XML 37 R26.htm IDEA: XBRL DOCUMENT v3.24.1.1.u2
Derivative Instruments (Tables)
 3 Months Ended
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, 2024December 31, 2023
Notional Fair ValueNotionalFair 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 $4,925,118 
Schedule of Fair Value Hedging Instruments
The following represents the amortized cost and cumulative fair value hedging adjustments included in the hedged assets:
Line Item in the Consolidated Balance Sheets in Which Hedged Item is IncludedAmortized Cost
of Hedged Item		Cumulative Amount of Fair Value Basis Adjustment Gain (Loss)
March 31, 2024December 31, 2023March 31, 2024December 31, 2023
(Dollars in thousands)
Fixed maturities, available for sale:
Current hedging relationships$— $— $— $— 
Discontinued hedging relationships1,205,204 1,261,509 (57,146)(62,385)
The following represents a summary of the gains (losses) related to the derivatives and hedged items that qualify for fair value hedge accounting:
DerivativeHedged ItemNetAmount Excluded:
Recognized in Income Immediately
(Dollars in thousands)
For the three months ended March 31, 2024
Interest rate swaps$— $— $— $— 
For the three months ended March 31, 2023
Interest rate swaps$(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,
20242023
(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, 2024December 31, 2023
CounterpartyCredit Rating
(S&P)		Credit Rating (Moody's)Notional
Amount		Fair ValueNotional
Amount		Fair Value
(Dollars in thousands)
Bank of AmericaA+Aa1$5,257,044 $155,608 $5,090,138 $101,863 
BarclaysA+A11,507,128 58,281 1,787,748 60,495 
Canadian Imperial Bank of CommerceA+Aa21,696,844 60,795 1,438,835 48,660 
Citibank, N.A.A+Aa32,522,575 94,411 3,042,872 61,580 
Credit Suisse
A+
A342,607 1,532 378,613 7,130 
Goldman Sachs
A+
A1
590,973 13,441 250,609 2,958 
J.P. MorganA+Aa24,709,373 183,431 4,389,528 91,162 
MizuhoAA110,983,889 512,485 10,450,652 358,820 
Morgan StanleyA+Aa31,008,975 44,079 1,459,836 30,590 
Royal Bank of CanadaAA-A13,502,832 140,472 3,752,133 138,639 
Societe GeneraleAA13,048,019 109,999 3,048,268 86,041 
TruistAA21,465,739 55,459 1,500,167 50,502 
UBS AGA+Aa32,195,505 52,831 1,954,997 51,108 
Wells FargoA+Aa23,082,690 134,176 2,998,787 117,626 
Exchange traded— — 4,548 114 
$41,614,193 $1,617,000 $41,547,731 $1,207,288