DERIVATIVE FINANCIAL INSTRUMENTS (Tables)

12 Months Ended

Dec. 31, 2013

DERIVATIVE FINANCIAL INSTRUMENTS

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

	For The Year Ended December 31,
	2013			2012			2011
	(Dollars In Thousands)
Derivatives related to variable annuity contracts:
Interest rate futures - VA	$	(31,216	)	$	21,138		$	164,221
Equity futures - VA	(52,640		)	(50,797		)	(30,061		)
Currency futures - VA	(469		)	(2,763		)	2,977
Volatility futures - VA	—			(132		)	—
Variance swaps - VA	(11,310		)	(11,792		)	(239		)
Equity options - VA	(95,022		)	(37,370		)	(15,051		)
Volatility options- VA	(115		)	—			—
Interest rate swaptions - VA	1,575			(2,260		)	—
Interest rate swaps - VA	(157,408		)	3,264			7,718
Credit default swaps - VA	—			—			(7,851		)
Embedded derivative - GMWB	162,737			(22,120		)	(127,537		)
Funds withheld derivative	71,862			—			—
Total derivatives related to variable annuity contracts	(112,006		)	(102,832		)	(5,823		)
Derivatives related to FIA contracts:
Embedded derivative- FIA	(942		)	—			—
Equity futures- FIA	173			—			—
Volatility futures- FIA	(5		)	—			—
Equity options- FIA	1,866			—			—
Total derivatives related to FIA contracts	1,092			—			—
Embedded derivative - Modco reinsurance treaties	205,176			(132,816		)	(134,340		)
Interest rate swaps	2,985			(87		)	(11,264		)
Interest rate caps	—			(2,666		)	(2,801		)
Derivatives with PLC(1)	(15,072		)	10,664			(300		)
Other derivatives	(14		)	(79		)	(477		)
Total realized gains (losses) - derivatives	$	82,161		$	(227,816	)	$	(155,005	)

(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,
	2013			2012		2011
	(Dollars In Thousands)
Modco trading portfolio(1)	$	(178,134	)	$	177,986	$	164,224

(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

				Amount and Location of
				Gains (Losses)
				Reclassified from			Amount and Location of
	Amount of Gains (Losses)			Accumulated Other			(Losses) Recognized in
	Deferred in			Comprehensive Income			Income (Loss) on
	Accumulated Other			(Loss) into Income (Loss)			Derivatives
	Comprehensive Income			(Effective Portion)			(Ineffective Portion)
	(Loss) on Derivatives			Benefits and settlement			Realized investment
	(Effective Portion)			expenses			gains (losses)
	(Dollars In Thousands)
For The Year Ended December 31, 2013
Inflation	$	1,130		$	(2,349	)	$	(190	)
Total	$	1,130		$	(2,349	)	$	(190	)
For The Year Ended December 31, 2012
Interest rate	$	(77	)	$	(2,261	)	$	—
Inflation	3,243			(938		)	(177		)
Total	$	3,166		$	(3,199	)	$	(177	)

Notional amounts and fair values of derivative financial instruments

	As of December 31,
	2013				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		1,961		355,000		6,532
Variance swaps	—		—		500		406
Derivatives with PLC(1)	1,464,164		1,993		1,404,750		17,064
Embedded derivative - Modco reinsurance treaties	80,376		1,517		30,244		1,330
Embedded derivative  - GMWB	1,921,443		95,376		1,640,075		30,261
Interest rate futures	—		—		—		—
Equity futures	3,387		111		147,581		595
Currency futures	14,338		321		15,944		784
Interest rate caps	—		—		3,000,000		—
Equity options	1,376,205		78,277		573,493		61,833
Interest rate swaptions	625,000		30,291		400,000		11,370
Other	425		473		224		253
	$	5,685,338	$	210,320	$	7,567,811	$	130,428
Other liabilities
Cash flow hedges:
Inflation	$	182,965	$	1,865	$	182,965	$	5,027
Derivatives not designated as hedging instruments:
Interest rate swaps	1,230,000		153,322		400,000		10,025
Variance swaps	1,500		1,744		2,675		12,198
Embedded derivative - Modco reinsurance treaties	2,578,590		206,918		2,655,134		411,907
Funds withheld derivative	991,568		34,251		—		—
Embedded derivative - GMWB	104,180		1,496		5,253,961		199,530
Embedded derivative- FIA	244,424		25,324		—		—
Interest rate futures	322,902		5,221		893,476		13,970
Equity futures	164,595		6,595		152,364		3,316
Currency futures	118,008		840		131,979		1,901
Equity options	257,065		17,558		—		—
Other	230		27		—		—
	$	6,196,027	$	455,161	$	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.