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FAIR VALUE MEASUREMENTS (Tables) | 9 Months Ended
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Sep. 30, 2023
Fair Value Disclosures [Abstract] |
Schedule of Financial Instruments Carried at Fair Value Categorized by Input Level | The categorization of fair value measurements, by input level, for our financial instruments carried at fair value on a recurring basis at September 30, 2023 is as follows (dollars in millions):
| Quoted prices in active markets for identical assets or liabilities (Level 1) |  | Significant other observable inputs (Level 2) |  | Significant unobservable inputs (Level 3) |  | Total
Assets: |  |  |  |  |  |  |
Fixed maturities, available for sale: |  |  |  |  |  |  |
Corporate securities | $ | — |  |  | $ | 10,831.1 |  |  | $ | 127.8 |  |  | $ | 10,958.9 |
United States Treasury securities and obligations of United States government corporations and agencies | — |  |  | 165.4 |  |  | — |  |  | 165.4 |
States and political subdivisions | — |  |  | 2,306.0 |  |  | — |  |  | 2,306.0 |
Foreign governments | — |  |  | 76.0 |  |  | — |  |  | 76.0 |
Asset-backed securities | — |  |  | 1,317.7 |  |  | 41.5 |  |  | 1,359.2 |
Agency residential mortgage-backed securities | — |  |  | 615.9 |  |  | — |  |  | 615.9 |
Non-agency residential mortgage-backed securities | — |  |  | 1,522.6 |  |  | 2.6 |  |  | 1,525.2 |
Collateralized loan obligations | — |  |  | 1,059.5 |  |  | — |  |  | 1,059.5 |
Commercial mortgage-backed securities | — |  |  | 2,226.8 |  |  | 12.3 |  |  | 2,239.1 |
Total fixed maturities, available for sale | — |  |  | 20,121.0 |  |  | 184.2 |  |  | 20,305.2 |
Equity securities - corporate securities | 22.9 |  |  | — |  |  | 72.6 |  |  | 95.5 |
Trading securities: |  |  |  |  |  |  |
Asset-backed securities | — |  |  | 34.9 |  |  | — |  |  | 34.9 |
Agency residential mortgage-backed securities | — |  |  | 3.4 |  |  | — |  |  | 3.4 |
Non-agency residential mortgage-backed securities | — |  |  | 59.9 |  |  | — |  |  | 59.9 |
Collateralized debt obligations | — |  |  | 8.9 |  |  | — |  |  | 8.9 |
Commercial mortgage-backed securities | — |  |  | 114.1 |  |  | — |  |  | 114.1 |
Total trading securities | — |  |  | 221.2 |  |  | — |  |  | 221.2 |
Investments held by variable interest entities - corporate securities | — |  |  | 858.1 |  |  | — |  |  | 858.1 |
Other invested assets: |  |  |  |  |  |  |
Derivatives | — |  |  | 150.0 |  |  | — |  |  | 150.0 |
Residual tranches | — |  |  | 13.7 |  |  | 12.1 |  |  | 25.8 |
Total other invested assets | — |  |  | 163.7 |  |  | 12.1 |  |  | 175.8 |
Market risk benefit asset | — |  |  | — |  |  | 89.3 |  |  | 89.3 |
Assets held in separate accounts | — |  |  | 2.9 |  |  | — |  |  | 2.9 |
Total assets carried at fair value by category | $ | 22.9 |  |  | $ | 21,366.9 |  |  | $ | 358.2 |  |  | $ | 21,748.0 |
Liabilities: |  |  |  |  |  |  |
Market risk benefit liability | $ | — |  |  | $ | — |  |  | $ | 3.1 |  |  | $ | 3.1 |
Embedded derivatives associated with fixed indexed annuity products | — |  |  | — |  |  | 1,213.4 |  |  | 1,213.4 |
Total liabilities carried at fair value by category | $ | — |  |  | $ | — |  |  | $ | 1,216.5 |  |  | $ | 1,216.5 |
The categorization of fair value measurements, by input level, for our financial instruments carried at fair value on a recurring basis at December 31, 2022 is as follows (dollars in millions):
| Quoted prices in active markets for identical assets or liabilities (Level 1) |  | Significant other observable inputs (Level 2) |  | Significant unobservable inputs (Level 3) |  | Total
Assets: |  |  |  |  |  |  |
Fixed maturities, available for sale: |  |  |  |  |  |  |
Corporate securities | $ | — |  |  | $ | 11,584.9 |  |  | $ | 127.8 |  |  | $ | 11,712.7 |
United States Treasury securities and obligations of United States government corporations and agencies | — |  |  | 158.7 |  |  | — |  |  | 158.7 |
States and political subdivisions | — |  |  | 2,388.5 |  |  | — |  |  | 2,388.5 |
Foreign governments | — |  |  | 74.7 |  |  | — |  |  | 74.7 |
Asset-backed securities | — |  |  | 1,230.0 |  |  | 57.0 |  |  | 1,287.0 |
Agency residential mortgage-backed securities | — |  |  | 175.0 |  |  | — |  |  | 175.0 |
Non-agency residential mortgage-backed securities | — |  |  | 1,492.3 |  |  | 56.2 |  |  | 1,548.5 |
Collateralized loan obligations | — |  |  | 782.5 |  |  | 3.4 |  |  | 785.9 |
Commercial mortgage-backed securities | — |  |  | 2,207.9 |  |  | 14.5 |  |  | 2,222.4 |
Total fixed maturities, available for sale | — |  |  | 20,094.5 |  |  | 258.9 |  |  | 20,353.4 |
Equity securities - corporate securities | 59.6 |  |  | — |  |  | 75.7 |  |  | 135.3 |
Trading securities: |  |  |  |  |  |  |
Asset-backed securities | — |  |  | 15.1 |  |  | — |  |  | 15.1 |
