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Derivative Instruments
 9 Months Ended
Sep. 30, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Instruments DERIVATIVES AND HEDGING
Types of Derivative Instruments and Derivative Strategies

The Company utilizes various derivative instruments and strategies to manage its risk. Commonly used derivative instruments include, but are not necessarily limited to:
•Interest rate contracts: futures, swaps, options, caps and floors
•Equity contracts: futures, options and total return swaps
•Foreign exchange contracts: futures, options, forwards and swaps
•Credit contracts: single and index reference credit default swaps

Other types of financial contracts that the Company accounts for as derivatives include:
•Embedded derivatives and synthetic guaranteed investment contracts (“GICs”)

For detailed information on these contracts and the related strategies, see Note 4 to the Consolidated Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2023.
Primary Risks Managed by Derivatives

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.
 September 30, 2024December 31, 2023
Primary Underlying Risk/Instrument Type Fair Value Fair Value
Gross NotionalAssetsLiabilitiesGross NotionalAssetsLiabilities
 (in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Currency/Interest Rate
Interest Rate Swaps$2,897 $135 $(330)$3,064 $0 $(238)
Foreign Currency Swaps2,925,541 124,783 (74,826)2,274,636 121,243 (54,044)
Total Derivatives Designated as Hedge Accounting Instruments$2,928,438 $124,918 $(75,156)$2,277,700 $121,243 $(54,282)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Swaps$170,060,664 $6,211,118 $(17,190,863)$163,179,764 $6,605,817 $(17,820,436)
Interest Rate Futures931,500 3,371 (907)1,332,600 3,055 (210)
Interest Rate Options29,328,000 159,714 (963,537)29,738,000 189,112 (969,718)
Interest Rate Forwards1,458,000 16,690 (19,240)1,458,000 741 (3,196)
Foreign Currency
Foreign Currency Forwards910,981 215(13,658)744,576 1,772 (12,232)
Credit
Credit Default Swaps945,6418,1100 643,280 7,727 0 
Currency/Interest Rate
Foreign Currency Swaps2,255,07471,157(34,591)2,237,331 96,618 (31,294)
Equity
Total Return Swaps18,213,679 884,499 (1,056,653)15,049,993 418,084 (803,452)
Equity Options84,822,485 4,131,807 (2,682,831)49,247,510 1,600,335 (1,552,706)
Equity Futures860,469 2,310 (294)418,973 1,232 (500)
Synthetic GICs1,213,038 794 (694)311,302 1 0 
Total Derivatives Not Qualifying as Hedge Accounting Instruments$310,999,531 $11,489,785 $(21,963,268)$264,361,329 $8,924,494 $(21,193,744)
Total Derivatives(1)(2)$313,927,969 $11,614,703 $(22,038,424)$266,639,029 $9,045,737 $(21,248,026)
(1)Excludes embedded derivatives which contain multiple underlying risks. The fair value of these embedded derivatives was a net liability of $11,170 million and $7,402 million as of September 30, 2024 and December 31, 2023, respectively, primarily included in "Policyholders' account balances".
(2)Recorded in “Other invested assets” and “Payables to parent and affiliates” on the Unaudited Interim Consolidated Statements of Financial Position.
Offsetting Assets and 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, 2024
 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$11,613,891 $(11,606,316)$7,575 $0 $7,575 
Securities purchased under agreements to resell275,000 0 275,000 0 275,000 
Total Assets$11,888,891 $(11,606,316)$282,575 $0 $282,575 
Offsetting of Financial Liabilities:
Derivatives$22,037,730 $(20,039,444)$1,998,286 $(1,998,286)$0 
Securities sold under agreements to repurchase0 0 0 0 0 
Total Liabilities$22,037,730 $(20,039,444)$1,998,286 $(1,998,286)$0 

 December 31, 2023
 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$9,045,718 $(9,028,019)$17,699 $0 $17,699 
Securities purchased under agreements to resell25,000 0 25,000 0 25,000 
Total Assets$9,070,718 $(9,028,019)$42,699 $0 $42,699 
Offsetting of Financial Liabilities:
Derivatives$21,248,026 $(18,596,679)$2,651,347 $(2,651,347)$0 
Securities sold under agreements to repurchase0 0 0 0 0 
Total Liabilities$21,248,026 $(18,596,679)$2,651,347 $(2,651,347)$0 
(1)Amounts exclude the excess of collateral received/pledged from/to the counterparty.

