Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2018

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 risks, excluding embedded derivatives and associated reinsurance recoverables. Many derivative instruments contain multiple underlying risks. 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 and NPR.

	September 30, 2018							December 31, 2017
Primary Underlying Risk/Instrument Type			Gross Fair Value							Gross Fair Value
	Notional		Assets		Liabilities			Notional		Assets		Liabilities
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Currency/Interest Rate
Foreign Currency Swaps	$	748,787	$	18,033	$	(38,666	)	$	677,257	$	13,348	$	(47,209	)
Total Qualifying Hedges	$	748,787	$	18,033	$	(38,666	)	$	677,257	$	13,348	$	(47,209	)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Futures	$	903,500	$	272	$	(2,508	)	$	1,964,000	$	8,296	$	0
Interest Rate Swaps	80,605,225		3,378,320		(2,578,179		)	87,939,425		4,374,658		(1,065,549		)
Interest Rate Options	19,050,000		157,095		(326,477		)	15,775,000		175,156		(160,181		)
Interest Rate Forwards	1,626,323		14		(32,402		)	975,929		19,870		(2		)
Foreign Currency
Foreign Currency Forwards	15,281		104		0			12,455		1		(319		)
Currency/Interest Rate
Foreign Currency Swaps	157,819		7,414		(6,740		)	151,400		7,779		(7,488		)
Equity
Equity Futures	253,208		78		0			672,055		2,442		0
Total Return Swaps	14,200,030		17,006		(270,367		)	13,841,333		8,517		(341,700		)
Equity Options	32,801,821		630,109		(569,941		)	31,702,334		460,597		(318,955		)
Total Non-Qualifying Hedges	$	149,613,207	$	4,190,412	$	(3,786,614	)	$	153,033,931	$	5,057,316	$	(1,894,194	)
Total Derivatives(1)	$	150,361,994	$	4,208,445	$	(3,825,280	)	$	153,711,188	$	5,070,664	$	(1,941,403	)

(1) Excludes embedded derivatives and associated reinsurance recoverables which contain multiple underlying risks.

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 Consolidated 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 Consolidated Statements of Financial Position.

	September 30, 2018
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Consolidated Statements of Financial Position			Net Amounts Presented in the Consolidated Statements of Financial Position		Financial Instruments/ Collateral(1)			Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives(1)	$	4,208,445	$	(4,208,445	)	$	0	$	0		$	0
Securities purchased under agreements to resell	327,000		0			327,000		(327,000		)	0
Total Assets	$	4,535,445	$	(4,208,445	)	$	327,000	$	(327,000	)	$	0
Offsetting of Financial Liabilities:
Derivatives(1)	$	3,825,280	$	(3,818,167	)	$	7,113	$	(3,781	)	$	3,332
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	3,825,280	$	(3,818,167	)	$	7,113	$	(3,781	)	$	3,332

	December 31, 2017
	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(1)	$	5,070,517	$	(4,919,486	)	$	151,031	$	0	$	151,031
Securities purchased under agreements to resell	0		0			0		0		0
Total Assets	$	5,070,517	$	(4,919,486	)	$	151,031	$	0	$	151,031
Offsetting of Financial Liabilities:
Derivatives(1)	$	1,941,403	$	(1,941,403	)	$	0	$	0	$	0
Securities sold under agreements to repurchase	0		0			0		0		0
Total Liabilities	$	1,941,403	$	(1,941,403	)	$	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 Consolidated 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 Consolidated Statements of Financial Position.

	September 30, 2018
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Consolidated Statements of Financial Position			Net Amounts Presented in the Consolidated Statements of Financial Position		Financial Instruments/ Collateral(1)			Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives(1)	$	4,208,445	$	(4,208,445	)	$	0	$	0		$	0
Securities purchased under agreements to resell	327,000		0			327,000		(327,000		)	0
Total Assets	$	4,535,445	$	(4,208,445	)	$	327,000	$	(327,000	)	$	0
Offsetting of Financial Liabilities:
Derivatives(1)	$	3,825,280	$	(3,818,167	)	$	7,113	$	(3,781	)	$	3,332
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	3,825,280	$	(3,818,167	)	$	7,113	$	(3,781	)	$	3,332

	December 31, 2017
	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(1)	$	5,070,517	$	(4,919,486	)	$	151,031	$	0	$	151,031
Securities purchased under agreements to resell	0		0			0		0		0
Total Assets	$	5,070,517	$	(4,919,486	)	$	151,031	$	0	$	151,031
Offsetting of Financial Liabilities:
Derivatives(1)	$	1,941,403	$	(1,941,403	)	$	0	$	0	$	0
Securities sold under agreements to repurchase	0		0			0		0		0
Total Liabilities	$	1,941,403	$	(1,941,403	)	$	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, 2018
	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		$	2,141	$	2,484	$	257
Total cash flow hedges	0			2,141		2,484		257
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(772,889		)	0		0		0
Currency	213			0		0		0
Currency/Interest Rate	1,224			0		33		0
Equity	(640,413		)	0		0		0
Embedded Derivatives	1,487,675			0		0		0
Total non-qualifying hedges	75,810			0		33		0
Total	$	75,810		$	2,141	$	2,517	$	257

	Nine Months Ended September 30, 2018
	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		$	5,841	$	8,973	$	1,984
Total cash flow hedges	0			5,841		8,973		1,984
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(2,360,922		)	0		0		0
Currency	537			0		0		0
Currency/Interest Rate	5,279			0		62		0
Equity	(879,866		)	0		0		0
Embedded Derivatives	3,937,437			0		0		0
Total non-qualifying hedges	702,465			0		62		0
Total	$	702,465		$	5,841	$	9,035	$	1,984

	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	)

(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 AOCI before taxes:

	(in thousands)
Balance, December 31, 2017	$	(25,851	)
Net deferred gains (losses) on cash flow hedges from January 1 to September 30, 2018	15,834
Amount reclassified into current period earnings	(13,850		)
Balance, September 30, 2018	$	(23,867	)