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Derivative Instruments (Tables) | 9 Months Ended
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Sep. 30, 2023
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, 2023 |  | December 31, 2022
| Notional |  | Fair Value |  | Notional |  | Fair Value
| (Dollars in thousands)
Derivatives designated as hedging instruments |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |
Derivative instruments |  |  |  |  |  |  |
Interest rate swaps | $ | — |  |  | $ | — |  |  | $ | 408,369 |  |  | $ | 32,769 |
Derivatives not designated as hedging instruments |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |
Derivative instruments |  |  |  |  |  |  |
Call options | $ | 40,993,916 |  |  | $ | 733,784 |  |  | $ | 38,927,534 |  |  | $ | 397,789 |
Warrants | — |  |  | — |  |  | 2,020 |  |  | 1,169 |
| $ | 40,993,916 |  |  | $ | 733,784 |  |  | $ | 38,929,554 |  |  | $ | 398,958 |
Liabilities |  |  |  |  |  |  |
Policy benefit reserves - annuity products |  |  |  |  |  |  |
Fixed index annuities - embedded derivatives, net |  |  | $ | 4,604,191 |  |  |  |  | $ | 4,820,845 |
Funds withheld for reinsurance liabilities |  |  |  |  |  |  |
Reinsurance related embedded derivative |  |  | (525,960) |  |  |  |  | (441,864) |
|  |  | $ | 4,078,231 |  |  |  |  | $ | 4,378,981 |
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, 2023 |  | December 31, 2022 |  | September 30, 2023 |  | December 31, 2022
|  | (Dollars in thousands)
Fixed maturities, available for sale: |  |  |  |  |  |  |  |
Current hedging relationships |  | $ | — |  |  | $ | 389,060 |  |  | $ | — |  |  | $ | (39,128) |
Discontinued hedging relationships |  | 1,280,224 |  |  | 1,594,736 |  |  | (69,756) |  |  | (94,681) |
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
| (Dollars in thousands)
For the three months ended September 30, 2023 |  |  |  |  |  |  |
Interest rate swaps | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
For the three months ended September 30, 2022 |  |  |  |  |  |  |
Interest rate swaps | $ | 188,667 |  |  | $ | (214,414) |  |  | $ | (25,747) |  |  | $ | 11,301 |
For the nine months ended September 30, 2023 |  |  |  |  |  |  |
Interest rate swaps | $ | 5,856 |  |  | $ | 3,240 |  |  | $ | 9,096 |  |  | $ | — |
For the nine months ended September 30, 2022 |  |  |  |  |  |  |
Interest rate swaps | $ | 215,438 |  |  | $ | (247,507) |  |  | $ | (32,069) |  |  | $ | 13,957 |
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,
| 2023 |  | 2022 |  | 2023 |  | 2022
| (Dollars in thousands)
Change in fair value of derivatives: |  |  |  |  |  |  |
Call options | $ | (383,026) |  |  | $ | (162,308) |  |  | $ | (104,699) |  |  | $ | (1,142,521) |
Warrants | — |  |  | 83 |  |  | 1,206 |  |  | 262 |
Interest rate swaps | — |  |  | 11,301 |  |  | — |  |  | 13,957 |
| $ | (383,026) |  |  | $ | (150,924) |  |  | $ | (103,493) |  |  | $ | (1,128,302) |
Change in fair value of embedded derivatives: |  |  |  |  |  |  |
Fixed index annuities - embedded derivatives | $ | (323,080) |  |  | $ | (299,144) |  |  | $ | 250,494 |  |  | $ | (2,176,911) |
Reinsurance related embedded derivative | (128,726) |  |  | (116,230) |  |  | (84,096) |  |  | (518,096) |
| $ | (451,806) |  |  | $ | (415,374) |  |  | $ | 166,398 |  |  | $ | (2,695,007) |
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, 2023 |  | December 31, 2022
Counterparty |  | Credit Rating (S&P) |  | Credit Rating (Moody's) |  | Notional Amount |  | Fair Value |  | Notional Amount |  | Fair Value
|  |  |  |  |  | (Dollars in thousands)
Bank of America |  | A+ |  | Aa1 |  | $ | 4,458,432 |  |  | $ | 37,833 |  |  | $ | 3,574,125 |  |  | $ | 26,080 |
Barclays |  | A+ |  | A1 |  | 2,360,864 |  |  | 65,937 |  |  | 3,686,896 |  |  | 39,657 |
Canadian Imperial Bank of Commerce |  | A+ |  | Aa2 |  | 1,266,781 |  |  | 37,238 |  |  | 2,707,734 |  |  | 34,218 |
Citibank, N.A. |  | A+ |  | Aa3 |  | 3,582,088 |  |  | 36,800 |  |  | 3,748,162 |  |  | 29,873 |
Credit Suisse |  | A+ |  | A3 |  | 1,961,115 |  |  | 17,525 |  |  | 2,086,470 |  |  | 20,691 |
Goldman Sachs |  | A+ |  | A1 |  | 105,238 |  |  | 327 |  |  | — |  |  | — |
J.P. Morgan |  | A+ |  | Aa2 |  | 4,593,302 |  |  | 37,157 |  |  | 6,501,103 |  |  | 69,006 |
Mizuho |  | A |  | A1 |  | 7,685,054 |  |  | 172,280 |  |  | — |  |  | — |
Morgan Stanley |  | A+ |  | Aa3 |  | 1,708,060 |  |  | 14,328 |  |  | 2,957,389 |  |  | 38,470 |
Royal Bank of Canada |  | AA- |  | A1 |  | 4,380,240 |  |  | 118,325 |  |  | 4,378,132 |  |  | 58,026 |
Societe Generale |  | A |  | A1 |  | 2,870,061 |  |  | 39,335 |  |  | 2,099,081 |  |  | 17,157 |
Truist |  | A |  | A2 |  | 2,003,795 |  |  | 52,208 |  |  | 1,960,787 |  |  | 32,885 |
UBS AG |  | A+ |  | Aa3 |  | 443,410 |  |  | 5,199 |  |  | — |  |  | — |
Wells Fargo |  | A+ |  | Aa2 |  | 3,545,311 |  |  | 98,655 |  |  | 5,436,824 |  |  | 61,840 |
Exchange traded |  |  |  |  |  | 30,165 |  |  | 637 |  |  | 199,200 |  |  | 2,655 |
|  |  |  |  |  | $ | 40,993,916 |  |  | $ | 733,784 |  |  | $ | 39,335,903 |  |  | $ | 430,558 |

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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 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -SubTopic 10 -Topic 815 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-2 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-1A Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-1B Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-8 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4B Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-1 Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4 Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-5 Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4C + Details
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