Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2020

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 Condensed Consolidated Statements of Financial Position	March 31, 2020												December 31, 2019
					Number of Instruments			Notional Amounts		Estimated Fair Value			Number of Instruments			Notional Amounts	Estimated Fair Value

Equity-indexed options	Other invested assets	466	$	2,669,500		$	125,988		473		$	2,654,600		$	256,005
Equity-indexed embedded derivative	Policyholders’ account balances	103,593	2,545,271			630,952			101,950		2,527,205			731,552

Schedule of Derivative Instruments Reported in Statements of Operations


Derivatives Not Designated as Hedging Instruments	Location in the Condensed Consolidated Statements of Operations	Gains (Losses) Recognized in Income on Derivatives
						Three months ended March 31,
						2020	2019
Equity-indexed options	Net investment income	$	(108,095)	$	66,485
Equity-indexed embedded derivative	Interest credited to policyholders’ account balances	89,581		(58,156)

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):


		March 31, 2020
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	Baa2/BBB	$	26,494	$	(87)	$	28,000	$	27,913	$	26,494	$	1,419	$	—
Credit Suisse	Baa2/BBB+	1,459		1,590		—		1,590		1,459		131		—
Goldman-Sachs	A3/BBB+	709		640		—		640		640		—		69
ING	Baa1/A-	23,193		7,560		16,000		23,560		23,193		367		—
Morgan Stanley	A3/BBB+	10,421		3,136		9,000		12,136		10,421		1,715		—
NATIXIS*	A1/A+	19,961		21,250		—		21,250		19,961		1,289		—
SunTrust	A3/A-	25,018		10,040		17,000		27,040		25,018		2,022		—
Wells Fargo	A2/A-	18,733		5,350		15,000		20,350		18,733		1,617		—
Total		$	125,988	$	49,479	$	85,000	$	134,479	$	125,919	$	8,560	$	69


		December 31, 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	$	54,583	$	27,343	$	28,000	$	55,343	$	54,583	$	760	$	—
Credit Suisse	Baa2/BBB+	7,117		7,390		—		7,390		7,009		381		108
Goldman-Sachs	A3/BBB+	1,053		930		—		930		930		—		123
ING	Baa1/A-	30,330		14,940		16,000		30,940		30,330		610		—

Morgan Stanley	A3/BBB+	34,988		25,926		9,000		34,926		34,926		—		62
NATIXIS*	A1/A+	29,918		30,200		—		30,200		29,918		282		—
SunTrust	A3/A-	60,360		41,720		17,000		58,720		58,645		75		1,715
Wells Fargo	A2/A-	37,656		24,110		15,000		39,110		37,656		1,454		—
Total		$	256,005	$	172,559	$	85,000	$	257,559	$	253,997	$	3,562	$	2,008


*			Collateral is prohibited from being held in invested assets

- 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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