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Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 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 and cash collateral.
 
 
December 31, 2019
 
December 31, 2018
Primary Underlying Risk/Instrument Type
 
Gross
Notional
 
Fair Value
 
Gross
Notional
 
Fair Value
 
 
Assets
 
Liabilities
 
 
Assets
 
Liabilities
 
 
(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
 
 
 
 
 
 
 
 
 
 
 
 
Currency/Interest Rate
 
 
 
 
 
 
 
 
 
 
 
 
Interest Rate Swaps
 
$
3,615

 
$
0

 
$
(50
)
 
$
0

 
$
0

 
$
0

Foreign Currency Swaps
 
773,933

 
36,551

 
(12,471
)
 
719,476

 
38,333

 
(16,638
)
Total Derivatives Designated as Hedge Accounting Instruments
 
$
777,548

 
$
36,551

 
$
(12,521
)
 
$
719,476

 
$
38,333

 
$
(16,638
)
Derivatives Not Qualifying as Hedge Accounting Instruments:
 
 
 
 
 
 
 
 
 
 
 
 
Interest Rate
 
 
 
 
 
 
 
 
 
 
 
 
Interest Rate Swaps
 
$
569,925

 
$
33,256

 
$
(4,490
)
 
$
246,925

 
$
15,665

 
$
(3,174
)
Foreign Currency
 
 
 
 
 
 
 
 
 
 
 
 
Foreign Currency Forwards
 
21,580

 
0

 
(518
)
 
23,043

 
277

 
(20
)
Credit
 
 
 
 
 
 
 
 
 
 
 
 
Credit Default Swaps
 
0

 
0

 
0

 
756

 
0

 
(9
)
Currency/Interest Rate
 
 
 
 
 
 
 
 
 
 
 
 
Foreign Currency Swaps
 
151,792

 
7,563

 
(1,892
)
 
98,363

 
6,303

 
(2,109
)
Equity
 
 
 
 
 
 
 
 
 
 
 
 
Equity Options
 
2,680,048

 
174,398

 
(78,381
)
 
1,981,693

 
17,312

 
(4,912
)
Total Derivatives Not Qualifying as Hedge Accounting Instruments
 
$
3,423,345

 
$
215,217

 
$
(85,281
)
 
$
2,350,780

 
$
39,557

 
$
(10,224
)
Total Derivatives (1)(2)
 
$
4,200,893

 
$
251,768

 
$
(97,802
)
 
$
3,070,256

 
$
77,890

 
$
(26,862
)
(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 $8,530 million and $5,589 million as of December 31, 2019 and 2018, respectively included in "Future policy benefits" and $962 million and $13 million as of December 31, 2019 and 2018, respectively included in "Policyholders' account balances". The fair value of the related reinsurance, included in "Reinsurance recoverables" or "Other liabilities" was an asset of $8,540 million and $5,600 million as of December 31, 2019 and 2018, respectively.
(2)
Recorded in “Other invested assets” and “Other liabilities” on the 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 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, 2019
 
 
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)
 
$
251,765

 
$
(239,220
)
 
$
12,545

 
$
(12,545
)
 
$
0

Securities purchased under agreements to resell
 
0

 
0

 
0

 
0

 
0

Total Assets
 
$
251,765

 
$
(239,220
)
 
$
12,545

 
$
(12,545
)
 
$
0

Offsetting of Financial Liabilities:
 
 
 
 
 
 
 
 
 
 
Derivatives(1)
 
$
97,802

 
$
(97,802
)
 
$
0

 
$
0

 
$
0

Securities sold under agreements to repurchase
 
0

 
0

 
0

 
0

 
0

Total Liabilities
 
$
97,802

 
$
(97,802
)
 
$
0

 
$
0

 
$
0

 
 
December 31, 2018
 
 
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)
 
$
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 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, 2019
 
 
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)
 
$
251,765

 
$
(239,220
)
 
$
12,545

 
$
(12,545
)
 
$
0

Securities purchased under agreements to resell
 
0

 
0

 
0

 
0

 
0

Total Assets
 
$
251,765

 
$
(239,220
)
 
$
12,545

 
$
(12,545
)
 
$
0

Offsetting of Financial Liabilities:
 
 
 
 
 
 
 
 
 
 
Derivatives(1)
 
$
97,802

 
$
(97,802
)
 
$
0

 
$
0

 
$
0

Securities sold under agreements to repurchase
 
0

 
0

 
0

 
0

 
0

Total Liabilities
 
$
97,802

 
$
(97,802
)
 
$
0

 
$
0

 
$
0

 
 
December 31, 2018
 
 
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)
 
$
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.
  
