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FAIR VALUE MEASUREMENTS | 6 Months Ended
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Jun. 30, 2025
Fair Value Disclosures [Abstract] |
FAIR VALUE MEASUREMENTS | FAIR VALUE MEASUREMENTS Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date and, therefore, represents an exit price, not an entry price. We carry certain assets and liabilities at fair value on a recurring basis, including fixed maturities, equity securities, trading securities, investments held by VIEs, derivatives, separate account assets and embedded derivatives. We carry our company-owned life insurance ("COLI"), which is invested in a series of mutual funds, at its cash surrender value which approximates fair value. In addition, we disclose fair value for certain financial instruments that are not carried at fair value, including mortgage loans, policy loans, cash and cash equivalents, insurance liabilities for interest-sensitive products and funding agreements, investment borrowings, notes payable and borrowings related to VIEs. The degree of judgment utilized in measuring the fair value of financial instruments is largely dependent on the level to which pricing is based on observable inputs. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect our view of market assumptions in the absence of observable market information. Financial instruments with readily available active quoted prices would be considered to have fair values based on the highest level of observable inputs, and little judgment would be utilized in measuring fair value. Financial instruments that rarely trade would often have fair value based on a lower level of observable inputs, and more judgment would be utilized in measuring fair value. Valuation Hierarchy There is a three-level hierarchy for valuing assets or liabilities at fair value based on whether inputs are observable or unobservable. •Level 1 – includes assets and liabilities valued using inputs that are unadjusted quoted prices in active markets for identical assets or liabilities. Our Level 1 assets primarily include cash and cash equivalents and exchange-traded securities. •Level 2 – includes assets and liabilities valued using inputs that are quoted prices for similar assets in an active market, quoted prices for identical or similar assets in a market that is not active, observable inputs, or observable inputs that can be corroborated by market data. Level 2 assets and liabilities include those financial instruments that are valued by independent pricing services using models or other valuation methodologies. These models consider various inputs such as credit rating, maturity, corporate credit spreads, reported trades and other inputs that are observable or derived from observable information in the marketplace or are supported by transactions executed in the marketplace. Financial assets in this category primarily include: certain publicly registered and privately placed corporate fixed maturity securities; certain government or agency securities; certain mortgage and asset-backed securities; certain equity securities; most investments held by our consolidated VIEs; and derivatives such as call options. Financial liabilities in this category include investment borrowings, notes payable and borrowings related to VIEs. •Level 3 – includes assets and liabilities valued using unobservable inputs that are used in model-based valuations that contain management assumptions. Level 3 assets and liabilities include those financial instruments whose fair value is estimated based on broker-dealer quotes, pricing services or internally developed models or methodologies utilizing significant inputs not based on, or corroborated by, readily available market information. Financial assets in this category include certain corporate securities, certain structured securities, mortgage loans, policy loans and other less liquid securities. Financial liabilities in this category include our insurance liabilities for interest-sensitive products, which includes embedded derivatives (including embedded derivatives related to our fixed indexed annuity products and to a modified coinsurance arrangement), and funding agreements since their values include significant unobservable inputs, including actuarial assumptions. At each reporting date, we classify assets and liabilities into the three input levels based on the lowest level of input that is significant to the measurement of fair value for each asset and