Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule Of Derivative Instruments In Statement Of Financial Position Fair Value

The following table presents the notional amounts and gross fair value of derivative instruments prior to taking into account the netting effects of master netting agreements as of March 31, 2019 and December 31, 2018 (dollars in thousands):



		March 31, 2019						December 31, 2018
	Primary Underlying Risk	Notional		Carrying Value/Fair Value				Notional		Carrying Value/Fair Value
	Primary Underlying Risk	Amount		Assets		Liabilities		Amount		Assets		Liabilities
Derivatives not designated as hedging instruments:
Interest rate swaps	Interest rate	$	1,018,438	$	57,278	$	2,670	$	1,040,588	$	47,652	$	961
Financial futures	Equity	360,170		—		—		325,620		—		—
Foreign currency swaps	Foreign currency	149,698		—		4,629		149,698		504		4,659
Foreign currency forwards	Foreign currency	25,000		251		—		25,000		—		234
CPI swaps	CPI	388,151		—		20,505		385,580		—		11,384
Credit default swaps	Credit	1,348,300		6,614		58		1,338,300		6,003		1,166
Equity options	Equity	439,158		20,152		—		439,158		42,836		—
Longevity swaps	Longevity	897,440		48,869		—		917,360		47,789		—
Mortality swaps	Mortality	25,000		489		—		25,000		—		369
Synthetic GICs	Interest rate	13,895,380		—		—		13,397,729		—		—
Embedded derivatives in:
Modco or funds withheld arrangements		—		107,506		—		—		109,597		—
Indexed annuity products		—		—		754,171		—		—		776,940
Variable annuity products		—		—		149,764		—		—		167,925
Total non-hedging derivatives		18,546,735		241,159		931,797		18,044,033		254,381		963,638
Derivatives designated as hedging instruments:
Interest rate swaps	Foreign currency/Interest rate	435,000		891		24,436		435,000		—		27,257
Foreign currency swaps	Foreign currency	451,686		38,620		479		494,461		51,311		—
Foreign currency forwards	Foreign currency	949,879		32,862		—		911,197		50,974		—
Total hedging derivatives		1,836,565		72,373		24,915		1,840,658		102,285		27,257
Total derivatives		$	20,383,300	$	313,532	$	956,712	$	19,884,691	$	356,666	$	990,895

Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block]

The gain or loss on the hedged item attributable to a change in foreign currency and the offsetting gain or loss on the related foreign currency swaps as of March 31, 2019 and 2018, were (dollars in thousands):



Type of Fair Value Hedge	Hedged Item	Gains (Losses) Recognized for Derivatives			Gains (Losses) Recognized for Hedged Items
		Investment Related Gains (Losses)
For the three months ended March 31, 2019:
Foreign currency swaps	Foreign-denominated fixed maturity securities	$	(709	)	$	(703	)
For the three months ended March 31, 2018:
Foreign currency swaps	Foreign-denominated fixed maturity securities	$	(1,891	)	$	1,891

Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss) [Table Text Block]

The following table presents the components of AOCI, before income tax, and the condensed consolidated income statement classification where the gain or loss is recognized related to cash flow hedges for the three months ended March 31, 2019 and 2018 (dollars in thousands):



	Three months ended March 31,
	2019			2018
Balance beginning of period	$	8,788		$	2,619
Gains (losses) deferred in other comprehensive income (loss)	(10,196		)	17,817
Amounts reclassified to investment income	(25		)	(144		)
Amounts reclassified to interest expense	(469		)	370
Balance end of period	$	(1,902	)	$	20,662

Schedule of Cash Flow Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block]

The following table presents the effect of derivatives in cash flow hedging relationships on the condensed consolidated statements of income and the condensed consolidated statements of comprehensive income for the three months ended March 31, 2019 and 2018 (dollars in thousands):



Derivative Type	Gain (Loss) Deferred in OCI			Gain (Loss) Reclassified into Income from OCI
				Investment Income		Interest Expense
For the three months ended March 31, 2019:
Interest rate	$	(12,101	)	$	—	$	469
Currency/Interest rate	1,905			25		—
Total	$	(10,196	)	$	25	$	469
For the three months ended March 31, 2018:
Interest rate	$	14,986		$	—	$	(370	)
Currency/Interest rate	2,831			144		—
Total	$	17,817		$	144	$	(370	)

Schedule of Net Investment Hedges, Statements of Financial Performance and Financial Position, Location [Table Text Block]

The following table illustrates the Company’s net investments in foreign operations (“NIFO”) hedges for the three months ended March 31, 2019 and 2018 (dollars in thousands):



	Derivative Gains (Losses) Deferred in AOCI
	For the three months ended March 31,
Type of NIFO Hedge ⁽¹⁾	2019			2018
Foreign currency swaps	$	(7,007	)	$	8,805
Foreign currency forwards	(18,112		)	12,236


(1)	There were no sales or substantial liquidations of net investments in foreign operations that would have required the reclassification of gains or losses from accumulated other comprehensive income (loss) into investment income during the periods presented.

