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Derivative Instruments (Tables) | 6 Months Ended
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Jun. 30, 2012
Derivative Instruments [Abstract] |
Schedule Of Derivative Instruments In Statement Of Financial Position Fair Value |
|  |  |  |  | June 30, 2012 |  |  | December 31, 2011
|  |  |  |  |  | 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) | $ | 2,875,588 |  | $ | 344,157 |  | $ | 188,142 |  |  | $ | 2,748,317 |  | $ | 184,842 |  | $ | 18,702
| Financial futures(1) |  | 245,481 |  |  | -- |  |  | -- |  |  |  | 277,814 |  |  | -- |  |  | --
| Foreign currency forwards(1) |  | 44,400 |  |  | 3,275 |  |  | -- |  |  |  | 24,400 |  |  | 4,560 |  |  | --
| Consumer price index swaps(1) |  | 101,455 |  |  | 388 |  |  | -- |  |  |  | 101,069 |  |  | 766 |  |  | --
| Credit default swaps(1) |  | 644,500 |  |  | 990 |  |  | 7,812 |  |  |  | 649,500 |  |  | 1,313 |  |  | 10,949
| Equity options(1) |  | 710,461 |  |  | 94,300 |  |  | -- |  |  |  | 510,073 |  |  | 90,106 |  |  | --
| Synthetic guaranteed investment contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | ("GICs")(1) |  | 1,003,914 |  |  | -- |  |  | -- |  |  |  | -- |  |  | -- |  |  | --
| Embedded derivatives in: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Modified coinsurance or funds |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  |  | withheld arrangements(2) |  | -- |  |  | -- |  |  | 375,337 |  |  |  | -- |  |  | -- |  |  | 361,456
|  | Indexed annuity products(3) |  | -- |  |  | 4,416 |  |  | 733,655 |  |  |  | -- |  |  | 4,945 |  |  | 751,523
|  | Variable annuity products(3) |  | -- |  |  | -- |  |  | 205,272 |  |  |  | -- |  |  | -- |  |  | 276,718
| Total non-hedging derivatives |  | 5,625,799 |  |  | 447,526 |  |  | 1,510,218 |  |  |  | 4,311,173 |  |  | 286,532 |  |  | 1,419,348
Derivatives designated as |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Interest rate swaps(1) |  | 56,465 |  |  | 1,044 |  |  | 325 |  |  |  | 56,250 |  |  | 133 |  |  | 960
| Foreign currency swaps(1) |  | 646,653 |  |  | 236 |  |  | 23,390 |  |  |  | 621,578 |  |  | 286 |  |  | 23,996
| Total hedging derivatives |  | 703,118 |  |  | 1,280 |  |  | 23,715 |  |  |  | 677,828 |  |  | 419 |  |  | 24,956
Total derivatives | $ | 6,328,917 |  | $ | 448,806 |  | $ | 1,533,933 |  |  | $ | 4,989,001 |  | $ | 286,951 |  | $ | 1,444,304
(1) | Carried on the Company’s condensed consolidated balance sheets in other invested assets or other liabilities, at fair value.
(2) | Embedded liability is included on the condensed consolidated balance sheets with the host contract in funds withheld at interest, at fair value.
(3) | Embedded liability is included on the condensed consolidated balance sheets with the host contract in interest-sensitive contract liabilities, at fair value. Embedded asset is included on the condensed consolidated balance sheets in reinsurance ceded receivables.