liability reported at fair value. This classification is impacted by a number of factors, including the type of financial instrument, whether the financial instrument is new to the market and not yet established, the characteristics specific to the transaction and overall market conditions. Our assessment of the significance of a particular input to the fair value measurement and the ultimate classification of each asset and liability requires judgment and is subject to change from period to period based on the observability of the valuation inputs. The vast majority of our assets carried at fair value use Level 2 inputs for the determination of fair value. These fair values are obtained primarily from independent pricing services, which use Level 2 inputs for the determination of fair value. Our Level 2 assets are valued as follows: Fixed maturities available for sale, equity securities and trading securities Corporate securities are generally priced using market and income approaches using independent pricing services. Inputs generally consist of trades of identical or similar securities, quoted prices in inactive markets, issuer rating, benchmark yields, maturity and credit spreads. U.S. Treasuries and obligations of U.S. Government corporations and agencies are generally priced using the market approach. Inputs generally consist of trades of identical or similar securities, quoted prices in inactive markets and maturity. States and political subdivisions are generally priced using the market approach using independent pricing services. Inputs generally consist of trades of identical or similar securities, quoted prices in inactive markets, new issuances and credit spreads. Foreign governments are generally priced using the market approach using independent pricing services. Inputs generally consist of trades of identical or similar securities, quoted prices in inactive markets, new issuances, benchmark yields, credit spreads and issuer rating. Asset-backed securities, agency and non-agency residential mortgage-backed securities, collateralized loan obligations and commercial mortgage-backed securities are generally priced using market and income approaches using independent pricing services. Inputs generally consist of quoted prices in inactive markets, spreads on actively traded securities, expected prepayments, expected default rates, expected recovery rates and issue specific information including, but not limited to, collateral type, seniority and vintage. Equity securities are generally priced using the market approach. Inputs generally consist of trades of identical or similar securities, quoted prices in inactive markets, issuer rating, benchmark yields, maturity and credit spreads. Investments held by VIEs Corporate securities are generally priced using market and income approaches using independent pricing vendors. Inputs generally consist of issuer rating, benchmark yields, maturity, and credit spreads. Other invested assets - derivatives The fair value measurements for derivative instruments, including embedded derivatives requiring bifurcation, are determined based on the consideration of several inputs including closing exchange or over-the-counter market price quotes, time value and volatility factors underlying options, market interest rates and non-performance risk. Third-party pricing services normally derive security prices through recently reported trades for identical or similar securities making adjustments through the reporting date based upon observable market information. If there are no recently reported trades, the third-party pricing services may use matrix or model processes to develop a security price where future cash flow expectations are discounted at an estimated risk-adjusted market rate. The number of prices obtained for a given security is dependent on the Company's analysis of such prices as further described below. As the Company is responsible for the determination of fair value, we have control processes designed to ensure that the fair values received from third-party pricing sources are reasonable and the valuation techniques and assumptions used appear reasonable and consistent with prevailing market conditions. Additionally, when inputs are provided by third-party pricing sources, we have controls in place to review those inputs for reasonableness. As part of these controls, we perform monthly quantitative and qualitative analysis on the prices received from third parties to determine whether the