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Derivative Instruments (Tables)
 6 Months Ended
Jun. 30, 2017
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:
 
June 30, 2017
 
December 31, 2016
 
(Dollars in thousands)
Assets
 
 
 
Derivative instruments
 
 
 
Call options
$
1,086,624

 
$
830,519

Other assets
 
 
 
Interest rate caps
468

 
1,082

 
$
1,087,092

 
$
831,601

Liabilities
 
 
 
Policy benefit reserves - annuity products
 
 
 
Fixed index annuities - embedded derivatives
$
7,552,365

 
$
6,563,288

Other liabilities
 
 
 
Interest rate swap
2,001

 
2,113

 
$
7,554,366

 
$
6,565,401
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 
 June 30,
 
Six Months Ended 
 June 30,
 
2017
 
2016
 
2017
 
2016
 
(Dollars in thousands)
Change in fair value of derivatives:
 
 
 
 
 
 
 
Call options
$
267,705

 
$
40,394

 
$
654,441

 
$
(30,357
)
Interest rate swap
(549
)
 
(982
)
 
(474
)
 
(3,626
)
Interest rate caps
(336
)
 
(313
)
 
(614
)
 
(983
)
 
$
266,820

 
$
39,099

 
$
653,353

 
$
(34,966
)
Change in fair value of embedded derivatives:
 
 
 
 
 
 
 
Fixed index annuities—embedded derivatives
$
3,676

 
$
199,917

 
$
79,886

 
$
379,632

Other changes in difference between policy benefit reserves computed using derivative accounting vs. long-duration contracts accounting
171,297

 
84,386

 
319,257

 
170,528

 
$
174,973

 
$
284,303

 
$
399,143

 
$
550,160
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:
 
 
 
 
 
 
June 30, 2017
 
December 31, 2016
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
 
$
5,020,592

 
$
179,048

 
$
5,958,884

 
$
178,477

Barclays
 
A-
 
A1
 
3,760,675

 
103,317

 
3,441,832

 
89,721

BNP Paribas
 
A
 
A1
 
1,837,242

 
48,330

 
1,199,265

 
19,598

Citibank, N.A.
 
A+
 
A1
 
3,791,993

 
155,815

 
4,038,528

 
97,094

Credit Suisse
 
A
 
A1
 
3,721,586

 
92,577

 
2,130,710

 
44,242

Deutsche Bank
 
A-
 
Baa2
 
—

 
—

 
25,935

 
892

J.P. Morgan
 
A+
 
Aa3
 
1,622,559

 
53,359

 
1,785,583

 
19,645

Morgan Stanley
 
A+
 
A1
 
2,795,503

 
104,024

 
2,543,421

 
64,425

Royal Bank of Canada
 
AA-
 
A1
 
3,167,888

 
104,644

 
3,384,310

 
103,510

SunTrust
 
A-
 
Baa1
 
3,147,079

 
101,690

 
2,375,418

 
72,990

Wells Fargo
 
AA-
 
Aa2
 
3,986,928

 
131,676

 
3,850,842

 
130,545

Exchange traded
 
 
 
 
 
407,302

 
12,144

 
313,354

 
9,380

 
 
 
 
 
 
$
33,259,347

 
$
1,086,624

 
$
31,048,082

 
$
830,519
Schedule of Interest Rate Derivatives
Details regarding the interest rate swap are as follows:
 
 
Notional
 
 
 
Pay
 
 
 
June 30, 2017
 
December 31, 2016
Maturity Date
 
Amount
 
Receive Rate
 
Rate
 
Counterparty
 
Fair Value
 
Fair Value
 
 
 
 
 
 
 
 
 
 
(Dollars in thousands)
March 15, 2021
 
$
85,500

 
LIBOR
 
2.415
%
 
SunTrust
 
$
(2,001
)
 
$
(2,113
)

Details regarding the interest rate caps are as follows:
 
 
Notional
 
 
 
Cap
 
 
 
June 30, 2017
 
December 31, 2016
Maturity Date
 
Amount
 
Floating Rate
 
Rate
 
Counterparty
 
Fair Value
 
Fair Value
 
 
 
 
 
 
 
 
 
 
(Dollars in thousands)
July 7, 2021
 
$
40,000

 
LIBOR
 
2.50
%
 
SunTrust
 
$
233

 
$
542

July 8, 2021
 
12,000

 
LIBOR
 
2.50
%
 
SunTrust
 
70

 
163

July 29, 2021
 
27,000

 
LIBOR
 
2.50
%
 
SunTrust
 
165

 
377

 
 
$
79,000

 
 
 
 
 
 
 
$
468

 
$
1,082