XML 113 R43.htm IDEA: XBRL DOCUMENT
v3.6.0.2

Derivative Instrument Level 3 (Tables) | 12 Months Ended
--- | ---
Dec. 31, 2016 | Dec. 31, 2015
Derivative Instruments and Hedging Activities Disclosure [Abstract] |  |
Derivative Instruments and Hedging Activities Disclosure [Text Block] | 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 are 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 as embedded derivative instruments, such as certain GMWB riders included with certain variable annuity products. Strategies that Qualify for Hedge Accounting Some of the Company's derivatives satisfy hedge accounting requirements as outlined in Note 1 of these financial statements. Typically, these hedging instruments 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 interest rate 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 future purchase of fixed-rate securities, primarily to hedge interest rate risk inherent in the assumptions used to price certain product 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 equity risk of certain fixed maturities, equities 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 interest rate 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 December 31, 2016 and 2015, the notional amount of interest rate swaps in offsetting relationships was $10.6 billion and $12.9 billion, respectively. Foreign Currency Swaps and Forwards Foreign currency forwards are used to hedge non-U.S. dollar denominated cash and equity securities as well as currency impacts on changes in equity of the U.K. property and casualty run-off subsidiaries that are held for sale. For further information on the disposition, see Note 2 of these financial statements. The Company also 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 has obligations for certain yen denominated fixed payout annuities under an assumed reinsurance contract. The Company invests in U.S. dollar denominated assets to support the assumed reinsurance liability. The Company has in place 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 the value of 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 The Company enters into equity index options to hedge the impact of a decline in the equity markets on the investment portfolio. During 2015, the Company entered into a total return swap to hedge equity risk of specific common stock investments which were accounted for using fair value option in order to align the accounting treatment within net realized capital gains (losses). The swap matured in January 2016 and the specific common stock investments were sold at that time. In addition, the Company formerly offered certain equity indexed products that remain in force, a portion of which contain embedded derivatives that require changes in value to be bifurcated from the host contract. The Company uses equity index swaps to economically hedge the equity volatility risk associated with the equity indexed products. Commodity Contracts The Company has used put options contracts on oil futures to partially offset potential losses related to certain fixed maturity securities that could be impacted by changes in oil prices. These options were terminated at the end of 2015. 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 reinsured. The Company utilizes derivatives (“GMWB hedging instruments”) as part of a dynamic hedging program designed to hedge a portion of the capital market risk exposures of the non-reinsured GMWB riders. The GMWB hedging instruments hedge 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 Company retains the risk for differences between assumed and actual policyholder behavior and between the performance of the actively managed funds underlying the separate accounts and their respective indices. GMWB Hedging Instruments
| Notional Amount |  | Fair Value
| As of December 31, |  | As of December 31,
| 2016 | 2015 |  | 2016 | 2015
Customized swaps | $ | 5,191 |  | $ | 5,877 |  |  | $ | 100 |  | $ | 131 |
Equity swaps, options, and futures | 1,362 |  | 1,362 |  |  | (27 | ) | 2 |
Interest rate swaps and futures | 3,703 |  | 3,740 |  |  | 21 |  | 25 |
Total | $ | 10,256 |  | $ | 10,979 |  |  | $ | 94 |  | $ | 158 |
Macro Hedge Program The Company utilizes equity swaps, options, futures, and forwards to provide partial protection against the statutory tail scenario risk arising from GMWB and the guaranteed minimum death benefit ("GMDB") liabilities on the Company's statutory surplus. These derivatives cover some of the residual risks not otherwise covered by the dynamic hedging program. 