DERIVATIVE FINANCIAL INSTRUMENTS (Tables)

6 Months Ended

Jun. 30, 2014

DERIVATIVE FINANCIAL INSTRUMENTS

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

	For The						For The
	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2014			2013			2014			2013
	(Dollars In Thousands)
Derivatives related to variable annuity contracts:
Interest rate futures - VA	$	6,548		$	(7,654	)	$	10,798		$	(24,138	)
Equity futures - VA	(7,259		)	(4,036		)	(9,910		)	(27,261		)
Currency futures - VA	(2,887		)	(112		)	(4,165		)	7,971
Variance swaps - VA	(823		)	2,214			(2,673		)	(8,219		)
Equity options - VA	(20,949		)	(8,131		)	(33,290		)	(36,537		)
Interest rate swaptions - VA	(4,998		)	1,639			(14,401		)	(2,463		)
Interest rate swaps - VA	45,169			(89,722		)	102,537			(106,278		)
Embedded derivative - GMWB	(13,147		)	25,939			(40,462		)	106,314
Funds withheld derivative	19,031			9,837			29,730			9,837
Total derivatives related to variable annuity contracts	20,685			(70,026		)	38,164			(80,774		)
Derivatives related to FIA contracts:
Embedded derivative- FIA	(8,307		)	(41		)	(6,574		)	(41		)
Equity futures- FIA	605			—			950			—
Volatility futures - FIA	8			—			8			—
Equity options- FIA	2,984			(19		)	3,978			(19		)
Total derivatives related to FIA contracts	(4,710		)	(60		)	(1,638		)	(60		)
Embedded derivative - Modco reinsurance treaties	(52,202		)	144,998			(112,371		)	161,773
Embedded derivative - IUL	(285		)	—			(285		)	—
Interest rate swaps	—			1,909			—			2,912
Derivatives with PLC(1)	33			(9,751		)	138			(13,529		)
Other derivatives	(141		)	(479		)	(202		)	(124		)
Total realized gains (losses) - derivatives	$	(36,620	)	$	66,591		$	(76,194	)	$	70,198

(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					For The
	Three Months Ended					Six Months Ended
	June 30,					June 30,
	2014		2013			2014		2013
	(Dollars In Thousands)
Modco trading portfolio(1)	$	60,989	$	(126,694	)	$	127,292	$	(142,022	)

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

Schedule of components of the gain or loss on derivatives that qualify as a cash flow hedging 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 June 30, 2014
Inflation	$	(929	)	$	(614	)	$	(165	)
Total	$	(929	)	$	(614	)	$	(165	)
For The Six Months Ended June 30, 2014
Inflation	$	(26	)	$	(1,284	)	$	(126	)
Total	$	(26	)	$	(1,284	)	$	(126	)

				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 June 30, 2013
Inflation	$	(4,589	)	$	(580	)	$	(558	)
Total	$	(4,589	)	$	(580	)	$	(558	)
For The Six Months Ended June 30, 2013
Inflation	$	(180	)	$	(1,077	)	$	(190	)
Total	$	(180	)	$	(1,077	)	$	(190	)

Notional amounts and fair values of derivative financial instruments

	As of
	June 30, 2014				December 31, 2013
	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	295,000		3,681		200,000		1,961
Derivatives with PLC(1)	1,489,606		2,131		1,464,164		1,993
Embedded derivative - Modco reinsurance treaties	30,105		1,226		80,376		1,517
Embedded derivative - GMWB	2,074,463		63,865		1,921,443		95,376
Interest rate futures	283,629		1,510		—		—
Equity futures	46,915		379		3,387		111
Currency futures	—		—		14,338		321
Equity options	2,051,427		120,586		1,376,205		78,277
Interest rate swaptions	625,000		15,890		625,000		30,291
Other	592		420		425		473
	$	6,896,737	$	209,688	$	5,685,338	$	210,320
Other liabilities
Cash flow hedges:
Inflation	$	182,965	$	624	$	182,965	$	1,865
Derivatives not designated as hedging instruments:
Interest rate swaps	1,180,000		59,968		1,230,000		153,322
Variance swaps	1,100		3,782		1,500		1,744
Embedded derivative - Modco reinsurance treaties	2,591,360		318,999		2,578,590		206,918
Funds withheld derivative	1,285,614		50,092		991,568		34,251
Embedded derivative - GMWB	621,178		10,445		104,180		1,496
Embedded derivative - FIA	527,698		69,615		244,424		25,324
Embedded derivative - IUL	1,057		610		—		—
Interest rate futures	71,714		37		322,902		5,221
Equity futures	102,891		1,443		164,595		6,595
Currency futures	138,916		2,364		118,008		840
Equity options	475,155		32,726		257,065		17,558
Other	358		38		230		27
	$	7,180,006	$	550,743	$	6,196,027	$	455,161

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