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Derivative Instruments (Tables)
 12 Months Ended
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