a decline in the equity markets and the resulting statutory surplus and capital impact primarily arising from the guaranteed minimum death benefit ("GMDB") and GMWB obligations. The following table presents notional and fair value for the macro hedge program.

	Notional Amount				Fair Value
	September 30, 2015		December 31, 2014		September 30, 2015		December 31, 2014
Equity swaps, options, and futures	$	4,272	$	5,983	$	183	$	141
Foreign currency options	—		400		—		—
Total	$	4,272	$	6,383	$	183	$	141

Contingent Capital Facility Put Option

The Company entered into a put option agreement that provides the Company the right to require a third-party trust to purchase, at any time, The Hartford’s junior subordinated notes in a maximum aggregate principal amount of $500. Under the put option agreement, The Hartford will pay premiums on a periodic basis and will reimburse the trust for certain fees and ordinary expenses.

Modified Coinsurance Reinsurance Contracts

As of September 30, 2015, and December 31, 2014, the Company had approximately $918 and $1.0 billion, respectively, of invested assets supporting other policyholder funds and benefits payable reinsured under a modified coinsurance arrangement in connection with the sale of the Individual Life business, which was structured as a reinsurance transaction. The assets are primarily held in a trust established by the Company. The Company pays or receives cash quarterly to settle the results of the reinsured business, including the investment results. As a result of this modified coinsurance arrangement, the Company has an embedded derivative that transfers to the reinsurer certain unrealized changes in fair value due to interest rate and credit risks of these assets. The notional amount of the embedded derivative reinsurance contracts are the invested assets that are carried at fair value supporting the reinsured reserves.

Derivative Balance Sheet Classification

The following table summarizes the balance sheet classification of the Company’s derivative related net fair value amounts as well as the gross asset and liability fair value amounts. For reporting purposes, the Company has elected to offset the fair value amounts, income accruals, and related cash collateral receivables and payables of OTC derivative instruments executed in a legal entity and with the same counterparty under a master netting agreement, which provides the Company with the legal right of offset. The Company has also elected to offset the fair value amounts, income accruals and related cash collateral receivables and payables of OTC-cleared derivative instruments based on clearing house agreements. The following fair value amounts do not include income accruals or related cash collateral receivables and payables, which are netted with derivative fair value amounts to determine balance sheet presentation. Derivative fair value reported as liabilities after taking into account the master netting agreements was $1.2 billion and $1.1 billion, respectively, as of September 30, 2015, and December 31, 2014. Derivatives in the Company’s separate accounts, where the associated gains and losses accrue directly to policyholders, are not included. The Company’s derivative instruments are held for risk management purposes, unless otherwise noted in the following table. The notional amount of derivative contracts represents the basis upon which pay or receive amounts are calculated and is presented in the table to quantify the volume of the Company’s derivative activity. Notional amounts are not necessarily reflective of credit risk. The following tables exclude investments that contain an embedded credit derivative for which the Company has elected the fair value option. For further discussion, see the Fair Value Option section in Note 4 - Fair Value Measurements of Notes to Condensed Consolidated Financial Statements.

