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Derivative Instruments and Hedging Activities | 9 Months Ended
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Sep. 30, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Instruments and Hedging Activities Disclosure | Note 8 - Derivatives The Company’s earnings, cash flows, and financial position are subject to fluctuations due to changes in prevailing interest rates. From time to time, the Company uses derivative financial instruments to reduce fluctuations of earnings related to interest rate exposure. The Company entered into derivative agreements with maturity dates throughout 2022 and 2023. Derivative instruments are carried at fair value on the Condensed Consolidated Balance Sheets. Derivative instruments in a gain position are presented within Other Investments and those in a loss position are included in Accrued Expenses and Other Liabilities. Changes in the fair values of derivatives are recorded on the Condensed Consolidated Statements of Income (Loss) within Net Realized Investment Gains (Losses) along with the corresponding change in the designated hedge assets. Note 8 - Derivatives (Continued) Interest Rate Risk The Company’s debt securities valuations utilize the Treasury designated benchmark rate, exposing the Company to variability due to changes in interest rates. Interest Swap Lock The Company has entered into interest swap lock agreements classified as cash flow hedges to manage exposure to changes in future purchase prices of fixed maturity securities attributable to changes in the benchmark (treasury) interest rate. The Company assesses the effectiveness of cash flow hedges using the hypothetical derivative method. Based on the results of the assessment, the hedge is determined to be highly effective. Treasury Lock During 2022 the Company entered into treasury lock agreements classified as fair value hedges to manage exposure to changes in the fair value of designated assets. These agreements matured in the third quarter of 2022. The results are shown in the Fair Value Hedges section below. The Company assesses the effectiveness of fair value hedges using the dollar-offset method. Based on the results of the assessment, the hedge is determined to be highly effective. Primary Risks Managed by Derivatives The following table presents the derivative instruments, primary underlying risk exposure, gross notional amount, and estimated fair value of the Company’s derivatives:
|  |  |  | Sep 30, 2022 |  | Dec 31, 2021
(Dollars in Millions) |  |  |  | Estimated Fair Value |  |  |  | Estimated Fair Value
Derivative Instrument |  | Primary Underlying Risk Exposure |  | Gross Notional Amount |  | Assets |  | Liabilities |  | Gross Notional Amount |  | Assets |  | Liabilities
Interest Swap Lock |  | Interest Rate Risk |  | 5.0 |  |  | — |  |  | 0.3 |  |  | — |  |  | — |  |  | — |
Effects of Derivatives on the Interim Condensed Consolidated Statements of Income and Comprehensive Income (Loss) Cash Flow Hedges The below table reflects the amounts of Gains (Losses) deferred into AOCI and subsequently reclassified into Net Income through Net Realized Investment Gains (Losses) for derivatives qualifying as cash flow hedges for the nine and three months ended September 30, 2022 and 2021:
|  | Nine Months Ended |  | Three Months Ended
(Dollars in Millions) |  | Sep 30, 2022 |  | Sep 30, 2021 |  | Sep 30, 2022 |  | Sep 30, 2021
Amount of Gains (Losses) Deferred in AOCI |  | $ | (0.3) |  |  | $ | — |  |  | $ | (0.3) |  |  | $ | — |
Amount of Gains (Losses) Reclassified into Income |  | — |  |  | — |  |  | — |  |  | — |
Net Comprehensive Gain (Loss) from Cash Flow Hedges |  | $ | (0.3) |  |  | $ | — |  |  | $ | (0.3) |  |  | $ | — |
Note 8 - Derivatives (Continued) Fair Value Hedges The below table reflects the effects of changes in the designated hedged asset’s impacts on AOCI and Net Realized Investment Gains (Losses) as well as the derivative instruments designated as fair value hedges impact on Net Realized Investment Gains (Losses) for the nine and three months ended September 30, 2022 and 2021:
|  | Nine Months Ended |  | Three Months Ended
(Dollars in Millions) |  | Sep 30, 2022 |  | Sep 30, 2021 |  | Sep 30, 2022 |  | Sep 30, 2021
Increase (Decrease) in Derivative Instruments Designated as Fair Value Hedges |  | $ | 1.1 |  |  | $ | — |  |  | $ | 4.7 |  |  | $ | — |
Increase (Decrease) in Fair Value of Hedged Assets Reclassified from AOCI |  | (1.1) |  |  | — |  |  | (5.0) |  |  | — |
Net Gain (Loss) from Hedging Activity |  | $ | — |  |  | $ | — |  |  | $ | (0.3) |  |  | $ | — |

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI https://asc.fasb.org/topic&trid=2229140 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 40 -Section 50 -Paragraph 5 -Subparagraph (f) -URI https://asc.fasb.org/extlink&oid=126731327&loc=d3e90205-114008 + Details
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