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Fair Values of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 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:

			June 30, 2023												December 31, 2022
			Carrying Amount						Fair Value						Carrying Amount						Fair Value
			(Dollars in thousands)
Assets
Fixed maturity securities, available for sale			$	38,680,457					$	38,680,457					$	39,804,617					$	39,804,617
Mortgage loans on real estate			7,373,609						6,900,291						6,949,027						6,502,463
Real estate investments			1,158,772						1,158,772						1,056,063						1,056,063
Limited partnerships and limited liability companies			1,069,965						1,069,965						684,835						684,835
Derivative instruments			1,131,597						1,131,597						431,727						431,727
Other investments			1,412,939						1,412,939						1,817,085						1,817,085
Cash and cash equivalents			5,000,657						5,000,657						1,919,669						1,919,669
Coinsurance deposits			14,247,284						13,362,371						13,254,956						12,640,797
Market risk benefits			234,470						234,470						229,871						229,871
Liabilities
Policy benefit reserves			59,503,416						55,933,419						58,419,911						55,572,896
Market risk benefits			2,673,272						2,673,272						2,455,492						2,455,492
Single premium immediate annuity (SPIA) benefit reserves			201,539						210,273						212,119						221,130
Other policy funds - FHLB			—						—						300,000						300,000
Notes and loan payable			788,754						774,860						792,073						774,220
Subordinated debentures			78,927						88,388						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 June 30, 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)
June 30, 2023
Assets
Fixed maturity securities, available for sale:
U.S. Government and agencies			$	175,462					$	—					$	29,718					$	145,744					$	—
States, municipalities and territories			3,261,359						—						—						3,132,056						129,303
Foreign corporate securities and foreign governments			573,917						—						—						573,917						—
Corporate securities			22,069,209						—						—						21,818,072						251,137
Residential mortgage backed securities			1,473,297						—						—						1,473,297						—
Commercial mortgage backed securities			3,553,618						—						—						3,553,618						—
Other asset backed securities			7,573,595						—						—						6,830,671						742,924
Other investments			932,242						—						376,022						532,976						23,244
Real estate investments			1,158,772						—						—						—						1,158,772
Limited partnerships and limited liability companies			1,069,965						918,925						—						—						151,040
Derivative instruments			1,131,597						—						—						1,131,597						—
Cash and cash equivalents			5,000,657						—						5,000,657						—						—
Market risk benefits (a)			234,470						—						—						—						234,470
			$	48,208,160					$	918,925					$	5,406,397					$	39,191,948					$	2,690,890
Liabilities
Funds withheld liability - embedded derivative			$	(397,234)					$	—					$	—					$	—					$	(397,234)
Fixed index annuities - embedded derivatives			5,014,697						—						—						—						5,014,697
Market risk benefits (a)			2,673,272						—						—						—						2,673,272
			$	7,290,735					$	—					$	—					$	—					$	7,290,735
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)						June 30, 2023						December 31, 2022						June 30, 2023						December 31, 2022
1 - 5						2.07%						2.17%						1.87%						1.86%
6 - 10						3.38%						3.28%						1.95%						1.97%
11 - 15						3.58%						3.63%						1.81%						1.86%
16 - 20						10.44%						8.55%						2.89%						2.96%
20+						4.92%						4.90%						1.82%						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 and six months ended June 30, 2023 and 2022:

			Three Months Ended   June 30,												Six Months Ended   June 30,
			2023						2022						2023						2022
			(Dollars in thousands)
Fixed maturity securities, available for sale - States, municipalities and territories
Beginning balance			$	97,659					$	—					$	—					$	—
Purchases and sales, net			—						—						—						—
Transfers in			11,164						77,726						108,823						77,726
Transfers out			—						—						—						—
Total realized/unrealized gains (losses)
Included in net income			—						—						—						—
Included in other comprehensive income (loss)			20,480						—						20,480						—
Ending balance			$	129,303					$	77,726					$	129,303					$	77,726
Fixed maturity securities, available for sale - Corporate securities
Beginning balance			$	375,297					$	—					$	402,348					$	—
Purchases and sales, net			—						—						(26,278)						—
Transfers in			49,326						—						49,673						—
Transfers out			(172,174)						—						(172,174)						—
Total realized/unrealized gains (losses):
Included in net income			—						—						—						—
Included in other comprehensive income (loss)			(1,312)						—						(2,432)						—
Ending balance			$	251,137					$	—					$	251,137					$	—
Fixed maturity securities, available for sale - Other asset backed securities
Beginning balance			$	808,228					$	—					$	442,918					$	—
Purchases and sales, net			—						—						227,032						—
Transfers in			—						64,550						130,502						64,550
Transfers out			(20,817)						—						(20,817)						—
Total realized/unrealized gains (losses):
Included in net income			—						—						—						—
Included in other comprehensive income (loss)			(44,487)						—						(36,711)						—
Ending balance			$	742,924					$	64,550					$	742,924					$	64,550

			Three Months Ended   June 30,												Six Months Ended   June 30,
			2023						2022						2023						2022
			(Dollars in thousands)
Other investments
Beginning balance			$	—					$	3,867					$	—					$	6,349
Transfers in			9,821						—						9,821						—
Transfers out			—						(3,867)						—						(3,867)
Total realized/unrealized gains (losses):
Included in net income			—						—						—						(2,482)
Included in other comprehensive income (loss)			13,423						—						13,423						—
Ending balance			$	23,244					$	—					$	23,244					$	—
Real estate investments
Beginning balance			$	1,053,631					$	510,188					$	940,559					$	337,939
Purchases and sales, net			108,825						135,478						229,733						303,566
Change in fair value			(3,684)						26,809						(11,520)						30,970
Ending balance			$	1,158,772					$	672,475					$	1,158,772					$	672,475
Limited partnerships and limited liability companies
Beginning balance			$	164,327					$	—					$	64,209					$	—
Purchases and sales, net			3,339						—						97,476						—
Change in fair value			(16,626)						—						(10,645)						—
Ending balance			$	151,040					$	—					$	151,040					$	—
Funds withheld liability - embedded derivative
Beginning balance			$	(377,484)					$	—					$	(441,864)					$	—
Transfers in			—						—						—						—
Change in fair value			(19,750)						—						44,630						—
Ending balance			$	(397,234)					$	—					$	(397,234)					$	—
Fixed index annuities - embedded derivatives
Beginning balance			$	4,905,133					$	6,770,915					$	4,820,845					$	7,964,961
Premiums less benefits			(32,309)						(50,594)						(153,490)						63,483
Change in fair value, net			141,873						(884,009)						347,342						(2,192,132)
Ending balance			$	5,014,697					$	5,836,312					$	5,014,697					$	5,836,312

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 and six months ended June 30, 2023 and 2022:

			Three Months Ended   June 30,												Six Months Ended   June 30,
			2023						2022						2023						2022
			(Dollars in thousands)
Fixed maturity securities, available for sale - States, municipalities and territories
Beginning balance			$	97,659					$	—					$	—					$	—
Purchases and sales, net			—						—						—						—
Transfers in			11,164						77,726						108,823						77,726
Transfers out			—						—						—						—
Total realized/unrealized gains (losses)
Included in net income			—						—						—						—
Included in other comprehensive income (loss)			20,480						—						20,480						—
Ending balance			$	129,303					$	77,726					$	129,303					$	77,726
Fixed maturity securities, available for sale - Corporate securities
Beginning balance			$	375,297					$	—					$	402,348					$	—
Purchases and sales, net			—						—						(26,278)						—
Transfers in			49,326						—						49,673						—
Transfers out			(172,174)						—						(172,174)						—
Total realized/unrealized gains (losses):
Included in net income			—						—						—						—
Included in other comprehensive income (loss)			(1,312)						—						(2,432)						—
Ending balance			$	251,137					$	—					$	251,137					$	—
Fixed maturity securities, available for sale - Other asset backed securities
Beginning balance			$	808,228					$	—					$	442,918					$	—
Purchases and sales, net			—						—						227,032						—
Transfers in			—						64,550						130,502						64,550
Transfers out			(20,817)						—						(20,817)						—
Total realized/unrealized gains (losses):
Included in net income			—						—						—						—
Included in other comprehensive income (loss)			(44,487)						—						(36,711)						—
Ending balance			$	742,924					$	64,550					$	742,924					$	64,550

			Three Months Ended   June 30,												Six Months Ended   June 30,
			2023						2022						2023						2022
			(Dollars in thousands)
Other investments
Beginning balance			$	—					$	3,867					$	—					$	6,349
Transfers in			9,821						—						9,821						—
Transfers out			—						(3,867)						—						(3,867)
Total realized/unrealized gains (losses):
Included in net income			—						—						—						(2,482)
Included in other comprehensive income (loss)			13,423						—						13,423						—
Ending balance			$	23,244					$	—					$	23,244					$	—
Real estate investments
Beginning balance			$	1,053,631					$	510,188					$	940,559					$	337,939
Purchases and sales, net			108,825						135,478						229,733						303,566
Change in fair value			(3,684)						26,809						(11,520)						30,970
Ending balance			$	1,158,772					$	672,475					$	1,158,772					$	672,475
Limited partnerships and limited liability companies
Beginning balance			$	164,327					$	—					$	64,209					$	—
Purchases and sales, net			3,339						—						97,476						—
Change in fair value			(16,626)						—						(10,645)						—
Ending balance			$	151,040					$	—					$	151,040					$	—
Funds withheld liability - embedded derivative
Beginning balance			$	(377,484)					$	—					$	(441,864)					$	—
Transfers in			—						—						—						—
Change in fair value			(19,750)						—						44,630						—
Ending balance			$	(397,234)					$	—					$	(397,234)					$	—
Fixed index annuities - embedded derivatives
Beginning balance			$	4,905,133					$	6,770,915					$	4,820,845					$	7,964,961
Premiums less benefits			(32,309)						(50,594)						(153,490)						63,483
Change in fair value, net			141,873						(884,009)						347,342						(2,192,132)
Ending balance			$	5,014,697					$	5,836,312					$	5,014,697					$	5,836,312

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