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Derivative Instruments (Tables)
 6 Months Ended
Jun. 30, 2013
Derivative Instruments [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, 2013 and December 31, 2012 (dollars in thousands):
 
 
 
June 30, 2013
 
December 31, 2012
 
 
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
 
$
1,531,811

 
$
54,742

 
$
16,971

 
$
2,195,059

 
$
123,085

 
$
17,867

Interest rate options
 
240,000

 
8,073

 
—

 
—

 
—

 
—

Financial futures
 
110,328

 
—

 
—

 
127,877

 
—

 
—

Foreign currency forwards
 
83,387

 
148

 
9,484

 
74,400

 
1,017

 
2,105

Consumer price index swaps
 
74,840

 
234

 
257

 
85,135

 
1,446

 
—

Credit default swaps
 
709,700

 
3,975

 
6,632

 
714,000

 
2,228

 
5,922

Equity options
 
727,641

 
61,102

 
—

 
696,776

 
62,514

 
—

Synthetic guaranteed investment contracts
 
3,469,027

 
—

 
—

 
2,018,073

 
—

 
—

Embedded derivatives in:
 
 
 
 
 
 
 
 
 
 
 
 
Modified coinsurance or funds withheld arrangements
 
—

 
—

 
108,473

 
—

 
—

 
243,177

Indexed annuity products
 
—

 
—

 
793,586

 
—

 
—

 
740,256

Variable annuity products
 
—

 
—

 
84,982

 
—

 
—

 
172,105

Total non-hedging derivatives
 
6,946,734

 
128,274

 
1,020,385

 
5,911,320

 
190,290

 
1,181,432

Derivatives designated as hedging instruments:
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
50,349

 
—

 
5,058

 
57,275

 
344

 
786

Foreign currency swaps
 
729,890

 
18,298

 
2,498

 
629,512

 
—

 
27,398

Total hedging derivatives
 
780,239

 
18,298

 
7,556

 
686,787

 
344

 
28,184

Total derivatives
 
$
7,726,973

 
$
146,572

 
$
1,027,941

 
$
6,598,107

 
$
190,634

 
$
1,209,616
Offsetting Assets And Liabilities
The following table provides information relating to the Company’s derivative instruments as of June 30, 2013 and December 31, 2012 (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     
 
Cash Collateral   
Pledged/
Received
 
Net Amount   
June 30, 2013:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
 
$
146,572

 
$
(27,781
)
 
$
118,791

 
$
(17,010
)
 
$
(89,829
)
 
$
11,952

Derivative liabilities
 
40,900

 
(27,781
)
 
13,119

 
(2,722
)
 
(6,950
)
 
3,447

December 31, 2012:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
 
$
190,634

 
$
(22,426
)
 
$
168,208

 
$
(22,458
)
 
$
(136,414
)
 
$
9,336

Derivative liabilities
 
54,078

 
(22,426
)
 
31,652

 
(1,565
)
 
(27,867
)
 
2,220
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, 2013 and 2012 (dollars in thousands):
 
 
Three months ended June 30,
 
 
2013
 
2012
Accumulated other comprehensive income (loss), balance beginning of period
 
$
1,961

 
$
(862
)
Gains (losses) deferred in other comprehensive income (loss) on the effective portion of cash flow hedges
 
(6,797
)
 
464

Amounts reclassified to investment income
 
(201
)
 
(321
)
Accumulated other comprehensive income (loss), balance end of period
 
$
(5,037
)
 
$
(719
)
 
 
 
 
 
 
 
Six months ended June 30,
 
 
2013
 
2012
Accumulated other comprehensive income (loss), balance beginning of period
 
$
403

 
$
(828
)
Gains (losses) deferred in other comprehensive income (loss) on the effective portion of cash flow hedges
 
(4,934
)
 
787

Amounts reclassified to investment income
 
(506
)
 
(678
)
Accumulated other comprehensive income (loss), balance end of period
 
$
(5,037
)
 
$
(719
)
Schedule of Cash Flow Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block]
The following table presents the effects of derivatives in cash flow hedging relationships on the condensed consolidated statements of income and AOCI for the three and six months ended June 30, 2013 and 2012 (dollars in thousands):
 
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, 2013:
 
 
 
 
 
 
 
 
 
Interest rate swaps
$
(6,797
)
 
$
—

 
$
201

 
$
31

 
$
—

 For the three months ended June 30, 2012:
 
 
 
 
 
 
 
 
 
Interest rate swaps
$
464

 
$
—

 
$
321

 
$
27

 
$
—

For the six months ended June 30, 2013:
 
 
 
 
 
 
 
 
 
Interest rate swaps
$
(4,934
)
 
$
—

 
$
506

 
$
14

 
$
—

For the six months ended June 30, 2012:
 
 
 
 
 
 
 
 
 
Interest rate swaps
$
787

 
$
—

 
$
678

 
$
3

 
$
—
Derivatives Hedging Instruments In Net Investment Hedging Relationships
The following table illustrates the Company’s net investments in foreign operations (“NIFO”) hedges for the three and six months ended June 30, 2013 and 2012 (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) (2)
 
2013
 
2012
 
2013
 
2012
Foreign currency swaps
 
$
23,913

 
$
6,642

 
$
34,835

 
$
(4,003
)
 
(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.
Derivative Instruments Gain Loss By Income Statement Location
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, 2013 and 2012 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)
 
2013
 
2012
Interest rate swaps
 
Investment related gains (losses), net
 
$
(38,415
)
 
$
73,342

Interest rate options
 
Investment related gains (losses), net
 
(7,981
)
 
