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Derivative Instruments (Tables)
 6 Months Ended
Jun. 30, 2015
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, 2015 and December 31, 2014 (dollars in thousands):
 
 
June 30, 2015
 
December 31, 2014
 
 
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
 
$
966,658

 
$
71,399

 
$
11,025

 
$
1,144,661

 
$
93,783

 
$
3,934

Interest rate options
 
—

 
—

 
—

 
240,000

 
18,195

 
—

Financial futures
 
313,905

 
—

 
—

 
275,983

 
—

 
—

Foreign currency forwards
 
60,000

 
129

 
7,551

 
67,967

 
87

 
15,098

Consumer price index swaps
 
39,537

 
34

 
57

 
41,938

 
—

 
561

Credit default swaps
 
891,700

 
11,757

 
3,937

 
805,700

 
11,689

 
3,502

Equity options
 
483,830

 
44,883

 
—

 
555,361

 
35,242

 
—

Longevity swaps
 
891,760

 
10,853

 
—

 
450,000

 
7,727

 
—

Mortality swaps
 
50,000

 
—

 
1,754

 
50,000

 
—

 
797

Synthetic guaranteed investment contracts
 
6,594,770

 
—

 
—

 
6,500,942

 
—

 
—

Embedded derivatives in:
 
 
 
 
 
 
 
 
 
 
 
 
Modified coinsurance or funds withheld arrangements
 
—

 
—

 
3,329

 
—

 
22,094

 
—

Indexed annuity products
 
—

 
—

 
935,619

 
—

 
—

 
925,887

Variable annuity products
 
—

 
—

 
133,535

 
—

 
—

 
159,279

Total non-hedging derivatives
 
10,292,160

 
139,055

 
1,096,807

 
10,132,552

 
188,817

 
1,109,058

Derivatives designated as hedging instruments:
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
120,000

 
—

 
23,662

 
120,000

 
—

 
18,228

Foreign currency swaps
 
715,641

 
88,303

 
413

 
676,972

 
70,906

 
—

Forward bond purchase commitments
 
—

 
—

 
—

 
196,452

 
1,175

 
14,545

Total hedging derivatives
 
835,641

 
88,303

 
24,075

 
993,424

 
72,081

 
32,773

Total derivatives
 
$
11,127,801

 
$
227,358

 
$
1,120,882

 
$
11,125,976

 
$
260,898

 
$
1,141,831
Offsetting Assets And Liabilities
The following table provides information relating to the Company’s derivative instruments as of June 30, 2015 and December 31, 2014 (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, 2015:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
 
$
227,358

 
$
(22,230
)
 
$
205,128

 
$
(15,587
)
 
$
(160,768
)
 
$
28,773

Derivative liabilities
 
48,399

 
(22,230
)
 
26,169

 
(54,692
)
 
(4,940
)
 
(33,463
)
December 31, 2014:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
 
$
238,804

 
$
(14,111
)
 
$
224,693

 
$
(20,260
)
 
$
(178,141
)
 
$
26,292

Derivative liabilities
 
56,665

 
(14,111
)
 
42,554

 
(47,222
)
 
—

 
(4,668
)
The Company has elected to include all derivatives, except embedded derivatives, in the tables below, irrespective of whether the
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, 2015 and 2014 (dollars in thousands):
 
 
Three months ended June 30,
 
 
2015
 
2014
Accumulated other comprehensive income (loss), balance beginning of period
 
$
(30,598
)
 
$
(4,020
)
Gains (losses) deferred in other comprehensive income (loss) on the effective portion of cash flow hedges
 
8,735

 
4,798

Amounts reclassified to investment related gains (losses), net
 
(1,495
)
 
—

Amounts reclassified to investment income
 
(543
)
 
(321
)
Accumulated other comprehensive income (loss), balance end of period
 
$
(23,901
)
 
$
457

 
 
 
 
 
 
 
Six months ended June 30,
 
 
2015
 
2014
Accumulated other comprehensive income (loss), balance beginning of period
 
$
(31,591
)
 
$
(4,578
)
Gains (losses) deferred in other comprehensive income (loss) on the effective portion of cash flow hedges
 
