XML 34 R23.htm IDEA: XBRL DOCUMENT v3.22.2

Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Notional and Fair Value of Derivative Instruments

The notional and fair values of our derivative instruments, including derivative instruments embedded in fixed index annuity contracts, presented in the Consolidated Balance Sheets are as follows:

			June 30, 2022												December 31, 2021
			Notional						Fair Value						Notional						Fair Value
			(Dollars in thousands)
Derivatives designated as hedging instruments
Assets
Derivative instruments
Interest rate swaps			$	3,881,887					$	26,771					$	—					$	—
Derivatives not designated as hedging instruments
Assets
Derivative instruments
Call options			$	39,899,652					$	170,270					$	40,091,353					$	1,276,574
Warrants			2,020						1,084						2,020						906
Interest rate swaps			492,115						2,656						—						—
			$	40,393,787					$	174,010					$	40,093,373					$	1,277,480
Liabilities
Policy benefit reserves - annuity products
Fixed index annuities - embedded derivatives, net									$	5,836,312											$	7,964,961
Funds withheld for reinsurance liabilities
Reinsurance related embedded derivative									(404,228)												(2,362)
									$	5,432,084											$	7,962,599

Schedule of Fair Value Hedging Instruments

The following represents the amortized cost and cumulative fair value hedging adjustments included in the hedged assets:

Line Item in the Consolidated Balance Sheets in Which Hedged Item is Included						Amortized Cost of Hedged Item												Cumulative Amount of Fair Value Basis Adjustment Gain (Loss)
						June 30, 2022						December 31, 2021						June 30, 2022						December 31, 2021
Fixed maturities, available for sale						$	3,609,120					$	—					$	(33,093)					$	—

The following represents a summary of the gains (losses) related to the derivatives and hedged items that qualify for fair value hedge accounting:

			Derivative						Hedged Item						Net						Amount Excluded: Recognized in Income Immediately
For the three months ended June 30, 2022
Interest rate swaps			$	26,771					$	(33,093)					$	(6,322)					$	2,656
For the three months ended June 30, 2021
Interest rate swaps			$	—					$	—					$	—					$	—
For the six months ended June 30, 2022
Interest rate swaps			$	26,771					$	(33,093)					$	(6,322)					$	2,656
For the six months ended June 30, 2021
Interest rate swaps			$	—					$	—					$	—					$	—

Change in Fair Value of Derivatives Not Designated as Hedging

The changes in fair value of derivatives not designated as hedging instruments included in the Consolidated Statements of Operations are as follows:

			Three Months Ended   June 30,												Six Months Ended   June 30,
			2022						2021						2022						2021
			(Dollars in thousands)
Change in fair value of derivatives:
Call options			$	(501,765)					$	500,793					$	(980,213)					$	897,069
Warrants			(750)						87						179						116
Interest rate swaps			2,656						—						2,656						—
			$	(499,859)					$	500,880					$	(977,378)					$	897,185
Change in fair value of embedded derivatives:
Fixed index annuities - embedded derivatives			$	(884,009)					$	126,084					$	(2,192,132)					$	(251,037)
Other changes in difference between policy benefit reserves computed using derivative accounting vs. long-duration contracts accounting			197,447						147,629						314,365						242,337
Reinsurance related embedded derivative			(199,422)						—						(401,866)						—
			$	(885,984)					$	273,713					$	(2,279,633)					$	(8,700)

Schedule of Call Options and Interest Rate Swaps by Counterparty

The notional amount and fair value of our call options and interest rate swaps by counterparty and each counterparty's current credit rating are as follows:

																		June 30, 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						$	3,477,313					$	10,397					$	3,556,256					$	99,229
Barclays						A						A1						5,940,861						39,825						4,213,658						157,865
Canadian Imperial Bank of Commerce						A+						Aa2						3,654,097						17,740						3,956,329						141,540
Citibank, N.A.						A+						Aa3						2,754,192						11,840						3,190,833						115,860
Credit Suisse						A						A1						2,681,742						12,505						3,716,868						113,295
J.P. Morgan						A+						Aa2						5,848,823						24,829						4,482,832						105,899
Morgan Stanley						A+						Aa3						3,726,821						4,090						2,223,743						47,950
Royal Bank of Canada						AA-						A1						6,358,846						30,190						3,567,972						100,472
Societe Generale						A						A1						1,970,537						11,627						2,548,072						86,494
Truist						A						A2						1,919,830						6,519						2,547,808						94,924
Wells Fargo						A+						Aa2						5,685,401						29,114						5,820,381						206,403
Exchange traded																		255,191						1,021						266,601						6,643
																		$	44,273,654					$	199,697					$	40,091,353					$	1,276,574

X

- References

No definition available.

+ Details

Name:	us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration

X

- Definition

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.

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4E
-URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624181-113959

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4A
-Subparagraph (b)
-URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5618551-113959

Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4C
-URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624171-113959

+ Details

Name:	us-gaap_ScheduleOfDerivativeInstrumentsGainLossInStatementOfFinancialPerformanceTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

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.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4B
-URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624163-113959

+ Details

Name:	us-gaap_ScheduleOfDerivativeInstrumentsInStatementOfFinancialPositionFairValueTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

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.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4B
-URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624163-113959

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1B
-URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5580258-113959

Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 2
-URI https://asc.fasb.org/extlink&oid=125515794&loc=d3e41620-113959

Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1A
-URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5579245-113959

Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4
-URI https://asc.fasb.org/extlink&oid=125515794&loc=d3e41638-113959

Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 8
-URI https://asc.fasb.org/extlink&oid=125515794&loc=d3e41678-113959

Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 5
-URI https://asc.fasb.org/extlink&oid=125515794&loc=d3e41641-113959

Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4C
-URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624171-113959

Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1
-URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5579240-113959

+ Details

Name:	us-gaap_ScheduleOfDerivativeInstrumentsTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure for fair value hedging instruments of (a) the location and amount of gains and losses reported in the statement of financial performance and (b) the location and fair value amounts of the instruments reported in the statement of financial position.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4C
-Subparagraph (a)
-URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624171-113959

+ Details

Name:	us-gaap_ScheduleOfFairValueHedgingInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration