XML 54 R38.htm IDEA: XBRL DOCUMENT v3.8.0.1
Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 2017
Derivative Instruments [Abstract]  
Outstanding Derivative Instruments With Off-Balance-Sheet Risks



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



As of December 31, 2017

 

As of December 31, 2016

 



Notional

 

Fair Value

 

Notional

 

Fair Value

 



Amounts

 

Asset

 

Liability

 

Amounts

 

Asset

 

Liability

 

Qualifying Hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash flow hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (1)

$

 3,007 

 

$

 46 

 

$

 84 

 

$

 3,552 

 

$

 68 

 

$

 122 

 

Foreign currency contracts (1)

 

 1,804 

 

 

 79 

 

 

 79 

 

 

 1,177 

 

 

 153 

 

 

 10 

 

Total cash flow hedges

 

 4,811 

 

 

 125 

 

 

 163 

 

 

 4,729 

 

 

 221 

 

 

 132 

 

Fair value hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (1)

 

 1,438 

 

 

 254 

 

 

 174 

 

 

 1,512 

 

 

 258 

 

 

 182 

 

Non-Qualifying Hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (1)

 

 72,937 

 

 

 657 

 

 

 127 

 

 

 70,290 

 

 

 985 

 

 

 701 

 

Foreign currency contracts (1)

 

 22 

 

 

 -

 

 

 -

 

 

 14 

 

 

 -

 

 

 -

 

Equity market contracts (1)

 

 31,090 

 

 

 562 

 

 

 557 

 

 

 28,315 

 

 

 541 

 

 

 616 

 

Credit contracts (1)

 

 52 

 

 

 -

 

 

 -

 

 

 66 

 

 

 -

 

 

 -

 

Embedded derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

GLB direct (2) (3)

 

 -

 

 

 903 

 

 

 -

 

 

 -

 

 

 -

 

 

 371 

 

GLB ceded (2) (3)

 

 -

 

 

 51 

 

 

 67 

 

 

 -

 

 

 -

 

 

 -

 

Reinsurance related (4)

 

 -

 

 

 -

 

 

 57 

 

 

 -

 

 

 -

 

 

 53 

 

Indexed annuity and IUL contracts (2) (5)

 

 -

 

 

 11 

 

 

 1,418 

 

 

 -

 

 

 -

 

 

 1,139 

 

Total derivative instruments

$

 110,350 

 

$

 2,563 

 

$

 2,563 

 

$

 104,926 

 

$

 2,005 

 

$

 3,194 

 



(1)

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

(2)

Reported in other assets on our Consolidated Balance Sheets.

(3)

Reported in other liabilities on our Consolidated Balance Sheets.

(4)

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

(5)

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



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



Remaining Life as of December 31, 2017

 



Less Than

 

1 - 5

 

6 - 10

 

11 - 30

 

Over 30

 

 

 



1 Year

 

Years

 

Years

 

Years

 

Years

 

Total

 

Interest rate contracts (1)

$

 7,998 

 

$

 20,953 

 

$

 31,378 

 

$

 15,840 

 

$

 1,213 

 

$

 77,382 

 

Foreign currency contracts (2)

 

 22 

 

 

 247 

 

 

 423 

 

 

 1,090 

 

 

 44 

 

 

 1,826 

 

Equity market contracts

 

 18,746 

 

 

 9,692 

 

 

 485 

 

 

 15 

 

 

 2,152 

 

 

 31,090 

 

Credit contracts

 

 -

 

 

 52 

 

 

 -

 

 

 -

 

 

 -

 

 

 52 

 

Total derivative instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

with notional amounts

$

 26,766 

 

$

 30,944 

 

$

 32,286 

 

$

 16,945 

 

$

 3,409 

 

$

 110,350 

 



(1)

As of December 31, 2017, 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 December 31, 2017, the latest maturity date for which we were hedging our exposure to the variability in future cash flows for these instruments was September 2049.
Change In Our Unrealized Gain On Derivative Instruments In Accumulated OCI





 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 



For the Years Ended December 31,

 



2017

 

2016

 

2015

 

Unrealized Gain (Loss) on Derivative Instruments

 

 

 

 

 

 

 

 

 

Balance as of beginning-of-year

$

 49

 

$

 132

 

$

 139

 

Other comprehensive income (loss):

 

 

 

 

 

 

 

 

 

Unrealized holding gains (losses) arising during the period:

 

 

 

 

 

 

 

 

 

Cash flow hedges:

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 7

 

 

 (205

)

 

 (258

)

Foreign currency contracts

 

 20

 

 

 (10

)

 

 17

 

Change in foreign currency exchange rate adjustment

 

 (137

)

 

 96

 

 

 48

 

Change in DAC, VOBA, DSI and DFEL

 

 2

 

 

 3

 