8,948

 
5,574

Amounts reclassified to investment related gains (losses), net
 
(655
)
 
—

Amounts reclassified to investment income
 
(603
)
 
(539
)
Accumulated other comprehensive income (loss), balance end of period
 
$
(23,901
)
 
$
457
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, 2015 and 2014 (dollars in thousands):
 
 
 
Effective Portion
 
 
 
Ineffective Portion
 
 
Derivative Type
 
Gain (Loss) Recognized in OCI
 
Gain (Loss) Reclassified into Income from OCI
 
Classification of Gain (Loss) Reclassified into Net Income
 
Gain (Loss) Recognized in Income
 
Classification of Gain (Loss) Recognized in Net Income
For the three months ended June 30, 2015:
Interest rate swaps
 
$
2,417

 
$
231

 
Investment Income
 
$
—

 
Investment related gains (losses)
Forward bond purchase commitments:
 
 
 
 
 
 
 
 
Principal
 
6,318

 
1,495

 
Investment related gains (losses)
 
—

 
Investment related gains (losses)
Interest
 
—

 
312

 
Investment Income
 
—

 
Investment related gains (losses)
Total
 
$
8,735

 
$
2,038

 
 
 
$
—

 
 
For the three months ended June 30, 2014:
Interest rate swaps
 
$
4,798

 
$
321

 
Investment Income
 
$
7

 
Investment related gains (losses)
 
 
 
 
 
 
 
 
 
 
 
For the six months ended June 30, 2015:
 
 
 
 
 
 
Interest rate swaps
 
$
(5,150
)
 
$
291

 
Investment Income
 
$
7

 
Investment related gains (losses)
Forward bond purchase commitments:
 
 
 
 
 
 
 
 
Principal
 
14,098

 
655

 
Investment related gains (losses)
 
—

 
Investment related gains (losses)
Interest
 
—

 
312

 
Investment Income
 
—

 
Investment related gains (losses)
Total
 
$
8,948

 
$
1,258

 
 
 
$
7

 
 
For the six months ended June 30, 2014:
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
5,574

 
$
539

 
Investment Income
 
$
1

 
Investment related gains (losses)
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, 2015 and 2014 (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)
 
2015
 
2014
 
2015
 
2014
Foreign currency swaps
 
$
(12,945
)
 
$
(22,335
)
 
$
37,021

 
$
744

 
(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, 2015 and 2014 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)
 
2015
 
2014
Interest rate swaps
 
Investment related gains (losses), net
 
$
(41,729
)
 
$
22,251

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

 
2,004

Financial futures
 
Investment related gains (losses), net
 
(2,183
)
 
(7,684
)
Foreign currency forwards
 
Investment related gains (losses), net
 
(1,433
)
 
1,178

CPI swaps
 
Investment related gains (losses), net
 
168

 
114

Credit default swaps
 
Investment related gains (losses), net
 
(187
)
 
4,783

Equity options
 
Investment related gains (losses), net
 
(2,606
)
 
(8,800
)
Longevity swaps
 
Other revenues
 
1,911

 
—

Mortality swaps
 
Other revenues
 
(478
)
 
—

Subtotal
 
 
 
(46,537
)
 
13,846

Embedded derivatives in:
 
 
 
 
 
 
Modified coinsurance or funds withheld arrangements
 
Investment related gains (losses), net
 
(23,098
)
 
78,835

Indexed annuity products
 
Interest credited
 
8,080

 
(27,285
)
Variable annuity products
 
Investment related gains (losses), net
 
50,878

 
(5,183
)
Total non-hedging derivatives
 
 
 
$
(10,677
)
 
$
60,213

 
 
 
 
 
 
 
 
 
 
 
Gain (Loss) for the six months ended        
June 30,
Type of Non-hedging Derivative
 
Income Statement Location of Gain (Loss)
 
2015
 
2014
Interest rate swaps
 
Investment related gains (losses), net
 
$
(12,385
)
 
$
51,904

Interest rate options
 
Investment related gains (losses), net
 
3,275

 
3,286

Financial futures
 
Investment related gains (losses), net
 
(9,514
)
 
(9,268
)
Foreign currency forwards
 
Investment related gains (losses), net
 
(1,653
)
 