prices are reasonable estimates of fair value. The Company's analysis includes: (i) a review of the methodology used by third-party pricing services; (ii) where available, a comparison of multiple pricing services' valuations for the same security; (iii) a review of month to month price fluctuations; (iv) a review to ensure valuations are not unreasonably dated; and (v) back testing to compare actual purchase and sale transactions with valuations received from third parties. As a result of such procedures, the Company may conclude a particular price received from a third-party is not reflective of current market conditions. In those instances, we may request additional pricing quotes or apply internally developed valuations. However, the number of such instances is insignificant and the aggregate change in value of such investments is not materially different from the original prices received. The categorization of the fair value measurements of our investments priced by independent pricing services was based upon the Company's judgment of the inputs or methodologies used by the independent pricing services to value different asset classes. The Company categorizes such fair value measurements based upon asset classes and the underlying observable or unobservable inputs used to value such investments. For securities that are not priced by pricing services and may not be reliably priced using pricing models, we obtain broker quotes. These broker quotes are non-binding and represent an exit price, but assumptions used to establish the fair value may not be observable and therefore represent Level 3 inputs. Approximately 97 percent of our Level 3 fixed maturity securities and trading securities were valued using unadjusted broker quotes or broker-provided valuation inputs. The remaining Level 3 fixed maturity investments do not have readily determinable market prices and/or observable inputs. For these securities, we use internally developed valuations. Key assumptions used to determine fair value for these securities may include risk premiums, projected performance of underlying collateral and other factors involving significant assumptions which may not be reflective of an active market. For certain investments, we use a matrix or model process to develop a security price where future cash flow expectations are discounted at an estimated market rate. The pricing matrix incorporates term interest rates as well as a spread level based on the issuer's credit rating, other factors relating to the issuer, and the security's maturity. In some instances issuer-specific spread adjustments, which can be positive or negative, are made based upon internal analysis of security specifics such as liquidity, deal size, and time to maturity. The categorization of fair value measurements, by input level, for our financial instruments carried at fair value on a recurring basis at June 30, 2025 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 | $ | — |  |  | $ | 12,179.8 |  |  | $ | 397.6 |  |  | $ | 12,577.4 |
Certificates of deposit | — |  |  | — |  |  | — |  |  | — |
United States Treasury securities and obligations of United States government corporations and agencies | — |  |  | 188.2 |  |  | — |  |  | 188.2 |
States and political subdivisions | — |  |  | 2,934.0 |  |  | — |  |  | 2,934.0 |
Foreign governments | — |  |  | 99.5 |  |  | — |  |  | 99.5 |
Asset-backed securities | — |  |  | 1,497.8 |  |  | 53.5 |  |  | 1,551.3 |
Agency residential mortgage-backed securities | — |  |  | 919.1 |  |  | — |  |  | 919.1 |
Non-agency residential mortgage-backed securities | — |  |  | 1,536.2 |  |  | — |  |  | 1,536.2 |
Collateralized loan obligations | — |  |  | 1,090.5 |  |  | — |  |  | 1,090.5 |
Commercial mortgage-backed securities | — |  |  | 2,147.3 |  |  | 3.5 |  |  | 2,150.8 |
Total fixed maturities, available for sale | — |  |  | 22,592.4 |  |  | 454.6 |  |  | 23,047.0 |
Equity securities - corporate securities | 161.8 |  |  | 131.2 |  |  | 94.4 |  |  | 387.4 |
Trading securities: |  |  |  |  |  |  |
Corporate securities | — |  |  | 2.0 |  |  | — |  |  | 2.0 |
Asset-backed securities | — |  |  | 39.9 |  |  | — |  |  | 39.9 |
Agency residential mortgage-backed securities | — |  |  | 98.0 |  |  | — |  |  | 98.0 |
Non-agency residential mortgage-backed securities | — |  |  | 51.3 |  |  | — |  |  | 51.3 |
Collateralized loan obligations | — |  |  | 9.4 |  |  | — |  |  | 9.4 |
Commercial mortgage-backed securities | — |  |  | 107.7 |  |  | — |  |  | 107.7 |