For information regarding the rights of offset associated with the derivative assets and liabilities in the table above see “Credit Risk” below and Note 14. For securities purchased under agreements to resell and securities sold under agreements to repurchase, the Company monitors the value of the securities and maintains collateral, as appropriate, to protect against credit exposure. Where the Company has entered into repurchase and resale agreements with the same counterparty, in the event of default, the Company would generally be permitted to exercise rights of offset. For additional information on the Company’s accounting policy for securities repurchase and resale agreements, see Note 2 to the Consolidated Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2023.
Cash Flow Hedges

The primary derivative instruments used by the Company in its cash flow hedge accounting relationships are currency swaps and interest rate swaps. These instruments are only designated for hedge accounting in instances where the appropriate criteria are met. The Company does not use futures, options, credit, or equity derivatives in any of its cash flow hedge accounting relationships.

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, 2024
 Realized
Investment
Gains (Losses)		Change in Value of Market Risk Benefits, Net of Related Hedging Gain (Loss)Net
Investment
Income		Other
Income		Change in AOCI
 (in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Interest Rate$1 $0 $(30)$0 $79 
Currency/Interest Rate5,179 0 12,517 (37,547)(73,638)
Total cash flow hedges5,180 0 12,487 (37,547)(73,559)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate11,635 580,493 0 0 0 
Currency(35,766)0 0 0 0 
Currency/Interest Rate(52,675)0 0 (411)0 
Credit5,128 0 0 0 0 
Equity618,400 (319,291)0 0 0 
Embedded Derivatives(1,100,919)0 0 0 0 
Total Derivatives Not Qualifying as Hedge Accounting Instruments(554,197)261,202 0 (411)0 
Total$(549,017)$261,202 $12,487 $(37,958)$(73,559)
 Nine Months Ended September 30, 2024
 Realized
Investment
Gains (Losses)		Change in Value of Market Risk Benefits, Net of Related Hedging Gain (Loss)Net
Investment
Income		Other
Income		Change in AOCI
 (in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Interest Rate$2 $0 $(92)$0 $69 
Currency/Interest Rate4,503 0 35,386 (23,943)(10,269)
Total cash flow hedges4,505 0 35,294 (23,943)(10,200)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate84,144 (685,958)0 0 0 
Currency(14,360)0 0 0 0 
Currency/Interest Rate(19,144)0 0 (289)0 
Credit12,647 0 0 0 0 
Equity2,641,411 (808,221)0 0 0 
Embedded Derivatives(2,409,317)0 0 0 0 
Total Derivatives Not Qualifying as Hedge Accounting Instruments295,381 (1,494,179)0 (289)0 
Total$299,886 $(1,494,179)$35,294 $(24,232)$(10,200)

 Three Months Ended September 30, 2023
 
Realized
Investment
Gains (Losses)
Change in Value of Market Risk Benefits, Net of Related Hedging Gain (Loss)
Net
Investment
Income		Other
Income		Change in AOCI
 (in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Interest Rate$1 $0 $(32)$0 $(12)
Currency/Interest Rate(936)0 10,629 19,494 (5,189)
Total cash flow hedges(935)0 10,597 19,494 (5,201)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate53,990 (2,059,987)0 0 0 
Currency20,401 0 0 0 0 
Currency/Interest Rate8,059 0 0 262 0 
Credit(253)0 0 0 0 
Equity(449,655)266,623 0 0 0 
Embedded Derivatives(96,783)0 0 0 0 
Total Derivatives Not Qualifying as Hedge Accounting Instruments(464,241)(1,793,364)0 262 0 
Total$(465,176)$(1,793,364)$10,597 $19,756 $(5,201)
 Nine Months Ended September 30, 2023
 
