Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2020

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.



	March 31, 2020							December 31, 2019
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	$	1,237,552	$	152,513	$	(236	)	$	1,172,899	$	39,019	$	(26,511	)
Total Derivatives Designated as Hedge Accounting Instruments	$	1,237,552	$	152,513	$	(236	)	$	1,172,899	$	39,019	$	(26,511	)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Futures	$	5,898,500	$	4,044	$	(32,429	)	$	3,857,700	$	638	$	(5,872	)
Interest Rate Swaps	100,324,125		16,480,350		(6,811,713		)	88,557,425		6,598,625		(1,997,944		)
Interest Rate Options	11,468,000		1,605,656		(26,654		)	12,583,000		283,386		(172,085		)
Interest Rate Forwards	892,000		65,811		(4,641		)	959,772		24,487		(4,185		)
Foreign Currency
Foreign Currency Forwards	19,643		751		(184		)	16,683		0		(394		)
Currency/Interest Rate
Foreign Currency Swaps	214,760		34,368		0			234,767		11,482		(663		)
Credit
Credit Default Swaps	61,250		0		(3,826		)	0		0		0
Equity
Equity Futures	1,743,428		17,360		0			1,191,237		0		(2,638		)
Total Return Swaps	25,813,680		2,857,200		(623,709		)	16,314,165		36,692		(573,957		)
Equity Options	28,692,823		590,926		(672,523		)	12,866,043		329,722		(422,700		)
Total Derivatives Not Qualifying as Hedge Accounting Instruments	$	175,128,209	$	21,656,466	$	(8,175,679	)	$	136,580,792	$	7,285,032	$	(3,180,438	)
Total Derivatives(1)(2)	$	176,365,761	$	21,808,979	$	(8,175,915	)	$	137,753,691	$	7,324,051	$	(3,206,949	)

(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 $25,303 million and $11,823 million as of March 31, 2020 and December 31, 2019, respectively included in “Future policy benefits” and $159 million and $197 million as of March 31, 2020 and December 31, 2019, respectively included in “Policyholders’ account balances". Other assets included $16 million and $8 million as of March 31, 2020 and December 31, 2019, respectively. The fair value of the related reinsurance, included in "Reinsurance recoverables" and/or "Reinsurance payables" was an asset of $650 million and $350 million as of March 31, 2020 and December 31, 2019, respectively.

(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.



	March 31, 2020
	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)	$	21,808,979	$	(21,791,617	)	$	17,362	$	0		$	17,362
Securities purchased under agreements to resell	100,000		0			100,000		(100,000		)	0
Total Assets	$	21,908,979	$	(21,791,617	)	$	117,362	$	(100,000	)	$	17,362
Offsetting of Financial Liabilities:
Derivatives(1)	$	8,175,915	$	(7,703,646	)	$	472,269	$	(331,133	)	$	141,136
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	8,175,915	$	(7,703,646	)	$	472,269	$	(331,133	)	$	141,136



	December 31, 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)	$	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

(1)

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

Offsetting of Financial Liabilities



	March 31, 2020
	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)	$	21,808,979	$	(21,791,617	)	$	17,362	$	0		$	17,362
Securities purchased under agreements to resell	100,000		0			100,000		(100,000		)	0
Total Assets	$	21,908,979	$	(21,791,617	)	$	117,362	$	(100,000	)	$	17,362
Offsetting of Financial Liabilities:
Derivatives(1)	$	8,175,915	$	(7,703,646	)	$	472,269	$	(331,133	)	$	141,136
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	8,175,915	$	(7,703,646	)	$	472,269	$	(331,133	)	$	141,136



	December 31, 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)	$	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

(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 March 31, 2020
	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	$	1,855		$	4,259	$	16,943	$	102,856
Total cash flow hedges	1,855			4,259		16,943		102,856
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	7,049,901			0		0		0
Currency	1,030			0		0		0
Currency/Interest Rate	41,849			0		72		0
Credit	(7,157		)	0		0		0
Equity	5,015,288			0		0		0
Embedded Derivatives	(12,867,306		)	0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments:	(766,395		)	0		72		0
Total	$	(764,540	)	$	4,259	$	17,015	$	102,856



	Three Months Ended March 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	$	(321	)	$	2,733	$	(1,559	)	$	1,623
Total cash flow hedges	(321		)	2,733		(1,559		)	1,623
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	992,444			0		0			0
Currency	(186		)	0		0			0
Currency/Interest Rate	1,831			0		3			0
Credit	(1		)	0		0			0
Equity	(1,650,110		)	0		0			0
Embedded Derivatives	(684,585		)	0		0			0
Total Derivatives Not Qualifying as Hedge Accounting Instruments:	(1,340,607		)	0		3			0
Total	$	(1,340,928	)	$	2,733	$	(1,556	)	$	1,623


(1)	Net change 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, 2019	$	(287	)
Amount recorded in AOCI
Currency/Interest Rate	125,913
Total amount recorded in AOCI	125,913
Amount reclassified from AOCI to income
Currency/Interest Rate	(23,057		)
Total amount reclassified from AOCI to income	(23,057		)
Balance, March 31, 2020	$	102,569