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Derivative Instruments (Tables) | 3 Months Ended
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Mar. 31, 2024
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:
| March 31, 2024 |  | December 31, 2023
| Notional |  | Fair Value |  | Notional |  | Fair Value
| (Dollars in thousands)
Derivatives not designated as hedging instruments |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |
Derivative instruments |  |  |  |  |  |  |
Call options | $ | 41,614,193 |  |  | $ | 1,617,000 |  |  | $ | 41,547,731 |  |  | $ | 1,207,288 |
| $ | 41,614,193 |  |  | $ | 1,617,000 |  |  | $ | 41,547,731 |  |  | $ | 1,207,288 |
Liabilities |  |  |  |  |  |  |
Policy benefit reserves - annuity products |  |  |  |  |  |  |
Fixed index annuities - embedded derivatives, net |  |  | $ | 5,273,407 |  |  |  |  | $ | 5,181,894 |
Funds withheld for reinsurance liabilities |  |  |  |  |  |  |
Reinsurance related embedded derivative |  |  | (298,254) |  |  |  |  | (256,776) |
|  |  | $ | 4,975,153 |  |  |  |  | $ | 4,925,118 |
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)
|  | March 31, 2024 |  | December 31, 2023 |  | March 31, 2024 |  | December 31, 2023
|  | (Dollars in thousands)
Fixed maturities, available for sale: |  |  |  |  |  |  |  |
Current hedging relationships |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Discontinued hedging relationships |  | 1,205,204 |  |  | 1,261,509 |  |  | (57,146) |  |  | (62,385) |
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 March 31, 2024 |  |  |  |  |  |  |
Interest rate swaps | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
For the three months ended March 31, 2023 |  |  |  |  |  |  |
Interest rate swaps | $ | (12,991) |  |  | $ | 14,116 |  |  | $ | 1,125 |  |  | $ | — |
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 March 31,
|  |  |  |  | 2024 |  | 2023
|  |  |  |  | (Dollars in thousands)
Change in fair value of derivatives: |  |  |  |  |  |  |
Call options |  |  |  |  | $ | 409,767 |  |  | $ | 43,444 |
Warrants |  |  |  |  | — |  |  | 1,321 |
|  |  |  |  | $ | 409,767 |  |  | $ | 44,765 |
Change in fair value of embedded derivatives: |  |  |  |  |  |  |
Fixed index annuities - embedded derivatives |  |  |  |  | $ | 203,680 |  |  | $ | 340,060 |
Reinsurance related embedded derivative |  |  |  |  | (41,478) |  |  | 64,380 |
|  |  |  |  | $ | 162,202 |  |  | $ | 404,440 |
Schedule of Call Options by Counterparty | The notional amount and fair value of our call options by counterparty and each counterparty's current credit rating are as follows:
|  |  |  |  |  | March 31, 2024 |  | December 31, 2023
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 |  | $ | 5,257,044 |  |  | $ | 155,608 |  |  | $ | 5,090,138 |  |  | $ | 101,863 |
Barclays |  | A+ |  | A1 |  | 1,507,128 |  |  | 58,281 |  |  | 1,787,748 |  |  | 60,495 |
Canadian Imperial Bank of Commerce |  | A+ |  | Aa2 |  | 1,696,844 |  |  | 60,795 |  |  | 1,438,835 |  |  | 48,660 |
Citibank, N.A. |  | A+ |  | Aa3 |  | 2,522,575 |  |  | 94,411 |  |  | 3,042,872 |  |  | 61,580 |
Credit Suisse |  | A+ |  | A3 |  | 42,607 |  |  | 1,532 |  |  | 378,613 |  |  | 7,130 |
Goldman Sachs |  | A+ |  | A1 |  | 590,973 |  |  | 13,441 |  |  | 250,609 |  |  | 2,958 |
J.P. Morgan |  | A+ |  | Aa2 |  | 4,709,373 |  |  | 183,431 |  |  | 4,389,528 |  |  | 91,162 |
Mizuho |  | A |  | A1 |  | 10,983,889 |  |  | 512,485 |  |  | 10,450,652 |  |  | 358,820 |
Morgan Stanley |  | A+ |  | Aa3 |  | 1,008,975 |  |  | 44,079 |  |  | 1,459,836 |  |  | 30,590 |
Royal Bank of Canada |  | AA- |  | A1 |  | 3,502,832 |  |  | 140,472 |  |  | 3,752,133 |  |  | 138,639 |
Societe Generale |  | A |  | A1 |  | 3,048,019 |  |  | 109,999 |  |  | 3,048,268 |  |  | 86,041 |
Truist |  | A |  | A2 |  | 1,465,739 |  |  | 55,459 |  |  | 1,500,167 |  |  | 50,502 |
UBS AG |  | A+ |  | Aa3 |  | 2,195,505 |  |  | 52,831 |  |  | 1,954,997 |  |  | 51,108 |
Wells Fargo |  | A+ |  | Aa2 |  | 3,082,690 |  |  | 134,176 |  |  | 2,998,787 |  |  | 117,626 |
Exchange traded |  |  |  |  |  | — |  |  | — |  |  | 4,548 |  |  | 114 |
|  |  |  |  |  | $ | 41,614,193 |  |  | $ | 1,617,000 |  |  | $ | 41,547,731 |  |  | $ | 1,207,288 |

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