Derivatives (Tables)

3 Months Ended

Mar. 31, 2017

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivatives Instruments Statements of Financial Performance and Financial Position, Location

The following table presents the gross notional amount, estimated fair value and primary underlying risk exposure of the Company’s derivatives, excluding embedded derivatives, held at:

		March 31, 2017						December 31, 2016
	Primary Underlying Risk Exposure	Gross Notional Amount		Estimated Fair Value				Gross Notional Amount		Estimated Fair Value
				Assets		Liabilities				Assets		Liabilities
		(In thousands)
Derivatives Designated as Hedging Instruments:
Cash flow hedges:
Foreign currency swaps	Foreign currency exchange rate	$	33,923	$	4,526	$	—	$	33,930	$	4,947	$	—
Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Foreign currency swaps	Foreign currency exchange rate	14,063		3,370		—		14,063		3,709		—
Total		$	47,986	$	7,896	$	—	$	47,993	$	8,656	$	—

Estimated Fair Value of Derivative Assets and Liabilities after Master Netting Agreements and Cash Collateral

The estimated fair values of the Company’s net derivative assets and net derivative liabilities after the application of master netting agreements and collateral were as follows at: 

	March 31, 2017					December 31, 2016
Derivatives Subject to a Master Netting Arrangement or a Similar Arrangement	Assets			Liabilities		Assets			Liabilities
	(In thousands)
Gross estimated fair value of derivatives:
OTC-bilateral (1)	$	8,162		$	—	$	8,850		$	—
Total gross estimated fair value of derivatives (1)	8,162			—		8,850			—
Amounts offset on the balance sheets	—			—		—			—
Estimated fair value of derivatives presented on the balance sheets (1)	8,162			—		8,850			—
Gross amounts not offset on the balance sheets:
Gross estimated fair value of derivatives: (2)
OTC-bilateral	—			—		—			—
Cash collateral: (3)
OTC-bilateral	(8,087		)	—		(8,672		)	—
Securities collateral: (4)
OTC-bilateral	—			—		—			—
Net amount after application of master netting agreements and collateral	$	75		$	—	$	178		$	—

______________

(1) At March 31, 2017 and December 31, 2016, derivative assets included income or (expense) accruals reported in accrued investment income or in other liabilities of $266 thousand and $194 thousand, respectively.

(2) Estimated fair value of derivatives is limited to the amount that is subject to set-off and includes income or expense accruals.

(3) Cash collateral received is included in cash and cash equivalents or in short-term investments, and the obligation to return it is included in payables for collateral transactions on the balance sheet. The amount of cash collateral offset in the table above is limited to the net estimated fair value of derivatives after application of netting agreements. At March 31, 2017 and December 31, 2016, the Company received excess cash collateral of $655 thousand and $270 thousand, respectively, and did not provide any excess cash collateral, which is not included in the table above due to the foregoing limitation.

(4) Securities collateral received by the Company is held in separate custodial accounts and is not recorded on the balance sheet. Subject to certain constraints, the Company is permitted by contract to sell or re-pledge this collateral, but atMarch 31, 2017,noneof the collateral had been sold or re-pledged. Securities collateral pledged by the Company is reported in fixed maturity securities on the balance sheet. Subject to certain constraints, the counterparties are permitted by contract to sell or re-pledge this collateral. The amount of securities collateral offset in the table above is limited to the net estimated fair value of derivatives after application of netting agreements and cash collateral. At bothMarch 31, 2017andDecember 31, 2016, the Company did not receive or provide excess securities collateral.

Estimated Fair Value of Derivative Assets and Liabilities after Master Netting Agreements and Cash Collateral

The estimated fair values of the Company’s net derivative assets and net derivative liabilities after the application of master netting agreements and collateral were as follows at: 

