XML 76 R34.htm IDEA: XBRL DOCUMENT
v3.8.0.1

Level 3 Derivatives (Tables) | 3 Months Ended
--- | ---
Mar. 31, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Balance Sheet Presentation |
Derivative Balance Sheet Presentation
| Net Derivatives | Asset Derivatives | Liability Derivatives
| Notional Amount | Fair Value | Fair Value | Fair Value
Hedge Designation/ Derivative Type | Mar. 31, 2018 | Dec. 31, 2017 | Mar. 31, 2018 | Dec. 31, 2017 | Mar. 31, 2018 | Dec. 31, 2017 | Mar. 31, 2018 | Dec. 31, 2017
Cash flow hedges |  |  |  |  |  |  |  |
Interest rate swaps | $ | 2,176 |  | $ | 2,190 |  | $ | — |  | $ | — |  | $ | 137 |  | $ | 94 |  | $ | (137 | ) | $ | (94 | )
Foreign currency swaps | 153 |  | 153 |  | (20 | ) | (13 | ) | — |  | — |  | (20 | ) | (13 | )
Total cash flow hedges | 2,329 |  | 2,343 |  | (20 | ) | (13 | ) | 137 |  | 94 |  | (157 | ) | (107 | )
Non-qualifying strategies |  |  |  |  |  |  |  |
Interest rate contracts |  |  |  |  |  |  |  |
Interest rate swaps and futures | 8,108 |  | 7,986 |  | (66 | ) | (83 | ) | 338 |  | 340 |  | (404 | ) | (423 | )
Foreign exchange contracts |  |  |  |  |  |  |  |
Foreign currency swaps and forwards | 362 |  | 213 |  | (1 | ) | (1 | ) | 1 |  | — |  | (2 | ) | (1 | )
Credit contracts |  |  |  |  |  |  |  |
Credit derivatives that purchase credit protection | 7 |  | 61 |  | — |  | 1 |  | — |  | 1 |  | — |  | — |
Credit derivatives that assume credit risk [1] | 978 |  | 823 |  | 12 |  | 3 |  | 14 |  | 20 |  | (2 | ) | (17 | )
Credit derivatives in offsetting positions | 965 |  | 1,046 |  | — |  | 2 |  | 8 |  | 13 |  | (8 | ) | (11 | )
Equity contracts |  |  |  |  |  |  |  |
Equity index swaps and options | 126 |  | 258 |  | 1 |  | 1 |  | 1 |  | 1 |  | — |  | — |
Total non-qualifying strategies | 10,546 |  | 10,387 |  | (54 | ) | (77 | ) | 362 |  | 375 |  | (416 | ) | (452 | )
Total cash flow hedges and non-qualifying strategies | $ | 12,875 |  | $ | 12,730 |  | $ | (74 | ) | $ | (90 | ) | $ | 499 |  | $ | 469 |  | $ | (573 | ) | $ | (559 | )
Balance Sheet Location |  |  |  |  |  |  |  |
Fixed maturities, available-for-sale | $ | 153 |  | $ | 153 |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | — |
Other investments | 1,702 |  | 9,957 |  | 12 |  | 10 |  | 35 |  | 448 |  | (23 | ) | (438 | )
Other liabilities | 11,020 |  | 2,620 |  | (86 | ) | (100 | ) | 464 |  | 21 |  | (550 | ) | (121 | )
Total derivatives | $ | 12,875 |  | $ | 12,730 |  | $ | (74 | ) | $ | (90 | ) | $ | 499 |  | $ | 469 |  | $ | (573 | ) | $ | (559 | )
[1] | The derivative instruments related to this strategy are held for other investment purposes.
Offsetting Assets |
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 March 31, 2018 |  |  |  |  |  |  |  |  |  |  |
Other investments | $ | 499 |  |  | $ | 497 |  |  | $ | 12 |  |  | $ | (10 | ) |  | $ | 2 |  |  | $ | — |
Other liabilities | $ | (573 | ) |  | $ | (478 | ) |  | $ | (86 | ) |  | $ | (9 | ) |  | $ | (85 | ) |  | $ | (10 | )
As of December 31, 2017 |  |  |  |  |  |  |  |  |  |  |
Other investments | $ | 469 |  |  | $ | 466 |  |  | $ | 10 |  |  | $ | (7 | ) |  | $ | 1 |  |  | $ | 2 |
Other liabilities | $ | (559 | ) |  | $ | (454 | ) |  | $ | (100 | ) |  | $ | (5 | ) |  | $ | (96 | ) |  | $ | (9 | )
[1] | Included in other investments in the Company's Condensed Consolidated Balance Sheets.
[2] | Included in other liabilities in the Company's Condensed Consolidated Balance Sheets and is limited to the net derivative payable associated with each counterparty.
[3] | Included in other investments in the Company's Condensed Consolidated Balance Sheets and is limited to the net derivative receivable associated with each counterparty.
[4] | Excludes collateral associated with exchange-traded derivative instruments.
Offsetting Liabilities |
Securities Lending and Repurchase Agreements
| March 31, 2018 | December 31, 2017
| Fair Value | Fair Value |
Securities Lending Transactions: |  |
Gross amount of securities on loan | $ | 741 |  | $ | 922 |
Gross amount of associated liability for collateral received [1] | $ | 755 |  | $ | 945 |
Repurchase agreements: |  |
Gross amount of recognized liabilities for repurchase agreements | $ | 171 |  | $ | 174 |
Gross amount of collateral pledged related to repurchase agreements [2] | $ | 174 |  | $ | 176 |
[1] | Cash collateral received is reinvested in fixed maturities, AFS and short term investments which are included in the Condensed Consolidated Balance Sheets. Amount includes additional securities collateral received of $4 and $0 million which are excluded from the Company's Condensed Consolidated Balance Sheets as of March 31, 2018 and December 31, 2017, respectively.
