Derivative Financial Instruments and Off-balance-sheet Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2012

Derivative Financial Instruments and Off-balance Sheet Financial Instruments

Summary of volume and fair value positions of derivative instruments and reporting location in the Statement of Financial Position

The following table provides a summary of the volume and fair value positions of derivative instruments as well as their reporting location in the Consolidated Statement of Financial Position as of December 31, 2012.

($ in millions, except number of contracts)	Asset derivatives
			Volume (1)
	Balance sheet location		Notional amount	Number of contracts		Fair value, net		Gross asset		Gross liability
Derivatives designated as accounting hedging instruments
Foreign currency swap agreements	Other investments	$	16	n/a	$	2	$	2	$	--
Total			16	n/a		2		2		--

Derivatives not designated as accounting hedging instruments
Interest rate contracts
Interest rate swap agreements	Other investments		5,541	n/a		19		28		(9)
Interest rate cap and floor agreements	Other investments		372	n/a		1		1		--
Financial futures contracts and options	Other assets		n/a	2		--		--		--
Equity and index contracts
Options, futures and warrants (2)	Other investments		146	12,400		125		125		--
Options, futures and warrants	Other assets		n/a	249		2		2		--
Foreign currency contracts
Foreign currency forwards	Other investments		44	n/a		--		--		--
Embedded derivative financial instruments
Conversion options	Fixed income securities		5	n/a		--		--		--
Equity-indexed call options	Fixed income securities		90	n/a		9		9		--
Credit default swaps	Fixed income securities		12	n/a		(12)		--		(12)
Credit default contracts
Credit default swaps – buying protection	Other investments		32	n/a		(1)		--		(1)
Credit default swaps – selling protection	Other investments		100	n/a		1		1		--
Other contracts
Other contracts	Other assets		4	n/a		1		1		--
Total			6,346	12,651		145		167		(22)

Total asset derivatives		$	6,362	12,651	$	147	$	169	$	(22)


(1)	Volume for OTC derivative contracts is represented by their notional amounts. Volume for exchange traded derivatives is represented by the number of contracts, which is the basis on which they are traded. (n/a = not applicable)

(2)	In addition to the number of contracts presented in the table, the Company held 837,100 stock warrants. Stock warrants can be converted to cash upon sale of those instruments or exercised for shares of common stock.

	Liability derivatives
			Volume (1)
	Balance sheet location		Notional amount	Number of contracts		Fair value, net		Gross asset		Gross liability
Derivatives designated as accounting hedging instruments
Foreign currency swap agreements	Other liabilities & accrued expenses	$	135	n/a	$	(19)	$	--	$	(19)
Total			135	n/a		(19)		--		(19)

Derivatives not designated as accounting hedging instruments
Interest rate contracts
Interest rate swap agreements	Other liabilities & accrued expenses		1,185	n/a		16		18		(2)
Interest rate swaption agreements	Other liabilities & accrued expenses		250	n/a		--		--		--
Interest rate cap and floor agreements	Other liabilities & accrued expenses		429	n/a		1		1		--
Financial futures contracts and options	Other liabilities & accrued expenses		--	357		--		--		--
Equity and index contracts
Options and futures	Other liabilities & accrued expenses		--	12,262		(58)		--		(58)
Embedded derivative financial instruments
Guaranteed accumulation benefits	Contractholder funds		820	n/a		(86)		--		(86)
Guaranteed withdrawal benefits	Contractholder funds		554	n/a		(39)		--		(39)
Equity-indexed and forward starting options in life and annuity product contracts	Contractholder funds		3,916	n/a		(419)		--		(419)
Other embedded derivative financial instruments	Contractholder funds		85	n/a		(9)		--		(9)
Credit default contracts
Credit default swaps – buying protection	Other liabilities & accrued expenses		193	n/a		(2)		--		(2)
Credit default swaps – selling protection	Other liabilities & accrued expenses		130	n/a		(30)		--		(30)
Total			7,562	12,619		(626)		19		(645)