Net Derivatives Gains Losses Recognized On Fair Value Derivatives And Related Hedged Items |
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 June 30, 2011: |  |  |  |  |  |  |
Interest rate swaps |  |  | Fixed rate fixed maturities |  | $ | (489) |  | $ | 694 |  | $ | 205
For the six months ended June 30, 2011: |  |  |  |  |  |  |
Interest rate swaps |  |  | Fixed rate fixed maturities |  | $ | (266) |  | $ | 596 |  | $ | 330
Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss) [Table Text Block] |
| Three months ended |  | Six months ended
| June 30, 2012 |  | June 30, 2012
Accumulated other comprehensive income (loss), balance beginning of period | $ | (862) |  | $ | (828)
Gains (losses) deferred in other comprehensive income (loss) on the effective portion of cash flow hedges |  | 464 |  |  | 787
Amounts reclassified to investment related gains (losses), net |  | -- |  |  | --
Amounts reclassified to investment income |  | (321) |  |  | (678)
Accumulated other comprehensive income (loss), balance end of period | $ | (719) |  | $ | (719)
Schedule of Cash Flow Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block] |
Derivatives in Cash Flow Hedging Relationships |  | Amount of Gains (Losses) Deferred in AOCI on Derivatives |  | Amount and Location of Gains (Losses) Reclassified from AOCI into Income (Loss) |  | Amount and Location of Gains (Losses) Recognized in Income (Loss) on Derivatives
|  | (Effective Portion) |  | (Effective Portion) |  | (Ineffective Portion and Amounts Excluded from Effectiveness Testing)
|  |  |  |  | Investment Related Gains (Losses) |  | Investment Income |  | Investment Related Gains (Losses) |  | Investment Income
For the three months ended June 30, 2012: |  |  |  |  |  |  |  |  |
Interest rate swaps |  | $ | 464 |  | $ | -- |  | $ | 321 |  | $ | 27 |  | $ | --
For the six months ended June 30, 2012: |  |  |  |  |  |  |  |  |
Interest rate swaps |  | $ | 787 |  | $ | -- |  | $ | 678 |  | $ | 3 |  | $ | --
Derivatives Hedging Instruments In Net Investment Hedging Relationships |
|  |  | Derivative Gains (Losses) Deferred in AOCI
|  |  | For the three months ended |  | For the six months ended
Type of NIFO Hedge (1) (2) |  | 2012 |  | 2011 |  | 2012 |  |  | 2011
Foreign currency swaps |  | $ | 6,642 |  | $ | (9,916) |  | $ | (4,003) |  | $ | (25,020)
(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.
Changes In Estimated Fair Value Related To Embedded Derivatives |
|  | Three months ended |  | Six months ended
|  | June 30, |  | June 30,
|  | 2012 |  | 2011 |  | 2012 |  | 2011
Embedded derivatives in modco or funds withheld arrangements included |  |  |  |  |  |  |  |  |  |  |
| in investment related gains | $ | (4,453) |  | $ | 10,525 |  | $ | (13,881) |  | $ | 101,060
After the associated amortization of DAC and taxes, the related amounts included in net income |  | (2,598) |  |  | 3,788 |  |  | (665) |  |  | 22,971
Embedded derivatives in variable annuity contracts included in investment related gains |  | (74,929) |  |  | (25,860) |  |  | 71,446 |  |  | 6,794
After the associated amortization of DAC and taxes, the related amounts included in net income |  | (16,175) |  |  | (7,414) |  |  | (1,093) |  |  | 1,387
Amounts related to embedded derivatives in equity-indexed annuities included |  |  |  |  |  |  |  |  |  |  |
| in benefits and expenses |  | 27,138 |  |  | (32,077) |  |  | 7,399 |  |  | (73,348)
After the associated amortization of DAC and taxes, the related amounts included in net income |  | 15,378 |  |  | (13,192) |  |  | 29,248 |  |  | (49,842)
Derivative Instruments Gain Loss By Income Statement Location |
Non-hedging Derivatives |  |  |  |  |  |  |  |  |
A summary of the effect of non-hedging derivatives, including embedded derivatives, on the Company’s income statement for the three and six months ended June 30, 2012 and 2011 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) |  | 2012 |  | 2011
