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Derivative Instruments and Hedging Activities | 9 Months Ended
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Sep. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Instruments and Hedging Activities Disclosure | Note 10 - Derivatives The Company’s earnings, cash flows, and financial position are subject to fluctuations due to changes in prevailing interest rates. The Company entered into derivative agreements with maturity dates throughout 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 Loss within Net Realized Investment Gains or Accumulated Other Comprehensive Loss along with the corresponding change in the designated hedge assets. As of September 30, 2023, no derivatives qualified for hedge accounting, therefore, amounts previously held in Accumulated Other Comprehensive Loss have been recognized through the Condensed Consolidated Statements of Loss. Note 10 - 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 entered into an interest swap lock agreement in the third quarter of 2022 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 was determined to be effective. The interest swap lock agreement was closed out in the first quarter of 2023. Ultra-Long Treasury Futures During 2023, the Company entered into two transactions of exchange-traded ultra-long Treasury futures (“Treasury Futures”) in order to manage exposure to upcoming changes in the benchmark (Treasury) interest rate of forecasted transactions. These derivatives expire quarterly. The Treasury Futures renewed in the third quarter of 2023. The open treasury futures do not qualify for hedge accounting. The results are shown in the Primary Risks Managed by Derivatives section below. Reverse Treasury Lock During 2022, the Company entered into a Reverse Treasury Lock agreement to manage reinvestment risk on future purchases of fixed maturity securities. The Reverse Treasury Lock agreement did not qualify for hedge accounting and matured in the first quarter of 2023. The results are shown in the Primary Risks Managed by Derivatives section below. Primary Risks Managed by Derivatives The following table presents the derivative instruments, primary underlying risk exposure, gross notional amount, and fair value of the Company’s derivatives:
|  |  |  | September 30, 2023 |  | December 31, 2022
(Dollars in Millions) |  |  |  | Fair Value |  |  |  | Fair Value
Derivative Instrument |  | Primary Underlying Risk Exposure |  | Gross Notional Amount |  | Assets |  | Liabilities |  | Gross Notional Amount |  | Assets |  | Liabilities
Derivatives Designated as Hedging Instruments:
Interest Swap Lock |  | Interest Rate Risk |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 5.0 |  |  | $ | — |  |  | $ | 0.4 |
Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Treasury Futures |  | Interest Rate Risk |  | $ | 202.5 |  |  | $ | — |  |  | $ | 15.6 |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Reverse Treasury Lock |  | Interest Rate Risk |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 100.0 |  |  | $ | 1.7 |  |  | $ | — |

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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://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 40 -Name Accounting Standards Codification -Section 50 -Paragraph 5 -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480237/815-40-50-5 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 5C -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-5C Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 815 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org//815/tableOfContent + Details
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