Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 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 and related reinsurance recoverables. 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, 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	$	448,210	$	31,621	$	(9,736	)	$	115,358	$	15,910	$	(206	)
Total Qualifying Hedges	$	448,210	$	31,621	$	(9,736	)	$	115,358	$	15,910	$	(206	)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Futures	$	2,779,000	$	0	$	(59,922	)	$	0	$	0	$	0
Interest Rate Swaps	78,860,425		8,430,814		(855,591		)	1,872,750		84,817		(13,452		)
Interest Rate Options	10,280,000		461,480		(72,982		)	100,000		9,431		0
Interest Rate Forwards	498,411		39,814		0			0		0		0
Foreign Currency
Foreign Currency Forwards	4,153		32		0			2,752		23		0
Currency/Interest Rate
Foreign Currency Swaps	95,352		13,979		(297		)	77,729		11,220		0
Equity
Equity Futures	378,070		2,083		0			0		0		0
Total Return Swaps	16,742,863		25,346		(319,805		)	217,999		320		(3,626		)
Equity Options	23,421,465		34,054		(66,955		)	18,286,800		15,054		(7,993		)
Total Non-Qualifying Hedges	$	133,059,739	$	9,007,602	$	(1,375,552	)	$	20,558,030	$	120,865	$	(25,071	)
Total Derivatives (1)	$	133,507,949	$	9,039,223	$	(1,385,288	)	$	20,673,388	$	136,775	$	(25,277	)


(1)	Excludes embedded derivatives and the related reinsurance recoverables which contain multiple underlyings.

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.



	September 30, 2016
	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	$	9,037,140	$	(9,037,140	)	$	0	$	0		$	0
Offsetting of Financial Liabilities:
Derivatives	$	1,325,365	$	(1,108,829	)	$	216,536	$	(216,536	)	$	0



	December 31, 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	$	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



	September 30, 2016
	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	$	9,037,140	$	(9,037,140	)	$	0	$	0		$	0
Offsetting of Financial Liabilities:
Derivatives	$	1,325,365	$	(1,108,829	)	$	216,536	$	(216,536	)	$	0



	December 31, 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	$	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 September 30, 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		$	909	$	179	$	(6,351	)
Total cash flow hedges	0			909		179		(6,351		)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	265,560			0		0		0
Currency	(136		)	0		0		0
Currency/Interest Rate	(5,303		)	0		65		0
Credit	0			0		0		0
Equity	(859,560		)	0		0		0
Embedded Derivatives	554,300			0		0		0
Total non-qualifying hedges	(45,139		)	0		65		0
Total	$	(45,139	)	$	909	$	244	$	(6,351	)


	Nine Months Ended September 30, 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		$	1,954	$	5,724	$	(7,108	)
Total cash flow hedges	0			1,954		5,724		(7,108		)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	2,817,119			0		0		0
Currency	(15		)	0		0		0
Currency/Interest Rate	2,568			0		271		0
Credit	0			0		0		0
Equity	(1,346,122		)	0		0		0
Embedded Derivatives	(4,064,100		)	0		0		0
Total non-qualifying hedges	(2,590,550		)	0		271		0
Total	$	(2,590,550	)	$	1,954	$	5,995	$	(7,108	)



	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	$	0		$	168	$	438	$	3,282
Total cash flow hedges	0			168		438		3,282
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	38,809			0		0		0
Currency	13			0		0		0
Currency/Interest Rate	1,997			0		41		0
Credit	(1		)	0		0		0
Equity	15,977			0		0		0
Embedded Derivatives	(50,781		)	0		0		0
Total non-qualifying hedges	6,014			0		41		0
Total	$	6,014		$	168	$	479	$	3,282


	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	$	0		$	415	$	563	$	8,518
Total cash flow hedges	0			415		563		8,518
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	24,613			0		0		0
Currency	31			0		0		0
Currency/Interest Rate	7,212			0		143		0
Credit	(3		)	0		0		0
Equity	11,104			0		0		0
Embedded Derivatives	(37,615		)	0		0		0
Total non-qualifying hedges	5,342			0		143		0
Total	$	5,342		$	415	$	706	$	8,518


(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 September 30, 2016	(119		)
Amounts reclassified into current period earnings	(6,989		)
Balance, September 30, 2016	$	7,739