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Derivative Financial Instruments and Off-balance sheet Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2017
Derivative Financial Instruments and Off-balance sheet Financial Instruments  
Volume and fair value positions of derivative instruments and location in the Consolidated Statement of Financial Position
Summary of the volume and fair value positions of derivative instruments as of December 31, 2017
 
 
 
Volume (1)
 
 
 
 
 
 
($ in millions, except number of contracts)
Balance sheet location
 
Notional amount
 
Number of contracts
 
Fair value, net
 
Gross asset
 
Gross liability
Asset derivatives
 
 
 
 
 
 
 
 
 
 
 
Derivatives not designated as accounting hedging instruments
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
 
 
 
 
 
Interest rate cap agreements
Other investments
 
$
15

 
n/a

 
$
—

 
$
—

 
$
—

Equity and index contracts
 
 
 
 
 
 
 
 
 
 
 
Options
Other investments
 
—

 
6,316

 
125

 
125

 
—

Financial futures contracts
Other assets
 
—

 
289

 
—

 
—

 
—

Foreign currency contracts
 
 
 
 
 
 
 
 
 
 
 
Foreign currency forwards
Other investments
 
52

 
n/a

 
1

 
1

 
—

Credit default contracts
 
 
 
 
 
 
 
 
 
 
 
Credit default swaps – buying protection
Other investments
 
105

 
n/a

 
(1
)
 
—

 
(1
)
Credit default swaps – selling protection
Other investments
 
80

 
n/a

 
1

 
1

 
—

Other contracts
 
 
 
 
 
 
 
 
 
 
 
Other contracts
Other assets
 
3

 
n/a

 
—

 
—

 
—

Total asset derivatives
 
 
$
255


6,605


$
126


$
127


$
(1
)
 
 
 
 
 
 
 
 
 
 
 
 
Liability derivatives
 
 
 
 
 
 
 
 
 
 
 
Derivatives designated as accounting hedging instruments
 
 
 
 
 
 
 
 
 
 
Foreign currency swap agreements
Other liabilities & accrued expenses
 
$
19

 
n/a

 
$
2

 
$
2

 
$
—

Derivatives not designated as accounting hedging instruments
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
 
 
 
 
 
Interest rate cap agreements
Other liabilities & accrued expenses
 
30

 
n/a

 
1

 
1

 
—

Equity and index contracts
 
 
 
 
 
 
 
 
 
 
 
Options and futures
Other liabilities & accrued expenses
 
—

 
7,128

 
(58
)
 
—

 
(58
)
Foreign currency contracts
 
 
 
 
 
 
 
 
 
 
 
Foreign currency forwards
Other liabilities & accrued expenses
 
650

 
n/a

 
(17
)
 
3

 
(20
)
Embedded derivative financial instruments
 
 
 
 
 
 
 
 
 
 
 
Guaranteed accumulation benefits
Contractholder funds
 
225

 
n/a

 
(22
)
 
—

 
(22
)
Guaranteed withdrawal benefits
Contractholder funds
 
274

 
n/a

 
(12
)
 
—

 
(12
)
Equity-indexed and forward starting options in life and annuity product contracts
Contractholder funds
 
1,774

 
n/a

 
(252
)
 
—

 
(252
)
Credit default contracts
 
 
 
 
 
 
 
 
 
 
 
Credit default swaps – buying protection
Other liabilities & accrued expenses
 
136

 
n/a

 
(5
)
 
—

 
(5
)
Credit default swaps – selling protection
Other liabilities & accrued expenses
 
25

 
n/a

 
—

 
—

 
—

Subtotal
 
 
3,114


7,128


(365
)

4


(369
)
Total liability derivatives
 
 
3,133


7,128


(363
)

$
6


$
(369
)
Total derivatives
 
 
$
3,388


13,733


$
(237
)
 
 
 
 
(1) 
Volume for OTC and cleared 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 the volume and fair value positions of derivative instruments as of December 31, 2016
 
 
 
Volume (1)
 
 
 
 
 
 
($ in millions, except number of contracts)
Balance sheet location
 
Notional amount
 
Number of contracts
 
Fair value, net
 
Gross asset
 
Gross liability
Asset derivatives
 
 
 
 
 
 
 
 
 
 
 
Derivatives designated as accounting hedging instruments
 
 
 
 
 
 
 
 
 
 
Foreign currency swap agreements
Other investments
 
$
49

 
n/a

 
$
5

 
$
5

 
$
—

Derivatives not designated as accounting hedging instruments
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
 
 
 
 
 
Interest rate cap agreements
Other investments
 
65

 
n/a

 
1

 
1

 
—

Equity and index contracts
 
 
 
