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Derivative Instruments (Tables)

9 Months Ended

Sep. 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:

	September 30, 2018				December 31, 2017
	(Dollars in thousands)
Assets
Derivative instruments
Call options	$	1,290,387			$	1,568,380
Other assets
Interest rate caps	1,244				415
Interest rate swap	1,125				—
	$	1,292,756			$	1,568,795
Liabilities
Policy benefit reserves - annuity products
Fixed index annuities - embedded derivatives	$	8,947,193			$	8,790,427
Other liabilities
Interest rate swap	—				789
	$	8,947,193			$	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   September 30,								Nine Months Ended   September 30,
	2018				2017				2018				2017
	(Dollars in thousands)
Change in fair value of derivatives:
Call options	$	594,872			$	362,560			$	273,946			$	1,017,001
Interest rate swap	258				63				1,658				(411		)
Interest rate caps	181				(98		)		829				(712		)
	$	595,311			$	362,525			$	276,433			$	1,015,878
Change in fair value of embedded derivatives:
Fixed index annuities - embedded derivatives	$	196,808			$	41,140			$	(1,198,115	)		$	121,026
Other changes in difference between policy benefit reserves computed using derivative accounting vs. long-duration contracts accounting	186,908				188,562				612,650				507,819
	$	383,716			$	229,702			$	(585,465	)		$	628,845

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, 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		$	6,215,626			$	214,380			$	4,645,366			$	237,955
Barclays		A		A2		2,509,716				76,397				4,135,537				154,127
BNP Paribas		A		Aa3		—				—				1,411,989				73,650
Canadian Imperial Bank of Commerce		A+		Aa2		5,200,352				173,803				2,808,030				84,268
Citibank, N.A.		A+		A1		4,904,171				176,825				4,104,666				219,900
Credit Suisse		A		A1		2,640,799				62,867				3,538,855				137,384
J.P. Morgan		A+		Aa3		3,225,810				116,332				1,753,649				109,689
Morgan Stanley		A+		A1		3,941,705				124,691				3,408,179				184,323
Royal Bank of Canada		AA-		A2		1,942,305				67,105				3,027,469				104,141
Societe Generale		A		A1		1,769,787				53,835				—				—
SunTrust		A-		Baa1		1,644,816				54,149				2,331,168				90,399
Wells Fargo		A+		Aa2		4,659,622				163,569				4,036,255				162,781
Exchange traded						235,663				6,434				296,840				9,763
						$	38,890,372			$	1,290,387			$	35,498,003			$	1,568,380

Schedule of Interest Rate Derivatives

Details regarding the interest rate swap are as follows:

Notional

Pay

September 30, 2018

December 31, 2017

Maturity Date

Amount

Receive Rate

Rate

Counterparty

Fair Value

(Dollars in thousands)

March 15, 2021

$

85,500

LIBOR

2.415

%

SunTrust

$

1,125

$

(789

)

Details regarding the interest rate caps are as follows:

		Notional						Cap					September 30, 2018				December 31, 2017
Maturity Date		Amount				Floating Rate		Rate			Counterparty		Fair Value
													(Dollars in thousands)
July 7, 2021		$	40,000			LIBOR		2.50	%		SunTrust		$	624			$	207
July 8, 2021		12,000				LIBOR		2.50	%		SunTrust		187				62
July 29, 2021		27,000				LIBOR		2.50	%		SunTrust		433				146
		$	79,000										$	1,244			$	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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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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