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Derivative Instruments (Tables) | 9 Months Ended
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Sep. 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:
| September 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 | $ | 408,369 |  |  | $ | 32,620 |  |  | $ | — |  |  | $ | — |
Derivatives not designated as hedging instruments |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |
Derivative instruments |  |  |  |  |  |  |
Call options | $ | 39,388,067 |  |  | $ | 162,869 |  |  | $ | 40,091,353 |  |  | $ | 1,276,574 |
Warrants | 2,020 |  |  | 1,167 |  |  | 2,020 |  |  | 906 |
| $ | 39,390,087 |  |  | $ | 164,036 |  |  | $ | 40,093,373 |  |  | $ | 1,277,480 |
Liabilities |  |  |  |  |  |  |
Policy benefit reserves - annuity products |  |  |  |  |  |  |
Fixed index annuities - embedded derivatives, net |  |  | $ | 5,257,042 |  |  |  |  | $ | 7,964,961 |
Funds withheld for reinsurance liabilities |  |  |  |  |  |  |
Reinsurance related embedded derivative |  |  | (520,458) |  |  |  |  | (2,362) |
|  |  | $ | 4,736,584 |  |  |  |  | $ | 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)
|  | September 30, 2022 |  | December 31, 2021 |  | September 30, 2022 |  | December 31, 2021
Fixed maturities, available for sale: |  |  |  |  |  |  |  |
Current hedging relationships |  | $ | 353,384 |  |  | $ | — |  |  | $ | (37,508) |  |  | $ | — |
Discontinued hedging relationships |  | 2,986,309 |  |  | — |  |  | (209,565) |  |  | — |
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 September 30, 2022 |  |  |  |  |  |  |
Interest rate swaps | $ | 188,667 |  |  | $ | (214,414) |  |  | $ | (25,747) |  |  | $ | 11,301 |
For the three months ended September 30, 2021 |  |  |  |  |  |  |
Interest rate swaps | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
For the nine months ended September 30, 2022 |  |  |  |  |  |  |
Interest rate swaps | $ | 215,438 |  |  | $ | (247,507) |  |  | $ | (32,069) |  |  | $ | 13,957 |
For the nine months ended September 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 September 30, |  | Nine Months Ended September 30,
| 2022 |  | 2021 |  | 2022 |  | 2021
| (Dollars in thousands)
Change in fair value of derivatives: |  |  |  |  |  |  |
Call options | $ | (162,308) |  |  | $ | (71,688) |  |  | $ | (1,142,521) |  |  | $ | 825,381 |
Warrants | 83 |  |  | 987 |  |  | 262 |  |  | 1,103 |
Interest rate swaps | 11,301 |  |  | — |  |  | 13,957 |  |  | — |
| $ | (150,924) |  |  | $ | (70,701) |  |  | $ | (1,128,302) |  |  | $ | 826,484 |
Change in fair value of embedded derivatives: |  |  |  |  |  |  |
Fixed index annuities - embedded derivatives | $ | (466,244) |  |  | $ | (681,509) |  |  | $ | (2,658,376) |  |  | $ | (932,546) |
Other changes in difference between policy benefit reserves computed using derivative accounting vs. long-duration contracts accounting | 167,100 |  |  | 145,105 |  |  | 481,465 |  |  | 387,442 |
Reinsurance related embedded derivative | (116,230) |  |  | — |  |  | (518,096) |  |  | — |
| $ | (415,374) |  |  | $ | (536,404) |  |  | $ | (2,695,007) |  |  | $ | (545,104) |
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:
|  |  |  |  |  | September 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 |  | $ | 3,974,765 |  |  | $ | 9,672 |  |  | $ | 3,556,256 |  |  | $ | 99,229 |
Barclays |  | A |  | A1 |  | 3,929,194 |  |  | 19,776 |  |  | 4,213,658 |  |  | 157,865 |
Canadian Imperial Bank of Commerce |  | A+ |  | Aa2 |  | 3,397,705 |  |  | 20,004 |  |  | 3,956,329 |  |  | 141,540 |
Citibank, N.A. |  | A+ |  | Aa3 |  | 3,311,681 |  |  | 14,324 |  |  | 3,190,833 |  |  | 115,860 |
Credit Suisse |  | A |  | A2 |  | 2,052,678 |  |  | 9,822 |  |  | 3,716,868 |  |  | 113,295 |
J.P. Morgan |  | A+ |  | Aa2 |  | 6,143,105 |  |  | 22,155 |  |  | 4,482,832 |  |  | 105,899 |
Morgan Stanley |  | A+ |  | Aa3 |  | 3,339,897 |  |  | 33,714 |  |  | 2,223,743 |  |  | 47,950 |
Royal Bank of Canada |  | AA- |  | A1 |  | 4,077,826 |  |  | 19,787 |  |  | 3,567,972 |  |  | 100,472 |
Societe Generale |  | A |  | A1 |  | 2,000,609 |  |  | 7,917 |  |  | 2,548,072 |  |  | 86,494 |
Truist |  | A |  | A2 |  | 1,910,413 |  |  | 9,248 |  |  | 2,547,808 |  |  | 94,924 |
Wells Fargo |  | A+ |  | Aa2 |  | 5,425,371 |  |  | 28,331 |  |  | 5,820,381 |  |  | 206,403 |
Exchange traded |  |  |  |  |  | 233,192 |  |  | 739 |  |  | 266,601 |  |  | 6,643 |
|  |  |  |  |  | $ | 39,796,436 |  |  | $ | 195,489 |  |  | $ | 40,091,353 |  |  | $ | 1,276,574 |

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- 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
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