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Derivative Instruments (Tables)
 9 Months Ended
Sep. 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 September 30, 2015 and December 31, 2014 (dollars in thousands):
 
 
September 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
 
$
1,130,627

 
$
101,194

 
$
3,130

 
$
1,144,661

 
$
93,783

 
$
3,934

Interest rate options
 
—

 
—

 
—

 
240,000

 
18,195

 
—

Financial futures
 
354,914

 
—

 
—

 
275,983

 
—

 
—

Foreign currency forwards
 
40,000

 
343

 
6,675

 
67,967

 
87

 
15,098

Consumer price index swaps
 
36,002

 
14

 
282

 
41,938

 
—

 
561

Credit default swaps
 
902,000

 
7,015

 
9,007

 
805,700

 
11,689

 
3,502

Equity options
 
483,830

 
60,032

 
—

 
555,361

 
35,242

 
—

Longevity swaps
 
894,160

 
13,321

 
23

 
450,000

 
7,727

 
—

Mortality swaps
 
50,000

 
—

 
2,196

 
50,000

 
—

 
797

Synthetic guaranteed investment contracts
 
6,969,973

 
—

 
—

 
6,500,942

 
—

 
—

Embedded derivatives in:
 
 
 
 
 
 
 
 
 
 
 
 
Modified coinsurance or funds withheld arrangements
 
—

 
—

 
49,498

 
—

 
22,094

 
—

Indexed annuity products
 
—

 
—

 
877,503

 
—

 
—

 
925,887

Variable annuity products
 
—

 
—

 
228,907

 
—

 
—

 
159,279

Total non-hedging derivatives
 
10,861,506

 
181,919

 
1,177,221

 
10,132,552

 
188,817

 
1,109,058

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

 
—

 
36,801

 
120,000

 
—

 
18,228

Foreign currency swaps
 
826,891

 
128,486

 
2,428

 
676,972

 
70,906

 
—

Forward bond purchase commitments
 
—

 
—

 
—

 
196,452

 
1,175

 
14,545

Total hedging derivatives
 
946,891

 
128,486

 
39,229

 
993,424

 
72,081

 
32,773

Total derivatives
 
$
11,808,397

 
$
310,405

 
$
1,216,450

 
$
11,125,976

 
$
260,898

 
$
1,141,831
Offsetting Assets [Table Text Block]
The following table provides information relating to the Company’s derivative instruments as of September 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   
September 30, 2015:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
 
$
310,405

 
$
(21,589
)
 
$
288,816

 
$
(19,127
)
 
$
(260,135
)
 
$
9,554

Derivative liabilities
 
60,542

 
(21,589
)
 
38,953

 
(60,120
)
 
(15,916
)
 
(37,083
)
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
)
Offsetting Liabilities [Table Text Block]
The following table provides information relating to the Company’s derivative instruments as of September 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   
September 30, 2015:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
 
$
310,405

 
$
(21,589
)
 
$
288,816

 
$
(19,127
)
 
$
(260,135
)
 
$
9,554

Derivative liabilities
 
60,542

 
(21,589
)
 
38,953

 
(60,120
)
 
(15,916
)
 
(37,083
)
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
)
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 September 30, 2015, 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 and nine months ended September 30, 2015:
 
 
 
 
 
 
Foreign currency swaps
 
Foreign-denominated fixed maturity securities
 
$
(293
)
 
$
293

 
$
—
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 nine months ended September 30, 2015 and 2014 (dollars in thousands):
 
 
Three months ended September 30,
 
 
2015
 
2014
Accumulated other comprehensive income (loss), balance beginning of period
 
$
(23,901
)
 
$
457

Gains (losses) deferred in other comprehensive income (loss) on the effective portion of cash flow hedges
 
(13,199
)
 
(10,679
)
Amounts reclassified to investment related gains (losses), net
 
(179
)
 
—

Amounts reclassified to investment income
 
112

 
(393
)
Accumulated other comprehensive income (loss), balance end of period
 
$
(37,167
)
 
