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Derivative Instruments (Tables)
 3 Months Ended
Mar. 31, 2014
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:
 
March 31,
2014
 
December 31,
2013
 
(Dollars in thousands)
Assets
 
 
 
Derivative instruments
 
 
 
Call options
$
790,396

 
$
856,050

Other assets
 
 
 
2015 notes hedges
86,640

 
107,041

Interest rate caps
4,926

 
6,103

Interest rate swap
—

 
712

 
$
881,962

 
$
969,906

Liabilities
 
 
 
Policy benefit reserves - annuity products
 
 
 
Fixed index annuities - embedded derivatives
$
4,755,913

 
$
4,406,163

Other liabilities
 
 
 
2015 notes embedded conversion derivative
86,640

 
107,041

Interest rate swap
690

 
—

 
$
4,843,243

 
$
4,513,204
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
March 31,
 
2014
 
2013
 
(Dollars in thousands)
Change in fair value of derivatives:
 
 
 
Call options
$
71,473

 
$
344,654

2015 notes hedges
(20,401
)
 
28,098

Interest rate swap
(1,402
)
 
733

Interest rate caps
(1,177
)
 
477

 
$
48,493

 
$
373,962

Change in fair value of embedded derivatives:
 
 
 
2015 notes embedded conversion derivative
$
(20,401
)
 
$
28,098

Fixed index annuities—embedded derivatives
113,020

 
335,174

 
$
92,619

 
$
363,272
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:
 
 
 
 
 
 
March 31, 2014
 
December 31, 2013
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
 
$
1,590,121

 
$
61,063

 
$
1,683,911

 
$
73,836

Barclays
 
A
 
A2
 
1,927,994

 
61,753

 
2,396,839

 
113,513

BNP Paribas
 
A+
 
A2
 
1,299,886

 
36,924

 
1,382,661

 
38,849

Citibank, N.A.
 
A
 
A2
 
2,423,596

 
81,072

 
1,536,547

 
72,310

Credit Suisse
 
A
 
A1
 
4,101,721

 
193,008

 
4,060,352

 
193,304

Deutsche Bank
 
A
 
A2
 
838,142

 
35,175

 
747,587

 
41,074

HSBC
 
AA-
 
A1
 
169,761

 
6,442

 
200,011

 
10,518

J.P. Morgan
 
A+
 
Aa3
 
923,585

 
39,197

 
786,429

 
36,863

Morgan Stanley
 
A-
 
Baa2
 
3,847,956

 
154,226

 
3,546,487

 
150,437

Royal Bank of Canada
 
AA-
 
Aa3
 
871,208

 
31,084

 
714,941

 
25,140

Wells Fargo
 
AA-
 
Aa3
 
2,287,890

 
90,452

 
2,221,874

 
100,206

 
 
 
 
 
 
$
20,281,860

 
$
790,396

 
$
19,277,639

 
$
856,050
Schedule of Interest Rate Derivatives
Details regarding the interest rate swap are as follows:
 
 
Notional
 
 
 
Pay
 
 
 
March 31, 2014
 
December 31, 2013
Maturity Date
 
Amount
 
Receive Rate
 
Rate
 
Counterparty
 
Fair Value
 
Fair Value
 
 
 
 
 
 
 
 
 
 
(Dollars in thousands)
March 15, 2021
 
$
85,500

 
LIBOR
 
2.415
%
 
SunTrust
 
$
(690
)
 
$
712



Details regarding the interest rate caps are as follows:
 
 
Notional
 
 
 
Cap
 
 
 
March 31, 2014
 
December 31, 2013
Maturity Date
 
Amount
 
Floating Rate
 
Rate
 
Counterparty
 
Fair Value
 
Fair Value
 
 
 
 
 
 
 
 
 
 
(Dollars in thousands)
July 7, 2021
 
$
40,000

 
LIBOR
 
2.50
%
 
SunTrust
 
$
2,481

 
$
3,073

July 8, 2021
 
12,000

 
LIBOR
 
2.50
%
 
SunTrust
 
745

 
923

July 29, 2021
 
27,000

 
LIBOR
 
2.50
%
 
SunTrust
 
1,700

 
2,107

 
 
$
79,000

 
 
 
 
 
 
 
$
4,926

 
$
6,103