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Derivative Instruments (Tables)
 9 Months Ended
Sep. 30, 2016
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, 2016 and December 31, 2015 (dollars in thousands):
 
 
September 30, 2016
 
December 31, 2015
 
 
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
 
$
1,062,745

 
$
175,123

 
$
821

 
$
1,123,057

 
$
85,075

 
$
4,196

Financial futures
 
552,384

 
—

 
—

 
420,665

 
—

 
—

Foreign currency forwards
 
30,000

 
173

 
2,733

 
45,000

 
44

 
6,768

Consumer price index swaps
 
30,043

 
13

 
460

 
28,561

 
—

 
292

Credit default swaps
 
909,000

 
10,605

 
3,430

 
897,000

 
8,230

 
11,053

Equity options
 
610,792

 
48,162

 
—

 
453,435

 
46,653

 
—

Longevity swaps
 
898,800

 
27,029

 
—

 
868,960

 
15,003

 
7

Mortality swaps
 
50,000

 
—

 
2,068

 
50,000

 
—

 
2,619

Synthetic guaranteed investment contracts
 
8,726,370

 
—

 
—

 
7,098,825

 
—

 
—

Embedded derivatives in:
 
 
 
 
 
 
 
 
 
 
 
 
Modified coinsurance or funds withheld arrangements
 
—

 
—

 
42,903

 
—

 
—

 
76,698

Indexed annuity products
 
—

 
—

 
854,564

 
—

 
—

 
878,114

Variable annuity products
 
—

 
—

 
275,560

 
—

 
—

 
192,470

Total non-hedging derivatives
 
12,870,134

 
261,105

 
1,182,539

 
10,985,503

 
155,005

 
1,172,217

Derivatives designated as hedging instruments:
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
435,000

 
—

 
41,306

 
120,000

 
—

 
29,986

Foreign currency swaps
 
937,284

 
102,667

 
1,205

 
823,486

 
146,265

 
—

Total hedging derivatives
 
1,372,284

 
102,667

 
42,511

 
943,486

 
146,265

 
29,986

Total derivatives
 
$
14,242,418

 
$
363,772

 
$
1,225,050

 
$
11,928,989

 
$
301,270

 
$
1,202,203
Offsetting Assets [Table Text Block]
The following table provides information relating to the Company’s derivative instruments as of September 30, 2016 and December 31, 2015 (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   
September 30, 2016:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
 
$
363,772

 
$
(26,575
)
 
$
337,197

 
$
(48,024
)
 
$
(305,658
)
 
$
(16,485
)
Derivative liabilities
 
52,023

 
(26,575
)
 
25,448

 
(74,680
)
 
(20,078
)
 
(69,310
)
December 31, 2015:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
 
$
301,270

 
$
(30,096
)
 
$
271,174

 
$
(20,888
)
 
$
(245,038
)
 
$
5,248

Derivative liabilities
 
54,921

 
(30,096
)
 
24,825

 
(47,149
)
 
(12,540
)
 
(34,864
)
Offsetting Liabilities [Table Text Block]
The following table provides information relating to the Company’s derivative instruments as of September 30, 2016 and December 31, 2015 (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   
September 30, 2016:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
 
$
363,772

 
$
(26,575
)
 
$
337,197

 
$
(48,024
)
 
$
(305,658
)
 
$
(16,485
)
Derivative liabilities
 
52,023

 
(26,575
)
 
25,448

 
(74,680
)
 
(20,078
)
 
(69,310
)
December 31, 2015:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
 
$
301,270

 
$
(30,096
)
 
$
271,174

 
$
(20,888
)
 
$
(245,038
)
 
$
5,248

Derivative liabilities
 
54,921

 
(30,096
)
 
24,825

 
(47,149
)
 
(12,540
)
 
(34,864
)
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, 2016, 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), net
For the three months ended September 30, 2016:
 
 
 
 
 
 
Foreign currency swaps
 
Foreign-denominated fixed maturity securities
 
$
3,205

 
$
(3,205
)
 
$
—

For the nine months ended September 30, 2016:
 
 
 
 
 
