| 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 |
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| 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 |
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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: | | | | | | | | | | | | | | | | | | | | | | | | | | | | 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 |
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| 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 |
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