Interest rate swaps |  | Investment related gains (losses), net |  | $ | 73,342 |  | $ | 25,343
Financial futures |  | Investment related gains (losses), net |  |  | 11,074 |  |  | (2,873)
Foreign currency forwards |  | Investment related gains (losses), net |  |  | 516 |  |  | 595
CPI swaps |  | Investment related gains (losses), net |  |  | (1,431) |  |  | 503
Credit default swaps |  | Investment related gains (losses), net |  |  | (4,795) |  |  | 988
Equity options |  | Investment related gains (losses), net |  |  | 3,367 |  |  | 3,919
Embedded derivatives in: |  |  |  |  |  |  |  |  |
| Modified coinsurance or funds withheld |  |  |  |  |  |  |  |
|  | arrangements |  | Investment related gains (losses), net |  |  | (4,453) |  |  | 10,525
| Indexed annuity products |  | Policy acquisition costs and other insurance |  |  |  |  |  |
|  |  |  |  | expenses |  |  | 859 |  |  | 4,026
| Indexed annuity products |  | Interest credited |  |  | 26,279 |  |  | (36,101)
| Variable annuity products |  | Investment related gains (losses), net |  |  | (74,929) |  |  | (25,860)
Total non-hedging derivatives |  |  |  |  | $ | 29,829 |  | $ | (18,935)
|  |  |  |  |  |  | Gain (Loss) for the Six Months Ended
|  |  |  |  |  |  | June 30,
Type of Non-hedging Derivative |  | Income Statement Location of Gain (Loss) |  | 2012 |  | 2011
Interest rate swaps |  | Investment related gains (losses), net |  | $ | 25,990 |  | $ | 14,613
Financial futures |  | Investment related gains (losses), net |  |  | (6,335) |  |  | (14,296)
Foreign currency forwards |  | Investment related gains (losses), net |  |  | (1,093) |  |  | (260)
CPI swaps |  | Investment related gains (losses), net |  |  | (2,233) |  |  | 1,315
Credit default swaps |  | Investment related gains (losses), net |  |  | 7,019 |  |  | 1,880
Equity options |  | Investment related gains (losses), net |  |  | (34,616) |  |  | (650)
Embedded derivatives in: |  |  |  |  |  |  |  |  |
| Modified coinsurance or funds withheld |  |  |  |  |  |  |  |
|  | arrangements |  | Investment related gains (losses), net |  |  | (13,881) |  |  | 101,060
| Indexed annuity products |  | Policy acquisition costs and other insurance |  |  |  |  |  |
|  |  |  |  | expenses |  |  | (139) |  |  | 12,119
| Indexed annuity products |  | Interest credited |  |  | 7,538 |  |  | (85,466)
| Variable annuity products |  | Investment related gains (losses), net |  |  | 71,446 |  |  | 6,794
Total non-hedging derivatives |  |  |  |  | $ | 53,696 |  | $ | 37,109
Credit Risk |
|  |  | June 30, 2012 |  | December 31, 2011 |  |
Estimated fair value of derivatives in net asset position | $ | 224,721 |  | $ | 227,399 |  |
| Securities pledged to counterparties as collateral(1) |  | 22,654 |  |  | 27,052 |  |
| Cash pledged from counterparties as collateral(2) |  | (226,384) |  |  | (241,480) |  |
| Securities pledged from counterparties as collateral(3) |  | (31,404) |  |  | (997) |  |
Net credit exposure | $ | (10,413) |  | $ | 11,974 |  |
Margin account related to exchange-traded futures(2) | $ | 9,564 |  | $ | 18,153 |  |
(1) | Consists of U.S. Treasury securities, included in other invested assets. |  |  |  |  |
(2) | Included in cash and cash equivalents. |  |  |  |  |
(3) | Consists of U.S. Treasury securities. |  |  |  |  |

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- Definition Tabular disclosure of the effective portion of gains and losses on derivative instruments (and nonderivative instruments) designated and qualifying in cash flow hedges recorded in accumulated other comprehensive income (loss) during the term of the hedging relationship and reclassified into earnings during the current period. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Topic 815 -SubTopic 10 -Publisher FASB -Number -Article -Subparagraph (c) -Name Accounting Standards Codification -Paragraph 4C -Section 50 -URI http://asc.fasb.org/extlink&oid=6935481&loc=SL5624171-113959 + Details
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