	Net Derivatives										Asset Derivatives				Liability Derivatives
	Notional Amount				Fair Value						Fair Value				Fair Value
Hedge Designation/ Derivative Type	Sep. 30, 2015		Dec. 31, 2014		Sep. 30, 2015			Dec. 31, 2014			Sep. 30, 2015		Dec. 31, 2014		Sep. 30, 2015			Dec. 31, 2014
Cash flow hedges
Interest rate swaps	$	3,974	$	3,999	$	88		$	44		$	89	$	52	$	(1	)	$	(8	)
Foreign currency swaps	143		143		(20		)	(19		)	6		3		(26		)	(22		)
Total cash flow hedges	4,117		4,142		68			25			95		55		(27		)	(30		)
Fair value hedges
Interest rate swaps	43		32		—			—			—		—		—			—
Total fair value hedges	43		32		—			—			—		—		—			—
Non-qualifying strategies
Interest rate contracts
Interest rate swaps and futures	14,442		15,254		(657		)	(512		)	492		536		(1,149		)	(1,048		)
Foreign exchange contracts
Foreign currency swaps and forwards	305		177		11			1			11		3		—			(2		)
Fixed payout annuity hedge	1,319		1,319		(450		)	(427		)	—		—		(450		)	(427		)
Credit contracts
Credit derivatives that purchase credit protection	304		595		11			(6		)	14		4		(3		)	(10		)
Credit derivatives that assume credit risk [1]	2,645		1,487		(28		)	3			5		14		(33		)	(11		)
Credit derivatives in offsetting positions	4,127		5,343		(2		)	(3		)	39		53		(41		)	(56		)
Equity contracts
Equity index swaps and options	124		635		(1		)	2			20		31		(21		)	(29		)
Commodity contracts
Commodity options	486		—		7			—			7		—		—			—
Variable annuity hedge program
GMWB product derivatives [2]	15,730		17,908		(270		)	(139		)	—		—		(270		)	(139		)
GMWB reinsurance contracts	3,233		3,659		73			56			73		56		—			—
GMWB hedging instruments	11,139		14,442		207			174			331		289		(124		)	(115		)
Macro hedge program	4,272		6,383		183			141			224		180		(41		)	(39		)
Other
Contingent capital facility put option	500		500		8			12			8		12		—			—
Modified coinsurance reinsurance contracts	918		974		62			34			62		34		—			—
Total non-qualifying strategies	59,544		68,676		(846		)	(664		)	1,286		1,212		(2,132		)	(1,876		)
Total cash flow hedges, fair value hedges, and non-qualifying strategies	$	63,704	$	72,850	$	(778	)	$	(639	)	$	1,381	$	1,267	$	(2,159	)	$	(1,906	)
Balance Sheet Location
Fixed maturities, available-for-sale	$	447	$	454	$	(3	)	$	2		$	—	$	2	$	(3	)	$	—
Other investments	11,123		23,014		304			364			363		624		(59		)	(260		)
Other liabilities	32,203		26,791		(923		)	(930		)	883		551		(1,806		)	(1,481		)
Reinsurance recoverables	4,151		4,633		135			90			135		90		—			—
Other policyholder funds and benefits payable	15,780		17,958		(291		)	(165		)	—		—		(291		)	(165		)
Total derivatives	$	63,704	$	72,850	$	(778	)	$	(639	)	$	1,381	$	1,267	$	(2,159	)	$	(1,906	)

[1] The derivative instruments related to this strategy are held for other investment purposes.

[2] These derivatives are embedded within liabilities and are not held for risk management purposes.

Change in Notional Amount

The net decrease in notional amount of derivatives since December 31, 2014, was primarily due to the following:

• The decline in notional amount related to the GMWB hedging instruments and the macro hedge program was primarily driven by portfolio re-positioning, a decline in equity markets, and the expiration of certain options. The decline in the GMWB product related notional amount was primarily driven by policyholder lapses and partial withdrawals.

• This decline was partially offset by an increase in notional amount related to credit derivatives that assume credit risk as a means to earn credit spread while re-balancing within certain fixed maturity sectors.

Change in Fair Value

The net decline in the total fair value of derivative instruments since December 31, 2014, was primarily related to the following:

• The decrease in fair value of non-qualifying interest rate derivatives was primarily due to the termination of offsetting swaps that were in a net gain position and a decline in interest rates.

• The decrease in fair value related to the combined GMWB hedging program, which includes the GMWB product, reinsurance, and hedging derivatives, was primarily driven by underperformance of the underlying actively managed funds compared to their respective indices and unfavorable policyholder behavior.

• The decrease in fair value associated with the fixed payout annuity hedges was primarily driven by a decline in U.S. interest rates.

• The increase in the fair value related to the macro hedge program was primarily driven by a decline in the equity markets, increased equity volatility, and a decline in interest rates, partially offset by time decay on options.

• The increase in the fair value associated with modified coinsurance reinsurance contracts, which are accounted for as embedded derivatives and transfer to the reinsurer the investment experience related to the assets supporting the reinsured policies, was primarily driven by widening credit spreads, partially offset by a decline in long-term interest rates.

