Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 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:

	June 30, 2019		December 31, 2018
	(Dollars in thousands)
Assets
Derivative instruments
Call options	$	888,208	$	205,149
Other assets
Interest rate caps	59		597
Interest rate swap	—		354
	$	888,267	$	206,100
Liabilities
Policy benefit reserves - annuity products
Fixed index annuities - embedded derivatives, net	$	9,281,117	$	8,165,405
Other liabilities
Interest rate swap	881		—
	$	9,281,998	$	8,165,405

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   June 30,						Six Months Ended   June 30,
	2019			2018			2019			2018
	(Dollars in thousands)
Change in fair value of derivatives:
Call options	$	76,942		$	131,672		$	462,108		$	(320,926	)
Interest rate swap	(688		)	360			(1,056		)	1,400
Interest rate caps	(209		)	173			(538		)	648
	$	76,045		$	132,205		$	460,514		$	(318,878	)
Change in fair value of embedded derivatives:
Fixed index annuities - embedded derivatives	$	204,590		$	(288,900	)	$	857,232		$	(1,394,923	)
Other changes in difference between policy benefit reserves computed using derivative accounting vs. long-duration contracts accounting	122,972			186,951			236,653			425,742
	$	327,562		$	(101,949	)	$	1,093,885		$	(969,181	)

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:

			June 30, 2019				December 31, 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	$	4,746,939	$	65,234	$	6,518,808	$	6,704
Barclays	A	A2	3,676,868		112,900		2,301,414		27,032
Canadian Imperial Bank of Commerce	A+	Aa2	4,425,609		108,664		4,856,150		29,313
Citibank, N.A.	A+	Aa3	4,334,274		86,699		4,792,208		27,239
Credit Suisse	A+	A1	3,245,604		52,975		2,877,916		12,887
J.P. Morgan	A+	Aa2	4,523,782		88,479		3,701,964		17,564
Morgan Stanley	A+	A1	2,722,332		20,570		3,560,044		1,561
Royal Bank of Canada	AA-	A2	2,324,001		66,682		1,871,305		14,011
Societe Generale	A	A1	3,813,118		112,213		2,343,165		21,681
SunTrust	A-	Baa1	1,946,818		49,216		1,755,030		12,047
Wells Fargo	A+	Aa2	4,118,239		120,212		4,618,569		33,398
Exchange traded			200,181		4,364		224,204		1,712
			$	40,077,765	$	888,208	$	39,420,777	$	205,149

Schedule of Interest Rate Derivatives

Details regarding the interest rate swap are as follows:

	Notional			Pay			June 30, 2019			December 31, 2018
Maturity Date	Amount		Receive Rate	Rate		Counterparty	Fair Value
							(Dollars in thousands)
March 15, 2021	$	85,500	LIBOR	2.415	%	SunTrust	$	(881	)	$	354

Details regarding the interest rate caps are as follows:

	Notional			Cap			June 30, 2019		December 31, 2018
Maturity Date	Amount		Floating Rate	Rate		Counterparty	Fair Value
							(Dollars in thousands)
July 7, 2021	$	40,000	LIBOR	2.50	%	SunTrust	$	29	$	302
July 8, 2021	12,000		LIBOR	2.50	%	SunTrust	9		91
July 29, 2021	27,000		LIBOR	2.50	%	SunTrust	21		204
	$	79,000					$	59	$	597