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Derivative Instruments (Tables) | 12 Months Ended
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Dec. 31, 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:
| December 31,
| 2017 |  | 2016
| (Dollars in thousands)
Assets |  |  |
Derivative instruments |  |  |
Call options | $ | 1,568,380 |  |  | $ | 830,519 |
Other assets |  |  |
Interest rate caps | 415 |  |  | 1,082 |
| $ | 1,568,795 |  |  | $ | 831,601 |
Liabilities |  |  |
Policy benefit reserves - annuity products |  |  |
Fixed index annuities - embedded derivatives, net | $ | 8,790,427 |  |  | $ | 6,563,288 |
Other liabilities |  |  |
Interest rate swap | 789 |  |  | 2,113 |
| $ | 8,791,216 |  |  | $ | 6,565,401 |
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,
| 2017 |  | 2016 |  | 2015
| (Dollars in thousands)
Change in fair value of derivatives: |  |  |  |  |
Call options | $ | 1,678,283 |  |  | $ | 165,029 |  |  | $ | (327,921 | )
2015 notes hedges | — |  |  | — |  |  | (4,516 | )
Interest rate swap | 255 |  |  | (482 | ) |  | (2,341 | )
Interest rate caps | (667 | ) |  | (328 | ) |  | (1,368 | )
| $ | 1,677,871 |  |  | $ | 164,219 |  |  | $ | (336,146 | )
Change in fair value of embedded derivatives: |  |  |  |  |
Fixed index annuities - embedded derivatives (see Note 2) | $ | 174,154 |  |  | $ | 145,045 |  |  | $ | (825,668 | )
Other changes in difference between policy benefit reserves computed using derivative accounting vs. long-duration contracts accounting | 745,581 |  |  | 398,420 |  |  | 365,486 |
2015 notes embedded conversion derivative (see Note 9) | — |  |  | — |  |  | (4,516 | )
| $ | 919,735 |  |  | $ | 543,465 |  |  | $ | (464,698 | )
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,
|  |  |  |  |  | 2017 |  | 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+ |  | Aa3 |  | $ | 4,645,366 |  |  | $ | 237,955 |  |  | $ | 5,958,884 |  |  | $ | 178,477 |
Barclays |  | A |  | A1 |  | 4,135,537 |  |  | 154,127 |  |  | 3,441,832 |  |  | 89,721 |
BNP Paribas |  | A |  | Aa3 |  | 1,411,989 |  |  | 73,650 |  |  | 1,199,265 |  |  | 19,598 |
Canadian Imperial Bank of Commerce |  | A+ |  | A1 |  | 2,808,030 |  |  | 84,268 |  |  | — |  |  | — |
Citibank, N.A. |  | A+ |  | A1 |  | 4,104,666 |  |  | 219,900 |  |  | 4,038,528 |  |  | 97,094 |
Credit Suisse |  | A |  | A1 |  | 3,538,855 |  |  | 137,384 |  |  | 2,130,710 |  |  | 44,242 |
Deutsche Bank |  | A- |  | Baa2 |  | — |  |  | — |  |  | 25,935 |  |  | 892 |
J.P. Morgan |  | A+ |  | Aa3 |  | 1,753,649 |  |  | 109,689 |  |  | 1,785,583 |  |  | 19,645 |
Morgan Stanley |  | A+ |  | A1 |  | 3,408,179 |  |  | 184,323 |  |  | 2,543,421 |  |  | 64,425 |
Royal Bank of Canada |  | AA- |  | A1 |  | 3,027,469 |  |  | 104,141 |  |  | 3,384,310 |  |  | 103,510 |
SunTrust |  | A- |  | Baa1 |  | 2,331,168 |  |  | 90,399 |  |  | 2,375,418 |  |  | 72,990 |
Wells Fargo |  | AA- |  | Aa2 |  | 4,036,255 |  |  | 162,781 |  |  | 3,850,842 |  |  | 130,545 |
Exchange traded |  |  |  |  |  | 296,840 |  |  | 9,763 |  |  | 313,354 |  |  | 9,380 |
|  |  |  |  |  | $ | 35,498,003 |  |  | $ | 1,568,380 |  |  | $ | 31,048,082 |  |  | $ | 830,519 |
Schedule of Interest Rate Derivatives | Details regarding the interest rate swap are as follows:
|  |  |  |  |  |  |  |  |  | December 31,
|  |  |  |  |  |  |  |  |  | 2017 |  | 2016
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 |  | $ | (789 | ) |  | $ | (2,113 | )
Details regarding the interest rate caps are as follows:
|  |  |  |  |  |  |  |  |  | December 31,
|  |  |  |  |  |  |  |  |  | 2017 |  | 2016
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 |  | $ | 207 |  |  | $ | 542 |
July 8, 2021 |  | 12,000 |  |  | LIBOR |  | 2.50% |  | SunTrust |  | 62 |  |  | 163 |
July 29, 2021 |  | 27,000 |  |  | LIBOR |  | 2.50% |  | SunTrust |  | 146 |  |  | 377 |
|  | $ | 79,000 |  |  |  |  |  |  |  |  | $ | 415 |  |  | $ | 1,082 |

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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=84234895&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=84234895&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=84234895&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=84234895&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=84234895&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=84234895&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=84234895&loc=SL5624171-113959 Reference 8: 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=84234895&loc=SL5579240-113959 Reference 9: 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=84234895&loc=d3e41620-113959 Reference 10: 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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