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Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 2015
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 derivatives contracts by the primary underlying, excluding embedded derivatives and associated reinsurance recoverables which are recorded with the associated host. Many derivative instruments contain multiple underlyings. The fair value amounts below represent the gross fair value of derivative contracts prior to taking into account the netting effects of master netting agreements, cash collateral held with the same counterparty, and non-performance risk.
 
 
December 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 Swaps
 
$
529,128

 
$
50,877

 
$
(1,385
)
 
$
291,100

 
$
14,733

 
$
(3,008
)
Total Qualifying Hedges
 
$
529,128

 
$
50,877

 
$
(1,385
)
 
$
291,100

 
$
14,733

 
$
(3,008
)
Derivatives Not Qualifying as Hedge Accounting Instruments:
 
 
 
 
 
 
 
 
 
 
 
 
Interest Rate
 
 
 
 
 
 
 
 
 
 
 
 
Interest Rate Swaps
 
$
3,159,400

 
$
203,313

 
$
(8,605
)
 
$
3,184,400

 
$
192,181

 
$
(20,574
)
Foreign Currency
 
 
 
 
 
 
 
 
 
 
 
 
Foreign Currency Forwards
 
3,722

 
39

 
(15
)
 
1,025

 
40

 
—

Credit
 
 
 
 
 
 
 
 
 
 
 
 
Credit Default Swaps
 
7,275

 
268

 
(222
)
 
12,275

 
150

 
(513
)
Currency/Interest Rate
 
 
 
 
 
 
 
 
 
 
 
 
Foreign Currency Swaps
 
122,425

 
17,079

 
(71
)
 
101,653

 
6,677

 
(712
)
Equity
 
 
 
 
 
 
 
 
 
 
 
 
Total Return Swaps
 
542,294

 
411

 
(10,451
)
 
577,054

 
2,405

 
(19,670
)
Equity Options
 
25,345,369

 
28,668

 
(12,100
)
 
39,735,182

 
26,932

 
(14,210
)
Total Non-Qualifying Hedges
 
$
29,180,485

 
$
249,778

 
$
(31,464
)
 
$
43,611,589

 
$
228,385

 
$
(55,679
)
Total Derivatives (1) 
 
$
29,709,613

 
$
300,655

 
$
(32,849
)
 
$
43,902,689

 
$
243,118

 
$
(58,687
)
(1)
Excludes embedded derivatives and associated reinsurance recoverables which contain multiple underlyings. The fair value of the embedded derivatives related to living benefit feature was a net liability of $5,205 million and $4,994 million as of December 31, 2015 and 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 was an asset of $4,594 million and $4,522 million as of December 31, 2015 and 2014, respectively, included in “Reinsurance recoverables.” The fair value of the embedded derivative related to the no-lapse guarantee with UPARC was an asset of $340 million and $376 million as of December 31, 2015 and 2014, respectively, included in “Reinsurance recoverables.” The fair value of the reinsurance related to the living benefits guarantee with Union Hamilton Reinsurance, Ltd., an external counterparty, was an asset of $7 million as of December 31, 2015 included in "Reinsurance recoverables." See Note 12 for additional information on the affiliated reinsurance agreements in "Reinsurance with Affiliates.
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 Consolidated 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 Consolidated Statements of Financial Position.
 
 
December 31, 2015
 
 
Gross
Amounts of
Recognized
Financial
Instruments
 
Gross
Amounts
Offset in the Consolidated
Statement of
Financial
Position
 
Net
Amounts
Presented in
the Consolidated Statement
of Financial
Position
 
Financial
Instruments/
Collateral(1)
 
Net Amount
 
 
(in thousands)
Offsetting of Financial Assets:
 
 
 
 
 
 
 
 
 
 
Derivatives(1)
 
$
297,371

 
$
(230,554
)
 
$
66,817

 
$
(15,157
)
 
