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Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2018

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]

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 December 31, 2018 and 2017 (dollars in thousands):

				December 31, 2018												December 31, 2017
		Primary Underlying Risk		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		Interest rate		$	1,040,588			$	47,652			$	961			$	996,204			$	59,809			$	2,372
Financial futures		Equity		325,620				—				—				412,438				—				—
Foreign currency swaps		Foreign currency		149,698				504				4,659				—				—				—
Foreign currency forwards		Foreign currency		25,000				—				234				6,030				—				28
CPI swaps		CPI		385,580				—				11,384				221,932				—				2,160
Credit default swaps		Credit		1,338,300				6,003				1,166				961,200				8,319				1,651
Equity options		Equity		439,158				42,836				—				632,251				23,271				—
Longevity swaps		Longevity		917,360				47,789				—				960,400				40,659				—
Mortality swaps		Mortality		25,000				—				369				—				—				1,683
Synthetic GICs		Interest rate		13,397,729				—				—				10,052,576				—				—
Embedded derivatives in:
Modco or funds withheld arrangements				—				109,597				—				—				122,194				—
Indexed annuity products				—				—				776,940				—				—				861,758
Variable annuity products				—				—				167,925				—				—				152,470
Total non-hedging derivatives				18,044,033				254,381				963,638				14,243,031				254,252				1,022,122
Derivatives designated as hedging instruments:
Interest rate swaps		Foreign currency/Interest rate		435,000				—				27,257				435,000				—				20,389
Foreign currency swaps		Foreign currency		494,461				51,311				—				672,921				65,207				8,496
Foreign currency forwards		Foreign currency		911,197				50,974				—				553,175				1,265				7,720
Total hedging derivatives				1,840,658				102,285				27,257				1,661,096				66,472				36,605
Total derivatives				$	19,884,691			$	356,666			$	990,895			$	15,904,127			$	320,724			$	1,058,727

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 December 31, 2018, 2017 and 2016 were (dollars in thousands):

Type of Fair Value Hedge		Hedged Item		Gains (Losses) Recognized for Derivatives (1)				Gains (Losses) Recognized for Hedged Items (1)
For the Year Ended December 31, 2018:
Foreign currency swaps		Foreign-denominated fixed maturity securities		$	(11,164	)		$	12,446
For the Year Ended December 31, 2017:
Foreign currency swaps		Foreign-denominated fixed maturity securities		$	9,456			$	(9,456	)
For the Year Ended December 31, 2016:
Foreign currency swaps		Foreign-denominated fixed maturity securities		$	(1,700	)		$	1,700

(1) The net amount represents the ineffective portion of the fair value hedges.

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 consolidated income statement classification where the gain or loss is recognized related to cash flow hedges for the years ended December 31, 2018, 2017 and 2016 (dollars in thousands):

		Amounts Included in AOCI
Balance December 31, 2015		$	(29,397	)
Gains (losses) deferred in other comprehensive income (loss) on the effective portion of cash flow hedges		27,110
Amounts reclassified to investment related (gains) losses, net		278
Amounts reclassified to investment income		(487		)
Balance December 31, 2016		(2,496		)
Gains (losses) deferred in other comprehensive income (loss) on the effective portion of cash flow hedges		6,316
Amounts reclassified to investment related (gains) losses, net		(775		)
Amounts reclassified to investment income		(505		)
Amounts reclassified to interest expense		79
Balance December 31, 2017		2,619
Gains (losses) deferred in other comprehensive income (loss) on the effective portion of cash flow hedges		6,644
Amounts reclassified to investment income		(292		)
Amounts reclassified to interest expense		(183		)
Balance December 31, 2018		$	8,788

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 consolidated statements of income and the consolidated statements of stockholders’ equity for the years ended December 31, 2018, 2017 and 2016 (dollars in thousands):

		Effective Portion
Derivative Type		Gains (Losses) Deferred in OCI				Gains (Losses) Reclassified into Income from OCI
For the year ended December 31, 2018:						Investment Related Gains (Losses)				Investment Income				Interest Expense
Interest rate		$	12,886			$	—			$	—			$	183
Foreign currency/Interest rate		(6,242		)		—				292				—
Total		$	6,644			$	—			$	292			$	183
For the year ended December 31, 2017:
Interest rate		$	(5,649	)		$	—			$	—			$	(79	)
Foreign currency/Interest rate		11,955				—				380				—
Forward bond purchase commitments		10				775				125				—
Total		$	6,316			$	775			$	505			$	(79	)
For the year ended December 31, 2016:
Interest rate		$	27,901			$	—			$	—			$	—
Foreign currency/Interest rate		(791		)		—				510				—
Forward bond purchase commitments		—				(278		)		(23		)		—
Total		$	27,110			$	(278	)		$	487			$	—

