OFFSETTING OF ASSETS AND LIABILITIES

3 Months Ended

Mar. 31, 2020

Certain of the Company’s derivative instruments are subject to enforceable master netting arrangements that provide for the net settlement of all derivative contracts between the Company and a counterparty in the event of default or upon the occurrence of certain termination events. Collateral support agreements associated with each master netting arrangement provide that the Company will receive or pledge financial collateral in the event either minimum thresholds, or in certain cases ratings levels, have been reached. Additionally, certain of the Company’s repurchase agreements provide for net settlement on termination of the agreement. Refer to Note 10, Debt and Other Obligations for details of the Company’s repurchase agreement programs.

Collateral received includes both cash and non-cash collateral. Cash collateral received by the Company is recorded on the consolidated condensed balance sheet as “cash”, with a corresponding amount recorded in “other liabilities” to represent the Company’s obligation to return the collateral. Non-cash collateral received by the Company is not recognized on the consolidated condensed balance sheet unless the Company exercises its right to sell or re-pledge the underlying asset. As of March 31, 2020 and December 31, 2019, the fair value of non-cash collateral received was $51.9 million and $21.3 million, respectively.

The tables below present the derivative instruments by assets and liabilities for the Company as of March 31, 2020.


	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Balance Sheets		Net Amounts of Assets Presented in the Balance Sheets		Gross Amounts Not Offset in the Balance Sheets
											Financial Instruments			Collateral Received	Net Amount
	(Dollars In Thousands)
Offsetting of Assets
Derivatives:
Free-Standing derivatives	$	819,658	$	—	$	819,658	$	152,610	$	355,888		$	311,160
Total derivatives, subject to a master netting arrangement or similar arrangement	819,658		—		819,658		152,610		355,888			311,160
Derivatives not subject to a master netting arrangement or similar arrangement
Embedded derivative - Modco reinsurance treaties	4,961		—		4,961		—		—			4,961
Embedded derivative - GLWB	45,314		—		45,314		—		—			45,314
Derivatives with PLC	109,359		—		109,359		—		—			109,359
Other	2,447		—		2,447		—		—			2,447
Total derivatives, not subject to a master netting arrangement or similar arrangement	162,081		—		162,081		—		—			162,081
Total derivatives	981,739		—		981,739		152,610		355,888			473,241
Total Assets	$	981,739	$	—	$	981,739	$	152,610	$	355,888		$	473,241


	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Balance Sheets		Net Amounts of Liabilities Presented in the Balance Sheets		Gross Amounts Not Offset in the Balance Sheets
											Financial Instruments			Collateral Posted	Net Amount
	(Dollars In Thousands)
Offsetting of Liabilities
Derivatives:
Free-Standing derivatives	$	205,311	$	—	$	205,311	$	152,610	$	52,701		$	—
Total derivatives, subject to a master netting arrangement or similar arrangement	205,311		—		205,311		152,610		52,701			—
Derivatives, not subject to a master netting arrangement or similar arrangement
Embedded derivative - Modco reinsurance treaties	126,240		—		126,240		—		—			126,240
Funds withheld derivative	228,017		—		228,017		—		—			228,017
Embedded derivative - GLWB	641,933		—		641,933		—		—			641,933
Embedded derivative - FIA	306,541		—		306,541		—		—			306,541
Embedded derivative - IUL	164,079		—		164,079		—		—			164,079
Other	23,481		—		23,481		—		—			23,481
Total derivatives, not subject to a master netting arrangement or similar arrangement	1,490,291		—		1,490,291		—		—			1,490,291
Total derivatives	1,695,602		—		1,695,602		152,610		52,701			1,490,291
Repurchase agreements⁽¹⁾	—		—		—		—		—			—
Total Liabilities	$	1,695,602	$	—	$	1,695,602	$	152,610	$	52,701		$	1,490,291

(1) Borrowings under repurchase agreements are for a term less than 90 days.

The tables below present the derivative instruments by assets and liabilities for the Company as of December 31, 2019.


	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Balance Sheets		Net Amounts of Assets Presented in the Balance Sheets		Gross Amounts Not Offset in the Balance Sheets
											Financial Instruments			Collateral Received	Net Amount
	(Dollars In Thousands)
Offsetting of Assets
Derivatives:
Free-Standing derivatives	$	785,650	$	—	$	785,650	$	452,562	$	215,587		$	117,501
Total derivatives, subject to a master netting arrangement or similar arrangement	785,650		—		785,650		452,562		215,587			117,501
Derivatives not subject to a master netting arrangement or similar arrangement
Embedded derivative - Modco reinsurance treaties	31,926		—		31,926		—		—			31,926
Embedded derivative - GLWB	62,538		—		62,538		—		—			62,538
Derivatives with PLC	115,379		—		115,379		—		—			115,379
Other	—		—		—		—		—			—
Total derivatives, not subject to a master netting arrangement or similar arrangement	209,843		—		209,843		—		—			209,843
Total derivatives	995,493		—		995,493		452,562		215,587			327,344
Total Assets	$	995,493	$	—	$	995,493	$	452,562	$	215,587		$	327,344


	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Balance Sheets		Net Amounts of Liabilities Presented in the Balance Sheets		Gross Amounts Not Offset in the Statement of Balance Sheets
											Financial Instruments			Collateral Posted	Net Amount
	(Dollars In Thousands)
Offsetting of Liabilities
Derivatives:
Free-Standing derivatives	$	458,623	$	—	$	458,623	$	452,562	$	4,791		$	1,270
Total derivatives, subject to a master netting arrangement or similar arrangement	458,623		—		458,623		452,562		4,791			1,270
Derivatives not subject to a master netting arrangement or similar arrangement
Embedded derivative - Modco reinsurance treaties	231,516		—		231,516		—		—			231,516
Funds withheld derivative	70,583		—		70,583		—		—			70,583
Embedded derivative - GLWB	248,577		—		248,577		—		—			248,577
Embedded derivative - FIA	332,869		—		332,869		—		—			332,869
Embedded derivative - IUL	151,765		—		151,765		—		—			151,765
Other	53,245		—		53,245		—		—			53,245
Total derivatives, not subject to a master netting arrangement or similar arrangement	1,088,555		—		1,088,555		—		—			1,088,555
Total derivatives	1,547,178		—		1,547,178		452,562		4,791			1,089,825
Repurchase agreements⁽¹⁾	270,000		—		270,000		—		—			270,000
Total Liabilities	$	1,817,178	$	—	$	1,817,178	$	452,562	$	4,791		$	1,359,825

(1) Borrowings under repurchase agreements are for a term less than 90 days.