Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 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 which are recorded with the associated host and the related reinsurance recoverables. 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.

	September 30, 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	$	416,534	$	38,224	$	(8,079	)	$	529,128	$	50,877	$	(1,385	)
Total Qualifying Hedges	$	416,534	$	38,224	$	(8,079	)	$	529,128	$	50,877	$	(1,385	)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Swaps	$	101,075	$	13,836	$	(116	)	$	3,159,400	$	203,313	$	(8,605	)
Foreign Currency
Foreign Currency Forwards	11,508		50		(44		)	3,722		39		(15		)
Credit
Credit Default Swaps	3,000		0		(308		)	7,275		268		(222		)
Currency/Interest Rate
Foreign Currency Swaps	46,026		7,439		(146		)	122,425		17,079		(71		)
Equity
Total Return Swaps	0		0		0			542,294		411		(10,451		)
Equity Options	25,548,407		23,311		(6,154		)	25,345,369		28,668		(12,100		)
Total Non-Qualifying Hedges	$	25,710,016	$	44,636	$	(6,768	)	$	29,180,485	$	249,778	$	(31,464	)
Total Derivatives (1)	$	26,126,550	$	82,860	$	(14,847	)	$	29,709,613	$	300,655	$	(32,849	)

(1) Excludes embedded derivatives and the related reinsurance recoverables which contain multiple underlyings.

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.

	September 30, 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)	$	82,852	$	(14,711	)	$	68,141	$	(68,141	)	$	0
Securities purchased under agreement to resell	24,000		0			24,000		(24,000		)	0
Total Assets	$	106,852	$	(14,711	)	$	92,141	$	(92,141	)	$	0
Offsetting of Financial Liabilities:
Derivatives (1)	$	14,847	$	(14,847	)	$	0	$	0		$	0
Securities sold under agreement to repurchase	0		0			0		0			0
Total Liabilities	$	14,847	$	(14,847	)	$	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.

	September 30, 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)	$	82,852	$	(14,711	)	$	68,141	$	(68,141	)	$	0
Securities purchased under agreement to resell	24,000		0			24,000		(24,000		)	0
Total Assets	$	106,852	$	(14,711	)	$	92,141	$	(92,141	)	$	0
Offsetting of Financial Liabilities:
Derivatives (1)	$	14,847	$	(14,847	)	$	0	$	0		$	0
Securities sold under agreement to repurchase	0		0			0		0			0
Total Liabilities	$	14,847	$	(14,847	)	$	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 September 30, 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		$	855	$	(828	)	$	(6,848	)
Total cash flow hedges	0			855		(828		)	(6,848		)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(628		)	0		0			0
Currency	146			0		0			0
Currency/Interest Rate	1,408			0		6			0
Credit	(157		)	0		0			0
Equity	2,063			0		0			0
Embedded Derivatives	(10,739		)	0		0			0
Total non-qualifying hedges	(7,907		)	0		6			0
Total	$	(7,907	)	$	855	$	(822	)	$	(6,848	)

	Nine Months Ended September 30, 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		$	3,143	$	(1,072	)	$	(16,976	)
Total cash flow hedges	0			3,143		(1,072		)	(16,976		)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	191,250			0		0			0
Currency	1,031			0		0			0
Currency/Interest Rate	8,243			0		(51		)	0
Credit	(524		)	0		0			0
Equity	(3,177		)	0		0			0
Embedded Derivatives	607,264			0		0			0
Total non-qualifying hedges	804,087			0		(51		)	0
Total	$	804,087		$	3,143	$	(1,123	)	$	(16,976	)

	Three Months Ended September 30, 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		$	845	$	2,135	$	15,774
Total cash flow hedges	0			845		2,135		15,774
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	150,414			0		0		0
Currency	65			0		0		0
Currency/Interest Rate	5,733			0		55		0
Credit	300			0		0		0
Equity	39,537			0		0		0
Embedded Derivatives	(204,205		)	0		0		0
Total non-qualifying hedges	(8,156		)	0		55		0
Total	$	(8,156	)	$	845	$	2,190	$	15,774

	Nine Months Ended September 30, 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		$	2,094	$	2,051	$	28,675
Total cash flow hedges	0			2,094		2,051		28,675
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	101,141			0		0		0
Currency	117			0		0		0
Currency/Interest Rate	10,283			0		153		0
Credit	137			0		0		0
Equity	18,368			0		0		0
Embedded Derivatives	(254,364		)	0		0		0
Total non-qualifying hedges	(124,318		)	0		153		0
Total	$	(124,318	)	$	2,094	$	2,204	$	28,675

(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, 2015	$	48,271
Net deferred gains (losses) on cash flow hedges from January 1 to September 30, 2016	(12,991		)
Amounts reclassified into current period earnings	(3,985		)
Balance, September 30, 2016	$	31,295