DERIVATIVE FINANCIAL INSTRUMENTS (Tables)

9 Months Ended

Sep. 30, 2011

DERIVATIVE FINANCIAL INSTRUMENTS

Schedule of estimated fair value, maximum amount of future payments, and the maturity dates of written credit default swaps, segregated by counterparty exposure

											Maximum
	Reason for		Nature of		Number of			Upfront fee	Unrealized		potential
Maturity	entering		recourse		instruments	Fair Value(3)		received	gain (loss)		payout(4)
(Dollars In Thousands)
12/20/21		(1)		(2)	3	(35,883	)	29,515	(6,368	)	700,000	(5)
12/20/21		(1)		(2)	1	(9,934	)	8,153	(1,781	)	200,000
12/20/21		(1)		(2)	1	(4,823	)	4,990	167		100,000
					5	(50,640	)	42,658	(7,982	)	1,000,000

(1) The Company wrote these positions to mitigate the Company’s non-performance risk related to certain guaranteed minimum withdrawal benefits within its variable annuity products.

(2) The Company does not have the right to demand indemnification or compensation from third parties in the case of aloss (payment) on the contract.

(3) Broker quotes are used to determine the market value of credit derivatives.

(4) The underlying reference entity is the Markit CDX North America Investment Grade Index, Series 17, which is comprised of 125 equally weighted credit default swaps on investment grade entities. The maximum potential payoutassumes the recovery value on each investment grade entity is zero.

(5) The Company has posted $20 million of collateral with this counterparty for over-the-counter derivative positions.

Schedule of credit ratings of the underlying entities that make up the index

The following table includes the credit ratings of the underlying entities that make up the index as of September 30, 2011:

	Credit rating of
Rating	underlying index
AA	4.0	%
A	34.0
BBB	62.0
	100.0	%

Notional amounts and fair values of derivative financial instruments

	As of September 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	$	12,084	$	3	$	—	$	—
Derivatives not designated as hedging instruments:
Interest rate swaps	100,000		5,808		25,000		3,808
Credit default swaps	—		—		—		—
Embedded derivative - Modco reinsurance treaties	29,964		2,173		29,563		2,687
Embedded derivative - GMWB	685,478		6,314		1,099,902		22,378
Interest rate futures	1,246,697		51,748		—		—
Equity futures	231,664		10,102		—		—
Currency futures	74,661		2,071		—		—
Interest rate caps	3,000,000		2,885		—		—
Other	505,214		27,922		95,000		6,794
	$	5,885,762	$	109,026	$	1,249,465	$	35,667
Other liabilities
Cash flow hedges:
Inflation	$	251,467	$	11,727	$	293,379	$	12,005
Interest rate	75,000		3,415		75,000		6,747
Derivatives not designated as hedging instruments:
Credit default swaps	1,000,000		50,640		25,000		1,099
Interest rate swaps	25,000		2,817		110,000		9,137
Embedded derivative - Modco reinsurance treaties	2,787,486		276,508		2,842,862		146,105
Embedded derivative - GMWB	3,484,749		173,476		1,494,657		41,990
Interest rate futures	113,536		133		598,357		16,764
Equity futures	—		—		327,321		7,231
Other	—		—		338,438		2,433
	$	7,737,238	$	518,716	$	6,105,014	$	243,511

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

For The Three Months Ended September 30, 2011								For The Nine Months Ended September 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	$	—		$	—		$	38		$	—		$	—		$	(304	)
Inflation	—			—			(3,162		)	—			—			(978		)
Gain (loss) reclassified from accumulated other comprehensive income (loss) into income (effective portion):
Interest rate	$	—		$	(911	)	$	—		$	—		$	(2,689	)	$	—
Inflation	—			488			—			—			(840		)	—
Gain (loss) recognized in income (ineffective portion):
Inflation	$	(485	)	$	—		$	—		$	(457	)	$	—		$	—

	For The Three Months Ended September 30, 2010								For The Nine Months Ended September 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	$	—	$	—		$	(842	)	$	—		$	—		$	(2,958	)
Inflation	—		—			1,532			—			—			(2,360		)
Gain (loss) reclassified from accumulated other comprehensive income (loss) into income (effective portion):
Interest rate	$	—	$	(1,774	)	$	—		$	—		$	(5,747	)	$	—
Inflation	—		(965		)	—			—			(2,049		)	—
Gain (loss) recognized in income (ineffective portion):
Inflation	$	25	$	—		$	—		$	(311	)	$	—		$	—

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

	For The						For The
	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2011			2010			2011			2010
	(Dollars In Thousands)
Derivatives related to variable annuity contracts:
Interest rate futures - VA	$	144,182		$	23,047		$	147,550		$	23,047
Equity futures - VA	11,524			(8,444		)	(7,822		)	(8,444		)
Currency futures - VA	2,376			—			2,177			—
Volatility swaps - VA	3,495			—			(239		)	—
Equity options - VA	30,072			—			22,813			—
Interest rate swaps - VA	5,808			—			5,808			—
Credit default swaps - VA	(23,897		)	—			(22,981		)	—
Embedded derivative - GMWB	(150,125		)	(19,101		)	(147,550		)	(59,296		)
Total derivatives related to variable annuity contracts	23,435			(4,498		)	(244		)	(44,693		)
Embedded derivative - Modco reinsurance treaties	(109,542		)	(85,496		)	(130,914		)	(179,654		)
Interest rate swaps	(8,185		)	(4,676		)	(10,642		)	(13,450		)
Interest rate caps	(2,581		)	—			(2,581		)	—
Credit default swaps	(321		)	1,040			(543		)	404
Other	(622		)	(404		)	(571		)	399
Total realized gains (losses) - derivatives	$	(97,816	)	$	(94,034	)	$	(145,495	)	$	(236,994	)

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

	For The				For The
	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2011		2010		2011		2010
	(Dollars In Thousands)
Modco trading portfolio(1)	$	123,760	$	96,689	$	151,714	$	204,749

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