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Derivative Instruments (Tables)
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9 Months Ended |
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Sep. 30, 2013
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| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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| 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 |
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| 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 |
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| 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 |
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| 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 |
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