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DERIVATIVE FINANCIAL INSTRUMENTS (Tables)
 6 Months Ended
Jun. 30, 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
June 30,
 
For The
Six Months Ended
June 30,
 
2018
 
2017
 
2018
 
2017
 
(Dollars In Thousands)
Derivatives related to VA contracts:
 

 
 
 
 
 
 

Interest rate futures - VA
$
1,552

 
$
12,749

 
$
(15,340
)
 
$
16,197

Equity futures - VA
(10,864
)
 
(18,613
)
 
(17,292
)
 
(49,430
)
Currency futures - VA
12,063

 
(10,018
)
 
4,480

 
(16,274
)
Equity options - VA
(38,216
)
 
(12,884
)
 
(26,200
)
 
(53,069
)
Interest rate swaptions - VA
—

 
(662
)
 
(14
)
 
(2,131
)
Interest rate swaps - VA
(26,149
)
 
34,946

 
(89,859
)
 
25,989

Total return swaps - VA
(10,055
)
 
(1,618
)
 
(3,565
)
 
(1,618
)
Embedded derivative - GLWB
11,191

 
(23,807
)
 
32,664

 
(13,791
)
Funds withheld derivative
38,853

 
20,456

 
30,897

 
67,925

Total derivatives related to VA contracts
(21,625
)
 
549

 
(84,229
)
 
(26,202
)
Derivatives related to FIA contracts:
 

 
 
 


 
 

Embedded derivative - FIA
(4,927
)
 
(9,334
)
 
6,403

 
(21,745
)
Equity futures - FIA
(167
)
 
(202
)
 
(328
)
 
95

Equity options - FIA
7,398

 
7,569

 
2,729

 
18,269

Total derivatives related to FIA contracts
2,304

 
(1,967
)
 
8,804

 
(3,381
)
Derivatives related to IUL contracts:
 

 
 
 


 
 

Embedded derivative - IUL
(1,226
)
 
(8,571
)
 
8,658

 
(10,661
)
Equity futures - IUL
—

 
(137
)
 
136

 
(936
)
Equity options - IUL
2,086

 
1,571

 
836

 
4,462

Total derivatives related to IUL contracts
860

 
(7,137
)
 
9,630

 
(7,135
)
Embedded derivative - Modco reinsurance treaties
45,183

 
(52,703
)
 
127,841

 
(70,568
)
Derivatives with PLC(1)
(9,696
)
 
(2,531
)
 
1,847

 
(17,406
)
Other derivatives
34

 
(5
)
 
(7
)
 
(2
)
Total realized gains (losses) - derivatives
$
17,060

 
$
(63,794
)
 
$
63,886

 
$
(124,694
)
 
 
 
 
 
 
 
 
(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 June 30, 2018
 

 
 

 
 

Foreign currency swaps
$
2,967

 
$
(205
)
 
$
—

Total
$
2,967

 
$
(205
)
 
$
—

 
 
 
 
 
 
For The Six Months Ended June 30, 2018
 

 
 

 
 

Foreign currency swaps
$
3,582

 
$
(318
)
 
$
—

Total
$
3,582

 
$
(318
)
 
$
—

 
 
 
 
 
 
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, 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

 
$
10,352

 
$
117,178

 
$
6,016

Derivatives not designated as hedging instruments:
 

 
 

 
 

 
 

Interest rate swaps
1,015,000

 
19,195

 
1,265,000

 
55,411

Total return swaps
455,589

 
12,419

 
190,938

 
135

Derivatives with PLC(1)
2,859,485

 
92,798

 
2,810,469

 
91,578

Embedded derivative - Modco reinsurance treaties
326,046

 
1,551

 
64,472

 
1,009

Embedded derivative - GLWB
2,424,891

 
76,245

 
2,116,935

 
67,879

Interest rate futures
352,736

 
6,037

 
1,071,870

 
3,178

Equity futures
273,881

 
5,054

 
62,266

 
154

Currency futures
204,542

 
2,680

 
1,117

 
2

Equity options
5,558,594

 
324,123

 
4,436,467

 
403,961

Interest rate swaptions
—

 
—

 
225,000

 
14

Other
157

 
193

 
157

 
200

 
$
13,588,099

 
$
550,647

 
$
12,361,869

 
$
629,537

Other liabilities
 

 
 

 
 

 
 

Derivatives not designated as hedging instruments:
 

 
 

 
 

 
 

Interest rate swaps
$
1,097,500

 
$
18,538

 
$
597,500

 
$
2,960

Total return swaps
—

 
—

 
243,388

 
318

Embedded derivative - Modco reinsurance treaties
2,097,197

 
76,145

 
2,390,539

 
215,247

Funds withheld derivative
1,702,711

 
67,688

 
1,502,726

 
61,729

Embedded derivative - GLWB
1,646,921

 
59,128

 
1,939,320

 
83,427

Embedded derivative - FIA
2,296,052

 
238,569

 
1,951,650

 
218,676

Embedded derivative - IUL
203,079

 
83,166

 
168,349

 
80,212

Interest rate futures
914,621

 
3,907

 
230,404

 
917

Equity futures
58,756

 
1,199

 
318,795

 
2,593

Currency futures
—

 
—

 
255,248

 
2,087

Equity options
3,908,035

 
162,704

 
3,112,812

 
237,807

 
$
13,924,872

 
$
711,044

 
$
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.