Total liability derivatives			7,697	12,619		(645)	$	19	$	(664)

Total derivatives		$	14,059	25,270	$	(498)

_____________________

(1)	Volume for OTC derivative contracts is represented by their notional amounts. Volume for exchange traded derivatives is represented by the number of contracts, which is the basis on which they are traded. (n/a = not applicable)

($ in millions, except number of contracts)	Asset derivatives
			Volume (1)
	Balance sheet location		Notional amount	Number of contracts		Fair value, net		Gross asset		Gross liability
Derivatives designated as accounting hedging instruments
Interest rate swap agreements	Other investments	$	144	n/a	$	(8)	$	--	$	(8)
Foreign currency swap agreements	Other investments		127	n/a		(5)		3		(8)
Total			271	n/a		(13)		3		(16)

Derivatives not designated as accounting hedging instruments
Interest rate contracts
Interest rate swap agreements	Other investments		8,028	n/a		122		137		(15)
Interest rate swaption agreements	Other investments		500	n/a		--		--		--
Interest rate cap and floor agreements	Other investments		1,591	n/a		(12)		--		(12)
Financial futures contracts and options	Other assets		n/a	40		--		--		--
Equity and index contracts
Options, futures and warrants (2)	Other investments		163	15,180		104		104		--
Options, futures and warrants	Other assets		n/a	1,011		--		--		--
Foreign currency contracts
Foreign currency swap agreements	Other investments		50	n/a		6		6		--
Embedded derivative financial instruments
Conversion options	Fixed income securities		5	n/a		--		--		--
Equity-indexed call options	Fixed income securities		150	n/a		11		11		--
Credit default swaps	Fixed income securities		170	n/a		(113)		--		(113)
Credit default contracts
Credit default swaps – buying protection	Other investments		110	n/a		2		4		(2)
Credit default swaps – selling protection	Other investments		32	n/a		--		--		--
Other contracts
Other contracts	Other investments		5	n/a		--		--		--
Other contracts	Other assets		4	n/a		1		1		--
Total			10,808	16,231		121		263		(142)

Total asset derivatives		$	11,079	16,231	$	108	$	266	$	(158)


(1)	Volume for OTC derivative contracts is represented by their notional amounts. Volume for exchange traded derivatives is represented by the number of contracts, which is the basis on which they are traded. (n/a = not applicable)

(2)	In addition to the number of contracts presented in the table, the Company held 837,100 stock warrants. Stock warrants can be converted to cash upon sale of those instruments or exercised for shares of common stock.

	Liability derivatives
			Volume (1)
	Balance sheet location		Notional amount	Number of contracts		Fair value, net		Gross asset		Gross liability
Derivatives designated as accounting hedging instruments
Interest rate swap agreements	Other liabilities & accrued expenses	$	28	n/a	$	(5)	$	--	$	(5)
Foreign currency swap agreements	Other liabilities & accrued expenses		50	n/a		(7)		--		(7)
Total			78	n/a		(12)		--		(12)

Derivatives not designated as accounting hedging instruments
Interest rate contracts
Interest rate swap agreements	Other liabilities & accrued expenses		85	n/a		8		8		--
Interest rate cap and floor agreements	Other liabilities & accrued expenses		914	n/a		(9)		--		(9)
Equity and index contracts
Options and futures	Other liabilities & accrued expenses		--	14,985		(49)		--		(49)
Embedded derivative financial instruments
Guaranteed accumulation benefits	Contractholder funds		917	n/a		(105)		--		(105)
Guaranteed withdrawal benefits	Contractholder funds		613	n/a		(57)		--		(57)
Equity-indexed and forward starting options in life and annuity product contracts	Contractholder funds		3,996	n/a		(553)		--		(553)
Other embedded derivative financial instruments	Contractholder funds		85	n/a		(8)		--		(8)
Credit default contracts
Credit default swaps – buying protection	Other liabilities & accrued expenses		127	n/a		5		6		(1)
Credit default swaps – selling protection	Other liabilities & accrued expenses		270	n/a		(68)		1		(69)
Total			7,007	14,985		(836)		15		(851)

