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Fair Values of Financial Instruments (Tables)

9 Months Ended

Sep. 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:

			September 30, 2023												December 31, 2022
			Carrying Amount						Fair Value						Carrying Amount						Fair Value
			(Dollars in thousands)
Assets
Fixed maturity securities, available for sale			$	32,084,932					$	32,084,932					$	39,804,617					$	39,804,617
Mortgage loans on real estate			7,494,983						6,920,180						6,949,027						6,502,463
Real estate investments			1,191,255						1,191,255						1,056,063						1,056,063
Limited partnerships and limited liability companies			1,172,525						1,172,525						684,835						684,835
Derivative instruments			733,784						733,784						431,727						431,727
Other investments			1,207,672						1,207,672						1,817,085						1,817,085
Cash and cash equivalents			10,188,438						10,188,438						1,919,669						1,919,669
Coinsurance deposits			14,628,884						13,723,689						13,254,956						12,640,797
Market risk benefits			346,515						346,515						229,871						229,871
Liabilities
Policy benefit reserves			59,884,652						56,592,975						58,419,911						55,572,896
Market risk benefits			2,552,907						2,552,907						2,455,492						2,455,492
Single premium immediate annuity (SPIA) benefit reserves			195,757						204,102						212,119						221,130
Other policy funds - FHLB			—						—						300,000						300,000
Notes and loan payable			787,098						761,550						792,073						774,220
Subordinated debentures			79,017						80,060						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 September 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)
September 30, 2023
Assets
Fixed maturity securities, available for sale:
U.S. Government and agencies			$	162,885					$	—					$	27,068					$	135,817					$	—
States, municipalities and territories			2,564,670						—						—						2,442,796						121,874
Foreign corporate securities and foreign governments			428,227						—						—						428,227						—
Corporate securities			19,211,380						—						—						18,959,540						251,840
Residential mortgage backed securities			1,342,984						—						—						1,342,984						—
Commercial mortgage backed securities			2,983,030						—						—						2,983,030						—
Other asset backed securities			5,391,756						—						—						4,638,696						753,060
Other investments			724,223						—						390,923						333,300						—
Real estate investments			1,191,255						—						—						—						1,191,255
Limited partnerships and limited liability companies			1,172,525						1,023,691						—						—						148,834
Derivative instruments			733,784						—						—						733,784						—
Cash and cash equivalents			10,188,438						—						10,188,438						—						—
Market risk benefits (a)			346,515						—						—						—						346,515
			$	46,441,672					$	1,023,691					$	10,606,429					$	31,998,174					$	2,813,378
Liabilities
Funds withheld liability - embedded derivative			$	(525,960)					$	—					$	—					$	—					$	(525,960)
Fixed index annuities - embedded derivatives			4,604,191						—						—						—						4,604,191
Market risk benefits (a)			2,552,907						—						—						—						2,552,907
			$	6,631,138					$	—					$	—					$	—					$	6,631,138
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 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
Contract Duration (Years)						September 30, 2023						December 31, 2022
1 - 5						2.00%						2.17%
6 - 10						3.60%						3.28%
11 - 15						3.75%						3.63%
16 - 20						9.35%						8.55%
20+						4.91%						4.90%

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 nine months ended September 30, 2023 and 2022:

			Three Months Ended   September 30,												Nine Months Ended   September 30,
			2023						2022						2023						2022
			(Dollars in thousands)
Fixed maturity securities, available for sale - States, municipalities and territories
Beginning balance			$	129,303					$	—					$	—					$	—
Purchases and sales, net			—						—						—						—
Transfers in			—						—						108,823						—
Transfers out			—						—						—						—
Total realized/unrealized gains (losses)
Included in net income			—						—						—						—
Included in other comprehensive income (loss)			(7,429)						—						13,051						—
Ending balance			$	121,874					$	—					$	121,874					$	—
Fixed maturity securities, available for sale - Corporate securities
Beginning balance			$	251,137					$	77,726					$	402,348					$	—
Purchases and sales, net			—						—						(26,278)						—
Transfers in			17,281						241,878						66,954						319,604
Transfers out			—						—						(172,174)						—
Total realized/unrealized gains (losses):
Included in net income			—						—						—						—
Included in other comprehensive income (loss)			(16,578)						(72)						(19,010)						(72)
Ending balance			$	251,840					$	319,532					$	251,840					$	319,532
Fixed maturity securities, available for sale - Other asset backed securities
Beginning balance			$	742,924					$	64,550					$	442,918					$	—
Purchases and sales, net			—						—						227,032						—
Transfers in			23,244						37,151						153,746						101,701
Transfers out			—						—						(20,817)						—
Total realized/unrealized gains (losses):
Included in net income			—						—						—						—
Included in other comprehensive income (loss)			(13,108)						(3,456)						(49,819)						(3,456)
Ending balance			$	753,060					$	98,245					$	753,060					$	98,245