Total trading securities | — |  |  | 308.3 |  |  | — |  |  | 308.3 |
Investments held by variable interest entities - corporate securities | — |  |  | 376.9 |  |  | — |  |  | 376.9 |
Other invested assets: |  |  |  |  |  |  |
Derivatives | — |  |  | 210.4 |  |  | — |  |  | 210.4 |
Residual tranches | — |  |  | — |  |  | 2.6 |  |  | 2.6 |
Total other invested assets | — |  |  | 210.4 |  |  | 2.6 |  |  | 213.0 |
Assets held in separate accounts | — |  |  | 2.9 |  |  | — |  |  | 2.9 |
Total assets carried at fair value by category | 161.8 |  | $ | 23,622.1 |  |  | $ | 551.6 |  |  | $ | 24,335.5 |
Residual tranches measured at net asset value |  |  |  |  |  |  | 104.9 |
Total assets carried at fair value |  |  |  |  |  |  | $ | 24,440.4 |
Liabilities: |  |  |  |  |  |  |
Market risk benefit liability | $ | — |  |  | $ | — |  |  | $ | 63.8 |  |  | $ | 63.8 |
Embedded derivatives associated with fixed indexed annuity products | — |  |  | — |  |  | 1,502.4 |  |  | 1,502.4 |
Total liabilities carried at fair value | $ | — |  |  | $ | — |  |  | $ | 1,566.2 |  |  | $ | 1,566.2 |
The categorization of fair value measurements, by input level, for our financial instruments carried at fair value on a recurring basis at December 31, 2024 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 | $ | — |  |  | $ | 11,912.8 |  |  | $ | 128.0 |  |  | $ | 12,040.8 |
Certificates of deposit | — |  |  | 488.3 |  |  | — |  |  | 488.3 |
United States Treasury securities and obligations of United States government corporations and agencies | — |  |  | 186.2 |  |  | — |  |  | 186.2 |
States and political subdivisions | — |  |  | 2,834.3 |  |  | — |  |  | 2,834.3 |
Foreign governments | — |  |  | 91.1 |  |  | — |  |  | 91.1 |
Asset-backed securities | — |  |  | 1,496.6 |  |  | 19.8 |  |  | 1,516.4 |
Agency residential mortgage-backed securities | — |  |  | 819.6 |  |  | — |  |  | 819.6 |
Non-agency residential mortgage-backed securities | — |  |  | 1,539.1 |  |  | — |  |  | 1,539.1 |
Collateralized loan obligations | — |  |  | 1,012.8 |  |  | 4.0 |  |  | 1,016.8 |
Commercial mortgage-backed securities | — |  |  | 2,193.4 |  |  | 4.1 |  |  | 2,197.5 |
Total fixed maturities, available for sale | — |  |  | 22,574.2 |  |  | 155.9 |  |  | 22,730.1 |
Equity securities - corporate securities | 64.0 |  |  | 134.9 |  |  | 73.4 |  |  | 272.3 |
Trading securities: |  |  |  |  |  |  |
Asset-backed securities | — |  |  | 40.6 |  |  | — |  |  | 40.6 |
Agency residential mortgage-backed securities | — |  |  | 97.1 |  |  | — |  |  | 97.1 |
Non-agency residential mortgage-backed securities | — |  |  | 53.3 |  |  | — |  |  | 53.3 |
Collateralized loan obligations | — |  |  | 9.5 |  |  | — |  |  | 9.5 |
Commercial mortgage-backed securities | — |  |  | 103.7 |  |  | — |  |  | 103.7 |
Total trading securities | — |  |  | 304.2 |  |  | — |  |  | 304.2 |
Investments held by variable interest entities - corporate securities | — |  |  | 433.8 |  |  | — |  |  | 433.8 |
Other invested assets: |  |  |  |  |  |  |
Derivatives | — |  |  | 279.0 |  |  | — |  |  | 279.0 |
Residual tranches | — |  |  | 1.5 |  |  | 95.4 |  |  | 96.9 |
Total other invested assets | — |  |  | 280.5 |  |  | 95.4 |  |  | 375.9 |
Assets held in separate accounts | — |  |  | 3.3 |  |  | — |  |  | 3.3 |
Total assets carried at fair value | $ | 64.0 |  |  | $ | 23,730.9 |  |  | $ | 324.7 |  |  | $ | 24,119.6 |
Liabilities: |  |  |  |  |  |  |
Market risk benefit liability | $ | — |  |  | $ | — |  |  | $ | 60.0 |  |  | $ | 60.0 |
Embedded derivatives associated with fixed indexed annuity products | — |  |  | — |  |  | 1,471.6 |  |  | 1,471.6 |
Total liabilities carried at fair value | $ | — |  |  | $ | — |  |  | $ | 1,531.6 |  |  | $ | 1,531.6 |
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 three months ended June 30, 2025 (dollars in millions):
|  | Fixed Maturities |  |  |  | Equity Securities |  | Other Invested Assets |  | Total
Beginning of period |  | $ | 277.3 |  |  |  |  | $ | 73.3 |  |  | $ | 2.6 |  |  | $ | 353.2 |
Gains (losses) included in net income |  | (2.2) |  |  |  |  | 1.1 |  |  | — |  |  | (1.1) |
Gains (losses) included in accumulated other comprehensive loss |  | (2.3) |  |  |  |  | — |  |  | — |  |  | (2.3) |
Purchases, sales, issuances and settlements (b) |  |  |  |  |  |  |  |  |  |
Purchases |  | 82.8 |  |  |  |  | — |  |  | — |  |  | 82.8 |
Sales |  | (14.2) |  |  |  |  | — |  |  | — |  |  | (14.2) |
Transfers into Level 3 (a) |  | 129.6 |  |  |  |  | 20.0 |  |  | — |  |  | 149.6 |
