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Derivative Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
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 June 30, 2018
($ in millions, except number of contracts)
 
 
Volume (1)
 
 
 
 
 
 
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
 
$
13

 
n/a

 
$
—

 
$
—

 
$
—

Financial options
Other investments
 
—

 
718

 
—

 
—

 
—

Equity and index contracts
 
 
 

 
 

 
 

 
 

 
 

Options
Other investments
 
—

 
54,180

 
98

 
98

 
—

Financial futures
Other assets
 
—

 
1,130

 
—

 
—

 
—

Total return index contracts
 
 
 
 
 
 
 
 
 
 
 
Total return swap agreements – fixed income
Other investments
 
44

 
n/a

 
—

 
—

 
—

Total return swap agreements – equity index
Other investments
 
147

 
n/a

 
1

 
1

 
—

Foreign currency contracts
 
 
 

 
 

 
 

 
 

 
 

Foreign currency forwards
Other investments
 
81

 
n/a

 
—

 
1

 
(1
)
Credit default contracts
 
 
 

 
 

 
 

 
 

 
 

Credit default swaps – buying protection
Other investments
 
102

 
n/a

 
(1
)
 
—

 
(1
)
Credit default swaps – selling protection
Other investments
 
250

 
n/a

 
4

 
4

 
—

Other contracts
 
 
 

 
 

 
 

 
 

 
 

Other
Other assets
 
3

 
n/a

 
—

 
—

 
—

Total asset derivatives
 
 
$
640

 
56,028

 
$
102

 
$
104

 
$
(2
)
 
 
 
 
 
 
 
 
 
 
 
 
Liability derivatives
 
 
 

 
 

 
 

 
 

 
 

Derivatives not designated as accounting hedging instruments
 
 

 
 

 
 

 
 

 
 

Interest rate contracts
 
 
 

 
 

 
 

 
 

 
 

Interest rate cap agreements
Other liabilities & accrued expenses
 
$
28

 
n/a

 
$
1

 
$
1

 
$
—

Financial options
Other liabilities & accrued expenses
 
—

 
7,022

 
—

 
—

 
—

Equity and index contracts
 
 
 

 
 

 
 

 
 

 
 

Options and futures
Other liabilities & accrued expenses
 
1,032

 
54,447

 
(19
)
 
16

 
(35
)
Total return index contracts
 
 
 
 
 
 
 
 
 
 
 
Total return swap agreements – fixed income
Other liabilities & accrued expenses
 
7

 
n/a

 
—

 
—

 
—

Total return swap agreements – equity index
Other liabilities & accrued expenses
 
22

 
n/a

 
—

 
—

 
—

Foreign currency contracts
 
 
 

 
 

 
 

 
 

 
 

Foreign currency forwards
Other liabilities & accrued expenses
 
384

 
n/a

 
3

 
5

 
(2
)
Embedded derivative financial instruments
 
 

 
 

 
 

 
 

 
 

Guaranteed accumulation benefits
Contractholder funds
 
205

 
n/a

 
(19
)
 
—

 
(19
)
Guaranteed withdrawal benefits
Contractholder funds
 
252

 
n/a

 
(10
)
 
—

 
(10
)
Equity-indexed and forward starting options in life and annuity product contracts
Contractholder funds
 
1,774

 
n/a

 
(231
)
 
—

 
(231
)
Credit default contracts
 
 
 

 
 

 
 

 
 

 
 

Credit default swaps – buying protection
Other liabilities & accrued expenses
 
331

 
n/a

 
(6
)
 
1

 
(7
)
Credit default swaps – selling protection
Other liabilities & accrued expenses
 
15

 
n/a

 
—

 
—

 
—

Total liability derivatives
 
 
4,050

 
61,469

 
(281
)
 
$
23

 
$
(304
)
Total derivatives
 
 
$
4,690

 
117,497

 
$
(179
)
 
 

 
 

(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, 2017
($ in millions, except number of contracts)
 
 
Volume (1)
 
 
 
 
 
 
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
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
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)
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)
($ in millions)
 
 
 
Offsets
 
 
 
 
 
 
 
Gross amount
 
Counter-party netting
 
Cash collateral (received) pledged
 
Net amount on balance sheet
 
Securities collateral (received) pledged
 
Net amount
June 30, 2018
 
 

 
 

 
 

 
 

 
 

 
 

Asset derivatives
 
$
25

 
$
(25
)
 
$
2

 
$
2

 
$
—

 
$
2

Liability derivatives
 
(11
)
 
25

 
(23
)
 
(9
)
 
—

 
(9
)
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2017
 
 

 
 

 
 

 
 

 
 

 
 

Asset derivatives
 
$
8

 
$
(7
)
 
$
1

 
$
2

 
$
—

 
$
2

Liability derivatives
 
(26
)
 
7

 
7

 
(12
)
 
3

 
(9
)

(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
($ in millions)
 
Three months ended June 30,
 
Six months ended June 30,
 
2018
 
2017
 
2018
 
2017
Gain (loss) recognized in OCI on derivatives during the period
 
$
1

 
$
—

 
$
1

 
$
(2
)
Loss recognized in OCI on derivatives during the term of the hedging relationship
 