$
(10,615
)
 
 
 
 
 
 
 
Nine months ended September 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
 
(4,251
)
 
(5,105
)
Amounts reclassified to investment related gains (losses), net
 
(834
)
 
—

Amounts reclassified to investment income
 
(491
)
 
(932
)
Accumulated other comprehensive income (loss), balance end of period
 
$
(37,167
)
 
$
(10,615
)
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 and nine months ended September 30, 2015 and 2014 (dollars in thousands):
 
 
Effective Portion
Derivative Type
 
Gain (Loss) Recognized in OCI
 
Gain (Loss) Reclassified into Income from OCI
 
 
 
 
Investment Related Gains (Losses)
 
Investment Income
For the three months ended September 30, 2015:
Interest rate swaps
 
$
(13,199
)
 
$
—

 
$
(60
)
Forward bond purchase commitments
 
—

 
179

 
(52
)
Total
 
$
(13,199
)
 
$
179

 
$
(112
)
For the three months ended September 30, 2014:
 
 
 
 
 
 
Interest rate swaps
 
$
(10,679
)
 
$
—

 
$
393

 
 
 
 
 
 
 
For the nine months ended September 30, 2015:
 
 
 
 
 
 
Interest rate swaps
 
$
(18,349
)
 
$
—

 
$
231

Forward bond purchase commitments
 
14,098

 
834

 
260

Total
 
$
(4,251
)
 
$
834

 
$
491

For the nine months ended September 30, 2014:
 
 
 
 
 
 
Interest rate swaps
 
$
(5,105
)
 
$
—

 
$
932
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 nine months ended September 30, 2015 and 2014 (dollars in thousands):
 
 
 
Derivative Gains (Losses) Deferred in AOCI     
 
 
For the three months ended September 30,
 
For the nine months ended September 30,
Type of NIFO Hedge (1) (2)
 
2015
 
2014
 
2015
 
2014
Foreign currency swaps
 
$
42,702

 
$
27,931

 
$
79,723

 
$
28,675

 
(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 and nine months ended September 30, 2015 and 2014 is as follows (dollars in thousands):
 
 
 
 
Gain (Loss) for the three months ended        
September 30,
Type of Non-hedging Derivative
 
Income Statement Location of Gain (Loss)
 
2015
 
2014
Interest rate swaps
 
Investment related gains (losses), net
 
$
42,014

 
$
9,121

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

 
865

Financial futures
 
Investment related gains (losses), net
 
16,654

 
6,446

Foreign currency forwards
 
Investment related gains (losses), net
 
708

 
(5,277
)
CPI swaps
 
Investment related gains (losses), net
 
(250
)
 
(274
)
Credit default swaps
 
Investment related gains (losses), net
 
(8,407
)
 
(1,389
)
Equity options
 
Investment related gains (losses), net
 
15,150

 
1,018

Longevity swaps
 
Other revenues
 
2,404

 
4,499

Mortality swaps
 
Other revenues
 
(442
)
 
(320
)
Subtotal
 
 
 
67,831

 
14,689

Embedded derivatives in:
 
 
 
 
 
 
Modified coinsurance or funds withheld arrangements
 
Investment related gains (losses), net
 
(46,169
)
 
56,811

Indexed annuity products
 
Interest credited
 
50,246

 
(35,650
)
Variable annuity products
 
Investment related gains (losses), net
 
(95,372
)
 
(47,479
)
Total non-hedging derivatives
 
 
 
$
(23,464
)
 
$
(11,629
)
 
 
 
 
 
 
 
 
 
 
 
Gain (Loss) for the nine months ended        
September 30,
Type of Non-hedging Derivative
 
Income Statement Location of Gain (Loss)
 
2015
 
2014
Interest rate swaps
 
Investment related gains (losses), net
 
$
29,629

 
$
61,025

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

 
4,151

Financial futures
 
Investment related gains (losses), net
 
7,141

 
(2,822
)
Foreign currency forwards
 
Investment related gains (losses), net
 
(946
)
 
