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Derivative Instruments | 12 Months Ended
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Dec. 31, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Instruments | DERIVATIVE INSTRUMENTS Accounting for Derivative Instruments and Hedging Activities See Note 2 – “Significant Accounting Policies and Pronouncements” for a detailed discussion of the accounting treatment for derivative instruments, including embedded derivatives and Note 6 – “Fair Value of Assets and Liabilities” for additional disclosures related to the fair value hierarchy for derivative instruments, including embedded derivatives. Types of Derivatives Used by the Company Credit Derivatives The Company sells protection under single name credit default swaps and credit default swap index tranches to diversify its credit risk exposure in certain portfolios and, in combination with purchasing securities, to replicate characteristics of similar investments based on the credit quality and term of the credit default swap. Credit default triggers for indexed reference entities and single name reference entities are defined in the contracts. The Company’s maximum exposure to credit loss equals the notional value for credit default swaps. In the event of default of a referencing entity, the Company is typically required to pay the protection holder the full notional value less a recovery amount determined at auction. The Company also purchases credit default swaps to reduce its risk against a drop in bond prices due to credit concerns of certain bond issuers. If a credit event, as defined by the contract, occurs, the Company is able to put the bond back to the counterparty at par. Equity Derivatives Exchange-traded equity futures are used primarily to economically hedge liabilities embedded in certain variable annuity products. With exchange-traded equity futures transactions, the Company agrees to purchase or sell a specified number of contracts, the value of which is determined by the relevant stock indices, and to post variation margin on a daily basis in an amount equal to the difference between the daily estimated fair values of those contracts. The Company enters into exchange-traded equity futures with regulated futures commission merchants that are members of the exchange. Equity index options are used by the Company primarily to hedge minimum guarantees embedded in certain variable annuity products. To hedge against adverse changes in equity indices volatility, the Company buys put options. The contracts are net settled in cash based on differentials in the indices at the time of exercise and the strike price. Equity warrants have also been used by the Company to economically hedge the variability in anticipated cash flows for the acquisition of investment securities. Foreign Currency Derivatives Foreign currency swaps are used by the Company to reduce the risk from fluctuations in foreign currency exchange rates associated with its assets and liabilities denominated in foreign currencies. With a foreign currency swap transaction, the Company agrees with another party to exchange, at specified intervals, the difference between one currency and another at a forward exchange rate calculated by reference to an agreed upon principal amount. The principal amount of each currency is exchanged at the termination of the currency swap by each party. The Company uses foreign currency swaps in hedges of net investments in foreign operations and fair value hedges. Foreign currency forwards are used by the Company to reduce the risk from fluctuations in foreign currency exchange rates associated with its assets and liabilities denominated in foreign currencies. With a foreign currency forward transaction, the Company agrees with another party to deliver a specified amount of an identified currency at a specified future date. The price is agreed upon at the time of the contract and payment for such a contract is made in a different currency at the specified future date. The Company uses foreign currency forwards in hedges of net investments in foreign operations and non-qualifying hedge relationships. Interest Rate Derivatives Interest rate swaps are used by the Company primarily to reduce market risks from changes in interest rates, to alter interest rate exposure arising from