Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The table below provides a summary of the gross notional amount and fair value of derivative contracts by the primary underlying, excluding embedded derivatives and associated reinsurance recoverables which are recorded with the associated host. Many derivative instruments contain multiple underlyings. The fair value amounts below represent the gross fair value of derivative contracts prior to taking into account the netting effects of master netting agreements, cash collateral held with the same counterparty, and non-performance risk.

	September 30, 2015							December 31, 2014
			Gross Fair Value							Gross Fair Value
Primary Underlying	Notional		Assets		Liabilities			Notional		Assets		Liabilities
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Currency/Interest Rate
Foreign Currency Swaps	$	409,887	$	43,265	$	(835	)	$	291,100	$	14,733	$	(3,008	)
Total Qualifying Hedges	$	409,887	$	43,265	$	(835	)	$	291,100	$	14,733	$	(3,008	)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Swaps	$	3,184,400	$	245,585	$	(8,154	)	$	3,184,400	$	192,181	$	(20,574	)
Foreign Currency
Foreign Currency Forwards	2,675		27		(3		)	1,025		40		—
Credit
Credit Default Swaps	7,275		327		(283		)	12,275		150		(513		)
Currency/Interest Rate
Foreign Currency Swaps	155,509		15,439		(227		)	101,653		6,677		(712		)
Equity
Total Return Swaps	551,835		33,692		—			577,054		2,405		(19,670		)
Equity Options	59,787,634		65,684		(32,447		)	39,735,182		26,932		(14,210		)
Total Non-Qualifying Hedges	$	63,689,328	$	360,754	$	(41,114	)	$	43,611,589	$	228,385	$	(55,679	)
Total Derivatives (1)	$	64,099,215	$	404,019	$	(41,949	)	$	43,902,689	$	243,118	$	(58,687	)

(1) Excludes embedded derivatives and associated reinsurance recoverables which contain multiple underlyings. The fair value of these embedded derivatives was a net liability of $5,661 million and $4,994 million as of September 30, 2015 and December 31, 2014, respectively, included in “Future policy benefits.” The fair value of the embedded derivatives related to the reinsurance of certain of these benefits to Pruco Re was an asset of $5,054 million and $4,522 million as of September 30, 2015 and December 31, 2014, included in “Reinsurance recoverables.” The fair value of the embedded derivative related to the no-lapse guarantee with UPARC was an asset of $321 million and $376 million as of September 30, 2015 and December 31, 2014, respectively, included in "Reinsurance recoverables." The fair value of the reinsurance related to the living benefits guarantee with Union Hamilton Reinsurance, Ltd., an external counterparty, was an asset of $14 million as of September 30, 2015 included in "Reinsurance recoverables." See Note 7 for additional information on the affiliated reinsurance agreements in "Reinsurance with Affiliates.

Offsetting Of Financial Assets

The following table presents recognized derivative instruments (excluding embedded derivatives and associated reinsurance recoverables), and repurchase and reverse repurchase agreements that are offset in the Unaudited Interim Consolidated Statements of Financial Position, and/or are subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset in the Unaudited Interim Consolidated Statements of Financial Position.

	September 30, 2015
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Statement of Financial Position			Net Amounts Presented in the Statement of Financial Position		Financial Instruments/ Collateral (1)			Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives (1)	$	403,266	$	(377,506	)	$	25,760	$	(15,045	)	$	10,715
Securities purchased under agreement to resell	307,872		—			307,872		(307,872		)	—
Total Assets	$	711,138	$	(377,506	)	$	333,632	$	(322,917	)	$	10,715
Offsetting of Financial Liabilities:
Derivatives (1)	$	41,949	$	(41,949	)	$	—	$	—		$	—
Securities sold under agreement to repurchase	—		—			—		—			—
Total Liabilities	$	41,949	$	(41,949	)	$	—	$	—		$	—

	December 31, 2014
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Statement of Financial Position			Net Amounts Presented in the Statement of Financial Position		Financial Instruments/ Collateral (1)			Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives (1)	$	242,523	$	(215,066	)	$	27,457	$	(7,194	)	$	20,263
Securities purchased under agreement to resell	93,633		—			93,633		(93,633		)	—
Total Assets	$	336,156	$	(215,066	)	$	121,090	$	(100,827	)	$	20,263
Offsetting of Financial Liabilities:
Derivatives (1)	$	58,687	$	(58,687	)	$	—	$	—		$	—
Securities sold under agreement to repurchase	—		—			—		—			—
Total Liabilities	$	58,687	$	(58,687	)	$	—	$	—		$	—

(1) Amounts exclude the excess of collateral received/pledged from/to the counterparty.

Offsetting Of Financial Liabilities

The following table presents recognized derivative instruments (excluding embedded derivatives and associated reinsurance recoverables), and repurchase and reverse repurchase agreements that are offset in the Unaudited Interim Consolidated Statements of Financial Position, and/or are subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset in the Unaudited Interim Consolidated Statements of Financial Position.

