Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2019

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 the fair value of derivative 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 value of derivative contracts prior to taking into account the netting effects of master netting agreements, cash collateral and NPR.



	September 30, 2019							December 31, 2018
Primary Underlying Risk/Instrument Type	Gross Notional		Fair Value					Gross Notional		Fair Value
Primary Underlying Risk/Instrument Type	Gross Notional		Assets		Liabilities			Gross Notional		Assets		Liabilities
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Currency/Interest Rate
Foreign Currency Swaps	$	1,011,740	$	66,182	$	(6,817	)	$	768,075	$	33,348	$	(21,794	)
Total Derivatives Designated as Hedge Accounting Instruments	$	1,011,740	$	66,182	$	(6,817	)	$	768,075	$	33,348	$	(21,794	)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Futures	$	4,315,800	$	408	$	(1,585	)	$	908,100	$	4,380	$	(664	)
Interest Rate Swaps	88,656,425		9,135,289		(3,093,358		)	82,172,825		3,344,033		(1,395,270		)
Interest Rate Options	14,730,000		820,638		(193,893		)	19,255,000		139,765		(245,523		)
Interest Rate Forwards	198,834		33,269		0			1,713,947		56,562		(1,976		)
Foreign Currency
Foreign Currency Forwards	16,331		192		(65		)	19,467		287		(27		)
Currency/Interest Rate
Foreign Currency Swaps	204,104		20,804		0			231,245		11,659		(2,850		)
Credit
Credit Default Swaps	0		0		0			0		0		0
Equity
Equity Futures	1,288,315		209		(4,923		)	860,718		0		(6,629		)
Total Return Swaps	15,960,466		114,009		(136,596		)	14,456,836		986,130		(53,235		)
Equity Options	24,376,699		209,440		(388,487		)	26,861,807		271,630		(412,821		)
Total Derivatives Not Qualifying as Hedge Accounting Instruments	$	149,746,974	$	10,334,258	$	(3,818,907	)	$	146,479,945	$	4,814,446	$	(2,118,995	)
Total Derivatives(1)(2)	$	150,758,714	$	10,400,440	$	(3,825,724	)	$	147,248,020	$	4,847,794	$	(2,140,789	)


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

(2)

Recorded in “Other invested assets”, “Other liabilities”, and "Payables to parent and affiliates" on the Unaudited Interim Statements of Financial Position.

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, 2019
	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)	$	10,400,440	$	(10,400,438	)	$	2	$	0		$	2
Securities purchased under agreements to resell	1,255,000		0			1,255,000		(1,255,000		)	0
Total Assets	$	11,655,440	$	(10,400,438	)	$	1,255,002	$	(1,255,000	)	$	2
Offsetting of Financial Liabilities:
Derivatives(1)	$	3,825,724	$	(3,814,060	)	$	11,664	$	(11,664	)	$	0
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	3,825,724	$	(3,814,060	)	$	11,664	$	(11,664	)	$	0



	December 31, 2018
	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)	$	4,847,794	$	(4,804,816	)	$	42,978	$	0		$	42,978
Securities purchased under agreements to resell	675,000		0			675,000		(675,000		)	0
Total Assets	$	5,522,794	$	(4,804,816	)	$	717,978	$	(675,000	)	$	42,978
Offsetting of Financial Liabilities:
Derivatives(1)	$	2,140,789	$	(2,134,160	)	$	6,629	$	(6,629	)	$	0
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	2,140,789	$	(2,134,160	)	$	6,629	$	(6,629	)	$	0

(1)

Amounts exclude the excess of collateral received/pledged from/to the counterparty

Offsetting of Financial Liabilities



	September 30, 2019
	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)	$	10,400,440	$	(10,400,438	)	$	2	$	0		$	2
Securities purchased under agreements to resell	1,255,000		0			1,255,000		(1,255,000		)	0
Total Assets	$	11,655,440	$	(10,400,438	)	$	1,255,002	$	(1,255,000	)	$	2
Offsetting of Financial Liabilities:
Derivatives(1)	$	3,825,724	$	(3,814,060	)	$	11,664	$	(11,664	)	$	0
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	3,825,724	$	(3,814,060	)	$	11,664	$	(11,664	)	$	0



	December 31, 2018
	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)	$	4,847,794	$	(4,804,816	)	$	42,978	$	0		$	42,978
Securities purchased under agreements to resell	675,000		0			675,000		(675,000		)	0
Total Assets	$	5,522,794	$	(4,804,816	)	$	717,978	$	(675,000	)	$	42,978
Offsetting of Financial Liabilities:
Derivatives(1)	$	2,140,789	$	(2,134,160	)	$	6,629	$	(6,629	)	$	0
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	2,140,789	$	(2,134,160	)	$	6,629	$	(6,629	)	$	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, 2019
	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	$	(130	)	$	2,665	$	7,771	$	27,184
Total cash flow hedges	(130		)	2,665		7,771		27,184
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	2,571,885			0		0		0
Currency	681			0		0		0
Currency/Interest Rate	17,781			0		76		0
Credit	198			0		0		0
Equity	(145,305		)	0		0		0
Embedded Derivatives	(2,982,189		)	0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments:	(536,949		)	0		76		0
Total	$	(537,079	)	$	2,665	$	7,847	$	27,184



	Nine Months Ended September 30, 2019
	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	$	(850	)	$	8,375	$	8,168	$	30,689
Total cash flow hedges	(850		)	8,375		8,168		30,689
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	5,328,630			0		0		0
Currency	930			0		0		0
Currency/Interest Rate	26,397			0		97		0
Credit	1,775			0		0		0
Equity	(2,378,529		)	0		0		0
Embedded Derivatives	(5,747,312		)	0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments:	(2,768,109		)	0		97		0
Total	$	(2,768,959	)	$	8,375	$	8,265	$	30,689



	Three Months Ended September 30, 2018(2)
	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	$	(286	)	$	2,141	$	2,484	$	257
Total cash flow hedges	(286		)	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	1,510			0		33		0
Credit	0			0		0		0
Equity	(640,413		)	0		0		0
Embedded Derivatives	1,487,675			0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments:	76,096			0		33		0
Total	$	75,810		$	2,141	$	2,517	$	257



	Nine Months Ended September 30, 2018(2)
	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	$	(964	)	$	5,841	$	8,973	$	1,984
Total cash flow hedges	(964		)	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	6,243			0		62		0
Credit	0			0		0		0
Equity	(879,866		)	0		0		0
Embedded Derivatives	3,937,437			0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments:	703,429			0		62		0
Total	$	702,465		$	5,841	$	9,035	$	1,984


(1)	Net change in AOCI.

(2)

Prior period amounts have been updated to conform to current period presentation.

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, 2018	$	(3,849	)
Cumulative-effect adjustment from the adoption of ASU 2017-12(1)	42
Amount recorded in AOCI
Currency/Interest Rate	46,382
Total amount recorded in AOCI	46,382
Amount reclassified from AOCI to income
Currency/Interest Rate	(15,693		)
Total amount reclassified from AOCI to income	(15,693		)
Balance, September 30, 2019	$	26,882

(1) See Note 2 for details.