 
Foreign currency swaps
 
Foreign-denominated fixed maturity securities
 
$
5,317

 
$
(5,317
)
 
$
—
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, 2016 and 2015 (dollars in thousands):
 
 
Three months ended September 30,
 
 
2016
 
2015
Balance beginning of period
 
$
(41,192
)
 
$
(23,901
)
Gains (losses) deferred in other comprehensive income (loss) on the effective portion of cash flow hedges
 
932

 
(13,199
)
Amounts reclassified to investment related (gains) losses, net
 
(116
)
 
(179
)
Amounts reclassified to investment income
 
(221
)
 
112

Balance end of period
 
$
(40,597
)
 
$
(37,167
)
 
 
 
 
 
 
 
Nine months ended September 30,
 
 
2016
 
2015
Balance beginning of period
 
$
(29,397
)
 
$
(31,591
)
Gains (losses) deferred in other comprehensive income (loss) on the effective portion of cash flow hedges
 
(10,866
)
 
(4,251
)
Amounts reclassified to investment related (gains) losses, net
 
53

 
(834
)
Amounts reclassified to investment income
 
(387
)
 
(491
)
Balance end of period
 
$
(40,597
)
 
$
(37,167
)
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 the condensed consolidated statements of comprehensive income for the three and nine months ended September 30, 2016 and 2015 (dollars in thousands):
 
 
Effective Portion
Derivative Type
 
Gain (Loss) Recognized in OCI
 
Gain (Loss) Reclassified into Income from OCI
 
 
 
 
Investment Related Gains (Losses), net
 
Investment Income
For the three months ended September 30, 2016:
Interest rate swaps
 
$
932

 
$
—

 
$
200

Forward bond purchase commitments
 
—

 
116

 
21

Total
 
$
932

 
$
116

 
$
221

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 nine months ended September 30, 2016:
 
 
 
 
 
 
Interest rate swaps
 
$
(10,866
)
 
$
—

 
$
454

Forward bond purchase commitments
 
—

 
(53
)
 
(67
)
Total
 
$
(10,866
)
 
$
(53
)
 
$
387

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
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, 2016 and 2015 (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)
 
2016
 
2015
 
2016
 
2015
Foreign currency swaps
 
$
8,341

 
$
42,702

 
$
(23,151
)
 
$
79,723

 
(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 condensed consolidated statements of income for the three and nine months ended September 30, 2016 and 2015 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)
 
2016
 
2015
Interest rate swaps
 
Investment related gains (losses), net
 
$
4,122

 
$
42,014

Financial futures
 
Investment related gains (losses), net
 
(11,677
)
 
16,654

Foreign currency forwards
 
Investment related gains (losses), net
 
507

 
708

CPI swaps
 
Investment related gains (losses), net
 
76

 
(250
)
Credit default swaps
 
Investment related gains (losses), net
 
6,672

 
(8,407
)
Equity options
 
Investment related gains (losses), net
 
(13,648
)
 
15,150

Longevity swaps
 
Other revenues
 
8,921

 
2,404

Mortality swaps
 
Other revenues
 
(400
)
 
(442
)
Subtotal
 
 
 
(5,427
)
 
67,831

Embedded derivatives in:
 
 
 
 
 
 
Modified coinsurance or funds withheld arrangements
 
Investment related gains (losses), net
 
49,078

 
(46,169
)
Indexed annuity products
 
Interest credited
 
(20,104
)
 
50,246

Variable annuity products
 
Investment related gains (losses), net
 
7,988

 
(95,372
)
Total non-hedging derivatives
 
 
 
$
31,535

 
$
(23,464
)
 
 
 
 
 
 
 
 
 
 
 
Gain (Loss) for the nine months ended        
September 30,
Type of Non-hedging Derivative
 
Income Statement Location of Gain (Loss)
 
2016
 
2015
Interest rate swaps
 
Investment related gains (losses), net
 
$
108,149

 
$
29,629

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

 
3,275

Financial futures
 
Investment related gains (losses), net
 
(30,285
)
 
7,141

Foreign currency forwards
 
Investment related gains (losses), net
 
6,584

 
(946
)
CPI swaps
 
Investment related gains (losses), net
 
(624
)
 