Transfers out of Level 3 (a) |  | (16.4) |  |  |  |  | — |  |  | — |  |  | (16.4) |
End of period |  | $ | 454.6 |  |  |  |  | $ | 94.4 |  |  | $ | 2.6 |  |  | $ | 551.6 |
Change in unrealized gains or losses for the period included in net income for assets held at the end of the reporting period |  | $ | (2.2) |  |  |  |  | $ | 1.1 |  |  | $ | — |  |  | $ | (1.1) |
Change in unrealized gains or losses for the period included in other comprehensive loss for assets held at the end of the reporting period |  | $ | (3.5) |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | (3.5) |
_________ (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 independent pricing service information for certain assets that the Company is able to validate. (b)Purchases, sales, issuances and settlements 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. There were no issuances or settlements during the three months ended June 30, 2025. 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 six months ended June 30, 2025 (dollars in millions):
|  | Fixed Maturities |  |  |  | Equity Securities |  | Other Invested Assets |  | Total
Beginning of period |  | $ | 155.9 |  |  |  |  | $ | 73.4 |  |  | $ | 95.4 |  |  | $ | 324.7 |
Gains (losses) included in net income |  | (0.5) |  |  |  |  | 1.0 |  |  | — |  |  | 0.5 |
Gains (losses) included in accumulated other comprehensive loss |  | (0.3) |  |  |  |  | — |  |  | — |  |  | (0.3) |
Purchases, sales, issuances and settlements (b) |  |  |  |  |  |  |  |  |  |
Purchases |  | 234.4 |  |  |  |  | 20.0 |  |  | — |  |  | 254.4 |
Sales |  | (20.0) |  |  |  |  | — |  |  | — |  |  | (20.0) |
Transfers into Level 3 (a) |  | 115.1 |  |  |  |  | — |  |  | — |  |  | 115.1 |
Transfers out of Level 3 (a) |  | (30.0) |  |  |  |  | — |  |  | (92.8) |  |  | (122.8) |
End of period |  | $ | 454.6 |  |  |  |  | $ | 94.4 |  |  | $ | 2.6 |  |  | $ | 551.6 |
Change in unrealized gains or losses for the period included in net income for assets held at the end of the reporting period |  | $ | (0.5) |  |  |  |  | $ | 1.0 |  |  | $ | — |  |  | $ | 0.5 |
Change in unrealized gains or losses for the period included in other comprehensive loss for assets held at the end of the reporting period |  | $ | (2.1) |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | (2.1) |
_________ (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 independent pricing service information for certain assets that the Company is able to validate. (b)Purchases, sales, issuances and settlements 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. There were no issuances or settlements during the six months ended June 30, 2025. 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 June 30, 2024 (dollars in millions):
| Fixed Maturities |  |  |  | Equity Securities |  | Trading Securities |  | Other Invested Assets |  | Total
Beginning of period | $ | 173.1 |  |  |  |  | $ | 72.6 |  |  | $ | — |  |  | $ | 52.2 |  |  | $ | 297.9 |
Gains (losses) included in net income | 0.1 |  |  |  |  | 0.2 |  |  | — |  |  | 5.6 |  |  | 5.9 |
Gains (losses) included in accumulated other comprehensive loss | (2.5) |  |  |  |  | — |  |  | — |  |  | — |  |  | (2.5) |
Purchases, sales, issuances and settlements (b) |  |  |  |  |  |  |  |  |  |  |
Purchases | 11.3 |  |  |  |  | — |  |  | — |  |  | 8.6 |  |  | 19.9 |
Sales | (5.3) |  |  |  |  | — |  |  | — |  |  | (3.0) |  |  | (8.3) |
Transfers into Level 3 (a) | — |  |  |  |  | — |  |  | 2.8 |  |  | 2.6 |  |  | 5.4 |
Transfers out of Level 3 (a) | (23.2) |  |  |  |  | — |  |  | — |  |  | — |  |  | (23.2) |
End of period | $ | 153.5 |  |  |  |  | $ | 72.8 |  |  | $ | 2.8 |  |  | $ | 66.0 |  |  | $ | 295.1 |
Change in unrealized gains or losses for the period included in net income for assets held at the end of the reporting period | $ | 0.1 |  |  |  |  | $ | 0.2 |  |  | $ | — |  |  | $ | 5.6 |  |  | $ | 5.9 |
Change in unrealized gains or losses for the period included in other comprehensive loss for assets held at the end of the reporting period | $ | (3.3) |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (3.3) |
_________ (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 independent pricing service information for certain assets that the Company is able to validate. (b)Purchases, sales, issuances and settlements 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. There were no issuances or settlements during the three months ended June 30, 2024. 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 six months ended June 30, 2024 (dollars in millions):
| Fixed Maturities |  |  |  | Equity Securities |  | Trading Securities |  | Other Invested Assets |  | Total
