Allstate 2015 Annual Report Download - page 222

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The following table provides a summary of the volume and fair value positions of derivative instruments as well as
their reporting location in the Consolidated Statement of Financial Position as of December31,2014.
($ 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 designated as accounting hedging instruments
Foreign currency swap agreements Other investments $ 85 n/a $ 3 $ 3 $ —
Derivatives not designated as accounting hedging instruments
Interest rate contracts
Interest rate cap agreements Other investments 163 n/a 2 2 —
Equity and index contracts
Options and warrants (2) Other investments — 3,225 83 83 —
Financial futures contracts Other assets — 2,204 2 2 —
Foreign currency contracts
Foreign currency forwards Other investments 471 n/a (15) 1 (16)
Embedded derivative financial instruments
Other embedded derivative financial instruments Other investments 1,000 n/a — — —
Credit default contracts
Credit default swaps — buying protection Other investments 29 n/a — — —
Credit default swaps — selling protection Other investments 100 n/a 2 2 —
Other contracts
Other contracts Other assets 3 n/a 1 1 —
Subtotal 1,766 5,429 75 91 (16)
Total asset derivatives $ 1,851 5,429 $ 78 $ 94 $ (16)
Liability derivatives
Derivatives designated as accounting hedging instruments
Foreign currency swap agreements Other liabilities & accrued expenses $ 50 n/a $ (1) $ — $ (1)
Derivatives not designated as accounting hedging instruments
Interest rate contracts
Interest rate swap agreements Other liabilities & accrued expenses 85 n/a 1 1 —
Interest rate cap agreements Other liabilities & accrued expenses 11 n/a — — —
Financial futures contracts Other liabilities & accrued expenses — 700 — — —
Equity and index contracts
Options Other liabilities & accrued expenses — 3,960 (23) — (23)
Foreign currency contracts
Foreign currency forwards Other liabilities & accrued expenses 228 n/a (1) 2 (3)
Embedded derivative financial instruments
Guaranteed accumulation benefits Contractholder funds 615 n/a (32) — (32)
Guaranteed withdrawal benefits Contractholder funds 425 n/a (13) — (13)
Equity‑indexed and forward starting options
in life and annuity product contracts Contractholder funds 1,786 n/a (278) — (278)
Other embedded derivative financial instruments Contractholder funds 85 n/a — — —
Credit default contracts
Credit default swaps — buying protection Other liabilities & accrued expenses 420 n/a (6) 1 (7)
Credit default swaps — selling protection Other liabilities & accrued expenses 205 n/a (8) 2 (10)
Subtotal 3,860 4,660 (360) 6 (366)
Total liability derivatives 3,910 4,660 (361) $ 6 $ (367)
Total derivatives $ 5,761 10,089 $ (283)
(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 220 stock rights and warrants. Stock rights and warrants can be
converted to cash upon sale of those instruments or exercised for shares of common stock.