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Derivative Instruments (Tables)
 6 Months Ended
Jun. 30, 2019
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 June 30, 2019 and December 31, 2018 (dollars in thousands):
 
 
 
 
June 30, 2019
 
December 31, 2018
 
 
Primary Underlying Risk
 
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
 
Interest rate
 
$
922,478

 
$
71,535

 
$
3,447

 
$
1,040,588

 
$
47,652

 
$
961

Financial futures
 
Equity
 
389,353

 
—

 
—

 
325,620

 
—

 
—

Foreign currency swaps
 
Foreign currency
 
149,698

 
—

 
12,194

 
149,698

 
504

 
4,659

Foreign currency forwards
 
Foreign currency
 
—

 
—

 
—

 
25,000

 
—

 
234

Consumer price index swaps
 
CPI
 
438,587

 
189

 
25,481

 
385,580

 
—

 
11,384

Credit default swaps
 
Credit
 
1,331,300

 
6,190

 
134

 
1,338,300

 
6,003

 
1,166

Equity options
 
Equity
 
371,869

 
14,644

 
—

 
439,158

 
42,836

 
—

Longevity swaps
 
Longevity
 
909,840

 
51,755

 
—

 
917,360

 
47,789

 
—

Mortality swaps
 
Mortality
 
25,000

 
—

 
853

 
25,000

 
—

 
369

Synthetic guaranteed investment contracts
 
Interest rate
 
13,526,503

 
—

 
—

 
13,397,729

 
—

 
—

Embedded derivatives in:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Modified coinsurance or funds withheld arrangements
 
 
 
—

 
112,767

 
—

 
—

 
109,597

 
—

Indexed annuity products
 
 
 
—

 
—

 
740,683

 
—

 
—

 
776,940

Variable annuity products
 
 
 
—

 
—

 
167,808

 
—

 
—

 
167,925

Total non-hedging derivatives
 
 
 
18,064,628

 
257,080

 
950,600

 
18,044,033

 
254,381

 
963,638

Derivatives designated as hedging instruments:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
Foreign currency/Interest rate
 
535,000

 
825

 
27,560

 
435,000

 
—

 
27,257

Foreign currency swaps
 
Foreign currency
 
408,910

 
28,400

 
2,425

 
494,461

 
51,311

 
—

Foreign currency forwards
 
Foreign currency
 
987,606

 
27,532

 
653

 
911,197

 
50,974

 
—

Total hedging derivatives
 
 
 
1,931,516

 
56,757

 
30,638

 
1,840,658

 
102,285

 
27,257

Total derivatives
 
 
 
$
19,996,144

 
$
313,837

 
$
981,238

 
$
19,884,691

 
$
356,666

 
$
990,895
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 June 30, 2019 and 2018, were (dollars in thousands):
Type of Fair Value Hedge
 
Hedged Item
 
Gains (Losses) Recognized for Derivatives
 
Gains (Losses) Recognized for Hedged Items
 
 
 
 
Investment Related Gains (Losses)
For the three months ended June 30, 2019:
 
 
 
 
Foreign currency swaps
 
Foreign-denominated fixed maturity securities
 
$
(3,718
)
 
$
1,118

For the three months ended June 30, 2018:
 
 
 
 
Foreign currency swaps
 
Foreign-denominated fixed maturity securities
 
$
(1,134
)
 
$
4,942

For the six months ended June 30, 2019:
 
 
 
 
Foreign currency swaps
 
Foreign-denominated fixed maturity securities
 
$
(4,426
)
 
$
415

For the six months ended June 30, 2018:
 
 
 
 
Foreign currency swaps
 
Foreign-denominated fixed maturity securities
 
$
(3,025
)
 
$
6,833
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 and six months ended June 30, 2019 and 2018 (dollars in thousands):
 
 
Three months ended June 30,
 
 
2019
 
2018
Balance beginning of period
 
$
(1,902
)
 
$
20,662

Gains (losses) deferred in other comprehensive income (loss)
 
(12,583
)
 
2,099

Amounts reclassified to investment income
 
6

 
(76
)
Amounts reclassified to interest expense
 
(383
)
 
(29
)
Balance end of period
 
$
(14,862
)
 
$
22,656

 
 
 
 
 
 
