Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2020

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.

	March 31, 2020							December 31, 2019
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
Interest Rate Swaps	$	3,592	$	205	$	0		$	3,615	$	0	$	(50	)
Foreign Currency Swaps	792,449		131,174		(12		)	773,933		36,551		(12,471		)
Total Derivatives Designated as Hedge Accounting Instruments	$	796,041	$	131,379	$	(12	)	$	777,548	$	36,551	$	(12,521	)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Swaps	$	569,925	$	73,669	$	(15,394	)	$	569,925	$	33,256	$	(4,490	)
Foreign Currency
Foreign Currency Forwards	28,478		996		(98		)	21,580		0		(518		)
Credit
Credit Default Swaps	0		0		0			0		0		0
Currency/Interest Rate
Foreign Currency Swaps	140,700		24,412		0			151,792		7,563		(1,892		)
Equity
Equity Options	2,855,249		25,441		(8,014		)	2,680,048		174,398		(78,381		)
Total Derivatives Not Qualifying as Hedge Accounting Instruments	$	3,594,352	$	124,518	$	(23,506	)	$	3,423,345	$	215,217	$	(85,281	)
Total Derivatives(1)(2)	$	4,390,393	$	255,897	$	(23,518	)	$	4,200,893	$	251,768	$	(97,802	)

(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 $20,196 million and $8,530 million as of March 31, 2020 and December 31, 2019, respectively included in "Future policy benefits" and $900 million and $962 million as of March 31, 2020 and December 31, 2019, respectively included in "Policyholders' account balances". The fair value of the related reinsurance, included in "Reinsurance recoverables" or "Other liabilities" was an asset of $20,215 million and $8,540 million as of March 31, 2020 and December 31, 2019, respectively.

(2)

Recorded in “Other invested assets” and “Payables to parent and affiliates” 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.

	March 31, 2020
	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)	$	255,893	$	(224,876	)	$	31,017	$	(31,017	)	$	0
Securities purchased under agreements to resell	0		0			0		0			0
Total Assets	$	255,893	$	(224,876	)	$	31,017	$	(31,017	)	$	0
Offsetting of Financial Liabilities:
Derivatives(1)	$	23,518	$	(23,518	)	$	0	$	0		$	0
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	23,518	$	(23,518	)	$	0	$	0		$	0

	December 31, 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)	$	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

(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, 2020
	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)	$	255,893	$	(224,876	)	$	31,017	$	(31,017	)	$	0
Securities purchased under agreements to resell	0		0			0		0			0
Total Assets	$	255,893	$	(224,876	)	$	31,017	$	(31,017	)	$	0
Offsetting of Financial Liabilities:
Derivatives(1)	$	23,518	$	(23,518	)	$	0	$	0		$	0
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	23,518	$	(23,518	)	$	0	$	0		$	0

	December 31, 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)	$	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

(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, 2020
	Realized Investment Gains (Losses)			Net Investment Income			Other Income		AOCI(1)
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Interest Rate	$	(45	)	$	(3	)	$	0	$	300
Currency/Interest Rate	384			2,629			8,828		97,770
Total cash flow hedges	339			2,626			8,828		98,070
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	30,506			0			0		0
Currency	1,471			0			0		0
Currency/Interest Rate	19,333			0			58		0
Credit	0			0			0		0
Equity	(74,944		)	0			0		0
Embedded Derivatives	116,752			0			0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments	93,118			0			58		0
Total	$	93,457		$	2,626		$	8,886	$	98,070

	Three Months Ended March 31, 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	$	(160	)	$	2,069	$	(1,515	)	$	(6,654	)
Total cash flow hedges	(160		)	2,069		(1,515		)	(6,654		)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	7,616			0		0			0
Currency	(20		)	0		0			0
Currency/Interest Rate	1,430			0		1			0
Credit	(1		)	0		0			0
Equity	28,863			0		0			0
Embedded Derivatives	(82,205		)	0		0			0
Total Derivatives Not Qualifying as Hedge Accounting Instruments	(44,317		)	0		1			0
Total	$	(44,477	)	$	2,069	$	(1,514	)	$	(6,654	)

(1)

Net change 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 AOCI before taxes:

	(in thousands)
Balance, December 31, 2019	$	26,126
Amount recorded in AOCI
Interest Rate	252
Currency/Interest Rate	109,611
Total amount recorded in AOCI	109,863
Amount reclassified from AOCI to income
Interest Rate	48
Currency/Interest Rate	(11,841		)
Total amount reclassified from AOCI to income	(11,793		)
Balance, March 31, 2020	$	124,196