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Derivative Instruments (Tables) | 3 Months Ended
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Mar. 31, 2016
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, presented in the consolidated balance sheets are as follows:
| March 31, 2016 |  | December 31, 2015
| (Dollars in thousands)
Assets |  |  |
Derivative instruments |  |  |
Call options | $ | 387,469 |  |  | $ | 337,256 |
Other assets |  |  |
Interest rate caps | 740 |  |  | 1,410 |
| $ | 388,209 |  |  | $ | 338,666 |
Liabilities |  |  |
Policy benefit reserves - annuity products |  |  |
Fixed index annuities - embedded derivatives | $ | 6,254,466 |  |  | $ | 5,983,622 |
Other liabilities |  |  |
Interest rate swap | 5,375 |  |  | 3,139 |
| $ | 6,259,841 |  |  | $ | 5,986,761 |
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,
| 2016 |  | 2015
| (Dollars in thousands)
Change in fair value of derivatives: |  |  |
Call options | $ | (70,751 | ) |  | $ | (29,220 | )
2015 notes hedges | — |  |  | 567 |
Interest rate swap | (2,644 | ) |  | (1,761 | )
Interest rate caps | (670 | ) |  | (686 | )
| $ | (74,065 | ) |  | $ | (31,100 | )
Change in fair value of embedded derivatives: |  |  |
Fixed index annuities—embedded derivatives | $ | 179,715 |  |  | $ | (69,877 | )
Other changes in difference between policy benefit reserves computed using derivative accounting vs. long-duration contracts accounting | 86,142 |  |  | 120,523 |
2015 notes embedded conversion derivative | — |  |  | 567 |
| $ | 265,857 |  |  | $ | 51,213 |
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, 2016 |  | December 31, 2015
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 |  | $ | 6,697,638 |  |  | $ | 78,296 |  |  | $ | 6,257,861 |  |  | $ | 67,662 |
Barclays |  | A- |  | A2 |  | 2,290,633 |  |  | 37,769 |  |  | 2,463,768 |  |  | 35,273 |
BNP Paribas |  | A |  | A1 |  | 1,351,337 |  |  | 20,456 |  |  | 1,520,710 |  |  | 16,944 |
Citibank, N.A. |  | A |  | A1 |  | 3,749,452 |  |  | 23,432 |  |  | 3,786,498 |  |  | 23,587 |
Credit Suisse |  | A |  | A2 |  | 1,610,605 |  |  | 25,342 |  |  | 1,278,492 |  |  | 12,508 |
Deutsche Bank |  | BBB+ |  | Baa1 |  | 1,042,549 |  |  | 6,063 |  |  | 1,349,002 |  |  | 10,704 |
J.P. Morgan |  | A+ |  | Aa3 |  | 1,087,115 |  |  | 15,110 |  |  | 838,982 |  |  | 5,283 |
Morgan Stanley |  | A |  | A1 |  | 3,272,374 |  |  | 23,861 |  |  | 3,465,457 |  |  | 33,171 |
Royal Bank of Canada |  | AA- |  | Aa3 |  | 2,949,467 |  |  | 50,617 |  |  | 2,820,410 |  |  | 48,654 |
SunTrust |  | A- |  | Baa1 |  | 1,342,568 |  |  | 26,269 |  |  | 1,308,434 |  |  | 20,028 |
Wells Fargo |  | AA- |  | Aa2 |  | 4,481,969 |  |  | 80,254 |  |  | 4,187,955 |  |  | 63,442 |
|  |  |  |  |  | $ | 29,875,707 |  |  | $ | 387,469 |  |  | $ | 29,277,569 |  |  | $ | 337,256 |
Schedule of Interest Rate Derivatives | Details regarding the interest rate swap are as follows:
|  | Notional |  |  |  | Pay |  |  |  | March 31, 2016 |  | December 31, 2015
Maturity Date |  | Amount |  | Receive Rate |  | Rate |  | Counterparty |  | Fair Value |  | Fair Value
|  |  |  |  |  |  |  |  |  | (Dollars in thousands)
March 15, 2021 |  | $ | 85,500 |  |  | LIBOR |  | 2.415 | % |  | SunTrust |  | $ | (5,375 | ) |  | $ | (3,139 | )
Details regarding the interest rate caps are as follows:
|  | Notional |  |  |  | Cap |  |  |  | March 31, 2016 |  | December 31, 2015
Maturity Date |  | Amount |  | Floating Rate |  | Rate |  | Counterparty |  | Fair Value |  | Fair Value
|  |  |  |  |  |  |  |  |  | (Dollars in thousands)
July 7, 2021 |  | $ | 40,000 |  |  | LIBOR |  | 2.50 | % |  | SunTrust |  | $ | 370 |  |  | $ | 708 |
July 8, 2021 |  | 12,000 |  |  | LIBOR |  | 2.50 | % |  | SunTrust |  | 111 |  |  | 212 |
July 29, 2021 |  | 27,000 |  |  | LIBOR |  | 2.50 | % |  | SunTrust |  | 259 |  |  | 490 |
|  | $ | 79,000 |  |  |  |  |  |  |  |  | $ | 740 |  |  | $ | 1,410 |

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- Definition Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=56946850&loc=SL5624171-113959 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4A -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=56946850&loc=SL5618551-113959 + Details
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- Definition Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=56946850&loc=d3e41641-113959 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=56946850&loc=SL5624163-113959 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=56946850&loc=d3e41678-113959 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=56946850&loc=d3e41638-113959 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=56946850&loc=SL5580258-113959 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -URI http://asc.fasb.org/extlink&oid=56946850&loc=SL5579245-113959 Reference 7: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=56946850&loc=SL5624171-113959 Reference 8: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 25 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=6886632&loc=d3e76258-113986 Reference 9: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=56946850&loc=SL5579240-113959 Reference 10: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=56946850&loc=d3e41620-113959 Reference 11: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08.(n)(2)) -URI http://asc.fasb.org/extlink&oid=26873400&loc=d3e23780-122690 + Details
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- Definition Tabular disclosure of interest rate derivatives, including, but not limited to, the fair value of the derivatives, statement of financial position location, and statement of financial performance location of these instruments. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=56946850&loc=SL5624171-113959 + Details
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