Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 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.

	June 30, 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	$	3,557	$	233	$	0		$	3,615	$	0	$	(50	)
Foreign Currency Swaps	795,871		97,822		(403		)	773,933		36,551		(12,471		)
Total Derivatives Designated as Hedge Accounting Instruments	$	799,428	$	98,055	$	(403	)	$	777,548	$	36,551	$	(12,521	)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Swaps	$	568,050	$	71,613	$	(13,849	)	$	569,925	$	33,256	$	(4,490	)
Foreign Currency
Foreign Currency Forwards	38,421		40		(704		)	21,580		0		(518		)
Credit
Credit Default Swaps	2,313		29		0			0		0		0
Currency/Interest Rate
Foreign Currency Swaps	136,770		19,336		(14		)	151,792		7,563		(1,892		)
Equity
Equity Options	2,990,475		128,092		(59,381		)	2,680,048		174,398		(78,381		)
Total Derivatives Not Qualifying as Hedge Accounting Instruments	$	3,736,029	$	219,110	$	(73,948	)	$	3,423,345	$	215,217	$	(85,281	)
Total Derivatives(1)(2)	$	4,535,457	$	317,165	$	(74,351	)	$	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 $19,014 million and $8,530 million as of June 30, 2020 and December 31, 2019, respectively included in "Future policy benefits" and $1,045 million and $962 million as of June 30, 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 $19,028 million and $8,540 million as of June 30, 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.

	June 30, 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)	$	317,165	$	(281,406	)	$	35,759	$	(34,768	)	$	991
Securities purchased under agreements to resell	139,384		0			139,384		(139,384		)	0
Total Assets	$	456,549	$	(281,406	)	$	175,143	$	(174,152	)	$	991
Offsetting of Financial Liabilities:
Derivatives(1)	$	74,351	$	(74,351	)	$	0	$	0		$	0
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	74,351	$	(74,351	)	$	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.

	June 30, 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)	$	317,165	$	(281,406	)	$	35,759	$	(34,768	)	$	991
Securities purchased under agreements to resell	139,384		0			139,384		(139,384		)	0
Total Assets	$	456,549	$	(281,406	)	$	175,143	$	(174,152	)	$	991
Offsetting of Financial Liabilities:
Derivatives(1)	$	74,351	$	(74,351	)	$	0	$	0		$	0
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	74,351	$	(74,351	)	$	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 June 30, 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	$	0		$	1	$	0		$	27
Currency/Interest Rate	387			2,745		(3,687		)	(30,356		)
Total cash flow hedges	387			2,746		(3,687		)	(30,329		)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(796		)	0		0			0
Currency	(444		)	0		0			0
Currency/Interest Rate	(4,662		)	0		(10		)	0
Credit	(225		)	0		0			0
Equity	42,826			0		0			0
Embedded Derivatives	(113,439		)	0		0			0
Total Derivatives Not Qualifying as Hedge Accounting Instruments	(76,740		)	0		(10		)	0
Total	$	(76,353	)	$	2,746	$	(3,697	)	$	(30,329	)

	Six Months Ended June 30, 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	$	(44	)	$	(2	)	$	0	$	327
Currency/Interest Rate	771			5,374			5,141		67,414
Total cash flow hedges	727			5,372			5,141		67,741
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	29,709			0			0		0
Currency	1,027			0			0		0
Currency/Interest Rate	14,671			0			48		0
Credit	(225		)	0			0		0
Equity	(32,118		)	0			0		0
Embedded Derivatives	3,313			0			0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments	16,377			0			48		0
Total	$	17,104		$	5,372		$	5,189	$	67,741

	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

(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	281
Currency/Interest Rate	78,700
Total amount recorded in AOCI	78,981
Amount reclassified from AOCI to income
Interest Rate	46
Currency/Interest Rate	(11,286		)
Total amount reclassified from AOCI to income	(11,240		)
Balance, June 30, 2020	$	93,867