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Policyholder Liabilities

9 Months Ended

Sep. 30, 2023

Insurance [Abstract]

Policyholder Liabilities

Policyholder Liabilities

Liability for Future Policy Benefits

The liability for future policy benefits consists only of the liability associated with single premium immediate annuities (SPIA) with life contingencies. As this business has no future expected premiums, the rollforward presented below is the present value of expected future benefits. The balances of and changes in the liability for future policy benefits for the nine months ended September 30, 2023 and year ended December 31, 2022 is as follows:

									Present Value of Expected Future Policy Benefits
									Nine Months Ended   September 30, 2023						Year Ended December 31, 2022
									(Dollars in thousands)
Balance, beginning of period									$	318,677					$	402,305
Beginning balance at original discount rate									342,453						352,708
Effect of changes in cash flow assumptions									(4,607)						1,277
Effect of actual variances from expected experience									(1,692)						(1,941)
Adjusted beginning of year balance									336,154						352,044
Issuances									6,391						16,072
Interest accrual									10,357						14,664
Derecognition (lapses and benefit payments)									(29,252)						(40,327)
Ending balance at original discount rate									323,650						342,453
Effect of changes in discount rate assumptions									(31,316)						(23,776)
Balance, end of period									$	292,334					$	318,677

The reconciliation of the net liability for future policy benefits to the liability for future policy benefits included in policy benefit reserves in the consolidated balance sheets is as follows:

			September 30, 2023						December 31, 2022
			(Dollars in thousands)
Liability for future policy benefits			$	292,334					$	318,677
Deferred profit liability			22,975						19,223
			315,309						337,900
Less: Reinsurance recoverable			(1,997)						(1,259)
Net liability for future policy benefits, after reinsurance recoverable			$	313,312					$	336,641

The weighted-average liability duration of the liability for future policy benefits is as follows:

			September 30, 2023						December 31, 2022
SPIA With Life Contingency:
Weighted-average liability duration of the liability for future policy benefits (years)			6.82						6.78

The following table presents the amount of undiscounted expected future benefit payments and expected gross premiums:

			September 30, 2023						December 31, 2022
			(Dollars in thousands)
SPIA With Life Contingency:
Expected future benefit payments			$	446,831					$	467,627
Expected future gross premiums			—						—

The amount of revenue and interest associated with the liability for future policy benefits recognized in the statement of operations for the nine months ended September 30, 2023 and year ended December 31, 2022 is as follows:

									Nine Months Ended   September 30, 2023												Year Ended December 31, 2022
															Gross Premiums or Assessments						Interest Expense						Gross Premiums or Assessments						Interest Expense
															(Dollars in thousands)
SPIA With Life Contingency															$	6,994					$	10,297					$	16,994					$	14,613
Total															$	6,994					$	10,297					$	16,994					$	14,613

The weighted-average interest rate is as follows:

			September 30, 2023						December 31, 2022
Interest accretion rate			4.25		%				4.25		%
Current discount rate			5.92		%				5.37		%

Market Risk Benefits

The balances of and changes in the liability for market risk benefits (MRB) for the nine months ended September 30, 2023 and year ended December 31, 2022 is as follows:

									Nine Months Ended   September 30, 2023												Year Ended December 31, 2022
															Fixed Rate Annuities						Fixed Index Annuities						Fixed Rate Annuities						Fixed Index Annuities
															(Dollars in thousands)
MRB Liability
Balance, beginning of period															$	37,863					$	2,187,758					$	78,411					$	2,557,378
Balance, beginning of period, before effect of changes in the instrument-specific credit risk															44,355						2,453,169						77,731						2,310,437
Issuances															32						218,643						376						59,452
Interest accrual															2,294						118,391						1,349						72,551
Attributed fees collected															920						93,757						1,270						125,168
Benefits payments															—						—						—						—
Effect of changes in interest rates															(8,338)						(401,074)						(19,421)						(952,265)
Effect of changes in equity markets															—						(9,167)						—						186,618
Effect of changes in equity index volatility															—						(36,721)						—						241,563
Actual policyholder behavior different from expected behavior															—						—						—						—
Effect of changes in future expected policyholder behavior															(250)						(948)						602						46,567
Effect of changes in other future expected assumptions															16,720						(219,094)						(17,552)						363,078
Balance, end of period, before effect of changes in the instrument-specific credit															55,733						2,216,956						44,355						2,453,169
Effect of changes in the instrument-specific credit risk															(5,134)						(61,163)						(6,492)						(265,411)
Balance, end of period															50,599						2,155,793						37,863						2,187,758
Reinsured MRB, end of period															15,776						562,516						10,656						593,959
Balance, end of period, net of reinsurance															$	34,823					$	1,593,277					$	27,207					$	1,593,799
Net amount at risk (a)															$	265,429					$	11,673,620					$	258,826					$	10,987,198
Weighted average attained age of contract holders (years)															70						71						69						71

(a)Net amount at risk is defined as the current guarantee amount in excess of the current account balance.

