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Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2017

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Fair Value of Derivative Instruments as Presented in the Consolidated Balance Sheets

The fair value of our derivative instruments, including derivative instruments embedded in fixed index annuity contracts, presented in the consolidated balance sheets are as follows:

	September 30, 2017				December 31, 2016
	(Dollars in thousands)
Assets
Derivative instruments
Call options	$	1,235,125			$	830,519
Other assets
Interest rate caps	370				1,082
	$	1,235,495			$	831,601
Liabilities
Policy benefit reserves - annuity products
Fixed index annuities - embedded derivatives	$	8,069,105			$	6,563,288
Other liabilities
Interest rate swap	1,687				2,113
	$	8,070,792			$	6,565,401

Schedule of Changes in Fair Value of Derivative Instruments

The changes in fair value of derivatives included in the unaudited consolidated statements of operations are as follows:

	Three Months Ended   September 30,								Nine Months Ended   September 30,
	2017				2016				2017				2016
	(Dollars in thousands)
Change in fair value of derivatives:
Call options	$	362,560			$	103,267			$	1,017,001			$	72,910
Interest rate swap	63				647				(411		)		(2,979		)
Interest rate caps	(98		)		(120		)		(712		)		(1,103		)
	$	362,525			$	103,794			$	1,015,878			$	68,828
Change in fair value of embedded derivatives:
Fixed index annuities—embedded derivatives	$	41,140			$	41,561			$	121,026			$	421,193
Other changes in difference between policy benefit reserves computed using derivative accounting vs. long-duration contracts accounting	188,562				102,843				507,819				273,371
	$	229,702			$	144,404			$	628,845			$	694,564

Schedule of Call Options by Counterparty

The notional amount and fair value of our call options by counterparty and each counterparty's current credit rating are as follows:

						September 30, 2017								December 31, 2016
Counterparty		Credit Rating (S&P)		Credit Rating (Moody's)		Notional Amount				Fair Value				Notional Amount				Fair Value
						(Dollars in thousands)
Bank of America		A+		A1		$	4,295,908			$	187,930			$	5,958,884			$	178,477
Barclays		A-		A1		4,628,936				138,249				3,441,832				89,721
BNP Paribas		A		Aa3		1,938,070				65,535				1,199,265				19,598
Canadian Imperial Bank of Commerce		A+		A1		1,235,942				28,451				—				—
Citibank, N.A.		A+		A1		4,111,559				190,027				4,038,528				97,094
Credit Suisse		A		A1		3,463,619				111,405				2,130,710				44,242
Deutsche Bank		A-		Baa2		—				—				25,935				892
J.P. Morgan		A+		Aa3		1,571,624				64,112				1,785,583				19,645
Morgan Stanley		A+		A1		3,195,620				134,302				2,543,421				64,425
Royal Bank of Canada		AA-		A1		3,139,561				97,472				3,384,310				103,510
SunTrust		A-		Baa1		2,763,926				94,439				2,375,418				72,990
Wells Fargo		AA-		Aa2		3,521,620				112,389				3,850,842				130,545
Exchange traded						346,742				10,814				313,354				9,380
						$	34,213,127			$	1,235,125			$	31,048,082			$	830,519

Schedule of Interest Rate Derivatives

Details regarding the interest rate swap are as follows:

		Notional						Pay					September 30, 2017				December 31, 2016
Maturity Date		Amount				Receive Rate		Rate			Counterparty		Fair Value				Fair Value
													(Dollars in thousands)
March 15, 2021		$	85,500			LIBOR		2.415	%		SunTrust		$	(1,687	)		$	(2,113	)

Details regarding the interest rate caps are as follows:

		Notional						Cap					September 30, 2017				December 31, 2016
Maturity Date		Amount				Floating Rate		Rate			Counterparty		Fair Value				Fair Value
													(Dollars in thousands)
July 7, 2021		$	40,000			LIBOR		2.50	%		SunTrust		$	184			$	542
July 8, 2021		12,000				LIBOR		2.50	%		SunTrust		55				163
July 29, 2021		27,000				LIBOR		2.50	%		SunTrust		131				377
		$	79,000										$	370			$	1,082

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Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments.

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Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

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Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

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Tabular disclosure of interest rate derivatives, including, but not limited to, the fair value of the derivatives, statement of financial position location, and statement of financial performance location of these instruments.

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