Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 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 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 and cash collateral.



	December 31, 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	$	1,172,899	$	39,019	$	(26,511	)	$	768,075	$	33,348	$	(21,794	)
Total Derivatives Designated as Hedge Accounting Instruments	$	1,172,899	$	39,019	$	(26,511	)	$	768,075	$	33,348	$	(21,794	)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Futures	$	3,857,700	$	638	$	(5,872	)	$	908,100	$	4,380	$	(664	)
Interest Rate Swaps	88,557,425		6,598,625		(1,997,944		)	82,172,825		3,344,033		(1,395,270		)
Interest Rate Options	12,583,000		283,386		(172,085		)	19,255,000		139,765		(245,523		)
Interest Rate Forwards	959,772		24,487		(4,185		)	1,713,947		56,562		(1,976		)
Foreign Currency
Foreign Currency Forwards	16,683		0		(394		)	19,467		287		(27		)
Currency/Interest Rate
Foreign Currency Swaps	234,767		11,482		(663		)	231,245		11,659		(2,850		)
Equity
Equity Futures	1,191,237		0		(2,638		)	860,718		0		(6,629		)
Total Return Swaps	16,314,165		36,692		(573,957		)	14,456,836		986,130		(53,235		)
Equity Options	12,866,043		329,722		(422,700		)	26,861,807		271,630		(412,821		)
Total Derivatives Not Qualifying as Hedge Accounting Instruments	$	136,580,792	$	7,285,032	$	(3,180,438	)	$	146,479,945	$	4,814,446	$	(2,118,995	)
Total Derivatives (1)(2)	$	137,753,691	$	7,324,051	$	(3,206,949	)	$	147,248,020	$	4,847,794	$	(2,140,789	)

(1)

Excludes embedded derivatives and associated reinsurance recoverables which contain multiple underlying risks. The fair value of these embedded derivatives was a net liability of $11,823 million and $8,332 million as of December 31, 2019 and 2018, respectively included in “Future policy benefits” and $197 million and $42 million as of December 31, 2019 and 2018, respectively included in “Policyholders’ account balances". Other assets included $8 million and $0 million as of December 31, 2019 and 2018, respectively. The fair value of the related reinsurance, included in "Reinsurance recoverables" and/or "Reinsurance payables" was an asset of $350 million and $240 million as of December 31, 2019 and 2018, respectively.

(2)

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



	December 31, 2019
	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(1)	$	7,324,051	$	(7,324,049	)	$	2	$	0		$	2
Securities purchased under agreements to resell	302,000		0			302,000		(302,000		)	0
Total Assets	$	7,626,051	$	(7,324,049	)	$	302,002	$	(302,000	)	$	2
Offsetting of Financial Liabilities:
Derivatives(1)	$	3,206,949	$	(3,053,132	)	$	153,817	$	(820	)	$	152,997
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	3,206,949	$	(3,053,132	)	$	153,817	$	(820	)	$	152,997

	December 31, 2018
	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(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



	December 31, 2019
	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(1)	$	7,324,051	$	(7,324,049	)	$	2	$	0		$	2
Securities purchased under agreements to resell	302,000		0			302,000		(302,000		)	0
Total Assets	$	7,626,051	$	(7,324,049	)	$	302,002	$	(302,000	)	$	2
Offsetting of Financial Liabilities:
Derivatives(1)	$	3,206,949	$	(3,053,132	)	$	153,817	$	(820	)	$	152,997
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	3,206,949	$	(3,053,132	)	$	153,817	$	(820	)	$	152,997

	December 31, 2018
	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(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.



	Year Ended December 31, 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	$	(1,257	)	$	12,104	$	(3,793	)	$	3,520
Total cash flow hedges	(1,257		)	12,104		(3,793		)	3,520
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	3,309,573			0		0			0
Currency	(153		)	0		0			0
Currency/Interest Rate	11,964			0		15			0
Credit	1,775			0		0			0
Equity	(3,730,006		)	0		0			0
Embedded Derivatives	(2,269,455		)	0		0			0
Total Derivatives Not Qualifying as Hedge Accounting Instruments	(2,676,302		)	0		15			0
Total	$	(2,677,559	)	$	12,104	$	(3,778	)	$	3,520

	Year Ended December 31, 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	$	(845	)	$	8,285	$	13,321		$	22,002
Total cash flow hedges	(845		)	8,285		13,321			22,002
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(1,021,687		)	0		0			0
Currency	1,022			0		0			0
Currency/Interest Rate	21,888			0		91			0
Credit	0			0		0			0
Equity	995,958			0		0			0
Embedded Derivatives	971,167			0		0			0
Total Derivatives Not Qualifying as Hedge Accounting Instruments	968,348			0		91			0
Total	$	967,503		$	8,285	$	13,412		$	22,002



	Year Ended December 31, 2017(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	$	3,052		$	6,152	$	(11,043	)	$	(37,596	)
Total cash flow hedges	3,052			6,152		(11,043		)	(37,596		)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	550,797			0		0			0
Currency	(454		)	0		0			0
Currency/Interest Rate	(33,225		)	0		(183		)	0
Credit	0			0		0			0
Equity	(2,000,297		)	0		0			0
Embedded Derivatives	678,698			0		0			0
Total Derivatives Not Qualifying as Hedge Accounting Instruments	(804,481		)	0		(183		)	0
Total	$	(801,429	)	$	6,152	$	(11,226	)	$	(37,596	)


(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, 2016	$	11,745
Amount recorded in AOCI
Currency/Interest Rate	(39,434		)
Total amount recorded in AOCI	(39,434		)
Amount reclassified from AOCI to income
Currency/Interest Rate	1,838
Total amount reclassified from AOCI to income	1,838
Balance, December 31, 2017	$	(25,851	)
Amount recorded in AOCI
Currency/Interest Rate	42,763
Total amount recorded in AOCI	42,763
Amount reclassified from AOCI to income
Currency/Interest Rate	(20,761		)
Total amount reclassified from AOCI to income	(20,761		)
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	10,574
Total amount recorded in AOCI	10,574
Amount reclassified from AOCI to income
Currency/Interest Rate	(7,054		)
Total amount reclassified from AOCI to income	(7,054		)
Balance, December 31, 2019	$	(287	)

(1)

See Note 2 for details.