 

 2

 

Income tax benefit (expense)

 

 38

 

 

 41

 

 

 66

 

Less:

 

 

 

 

 

 

 

 

 

Reclassification adjustment for gains (losses)

 

 

 

 

 

 

 

 

 

included in net income (loss):

 

 

 

 

 

 

 

 

 

Cash flow hedges:

 

 

 

 

 

 

 

 

 

Interest rate contracts (1)

 

 4

 

 

 5

 

 

 (190

)

Interest rate contracts (2)

 

 (18

)

 

 (10

)

 

 1

 

Interest rate contracts (3)

 

 -

 

 

 1

 

 

 -

 

Foreign currency contracts (1)

 

 18

 

 

 11

 

 

 6

 

Foreign currency contracts (3)

 

 9

 

 

 7

 

 

 -

 

Associated amortization of DAC, VOBA, DSI and DFEL

 

 (1

)

 

 (1

)

 

 1

 

Income tax benefit (expense)

 

 (4

)

 

 (5

)

 

 64

 

Balance as of end-of-period

$

 (29

)

$

 49

 

$

 132

 



(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).

(3)

The OCI offset is reported within realized gain (loss) on our Consolidated Statements of Comprehensive Income (Loss).
Gains (Losses) On Derivative Instruments Recorded Within Income (Loss) From Continuing Operations





 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 



For the Years Ended December 31,

 

 



2017

 

2016

 

2015

 

 

Qualifying Hedges

 

 

 

 

 

 

 

 

 

 

Cash flow hedges:

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (1)

$

 4

 

$

 5

 

$

 8

 

 

Interest rate contracts (2)

 

 (18

)

 

 (10

)

 

 1

 

 

Interest rate contracts (3)

 

 -

 

 

 1

 

 

 -

 

 

Foreign currency contracts (1)

 

 18

 

 

 11

 

 

 6

 

 

Foreign currency contracts (3)

 

 9

 

 

 7

 

 

 -

 

 

Total cash flow hedges

 

 13

 

 

 14

 

 

 15

 

 

Fair value hedges:

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (1)

 

 (23

)

 

 (28

)

 

 (30

)

 

Interest rate contracts (2)

 

 27

 

 

 32

 

 

 32

 

 

Interest rate contracts (3)

 

 7

 

 

 16

 

 

 (198

)

 

Total fair value hedges

 

 11

 

 

 20

 

 

 (196

)

 

Non-Qualifying Hedges

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (3)

 

 103

 

 

 181

 

 

 304

 

 

Foreign currency contracts (3)

 

 -

 

 

 (14

)

 

 (11

)

 

Equity market contracts (3)

 

 (1,427

)

 

 (1,253

)

 

 (118

)

 

Equity market contracts (4)

 

 29

 

 

 12

 

 

 1

 

 

Credit contracts (3)

 

 1

 

 

 (5

)

 

 (6

)

 

Embedded derivatives:

 

 

 

 

 

 

 

 

 

 

GLB (3)

 

 1,055

 

 

 582

 

 

 (779

)

 

Reinsurance related (3)

 

 10

 

 

 34

 

 

 63

 

 

Indexed annuity and IUL contracts (3)

 

 (400

)

 

 (120

)

 

 (57

)

 

Total derivative instruments

$

 (605

)

$

 (549

)

$

 (784

)

 



(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 Years Ended December 31,

 



2017

 

2016

 

2015

 

Offset to net investment income

$

 22

 

$

 16

 

$

 14

 

Offset to realized gain (loss)

 

 9

 

 

 8

 

 

 -

 

Offset to interest and debt expense

 

 (18

)

 

 (10

)

 

 1

 



 

 

 

 

 

 

 

 

 



Open Credit Default Swap Liabilities



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of December 31, 2017

 



 

 

 

 

 

 

 

Credit

 

 

 

 

 

 

 

 

 



 

 

 

Reason

 

Nature

 

Rating of

 

Number

 

 

 

 

Maximum

 



 

 

 

for

 

of

Underlying

of

 

Fair

 

Potential

 

Credit Contract Type

 

Maturity

 

Entering

 

Recourse

Obligation (1)

Instruments

 

Value (2)

 

Payout

 

Basket credit default swaps

 

12/20/2022

 

(3)

 

(4)

 

BBB+

 

 1 

 

$

 1 

 

$

 52 

 



 

 

 

 

 

 

 

 

 

 1 

 

$

 1 

 

$

 52 

 





 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of December 31, 2016



 

 

 

 

 

 

 

Credit

 

 

 

 

 

 

 

 



 

 

 

Reason

 

Nature

 

Rating of

 

Number

 

 

 

 

Maximum



 

 

 

for

 

of

Underlying

of

 

Fair

 

Potential

Credit Contract Type

 

Maturity

 

Entering

 

Recourse

Obligation (1)

Instruments

 

Value (2)

 

Payout

Single name credit default swaps

 

3/20/2017 (5)

 

(6)

 

(4)

 

BBB+

 

 2 

 

$

 -

 

$

 40 



 

 

 

 

 

 

 

 

 

 2 

 

$

 -

 

$

 40 



(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 our credit default swaps.