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 years ended December 31, 2018, 2017 and 2016 (dollars in thousands):

		Derivative Gains (Losses) Deferred in AOCI
		For the year ended
Type of NIFO Hedge (1) (2)		2018				2017				2016
Foreign currency swaps		$	31,431			$	(37,567	)		$	(10,234	)
Foreign currency forwards		55,913				(10,386		)		—

(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 [Table Text Block]

A summary of the effect of non-hedging derivatives, including embedded derivatives, on the Company’s consolidated statements of income for the years ended December 31, 2018, 2017 and 2016 is as follows (dollars in thousands):

				Gains (Losses) for the Years Ended  December 31,
Type of Non-hedging Derivative		Income Statement Location of Gains (Losses)		2018				2017				2016
Interest rate swaps		Investment related gains (losses), net		$	(21,314	)		$	11,278			$	7,649
Financial futures		Investment related gains (losses), net		21,200				(36,160		)		(40,242		)
Foreign currency swaps		Investment related gains (losses), net		(3,695		)		—				—
Foreign currency forwards		Investment related gains (losses), net		(234		)		591				1,630
Consumer price index swaps		Investment related gains (losses), net		(10,047		)		(2,078		)		(401		)
Credit default swaps		Investment related gains (losses), net		(2,150		)		18,118				18,100
Equity options		Investment related gains (losses), net		7,315				(42,953		)		(28,270		)
Longevity swaps		Other revenues		9,215				9,358				13,095
Mortality swaps		Other revenues		(386		)		(921		)		(172		)
Subtotal				(96		)		(42,767		)		(28,611		)
Embedded derivatives in:
Modco or funds withheld arrangements		Investment related gains (losses), net		(12,597		)		144,723				54,169
Indexed annuity products		Interest credited		27,591				(80,062		)		10,708
Variable annuity products		Investment related gains (losses), net		(15,455		)		32,166				7,835
Total non-hedging derivatives				$	(557	)		$	54,060			$	44,101

Disclosure Of Credit Derivatives [Table Text Block]

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 as of December 31, 2018 and 2017 (dollars in thousands):

		2018										2017
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+/AA/AA-/A+/A/A-
Single name credit default swaps		$	1,953			$	152,000			2.2		$	3,128			$	162,000			2.9
Subtotal		1,953				152,000				2.2		3,128				162,000				2.9
BBB+/BBB/BBB-
Single name credit default swaps		2,930				353,700				2.2		4,469				361,700				2.9
Credit default swaps referencing indices		(76		)		817,600				6.4		(55		)		422,600				4.0
Subtotal		2,854				1,171,300				5.1		4,414				784,300				3.5
BB+/BB/BB-
Single name credit default swaps		30				15,000				0.7		30				5,000				1.5
Subtotal		30				15,000				0.7		30				5,000				1.5
Total		$	4,837			$	1,338,300			4.7		$	7,572			$	951,300			3.4

(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.

Offsetting Assets [Table Text Block]

The following table provides information relating to the netting of the Company’s derivative instruments as of December 31, 2018 and December 31, 2017 (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
December 31, 2018:
Derivative assets		$	247,069			$	(18,581	)		$	228,488			$	—			$	(235,611	)		$	(7,123	)
Derivative liabilities		46,030				(18,581		)		27,449				(71,376		)		(24,080		)		(68,007		)
December 31, 2017:
Derivative assets		$	198,530			$	(20,258	)		$	178,272			$	(862	)		$	(185,900	)		$	(8,490	)
Derivative liabilities		44,499				(20,258		)		24,241				(58,156		)		(22,221		)		(56,136		)

Offsetting Liabilities [Table Text Block]

The following table provides information relating to the netting of the Company’s derivative instruments as of December 31, 2018 and December 31, 2017 (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
December 31, 2018:
Derivative assets		$	247,069			$	(18,581	)		$	228,488			$	—			$	(235,611	)		$	(7,123	)
Derivative liabilities		46,030				(18,581		)		27,449				(71,376		)		(24,080		)		(68,007		)
December 31, 2017:
Derivative assets		$	198,530			$	(20,258	)		$	178,272			$	(862	)		$	(185,900	)		$	(8,490	)
Derivative liabilities		44,499				(20,258		)		24,241				(58,156		)		(22,221		)		(56,136		)

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The location and amount of gains and losses reported in the statements of income on derivative instruments not designated or qualifying as hedging instruments, including embedded derivatives, by income statement location.

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Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

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