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DERIVATIVE FINANCIAL INSTRUMENTS (Tables)
 6 Months Ended
Jun. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Realized Investments Gains and Losses
The following table sets forth realized investments gains and losses for the periods shown:
Realized investment gains (losses) - derivative financial instruments
 
For The
Three Months Ended
June 30,
 
For The
Six Months Ended
June 30,
 
2017
 
2016
 
2017
 
2016
 
(Dollars In Thousands)
Derivatives related to VA contracts:
 

 
 
 
 
 
 

Interest rate futures - VA
$
12,749

 
$
31,266

 
$
16,197

 
$
69,067

Equity futures - VA
(18,613
)
 
(21,328
)
 
(49,430
)
 
(24,556
)
Currency futures - VA
(10,018
)
 
11,112

 
(16,274
)
 
4,954

Equity options - VA
(12,884
)
 
(3,232
)
 
(53,069
)
 
13,072

Interest rate swaptions - VA
(662
)
 
(749
)
 
(2,131
)
 
(2,983
)
Interest rate swaps - VA
34,946

 
81,554

 
25,989

 
207,147

Total return swaps - VA
(1,618
)
 
—

 
(1,618
)
 
—

Embedded derivative - GLWB
(23,807
)
 
(66,019
)
 
(13,791
)
 
(132,695
)
Funds withheld derivative
20,456

 
17,850

 
67,925

 
10,052

Total derivatives related to VA contracts
549

 
50,454

 
(26,202
)
 
144,058

Derivatives related to FIA contracts:
 

 
 
 


 
 

Embedded derivative - FIA
(9,334
)
 
710

 
(21,745
)
 
(1,452
)
Equity futures - FIA
(202
)
 
651

 
95

 
2,033

Volatility futures - FIA
—

 
—

 
—

 
—

Equity options - FIA
7,569

 
735

 
18,269

 
(4,827
)
Total derivatives related to FIA contracts
(1,967
)
 
2,096

 
(3,381
)
 
(4,246
)
Derivatives related to IUL contracts:
 

 
 
 


 
 

Embedded derivative - IUL
(8,571
)
 
(96
)
 
(10,661
)
 
(834
)
Equity futures - IUL
(137
)
 
47

 
(936
)
 
(172
)
Equity options - IUL
1,571

 
241

 
4,462

 
214

Total derivatives related to IUL contracts
(7,137
)
 
192

 
(7,135
)
 
(792
)
Embedded derivative - Modco reinsurance treaties
(52,703
)
 
(22,820
)
 
(70,568
)
 
(81,175
)
Derivatives with PLC(1)
(2,531
)
 
13,681

 
(17,406
)
 
17,711

Other derivatives
(5
)
 
(55
)
 
(2
)
 
(100
)
Total realized gains (losses) - derivatives
$
(63,794
)
 
$
43,548

 
$
(124,694
)
 
$
75,456

 
 
 
 
 
 
 
 
(1) These derivatives include the Interest, YRT premium support, and portfolio maintenance agreements between certain of the Company’s subsidiaries and PLC.
Realized Investment Gains and Losses for the Modco Trading Portfolio that is Included in Realized Investment Gains (Losses) - All Other Investments
The following table sets forth realized investments gains and losses for the Modco trading portfolio that is included in realized investment gains (losses) — all other investments:
Realized investment gains (losses) - all other investments
 
For The
Three Months Ended
June 30,
 
For The
Six Months Ended
June 30,
 
2017
 
2016
 
2017
 
2016
 
(Dollars In Thousands)
Modco trading portfolio(1)
$
55,230

 
$
76,201

 
$
73,782

 
$
154,355

 
 
 
 
 
 
 
 
(1) The Company elected to include the use of alternate disclosures for trading activities.
Components of the Gain or Loss on Derivatives that Quality as a Cash Flow Hedging Relationship
The following table presents the components of the gain or loss on derivatives that qualify as a cash flow hedging relationship. The Company did not have any derivatives that qualified as a cash flow hedging relationships for the three and six months ended June 30, 2016:
Gain (Loss) on Derivatives in Cash Flow Hedging Relationship
 
