Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2020

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, 2020		December 31, 2019
	(Dollars in thousands)
Assets
Derivative instruments
Call options	$	874,741	$	1,355,989
Other assets
Interest rate caps	—		6
	$	874,741	$	1,355,995
Liabilities
Policy benefit reserves - annuity products
Fixed index annuities - embedded derivatives, net	$	7,475,216	$	9,624,395

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,
	2020		2019		2020		2019
	(Dollars in thousands)
Change in fair value of derivatives:
Call options	$	205,011	$	(19,997)	$	(409,263)	$	442,111
Interest rate swap	—		(3)		—		(1,059)
Interest rate caps	—		(42)		62		(580)
	$	205,011	$	(20,042)	$	(409,201)	$	440,472
Change in fair value of embedded derivatives:
Fixed index annuities - embedded derivatives	$	(2,021,513)	$	24,998	$	(2,392,600)	$	882,230
Other changes in difference between policy benefit reserves computed using derivative accounting vs. long-duration contracts accounting	289,016		187,280		536,977		423,933
	$	(1,732,497)	$	212,278	$	(1,855,623)	$	1,306,163

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, 2020				December 31, 2019
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	$	2,534,503	$	59,082	$	2,680,543	$	80,692
Barclays	A	A1	6,222,261		234,710		5,753,868		217,536
Canadian Imperial Bank of Commerce	A+	Aa2	5,076,462		169,396		4,110,525		154,917
Citibank, N.A.	A+	Aa3	3,683,100		50,058		4,075,544		109,046
Credit Suisse	A+	A1	3,475,584		31,566		4,526,414		116,659
J.P. Morgan	A+	Aa2	4,016,877		25,190		4,703,234		151,651
Morgan Stanley	A+	A1	2,871,578		26,384		1,886,995		41,253
Royal Bank of Canada	AA-	A2	1,440,582		31,525		2,565,202		101,511
Societe Generale	A	A1	1,612,361		14,632		3,280,286		139,101
Truist	A	A2	2,579,446		77,930		2,051,229		74,910
Wells Fargo	A+	Aa2	5,251,699		151,799		4,221,408		163,520
Exchange traded			173,879		2,469		191,948		5,193
			$	38,938,332	$	874,741	$	40,047,196	$	1,355,989