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2015
(In millions)
Net Derivatives
Asset
Derivatives
Liability
Derivatives
Hedge Designation/ Derivative Type
Notional
Amount
Fair Value
Fair Value
Fair Value
Cash flow hedges:
Foreign currency swaps
$ 75
$ (15)
$ 0
$ (15)
Total cash flow hedges
75
(15)
0
(15)
Fair value hedges:
Foreign currency forwards
13,080
45
88
(43)
Foreign currency options
1,250
0
0
0
Total fair value hedges
14,330
45
88
(43)
Net investment hedge:
Foreign currency forwards
763
13
19
(6)
Foreign currency options
266
(3)
5
(8)
Total net investment hedge
1,029
10
24
(14)
Non-qualifying strategies:
Foreign currency swaps
6,599
264
563
(299)
Foreign currency forwards
11
0
0
0
Credit default swaps
83
1
1
0
Total non-qualifying strategies
6,693
265
564
(299)
Total derivatives
$22,127
$ 305
$ 676
$ (371)
Balance Sheet Location
Other assets
$11,413
$ 676
$ 676
$ 0
Other liabilities
10,714
(371)
0
(371)
Total derivatives
$22,127
$ 305
$ 676
$ (371)
The derivative notional amount increased from 2015 to 2016 primarily due to an increase in non-qualifying strategies.
The increase in non-qualifying strategies related to entering into longer duration foreign currency forwards designated as
fair value hedges that resulted in the dedesignation of existing foreign currency forwards. We also entered into offsetting
foreign currency forwards for the remaining term of the foreign currency forwards that were dedesignated, both of which
are included in the notional amounts presented for non-qualifying strategies.
Cash Flow Hedges
Certain of our consolidated VIEs have foreign currency swaps that qualify for hedge accounting treatment. For those
that have qualified, we have designated the derivative as a hedge of the variability in cash flows of a forecasted
transaction or of amounts to be received or paid related to a recognized asset (“cash flow” hedge). We expect to continue
this hedging activity for a weighted-average period of approximately nine years. The remaining derivatives in our
consolidated VIEs that have not qualified for hedge accounting are included in "non-qualifying strategies."
Fair Value Hedges
We designate and account for certain foreign currency forwards and options as fair value hedges when they meet the
requirements for hedge accounting. These foreign currency forwards and options hedge the foreign currency exposure of
certain U.S. dollar-denominated investments. We recognize gains and losses on these derivatives and the related hedged
items in current earnings within derivative and other gains (losses). The change in the fair value of the foreign currency
forwards related to the changes in the difference between the spot rate and the forward price is excluded from the
assessment of hedge effectiveness. The change in fair value of the foreign currency option related to the time value of the
option is excluded from the assessment of hedge effectiveness.
We designate and account for interest rate swaptions as fair value hedges when they meet the requirements for
hedge accounting. These interest rate swaptions hedge the interest rate exposure of certain U.S. dollar-denominated
fixed maturity securities within the investment portfolio of our Aflac Japan segment. We recognize gains and losses on
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