DERIVATIVE FINANCIAL INSTRUMENTS (Tables)

9 Months Ended

Sep. 30, 2013

DERIVATIVE FINANCIAL INSTRUMENTS

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

Realized investment gains (losses) - derivative financial instruments

	For The						For The
	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2013			2012			2013			2012
	(Dollars In Thousands)
Derivatives related to variable and FIA annuity contracts:
Interest rate futures - VA	$	(2,255	)	$	(3,371	)	$	(26,393	)	$	32,419
Equity futures - VA	(12,568		)	(17,324		)	(39,829		)	(42,643		)
Currency futures - VA	(6,531		)	(3,078		)	1,440			(2,298		)
Volatility futures - VA	—			—			—			(132		)
Variance swaps - VA	(1,347		)	(5,840		)	(9,566		)	(6,660		)
Equity options - VA	(29,094		)	(9,184		)	(65,631		)	(29,903		)
Interest rate swaptions - VA	1,725			(3,019		)	(738		)	2,293
Interest rate swaps - VA	(19,224		)	6,361			(125,502		)	10,187
Embedded derivative - GMWB	40,379			2,921			146,693			(32,369		)
Funds withheld derivative	32,207			—			42,045			—
Total derivatives related to variable annuity contracts	3,292			(32,534		)	(77,481		)	(69,106		)
Embedded derivative - Modco reinsurance treaties	30,074			(101,999		)	191,847			(139,972		)
Embedded derivative - FIA	(104		)	—			(145		)	—
Interest rate swaps	72			199			2,984			(680		)
Interest rate caps	—			(143		)	—			(2,658		)
Derivatives with PLC(1)	(1,159		)	17,559			(14,689		)	18,059
Other derivatives	37			255			(106		)	17
Total realized gains (losses) - derivatives	$	32,212		$	(116,663	)	$	102,410		$	(194,340	)

(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

Realized investment gains (losses) - all other investments

	For The					For The
	Three Months Ended					Nine Months Ended
	September 30,					September 30,
	2013			2012		2013			2012
	(Dollars In Thousands)
Modco trading portfolio(1)	$	(25,960	)	$	104,865	$	(167,982	)	$	179,027

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

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

Gain (Loss) on Derivatives in Cash Flow Relationship

				Amount and Location of
	Amount of Gains (Losses)			Gains (Losses)
	Deferred in			Reclassified from			Amount and Location of
	Accumulated Other			Accumulated Other			(Losses) Recognized in
	Comprehensive Income			Comprehensive Income			Income (Loss) on
	(Loss) on Derivatives			(Loss) into Income (Loss)			Derivatives
	(Effective Portion)			(Effective Portion)			(Ineffective Portion)
				Benefits and settlement			Realized investment
				expenses			gains (losses)
	(Dollars In Thousands)
For The Three Months Ended September 30, 2013
Inflation	$	22		$	(572	)	$	(62	)
Total	$	22		$	(572	)	$	(62	)
For The Nine Months Ended September 30, 2013
Inflation	$	(157	)	$	(1,649	)	$	(253	)
Total	$	(157	)	$	(1,649	)	$	(253	)

Gain (Loss) on Derivatives in Cash Flow Relationship

				Amount and Location of
	Amount of Gains (Losses)			Gains (Losses)
	Deferred in			Reclassified from			Amount and Location of
	Accumulated Other			Accumulated Other			(Losses) Recognized in
	Comprehensive Income			Comprehensive Income			Income (Loss) on
	(Loss) on Derivatives			(Loss) into Income (Loss)			Derivatives
	(Effective Portion)			(Effective Portion)			(Ineffective Portion)
				Benefits and settlement			Realized investment
				expenses			gains (losses)
	(Dollars In Thousands)
For The Three Months Ended September 30, 2012
Interest rate	$	(1	)	$	(549	)	$	—
Inflation	2,938			(552		)	221
Total	$	2,937		$	(1,101	)	$	221
For The Nine Months Ended September 30, 2012
Interest rate	$	(77	)	$	(2,261	)	$	—
Inflation	4,146			(485		)	(2		)
Total	$	4,069		$	(2,746	)	$	(2	)

Notional amounts and fair values of derivative financial instruments

	As of
	September 30, 2013				December 31, 2012
	Notional		Fair		Notional		Fair
	Amount		Value		Amount		Value
	(Dollars In Thousands)
Other long-term investments
Cash flow hedges:
Inflation	$	—	$	—	$	—	$	—
Derivatives not designated as hedging instruments:
Interest rate swaps	200,000		2,035		355,000		6,532
Variance swaps	—		—		500		406
Derivatives with PLC(1)	1,508,964		2,376		1,404,750		17,064
Embedded derivative - Modco reinsurance treaties	45,314		802		30,244		1,330
Embedded derivative — GMWB	1,692,535		79,827		1,640,075		30,261
Interest rate futures	111,534		1,106		—		—
Equity futures	47,994		937		147,581		595
Currency futures	—		—		15,944		784
Interest rate caps	—		—		3,000,000		—
Equity options	1,467,720		80,754		573,493		61,833
Interest rate swaptions	625,000		27,978		400,000		11,370
Other	262		357		224		253
	$	5,699,323	$	196,172	$	7,567,811	$	130,428
Other liabilities
Cash flow hedges:
Inflation	$	182,965	$	3,806	$	182,965	$	5,027
Derivatives not designated as hedging instruments:
Interest rate swaps	1,500,000		132,592		400,000		10,025
Variance swaps	—		—		2,675		12,198
Embedded derivative - Modco reinsurance treaties	2,598,832		219,532		2,655,134		411,907
Funds withheld derivative	1,178,524		49,045		—		—
Embedded derivative - GMWB	114,940		1,992		5,253,961		199,530
Embedded derivative - FIA	104,951		9,199		—		—
Interest rate futures	175,681		531		893,476		13,970
Equity futures	94,457		1,484		152,364		3,316
Currency futures	126,389		3,350		131,979		1,901
Equity options	144,408		5,939		—		—
Other- FIA volatility futures	35		—		—		—
	$	6,221,182	$	427,470	$	9,672,554	$	657,874

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