Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2015

Summary of Derivative Instruments [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 derivatives contracts by the primary underlying, excluding embedded derivatives 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.

	June 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	$	77,360	$	10,349	$	(174	)	$	83,412	$	5,555	$	(654	)
Total Qualifying Hedges	$	77,360	$	10,349	$	(174	)	$	83,412	$	5,555	$	(654	)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Swaps	$	1,902,750	$	78,637	$	(29,287	)	$	1,902,750	$	92,507	$	(18,480	)
Interest Rate Options	100,000		8,940		0			100,000		10,736		0
Foreign Currency
Foreign Currency Forwards	2,811		18		0			0		0		0
Currency/Interest Rate
Foreign Currency Swaps	53,735		8,264		0			57,011		4,363		(5		)
Credit
Credit Default Swaps	1,200		0		(14		)	1,200		0		(43		)
Equity
Total Return Swaps	229,216		6,125		0			220,986		1,937		0
Equity Options	5,906,910		591		(196		)	6,842,242		3,748		(2,067		)
Total Non-Qualifying Hedges	$	8,196,622	$	102,575	$	(29,497	)	$	9,124,189	$	113,291	$	(20,595	)
Total Derivatives (1)	$	8,273,982	$	112,924	$	(29,671	)	$	9,207,601	$	118,846	$	(21,249	)

(1) Excludes embedded derivatives which contain multiple underlyings. The fair value of these embedded derivatives was a net liability of $2,300 million and $3,112 million as of June 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 and Prudential Insurance included in “Reinsurance recoverables” was an asset of $2,214 million and $2,996 million as of June 30, 2015 and December 31, 2014, respectively. See Note 7 for additional information on the reinsurance agreements.

Offsetting of Financial Assets

The following table presents recognized derivative instruments (including bifurcated embedded derivatives) that are offset in the Unaudited Interim Statement 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 Statement of Financial Position.

	June 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	$	112,924	$	(31,083	)	$	81,841	$	(60,821	)	$	21,020
Offsetting of Financial Liabilities:
Derivatives	$	29,671	$	(29,671	)	$	0	$	0		$	0

	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	$	118,846	$	(24,288	)	$	94,558	$	(82,602	)	$	11,956
Offsetting of Financial Liabilities:
Derivatives	$	21,249	$	(21,249	)	$	0	$	0		$	0

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

Offsetting of Financial Liabilities

The following table presents recognized derivative instruments (including bifurcated embedded derivatives) that are offset in the Unaudited Interim Statement 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 Statement of Financial Position.

	June 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	$	112,924	$	(31,083	)	$	81,841	$	(60,821	)	$	21,020
Offsetting of Financial Liabilities:
Derivatives	$	29,671	$	(29,671	)	$	0	$	0		$	0

	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	$	118,846	$	(24,288	)	$	94,558	$	(82,602	)	$	11,956
Offsetting of Financial Liabilities:
Derivatives	$	21,249	$	(21,249	)	$	0	$	0		$	0

(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 June 30, 2015
	Realized Investment Gains (Losses)			Net Investment Income		Other Income			Accumulated Other Comprehensive Income (Loss)(1)
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Currency/Interest Rate	$	0		$	154	$	(13	)	$	(3,088	)
Total cash flow hedges	0			154		(13		)	(3,088		)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(44,242		)	0		0			0
Currency	18			0		0			0
Currency/Interest Rate	(790		)	0		3			0
Credit	(1		)	0		0			0
Equity	(990		)	0		0			0
Embedded Derivatives	33,795			0		0			0
Total non-qualifying hedges	(12,210		)	0		3			0
Total	$	(12,210	)	$	154	$	(10	)	$	(3,088	)

	Six Months Ended June 30, 2015
	Realized Investment Gains (Losses)			Net Investment Income		Other Income		Accumulated Other Comprehensive Income (Loss)(1)
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Currency/Interest Rate	$	0		$	248	$	126	$	5,236
Total cash flow hedges	0			248		126		5,236
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(14,198		)	0		0		0
Currency	18			0		0		0
Currency/Interest Rate	5,216			0		102		0
Credit	(2		)	0		0		0
Equity	(4,873		)	0		0		0
Embedded Derivatives	13,167			0		0		0
Total non-qualifying hedges	(672		)	0		102		0
Total	$	(672	)	$	248	$	228	$	5,236

	Three Months Ended June 30, 2014
	Realized Investment Gains (Losses)			Net Investment Income			Other Income			Accumulated Other Comprehensive Income (Loss)(1)
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Currency/Interest Rate	$	0		$	(5	)	$	(15	)	$	(1,060	)
Total cash flow hedges	0			(5		)	(15		)	(1,060		)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	26,012			0			0			0
Currency	0			0			0			0
Currency/Interest Rate	(1,038		)	0			(9		)	0
Credit	(4		)	0			0			0
Equity	(11,334		)	0			0			0
Embedded Derivatives	(17,902		)	0			0			0
Total non-qualifying hedges	(4,266		)	0			(9		)	0
Total	$	(4,266	)	$	(5	)	$	(24	)	$	(1,060	)

	Six Months Ended June 30, 2014
	Realized Investment Gains (Losses)			Net Investment Income			Other Income			Accumulated Other Comprehensive Income (Loss)(1)
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Currency/Interest Rate	$	0		$	(17	)	$	(17	)	$	(423	)
Total cash flow hedges	0			(17		)	(17		)	(423		)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	63,598			0			0			0
Currency	0			0			0			0
Currency/Interest Rate	(214		)	0			8			0
Credit	(11		)	0			0			0
Equity	(15,982		)	0			0			0
Embedded Derivatives	(52,635		)	0			0			0
Total non-qualifying hedges	(5,244		)	0			8			0
Total	$	(5,244	)	$	(17	)	$	(9	)	$	(423	)

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

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

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

	(in thousands)
Balance, December 31, 2014	$	4,839
Net deferred gains (losses) on cash flow hedges from January 1 to June 30, 2015	6,170
Amount reclassified into current period earnings	(934		)
Balance, June 30, 2015	$	10,075