XML 39 R29.htm IDEA: XBRL DOCUMENT v3.22.2.2
Fair Values of Financial Instruments (Tables)
6 Months Ended
Jun. 30, 2022
Investments, All Other Investments [Abstract]  
Schedule of Financial Instruments at Fair Value Measured on a Recurring Basis

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Significant

​

​

​

​

​

​

​

​

Quoted

​

Other

​

Significant

​

​

​

​

​

In Active

​

Observable

​

Unobservable

​

Estimated

​

​

Markets

​

Inputs

​

Inputs

​

Fair

(In thousands)

    

(Level 1)

    

(Level 2)

    

(Level 3)

    

Value

June 30, 2022

 

​

  

 

​

  

 

​

  

 

​

  

Financial assets

​

​

​

​

​

​

​

​

​

​

​

​

Fixed maturity securities:

 

​

  

 

​

  

 

​

  

 

​

  

Bonds

​

​

​

​

​

​

​

​

​

​

​

​

U.S. government obligations

​

$

—

​

$

2,029

​

$

—

​

$

2,029

Mortgage-backed securities

​

​

—

​

​

142,022

​

​

—

​

​

142,022

Asset-backed securities

​

​

—

​

​

37,068

​

​

—

​

​

37,068

Collateralized loan obligations

​

​

—

​

​

218,326

​

​

—

​

​

218,326

States and political subdivisions-general obligations

​

 

—

​

 

203

​

 

—

​

 

203

States and political subdivisions-special revenue

​

 

—

​

 

131

​

 

—

​

 

131

Corporate

​

 

—

​

 

35,032

​

 

—

​

 

35,032

Term loans

​

​

—

​

​

—

​

 

448,127

​

 

448,127

Redeemable preferred stock

​

​

—

​

​

11,533

​

​

—

​

​

11,533

Total fixed maturity securities

​

​

—

​

​

446,344

​

​

448,127

​

​

894,471

Mortgage loans on real estate, held for investment

​

​

—

​

​

—

​

​

193,902

​

​

193,902

Derivatives

​

​

—

​

​

7,190

​

​

—

​

​

7,190

Equity securities

​

​

—

​

​

11,925

​

​

—

​

​

11,925

Other invested assets

​

​

—

​

​

—

​

​

71,170

​

​

71,170

Investment escrow

​

​

—

​

​

1,491

​

​

—

​

​

1,491

Federal Home Loan Bank (FHLB) stock

​

​

—

​

​

—

​

​

500

​

​

500

Preferred stock

​

​

—

​

​

—

​

​

22,072

​

​

22,072

Notes receivable

​

​

—

​

​

6,111

​

​

—

​

​

6,111

Policy loans

​

​

—

​

​

—

​

​

22

​

​

22

Total Investments

​

$

—

​

$

473,061

​

$

735,793

​

$

1,208,854

Financial liabilities

​

​

​

​

​

​

​

​

​

​

​

​

Embedded derivative for equity-indexed contracts

​

$

—

​

$

—

​

$

107,281

​

​

107,281

​

​

​

​

​

​

​

​

​

​

​

​

​

December 31, 2021

​

 

  

​

 

  

​

 

  

​

 

​

Financial assets

 

​

  

 

​

  

 

​

  

 

​

  

Fixed maturity securities:

​

​

​

​

​

​

​

​

​

​

​

​

Bonds

​

​

​

​

​

​

​

​

​

​

​

​

U.S. government obligations

​

$

—

​

$

1,882

​

$

—

​

$

1,882

Mortgage-backed securities

​

​

—

​

​

55,280

​

​

—

​

​

55,280

Asset-backed securities

​

​

—

​

​

24,951

​

​

—

​

​

24,951

Corporate

​

​

—

​

​

274,523

​

​

—

​

​

274,523

States and political subdivisions-general obligations

​

​

—

​

 

114

​

 

—

​

 

114

States and political subdivisions-special revenue

​

​

—

​

 

5,612

​

 

—

​

 

5,612

Corporate

​

​

—

​

 

37,139

​

 

—

​

 

37,139

Term loans

​

 

—

​

​

—

​

 

267,468

​

 

267,468

Trust preferred

​

 