Agency residential mortgage-backed securities | — |  |  | .3 |  |  | — |  |  | .3 |
Non-agency residential mortgage-backed securities | — |  |  | 60.2 |  |  | .5 |  |  | 60.7 |
Commercial mortgage-backed securities | — |  |  | 131.8 |  |  | — |  |  | 131.8 |
Total trading securities | — |  |  | 207.4 |  |  | .5 |  |  | 207.9 |
Investments held by variable interest entities - corporate securities | — |  |  | 1,077.6 |  |  | — |  |  | 1,077.6 |
Other invested assets: |  |  |  |  |  |  |
Derivatives | — |  |  | 56.7 |  |  | — |  |  | 56.7 |
Residual tranches | — |  |  | — |  |  | 18.3 |  |  | 18.3 |
Total other invested assets | — |  |  | 56.7 |  |  | 18.3 |  |  | 75.0 |
Market risk benefit asset | — |  |  | — |  |  | 65.3 |  |  | 65.3 |
Assets held in separate accounts | — |  |  | 2.7 |  |  | — |  |  | 2.7 |
Total assets carried at fair value by category | $ | 59.6 |  |  | $ | 21,438.9 |  |  | $ | 418.7 |  |  | $ | 21,917.2 |
Liabilities: |  |  |  |  |  |  |
Market risk benefit liability | $ | — |  |  | $ | — |  |  | $ | 11.3 |  |  | $ | 11.3 |
Embedded derivatives associated with fixed indexed annuity products | — |  |  | — |  |  | 1,297.0 |  |  | 1,297.0 |
Total liabilities carried at fair value by category | $ | — |  |  | $ | — |  |  | $ | 1,308.3 |  |  | $ | 1,308.3 |
The fair value of our financial instruments disclosed at fair value on a recurring basis are as follows (dollars in millions):
| September 30, 2023
| Quoted prices in active markets for identical assets or liabilities (Level 1) |  | Significant other observable inputs (Level 2) |  | Significant unobservable inputs (Level 3) |  | Total estimated fair value |  | Total carrying amount
Assets: |  |  |  |  |  |  |  |  |
Mortgage loans | $ | — |  |  | $ | — |  |  | $ | 1,790.2 |  |  | $ | 1,790.2 |  |  | $ | 1,971.3 |
Policy loans | — |  |  | — |  |  | 126.4 |  |  | 126.4 |  |  | 126.4 |
Other invested assets: |  |  |  |  |  |  |  |  |
Company-owned life insurance | — |  |  | 200.5 |  |  | — |  |  | 200.5 |  |  | 200.5 |
Cash and cash equivalents: |  |  |  |  |  |  |  |  |
Unrestricted | 460.8 |  |  | — |  |  | — |  |  | 460.8 |  |  | 460.8 |
Held by variable interest entities | 122.0 |  |  | — |  |  | — |  |  | 122.0 |  |  | 122.0 |
Liabilities: |  |  |  |  |  |  |  |  |
Policyholder account balances | — |  |  | — |  |  | 15,481.8 |  |  | 15,481.8 |  |  | 15,481.8 |
Future policy benefits | — |  |  | — |  |  | (462.7) |  |  | (462.7) |  |  | (462.7) |
Investment borrowings | — |  |  | 2,090.3 |  |  | — |  |  | 2,090.3 |  |  | 2,089.4 |
Borrowings related to variable interest entities | — |  |  | 929.0 |  |  | — |  |  | 929.0 |  |  | 918.5 |
Notes payable – direct corporate obligations | — |  |  | 1,054.1 |  |  | — |  |  | 1,054.1 |  |  | 1,140.1 |
| December 31, 2022
| Quoted prices in active markets for identical assets or liabilities (Level 1) |  | Significant other observable inputs (Level 2) |  | Significant unobservable inputs (Level 3) |  | Total estimated fair value |  | Total carrying amount
Assets: |  |  |  |  |  |  |  |  |
Mortgage loans | $ | — |  |  | $ | — |  |  | $ | 1,273.6 |  |  | $ | 1,273.6 |  |  | $ | 1,411.9 |
Policy loans | — |  |  | — |  |  | 121.6 |  |  | 121.6 |  |  | 121.6 |
Other invested assets: |  |  |  |  |  |  |  |  |
Company-owned life insurance | — |  |  | 199.1 |  |  | — |  |  | 199.1 |  |  | 199.1 |
Cash and cash equivalents: |  |  |  |  |  |  |  |  |
Unrestricted | 575.7 |  |  | — |  |  | — |  |  | 575.7 |  |  | 575.7 |
Held by variable interest entities | 69.2 |  |  | — |  |  | — |  |  | 69.2 |  |  | 69.2 |
Liabilities: |  |  |  |  |  |  |  |  |
Policyholder account balances | — |  |  | — |  |  | 15,234.2 |  |  | 15,234.2 |  |  | 15,234.2 |
Future policy benefits | — |  |  | — |  |  | (491.4) |  |  | (491.4) |  |  | (491.4) |
Investment borrowings | — |  |  | 1,640.5 |  |  | — |  |  | 1,640.5 |  |  | 1,639.5 |
Borrowings related to variable interest entities | — |  |  | 1,066.3 |  |  | — |  |  | 1,066.3 |  |  | 1,104.6 |
Notes payable – direct corporate obligations | — |  |  | 1,077.0 |  |  | — |  |  | 1,077.0 |  |  | 1,138.8 |
The following table presents additional information about assets measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value for the three months ended September 30, 2023 (dollars in millions):
|  | September 30, 2023 |  |  |  |
|  | Beginning balance as of June 30, 2023 |  | Purchases, sales, issuances and settlements, net (b) |  | Total realized and unrealized gains (losses) included in net income |  | Total realized and unrealized gains (losses) included in accumulated other comprehensive income (loss) |  | Transfers into Level 3 (a) |  | Transfers out of Level 3 (a) |  | Ending balance as of September 30, 2023 |  | Amount of total gains (losses) for the three months ended September 30, 2023 included in our net income relating to assets still held as of the reporting date |  | Amount of total gains (losses) for the three months ended September 30, 2023 included in accumulated other comprehensive income (loss) relating to assets still held as of the reporting date
