DERIVATIVE FINANCIAL INSTRUMENTS (Tables)

6 Months Ended

Jun. 30, 2012

DERIVATIVE FINANCIAL INSTRUMENTS

Notional amounts and fair values of derivative financial instruments

	As of June 30, 2012				As of December 31, 2011
	Notional		Fair		Notional		Fair
	Amount		Value		Amount		Value
	(Dollars In Thousands)
Other long-term investments
Cash flow hedges:
Inflation	$	—	$	—	$	7,068	$	1
Derivatives not designated as hedging instruments:
Interest rate swaps	225,000		5,797		125,000		5,118
Volatility swaps	600		609		—		—
Interest rate floors/YRT premium support arrangements	775,198		6,900		796,713		6,400
Embedded derivative - Modco reinsurance treaties	30,531		1,787		30,001		2,038
Embedded derivative - GMWB	1,099,744		16,628		826,790		10,665
Interest rate futures	769,749		7,065		615,445		6,393
Equity futures	—		—		49,631		837
Currency futures	14,425		323		57,912		976
Interest rate caps	3,000,000		152		3,000,000		2,666
Equity options	471,276		47,330		440,000		19,396
Interest rate swaptions	400,000		18,942		—		—
Other	224		141		224		155
	$	6,786,747	$	105,674	$	5,948,784	$	54,645
Other liabilities
Cash flow hedges:
Inflation	$	234,764	$	8,115	$	244,399	$	8,863
Interest rate	75,000		1,810		75,000		3,443
Derivatives not designated as hedging instruments:
Interest rate swaps	150,000		4,462		25,000		3,064
Volatility swaps	675		1,430		—		—
Embedded derivative - Modco reinsurance treaties	2,689,788		317,520		2,761,686		279,799
Embedded derivative - GMWB	4,489,658		199,067		3,741,688		157,813
Interest rate futures	358,884		625		270,019		1,148
Equity futures	296,141		14,964		189,765		1,454
Currency futures	111,326		1,835		14,348		126
	$	8,406,236	$	549,828	$	7,321,905	$	455,710

Schedule of gain (loss) on derivatives in cash flow hedging relationship

	For The Three Months Ended June 30, 2012									For The Six Months Ended June 30, 2012
	Realized			Benefits and			Other			Realized			Benefits and			Other
	investment			settlement			comprehensive			investment			settlement			comprehensive
	gains (losses)			expenses			income (loss)			gains (losses)			expenses			income (loss)
	(Dollars In Thousands)
Gain (loss) recognized in other comprehensive income (effective portion):
Interest rate	$	—		$	—		$	(2	)	$	—		$	—		$	(75	)
Inflation	—			—			(7,939		)	—			—			985
Gain (loss) reclassified from accumulated other comprehensive income into income (effective portion):
Interest rate	$	—		$	(858	)	$	—		$	—		$	(1,712	)	$	—
Inflation	—			(113		)	—			—			67			—
Gain (loss) recognized in income (ineffective portion):
Inflation	$	(870	)	$	—		$	—		$	(224	)	$	—		$	—

	For The Three Months Ended June 30, 2011									For The Six Months Ended June 30, 2011
	Realized			Benefits and			Other			Realized		Benefits and			Other
	investment			settlement			comprehensive			investment		settlement			comprehensive
	gains (losses)			expenses			income (loss)			gains (losses)		expenses			income (loss)
	(Dollars In Thousands)
Gain (loss) recognized in other comprehensive income (effective portion):
Interest rate	$	—		$	—		$	(248	)	$	—	$	—		$	(343	)
Inflation	—			—			(5,907		)	—		—			2,184
Gain (loss) reclassified from accumulated other comprehensive income into income (effective portion):
Interest rate	$	—		$	(895	)	$	—		$	—	$	(1,778	)	$	—
Inflation	—			(250		)	—			—		(1,328		)	—
Gain (loss) recognized in income (ineffective portion):
Inflation	$	(617	)	$	—		$	—		$	28	$	—		$	—

Schedule of realized investment gains (losses) - derivative financial instruments

	For The						For The
	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2012			2011			2012			2011
	(Dollars In Thousands)
Derivatives related to variable annuity contracts:
Interest rate futures - VA	$	69,196		$	9,039		$	35,790		$	3,369
Equity futures - VA	(220		)	(1,503		)	(25,319		)	(19,346		)
Currency futures - VA	1,764			(199		)	780			(199		)
Volatility futures - VA	343			—			(132		)	—
Volatility swaps - VA	1,063			(917		)	(821		)	(3,734		)
Equity options - VA	3,153			(3,982		)	(20,719		)	(7,259		)
Interest rate swaptions - VA	8,831			—			5,312			—
Interest rate swaps - VA	5,954			—			3,826			—
Credit default swaps - VA	—			915			—			915
Embedded derivative - GMWB	(85,456		)	(5,549		)	(35,289		)	2,575
Total derivatives related to variable annuity contracts	4,628			(2,196		)	(36,572		)	(23,679		)
Embedded derivative - Modco reinsurance treaties	(48,679		)	(29,214		)	(37,973		)	(21,372		)
Interest rate swaps	(2,916		)	(2,989		)	(879		)	(2,457		)
Interest rate caps	(351		)	—			(2,515		)	—
Interest rate floors/YRT premium support arrangements	500			(50		)	500			(451		)
Other derivatives	(950		)	(596		)	(238		)	50
Total realized gains (losses) - derivatives	$	(47,768	)	$	(35,045	)	$	(77,677	)	$	(47,909	)

Schedule of realized investment gains (losses) - all other investments

	For The				For The
	Three Months Ended				Six Months Ended
	June 30,				June 30,
	2012		2011		2012		2011
	(Dollars In Thousands)
Modco trading portfolio(1)	$	56,063	$	33,603	$	74,162	$	27,954

(1)  The Company elected to include the use of alternate disclosures for trading activities