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Derivative Instruments (Tables)

12 Months Ended

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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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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