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Derivative Instruments (Tables)

9 Months Ended

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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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 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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