DERIVATIVE FINANCIAL INSTRUMENTS (Tables)

9 Months Ended

Sep. 30, 2015

DERIVATIVE FINANCIAL INSTRUMENTS

Schedule of realized investment gains (losses)

	Successor						Predecessor
	Company						Company
	For The Three			February 1, 2015						For The Three			For The Nine
	Months Ended			to			January 1, 2015			Months Ended			Months Ended
	September 30,			September 30,			to			September 30,			September 30,
	2015			2015			January 31, 2015			2014			2014
	(Dollars In Thousands)						(Dollars In Thousands)
Derivatives related to VA contracts:
Interest rate futures - VA	$	12,140		$	(2,091	)	$	1,413		$	1,979		$	12,777
Equity futures - VA	40,951			3,215			9,221			861			(9,049		)
Currency futures - VA	4,000			1,428			7,778			10,185			6,020
Variance swaps - VA	—			—			—			1,570			(1,103		)
Equity options - VA	33,519			8,195			3,047			2,050			(31,240		)
Interest rate swaptions - VA	(3,618		)	(12,399		)	9,268			(2,812		)	(17,213		)
Interest rate swaps - VA	101,808			(74,150		)	122,710			22,011			124,548
Embedded derivative - GMWB	(71,296		)	10,543			(68,503		)	(11,407		)	(51,869		)
Funds withheld derivative	(52,872		)	(8,301		)	(9,073		)	(2,432		)	27,298
Total derivatives related to VA contracts	64,632			(73,560		)	75,861			22,005			60,169
Derivatives related to FIA contracts:
Embedded derivative - FIA	11,328			9,035			1,769			(2,462		)	(9,036		)
Equity futures - FIA	709			1,016			(184		)	117			1,067
Volatility futures - FIA	(24		)	6			—			(4		)	4
Equity options - FIA	(12,099		)	(6,499		)	(2,617		)	1,099			5,077
Total derivatives related to FIA contracts	(86		)	3,558			(1,032		)	(1,250		)	(2,888		)
Derivatives related to IUL contracts:
Embedded derivative - IUL	1,287			3,082			(486		)	347			62
Equity futures - IUL	17			39			3			16			16
Equity options - IUL	(1,110		)	(1,048		)	(115		)	(24		)	(24		)
Total derivatives related to IUL contracts	194			2,073			(598		)	339			54
Embedded derivative - Modco reinsurance treaties	(9,817		)	131,505			(68,026		)	20,426			(91,945		)
Derivatives with PLC (1)	(12,978		)	(16,096		)	15,863			398			536
Other derivatives	(50		)	33			(37		)	(149		)	(351		)
Total realized gains (losses) - derivatives	$	41,895		$	47,513		$	22,031		$	41,769		$	(34,425	)

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

Schedule of realized investments gains and losses for Modco trading portfolio that is included in realized investment gains (losses) - all other investments

Successor

Predecessor

Company

Company

For The Three

February 1, 2015

January 1, 2015

For The Three

For The Nine

Months Ended

to

to

Months Ended

Months Ended

September 30, 2015

September 30, 2015

January 31, 2015

September 30, 2014

September 30, 2014

(Dollars In Thousands)

(Dollars In Thousands)

Modco trading portfolio(1)

$

8,377

$

(133,524

)

$

73,062

$

(17,225

)

$

110,067

(1)The Company elected to include the use of alternate disclosures for trading activities.

Schedule of components of the gains or losses on derivatives that qualify as a cash flow hedging relationship

Gain (Loss) on Derivatives in Cash Flow Hedging Relationship

				Amount and Location of
	Amount of Gains (Losses)			Gains (Losses)
	Deferred in			Reclassified from			Amount and Location of
	Accumulated Other			Accumulated Other			(Losses) Recognized in
	Comprehensive Income			Comprehensive Income			Income (Loss) on
	(Loss) on Derivatives			(Loss) into Income (Loss)			Derivatives
	(Effective Portion)			(Effective Portion)			(Ineffective Portion)
				Benefits and settlement			Realized investment
				expenses			gains (losses)
				(Dollars In Thousands)
Successor Company
For The Three Months Ended September 30, 2015
Inflation	$	—		$	—		$	—
Total	$	—		$	—		$	—
Successor Company
February 1, 2015 to September 30, 2015
Inflation	$	(131	)	$	(131	)	$	73
Total	$	(131	)	$	(131	)	$	73
Predecessor Company
January 1, 2015 to January 31, 2015
Inflation	$	13		$	(36	)	$	(7	)
Total	$	13		$	(36	)	$	(7	)
Predecessor Company
For The Three Months Ended September 30, 2014
Inflation	$	(64	)	$	(293	)	$	(79	)
Total	$	(64	)	$	(293	)	$	(79	)
Predecessor Company
For The Nine Months Ended September 30, 2014
Inflation	$	(90	)	$	(1,577	)	$	(205	)
Total	$	(90	)	$	(1,577	)	$	(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

	Successor				Predecessor
	Company				Company
	As of September 30, 2015				As of December 31, 2014
	Notional		Fair		Notional		Fair
	Amount		Value		Amount		Value
	(Dollars In Thousands)				(Dollars In Thousands)
Other long-term investments
Derivatives not designated as hedging instruments:
Interest rate swaps	$	1,325,000	$	82,642	$	1,550,000	$	50,743
Derivatives with PLC(1)	1,574,348		5,843		1,497,010		6,077
Embedded derivative - Modco reinsurance treaties	64,984		859		25,760		1,051
Embedded derivative — GMWB	1,688,779		49,048		1,302,895		37,497
Interest rate futures	946,551		2,547		27,977		938
Equity futures	297,690		9,806		26,483		427
Currency futures	239,526		2,608		197,648		2,384
Equity options	2,833,844		192,335		1,921,167		163,212
Interest rate swaptions	225,000		4,619		625,000		8,012
Other	1,336		500		242		360
	$	9,197,058	$	350,807	$	7,174,182	$	270,701
Other liabilities
Cash flow hedges:
Inflation	$	—	$	—	$	40,469	$	142
Derivatives not designated as hedging instruments:
Interest rate swaps	575,000		13,809		275,000		3,599
Embedded derivative - Modco reinsurance treaties	2,490,850		221,849		2,562,848		311,727
Funds withheld derivative	1,520,607		135,605		1,233,424		57,305
Embedded derivative - GMWB	1,715,488		63,540		1,702,899		63,460
Embedded derivative - FIA	962,123		76,709		749,933		124,465
Embedded derivative - IUL	44,581		21,711		12,019		6,691
Interest rate futures	7,727		140		—		—
Equity futures	81,421		1,835		385,256		15,069
Currency futures	37,137		93		—		—
Equity options	1,242,384		8,863		699,295		47,077
Other	1,091		236		—		—
	$	8,678,409	$	544,390	$	7,661,143	$	629,535

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