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturities, available for sale: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate securities |  | $ | 136.2 |  |  | $ | 6.3 |  |  | $ | (12.8) |  |  | $ | 2.9 |  |  | $ | 1.6 |  |  | $ | (6.4) |  |  | $ | 127.8 |  |  | $ | (12.8) |  |  | $ | 2.1 |
Asset-backed securities |  | 39.8 |  |  | 1.1 |  |  | — |  |  | .6 |  |  | — |  |  | — |  |  | 41.5 |  |  | — |  |  | .6 |
Non-agency residential mortgage-backed securities |  | 6.0 |  |  | — |  |  | — |  |  | .1 |  |  | 2.5 |  |  | (6.0) |  |  | 2.6 |  |  | — |  |  | .1 |
Commercial mortgage-backed securities |  | 12.4 |  |  | — |  |  | — |  |  | (.1) |  |  | — |  |  | — |  |  | 12.3 |  |  | — |  |  | (.1) |
Total fixed maturities, available for sale |  | 194.4 |  |  | 7.4 |  |  | (12.8) |  |  | 3.5 |  |  | 4.1 |  |  | (12.4) |  |  | 184.2 |  |  | (12.8) |  |  | 2.7 |
Equity securities - corporate securities |  | 72.8 |  |  | — |  |  | (.2) |  |  | — |  |  | — |  |  | — |  |  | 72.6 |  |  | (.2) |  |  | — |
Other invested assets - residual tranches |  | 7.5 |  |  | 3.9 |  |  | — |  |  | — |  |  | .7 |  |  | — |  |  | 12.1 |  |  | — |  |  | — |
_________ (a)Transfers into Level 3 are the result of unobservable inputs utilized within valuation methodologies for assets that were previously valued using observable inputs. Transfers out of Level 3 are due to the use of observable inputs in valuation methodologies as well as the utilization of pricing service information for certain assets that the Company is able to validate. (b)Purchases, sales, issuances and settlements, net, represent the activity that occurred during the period that results in a change of the asset but does not represent changes in fair value for the instruments held at the beginning of the period. Such activity primarily consists of purchases and sales of fixed maturity and equity securities. The following summarizes such activity for the three months ended September 30, 2023 (dollars in millions):
| Purchases |  | Sales |  | Issuances |  | Settlements |  | Purchases, sales, issuances and settlements, net
Assets: |  |  |  |  |  |  |  |  |
Fixed maturities, available for sale: |  |  |  |  |  |  |  |  |
Corporate securities | $ | 6.3 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 6.3 |
Asset-backed securities | 1.3 |  |  | (.2) |  |  | — |  |  | — |  |  | 1.1 |
Total fixed maturities, available for sale | 7.6 |  |  | (.2) |  |  | — |  |  | — |  |  | 7.4 |
Other invested assets - residual tranches | 3.9 |  |  | — |  |  | — |  |  | — |  |  | 3.9 |
The following table presents additional information about assets measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value for the nine months ended September 30, 2023 (dollars in millions):
|  | September 30, 2023 |  |  |  |
|  | Beginning balance as of December 31, 2022 |  | Purchases, sales, issuances and settlements, net (b) |  | Total realized and unrealized gains (losses) included in net income |  | Total realized and unrealized gains (losses) included in accumulated other comprehensive income (loss) |  | Transfers into Level 3 (a) |  | Transfers out of Level 3 (a) |  | Ending balance as of September 30, 2023 |  | Amount of total gains (losses) for the nine months ended September 30, 2023 included in our net income relating to assets still held as of the reporting date |  | Amount of total gains (losses) for the nine months ended September 30, 2023 included in accumulated other comprehensive income (loss) relating to assets still held as of the reporting date
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturities, available for sale: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate securities |  | $ | 127.8 |  |  | $ | 9.1 |  |  | $ | (1.7) |  |  | $ | (6.9) |  |  | $ | 5.9 |  |  | $ | (6.4) |  |  | $ | 127.8 |  |  | $ | (1.7) |  |  | $ | (9.2) |
Asset-backed securities |  | 57.0 |  |  | (3.9) |  |  | (.2) |  |  | (1.0) |  |  | — |  |  | (10.4) |  |  | 41.5 |  |  | — |  |  | (1.1) |
Non-agency residential mortgage-backed securities |  | 56.2 |  |  | (.1) |  |  | — |  |  | .2 |  |  | — |  |  | (53.7) |  |  | 2.6 |  |  | — |  |  | .2 |
Collateralized loan obligations |  | 3.4 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (3.4) |  |  | — |  |  | — |  |  | — |
Commercial mortgage-backed securities |  | 14.5 |  |  | — |  |  | — |  |  | (2.2) |  |  | — |  |  | — |  |  | 12.3 |  |  | — |  |  | (2.2) |
Total fixed maturities, available for sale |  | 258.9 |  |  | 5.1 |  |  | (1.9) |  |  | (9.9) |  |  | 5.9 |  |  | (73.9) |  |  | 184.2 |  |  | (1.7) |  |  | (12.3) |