Total liability derivatives			7,085	14,985		(848)	$	15	$	(863)

Total derivatives		$	18,164	31,216	$	(740)


(1)	Volume for OTC derivative contracts is represented by their notional amounts. Volume for exchange traded derivatives is represented by the number of contracts, which is the basis on which they are traded. (n/a = not applicable)

Summary of impacts on operations and AOCI from foreign currency contracts, cash flow hedges

($ in millions)		2012		2011		2010
Effective portion
(Loss) gain recognized in OCI on derivatives during the period	$	(6)	$	4	$	3
Loss recognized in OCI on derivatives during the term of the hedging relationship		(17)		(12)		(17)
(Loss) gain reclassified from AOCI into income (realized capital gains and losses)		(1)		(1)		2

Schedule of gains and losses from valuation, settlements, and hedge ineffectiveness, fair value hedges and derivatives not designated as hedges

($ in millions)		2012
		Net investment income		Realized capital gains and losses		Contract benefits		Interest credited to contractholder funds		Total gain (loss) recognized in net income on derivatives
Derivatives in fair value accounting hedging relationships
Interest rate contracts	$	(1)	$	--	$	--	$	--	$	(1	)
Subtotal		(1)		--		--		--		(1	)

Derivatives not designated as accounting hedging instruments
Interest rate contracts		--		2		--		--		2
Equity and index contracts		--		--		--		56		56
Embedded derivative financial instruments		--		20		36		134		190
Foreign currency contracts		--		(2)		--		--		(2	)
Credit default contracts		--		15		--		--		15
Other contracts		--		--		--		3		3
Subtotal		--		35		36		193		264
Total	$	(1)	$	35	$	36	$	193	$	263

		2011
		Net investment income		Realized capital gains and losses		Contract benefits		Interest credited to contractholder funds		Total gain (loss) recognized in net income on derivatives
Derivatives in fair value accounting hedging relationships
Interest rate contracts	$	(2)	$	(8)	$	--	$	(5)	$	(15	)
Foreign currency and interest rate contracts		--		--		--		(32)		(32	)
Subtotal		(2)		(8)		--		(37)		(47	)

Derivatives not designated as accounting hedging instruments
Interest rate contracts		--		(151)		--		--		(151	)
Equity and index contracts		--		--		--		(2)		(2	)
Embedded derivative financial instruments		--		(45)		(32)		(38)		(115	)
Credit default contracts		--		2		--		--		2
Other contracts		--		--		--		7		7
Subtotal		--		(194)		(32)		(33)		(259	)
Total	$	(2)	$	(202)	$	(32)	$	(70)	$	(306	)

		2010
		Net investment income		Realized capital gains and losses		Contract benefits		Interest credited to contractholder funds		Total gain (loss) recognized in net income on derivatives
Derivatives in fair value accounting hedging relationships
Interest rate contracts	$	(139)	$	9	$	--	$	11	$	(119	)
Foreign currency and interest rate contracts		--		(2)		--		(18)		(20	)
Subtotal		(139)		7		--		(7)		(139	)

Derivatives not designated as accounting hedging instruments
Interest rate contracts		--		(138)		--		--		(138	)
Equity and index contracts		--		--		--		113		113
Embedded derivative financial instruments		--		8		(28)		34		14
Foreign currency contracts		--		4		--		--		4
Credit default contracts		--		(6)		--		--		(6	)
Other contracts		--		--		--		3		3
Subtotal		--		(132)		(28)		150		(10	)
Total	$	(139)	$	(125)	$	(28)	$	143	$	(149	)

