Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 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.

	June 30, 2020							December 31, 2019
Primary Underlying Risk/Instrument Type			Fair Value							Fair Value
	Gross Notional		Assets		Liabilities			Gross Notional		Assets		Liabilities
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Currency/Interest Rate
Foreign Currency Swaps	$	133,255	$	14,212	$	0		$	131,212	$	4,653	$	(1,504	)
Total Derivatives Designated as Hedge Accounting Instruments:	$	133,255	$	14,212	$	0		$	131,212	$	4,653	$	(1,504	)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Swaps	$	30,200	$	5,177	$	0		$	32,075	$	3,005	$	(5	)
Credit
Credit Default Swaps	713		9		0			0		0		0
Currency/Interest Rate
Foreign Currency Swaps	33,224		5,447		0			33,224		2,691		(579		)
Foreign Currency
Foreign Currency Forwards	2,249		1		(66		)	1,858		0		(36		)
Equity
Equity Options	416,175		17,868		(8,391		)	379,350		24,064		(10,919		)
Total Derivatives Not Qualifying as Hedge Accounting Instruments:	$	482,561	$	28,502	$	(8,457	)	$	446,507	$	29,760	$	(11,539	)
Total Derivatives(1)(2)	$	615,816	$	42,714	$	(8,457	)	$	577,719	$	34,413	$	(13,043	)

(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 $1,742 million and $761 million as of June 30, 2020 and December 31, 2019, respectively included in “Future policy benefits” and $143 million and $134 million as of June 30, 2020 and December 31, 2019, respectively included in “Policyholders’ account balances". The fair value of the related reinsurance, included in "Reinsurance recoverables" or "Other liabilities" was an asset of $1,742 million and $761 million as of June 30, 2020 and December 31, 2019, respectively.

(2)

Recorded in "Other invested assets" 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.

	June 30, 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)	$	42,714	$	(8,466	)	$	34,248	$	(34,232	)	$	16
Securities purchased under agreements to resell	0		0			0		0			0
Total Assets	$	42,714	$	(8,466	)	$	34,248	$	(34,232	)	$	16
Offsetting of Financial Liabilities:
Derivatives(1)	$	8,457	$	(8,457	)	$	0	$	0		$	0
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	8,457	$	(8,457	)	$	0	$	0		$	0

	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)	$	34,413	$	(13,029	)	$	21,384	$	(21,384	)	$	0
Securities purchased under agreements to resell	0		0			0		0			0
Total Assets	$	34,413	$	(13,029	)	$	21,384	$	(21,384	)	$	0
Offsetting of Financial Liabilities:
Derivatives(1)	$	13,043	$	(13,043	)	$	0	$	0		$	0
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	13,043	$	(13,043	)	$	0	$	0		$	0

(1)

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

Offsetting of Financial Liabilities

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.

	June 30, 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)	$	42,714	$	(8,466	)	$	34,248	$	(34,232	)	$	16
Securities purchased under agreements to resell	0		0			0		0			0
Total Assets	$	42,714	$	(8,466	)	$	34,248	$	(34,232	)	$	16
Offsetting of Financial Liabilities:
Derivatives(1)	$	8,457	$	(8,457	)	$	0	$	0		$	0
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	8,457	$	(8,457	)	$	0	$	0		$	0

	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)	$	34,413	$	(13,029	)	$	21,384	$	(21,384	)	$	0
Securities purchased under agreements to resell	0		0			0		0			0
Total Assets	$	34,413	$	(13,029	)	$	21,384	$	(21,384	)	$	0
Offsetting of Financial Liabilities:
Derivatives(1)	$	13,043	$	(13,043	)	$	0	$	0		$	0
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	13,043	$	(13,043	)	$	0	$	0		$	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 June 30, 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	$	0		$	488	$	(324	)	$	(5,608	)
Total cash flow hedges	0			488		(324		)	(5,608		)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	254			0		0			0
Currency	(42		)	0		0			0
Currency/Interest Rate	(963		)	0		1			0
Credit	(69		)	0		0			0
Equity	5,727			0		0			0
Embedded Derivatives	(12,400		)	0		0			0
Total Derivatives Not Qualifying as Hedge Accounting Instruments:	(7,493		)	0		1			0
Total	$	(7,493	)	$	488	$	(323	)	$	(5,608	)

	Six Months Ended June 30, 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	$	26		$	966	$	681	$	10,403
Total cash flow hedges	26			966		681		10,403
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	2,093			0		0		0
Currency	31			0		0		0
Currency/Interest Rate	3,564			0		20		0
Credit	(69		)	0		0		0
Equity	(4,657		)	0		0		0
Embedded Derivatives	5,390			0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments:	6,352			0		20		0
Total	$	6,378		$	966	$	701	$	10,403

	Three Months Ended June 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	$	0		$	411	$	235	$	1,543
Total cash flow hedges	0			411		235		1,543
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	850			0		0		0
Currency	9			0		0		0
Currency/Interest Rate	492			0		2		0
Credit	0			0		0		0
Equity	1,839			0		0		0
Embedded Derivatives	(7,879		)	0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments:	(4,689		)	0		2		0
Total	$	(4,689	)	$	411	$	237	$	1,543

	Six Months Ended June 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	$	(10	)	$	808	$	26	$	1,326
Total cash flow hedges	(10		)	808		26		1,326
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	1,359			0		0		0
Currency	15			0		0		0
Currency/Interest Rate	602			0		0		0
Credit	(1		)	0		0		0
Equity	5,979			0		0		0
Embedded Derivatives	(15,677		)	0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments:	(7,723		)	0		0		0
Total	$	(7,733	)	$	808	$	26	$	1,326

(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	$	3,193
Amount recorded in AOCI
Currency/Interest Rate	12,076
Total amount recorded in AOCI	12,076
Amount reclassified from AOCI to income
Currency/Interest Rate	(1,673		)
Total amount reclassified from AOCI to income	(1,673		)
Balance, June 30, 2020	$	13,596