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Derivative Instruments (Tables)
 12 Months Ended
Dec. 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:
 
December 31,
 
2014
 
2013
 
(Dollars in thousands)
Assets
 
 
 
Derivative instruments
 
 
 
Call options
$
731,113

 
$
856,050

Other assets
 
 
 
2015 notes hedges
30,291

 
107,041

Interest rate caps
2,778

 
6,103

Interest rate swap
—

 
712

 
$
764,182

 
$
969,906

Liabilities
 
 
 
Policy benefit reserves—annuity products
 
 
 
Fixed index annuities—embedded derivatives
$
5,574,653

 
$
4,406,163

Other liabilities
 
 
 
2015 notes embedded conversion derivative (see Note 9)
30,291

 
107,041

Interest rate swap
2,644

 
—

 
$
5,607,588

 
$
4,513,204
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,
 
2014
 
2013
 
2012
 
(Dollars in thousands)
Change in fair value of derivatives:
 
 
 
 
 
Call options
$
521,947

 
$
932,003

 
$
228,610

2015 notes hedges
(8,934
)
 
145,751

 
(2,488
)
2015 warrants
—

 
(9,568
)
 
—

Interest rate swap
(4,863
)
 
4,973

 
(4,261
)
Interest rate caps
(3,325
)
 
2,856

 
(723
)
 
$
504,825

 
$
1,076,015

 
$
221,138

Change in fair value of embedded derivatives:
 
 
 
 
 
Fixed index annuities—embedded derivatives
$
47,548

 
$
(8,006
)
 
$
289,387

2015 notes embedded conversion derivative (see Note 9)
(19,036
)
 
141,974

 
(2,488
)
2029 notes embedded conversion derivative (see Note 9)
3,809

 
—

 
—

 
$
32,321

 
$
133,968

 
$
286,899
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,
 
 
 
 
 
 
2014
 
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
 
$
2,114,812

 
$
62,932

 
$
1,683,911

 
$
73,836

Barclays
 
A
 
A2
 
4,083,259

 
135,609

 
2,396,839

 
113,513

BNP Paribas
 
A+
 
A1
 
1,321,136

 
42,644

 
1,382,661

 
38,849

Citibank, N.A.
 
A
 
A2
 
3,190,204

 
96,759

 
1,536,547

 
72,310

Credit Suisse
 
A
 
A1
 
2,354,811

 
75,381

 
4,060,352

 
193,304

Deutsche Bank
 
A
 
A3
 
2,682,960

 
64,028

 
747,587

 
41,074

HSBC
 
AA-
 
A1
 
38,599

 
1,767

 
200,011

 
10,518

J.P. Morgan
 
A+
 
Aa3
 
401,804

 
13,488

 
786,429

 
36,863

Morgan Stanley
 
A-
 
Baa2
 
2,605,687

 
77,106

 
3,546,487

 
150,437

Royal Bank of Canada
 
AA-
 
Aa3
 
1,364,362

 
41,717

 
714,941

 
25,140

SunTrust
 
BBB+
 
A3
 
248,622

 
5,405

 
—

 
—

Wells Fargo
 
AA-
 
Aa3
 
3,550,188

 
114,277

 
2,221,874

 
100,206

 
 
 
 
 
 
$
23,956,444

 
$
731,113

 
$
19,277,639

 
$
856,050
Schedule of Interest Rate Derivatives
Details regarding the interest rate swap are as follows:
 
 
 
 
 
 
 
 
 
 
December 31,
 
 
 
 
 
 
 
 
 
 
2014
 
2013
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
 
$
(2,644
)
 
$
712

Details regarding the interest rate caps are as follows:
 
 
 
 
 
 
 
 
 
 
December 31,
 
 
 
 
 
 
 
 
 
 
2014
 
2013
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
 
$
1,398

 
$
3,073

July 8, 2021
 
12,000

 
LIBOR
 
2.50%
 
SunTrust
 
420

 
923

July 29, 2021
 
27,000

 
LIBOR
 
2.50%
 
SunTrust
 
960

 
2,107

 
 
$
79,000

 
 
 
 
 
 
 
$
2,778

 
$
6,103