mismatches between assets and liabilities (duration mismatches) and to manage the risk of cash flows of liabilities that are variable based on a benchmark rate. With an interest rate swap, the Company agrees with another party to exchange, at specified intervals, the difference between two rates, which can be either fixed-rate or floating-rate interest amounts, tied to an agreed-upon notional principal amount. These transactions are executed pursuant to master agreements that provide for a single net payment or individual gross payments at each due date. The Company utilizes interest rate swaps in cash flow and non-qualifying hedging relationships. The Company sells fee-based synthetic guaranteed investment contracts (“GICs”) to retirement plans that include investment-only, stable value contracts. The assets are owned by the trustees of such plans, who invest the assets under the terms of investment guidelines to which the Company agrees. The contracts contain a guarantee of a minimum rate of return on participant balances supported by the underlying assets, and a guarantee of liquidity to meet certain participant-initiated plan cash flow requirements. These contracts are reported as derivatives and recorded at fair value. Other Derivatives Consumer price index (“CPI”) swaps are used by the Company primarily to economically hedge liabilities embedded in certain insurance products where value is directly affected by changes in a designated benchmark consumer price index. With a CPI swap transaction, the Company agrees with another party to exchange the actual amount of inflation realized over a specified period of time for a fixed amount of inflation determined at inception. These transactions are executed pursuant to master agreements that provide for a single net payment or individual gross payments to be made by the counterparty at each due date. Most of these swaps will require a single payment to be made by one counterparty at the maturity date of the swap. The Company enters into longevity swaps in the form of out-of-the-money options, which provide protection against changes in mortality improvement to retirement plans and insurers of such plans. With a longevity swap transaction, the Company agrees with another party to exchange a proportion of a notional value. The proportion is determined by the difference between a predefined benefit, and the realized benefit plus the future expected benefit, calculated by reference to a population index for a fixed premium. Mortality swaps are used by the Company to hedge risk from changes in mortality experience associated with its reinsurance of life insurance risk. The Company agrees with another party to exchange, at specified intervals, a proportion of a notional value determined by the difference between a predefined expected and realized claim amount on a designated index of reinsured lives, for a fixed percentage (premium) each term. The Company has certain embedded derivatives that are required to be separated from their host contracts and reported as derivatives. Host contracts include reinsurance treaties structured on a modco or funds withheld basis. Additionally, the Company reinsures equity-indexed annuity and variable annuity contracts with benefits that are considered embedded derivatives, including guaranteed minimum withdrawal benefits, guaranteed minimum accumulation benefits, and guaranteed minimum income benefits. The changes in fair values of embedded derivatives on equity-indexed annuities described below relate to changes in the fair value associated with capital market and other related assumptions. The Company’s utilization of a credit valuation adjustment did not have a material effect on the change in fair value of its embedded derivatives for the years ended December 31, 2018, 2017 and 2016. Summary of Derivative Positions Derivatives, except for embedded derivatives and longevity and mortality swaps, are carried on the Company’s consolidated balance sheets in other invested assets or other liabilities, at fair value. Longevity and mortality swaps are included on the consolidated balance sheets in other assets or other liabilities, at fair value. Embedded derivative assets and liabilities on modco or funds withheld arrangements are included on the consolidated balance sheets with the host contract in funds withheld at interest, at fair value. Embedded derivative liabilities on indexed annuity and variable annuity products are included on the consolidated balance sheets with the host contract in interest-sensitive contract liabilities, at fair value. The following table presents the notional amounts and gross fair value of derivative instruments prior to taking into account the netting effects of master netting agreements as of December 31, 2018 and 2017 (dollars in thousands):
