Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2016

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, 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.

	March 31, 2016							December 31, 2015
			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
Foreign Currency Swaps	$	574,628	$	40,661	$	(10,626	)	$	529,128	$	50,877	$	(1,385	)
Total Qualifying Hedges	$	574,628	$	40,661	$	(10,626	)	$	529,128	$	50,877	$	(1,385	)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Swaps	$	2,797,400	$	381,028	$	(6,443	)	$	3,159,400	$	203,313	$	(8,605	)
Foreign Currency
Foreign Currency Forwards	3,756		0		(46		)	3,722		39		(15		)
Credit
Credit Default Swaps	7,275		115		(262		)	7,275		268		(222		)
Currency/Interest Rate
Foreign Currency Swaps	132,403		16,160		(336		)	122,425		17,079		(71		)
Equity
Total Return Swaps	533,801		25		(20,135		)	542,294		411		(10,451		)
Equity Options	25,388,907		20,046		(7,187		)	25,345,369		28,668		(12,100		)
Total Non-Qualifying Hedges	$	28,863,542	$	417,374	$	(34,409	)	$	29,180,485	$	249,778	$	(31,464	)
Total Derivatives (1)	$	29,438,170	$	458,035	$	(45,035	)	$	29,709,613	$	300,655	$	(32,849	)

(1) Excludes embedded derivatives and associated reinsurance recoverables which contain multiple underlyings. The fair value of these embedded derivatives was a net liability of $7,099 million and $5,205 million as of March 31, 2016 and December 31, 2015, 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 $6,312 million and $4,594 million as of March 31, 2016 and December 31, 2015, included in “Reinsurance recoverables.” The fair value of the embedded derivative related to the no-lapse guarantee with UPARC was an asset of $394 million and $340 million as of March 31, 2016 and December 31, 2015, 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 $36 million and $7 million as of March 31, 2016 and December 31, 2015, respectively, and is included in "Reinsurance recoverables." See Note 7 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 Unaudited Interim 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 Unaudited Interim Consolidated Statements of Financial Position.

	March 31, 2016
	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)	$	458,021	$	(444,724	)	$	13,297	$	(13,297	)	$	0
Securities purchased under agreement to resell	263,000		0			263,000		(263,000		)	0
Total Assets	$	721,021	$	(444,724	)	$	276,297	$	(276,297	)	$	0
Offsetting of Financial Liabilities:
Derivatives (1)	$	45,035	$	(45,035	)	$	0	$	0		$	0
Securities sold under agreement to repurchase	0		0			0		0			0
Total Liabilities	$	45,035	$	(45,035	)	$	0	$	0		$	0

	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		0			156,064		(156,064		)	0
Total Assets	$	453,435	$	(230,554	)	$	222,881	$	(171,221	)	$	51,660
Offsetting of Financial Liabilities:
Derivatives (1)	$	32,849	$	(32,849	)	$	0	$	0		$	0
Securities sold under agreement to repurchase	0		0			0		0			0
Total Liabilities	$	32,849	$	(32,849	)	$	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 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 Unaudited Interim Consolidated Statements of Financial Position.

	March 31, 2016
	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)	$	458,021	$	(444,724	)	$	13,297	$	(13,297	)	$	0
Securities purchased under agreement to resell	263,000		0			263,000		(263,000		)	0
Total Assets	$	721,021	$	(444,724	)	$	276,297	$	(276,297	)	$	0
Offsetting of Financial Liabilities:
Derivatives (1)	$	45,035	$	(45,035	)	$	0	$	0		$	0
Securities sold under agreement to repurchase	0		0			0		0			0
Total Liabilities	$	45,035	$	(45,035	)	$	0	$	0		$	0

	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		0			156,064		(156,064		)	0
Total Assets	$	453,435	$	(230,554	)	$	222,881	$	(171,221	)	$	51,660
Offsetting of Financial Liabilities:
Derivatives (1)	$	32,849	$	(32,849	)	$	0	$	0		$	0
Securities sold under agreement to repurchase	0		0			0		0			0
Total Liabilities	$	32,849	$	(32,849	)	$	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 March 31, 2016
	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		$	1,405	$	(1,899	)	$	(17,099	)
Total cash flow hedges	0			1,405		(1,899		)	(17,099		)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	189,927			0		0			0
Currency	(126		)	0		0			0
Currency/Interest Rate	(1,095		)	0		(10		)	0
Credit	(241		)	0		0			0
Equity	(3,314		)	0		0			0
Embedded Derivatives	(115,504		)	0		0			0
Total non-qualifying hedges	69,647			0		(10		)	0
Total	$	69,647		$	1,405	$	(1,909	)	$	(17,099	)

	Three Months Ended March 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	$	0		$	537	$	1,264	$	24,696
Total cash flow hedges	0			537		1,264		24,696
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	115,132			0		0		0
Currency	136			0		0		0
Currency/Interest Rate	8,265			0		135		0
Credit	(75		)	0		0		0
Equity	(15,324		)	0		0		0
Embedded Derivatives	(51,414		)	0		0		0
Total non-qualifying hedges	56,720			0		135		0
Total	$	56,720		$	537	$	1,399	$	24,696

(1) Amounts deferred in AOCI.

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

Presented below is a roll forward of current period cash flow hedges in “Accumulated other comprehensive income (loss)” before taxes:

	(in thousands)
Balance, December 31, 2015	$	48,271
Net deferred gains (losses) on cash flow hedges from January 1 to March 31, 2016	(17,926		)
Amounts reclassified into current period earnings	827
Balance, March 31, 2016	$	31,172