 
 
 
 
 
 
 
 
Options
Other investments
 
—

 
3,972

 
88

 
88

 
—

Financial futures contracts
Other assets
 
—

 
261

 
—

 
—

 
—

Foreign currency contracts
 
 
 
 
 
 
 
 
 
 
 
Foreign currency forwards
Other investments
 
759

 
n/a

 
—

 
24

 
(24
)
Credit default contracts
 
 
 
 
 
 
 
 
 
 
 
Credit default swaps – buying protection
Other investments
 
87

 
n/a

 
(4
)
 
—

 
(4
)
Credit default swaps – selling protection
Other investments
 
140

 
n/a

 
2

 
2

 
—

Other contracts
 
 
 
 
 
 
 
 
 
 
 
Other contracts
Other assets
 
3

 
n/a

 
1

 
1

 
—

Subtotal
 
 
1,054


4,233


88


116


(28
)
Total asset derivatives
 
 
$
1,103

 
4,233

 
$
93


$
121


$
(28
)
​
 
 
​

 
​

 
​

 
​

 
​

Liability derivatives
 
 
 
 
 
 
 
 
 
 
 
Derivatives not designated as accounting hedging instruments
 
 
 
 
 
 
 
 
 
 
Equity and index contracts
 
 
 
 
 
 
 
 
 
 
 
Options and futures
Other liabilities & accrued expenses
 
$
—

 
4,848

 
$
(39
)
 
$
—

 
$
(39
)
Embedded derivative financial instruments
 
 
 
 
 
 
 
 
 
 
 
Guaranteed accumulation benefits
Contractholder funds
 
391

 
n/a

 
(34
)
 
—

 
(34
)
Guaranteed withdrawal benefits
Contractholder funds
 
290

 
n/a

 
(9
)
 
—

 
(9
)
Equity-indexed and forward starting options in life and annuity product contracts
Contractholder funds
 
1,751

 
n/a

 
(247
)
 
—

 
(247
)
Credit default contracts
 
 
 
 
 
 
 
 
 
 
 
Credit default swaps – buying protection
Other liabilities & accrued expenses
 
136

 
n/a

 
(2
)
 
—

 
(2
)
Credit default swaps – selling protection
Other liabilities & accrued expenses
 
105

 
n/a

 
(3
)
 
—

 
(3
)
Total liability derivatives
 
 
2,673


4,848


(334
)

$
—


$
(334
)
Total derivatives
 
 
$
3,776


9,081


$
(241
)
 
 
 
 
(1) 
Volume for OTC and cleared 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)
Schedule of gross and net amount for the Company's OTC derivatives subject to enforceable master netting arrangements
Gross and net amounts for OTC derivatives (1)
 
 
 
 
Offsets
 
 
 
 
 
 
($ in millions)
 
Gross
amount
 
Counter-
party
netting
 
Cash
collateral
(received)
pledged
 
Net
amount on
balance sheet
 
Securities
collateral
(received)
pledged
 
Net
amount
December 31, 2017
 
 
 
 
 
 
 
 
 
 
 
 
Asset derivatives
 
$
8

 
$
(7
)
 
$
1

 
$
2

 
$
—

 
$
2

Liability derivatives
 
(26
)
 
7

 
7

 
(12
)
 
3

 
(9
)
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2016
 
 
 
 
 
 
 
 
 
 
 
 
Asset derivatives
 
$
31

 
$
(28
)
 
$
19

 
$
22

 
$
(9
)
 
$
13

Liability derivatives
 
(33
)
 
28

 
—

 
(5
)
 
4

 
(1
)

(1) 
All OTC derivatives are subject to enforceable master netting agreements.

Impacts on operations and AOCI from foreign currency contracts, cash flow hedges
Summary of the impacts of the foreign currency contracts in cash flow hedging relationships
 
 
For the years ended December 31,
($ in millions)
 
2017
 
2016
 
2015
(Loss) gain recognized in OCI on derivatives during the period
 
$
(2
)
 
$
—

 
$
10

(Loss) gain recognized in OCI on derivatives during the term of the hedging relationship
 
(1
)
 
2

 
6

Gain (loss) reclassified from AOCI into income (net investment income)
 
1

 
1

 
(1
)
Gain reclassified from AOCI into income (realized capital gains and losses)
 
—

 
3

 
3
Gains and losses from valuation, settlements, and hedge ineffectiveness, fair value hedges and derivatives not designated as hedges
Gains and losses from valuation and settlements reported on derivatives not designated as accounting hedges
($ in millions)
 
