Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2016

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 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.

	March 31, 2016							December 31, 2015
			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	$	131,513	$	13,347	$	(1,686	)	$	115,358	$	15,910	$	(206	)
Total Qualifying Hedges	$	131,513	$	13,347	$	(1,686	)	$	115,358	$	15,910	$	(206	)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Swaps	$	1,706,750	$	134,729	$	(23,703	)	$	1,872,750	$	84,817	$	(13,452	)
Interest Rate Options	400,000		10,903		(636		)	100,000		9,431		0
Foreign Currency
Foreign Currency Forwards	2,752		0		(104		)	2,752		23		0
Currency/Interest Rate
Foreign Currency Swaps	72,334		8,215		(329		)	77,729		11,220		0
Credit
Credit Default Swaps	0		0		0			0		0		0
Equity
Total Return Swaps	676,451		0		(23,513		)	217,999		320		(3,626		)
Equity Options	18,886,800		24,659		(2,847		)	18,286,800		15,054		(7,993		)
Total Non-Qualifying Hedges	$	21,745,087	$	178,506	$	(51,132	)	$	20,558,030	$	120,865	$	(25,071	)
Total Derivatives (1)	$	21,876,600	$	191,853	$	(52,818	)	$	20,673,388	$	136,775	$	(25,277	)

(1) Excludes embedded derivatives which contain multiple underlyings. The fair value of these embedded derivatives was a net liability of $3,843 million and $3,134 million as of March 31, 2016 and December 31, 2015, 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 $3,693 million and $3,013 million as of March 31, 2016 and December 31, 2015, respectively.

Offsetting of Financial Assets

The following table presents recognized derivative instruments (excluding embedded derivatives and associated reinsurance recoverables) that are offset in the Unaudited Interim 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 Statements of Financial Position.

	March 31, 2016
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Statements of Financial Position			Net Amounts Presented in the Statements of Financial Position		Financial Instruments/ Collateral(1)			Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives	$	191,853	$	(38,525	)	$	153,328	$	(141,420	)	$	11,908
Offsetting of Financial Liabilities:
Derivatives	$	52,818	$	(52,818	)	$	0	$	0		$	0

	December 31, 2015
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Statements of Financial Position			Net Amounts Presented in the Statements of Financial Position		Financial Instruments/ Collateral(1)			Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives	$	135,210	$	(21,508	)	$	113,702	$	(101,288	)	$	12,414
Offsetting of Financial Liabilities:
Derivatives	$	25,277	$	(25,277	)	$	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 (excluding embedded derivatives and associated reinsurance recoverables) that are offset in the Unaudited Interim 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 Statements of Financial Position.

	March 31, 2016
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Statements of Financial Position			Net Amounts Presented in the Statements of Financial Position		Financial Instruments/ Collateral(1)			Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives	$	191,853	$	(38,525	)	$	153,328	$	(141,420	)	$	11,908
Offsetting of Financial Liabilities:
Derivatives	$	52,818	$	(52,818	)	$	0	$	0		$	0

	December 31, 2015
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Statements of Financial Position			Net Amounts Presented in the Statements of Financial Position		Financial Instruments/ Collateral(1)			Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives	$	135,210	$	(21,508	)	$	113,702	$	(101,288	)	$	12,414
Offsetting of Financial Liabilities:
Derivatives	$	25,277	$	(25,277	)	$	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 March 31, 2016
	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	$	0		$	251	$	169		$	(4,183	)
Total cash flow hedges	0			251		169			(4,183		)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	45,149			0		0			0
Currency	(127		)	0		0			0
Currency/Interest Rate	(3,058		)	0		(34		)	0
Credit	0			0		0			0
Equity	(19,413		)	0		0			0
Embedded Derivatives	(34,161		)	0		0			0
Total non-qualifying hedges	(11,610		)	0		(34		)	0
Total	$	(11,610	)	$	251	$	135		$	(4,183	)

	Three Months Ended March 31, 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	$	0		$	93	$	138	$	8,324
Total cash flow hedges	0			93		138		8,324
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	30,044			0		0		0
Currency	0			0		0		0
Currency/Interest Rate	6,006			0		99		0
Credit	(1		)	0		0		0
Equity	(3,883		)	0		0		0
Embedded Derivatives	(20,628		)	0		0		0
Total non-qualifying hedges	11,538			0		99		0
Total	$	11,538		$	93	$	237	$	8,324

(1) Amounts deferred in AOCI.

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, 2015	$	14,847
Net deferred gains (losses) on cash flow hedges from January 1 to March 31, 2016	(3,792		)
Amounts reclassified into current period earnings	(391		)
Balance, March 31, 2016	$	10,664