Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments Reported in Financial Position

The detail of derivative instruments is shown below (in thousands, except number of instruments):



Derivatives Not Designated as Hedging Instruments	Location in the Consolidated Statements of Financial Position	September 30, 2019					December 31, 2018
		Number of Instruments	Notional Amounts		Estimated Fair Value		Number of Instruments	Notional Amounts		Estimated Fair Value
		Number of Instruments	Notional Amounts		Estimated Fair Value		Number of Instruments	Notional Amounts		Estimated Fair Value
Equity-indexed options	Other invested assets	483	$	2,587,000	$	224,184	493	$	2,391,000	$	148,006
Equity-indexed embedded derivative	Policyholders’ account balances	99,767	2,484,968		691,766		90,440	2,327,769		596,075

Schedule of Derivative Instruments Reported in Statements of Operations



Derivatives Not Designated as Hedging Instruments	Location in the Consolidated Statements of Operations	Gains (Losses) Recognized in Income on Derivatives
		Three months ended September 30,						Nine months ended September 30,
		2019			2018			2019			2018
Equity-indexed options	Net investment income	$	6,278		$	50,943		$	95,888		$	58,576
Equity-indexed embedded derivative	Interest credited to policyholders’ account balances	(11,462		)	(52,797		)	(105,873		)	(56,960		)

Schedule of Information Regarding Company's Exposure to Credit Loss on the Options Holds

Information regarding the Company’s exposure to credit loss on the options it holds is presented below (in thousands):



		September 30, 2019
Counterparty	Moody/S&P Rating	Options Fair Value		Collateral Held in Cash		Collateral Held in Invested Assets		Total Collateral Held		Collateral Amounts used to Offset Exposure		Excess Collateral		Exposure Net of Collateral
Barclays	Baa3/BBB	$	52,648	$	24,363	$	28,000	$	52,363	$	52,363	$	—	$	285
Credit Suisse	Baa2/BBB+	2,345		2,110		—		2,110		2,110		—		235
Goldman-Sachs	A3/BBB+	934		930		—		930		930		—		4
ING	Baa1/A-	28,587		13,110		16,000		29,110		28,587		523		—
Morgan Stanley	A3/BBB+	27,802		18,716		9,000		27,716		27,716		—		86
NATIXIS*	A1/A+	27,069		27,160		—		27,160		27,069		91		—
SunTrust	Baa1/BBB+	54,475		36,690		17,000		53,690		53,669		21		806
Wells Fargo	A2/A-	30,324		15,370		15,000		30,370		30,247		123		77
Total		$	224,184	$	138,449	$	85,000	$	223,449	$	222,691	$	758	$	1,493



		December 31, 2018
Counterparty	Moody/S&P Rating	Options Fair Value		Collateral Held in Cash		Collateral Held in Invested Assets		Total Collateral Held		Collateral Amounts used to Offset Exposure		Excess Collateral		Exposure Net of Collateral
Barclays	Baa3/BBB	$	38,905	$	11,063	$	28,041	$	39,104	$	38,905	$	199	$	—
Goldman-Sachs	A3/BBB+	615		670		—		670		615		55		—
ING	Baa1/A-	24,183		7,960		16,023		23,983		23,983		—		200
Morgan Stanley	A3/BBB+	11,649		2,046		9,013		11,059		11,059		—		590
NATIXIS*	A1/A+	26,786		27,610		—		27,610		26,786		824		—
SunTrust	Baa1/BBB+	23,488		6,520		17,025		23,545		23,464		81		24
Wells Fargo	A2/A-	22,380		7,030		15,022		22,052		22,052		—		328
Total		$	148,006	$	62,899	$	85,124	$	148,023	$	146,864	$	1,159	$	1,142



*	Includes collateral restrictions.

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

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