Realized capital gains and losses
 
Life contract benefits
 
Interest credited to contractholder funds
 
Operating costs and expenses
 
Total gain (loss) recognized in net income on derivatives
2017
 
 
 
 
 
 
 
 
 
 
Equity and index contracts
 
$
(15
)
 
$
—

 
$
47

 
$
28

 
$
60

Embedded derivative financial instruments
 
—

 
9

 
(6
)
 
—

 
3

Foreign currency contracts
 
(27
)
 
—

 
—

 
6

 
(21
)
Credit default contracts
 
(4
)
 
—

 
—

 
—

 
(4
)
Total
 
$
(46
)

$
9


$
41


$
34


$
38

 
 
 
 
 
 
 
 
 
 
 
2016
 
 
 
 
 
 
 
 
 
 
Equity and index contracts
 
$
(12
)
 
$
—

 
$
18

 
$
19

 
$
25

Embedded derivative financial instruments
 
—

 
9

 
—

 
—

 
9

Foreign currency contracts
 
17

 
—

 
—

 
(35
)
 
(18
)
Credit default contracts
 
(5
)
 
—

 
—

 
—

 
(5
)
Total
 
$
—


$
9


$
18


$
(16
)

$
11

 
 
 
 
 
 
 
 
 
 
 
2015
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
 
$
1

 
$
—

 
$
—

 
$
—

 
$
1

Equity and index contracts
 
1

 
—

 
(9
)
 
(1
)
 
(9
)
Embedded derivative financial instruments
 
—

 
(7
)
 
31

 
—

 
24

Foreign currency contracts
 
(24
)
 
—

 
—

 
(8
)
 
(32
)
Credit default contracts
 
(2
)
 
—

 
—

 
—

 
(2
)
Total
 
$
(24
)

$
(7
)

$
22


$
(9
)

$
(18
)
Counterparty credit exposure by counterparty credit rating
OTC derivatives counterparty credit exposure by counterparty credit rating
($ in millions)
 
2017
 
2016
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

 
$
18

 
$
1

 
$
—

 
2

 
$
80

 
$
2

 
$
2

A+
 
3

 
90

 
3

 
1

 
5

 
698

 
20

 
9

A–
 
—

 
—

 
—

 
—

 
1

 
110

 
1

 
1

Total
 
4

 
$
108


$
4


$
1


8


$
888


$
23


$
12

(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.
Derivative instruments with credit features in a liability position, including fair value of assets and collateral netted against the liability
($ in millions)
 
2017
 
2016
Gross liability fair value of contracts containing credit-risk-contingent features
 
$
28

 
$
9

Gross asset fair value of contracts containing credit-risk-contingent features and subject to MNAs
 
(17
)
 
(7
)
Collateral posted under MNAs for contracts containing credit-risk-contingent features
 
(6
)
 
—

Maximum amount of additional exposure for contracts with credit-risk-contingent features if all features were triggered concurrently
 
$
5

 
$
2
CDS notional amounts by credit rating and fair value of protection sold
CDS notional amounts by credit rating and fair value of protection sold
 
 
Notional amount
 
 
($ in millions)
 
AA
 
A
 
BBB
 
BB and lower
 
Total
 
Fair value
December 31, 2017
 
 
 
 
 
 
 
 
 
 
 
 
Single name
 
 
 
 
 
 
 
 
 
 
 
 
Corporate debt
 
$
—

 
$
10

 
$
10

 
$
5

 
$
25

 
$
—

Index
 
 
 
 
 
 
 
 
 
 
 
 
Corporate debt
 
1

 
19

 
45

 
15

 
80

 
1

Total
 
$
1


$
29


$
55


$
20


$
105


$
1

December 31, 2016
 
 
 
 
 
 
 
 
 
 
 
 
Single name
 
 
 
 
 
 
 
 
 
 
 
 
Corporate debt
 
$
20

 
$
10

 
$
35

 
$
—

 
$
65

 
$
1

First-to-default Basket
 
 
 
 
 
 
 
 
 
 
 
 
Municipal
 
—

 
—

 
100

 
—

 
100

 
(3
)
Index
 
 
 
 
 
 
 
 
 
 
 
 
Corporate debt
 
1

 
19

 
50

 
10

 
80

 
1

Total
 
$
21


$
29


$
185


$
10


$
245


$
(1
)
Contractual amounts of off-balance-sheet financial instruments
Contractual amounts of off balance sheet financial instruments
 
 
As of December 31,
($ in millions)
 
2017
 
2016
Commitments to invest in limited partnership interests
 
$
3,121

 
$
2,979

Private placement commitments
 
96

 
69

Other loan commitments
 
97

 
83