|  |  |  | December 31, 2018 |  | December 31, 2017
|  | Primary Underlying Risk |  | Notional |  | Carrying Value/Fair Value |  | Notional |  | Carrying Value/Fair Value
|  |  | Amount |  | Assets |  | Liabilities |  | Amount |  | Assets |  | Liabilities
Derivatives not designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Interest rate |  | $ | 1,040,588 |  |  | $ | 47,652 |  |  | $ | 961 |  |  | $ | 996,204 |  |  | $ | 59,809 |  |  | $ | 2,372 |
Financial futures |  | Equity |  | 325,620 |  |  | — |  |  | — |  |  | 412,438 |  |  | — |  |  | — |
Foreign currency swaps |  | Foreign currency |  | 149,698 |  |  | 504 |  |  | 4,659 |  |  | — |  |  | — |  |  | — |
Foreign currency forwards |  | Foreign currency |  | 25,000 |  |  | — |  |  | 234 |  |  | 6,030 |  |  | — |  |  | 28 |
CPI swaps |  | CPI |  | 385,580 |  |  | — |  |  | 11,384 |  |  | 221,932 |  |  | — |  |  | 2,160 |
Credit default swaps |  | Credit |  | 1,338,300 |  |  | 6,003 |  |  | 1,166 |  |  | 961,200 |  |  | 8,319 |  |  | 1,651 |
Equity options |  | Equity |  | 439,158 |  |  | 42,836 |  |  | — |  |  | 632,251 |  |  | 23,271 |  |  | — |
Longevity swaps |  | Longevity |  | 917,360 |  |  | 47,789 |  |  | — |  |  | 960,400 |  |  | 40,659 |  |  | — |
Mortality swaps |  | Mortality |  | 25,000 |  |  | — |  |  | 369 |  |  | — |  |  | — |  |  | 1,683 |
Synthetic GICs |  | Interest rate |  | 13,397,729 |  |  | — |  |  | — |  |  | 10,052,576 |  |  | — |  |  | — |
Embedded derivatives in: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Modco or funds withheld arrangements |  |  |  | — |  |  | 109,597 |  |  | — |  |  | — |  |  | 122,194 |  |  | — |
Indexed annuity products |  |  |  | — |  |  | — |  |  | 776,940 |  |  | — |  |  | — |  |  | 861,758 |
Variable annuity products |  |  |  | — |  |  | — |  |  | 167,925 |  |  | — |  |  | — |  |  | 152,470 |
Total non-hedging derivatives |  |  |  | 18,044,033 |  |  | 254,381 |  |  | 963,638 |  |  | 14,243,031 |  |  | 254,252 |  |  | 1,022,122 |
Derivatives designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Foreign currency/Interest rate |  | 435,000 |  |  | — |  |  | 27,257 |  |  | 435,000 |  |  | — |  |  | 20,389 |
Foreign currency swaps |  | Foreign currency |  | 494,461 |  |  | 51,311 |  |  | — |  |  | 672,921 |  |  | 65,207 |  |  | 8,496 |
Foreign currency forwards |  | Foreign currency |  | 911,197 |  |  | 50,974 |  |  | — |  |  | 553,175 |  |  | 1,265 |  |  | 7,720 |
Total hedging derivatives |  |  |  | 1,840,658 |  |  | 102,285 |  |  | 27,257 |  |  | 1,661,096 |  |  | 66,472 |  |  | 36,605 |
Total derivatives |  |  |  | $ | 19,884,691 |  |  | $ | 356,666 |  |  | $ | 990,895 |  |  | $ | 15,904,127 |  |  | $ | 320,724 |  |  | $ | 1,058,727 |
Fair Value Hedges The Company designates and reports certain foreign currency swaps to hedge the foreign currency fair value exposure of foreign currency denominated assets as fair value hedges when they meet the requirements of the general accounting principles for Derivatives and Hedging. The gain or loss on the hedged item attributable to a change in foreign currency and the offsetting gain or loss on the related foreign currency swaps as of December 31, 2018, 2017 and 2016 were (dollars in thousands):
Type of Fair Value Hedge |  | Hedged Item |  | Gains (Losses) Recognized for Derivatives (1) |  | Gains (Losses) Recognized for Hedged Items (1)
For the Year Ended December 31, 2018:
Foreign currency swaps |  | Foreign-denominated fixed maturity securities |  | $ | (11,164 | ) |  | $ | 12,446 |
For the Year Ended December 31, 2017:
Foreign currency swaps |  | Foreign-denominated fixed maturity securities |  | $ | 9,456 |  |  | $ | (9,456 | )
For the Year Ended December 31, 2016:
Foreign currency swaps |  | Foreign-denominated fixed maturity securities |  | $ | (1,700 | ) |  | $ | 1,700 |
(1) | The net amount represents the ineffective portion of the fair value hedges.
