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 |
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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 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 | ) |
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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: | | | | | | | | | | | | | | | | | | | | | | | | | | | | 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 |
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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 |
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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 |
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