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Derivative Instruments (Tables)
 9 Months Ended
Sep. 30, 2015
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:
 
September 30, 2015
 
December 31, 2014
 
(Dollars in thousands)
Assets
 
 
 
Derivative instruments
 
 
 
Call options
$
180,649

 
$
731,113

Other assets
 
 
 
2015 notes hedges
—

 
30,291

Interest rate caps
1,492

 
2,778

 
$
182,141

 
$
764,182

Liabilities
 
 
 
Policy benefit reserves - annuity products
 
 
 
Fixed index annuities - embedded derivatives
$
5,731,117

 
$
5,574,653

Other liabilities
 
 
 
2015 notes embedded conversion derivative
—

 
30,291

Interest rate swap
4,528

 
2,644

 
$
5,735,645

 
$
5,607,588
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,
 
2015
 
2014
 
2015
 
2014
 
(Dollars in thousands)
Change in fair value of derivatives:
 
 
 
 
 
 
 
Call options
$
(347,038
)
 
$
45,931

 
$
(396,399
)
 
$
391,173

2015 notes hedges
(1,141
)
 
(6,823
)
 
(4,516
)
 
(27,124
)
Interest rate swap
(2,349
)
 
254

 
(3,283
)
 
(2,996
)
Interest rate caps
(832
)
 
(144
)
 
(1,286
)
 
(2,459
)
 
$
(351,360
)
 
$
39,218

 
$
(405,484
)
 
$
358,594

Change in fair value of embedded derivatives:
 
 
 
 
 
 
 
Fixed index annuities—embedded derivatives
$
(413,583
)
 
$
(188,383
)
 
$
(578,596
)
 
$
9,704

2015 notes embedded conversion derivative
(1,141
)
 
(6,823
)
 
(4,516
)
 
(31,356
)
 
$
(414,724
)
 
$
(195,206
)
 
$
(583,112
)
 
$
(21,652
)
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, 2015
 
December 31, 2014
Counterparty
 
Credit Rating
(S&P)
 
Credit Rating (Moody's)
 
Notional
Amount
 
Fair Value
 
Notional
Amount
 
Fair Value
 
 
 
 
 
 
(Dollars in thousands)
Bank of America
 
A
 
A1
 
$
5,415,765

 
$
33,313

 
$
2,114,812

 
$
62,932

Barclays
 
A-
 
A2
 
2,816,999

 
30,954

 
4,083,259

 
135,609

BNP Paribas
 
A+
 
A1
 
1,749,912

 
15,409

 
1,321,136

 
42,644

Citibank, N.A.
 
A
 
A1
 
3,314,018

 
6,834

 
3,190,204

 
96,759

Credit Suisse
 
A
 
A1
 
1,517,315

 
8,875

 
2,354,811

 
75,381

Deutsche Bank
 
BBB+
 
A3
 
1,733,406

 
1,537

 
2,682,960

 
64,028

HSBC
 
AA-
 
Aa3
 
—

 
—

 
38,599

 
1,767

J.P. Morgan
 
A+
 
Aa3
 
703,532

 
2,309

 
401,804

 
13,488

Morgan Stanley
 
A-
 
A3
 
3,622,471

 
19,178

 
2,605,687

 
77,106

Royal Bank of Canada
 
AA-
 
Aa3
 
2,265,389

 
22,342

 
1,364,362

 
41,717

SunTrust
 
A-
 
Baa1
 
836,304

 
4,096

 
248,622

 
5,405

Wells Fargo
 
AA-
 
Aa2
 
4,043,630

 
35,802

 
3,550,188

 
114,277

 
 
 
 
 
 
$
28,018,741

 
$
180,649

 
$
23,956,444

 
$
731,113
Schedule of Interest Rate Derivatives
Details regarding the interest rate swap are as follows:
 
 
Notional
 
 
 
Pay
 
 
 
September 30, 2015
 
December 31, 2014
Maturity Date
 
Amount
 
Receive Rate
 
Rate
 
Counterparty
 
Fair Value
 
Fair Value
 
 
 
 
 
 
 
 
 
 
(Dollars in thousands)
March 15, 2021
 
$
85,500

 
LIBOR
 
2.415
%
 
SunTrust
 
$
(4,528
)
 
$
(2,644
)

Details regarding the interest rate caps are as follows:
 
 
Notional
 
 
 
Cap
 
 
 
September 30, 2015
 
December 31, 2014
Maturity Date
 
Amount
 
Floating Rate
 
Rate
 
Counterparty
 
Fair Value
 
Fair Value
 
 
 
 
 
 
 
 
 
 
(Dollars in thousands)
July 7, 2021
 
$
40,000

 
LIBOR
 
2.50
%
 
SunTrust
 
$
748

 
$
1,398

July 8, 2021
 
12,000

 
LIBOR
 
2.50
%
 
SunTrust
 
225

 
420

July 29, 2021
 
27,000

 
LIBOR
 
2.50
%
 
SunTrust
 
519

 
960

 
 
$
79,000

 
 
 
 
 
 
 
$
1,492

 
$
2,778