Cash Flow Hedges Certain derivative instruments are designated as cash flow hedges when they meet the requirements of the general accounting principles for Derivatives and Hedging. The Company designates and accounts for the following as cash flows: (i) certain interest rate swaps, in which the cash flows of liabilities are variable based on a benchmark rate; (ii) certain interest rate swaps, in which the cash flows of assets are denominated in different currencies, commonly referred to as cross-currency swaps; and (iii) forward bond purchase commitments. The following table presents the components of AOCI, before income tax, and the consolidated income statement classification where the gain or loss is recognized related to cash flow hedges for the years ended December 31, 2018, 2017 and 2016 (dollars in thousands):
|  | Amounts Included in AOCI
Balance December 31, 2015 |  | $ | (29,397 | )
Gains (losses) deferred in other comprehensive income (loss) on the effective portion of cash flow hedges |  | 27,110 |
Amounts reclassified to investment related (gains) losses, net |  | 278 |
Amounts reclassified to investment income |  | (487 | )
Balance December 31, 2016 |  | (2,496 | )
Gains (losses) deferred in other comprehensive income (loss) on the effective portion of cash flow hedges |  | 6,316 |
Amounts reclassified to investment related (gains) losses, net |  | (775 | )
Amounts reclassified to investment income |  | (505 | )
Amounts reclassified to interest expense |  | 79 |
Balance December 31, 2017 |  | 2,619 |
Gains (losses) deferred in other comprehensive income (loss) on the effective portion of cash flow hedges |  | 6,644 |
Amounts reclassified to investment income |  | (292 | )
Amounts reclassified to interest expense |  | (183 | )
Balance December 31, 2018 |  | $ | 8,788 |
As of December 31, 2018, 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 approximately $0.1 million and $1.9 million in investment income and interest expense, respectively. The following table presents the effective portion of derivatives in cash flow hedging relationships on the consolidated statements of income and the consolidated statements of stockholders’ equity for the years ended December 31, 2018, 2017 and 2016 (dollars in thousands):
|  | Effective Portion
Derivative Type |  | Gains (Losses) Deferred in OCI |  | Gains (Losses) Reclassified into Income from OCI
For the year ended December 31, 2018: |  |  |  | Investment Related Gains (Losses) |  | Investment Income |  | Interest Expense
Interest rate |  | $ | 12,886 |  |  | $ | — |  |  | $ | — |  |  | $ | 183 |
Foreign currency/Interest rate |  | (6,242 | ) |  | — |  |  | 292 |  |  | — |
Total |  | $ | 6,644 |  |  | $ | — |  |  | $ | 292 |  |  | $ | 183 |
For the year ended December 31, 2017: |  |  |  |  |  |  |  |
Interest rate |  | $ | (5,649 | ) |  | $ | — |  |  | $ | — |  |  | $ | (79 | )
Foreign currency/Interest rate |  | 11,955 |  |  | — |  |  | 380 |  |  | — |
Forward bond purchase commitments |  | 10 |  |  | 775 |  |  | 125 |  |  | — |
Total |  | $ | 6,316 |  |  | $ | 775 |  |  | $ | 505 |  |  | $ | (79 | )
For the year ended December 31, 2016: |  |  |  |  |  |  |  |
Interest rate |  | $ | 27,901 |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Foreign currency/Interest rate |  | (791 | ) |  | — |  |  | 510 |  |  | — |
Forward bond purchase commitments |  | — |  |  | (278 | ) |  | (23 | ) |  | — |
Total |  | $ | 27,110 |  |  | $ | (278 | ) |  | $ | 487 |  |  | $ | — |
For the years ended December 31, 2018, 2017 and 2016, the ineffective portion of derivatives reported as cash flow hedges was not material to the Company’s results of operations. Also, there were no material amounts reclassified into earnings relating to instances in which the Company discontinued cash flow hedge accounting because the forecasted transaction did not occur by the anticipated date or within the additional time period permitted by the authoritative guidance for the accounting for derivatives and hedging. Hedges of Net Investments in Foreign Operations The Company uses foreign currency swaps and foreign currency forwards to hedge a portion of its net investment in certain foreign operations against adverse movements in exchange rates. The following table illustrates the Company’s net investments in foreign operations (“NIFO”) hedges for the years ended December 31, 2018, 2017 and 2016 (dollars in thousands):
|  | Derivative Gains (Losses) Deferred in AOCI
|  | For the year ended
Type of NIFO Hedge (1) (2) |  | 2018 |  | 2017 |  | 2016
Foreign currency swaps |  | $ | 31,431 |  |  | $ | (37,567 | ) |  | $ | (10,234 | )
Foreign currency forwards |  | 55,913 |  |  | (10,386 | ) |  | — |
(1) | There were no sales or substantial liquidations of net investments in foreign operations that would have required the reclassification of gains or losses from accumulated other comprehensive income (loss) into investment income during the periods presented.
(2) | There was no ineffectiveness recognized for the Company’s hedges of net investments in foreign operations.