	March 31, 2017					December 31, 2016
Derivatives Subject to a Master Netting Arrangement or a Similar Arrangement	Assets			Liabilities		Assets			Liabilities
	(In thousands)
Gross estimated fair value of derivatives:
OTC-bilateral (1)	$	8,162		$	—	$	8,850		$	—
Total gross estimated fair value of derivatives (1)	8,162			—		8,850			—
Amounts offset on the balance sheets	—			—		—			—
Estimated fair value of derivatives presented on the balance sheets (1)	8,162			—		8,850			—
Gross amounts not offset on the balance sheets:
Gross estimated fair value of derivatives: (2)
OTC-bilateral	—			—		—			—
Cash collateral: (3)
OTC-bilateral	(8,087		)	—		(8,672		)	—
Securities collateral: (4)
OTC-bilateral	—			—		—			—
Net amount after application of master netting agreements and collateral	$	75		$	—	$	178		$	—

______________

(1) At March 31, 2017 and December 31, 2016, derivative assets included income or (expense) accruals reported in accrued investment income or in other liabilities of $266 thousand and $194 thousand, respectively.

(2) Estimated fair value of derivatives is limited to the amount that is subject to set-off and includes income or expense accruals.

(3) Cash collateral received is included in cash and cash equivalents or in short-term investments, and the obligation to return it is included in payables for collateral transactions on the balance sheet. The amount of cash collateral offset in the table above is limited to the net estimated fair value of derivatives after application of netting agreements. At March 31, 2017 and December 31, 2016, the Company received excess cash collateral of $655 thousand and $270 thousand, respectively, and did not provide any excess cash collateral, which is not included in the table above due to the foregoing limitation.

(4) Securities collateral received by the Company is held in separate custodial accounts and is not recorded on the balance sheet. Subject to certain constraints, the Company is permitted by contract to sell or re-pledge this collateral, but atMarch 31, 2017,noneof the collateral had been sold or re-pledged. Securities collateral pledged by the Company is reported in fixed maturity securities on the balance sheet. Subject to certain constraints, the counterparties are permitted by contract to sell or re-pledge this collateral. The amount of securities collateral offset in the table above is limited to the net estimated fair value of derivatives after application of netting agreements and cash collateral. At bothMarch 31, 2017andDecember 31, 2016, the Company did not receive or provide excess securities collateral.

Derivative Instruments, Gain (Loss) [Line Items]

Components of Net Derivatives Gains (Losses)

The components of net derivative gains (losses) were as follows:

	Three Months   Ended   March 31,
	2017			2016
	(In thousands)
Freestanding derivatives and hedging gains (losses) (1)	$	(207	)	$	882
Embedded derivatives gains (losses)	(131,329		)	49,158
Total net derivative gains (losses)	$	(131,536	)	$	50,040

______________

(1) Includes foreign currency transaction gains (losses) on hedged items in cash flow and nonqualifying hedging relationships, which are not presented elsewhere in this note.

Embedded Derivative Financial Instruments [Member]

Derivative Instruments, Gain (Loss) [Line Items]

Components of Net Derivatives Gains (Losses)

The following table presents changes in estimated fair value related to embedded derivatives:

	Three Months   Ended   March 31,
	2017			2016
	(In thousands)
Net derivative gains (losses) (1), (2)	$	(131,329	)	$	49,158

______________

(1) The valuation of direct guaranteed minimum benefits includes a nonperformance risk adjustment. The amounts included in net derivative gains (losses) in connection with this adjustment were ($300) thousand and $1.7 million for the three months endedMarch 31, 2017 and 2016, respectively. In addition, the valuation of ceded guaranteed minimum benefits includes a nonperformance risk adjustment. The amounts included in net derivative gains (losses) in connection with this adjustment were $7.0 million and ($17.8) million for the three months endedMarch 31, 2017 and 2016, respectively.

(2) See Note 10 for discussion of affiliated net derivative gains (losses).

Schedule of Derivative Instruments

The following table presents the estimated fair value and balance sheet location of the Company’s embedded derivatives that have been separated from their host contracts at:

	Balance Sheet Location	March 31, 2017			December 31, 2016
		(In thousands)
Embedded derivatives within asset host contracts:
Ceded guaranteed minimum benefits	Premiums, reinsurance and other receivables	$	354,497		$	379,297
Embedded derivatives within liability host contracts:
Direct guaranteed minimum benefits	Policyholder account balances	$	(36,258	)	$	(23,740	)
Fixed annuities with equity indexed returns	Policyholder account balances	(69		)	—
Embedded derivatives within liability host contracts		$	(36,327	)	$	(23,740	)