Equity securities - corporate securities |  | 75.7 |  |  | (2.1) |  |  | (1.0) |  |  | — |  |  | — |  |  | — |  |  | 72.6 |  |  | (.5) |  |  | — |
Trading securities - non-agency residential mortgage-backed securities |  | .5 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (.5) |  |  | — |  |  | — |  |  | — |
Other invested assets - residual tranches |  | 18.3 |  |  | 6.1 |  |  | .4 |  |  | — |  |  | — |  |  | (12.7) |  |  | 12.1 |  |  | .4 |  |  | — |
_________ (a)Transfers into Level 3 are the result of unobservable inputs utilized within valuation methodologies for assets that were previously valued using observable inputs. Transfers out of Level 3 are due to the use of observable inputs in valuation methodologies as well as the utilization of pricing service information for certain assets that the Company is able to validate. (b)Purchases, sales, issuances and settlements, net, represent the activity that occurred during the period that results in a change of the asset but does not represent changes in fair value for the instruments held at the beginning of the period. Such activity primarily consists of purchases and sales of fixed maturity and equity securities. The following summarizes such activity for the nine months ended September 30, 2023 (dollars in millions):
| Purchases |  | Sales |  | Issuances |  | Settlements |  | Purchases, sales, issuances and settlements, net
Assets: |  |  |  |  |  |  |  |  |
Fixed maturities, available for sale: |  |  |  |  |  |  |  |  |
Corporate securities | $ | 10.5 |  |  | $ | (1.4) |  |  | $ | — |  |  | $ | — |  |  | $ | 9.1 |
Asset-backed securities | 3.8 |  |  | (7.7) |  |  | — |  |  | — |  |  | (3.9) |
Non-agency residential mortgage-backed securities | — |  |  | (.1) |  |  | — |  |  | — |  |  | (.1) |
Total fixed maturities, available for sale | 14.3 |  |  | (9.2) |  |  | — |  |  | — |  |  | 5.1 |
Equity securities - corporate securities | — |  |  | (2.1) |  |  | — |  |  | — |  |  | (2.1) |
Other invested assets - residual tranches | 6.4 |  |  | (.3) |  |  | — |  |  | — |  |  | 6.1 |
The following table presents additional information about assets measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value for the three months ended September 30, 2022 (dollars in millions):
| September 30, 2022 |  |  |  |
| Beginning balance as of June 30, 2022 |  | Purchases, sales, issuances and settlements, net (b) |  | Total realized and unrealized gains (losses) included in net income |  | Total realized and unrealized gains (losses) included in accumulated other comprehensive income (loss) |  | Transfers into Level 3 (a) |  | Transfers out of Level 3 (a) |  | Ending balance as of September 30, 2022 |  | Amount of total gains (losses) for the three months ended September 30, 2022 included in our net income relating to assets still held as of the reporting date |  | Amount of total gains (losses) for the three months ended September 30, 2022 included in accumulated other comprehensive income (loss) relating to assets still held as of the reporting date
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturities, available for sale: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate securities | $ | 124.0 |  |  | $ | 2.7 |  |  | $ | (.9) |  |  | $ | (13.4) |  |  | $ | 9.7 |  |  | $ | — |  |  | $ | 122.1 |  |  | $ | (.9) |  |  | $ | (14.2) |
Asset-backed securities | 29.7 |  |  | 18.3 |  |  | — |  |  | (3.2) |  |  | 4.1 |  |  | — |  |  | 48.9 |  |  | — |  |  | (3.2) |
Non-agency residential mortgage-backed securities | 40.5 |  |  | (.1) |  |  | — |  |  | (2.5) |  |  | 13.6 |  |  | (22.4) |  |  | 29.1 |  |  | — |  |  | (2.5) |
Collateralized loan obligations | 4.4 |  |  | — |  |  | — |  |  | — |  |  | 13.4 |  |  | (4.4) |  |  | 13.4 |  |  | — |  |  | — |
Commercial mortgage-backed securities | 16.5 |  |  | — |  |  | — |  |  | (1.1) |  |  | 22.2 |  |  | — |  |  | 37.6 |  |  | — |  |  | (1.1) |
Total fixed maturities, available for sale | 215.1 |  |  | 20.9 |  |  | (.9) |  |  | (20.2) |  |  | 63.0 |  |  | (26.8) |  |  | 251.1 |  |  | (.9) |  |  | (21.0) |
Equity securities - corporate securities | 8.2 |  |  | — |  |  | (.5) |  |  | — |  |  | 67.1 |  |  | — |  |  | 74.8 |  |  | (.5) |  |  | — |
Trading securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Non-agency residential mortgage-backed securities | 3.4 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (3.4) |  |  | — |  |  | — |  |  | — |
Commercial mortgage-backed securities | 6.0 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (6.0) |  |  | — |  |  | — |  |  | — |
Total trading securities | 9.4 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (9.4) |  |  | — |  |  | — |  |  | — |
Other invested assets - residual tranches | 2.6 |  |  | 1.6 |  |  | (.5) |  |  | — |  |  | .3 |  |  | — |  |  | 4.0 |  |  | (.5) |  |  | — |