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. On February 8, 2017, The Hartford exercised the put option resulting in the issuance of $500 in junior subordinated notes with proceeds received on February 15, 2017. Under the put option agreement, The Hartford had been paying premiums on a periodic basis and has agreed to reimburse the trust for certain fees and ordinary expenses. For further information on the put option agreement, see the Contingent Capital Facility section within Note 13 - Debt. Modified Coinsurance Reinsurance Contracts As of December 31, 2016 and 2015, the Company had approximately $875 and $895, 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 operating 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 of investments subject to interest rate and credit risk. The notional amount of the embedded derivative reinsurance contracts are the invested assets which are carried at fair value and support the reinsured reserves. Derivative Balance Sheet Classification For reporting purposes, the Company has elected to offset within assets or liabilities based upon the net of 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 within assets or liabilities based upon the net of 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 $963 and $1.1 billion as of December 31, 2016 and 2015, respectively. Derivatives in the Company’s separate accounts, where the associated gains and losses accrue directly to policyholders, are not included in the table below. 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 5 - Fair Value Measurements of Notes to the Consolidated Financial Statements. Derivative Balance Sheet Presentation
| Net Derivatives | Asset Derivatives | Liability Derivatives
| Notional Amount | Fair Value | Fair Value | Fair Value
Hedge Designation/ Derivative Type | Dec 31, 2016 | Dec 31, 2015 | Dec 31, 2016 | Dec 31, 2015 | Dec 31, 2016 | Dec 31, 2015 | Dec 31, 2016 | Dec 31, 2015
Cash flow hedges |  |  |  |  |  |  |  |
Interest rate swaps | $ | 3,440 |  | $ | 3,527 |  | $ | (79 | ) | $ | 17 |  | $ | 11 |  | $ | 50 |  | $ | (90 | ) | $ | (33 | )
Foreign currency swaps | 239 |  | 143 |  | (15 | ) | (19 | ) | 11 |  | 7 |  | (26 | ) | (26 | )
Total cash flow hedges | 3,679 |  | 3,670 |  | (94 | ) | (2 | ) | 22 |  | 57 |  | (116 | ) | (59 | )
Fair value hedges |  |  |  |  |  |  |  |
Interest rate swaps | — |  | 23 |  | — |  | — |  | — |  | — |  | — |  | — |
Total fair value hedges | — |  | 23 |  | — |  | — |  | — |  | — |  | — |  | — |
Non-qualifying strategies |  |  |  |  |  |  |  |
Interest rate contracts |  |  |  |  |  |  |  |
Interest rate swaps and futures | 11,743 |  | 14,290 |  | (890 | ) | (814 | ) | 264 |  | 297 |  | (1,154 | ) | (1,111 | )
Foreign exchange contracts |  |  |  |  |  |  |  |
Foreign currency swaps and forwards | 1,064 |  | 653 |  | 68 |  | 17 |  | 70 |  | 17 |  | (2 | ) | — |
Fixed payout annuity hedge | 804 |  | 1,063 |  | (263 | ) | (357 | ) | — |  | — |  | (263 | ) | (357 | )
Credit contracts |  |  |  |  |  |  |  |
Credit derivatives that purchase credit protection | 209 |  | 423 |  | (4 | ) | 18 |  | — |  | 22 |  | (4 | ) | (4 | )
Credit derivatives that assume credit risk [1] | 1,309 |  | 2,458 |  | 10 |  | (13 | ) | 15 |  | 9 |  | (5 | ) | (22 | )
Credit derivatives in offsetting positions | 3,317 |  | 4,059 |  | (1 | ) | (2 | ) | 39 |  | 40 |  | (40 | ) | (42 | )
Equity contracts |  |  |  |  |  |  |  |
Equity index swaps and options | 105 |  | 419 |  | — |  | 15 |  | 33 |  | 41 |  | (33 | ) | (26 | )
Variable annuity hedge program |  |  |  |  |  |  |  |
GMWB product derivatives [2] | 13,114 |  | 15,099 |  | (241 | ) | (262 | ) | — |  | — |  | (241 | ) | (262 | )
GMWB reinsurance contracts | 2,709 |  | 3,106 |  | 73 |  | 83 |  | 73 |  | 83 |  | — |  | — |
GMWB hedging instruments | 10,256 |  | 10,979 |  | 94 |  | 158 |  | 190 |  | 264 |  | (96 | ) | (106 | )
Macro hedge program | 6,532 |  | 4,548 |  | 178 |  | 147 |  | 201 |  | 179 |  | (23 | ) | (32 | )
Other |  |  |  |  |  |  |  |
Contingent capital facility put option | 500 |  | 500 |  | 1 |  | 7 |  | 1 |  | 7 |  | — |  | — |
Modified coinsurance reinsurance contracts | 875 |  | 895 |  | 68 |  | 79 |  | 68 |  | 79 |  | — |  | — |
Total non-qualifying strategies | 52,537 |  | 58,492 |  | (907 | ) | (924 | ) | 954 |  | 1,038 |  | (1,861 | ) | (1,962 | )
Total cash flow hedges, fair value hedges, and non-qualifying strategies | $ | 56,216 |  | $ | 62,185 |  | $ | (1,001 | ) | $ | (926 | ) | $ | 976 |  | $ | 1,095 |  | $ | (1,977 | ) | $ | (2,021 | )
Balance Sheet Location |  |  |  |  |  |  |  |
Fixed maturities, available-for-sale | $ | 322 |  | $ | 425 |  | $ | 1 |  | $ | (3 | ) | $ | 1 |  | $ | — |  | $ | — |  | $ | (3 | )
Other investments | 23,620 |  | 23,253 |  | (180 | ) | 1 |  | 377 |  | 409 |  | (557 | ) | (408 | )
Other liabilities | 15,526 |  | 19,358 |  | (689 | ) | (798 | ) | 457 |  | 524 |  | (1,146 | ) | (1,322 | )
Reinsurance recoverables | 3,584 |  | 4,000 |  | 141 |  | 162 |  | 141 |  | 162 |  | — |  | — |
Other policyholder funds and benefits payable | 13,164 |  | 15,149 |  | (274 | ) | (288 | ) | — |  | — |  | (274 | ) | (288 | )
Total derivatives | $ | 56,216 |  | $ | 62,185 |  | $ | (1,001 | ) | $ | (926 | ) | $ | 976 |  | $ | 1,095 |  | $ | (1,977 | ) | $ | (2,021 | )
[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.
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 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. Offsetting Derivative Assets and Liabilities
| (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 (Liabilities) | Gross Amounts Offset in the Statement of Financial Position | Derivative Assets [1] (Liabilities) [2] | Accrued Interest and Cash Collateral (Received) [3] Pledged [2] | Financial Collateral (Received) Pledged [4] | Net Amount
As of December 31, 2016 |  |  |  |  |  |
Other investments | $ | 834 |  | $ | 670 |  | $ | (180 | ) | $ | 344 |  | $ | 103 |  | $ | 61 |
Other liabilities | $ | (1,703 | ) | $ | (884 | ) | $ | (689 | ) | $ | (130 | ) | $ | (763 | ) | $ | (56 | )
As of December 31, 2015 |  |  |  |  |  |
Other investments | $ | 933 |  | $ | 756 |  | $ | 1 |  | $ | 176 |  | $ | 100 |  | $ | 77 |
Other liabilities | $ | (1,730 | ) | $ | (818 | ) | $ | (798 | ) | $ | (114 | ) | $ | (889 | ) | $ | (23 | )
[1] | Included in other investments in the Company's Consolidated Balance Sheets.
[2] | Included in other liabilities in the Company's Consolidated Balance Sheets and is limited to the net derivative payable associated with each counterparty.
[3] | Included in other investments in the Company's Consolidated Balance Sheets and is limited to the net derivative receivable 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. Derivatives in Cash Flow Hedging Relationships
| Gain (Loss) Recognized in OCI on Derivative (Effective Portion)
| 2016 | 2015 | 2014
Interest rate swaps | $ | (17 | ) | $ | 28 |  | $ | 150 |
Foreign currency swaps | 4 |  | — |  | (10 | )
Total | $ | (13 | ) | $ | 28 |  | $ | 140 |
| Gain (Loss) Reclassified from AOCI into Income (Effective Portion)
| 2016 | 2015 | 2014
Interest rate swaps |  |  |
Net realized capital gain/(loss) | $ | 11 |  | $ | 4 |  | $ | (1 | )
Net investment income | 62 |  | 64 |  | 87 |
Foreign currency swaps |  |  |
Net realized capital gain/(loss) | (2 | ) | (9 | ) | (13 | )
Total | $ | 71 |  | $ | 59 |  | $ | 73 |
During the years ended December 31, 2016 and 2015, the Company had no ineffectiveness recognized in income within net realized capital gains (losses). During December 31, 2014, the Company had $2 of ineffectiveness on interest rate swaps recognized in income within net realized capital gains (losses). As of December 31, 2016, 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 $48. 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 two years. During the years ended December 31, 2016, 2015, and 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 fair value hedges, the gain or loss on the derivatives as well as the offsetting loss or gain on the hedged items attributable to the hedged risk are recognized in current 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. For the years ended December 31, 2016, 2015, and 2014, the Company recognized in income immaterial gains and (losses) for the ineffective portion of fair value hedges related to the derivative instrument and the hedged item. 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). Non-Qualifying Strategies Recognized within Net Realized Capital Gains (Losses)
| December 31,
| 2016 | 2015 | 2014
Variable annuity hedge program |  |  |
GMWB product derivatives | $ | 88 |  | $ | (59 | ) | $ | (2 | )
GMWB reinsurance contracts | (14 | ) | 17 |  | 4 |
GMWB hedging instruments | (112 | ) | (45 | ) | 3 |
Macro hedge program | (163 | ) | (46 | ) | (11 | )
Total variable annuity hedge program | (201 | ) | (133 | ) | (6 | )
Foreign exchange contracts |  |  |
Foreign currency swaps and forwards | 115 |  | 18 |  | 6 |
Fixed payout annuity hedge | 25 |  | (21 | ) | (148 | )
Total foreign exchange contracts | 140 |  | (3 | ) | (142 | )
Other non-qualifying derivatives |  |  |
Interest rate contracts |  |  |
Interest rate swaps, swaptions and futures | (17 | ) | (15 | ) | (172 | )
Credit contracts |  |  |
Credit derivatives that purchase credit protection | (26 | ) | 8 |  | (10 | )
Credit derivatives that assume credit risk | 43 |  | (11 | ) | 16 |
Equity contracts |  |  |
Equity index swaps and options | 15 |  | 19 |  | 3 |
Commodity contracts |  |  |
Commodity options | — |  | (9 | ) | — |
Other |  |  |
Contingent capital facility put option | (6 | ) | (6 | ) | (6 | )
Modified coinsurance reinsurance contracts | (12 | ) | 46 |  | (34 | )
Derivative instruments formerly associated with HLIKK [1] | — |  | — |  | (2 | )
Total other non-qualifying derivatives | (3 | ) | 32 |  | (205 | )
Total [2] | $ | (64 | ) | $ | (104 | ) | $ | (353 | )
[1] | These amounts relate to the termination of the hedging program associated with the Japan variable annuity product due to the sale of HLIKK.
[2] | 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 5 - Fair Value Measurements.
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 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. Credit Derivatives by Type
|  |  |  |  | Underlying Referenced Credit Obligation(s) [1] |  |
| Notional Amount [2] | Fair Value | Weighted Average Years to Maturity |  | Type | Average Credit Rating | Offsetting Notional Amount [3] | Offsetting Fair Value [3]
As of December 31, 2016
Single name credit default swaps |  |  |  |  |  |  |  |
Investment grade risk exposure | $ | 169 |  | $ | — |  | 4 years |  | Corporate Credit/ Foreign Gov. | A- | $ | 50 |  | $ | — |
Below investment grade risk exposure | 77 |  | — |  | 1 year |  | Corporate Credit | B+ | 77 |  | — |
Basket credit default swaps [4] |  |  |  |  |  |  |  |
Investment grade risk exposure | 2,065 |  | 22 |  | 3 years |  | Corporate Credit | BBB+ | 1,204 |  | (10 | )
Below investment grade risk exposure | 50 |  | 3 |  | 4 years |  | Corporate Credit | B | 50 |  | (3 | )
Investment grade risk exposure | 297 |  | (5 | ) | 4 years |  | CMBS Credit | AA | 167 |  | 1 |
Below investment grade risk exposure | 110 |  | (26 | ) | 1 year |  | CMBS Credit | CCC | 111 |  | 26 |
Embedded credit derivatives |  |  |  |  |  |  |  |
Investment grade risk exposure | 200 |  | 201 |  | Less than 1 year |  | Corporate Credit | A+ | — |  | — |
Total [5] | $ | 2,968 |  | $ | 195 |  |  |  |  |  | $ | 1,659 |  | $ | 14 |
As of December 31, 2015
Single name credit default swaps |  |  |  |  |  |  |  |
Investment grade risk exposure | $ | 190 |  | $ | (1 | ) | 1 year |  | Corporate Credit/ Foreign Gov. | BBB+ | $ | 176 |  | $ | (1 | )
Below investment grade risk exposure | 77 |  | (2 | ) | 2 years |  | Corporate Credit | B | 77 |  | 1 |
Basket credit default swaps [4] |  |  |  |  |  |  |  |
Investment grade risk exposure | 3,036 |  | 22 |  | 4 years |  | Corporate Credit | BBB+ | 1,411 |  | (13 | )
Investment grade risk exposure | 681 |  | (19 | ) | 6 years |  | CMBS Credit | AA+ | 212 |  | 1 |
Below investment grade risk exposure | 153 |  | (25 | ) | 1 year |  | CMBS Credit | CCC | 153 |  | 25 |
Embedded credit derivatives |  |  |  |  |  |  |  |
Investment grade risk exposure | 350 |  | 346 |  | 1 year |  | Corporate Credit | A+ | — |  | — |
Total [5] | $ | 4,487 |  | $ | 321 |  |  |  |  |  | $ | 2,029 |  | $ | 13 |
[1] | The average credit ratings are based on availability and are generally the midpoint of the available 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 $2.5 billion and $3.9 billion as of December 31, 2016 and 2015, respectively, of notional amount on swaps 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 5 - 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 December 31, 2016 and 2015, the Company pledged cash collateral associated with derivative instruments with a fair value of $623 and $488, respectively, for which the collateral receivable has been primarily included within other investments on the Company's Consolidated Balance Sheets. As of December 31, 2016 and 2015, the Company also pledged securities collateral associated with derivative instruments with a fair value of $1.1 billion, 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 December 31, 2016 and 2015, the Company accepted cash collateral associated with derivative instruments of $387 and $369, respectively, which was invested and recorded in the Consolidated Balance Sheets in fixed maturities and short-term investments with corresponding amounts recorded in other investments or other liabilities as determined by the Company's election to offset on the balance sheet. The Company also accepted securities collateral as of December 31, 2016 and 2015 with a fair value of $109 and $100, respectively, of which the Company has the ability to sell or repledge $81 and $100, respectively. As of December 31, 2016 and 2015, the Company had no repledged securities and did not sell any securities. In addition, as of December 31, 2016 and 2015, non-cash collateral accepted was held in separate custodial accounts and was not included in the Company’s Consolidated Balance Sheets. |
Schedule of Derivative Instruments [Table Text Block] | GMWB Hedging Instruments
| Notional Amount |  | Fair Value
| As of December 31, |  | As of December 31,
| 2016 | 2015 |  | 2016 | 2015
Customized swaps | $ | 5,191 |  | $ | 5,877 |  |  | $ | 100 |  | $ | 131 |
Equity swaps, options, and futures | 1,362 |  | 1,362 |  |  | (27 | ) | 2 |
Interest rate swaps and futures | 3,703 |  | 3,740 |  |  | 21 |  | 25 |
Total | $ | 10,256 |  | $ | 10,979 |  |  | $ | 94 |  | $ | 158 |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] |
| Net Derivatives | Asset Derivatives | Liability Derivatives
| Notional Amount | Fair Value | Fair Value | Fair Value
Hedge Designation/ Derivative Type | Dec 31, 2016 | Dec 31, 2015 | Dec 31, 2016 | Dec 31, 2015 | Dec 31, 2016 | Dec 31, 2015 | Dec 31, 2016 | Dec 31, 2015
Cash flow hedges |  |  |  |  |  |  |  |
Interest rate swaps | $ | 3,440 |  | $ | 3,527 |  | $ | (79 | ) | $ | 17 |  | $ | 11 |  | $ | 50 |  | $ | (90 | ) | $ | (33 | )
Foreign currency swaps | 239 |  | 143 |  | (15 | ) | (19 | ) | 11 |  | 7 |  | (26 | ) | (26 | )
Total cash flow hedges | 3,679 |  | 3,670 |  | (94 | ) | (2 | ) | 22 |  | 57 |  | (116 | ) | (59 | )
Fair value hedges |  |  |  |  |  |  |  |
Interest rate swaps | — |  | 23 |  | — |  | — |  | — |  | — |  | — |  | — |
Total fair value hedges | — |  | 23 |  | — |  | — |  | — |  | — |  | — |  | — |
Non-qualifying strategies |  |  |  |  |  |  |  |
Interest rate contracts |  |  |  |  |  |  |  |
Interest rate swaps and futures | 11,743 |  | 14,290 |  | (890 | ) | (814 | ) | 264 |  | 297 |  | (1,154 | ) | (1,111 | )
Foreign exchange contracts |  |  |  |  |  |  |  |
Foreign currency swaps and forwards | 1,064 |  | 653 |  | 68 |  | 17 |  | 70 |  | 17 |  | (2 | ) | — |
Fixed payout annuity hedge | 804 |  | 1,063 |  | (263 | ) | (357 | ) | — |  | — |  | (263 | ) | (357 | )
Credit contracts |  |  |  |  |  |  |  |
Credit derivatives that purchase credit protection | 209 |  | 423 |  | (4 | ) | 18 |  | — |  | 22 |  | (4 | ) | (4 | )
Credit derivatives that assume credit risk [1] | 1,309 |  | 2,458 |  | 10 |  | (13 | ) | 15 |  | 9 |  | (5 | ) | (22 | )
Credit derivatives in offsetting positions | 3,317 |  | 4,059 |  | (1 | ) | (2 | ) | 39 |  | 40 |  | (40 | ) | (42 | )
Equity contracts |  |  |  |  |  |  |  |
Equity index swaps and options | 105 |  | 419 |  | — |  | 15 |  | 33 |  | 41 |  | (33 | ) | (26 | )
Variable annuity hedge program |  |  |  |  |  |  |  |
GMWB product derivatives [2] | 13,114 |  | 15,099 |  | (241 | ) | (262 | ) | — |  | — |  | (241 | ) | (262 | )
GMWB reinsurance contracts | 2,709 |  | 3,106 |  | 73 |  | 83 |  | 73 |  | 83 |  | — |  | — |
GMWB hedging instruments | 10,256 |  | 10,979 |  | 94 |  | 158 |  | 190 |  | 264 |  | (96 | ) | (106 | )
Macro hedge program | 6,532 |  | 4,548 |  | 178 |  | 147 |  | 201 |  | 179 |  | (23 | ) | (32 | )
Other |  |  |  |  |  |  |  |
Contingent capital facility put option | 500 |  | 500 |  | 1 |  | 7 |  | 1 |  | 7 |  | — |  | — |
Modified coinsurance reinsurance contracts | 875 |  | 895 |  | 68 |  | 79 |  | 68 |  | 79 |  | — |  | — |
Total non-qualifying strategies | 52,537 |  | 58,492 |  | (907 | ) | (924 | ) | 954 |  | 1,038 |  | (1,861 | ) | (1,962 | )
Total cash flow hedges, fair value hedges, and non-qualifying strategies | $ | 56,216 |  | $ | 62,185 |  | $ | (1,001 | ) | $ | (926 | ) | $ | 976 |  | $ | 1,095 |  | $ | (1,977 | ) | $ | (2,021 | )
Balance Sheet Location |  |  |  |  |  |  |  |
Fixed maturities, available-for-sale | $ | 322 |  | $ | 425 |  | $ | 1 |  | $ | (3 | ) | $ | 1 |  | $ | — |  | $ | — |  | $ | (3 | )
Other investments | 23,620 |  | 23,253 |  | (180 | ) | 1 |  | 377 |  | 409 |  | (557 | ) | (408 | )
Other liabilities | 15,526 |  | 19,358 |  | (689 | ) | (798 | ) | 457 |  | 524 |  | (1,146 | ) | (1,322 | )
Reinsurance recoverables | 3,584 |  | 4,000 |  | 141 |  | 162 |  | 141 |  | 162 |  | — |  | — |
Other policyholder funds and benefits payable | 13,164 |  | 15,149 |  | (274 | ) | (288 | ) | — |  | — |  | (274 | ) | (288 | )
Total derivatives | $ | 56,216 |  | $ | 62,185 |  | $ | (1,001 | ) | $ | (926 | ) | $ | 976 |  | $ | 1,095 |  | $ | (1,977 | ) | $ | (2,021 | )
[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.
