XML 79 R23.htm IDEA: XBRL DOCUMENT v2.4.1.9
Derivative Instruments (Tables)
 3 Months Ended
Mar. 31, 2015
Derivative Instruments [Abstract]  
Outstanding Derivative Instruments With Off-Balance-Sheet Risks

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of March 31, 2015

 

As of December 31, 2014

 

 

Notional

 

Fair Value

 

Notional

 

Fair Value

 

 

Amounts

 

Asset

 

Liability

 

Amounts

 

Asset

 

Liability

 

Qualifying Hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash flow hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (1)

$
3,111 

 

$
377 

 

$
84 

 

$
3,554 

 

$
408 

 

$
198 

 

Foreign currency contracts (1)

 
642 

 

 
71 

 

 
7 

 

 
642 

 

 
45 

 

 
21 

 

Total cash flow hedges

 
3,753 

 

 
448 

 

 
91 

 

 
4,196 

 

 
453 

 

 
219 

 

Fair value hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (1)

 
1,540 

 

 
315 

 

 
230 

 

 
875 

 

 
259 

 

 

 -

 

Non-Qualifying Hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (1)

 
62,982 

 

 
1,456 

 

 
396 

 

 
54,401 

 

 
989 

 

 
342 

 

Foreign currency contracts (1)

 
8 

 

 

 -

 

 

 -

 

 
68 

 

 

 -

 

 

 -

 

Equity market contracts (1)

 
24,364 

 

 
835 

 

 
334 

 

 
24,310 

 

 
886 

 

 
243 

 

Credit contracts (2)

 
126 

 

 

 -

 

 
3 

 

 
126 

 

 

 -

 

 
3 

 

Embedded derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Guaranteed living benefit reserves (2)

 

 -

 

 

 -

 

 
552 

 

 

 -

 

 

 -

 

 
174 

 

Reinsurance related (3)

 

 -

 

 

 -

 

 
165 

 

 

 -

 

 

 -

 

 
150 

 

Indexed annuity and IUL contracts (4)

 

 -

 

 

 -

 

 
1,180 

 

 

 -

 

 

 -

 

 
1,170 

 

Total derivative instruments

$
92,773 

 

$
3,054 

 

$
2,951 

 

$
83,976 

 

$
2,587 

 

$
2,301 

 

 

(1)

Reported in derivative investments and other liabilities on our Consolidated Balance Sheets.

(2)

Reported in other liabilities on our Consolidated Balance Sheets.

(3)

Reported in reinsurance related embedded derivatives on our Consolidated Balance Sheets.

(4)

Reported in future contract benefits on our Consolidated Balance Sheets.
Maturity Of The Notional Amounts Of Derivative Financial Instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Remaining Life as of March 31, 2015

 

 

Less Than

 

1 – 5

 

6 – 10

 

11 – 30

 

Over 30

 

 

 

 

1 Year

 

Years

 

Years

 

Years

 

Years

 

Total

 

Interest rate contracts (1)

$
2,480 

 

$
39,859 

 

$
11,284 

 

$
12,797 

 

$
1,213 

 

$
67,633 

 

Foreign currency contracts (2)

 
38 

 

 
126 

 

 
276 

 

 
210 

 

 

 -

 

 
650 

 

Equity market contracts

 
14,513 

 

 
5,303 

 

 
4,338 

 

 
18 

 

 
192 

 

 
24,364 

 

Credit contracts

 

 -

 

 
126 

 

 

 -

 

 

 -

 

 

 -

 

 
126 

 

Total derivative instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

with notional amounts

$
17,031 

 

$
45,414 

 

$
15,898 

 

$
13,025 

 

$
1,405 

 

$
92,773 

 

 

(1)

As of March 31, 2015, the latest maturity date for which we were hedging our exposure to the variability in future cash flows for these instruments was April 2067.

(2)

As of March 31, 2015, the latest maturity date for which we were hedging our exposure to the variability in future cash flows for these instruments was December 2029.
Change In Our Unrealized Gain On Derivative Instruments In Accumulated OCI

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the Three

 

 

Months Ended

 

 

March 31,

 

 

2015

 

2014

 

Unrealized Gain (Loss) on Derivative Instruments

 

 

 

 

 

 

Balance as of beginning-of-year

$
139

 

$
256

 

Other comprehensive income (loss):

 

 

 

 

 

 

Unrealized holding gains (losses) arising during the period:

 

 

 

 

 

 

Cash flow hedges:

 

 

 

 

 

 

Interest rate contracts

 
(150

)

 
(28

)

Foreign currency contracts

 
42

 

 
(2

)

Change in foreign currency exchange rate adjustment

 
37

 

 
(2

)

Income tax benefit (expense)

