Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2013

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

	June 30, 2013							December 31, 2012
			Notional	Gross Fair Value						Notional	Gross Fair Value
			Amount	Assets		Liabilities				Amount	Assets		Liabilities
Primary Underlying			(in thousands)

Derivatives Designated as Hedge Accounting Instruments:
Currency/Interest Rate
Currency Swaps		$	171,034	$	8,114	$	(2,195)		$	145,174	$	4,152	$	(3,904)
Total Qualifying Hedges		$	171,034	$	8,114	$	(2,195)		$	145,174	$	4,152	$	(3,904)

Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Swaps		$	2,129,400	$	71,893	$	(104,539)		$	1,729,400	$	109,855	$	(22,930)
Currency
Forwards			752		2		-			5,424		48		-
Credit
Credit Default Swaps			14,275		93		(775)			14,275		614		(894)
Currency/Interest Rate
Currency Swaps			84,968		1,800		(890)			62,468		1,516		(2,064)
Equity
Total Return Swaps			336,451		3,725		(1,652)			320,377		762		(6,073)
Equity Options			24,013,015		25,464		(10,392)			24,243,020		70,669		(32,824)
Total Non-Qualifying Hedges			26,578,861		102,977		(118,248)			26,374,964		183,464		(64,785)

Total Derivatives (1)		$	26,749,895	$	111,091	$	(120,443)		$	26,520,138	$	187,616	$	(68,689)

Excludes embedded derivatives which contain multiple underlyings. The fair value of these embedded derivatives was an asset of $344 million and a liability of $1,441 million as of June 30, 2013 and December 31, 2012, respectively, included in “Future policy benefits” and “Fixed maturities, available-for-sale.”

^[1]

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

		Three Months Ended June 30, 2013
			Realized Investment Gains/(Losses)		Net Investment Income		Other Income		Accumulated Other Comprehensive Income(1)
		(in thousands)
Derivatives Designated as Hedging Instruments:
Cash flow hedges
	Currency/Interest Rate	$	-	$	240	$	15	$	(489)
	Total cash flow hedges		-		240		15		(489)

Derivatives Not Qualifying as Hedging Instruments:
	Interest Rate		(85,427)		-		-		-
	Currency		(11)		-		-		-
	Currency/Interest Rate		(296)		-		24		-
	Credit		(149)		-		-		-
	Equity		(11,115)		-		-		-
	Embedded Derivatives		52,683		-		-		-
	Total non-qualifying hedges		(44,315)		-		24		-
	Total	$	(44,315)	$	240	$	39	$	(489)

		Six Months Ended June 30, 2013
			Realized Investment Gains/(Losses)		Net Investment Income		Other Income		Accumulated Other Comprehensive Income(1)
		(in thousands)
Derivatives Designated as Hedging Instruments:
Cash flow hedges
	Currency/Interest Rate	$	-	$	468	$	70	$	5,619
	Total cash flow hedges		-		468		70		5,619

Derivatives Not Qualifying as Hedging Instruments:
	Interest Rate		(119,795)		-		-		-
	Currency		95		-		-		-
	Currency/Interest Rate		255		-		24		-
	Credit		(670)		-		-		-
	Equity		(65,416)		-		-		-
	Embedded Derivatives		156,468		-		-		-
	Total non-qualifying hedges		(29,063)		-		24		-
	Total	$	(29,063)	$	468	$	94	$	5,619

		Three Months Ended June 30, 2012
			Realized Investment Gains/(Losses)		Net Investment Income		Other Income		Accumulated Other Comprehensive Income(1)
		(in thousands)
Derivatives Designated as Hedging Instruments:
Cash flow hedges
	Currency/Interest Rate	$	4	$	167	$	49	$	3,818