—

Financial futures
 
Investment related gains (losses), net
 
714

 
11,074

Foreign currency forwards
 
Investment related gains (losses), net
 
(2,958
)
 
516

CPI swaps
 
Investment related gains (losses), net
 
(1,117
)
 
(1,431
)
Credit default swaps
 
Investment related gains (losses), net
 
2,427

 
(4,795
)
Equity options
 
Investment related gains (losses), net
 
(5,049
)
 
3,367

Embedded derivatives in:
 
 
 
 
 
 
Modco or funds withheld arrangements
 
Investment related gains (losses), net
 
47,717

 
(4,453
)
Indexed annuity products
 
Policy acquisition costs and other insurance expenses
 
—

 
859

Indexed annuity products
 
Interest credited
 
(28,019
)
 
26,279

Variable annuity products
 
Investment related gains (losses), net
 
35,809

 
(74,929
)
Total non-hedging derivatives
 
 
 
$
3,128

 
$
29,829

 
 
 
 
 
 
 
 
 
 
 
Gain (Loss) for the Six Months Ended        
June 30,
Type of Non-hedging Derivative
 
Income Statement Location of Gain (Loss)
 
2013
 
2012
Interest rate swaps
 
Investment related gains (losses), net
 
$
(60,679
)
 
$
25,990

Interest rate options
 
Investment related gains (losses), net
 
(5,998
)
 
—

Financial futures
 
Investment related gains (losses), net
 
(6,167
)
 
(6,335
)
Foreign currency forwards
 
Investment related gains (losses), net
 
(8,617
)
 
(1,093
)
CPI swaps
 
Investment related gains (losses), net
 
(1,988
)
 
(2,233
)
Credit default swaps
 
Investment related gains (losses), net
 
6,332

 
7,019

Equity options
 
Investment related gains (losses), net
 
(35,672
)
 
(34,616
)
Embedded derivatives in:
 
 
 
 
 
 
Modco or funds withheld arrangements
 
Investment related gains (losses), net
 
137,974

 
(13,881
)
Indexed annuity products
 
Policy acquisition costs and other insurance expenses
 
—

 
(139
)
Indexed annuity products
 
Interest credited
 
(61,015
)
 
7,538

Variable annuity products
 
Investment related gains (losses), net
 
87,123

 
71,446

Total non-hedging derivatives
 
 
 
$
51,293

 
$
53,696
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 June 30, 2013 and December 31, 2012 (dollars in thousands):
 
 
June 30, 2013
 
December 31, 2012
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-/A+/A/A-
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps
 
$
(1,149
)
 
$
122,500

 
5.4

 
$
(2,077
)
 
$
124,500

 
5.9

Credit default swaps referencing indices
 
—

 
—

 
—

 
—

 
—

 
—

Subtotal
 
(1,149
)
 
122,500

 
5.4

 
(2,077
)
 
124,500

 
5.9

BBB+/BBB/BBB-
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps
 
(3,821
)
 
133,200

 
5.6

 
(2,345
)
 
135,500

 
5.5

Credit default swaps referencing indices
 
2,551

 
430,000

 
4.5

 
937

 
430,000

 
5.0

Subtotal
 
(1,270
)
 
563,200

 
4.7

 
(1,408
)
 
565,500

 
5.1

BB+
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps
 
(101
)
 
6,000

 
4.0

 
(222
)
 
6,000

 
4.5

Credit default swaps referencing indices
 
—

 
—

 
—

 
—

 
—

 
—

Subtotal
 
(101
)
 
6,000

 
4.0

 
(222
)
 
6,000

 
4.5

Total
 
$
(2,520
)
 
$
691,700

 
4.8

 
$
(3,707
)
 
$
696,000

 
5.2

 
(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 and six months ended June 30, 2013 and 2012 are reflected in the following table (dollars in thousands):
 
Three months ended June 30,
 
Six months ended June 30,
 
2013
 
2012
 
2013
 
2012
Embedded derivatives in modco or funds withheld arrangements included in investment related gains
$
47,717

 
$
(4,453
)
 
$
137,974

 
$
(13,881
)
After the associated amortization of DAC and taxes, the related amounts included in net income
13,911

 
(2,598
)
 
35,535

 
(665
)
Embedded derivatives in variable annuity contracts included in investment related gains
35,809

 
(74,929
)
 
87,123

 
71,446

After the associated amortization of DAC and taxes, the related amounts included in net income
29,082

 
(16,175
)
 
41,274

 
(1,093
)
Amounts related to embedded derivatives in equity-indexed annuities included in benefits and expenses
(28,019
)
 
27,138

 
(61,015
)
 
7,399

After the associated amortization of DAC and taxes, the related amounts included in net income
(30,845
)
 
15,378

 
(60,395
)
 
29,248
Credit Risk
Information regarding the Company’s credit exposure related to its over-the-counter derivative contracts and margin account for exchange-traded futures at June 30, 2013 and December 31, 2012 are reflected in the following table (dollars in thousands):
 
 
 
June 30, 2013
 
December 31, 2012
Estimated fair value of derivatives in net asset position
 
$
105,672

 
$
136,558

Cash provided as collateral(1)
 
6,950

 
27,867

Securities pledged to counterparties as collateral(2)
 
2,722

 
1,565

Cash pledged from counterparties as collateral(3)
 
(89,829
)
 
(136,414
)
Securities pledged from counterparties as collateral(4)
 
(17,010
)
 
(22,458
)
Net credit exposure
 
$
8,505

 
$
7,118

Margin account related to exchange-traded futures(5)
 
$
5,251

 
$
5,605

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