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Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2022

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:

			March 31, 2022						December 31, 2021
			(Dollars in thousands)
Assets
Derivative instruments
Call options			$	640,578					$	1,276,574
Warrants			1,835						906
			$	642,413					$	1,277,480
Liabilities
Policy benefit reserves - annuity products
Fixed index annuities - embedded derivatives, net			$	6,770,915					$	7,964,961
Funds withheld for reinsurance liabilities
Reinsurance related embedded derivative			(204,806)						(2,362)
			$	6,566,109					$	7,962,599

Schedule of Changes in Fair Value of Derivative Instruments

The changes in fair value of derivatives included in the unaudited consolidated statements of operations are as follows:

									Three Months Ended   March 31,
															2022						2021
															(Dollars in thousands)
Change in fair value of derivatives:
Call options															$	(478,448)					$	396,276
Warrants															929						29
															$	(477,519)					$	396,305
Change in fair value of embedded derivatives:
Fixed index annuities - embedded derivatives															$	(1,308,123)					$	(377,121)
Other changes in difference between policy benefit reserves computed using derivative accounting vs. long-duration contracts accounting															116,918						94,708
Reinsurance related embedded derivative															(202,444)						—
															$	(1,393,649)					$	(282,413)

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:

																		March 31, 2022												December 31, 2021
Counterparty						Credit Rating (S&P)						Credit Rating (Moody's)						Notional Amount						Fair Value						Notional Amount						Fair Value
																		(Dollars in thousands)
Bank of America						A+						Aa2						$	3,392,015					$	25,419					$	3,556,256					$	99,229
Barclays						A						A1						4,021,050						96,179						4,213,658						157,865
Canadian Imperial Bank of Commerce						A+						Aa2						3,496,022						78,800						3,956,329						141,540
Citibank, N.A.						A+						Aa3						2,573,024						16,407						3,190,833						115,860
Credit Suisse						A+						A1						3,655,865						40,370						3,716,868						113,295
J.P. Morgan						A+						Aa2						5,181,335						47,659						4,482,832						105,899
Morgan Stanley						A+						Aa3						2,911,156						11,199						2,223,743						47,950
Royal Bank of Canada						AA-						A1						4,247,259						85,839						3,567,972						100,472
Societe Generale						A						A1						2,373,286						39,953						2,548,072						86,494
Truist						A						A2						2,170,979						52,640						2,547,808						94,924
Wells Fargo						A+						Aa2						5,917,801						141,532						5,820,381						206,403
Exchange traded																		281,721						4,581						266,601						6,643
																		$	40,221,513					$	640,578					$	40,091,353					$	1,276,574

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Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments.

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Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

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Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

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