Offsetting Assets [Table Text Block] | Offsetting Derivative Assets and Liabilities
| (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 (Liabilities) | Gross Amounts Offset in the Statement of Financial Position | Derivative Assets [1] (Liabilities) [2] | Accrued Interest and Cash Collateral (Received) [3] Pledged [2] | Financial Collateral (Received) Pledged [4] | Net Amount
As of December 31, 2016 |  |  |  |  |  |
Other investments | $ | 834 |  | $ | 670 |  | $ | (180 | ) | $ | 344 |  | $ | 103 |  | $ | 61 |
Other liabilities | $ | (1,703 | ) | $ | (884 | ) | $ | (689 | ) | $ | (130 | ) | $ | (763 | ) | $ | (56 | )
As of December 31, 2015 |  |  |  |  |  |
Other investments | $ | 933 |  | $ | 756 |  | $ | 1 |  | $ | 176 |  | $ | 100 |  | $ | 77 |
Other liabilities | $ | (1,730 | ) | $ | (818 | ) | $ | (798 | ) | $ | (114 | ) | $ | (889 | ) | $ | (23 | )
[1] | Included in other investments in the Company's Consolidated Balance Sheets.
[2] | Included in other liabilities in the Company's Consolidated Balance Sheets and is limited to the net derivative payable associated with each counterparty.
[3] | Included in other investments in the Company's Consolidated Balance Sheets and is limited to the net derivative receivable associated with each counterparty.
[4] | Excludes collateral associated with exchange-traded derivative instruments.
| (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 (Liabilities) | Gross Amounts Offset in the Statement of Financial Position | Derivative Assets [1] (Liabilities) [2] | Accrued Interest and Cash Collateral (Received) [3] Pledged [2] | Financial Collateral (Received) Pledged [4] | Net Amount
As of December 31, 2016 |  |  |  |  |  |
Other investments | $ | 834 |  | $ | 670 |  | $ | (180 | ) | $ | 344 |  | $ | 103 |  | $ | 61 |
Other liabilities | $ | (1,703 | ) | $ | (884 | ) | $ | (689 | ) | $ | (130 | ) | $ | (763 | ) | $ | (56 | )
As of December 31, 2015 |  |  |  |  |  |
Other investments | $ | 933 |  | $ | 756 |  | $ | 1 |  | $ | 176 |  | $ | 100 |  | $ | 77 |
Other liabilities | $ | (1,730 | ) | $ | (818 | ) | $ | (798 | ) | $ | (114 | ) | $ | (889 | ) | $ | (23 | )
Offsetting Liabilities [Table Text Block] |
| (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 (Liabilities) | Gross Amounts Offset in the Statement of Financial Position | Derivative Assets [1] (Liabilities) [2] | Accrued Interest and Cash Collateral (Received) [3] Pledged [2] | Financial Collateral (Received) Pledged [4] | Net Amount
As of December 31, 2016 |  |  |  |  |  |
Other investments | $ | 834 |  | $ | 670 |  | $ | (180 | ) | $ | 344 |  | $ | 103 |  | $ | 61 |
Other liabilities | $ | (1,703 | ) | $ | (884 | ) | $ | (689 | ) | $ | (130 | ) | $ | (763 | ) | $ | (56 | )
As of December 31, 2015 |  |  |  |  |  |
Other investments | $ | 933 |  | $ | 756 |  | $ | 1 |  | $ | 176 |  | $ | 100 |  | $ | 77 |
Other liabilities | $ | (1,730 | ) | $ | (818 | ) | $ | (798 | ) | $ | (114 | ) | $ | (889 | ) | $ | (23 | )
[1] | Included in other investments in the Company's Consolidated Balance Sheets.
[2] | Included in other liabilities in the Company's Consolidated Balance Sheets and is limited to the net derivative payable associated with each counterparty.
[3] | Included in other investments in the Company's Consolidated Balance Sheets and is limited to the net derivative receivable associated with each counterparty.
[4] | Excludes collateral associated with exchange-traded derivative instruments.
