Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2019

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, cash collateral, and NPR.

	June 30, 2019							December 31, 2018
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	$	751,074	$	43,962	$	(15,484	)	$	719,476	$	38,333	$	(16,638	)
Total Derivatives Designated as Hedge Accounting Instruments	$	751,074	$	43,962	$	(15,484	)	$	719,476	$	38,333	$	(16,638	)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Swaps	$	596,925	$	31,580	$	(4,511	)	$	246,925	$	15,665	$	(3,174	)
Foreign Currency
Foreign Currency Forwards	27,935		262		(100		)	23,043		277		(20		)
Credit
Credit Default Swaps	0		0		0			756		0		(9		)
Currency/Interest Rate
Foreign Currency Swaps	128,088		7,836		(1,244		)	98,363		6,303		(2,109		)
Equity
Equity Options	2,306,848		98,700		(32,489		)	1,981,693		17,312		(4,912		)
Total Derivatives Not Qualifying as Hedge Accounting Instruments	$	3,059,796	$	138,378	$	(38,344	)	$	2,350,780	$	39,557	$	(10,224	)
Total Derivatives(1)(2)	$	3,810,870	$	182,340	$	(53,828	)	$	3,070,256	$	77,890	$	(26,862	)

(1) Excludes embedded derivatives and associated reinsurance recoverables which contain multiple underlying risks.

(2)

Recorded in “Other invested assets” and “Other liabilities” on the Unaudited Interim Consolidated 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 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.

	June 30, 2019
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Consolidated Statements of Financial Position			Net Amounts Presented in the Consolidated Statements of Financial Position		Financial Instruments/ Collateral (1)			Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives(1)	$	182,336	$	(163,984	)	$	18,352	$	(18,352	)	$	0
Securities purchased under agreements to resell	16,000		0			16,000		(16,000		)	0
Total Assets	$	198,336	$	(163,984	)	$	34,352	$	(34,352	)	$	0
Offsetting of Financial Liabilities:
Derivatives(1)	$	53,828	$	(53,828	)	$	0	$	0		$	0
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	53,828	$	(53,828	)	$	0	$	0		$	0

	December 31, 2018
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Consolidated Statements of Financial Position			Net Amounts Presented in the Consolidated Statements of Financial Position		Financial Instruments/ Collateral (1)			Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives(1)	$	77,887	$	(27,078	)	$	50,809	$	(7,307	)	$	43,502
Securities purchased under agreements to resell	143,000		0			143,000		(143,000		)	0
Total Assets	$	220,887	$	(27,078	)	$	193,809	$	(150,307	)	$	43,502
Offsetting of Financial Liabilities:
Derivatives(1)	$	26,862	$	(26,862	)	$	0	$	0		$	0
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	26,862	$	(26,862	)	$	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.

	June 30, 2019
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Consolidated Statements of Financial Position			Net Amounts Presented in the Consolidated Statements of Financial Position		Financial Instruments/ Collateral (1)			Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives(1)	$	182,336	$	(163,984	)	$	18,352	$	(18,352	)	$	0
Securities purchased under agreements to resell	16,000		0			16,000		(16,000		)	0
Total Assets	$	198,336	$	(163,984	)	$	34,352	$	(34,352	)	$	0
Offsetting of Financial Liabilities:
Derivatives(1)	$	53,828	$	(53,828	)	$	0	$	0		$	0
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	53,828	$	(53,828	)	$	0	$	0		$	0

	December 31, 2018
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Consolidated Statements of Financial Position			Net Amounts Presented in the Consolidated Statements of Financial Position		Financial Instruments/ Collateral (1)			Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives(1)	$	77,887	$	(27,078	)	$	50,809	$	(7,307	)	$	43,502
Securities purchased under agreements to resell	143,000		0			143,000		(143,000		)	0
Total Assets	$	220,887	$	(27,078	)	$	193,809	$	(150,307	)	$	43,502
Offsetting of Financial Liabilities:
Derivatives(1)	$	26,862	$	(26,862	)	$	0	$	0		$	0
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	26,862	$	(26,862	)	$	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, 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	$	(88	)	$	2,211	$	1,482	$	13,316
Total cash flow hedges	(88		)	2,211		1,482		13,316
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	7,682			0		0		0
Currency	343			0		0		0
Currency/Interest Rate	1,673			0		4		0
Credit	0			0		0		0
Equity	12,666			0		0		0
Embedded Derivatives	(72,122		)	0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments	(49,758		)	0		4		0
Total	$	(49,846	)	$	2,211	$	1,486	$	13,316

	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	$	(248	)	$	4,280	$	(34	)	$	6,662
Total cash flow hedges	(248		)	4,280		(34		)	6,662
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	15,297			0		0			0
Currency	323			0		0			0
Currency/Interest Rate	3,103			0		5			0
Credit	(1		)	0		0			0
Equity	41,529			0		0			0
Embedded Derivatives	(154,326		)	0		0			0
Total Derivatives Not Qualifying as Hedge Accounting Instruments	(94,075		)	0		5			0
Total	$	(94,323	)	$	4,280	$	(29	)	$	6,662

	Three Months Ended June 30, 2018(2)
	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	$	83		$	1,611	$	5,710	$	31,519
Total cash flow hedges	83			1,611		5,710		31,519
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(3,126		)	0		0		0
Currency	1,221			0		0		0
Currency/Interest Rate	4,844			0		38		0
Credit	0			0		0		0
Equity	7,581			0		0		0
Embedded Derivatives	(44,051		)	0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments	(33,531		)	0		38		0
Total	$	(33,448	)	$	1,611	$	5,748	$	31,519

	Six Months Ended June 30, 2018(2)
	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	$	(433	)	$	3,149	$	5,046	$	8,657
Total cash flow hedges	(433		)	3,149		5,046		8,657
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(12,526		)	0		0		0
Currency	665			0		0		0
Currency/Interest Rate	1,509			0		15		0
Credit	(2		)	0		0		0
Equity	2,824			0		0		0
Embedded Derivatives	(74,678		)	0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments	(82,208		)	0		15		0
Total	$	(82,641	)	$	3,149	$	5,061	$	8,657

(1) Net change in AOCI.

(2) Prior period amounts have been updated to conform to current period presentation.

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, 2018	$	22,122
Cumulative-effect adjustment from the adoption of ASU 2017-12(1)	(27		)
Amount recorded in AOCI
Currency/Interest Rate	10,661
Total amount recorded in AOCI	10,661
Amount reclassified from AOCI to income
Currency/Interest Rate	(3,999		)
Total amount reclassified from AOCI to income	(3,999		)
Balance, June 30, 2019	$	28,757

(1)

See Note 2 for details.