The following is a reconciliation of market risk benefits by amounts in an asset position and in a liability position to market risk benefit amounts included in other assets and market risk benefit reserves, respectively, in the Consolidated Balance Sheets:

			September 30, 2023
			Asset						Liability						Net Liability
			(Dollars in thousands)
Fixed Index Annuities			$	343,923					$	2,499,716					$	2,155,793
Fixed Rate Annuities			2,592						53,191						50,599
Total			$	346,515					$	2,552,907					$	2,206,392

			December 31, 2022
			Asset						Liability						Net Liability
			(Dollars in thousands)
Fixed Index Annuities			$	226,294					$	2,414,052					$	2,187,758
Fixed Rate Annuities			3,577						41,440						37,863
Total			$	229,871					$	2,455,492					$	2,225,621

Reinsured Market Risk Benefits

The following table presents the balances and changes in reinsured market risk benefits associated with fixed index annuities for the nine months ended September 30, 2023 and year ended December 31, 2022:

									Nine Months Ended   September 30, 2023												Year Ended December 31, 2022
															Fixed Rate Annuities						Fixed Index Annuities						Fixed Rate Annuities						Fixed Index Annuities
															(Dollars in thousands)
Ceded MRB
Balance, beginning of period															$	10,656					$	593,959					$	—					$	156,931
Write-off related to in-force ceded reinsurance															—						—						10,091						334,835
Issuances															—						146,498						—						36,036
Interest accrual															536						24,861						104						7,598
Attributed fees collected															41						22,440						28						23,745
Benefits payments															—						—						—						—
Effect of changes in interest rates															(1,129)						(74,994)						135						(171,948)
Effect of changes in equity markets															—						(2,167)						118						43,799
Effect of changes in equity index volatility															—						(8,485)						—						34,278
Actual policyholder behavior different from expected behavior															—						—						—						—
Effect of changes in future expected policyholder behavior															58						5,098						180						12,598
Effect of changes in other future expected assumptions															5,614						(144,694)						—						116,087
Balance, end of period															$	15,776					$	562,516					$	10,656					$	593,959
Net amount at risk (a)															$	74,611					$	2,828,270					$	72,350					$	2,402,964
Weighted average attained age of contract holders (years)															70						70						70						71

(a)Net amount at risk is defined as the current guarantee amount in excess of the current account balance.

The following is a reconciliation of reinsurance market risk benefits by amounts in an asset position and in liability position to market risk benefit amounts included in coinsurance deposits and other liabilities, respectively, in the consolidated balance sheets:

			September 30, 2023
			Asset						Liability						Net Asset
			(Dollars in thousands)
Fixed Index Annuities			$	695,387					$	132,871					$	562,516
Fixed Rate Annuities			16,026						250						15,776
Total			$	711,413					$	133,121					$	578,292

			December 31, 2022
			Asset						Liability						Net Asset
			(Dollars in thousands)
Fixed Index Annuities			$	629,611					$	35,652					$	593,959
Fixed Rate Annuities			11,070						414						10,656
Total			$	640,681					$	36,066					$	604,615

Significant Inputs for Fair Value Measurement - Market Risk Benefits

The following tables provides a summary of the significant inputs and assumptions used in the fair value measurements of market risk benefits:

			September 30, 2023
			Fair Value						Valuation Technique						Significant Inputs and Assumptions						Range						Weighted Average
			(in thousands)
Market risk benefits			$	2,206,392					Discounted cash flow						Utilization (a)						0.04% - 47.37%						5.62%
Ceded market risk benefits			578,292												Option budget (b)						1.85% - 2.75%						2.29%
															Risk-free interest rate (c)						3.63% - 5.44%						4.05%
															Nonperformance risk (d)						0.66% - 3.00%						2.21%
															Mortality (e)						0.01% - 46.00%						3.73%
															Lapse (f)						0.25% - 40.00%						3.69%

			December 31, 2022
			Fair Value						Valuation Technique						Significant Inputs and Assumptions						Range						Weighted Average
			(in thousands)
Market risk benefits			$	2,225,621					Discounted cash flow						Utilization (a)						0.04% - 78.75%						4.24%
Ceded market risk benefits			604,615												Option budget (b)						1.65% - 2.50%						2.31%
															Risk-free interest rate (c)						2.51% - 4.90%						3.31%
															Nonperformance risk (d)						0.06% - 3.27%						2.59%
															Mortality (e)						0.01%- 44.00%						3.44%
															Lapse (f)						0.25%- 40.00%						3.65%

(a)The utilization assumption represents the percentage of policyholders who will elect to receive lifetime income benefit payments in a given year. The range and weighted average of this assumption can vary from year to year depending on the characteristics of policies in a given cohort within the range. A decrease (increase) in the utilization assumption used in the fair value of market risk benefits could lead to favorable (unfavorable) changes in the market risk benefits.

