DERIVATIVE FINANCIAL INSTRUMENTS (Tables)

12 Months Ended

Dec. 31, 2012

DERIVATIVE FINANCIAL INSTRUMENTS

Notional amounts and fair values of derivative financial instruments

	As of December 31,
	2012				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	355,000		6,532		125,000		5,118
Volatility swaps	500		406		—		—
Derivatives with PLC(1)	1,404,750		17,064		796,713		6,400
Embedded derivative - Modco reinsurance treaties	30,244		1,330		30,001		2,038
Embedded derivative - GMWB	1,640,075		30,261		826,790		10,665
Interest rate futures	—		—		615,445		6,393
Equity futures	147,581		595		49,631		837
Currency futures	15,944		784		57,912		976
Interest rate caps	3,000,000		—		3,000,000		2,666
Equity options	573,493		61,833		440,000		19,396
Interest rate swaptions	400,000		11,370		—		—
Other	224		253		224		155
	$	7,567,811	$	130,428	$	5,948,784	$	54,645
Other liabilities
Cash flow hedges:
Inflation	$	182,965	$	5,027	$	244,399	$	8,863
Interest rate	—		—		75,000		3,443
Derivatives not designated as hedging instruments:
Interest rate swaps	400,000		10,025		25,000		3,064
Volatility swaps	2,675		12,198		—		—
Embedded derivative - Modco reinsurance treaties	2,655,134		411,907		2,761,686		279,799
Embedded derivative - GMWB	5,253,961		199,530		3,741,688		157,813
Interest rate futures	893,476		13,970		270,019		1,148
Equity futures	152,364		3,316		189,765		1,454
Currency futures	131,979		1,901		14,348		126
	$	9,672,554	$	657,874	$	7,321,905	$	455,710

(1) These derivatives include the Interest, YRT premium support, and portfolio maintenance agreements between certain of the Company’s subsidiaries and PLC.

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

	For The Year Ended December 31, 2012									For The Year Ended December 31, 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 (loss) (effective portion):
Interest rate	$	—		$	—		$	(77	)	$	—		$	—		$	(272	)
Inflation	—			—			3,067			—			—			2,468
Gain (loss) reclassified from accumulated other comprehensive income (loss) into income (effective portion):
Interest rate	$	—		$	(2,261	)	$	—		$	—		$	(3,581	)	$	—
Inflation	—			(938		)	—			—			(276		)	—
Gain (loss) recognized in income (ineffective portion):
Inflation	$	(177	)	$	—		$	—		$	(359	)	$	—		$	—

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

	For The Year Ended December 31,
	2012			2011			2010
	(Dollars In Thousands)
Derivatives related to variable annuity contracts:
Interest rate futures - VA	$	21,138		$	164,221		$	(11,778	)
Equity futures - VA	(50,797		)	(30,061		)	(42,258		)
Currency futures - VA	(2,763		)	2,977			—
Volatility futures - VA	(132		)	—			—
Volatility swaps - VA	(11,792		)	(239		)	(2,433		)
Equity options - VA	(37,370		)	(15,051		)	(1,824		)
Interest rate swaptions - VA	(2,260		)	—			—
Interest rate swaps - VA	3,264			7,718			—
Credit default swaps - VA	—			(7,851		)	—
Embedded derivative - GMWB	(22,120		)	(127,537		)	(5,728		)
Total derivatives related to variable annuity contracts	(102,832		)	(5,823		)	(64,021		)
Embedded derivative - Modco reinsurance treaties	(132,816		)	(134,340		)	(67,989		)
Interest rate swaps	(87		)	(11,264		)	(8,427		)
Interest rate caps	(2,666		)	(2,801		)	—
Derivatives with PLC(1)	10,664			(300		)	(4,800		)
Other derivatives	(79		)	(477		)	799
Total realized gains (losses) - derivatives	$	(227,816	)	$	(155,005	)	$	(144,438	)

(1)These derivatives include the Interest, YRT premium support, and portfolio maintenance agreements between certain of the Company’s subsidiaries and PLC.

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

	For The Year Ended December 31,
	2012		2011		2010
	(Dollars In Thousands)
Modco trading portfolio(1)	$	177,986	$	164,224	$	109,399

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