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Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2018

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:

	June 30, 2018				December 31, 2017
	(Dollars in thousands)
Assets
Derivative instruments
Call options	$	847,243			$	1,568,380
Other assets
Interest rate caps	1,063				415
Interest rate swap	850				—
	$	849,156			$	1,568,795
Liabilities
Policy benefit reserves - annuity products
Fixed index annuities - embedded derivatives	$	8,351,151			$	8,790,427
Other liabilities
Interest rate swap	—				789
	$	8,351,151			$	8,791,216

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   June 30,								Six Months Ended   June 30,
	2018				2017				2018				2017
	(Dollars in thousands)
Change in fair value of derivatives:
Call options	$	131,672			$	267,705			$	(320,926	)		$	654,441
Interest rate swap	360				(549		)		1,400				(474		)
Interest rate caps	173				(336		)		648				(614		)
	$	132,205			$	266,820			$	(318,878	)		$	653,353
Change in fair value of embedded derivatives:
Fixed index annuities - embedded derivatives	$	(288,900	)		$	3,676			$	(1,394,923	)		$	79,886
Other changes in difference between policy benefit reserves computed using derivative accounting vs. long-duration contracts accounting	186,951				171,297				425,742				319,257
	$	(101,949	)		$	174,973			$	(969,181	)		$	399,143

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:

						June 30, 2018								December 31, 2017
Counterparty		Credit Rating (S&P)		Credit Rating (Moody's)		Notional Amount				Fair Value				Notional Amount				Fair Value
						(Dollars in thousands)
Bank of America		A+		Aa3		$	5,761,669			$	97,612			$	4,645,366			$	237,955
Barclays		A		A2		3,349,719				80,644				4,135,537				154,127
BNP Paribas		A		Aa3		362,737				9,716				1,411,989				73,650
Canadian Imperial Bank of Commerce		A+		A1		5,200,796				137,773				2,808,030				84,268
Citibank, N.A.		A+		A1		5,315,570				106,135				4,104,666				219,900
Credit Suisse		A		A1		2,490,747				33,531				3,538,855				137,384
J.P. Morgan		A+		Aa3		2,581,684				67,932				1,753,649				109,689
Morgan Stanley		A+		A1		3,823,069				63,045				3,408,179				184,323
Royal Bank of Canada		AA-		A1		2,663,350				79,509				3,027,469				104,141
Societe Generale		A		A1		560,437				13,521				—				—
SunTrust		A-		Baa1		1,586,315				42,732				2,331,168				90,399
Wells Fargo		A+		Aa2		3,997,795				109,827				4,036,255				162,781
Exchange traded						245,057				5,266				296,840				9,763
						$	37,938,945			$	847,243			$	35,498,003			$	1,568,380

Schedule of Interest Rate Derivatives

Details regarding the interest rate swap are as follows:

Notional

Pay

June 30, 2018

December 31, 2017

Maturity Date

Amount

Receive Rate

Rate

Counterparty

Fair Value

Fair Value

(Dollars in thousands)

March 15, 2021

$

85,500

LIBOR

2.415

%

SunTrust

$

850

$

(789

)

Details regarding the interest rate caps are as follows:

		Notional						Cap					June 30, 2018				December 31, 2017
Maturity Date		Amount				Floating Rate		Rate			Counterparty		Fair Value				Fair Value
													(Dollars in thousands)
July 7, 2021		$	40,000			LIBOR		2.50	%		SunTrust		$	533			$	207
July 8, 2021		12,000				LIBOR		2.50	%		SunTrust		160				62
July 29, 2021		27,000				LIBOR		2.50	%		SunTrust		370				146
		$	79,000										$	1,063			$	415

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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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