[2] | Collateral pledged is included within fixed maturities, AFS and short term investments in the Company's Condensed Consolidated Balance Sheets.
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 March 31, 2018 |  |  |  |  |  |  |  |  |  |  |
Other investments | $ | 499 |  |  | $ | 497 |  |  | $ | 12 |  |  | $ | (10 | ) |  | $ | 2 |  |  | $ | — |
Other liabilities | $ | (573 | ) |  | $ | (478 | ) |  | $ | (86 | ) |  | $ | (9 | ) |  | $ | (85 | ) |  | $ | (10 | )
As of December 31, 2017 |  |  |  |  |  |  |  |  |  |  |
Other investments | $ | 469 |  |  | $ | 466 |  |  | $ | 10 |  |  | $ | (7 | ) |  | $ | 1 |  |  | $ | 2 |
Other liabilities | $ | (559 | ) |  | $ | (454 | ) |  | $ | (100 | ) |  | $ | (5 | ) |  | $ | (96 | ) |  | $ | (9 | )
[1] | Included in other investments in the Company's Condensed Consolidated Balance Sheets.
[2] | Included in other liabilities in the Company's Condensed Consolidated Balance Sheets and is limited to the net derivative payable associated with each counterparty.
[3] | Included in other investments in the Company's Condensed Consolidated Balance Sheets and is limited to the net derivative receivable associated with each counterparty.
[4] | Excludes collateral associated with exchange-traded derivative instruments.
Derivatives in Cash Flow Hedging Relationships |
Derivatives in Cash Flow Hedging Relationships
| Gain (Loss) Recognized in OCI on Derivative (Effective Portion)
| Three Months Ended March 31,
| 2018 |  | 2017
Interest rate swaps | $ | (14 | ) |  | $ | (3 | )
Foreign currency swaps | (7 | ) |  | — |
Total | $ | (21 | ) |  | $ | (3 | )
| Gain (Loss) Reclassified from AOCI into Income (Effective Portion)
| Three Months Ended March 31,
| 2018 |  | 2017
Interest rate swaps |  |  |
Net realized capital gains | $ | 1 |  |  | $ | 4 |
Net investment income | 8 |  |  | 9 |
Total | $ | 9 |  |  | $ | 13 |
Non-Qualifying Strategies Recognized within Net Realized Capital Gains (Losses) |
Non-Qualifying Strategies Recognized within Net Realized Capital Gains (Losses)
| Three Months Ended March 31,
| 2018 | 2017
Foreign exchange contracts |  |
Foreign currency swaps and forwards | (3 | ) | (7 | )
Other non-qualifying derivatives |  |
Interest rate contracts |  |
Interest rate swaps, swaptions, and futures | (2 | ) | 5 |
Credit contracts |  |
Credit derivatives that purchase credit protection | (1 | ) | (5 | )
Credit derivatives that assume credit risk | (8 | ) | 9 |
Equity contracts |  |
Equity index swaps and options | 1 |  | (1 | )
Other |  |
Contingent capital facility put option | — |  | (1 | )
Total other non-qualifying derivatives | (10 | ) | 7 |
Total [1] | $ | (13 | ) | $ | — |
[1] | 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 Derivatives by Type | 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 are 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 March 31, 2018
Single name credit default swaps |  |  |  |  |  |  |
Investment grade risk exposure | $ | 170 |  | $ | 4 |  | 5 years | Corporate Credit/ Foreign Gov. | A- | $ | — |  | $ | — |
Basket credit default swaps [4] |  |  |  |  |  |  |
Investment grade risk exposure | 1,252 |  | 10 |  | 4 years | Corporate Credit | BBB+ | 453 |  | (1 | )
Investment grade risk exposure | 12 |  | (1 | ) | 6 years | CMBS Credit | A- | 2 |  | — |
Below investment grade risk exposure | 27 |  | (6 | ) | Less than 1 year | CMBS Credit | CCC | 27 |  | 6 |
Total [5] | $ | 1,461 |  | $ | 7 |  |  |  |  | $ | 482 |  | $ | 5 |
As of December 31, 2017
Single name credit default swaps |  |  |  |  |  |  |
Investment grade risk exposure | $ | 130 |  | $ | 3 |  | 5 years | Corporate Credit/ Foreign Gov. | A- | $ | — |  | $ | — |
Below investment grade risk exposure | 9 |  | — |  | Less than 1 year | Corporate Credit | B | 9 |  | — |
Basket credit default swaps [4] |  |  |  |  |  |  |
Investment grade risk exposure | 1,137 |  | 2 |  | 3 years | Corporate Credit | BBB+ | 454 |  | (2 | )
Below investment grade risk exposure | 27 |  | 2 |  | 3 years | Corporate Credit | B+ | 27 |  | — |
Investment grade risk exposure | 13 |  | (1 | ) | 5 years | CMBS Credit | A | 3 |  | — |
Below investment grade risk exposure | 30 |  | (6 | ) | Less than 1 year | CMBS Credit | CCC | 30 |  | 7 |
Total [5] | $ | 1,346 |  | $ | — |  |  |  |  | $ | 523 |  | $ | 5 |
[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] | Comprised of 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 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 -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4L -URI http://asc.fasb.org/extlink&oid=84234895&loc=SL5708777-113959 Reference 2: 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=84234895&loc=SL5708775-113959 Reference 3: 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=84234895&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=84234895&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=84234895&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=84234895&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=84234895&loc=SL5624163-113959 + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsInStatementOfFinancialPositionFairValueTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration