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Derivative Instruments (Tables) | 9 Months Ended
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Sep. 30, 2019
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, 2019 and December 31, 2018 (dollars in thousands):
|  |  |  | September 30, 2019 |  | December 31, 2018
|  | 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 |  | $ | 929,963 |  |  | $ | 84,306 |  |  | $ | 2,778 |  |  | $ | 1,040,588 |  |  | $ | 47,652 |  |  | $ | 961 |
Financial futures |  | Equity |  | 361,030 |  |  | — |  |  | — |  |  | 325,620 |  |  | — |  |  | — |
Foreign currency swaps |  | Foreign currency |  | 149,698 |  |  | — |  |  | 12,454 |  |  | 149,698 |  |  | 504 |  |  | 4,659 |
Foreign currency forwards |  | Foreign currency |  | 125,000 |  |  | 337 |  |  | — |  |  | 25,000 |  |  | — |  |  | 234 |
Consumer price index swaps |  | CPI |  | 422,068 |  |  | 360 |  |  | 33,245 |  |  | 385,580 |  |  | — |  |  | 11,384 |
Credit default swaps |  | Credit |  | 1,337,800 |  |  | 5,888 |  |  | 139 |  |  | 1,338,300 |  |  | 6,003 |  |  | 1,166 |
Equity options |  | Equity |  | 386,536 |  |  | 24,844 |  |  | — |  |  | 439,158 |  |  | 42,836 |  |  | — |
Longevity swaps |  | Longevity |  | 871,920 |  |  | 51,620 |  |  | — |  |  | 917,360 |  |  | 47,789 |  |  | — |
Mortality swaps |  | Mortality |  | 25,000 |  |  | — |  |  | 853 |  |  | 25,000 |  |  | — |  |  | 369 |
Synthetic guaranteed investment contracts |  | Interest rate |  | 13,919,866 |  |  | — |  |  | — |  |  | 13,397,729 |  |  | — |  |  | — |
Embedded derivatives in: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Modified coinsurance or funds withheld arrangements |  |  |  | — |  |  | 121,275 |  |  | — |  |  | — |  |  | 109,597 |  |  | — |
Indexed annuity products |  |  |  | — |  |  | — |  |  | 779,128 |  |  | — |  |  | — |  |  | 776,940 |
Variable annuity products |  |  |  | — |  |  | — |  |  | 210,041 |  |  | — |  |  | — |  |  | 167,925 |
Total non-hedging derivatives |  |  |  | 18,528,881 |  |  | 288,630 |  |  | 1,038,638 |  |  | 18,044,033 |  |  | 254,381 |  |  | 963,638 |
Derivatives designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Foreign currency/Interest rate |  | 435,000 |  |  | — |  |  | 34,467 |  |  | 435,000 |  |  | — |  |  | 27,257 |
Foreign currency swaps |  | Foreign currency |  | 366,193 |  |  | 26,384 |  |  | 7,615 |  |  | 494,461 |  |  | 51,311 |  |  | — |
Foreign currency forwards |  | Foreign currency |  | 1,025,548 |  |  | 43,441 |  |  | — |  |  | 911,197 |  |  | 50,974 |  |  | — |
Total hedging derivatives |  |  |  | 1,826,741 |  |  | 69,825 |  |  | 42,082 |  |  | 1,840,658 |  |  | 102,285 |  |  | 27,257 |
Total derivatives |  |  |  | $ | 20,355,622 |  |  | $ | 358,455 |  |  | $ | 1,080,720 |  |  | $ | 19,884,691 |  |  | $ | 356,666 |  |  | $ | 990,895 |
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, 2019 and 2018, were (dollars in thousands):
Type of Fair Value Hedge |  | Hedged Item |  | Gains (Losses) Recognized for Derivatives |  | Gains (Losses) Recognized for Hedged Items
|  |  |  | Investment Related Gains (Losses)
For the three months ended September 30, 2019: |  |  |  |
Foreign currency swaps |  | Foreign-denominated fixed maturity securities |  | $ | (5,995 | ) |  | $ | 4,088 |
For the three months ended September 30, 2018: |  |  |  |
Foreign currency swaps |  | Foreign-denominated fixed maturity securities |  | $ | (2,258 | ) |  | $ | 2,832 |
For the nine months ended September 30, 2019: |  |  |  |
Foreign currency swaps |  | Foreign-denominated fixed maturity securities |  | $ | (10,422 | ) |  | $ | 4,503 |
For the nine months ended September 30, 2018: |  |  |  |
Foreign currency swaps |  | Foreign-denominated fixed maturity securities |  | $ | (5,284 | ) |  | $ | 9,666 |
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, 2019 and 2018 (dollars in thousands):
|  | Three months ended September 30,
|  | 2019 |  | 2018
Balance beginning of period |  | $ | (14,862 | ) |  | $ | 22,656 |
Gains (losses) deferred in other comprehensive income (loss) |  | (32,123 | ) |  | 6,671 |
Amounts reclassified to investment income |  | 38 |  |  | (50 | )
Amounts reclassified to interest expense |  | (255 | ) |  | (234 | )
Balance end of period |  | $ | (47,202 | ) |  | $ | 29,043 |
|  | Nine months ended September 30,
|  | 2019 |  | 2018
Balance beginning of period |  | $ | 8,788 |  |  | $ | 2,619 |
Gains (losses) deferred in other comprehensive income (loss) |  | (54,902 | ) |  | 26,586 |
Amounts reclassified to investment income |  | 19 |  |  | (270 | )
Amounts reclassified to interest expense |  | (1,107 | ) |  | 108 |
Balance end of period |  | $ | (47,202 | ) |  | $ | 29,043 |
