Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2018

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:

	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

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

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

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