—

​

​

2,237

​

​

—

​

​

2,237

Redeemable preferred stock

​

​

—

​

​

14,090

​

​

—

​

​

14,090

Total fixed maturity securities

​

​

—

​

​

415,828

​

​

267,468

​

​

683,296

Mortgage loans on real estate, held for investment

​

​

—

​

​

—

​

​

183,203

​

​

183,203

Derivatives

​

​

—

​

​

23,022

​

​

—

​

​

23,022

Equity securities

​

​

—

​

​

21,869

​

​

—

​

​

21,869

Other invested assets

​

​

—

​

​

—

​

​

35,293

​

​

35,293

Investment escrow

​

​

—

​

​

3,611

​

​

—

​

​

3,611

Federal Home Loan Bank (FHLB) stock

​

​

—

​

​

—

​

​

500

​

​

500

Preferred stock

​

​

—

​

​

—

​

​

18,686

​

​

18,686

Notes receivable

​

​

—

​

​

5,960

​

​

—

​

​

5,960

Policy loans

​

​

—

​

​

—

​

​

87

​

​

87

Total Investments

​

$

—

​

$

470,290

​

$

505,237

​

$

975,527

Financial liabilities

​

​

​

​

​

​

​

​

​

​

​

​

Embedded derivative for equity-indexed contracts

​

​

—

​

​

—

​

$

123,692

​

$

123,692

Schedule of Financial Assets and Liabilities at Fair Value

The following disclosure contains the carrying values, estimated fair values and their corresponding placement in the fair value hierarchy for financial assets and financial liabilities as of June 30, 2022, and as of December 31, 2021, respectively:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2022

​

​

​

​

​

Fair Value Measurements Using

​

​

​

​

​

Quoted Prices in

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Active Markets

​

Significant Other

​

Significant

​

​

​

​

​

​

​

​

for Identical Assets

​

Observable

​

Unobservable

​

​

​

​

​

Carrying

​

and Liabilities

​

Inputs

​

Inputs

​

Fair

(In thousands)

    

Amount

    

(Level 1)

    

(Level 2)

    

(Level 3)

    

Value

Assets:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Policy loans

​

$

22

​

$

—

​

$

—

​

$

22

​

$

22

Cash equivalents

​

 

128,964

​

 

—

​

 

128,964

​

 

—

​

 

128,964

Liabilities:

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

Policyholder deposits (deposit-type contracts)

​

 

1,283,660

​

 

—

​

 

—

​

 

1,283,660

​

 

1,283,660

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

December 31, 2021

​

​

​

​

​

Fair Value Measurements Using

​

​

​

​

​

Quoted Prices in

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Active Markets

​

Significant Other

​

Significant

​

​

​

​

​

​

​

​

for Identical Assets

​

Observable

​

Unobservable

​

​

​

​

​

Carrying

​

and Liabilities

​

Inputs

​

Inputs

​

Fair

(In thousands)

    

Amount

    

(Level 1)

    

(Level 2)

    

(Level 3)

    

Value

Assets:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Policy loans

​

$

87

​

$

—

​

$

—

​

$

87

​

$

87

Cash equivalents

​

 

142,013

​

 

—

​

 

142,013

​

 

—

​

 

142,013

Liabilities:

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

Policyholder deposits (deposit-type contracts)

​

 

1,075,439

​

 

—

​

 

—

​

 

1,075,439

​

 

1,075,439

Schedule of Recurring Basis Using Level Three Inputs

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

    

June 30, 2022

​

​

​

​

​

Total realized and unrealized gains (losses)

​

​

​

​

​

​

​

​

Beginning Balance

    

​

Included in
Income

​

Included in AOCI

​

Net Purchases,
Issuances, Sales,
and Settlements

​

Ending Balance

(In thousands)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Assets

 

​

  

 

​

​

​

​

  

​

​

  

 

​

  

Term loans

​

$

267,468

​

$

—

​

$

1,963

​

$

178,696

​

​

448,127

Mortgage loans on real estate,

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

held for investment

​

​

183,203

​

​

—

​

​

—

​

​

10,699

​

​

193,902

Federal Home Loan Bank (FHLB) stock

​

​

500

​

​

—

​

​

—

​

​

—

​

​

500

Other invested assets

​

​

35,293

​

​

(871)

​

​

(4,175)