____________ (a)Transfers into Level 3 are the result of unobservable inputs utilized within valuation methodologies for assets that were previously valued using observable inputs. Transfers out of Level 3 are due to the use of observable inputs in valuation methodologies as well as the utilization of pricing service information for certain assets that the Company is able to validate. (b)Purchases, sales, issuances and settlements, net, represent the activity that occurred during the period that results in a change of the asset but does not represent changes in fair value for the instruments held at the beginning of the period. Such activity primarily consists of purchases and sales of fixed maturity and equity securities. The following summarizes such activity for the three months ended September 30, 2022 (dollars in millions):
| Purchases |  | Sales |  | Issuances |  | Settlements |  | Purchases, sales, issuances and settlements, net
Assets: |  |  |  |  |  |  |  |  |
Fixed maturities, available for sale: |  |  |  |  |  |  |  |  |
Corporate securities | $ | 9.3 |  |  | $ | (6.6) |  |  | $ | — |  |  | $ | — |  |  | $ | 2.7 |
Asset-backed securities | 19.0 |  |  | (.7) |  |  | — |  |  | — |  |  | 18.3 |
Non-agency residential mortgage-backed securities | — |  |  | (.1) |  |  | — |  |  | — |  |  | (.1) |
Total fixed maturities, available for sale | 28.3 |  |  | (7.4) |  |  | — |  |  | — |  |  | 20.9 |
Other invested assets - residual tranches | 1.6 |  |  | — |  |  | — |  |  | — |  |  | 1.6 |
The following table presents additional information about assets measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value for the nine months ended September 30, 2022 (dollars in millions):
| September 30, 2022 |  |  |  |
| Beginning balance as of December 31, 2021 |  | Purchases, sales, issuances and settlements, net (b) |  | Total realized and unrealized gains (losses) included in net income |  | Total realized and unrealized gains (losses) included in accumulated other comprehensive income (loss) |  | Transfers into Level 3 (a) |  | Transfers out of Level 3 (a) |  | Ending balance as of September 30, 2022 |  | Amount of total gains (losses) for the nine months ended September 30, 2022 included in our net income relating to assets still held as of the reporting date |  | Amount of total gains (losses) for the nine months ended September 30, 2022 included in accumulated other comprehensive income (loss) relating to assets still held as of the reporting date
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturities, available for sale: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate securities | $ | 89.7 |  |  | $ | 13.0 |  |  | $ | (.1) |  |  | $ | (41.7) |  |  | $ | 68.6 |  |  | $ | (7.4) |  |  | $ | 122.1 |  |  | $ | .4 |  |  | $ | (43.1) |
Asset-backed securities | 26.6 |  |  | 26.0 |  |  | — |  |  | (6.4) |  |  | 2.7 |  |  | — |  |  | 48.9 |  |  | — |  |  | (6.4) |
Non-agency residential mortgage-backed securities | — |  |  | 6.0 |  |  | — |  |  | (10.3) |  |  | 33.4 |  |  | — |  |  | 29.1 |  |  | — |  |  | (10.3) |
Collateralized loan obligations | 5.0 |  |  | — |  |  | — |  |  | (.4) |  |  | 13.8 |  |  | (5.0) |  |  | 13.4 |  |  | — |  |  | (.4) |
Commercial mortgage-backed securities | 19.0 |  |  | 28.0 |  |  | — |  |  | (9.4) |  |  | — |  |  | — |  |  | 37.6 |  |  | — |  |  | (9.5) |
Total fixed maturities, available for sale | 140.3 |  |  | 73.0 |  |  | (.1) |  |  | (68.2) |  |  | 118.5 |  |  | (12.4) |  |  | 251.1 |  |  | .4 |  |  | (69.7) |
Equity securities - corporate securities | 11.5 |  |  | 63.9 |  |  | (.6) |  |  | — |  |  | — |  |  | — |  |  | 74.8 |  |  | (.5) |  |  | — |
Trading securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Non-agency residential mortgage-backed securities | 3.5 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (3.5) |  |  | — |  |  | — |  |  | — |
Commercial mortgage-backed securities | 12.9 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (12.9) |  |  | — |  |  | — |  |  | — |
Total trading securities | 16.4 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (16.4) |  |  | — |  |  | — |  |  | — |
Investments held by variable interest entities - corporate securities | 2.2 |  |  | (2.1) |  |  | (.1) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Other invested assets - residual tranches | — |  |  | 2.8 |  |  | — |  |  | (.6) |  |  | 1.8 |  |  | — |  |  | 4.0 |  |  | — |  |  | (.6) |
