2.4.0.81050 - Disclosure - Derivative Financial Instrumentstruefalsefalse1false falsefalseD2013Q2YTDhttp://www.sec.gov/CIK0000352736duration2013-01-01T00:00:002013-06-30T00:00:001true 1us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstractus-gaap_truenadurationfalsefalsefalsefalsefalsefalsefalsefalse1falsefalsefalse00falsefalsefalsexbrli:stringItemTypestringfalse0Derivative Financial Instruments2false 2us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlockus-gaap_truenadurationfalsefalsefalsefalsefalsefalsefalsefalseterseLabel1falsefalsefalse00<div style="font-size:10.0pt;font-family:Times New Roman;"> <p style="MARGIN: 0in 0in 0pt; punctuation-wrap: simple;"><b><font style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold;" size="2">5.&#160; Derivative Financial Instruments</font></b></p> <p style="TEXT-ALIGN: justify; MARGIN: 0in 0in 0pt; punctuation-wrap: simple;">&#160;</p> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0.25in; MARGIN: 0in 0in 0pt; punctuation-wrap: simple;"><font style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt;" size="2">The Company uses derivatives to manage risks with certain assets and liabilities arising from the potential adverse impacts from changes in risk-free interest rates, changes in equity market valuations, increases in credit spreads and foreign currency fluctuations, and for asset replication.&#160; The Company does not use derivatives for speculative purposes.</font></p> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0.25in; MARGIN: 0in 0in 0pt; punctuation-wrap: simple;">&#160;</p> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0.25in; MARGIN: 0in 0in 0pt; punctuation-wrap: simple;"><font style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt;" size="2">Asset-liability management is a risk management strategy that is principally employed to balance the respective interest-rate sensitivities of the Company&#8217;s assets and liabilities.&#160; Depending upon the attributes of the assets acquired and liabilities issued, derivative instruments such as interest rate swaps, caps, swaptions and futures are utilized to change the interest rate characteristics of existing assets and liabilities to ensure the relationship is maintained within specified ranges and to reduce exposure to rising or falling interest rates.&#160; The Company uses financial futures and interest rate swaps to hedge anticipated asset purchases and liability issuances and futures and options for hedging the equity exposure contained in its equity indexed life and annuity product contracts that offer equity returns to contractholders.&#160; In addition, the Company uses interest rate swaps to hedge interest rate risk inherent in funding agreements.&#160; The Company uses foreign currency swaps and forwards primarily to reduce the foreign currency risk associated with issuing foreign currency denominated funding agreements and holding foreign currency denominated investments.&#160; Credit default swaps are typically used to mitigate the credit risk within the Company&#8217;s fixed income portfolio.</font></p> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0.25in; MARGIN: 0in 0in 0pt; punctuation-wrap: simple;">&#160;</p> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0.25in; MARGIN: 0in 0in 0pt;"><font style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt;" size="2">Asset replication refers to the &#8220;synthetic&#8221; creation of assets through the use of derivatives and primarily investment grade host bonds to replicate securities that are either unavailable in the cash markets or more economical to acquire in synthetic form.&#160; The Company replicates fixed income securities using a combination of a credit default swap and one or more highly rated fixed income securities to synthetically replicate the economic characteristics of one or more cash market securities.</font></p> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0.25in; MARGIN: 0in 0in 0pt;">&#160;</p> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0.25in; MARGIN: 0in 0in 0pt;"><font style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt;" size="2">The Company also has derivatives embedded in non-derivative host contracts that are required to be separated from the host contracts and accounted for at fair value with changes in fair value of embedded derivatives reported in net income.&#160; The Company&#8217;s primary embedded derivatives are equity options in life and annuity product contracts, which provide equity returns to contractholders; equity-indexed notes containing equity call options, which provide a coupon payout that is determined using one or more equity-based indices; credit default swaps in synthetic collateralized debt obligations, which provide enhanced coupon rates as a result of selling credit protection; and conversion options in fixed income securities, which provide the Company with the right to convert the instrument into a predetermined number of shares of common stock.