(3)

Credit default swaps were entered into in order to hedge the liability exposure on certain variable annuity products.

(4)

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

(5)

These credit default swaps were sold to a counterparty of the consolidated VIEs discussed in Note 4.

(6)

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



 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 



 

As of

 

 

As of

 

 



December 31,

December 31,

 



 

2017

 

 

2016

 

 

Maximum potential payout

 

$

 52 

 

 

$

 40 

 

 

Less:  Counterparty thresholds

 

 

 -

 

 

 

 -

 

 

Maximum collateral potentially required to post

 

$

 52 

 

 

$

 40 

 

 



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



 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 



 

As of December 31, 2017

 

As of December 31, 2016

 



 

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-

 

$

 116

 

$

 (1

)

$

 53

 

$

 (32

)

A+

 

 

 242

 

 

 (453

)

 

 10

 

 

 (217

)

A

 

 

 170

 

 

 (120

)

 

 466

 

 

 (381

)

A-

 

 

 237

 

 

 (3

)

 

 67

 

 

 -

 

BBB+

 

 

 -

 

 

 (4

)

 

 298

 

 

 -

 



 

$

 765

 

$

 (581

)

$

 894

 

$

 (630

)



Schedule Of Offsetting Assets And Liabilities



 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 



 

As of December 31, 2017

 



 

 

 

 

Embedded

 

 

 

 



Derivative

Derivative

 

 

 

 



Instruments

Instruments

 

Total

 



 

 

 

 

 

 

 

 

 

 

 

 

Financial Assets

 

 

 

 

 

 

 

 

 

 

 

 

Gross amount of recognized assets

 

$

 1,301

 

 

$

 965

 

 

$

 2,266

 

Gross amounts offset

 

 

 (386

)

 

 

 -

 

 

 

 (386

)

Net amount of assets

 

 

 915

 

 

 

 965

 

 

 

 1,880

 

Gross amounts not offset:

 

 

 

 

 

 

 

 

 

 

 

 

Cash collateral

 

 

 (765

)

 

 

 -

 

 

 

 (765

)

Net amount

 

$

 150

 

 

$

 965

 

 

$

 1,115

 



 

 

 

 

 

 

 

 

 

 

 

 

Financial Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Gross amount of recognized liabilities

 

$

 955

 

 

$

 1,542

 

 

$

 2,497

 

Gross amounts offset

 

 

 (296

)

 

 

 -

 

 

 

 (296

)

Net amount of liabilities

 

 

 659

 

 

 

 1,542

 

 

 

 2,201

 

Gross amounts not offset:

 

 

 

 

 

 

 

 

 

 

 

 

Cash collateral

 

 

 (581

)

 

 

 -

 

 

 

 (581

)

Net amount

 

$

 78

 

 

$

 1,542

 

 

$

 1,620

 











 

 

 

 

 

 

 

 

 

 

 

 



 

As of December 31, 2016

 



 

 

 

 

Embedded

 

 

 

 



Derivative

Derivative

 

 

 

 



Instruments

Instruments

 

Total

 



 

 

 

 

 

 

 

 

 

 

 

 

Financial Assets

 

 

 

 

 

 

 

 

 

 

 

 

Gross amount of recognized assets

 

$

 1,470

 

 

$

 -

 

 

$

 1,470

 

Gross amounts offset

 

 

 (543

)

 

 

 -

 

 

 

 (543

)

Net amount of assets

 

 

 927

 

 

 

 -

 

 

 

 927

 

Gross amounts not offset:

 

 

 

 

 

 

 

 

 

 

 

 

Cash collateral

 

 

 (894

)

 

 

 -

 

 

 

 (894

)

Net amount

 

$

 33

 

 

$

 -

 

 

$

 33

 



 

 

 

 

 

 

 

 

 

 

 

 

Financial Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Gross amount of recognized liabilities

 

$

 1,089

 

 

$

 1,563

 

 

$

 2,652

 

Gross amounts offset

 

 

 (536

)

 

 

 -

 

 

 

 (536

)

Net amount of liabilities

 

 

 553

 

 

 

 1,563

 

 

 

 2,116

 

Gross amounts not offset:

 

 

 

 

 

 

 

 

 

 

 

 

Cash collateral

 

 

 (630

)

 

 

 -

 

 

 

 (630

)

Net amount

 

$

 (77

)

 

$

 1,563

 

 

$

 1,486