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DERIVATIVE FINANCIAL INSTRUMENTS (Tables)
 9 Months Ended
Sep. 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
September 30,
 
For The
Nine Months Ended
September 30,
 
2017
 
2016
 
2017
 
2016
 
(Dollars In Thousands)
Derivatives related to VA contracts:
 

 
 
 
 
 
 

Interest rate futures - VA
$
549

 
$
(7,002
)
 
$
16,746

 
$
62,065

Equity futures - VA
(25,959
)
 
(41,836
)
 
(75,389
)
 
(66,392
)
Currency futures - VA
(6,092
)
 
934

 
(22,366
)
 
5,888

Equity options - VA
(23,307
)
 
(36,482
)
 
(76,376
)
 
(23,410
)
Interest rate swaptions - VA
(292
)
 
(229
)
 
(2,423
)
 
(3,212
)
Interest rate swaps - VA
5,342

 
14,737

 
31,331

 
221,884

Total return swaps - VA
(8,057
)
 
—

 
(9,675
)
 
—

Embedded derivative - GLWB
485

 
24,150

 
(13,306
)
 
(108,545
)
Funds withheld derivative
35,821

 
53,834

 
103,746

 
63,886

Total derivatives related to VA contracts
(21,510
)
 
8,106

 
(47,712
)
 
152,164

Derivatives related to FIA contracts:
 

 
 
 


 
 

Embedded derivative - FIA
(18,606
)
 
(14,486
)
 
(40,351
)
 
(15,938
)
Equity futures - FIA
66

 
2,236

 
161

 
4,269

Volatility futures - FIA
—

 
—

 
—

 
—

Equity options - FIA
11,242

 
6,583

 
29,511

 
1,756

Total derivatives related to FIA contracts
(7,298
)
 
(5,667
)
 
(10,679
)
 
(9,913
)
Derivatives related to IUL contracts:
 

 
 
 


 
 

Embedded derivative - IUL
(297
)
 
7,136

 
(10,958
)
 
6,302

Equity futures - IUL
58

 
101

 
(878
)
 
(71
)
Equity options - IUL
1,975

 
1,607

 
6,437

 
1,821

Total derivatives related to IUL contracts
1,736

 
8,844

 
(5,399
)
 
8,052

Embedded derivative - Modco reinsurance treaties
(19,746
)
 
(24,187
)
 
(90,314
)
 
(105,362
)
Derivatives with PLC(1)
52,077

 
13,387

 
34,671

 
31,098

Other derivatives
43

 
49

 
41

 
(51
)
Total realized gains (losses) - derivatives
$
5,302

 
$
532

 
$
(119,392
)
 
$
75,988

 
 
 
 
 
 
 
 
(1) These derivatives include the Interest, YRT premium support, and portfolio maintenance agreements between certain of the Company’s subsidiaries and PLC.
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 nine months ended September 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 September 30, 2017
 

 
 

 
 

Foreign currency swaps
$
1,273

 
$
(38
)
 
$
—

Total
$
1,273

 
$
(38
)
 
$
—

 
 
 
 
 
 
For The Nine Months Ended September 30, 2017
 

 
 

 
 

Foreign currency swaps
$
55

 
$
(396
)
 
$
—

Total
$
55

 
$
(396
)
 
$
—

 
 
 
 
 
 
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
 
September 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

 
$
10,125

 
$
117,178

 
$
132

Derivatives not designated as hedging instruments:
 

 
 

 
 

 
 

Interest rate swaps
1,365,000

 
59,641

 
1,135,000

 
71,644

Total return swaps
—

 
—

 
—

 
—

Derivatives with PLC(1)
2,839,296

 
83,549

 
2,808,807

 
48,878

Embedded derivative - Modco reinsurance treaties
64,444

 
1,008

 
64,123

 
2,573

Embedded derivative - GLWB
2,023,387

 
65,176

 
2,045,529

 
64,064

Interest rate futures
531,447

 
2,267

 
102,587

 
894

Equity futures
46,334

 
333

 
654,113

 
5,805

Currency futures
186,047

 
4,010

 
340,058

 
7,883

Equity options
4,846,984

 
364,936

 
3,944,444

 
328,908

Interest rate swaptions
225,000

 
81

 
225,000

 
2,503

Other
157

 
191

 
212

 
149

 
$
12,245,274

 
$
591,317

 
$
11,437,051

 
$
533,433

Other liabilities
 

 
 

 
 

 
 

Cash flow hedges:
 
 
 
 
 
 
 
Foreign currency swaps
$
497,500

 
$
267

 
$
—

 
$
—

Derivatives not designated as hedging instruments:
 

 
 

 
 

 
 

Interest rate swaps
347,330

 
3,151

 
575,000

 
10,208

Embedded derivative - Modco reinsurance treaties
2,408,832

 
209,334

 
2,450,692

 
141,301

Funds withheld derivative
1,762,013

 
50,523

 
1,557,237

 
91,267

Embedded derivative - GLWB
1,958,688

 
85,502

 
1,849,400

 
71,082

Embedded derivative - FIA
1,845,942

 
197,378

 
1,496,346

 
147,368

Embedded derivative - IUL
150,277

 
69,081

 
103,838

 
46,051

Interest rate futures
606,501

 
6,401

 
993,842

 
6,611

Equity futures
340,041

 
14,854

 
102,667

 
2,907

Currency futures
115,382

 
1,958

 
—

 
—

Equity options
3,055,206

 
203,451

 
2,590,160

 
157,253

 
$
13,087,712

 
$
841,900

 
$
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.