	Total cash flow hedges		4		167		49		3,818

Derivatives Not Qualifying as Hedging Instruments:
	Interest Rate		48,936		-		-		-
	Currency		180		-		-		-
	Currency/Interest Rate		2,013		-		31		-
	Credit		108		-		-		-
	Equity		4,950		-		-		-
	Embedded Derivatives		(51,729)		-		-		-
	Total non-qualifying hedges		4,458		-		31		-
	Total	$	4,462	$	167	$	80	$	3,818

		Six Months Ended June 30, 2012
			Realized Investment Gains/(Losses)		Net Investment Income		Other Income		Accumulated Other Comprehensive Income(1)
		(in thousands)
Derivatives Designated as Hedging Instruments:
Cash flow hedges
	Currency/Interest Rate	$	4	$	271	$	53	$	1,878

	Total cash flow hedges		4		271		53		1,878

Derivatives Not Qualifying as Hedging Instruments:
	Interest Rate		28,261		-		-		-
	Currency		15		-		-		-
	Currency/Interest Rate		798		-		22		-
	Credit		(567)		-		-		-
	Equity		(30,018)		-		-		-
	Embedded Derivatives		(12,712)		-		-		-
	Total non-qualifying hedges		(14,223)		-		22		-
	Total	$	(14,219)	$	271	$	75	$	1,878

Amounts deferred in “Accumulated other comprehensive income (loss).”

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

Offsetting Of Financial Assets And Liabilities

	June 30, 2013
			Gross		Net
	Gross		Amounts		Amounts
	Amounts of		Offset in the		Presented in
	Recognized		Statement of		the Statement		Financial
	Financial		Financial		of Financial		Instruments/		Net
	Instruments		Position		Position		Collateral		Amount

	(in thousands)
Offsetting of Financial Assets:
Derivatives	$	110,818	$	(120,443)	$	(9,625)	$	0	$	(9,625)
Securities purchased under agreement to resell		94,856		0		94,856		(94,856)		0
Total Assets	$	205,674	$	(120,443)	$	85,231	$	(94,856)	$	(9,625)

Offsetting of Financial Liabilities:
Derivatives	$	120,443	$	(120,443)	$	0	$	0	$	0
Securities sold under agreement to repurchase		0		0		0		0		0
Total Liabilities	$	120,443	$	(120,443)	$	0	$	0	$	0


	December 31, 2012
			Gross		Net
	Gross		Amounts		Amounts
	Amounts of		Offset in the		Presented in
	Recognized		Statement of		the Statement		Financial
	Financial		Financial		of Financial		Instruments/		Net
	Instruments		Position		Position		Collateral		Amount

	(in thousands)
Offsetting of Financial Assets:
Derivatives	$	187,372	$	(68,689)	$	118,683	$	0	$	118,683
Securities purchased under agreement to resell		203,437		0		203,437		(203,437)		0
Total Assets	$	390,809	$	(68,689)	$	322,120	$	(203,437)	$	118,683

Offsetting of Financial Liabilities:
Derivatives	$	68,689	$	(68,689)	$	0	$	0	$	0
Securities sold under agreement to repurchase		0		0		0		0		0
Total Liabilities	$	68,689	$	(68,689)	$	0	$	0	$	0

[1]	Includes credit-tranched securities collateralized by sub-prime mortgages, auto loans, credit cards, education loans, and other asset types.

- Definition

Tabular disclosure of the location and amount of gains and losses reported in the statement of financial performance, or when applicable, the statement of financial position. For example, (a) gains and losses recognized in the income statement on derivative instruments designated and qualifying as hedging instruments in fair value hedges and related hedged items designated and qualifying in fair value hedges and (b) gains and losses initially recognized in other comprehensive income on derivative instruments designated and qualifying as cash flow hedges.

+ References+ Details

- Definition

Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

+ References+ Details

(in thousands)

Balance, December 31, 2012

Net deferred gains (losses) on cash flow hedges from January 1 to June 30, 2013

Amount reclassified into current period earnings

Balance, June 30, 2013