$
51,660

Securities purchased under agreement to resell
 
156,064

 
—

 
156,064

 
(156,064
)
 
—

Total Assets
 
$
453,435

 
$
(230,554
)
 
$
222,881

 
$
(171,221
)
 
$
51,660

Offsetting of Financial Liabilities:
 
 
 
 
 
 
 
 
 
 
Derivatives(1)
 
$
32,849

 
$
(32,849
)
 
$
—

 
$
—

 
$
—

Securities sold under agreement to repurchase
 
—

 
—

 
—

 
—

 
—

Total Liabilities
 
$
32,849

 
$
(32,849
)
 
$
—

 
$
—

 
$
—

 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2014
 
 
Gross
Amounts of
Recognized
Financial
Instruments
 
Gross
Amounts
Offset in the Consolidated
Statement of
Financial
Position
 
Net
Amounts
Presented in
the Consolidated Statement
of Financial
Position
 
Financial
Instruments/
Collateral(1)
 
Net Amount
 
 
(in thousands)
Offsetting of Financial Assets:
 
 
 
 
 
 
 
 
 
 
Derivatives(1)
 
$
242,523

 
$
(215,066
)
 
$
27,457

 
$
(7,194
)
 
$
20,263

Securities purchased under agreement to resell
 
93,633

 
—

 
93,633

 
(93,633
)
 
—

Total Assets
 
$
336,156

 
$
(215,066
)
 
$
121,090

 
$
(100,827
)
 
$
20,263

Offsetting of Financial Liabilities:
 
 
 
 
 
 
 
 
 
 
Derivatives(1)
 
$
58,687

 
$
(58,687
)
 
$
—

 
$
—

 
$
—

Securities sold under agreement to repurchase
 
—

 
—

 
—

 
—

 
—

Total Liabilities
 
$
58,687

 
$
(58,687
)
 
$
—

 
$
—

 
$
—

(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 Consolidated 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 Consolidated Statements of Financial Position.
 
 
December 31, 2015
 
 
Gross
Amounts of
Recognized
Financial
Instruments
 
Gross
Amounts
Offset in the Consolidated
Statement of
Financial
Position
 
Net
Amounts
Presented in
the Consolidated Statement
of Financial
Position
 
Financial
Instruments/
Collateral(1)
 
Net Amount
 
 
(in thousands)
Offsetting of Financial Assets:
 
 
 
 
 
 
 
 
 
 
Derivatives(1)
 
$
297,371

 
$
(230,554
)
 
$
66,817

 
$
(15,157
)
 
$
51,660

Securities purchased under agreement to resell
 
156,064

 
—

 
156,064

 
(156,064
)
 
—

Total Assets
 
$
453,435

 
$
(230,554
)
 
$
222,881

 
$
(171,221
)
 
$
51,660

Offsetting of Financial Liabilities:
 
 
 
 
 
 
 
 
 
 
Derivatives(1)
 
$
32,849

 
$
(32,849
)
 
$
—

 
$
—

 
$
—

Securities sold under agreement to repurchase
 
—

 
—

 
—

 
—

 
—

Total Liabilities
 
$
32,849

 
$
(32,849
)
 
$
—

 
$
—

 
$
—

 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2014
 
 
Gross
Amounts of
Recognized
Financial
Instruments
 
Gross
Amounts
Offset in the Consolidated
Statement of
Financial
Position
 
Net
Amounts
Presented in
the Consolidated Statement
of Financial
Position
 
Financial
Instruments/
Collateral(1)
 
Net Amount
 
 
(in thousands)
Offsetting of Financial Assets:
 
 
 
 
 
 
 
 
 
 
Derivatives(1)
 
$
242,523

 
$
(215,066
)
 
$
27,457

 
$
(7,194
)
 
$
20,263

Securities purchased under agreement to resell
 
93,633

 
—

 
93,633

 
(93,633
)
 
—

Total Assets
 
$
336,156

 
$
(215,066
)
 
