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Derivative Instruments (Tables)
 3 Months Ended
Mar. 31, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule Of Derivative Instruments In Statement Of Financial Position Fair Value
The following table presents the notional amounts and gross fair value of derivative instruments prior to taking into account the netting effects of master netting agreements as of March 31, 2016 and December 31, 2015 (dollars in thousands):
 
 
March 31, 2016
 
December 31, 2015
 
 
Notional
 
Carrying Value/Fair Value
 
Notional
 
Carrying Value/Fair Value
 
 
Amount
 
Assets
 
Liabilities
 
Amount
 
Assets
 
Liabilities
Derivatives not designated as hedging instruments:
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
1,164,929

 
$
142,357

 
$
1,507

 
$
1,123,057

 
$
85,075

 
$
4,196

Financial futures
 
442,723

 
—

 
—

 
420,665

 
—

 
—

Foreign currency forwards
 
38,000

 
915

 
3,312

 
45,000

 
44

 
6,768

Consumer price index swaps
 
30,015

 
—

 
402

 
28,561

 
—

 
292

Credit default swaps
 
855,700

 
8,709

 
7,724

 
897,000

 
8,230

 
11,053

Equity options
 
442,335

 
47,100

 
—

 
453,435

 
46,653

 
—

Longevity swaps
 
910,400

 
15,806

 
—

 
868,960

 
15,003

 
7

Mortality swaps
 
50,000

 
—

 
3,043

 
50,000

 
—

 
2,619

Synthetic guaranteed investment contracts
 
7,500,659

 
—

 
—

 
7,098,825

 
—

 
—

Embedded derivatives in:
 
 
 
 
 
 
 
 
 
 
 
 
Modified coinsurance or funds withheld arrangements
 
—

 
—

 
168,948

 
—

 
—

 
76,698

Indexed annuity products
 
—

 
—

 
862,658

 
—

 
—

 
878,114

Variable annuity products
 
—

 
—

 
255,411

 
—

 
—

 
192,470

Total non-hedging derivatives
 
11,434,761

 
214,887

 
1,303,005

 
10,985,503

 
155,005

 
1,172,217

Derivatives designated as hedging instruments:
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
435,000

 
5,129

 
26,724

 
120,000

 
—

 
29,986

Foreign currency swaps
 
850,585

 
107,437

 
2,604

 
823,486

 
146,265

 
—

Total hedging derivatives
 
1,285,585

 
112,566

 
29,328

 
943,486

 
146,265

 
29,986

Total derivatives
 
$
12,720,346

 
$
327,453

 
$
1,332,333

 
$
11,928,989

 
$
301,270

 
$
1,202,203
Offsetting Assets [Table Text Block]
The following table provides information relating to the Company’s derivative instruments as of March 31, 2016 and December 31, 2015 (dollars in thousands):
 
 
 
 
 
 
 
 
Gross Amounts Not
Offset in the Balance Sheet
 
 
 
 
Gross Amounts   
Recognized
 
Gross Amounts
Offset in the
Balance Sheet   
 
Net Amounts
Presented in the
Balance Sheet   
 
Financial
Instruments (1)    
 
Cash Collateral   
Pledged/
Received
 
Net Amount   
March 31, 2016:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
 
$
327,453

 
$
(28,693
)
 
$
298,760

 
$
(32,953
)
 
$
(265,257
)
 
$
550

Derivative liabilities
 
45,316

 
(28,693
)
 
16,623

 
(74,663
)
 
(9,409
)
 
(67,449
)
December 31, 2015:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
 
$
301,270

 
$
(30,096
)
 
$
271,174

 
$
(20,888
)
 
$
(245,038
)
 
$
5,248

Derivative liabilities
 
54,921

 
(30,096
)
 
24,825

 
(47,149
)
 
(12,540
)
 
(34,864
)
Offsetting Liabilities [Table Text Block]
The following table provides information relating to the Company’s derivative instruments as of March 31, 2016 and December 31, 2015 (dollars in thousands):
 
 
 
 
 
 
 
 
Gross Amounts Not
Offset in the Balance Sheet
 
 
 
 
Gross Amounts   
Recognized
 
Gross Amounts
Offset in the
Balance Sheet   
 
Net Amounts
Presented in the
Balance Sheet   
 
Financial
Instruments (1)    
 
Cash Collateral   
Pledged/
Received
 
Net Amount   
March 31, 2016:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
 
$
327,453

 
$
(28,693
)
 
$
298,760

 
$
(32,953
)
 
$
(265,257
)
 
$
550

Derivative liabilities
 
45,316

 
(28,693
)
 
16,623

 
(74,663
)
 
(9,409
)
 
(67,449
)
December 31, 2015:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
 
$
301,270

 
$
(30,096
)
 
$
271,174

 
$
(20,888
)
 
$
(245,038
)
 
$
5,248

Derivative liabilities
 
54,921

 
(30,096
)
 
24,825

 
(47,149
)
 
(12,540
)
 
(34,864
)
Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block]
The gain or loss on the hedged item attributable to a change in foreign currency and the offsetting gain or loss on the related foreign currency swaps as of March 31, 2016, were (dollars in thousands):
Type of Fair Value Hedge
 
Hedged Item
 
Gains (Losses) Recognized for Derivatives
 
Gains (Losses) Recognized for Hedged Items
 
Ineffectiveness Recognized in Investment Related Gains (Losses)
For the three months ended March 31, 2016:
 
 
 
 
 
 
Foreign currency swaps
 
Foreign-denominated fixed maturity securities
 
$
5,867

 
$
(5,867
)
 
$
—
Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss) [Table Text Block]
The following table presents the components of AOCI, before income tax, and the condensed consolidated income statement classification where the gain or loss is recognized related to cash flow hedges for the three months ended March 31, 2016 and 2015 (dollars in thousands):
 
 
Three months ended March 31,
 
 
2016
 
2015
Accumulated other comprehensive income (loss), balance beginning of period
 
$
(29,397
)
 
$
(31,591
)
Gains (losses) deferred in other comprehensive income (loss) on the effective portion of cash flow hedges
 
8,551

 
213

Amounts reclassified to investment related (gains) losses, net
 
(841
)
 
840

Amounts reclassified to investment income
 
(107
)
 
(60
)
Accumulated other comprehensive income (loss), balance end of period
 
$
(21,794
)
 
$
(30,598
)
Schedule of Cash Flow Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block]
The following table presents the effective portion of derivatives in cash flow hedging relationships on the condensed consolidated statements of income and AOCI for the three months ended March 31, 2016 and 2015 (dollars in thousands):
 
 
Effective Portion
Derivative Type
 
Gain (Loss) Recognized in AOCI
 
Gain (Loss) Reclassified into Income from AOCI
 
 
 
 
Investment Related Gains (Losses)
 
Investment Income
For the three months ended March 31, 2016:
Interest rate swaps
 
$
8,551

 
$
—

 
$
160

Forward bond purchase commitments
 
—

 
841

 
(53
)
Total
 
$
8,551

 
$
841

 
$
107

For the three months ended March 31, 2015:
 
 
 
 
 
 
Interest rate swaps
 
$
(7,567
)
 
$
—

 
$
60

Forward bond purchase commitments
 
7,780

 
(840
)
 
—

Total
 
$
213

 
$
(840
)
 
$
60
Schedule of Net Investment Hedges, Statements of Financial Performance and Financial Position, Location [Table Text Block]
The following table illustrates the Company’s net investments in foreign operations (“NIFO”) hedges for the three months ended March 31, 2016 and 2015 (dollars in thousands):
 
 
 
Derivative Gains (Losses) Deferred in AOCI     
 
 
For the three months ended March 31,
Type of NIFO Hedge (1) (2)
 
2016
 
2015
Foreign currency swaps
 
$
(31,794
)
 
$
49,966

 
(1)
There were no sales or substantial liquidations of net investments in foreign operations that would have required the reclassification of gains or losses from accumulated other comprehensive income (loss) into investment income during the periods presented.
(2)
There was no ineffectiveness recognized for the Company’s hedges of net investments in foreign operations.
Schedule of Other Derivatives Not Designated as Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block]
A summary of the effect of non-hedging derivatives, including embedded derivatives, on the Company’s income statement for the three months ended March 31, 2016 and 2015 is as follows (dollars in thousands):
 
 
 
 
Gain (Loss) for the three months ended        
March 31,
Type of Non-hedging Derivative
 
Income Statement Location of Gain (Loss)
 
2016
 
2015
Interest rate swaps
 
Investment related gains (losses), net
 
$
62,527

 
$
29,344

Interest rate options
 
Investment related gains (losses), net
 
—

 
3,275

Financial futures
 
Investment related gains (losses), net
 
(11,051
)
 
(7,331
)
Foreign currency forwards
 
Investment related gains (losses), net
 
2,500

 
(220
)
CPI swaps
 
Investment related gains (losses), net
 
(180
)
 
(71
)
Credit default swaps
 
Investment related gains (losses), net
 
3,346

 
2,658

Equity options
 
Investment related gains (losses), net
 
(2,703
)
 
(8,067
)
Longevity swaps
 
Other revenues
 
87

 
1,821

Mortality swaps
 
Other revenues
 
(424
)
 
(479
)
Subtotal
 
 
 
54,102

 
20,930

Embedded derivatives in:
 
 
 
 
 
 
Modified coinsurance or funds withheld arrangements
 
Investment related gains (losses), net
 
(92,250
)
 
(2,325
)
Indexed annuity products
 
Interest credited
 
1,394

 
(29,326
)
Variable annuity products
 
Investment related gains (losses), net
 
(62,940
)
 
(25,133
)
Total non-hedging derivatives
 
 
 
$
(99,694
)
 
$
(35,854
)
Disclosure Of Credit Derivatives
The following table presents the estimated fair value, maximum amount of future payments and weighted average years to maturity of credit default swaps sold by the Company at March 31, 2016 and December 31, 2015 (dollars in thousands):
 
 
March 31, 2016
 
December 31, 2015
Rating Agency Designation of Referenced Credit Obligations(1)
 
Estimated Fair
Value of Credit  
Default Swaps
 
Maximum
Amount of Future
Payments under
Credit Default
Swaps(2)
 
Weighted
Average
Years to
Maturity(3)
 
Estimated Fair
Value of Credit  
Default Swaps
 
Maximum
Amount of Future
Payments under
Credit Default
Swaps(2)
 
Weighted
Average
Years to
Maturity(3)  
AA/AA-/A+/A/A-
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps
 
$
1,351

 
$
130,000

 
4.1
 
$
1,689

 
$
152,500

 
3.9
Credit default swaps referencing indices
 
—

 
—

 
—
 
—

 
—

 
—
Subtotal
 
1,351

 
130,000

 
4.1
 
1,689

 
152,500

 
3.9
BBB+/BBB/BBB-
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps
 
(4,570
)
 
304,700

 
4.1
 
(5,066
)
 
315,200

 
4.2
Credit default swaps referencing indices
 
4,423

 
416,000

 
5.2
 
2,274

 
416,000

 
5.0
Subtotal
 
(147
)
 
720,700

 
4.8
 
(2,792
)
 
731,200

 
4.6
BB+/BB
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps
 
(219
)
 
5,000

 
3.2
 
(2,900
)
 
10,000

 
4.1
Credit default swaps referencing indices
 
—

 
—

 
—
 
—

 
—

 
—
Subtotal
 
(219
)
 
5,000

 
3.2
 
(2,900
)
 
10,000

 
4.1
Total
 
$
985

 
$
855,700

 
4.7
 
$
(4,003
)
 
$
893,700

 
4.5
 
(1)
The rating agency designations are based on ratings from Standard and Poor’s (“S&P”).
(2)
Assumes the value of the referenced credit obligations is zero.
(3)
The weighted average years to maturity of the credit default swaps is calculated based on weighted average notional amounts.
Changes In Estimated Fair Value Related To Embedded Derivatives
The related gains (losses) and the effect on net income after amortization of deferred acquisition costs (“DAC”) and income taxes for the three months ended March 31, 2016 and 2015 are reflected in the following table (dollars in thousands):
 
Three months ended March 31,
 
2016
 
2015
Embedded derivatives in modco or funds withheld arrangements included in investment related gains
$
(92,250
)
 
$
(2,325
)
After the associated amortization of DAC and taxes, the related amounts included in net income
(26,777
)
 
(2,588
)
Embedded derivatives in variable annuity contracts included in investment related gains
(62,940
)
 
(25,133
)
After the associated amortization of DAC and taxes, the related amounts included in net income
(25,843
)
 
(9,409
)
Amounts related to embedded derivatives in equity-indexed annuities included in benefits and expenses
1,394

 
(29,326
)
After the associated amortization of DAC and taxes, the related amounts included in net income
11,234

 
(15,999
)
Credit Risk
Information regarding the Company’s credit exposure related to its over-the-counter derivative contracts, centrally cleared derivative contracts and margin account for exchange-traded futures, excluding mortality swaps, at March 31, 2016 and December 31, 2015 are reflected in the following table (dollars in thousands):
 
 
March 31, 2016
 
December 31, 2015
Estimated fair value of derivatives in net asset position
 
$
285,180

 
$
248,968

Cash provided as collateral(1)
 
9,409

 
12,540

Securities pledged to counterparties as collateral(2)
 
74,663

 
47,149

Cash pledged from counterparties as collateral(3)
 
(265,257
)
 
(245,038
)
Securities pledged from counterparties as collateral(4)
 
(32,953
)
 
(20,888
)
Initial margin for cleared derivatives(2)
 
(65,036
)
 
(34,898
)
Net credit exposure
 
$
6,006

 
$
7,833

Margin account related to exchange-traded futures(5)
 
$
12,764

 
$
11,004

 
(1)
Consists of receivable from counterparty, included in other assets.
(2)
Included in available-for-sale securities, primarily consists of U.S. Treasury and government agency securities.
(3)
Included in cash and cash equivalents, with obligation to return cash collateral recorded in other liabilities.
(4)
Consists of U.S. Treasury and government securities securities.
(5)
Included in other assets.