(2,945
)
CPI swaps
 
Investment related gains (losses), net
 
(153
)
 
193

Credit default swaps
 
Investment related gains (losses), net
 
(5,936
)
 
1,280

Equity options
 
Investment related gains (losses), net
 
4,477

 
(16,748
)
Longevity swaps
 
Other revenues
 
6,136

 
4,499

Mortality swaps
 
Other revenues
 
(1,399
)
 
(320
)
Subtotal
 
 
 
42,224

 
48,313

Embedded derivatives in:
 
 
 
 
 
 
Modified coinsurance or funds withheld arrangements
 
Investment related gains (losses), net
 
(71,592
)
 
212,887

Indexed annuity products
 
Interest credited
 
28,999

 
(86,775
)
Variable annuity products
 
Investment related gains (losses), net
 
(69,628
)
 
(76,323
)
Total non-hedging derivatives
 
 
 
$
(69,997
)
 
$
98,102
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 September 30, 2015 and December 31, 2014 (dollars in thousands):
 
 
September 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
 
$
1,827

 
$
180,000

 
4.8
 
$
1,498

 
$
167,500

 
4.6
Credit default swaps referencing indices
 
—

 
—

 
—
 
—

 
—

 
—
Subtotal
 
1,827

 
180,000

 
4.8
 
1,498

 
167,500

 
4.6
BBB+/BBB/BBB-
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps
 
(3,063
)
 
296,000

 
5.3
 
168

 
217,200

 
4.9
Credit default swaps referencing indices
 
1,373

 
416,000

 
5.2
 
6,651

 
416,000

 
5.0
Subtotal
 
(1,690
)
 
712,000

 
5.3
 
6,819

 
633,200

 
4.9
BB+
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps
 
(2,129
)
 
10,000

 
4.4
 
(130
)
 
5,000

 
4.5
Credit default swaps referencing indices
 
—

 
—

 
—
 
—

 
—

 
—
Subtotal
 
(2,129
)
 
10,000

 
4.4
 
(130
)
 
5,000

 
4.5
Total
 
$
(1,992
)
 
$
902,000

 
5.2
 
$
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 nine months ended September 30, 2015 and 2014 are reflected in the following table (dollars in thousands):
 
Three months ended September 30,
 
Nine months ended September 30,
 
2015
 
2014
 
2015
 
2014
Embedded derivatives in modco or funds withheld arrangements included in investment related gains
$
(46,169
)
 
$
56,812

 
$
(71,592
)
 
$
212,888

After the associated amortization of DAC and taxes, the related amounts included in net income
(11,783
)
 
13,353

 
(18,287
)
 
49,394

Embedded derivatives in variable annuity contracts included in investment related gains
(95,372
)
 
(47,479
)
 
(69,628
)
 
(76,323
)
After the associated amortization of DAC and taxes, the related amounts included in net income
(116,994
)
 
26,542

 
(106,796
)
 
6,388

Amounts related to embedded derivatives in equity-indexed annuities included in benefits and expenses
50,246

 
(35,650
)
 
28,999

 
(86,775
)
After the associated amortization of DAC and taxes, the related amounts included in net income
27,861

 
(23,920
)
 
13,095

 
(57,896
)
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 September 30, 2015 and December 31, 2014 are reflected in the following table (dollars in thousands):
 
 
September 30, 2015
 
December 31, 2014
Estimated fair value of derivatives in net asset position
 
$
252,059

 
$
175,209

Cash provided as collateral(1)
 
15,916

 
—

Securities pledged to counterparties as collateral(2)
 
60,120

 
47,222

Cash pledged from counterparties as collateral(3)
 
(260,135
)
 
(178,141
)
Securities pledged from counterparties as collateral(4)
 
(19,127
)
 
(20,260
)
Initial margin for cleared derivatives(2)
 
(33,380
)
 
(16,333
)
Net credit exposure
 
$
15,453

 
$
7,697

Margin account related to exchange-traded futures(5)
 
$
9,761

 
$
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.