Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2016

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, 2016		December 31, 2015
	(Dollars in thousands)
Assets
Derivative instruments
Call options	$	706,007	$	337,256
Other assets
Interest rate caps	307		1,410
	$	706,314	$	338,666
Liabilities
Policy benefit reserves - annuity products
Fixed index annuities - embedded derivatives	$	6,678,102	$	5,983,622
Other liabilities
Interest rate swap	4,944		3,139
	$	6,683,046	$	5,986,761

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,
	2016			2015			2016			2015
	(Dollars in thousands)
Change in fair value of derivatives:
Call options	$	103,267		$	(347,038	)	$	72,910		$	(396,399	)
2015 notes hedges	—			(1,141		)	—			(4,516		)
Interest rate swap	647			(2,349		)	(2,979		)	(3,283		)
Interest rate caps	(120		)	(832		)	(1,103		)	(1,286		)
	$	103,794		$	(351,360	)	$	68,828		$	(405,484	)
Change in fair value of embedded derivatives:
Fixed index annuities—embedded derivatives	$	41,561		$	(460,031	)	$	421,193		$	(864,389	)
Other changes in difference between policy benefit reserves computed using derivative accounting vs. long-duration contracts accounting	102,843			46,448			273,371			285,793
2015 notes embedded conversion derivative	—			(1,141		)	—			(4,516		)
	$	144,404		$	(414,724	)	$	694,564		$	(583,112	)

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, 2016				December 31, 2015
Counterparty	Credit Rating (S&P)	Credit Rating (Moody's)	Notional Amount		Fair Value		Notional Amount		Fair Value
			(Dollars in thousands)
Bank of America	A	A1	$	6,367,855	$	156,209	$	6,257,861	$	67,662
Barclays	A-	A2	2,485,187		62,339		2,463,768		35,273
BNP Paribas	A	A1	891,487		16,050		1,520,710		16,944
Citibank, N.A.	A	A1	3,738,323		69,484		3,786,498		23,587
Credit Suisse	A	A2	1,652,310		35,776		1,278,492		12,508
Deutsche Bank	BBB+	Baa2	522,531		7,950		1,349,002		10,704
J.P. Morgan	A+	Aa3	1,622,978		19,165		838,982		5,283
Morgan Stanley	A	A1	2,870,679		49,172		3,465,457		33,171
Royal Bank of Canada	AA-	Aa3	3,413,277		91,977		2,820,410		48,654
SunTrust	A-	Baa1	2,297,155		63,758		1,308,434		20,028
Wells Fargo	AA-	Aa2	4,521,020		129,851		4,187,955		63,442
Exchange traded			207,038		4,276		—		—
			$	30,589,840	$	706,007	$	29,277,569	$	337,256

Schedule of Interest Rate Derivatives

Details regarding the interest rate swap are as follows:

	Notional			Pay			September 30, 2016			December 31, 2015
Maturity Date	Amount		Receive Rate	Rate		Counterparty	Fair Value			Fair Value
							(Dollars in thousands)
March 15, 2021	$	85,500	LIBOR	2.415	%	SunTrust	$	(4,944	)	$	(3,139	)

Details regarding the interest rate caps are as follows:

	Notional			Cap			September 30, 2016		December 31, 2015
Maturity Date	Amount		Floating Rate	Rate		Counterparty	Fair Value		Fair Value
							(Dollars in thousands)
July 7, 2021	$	40,000	LIBOR	2.50	%	SunTrust	$	153	$	708
July 8, 2021	12,000		LIBOR	2.50	%	SunTrust	46		212
July 29, 2021	27,000		LIBOR	2.50	%	SunTrust	108		490
	$	79,000					$	307	$	1,410