			Three Months Ended   September 30,												Nine Months Ended   September 30,
			2023						2022						2023						2022
			(Dollars in thousands)
Other investments
Beginning balance			$	23,244					$	—					$	—					$	6,349
Transfers in			—						—						9,821						—
Transfers out			(23,244)						—						(23,244)						(3,867)
Total realized/unrealized gains (losses):
Included in net income			—						—						—						(2,482)
Included in other comprehensive income (loss)			—						—						13,423						—
Ending balance			$	—					$	—					$	—					$	—
Real estate investments
Beginning balance			$	1,158,772					$	672,475					$	940,559					$	337,939
Purchases and sales, net			27,396						250,062						257,129						553,628
Change in fair value			5,087						(24,864)						(6,433)						6,106
Ending balance			$	1,191,255					$	897,673					$	1,191,255					$	897,673
Limited partnerships and limited liability companies
Beginning balance			$	151,040					$	—					$	64,209					$	—
Purchases and sales, net			1,260						—						98,736						—
Change in fair value			(3,466)						—						(14,111)						—
Ending balance			$	148,834					$	—					$	148,834					$	—
Funds withheld liability - embedded derivative
Beginning balance			$	(397,234)					$	—					$	(441,864)					$	—
Transfers in			—						(520,458)						—						(520,458)
Change in fair value			(128,726)						—						(84,096)						—
Ending balance			$	(525,960)					$	(520,458)					$	(525,960)					$	(520,458)
Fixed index annuities - embedded derivatives
Beginning balance			$	5,014,697					$	5,836,312					$	4,820,845					$	7,964,961
Premiums less benefits			(23,488)						(92,242)						(176,978)						(28,759)
Change in fair value, net			(387,018)						(466,244)						(39,676)						(2,658,376)
Reserve release related to in-force ceded reinsurance			—						(20,784)						—						(20,784)
Ending balance			$	4,604,191					$	5,257,042					$	4,604,191					$	5,257,042

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 nine months ended September 30, 2023 and 2022:

			Three Months Ended   September 30,												Nine Months Ended   September 30,
			2023						2022						2023						2022
			(Dollars in thousands)
Fixed maturity securities, available for sale - States, municipalities and territories
Beginning balance			$	129,303					$	—					$	—					$	—
Purchases and sales, net			—						—						—						—
Transfers in			—						—						108,823						—
Transfers out			—						—						—						—
Total realized/unrealized gains (losses)
Included in net income			—						—						—						—
Included in other comprehensive income (loss)			(7,429)						—						13,051						—
Ending balance			$	121,874					$	—					$	121,874					$	—
Fixed maturity securities, available for sale - Corporate securities
Beginning balance			$	251,137					$	77,726					$	402,348					$	—
Purchases and sales, net			—						—						(26,278)						—
Transfers in			17,281						241,878						66,954						319,604
Transfers out			—						—						(172,174)						—
Total realized/unrealized gains (losses):
Included in net income			—						—						—						—
Included in other comprehensive income (loss)			(16,578)						(72)						(19,010)						(72)
Ending balance			$	251,840					$	319,532					$	251,840					$	319,532
Fixed maturity securities, available for sale - Other asset backed securities
Beginning balance			$	742,924					$	64,550					$	442,918					$	—
Purchases and sales, net			—						—						227,032						—
Transfers in			23,244						37,151						153,746						101,701
Transfers out			—						—						(20,817)						—
Total realized/unrealized gains (losses):
Included in net income			—						—						—						—
Included in other comprehensive income (loss)			(13,108)						(3,456)						(49,819)						(3,456)
Ending balance			$	753,060					$	98,245					$	753,060					$	98,245

			Three Months Ended   September 30,												Nine Months Ended   September 30,
			2023						2022						2023						2022
			(Dollars in thousands)
Other investments
Beginning balance			$	23,244					$	—					$	—					$	6,349
Transfers in			—						—						9,821						—
Transfers out			(23,244)						—						(23,244)						(3,867)
Total realized/unrealized gains (losses):
Included in net income			—						—						—						(2,482)
Included in other comprehensive income (loss)			—						—						13,423						—
Ending balance			$	—					$	—					$	—					$	—
Real estate investments
Beginning balance			$	1,158,772					$	672,475					$	940,559					$	337,939
Purchases and sales, net			27,396						250,062						257,129						553,628
Change in fair value			5,087						(24,864)						(6,433)						6,106
Ending balance			$	1,191,255					$	897,673					$	1,191,255					$	897,673
Limited partnerships and limited liability companies
Beginning balance			$	151,040					$	—					$	64,209					$	—
Purchases and sales, net			1,260						—						98,736						—
Change in fair value			(3,466)						—						(14,111)						—
Ending balance			$	148,834					$	—					$	148,834					$	—
Funds withheld liability - embedded derivative
Beginning balance			$	(397,234)					$	—					$	(441,864)					$	—
Transfers in			—						(520,458)						—						(520,458)
Change in fair value			(128,726)						—						(84,096)						—
Ending balance			$	(525,960)					$	(520,458)					$	(525,960)					$	(520,458)
Fixed index annuities - embedded derivatives
Beginning balance			$	5,014,697					$	5,836,312					$	4,820,845					$	7,964,961
Premiums less benefits			(23,488)						(92,242)						(176,978)						(28,759)
Change in fair value, net			(387,018)						(466,244)						(39,676)						(2,658,376)
Reserve release related to in-force ceded reinsurance			—						(20,784)						—						(20,784)
Ending balance			$	4,604,191					$	5,257,042					$	4,604,191					$	5,257,042

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