XML 54 R41.htm IDEA: XBRL DOCUMENT v3.3.1.900
Derivative Financial Instruments and Off-balance sheet Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2015
Derivative Financial Instruments and Off-balance sheet Financial Instruments  
Volume and fair value positions of derivative instruments and location in the Consolidated Statement of Financial Position
The following table provides a summary of the volume and fair value positions of derivative instruments as well as their reporting location in the Consolidated Statement of Financial Position as of December 31, 2015.
($ in millions, except number of contracts)
 
 
Volume (1)
 
 
 
 
 
 
 
Balance sheet location
 
Notional amount
 
Number of contracts
 
Fair value, net
 
Gross asset
 
Gross liability
Asset derivatives
 
 
 
 
 
 
 
 
 
 
 
Derivatives designated as accounting hedging instruments
 
 
 
 
 
 
 
 
 
 
Foreign currency swap agreements
Other investments
 
$
45

 
n/a

 
$
6

 
$
6

 
$
—

Derivatives not designated as accounting hedging instruments
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
 
 
 
 
 
Interest rate cap agreements
Other investments
 
42

 
n/a

 
—

 
—

 
—

Equity and index contracts
 
 
 
 
 
 
 
 
 
 
 
Options and warrants (2)
Other investments
 
—

 
3,730

 
44

 
44

 
—

Financial futures contracts
Other assets
 
—

 
1,897

 
2

 
2

 
—

Foreign currency contracts
 
 
 
 
 
 
 
 
 
 
 
Foreign currency forwards
Other investments
 
185

 
n/a

 
1

 
2

 
(1
)
Embedded derivative financial instruments
 
 
 
 
 
 
 
 
 
 
 
Other embedded derivative financial instruments
Other investments
 
1,000

 
n/a

 
—

 
—

 
—

Credit default contracts
 
 
 
 
 
 
 
 
 
 
 
Credit default swaps — buying protection
Other investments
 
112

 
n/a

 
4

 
5

 
(1
)
Credit default swaps — selling protection
Other investments
 
150

 
n/a

 
2

 
2

 
—

Other contracts
 
 
 
 
 
 
 
 
 
 
 
Other contracts
Other investments
 
31

 
n/a

 
1

 
1

 
—

Other contracts
Other assets
 
3

 
n/a

 
1

 
1

 
—

Subtotal
 
 
1,523


5,627


55


57


(2
)
Total asset derivatives
 
 
$
1,568


5,627


$
61


$
63


$
(2
)
 
 
 
 
 
 
 
 
 
 
 
 
Liability derivatives
 
 
 
 
 
 
 
 
 
 
 
Derivatives designated as accounting hedging instruments
 
 
 
 
 
 
 
 
 
 
Foreign currency swap agreements
Other liabilities & accrued expenses
 
$
19

 
n/a

 
$
4

 
$
4

 
$
—

Derivatives not designated as accounting hedging instruments
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
 
 
 
 
 
Interest rate swap agreements
Other liabilities & accrued expenses
 
85

 
n/a

 
—

 
—

 
—

Interest rate cap agreements
Other liabilities & accrued expenses
 
72

 
n/a

 
1

 
1

 
—

Equity and index contracts
 
 
 
 
 
 
 
 
 
 
 
Options and futures
Other liabilities & accrued expenses
 
—

 
4,406

 
(7
)
 
—

 
(7
)
Foreign currency contracts
 
 
 
 
 
 
 
 
 
 
 
Foreign currency forwards
Other liabilities & accrued expenses
 
361

 
n/a

 
(12
)
 
1

 
(13
)
Embedded derivative financial instruments
 
 
 
 
 
 
 
 
 
 
 
Guaranteed accumulation benefits
Contractholder funds
 
481

 
n/a

 
(38
)
 
—

 
(38
)
Guaranteed withdrawal benefits
Contractholder funds
 
332

 
n/a

 
(14
)
 
—

 
(14
)
Equity-indexed and forward starting options in life and annuity product contracts
Contractholder funds
 
1,781

 
n/a

 
(247
)
 
—

 
(247
)
Other embedded derivative financial instruments
Contractholder funds
 
85

 
n/a

 
—

 
—

 
—

Credit default contracts
 
 
 
 
 
 
 
 
 
 
 
Credit default swaps — buying protection
Other liabilities & accrued expenses
 
88

 
n/a

 
(2
)
 
—

 
(2
)
Credit default swaps — selling protection
Other liabilities & accrued expenses
 
105

 
n/a

 
(8
)
 
—

 
(8
)
Subtotal
 
 
3,390


4,406


(327
)

2


(329
)
Total liability derivatives
 
 
3,409


4,406


(323
)

$
6


$
(329
)
Total derivatives
 
 
$
4,977


10,033


$
(262
)
 
 
 
 
______________________________
(1) 
Volume for OTC derivative contracts is represented by their notional amounts. Volume for exchange traded derivatives is represented by the number of contracts, which is the basis on which they are traded. (n/a = not applicable)
(2) 
In addition to the number of contracts presented in the table, the Company held 220 stock rights and warrants. Stock rights and warrants can be converted to cash upon sale of those instruments or exercised for shares of common stock.




The following table provides a summary of the volume and fair value positions of derivative instruments as well as their reporting location in the Consolidated Statement of Financial Position as of December 31, 2014.
($ in millions, except number of contracts)
 
 
Volume (1)
 
 
 
 
 
 
 
Balance sheet location
 
Notional amount
 
Number of contracts
 
Fair value, net
 
Gross asset
 
Gross liability
Asset derivatives
 
 
 
 
 
 
 
 
 
 
 
Derivatives designated as accounting hedging instruments
 
 
 
 
 
 
 
 
 
 
Foreign currency swap agreements
Other investments
 
$
85

 
n/a

 
$
3

 
$
3

 
$
—

Derivatives not designated as accounting hedging instruments
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
 
 
 
 
 
Interest rate cap agreements
Other investments
 
163

 
n/a

 
2

 
2

 
—

Equity and index contracts
 
 
 
 
 
 
 
 
 
 
 
Options and warrants (2)
Other investments
 
—

 
3,225

 
83

 
83

 
—

Financial futures contracts
Other assets
 
—

 
2,204

 
2

 
2

 
—

Foreign currency contracts
 
 
 
 
 
 
 
 
 
 
 
Foreign currency forwards
Other investments
 
471

 
n/a

 
(15
)
 
1

 
(16
)
Embedded derivative financial instruments
 
 
 
 
 
 
 
 
 
 
 
Other embedded derivative financial instruments
Other investments
 
1,000

 
n/a

 
—

 
—

 
—

Credit default contracts
 
 
 
 
 
 
 
 
 
 
 
Credit default swaps — buying protection
Other investments
 
29

 
n/a

 
—

 
—

 
—

Credit default swaps — selling protection
Other investments
 
100

 
n/a

 
2

 
2

 
—

Other contracts
 
 
 
 
 
 
 
 
 
 
 
Other contracts
Other assets
 
3

 
n/a

 
1

 
1

 
—

Subtotal
 
 
1,766


5,429


75


91


(16
)
Total asset derivatives
 
 
$
1,851

 
5,429

 
$
78


$
94


$
(16
)
​
 
 
​

 
​

 
​

 
​

 
​

Liability derivatives
 
 
 
 
 
 
 
 
 
 
 
Derivatives designated as accounting hedging instruments
 
 
 
 
 
 
 
 
 
 
Foreign currency swap agreements
Other liabilities & accrued expenses
 
$
50

 
n/a

 
$
(1
)
 
$
—

 
$
(1
)
Derivatives not designated as accounting hedging instruments
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
 
 
 
 
 
Interest rate swap agreements
Other liabilities & accrued expenses
 
85

 
n/a

 
1

 
1

 
—

Interest rate cap agreements
Other liabilities & accrued expenses
 
11

 
n/a

 
—

 
—

 
—

Financial futures contracts
Other liabilities & accrued expenses
 
—

 
700

 
—

 
—

 
—

Equity and index contracts
 
 
 
 
 
 
 
 
 
 
 
Options
Other liabilities & accrued expenses
 
—

 
3,960

 
(23
)
 
—

 
(23
)
Foreign currency contracts
 
 
 
 
 
 
 
 
 
 
 
Foreign currency forwards
Other liabilities & accrued expenses
 
228

 
n/a

 
(1
)
 
2

 
(3
)
Embedded derivative financial instruments
 
 
 
 
 
 
 
 
 
 
 
Guaranteed accumulation benefits
Contractholder funds
 
615

 
n/a

 
(32
)
 
—

 
(32
)
Guaranteed withdrawal benefits
Contractholder funds
 
425

 
n/a

 
(13
)
 
—

 
(13
)
Equity-indexed and forward starting options in life and annuity product contracts
Contractholder funds
 
1,786

 
n/a

 
(278
)
 
—

 
(278
)
Other embedded derivative financial instruments
Contractholder funds
 
85

 
n/a

 
—

 
—

 
—

Credit default contracts
 
 
 
 
 
 
 
 
 
 
 
Credit default swaps — buying protection
Other liabilities & accrued expenses
 
420

 
n/a

 
(6
)
 
1

 
(7
)
Credit default swaps — selling protection
Other liabilities & accrued expenses
 
205

 
n/a

 
(8
)
 
2

 
(10
)
Subtotal
 
 
3,860


4,660


(360
)

6


(366
)
Total liability derivatives
 
 
3,910


4,660


(361
)

$
6


$
(367
)
Total derivatives
 
 
$
5,761


10,089


$
(283
)
 
 
 
 
______________________________
(1) 
Volume for OTC derivative contracts is represented by their notional amounts. Volume for exchange traded derivatives is represented by the number of contracts, which is the basis on which they are traded. (n/a = not applicable)
(2) 
In addition to the number of contracts presented in the table, the Company held 220 stock rights and warrants. Stock rights and warrants can be converted to cash upon sale of those instruments or exercised for shares of common stock.
Schedule of gross and net amount for the Company's OTC derivatives subject to enforceable master netting arrangements
The following table provides gross and net amounts for the Company’s OTC derivatives, all of which are subject to enforceable master netting agreements.
($ in millions)
 
 
Offsets
 
 
 
 
 
 
 
Gross
amount
 
Counter-
party
netting
 
Cash
collateral
(received)
pledged
 
Net
amount on
balance sheet
 
Securities
collateral
(received)
pledged
 
Net
amount
December 31, 2015
 
 
 
 
 
 
 
 
 
 
 
Asset derivatives
$
21

 
$
(8
)
 
$
(5
)
 
$
8

 
$
(4
)
 
$
4

Liability derivatives
(25
)
 
8

 
(1
)
 
(18
)
 
9

 
(9
)
December 31, 2014
 
 
 
 
 
 
 
 
 
 
 
Asset derivatives
$
12

 
$
(22
)
 
$
17

 
$
7

 
$
(4
)
 
$
3

Liability derivatives
(35
)
 
22

 
—

 
(13
)
 
8

 
(5
)
Impacts on operations and AOCI from foreign currency contracts, cash flow hedges
The following table provides a summary of the impacts of the Company’s foreign currency contracts in cash flow hedging relationships for the years ended December 31. Amortization of net gains from accumulated other comprehensive income related to cash flow hedges is expected to be a gain of $3 million during the next twelve months. There was no hedge ineffectiveness reported in realized gains and losses in 2015, 2014 or 2013.
($ in millions)
2015
 
2014
 
2013
Gain recognized in OCI on derivatives during the period
$
10

 
$
12

 
$
3

Gain (loss) recognized in OCI on derivatives during the term of the hedging relationship
6

 
(2
)
 
(18
)
Loss reclassified from AOCI into income (net investment income)
(1
)
 
(2
)
 
(1
)
Gain (loss) reclassified from AOCI into income (realized capital gains and losses)
3

 
(2
)
 
—
Gains and losses from valuation, settlements, and hedge ineffectiveness, fair value hedges and derivatives not designated as hedges
The following tables present gains and losses from valuation and settlements reported on derivatives not designated as accounting hedging instruments in the Consolidated Statements of Operations. In 2015, 2014 and 2013, the Company had no derivatives used in fair value hedging relationships.
($ in millions)
 
 
 
 
 
 
 
 
 
 
 
 
Realized capital gains and losses
 
Life and annuity contract benefits
 
Interest credited to contractholder funds
 
Operating costs and expenses
 
Loss on disposition of operations
 
Total gain (loss) recognized in net income on derivatives
2015
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
$
1

 
$
—

 
$
—

 
$
—

 
$
—

 
$
1

Equity and index contracts
1

 
—

 
(9
)
 
(1
)
 
—

 
(9
)
Embedded derivative financial instruments
—

 
(7
)
 
31

 
—

 
—

 
24

Foreign currency contracts
(24
)
 
—

 
—

 
(8
)
 
—

 
(32
)
Credit default contracts
(2
)
 
—

 
—

 
—

 
—

 
(2
)
Other contracts
—

 
—

 
—

 
—

 
—

 
—

Total
$
(24
)

$
(7
)

$
22


$
(9
)

$
—


$
(18
)
 
 
 
 
 
 
 
 
 
 
 
 
2014
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
$
(10
)
 
$
—

 
$
—

 
$
—

 
$
(4
)
 
$
(14
)
Equity and index contracts
(18
)
 
—

 
38

 
9

 
—

 
29

Embedded derivative financial instruments
—

 
15

 
(14
)
 
—

 
—

 
1

Foreign currency contracts
(9
)
 
—

 
—

 
(8
)
 
—

 
(17
)
Credit default contracts
1

 
—

 
—

 
—

 
—

 
1

Other contracts
—

 
—

 
(2
)
 
—

 
—

 
(2
)
Total
$
(36
)

$
15


$
22


$
1


$
(4
)

$
(2
)
 
 
 
 
 
 
 
 
 
 
 
 
2013
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
$
4

 
$
—

 
$
—

 
$
—

 
$
(6
)
 
$
(2
)
Equity and index contracts
(12
)
 
—

 
94

 
34

 
—

 
116

Embedded derivative financial instruments
(1
)
 
74

 
(75
)
 
—

 
—

 
(2
)
Foreign currency contracts
(9
)
 
—

 
—

 
7

 
—

 
(2
)
Credit default contracts
8

 
—

 
—

 
—

 
—

 
8

Other contracts
—

 
—

 
(3
)
 
—

 
—

 
(3
)
Total
$
(10
)

$
74


$
16


$
41


$
(6
)

$
115
Counterparty credit exposure by counterparty credit rating
The following table summarizes the counterparty credit exposure as of December 31 by counterparty credit rating as it relates to the Company’s OTC derivatives.
($ in millions)
 
2015
 
2014
Rating (1)
 
Number of counter-parties
 
Notional amount (2)
 
Credit exposure (2)
 
Exposure, net of collateral (2)
 
Number of counter-parties
 
Notional amount (2)
 
Credit exposure (2)
 
Exposure, net of collateral (2)
A+
 
1

 
$
82

 
$
5

 
$
—

 
1

 
$
164

 
$
2

 
$
1

A
 
5

 
375

 
9

 
6

 
3

 
118

 
3

 
2

A–
 
1

 
41

 
3

 
—

 
1

 
8

 
—

 
—

BBB+
 
2

 
49

 
—

 
1

 
1

 
11

 
—

 
—

BBB
 
—

 
—

 
—

 
—

 
1

 
52

 
—

 
—

Total
 
9

 
$
547


$
17


$
7


7


$
353


$
5


$
3


______________________________
(1) 
Rating is the lower of S&P or Moody’s ratings.
(2) 
Only OTC derivatives with a net positive fair value are included for each counterparty.
Derivative instruments with credit features in a liability position, including fair value of assets and collateral netted against the liability
The following summarizes the fair value of derivative instruments with termination, cross-default or collateral credit-risk-contingent features that are in a liability position as of December 31, as well as the fair value of assets and collateral that are netted against the liability in accordance with provisions within legally enforceable MNAs.
($ in millions)
2015
 
2014
Gross liability fair value of contracts containing credit-risk-contingent features
$
21

 
$
16

Gross asset fair value of contracts containing credit-risk-contingent features and subject to MNAs
(3
)
 
(4
)
Collateral posted under MNAs for contracts containing credit-risk-contingent features
(13
)
 
(7
)
Maximum amount of additional exposure for contracts with credit-risk-contingent features if all features were triggered concurrently
$
5

 
$
5
CDS notional amounts by credit rating and fair value of protection sold
The following table shows the CDS notional amounts by credit rating and fair value of protection sold.
($ in millions)
Notional amount
 
 
 
AA
 
A
 
BBB
 
BB and lower
 
Total
 
Fair value
December 31, 2015
 
 
 
 
 
 
 
 
 
 
 
Single name
 
 
 
 
 
 
 
 
 
 
 
Corporate debt
$
20

 
$
10

 
$
45

 
$
—

 
$
75

 
$
1

First-to-default Basket
 
 
 
 
 
 
 
 
 
 
 
Municipal
—

 
—

 
100

 
—

 
100

 
(8
)
Index
 
 
 
 
 
 
 
 
 
 
 
Corporate debt
1

 
20

 
52

 
7

 
80

 
1

Total
$
21


$
30


$
197


$
7


$
255


$
(6
)
December 31, 2014
 
 
 
 
 
 
 
 
 
 
 
Single name
 
 
 
 
 
 
 
 
 
 
 
Corporate debt
$
20

 
$
15

 
$
90

 
$
—

 
$
125

 
$
1

First-to-default Basket
 
 
 
 
 
 
 
 
 
 
 
Municipal
—

 
100

 
—

 
—

 
100

 
(9
)
Index
 
 
 
 
 
 
 
 
 
 
 
Corporate debt
—

 
22

 
52

 
6

 
80

 
2

Total
$
20


$
137


$
142


$
6


$
305


$
(6
)
Contractual amounts of off-balance-sheet financial instruments
The contractual amounts of off-balance sheet financial instruments as of December 31 are as follows:
($ in millions)
2015
 
2014
Commitments to invest in limited partnership interests
$
2,551

 
$
2,429

Commitments to extend mortgage loans
—

 
49

Private placement commitments
89

 
98

Municipal bond forward commitments
36

 
—

Other loan commitments
46

 
46