Amount of Gains (Losses)
Deferred in
Accumulated Other
Comprehensive Income
(Loss) on Derivatives
 
Amount and Location of
Gains (Losses)
Reclassified from
Accumulated Other
Comprehensive Income
(Loss) into Income (Loss)
 
Amount and Location of
(Losses) Recognized in
Income (Loss) on
Derivatives
 
(Effective Portion)
 
(Effective Portion)
 
(Ineffective Portion)
 
 
 
Benefits and settlement
expenses
 
Realized investment
gains (losses)
 
(Dollars In Thousands)
For The Three Months Ended June 30, 2017
 

 
 

 
 

Foreign currency swaps
$
(184
)
 
$
(153
)
 
$
—

Total
$
(184
)
 
$
(153
)
 
$
—

 
 
 
 
 
 
For The Six Months Ended June 30, 2017
 

 
 

 
 

Foreign currency swaps
$
(1,218
)
 
$
(358
)
 
$
—

Total
$
(1,218
)
 
$
(358
)
 
$
—

 
 
 
 
 
 
Schedule of Information About the Nature and Accounting Treatment of the Company's Primary Derivative Financial Instruments and the Location in and Effect on the Consolidated Financial Statements
The table below presents information about the nature and accounting treatment of the Company’s primary derivative financial instruments and the location in and effect on the consolidated condensed financial statements for the periods presented below:
 
As of
 
June 30, 2017
 
December 31, 2016
 
Notional
Amount
 
Fair
Value
 
Notional
Amount
 
Fair
Value
 
(Dollars In Thousands)
Other long-term investments
 

 
 

 
 

 
 

Cash flow hedges:
 
 
 
 
 
 
 
Foreign currency swaps
$
117,178

 
$
2,671

 
$
117,178

 
$
132

Derivatives not designated as hedging instruments:
 

 
 

 
 

 
 

Interest rate swaps
1,487,500

 
57,710

 
1,135,000

 
71,644

Total return swaps
122,207

 
398

 
—

 
—

Derivatives with PLC(1)
2,792,930

 
31,473

 
2,808,807

 
48,878

Embedded derivative - Modco reinsurance treaties
64,255

 
676

 
64,123

 
2,573

Embedded derivative - GLWB
1,968,811

 
61,096

 
2,045,529

 
64,064

Interest rate futures
1,009,166

 
8,208

 
102,587

 
894

Equity futures
683,430

 
3,963

 
654,113

 
5,805

Currency futures
74,783

 
1,833

 
340,058

 
7,883

Equity options
4,707,543

 
354,214

 
3,944,444

 
328,908

Interest rate swaptions
225,000

 
372

 
225,000

 
2,503

Other
157

 
149

 
212

 
149

 
$
13,252,960

 
$
522,763

 
$
11,437,051

 
$
533,433

Other liabilities
 

 
 

 
 

 
 

Cash flow hedges:
 
 
 
 
 
 
 
Foreign currency swaps
$
—

 
$
—

 
$
—

 
$
—

Derivatives not designated as hedging instruments:
 

 
 

 
 

 
 

Interest rate swaps
375,000

 
573

 
575,000

 
10,208

Embedded derivative - Modco reinsurance treaties
2,417,531

 
196,882

 
2,450,692

 
141,301

Funds withheld derivative
1,667,044

 
69,777

 
1,557,237

 
91,267

Embedded derivative - GLWB
2,014,469

 
81,908

 
1,849,400

 
71,082

Embedded derivative - FIA
1,737,505

 
191,226

 
1,496,346

 
147,368

Embedded derivative - IUL
133,556

 
62,747

 
103,838

 
46,051

Interest rate futures
490,873

 
2,524

 
993,842

 
6,611

Equity futures
1,816

 
1

 
102,667

 
2,907

Currency futures
228,612

 
3,587

 
—

 
—

Equity options
3,167,860

 
196,317

 
2,590,160

 
157,253

 
$
12,234,266

 
$
805,542

 
$
11,719,182

 
$
674,048

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