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Derivative Instruments (Tables)
 3 Months Ended
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