 
Six months ended June 30,
 
 
2019
 
2018
Balance beginning of period
 
$
8,788

 
$
2,619

Gains (losses) deferred in other comprehensive income (loss)
 
(22,779
)
 
19,916

Amounts reclassified to investment income
 
(19
)
 
(221
)
Amounts reclassified to interest expense
 
(852
)
 
342

Balance end of period
 
$
(14,862
)
 
$
22,656
Schedule of Cash Flow Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block]
The following table presents the effect of derivatives in cash flow hedging relationships on the condensed consolidated statements of income and the condensed consolidated statements of comprehensive income for the three and six months ended June 30, 2019 and 2018 (dollars in thousands):
Derivative Type
 
Gain (Loss) Deferred in AOCI
 
Gain (Loss) Reclassified into Income from AOCI
 
 
 
 
Investment Income
 
Interest Expense
For the three months ended June 30, 2019:
 
 
 
 
 
 
Interest rate
 
$
(9,869
)
 
$
—

 
$
383

Currency/Interest rate
 
(2,714
)
 
(6
)
 
—

Total
 
$
(12,583
)
 
$
(6
)
 
$
383

For the three months ended June 30, 2018:
 
 
 
 
 
 
Interest rate
 
$
4,742

 
$
—

 
$
29

Currency/Interest rate
 
(2,643
)
 
76

 
—

Total
 
$
2,099

 
$
76

 
$
29

 
 
 
 
 
 
 
For the six months ended June 30, 2019:
 
 
 
 
 
 
Interest rate
 
$
(21,970
)
 
$
—

 
$
852

Currency/Interest rate
 
(809
)
 
19

 
—

Total
 
$
(22,779
)
 
$
19

 
$
852

For the six months ended June 30, 2018:
 
 
 
 
 
 
Interest rate
 
$
19,727

 
$
—

 
$
(342
)
Currency/Interest rate
 
189

 
221

 
—

Total
 
$
19,916

 
$
221

 
$
(342
)
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 and six months ended June 30, 2019 and 2018 (dollars in thousands):
 
 
 
Derivative Gains (Losses) Deferred in AOCI     
 
 
For the three months ended June 30,
 
For the six months ended June 30,
Type of NIFO Hedge (1)
 
2019
 
2018
 
2019
 
2018
Foreign currency swaps
 
$
(2,486
)
 
$
8,197

 
$
(9,493
)
 
$
17,002

Foreign currency forwards
 
(5,984
)
 
11,063

 
(24,095
)
 
23,299

Total
 
$
(8,470
)
 
$
19,260

 
$
(33,588
)
 
$
40,301

 
(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.
Derivatives Not Designated as Hedging Instruments [Table Text Block]
A summary of the effect of non-hedging derivatives, including embedded derivatives, on the Company’s condensed consolidated statements of income for the three and six months ended June 30, 2019 and 2018 is as follows (dollars in thousands):
 
 
 
 
Gain (Loss) for the three months ended
June 30,
Type of Non-hedging Derivative
 
Income Statement Location of Gain (Loss)
 
2019
 
2018
Interest rate swaps
 
Investment related gains (losses), net
 
$
33,404

 
$
(8,600
)
Financial futures
 
Investment related gains (losses), net
 
(7,685
)
 
(897
)
Foreign currency swaps
 
Investment related gains (losses), net
 
(6,380
)
 
—

Foreign currency forwards
 
Investment related gains (losses), net
 
(258
)
 
(262
)
CPI swaps
 
Investment related gains (losses), net
 
(6,812
)
 
1,041

Credit default swaps
 
Investment related gains (losses), net
 
5,078

 
1,084

Equity options
 
Investment related gains (losses), net
 
(4,828
)
 
(8,007
)
Longevity swaps
 
Other revenues
 
2,184

 
2,289

Mortality swaps
 
Other revenues
 
(1,342
)
 
(799
)
Subtotal
 
 
 
13,361

 
(14,151
)
Embedded derivatives in:
 
 
 
 
 
 
Modified coinsurance or funds withheld arrangements
 
Investment related gains (losses), net
 
5,262

 
8,805

Indexed annuity products
 
Interest credited
 
(8,459
)
 
6,519

Variable annuity products
 
Investment related gains (losses), net
 
(18,044
)
 
15,324

Total non-hedging derivatives
 
 
 
$
(7,880
)
 
$
16,497

 
 
 
 
 
 
