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Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 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 and derivative instruments embedded in a convertible debt issue, presented in the consolidated balance sheets are as follows:
 
December 31,
 
2013
 
2012
 
(Dollars in thousands)
Assets
 
 
 
Derivative instruments
 
 
 
Call options
$
856,050

 
$
415,258

Other assets
 
 
 
2015 notes hedges
107,041

 
43,105

Interest rate caps
6,103

 
3,247

Interest rate swap
712

 
—

 
$
969,906

 
$
461,610

Liabilities
 
 
 
Policy benefit reserves—annuity products
 
 
 
Fixed index annuities—embedded derivatives
$
4,406,163

 
$
3,337,556

Other liabilities
 
 
 
2015 notes embedded conversion derivative
107,041

 
43,105

Interest rate swap
—

 
4,261

 
$
4,513,204

 
$
3,384,922
Schedule of Changes in Fair Value of Derivative Instruments
The changes in fair value of derivatives included in the consolidated statements of operations are as follows:
 
Year Ended December 31,
 
2013
 
2012
 
2011
 
(Dollars in thousands)
Change in fair value of derivatives:
 
 
 
 
 
Call options
$
932,003

 
$
228,610

 
$
(93,582
)
2015 notes hedges
145,751

 
(2,488
)
 
(21,002
)
2015 warrants
(9,568
)
 
—

 
—

Interest rate swap
4,973

 
(4,261
)
 
(144
)
Interest rate caps
2,856

 
(723
)
 
—

 
$
1,076,015

 
$
221,138

 
$
(114,728
)
Change in fair value of embedded derivatives:
 
 
 
 
 
2015 notes embedded conversion derivative (see Note 9)
$
141,974

 
$
(2,488
)
 
$
(21,002
)
Fixed index annuities—embedded derivatives
(8,006
)
 
289,387

 
(84,192
)
 
$
133,968

 
$
286,899

 
$
(105,194
)
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:
 
 
 
 
 
 
December 31,
 
 
 
 
 
 
2013
 
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
 
A2
 
$
1,683,911

 
$
73,836

 
$
568,786

 
$
16,533

Barclays
 
A
 
A2
 
2,396,839

 
113,513

 
3,463,777

 
103,929

BNP Paribas
 
A+
 
A2
 
1,382,661

 
38,849

 
2,207,097

 
60,301

Citibank, N.A.
 
A
 
A2
 
1,536,547

 
72,310

 
2,878,588

 
67,592

Credit Suisse
 
A
 
A1
 
4,060,352

 
193,304

 
936,625

 
21,518

Deutsche Bank
 
A
 
A2
 
747,587

 
41,074

 
886,688

 
20,787

HSBC
 
AA-
 
A1
 
200,011

 
10,518

 
295,520

 
6,539

J.P. Morgan
 
A+
 
Aa3
 
786,429

 
36,863

 
735,016

 
21,940

Morgan Stanley
 
A-
 
Baa2
 
3,546,487

 
150,437

 
1,590,505

 
40,113

Royal Bank of Canada
 
AA-
 
Aa3
 
714,941

 
25,140

 
—

 
—

Wells Fargo (Wachovia)
 
AA-
 
Aa3
 
2,221,874

 
100,206

 
2,060,903

 
56,006

 
 
 
 
 
 
$
19,277,639

 
$
856,050

 
$
15,623,505

 
$
415,258
Schedule of Interest Rate Derivatives
Details regarding the interest rate swap are as follows:
 
 
 
 
 
 
 
 
 
 
December 31,
 
 
 
 
 
 
 
 
 
 
2013
 
2012
Maturity Date
 
Notional
Amount
 
Receive Rate
 
Pay Rate
 
Counterparty
 
Fair Value
 
Fair Value
 
 
 
 
 
 
 
 
 
 
(Dollars in thousands)
March 15, 2021
 
$
85,500

 
LIBOR
 
2.415%
 
SunTrust
 
$
712

 
$
(4,261
)
Details regarding the interest rate caps are as follows:
 
 
 
 
 
 
 
 
 
 
December 31,
 
 
 
 
 
 
 
 
 
 
2013
 
2012
Maturity Date
 
Notional Amount
 
Floating Rate
 
Cap Rate
 
Counterparty
 
Fair Value
 
Fair Value
 
 
 
 
 
 
 
 
 
 
(Dollars in thousands)
July 7, 2021
 
$
40,000

 
LIBOR
 
2.50%
 
SunTrust
 
$
3,073

 
$
1,634

July 8, 2021
 
12,000

 
LIBOR
 
2.50%
 
SunTrust
 
923

 
490

July 29, 2021
 
27,000

 
LIBOR
 
2.50%
 
SunTrust
 
2,107

 
1,123

 
 
$
79,000

 
 
 
 
 
 
 
$
6,103

 
$
3,247