Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2013

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

	September 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	$	361	$	(3,886)	$	65,612	$	192	$	(3,309)
Total Qualifying Hedges		$	72,247	$	361	$	(3,886)	$	65,612	$	192	$	(3,309)

Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Swaps		$	2,332,950	$	78,215	$	(77,657)	$	2,332,950	$	139,258	$	(24,075)
Interest Rate Options			100,000		8,476		-		100,000		15,330		-
Currency/Interest Rate
Foreign Currency Swaps			55,919		451		(1,912)		61,126		1,715		(2,894)
Credit
Credit Default Swaps			6,050		-		(125)		345,050		411		(1,413)
Equity
Total Return Swaps			207,007		3,893		(1,319)		253,766		193		(3,741)
Equity Options			9,145,307		11,662		(6,486)		7,800,982		16,988		(6,920)
Total Non-Qualifying Hedges		$	11,847,233	$	102,697	$	(87,499)	$	10,893,874	$	173,895	$	(39,043)

Total Derivatives (1)		$	11,919,480	$	103,058	$	(91,385)	$	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 $1,304 million and $1,793 million as of September 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 September 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	$	-	$	(17)	$	(30)	$	(2,781)
	Total cash flow hedges		-		(17)		(30)		(2,781)

Derivatives Not Qualifying as Hedging Instruments:
	Interest Rate		(11,810)		-		-		-
	Currency/Interest Rate		(2,137)		-		(23)		-
	Credit		(28)		-		-		-
	Equity		(14,507)		-		-		-
	Embedded Derivatives		(44,453)		-		-		-
	Total non-qualifying hedges		(72,935)		-		(23)		-
Total		$	(72,935)	$	(17)	$	(53)	$	(2,781)



		Nine Months Ended September 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	$	-	$	(68)	$	2	$	(438)
	Total cash flow hedges		-		(68)		2		(438)

Derivatives Not Qualifying as Hedging Instruments:
	Interest Rate		(94,040)		-		-		-
	Currency/Interest Rate		(353)		-		18		-
	Credit		(86)		-		-		-
	Equity		(55,934)		-		-		-
	Embedded Derivatives		(12,187)		-		-		-
	Total non-qualifying hedges		(162,600)		-		18		-
Total		$	(162,600)	$	(68)	$	21	$	(438)



		Three Months Ended September 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)	$	(4)	$	(1,556)
	Total cash flow hedges		-		(33)		(4)		(1,556)

Derivatives Not Qualifying as Hedging Instruments:
	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)



		Nine Months Ended September 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	$	-	$	(107)	$	30	$	(494)
	Total cash flow hedges		-		(107)		30		(494)

Derivatives Not Qualifying as Hedging Instruments:
	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).”

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

Disclosure of Exposure from Credit Derivatives

		September 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

	September 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	$	103,058	$	(91,700)	$	11,358	$	30,143	$	41,501

Offsetting of Financial Liabilities:
Derivatives	$	91,385	$	(91,385)	$	-	$	-	$	-


	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

(in thousands)

Balance, December 31, 2012

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

Amount reclassified into current period earnings

Balance, September 30, 2013