____________ (a)Transfers into Level 3 are the result of unobservable inputs utilized within valuation methodologies for assets that were previously valued using observable inputs. Transfers out of Level 3 are due to the use of observable inputs in valuation methodologies as well as the utilization of pricing service information for certain assets that the Company is able to validate. (b)Purchases, sales, issuances and settlements, net, represent the activity that occurred during the period that results in a change of the asset but does not represent changes in fair value for the instruments held at the beginning of the period. Such activity primarily consists of purchases and sales of fixed maturity and equity securities. The following summarizes such activity for the nine months ended September 30, 2022 (dollars in millions):
| Purchases |  | Sales |  | Issuances |  | Settlements |  | Purchases, sales, issuances and settlements, net
Assets: |  |  |  |  |  |  |  |  |
Fixed maturities, available for sale: |  |  |  |  |  |  |  |  |
Corporate securities | $ | 24.2 |  |  | $ | (11.2) |  |  | $ | — |  |  | $ | — |  |  | $ | 13.0 |
Asset-backed securities | 26.9 |  |  | (.9) |  |  | — |  |  | — |  |  | 26.0 |
Non-agency residential mortgage-backed securities | 6.5 |  |  | (.5) |  |  | — |  |  | — |  |  | 6.0 |
Commercial mortgage-backed securities | 28.0 |  |  | — |  |  | — |  |  | — |  |  | 28.0 |
Total fixed maturities, available for sale | 85.6 |  |  | (12.6) |  |  | — |  |  | — |  |  | 73.0 |
Equity securities - corporate securities | 67.0 |  |  | (3.1) |  |  | — |  |  | — |  |  | 63.9 |
Investments held by variable interest entities - corporate securities | — |  |  | (2.1) |  |  | — |  |  | — |  |  | (2.1) |
Other invested assets - residual tranches | 2.8 |  |  | — |  |  | — |  |  | — |  |  | 2.8 |
The following table summarizes changes in the value of our embedded derivatives associated with fixed indexed annuity products (classified in policyholder account balances and future policy benefits as presented in the note to the consolidated financial statements entitled "Accounting for Derivatives") which are measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value (dollars in millions):
| Three months ended |  | Nine months ended
| September 30, |  | September 30,
| 2023 |  | 2022 |  | 2023 |  | 2022
Balance at beginning of the period | $ | 1,355.4 |  |  | $ | 1,371.0 |  |  | $ | 1,297.0 |  |  | $ | 1,724.1 |
Premiums less benefits | (16.2) |  |  | 12.0 |  |  | (45.9) |  |  | 55.3 |
Change in fair value, net | (125.8) |  |  | (129.1) |  |  | (37.7) |  |  | (525.5) |
Balance at end of the period | $ | 1,213.4 |  |  | $ | 1,253.9 |  |  | $ | 1,213.4 |  |  | $ | 1,253.9 |
Schedule of Fair Value Measurement Inputs | The following table provides additional information about the significant unobservable (Level 3) inputs developed internally by the Company to determine fair value for certain assets and liabilities carried at fair value at September 30, 2023 (dollars in millions):
| Fair value at September 30, 2023 |  | Valuation techniques |  | Unobservable inputs |  | Range (weighted average) (a)
Assets: |  |  |  |  |  |  |
Corporate securities (b) | $ | 2.7 |  |  | Discounted cash flow analysis |  | Discount margins |  | 2.22%
Corporate securities (c) | 2.5 |  |  | Recovery method |  | Percent of recovery expected |  | 0.00% - 25.00% (25.00%)
Corporate securities (d) | 1.5 |  |  | Unadjusted purchase price |  | Not applicable |  | Not applicable
Asset-backed securities (e) | 23.6 |  |  | Discounted cash flow analysis |  | Discount margins |  | 2.23% - 3.39% (2.98%)
Equity securities (f) | 63.3 |  |  | Market comparables |  | EBITDA multiples |  | 10.7X
Equity securities (g) | .1 |  |  | Recovery method |  | Percent of recovery expected |  | 0.00% - 100.00% (100.00%)
Equity securities (h) | 9.2 |  |  | Unadjusted purchase price |  | Not applicable |  | Not applicable
Other assets categorized as Level 3 (i) | 166.0 |  |  | Unadjusted third-party price source |  | Not applicable |  | Not applicable
Market risk benefit asset (j) | 89.3 |  |  | Discounted cash flow analysis |  | Surrender rates |  | 1.28% - 11.05% (3.68%)
|  |  |  |  | Utilization rates |  | 5.92% - 47.62% (22.54%)
Total | 358.2 |  |  |  |  |  |  |
Liabilities: |  |  |  |  |  |  |
Market risk benefit liability (j) | 3.1 |  |  | Discounted cash flow analysis |  | Surrender rates |  | 1.28% - 11.05% (3.68%)
|  |  |  |  | Utilization rates |  | 5.92% - 47.62% (22.54%)
Embedded derivatives related to fixed indexed annuity products (k) | 1,213.4 |  |  | Discounted projected embedded derivatives |  | Projected portfolio yields |  | 4.30% - 4.63% (4.31%)
|  |  |  |  | Discount rates |  | 3.66% - 5.55% (5.20%)
|  |  |  |  | Surrender rates |  | 1.90% - 27.70% (9.20%)