​

​

40,923

​

​

71,170

Preferred stock

​

​

18,686

​

​

2,232

​

​

—

​

​

1,153

​

​

22,071

Total level 3 assets

​

$

505,150

​

$

1,361

​

$

(2,212)

​

$

231,471

​

$

735,770

Liabilities

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Embedded derivative for equity-indexed contracts

​

​

(123,692)

​

​

(14,165)

​

​

—

​

​

30,576

​

​

(107,281)

Total level 3 liabilities

​

$

(123,692)

​

$

(14,165)

​

$

—

​

$

30,576

​

$

(107,281)

​

The following table presents a reconciliation of the beginning balance for all investments measured at fair value on a recurring basis using level three inputs during the year ended December 31, 2021:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

    

December 31, 2021

​

​

​

​

​

Total realized and unrealized gains (losses)

​

​

​

​

​

​

(In thousands)

    

Beginning Balance

    

​

Included in
Income

​

Included in AOCI

​

Net Purchases,
Issuances, Sales,
and Settlements

​

Ending Balance

Assets

 

​

  

 

​

​

​

​

  

​

​

  

​

​

  

Term loans

​

$

107,254

​

$

(1,326)

​

$

225

​

$

161,315

​

$

267,468

Mortgage loans on real estate,

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

held for investment

​

​

94,990

​

​

—

​

​

—

​

​

88,213

​

​

183,203

Federal Home Loan Bank (FHLB) stock

​

​

—

​

​

—

​

​

—

​

​

500

​

​

500

Other invested assets

​

​

21,897

​

​

810

​

​

(671)

​

​

13,257

​

​

35,293

Preferred stock

​

​

3,898

​

​

—

​

​

157

​

​

14,631

​

​

18,686

Total level 3 assets

​

$

228,039

​

$

(516)

​

$

(289)

​

$

277,916

​

$

505,150

Liabilities

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Embedded derivative for equity-indexed contracts

​

​

(84,501)

​

​

(4,169)

​

​

—

​

​

(35,022)

​

​

(123,692)

Total level 3 liabilities

​

$

(84,501)

​

$

(4,169)

​

$

—

​

$

(35,022)

​

$

(123,692)

Summary of unobservable inputs for AFS and trading securities

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2022

(In millions, except for percentages and multiples)

​

Fair value

​

Valuation technique

​

Unobservable inputs

​

Minimum

​

Maximum

​

Weighted average*

​

Impact of an increase in the input on fair value

Interest sensitive contract liabilities - fixed indexed annuities embedded derivatives

​

$107.3

​

Option Budget Method

​

Nonperformance risk

​

0.8%

​

1.8%

​

1.3%

​

Decrease

​

​

​

​

​

​

Option budget

​

1.1%

​

4.1%

​

2.5%

​

Increase

​

​

​

​

​

​

Surrender rate

​

0.5%

​

15% (base)
30% (add'l shock)

​

8.1%

​

Decrease

Preferred equity

​

$4.9

​

Yield analysis

​

Discount rates

​

17.5%

​

19.5%

​

18.5%

​

Increase

Detachable warrants

​

$3.8

​

Market Approach - GPCM

​

EBITDA Multiples

​

9.0x

​

10.0x

​

100.0%

​

Increase

* Weighted by account value

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

December 31, 2021

(In millions, except for percentages and multiples)

​

Fair value

​

Valuation technique

​

Unobservable inputs

​

Minimum

​

Maximum

​

Weighted average*

​

Impact of an increase in the input on fair value

Interest sensitive contract liabilities - fixed indexed annuities embedded derivatives

​

$123.7

​

Option Budget Method

​

Nonperformance risk

​

0.3%

​

1.1%

​

0.6%

​

Decrease

​

​

​

​

​

​

Option budget

​

1.1%

​

3.4%

​

2.4%

​

Increase

​

​

​

​

​

​

Surrender rate

​

0.5%

​

15% (base)
30% (add'l shock)

​

7.7%

​

Decrease

Preferred equity

​

$4.9

​

Yield analysis

​

Discount rates

​

17.5%

​

19.5%

​

18.5%

​

Increase

Detachable warrants

​

$3.8

​

Market Approach - GPCM

​

EBITDA Multiples

​

9.0x

​

10.0x

​

100.0%

​

Increase

* Weighted by account value

​

​

​

​

​

​

​

​

​

​

​

​

​

​