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	Gross Notional		Fair Value					Gross Notional		Fair Value
Primary Underlying Risk/Instrument Type	Gross Notional		Assets		Liabilities			Gross Notional		Assets		Liabilities
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Currency/Interest Rate
Foreign Currency Swaps	$	1,264,012	$	106,587	$	(1,326	)	$	1,172,899	$	39,019	$	(26,511	)
Total Derivatives Designated as Hedge Accounting Instruments	$	1,264,012	$	106,587	$	(1,326	)	$	1,172,899	$	39,019	$	(26,511	)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Futures	$	5,489,400	$	2,606	$	(7,609	)	$	3,857,700	$	638	$	(5,872	)
Interest Rate Swaps	103,962,850		16,394,336		(6,850,128		)	88,557,425		6,598,625		(1,997,944		)
Interest Rate Options	10,648,000		1,622,018		(191,759		)	12,583,000		283,386		(172,085		)
Interest Rate Forwards	496,300		9,051		0			959,772		24,487		(4,185		)
Foreign Currency
Foreign Currency Forwards	18,874		48		(46		)	16,683		0		(394		)
Currency/Interest Rate
Foreign Currency Swaps	187,151		27,400		0			234,767		11,482		(663		)
Credit
Credit Default Swaps	239,173		182		(2,311		)	0		0		0
Equity
Equity Futures	7,018,091		1,197		(83,449		)	1,191,237		0		(2,638		)
Total Return Swaps	24,138,579		277,250		(971,604		)	16,314,165		36,692		(573,957		)
Equity Options	33,717,741		514,582		(363,740		)	12,866,043		329,722		(422,700		)
Total Derivatives Not Qualifying as Hedge Accounting Instruments	$	185,916,159	$	18,848,670	$	(8,470,646	)	$	136,580,792	$	7,285,032	$	(3,180,438	)
Total Derivatives(1)(2)	$	187,180,171	$	18,955,257	$	(8,471,972	)	$	137,753,691	$	7,324,051	$	(3,206,949	)

(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 $23,999 million and $11,823 million as of June 30, 2020 and December 31, 2019, respectively included in “Future policy benefits” and $226 million and $197 million as of June 30, 2020 and December 31, 2019, respectively included in “Policyholders’ account balances". Other assets included $27 million and $8 million as of June 30, 2020 and December 31, 2019, respectively. Other liabilities included $11 million and $0 million as of June 30, 2020 and December 31, 2019, respectively. The fair value of the related reinsurance, included in "Reinsurance recoverables" and/or "Reinsurance payables" was an asset of $593 million and $350 million as of June 30, 2020 and December 31, 2019, respectively.

(2)

Recorded in “Other invested assets”, “Other liabilities”, and "Payables to parent and affiliates" on the Unaudited Interim 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 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 Statements of Financial Position.



	June 30, 2020
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Statements of Financial Position			Net Amounts Presented in the Statements of Financial Position		Financial Instruments/ Collateral(1)			Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives(1)	$	18,955,257	$	(18,952,384	)	$	2,873	$	(2,873	)	$	0
Securities purchased under agreements to resell	1,016,505		0			1,016,505		(1,016,505		)	0
Total Assets	$	19,971,762	$	(18,952,384	)	$	1,019,378	$	(1,019,378	)	$	0
Offsetting of Financial Liabilities:
Derivatives(1)	$	8,471,972	$	(7,947,699	)	$	524,273	$	0		$	524,273
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	8,471,972	$	(7,947,699	)	$	524,273	$	0		$	524,273



	December 31, 2019
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Statements of Financial Position			Net Amounts Presented in the Statements of Financial Position		Financial Instruments/ Collateral(1)			Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives(1)	$	7,324,051	$	(7,324,049	)	$	2	$	0		$	2
Securities purchased under agreements to resell	302,000		0			302,000		(302,000		)	0
Total Assets	$	7,626,051	$	(7,324,049	)	$	302,002	$	(302,000	)	$	2
Offsetting of Financial Liabilities:
Derivatives(1)	$	3,206,949	$	(3,053,132	)	$	153,817	$	(820	)	$	152,997
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	3,206,949	$	(3,053,132	)	$	153,817	$	(820	)	$	152,997