Offsetting of Derivative Assets/Liabilities

The following tables present the gross fair value amounts, the amounts offset, and net position of derivative instruments eligible for offset in the Company's Condensed Consolidated Balance Sheets. Amounts offset include fair value amounts, income accruals and related cash collateral receivables and payables associated with derivative instruments that are traded under a common master netting agreement, as described in the preceding discussion. Also included in the tables are financial collateral receivables and payables, which are contractually permitted to be offset upon an event of default, although are disallowed for offsetting under U.S. GAAP.

As of September 30, 2015

	(i)		(ii)		(iii) = (i) - (ii)					(iv)			(v) = (iii) - (iv)
					Net Amounts Presented in the Statement of Financial Position						Collateral Disallowed for Offset in the Statement of Financial Position
	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Financial Position		Derivative Assets [1]		Accrued Interest and Cash Collateral Received [2]				Financial Collateral Received [4]		Net Amount
Description
Other investments	$	1,246	$	1,036	$	304	$	(94	)		$	125	$	85

	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statement of Financial Position			Derivative Liabilities [3]			Accrued Interest and Cash Collateral Pledged [3]			Financial Collateral Pledged [4]			Net Amount
Description
Other liabilities	$	(1,865	)	$	(892	)	$	(923	)	$	(50	)	$	(949	)	$	(24	)

As of December 31, 2014

	(i)		(ii)		(iii) = (i) - (ii)					(iv)			(v) = (iii) - (iv)
					Net Amounts Presented in the Statement of Financial Position						Collateral Disallowed for Offset in the Statement of Financial Position
	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Financial Position		Derivative Assets [1]		Accrued Interest and Cash Collateral Received [2]				Financial Collateral Received [4]		Net Amount
Description
Other investments	$	1,175	$	969	$	364	$	(158	)		$	109	$	97

	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Statement of Financial Position			Derivative Liabilities [3]			Accrued Interest and Cash Collateral Pledged [3]			Financial Collateral Pledged [4]			Net Amount
Description
Other liabilities	$	(1,741	)	$	(799	)	$	(927	)	$	(15	)	$	(1,079	)	$	137

[1] Included in other invested assets in the Company's Condensed Consolidated Balance Sheets.

[2] Included in other assets in the Company's Condensed Consolidated Balance Sheets and amount presented is limited to the net derivative receivable associated with each counterparty.

[3] Included in other liabilities in the Company's Condensed Consolidated Balance Sheets and amount presented is limited to the net derivative payable associated with each counterparty.

[4] Excludes collateral associated with exchange-traded derivative instruments.

Cash Flow Hedges

For derivative instruments that are designated and qualify as cash flow hedges, the effective portion of the gain or loss on the derivative is reported as a component of OCI and reclassified into earnings in the same period or periods during which the hedged transaction affects earnings. Gains and losses on the derivative representing hedge ineffectiveness are recognized in current period earnings. All components of each derivative’s gain or loss were included in the assessment of hedge effectiveness.

The following tables present the components of the gain or loss on derivatives that qualify as cash flow hedges:

Derivatives in Cash Flow Hedging Relationships

	Gain (Loss) Recognized in OCI on Derivative (Effective Portion)											Net Realized Capital Gains(Losses) Recognized in Income on Derivative (Ineffective Portion)
	Three Months Ended September 30,					Nine Months Ended September 30,						Three Months Ended September 30,				Nine Months Ended September 30,
	2015		2014			2015			2014			2015		2014		2015		2014
Interest rate swaps	$	91	$	(19	)	$	76		$	82		$	—	$	4	$	—	$	3
Foreign currency swaps	—		(2		)	(1		)	(5		)	—		—		—		—
Total	$	91	$	(21	)	$	75		$	77		$	—	$	4	$	—	$	3

		Gain or (Loss) Reclassified from AOCI into Income (Effective Portion)
		Three Months Ended September 30,					Nine Months Ended September 30,
	Location	2015		2014			2015			2014
Interest rate swaps	Net realized capital gains (losses)	$	1	$	(4	)	$	4		$	(2	)
Interest rate swaps	Net investment income	15		22			47			67
Foreign currency swaps	Net realized capital gains (losses)	—		(9		)	(7		)	(9		)
Total		$	16	$	9		$	44		$	56

As of September 30, 2015, the before-tax deferred net gains on derivative instruments recorded in AOCI that are expected to be reclassified to earnings during the next twelve months are $51. This expectation is based on the anticipated interest payments on hedged investments in fixed maturity securities that will occur over the next twelve months, at which time the Company will recognize the deferred net gains (losses) as an adjustment to net investment income over the term of the investment cash flows. The maximum term over which the Company is hedging its exposure to the variability of future cash flows for forecasted transactions, excluding interest payments on existing variable-rate financial instruments, is approximately three years.

