Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2013

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

	June 30, 2013							December 31, 2012
			Notional	Gross Fair Value					Notional	Gross Fair Value
			Amount	Assets		Liabilities			Amount	Assets		Liabilities
		(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Currency/Interest Rate		$	72,247	$	1,146	$	(1,881)	$	65,612	$	192	$	(3,309)
Total Qualifying Hedges		$	72,247	$	1,146	$	(1,881)	$	65,612	$	192	$	(3,309)

Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Swaps		$	2,332,950	$	85,230	$	(66,573)	$	2,332,950	$	139,258	$	(24,075)
Interest Rate Options			70,000		9,837		-		100,000		15,330		-
Currency/Interest Rate
Foreign Currency Swaps			55,919		1,731		(894)		61,126		1,715		(2,894)
Credit
Credit Default Swaps			21,050		-		(909)		345,050		411		(1,413)
Equity
Total Return Swaps			191,197		1,907		(3,283)		253,766		193		(3,741)
Equity Options			4,314,657		5,607		(2,028)		7,800,982		16,988		(6,920)
Total Non-Qualifying Hedges		$	6,985,773	$	104,312	$	(73,687)	$	10,893,874	$	173,895	$	(39,043)

Total Derivatives (1)		$	7,058,020	$	105,458	$	(75,568)	$	10,959,486	$	174,087	$	(42,352)

(1) Excludes embedded derivatives which contain multiple underlyings. The fair value of these embedded derivatives was a liability of $670 million and $1,793 million as of June 30, 2013 and December 31, 2012, respectively, included in “Future policy benefits.”

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


		Three Months Ended June 30, 2013
			Realized Investment Gains/(Losses)		Net Investment Income		Other Income		Accumulated Other Comprehensive Income (1)
		(in thousands)
Derivatives Designated as Hedging Instruments:
Cash flow hedges
	Currency/Interest Rate	$	-	$	(16)	$	27	$	598
	Total cash flow hedges		-		(16)		27		598

Derivatives Not Qualifying as Hedging Instruments:
	Interest Rate		(56,393)		-		-		-
	Currency		-		-		-		-
	Currency/Interest Rate		474		-		46		-
	Credit		(22)		-		-		-
	Equity		(10,976)		-		-		-
	Embedded Derivatives		18,078		-		-		-
	Total non-qualifying hedges		(48,839)		-		46		-
Total		$	(48,839)	$	(16)	$	73	$	598



		Six Months Ended June 30, 2013
			Realized Investment Gains/(Losses)		Net Investment Income		Other Income		Accumulated Other Comprehensive Income (1)
		(in thousands)
Derivatives Designated as Hedging Instruments:
Cash flow hedges
	Currency/Interest Rate	$	-	$	(50)	$	32	$	2,343
	Total cash flow hedges		-		(50)		32		2,343

Derivatives Not Qualifying as Hedging Instruments:
	Interest Rate		(82,230)		-		-		-
	Currency		-		-		-		-
	Currency/Interest Rate		1,784		-		41		-
	Credit		(59)		-		-		-
	Equity		(41,427)		-		-		-
	Embedded Derivatives		32,267		-		-		-
	Total non-qualifying hedges		(89,665)		-		41		-
Total		$	(89,665)	$	(50)	$	74	$	2,343



		Three Months Ended June 30, 2012
			Realized Investment Gains/(Losses)		Net Investment Income		Other Income		Accumulated Other Comprehensive Income (1)
		(in thousands)
Derivatives Designated as Hedging Instruments:
Cash flow hedges
	Currency/Interest Rate	$	-	$	(33)	$	32	$	2,263
	Total cash flow hedges		-		(33)		32		2,263

Derivatives Not Qualifying as Hedging Instruments:
	Interest Rate		47,230		-		-		-
	Currency		-		-		-		-
	Currency/Interest Rate		2,306		-		39		-
	Credit		94		-		-		-
	Equity		5,644		-		-		-
	Embedded Derivatives		(27,354)		-		-		-
	Total non-qualifying hedges		27,920		-		39		-
Total		$	27,920	$	(33)	$	71	$	2,263



		Six Months Ended June 30, 2012
			Realized Investment Gains/(Losses)		Net Investment Income		Other Income		Accumulated Other Comprehensive Income (1)
		(in thousands)
Derivatives Designated as Hedging Instruments:
Cash flow hedges
	Currency/Interest Rate	$	-	$	(74)	$	34	$	1,062
	Total cash flow hedges		-		(74)		34		1,062

Derivatives Not Qualifying as Hedging Instruments:
	Interest Rate		25,854		-		-		-
	Currency		-		-		-		-
	Currency/Interest Rate		1,150		-		27		-
	Credit		193		-		-		-
	Equity		(27,193)		-		-		-
	Embedded Derivatives		(14,680)		-		-		-
	Total non-qualifying hedges		(14,676)		-		27		-
Total		$	(14,676)	$	(74)	$	61	$	1,062

(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

		June 30, 2013				December 31, 2012
Industry		Notional		Fair Value		Notional		Fair Value
		(in thousands)
Corporate Securities:
	Consumer Non-cyclical	$	-	$	-	$	120,000	$	146
	Capital Goods		-		-		90,000		109
	Basic Industry		-		-		40,000		68
	Transportation		-		-		25,000		30
	Consumer Cyclical		-		-		20,000		29
	Energy		-		-		20,000		29
Total Credit Derivatives		$	-	$	-	$	315,000	$	411

Offsetting of Financial Assets and Liabilities

	June 30, 2013
			Gross		Net
	Gross		Amounts		Amounts
	Amounts of		Offset in the		Presented in
	Recognized		Statement of		the Statement		Financial
	Financial		Financial		of Financial		Instruments/		Net
	Instruments		Position		Position		Collateral		Amount

	(in thousands)
Offsetting of Financial Assets:
Derivatives	$	105,458	$	(75,568)	$	29,890	$	-	$	29,890

Offsetting of Financial Liabilities:
Derivatives	$	75,568	$	(75,568)	$	-	$	-	$	-


	December 31, 2012
			Gross		Net
	Gross		Amounts		Amounts
	Amounts of		Offset in the		Presented in
	Recognized		Statement of		the Statement		Financial
	Financial		Financial		of Financial		Instruments/		Net
	Instruments		Position		Position		Collateral		Amount

	(in thousands)
Offsetting of Financial Assets:
Derivatives	$	174,087	$	(42,352)	$	131,735	$	-	$	131,735

Offsetting of Financial Liabilities:
Derivatives	$	42,352	$	(42,352)	$	-	$	-	$	-

- 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, 2012

Net deferred gains (losses) on cash flow hedges from January 1 to June 30, 2013

Amount reclassified into current period earnings

Balance, June 30, 2013