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Derivative Instruments (Tables) | 9 Months Ended
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Sep. 30, 2013
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, 2013 |  | December 31, 2012
| (Dollars in thousands)
Assets |  |  |
Derivative instruments |  |  |
Call options | $ | 625,236 |  |  | $ | 415,258 |
Other assets |  |  |
2015 notes hedges | 144,904 |  |  | 43,105 |
Interest rate caps | 5,356 |  |  | 3,247 |
| $ | 775,496 |  |  | $ | 461,610 |
Liabilities |  |  |
Policy benefit reserves - annuity products |  |  |
Fixed index annuities - embedded derivatives | $ | 3,975,862 |  |  | $ | 3,337,556 |
Other liabilities |  |  |
2015 notes embedded derivatives | 147,150 |  |  | 43,105 |
2015 warrants | 51,077 |  |  | — |
Interest rate swap | 222 |  |  | 4,261 |
| $ | 4,174,311 |  |  | $ | 3,384,922 |
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,
| 2013 |  | 2012 |  | 2013 |  | 2012
| (Dollars in thousands)
Change in fair value of derivatives: |  |  |  |  |  |  |
Call options | $ | 129,428 |  |  | $ | 160,735 |  |  | $ | 532,282 |  |  | $ | 280,014 |
2015 notes hedges | 73,504 |  |  | 1,839 |  |  | 101,799 |  |  | (5,573 | )
2015 warrants | (9,199 | ) |  | — |  |  | (9,199 | ) |  | — |
Interest rate swap | (496 | ) |  | (1,171 | ) |  | 4,039 |  |  | (4,319 | )
Interest rate caps | (209 | ) |  | (313 | ) |  | 2,109 |  |  | (718 | )
| $ | 193,028 |  |  | $ | 161,090 |  |  | $ | 631,030 |  |  | $ | 269,404 |
Change in fair value of embedded derivatives: |  |  |  |  |  |  |
2015 notes embedded derivatives | $ | 75,750 |  |  | $ | 1,839 |  |  | $ | 104,045 |  |  | $ | (5,573 | )
Fixed index annuities | (39,526 | ) |  | 186,362 |  |  | (112,958 | ) |  | 471,851 |
| $ | 36,224 |  |  | $ | 188,201 |  |  | $ | (8,913 | ) |  | $ | 466,278 |
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, 2013 |  | December 31, 2012
Counterparty |  | Credit Rating (S&P) |  | Credit Rating (Moody's) |  | Notional Amount |  | Fair Value |  | Notional Amount |  | Fair Value
|  |  |  |  |  | (Dollars in thousands)
Bank of America |  | A |  | A3 |  | $ | 1,273,995 |  |  | $ | 47,681 |  |  | $ | 568,786 |  |  | $ | 16,533 |
Barclays |  | A |  | A2 |  | 2,936,023 |  |  | 108,872 |  |  | 3,463,777 |  |  | 103,929 |
BNP Paribas |  | A+ |  | A2 |  | 1,481,037 |  |  | 45,958 |  |  | 2,207,097 |  |  | 60,301 |
Citibank, N.A. |  | A |  | A3 |  | 1,368,136 |  |  | 47,915 |  |  | 2,878,588 |  |  | 67,592 |
Credit Suisse |  | A |  | A1 |  | 3,886,014 |  |  | 116,310 |  |  | 936,625 |  |  | 21,518 |
Deutsche Bank |  | A |  | A2 |  | 909,823 |  |  | 37,627 |  |  | 886,688 |  |  | 20,787 |
HSBC |  | AA- |  | A1 |  | 235,430 |  |  | 12,415 |  |  | 295,520 |  |  | 6,539 |
J.P. Morgan |  | A+ |  | Aa3 |  | 778,891 |  |  | 21,204 |  |  | 735,016 |  |  | 21,940 |
Morgan Stanley |  | A- |  | Baa1 |  | 2,713,249 |  |  | 89,525 |  |  | 1,590,505 |  |  | 40,113 |
Royal Bank of Canada |  | AA- |  | Aa3 |  | 298,349 |  |  | 5,862 |  |  | — |  |  | — |
Wells Fargo |  | AA- |  | Aa3 |  | 2,284,217 |  |  | 91,867 |  |  | 2,060,903 |  |  | 56,006 |
|  |  |  |  |  | $ | 18,165,164 |  |  | $ | 625,236 |  |  | $ | 15,623,505 |  |  | $ | 415,258 |
Schedule of Interest Rate Derivatives | Details regarding the interest rate swap are as follows:
|  | Notional |  |  |  | Pay |  |  |  | September 30, 2013 |  | December 31, 2012
Maturity Date |  | Amount |  | Receive Rate |  | Rate |  | Counterparty |  | Fair Value |  | Fair Value
|  |  |  |  |  |  |  |  |  | (Dollars in thousands)
March 15, 2021 |  | $ | 85,500 |  |  | LIBOR |  | 2.415 | % |  | SunTrust |  | $ | (222 | ) |  | $ | (4,261 | )
Details regarding the interest rate caps are as follows:
|  | Notional |  |  |  | Cap |  |  |  | September 30, 2013 |  | December 31, 2012
Maturity Date |  | Amount |  | Floating Rate |  | Rate |  | Counterparty |  | Fair Value |  | Fair Value
|  |  |  |  |  |  |  |  |  | (Dollars in thousands)
July 7, 2021 |  | $ | 40,000 |  |  | LIBOR |  | 2.50 | % |  | SunTrust |  | $ | 2,697 |  |  | $ | 1,634 |
July 8, 2021 |  | 12,000 |  |  | LIBOR |  | 2.50 | % |  | SunTrust |  | 809 |  |  | 490 |
July 29, 2021 |  | 27,000 |  |  | LIBOR |  | 2.50 | % |  | SunTrust |  | 1,850 |  |  | 1,123 |
|  | $ | 79,000 |  |  |  |  |  |  |  |  | $ | 5,356 |  |  | $ | 3,247 |

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- Definition Tabular disclosure of the location and amount of gains and losses reported in the statement of financial performance, or when applicable, the statement of financial position. For example, (a) gains and losses recognized in the income statement on derivative instruments designated and qualifying as hedging instruments in fair value hedges and related hedged items designated and qualifying in fair value hedges and (b) gains and losses initially recognized in other comprehensive income on derivative instruments designated and qualifying as cash flow hedges. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 133 -Paragraph 205G -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 133 -Paragraph 44C -Subparagraph b -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5624171-113959 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4A -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5618551-113959 + Details
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- Definition Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 133 -Paragraph 205G -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5624163-113959 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 133 -Paragraph 44C -Subparagraph a -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. + Details
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- Definition Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08.(n)(2)) -URI http://asc.fasb.org/extlink&oid=6881521&loc=d3e23780-122690 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=7476318&loc=d3e41678-113959 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=7476318&loc=d3e41620-113959 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5580258-113959 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5579245-113959 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5579240-113959 Reference 7: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=7476318&loc=d3e41641-113959 Reference 8: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5624171-113959 Reference 9: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=7476318&loc=d3e41638-113959 Reference 10: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5624163-113959 Reference 11: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 25 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=6886632&loc=d3e76258-113986 + Details
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- Definition Tabular disclosure of interest rate derivatives, including, but not limited to, the fair value of the derivatives, statement of financial position location, and statement of financial performance location of these instruments. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5624171-113959 + Details
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