2,332

CPI swaps
 
Investment related gains (losses), net
 
97

 
467

Credit default swaps
 
Investment related gains (losses), net
 
2,471

 
2,669

Equity options
 
Investment related gains (losses), net
 
(10,672
)
 
(17,765
)
Longevity swaps
 
Other revenues
 
3,731

 
—

Mortality swaps
 
Other revenues
 
(957
)
 
—

Subtotal
 
 
 
(25,607
)
 
33,625

Embedded derivatives in:
 
 
 
 
 
 
Modified coinsurance or funds withheld arrangements
 
Investment related gains (losses), net
 
(25,423
)
 
156,076

Indexed annuity products
 
Interest credited
 
(21,246
)
 
(51,125
)
Variable annuity products
 
Investment related gains (losses), net
 
25,745

 
(28,844
)
Total non-hedging derivatives
 
 
 
$
(46,531
)
 
$
109,732
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, 2015 and December 31, 2014 (dollars in thousands):
 
 
June 30, 2015
 
December 31, 2014
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
 
$
2,250

 
$
189,500

 
4.6

 
$
1,498

 
$
167,500

 
4.6

Credit default swaps referencing indices
 
—

 
—

 
—

 
—

 
—

 
—

Subtotal
 
2,250

 
189,500

 
4.6

 
1,498

 
167,500

 
4.6

BBB+/BBB/BBB-
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps
 
(182
)
 
281,200

 
4.8

 
168

 
217,200

 
4.9

Credit default swaps referencing indices
 
5,923

 
416,000

 
5.0

 
6,651

 
416,000

 
5.0

Subtotal
 
5,741

 
697,200

 
4.9

 
6,819

 
633,200

 
4.9

BB+
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps
 
(171
)
 
5,000

 
4.0

 
(130
)
 
5,000

 
4.5

Credit default swaps referencing indices
 
—

 
—

 
—

 
—

 
—

 
—

Subtotal
 
(171
)
 
5,000

 
4.0

 
(130
)
 
5,000

 
4.5

Total
 
$
7,820

 
$
891,700

 
4.8

 
$
8,187

 
$
805,700

 
4.9

 
(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, 2015 and 2014 are reflected in the following table (dollars in thousands):
 
Three months ended June 30,
 
Six months ended June 30,
 
2015
 
2014
 
2015
 
2014
Embedded derivatives in modco or funds withheld arrangements included in investment related gains
$
(23,098
)
 
$
78,835

 
$
(25,423
)
 
$
156,076

After the associated amortization of DAC and taxes, the related amounts included in net income
(3,917
)
 
17,962

 
(6,504
)
 
36,042

Embedded derivatives in variable annuity contracts included in investment related gains
50,878

 
(5,183
)
 
25,745

 
(28,844
)
After the associated amortization of DAC and taxes, the related amounts included in net income
19,608

 
(6,486
)
 
10,198

 
(20,154
)
Amounts related to embedded derivatives in equity-indexed annuities included in benefits and expenses
8,080

 
(27,285
)
 
(21,246
)
 
(51,125
)
After the associated amortization of DAC and taxes, the related amounts included in net income
1,233

 
(15,600
)
 
(14,766
)
 
(33,976
)
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 longevity and mortality swaps, at June 30, 2015 and December 31, 2014 are reflected in the following table (dollars in thousands):
 
 
June 30, 2015
 
December 31, 2014
Estimated fair value of derivatives in net asset position
 
$
169,860

 
$
175,209

Cash provided as collateral(1)
 
4,940

 
—

Securities pledged to counterparties as collateral(2)
 
54,692

 
47,222

Cash pledged from counterparties as collateral(3)
 
(160,768
)
 
(178,141
)
Securities pledged from counterparties as collateral(4)
 
(15,587
)
 
(20,260
)
Initial margin for cleared derivatives(2)
 
(31,960
)
 
(16,333
)
Net credit exposure
 
$
21,177

 
$
7,697

Margin account related to exchange-traded futures(5)
 
$
6,283

 
$
7,976

 
(1)
Consists of receivable from counterparty, included in other assets.
(2)
Included in available-for-sale securities, 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.