The cumulative foreign currency translation gain recorded in AOCI related to these hedges was $201.0 million and $113.7 million as of December 31, 2018 and 2017, respectively. If a hedged foreign operation was sold or substantially liquidated, the amounts in AOCI would be reclassified to the consolidated statements of income. A pro rata portion would be reclassified upon partial sale of a hedged foreign operation. Non-qualifying Derivatives and Derivatives for Purposes Other Than Hedging The Company uses various other derivative instruments for risk management purposes that either do not qualify or have not been qualified for hedge accounting treatment. The gain or loss related to the change in fair value for these derivative instruments is recognized in investment related gains (losses), net in the consolidated statements of income, except where otherwise noted. A summary of the effect of non-hedging derivatives, including embedded derivatives, on the Company’s consolidated statements of income for the years ended December 31, 2018, 2017 and 2016 is as follows (dollars in thousands):
|  |  |  | Gains (Losses) for the Years Ended December 31,
Type of Non-hedging Derivative |  | Income Statement Location of Gains (Losses) |  | 2018 |  | 2017 |  | 2016
Interest rate swaps |  | Investment related gains (losses), net |  | $ | (21,314 | ) |  | $ | 11,278 |  |  | $ | 7,649 |
Financial futures |  | Investment related gains (losses), net |  | 21,200 |  |  | (36,160 | ) |  | (40,242 | )
Foreign currency swaps |  | Investment related gains (losses), net |  | (3,695 | ) |  | — |  |  | — |
Foreign currency forwards |  | Investment related gains (losses), net |  | (234 | ) |  | 591 |  |  | 1,630 |
Consumer price index swaps |  | Investment related gains (losses), net |  | (10,047 | ) |  | (2,078 | ) |  | (401 | )
Credit default swaps |  | Investment related gains (losses), net |  | (2,150 | ) |  | 18,118 |  |  | 18,100 |
Equity options |  | Investment related gains (losses), net |  | 7,315 |  |  | (42,953 | ) |  | (28,270 | )
Longevity swaps |  | Other revenues |  | 9,215 |  |  | 9,358 |  |  | 13,095 |
Mortality swaps |  | Other revenues |  | (386 | ) |  | (921 | ) |  | (172 | )
Subtotal |  |  |  | (96 | ) |  | (42,767 | ) |  | (28,611 | )
Embedded derivatives in: |  |  |  |  |  |  |  |
Modco or funds withheld arrangements |  | Investment related gains (losses), net |  | (12,597 | ) |  | 144,723 |  |  | 54,169 |
Indexed annuity products |  | Interest credited |  | 27,591 |  |  | (80,062 | ) |  | 10,708 |
Variable annuity products |  | Investment related gains (losses), net |  | (15,455 | ) |  | 32,166 |  |  | 7,835 |
Total non-hedging derivatives |  |  |  | $ | (557 | ) |  | $ | 54,060 |  |  | $ | 44,101 |
Credit Derivatives The following table presents the estimated fair value, maximum amount of future payments and weighted average years to maturity of credit default swaps sold by the Company as of December 31, 2018 and 2017 (dollars in thousands):
|  | 2018 |  | 2017
Rating Agency Designation of Referenced Credit Obligations(1) |  | Estimated Fair Value of Credit Default Swaps |  | Maximum Amount of Future Payments under Credit Default Swaps(2) |  | Weighted Average Years to Maturity(3) |  | Estimated Fair Value of Credit Default Swaps |  | Maximum Amount of Future Payments under Credit Default Swaps(2) |  | Weighted Average Years to Maturity(3)
AAA/AA+/AA/AA-/A+/A/A- |  |  |  |  |  |  |  |  |  |  |  |
Single name credit default swaps |  | $ | 1,953 |  |  | $ | 152,000 |  |  | 2.2 |  | $ | 3,128 |  |  | $ | 162,000 |  |  | 2.9
Subtotal |  | 1,953 |  |  | 152,000 |  |  | 2.2 |  | 3,128 |  |  | 162,000 |  |  | 2.9
BBB+/BBB/BBB- |  |  |  |  |  |  |  |  |  |  |  |
Single name credit default swaps |  | 2,930 |  |  | 353,700 |  |  | 2.2 |  | 4,469 |  |  | 361,700 |  |  | 2.9
Credit default swaps referencing indices |  | (76 | ) |  | 817,600 |  |  | 6.4 |  | (55 | ) |  | 422,600 |  |  | 4.0
Subtotal |  | 2,854 |  |  | 1,171,300 |  |  | 5.1 |  | 4,414 |  |  | 784,300 |  |  | 3.5
BB+/BB/BB- |  |  |  |  |  |  |  |  |  |  |  |
Single name credit default swaps |  | 30 |  |  | 15,000 |  |  | 0.7 |  | 30 |  |  | 5,000 |  |  | 1.5
Subtotal |  | 30 |  |  | 15,000 |  |  | 0.7 |  | 30 |  |  | 5,000 |  |  | 1.5
Total |  | $ | 4,837 |  |  | $ | 1,338,300 |  |  | 4.7 |  | $ | 7,572 |  |  | $ | 951,300 |  |  | 3.4
(1) | The rating agency designations are based on ratings from Standard and Poor’s (“S&P”).
