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Fair Values of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2023

Fair Value Disclosures [Abstract]

Carrying Amounts and Fair Values of Financial Instruments

The following sets forth a comparison of the carrying amounts and fair values of our financial instruments:

			March 31, 2023												December 31, 2022
			Carrying Amount						Fair Value						Carrying Amount						Fair Value
			(Dollars in thousands)
Assets
Fixed maturity securities, available for sale			$	39,555,624					$	39,555,624					$	39,804,617					$	39,804,617
Mortgage loans on real estate			7,199,225						6,784,672						6,949,027						6,502,463
Real estate investments			1,053,631						1,053,631						1,056,063						1,056,063
Limited partnerships and limited liability companies			1,065,627						1,065,627						684,835						684,835
Derivative instruments			684,033						684,033						431,727						431,727
Other investments			1,157,162						1,157,162						1,817,085						1,817,085
Cash and cash equivalents			2,777,852						2,777,852						1,919,669						1,919,669
Coinsurance deposits			13,710,877						12,964,585						13,254,956						12,640,797
Market risk benefits			230,304						230,304						229,871						229,871
Liabilities
Policy benefit reserves			58,655,544						55,469,740						58,419,911						55,572,896
Market risk benefits			2,653,185						2,653,185						2,455,492						2,455,492
Single premium immediate annuity (SPIA) benefit reserves			205,643						214,386						212,119						221,130
Other policy funds - FHLB			100,000						100,000						300,000						300,000
Notes and loan payable			790,413						794,615						792,073						774,220
Subordinated debentures			78,839						88,336						78,753						87,293

Assets and Liabilities Measured at Fair Value on a Recurring Basis, By Fair Value Hierarchy Level

Our assets and liabilities which are measured at fair value on a recurring basis as of March 31, 2023 and December 31, 2022 are presented below based on the fair value hierarchy levels:

			Total Fair Value						NAV						Quoted Prices in Active Markets (Level 1)						Significant Other Observable Inputs (Level 2)						Significant Unobservable Inputs (Level 3)
			(Dollars in thousands)
March 31, 2023
Assets
Fixed maturity securities, available for sale:
U.S. Government and agencies			$	177,878					$	—					$	29,978					$	147,900					$	—
States, municipalities and territories			3,665,716						—						—						3,568,057						97,659
Foreign corporate securities and foreign governments			677,833						—						—						677,833						—
Corporate securities			23,401,001						—						—						23,025,704						375,297
Residential mortgage backed securities			1,355,858						—						—						1,355,858						—
Commercial mortgage backed securities			3,677,672						—						—						3,677,672						—
Other asset backed securities			6,599,666						—						—						5,791,438						808,228
Other investments			674,600						—						150,442						524,158						—
Real estate investments			1,053,631						—						—						—						1,053,631
Limited partnerships and limited liability companies			1,065,627						901,301						—						—						164,326
Derivative instruments			684,033						—						—						684,033						—
Cash and cash equivalents			2,777,852						—						2,777,852						—						—
Market risk benefits (a)			230,304						—						—						—						230,304
			$	46,041,671					$	901,301					$	2,958,272					$	39,452,653					$	2,729,445
Liabilities
Funds withheld liability - embedded derivative			$	(377,484)					$	—					$	—					$	—					$	(377,484)
Fixed index annuities - embedded derivatives			4,905,133						—						—						—						4,905,133
Market risk benefits (a)			2,653,185						—						—						—						2,653,185
			$	7,180,834					$	—					$	—					$	—					$	7,180,834
December 31, 2022
Assets
Fixed maturity securities, available for sale:
U.S. Government and agencies			$	169,071					$	—					$	26,184					$	142,887					$	—
States, municipalities and territories			3,822,982						—						—						3,822,982						—
Foreign corporate securities and foreign governments			676,852						—						—						676,852						—
Corporate securities			24,161,921						—						—						23,759,573						402,348
Residential mortgage backed securities			1,377,611						—						—						1,377,611						—
Commercial mortgage backed securities			3,687,478						—						—						3,687,478						—
Other asset backed securities			5,908,702						—						—						5,465,784						442,918
Other investments			1,013,297						—						398,280						615,017						—
Real estate investments			940,559						—						—						—						940,559
Limited partnerships and limited liability companies			684,835						620,626						—						—						64,209
Derivative instruments			431,727						—						—						431,727						—
Cash and cash equivalents			1,919,669						—						1,919,669						—						—
Market risk benefits (a)			229,871						—						—						—						229,871
			$	45,024,575					$	620,626					$	2,344,133					$	39,979,911					$	2,079,905
Liabilities
Funds withheld liability - embedded derivative			$	(441,864)					$	—					$	—					$	—					$	(441,864)
Fixed index annuities - embedded derivatives			4,820,845						—						—						—						4,820,845
Market risk benefits (a)			2,455,492						—						—						—						2,455,492
			$	6,834,473					$	—					$	—					$	—					$	6,834,473

(a)See Note 8 - Policyholder Liabilities for additional information related to market risk benefits, including the balances of and changes in market risk benefits as well as significant inputs and assumptions used in the fair value measurements of market risk benefits.

Schedule of Assumptions Used in Estimating Fair Value

The following table presents average lapse rate and partial withdrawal rate assumptions, by contract duration, used in estimating the fair value of the embedded derivative component of our fixed index annuity policy benefit reserves at each reporting date:

						Average Lapse Rates												Average Partial Withdrawal Rates
Contract Duration (Years)						March 31, 2023						December 31, 2022						March 31, 2023						December 31, 2022
1 - 5						2.08%						2.17%						1.87%						1.86%
6 - 10						3.28%						3.28%						1.96%						1.97%
11 - 15						3.65%						3.63%						1.83%						1.86%
16 - 20						9.14%						8.55%						3.03%						2.96%
20+						4.92%						4.90%						1.81%						1.81%

Assets Measured at Fair Value on Recurring Basis, Level 3 Reconciliation

The following table provides a reconciliation of the beginning and ending balances for our Level 3 assets and liabilities, which are measured at fair value on a recurring basis using significant unobservable inputs for the three months ended March 31, 2023 and 2022:

									Three Months Ended   March 31,
															2023						2022
															(Dollars in thousands)
Fixed maturity securities, available for sale - States, municipalities and territories
Beginning balance															$	—					$	—
Purchases and sales, net															—						—
Transfers in															97,659						—
Transfers out															—						—
Total realized/unrealized gains (losses)
Included in net income															—						—
Included in other comprehensive income (loss)															—						—
Ending balance															$	97,659					$	—
Fixed maturity securities, available for sale - Corporate securities
Beginning balance															$	402,348					$	—
Purchases and sales, net															(26,278)						—
Transfers in															347						—
Transfers out															—						—
Total realized/unrealized gains (losses):
Included in net income															—						—
Included in other comprehensive income (loss)															(1,120)						—
Ending balance															$	375,297					$	—
Fixed maturity securities, available for sale - Other asset backed securities
Beginning balance															$	442,918					$	—
Purchases and sales, net															227,032						—
Transfers in															130,502						—
Transfers out															—						—
Total realized/unrealized gains (losses):
Included in net income															—						—
Included in other comprehensive income (loss)															7,776						—
Ending balance															$	808,228					$	—

									Three Months Ended   March 31,
															2023						2022
															(Dollars in thousands)
Other investments
Beginning balance															$	—					$	6,349
Transfers in															—						—
Transfers out															—						—
Total realized/unrealized gains (losses):
Included in net income															—						(2,482)
Included in other comprehensive income (loss)															—						—
Ending balance															$	—					$	3,867
Real estate investments
Beginning balance															$	940,559					$	337,939
Purchases and sales, net															120,908						109,835
Change in fair value															(7,836)						4,161
Ending balance															$	1,053,631					$	451,935
Limited partnerships and limited liability companies
Beginning balance															$	64,209					$	—
Purchases and sales, net															94,137						58,253
Change in fair value															5,981						—
Ending balance															$	164,327					$	58,253
Funds withheld liability - embedded derivative
Beginning balance															$	(441,864)					$	—
Transfers in															—						—
Change in fair value															64,380						—
Ending balance															$	(377,484)					$	—
Fixed index annuities - embedded derivatives
Beginning balance															$	4,820,845					$	7,964,961
Premiums less benefits															(121,181)						114,077
Change in fair value, net															205,469						(1,308,123)
Ending balance															$	4,905,133					$	6,770,915

Liabilities Measured at Fair Value on Recurring Basis, Level 3 Reconciliation

The following table provides a reconciliation of the beginning and ending balances for our Level 3 assets and liabilities, which are measured at fair value on a recurring basis using significant unobservable inputs for the three months ended March 31, 2023 and 2022:

									Three Months Ended   March 31,
															2023						2022
															(Dollars in thousands)
Fixed maturity securities, available for sale - States, municipalities and territories
Beginning balance															$	—					$	—
Purchases and sales, net															—						—
Transfers in															97,659						—
Transfers out															—						—
Total realized/unrealized gains (losses)
Included in net income															—						—
Included in other comprehensive income (loss)															—						—
Ending balance															$	97,659					$	—
Fixed maturity securities, available for sale - Corporate securities
Beginning balance															$	402,348					$	—
Purchases and sales, net															(26,278)						—
Transfers in															347						—
Transfers out															—						—
Total realized/unrealized gains (losses):
Included in net income															—						—
Included in other comprehensive income (loss)															(1,120)						—
Ending balance															$	375,297					$	—
Fixed maturity securities, available for sale - Other asset backed securities
Beginning balance															$	442,918					$	—
Purchases and sales, net															227,032						—
Transfers in															130,502						—
Transfers out															—						—
Total realized/unrealized gains (losses):
Included in net income															—						—
Included in other comprehensive income (loss)															7,776						—
Ending balance															$	808,228					$	—

									Three Months Ended   March 31,
															2023						2022
															(Dollars in thousands)
Other investments
Beginning balance															$	—					$	6,349
Transfers in															—						—
Transfers out															—						—
Total realized/unrealized gains (losses):
Included in net income															—						(2,482)
Included in other comprehensive income (loss)															—						—
Ending balance															$	—					$	3,867
Real estate investments
Beginning balance															$	940,559					$	337,939
Purchases and sales, net															120,908						109,835
Change in fair value															(7,836)						4,161
Ending balance															$	1,053,631					$	451,935
Limited partnerships and limited liability companies
Beginning balance															$	64,209					$	—
Purchases and sales, net															94,137						58,253
Change in fair value															5,981						—
Ending balance															$	164,327					$	58,253
Funds withheld liability - embedded derivative
Beginning balance															$	(441,864)					$	—
Transfers in															—						—
Change in fair value															64,380						—
Ending balance															$	(377,484)					$	—
Fixed index annuities - embedded derivatives
Beginning balance															$	4,820,845					$	7,964,961
Premiums less benefits															(121,181)						114,077
Change in fair value, net															205,469						(1,308,123)
Ending balance															$	4,905,133					$	6,770,915

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