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Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 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:

	September 30, 2019				December 31, 2018
	(Dollars in thousands)
Assets
Derivative instruments
Call options	$	963,081			$	205,149
Other assets
Interest rate caps	17				597
Interest rate swap	—				354
	$	963,098			$	206,100
Liabilities
Policy benefit reserves - annuity products
Fixed index annuities - embedded derivatives, net	$	9,381,094			$	8,165,405
Other liabilities
Interest rate swap	906				—
	$	9,382,000			$	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   September 30,								Nine Months Ended   September 30,
	2019				2018				2019				2018
	(Dollars in thousands)
Change in fair value of derivatives:
Call options	$	(19,997	)		$	594,872			$	442,111			$	273,946
Interest rate swap	(3		)		258				(1,059		)		1,658
Interest rate caps	(42		)		181				(580		)		829
	$	(20,042	)		$	595,311			$	440,472			$	276,433
Change in fair value of embedded derivatives:
Fixed index annuities - embedded derivatives	$	24,998			$	196,808			$	882,230			$	(1,198,115	)
Other changes in difference between policy benefit reserves computed using derivative accounting vs. long-duration contracts accounting	187,280				186,908				423,933				612,650
	$	212,278			$	383,716			$	1,306,163			$	(585,465	)

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, 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		$	3,938,470			$	46,637			$	6,518,808			$	6,704
Barclays		A		A2		4,549,168				141,155				2,301,414				27,032
Canadian Imperial Bank of Commerce		A+		Aa2		4,321,739				126,868				4,856,150				29,313
Citibank, N.A.		A+		Aa3		4,064,075				83,451				4,792,208				27,239
Credit Suisse		A+		A1		4,739,536				77,910				2,877,916				12,887
J.P. Morgan		A+		Aa2		4,772,783				101,072				3,701,964				17,564
Morgan Stanley		A+		A1		1,990,733				21,001				3,560,044				1,561
Royal Bank of Canada		AA-		A2		2,720,343				82,946				1,871,305				14,011
Societe Generale		A		A1		3,205,393				106,016				2,343,165				21,681
SunTrust		A-		Baa1		2,017,444				58,986				1,755,030				12,047
Wells Fargo		A+		Aa2		3,656,074				112,408				4,618,569				33,398
Exchange traded						201,850				4,631				224,204				1,712
						$	40,177,608			$	963,081			$	39,420,777			$	205,149

Schedule of Interest Rate Derivatives

Details regarding the interest rate swap are as follows:

Notional

Pay

September 30, 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

$

(906

)

$

354

Details regarding the interest rate caps are as follows:

		Notional						Cap					September 30, 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		$	8			$	302
July 8, 2021		12,000				LIBOR		2.50	%		SunTrust		3				91
July 29, 2021		27,000				LIBOR		2.50	%		SunTrust		6				204
		$	79,000										$	17			$	597

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