________________________________ (a) The weighted average is based on the relative fair value of the related assets or liabilities. (b) Corporate securities - The significant unobservable input used in the fair value measurement of our corporate securities is discount margin added to a riskless market yield. Significant increases (decreases) in discount margin in isolation would have resulted in a significantly lower (higher) fair value measurement. (c) Corporate securities - The significant unobservable input used in the fair value measurement of these corporate securities is percentage of recovery expected. Significant increases (decreases) in percentage of recovery expected in isolation would have resulted in a significantly higher (lower) fair value measurement. (d) Corporate securities - For these assets, there were no adjustments to the purchase price. (e) Asset-backed securities - The significant unobservable input used in the fair value measurement of these asset-backed securities is discount margin added to a riskless market yield. Significant increases (decreases) in discount margin in isolation would have resulted in a significantly lower (higher) fair value measurement. (f) Equity securities - The significant unobservable input used in the fair value measurement of these equity securities is multiples of earnings before interest, taxes, depreciation and amortization ("EBITDA"). Generally, increases (decreases) in the EBITDA multiples would result in higher (lower) fair value measurements. (g) Equity securities - The significant unobservable input used in the fair value measurement of these equity securities is percentage of recovery expected. Significant increases (decreases) in percentage of recovery expected in isolation would have resulted in a significantly higher (lower) fair value measurement. (h) Equity securities - For these assets, there were no adjustments to the purchase price. (i) Other assets categorized as Level 3 - For these assets, there were no adjustments to non-binding quoted market prices obtained from third-party pricing sources. (j) Market risk benefits – Many of our fixed indexed annuity products include a GLWB that is considered a MRB. The calculation of the value of MRBs are based on significant unobservable inputs including assumptions related to surrenders and utilization of policy benefits. These assumptions are based on actuarial estimates and past experience. Increases in assumed surrender rates would generally increase the value of a MRB asset or decrease the value of a MRB liability (with decreases in assumed surrender rates having the opposite impacts). Increases in utilization rates would generally decrease the value of a MRB asset or increase the value of a MRB liability (with decreases in utilization rates having the opposite impacts). (k) Embedded derivatives related to fixed indexed annuity products - The significant unobservable inputs used in the fair value measurement of our embedded derivatives associated with fixed indexed annuity products are projected portfolio yields, discount rates and surrender rates. Increases (decreases) in projected portfolio yields in isolation would have resulted in a higher (lower) fair value measurement. The discount rate is based on risk free rates (U.S. Treasury rates for similar durations) adjusted for our non-performance risk and risk margins for non-capital market inputs. Increases (decreases) in the discount rates would have resulted in a lower (higher) fair value measurement. Assumed surrender rates are used to project how long the contracts remain in force. Generally, the longer the contracts are assumed to be in force the higher the fair value of the embedded derivative. The embedded derivatives related to fixed indexed annuity products are classified in policyholder account balances and future policy benefits as presented in the note to the consolidated financial statements entitled "Accounting for Derivatives". The following table provides additional information about the significant unobservable (Level 3) inputs developed internally by the Company to determine fair value for certain assets and liabilities carried at fair value at December 31, 2022 (dollars in millions):
| Fair value at December 31, 2022 |  | Valuation techniques |  | Unobservable inputs |  | Range (weighted average) (a)
Assets: |  |  |  |  |  |  |
Corporate securities (b) | $ | 2.9 |  |  | Discounted cash flow analysis |  | Discount margins |  | 2.23% - 3.94% (2.25%)
Corporate securities (c) | 3.5 |  |  | Recovery method |  | Percent of recovery expected |  | 0.00% - 35.00% (35.00%)
Corporate securities (d) | .5 |  |  | Unadjusted purchase price |  | Not applicable |  | Not applicable
Asset-backed securities (e) | 21.8 |  |  | Discounted cash flow analysis |  | Discount margins |  | 2.50% - 3.86% (3.30%)
Equity securities (f) | 63.9 |  |  | Market comparables |  | EBITDA multiples |  | 8.5X
Equity securities (g) | .1 |  |  | Recovery method |  | Percent of recovery expected |  | 0.00% - 100.00% (100.00%)
Equity securities (h) | 11.7 |  |  | Unadjusted purchase price |  | Not applicable |  | Not applicable
Other assets categorized as Level 3 (i) | 249.0 |  |  | Unadjusted third-party price source |  | Not applicable |  | Not applicable
