Allstate 2012 Annual Report Download - page 221

Liability derivatives
Volume (1)
Number Fair
Notional of value, Gross Gross
Balance sheet location amount contracts net asset 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 Other liabilities &
agreements 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)
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