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Derivative Instruments (Tables) | 12 Months Ended
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Dec. 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:
| December 31,
| 2019 |  | 2018
| (Dollars in thousands)
Assets |  |  |
Derivative instruments |  |  |
Call options | $ | 1,355,989 |  |  | $ | 205,149 |
Other assets |  |  |
Interest rate caps | 6 |  |  | 597 |
Interest rate swap | — |  |  | 354 |
| $ | 1,355,995 |  |  | $ | 206,100 |
Liabilities |  |  |
Policy benefit reserves - annuity products |  |  |
Fixed index annuities - embedded derivatives, net | $ | 9,624,395 |  |  | $ | 8,165,405 |
Schedule of Changes in Fair Value of Derivative Instruments | The changes in fair value of derivatives included in the consolidated statements of operations are as follows:
| Year Ended December 31,
| 2019 |  | 2018 |  | 2017
| (Dollars in thousands)
Change in fair value of derivatives: |  |  |  |  |
Call options | $ | 908,556 |  |  | $ | (778,899 | ) |  | $ | 1,678,283 |
Interest rate swap | (1,059 | ) |  | 869 |  |  | 255 |
Interest rate caps | (591 | ) |  | 182 |  |  | (667 | )
| $ | 906,906 |  |  | $ | (777,848 | ) |  | $ | 1,677,871 |
Change in fair value of embedded derivatives: |  |  |  |  |
Fixed index annuities - embedded derivatives | $ | 562,302 |  |  | $ | (2,167,628 | ) |  | $ | 174,154 |
Other changes in difference between policy benefit reserves computed using derivative accounting vs. long-duration contracts accounting | 891,740 |  |  | 778,137 |  |  | 745,581 |
| $ | 1,454,042 |  |  | $ | (1,389,491 | ) |  | $ | 919,735 |
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:
|  |  |  |  |  | December 31,
|  |  |  |  |  | 2019 |  | 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 |  | $ | 2,680,543 |  |  | $ | 80,692 |  |  | $ | 6,518,808 |  |  | $ | 6,704 |
Barclays |  | A |  | A2 |  | 5,753,868 |  |  | 217,536 |  |  | 2,301,414 |  |  | 27,032 |
Canadian Imperial Bank of Commerce |  | A+ |  | Aa2 |  | 4,110,525 |  |  | 154,917 |  |  | 4,856,150 |  |  | 29,313 |
Citibank, N.A. |  | A+ |  | Aa3 |  | 4,075,544 |  |  | 109,046 |  |  | 4,792,208 |  |  | 27,239 |
Credit Suisse |  | A+ |  | A1 |  | 4,526,414 |  |  | 116,659 |  |  | 2,877,916 |  |  | 12,887 |
J.P. Morgan |  | A+ |  | Aa2 |  | 4,703,234 |  |  | 151,651 |  |  | 3,701,964 |  |  | 17,564 |
Morgan Stanley |  | A+ |  | A1 |  | 1,886,995 |  |  | 41,253 |  |  | 3,560,044 |  |  | 1,561 |
Royal Bank of Canada |  | AA- |  | A2 |  | 2,565,202 |  |  | 101,511 |  |  | 1,871,305 |  |  | 14,011 |
Societe Generale |  | A |  | A1 |  | 3,280,286 |  |  | 139,101 |  |  | 2,343,165 |  |  | 21,681 |
SunTrust |  | A |  | A2 |  | 2,051,229 |  |  | 74,910 |  |  | 1,755,030 |  |  | 12,047 |
Wells Fargo |  | A+ |  | Aa2 |  | 4,221,408 |  |  | 163,520 |  |  | 4,618,569 |  |  | 33,398 |
Exchange traded |  |  |  |  |  | 191,948 |  |  | 5,193 |  |  | 224,204 |  |  | 1,712 |
|  |  |  |  |  | $ | 40,047,196 |  |  | $ | 1,355,989 |  |  | $ | 39,420,777 |  |  | $ | 205,149 |
Schedule of Interest Rate Derivatives | Details regarding the interest rate swap are as follows:
|  |  |  |  |  |  |  |  |  | December 31,
|  |  |  |  |  |  |  |  |  | 2019 |  | 2018
Maturity Date |  | Notional Amount |  | Receive Rate |  | Pay Rate |  | Counterparty |  | Fair Value |  | Fair Value
|  |  |  |  |  |  |  |  |  | (Dollars in thousands)
March 15, 2021 |  | $ | 85,500 |  |  | LIBOR |  | 2.415% |  | SunTrust |  | $ | — |  |  | $ | 354 |
Details regarding the interest rate caps are as follows:
|  |  |  |  |  |  |  |  |  | December 31,
|  |  |  |  |  |  |  |  |  | 2019 |  | 2018
Maturity Date |  | Notional Amount |  | Floating Rate |  | Cap Rate |  | Counterparty |  | Fair Value |  | Fair Value
|  |  |  |  |  |  |  |  |  | (Dollars in thousands)
July 7, 2021 |  | $ | 40,000 |  |  | LIBOR |  | 2.50% |  | SunTrust |  | $ | 3 |  |  | $ | 302 |
July 8, 2021 |  | 12,000 |  |  | LIBOR |  | 2.50% |  | SunTrust |  | 1 |  |  | 91 |
July 29, 2021 |  | 27,000 |  |  | LIBOR |  | 2.50% |  | SunTrust |  | 2 |  |  | 204 |
|  | $ | 79,000 |  |  |  |  |  |  |  |  | $ | 6 |  |  | $ | 597 |

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- Definition 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. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624163-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5580258-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=109980867&loc=d3e41620-113959 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5579245-113959 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=109980867&loc=d3e41638-113959 Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=109980867&loc=d3e41678-113959 Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=109980867&loc=d3e41641-113959 Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624171-113959 Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08.(n)(2)) -URI http://asc.fasb.org/extlink&oid=26873400&loc=d3e23780-122690 Reference 10: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5579240-113959 + Details
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