Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2013

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:

	September 30, 2013		December 31, 2012
	(Dollars in thousands)
Assets
Derivative instruments
Call options	$	625,236	$	415,258
Other assets
2015 notes hedges	144,904		43,105
Interest rate caps	5,356		3,247
	$	775,496	$	461,610
Liabilities
Policy benefit reserves - annuity products
Fixed index annuities - embedded derivatives	$	3,975,862	$	3,337,556
Other liabilities
2015 notes embedded derivatives	147,150		43,105
2015 warrants	51,077		—
Interest rate swap	222		4,261
	$	4,174,311	$	3,384,922

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 September 30,						Nine Months Ended September 30,
	2013			2012			2013			2012
	(Dollars in thousands)
Change in fair value of derivatives:
Call options	$	129,428		$	160,735		$	532,282		$	280,014
2015 notes hedges	73,504			1,839			101,799			(5,573		)
2015 warrants	(9,199		)	—			(9,199		)	—
Interest rate swap	(496		)	(1,171		)	4,039			(4,319		)
Interest rate caps	(209		)	(313		)	2,109			(718		)
	$	193,028		$	161,090		$	631,030		$	269,404
Change in fair value of embedded derivatives:
2015 notes embedded derivatives	$	75,750		$	1,839		$	104,045		$	(5,573	)
Fixed index annuities	(39,526		)	186,362			(112,958		)	471,851
	$	36,224		$	188,201		$	(8,913	)	$	466,278

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:

			September 30, 2013				December 31, 2012
Counterparty	Credit Rating (S&P)	Credit Rating (Moody's)	Notional Amount		Fair Value		Notional Amount		Fair Value
			(Dollars in thousands)
Bank of America	A	A3	$	1,273,995	$	47,681	$	568,786	$	16,533
Barclays	A	A2	2,936,023		108,872		3,463,777		103,929
BNP Paribas	A+	A2	1,481,037		45,958		2,207,097		60,301
Citibank, N.A.	A	A3	1,368,136		47,915		2,878,588		67,592
Credit Suisse	A	A1	3,886,014		116,310		936,625		21,518
Deutsche Bank	A	A2	909,823		37,627		886,688		20,787
HSBC	AA-	A1	235,430		12,415		295,520		6,539
J.P. Morgan	A+	Aa3	778,891		21,204		735,016		21,940
Morgan Stanley	A-	Baa1	2,713,249		89,525		1,590,505		40,113
Royal Bank of Canada	AA-	Aa3	298,349		5,862		—		—
Wells Fargo	AA-	Aa3	2,284,217		91,867		2,060,903		56,006
			$	18,165,164	$	625,236	$	15,623,505	$	415,258

Schedule of Interest Rate Derivatives

Details regarding the interest rate swap are as follows:

	Notional			Pay			September 30, 2013			December 31, 2012
Maturity Date	Amount		Receive Rate	Rate		Counterparty	Fair Value			Fair Value
							(Dollars in thousands)
March 15, 2021	$	85,500	LIBOR	2.415	%	SunTrust	$	(222	)	$	(4,261	)

Details regarding the interest rate caps are as follows:

	Notional			Cap			September 30, 2013		December 31, 2012
Maturity Date	Amount		Floating Rate	Rate		Counterparty	Fair Value		Fair Value
							(Dollars in thousands)
July 7, 2021	$	40,000	LIBOR	2.50	%	SunTrust	$	2,697	$	1,634
July 8, 2021	12,000		LIBOR	2.50	%	SunTrust	809		490
July 29, 2021	27,000		LIBOR	2.50	%	SunTrust	1,850		1,123
	$	79,000					$	5,356	$	3,247