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Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2021

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, 2021						December 31, 2020
			(Dollars in thousands)
Assets
Derivative instruments
Call options			$	988,835					$	1,310,954
Warrants			1,198						—
			$	990,033					$	1,310,954
Liabilities
Policy benefit reserves - annuity products
Fixed index annuities - embedded derivatives, net			$	7,547,840					$	7,938,281

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,
			2021						2020						2021						2020
			(Dollars in thousands)
Change in fair value of derivatives:
Call options			$	(71,688)					$	205,011					$	825,381					$	(409,263)
Warrants			987						—						1,103						—
Interest rate caps			—						—						—						62
			$	(70,701)					$	205,011					$	826,484					$	(409,201)
Change in fair value of embedded derivatives:
Fixed index annuities - embedded derivatives			$	(681,509)					$	(2,021,513)					$	(932,546)					$	(2,392,600)
Other changes in difference between policy benefit reserves computed using derivative accounting vs. long-duration contracts accounting			145,105						289,016						387,442						536,977
			$	(536,404)					$	(1,732,497)					$	(545,104)					$	(1,855,623)

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, 2021												December 31, 2020
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						$	2,994,366					$	61,336					$	2,835,420					$	95,378
Barclays						A						A1						4,525,383						145,696						5,710,978						277,692
Canadian Imperial Bank of Commerce						A+						Aa2						5,342,067						188,902						6,593,815						279,053
Citibank, N.A.						A+						Aa3						3,296,027						72,818						3,118,979						96,757
Credit Suisse						A+						A1						4,581,898						102,878						4,422,798						78,823
J.P. Morgan						A+						Aa2						3,833,032						47,527						3,600,636						54,762
Morgan Stanley						A+						Aa3						1,744,800						33,258						2,856,466						62,969
Royal Bank of Canada						AA-						A2						2,640,076						58,383						1,289,699						32,753
Societe Generale						A						A1						2,638,886						60,749						1,494,904						34,394
Truist						A						A2						2,040,196						58,879						2,375,124						96,573
Wells Fargo						A+						Aa2						5,713,233						152,124						4,848,541						196,801
Exchange traded																		283,983						6,285						214,819						4,999
																		$	39,633,947					$	988,835					$	39,362,179					$	1,310,954

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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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