During the three and nine months ended September 30, 2015, and September 30, 2014, the Company had no net reclassifications from AOCI to earnings resulting from the discontinuance of cash-flow hedges due to forecasted transactions that were no longer probable of occurring.

Fair Value Hedges

For derivative instruments that are designated and qualify as a fair value hedge, the gain or loss on the derivative as well as the offsetting loss or gain on the hedged item attributable to the hedged risk are recognized in current period earnings. The Company includes the gain or loss on the derivative in the same line item as the offsetting loss or gain on the hedged item. All components of each derivative’s gain or loss were included in the assessment of hedge effectiveness.

The Company recognized in income gains (losses) representing the ineffective portion of fair value hedges as follows:

Derivatives in Fair Value Hedging Relationships

		Gain or (Loss) Recognized in Income [1]
		Three Months Ended September 30,									Nine Months Ended September 30,
		2015				2014					2015				2014
	Location	Derivative		Hedge Item		Derivative		Hedge Item			Derivative		Hedge Item		Derivative		Hedge Item
Interest rate swaps	Net realized capital gain (loss)	$	—	$	—	$	2	$	(2	)	$	—	$	—	$	—	$	(1	)

[1] The amounts presented do not include the periodic net coupon settlements of the derivative or the coupon income (expense) related to the hedged item. The net of the amounts presented represents the ineffective portion of the hedge.

Non-Qualifying Strategies

For non-qualifying strategies, including embedded derivatives that are required to be bifurcated from their host contracts and accounted for as derivatives, the gain or loss on the derivative is recognized currently in earnings within net realized capital gains (losses). The following table presents the gain or loss recognized in income on non-qualifying strategies:

Derivatives Used in Non-Qualifying Strategies

Gain or (Loss) Recognized within Net Realized Capital Gains and Losses

	Three Months Ended September 30,						Nine Months Ended September 30,
	2015			2014			2015			2014
Interest rate contracts
Interest rate swaps	$	(11	)	$	(8	)	$	(16	)	$	(153	)
Foreign exchange contracts
Foreign currency swaps and forwards	3			6			11			2
Fixed payout annuity hedge [1]	8			(86		)	(23		)	(58		)
Credit contracts
Credit derivatives that purchase credit protection	7			1			5			(9		)
Credit derivatives that assume credit risk	(23		)	(11		)	(25		)	8
Equity contracts
Equity index swaps and options	1			—			4			(1		)
Commodity contracts
Commodity options	2			—			(8		)	—
Variable annuity hedge program
GMWB product derivatives	(150		)	(37		)	(91		)	54
GMWB reinsurance contracts	24			2			15			(9		)
GMWB hedging instruments	94			41			41			(30		)
Macro hedge program	51			12			24			(13		)
Other
Contingent capital facility put option	(2		)	(2		)	(5		)	(5		)
Modified coinsurance reinsurance contracts	2			9			28			(26		)
Derivative instruments formerly associated with Japan [2]	—			(2		)	—			(2		)
Total [3]	$	6		$	(75	)	$	(40	)	$	(242	)

[1] Not included in this amount is the associated liability adjustment for changes in foreign exchange spot rates through realized capital gains of $(17) and $83 for the three months ended September 30, 2015 and 2014, respectively, and $(1) and $38 for the nine months ended September 30, 2015 and 2014, respectively.

[2] These amounts relate to the termination of the hedging program associated with the Japan variable annuity product due to the sale of HLIKK.

[3] Excludes investments that contain an embedded credit derivative for which the Company has elected the fair value option. For further discussion, see the Fair Value Option section in Note 4 - Fair Value Measurements.

For the three and nine months endedSeptember 30, 2015, the net realized capital gain (loss) related to derivatives used in non-qualifying strategies was primarily comprised of the following:

• The net losses related to interest rate swaps was driven by a decline in interest rates.