(2) | Assumes the value of the referenced credit obligations is zero.
(3) | The weighted average years to maturity of the credit default swaps is calculated based on weighted average notional amounts.
Netting Arrangements and Credit Risk Certain of the Company’s derivatives are subject to enforceable master netting arrangements and reported as a net asset or liability in the consolidated balance sheets. The Company nets all derivatives that are subject to such arrangements. The Company has elected to include all derivatives, except embedded derivatives, in the tables below, irrespective of whether they are subject to an enforceable master netting arrangement or a similar agreement. See Note 4 – “Investments” for information regarding the Company’s securities borrowing, lending, repurchase and repurchase/reverse repurchase programs. See “Embedded Derivatives” above for information regarding the Company’s bifurcated embedded derivatives. The following table provides information relating to the netting of the Company’s derivative instruments as of December 31, 2018 and December 31, 2017 (dollars in thousands):
|  |  |  |  |  |  |  | Gross Amounts Not Offset in the Balance Sheet |  |
|  | Gross Amounts Recognized |  | Gross Amounts Offset in the Balance Sheet |  | Net Amounts Presented in the Balance Sheet |  | Financial Instruments(1) |  | Cash Collateral Pledged/ Received |  | Net Amount
December 31, 2018: |  |  |  |  |  |  |  |  |  |  |  |
Derivative assets |  | $ | 247,069 |  |  | $ | (18,581 | ) |  | $ | 228,488 |  |  | $ | — |  |  | $ | (235,611 | ) |  | $ | (7,123 | )
Derivative liabilities |  | 46,030 |  |  | (18,581 | ) |  | 27,449 |  |  | (71,376 | ) |  | (24,080 | ) |  | (68,007 | )
December 31, 2017: |  |  |  |  |  |  |  |  |  |  |  |
Derivative assets |  | $ | 198,530 |  |  | $ | (20,258 | ) |  | $ | 178,272 |  |  | $ | (862 | ) |  | $ | (185,900 | ) |  | $ | (8,490 | )
Derivative liabilities |  | 44,499 |  |  | (20,258 | ) |  | 24,241 |  |  | (58,156 | ) |  | (22,221 | ) |  | (56,136 | )
(1) | Includes initial margin posted to a central clearing partner.
The Company may be exposed to credit-related losses in the event of non-performance by counterparties to derivative financial instruments with a positive fair value. Generally, the credit exposure of the Company’s derivative contracts is limited to the fair value at the reporting date plus or minus any collateral posted or held by the Company. The Company had no credit exposure related to its derivative contracts, as of December 31, 2018 and 2017, as the net amount of collateral pledged to the Company from counterparties exceeded the fair value of the derivative contracts. Derivatives may be exchange-traded or they may be privately negotiated contracts, which are referred to as over-the-counter (“OTC”) derivatives. Certain of the Company’s OTC derivatives are cleared and settled through central clearing counterparties (“OTC cleared”) and others are bilateral contracts between two counterparties. The Company manages its credit risk related to OTC derivatives by entering into transactions with creditworthy counterparties, maintaining collateral arrangements and through the use of master netting agreements that provide for a single net payment to be made by one counterparty to another at each due date and upon termination. The Company is only exposed to the default of the central clearing counterparties for OTC cleared derivatives, and these transactions require initial and daily variation margin collateral postings. Exchange-traded derivatives are settled on a daily basis, thereby reducing the credit risk exposure in the event of non-performance by counterparties to such financial instruments.

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- 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://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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