| (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 (Liabilities) | Gross Amounts Offset in the Statement of Financial Position | Derivative Assets [1] (Liabilities) [2] | Accrued Interest and Cash Collateral (Received) [3] Pledged [2] | Financial Collateral (Received) Pledged [4] | Net Amount
As of December 31, 2016 |  |  |  |  |  |
Other investments | $ | 834 |  | $ | 670 |  | $ | (180 | ) | $ | 344 |  | $ | 103 |  | $ | 61 |
Other liabilities | $ | (1,703 | ) | $ | (884 | ) | $ | (689 | ) | $ | (130 | ) | $ | (763 | ) | $ | (56 | )
As of December 31, 2015 |  |  |  |  |  |
Other investments | $ | 933 |  | $ | 756 |  | $ | 1 |  | $ | 176 |  | $ | 100 |  | $ | 77 |
Other liabilities | $ | (1,730 | ) | $ | (818 | ) | $ | (798 | ) | $ | (114 | ) | $ | (889 | ) | $ | (23 | )
Schedule of Cash Flow Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block] | 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. Derivatives in Cash Flow Hedging Relationships
| Gain (Loss) Recognized in OCI on Derivative (Effective Portion)
| 2016 | 2015 | 2014
Interest rate swaps | $ | (17 | ) | $ | 28 |  | $ | 150 |
Foreign currency swaps | 4 |  | — |  | (10 | )
Total | $ | (13 | ) | $ | 28 |  | $ | 140 |
| Gain (Loss) Reclassified from AOCI into Income (Effective Portion)
| 2016 | 2015 | 2014
Interest rate swaps |  |  |
Net realized capital gain/(loss) | $ | 11 |  | $ | 4 |  | $ | (1 | )
Net investment income | 62 |  | 64 |  | 87 |
Foreign currency swaps |  |  |
Net realized capital gain/(loss) | (2 | ) | (9 | ) | (13 | )
Total | $ | 71 |  | $ | 59 |  | $ | 73 |
During the years ended December 31, 2016 and 2015, the Company had no ineffectiveness recognized in income within net realized capital gains (losses). During December 31, 2014, the Company had $2 of ineffectiveness on interest rate swaps recognized in income within net realized capital gains (losses). As of December 31, 2016, 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 $48. 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 two years. During the years ended December 31, 2016, 2015, and 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. |
Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block] | Fair Value Hedges For derivative instruments that are designated and qualify as fair value hedges, the gain or loss on the derivatives as well as the offsetting loss or gain on the hedged items attributable to the hedged risk are recognized in current 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. For the years ended December 31, 2016, 2015, and 2014, the Company recognized in income immaterial gains and (losses) for the ineffective portion of fair value hedges related to the derivative instrument and the hedged item. |
Derivative Instruments, Gain (Loss) [Table Text Block] | 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). Non-Qualifying Strategies Recognized within Net Realized Capital Gains (Losses)
| December 31,
| 2016 | 2015 | 2014
Variable annuity hedge program |  |  |
GMWB product derivatives | $ | 88 |  | $ | (59 | ) | $ | (2 | )
GMWB reinsurance contracts | (14 | ) | 17 |  | 4 |
GMWB hedging instruments | (112 | ) | (45 | ) | 3 |
Macro hedge program | (163 | ) | (46 | ) | (11 | )
Total variable annuity hedge program | (201 | ) | (133 | ) | (6 | )
Foreign exchange contracts |  |  |
Foreign currency swaps and forwards | 115 |  | 18 |  | 6 |
Fixed payout annuity hedge | 25 |  | (21 | ) | (148 | )
Total foreign exchange contracts | 140 |  | (3 | ) | (142 | )
Other non-qualifying derivatives |  |  |
Interest rate contracts |  |  |
Interest rate swaps, swaptions and futures | (17 | ) | (15 | ) | (172 | )
Credit contracts |  |  |
Credit derivatives that purchase credit protection | (26 | ) | 8 |  | (10 | )
Credit derivatives that assume credit risk | 43 |  | (11 | ) | 16 |
Equity contracts |  |  |
Equity index swaps and options | 15 |  | 19 |  | 3 |
Commodity contracts |  |  |
Commodity options | — |  | (9 | ) | — |
Other |  |  |
Contingent capital facility put option | (6 | ) | (6 | ) | (6 | )
Modified coinsurance reinsurance contracts | (12 | ) | 46 |  | (34 | )
Derivative instruments formerly associated with HLIKK [1] | — |  | — |  | (2 | )
Total other non-qualifying derivatives | (3 | ) | 32 |  | (205 | )
Total [2] | $ | (64 | ) | $ | (104 | ) | $ | (353 | )
[1] | These amounts relate to the termination of the hedging program associated with the Japan variable annuity product due to the sale of HLIKK.
[2] | 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 5 - Fair Value Measurements.
Disclosure of Credit Derivatives [Table Text Block] | 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 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. Credit Derivatives by Type
|  |  |  |  | Underlying Referenced Credit Obligation(s) [1] |  |
| Notional Amount [2] | Fair Value | Weighted Average Years to Maturity |  | Type | Average Credit Rating | Offsetting Notional Amount [3] | Offsetting Fair Value [3]
As of December 31, 2016
Single name credit default swaps |  |  |  |  |  |  |  |
Investment grade risk exposure | $ | 169 |  | $ | — |  | 4 years |  | Corporate Credit/ Foreign Gov. | A- | $ | 50 |  | $ | — |
Below investment grade risk exposure | 77 |  | — |  | 1 year |  | Corporate Credit | B+ | 77 |  | — |
Basket credit default swaps [4] |  |  |  |  |  |  |  |
Investment grade risk exposure | 2,065 |  | 22 |  | 3 years |  | Corporate Credit | BBB+ | 1,204 |  | (10 | )
Below investment grade risk exposure | 50 |  | 3 |  | 4 years |  | Corporate Credit | B | 50 |  | (3 | )
Investment grade risk exposure | 297 |  | (5 | ) | 4 years |  | CMBS Credit | AA | 167 |  | 1 |
Below investment grade risk exposure | 110 |  | (26 | ) | 1 year |  | CMBS Credit | CCC | 111 |  | 26 |
Embedded credit derivatives |  |  |  |  |  |  |  |
Investment grade risk exposure | 200 |  | 201 |  | Less than 1 year |  | Corporate Credit | A+ | — |  | — |
Total [5] | $ | 2,968 |  | $ | 195 |  |  |  |  |  | $ | 1,659 |  | $ | 14 |
As of December 31, 2015
Single name credit default swaps |  |  |  |  |  |  |  |
Investment grade risk exposure | $ | 190 |  | $ | (1 | ) | 1 year |  | Corporate Credit/ Foreign Gov. | BBB+ | $ | 176 |  | $ | (1 | )
Below investment grade risk exposure | 77 |  | (2 | ) | 2 years |  | Corporate Credit | B | 77 |  | 1 |
Basket credit default swaps [4] |  |  |  |  |  |  |  |
Investment grade risk exposure | 3,036 |  | 22 |  | 4 years |  | Corporate Credit | BBB+ | 1,411 |  | (13 | )
Investment grade risk exposure | 681 |  | (19 | ) | 6 years |  | CMBS Credit | AA+ | 212 |  | 1 |
Below investment grade risk exposure | 153 |  | (25 | ) | 1 year |  | CMBS Credit | CCC | 153 |  | 25 |
Embedded credit derivatives |  |  |  |  |  |  |  |
Investment grade risk exposure | 350 |  | 346 |  | 1 year |  | Corporate Credit | A+ | — |  | — |
Total [5] | $ | 4,487 |  | $ | 321 |  |  |  |  |  | $ | 2,029 |  | $ | 13 |
[1] | The average credit ratings are based on availability and are generally the midpoint of the available 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 $2.5 billion and $3.9 billion as of December 31, 2016 and 2015, respectively, of notional amount on swaps 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 5 - Fair Value Measurements

X
- References No definition available. + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 30 -Section 45 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=6441202&loc=d3e80720-113993 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5624171-113959 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=64837297&loc=d3e41620-113959 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5624163-113959 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5579240-113959 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4D -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5624177-113959 Reference 7: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 30 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=35736893&loc=d3e80784-113994 Reference 8: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=64837297&loc=d3e41641-113959 Reference 9: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5579245-113959 Reference 10: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4H -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5624258-113959 Reference 11: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 30 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=35736893&loc=d3e80748-113994 Reference 12: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4K -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5708775-113959 Reference 13: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4J -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5708773-113959 Reference 14: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4A -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5618551-113959 Reference 15: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5580258-113959 Reference 16: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4E -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5624181-113959 Reference 17: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 25 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=6886632&loc=d3e76258-113986 Reference 18: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=64837297&loc=d3e41638-113959 Reference 19: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08.(n)) -URI http://asc.fasb.org/extlink&oid=26873400&loc=d3e23780-122690 + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note). + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Glossary Credit Derivative -URI http://asc.fasb.org/extlink&oid=6854095 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4L -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5708777-113959 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4K -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5708775-113959 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4J -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5708773-113959 + Details
Name: | us-gaap_DisclosureOfCreditDerivativesTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of derivative and other financial assets that are subject to offsetting, including master netting arrangements. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 210 -SubTopic 20 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=51824906&loc=SL20225862-175312 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 210 -SubTopic 20 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=51824906&loc=SL20225877-175312 + Details
Name: | us-gaap_OffsettingAssetsTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of derivative and other financial liabilities that are subject to offsetting, including master netting arrangements. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 210 -SubTopic 20 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=51824906&loc=SL20225877-175312 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 210 -SubTopic 20 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=51824906&loc=SL20225862-175312 + Details
Name: | us-gaap_OffsettingLiabilitiesTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure for cash flow hedging instruments of (a) the location and amount of gains and losses reported in the statement of financial performance and (b) the location and fair value amounts of the instruments reported in the statement of financial position. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5624171-113959 + Details
Name: | us-gaap_ScheduleOfCashFlowHedgingInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5624171-113959 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4A -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5618551-113959 + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsGainLossInStatementOfFinancialPerformanceTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5624163-113959 + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsInStatementOfFinancialPositionFairValueTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=64837297&loc=d3e41641-113959 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5624163-113959 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=64837297&loc=d3e41678-113959 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=64837297&loc=d3e41638-113959 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5580258-113959 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5579245-113959 Reference 7: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5624171-113959 Reference 8: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5579240-113959 Reference 9: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=64837297&loc=d3e41620-113959 Reference 10: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08.(n)(2)) -URI http://asc.fasb.org/extlink&oid=26873400&loc=d3e23780-122690 + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure for fair value hedging instruments of (a) the location and amount of gains and losses reported in the statement of financial performance and (b) the location and fair value amounts of the instruments reported in the statement of financial position. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=64837297&loc=SL5624171-113959 + Details
Name: | us-gaap_ScheduleOfFairValueHedgingInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration