Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2014

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

	September 30, 2014						December 31, 2013
			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
Currency/Interest Rate	$	82,247	$	2,793	$	(1,749)	$	72,747	$	940	$	(4,635)
Total Qualifying Hedges	$	82,247	$	2,793	$	(1,749)	$	72,747	$	940	$	(4,635)

Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Swaps	$	1,902,750	$	77,005	$	(40,756)	$	1,533,750	$	59,872	$	(80,601)
Interest Rate Options		100,000		8,855		-		100,000		6,534		-
Currency/Interest Rate
Foreign Currency Swaps		57,013		1,775		(10)		55,919		19		(1,349)
Credit
Credit Default Swaps		1,200		-		(55)		6,050		-		(115)
Equity
Total Return Swaps		213,764		2,486		-		219,896		-		(4,712)
Equity Options		15,798,390		5,581		(3,142)		13,170,805		6,170		(3,168)
Total Non-Qualifying Hedges	$	18,073,117	$	95,702	$	(43,963)	$	15,086,420	$	72,595	$	(89,945)

Total Derivatives (1)	$	18,155,364	$	98,495	$	(45,712)	$	15,158,667	$	73,535	$	(94,580)

(1) Excludes embedded derivatives which contain multiple underlyings. The fair value of these embedded derivatives was a liability of $2,317 million and $778 million as of September 30, 2014 and December 31, 2013, respectively, included in “Future policy benefits.” The fair value of the embedded derivatives related to the reinsurance of certain of these benefits to Pruco Re and Prudential Insurance included in "Reinsurance recoverables" was an asset of $2,232 million and $748 million as of September 30, 2014 and December 31, 2013, respectively.

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance

		Three Months Ended September 30, 2014
			Realized Investment Gains/(Losses)		Net Investment Income		Other Income		Accumulated Other Comprehensive Income (Loss) (1)
		(in thousands)
Derivatives Designated as Hedging Instruments:
Cash flow hedges
	Currency/Interest Rate	$	-	$	(3)	$	80	$	5,080
	Total cash flow hedges		-		(3)		80		5,080

Derivatives Not Qualifying as Hedging Instruments:
	Interest Rate		14,059		-		-		-
	Currency		-		-		-		-
	Currency/Interest Rate		3,546		-		47		-
	Credit		-		-		-		-
	Equity		414		-		-		-
	Embedded Derivatives		(23,566)		-		-		-
	Total non-qualifying hedges		(5,547)		-		47		-
Total		$	(5,547)	$	(3)	$	127	$	5,080

		Nine Months Ended September 30, 2014
			Realized Investment Gains/(Losses)		Net Investment Income		Other Income		Accumulated Other Comprehensive Income (Loss) (1)
		(in thousands)
Derivatives Designated as Hedging Instruments:
Cash flow hedges
	Currency/Interest Rate	$	-	$	(20)	$	63	$	4,657
	Total cash flow hedges		-		(20)		63		4,657

Derivatives Not Qualifying as Hedging Instruments:
	Interest Rate		77,657		-		-		-
	Currency		-		-		-		-
	Currency/Interest Rate		3,332		-		55		-
	Credit		(11)		-		-		-
	Equity		(15,568)		-		-		-
	Embedded Derivatives		(76,201)		-		-		-
	Total non-qualifying hedges		(10,791)		-		55		-
Total		$	(10,791)	$	(20)	$	118	$	4,657

		Three Months Ended September 30, 2013
			Realized Investment Gains/(Losses)		Net Investment Income		Other Income		Accumulated Other Comprehensive Income (Loss) (1)
		(in thousands)
Derivatives Designated as Hedging Instruments:
Cash flow hedges
	Currency/Interest Rate	$	-	$	(17)	$	(30)	$	(2,781)
	Total cash flow hedges		-		(17)		(30)		(2,781)

Derivatives Not Qualifying as Hedging Instruments:
	Interest Rate		(11,810)		-		-		-
	Currency		-		-		-		-
	Currency/Interest Rate		(2,137)		-		(23)		-
	Credit		(28)		-		-		-
	Equity		(14,507)		-		-		-
	Embedded Derivatives		(44,453)		-		-		-
	Total non-qualifying hedges		(72,935)		-		(23)		-
Total		$	(72,935)	$	(17)	$	(53)	$	(2,781)


		Nine Months Ended September 30, 2013
			Realized Investment Gains/(Losses)		Net Investment Income		Other Income		Accumulated Other Comprehensive Income (Loss) (1)
		(in thousands)
Derivatives Designated as Hedging Instruments:
Cash flow hedges
	Currency/Interest Rate	$	-	$	(68)	$	2	$	(438)
	Total cash flow hedges		-		(68)		2		(438)

Derivatives Not Qualifying as Hedging Instruments:
	Interest Rate		(94,040)		-		-		-
	Currency		-		-		-		-
	Currency/Interest Rate		(353)		-		17		-
	Credit		(86)		-		-		-
	Equity		(55,934)		-		-		-
	Embedded Derivatives		(12,187)		-		-		-
	Total non-qualifying hedges		(162,600)		-		17		-
Total		$	(162,600)	$	(68)	$	19	$	(438)

(1) Amounts deferred in “Accumulated other comprehensive income (loss).”

Schedule of Derivative Instruments Recognized in Accumulated Other Comprehensive Income(Loss) Before Taxes

Offsetting of Financial Assets and Liabilities

	September 30, 2014
			Gross		Net
	Gross		Amounts		Amounts
	Amounts of		Offset in the		Presented in
	Recognized		Statement of		the Statement		Financial
	Financial		Financial		of Financial		Instruments/		Net
	Instruments		Position		Position		Collateral		Amount

	(in thousands)
Offsetting of Financial Assets:
Derivatives	$	98,495	$	(53,827)	$	44,668	$	(36,441)	$	8,227

Offsetting of Financial Liabilities:
Derivatives	$	45,712	$	(45,712)	$	-	$	-	$	-


	December 31, 2013
			Gross		Net
	Gross		Amounts		Amounts
	Amounts of		Offset in the		Presented in
	Recognized		Statement of		the Statement		Financial
	Financial		Financial		of Financial		Instruments/		Net
	Instruments		Position		Position		Collateral		Amount

	(in thousands)
Offsetting of Financial Assets:
Derivatives	$	73,535	$	(73,535)	$	-	$	-	$	-

Offsetting of Financial Liabilities:
Derivatives	$	94,580	$	(72,822)	$	21,758	$	(24,491)	$	(2,733)

(in thousands)

Balance, December 31, 2013

Net deferred gains (losses) on cash flow hedges from January 1 to September 30, 2014

Amount reclassified into current period earnings

Balance, September 30, 2014