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

12 Months Ended

Dec. 31, 2011

Derivative Financial Instruments and Off-balance-sheet Financial Instruments

Volume and fair value positions of derivative instruments and location in the Statement of Financial Position

($ 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		1,750		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		2,132		1			1		—
Foreign currency contracts
Foreign currency swap agreements	Other investments		50		n/a		6			6		—
Foreign currency forwards and options	Other investments		190		n/a		1			3		(2	)
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		172		n/a		(115	)		—		(115	)
Other embedded derivative financial instruments	Other investments		1,000		n/a		—			—		—
Credit default contracts
Credit default swaps – buying protection	Other investments		265		n/a		3			6		(3	)
Credit default swaps – selling protection	Other investments		167		n/a		(4	)		1		(5	)
Other contracts
Other contracts	Other investments		5		n/a		—			—		—
Other contracts	Other assets		4		n/a		1			1		—
Total			13,540		17,352		118			270		(152	)
Total asset derivatives		$	13,811		17,352	$	105		$	273	$	(168	)

⁽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 10,798 stock rights and 4,392,937 stock warrants. Stock rights and 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 swaption agreements	Other liabilities & accrued expenses		1,250		n/a		—			—		—
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		n/a		15,677		(50	)		—		(50	)
Foreign currency contracts
Foreign currency forwards and options	Other liabilities & accrued expenses		96		n/a		(1	)		—		(1	)
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		509		n/a		7			12		(5	)
Credit default swaps – selling protection	Other liabilities & accrued expenses		503		n/a		(77	)		2		(79	)
Total			8,968		15,677		(845	)		22		(867	)
Total liability derivatives			9,046		15,677		(857	)	$	22	$	(879	)
Total derivatives		$	22,857		33,029	$	(752	)

⁽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	$	156		n/a	$	(18	)	$	—	$	(18	)
Foreign currency swap agreements	Other investments		64		n/a		2			3		(1	)
Total			220		n/a		(16	)		3		(19	)
Derivatives not designated as accounting hedging instruments
Interest rate contracts
Interest rate swap agreements	Other investments		1,469		n/a		65			81		(16	)
Interest rate swaption agreements	Other investments		4,161		n/a		50			50		—
Interest rate cap and floor agreements	Other investments		226		n/a		(2	)		1		(3	)
Financial futures contracts and options	Other investments		n/a		8,000		3			3		—
Financial futures contracts and options	Other assets		n/a		1,420		—			—		—
Equity and index contracts
Options, futures and warrants (2)	Other investments		64		38,451		359			359		—
Options, futures and warrants	Other assets		n/a		292		—			—		—
Foreign currency contracts
Foreign currency swap agreements	Other investments		90		n/a		6			6		—
Foreign currency forwards and options	Other investments		257		n/a		6			7		(1	)
Embedded derivative financial instruments
Conversion options	Fixed income securities		820		n/a		236			238		(2	)
Equity-indexed call options	Fixed income securities		300		n/a		47			47		—
Credit default swaps	Fixed income securities		181		n/a		(88	)		—		(88	)
Other embedded derivative financial instruments	Other investments		1,000		n/a		—			—		—
Credit default contracts
Credit default swaps – buying protection	Other investments		299		n/a		(5	)		2		(7	)
Credit default swaps – selling protection	Other investments		150		n/a		(8	)		2		(10	)
Other contracts
Other contracts	Other investments		13		n/a		—			—		—
Other contracts	Other assets		5		n/a		1			1		—
Total			9,035		48,163		670			797		(127	)
Total asset derivatives		$	9,255		48,163	$	654		$	800	$	(146	)

