Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2016

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,
	2016		2015
	(Dollars in thousands)
Assets
Derivative instruments
Call options	$	830,519	$	337,256
Other assets
Interest rate caps	1,082		1,410
	$	831,601	$	338,666
Liabilities
Policy benefit reserves—annuity products
Fixed index annuities—embedded derivatives	$	6,563,288	$	5,983,622
Other liabilities
Interest rate swap	2,113		3,139
	$	6,565,401	$	5,986,761

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,
	2016			2015			2014
	(Dollars in thousands)
Change in fair value of derivatives:
Call options	$	165,029		$	(327,921	)	$	521,947
2015 notes hedges	—			(4,516		)	(8,934		)
Interest rate swap	(482		)	(2,341		)	(4,863		)
Interest rate caps	(328		)	(1,368		)	(3,325		)
	$	164,219		$	(336,146	)	$	504,825
Change in fair value of embedded derivatives:
Fixed index annuities—embedded derivatives (see Note 2)	$	145,045		$	(825,668	)	$	(532,337	)
Other changes in difference between policy benefit reserves computed using derivative accounting vs. long-duration contracts accounting	398,420			365,486			579,885
2015 notes embedded conversion derivative (see Note 9)	—			(4,516		)	(19,036		)
2029 notes embedded conversion derivative (see Note 9)	—			—			3,809
	$	543,465		$	(464,698	)	$	32,321

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,
			2016				2015
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	$	5,958,884	$	178,477	$	6,257,861	$	67,662
Barclays	A-	A1	3,441,832		89,721		2,463,768		35,273
BNP Paribas	A	A1	1,199,265		19,598		1,520,710		16,944
Citibank, N.A.	A+	A1	4,038,528		97,094		3,786,498		23,587
Credit Suisse	A	A1	2,130,710		44,242		1,278,492		12,508
Deutsche Bank	BBB+	Baa2	25,935		892		1,349,002		10,704
J.P. Morgan	A+	Aa3	1,785,583		19,645		838,982		5,283
Morgan Stanley	A+	A1	2,543,421		64,425		3,465,457		33,171
Royal Bank of Canada	AA-	Aa3	3,384,310		103,510		2,820,410		48,654
SunTrust	A-	Baa1	2,375,418		72,990		1,308,434		20,028
Wells Fargo	AA-	Aa2	3,850,842		130,545		4,187,955		63,442
Exchange traded			313,354		9,380		—		—
			$	31,048,082	$	830,519	$	29,277,569	$	337,256

Schedule of Interest Rate Derivatives

Details regarding the interest rate swap are as follows:

						December 31,
						2016			2015
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	$	(2,113	)	$	(3,139	)

Details regarding the interest rate caps are as follows:

						December 31,
						2016		2015
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	$	542	$	708
July 8, 2021	12,000		LIBOR	2.50%	SunTrust	163		212
July 29, 2021	27,000		LIBOR	2.50%	SunTrust	377		490
	$	79,000				$	1,082	$	1,410