(153
)
Credit default swaps
 
Investment related gains (losses), net
 
13,536

 
(5,936
)
Equity options
 
Investment related gains (losses), net
 
(19,576
)
 
4,477

Longevity swaps
 
Other revenues
 
11,402

 
6,136

Mortality swaps
 
Other revenues
 
222

 
(1,399
)
Subtotal
 
 
 
89,408

 
42,224

Embedded derivatives in:
 
 
 
 
 
 
Modified coinsurance or funds withheld arrangements
 
Investment related gains (losses), net
 
33,795

 
(71,592
)
Indexed annuity products
 
Interest credited
 
(20,730
)
 
28,999

Variable annuity products
 
Investment related gains (losses), net
 
(83,089
)
 
(69,628
)
Total non-hedging derivatives
 
 
 
$
19,384

 
$
(69,997
)
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, 2016 and December 31, 2015 (dollars in thousands):
 
 
September 30, 2016
 
December 31, 2015
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)  
AA/AA-/A+/A/A-
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps
 
$
1,625

 
$
145,500

 
4.0
 
$
1,689

 
$
152,500

 
3.9
Credit default swaps referencing indices
 
—

 
—

 
—
 
—

 
—

 
—
Subtotal
 
1,625

 
145,500

 
4.0
 
1,689

 
152,500

 
3.9
BBB+/BBB/BBB-
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps
 
75

 
339,200

 
4.0
 
(5,066
)
 
315,200

 
4.2
Credit default swaps referencing indices
 
5,165

 
416,000

 
5.2
 
2,274

 
416,000

 
5.0
Subtotal
 
5,240

 
755,200

 
4.7
 
(2,792
)
 
731,200

 
4.6
BB+/BB
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps
 
(56
)
 
5,000

 
2.7
 
(2,900
)
 
10,000

 
4.1
Credit default swaps referencing indices
 
—

 
—

 
—
 
—

 
—

 
—
Subtotal
 
(56
)
 
5,000

 
2.7
 
(2,900
)
 
10,000

 
4.1
Total
 
$
6,809

 
$
905,700

 
4.6
 
$
(4,003
)
 
$
893,700

 
4.5
 
(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, 2016 and 2015 are reflected in the following table (dollars in thousands):
 
Three months ended September 30,
 
Nine months ended September 30,
 
2016
 
2015
 
2016
 
2015
Embedded derivatives in modco or funds withheld arrangements included in investment related gains
$
49,078

 
$
(46,169
)
 
$
33,795

 
$
(71,592
)
After the associated amortization of DAC and taxes, the related amounts included in net income
9,653

 
(11,783
)
 
1,683

 
(18,287
)
Embedded derivatives in variable annuity contracts included in investment related gains
7,988

 
(95,372
)
 
(83,089
)
 
(69,628
)
After the associated amortization of DAC and taxes, the related amounts included in net income
2,595

 
(116,994
)
 
(63,415
)
 
(106,796
)
Amounts related to embedded derivatives in equity-indexed annuities included in benefits and expenses
(20,104
)
 
50,246

 
(20,730
)
 
28,999

After the associated amortization of DAC and taxes, the related amounts included in net income
(13,397
)
 
27,861

 
(9,979
)
 
13,095
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, 2016 and December 31, 2015 are reflected in the following table (dollars in thousands):
 
 
September 30, 2016
 
December 31, 2015
Estimated fair value of derivatives in net asset position
 
$
313,817

 
$
248,968

Cash provided as collateral(1)
 
20,078

 
12,540

Securities pledged to counterparties as collateral(2)
 
74,680

 
47,149

Cash pledged from counterparties as collateral(3)
 
(305,658
)
 
(245,038
)
Securities pledged from counterparties as collateral(4)
 
(48,024
)
 
(20,888
)
Initial margin for cleared derivatives(2)
 
(63,056
)
 
(34,898
)
Net amount after application of master netting agreements and collateral
 
$
(8,163
)
 
$
7,833

Margin account related to exchange-traded futures(5)
 
$
10,101

 
$
11,004

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