</font></p> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0.25in; MARGIN: 0in 0in 0pt;">&#160;</p> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0.25in; MARGIN: 0in 0in 0pt; punctuation-wrap: simple;"><font style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt;" size="2">When derivatives meet specific criteria, they may be designated as accounting hedges and accounted for as fair value, cash flow, foreign currency fair value or foreign currency cash flow hedges.&#160; The Company designates certain of its interest rate and foreign currency swap contracts and certain investment risk transfer reinsurance agreements as fair value hedges when the hedging instrument is highly effective in offsetting the risk of changes in the fair value of the hedged item.&#160; The Company designates certain of its foreign currency swap contracts as cash flow hedges when the hedging instrument is highly effective in offsetting the exposure of variations in cash flows for the hedged risk that could affect net income.&#160; Amounts are reclassified to net investment income or realized capital gains and losses as the hedged item affects net income.</font></p> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0.25in; MARGIN: 0in 0in 0pt; punctuation-wrap: simple;">&#160;</p> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0.25in; MARGIN: 0in 0in 0pt;"><font style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt;" size="2">The notional amounts specified in the contracts are used to calculate the exchange of contractual payments under the agreements and are generally not representative of the potential for gain or loss on these agreements.&#160; However, the notional amounts specified in credit default swaps where the Company has sold credit protection represent the maximum amount of potential loss, assuming no recoveries.</font></p> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0.25in; MARGIN: 0in 0in 0pt;">&#160;</p> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0.25in; MARGIN: 0in 0in 0pt; punctuation-wrap: simple;"><font style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt;" size="2">Fair value, which is equal to the carrying value, is the estimated amount that the Company would receive or pay to terminate the derivative contracts at the reporting date.&#160; The carrying value amounts for OTC derivatives are further adjusted for the effects, if any, of enforceable master netting agreements and are presented on a net basis, by counterparty agreement, in the Condensed Consolidated Statements of Financial Position.&#160; For certain exchange traded and cleared derivatives, margin deposits are required as well as daily cash settlements of margin accounts.&#160; As of June&#160;30, 2013, the Company pledged $4 million of securities in the form of margin deposits.</font></p> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0.25in; MARGIN: 0in 0in 0pt; punctuation-wrap: simple;">&#160;</p> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0.25in; MARGIN: 0in 0in 0pt; punctuation-wrap: simple;"><font style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt;" size="2">For those derivatives which qualify for fair value hedge accounting, net income includes the changes in the fair value of both the derivative instrument and the hedged risk, and therefore reflects any hedging ineffectiveness.&#160; For cash flow hedges, gains and losses are amortized from accumulated other comprehensive income and are reported in net income in the same period the forecasted transactions being hedged impact net income.</font></p> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0.25in; MARGIN: 0in 0in 0pt; punctuation-wrap: simple;">&#160;</p> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0.25in; 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When a credit event occurs in a single name or FTD basket (for FTD, the first credit event occurring for any one name in the basket), the contract terminates at the time of settlement.&#160; When a credit event occurs in a tranche of a basket, there is no immediate impact to the Company until cumulative losses in the basket exceed the contractual subordination.&#160; To date, realized losses have not exceeded the subordination.&#160; For CDX, the reference entity&#8217;s name incurring the credit event is removed from the index while the contract continues until expiration.&#160; The maximum payout on a CDS is the contract notional amount.&#160; A physical settlement may afford the Company with recovery rights as the new owner of the asset.</font></p> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0.25in; MARGIN: 0in 0in 0pt; punctuation-wrap: simple;">&#160;</p> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0.25in; MARGIN: 0in 0in 0pt;"><font style="FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt;" size="2">The Company monitors risk associated with credit derivatives through individual name credit limits at both a credit derivative and a combined cash instrument/credit derivative level.&#160; 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