(3
)
 
(1
)
 
(3
)
 
(1
)
Gain reclassified from AOCI into income (net investment income)
 
—

 
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
Three months ended June 30, 2018
 
 

 
 

 
 

 
 

 
 

Interest rate contracts
 
$
1

 
$
—

 
$
—

 
$
—

 
$
1

Equity and index contracts
 
(1
)
 
—

 
10

 
6

 
15

Embedded derivative financial instruments
 
—

 
1

 
1

 
—

 
2

Foreign currency contracts
 
19

 
—

 
—

 
(2
)
 
17

Total return swaps
 
1

 
—

 
—

 
—

 
1

Total
 
$
20

 
$
1

 
$
11

 
$
4

 
$
36

 
 
 
 
 
 
 
 
 
 
 
Six months ended June 30, 2018
 
 

 
 

 
 

 
 

 
 

Interest rate contracts
 
$
1

 
$
—

 
$
—

 
$
—

 
$
1

Equity and index contracts
 
(3
)
 
—

 
6

 
3

 
6

Embedded derivative financial instruments
 
—

 
5

 
21

 
—

 
26

Foreign currency contracts
 
12

 
—

 
—

 
(1
)
 
11

Total return swaps
 
1

 
—

 
—

 
—

 
1

Credit default contracts
 
1

 
—

 
—

 
—

 
1

Total
 
$
12

 
$
5

 
$
27

 
$
2

 
$
46

 
 
 
 
 
 
 
 
 
 
 
Three months ended June 30, 2017
 
 

 
 

 
 

 
 

 
 

Equity and index contracts
 
$
—

 
$
—

 
$
9

 
$
5

 
$
14

Embedded derivative financial instruments
 
—

 
1

 
—

 
—

 
1

Foreign currency contracts
 
(8
)
 
—

 
—

 
4

 
(4
)
Total
 
$
(8
)
 
$
1

 
$
9

 
$
9

 
$
11

 
 
 
 
 
 
 
 
 
 
 
Six months ended June 30, 2017
 
 

 
 

 
 

 
 

 
 

Equity and index contracts
 
$
(7
)
 
$
—

 
$
22

 
$
12

 
$
27

Embedded derivative financial instruments
 
—

 
8

 
(4
)
 
—

 
4

Foreign currency contracts
 
(15
)
 
—

 
—

 
5

 
(10
)
Credit default contracts
 
(1
)
 
—

 
—

 
—

 
(1
)
Total
 
$
(23
)
 
$
8

 
$
18

 
$
17

 
$
20
Counterparty credit exposure by counterparty credit rating
OTC derivatives counterparty credit exposure by counterparty credit rating
($ in millions)
 
June 30, 2018
 
December 31, 2017
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

 
$
—

A+
 
—

 
—

 
—

 
—

 
3

 
90

 
3

 
1

A-
 
2

 
34

 
2

 
—

 
—

 
—

 
—

 
—

BBB+
 
2

 
1,718

 
14

 
1

 
—

 
—

 
—

 
—

BBB
 
1

 
10

 
—

 
—

 
—

 
—

 
—

 
—

Total
 
5

 
$
1,762

 
$
16

 
$
1

 
4

 
$
108

 
$
4

 
$
1

(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
The following summarizes the fair value of derivative instruments with termination, cross-default or collateral credit-risk-contingent features that are in a liability position, as well as the fair value of assets and collateral that are netted against the liability in accordance with provisions within legally enforceable MNAs.
($ in millions)
 
June 30, 2018
 
December 31, 2017
Gross liability fair value of contracts containing credit-risk-contingent features
 
$
10

 
$
28

Gross asset fair value of contracts containing credit-risk-contingent features and subject to MNAs
 
(9
)
 
(17
)
Collateral posted under MNAs for contracts containing credit-risk-contingent features
 
(1
)
 
(6
)
Maximum amount of additional exposure for contracts with credit-risk-contingent features if all features were triggered concurrently
 
$
—

 
$
5
CDS notional amounts by credit rating and fair value of protection sold
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
June 30, 2018
 
 

 
 

 
 

 
 

 
 

 
 

Single name
 
 

 
 

 
 

 
 

 
 

 
 

Corporate debt
 
$
—

 
$
—

 
$
10

 
$
5

 
$
15

 
$
—

Index
 
 
 
 
 
 
 
 
 
 

 
 
Corporate debt
 
4

 
44

 
176

 
26

 
250

 
4

Total
 
$
4

 
$
44

 
$
186

 
$
31

 
$
265

 
$
4

 
 
 
 
 
 
 
 
 
 
 
 
 
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

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
June 30, 2018
 
 

 
 

 
 

 
 

 
 

 
 

Single name
 
 

 
 

 
 

 
 

 
 

 
 

Corporate debt
 
$
—

 
$
—

 
$
10

 
$
5

 
$
15

 
$
—

Index
 
 
 
 
 
 
 
 
 
 

 
 
Corporate debt
 
4

 
44

 
176

 
26

 
250

 
4

Total
 
$
4

 
$
44

 
$
186

 
$
31

 
$
265

 
$
4

 
 
 
 
 
 
 
 
 
 
 
 
 
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