Beginning of period | $ | 197.9 |  |  |  |  | $ | 72.7 |  |  | $ | — |  |  | $ | 31.5 |  |  | $ | 302.1 |
Gains (losses) included in net income | 4.4 |  |  |  |  | 0.1 |  |  | (0.1) |  |  | 12.0 |  |  | 16.4 |
Gains (losses) included in accumulated other comprehensive loss | (8.3) |  |  |  |  | — |  |  | — |  |  | — |  |  | (8.3) |
Purchases, sales, issuances and settlements (b) |  |  |  |  |  |  |  |  |  |  |
Purchases | 14.2 |  |  |  |  | — |  |  | — |  |  | 19.4 |  |  | 33.6 |
Sales | (3.9) |  |  |  |  | — |  |  | — |  |  | (4.4) |  |  | (8.3) |
Transfers into Level 3 (a) | — |  |  |  |  | — |  |  | 2.9 |  |  | 7.5 |  |  | 10.4 |
Transfers out of Level 3 (a) | (50.8) |  |  |  |  | — |  |  | — |  |  | — |  |  | (50.8) |
End of period | $ | 153.5 |  |  |  |  | $ | 72.8 |  |  | $ | 2.8 |  |  | $ | 66.0 |  |  | $ | 295.1 |
Change in unrealized gains or losses for the period included in net income for assets held at the end of the reporting period | $ | 4.4 |  |  |  |  | $ | 0.2 |  |  | $ | (0.1) |  |  | $ | 12.0 |  |  | $ | 16.5 |
Change in unrealized gains or losses for the period included in other comprehensive loss for assets held at the end of the reporting period | $ | (9.9) |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (9.9) |
_________ (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 independent pricing service information for certain assets that the Company is able to validate. (b)Purchases, sales, issuances and settlements 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. There were no issuances or settlements during the six months ended June 30, 2024. Realized and unrealized investment gains and losses presented in the preceding tables represent gains and losses during the time the applicable financial instruments were classified as Level 3. Realized and unrealized gains (losses) on Level 3 assets are primarily reported in either net investment income for policyholder and other special-purpose portfolios or investment gains (losses) within the consolidated statement of operations; or accumulated other comprehensive income (loss) within shareholders' equity based on the appropriate accounting treatment for the instrument. The amount presented for gains (losses) included in our net income for assets still held as of the reporting date primarily represents: (i) the change in the allowance for credit losses for fixed maturities, available for sale; and (ii) changes in fair value of equity securities and trading securities that are held as of the reporting date. The amount presented for gains (losses) included in accumulated other comprehensive income (loss) for assets still held as of the reporting date primarily represents changes in the fair value of fixed maturities, available for sale, that are held as of the reporting date. Residual tranches are generally valued based on our ownership share of the equity of the investee as reported to us by the General Partner and are typically reported one quarter in arrears. These investments are typically non-redeemable, however they can be transferred to a third party with the consent of the General Partner. The Company does not have plans to sell any of these assets at less than fair value. Investments underlying these entities are generally expected to be liquidated within a 10-year timeframe. We had unfunded commitments to invest $34.3 million in these entities as of June 30, 2025. At June 30, 2025, 88 percent of our Level 3 fixed maturities, available for sale, were investment grade and 87 percent of our Level 3 fixed maturities, available for sale, consisted of corporate securities. 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 "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 |  | Six months ended
| June 30, |  | June 30,
| 2025 |  | 2024 |  | 2025 |  | 2024
Balance at beginning of the period | $ | 1,450.2 |  |  | $ | 1,426.8 |  |  | $ | 1,471.6 |  |  | $ | 1,376.7 |
Premiums less benefits | (7.5) |  |  | (19.1) |  |  | (16.0) |  |  | (36.9) |
Change in fair value, net | 59.7 |  |  | 10.3 |  |  | 46.8 |  |  | 78.2 |
Balance at end of the period | $ | 1,502.4 |  |  | $ | 1,418.0 |  |  | $ | 1,502.4 |  |  | $ | 1,418.0 |
The change in fair value, net for each period in our embedded derivatives is included in the insurance policy benefits line item in the consolidated statement of operations. 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 June 30, 2025 (dollars in millions):