Realized
Investment
Gains (Losses)
Change in Value of Market Risk Benefits, Net of Related Hedging Gain (Loss)
Net
Investment
Income		Other
Income		Change in AOCI
 (in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Interest Rate$2 $0 $(86)$0 $(13)
Currency/Interest Rate(365)0 33,308 2,041 (44,154)
Total cash flow hedges(363)0 33,222 2,041 (44,167)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate69,702 (2,767,152)0 0 0 
Currency8,375 0 0 0 0 
Currency/Interest Rate(28,263)0 0 62 0 
Credit2,073 0 0 0 0 
Equity694,236 (331,444)0 0 0 
Embedded Derivatives(1,325,493)0 0 0 0 
Total Derivatives Not Qualifying as Hedge Accounting Instruments(579,370)(3,098,596)0 62 0 
Total$(579,733)$(3,098,596)$33,222 $2,103 $(44,167)


Presented below is a rollforward of current period cash flow hedges in AOCI before taxes:
 (in thousands)
Balance, December 31, 2023$11,934 
Amount recorded in AOCI
Interest Rate(21)
Currency/Interest Rate5,677 
Total amount recorded in AOCI5,656 
Amount reclassified from AOCI to income
Interest Rate90 
Currency/Interest Rate(15,946)
Total amount reclassified from AOCI to income(15,856)
Balance, September 30, 2024$1,734 

The changes in fair value of cash flow hedges are deferred in AOCI and are included in "Net unrealized investment gains (losses)" in the Unaudited Interim Consolidated Statements of Operations and Comprehensive Income (Loss); these amounts are then reclassified to earnings when the hedged item affects earnings. Using September 30, 2024 values, it is estimated that a pre-tax gain of $27 million is expected to be reclassified from AOCI to earnings during the subsequent twelve months ending September 30, 2025.

The exposures the Company is hedging with these qualifying cash flow hedges include the variability of the payment or receipt of interest or foreign currency amounts on existing financial instruments.

There were no material amounts reclassified from AOCI into earnings relating to instances in which the Company discontinued cash flow hedge accounting because the forecasted transaction did not occur by the anticipated date or within the additional time period permitted by the authoritative guidance for the accounting for derivatives and hedging.
Credit Derivatives

Credit Derivatives, where the Company has written credit protection on certain index references, have outstanding notional amounts of $946 million and $643 million as of September 30, 2024 and December 31, 2023, respectively. These credit derivatives are reported at fair value as an asset of $8 million and $8 million as of September 30, 2024 and December 31, 2023, respectively. As of September 30, 2024 the notional amount of these credit derivatives had the following NAIC ratings: $911 million in NAIC 3 and $35 million in NAIC 6.

The Company has no exposure on purchased credit protection as of September 30, 2024 and December 31, 2023.

Counterparty Credit Risk

The Company is exposed to credit-related losses in the event of non-performance by counterparties to financial derivative transactions with a positive fair value. The Company manages credit risk by entering into derivative transactions with regulated derivatives exchanges for exchange traded derivatives and its affiliate, Prudential Global Funding LLC (“PGF”), related to its over-the-counter ("OTC") derivatives. PGF, in turn, manages its credit risk by: (i) entering into derivative transactions with highly rated major international financial institutions and other creditworthy counterparties governed by master netting agreements, as applicable; (ii) trading through central clearing and OTC parties; (iii) obtaining collateral, such as cash and securities, when appropriate; and (iv) setting limits on single-party credit exposures which are subject to periodic management review.

Substantially all of the Company’s derivative agreements have zero thresholds which require daily full collateralization by the party in a liability position.