XML 33 R31.htm IDEA: XBRL DOCUMENT v3.19.3
DERIVATIVE FINANCIAL INSTRUMENTS (Tables)
 9 Months Ended
Sep. 30, 2019
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,
2019201820192018
 (Dollars In Thousands)
Derivatives related to VA contracts:  
Interest rate futures $727  $2,111  $(16,575) $(13,229) 
Equity futures 5,220  (5,733) 37,517  (23,025) 
Currency futures 9,181  3,410  11,028  7,890  
Equity options (3,957) (21,206) (97,354) (47,406) 
Interest rate swaptions —  —  —  (14) 
Interest rate swaps 149,766  (41,288) 342,561  (131,147) 
Total return swaps (1,950) (32,343) (50,522) (35,908) 
Embedded derivative - GLWB(86,635) 22,931  (189,624) 55,595  
Funds withheld derivative(350) 37,444  80,198  68,341  
Total derivatives related to VA contracts72,002  (34,674) 117,229  (118,903) 
Derivatives related to FIA contracts:  
Embedded derivative(4,335) (14,360) (67,968) (7,957) 
Equity futures 962  (388) 964  (716) 
Equity options 4,785  18,474  60,026  21,203  
Total derivatives related to FIA contracts1,412  3,726  (6,978) 12,530  
Derivatives related to IUL contracts:  
Embedded derivative 6,261  (9,535) (18,395) (877) 
Equity futures 91  (1) 347  135  
Equity options586  4,928  9,372  5,764  
Total derivatives related to IUL contracts6,938  (4,608) (8,676) 5,022  
Embedded derivative - Modco reinsurance treaties(44,027) 10,811  (199,704) 138,652  
Derivatives with PLC(1)
7,583  (1,913) 14,852  (66) 
Other derivatives(1,622) (52) (3,011) (59) 
Total realized gains (losses) - derivatives$42,286  $(26,710) $(86,288) $37,176  
(1) These derivatives include the Interest, YRT premium support, and portfolio maintenance agreements between certain of the Company’s subsidiaries and PLC.
Components of the Gain or Loss on Derivatives that Quality as a Cash Flow Hedging Relationship
The following table presents the components of the gain or loss on derivatives that qualify as a cash flow hedging relationship.
Gain (Loss) on Derivatives in Cash Flow Hedging Relationship
Amount of Gains (Losses)
Deferred in
Accumulated Other
Comprehensive Income
(Loss) on Derivatives		Amount and Location of
Gains (Losses)
Reclassified from
Accumulated Other
Comprehensive Income
(Loss) into Income (Loss)		Amount and Location of
(Losses) Recognized in
Income (Loss) on
Derivatives
 (Effective Portion)(Effective Portion)(Ineffective Portion)
Benefits and settlement
expenses		Realized investment
gains (losses)
 (Dollars In Thousands)
For The Three Months Ended September 30, 2019   
Foreign currency swaps$(4,163) $(373) $—  
Interest rate swaps(93) (373) —  
Total$(4,256) $(746) $—  
For The Nine Months Ended September 30, 2019   
Foreign currency swaps$(7,789) $(767) $—  
Interest rate swaps(2,484) (593) —  
Total$(10,273) $(1,360) $—  
For The Three Months Ended September 30, 2018   
Foreign currency swaps$190  $(155) $—  
Interest rate swaps101  (326) —  
Total$291  $(481) $—  
For The Nine Months Ended September 30, 2018   
Foreign currency swaps$3,772  $(473) $—  
Interest rate swaps101  (326) —  
Total$3,873  $(799) $—  
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, 2019December 31, 2018
Notional
Amount		Fair
Value		Notional
Amount		Fair
Value
 (Dollars In Thousands)
Other long-term investments    
Derivatives not designated as hedging instruments:    
Interest rate swaps$2,228,000  $131,894  $1,515,500  $28,501  
Total return swaps
424,662  2,120  138,070  3,971  
Derivatives with PLC(1)
2,833,958  103,192  2,856,351  90,049  
Embedded derivative - Modco reinsurance treaties1,245,889  30,600  585,294  7,072  
Embedded derivative - GLWB965,140  59,248  1,919,861  54,221  
Interest rate futures844,428  8,256  286,208  10,302  
Equity futures322,478  2,425  12,633  483  
Currency futures271,290  2,316  —  —  
Equity options6,339,766  483,463  5,624,081  220,092  
Other—  —  157  136  
 $15,475,611  $823,514  $12,938,155  $414,827  
Other liabilities    
Cash flow hedges:
Interest rate swaps$350,000  $—  $350,000  $—  
Foreign currency swaps117,178  13,516  117,178  904  
Derivatives not designated as hedging instruments:    
Interest rate swaps50,000  —  775,000  11,367  
Total return swaps126,177  916  768,177  23,054  
Embedded derivative - Modco reinsurance treaties2,283,624  245,792  1,795,287  32,828  
Funds withheld derivative2,073,724  93,707  1,992,562  95,142  
Embedded derivative - GLWB3,089,291  327,804  2,152,698  97,528  
Embedded derivative - FIA2,792,499  306,063  2,576,033  217,288  
Embedded derivative - IUL276,466  141,793  233,550  90,231  
Interest rate futures650,353  7,776  863,706  20,100  
Equity futures137,284  1,935  659,357  33,753  
Currency futures—  —  202,747  2,163  
Equity options4,169,543  239,814  4,199,687  34,178  
Other193,069  45,839  3,288  252  
 $16,309,208  $1,424,955  $16,689,270  $658,788  
(1) These derivatives include the Interest, YRT premium support, and portfolio maintenance agreements between certain of the Company’s subsidiaries and PLC.