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Derivative Instruments (Tables)
 9 Months Ended
Sep. 30, 2017
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, 2017
 
December 31, 2016
 
 
 
 
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
 
$
626,315

 
$
18,743

 
$
(35,244
)
 
$
472,701

 
$
38,249

 
$
(2,776
)
Total Qualifying Hedges
 
$
626,315

 
$
18,743

 
$
(35,244
)
 
$
472,701

 
$
38,249

 
$
(2,776
)
Derivatives Not Qualifying as Hedge Accounting Instruments:
 
 
 
 
 
 
 
 
 
 
 
 
Interest Rate
 
 
 
 
 
 
 
 
 
 
 
 
Interest Rate Futures
 
$
2,034,000

 
$
7,982

 
$
0

 
$
2,474,000

 
$
23,967

 
$
0

Interest Rate Swaps
 
88,985,926

 
4,519,412

 
(1,062,495
)
 
81,872,695

 
4,439,270

 
(1,163,388
)
Interest Rate Options
 
13,010,000

 
186,644

 
(99,906
)
 
10,825,000

 
278,763

 
(135,554
)
Interest Rate Forwards
 
1,198,032

 
1,425

 
(5,168
)
 
498,311

 
0

 
(25,082
)
Foreign Currency
 
 
 
 
 
 
 
 
 
 
 
 
Foreign Currency Forwards
 
9,525

 
1

 
(283
)
 
1,491

 
6

 
0

Currency/Interest Rate
 
 
 
 
 
 
 
 
 
 
 
 
Foreign Currency Swaps
 
144,334

 
8,840

 
(5,588
)
 
130,470

 
16,627

 
(635
)
Equity
 
 
 
 
 
 
 
 
 
 
 
 
Equity Futures
 
0

 
0

 
0

 
1,269,044

 
0

 
(5,051
)
Total Return Swaps
 
11,602,226

 
1,384

 
(284,030
)
 
12,784,166

 
69,827

 
(281,193
)
Equity Options
 
6,185,001

 
234,899

 
(167,987
)
 
4,610,001

 
29,650

 
(45,732
)
Total Non-Qualifying Hedges
 
$
123,169,044

 
$
4,960,587

 
$
(1,625,457
)
 
$
114,465,178

 
$
4,858,110

 
$
(1,656,635
)
Total Derivatives (1)
 
$
123,795,359

 
$
4,979,330

 
$
(1,660,701
)
 
$
114,937,879

 
$
4,896,359

 
$
(1,659,411
)

(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), and repurchase and reverse repurchase agreements 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, 2017
 
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
$
4,979,330

 
$
(4,970,040
)
 
$
9,290

 
$
0

 
$
9,290

Securities purchased under agreements to resell
0

 
0

 
0

 
0

 
0

Total Assets
$
4,979,330

 
$
(4,970,040
)
 
$
9,290

 
$
0

 
$
9,290

Offsetting of Financial Liabilities:
 
 
 
 
 
 
 
 
 
Derivatives
$
1,660,701

 
$
(1,660,701
)
 
$
0

 
$
0

 
$
0


 
December 31, 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
$
4,872,392

 
$
(4,582,540
)
 
$
289,852

 
$
0

 
$
289,852

Securities purchased under agreements to resell
255,000

 
0

 
255,000

 
(255,000
)
 
0

Total Assets
$
5,127,392

 
$
(4,582,540
)
 
$
544,852

 
$
(255,000
)
 
$
289,852

Offsetting of Financial Liabilities:
 
 
 
 
 
 
 
 
 
Derivatives
$
1,654,360

 
$
(1,654,360
)
 
$
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), and repurchase and reverse repurchase agreements 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, 2017
 
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
$
4,979,330

 
$
(4,970,040
)
 
$
9,290

 
$
0

 
$
9,290

Securities purchased under agreements to resell
0

 
0

 
0

 
0

 
0

Total Assets
$
4,979,330

 
$
(4,970,040
)
 
$
9,290

 
$
0

 
$
9,290

Offsetting of Financial Liabilities:
 
 
 
 
 
 
 
 
 
Derivatives
$
1,660,701

 
$
(1,660,701
)
 
$
0

 
$
0

 
$
0


 
December 31, 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
$
4,872,392

 
$
(4,582,540
)
 
$
289,852

 
$
0

 
$
289,852

Securities purchased under agreements to resell
255,000

 
0

 
255,000

 
(255,000
)
 
0

Total Assets
$
5,127,392

 
$
(4,582,540
)
 
$
544,852

 
$
(255,000
)
 
$
289,852

Offsetting of Financial Liabilities:
 
 
 
 
 
 
 
 
 
Derivatives
$
1,654,360

 
$
(1,654,360
)
 
$
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, 2017
 
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

 
$
1,678

 
$
(3,496
)
 
$
(12,020
)
Total cash flow hedges
0

 
1,678

 
(3,496
)
 
(12,020
)
Derivatives Not Qualifying as Hedge Accounting Instruments:
 
 
 
 
 
 
 
Interest Rate
52,535

 
0

 
0

 
0

Currency
(230
)
 
0

 
0

 
0

Currency/Interest Rate
(11,358
)
 
0

 
(314
)
 
0

Equity
(453,516
)
 
0

 
0

 
0

Embedded Derivatives
1,585,732

 
0

 
0

 
0

Total non-qualifying hedges
1,173,163

 
0

 
(314
)
 
0

Total
$
1,173,163

 
$
1,678

 
$
(3,810
)
 
$
(12,020
)
 
 
 
 
 
 
 
 
 
Nine Months Ended September 30, 2017
 
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

 
$
4,523

 
$
(9,308
)
 
$
(27,143
)
Total cash flow hedges
0

 
4,523

 
(9,308
)
 
(27,143
)
Derivatives Not Qualifying as Hedge Accounting Instruments:
 
 
 
 
 
 
 
Interest Rate
618,534

 
0

 
0

 
0

Currency
(307
)
 
0

 
0

 
0

Currency/Interest Rate
(22,712
)
 
0

 
(592
)
 
0

Equity
(1,468,601
)
 
0

 
0

 
0

Embedded Derivatives
550,630

 
0

 
0

 
0

Total non-qualifying hedges
(322,456
)
 
0

 
(592
)
 
0

Total
$
(322,456
)
 
$
4,523

 
$
(9,900
)
 
$
(27,143
)

 
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

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

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
)

(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, 2016
$
11,745

Net deferred gains (losses) on cash flow hedges from January 1 to September 30, 2017
(29,004
)
Amounts reclassified into current period earnings
1,861

Balance, September 30, 2017
$
(15,398
)