 
Year Ended December 31, 2019
 
 
Realized
Investment
Gains (Losses)
 
Net
Investment
Income
 
Other
Income
 
AOCI (1)
 
 
(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
 
 
 
 
 
 
 
 
Cash flow hedges
 
 
 
 
 
 
 
 
Interest Rate
 
$
0

 
$
0

 
$
0

 
$
(50
)
Currency/Interest Rate
 
425

 
9,007

 
(1,698
)
 
4,081

Total cash flow hedges
 
425

 
9,007

 
(1,698
)
 
4,031

Derivatives Not Qualifying as Hedge Accounting Instruments:
 
 
 
 
 
 
 
 
Interest Rate
 
18,609

 
0

 
0

 
0

Currency
 
20

 
0

 
0

 
0

Currency/Interest Rate
 
3,485

 
0

 
(5
)
 
0

Credit
 
(1
)
 
0

 
0

 
0

Equity
 
74,068

 
0

 
0

 
0

Embedded Derivatives
 
(256,974
)
 
0

 
0

 
0

Total Derivatives Not Qualifying as Hedge Accounting Instruments
 
(160,793
)
 
0

 
(5
)
 
0

Total
 
$
(160,368
)
 
$
9,007

 
$
(1,703
)
 
$
4,031

  
 
Year Ended December 31, 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
 
$
(997
)
 
$
6,819

 
$
10,066

 
$
39,801

Total cash flow hedges
 
(997
)
 
6,819

 
10,066

 
39,801

Derivatives Not Qualifying as Hedge Accounting Instruments:
 
 
 
 
 
 
 
 
Interest Rate
 
(7,688
)
 
0

 
0

 
0

Currency
 
1,475

 
0

 
0

 
0

Currency/Interest Rate
 
6,395

 
0

 
44

 
0

Credit
 
(2
)
 
0

 
0

 
0

Equity
 
(27,212
)
 
0

 
0

 
0

Embedded Derivatives
 
(126,179
)
 
0

 
0

 
0

Total Derivatives Not Qualifying as Hedge Accounting Instruments
 
(153,211
)
 
0

 
44

 
0

Total
 
$
(154,208
)
 
$
6,819

 
$
10,110

 
$
39,801

 
 
Year Ended December 31, 2017(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
 
$
1,061

 
$
6,071

 
$
(8,234
)
 
$
(58,609
)
Total cash flow hedges
 
1,061

 
6,071

 
(8,234
)
 
(58,609
)
Derivatives Not Qualifying as Hedge Accounting Instruments:
 
 
 
 
 
 
 
 
Interest Rate
 
(1,565
)
 
0

 
0

 
0

Currency
 
(1,316
)
 
0

 
0

 
0

Currency/Interest Rate
 
(8,306
)
 
0

 
(71
)
 
0

Credit
 
(46
)
 
0

 
0

 
0

Equity
 
30,466

 
0

 
0

 
0

Embedded Derivatives
 
(126,919
)
 
0

 
0

 
0

Total Derivatives Not Qualifying as Hedge Accounting Instruments
 
(107,686
)
 
0

 
(71
)
 
0

Total
 
$
(106,625
)
 
$
6,071

 
$
(8,305
)
 
$
(58,609
)

(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, 2016
$
40,931

Amount recorded in AOCI
 
Currency/Interest Rate
(59,712
)
Total amount recorded in AOCI
(59,712
)
Amount reclassified from AOCI to income
 
Currency/Interest Rate
1,103

Total amount reclassified from AOCI to income
1,103

Balance, December 31, 2017
$
(17,678
)
Amount recorded in AOCI
 
Currency/Interest Rate
55,689

Total amount recorded in AOCI
55,689

Amount reclassified from AOCI to income
 
Currency/Interest Rate
(15,889
)
Total amount reclassified from AOCI to income
(15,889
)
Balance, December 31, 2018
$
22,122

Cumulative-effect adjustment from the adoption of ASU 2017-12(1)
(27
)
Amount recorded in AOCI
 
Interest Rate
(50
)
Currency/Interest Rate
11,815

Total amount recorded in AOCI
11,765

Amount reclassified from AOCI to income
 
Currency/Interest Rate
(7,734
)
Total amount reclassified from AOCI to income
(7,734
)
Balance, December 31, 2019
$
26,126


(1)
See Note 2 for details.