• For the nine months ended September 30, 2015, the net loss related to the fixed payout annuity hedge was primarily driven by a decline in U.S. interest rates.

• The net losses related to credit derivatives were primarily driven by widening credit spreads.

• The net losses related to the combined GMWB hedging program which includes the GMWB product, reinsurance, and hedging derivatives, were primarily driven by underperformance of the underlying actively managed funds compared to their respective indices and unfavorable policyholder behavior.

• For the three months ended September 30, 2015, the gain on the macro hedge program was primarily driven by a decline in the equity markets. For the nine months ended September 30, 2015, the gain on the macro hedge program was primarily driven by a decline in the equity markets, increased equity volatility, and a decline in interest rates, partially offset by a loss driven by time decay on options.

• The gains associated with modified coinsurance reinsurance contracts, which are accounted for as embedded derivatives and transfer to the reinsurer the investment experience related to the assets supporting the reinsured policies, were primarily driven by widening credit spreads, partially offset by a decline in long-term interest rates. The assets remain on the Company's books and the Company recorded offsetting losses in OCI as a result of the decrease in market value of the bonds.

For the three and nine months endedSeptember 30, 2014, the net realized capital gain (loss) related to derivatives used in non-qualifying strategies was primarily comprised of the following:

• The net losses related to interest derivatives, primarily used to manage duration, were due to a decline in U.S. interest rates.

• The net gain related to the fixed payout annuity hedge was driven by a depreciation of the Japanese yen in relation to the U.S. dollar.

• The net gains related to the combined GMWB hedging program, which includes the GMWB product, reinsurance, and hedging derivatives, were primarily driven by liability assumption updates and increased volatility, partially offset by early surrender valuation.

• For the nine months ended September 30, 2014, the loss associated with modified coinsurance reinsurance contracts, which are accounted for as embedded derivatives and transfer to the reinsurer the investment experience related to the assets supporting the reinsured policies, was primarily driven by a decline in long-term interest rates during the period. The assets remain on the Company's books and the Company recorded an offsetting gain in OCI as a result of the increase in market value of the bonds.

In addition, the Company recognized no gains for the three months ended September 30, 2015 and 2014, and gains of $2 and $11, respectively, for the nine months ended September 30, 2015 and 2014, due to cash recovered on derivative receivables that were previously written-off related to the bankruptcy of Lehman Brothers Inc. The derivative receivables were the result of the contractual collateral threshold amounts and open collateral calls prior to the bankruptcy filing as well as interest rate and credit spread movements from the date of the last collateral call to the date of the bankruptcy filing.

For additional disclosures regarding contingent credit related features in derivative agreements, see Note 9 - Commitments and Contingencies of Notes to Condensed Consolidated Financial Statements.

Credit Risk Assumed through Credit Derivatives

The Company enters into credit default swaps that assume credit risk of a single entity or referenced index in order to synthetically replicate investment transactions that would be permissible investments under the Company's investment policies. The Company will receive periodic payments based on an agreed upon rate and notional amount and will only make a payment if there is a credit event. A credit event payment will typically be equal to the notional value of the swap contract less the value of the referenced security issuer’s debt obligation after the occurrence of the credit event. A credit event is generally defined as a default on contractually obligated interest or principal payments or bankruptcy of the referenced entity. The credit default swaps in which the Company assumes credit risk primarily reference investment grade single corporate issuers and baskets, which include standard diversified portfolios of corporate and CMBS issuers. The diversified portfolios of corporate issuers are established within sector concentration limits and may be divided into tranches that possess different credit ratings.

The following tables present the notional amount, fair value, weighted average years to maturity, underlying referenced credit obligation type and average credit ratings, and offsetting notional amounts and fair value for credit derivatives in which the Company is assuming credit risk as of September 30, 2015, and December 31, 2014.