⁽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 2,768 stock rights and 1,379,932 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	$	3,345		n/a	$	(181	)	$	20	$	(201	)
Interest rate swap agreements	Contractholder funds		—		n/a		2			2		—
Foreign currency swap agreements	Other liabilities & accrued expenses		138		n/a		(20	)		—		(20	)
Foreign currency and interest rate swap agreements	Other liabilities & accrued expenses		435		n/a		34			34		—
Foreign currency and interest rate swap agreements	Contractholder funds		—		n/a		28			28		—
Total			3,918		n/a		(137	)		84		(221	)
Derivatives not designated as accounting hedging instruments
Interest rate contracts
Interest rate swap agreements	Other liabilities & accrued expenses		4,543		n/a		29			97		(68	)
Interest rate swaption agreements	Other liabilities & accrued expenses		4,400		n/a		18			18		—
Interest rate cap and floor agreements	Other liabilities & accrued expenses		3,216		n/a		(22	)		1		(23	)
Financial futures contracts and options	Other liabilities & accrued expenses		n/a		15,150		(1	)		—		(1	)
Equity and index contracts
Options and futures	Other liabilities & accrued expenses		64		21,585		(168	)		2		(170	)
Foreign currency contracts
Foreign currency forwards and options	Other liabilities & accrued expenses		316		n/a		1			2		(1	)
Embedded derivative financial instruments
Guaranteed accumulation benefits	Contractholder funds		1,067		n/a		(88	)		—		(88	)
Guaranteed withdrawal benefits	Contractholder funds		739		n/a		(47	)		—		(47	)
Equity-indexed and forward starting options in life and annuity product contracts	Contractholder funds		4,694		n/a		(515	)		—		(515	)
Other embedded derivative financial instruments	Contractholder funds		85		n/a		(3	)		—		(3	)
Credit default contracts
Credit default swaps – buying protection	Other liabilities & accrued expenses		1,127		n/a		(13	)		6		(19	)
Credit default swaps – selling protection	Other liabilities & accrued expenses		482		n/a		(66	)		1		(67	)
Total			20,733		36,735		(875	)		127		(1,002	)
Total liability derivatives			24,651		36,735		(1,012	)	$	211	$	(1,223	)
Total derivatives		$	33,906		84,898	$	(358	)

⁽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)

Impacts on operations and AOCI from foreign currency contracts, cash flow hedges

($ in millions)	2011			2010			2009
Effective portion
Gain (loss) recognized in OCI on derivatives during the period	$	4		$	3		$	(35	)
Loss recognized in OCI on derivatives during the term of the hedging relationship		(17	)		(22	)		(23	)
Gain reclassified from AOCI into income (net investment income)		—			—			2
(Loss) gain reclassified from AOCI into income (realized capital gains and losses)		(1	)		2			(3	)
Ineffective portion and amount excluded from effectiveness testing
Gain recognized in income on derivatives (realized capital gains and losses)		—			—			—

Gains and losses from valuation, settlements, and hedge ineffectiveness, fair value hedges and derivatives not designated as hedges

($ in millions)	2011
	Net investment income			Realized capital gains and losses			Life and annuity contract benefits			Interest credited to contractholder funds			Operating costs and expenses			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		—			(304	)		—			—			—			(304	)
Equity and index contracts		—			(43	)		—			(2	)		(3	)		(48	)
Embedded derivative financial instruments		—			(37	)		(32	)		(38	)		—			(107	)
Foreign currency contracts		—			(12	)		—			—			2			(10	)
Credit default contracts		—			8			—			—			—			8
Other contracts		—			—			—			7			—			7
Subtotal		—			(388	)		(32	)		(33	)		(1	)		(454	)
Total	$	(2	)	$	(396	)	$	(32	)	$	(70	)	$	(1	)	$	(501	)

	2010
	Net investment income			Realized capital gains and losses			Life and annuity contract benefits			Interest credited to contractholder funds			Operating costs and expenses			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		—			(496	)		—			—			—			(496	)
Equity and index contracts		—			(91	)		—			113			18			40
Embedded derivative financial instruments		—			(3	)		(28	)		34			—			3
Foreign currency contracts		—			(10	)		—			—			(3	)		(13	)
Credit default contracts		—			(8	)		—			—			—			(8	)
Other contracts		—			—			—			3			—			3
Subtotal		—			(608	)		(28	)		150			15			(471	)
Total	$	(139	)	$	(601	)	$	(28	)	$	143		$	15		$	(610	)