 
25

 

 
11

 

Less:

 

 

 

 

 

 

Reclassification adjustment for gains (losses)

 

 

 

 

 

 

included in net income (loss):

 

 

 

 

 

 

Cash flow hedges:

 

 

 

 

 

 

Interest rate contracts (1)

 
(197

)

 
(7

)

Interest rate contracts (2)

 
1

 

 
1

 

Foreign currency contracts (1)

 
2

 

 

 -

 

Associated amortization of DAC, VOBA, DSI and DFEL

 
1

 

 

 -

 

Income tax benefit (expense)

 
68

 

 
2

 

Balance as of end-of-period

$
218

 

$
239

 

 

(1)

The OCI offset is reported within net investment income on our Consolidated Statements of Comprehensive Income (Loss).

(2)

The OCI offset is reported within interest and debt expense on our Consolidated Statements of Comprehensive Income (Loss).
Gains (Losses) On Derivative Instruments Recorded Within Income (Loss) From Continuing Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the Three

 

 

Months Ended

 

 

March 31,

 

 

2015

 

2014

 

Qualifying Hedges

 

 

 

 

 

 

Cash flow hedges:

 

 

 

 

 

 

Interest rate contracts (1)

$

 -

 

$
(7

)

Foreign currency contracts (1)

 
2

 

 

 -

 

Total cash flow hedges

 
2

 

 
(7

)

Fair value hedges:

 

 

 

 

 

 

Interest rate contracts (1)

 
(7

)

 

 -

 

Interest rate contracts (2)

 
9

 

 
9

 

Interest rate contracts (3)

 
(230

)

 

 -

 

Total fair value hedges

 
(228

)

 
9

 

Non-Qualifying Hedges

 

 

 

 

 

 

Interest rate contracts (3)

 
441

 

 
332

 

Foreign currency contracts (3)

 
(1

)

 
1

 

Equity market contracts (3)

 
(231

)

 
(155

)

Equity market contracts (4)

 
5

 

 
1

 

Embedded derivatives:

 

 

 

 

 

 

Guaranteed living benefit reserves (3)

 
(378

)

 
(281

)

Reinsurance related (3)

 
(15

)

 
(27

)

Indexed annuity and IUL contracts (3)

 
(38

)

 
(49

)

Total derivative instruments

$
(443

)

$
(176

)

 

(1)

Reported in net investment income on our Consolidated Statements of Comprehensive Income (Loss).

(2)

Reported in interest and debt expense on our Consolidated Statements of Comprehensive Income (Loss).

(3)

Reported in realized gain (loss) on our Consolidated Statements of Comprehensive Income (Loss).

(4)

Reported in commissions and other expenses on our Consolidated Statements of Comprehensive Income (Loss).
Gains (Losses) On Derivative Instruments Designated As Cash Flow Hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the Three

 

 

Months Ended

 

 

March 31,

 

 

2015

 

2014

 

Offset to net investment income

$
3

 

$
(7

)

Offset to interest and debt expense

 
1

 

 
1

 

 

 

 

 

 

 

 

 

Open Credit Default Swap Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of March 31, 2015

 

 

 

 

 

 

 

Credit

 

 

 

 

 

 

 

 

 

 

 

Reason

 

Nature

 

Rating of

 

Number

 

 

 

 

Maximum

 

 

 

for

 

of

Underlying

of

 

Fair

 

Potential

 

Maturity

 

Entering

 

Recourse

Obligation (1)

Instruments

 

Value (2)

 

Payout

 

12/20/2016 (3)

 

(4)

 

(5)

 

BBB-

 
3

 

$
(2

)

$
68

 

3/20/2017 (3)

 

(4)

 

(5)

 

BBB-

 
3

 

 
(1

)

 
58

 

 

 

 

 

 

 

 

 
6

 

$
(3

)

$
126

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of December 31, 2014

 

 

 

 

 

 

 

Credit

 

 

 

 

 

 

 

 

 

 

 

Reason

 

Nature

 

Rating of

 

Number

 

 

 

 

Maximum

 

 

 

for

 

of

Underlying

of

 

Fair

 

Potential

 

Maturity

 

Entering

 

Recourse

Obligation (1)

Instruments

 

Value (2)

 

Payout

 

12/20/2016 (3)

 

(4)

 

(5)

 

BBB-

 
3

 

$
(2

)

$
68

 

3/20/2017 (3)

 

(4)

 

(5)

 

BBB-

 
3

 

 
(1

)

 
58

 

 

 

 

 

 

 

 

 
6

 

$
(3

)

$
126

 

 

(1)

Represents average credit ratings based on the midpoint of the applicable ratings among Moody’s, S&P and Fitch Ratings, as scaled to the corresponding S&P ratings.