Schedule of Cash Flow Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block] | The following table presents the effect 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, 2019 and 2018 (dollars in thousands):
Derivative Type |  | Gain (Loss) Deferred in AOCI |  | Gain (Loss) Reclassified into Income from AOCI
|  |  |  | Investment Income |  | Interest Expense
For the three months ended September 30, 2019: |  |  |  |  |  |
Interest rate |  | $ | (24,846 | ) |  | $ | — |  |  | $ | 255 |
Currency/Interest rate |  | (7,277 | ) |  | (38 | ) |  | — |
Total |  | $ | (32,123 | ) |  | $ | (38 | ) |  | $ | 255 |
For the three months ended September 30, 2018: |  |  |  |  |  |
Interest rate |  | $ | 7,490 |  |  | $ | — |  |  | $ | 234 |
Currency/Interest rate |  | (819 | ) |  | 50 |  |  | — |
Total |  | $ | 6,671 |  |  | $ | 50 |  |  | $ | 234 |
For the nine months ended September 30, 2019: |  |  |  |  |  |
Interest rate |  | $ | (46,816 | ) |  | $ | — |  |  | $ | 1,107 |
Currency/Interest rate |  | (8,086 | ) |  | (19 | ) |  | — |
Total |  | $ | (54,902 | ) |  | $ | (19 | ) |  | $ | 1,107 |
For the nine months ended September 30, 2018: |  |  |  |  |  |
Interest rate |  | $ | 27,217 |  |  | $ | — |  |  | $ | (108 | )
Currency/Interest rate |  | (631 | ) |  | 270 |  |  | — |
Total |  | $ | 26,586 |  |  | $ | 270 |  |  | $ | (108 | )
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, 2019 and 2018 (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) |  | 2019 |  | 2018 |  | 2019 |  | 2018
Foreign currency swaps |  | $ | 3,930 |  |  | $ | (5,877 | ) |  | $ | (5,563 | ) |  | $ | 11,125 |
Foreign currency forwards |  | 16,427 |  |  | (11,562 | ) |  | (7,669 | ) |  | 11,737 |
Total |  | $ | 20,357 |  |  | $ | (17,439 | ) |  | $ | (13,232 | ) |  | $ | 22,862 |
(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.
Derivatives Not Designated as Hedging Instruments [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, 2019 and 2018 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) |  | 2019 |  | 2018
Interest rate swaps |  | Investment related gains (losses), net |  | $ | 38,701 |  |  | $ | (12,228 | )
Financial futures |  | Investment related gains (losses), net |  | 322 |  |  | (6,544 | )
Foreign currency swaps |  | Investment related gains (losses), net |  | 867 |  |  | — |
Foreign currency forwards |  | Investment related gains (losses), net |  | 337 |  |  | (58 | )
CPI swaps |  | Investment related gains (losses), net |  | (8,235 | ) |  | (4,223 | )
Credit default swaps |  | Investment related gains (losses), net |  | 1,961 |  |  | 4,689 |
Equity options |  | Investment related gains (losses), net |  | 243 |  |  | (9,793 | )
Longevity swaps |  | Other revenues |  | 2,063 |  |  | 2,426 |
Mortality swaps |  | Other revenues |  | — |  |  | 473 |
Subtotal |  |  |  | 36,259 |  |  | (25,258 | )
Embedded derivatives in: |  |  |  |  |  |
Modified coinsurance or funds withheld arrangements |  | Investment related gains (losses), net |  | 8,508 |  |  | (2,081 | )
Indexed annuity products |  | Interest credited |  | (44,972 | ) |  | (25,347 | )
Variable annuity products |  | Investment related gains (losses), net |  | (42,233 | ) |  | 32,133 |
Total non-hedging derivatives |  |  |  | $ | (42,438 | ) |  | $ | (20,553 | )
|  |  |  | Gain (Loss) for the nine months ended September 30,
Type of Non-hedging Derivative |  | Income Statement Location of Gain (Loss) |  | 2019 |  | 2018
Interest rate swaps |  | Investment related gains (losses), net |  | $ | 96,079 |  |  | $ | (47,399 | )
Financial futures |  | Investment related gains (losses), net |  | (29,641 | ) |  | (7,312 | )
Foreign currency swaps |  | Investment related gains (losses), net |  | (4,790 | ) |  | — |
Foreign currency forwards |  | Investment related gains (losses), net |  | 571 |  |  | 3 |
CPI swaps |  | Investment related gains (losses), net |  | (23,898 | ) |  | (996 | )
Credit default swaps |  | Investment related gains (losses), net |  | 21,539 |  |  | 5,371 |
Equity options |  | Investment related gains (losses), net |  | (27,269 | ) |  | (15,207 | )
Longevity swaps |  | Other revenues |  | 6,390 |  |  | 6,983 |
Mortality swaps |  | Other revenues |  | (484 | ) |  | (326 | )
Subtotal |  |  |  | 38,497 |  |  | (58,883 | )
Embedded derivatives in: |  |  |  |  |  |
Modified coinsurance or funds withheld arrangements |  | Investment related gains (losses), net |  | 11,678 |  |  | 20,335 |
Indexed annuity products |  | Interest credited |  | (50,361 | ) |  | 6,523 |
Variable annuity products |  | Investment related gains (losses), net |  | (42,116 | ) |  | 62,242 |
Total non-hedging derivatives |  |  |  | $ | (42,302 | ) |  | $ | 30,217 |