(b)The option budget assumption represents the expected cost of annual call options we will purchases in the future. An increase (decrease) in the option budget assumption used in the fair value of market risk benefits could lead to favorable (unfavorable) changes in the market risk benefits.

(c)The risk-free interest rate assumption impacts the discount rate used in the discounted future cash flow valuation. An increase (decrease) in the risk-free interest rate assumption used in the fair value of market risk benefits could lead to favorable (unfavorable) changes in the market risk benefits.

(d)The nonperformance risk assumption impacts the discount rate used in the discounted future cash flow valuation and includes our own credit risk based on the current market credit spreads for debt-like instruments we have issued and are available in the market. Additionally, the nonperformance risk assumption includes the counterparty credit risk used in the fair value measurement of ceded market risk benefits which is determined using the current market credit spreads based on the counterparty credit rating. An increase (decrease) in the nonperformance risk assumption for own credit risk used in the fair value of market risk benefits could lead to favorable (unfavorable) changes in the market risk benefits. An decrease (increase) in the nonperformance risk assumption for counterparty credit risk used in the fair value of ceded market risk benefits could lead to favorable (unfavorable) changes in the ceded market risk benefits.

(e)The mortality rate assumptions are set based on a combination of company and industry experience, adjusted for improvement factors. Mortality rates vary by age and by demographic characteristics such as gender. An increase (decrease) in the mortality rate assumptions used in the fair value of market risk benefits could lead to favorable (unfavorable) changes in the market risk benefits.

(f)The lapse rate assumptions represent the expected rate of full surrenders which are set based on product type or feature and whether a policy is subject to surrender charges. An increase (decrease) in lapse rate assumptions used in the fair value of market risk benefits could lead to favorable (unfavorable) changes in the market risk benefits.

During the nine months ended September 30, 2023, the Company made the following notable changes to significant inputs and assumptions resulting in changes in the fair value measurement of market risk benefits:

•Utilization assumptions were increased resulting in an increase to the market risk benefits liability and a decrease to net income.

•Option budget assumptions were changed to increase the near term assumption and decrease the long-term assumption. There was no change to the grading of these assumptions. The net impact of these changes resulted in an increase in the market risk benefits and a decrease to net income.

•Mortality assumptions were increased resulting in a decrease to the market risk benefits liability and an increase to net income.

•Lapse assumptions were increased resulting in a decrease to the market risk benefits liability and an increase to net income.

During the year ended December 31, 2022, the Company made the following notable changes to significant inputs and assumptions resulting in changes in the fair value measurement of market risk benefits:

•Utilization assumptions were increased resulting in an increase to the market risk benefits liability and a decrease to net income.

•Option budget assumptions were increased resulting in a decrease to the market risk benefits liability and an increase to net income.

•Mortality assumptions were decreased resulting in an increase to the market risk benefits liability and a decrease to net income.

•Lapse assumptions were increased resulting in a decrease to the market risk benefits liability and an increase to net income.

Policyholder Account Balances

The following table presents the balances and changes in policyholders’ account balances:

									Nine Months Ended   September 30, 2023												Year Ended December 31, 2022
															Fixed Rate Annuities						Fixed Index Annuities						Fixed Rate Annuities						Fixed Index Annuities
															(Dollars in thousands)
Balance, beginning of period															$	6,589,577					$	53,826,234					$	6,860,060					$	55,003,305
Issuances															569,851						5,276,791						159,570						3,001,738
Premiums received															11,871						112,087						4,811						170,493
Policy charges															(3,506)						(188,503)						(6,587)						(272,604)
Surrenders and withdrawals															(713,181)						(4,120,220)						(574,590)						(3,945,504)
Benefit payments															(9,782)						(610,452)						(11,328)						(727,847)
Interest credited															123,713						708,194						151,762						599,259
Other															(18,730)						(2,790)						5,879						(2,606)
Balance, end of period															$	6,549,813					$	55,001,341					$	6,589,577					$	53,826,234
Weighted-average crediting rate															2.53		%				1.75		%				2.28		%				1.11		%
Net amount at risk (a)															$	265,429					$	11,673,620					$	258,826					$	10,987,198
Cash surrender value															$	6,169,436					$	50,607,640					$	6,208,597					$	49,551,657

(a)Net amount at risk is defined as the current guarantee amount in excess of the current account balance.

