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Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2012

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

	September 30, 2012							December 31, 2011
			Notional	Fair Value					Notional	Fair Value
			Amount	Assets		Liabilities			Amount	Assets		Liabilities
		(in thousands)
Qualifying Hedges
Currency/Interest Rate
Currency/Interest Rate		$	63,165	$	947	$	(2,417)	$	47,702	$	867	$	(1,796)
Total Qualifying Hedges		$	63,165	$	947	$	(2,417)	$	47,702	$	867	$	(1,796)

Non-qualifying Hedges
Interest Rate
Non Currency Swaps		$	2,132,950	$	172,636	$	(13,660)	$	1,752,950	$	162,428	$	(8,546)
Currency/Interest Rate
Foreign Currency Swaps			55,861		2,951		(4,321)		62,280		2,852		(4,975)
Credit
Credit Default Swaps			345,050		805		(1,650)		399,050		1,737		(2,165)
Equity
Equity Non Currency			169,085		1,069		(2,584)		199,446		1,067		(4,838)
Equity Options			9,564,450		18,782		(7,571)		2,798,732		23,161		(17,692)
Total Non-Qualifying Hedges		$	12,267,396	$	196,243	$	(29,786)	$	5,212,458	$	191,245	$	(38,216)

Total Derivatives (1)		$	12,330,561	$	197,190	$	(32,203)	$	5,260,160	$	192,112	$	(40,012)

(1) Excludes embedded derivatives which contain multiple underlyings. The fair value of these embedded derivatives was a liability of $1,887 million as of September 30, 2012 and a liability of $1,787 million as of December 31, 2011 included in “Future policy benefits” and “Fixed maturities, available-for-sale.”

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance

		Three Months Ended September 30, 2012
			Realized Investment Gains/(Losses)		Net Investment Income		Other Income		Accumulated Other Comprehensive Income (1)
		(in thousands)
Qualifying hedges
Cash flow hedges
	Currency/Interest Rate	$	-	$	(33)	$	(4)	$	(1,556)
	Total qualifying hedges		-		(33)		(4)		(1,556)

Non- qualifying hedges
	Interest Rate		(2,942)		-		-		-
	Currency/Interest Rate		(1,446)		-		(7)		-
	Credit		(53)		-		-		-
	Equity		(21,383)		-		-		-
	Embedded Derivatives		(37,089)		-		-		-
	Total non-qualifying hedges		(62,913)		-		(7)		-
Total		$	(62,913)	$	(33)	$	(11)	$	(1,556)

(1) Amounts deferred in accumulated other comprehensive income (loss).


		Nine Months Ended September 30, 2012
			Realized Investment Gains/(Losses)		Net Investment Income		Other Income		Accumulated Other Comprehensive Income (1)
		(in thousands)
Qualifying hedges
Cash flow hedges
	Currency/Interest Rate	$	-	$	(107)	$	30	$	(494)
	Total cash flow hedges		-		(107)		30		(494)

Non- qualifying hedges
	Interest Rate		22,912		-		-		-
	Currency/Interest Rate		(296)		-		20		-
	Credit		140		-		-		-
	Equity		(48,576)		-		-		-
	Embedded Derivatives		(51,769)		-		-		-
	Total non-qualifying hedges		(77,589)		-		20		-
Total		$	(77,589)	$	(107)	$	50	$	(494)

(1) Amounts deferred in accumulated other comprehensive income (loss).

		Three Months Ended September 30, 2011
			Realized Investment Gains/(Losses)		Net Investment Income		Other Income		Accumulated Other Comprehensive Income (1)
		(in thousands)
Qualifying hedges
Cash flow hedges
	Currency/Interest Rate	$	-	$	(31)	$	23	$	2,860
	Total qualifying hedges		-		(31)		23		2,860

Non- qualifying hedges
	Interest Rate		88,278		-		-		-
	Currency/Interest Rate		5,251		-		-		-
	Credit		544		-		-		-
	Equity		22,293		-		-		-
	Embedded Derivatives		(69,635)		-		-		-
	Total non-qualifying hedges		46,731		-		-		-
Total		$	46,731	$	(31)	$	23	$	2,860

(1) Amounts deferred in accumulated other comprehensive income (loss).

		Nine Months Ended September 30, 2011
			Realized Investment Gains/(Losses)		Net Investment Income		Other Income		Accumulated Other Comprehensive Income (1)
		(in thousands)
Qualifying hedges
Cash flow hedges
	Currency/Interest Rate	$	-	$	(70)	$	(28)	$	1,122
	Total cash flow hedges		-		(70)		(28)		1,122

Non- qualifying hedges
	Interest Rate		103,706		-		-		-
	Currency/Interest Rate		2,456		-		-		-
	Credit		1,155		-		-		-
	Equity		8,377		-		-		-
	Embedded Derivatives		(91,243)		-		-		-
	Total non-qualifying hedges		24,451		-		-		-
Total		$	24,451	$	(70)	$	(28)	$	1,122

(1) Amounts deferred in accumulated other comprehensive income (loss).

Schedule of Derivative Instruments Recognized in Accumulated Other Comprehensive Income(Loss) Before Taxes

Disclosure of Exposure from Credit Derivatives

		September 30, 2012				December 31, 2011
Industry		Notional		Fair Value		Notional		Fair Value
		(in thousands)
Corporate Securities:
	Basic Industry	$	40,000	$	132	$	40,000	$	248
	Capital Goods		90,000		220		90,000		315
	Consumer Cyclical		20,000		56		20,000		120
	Consumer Non-cyclical		120,000		284		120,000		655
	Energy		20,000		58		20,000		101
	Finance		-		-		54,000		95
	Transportation		25,000		55		25,000		106
Total Credit Derivatives		$	315,000	$	805	$	369,000	$	1,640

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

+ References+ Details

- Definition

Tabular disclosure of the location and amount of gains and losses reported in the statement of financial performance, or when applicable, the statement of financial position. For example, (a) gains and losses recognized in the income statement on derivative instruments designated and qualifying as hedging instruments in fair value hedges and related hedged items designated and qualifying in fair value hedges and (b) gains and losses initially recognized in other comprehensive income on derivative instruments designated and qualifying as cash flow hedges.

+ References+ Details

- Definition

Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

+ References+ Details

(in thousands)

Balance, December 31, 2011

Net deferred gains (losses) on cash flow hedges from January 1 to September 30, 2012

Amount reclassified into current period earnings

Balance, September 30, 2012