$
121,090

 
$
(100,827
)
 
$
20,263

Offsetting of Financial Liabilities:
 
 
 
 
 
 
 
 
 
 
Derivatives(1)
 
$
58,687

 
$
(58,687
)
 
$
—

 
$
—

 
$
—

Securities sold under agreement to repurchase
 
—

 
—

 
—

 
—

 
—

Total Liabilities
 
$
58,687

 
$
(58,687
)
 
$
—

 
$
—

 
$
—

(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, 2015
 
 
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
 
$
—

 
$
3,297

 
$
1,879

 
$
36,686

Total qualifying hedges
 
—

 
3,297

 
1,879

 
36,686

Derivatives Not Qualifying as Hedge Accounting Instruments:
 
 
 
 
 
 
 
 
Interest Rate
 
77,158

 
—

 
—

 
—

Currency
 
211

 
—

 
—

 
—

Currency/Interest Rate
 
11,533

 
—

 
209

 
—

Credit
 
90

 
—

 
—

 
—

Equity
 
(35,276
)
 
—

 
—

 
—

Embedded Derivatives
 
(274,008
)
 
—

 
—

 
—

Total non-qualifying hedges
 
(220,292
)
 
—

 
209

 
—

Total
 
$
(220,292
)
 
$
3,297

 
$
2,088

 
$
36,686

  
 
Year Ended December 31, 2014
 
 
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
 
$
—

 
$
1,027

 
$
908

 
$
16,286

Total qualifying hedges
 
—

 
1,027

 
908

 
16,286

Derivatives Not Qualifying as Hedge Accounting Instruments:
 
 
 
 
 
 
 
 
Interest Rate
 
350,946

 
—

 
—

 
—

Currency
 
86

 
—

 
—

 
—

Currency/Interest Rate
 
14,344

 
—

 
126

 
—

Credit
 
2

 
—

 
—

 
—

Equity
 
(65,424
)
 
—

 
—

 
—

Embedded Derivatives
 
(209,398
)
 
—

 
—

 
—

Total non-qualifying hedges
 
90,556

 
—

 
126

 
—

Total
 
$
90,556

 
$
1,027

 
$
1,034

 
$
16,286


 
 
Year Ended December 31, 2013
 
 
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
 
$
—

 
$
1,029

 
$
(794
)
 
$
(4,848
)
Total qualifying hedges
 
—

 
1,029

 
(794
)
 
(4,848
)
Derivatives Not Qualifying as Hedge Accounting Instruments:
 
 
 
 
 
 
 
 
Interest Rate
 
(191,954
)
 
—

 
—

 
—

Currency
 
51

 
—

 
—

 
—

Currency/Interest Rate
 
(3,450
)
 
—

 
(17
)
 
—

Credit
 
(1,106
)
 
—

 
—

 
—

Equity
 
(130,714
)
 
—

 
—

 
—

Embedded Derivatives
 
274,374

 
—

 
—

 
—

Total non-qualifying hedges
 
(52,799
)
 
—

 
(17
)
 
—

Total
 
$
(52,799
)
 
$
1,029

 
$
(811
)
 
$
(4,848
)
(1)
Amounts deferred 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 “Accumulated other comprehensive income (loss)” before taxes:
 
(in thousands)    
Balance, December 31, 2012
$
147

Net deferred gains (losses) on cash flow hedges from January 1 to December 31, 2013
(4,519
)
Amount reclassified into current period earnings
(329
)
 
 
Balance, December 31, 2013
(4,701
)
Net deferred gains (losses) on cash flow hedges from January 1 to December 31, 2014
22,880

Amount reclassified into current period earnings
(6,594
)
 
 
Balance, December 31, 2014
11,585

Net deferred gains (losses) on cash flow hedges from January 1 to December 31, 2015
40,972

Amount reclassified into current period earnings
(4,286
)
 
 
Balance, December 31, 2015
$
48,271