Summary of the changes in fair value of fair value hedging relationships

($ in millions)		Gain (loss) on derivatives				Gain (loss) on hedged risk
Location of gain or (loss) recognized in net income on derivatives		Interest rate contracts		Foreign currency & interest rate contracts		Contractholder funds		Investments

2012
Net investment income	$	3	$	--	$	--	$	(3	)
Total	$	3	$	--	$	--	$	(3	)

2011
Interest credited to contractholder funds	$	(7)	$	(34)	$	41	$	--
Net investment income		26		--		--		(26	)
Realized capital gains and losses		(8)		--		--		--
Total	$	11	$	(34)	$	41	$	(26	)

2010
Interest credited to contractholder funds	$	--	$	(48)	$	48	$	--
Net investment income		(33)		--		--		33
Realized capital gains and losses		9		(2)		--		--
Total	$	(24)	$	(50)	$	48	$	33

Summary of counterparty credit exposure by counterparty credit rating

($ in millions)	2012							2011
Rating (1)	Number of counter- parties		Notional amount (2)		Credit exposure (2)		Exposure, net of collateral (2)	Number of counter- parties		Notional amount (2)		Credit exposure (2)		Exposure, net of collateral (2)

AA-	--	$	--	$	--	$	--	1	$	25	$	1	$	1
A+	1		19		--		--	3		2,936		24		4
A	3		2,252		12		--	2		3,913		14		--
A-	2		311		1		1	2		3,815		25		--
BBB+	1		3,617		11		--	2		57		41		41
Total	7	$	6,199	$	24	$	1	10	$	10,746	$	105	$	46


(1)	Rating is the lower of S&P or Moody’s ratings.
(2)	Only OTC derivatives with a net positive fair value are included for each counterparty.

Summary of derivative instruments with credit features in a liability position, including fair value of assets and collateral netted against the liability

($ in millions)		2012		2011
Gross liability fair value of contracts containing credit-risk-contingent features	$	62	$	133
Gross asset fair value of contracts containing credit-risk-contingent features and subject to MNAs		(28)		(60)
Collateral posted under MNAs for contracts containing credit-risk- contingent features		(25)		(72)
Maximum amount of additional exposure for contracts with credit-risk- contingent features if all features were triggered concurrently	$	9	$	1

Schedule of CDS notional amounts by credit rating and fair value of protection sold

($ in millions)		Notional amount
		AA		A		BBB		BB and lower		Total		Fair value
December 31, 2012
Single name
Investment grade corporate debt (1)	$	--	$	5	$	--	$	--	$	5	$	--
Municipal		25		--		--		--		25		(3	)
Subtotal		25		5		--		--		30		(3	)
Baskets
First-to-default
Municipal		--		100		--		--		100		(26	)
Subtotal		--		100		--		--		100		(26	)
Index
Investment grade corporate debt (1)		1		26		68		5		100		--
Total	$	26	$	131	$	68	$	5	$	230	$	(29	)

December 31, 2011
Single name
Investment grade corporate debt (1)	$	40	$	45	$	15	$	10	$	110	$	(1	)
High yield debt		--		--		--		2		2		--
Municipal		25		--		--		--		25		(5	)
Subtotal		65		45		15		12		137		(6	)
Baskets
Tranche
Investment grade corporate debt (1)		--		--		--		65		65		(29	)
First-to-default
Municipal		--		100		--		--		100		(33	)
Subtotal		--		100		--		65		165		(62	)
Total	$	65	$	145	$	15	$	77	$	302	$	(68	)


(1) Investment grade corporate debt categorization is based on the rating of the underlying name(s) at initial purchase.

Contractual amounts of off-balance-sheet financial instruments

($ in millions)		2012		2011
Commitments to invest in limited partnership interests	$	947	$	797
Commitments to extend mortgage loans		67		72
Private placement commitments		6		30
Other loan commitments		7		24

- 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.

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