As of September 30, 2015

							Underlying Referenced Credit Obligation(s) [1]
Credit Derivative Type by Derivative Risk Exposure	Notional Amount [2]		Fair Value			Weighted Average Years to Maturity	Type	Average Credit Rating	Offsetting Notional Amount [3]		Offsetting Fair Value [3]
Single name credit default swaps
Investment grade risk exposure	$	226	$	(1	)	2 years	Corporate Credit/ Foreign Gov.	BBB	$	226	$	—
Below investment grade risk exposure	25		—			1 year	Corporate Credit	BB+	25		—
Basket credit default swaps [4]
Investment grade risk exposure	2,985		19			4 years	Corporate Credit	BBB+	1,414		(14		)
Investment grade risk exposure	970		(32		)	6 years	CMBS Credit	AA+	246		1
Below investment grade risk exposure	153		(23		)	1 year	CMBS Credit	CCC	153		23
Embedded credit derivatives
Investment grade risk exposure	350		346			2 years	Corporate Credit	A+	—		—
Total [5]	$	4,709	$	309					$	2,064	$	10

As of December 31, 2014

							Underlying Referenced Credit Obligation(s) [1]
Credit Derivative Type by Derivative Risk Exposure	Notional Amount [2]		Fair Value			Weighted Average Years to Maturity	Type	Average Credit Rating	Offsetting Notional Amount [3]		Offsetting Fair Value [3]
Single name credit default swaps
Investment grade risk exposure	$	320	$	5		2 years	Corporate Credit/ Foreign Gov.	BBB+	$	247	$	(5	)
Below investment grade risk exposure	29		—			2 years	Corporate Credit	BB	29		(1		)
Basket credit default swaps [4]
Investment grade risk exposure	2,546		33			3 years	Corporate Credit	BBB	1,973		(25		)
Below investment grade risk exposure	38		(1		)	12 years	Corporate Credit	D	—		—
Investment grade risk exposure	722		(12		)	6 years	CMBS Credit	AA+	269		3
Below investment grade risk exposure	154		(22		)	2 years	CMBS Credit	CCC+	154		23
Embedded credit derivatives
Investment grade risk exposure	350		342			2 years	Corporate Credit	A	—		—
Total [5]	$	4,159	$	345					$	2,672	$	(5	)

[1] The average credit ratings are based on availability and the midpoint of the applicable ratings among Moody’s, S&P, Fitch, and Morningstar. If no rating is available from a rating agency, then an internally developed rating is used.

[2] Notional amount is equal to the maximum potential future loss amount. These derivatives are governed by agreements, clearing house rules and applicable law which include collateral posting requirements. There is no additional specific collateral related to these contracts or recourse provisions included in the contracts to offset losses.

[3] The Company has entered into offsetting credit default swaps to terminate certain existing credit default swaps, thereby offsetting the future changes in value of, or losses paid related to, the original swap.

[4] Includes $4.1 billion and $3.5 billion as of September 30, 2015, and December 31, 2014, respectively, of standard market indices of diversified portfolios of corporate and CMBS issuers referenced through credit default swaps. These swaps are subsequently valued based upon the observable standard market index.

[5] Excludes investments that contain an embedded credit derivative for which the Company has elected the fair value option. For further discussion, see the Fair Value Option section in Note 4 - Fair Value Measurements.

Derivative Collateral Arrangements

The Company enters into various collateral arrangements in connection with its derivative instruments, which require both the pledging and accepting of collateral. As of September 30, 2015, and December 31, 2014, the Company pledged cash collateral associated with derivative instruments with a fair value of $298 and $120 as of September 30, 2015, and December 31, 2014, respectively, for which the collateral receivable has been primarily included within other assets on the Company's Condensed Consolidated Balance Sheets. The Company also pledged securities collateral associated with derivative instruments with a fair value of $1.2 billion and $1.1 billion, respectively, which have been included in fixed maturities on the Consolidated Balance Sheets. The counterparties have the right to sell or re-pledge these securities.

As of September 30, 2015, and December 31, 2014, the Company accepted cash collateral associated with derivative instruments of $433 and $327, respectively, which was invested and recorded in the Consolidated Balance Sheets in fixed maturities and short-term investments with corresponding amounts recorded in other liabilities. The Company also accepted securities collateral as of September 30, 2015, and December 31, 2014, with a fair value of $122 and $109, respectively, of which the Company has the ability to sell or repledge $131 and $97, respectively. As of September 30, 2015, and December 31, 2014, the Company had no repledged securities and the Company did not sell any securities. In addition, as of September 30, 2015, and December 31, 2014, non-cash collateral accepted was held in separate custodial accounts and was not included in the Company’s Consolidated Balance Sheets.