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Derivative Instruments (Tables)

9 Months Ended

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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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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