Market risk benefit asset (j) | 65.3 |  |  | Discounted cash flow analysis |  | Surrender rates |  | 1.28% - 11.05% (3.45%)
|  |  |  |  | Utilization rates |  | 6.78% - 63.16% (20.09%)
Total | 418.7 |  |  |  |  |  |  |
Liabilities: |  |  |  |  |  |  |
Market risk benefit liability (j) | 11.3 |  |  | Discounted cash flow analysis |  | Surrender rates |  | 1.28% - 11.05% (3.45%)
|  |  |  |  | Utilization rates |  | 6.78% - 63.16% (20.09%)
Embedded derivatives related to fixed indexed annuity products (k) | 1,297.0 |  |  | Discounted projected embedded derivatives |  | Projected portfolio yields |  | 4.30% - 4.63% (4.31%)
|  |  |  |  | Discount rates |  | 3.77% - 5.48% (4.47%)
|  |  |  |  | Surrender rates |  | 1.90% - 27.70% (9.20%)
________________________________ (a) The weighted average is based on the relative fair value of the related assets or liabilities. (b) Corporate securities - The significant unobservable input used in the fair value measurement of our corporate securities is discount margin added to a riskless market yield. Significant increases (decreases) in discount margin in isolation would have resulted in a significantly lower (higher) fair value measurement. (c) Corporate securities - The significant unobservable input used in the fair value measurement of these corporate securities is percentage of recovery expected. Significant increases (decreases) in percentage of recovery expected in isolation would have resulted in a significantly higher (lower) fair value measurement. (d) Corporate securities - For these assets, there were no adjustments to the purchase price. (e) Asset-backed securities - The significant unobservable input used in the fair value measurement of these asset-backed securities is discount margin added to a riskless market yield. Significant increases (decreases) in discount margin in isolation would have resulted in a significantly lower (higher) fair value measurement. (f) Equity securities - The significant unobservable input used in the fair value measurement of these equity securities is multiples of earnings before EBITDA. Generally, increases (decreases) in the EBITDA multiples would result in higher (lower) fair value measurements. (g) Equity securities - The significant unobservable input used in the fair value measurement of these equity securities is percentage of recovery expected. Significant increases (decreases) in percentage of recovery expected in isolation would have resulted in a significantly higher (lower) fair value measurement. (h) Equity securities - For these assets, there were no adjustments to the purchase price. (i) Other assets categorized as Level 3 - For these assets, there were no adjustments to non-binding quoted market prices obtained from third-party pricing sources. (j) Market risk benefits – Many of our fixed indexed annuity products include a GLWB that is considered a MRB. The calculation of the value of MRBs are based on significant unobservable inputs including assumptions related to surrenders and utilization of policy benefits. These assumptions are based on actuarial estimates and past experience. Increases in assumed surrender rates would generally increase the value of a MRB asset or decrease the value of a MRB liability (with decreases in assumed surrender rates having the opposite impacts). Increases in utilization rates would generally decrease the value of a MRB asset or increase the value of a MRB liability (with decreases in utilization rates having the opposite impacts). (k) Embedded derivatives related to fixed indexed annuity products - The significant unobservable inputs used in the fair value measurement of our embedded derivatives associated with fixed indexed annuity products are projected portfolio yields, discount rates and surrender rates. Increases (decreases) in projected portfolio yields in isolation would have resulted in a higher (lower) fair value measurement. The discount rate is based on risk free rates (U.S. Treasury rates for similar durations) adjusted for our non-performance risk and risk margins for non-capital market inputs. Increases (decreases) in the discount rates would have resulted in a lower (higher) fair value measurement. Assumed surrender rates are used to project how long the contracts remain in force. Generally, the longer the contracts are assumed to be in force the higher the fair value of the embedded derivative. The embedded derivatives related to fixed indexed annuity products are classified in policyholder account balances and future policy benefits as presented in the note to the consolidated financial statements entitled "Accounting for Derivatives".

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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
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