XML 41 R30.htm IDEA: XBRL DOCUMENT v3.7.0.1
DERIVATIVE FINANCIAL INSTRUMENTS (Tables)
 3 Months Ended
Mar. 31, 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
March 31,
 
2017
 
2016
 
(Dollars In Thousands)
Derivatives related to VA contracts:
 

 
 
Interest rate futures - VA
$
3,448

 
$
37,801

Equity futures - VA
(30,817
)
 
(3,228
)
Currency futures - VA
(6,256
)
 
(6,158
)
Equity options - VA
(40,185
)
 
16,304

Interest rate swaptions - VA
(1,469
)
 
(2,234
)
Interest rate swaps - VA
(8,957
)
 
125,593

Embedded derivative - GLWB
33,632

 
(175,851
)
Total derivatives related to VA contracts
(50,604
)
 
(7,773
)
Derivatives related to FIA contracts:
 

 


Embedded derivative - FIA
(12,411
)
 
(2,162
)
Equity futures - FIA
297

 
1,382

Volatility futures - FIA
—

 
—

Equity options - FIA
10,700

 
(5,562
)
Total derivatives related to FIA contracts
(1,414
)
 
(6,342
)
Derivatives related to IUL contracts:
 

 


Embedded derivative - IUL
(2,090
)
 
(738
)
Equity futures - IUL
(799
)
 
(219
)
Equity options - IUL
2,891

 
(27
)
Total derivatives related to IUL contracts
2

 
(984
)
Embedded derivative - Modco reinsurance treaties
(17,865
)
 
(58,355
)
Other derivatives
3

 
(45
)
Total realized gains (losses) - derivatives
$
(69,878
)
 
$
(73,499
)
Realized Investments Gains and Losses for the Modco Trading Portfolio that is Included in Realized Investment Gains (Losses) - All Other Investments
The following table sets forth realized investments gains and losses for the Modco trading portfolio that is included in realized investment gains (losses) — all other investments.
Realized investment gains (losses) - all other investments
 
For The
Three Months Ended
March 31,
 
2017
 
2016
 
(Dollars In Thousands)
Modco trading portfolio(1)
$
18,552

 
$
78,154

 
 
 
 
(1) The Company elected to include the use of alternate disclosures for trading activities.
Components of the Gain or Loss on Derivatives that Qualify 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 months ended March 31, 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
 
Realized investment
 
 
 
expenses
 
gains (losses)
 
 
 
(Dollars In Thousands)
 
 
For The Three Months Ended March 31, 2017
 

 
 

 
 

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

Total
$
(1,034
)
 
$
(205
)
 
$
—
Information about the Nature and Accounting Treatment of the Company's Primary Derivative Financial Instruments and Location in and Effect on the 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, 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

 
$
132

Derivatives not designated as hedging instruments:
 

 
 

 
 

 
 

Interest rate swaps
1,040,000

 
43,730

 
1,135,000

 
71,644

Embedded derivative - Modco reinsurance treaties
64,310

 
616

 
64,123

 
2,573

Embedded derivative - GLWB
4,917,362

 
132,812

 
4,601,633

 
121,752

Interest rate futures
698,352

 
1,917

 
102,587

 
894

Equity futures
445,702

 
1,769

 
654,113

 
5,805

Currency futures
—

 
—

 
340,058

 
7,883

Equity options
4,459,031

 
363,614

 
3,944,444

 
328,908

Interest rate swaptions
225,000

 
1,034

 
225,000

 
2,503

Other
157

 
153

 
212

 
149

 
$
11,849,914

 
$
545,645

 
$
11,184,348

 
$
542,243

Other liabilities
 

 
 

 
 

 
 

Cash flow hedges:
 
 
 
 
 
 
 
Foreign currency swaps
$
117,178

 
$
485

 
$
—

 
$
—

Derivatives not designated as hedging instruments:
 

 
 

 
 

 
 

Interest rate swaps
822,500

 
1,953

 
575,000

 
10,208

Embedded derivative - Modco reinsurance treaties
2,437,200

 
150,924

 
2,450,692

 
141,301

Embedded derivative - GLWB
5,625,350

 
214,550

 
5,962,044

 
237,122

Embedded derivative - FIA
1,610,708

 
170,215

 
1,496,346

 
147,368

Embedded derivative - IUL
120,218

 
51,385

 
103,838

 
46,051

Interest rate futures
769,621

 
922

 
993,842

 
6,611

Equity futures
280,278

 
3,987

 
102,667

 
2,907

Currency futures
298,852

 
6,234

 
—

 
—

Equity options
3,020,620

 
201,838

 
2,590,160

 
157,253

 
$
15,102,525

 
$
802,493

 
$
14,274,589

 
$
748,821