(1)

Amounts exclude the excess of collateral received/pledged from/to the counterparty

Offsetting of Financial Liabilities



	June 30, 2020
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Statements of Financial Position			Net Amounts Presented in the Statements of Financial Position		Financial Instruments/ Collateral(1)			Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives(1)	$	18,955,257	$	(18,952,384	)	$	2,873	$	(2,873	)	$	0
Securities purchased under agreements to resell	1,016,505		0			1,016,505		(1,016,505		)	0
Total Assets	$	19,971,762	$	(18,952,384	)	$	1,019,378	$	(1,019,378	)	$	0
Offsetting of Financial Liabilities:
Derivatives(1)	$	8,471,972	$	(7,947,699	)	$	524,273	$	0		$	524,273
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	8,471,972	$	(7,947,699	)	$	524,273	$	0		$	524,273



	December 31, 2019
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Statements of Financial Position			Net Amounts Presented in the Statements of Financial Position		Financial Instruments/ Collateral(1)			Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives(1)	$	7,324,051	$	(7,324,049	)	$	2	$	0		$	2
Securities purchased under agreements to resell	302,000		0			302,000		(302,000		)	0
Total Assets	$	7,626,051	$	(7,324,049	)	$	302,002	$	(302,000	)	$	2
Offsetting of Financial Liabilities:
Derivatives(1)	$	3,206,949	$	(3,053,132	)	$	153,817	$	(820	)	$	152,997
Securities sold under agreements to repurchase	0		0			0		0			0
Total Liabilities	$	3,206,949	$	(3,053,132	)	$	153,817	$	(820	)	$	152,997

(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
Currency/Interest Rate	$	2,712		$	4,668	$	(9,648	)	$	(34,394	)
Total cash flow hedges	2,712			4,668		(9,648		)	(34,394		)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(79,874		)	0		0			0
Currency	57			0		0			0
Currency/Interest Rate	(11,767		)	0		(2		)	0
Credit	1,629			0		0			0
Equity	(4,830,379		)	0		0			0
Embedded Derivatives	1,531,563			0		0			0
Total Derivatives Not Qualifying as Hedge Accounting Instruments:	(3,388,771		)	0		(2		)	0
Total	$	(3,386,059	)	$	4,668	$	(9,650	)	$	(34,394	)



	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
Currency/Interest Rate	$	4,567		$	8,928	$	7,295	$	68,462
Total cash flow hedges	4,567			8,928		7,295		68,462
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	6,970,027			0		0		0
Currency	1,087			0		0		0
Currency/Interest Rate	30,082			0		69		0
Credit	(5,528		)	0		0		0
Equity	184,909			0		0		0
Embedded Derivatives	(11,335,743		)	0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments:	(4,155,166		)	0		69		0
Total	$	(4,150,599	)	$	8,928	$	7,364	$	68,462



	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	$	(399	)	$	2,977	$	1,956	$	1,882
Total cash flow hedges	(399		)	2,977		1,956		1,882
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	1,764,300			0		0		0
Currency	435			0		0		0
Currency/Interest Rate	6,784			0		17		0
Credit	1,579			0		0		0
Equity	(583,113		)	0		0		0
Embedded Derivatives	(2,080,538		)	0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments:	(890,553		)	0		17		0
Total	$	(890,952	)	$	2,977	$	1,973	$	1,882



	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	$	(720	)	$	5,710	$	398	$	3,505
Total cash flow hedges	(720		)	5,710		398		3,505
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	2,756,745			0		0		0
Currency	248			0		0		0
Currency/Interest Rate	8,616			0		20		0
Credit	1,577			0		0		0
Equity	(2,233,223		)	0		0		0
Embedded Derivatives	(2,765,123		)	0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments:	(2,231,160		)	0		20		0
Total	$	(2,231,880	)	$	5,710	$	418	$	3,505


(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	$	(287	)
Amount recorded in AOCI
Currency/Interest Rate	89,252
Total amount recorded in AOCI	89,252
Amount reclassified from AOCI to income
Currency/Interest Rate	(20,790		)
Total amount reclassified from AOCI to income	(20,790		)
Balance, June 30, 2020	$	68,175