DERIVATIVE FINANCIAL INSTRUMENTS (Tables)

6 Months Ended

Jun. 30, 2011

DERIVATIVE FINANCIAL INSTRUMENTS

Notional amounts and fair values of derivative financial instruments

	As of June 30, 2011				As of December 31, 2010
	Notional		Fair		Notional		Fair
	Amount		Value		Amount		Value
	(Dollars In Thousands)
Other long-term investments
Cash flow hedges:
Inflation	$	29,828	$	13	$	—	$	—
Derivatives not designated as hedging instruments:
Interest rate swaps	25,000		3,596		25,000		3,808
Credit default swaps	80,000		465		—		—
Embedded derivative - Modco reinsurance treaties	30,030		1,988		29,563		2,687
Embedded derivative - GMWB	1,645,178		25,540		1,094,395		22,346
Equity futures	581		11		—		—
Currency futures	38,085		420		—		—
Other	414,289		6,577		100,507		6,826
	$	2,262,991	$	38,610	$	1,249,465	$	35,667
Other liabilities
Cash flow hedges:
Inflation	$	263,551	$	8,152	$	293,379	$	12,005
Interest rate	75,000		5,315		75,000		6,747
Derivatives not designated as hedging instruments:
Credit default swaps	165,000		4,422		25,000		1,099
Interest rate swaps	110,000		8,618		110,000		9,137
Embedded derivative - Modco reinsurance treaties	2,799,920		166,779		2,842,862		146,105
Embedded derivative - GMWB	2,052,821		42,481		1,493,745		41,948
Interest rate futures	381,653		3,531		598,357		16,764
Equity futures	89,808		3,045		327,321		7,231
Currency futures	13,581		2		—		—
Other	240,084		4,399		339,350		2,475
	$	6,191,418	$	246,744	$	6,105,014	$	243,511

Schedule of gain (loss) on derivatives in cash flow hedging relationship

	For The Three Months Ended June 30, 2011									For The Six Months Ended June 30, 2011
	Realized			Benefits and			Other			Realized		Benefits and		Other
	investment			settlement			comprehensive			investment		settlement		comprehensive
	gains (losses)			expenses			income (loss)			gains (losses)		expenses		income (loss)
	(Dollars In Thousands)
Gain (loss) recognized in other comprehensive income (loss) (effective portion):
Interest rate	$	—		$	—		$	(248	)	$	—	$	—	$	(343	)
Inflation	—			—			(5,907		)	—		—		2,184
Gain (loss) reclassified from accumulated other comprehensive income (loss) into income
(effective portion):
Interest rate	$	—		$	(895	)	$	—		$	—	$	—	$	(1,778	)
Inflation	—			(250		)	—			—		—		(1,328		)
Gain (loss) recognized in income
(ineffective portion):
Inflation	$	(617	)	$	—		$	—		$	28	$	—	$	—

	For The Three Months Ended June 30, 2010									For The Six Months Ended June 30, 2010
	Realized			Benefits and			Other			Realized			Benefits and			Other
	investment			settlement			comprehensive			investment			settlement			comprehensive
	gains (losses)			expenses			income (loss)			gains (losses)			expenses			income (loss)
	(Dollars In Thousands)
Gain (loss) recognized in other comprehensive income (loss) (effective portion):
Interest rate	$	—		$	—		$	(858	)	$	—		$	—		$	(2,116	)
Inflation	—			—			(9,314		)	—			—			(3,892		)
Gain (loss) reclassified from accumulated other comprehensive income (loss) into income
(effective portion):
Interest rate	$	—		$	(1,982	)	$	—		$	—		$	(3,973	)	$	—
Inflation	—			(463		)	—			—			(1,084		)	—
Gain (loss) recognized in income
(ineffective portion):
Inflation	$	(696	)	$	—		$	—		$	(336	)	$	—		$	—

Schedule of realized investment gains (losses) - derivative financial instruments

	For The						For The
	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2011			2010			2011			2010
	(Dollars In Thousands)
Interest rate risk:
Interest rate futures	$	9,039		$	—		$	3,369		$	—
Interest rate swaps	(2,989		)	(6,382		)	(2,457		)	(8,774		)
Credit default swaps	917			(1,142		)	694			(637		)
Embedded derivative - Modco reinsurance treaties	(29,214		)	(63,063		)	(21,372		)	(94,157		)
Embedded derivative - GMWB	(5,533		)	(49,326		)	2,662			(40,202		)
Derivatives related to equity futures	(1,503		)	—			(19,346		)	—
Derivatives related to currency futures	(199		)	—			(199		)	—
Derivatives related to volatility swaps	(917		)	—			(3,734		)	—
Derivatives related to equity options	(3,982		)	—			(7,259		)	—
Other	(612		)	25			(37		)	810
	$	(34,993	)	$	(119,888	)	$	(47,679	)	$	(142,960	)

Schedule of realized investment gains (losses) - all other investments

	For The				For The
	Three Months Ended				Six Months Ended
	June 30,				June 30,
	2011		2010		2011		2010
	(Dollars In Thousands)
Modco trading portfolio(1)	$	33,603	$	63,967	$	27,954	$	108,060

(1)  The Company elected to include the use of alternate disclosures for trading activities.