| Fair value at June 30, 2025 |  | Valuation techniques |  | Unobservable inputs |  | Range (weighted average) (a)
Assets: |  |  |  |  |  |  |
Asset-backed securities (b) | $ | 7.7 |  |  | Discounted cash flow analysis |  | Discount margins |  | 2.26%
Asset-backed securities (c) | 3.5 |  |  | Recovery method |  | % Recovery expected |  | 62.00%
Equity securities (d) | 64.7 |  |  | Market comparables |  | EBITDA multiples |  | 11.4X
Total | 75.9 |  |  |  |  |  |  |
Liabilities: |  |  |  |  |  |  |
Market risk benefit liability (e) | 63.8 |  |  | Discounted cash flow analysis |  | Surrender rates |  | 1.45% - 17.00% (4.38%)
|  |  |  |  | Utilization rates |  | 5.92% - 47.62% (24.95%)
Embedded derivatives related to fixed indexed annuity products (f) | 1,502.4 |  |  | Discounted projected embedded derivatives |  | Projected portfolio yields |  | 4.52% - 4.92% (4.69%)
|  |  |  |  | Discount rates |  | 3.64% - 6.96% (4.87%)
|  |  |  |  | Surrender rates |  | 1.45% - 30.10% (7.54%)
________________________________ (a) The weighted average is based on the relative fair value of the related assets or liabilities. (b) 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. (c) Asset-backed 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) 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. (e) Market risk benefits – Many of our fixed indexed annuity products include a guaranteed living withdrawal benefit ("GLWB") that is considered a MRB. The calculation of the value of MRBs is based on significant unobservable inputs including nonmarket assumptions related to mortality rates, surrender and withdrawal rates and GLWB utilization. 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). (f) Embedded derivatives related to fixed indexed annuity products are classified as policyholder account liabilities on the consolidated balance sheet. 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 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, 2024 (dollars in millions):
| Fair value at December 31, 2024 |  | Valuation techniques |  | Unobservable inputs |  | Range (weighted average) (a)
Assets: |  |  |  |  |  |  |
Asset-backed securities (b) | $ | 8.1 |  |  | Discounted cash flow analysis |  | Discount margins |  | 1.49%
Asset-backed securities (c) | 4.1 |  |  | Recovery method |  | % Recovery expected |  | 71.3%
Equity securities (d) | 64.2 |  |  | Market comparables |  | EBITDA multiples |  | 14.0X
Total | $ | 76.4 |  |  |  |  |  |  |
Liabilities: |  |  |  |  |  |  |
Market risk benefit liability (e) | 60.0 |  |  | Discounted cash flow analysis |  | Surrender rates |  | 1.45% - 17.00% (4.38%)
|  |  |  |  | Utilization rates |  | 5.92% - 47.62% (24.95%)
Embedded derivatives related to fixed indexed annuity products (f) | 1,471.6 |  |  | Discounted projected embedded derivatives |  | Projected portfolio yields |  | 4.52% - 4.92% (4.69%)
|  |  |  |  | Discount rates |  | 4.21% - 5.88% (5.04%)
|  |  |  |  | Surrender rates |  | 1.45% - 30.10% (7.54%)
________________________________ (a) The weighted average is based on the relative fair value of the related assets or liabilities. (b) 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. (c) Asset-backed 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) Equity securities - The significant unobservable input used in the fair value measurement of these equity securities is multiples of EBITDA. Generally, increases (decreases) in the EBITDA multiples would result in higher (lower) fair value measurements. (e) 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 is based on significant unobservable inputs including nonmarket assumptions related to mortality rates, surrender and withdrawal rates and GLWB utilization. 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). (f) Embedded derivatives related to fixed indexed annuity products are classified as policyholder account liabilities on the consolidated balance sheet. 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 fair value of our financial instruments not carried at fair value on a recurring basis are as follows (dollars in millions):
| June 30, 2025
| 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 | $ | — |  |  | $ | — |  |  | $ | 2,752.6 |  |  | $ | 2,752.6 |  |  | $ | 2,834.3 |
Policy loans | — |  |  | — |  |  | 137.6 |  |  | 137.6 |  |  | 137.6 |
Other invested assets: |  |  |  |  |  |  |  |  |
Company-owned life insurance (a) | — |  |  | 409.6 |  |  | — |  |  | 409.6 |  |  | 409.6 |