	2009
	Net investment income			Realized capital gains and losses			Life and annuity contract benefits		Interest credited to contractholder funds			Operating costs and expenses			Total gain (loss) recognized in net income on derivatives
Derivatives in fair value accounting hedging relationships
Interest rate contracts	$	30		$	12		$	—	$	(13	)	$	—		$	29
Foreign currency and interest rate contracts		—			(9	)		—		77			—			68
Subtotal		30			3			—		64			—			97
Derivatives not designated as accounting hedging instruments
Interest rate contracts		—			255			—		—			—			255
Equity and index contracts		—			(160	)		—		115			24			(21	)
Embedded derivative financial instruments		—			122			158		(184	)		—			96
Foreign currency contracts		—			7			—		—			(10	)		(3	)
Credit default contracts		—			(18	)		—		—			—			(18	)
Other contracts		(1	)		—			—		3			—			2
Subtotal		(1	)		206			158		(66	)		14			311
Total	$	29		$	209		$	158	$	(2	)	$	14		$	408

Impact on operations, changes in fair value, fair value hedges

($ in millions)	2011
	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
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
	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
Interest credited to contractholder funds	$	—		$	(48	)	$	48	$	—
Net investment income		(33	)		—			—		33
Realized capital gains and losses		9			(2	)		—		—
Total	$	(24	)	$	(50	)	$	48	$	33

	2009
	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
Interest credited to contractholder funds	$	(26	)	$	39		$	(13	)	$	—
Net investment income		164			—			—			(164	)
Realized capital gains and losses		12			(9	)		—			—
Total	$	150		$	30		$	(13	)	$	(164	)

Counterparty credit exposure by counterparty credit rating

($ in millions)	2011								2010
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		2	$	2,322	$	43	$	16
A+		4		3,026		26		5		5		3,189		16		10
A		3		5,307		15		1		3		3,479		17		17
A-		2		3,815		25		—		1		89		31		31
BBB+		2		57		41		41		—		—		—		—
Total		12	$	12,230	$	108	$	48		11	$	9,079	$	107	$	74

⁽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)	2011			2010
Gross liability fair value of contracts containing credit-risk-contingent features	$	153		$	448
Gross asset fair value of contracts containing credit-risk-contingent features and subject to MNAs		(69	)		(255	)
Collateral posted under MNAs for contracts containing credit-risk-contingent features		(76	)		(171	)
Maximum amount of additional exposure for contracts with credit-risk-contingent features if all features were triggered concurrently	$	8		$	22

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

  The following table shows the CDS notional amounts by credit rating and fair value of protection sold as of December 31, 2011:

($ in millions)	Notional amount
	AA		A		BBB		BB and lower		Total		Fair value
Single name
Investment grade corporate debt	$	90	$	88	$	160	$	30	$	368	$	(7	)
High yield debt		—		—		—		2		2		—
Municipal		135		—		—		—		135		(12	)
Subtotal		225		88		160		32		505		(19	)
Baskets
Tranche
Investment grade corporate debt		—		—		—		65		65		(29	)
First-to-default
Municipal		—		100		—		—		100		(33	)
Subtotal		—		100		—		65		165		(62	)
Total	$	225	$	188	$	160	$	97	$	670	$	(81	)

       The following table shows the CDS notional amounts by credit rating and fair value of protection sold as of December 31, 2010:

($ in millions)	Notional amount
	AA		A		BBB		BB and lower		Total		Fair value
Single name
Investment grade corporate debt	$	50	$	148	$	103	$	25	$	326	$	(4	)
High yield debt		—		—		—		6		6		—
Municipal		135		—		—		—		135		(14	)
Subtotal		185		148		103		31		467		(18	)
Baskets
Tranche
Investment grade corporate debt		—		—		—		65		65		(19	)
First-to-default
Municipal		—		100		—		—		100		(37	)
Subtotal		—		100		—		65		165		(56	)
Total	$	185	$	248	$	103	$	96	$	632	$	(74	)

Contractual amounts of off-balance-sheet financial instruments

($ in millions)	2011		2010
Commitments to invest in limited partnership interests	$	2,015	$	1,471
Commitments to extend mortgage loans		84		—
Private placement commitments		83		159
Other loan commitments		26		38