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 at September 30, 2019 and December 31, 2018 (dollars in thousands):
|  | September 30, 2019 |  | December 31, 2018
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 |  | $ | 1,018 |  |  | $ | 117,500 |  |  | 1.6 |  | $ | 1,953 |  |  | $ | 152,000 |  |  | 2.2
Credit default swaps referencing indices |  | 342 |  |  | 240,000 |  |  | 10.2 |  | — |  |  | — |  |  | 0.0
Subtotal |  | 1,360 |  |  | 357,500 |  |  | 7.4 |  | 1,953 |  |  | 152,000 |  |  | 2.2
BBB+/BBB/BBB- |  |  |  |  |  |  |  |  |  |  |  |
Single name credit default swaps |  | 4,103 |  |  | 337,700 |  |  | 2.0 |  | 2,930 |  |  | 353,700 |  |  | 2.2
Credit default swaps referencing indices |  | 111 |  |  | 632,600 |  |  | 2.9 |  | (76 | ) |  | 817,600 |  |  | 6.4
Subtotal |  | 4,214 |  |  | 970,300 |  |  | 2.6 |  | 2,854 |  |  | 1,171,300 |  |  | 5.1
BB+/BB/BB- |  |  |  |  |  |  |  |  |  |  |  |
Single name credit default swaps |  | 175 |  |  | 10,000 |  |  | 2.7 |  | 30 |  |  | 15,000 |  |  | 0.7
Subtotal |  | 175 |  |  | 10,000 |  |  | 2.7 |  | 30 |  |  | 15,000 |  |  | 0.7
Total |  | $ | 5,749 |  |  | $ | 1,337,800 |  |  | 3.9 |  | $ | 4,837 |  |  | $ | 1,338,300 |  |  | 4.7
(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 Company’s derivative instruments as of September 30, 2019 and December 31, 2018 (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, 2019: |  |  |  |  |  |  |  |  |  |  |  |
Derivative assets |  | $ | 237,180 |  |  | $ | (43,461 | ) |  | $ | 193,719 |  |  | $ | — |  |  | $ | (205,890 | ) |  | $ | (12,171 | )
Derivative liabilities |  | 91,551 |  |  | (43,461 | ) |  | 48,090 |  |  | (81,090 | ) |  | (60,080 | ) |  | (93,080 | )
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 | )
(1) Includes initial margin posted to a central clearing partner.
Offsetting Liabilities [Table Text Block] | The following table provides information relating to the Company’s derivative instruments as of September 30, 2019 and December 31, 2018 (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, 2019: |  |  |  |  |  |  |  |  |  |  |  |
Derivative assets |  | $ | 237,180 |  |  | $ | (43,461 | ) |  | $ | 193,719 |  |  | $ | — |  |  | $ | (205,890 | ) |  | $ | (12,171 | )
Derivative liabilities |  | 91,551 |  |  | (43,461 | ) |  | 48,090 |  |  | (81,090 | ) |  | (60,080 | ) |  | (93,080 | )
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 | )
(1) Includes initial margin posted to a central clearing partner.

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- Definition 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). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4J -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5708773-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4K -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5708775-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4L -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5708777-113959 + Details
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- Definition Tabular disclosure of gain (loss) on derivative and nonderivative instruments designated and qualifying as cash flow hedge recorded in accumulated other comprehensive income (AOCI) and reclassified into earnings. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624171-113959 + Details
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- Definition Tabular disclosure for cash flow hedging instruments of (a) the location and amount of gains and losses reported in the statement of financial performance and (b) the location and fair value amounts of the instruments reported in the statement of financial position. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624171-113959 + Details
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- Definition Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624163-113959 + Details
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- Definition Tabular disclosure for fair value hedging instruments of (a) the location and amount of gains and losses reported in the statement of financial performance and (b) the location and fair value amounts of the instruments reported in the statement of financial position. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624171-113959 + Details
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- Definition Tabular disclosure for net investment hedges of (a) the location and amount of gains and losses reported in the statement of financial performance and (b) the location and fair value amounts of the instruments reported in the statement of financial position. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624171-113959 + Details
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