 
 
 
 
 
Gain (Loss) for the six months ended        
June 30,
Type of Non-hedging Derivative
 
Income Statement Location of Gain (Loss)
 
2019
 
2018
Interest rate swaps
 
Investment related gains (losses), net
 
$
57,378

 
$
(35,171
)
Financial futures
 
Investment related gains (losses), net
 
(29,963
)
 
(768
)
Foreign currency swaps
 
Investment related gains (losses), net
 
(5,657
)
 
—

Foreign currency forwards
 
Investment related gains (losses), net
 
234

 
61

CPI swaps
 
Investment related gains (losses), net
 
(15,663
)
 
3,227

Credit default swaps
 
Investment related gains (losses), net
 
19,578

 
682

Equity options
 
Investment related gains (losses), net
 
(27,512
)
 
(5,414
)
Longevity swaps
 
Other revenues
 
4,327

 
4,557

Mortality swaps
 
Other revenues
 
(484
)
 
(799
)
Subtotal
 
 
 
2,238

 
(33,625
)
Embedded derivatives in:
 
 
 
 
 
 
Modified coinsurance or funds withheld arrangements
 
Investment related gains (losses), net
 
3,170

 
22,416

Indexed annuity products
 
Interest credited
 
(5,389
)
 
31,870

Variable annuity products
 
Investment related gains (losses), net
 
117

 
30,109

Total non-hedging derivatives
 
 
 
$
136

 
$
50,770
Disclosure of Credit Derivatives [Table Text Block]
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 June 30, 2019 and December 31, 2018 (dollars in thousands):
 
 
June 30, 2019
 
December 31, 2018
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)  
AAA/AA+/AA/AA-/A+/A/A-
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps
 
$
2,015

 
$
147,000

 
2.1
 
$
1,953

 
$
152,000

 
2.2
Subtotal
 
2,015

 
147,000

 
2.1
 
1,953

 
152,000

 
2.2
BBB+/BBB/BBB-
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps
 
3,762

 
321,700

 
2.0
 
2,930

 
353,700

 
2.2
Credit default swaps referencing indices
 
288

 
852,600

 
4.8
 
(76
)
 
817,600

 
6.4
Subtotal
 
4,050

 
1,174,300

 
4.1
 
2,854

 
1,171,300

 
5.1
BB+/BB/BB-
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps
 
(9
)
 
10,000

 
0.3
 
30

 
15,000

 
0.7
Subtotal
 
(9
)
 
10,000

 
0.3
 
30

 
15,000

 
0.7
Total
 
$
6,056

 
$
1,331,300

 
3.8
 
$
4,837

 
$
1,338,300

 
4.7
(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.
Offsetting Assets [Table Text Block]
The following table provides information relating to the Company’s derivative instruments as of June 30, 2019 and December 31, 2018 (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   
June 30, 2019:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
 
$
201,070

 
$
(26,831
)
 
$
174,239

 
$
—

 
$
(189,265
)
 
$
(15,026
)
Derivative liabilities
 
72,747

 
(26,831
)
 
45,916

 
(72,803
)
 
(56,310
)
 
(83,197
)
December 31, 2018:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
 
$
247,069

 
$
(18,581
)
 
$
228,488

 
$
—

 
$
(235,611
)
 
$
(7,123
)
Derivative liabilities
 
46,030

 
(18,581
)
 
27,449

 
(71,376
)
 
(24,080
)
 
(68,007
)
(1)
Includes initial margin posted to a central clearing partner.
Offsetting Liabilities [Table Text Block]
The following table provides information relating to the Company’s derivative instruments as of June 30, 2019 and December 31, 2018 (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   
June 30, 2019:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
 
$
201,070

 
$
(26,831
)
 
$
174,239

 
$
—

 
$
(189,265
)
 
$
(15,026
)
Derivative liabilities
 
72,747

 
(26,831
)
 
45,916

 
(72,803
)
 
(56,310
)
 
(83,197
)
December 31, 2018:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
 
$
247,069

 
$
(18,581
)
 
$
228,488

 
$
—

 
$
(235,611
)
 
$
(7,123
)
Derivative liabilities
 
46,030

 
(18,581
)
 
27,449

 
(71,376
)
 
(24,080
)
 
(68,007
)
(1)
Includes initial margin posted to a central clearing partner.