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Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2020

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,
			2020						2019
			(Dollars in thousands)
Assets
Derivative instruments
Call options			$	1,310,954					$	1,355,989
Other assets
Interest rate caps			—						6
			$	1,310,954					$	1,355,995
Liabilities
Policy benefit reserves - annuity products
Fixed index annuities - embedded derivatives, net			$	7,938,281					$	9,624,395

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,
			2020						2019						2018
			(Dollars in thousands)
Change in fair value of derivatives:
Call options			$	34,604					$	908,556					$	(778,899)
Interest rate swap			—						(1,059)						869
Interest rate caps			62						(591)						182
			$	34,666					$	906,906					$	(777,848)
Change in fair value of embedded derivatives:
Fixed index annuities - embedded derivatives			$	(1,922,085)					$	562,302					$	(2,167,628)
Other changes in difference between policy benefit reserves computed using derivative accounting vs. long-duration contracts accounting			635,298						891,740						778,137
			$	(1,286,787)					$	1,454,042					$	(1,389,491)

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,
																		2020												2019
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						$	2,835,420					$	95,378					$	2,680,543					$	80,692
Barclays						A						A1						5,710,978						277,692						5,753,868						217,536
Canadian Imperial Bank of Commerce						A+						Aa2						6,593,815						279,053						4,110,525						154,917
Citibank, N.A.						A+						Aa3						3,118,979						96,757						4,075,544						109,046
Credit Suisse						A+						Aa3						4,422,798						78,823						4,526,414						116,659
J.P. Morgan						A+						Aa2						3,600,636						54,762						4,703,234						151,651
Morgan Stanley						A+						Aa3						2,856,466						62,969						1,886,995						41,253
Royal Bank of Canada						AA-						A2						1,289,699						32,753						2,565,202						101,511
Societe Generale						A						A1						1,494,904						34,394						3,280,286						139,101
Truist						A						A2						2,375,124						96,573						2,051,229						74,910
Wells Fargo						A+						Aa2						4,848,541						196,801						4,221,408						163,520
Exchange traded																		214,819						4,999						191,948						5,193
																		$	39,362,179					$	1,310,954					$	40,047,196					$	1,355,989

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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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