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DERIVATIVE FINANCIAL INSTRUMENTS (Tables)
 3 Months Ended
Mar. 31, 2018
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
March 31,
 
2018
 
2017
 
(Dollars In Thousands)
Derivatives related to VA contracts:
 

 
 
Interest rate futures - VA
$
(16,892
)
 
$
3,448

Equity futures - VA
(6,428
)
 
(30,817
)
Currency futures - VA
(7,583
)
 
(6,256
)
Equity options - VA
12,016

 
(40,185
)
Interest rate swaptions - VA
(14
)
 
(1,469
)
Interest rate swaps - VA
(63,710
)
 
(8,957
)
Total return swaps - VA
6,490

 
—

Embedded derivative - GLWB
21,473

 
10,016

Funds withheld derivative
(7,957
)
 
47,469

Total derivatives related to VA contracts
(62,605
)
 
(26,751
)
Derivatives related to FIA contracts:
 

 
 
Embedded derivative - FIA
11,330

 
(12,411
)
Equity futures - FIA
(161
)
 
297

Equity options - FIA
(4,669
)
 
10,700

Total derivatives related to FIA contracts
6,500

 
(1,414
)
Derivatives related to IUL contracts:
 

 
 
Embedded derivative - IUL
9,884

 
(2,090
)
Equity futures - IUL
136

 
(799
)
Equity options - IUL
(1,250
)
 
2,891

Total derivatives related to IUL contracts
8,770

 
2

Embedded derivative - Modco reinsurance treaties
82,658

 
(17,865
)
Derivatives with PLC(1)
11,543

 
(14,875
)
Other derivatives
(40
)
 
3

Total realized gains (losses) - derivatives
$
46,826

 
$
(60,900
)
 
 
 
 
(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.
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 March 31, 2018
 

 
 

 
 

Foreign currency swaps
$
615

 
$
(113
)
 
$
—

Total
$
615

 
$
(113
)
 
$
—

 
 
 
 
 
 
For The Three Months Ended March 31, 2017
 

 
 

 
 

Foreign currency swaps
$
(1,034
)
 
$
(205
)
 
$
—

Total
$
(1,034
)
 
$
(205
)
 
$
—

 
 
 
 
 
 
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
 
March 31, 2018
 
December 31, 2017
 
Notional
Amount
 
Fair
Value
 
Notional
Amount
 
Fair
Value
 
(Dollars In Thousands)
Other long-term investments
 

 
 

 
 

 
 

Cash flow hedges:
 
 
 
 
 
 
 
Foreign currency swaps
$
117,178

 
$
12,131

 
$
117,178

 
$
6,016

Derivatives not designated as hedging instruments:
 

 
 

 
 

 
 

Interest rate swaps
1,065,000

 
25,943

 
1,265,000

 
55,411

Total return swaps
448,872

 
18,678

 
190,938

 
135

Derivatives with PLC(1)
2,851,231

 
103,121

 
2,810,469

 
91,578

Embedded derivative - Modco reinsurance treaties
64,798

 
497

 
64,472

 
1,009

Embedded derivative - GLWB
2,286,032

 
72,741

 
2,116,935

 
67,879

Interest rate futures
375,718

 
8,059

 
1,071,870

 
3,178

Equity futures
272,807

 
11,218

 
62,266

 
154

Currency futures
150,801

 
1,127

 
1,117

 
2

Equity options
5,168,294

 
365,097

 
4,436,467

 
403,961

Interest rate swaptions
225,000

 
—

 
225,000

 
14

Other
157

 
160

 
157

 
200

 
$
13,025,888

 
$
618,772

 
$
12,361,869

 
$
629,537

Other liabilities
 

 
 

 
 

 
 

Derivatives not designated as hedging instruments:
 

 
 

 
 

 
 

Interest rate swaps
$
997,500

 
$
12,157

 
$
597,500

 
$
2,960

Total return swaps
—

 
—

 
243,388

 
318

Embedded derivative - Modco reinsurance treaties
2,375,807

 
126,090

 
2,390,539

 
215,247

Funds withheld derivative
1,682,018

 
101,773

 
1,502,726

 
61,729

Embedded derivative - GLWB
1,777,894

 
66,816

 
1,939,320

 
83,427

Embedded derivative - FIA
2,109,420

 
218,340

 
1,951,650

 
218,676

Embedded derivative - IUL
186,173

 
77,350

 
168,349

 
80,212

Interest rate futures
872,564

 
4,630

 
230,404

 
917

Equity futures
95,918

 
1,288

 
318,795

 
2,593

Currency futures
95,062

 
971

 
255,248

 
2,087

Equity options
3,623,922

 
177,557

 
3,112,812

 
237,807

 
$
13,816,278

 
$
786,972

 
$
12,710,731

 
$
905,973

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