Derivatives Not Designated as Hedging Instruments [Table Text Block]

A summary of the effect of non-hedging derivatives, including embedded derivatives, on the Company’s condensed consolidated statements of income for the three months ended March 31, 2019 and 2018 is as follows (dollars in thousands):



		Gain (Loss) for the three months ended March 31,
Type of Non-hedging Derivative	Income Statement Location of Gain (Loss)	2019			2018
Interest rate swaps	Investment related gains (losses), net	$	23,974		$	(26,571	)
Financial futures	Investment related gains (losses), net	(22,278		)	129
Foreign currency swaps	Investment related gains (losses), net	723			—
Foreign currency forwards	Investment related gains (losses), net	492			323
CPI swaps	Investment related gains (losses), net	(8,851		)	2,186
Credit default swaps	Investment related gains (losses), net	14,500			(402		)
Equity options	Investment related gains (losses), net	(22,684		)	2,593
Longevity swaps	Other revenues	2,143			2,267
Mortality swaps	Other revenues	858			—
Subtotal		(11,123		)	(19,475		)
Embedded derivatives in:
Modco or funds withheld arrangements	Investment related gains (losses), net	(2,092		)	13,611
Indexed annuity products	Interest credited	3,070			25,351
Variable annuity products	Investment related gains (losses), net	18,161			14,785
Total non-hedging derivatives		$	8,016		$	34,272

Disclosure Of Credit Derivatives

The following table presents the estimated fair value, maximum amount of future payments and weighted average years to maturity of credit default swaps sold by the Company at March 31, 2019 and December 31, 2018 (dollars in thousands):



	March 31, 2019					December 31, 2018
Rating Agency Designation of Referenced Credit Obligations⁽¹⁾	Estimated Fair Value of Credit Default Swaps		Maximum Amount of Future Payments under Credit Default Swaps⁽²⁾		Weighted Average Years to Maturity⁽³⁾	Estimated Fair Value of Credit Default Swaps			Maximum Amount of Future Payments under Credit Default Swaps⁽²⁾		Weighted Average Years to Maturity⁽³⁾
AAA/AA+/AA/AA-/A+/A/A-
Single name credit default swaps	$	2,082	$	157,000	2.1	$	1,953		$	152,000	2.2
Subtotal	2,082		157,000		2.1	1,953			152,000		2.2
BBB+/BBB/BBB-
Single name credit default swaps	3,672		358,700		2.0	2,930			353,700		2.2
Credit default swaps referencing indices	769		817,600		5.0	(76		)	817,600		6.4
Subtotal	4,441		1,176,300		4.1	2,854			1,171,300		5.1
BB+/BB/BB-
Single name credit default swaps	33		15,000		0.5	30			15,000		0.7
Subtotal	33		15,000		0.5	30			15,000		0.7
Total	$	6,556	$	1,348,300	3.8	$	4,837		$	1,338,300	4.7


(1)	The rating agency designations are based on ratings from Standard and Poor’s (“S&P”).


(2)	Assumes the value of the referenced credit obligations is zero.


(3)	The weighted average years to maturity of the credit default swaps is calculated based on weighted average notional amounts.

Offsetting Assets [Table Text Block]

The following table provides information relating to the Company’s derivative instruments as of March 31, 2019 and December 31, 2018 (dollars in thousands):



								Gross Amounts Not Offset in the Balance Sheet
	Gross Amounts Recognized		Gross Amounts Offset in the Balance Sheet			Net Amounts Presented in the Balance Sheet		Financial Instruments ⁽¹⁾			Cash Collateral Pledged/ Received			Net Amount
March 31, 2019:
Derivative assets	$	206,026	$	(24,745	)	$	181,281	$	—		$	(205,177	)	$	(23,896	)
Derivative liabilities	52,777		(24,745		)	28,032		(63,992		)	(37,980		)	(73,940		)
December 31, 2018:
Derivative assets	$	247,069	$	(18,581	)	$	228,488	$	—		$	(235,611	)	$	(7,123	)
Derivative liabilities	46,030		(18,581		)	27,449		(71,376		)	(24,080		)	(68,007		)


(1)	Includes initial margin posted to a central clearing partner.

Offsetting Liabilities [Table Text Block]

The following table provides information relating to the Company’s derivative instruments as of March 31, 2019 and December 31, 2018 (dollars in thousands):



								Gross Amounts Not Offset in the Balance Sheet
	Gross Amounts Recognized		Gross Amounts Offset in the Balance Sheet			Net Amounts Presented in the Balance Sheet		Financial Instruments ⁽¹⁾			Cash Collateral Pledged/ Received			Net Amount
March 31, 2019:
Derivative assets	$	206,026	$	(24,745	)	$	181,281	$	—		$	(205,177	)	$	(23,896	)
Derivative liabilities	52,777		(24,745		)	28,032		(63,992		)	(37,980		)	(73,940		)
December 31, 2018:
Derivative assets	$	247,069	$	(18,581	)	$	228,488	$	—		$	(235,611	)	$	(7,123	)
Derivative liabilities	46,030		(18,581		)	27,449		(71,376		)	(24,080		)	(68,007		)


(1)	Includes initial margin posted to a central clearing partner.