Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 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:

	March 31, 2020		December 31, 2019
	(Dollars in thousands)
Assets
Derivative instruments
Call options	$	207,265	$	1,355,989
Other assets
Interest rate caps	—		6
	$	207,265	$	1,355,995
Liabilities
Policy benefit reserves - annuity products
Fixed index annuities - embedded derivatives, net	$	8,451,482	$	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   March 31,
	2020			2019
	(Dollars in thousands)
Change in fair value of derivatives:
Call options	$	(941,936	)	$	385,166
Interest rate swap	—			(368		)
Interest rate caps	62			(329		)
	$	(941,874	)	$	384,469
Change in fair value of embedded derivatives:
Fixed index annuities - embedded derivatives	$	(1,285,071	)	$	652,642
Other changes in difference between policy benefit reserves computed using derivative accounting vs. long-duration contracts accounting	35,010			113,681
	$	(1,250,061	)	$	766,323

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, 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	$	2,025,121	$	5,291	$	2,680,543	$	80,692
Barclays	A	A1	6,074,493		61,394		5,753,868		217,536
Canadian Imperial Bank of Commerce	A+	Aa2	3,945,969		37,967		4,110,525		154,917
Citibank, N.A.	A+	Aa3	3,639,640		2,823		4,075,544		109,046
Credit Suisse	A+	A1	5,042,247		4,697		4,526,414		116,659
J.P. Morgan	A+	Aa2	5,012,755		7,464		4,703,234		151,651
Morgan Stanley	A+	A1	1,931,969		3,180		1,886,995		41,253
Royal Bank of Canada	AA-	A2	2,197,796		18,753		2,565,202		101,511
Societe Generale	A	A1	2,795,508		13,928		3,280,286		139,101
SunTrust	A	A2	2,212,338		16,438		2,051,229		74,910
Wells Fargo	A+	Aa2	4,942,226		34,628		4,221,408		163,520
Exchange traded			196,168		702		191,948		5,193
			$	40,016,230	$	207,265	$	40,047,196	$	1,355,989