(2)

Broker quotes are used to determine the market value of credit default swaps.

(3)

These credit default swaps were sold to a counterparty of the consolidated VIEs discussed in Note 4 in our 2014 Form 10-K.

(4)

Credit default swaps were entered into in order to generate income by providing default protection in return for a quarterly payment.

(5)

Sellers do not have the right to demand indemnification or compensation from third parties in case of a loss (payment) on the contract.

Collateral Support Agreements

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of

 

 

As of

 

 

 

March 31,

December 31,

 

 

 

2015

 

 

2014

 

 

Maximum potential payout

 

$
126 

 

 

$
126 

 

 

Less:  Counterparty thresholds

 

 

 -

 

 

 

 -

 

 

Maximum collateral potentially required to post

 

$
126 

 

 

$
126 

 

 

 

Schedule Of Collateral Amounts With Rights To Reclaim Or Obligation To Return Cash

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of March 31, 2015

 

As of December 31, 2014

 

 

 

Collateral

 

Collateral

 

Collateral

 

Collateral

 

 

 

Posted by

 

Posted by

 

Posted by

 

Posted by

 

S&P

 

Counter-

 

LNC

 

Counter-

 

LNC

 

Credit

 

Party

 

(Held by

 

Party

 

(Held by

 

Rating of

 

(Held by

 

Counter-

 

(Held by

 

Counter-

 

Counterparty

 

LNC)

 

Party)

 

LNC)

 

Party)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

AA-

 

$
177

 

$

 -

 

$
64

 

$

 -

 

A+

 

 
56

 

 

 -

 

 
47

 

 

 -

 

A

 

 
1,489

 

 
(99

)

 
1,163

 

 
(85

)

A-

 

 
309

 

 
(74

)

 
233

 

 

 -

 

BBB+

 

 
20

 

 

 -

 

 
27

 

 

 -

 

 

 

$
2,051

 

$
(173

)

$
1,534

 

$
(85

)

 

Schedule Of Offsetting Assets And Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of March 31, 2015

 

 

 

 

 

 

Embedded

 

 

 

 

 

Derivative

Derivative

 

 

 

 

 

Instruments

Instruments

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial Assets

 

 

 

 

 

 

 

 

 

 

 

 

Gross amount of recognized assets

 

$
2,966

 

 

$

 -

 

 

$
2,966

 

Gross amounts offset

 

 
(871

)

 

 

 -

 

 

 
(871

)

Net amount of assets

 

 
2,095

 

 

 

 -

 

 

 
2,095

 

Gross amounts not offset:

 

 

 

 

 

 

 

 

 

 

 

 

Cash collateral

 

 
(2,051

)

 

 

 -

 

 

 
(2,051

)

Net amount

 

$
44

 

 

$

 -

 

 

$
44

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Gross amount of recognized liabilities

 

$
182

 

 

$
1,897

 

 

$
2,079

 

Gross amounts offset

 

 
(87

)

 

 

 -

 

 

 
(87

)

Net amount of liabilities

 

 
95

 

 

 
1,897

 

 

 
1,992

 

Gross amounts not offset:

 

 

 

 

 

 

 

 

 

 

 

 

Cash collateral

 

 
(173

)

 

 

 -

 

 

 
(173

)

Net amount

 

$
(78

)

 

$
1,897

 

 

$
1,819

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of December 31, 2014

 

 

 

 

 

 

Embedded

 

 

 

 

 

Derivative

Derivative

 

 

 

 

 

Instruments

Instruments

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial Assets

 

 

 

 

 

 

 

 

 

 

 

 

Gross amount of recognized assets

 

$
2,537

 

 

$

 -

 

 

$
2,537

 

Gross amounts offset

 

 
(677

)

 

 

 -

 

 

 
(677

)

Net amount of assets

 

 
1,860

 

 

 

 -

 

 

 
1,860

 

Gross amounts not offset:

 

 

 

 

 

 

 

 

 

 

 

 

Cash collateral

 

 
(1,534

)

 

 

 -

 

 

 
(1,534

)

Net amount

 

$
326

 

 

$

 -

 

 

$
326

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Gross amount of recognized liabilities

 

$
130

 

 

$
1,494

 

 

$
1,624

 

Gross amounts offset

 

 
(50

)

 

 

 -

 

 

 
(50

)

Net amount of liabilities

 

 
80

 

 

 
1,494

 

 

 
1,574

 

Gross amounts not offset:

 

 

 

 

 

 

 

 

 

 

 

 

Cash collateral

 

 
(85

)

 

 

 -

 

 

 
(85

)

Net amount

 

$
(5

)

 

$
1,494

 

 

$
1,489