The following table presents the reconciliation of policyholders’ account balances to policy benefit reserves in the consolidated balance sheets:

			September 30, 2023						December 31, 2022
			(Dollars in thousands)
Fixed index annuities policyholder account balances			$	55,001,341					$	53,826,234
Fixed rate annuities policyholder account balances			6,549,813						6,589,577
Embedded derivative adjustment (b)			(1,684,963)						(1,996,640)
Liability for future policy benefits			292,334						318,677
Deferred profit liability			22,975						19,223
Other			44,594						24,765
Total			$	60,226,094					$	58,781,836

(b)The embedded derivative adjustment reconciles the account balance to the gross GAAP liability and represents the combination of the host contract and the fair value of the embedded derivatives.

The following table presents the balance of account values by range of guaranteed minimum crediting rates and the related range of the difference, in basis points, between rates being credited to policyholders and the respective guaranteed minimums:

			September 30, 2023
			Range of guaranteed minimum crediting rate						At guaranteed minimum						1 to 50						51 to 150						Greater than 150 basis points above						Total
									(Dollars in thousands)
Fixed Index Annuities			0.00% - 0.50%						$	—					$	833,693					$	466,501					$	840,895					$	2,141,089
			0.50% - 1.00%						2,379,142						1,060,459						2,105,601						127,464						5,672,666
			1.00% - 1.50%						45,031						9,083						—						—						54,114
			1.50% - 2.00%						50						—						—						—						50
			2.00% - 2.50%						126,181						78,511						8						—						204,700
			2.50% - 3.00%						817,671						—						—						—						817,671
			Greater than 3.00%						—						—						—						—						—
			Allocated to index strategies																														46,111,051
Total									$	3,368,075					$	1,981,746					$	2,572,110					$	968,359					$	55,001,341
Fixed Rate Annuities			0.00% - 0.50%						$	52					$	—					$	—					$	—					$	52
			0.50% - 1.00%						53,147						178,358						3,833,822						985,499						5,050,826
			1.00% - 1.50%						442,739						235						—						—						442,974
			1.50% - 2.00%						359,167						32,400						226,713						215						618,495
			2.00% - 2.50%						17,870						23						—						—						17,893
			2.50% - 3.00%						365,385						6,956						—						—						372,341
			Greater than 3.00%						47,232						—						—						—						47,232
Total									$	1,285,592					$	217,972					$	4,060,535					$	985,714					$	6,549,813

			December 31, 2022
			Range of guaranteed minimum crediting rate						At guaranteed minimum						1 to 50						51 to 150						Greater than 150 basis points above						Total
									(Dollars in thousands)
Fixed Index Annuities			0.00% - 0.50%						$	—					$	462,356					$	407,426					$	314,929					$	1,184,711
			0.50% - 1.00%						2,421,795						1,098,332						2,258,992						77,901						5,857,020
			1.00% - 1.50%						51,586						9,391						—						—						60,977
			1.50% - 2.00%						57						—						—						—						57
			2.00% - 2.50%						133,059						100,205						8						—						233,272
			2.50% - 3.00%						939,684						—						—						—						939,684
			Greater than 3.00%						—						—						—						—						—
			Allocated to index strategies																														45,550,513
Total									$	3,546,181					$	1,670,284					$	2,666,426					$	392,830					$	53,826,234
Fixed Rate Annuities			0.00% - 0.50%						$	61					$	—					$	—					$	—					$	61
			0.50% - 1.00%						55,458						203,523						4,000,203						701,836						4,961,020
			1.00% - 1.50%						454,728						231						—						—						454,959
			1.50% - 2.00%						281,694						96,767						277,053						189						655,703
			2.00% - 2.50%						21,887						22						—						—						21,909
			2.50% - 3.00%						434,042						7,417						—						—						441,459
			Greater than 3.00%						54,466						—						—						—						54,466
Total									$	1,302,336					$	307,960					$	4,277,256					$	702,025					$	6,589,577

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- Definition

The entire disclosure for long duration contracts. This may include the information pertinent to an understanding of the types of traditional and nontraditional insurance and investment contracts sold and serviced, including the nature and amount of estimated guaranteed obligations pertaining to such contracts and the assumptions underlying such estimated amounts, hedging strategies, and sales inducements offered.

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Topic 944
-SubTopic 40
-Name Accounting Standards Codification
-Section 65
-Paragraph 2
-Subparagraph (u)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147480016/944-40-65-2

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Topic 944
-Name Accounting Standards Codification
-Publisher FASB
-URI https://asc.fasb.org//944/tableOfContent

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