Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2015

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

	March 31, 2015						December 31, 2014
			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	$	83,412	$	13,276	$	-	$	83,412	$	5,555	$	(654)
Total Qualifying Hedges	$	83,412	$	13,276	$	-	$	83,412	$	5,555	$	(654)

Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Swaps	$	1,902,750	$	113,053	$	(14,432)	$	1,902,750	$	92,507	$	(18,480)
Interest Rate Options		100,000		11,603		-		100,000		10,736		-
Currency/Interest Rate
Foreign Currency Swaps		57,009		10,218		-		57,011		4,363		(5)
Credit
Credit Default Swaps		1,200		-		(29)		1,200		-		(43)
Equity
Total Return Swaps		224,827		3,574		(1,028)		220,986		1,937		-
Equity Options		5,906,910		1,588		(696)		6,842,242		3,748		(2,067)
Total Non-Qualifying Hedges	$	8,192,696	$	140,036	$	(16,185)	$	9,124,189	$	113,291	$	(20,595)

Total Derivatives (1)	$	8,276,108	$	153,312	$	(16,185)	$	9,207,601	$	118,846	$	(21,249)

(1) Excludes embedded derivatives which contain multiple underlyings. The fair value of the embedded derivatives related to the living benefit feature was a net liability of $3,430 million and $3,112 million as of March 31, 2015 and December 31, 2014, 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 $3,301 million and $2,996 million as of March 31, 2015 and December 31, 2014, respectively, included in “Reinsurance recoverables”. See Note 7 for additional information on the reinsurance agreement.

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

		Three Months Ended March 31, 2015
			Realized Investment Gains (Losses)		Net Investment Income		Other Income		Accumulated Other Comprehensive Income (Loss)(1)
		(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
	Currency/Interest Rate	$	-	$	93	$	138	$	8,324
	Total cash flow hedges		-		93		138		8,324

Derivatives Not Qualifying as Hedge Accounting Instruments:
	Interest Rate		30,044		-		-		-
	Currency/Interest Rate		6,006		-		99		-
	Credit		(1)		-		-		-
	Equity		(3,883)		-		-		-
	Embedded Derivatives		(20,628)		-		-		-
	Total non-qualifying hedges		11,538		-		99		-
Total		$	11,538	$	93	$	237	$	8,324

		Three Months Ended March 31, 2014
			Realized Investment Gains (Losses)		Net Investment Income		Other Income		Accumulated Other Comprehensive Income (Loss)(1)
		(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
	Currency/Interest Rate	$	-	$	(12)	$	(3)	$	637
	Total cash flow hedges		-		(12)		(3)		637

Derivatives Not Qualifying as Hedge Accounting Instruments:
	Interest Rate		37,588		-		-		-
	Currency/Interest Rate		824		-		18		-
	Credit		(7)		-		-		-
	Equity		(4,648)		-		-		-
	Embedded Derivatives		(34,734)		-		-		-
	Total non-qualifying hedges		(977)		-		18		-
Total		$	(977)	$	(12)	$	15	$	637

(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

	March 31, 2015
			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(1)		Amount

	(in thousands)
Offsetting of Financial Assets:
Derivatives	$	153,312	$	(14,108)	$	139,204	$	(134,839)	$	4,365

Offsetting of Financial Liabilities:
Derivatives	$	16,185	$	(16,185)	$	-	$	-	$	-


	December 31, 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(1)		Amount

	(in thousands)
Offsetting of Financial Assets:
Derivatives	$	118,846	$	(24,288)	$	94,558	$	(82,602)	$	11,956

Offsetting of Financial Liabilities:
Derivatives	$	21,249	$	(21,249)	$	-	$	-	$	-

(1) Amounts exclude the excess of collateral received/pledged from/to the counterparty. Prior period has been revised to conform to current period presentation.

(in thousands)

Balance, December 31, 2014

Net deferred gains (losses) on cash flow hedges from January 1 to March 31, 2015

Amount reclassified into current period earnings

Balance, March 31, 2015