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Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 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:
 
December 31,
 
2015
 
2014
 
(Dollars in thousands)
Assets
 
 
 
Derivative instruments
 
 
 
Call options
$
337,256

 
$
731,113

Other assets
 
 
 
2015 notes hedges
—

 
30,291

Interest rate caps
1,410

 
2,778

 
$
338,666

 
$
764,182

Liabilities
 
 
 
Policy benefit reserves—annuity products
 
 
 
Fixed index annuities—embedded derivatives
$
5,983,622

 
$
5,574,653

Other liabilities
 
 
 
2015 notes embedded conversion derivative (see Note 9)
—

 
30,291

Interest rate swap
3,139

 
2,644

 
$
5,986,761

 
$
5,607,588
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,
 
2015
 
2014
 
2013
 
(Dollars in thousands)
Change in fair value of derivatives:
 
 
 
 
 
Call options
$
(327,921
)
 
$
521,947

 
$
932,003

2015 notes hedges
(4,516
)
 
(8,934
)
 
145,751

2015 warrants
—

 
—

 
(9,568
)
Interest rate swap
(2,341
)
 
(4,863
)
 
4,973

Interest rate caps
(1,368
)
 
(3,325
)
 
2,856

 
$
(336,146
)
 
$
504,825

 
$
1,076,015

Change in fair value of embedded derivatives:
 
 
 
 
 
Fixed index annuities—embedded derivatives (see Note 2)
$
(825,668
)
 
$
(532,337
)
 
$
(416,502
)
Other changes in difference between policy benefit reserves computed using derivative accounting vs. long-duration contracts accounting
365,486

 
579,885

 
408,496

2015 notes embedded conversion derivative (see Note 9)
(4,516
)
 
(19,036
)
 
141,974

2029 notes embedded conversion derivative (see Note 9)
—

 
3,809

 
—

 
$
(464,698
)
 
$
32,321

 
$
133,968
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,
 
 
 
 
 
 
2015
 
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
 
$
6,257,861

 
$
67,662

 
$
2,114,812

 
$
62,932

Barclays
 
A-
 
A2
 
2,463,768

 
35,273

 
4,083,259

 
135,609

BNP Paribas
 
A+
 
A1
 
1,520,710

 
16,944

 
1,321,136

 
42,644

Citibank, N.A.
 
A
 
A1
 
3,786,498

 
23,587

 
3,190,204

 
96,759

Credit Suisse
 
A
 
A1
 
1,278,492

 
12,508

 
2,354,811

 
75,381

Deutsche Bank
 
BBB+
 
A3
 
1,349,002

 
10,704

 
2,682,960

 
64,028

HSBC
 
AA-
 
Aa3
 
—

 
—

 
38,599

 
1,767

J.P. Morgan
 
A+
 
Aa3
 
838,982

 
5,283

 
401,804

 
13,488

Morgan Stanley
 
A
 
A1
 
3,465,457

 
33,171

 
2,605,687

 
77,106

Royal Bank of Canada
 
AA-
 
Aa3
 
2,820,410

 
48,654

 
1,364,362

 
41,717

SunTrust
 
A-
 
Baa1
 
1,308,434

 
20,028

 
248,622

 
5,405

Wells Fargo
 
AA-
 
Aa2
 
4,187,955

 
63,442

 
3,550,188

 
114,277

 
 
 
 
 
 
$
29,277,569

 
$
337,256

 
$
23,956,444

 
$
731,113
Schedule of Interest Rate Derivatives
Details regarding the interest rate swap are as follows:
 
 
 
 
 
 
 
 
 
 
December 31,
 
 
 
 
 
 
 
 
 
 
2015
 
2014
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
 
$
(3,139
)
 
$
(2,644
)
Details regarding the interest rate caps are as follows:
 
 
 
 
 
 
 
 
 
 
December 31,
 
 
 
 
 
 
 
 
 
 
2015
 
2014
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
 
$
708

 
$
1,398

July 8, 2021
 
12,000

 
LIBOR
 
2.50%
 
SunTrust
 
213

 
420

July 29, 2021
 
27,000

 
LIBOR
 
2.50%
 
SunTrust
 
490

 
960

 
 
$
79,000

 
 
 
 
 
 
 
$
1,411

 
$
2,778