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: | | | | | | | | | | March 31, 2018 | | December 31, 2017 | | (Dollars in thousands) | Assets | | | | Derivative instruments | | | | Call options | $ | 847,741 |
| | $ | 1,568,380 |
| Other assets | | | | Interest rate caps | 890 |
| | 415 |
| Interest rate swap | 427 |
| | — |
| | $ | 849,058 |
| | $ | 1,568,795 |
| Liabilities | | | | Policy benefit reserves - annuity products | | | | Fixed index annuities - embedded derivatives | $ | 8,233,557 |
| | $ | 8,790,427 |
| Other liabilities | | | | Interest rate swap | — |
| | 789 |
| | $ | 8,233,557 |
| | $ | 8,791,216 |
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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 March 31, | | 2018 | | 2017 | | (Dollars in thousands) | Change in fair value of derivatives: | | | | Call options | $ | (452,598 | ) | | $ | 386,736 |
| Interest rate swap | 1,040 |
| | 75 |
| Interest rate caps | 475 |
| | (278 | ) | | $ | (451,083 | ) | | $ | 386,533 |
| Change in fair value of embedded derivatives: | | | | Fixed index annuities—embedded derivatives | $ | (1,106,023 | ) | | $ | 76,210 |
| Other changes in difference between policy benefit reserves computed using derivative accounting vs. long-duration contracts accounting | 238,791 |
| | 147,960 |
| | $ | (867,232 | ) | | $ | 224,170 |
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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: | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2018 | | December 31, 2017 | Counterparty | | Credit Rating (S&P) | | Credit Rating (Moody's) | | Notional Amount | | Fair Value | | Notional Amount | | Fair Value | | | | | | | (Dollars in thousands) | Bank of America | | A+ | | Aa3 | | $ | 5,522,691 |
| | $ | 91,549 |
| | $ | 4,645,366 |
| | $ | 237,955 |
| Barclays | | A | | A1 | | 3,784,024 |
| | 89,471 |
| | 4,135,537 |
| | 154,127 |
| BNP Paribas | | A | | Aa3 | | 935,091 |
| | 21,769 |
| | 1,411,989 |
| | 73,650 |
| Canadian Imperial Bank of Commerce
| | A+ | | A1 | | 4,179,179 |
| | 101,280 |
| | 2,808,030 |
| | 84,268 |
| Citibank, N.A. | | A+ | | A1 | | 4,422,448 |
| | 77,256 |
| | 4,104,666 |
| | 219,900 |
| Credit Suisse | | A | | A1 | | 3,020,434 |
| | 52,130 |
| | 3,538,855 |
| | 137,384 |
| J.P. Morgan | | A+ | | Aa3 | | 2,118,331 |
| | 85,080 |
| | 1,753,649 |
| | 109,689 |
| Morgan Stanley | | A+ | | A1 | | 3,244,428 |
| | 40,096 |
| | 3,408,179 |
| | 184,323 |
| Royal Bank of Canada | | AA- | | A1 | | 3,158,242 |
| | 96,854 |
| | 3,027,469 |
| | 104,141 |
| Societe Generale
| | A | | A2 | | 71,401 |
| | 1,689 |
| | — |
| | — |
| SunTrust | | A- | | Baa1 | | 2,080,242 |
| | 65,445 |
| | 2,331,168 |
| | 90,399 |
| Wells Fargo | | A+ | | Aa2 | | 4,065,628 |
| | 118,295 |
| | 4,036,255 |
| | 162,781 |
| Exchange traded | | | | | | 260,283 |
| | 6,827 |
| | 296,840 |
| | 9,763 |
| | | | | | | $ | 36,862,422 |
| | $ | 847,741 |
| | $ | 35,498,003 |
| | $ | 1,568,380 |
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Schedule of Interest Rate Derivatives |
Details regarding the interest rate swap are as follows: | | | | | | | | | | | | | | | | | | | | | | | Notional | | | | Pay | | | | March 31, 2018 | | December 31, 2017 | Maturity Date | | Amount | | Receive Rate | | Rate | | Counterparty | | Fair Value | | Fair Value | | | | | | | | | | | (Dollars in thousands) | March 15, 2021 | | $ | 85,500 |
| | LIBOR | | 2.415 | % | | SunTrust | | $ | 427 |
| | $ | (789 | ) |
Details regarding the interest rate caps are as follows: | | | | | | | | | | | | | | | | | | | | | | | Notional | | | | Cap | | | | March 31, 2018 | | December 31, 2017 | Maturity Date | | Amount | | Floating Rate | | Rate | | Counterparty | | Fair Value | | Fair Value | | | | | | | | | | | (Dollars in thousands) | July 7, 2021 | | $ | 40,000 |
| | LIBOR | | 2.50 | % | | SunTrust | | $ | 445 |
| | $ | 207 |
| July 8, 2021 | | 12,000 |
| | LIBOR | | 2.50 | % | | SunTrust | | 134 |
| | 62 |
| July 29, 2021 | | 27,000 |
| | LIBOR | | 2.50 | % | | SunTrust | | 311 |
| | 146 |
| | | $ | 79,000 |
| | | | | | | | $ | 890 |
| | $ | 415 |
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