XML 73 R21.htm IDEA: XBRL DOCUMENT v2.4.0.8
Derivative Instruments (Tables)
 6 Months Ended
Jun. 30, 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:
 
June 30,
2014
 
December 31,
2013
 
(Dollars in thousands)
Assets
 
 
 
Derivative instruments
 
 
 
Call options
$
905,688

 
$
856,050

Other assets
 
 
 
2015 notes hedges
45,884

 
107,041

Interest rate caps
3,788

 
6,103

Interest rate swap
—

 
712

 
$
955,360

 
$
969,906

Liabilities
 
 
 
Policy benefit reserves - annuity products
 
 
 
Fixed index annuities - embedded derivatives
$
5,119,823

 
$
4,406,163

Other liabilities
 
 
 
2015 notes embedded conversion derivative
45,884

 
107,041

Interest rate swap
1,983

 
—

 
$
5,167,690

 
$
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
June 30,
 
Six Months Ended
June 30,
 
2014
 
2013
 
2014
 
2013
 
(Dollars in thousands)
Change in fair value of derivatives:
 
 
 
 
 
 
 
Call options
$
273,769

 
$
58,200

 
$
345,242

 
$
402,854

2015 notes hedges
100

 
197

 
(20,301
)
 
28,295

Interest rate swap
(1,848
)
 
3,802

 
(3,250
)
 
4,535

Interest rate caps
(1,138
)
 
1,841

 
(2,315
)
 
2,318

 
$
270,883

 
$
64,040

 
$
319,376

 
$
438,002

Change in fair value of embedded derivatives:
 
 
 
 
 
 
 
2015 notes embedded conversion derivative
$
(4,132
)
 
$
197

 
$
(24,533
)
 
$
28,295

Fixed index annuities—embedded derivatives
85,067

 
(408,606
)
 
198,087

 
(73,432
)
 
$
80,935

 
$
(408,409
)
 
$
173,554

 
$
(45,137
)
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:
 
 
 
 
 
 
June 30, 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
 
$
1,903,168

 
$
77,824

 
$
1,683,911

 
$
73,836

Barclays
 
A
 
A2
 
2,845,414

 
88,512

 
2,396,839

 
113,513

BNP Paribas
 
A+
 
A1
 
1,399,032

 
52,262

 
1,382,661

 
38,849

Citibank, N.A.
 
A
 
A2
 
3,099,547

 
117,391

 
1,536,547

 
72,310

Credit Suisse
 
A
 
A1
 
2,648,174

 
141,755

 
4,060,352

 
193,304

Deutsche Bank
 
A
 
A2
 
1,428,366

 
51,512

 
747,587

 
41,074

HSBC
 
AA-
 
A1
 
131,837

 
7,468

 
200,011

 
10,518

J.P. Morgan
 
A+
 
Aa3
 
631,923

 
31,745

 
786,429

 
36,863

Morgan Stanley
 
A-
 
Baa2
 
3,605,771

 
190,421

 
3,546,487

 
150,437

Royal Bank of Canada
 
AA-
 
Aa3
 
1,201,172

 
46,183

 
714,941

 
25,140

Wells Fargo
 
AA-
 
Aa3
 
2,567,438

 
100,615

 
2,221,874

 
100,206

 
 
 
 
 
 
$
21,461,842

 
$
905,688

 
$
19,277,639

 
$
856,050
Schedule of Interest Rate Derivatives
Details regarding the interest rate swap are as follows:
 
 
Notional
 
 
 
Pay
 
 
 
June 30, 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
 
$
(1,983
)
 
$
712



Details regarding the interest rate caps are as follows:
 
 
Notional
 
 
 
Cap
 
 
 
June 30, 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
 
$
1,907

 
$
3,073

July 8, 2021
 
12,000

 
LIBOR
 
2.50
%
 
SunTrust
 
572

 
923

July 29, 2021
 
27,000

 
LIBOR
 
2.50
%
 
SunTrust
 
1,309

 
2,107

 
 
$
79,000

 
 
 
 
 
 
 
$
3,788

 
$
6,103