Cash and cash equivalents: |  |  |  |  |  |  |  |  |
Unrestricted | 766.0 |  |  | — |  |  | — |  |  | 766.0 |  |  | 766.0 |
Held by variable interest entities | 50.0 |  |  | — |  |  | — |  |  | 50.0 |  |  | 50.0 |
Total | $ | 816.0 |  |  | $ | 409.6 |  |  | $ | 2,890.2 |  |  | $ | 4,115.8 |  |  | $ | 4,197.5 |
Liabilities: |  |  |  |  |  |  |  |  |
Policyholder account balances (b) | $ | — |  |  | $ | — |  |  | $ | 16,106.6 |  |  | $ | 16,106.6 |  |  | $ | 16,106.6 |
Investment borrowings | — |  |  | 2,442.7 |  |  | — |  |  | 2,442.7 |  |  | 2,441.7 |
Borrowings related to variable interest entities | — |  |  | 355.7 |  |  | — |  |  | 355.7 |  |  | 352.8 |
Notes payable – direct corporate obligations | — |  |  | 1,343.4 |  |  | — |  |  | 1,343.4 |  |  | 1,334.7 |
_________ (a)Includes $217.8 million of COLI purchased as an investment vehicle to fund our agent deferred compensation plan, as further described in the footnote to the consolidated financial statements entitled "Agent Deferred Compensation Plan" within our 2024 Form 10-K, and a $191.8 million investment in a COLI policy for key employees that is recorded in our general account assets. (b)Policyholder account balances represent the contract value that has accrued to the benefit of the policyholder as of the balance sheet date. This amount excludes the embedded derivatives related to fixed indexed annuity products, which are measured at fair value on a recurring basis.
| December 31, 2024
| 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 | $ | — |  |  | $ | — |  |  | $ | 2,376.0 |  |  | $ | 2,376.0 |  |  | $ | 2,506.3 |
Policy loans | — |  |  | — |  |  | 135.3 |  |  | 135.3 |  |  | 135.3 |
Other invested assets: |  |  |  |  |  |  |  |  |
Company-owned life insurance (a) | — |  |  | 402.1 |  |  | — |  |  | 402.1 |  |  | 402.1 |
Cash and cash equivalents: |  |  |  |  |  |  |  |  |
Unrestricted | 1,656.7 |  |  | — |  |  | — |  |  | 1,656.7 |  |  | 1,656.7 |
Held by variable interest entities | 341.0 |  |  | — |  |  | — |  |  | 341.0 |  |  | 341.0 |
Total | $ | 1,997.7 |  |  | 402.1 |  |  | $ | 2,511.3 |  |  | $ | 4,911.1 |  |  | $ | 5,041.4 |
Liabilities: |  |  |  |  |  |  |  |  |
Policyholder account balances (b) | $ | — |  |  | $ | — |  |  | $ | 16,122.6 |  |  | $ | 16,122.6 |  |  | $ | 16,122.6 |
Investment borrowings | — |  |  | 2,189.8 |  |  | — |  |  | 2,189.8 |  |  | 2,188.8 |
Borrowings related to variable interest entities | — |  |  | 499.0 |  |  | — |  |  | 499.0 |  |  | 497.6 |
Notes payable – direct corporate obligations | — |  |  | 1,837.9 |  |  | — |  |  | 1,837.9 |  |  | 1,833.5 |
_________ (a)Includes $212.6 million of COLI purchased as an investment vehicle to fund our agent deferred compensation plan, as further described in the footnote to the consolidated financial statements entitled "Agent Deferred Compensation Plan" within our 2024 Form 10-K, and a $189.5 million investment in a COLI policy for key employees that is recorded in our general account assets. (b)Policyholder account balances represent the contract value that has accrued to the benefit of the policyholder as of the balance sheet date. This amount excludes the embedded derivatives related to fixed indexed annuity products, which are measured at fair value on a recurring basis.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (bbb)(1) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 2: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 107 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-107 Reference 3: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 100 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-100 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c)(3) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2E -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2E Reference 7: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 8: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 9: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (e) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 10: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 11: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 12: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (g) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 13: http://www.xbrl.org/2003/role/disclosureRef -Topic 940 -SubTopic 820 -Name Accounting Standards Codification -Section 50 -Paragraph 1 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478119/940-820-50-1 + Details
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