Fair Values of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2022

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:


	December 31,
	2022				2021
	Carrying Amount		Fair Value		Carrying Amount		Fair Value
	(Dollars in thousands)
Assets
Fixed maturity securities, available for sale	$	39,804,617	$	39,804,617	$	51,305,943	$	51,305,943
Mortgage loans on real estate	6,949,027		6,502,463		5,687,998		5,867,227
Real estate investments	1,056,063		1,056,063		337,939		337,939
Limited partnerships and limited liability companies	684,835		684,835		168,711		168,711
Derivative instruments	431,727		431,727		1,277,480		1,277,480
Other investments	1,817,085		1,817,085		1,247,024		1,247,024
Cash and cash equivalents	1,919,669		1,919,669		4,508,982		4,508,982
Coinsurance deposits	13,254,956		12,640,797		8,988,891		8,188,338
Market risk benefits	229,871		229,871		526,373		526,373



Liabilities
Policy benefit reserves	58,419,911		55,572,896		62,169,441		56,375,076
Market risk benefits	2,455,492		2,455,492		3,162,162		3,162,162
Single premium immediate annuity (SPIA) benefit reserves	212,119		221,130		226,207		235,891
Other policy funds - FHLB	300,000		300,000		—		—
Notes and loan payable	792,073		774,220		496,250		569,485
Subordinated debentures	78,753		87,293		78,421		93,721

Assets and Liabilities Measured 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 December 31, 2022 and 2021 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)
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

December 31, 2021
Assets
Fixed maturity securities, available for sale:
U.S. Government and agencies	$	1,078,746	$	—	$	32,737	$	1,046,009	$	—
States, municipalities and territories	3,927,201		—		—		3,927,201		—
Foreign corporate securities and foreign governments	402,545		—		—		402,545		—
Corporate securities	34,660,234		—		32,700		34,627,534		—
Residential mortgage backed securities	1,125,049		—		—		1,125,049		—
Commercial mortgage backed securities	4,840,311		—		—		4,840,311		—
Other asset backed securities	5,271,857		—		—		5,271,857		—
Other investments	12,226		—		—		5,877		6,349
Real estate investments	337,939		—		—		—		337,939
Limited partnerships and limited liability companies	168,711		168,711		—		—		—
Derivative instruments	1,277,480		—		—		1,277,480		—
Cash and cash equivalents	4,508,982		—		4,508,982		—		—
Market risk benefits (a)	526,373		—		—		—		526,373


	$	58,137,654	$	168,711	$	4,574,419	$	52,523,863	$	870,661
Liabilities
Funds withheld liability - embedded derivative	$	(2,362)	$	—	$	—	$	(2,362)	$	—
Fixed index annuities - embedded derivatives	7,964,961		—		—		—		7,964,961
Market risk benefits (a)	3,162,162		—		—		—		3,162,162
	$	11,124,761	$	—	$	—	$	(2,362)	$	11,127,123

(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)	December 31, 2022	December 31, 2021	December 31, 2022	December 31, 2021
1 - 5	2.17%	3.04%	1.86%	2.19%
6 - 10	3.28%	2.84%	1.97%	2.26%
11 - 15	3.63%	4.47%	1.86%	2.14%
16 - 20	8.55%	8.93%	2.96%	1.33%
20+	4.90%	4.93%	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 years ended December 31, 2022 and 2021:


	Year Ended December 31,
	2022		2021
	(Dollars in thousands)
Fixed maturity securities, available for sale - Corporate securities
Beginning balance	$	—	$	—
Purchases	2,233		—

Transfers in	391,702		—
Transfers out	—		—
Total realized/unrealized gains (losses):
Included in net income	—		—
Included in other comprehensive income (loss)	8,413		—
Ending balance	$	402,348	$	—

Fixed maturity securities, available for sale - Other asset backed securities
Beginning balance	$	—	$	—
Purchases	296,800		—

Transfers in	153,669		—
Transfers out	—		—
Total realized/unrealized gains (losses):
Included in net income	—		—
Included in other comprehensive income (loss)	(7,551)		—
Ending balance	$	442,918	$	—

Other investments
Beginning balance	$	6,349	$	—
Transfers in	—		6,349
Transfers out	(3,867)		—
Total realized/unrealized gains (losses):
Included in net income	(2,482)		—
Included in other comprehensive income (loss)	—		—
Ending balance	$	—	$	6,349


	Year Ended December 31,
	2022		2021
	(Dollars in thousands)
Real estate investments
Beginning balance	$	337,939	$	—
Purchases and sales, net	602,298		335,767
Change in fair value	322		2,172
Ending balance	$	940,559	$	337,939

Limited partnerships and limited liability companies
Beginning balance	$	—	$	—
Purchases and sales, net	57,574		—
Change in fair value	6,635		—
Ending balance	$	64,209	$	—

Funds withheld liability - embedded derivative
Beginning balance	$	—	$	—
Transfers in	(441,864)		—
Change in fair value	—		—
Ending balance	$	(441,864)	$	—

Fixed index annuities - embedded derivatives
Beginning balance	$	7,964,961	$	7,938,281
Premiums less benefits	(125,940)		1,424,372
Change in fair value, net	(2,561,676)		(876,803)
Reserve release related to in-force ceded reinsurance	(456,500)		(520,889)
Ending balance	$	4,820,845	$	7,964,961

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


	Year Ended December 31,
	2022		2021
	(Dollars in thousands)
Fixed maturity securities, available for sale - Corporate securities
Beginning balance	$	—	$	—
Purchases	2,233		—

Transfers in	391,702		—
Transfers out	—		—
Total realized/unrealized gains (losses):
Included in net income	—		—
Included in other comprehensive income (loss)	8,413		—
Ending balance	$	402,348	$	—

Fixed maturity securities, available for sale - Other asset backed securities
Beginning balance	$	—	$	—
Purchases	296,800		—

Transfers in	153,669		—
Transfers out	—		—
Total realized/unrealized gains (losses):
Included in net income	—		—
Included in other comprehensive income (loss)	(7,551)		—
Ending balance	$	442,918	$	—

Other investments
Beginning balance	$	6,349	$	—
Transfers in	—		6,349
Transfers out	(3,867)		—
Total realized/unrealized gains (losses):
Included in net income	(2,482)		—
Included in other comprehensive income (loss)	—		—
Ending balance	$	—	$	6,349


	Year Ended December 31,
	2022		2021
	(Dollars in thousands)
Real estate investments
Beginning balance	$	337,939	$	—
Purchases and sales, net	602,298		335,767
Change in fair value	322		2,172
Ending balance	$	940,559	$	337,939

Limited partnerships and limited liability companies
Beginning balance	$	—	$	—
Purchases and sales, net	57,574		—
Change in fair value	6,635		—
Ending balance	$	64,209	$	—

Funds withheld liability - embedded derivative
Beginning balance	$	—	$	—
Transfers in	(441,864)		—
Change in fair value	—		—
Ending balance	$	(441,864)	$	—

Fixed index annuities - embedded derivatives
Beginning balance	$	7,964,961	$	7,938,281
Premiums less benefits	(125,940)		1,424,372
Change in fair value, net	(2,561,676)		(876,803)
Reserve release related to in-force ceded reinsurance	(456,500)		(520,889)
Ending balance	$	4,820,845	$	7,964,961