	September 30, 2015
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Statement of Financial Position			Net Amounts Presented in the Statement of Financial Position		Financial Instruments/ Collateral (1)			Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives (1)	$	403,266	$	(377,506	)	$	25,760	$	(15,045	)	$	10,715
Securities purchased under agreement to resell	307,872		—			307,872		(307,872		)	—
Total Assets	$	711,138	$	(377,506	)	$	333,632	$	(322,917	)	$	10,715
Offsetting of Financial Liabilities:
Derivatives (1)	$	41,949	$	(41,949	)	$	—	$	—		$	—
Securities sold under agreement to repurchase	—		—			—		—			—
Total Liabilities	$	41,949	$	(41,949	)	$	—	$	—		$	—

	December 31, 2014
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Statement of Financial Position			Net Amounts Presented in the Statement of Financial Position		Financial Instruments/ Collateral (1)			Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives (1)	$	242,523	$	(215,066	)	$	27,457	$	(7,194	)	$	20,263
Securities purchased under agreement to resell	93,633		—			93,633		(93,633		)	—
Total Assets	$	336,156	$	(215,066	)	$	121,090	$	(100,827	)	$	20,263
Offsetting of Financial Liabilities:
Derivatives (1)	$	58,687	$	(58,687	)	$	—	$	—		$	—
Securities sold under agreement to repurchase	—		—			—		—			—
Total Liabilities	$	58,687	$	(58,687	)	$	—	$	—		$	—

(1) Amounts exclude the excess of collateral received/pledged from/to the counterparty.

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance

The following tables provide the financial statement classification and impact of derivatives used in qualifying and non-qualifying hedge relationships, excluding the offset of the hedged item in an effective hedge relationship.

	Three Months Ended September 30, 2015
	Realized Investment Gains/(Losses)			Net Investment Income		Other Income		AOCI (1)
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Currency/Interest Rate	$	—		$	845	$	2,135	$	15,774
Total cash flow hedges	—			845		2,135		15,774
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	150,414			—		—		—
Currency	65			—		—		—
Currency/Interest Rate	5,733			—		55		—
Credit	300			—		—		—
Equity	39,537			—		—		—
Embedded Derivatives	(204,205		)	—		—		—
Total non-qualifying hedges	(8,156		)	—		55		—
Total	$	(8,156	)	$	845	$	2,190	$	15,774

	Nine Months Ended September 30, 2015
	Realized Investment Gains/(Losses)			Net Investment Income		Other Income		AOCI (1)
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Currency/Interest Rate	$	—		$	2,094	$	2,051	$	28,675
Total cash flow hedges	—			2,094		2,051		28,675
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	101,141			—		—		—
Currency	117			—		—		—
Currency/Interest Rate	10,283			—		153		—
Credit	137			—		—		—
Equity	18,368			—		—		—
Embedded Derivatives	(254,364		)	—		—		—
Total non-qualifying hedges	(124,318		)	—		153		—
Total	$	(124,318	)	$	2,094	$	2,204	$	28,675

	Three Months Ended September 30, 2014
	Realized Investment Gains/(Losses)			Net Investment Income		Other Income		AOCI (1)
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Currency/Interest Rate	$	—		$	240	$	747	$	12,637
Total cash flow hedges	—			240		747		12,637
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	32,712			—		—		—
Currency	60			—		—		—
Currency/Interest Rate	3,753			—		48		—
Credit	15			—		—		—
Equity	4,109			—		—		—
Embedded Derivatives	(94,138		)	—		—		—
Total non-qualifying hedges	(53,489		)	—		48		—
Total	$	(53,489	)	$	240	$	795	$	12,637

	Nine Months Ended September 30, 2014
	Realized Investment Gains/(Losses)			Net Investment Income		Other Income		AOCI (1)
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Currency/Interest Rate	$	—		$	757	$	347	$	10,245
Total cash flow hedges	—			757		347		10,245
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	195,218			—		—		—
Currency	46			—		—		—
Currency/Interest Rate	4,407			—		44		—
Credit	(143		)	—		—		—
Equity	(30,206		)	—		—		—
Embedded Derivatives	(111,246		)	—		—		—
Total non-qualifying hedges	58,076			—		44		—
Total	$	58,076		$	757	$	391	$	10,245

(1) Amounts deferred in AOCI.

Schedule of Derivative Instruments Recognized in Accumulated Other Comprehensive Income (Loss) Before Taxes

Presented below is a roll forward of current period cash flow hedges in “Accumulated other comprehensive income (loss)” before taxes:

	(in thousands)
Balance, December 31, 2014	$	11,585
Net deferred gains (losses) on cash flow hedges from January 1 to September 30, 2015	32,934
Amounts reclassified into current period earnings	(4,259		)
Balance, September 30, 2015	$	40,260