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Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2019

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:

	March 31, 2019				December 31, 2018
	(Dollars in thousands)
Assets
Derivative instruments
Call options	$	755,866			$	205,149
Other assets
Interest rate caps	268				597
Interest rate swap	—				354
	$	756,134			$	206,100
Liabilities
Policy benefit reserves - annuity products
Fixed index annuities - embedded derivatives, net	$	8,876,055			$	8,165,405
Other liabilities
Interest rate swap	95				—
	$	8,876,150			$	8,165,405

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   March 31,
	2019				2018
	(Dollars in thousands)
Change in fair value of derivatives:
Call options	$	385,166			$	(452,598	)
Interest rate swap	(368		)		1,040
Interest rate caps	(329		)		475
	$	384,469			$	(451,083	)
Change in fair value of embedded derivatives:
Fixed index annuities - embedded derivatives	$	652,642			$	(1,106,023	)
Other changes in difference between policy benefit reserves computed using derivative accounting vs. long-duration contracts accounting	113,681				238,791
	$	766,323			$	(867,232	)

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:

						March 31, 2019								December 31, 2018
Counterparty		Credit Rating (S&P)		Credit Rating (Moody's)		Notional Amount				Fair Value				Notional Amount				Fair Value
						(Dollars in thousands)
Bank of America		A+		Aa2		$	5,641,352			$	57,470			$	6,518,808			$	6,704
Barclays		A		A2		3,068,667				83,334				2,301,414				27,032
Canadian Imperial Bank of Commerce		A+		Aa2		4,462,047				94,054				4,856,150				29,313
Citibank, N.A.		A+		Aa3		5,059,808				100,240				4,792,208				27,239
Credit Suisse		A		A1		2,532,127				42,045				2,877,916				12,887
J.P. Morgan		A+		Aa2		4,088,686				73,386				3,701,964				17,564
Morgan Stanley		A+		A1		3,551,302				22,463				3,560,044				1,561
Royal Bank of Canada		AA-		A2		2,176,990				55,006				1,871,305				14,011
Societe Generale		A		A1		3,030,360				77,099				2,343,165				21,681
SunTrust		A-		Baa1		1,717,542				39,042				1,755,030				12,047
Wells Fargo		A+		Aa2		4,102,362				106,838				4,618,569				33,398
Exchange traded						273,071				4,889				224,204				1,712
						$	39,704,314			$	755,866			$	39,420,777			$	205,149

Schedule of Interest Rate Derivatives

Details regarding the interest rate swap are as follows:

Notional

Pay

March 31, 2019

December 31, 2018

Maturity Date

Amount

Receive Rate

Rate

Counterparty

Fair Value

(Dollars in thousands)

March 15, 2021

$

85,500

LIBOR

2.415

%

SunTrust

$

(95

)

$

354

Details regarding the interest rate caps are as follows:

		Notional						Cap					March 31, 2019				December 31, 2018
Maturity Date		Amount				Floating Rate		Rate			Counterparty		Fair Value
													(Dollars in thousands)
July 7, 2021		$	40,000			LIBOR		2.50	%		SunTrust		$	137			$	302
July 8, 2021		12,000				LIBOR		2.50	%		SunTrust		41				91
July 29, 2021		27,000				LIBOR		2.50	%		SunTrust		90				204
		$	79,000										$	268			$	597

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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 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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