Derivative Instruments

12 Months Ended

Dec. 31, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives are used by the Company to reduce risks from changes in interest rates and limit exposure to severe equity market changes. The Company has used interest rate swaps with terms to exchange, at specified intervals, the difference between fixed rate and floating rate interest amounts as calculated by reference to an agreed notional amount. The Company has also used exchange-traded futures contracts, which give the holder the right and obligation to participate in market movements at a future date, to allow the Company to react faster to market conditions. When using derivatives, the Company posts collateral and settles variation margin in cash on a daily basis equal to the amount of the derivatives’ change in value.

The Company accounts for the interest rate swaps and futures as non-hedge instruments and recognizes the fair value of the interest rate swaps in other assets or other liabilities on the consolidated balance sheets with the changes in fair value recognized as net realized investment gains or losses in the consolidated statements of operations. The Company is ultimately responsible for the valuation of the interest rate swaps. To aid in determining the estimated fair value of the interest rate swaps, the Company relies on the forward interest rate curve and information obtained from a third-party financial institution.

The following table summarizes information on the location and the gross amount of the derivatives on the consolidated balance sheets as of December 31, 2022 and 2021:


(Dollars in thousands)		December 31, 2022				December 31, 2021
Derivatives Not Designated as Hedging Instruments under ASC 815	Balance Sheet Location	Notional Amount		Fair Value		Notional Amount		Fair Value
Interest rate swap agreements	Other assets/liabilities	$	—	$	—	$	213,022	$	(8,395	)
Total		$	—	$	—	$	213,022	$	(8,395	)

The following table summarizes the net gains (losses) included in the consolidated statements of operations for changes in the fair value of the derivatives and the periodic net interest settlements under the derivatives for the years ended December 31, 2022, 2021, and 2020:


	Consolidated Statements of	Years Ended December 31,
(Dollars in thousands)	Operations Line	2022		2021			2020
Interest rate swap agreements	Net realized investment gains (losses)	$	10,073	$	2,424		$	(10,691	)
Futures contracts on bonds	Net realized investment gains (losses)		—		(319	)		(2,576	)
Futures contracts on equities	Net realized investment gains (losses)		—		—			(8,989	)
		$	10,073	$	2,105		$	(22,256	)

The Company terminated its outstanding interest rate swaps in the fourth quarter of 2022 and was not utilizing interest rate swap agreements as of December 31, 2022. As of December 31, 2021, the Company was due $1.8 million for funds it needed to post to execute the swap transaction and $9.8 million for margin calls made in connection with the interest rate swaps. These amounts are included in other assets on the consolidated balance sheets.