Fair Values of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2023

Fair Values of Financial Instruments

Schedule of Financial Instruments at Fair Value Measured on a Recurring Basis

The following table presents the Company’s fair value hierarchy for those financial instruments measured at fair value on a recurring basis as of June 30, 2023 and December 31, 2022.

			Significant
	Quoted		Other		Significant
	In Active		Observable		Unobservable				Estimated
	Markets		Inputs		Inputs		Net Asset		Fair
(In thousands)	(Level 1)		(Level 2)		(Level 3)		Value		Value
June 30, 2023
Financial assets
Fixed maturity securities:
Bonds
U.S. government obligations	$	-	$	1,651	$	-	$	-	$	1,651
Mortgage-backed securities		-		426,214		-		-		426,214
Asset-backed securities		-		40,218		-		-		40,218
Collateralized loan obligations		-		338,866		-		-		338,866
States and political subdivisions-general obligations		-		125		-		-		125
States and political subdivisions-special revenue		-		-		-		-		-
Corporate		-		48,923		-		-		48,923
Term loans		-		-		682,915		-		682,915
Total fixed maturity securities		-		855,997		682,915		-		1,538,912
Mortgage loans on real estate, held for investment		-		-		352,908		-		352,908
Derivatives		-		36,861		-		-		36,861
Equity securities		-		5,144		-		-		5,144
Other invested assets		-		-		95,138		12,764		107,902
Preferred stock		-		9,952		23,853		-		33,805
Deposits and notes receivable		-		8,041		2,971		-		11,012
Policy loans		-		-		55		-		55
Total investments	$	-	$	915,995	$	1,157,840	$	12,764	$	2,086,599
Financial liabilities
Embedded derivative for equity-indexed contracts	$	—	$	—	$	142,800	$	—		142,800
December 31, 2022
Financial assets
Fixed maturity securities:
Bonds
U.S. government obligations	$	—	$	1,262	$	—	$	—	$	1,262
Mortgage-backed securities		—		294,066		—		—		294,066
Asset-backed securities		—		30,756		—		—		30,756
Collateralized loan obligations		—		287,673		—		—		287,673
States and political subdivisions-general obligations		—		101		—		—		101
States and political subdivisions-special revenue		—		205		—		—		205
Corporate		—		41,600		—		—		41,600
Term loans		—		—		558,972		—		558,972
Total fixed maturity securities		—		655,663		558,972		—		1,214,635
Mortgage loans on real estate, held for investment		—		—		227,047		—		227,047
Derivatives		—		15,934		—		—		15,934
Equity securities		—		5,111		—		—		5,111
Other invested assets		—		—		99,997		12,434		112,431
Preferred stock		—		9,544		21,871		—		31,415
Investment escrow		—		784		—		—		784
Federal Home Loan Bank stock		—		—		1,306		—		1,306
Notes receivable		—		6,269		—		—		6,269
Deposits and notes receivable		—		7,053		1,306		—		8,359
Policy loans		—		—		25		—		25
Total investments	$	—	$	693,305	$	909,218	$	12,434	$	1,614,957
Financial liabilities
Embedded derivative for equity-indexed contracts	$	—	$	—	$	111,618	$	—		111,618

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, 2023 and December 31, 2022, respectively:

	June 30, 2023
			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	$	55	$	—	$	—	$	55	$	55
Cash		194,275		194,275		—		—		194,275
Liabilities:
Policyholder deposits (deposit-type contracts)		2,218,725		—		—		2,218,725		2,218,725

	December 31, 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	$	25	$	—	$	—	$	25	$	25
Cash		191,414		191,414		—		—		191,414
Liabilities:
Policyholder deposits (deposit-type contracts)		1,743,348		—		—		1,743,348		1,743,348

Schedule of Recurring Basis Using Level Three Inputs

	June 30, 2023
			Total realized and unrealized gains (losses)
	Beginning Balance			Included in Income	Included in OCI		Net Purchases, Issuances, Sales, and Settlements		Ending Balance
(In thousands)
Assets
Term loans	$	558,972	$	-	$	(4,947)	$	129,377	$	683,402
Mortgage loans on real estate,
held for investment		227,047		-		-		125,861		352,908
Deposits and notes receivable		1,306		-		-		1,665		2,971
Other invested assets		99,997		-		2,096		(6,955)		95,138
Preferred stock		21,871		(4,220)		-		6,202		23,853
Policy loans		25		-		-		30		55
Total level 3 assets	$	909,218	$	(4,220)	$	(2,851)	$	256,180	$	1,158,327
Liabilities
Embedded derivative for equity-indexed contracts		(111,618)		30,115		-		(61,297)		(142,800)
Total level 3 liabilities	$	(111,618)	$	30,115	$	-	$	(61,297)	$	(142,800)

	December 31, 2022
			Total realized and unrealized gains (losses)
(In thousands)	Beginning Balance			Included in Income	Included in OCI		Net Purchases, Issuances, Sales, and Settlements		Ending Balance
Assets
Term loans	$	267,468	$	-	$	(2,683)	$	294,187	$	558,972
Mortgage loans on real estate,
held for investment		183,203		-		-		43,844		227,047
Deposits and notes receivable		500		-		-		806		1,306
Other invested assets		35,293		-		3,452		61,252		99,997
Preferred stock		18,686		-		(4,229)		7,414		21,871
Policy loans		87		-		-		(62)		25
Total level 3 assets	$	505,237	$	-	$	(3,460)	$	407,441	$	909,218
Liabilities
Embedded derivative for equity-indexed contracts		(123,692)		(10,193)		-		22,267		(111,618)
Total level 3 liabilities	$	(123,692)	$	(10,193)	$	-	$	22,267	$	(111,618)

Summary of unobservable inputs for AFS and trading securities

	June 30, 2023
(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
Term loans	$682.9	Yield Analysis	Discount rates	4.6%	17.3%	12.4%	Decrease
Mortgage loans on real estate	$352.9	Yield Analysis	Principal funded	NA	NA	NA	Decrease
Interest sensitive contract liabilities - fixed indexed annuities embedded derivatives	$142.8	Option Budget Method	Nonperformance risk	0.6%	1.5%	1.1%	Decrease
			Option budget	1.1%	5.9%	2.9%	Increase
			Surrender rate	0.5%	15% (base) 30% (add'l shock)	12.5%	Decrease
Other invested assets	$95.1	Market Approach	EBITDA Multiples	2.6x	3.1x	2.8x	NA
			Discount rates	8.0%	25.5%	14.5%	NA
Preferred stock	$9.7	Yield Analysis	Discount rates	24.0%	28.0%	26.0%	Increase
Detachable warrants	$2.4	Market Approach GPCM	EBITDA Multiples	10.0x	11.5x	100.0%	Decrease
Preferred stock	$11.8	Market Approach	EBITDA Multiples	2.55x	3.05x	2.8x	Decrease
* Weighted by account value

	December 31, 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
Term loans	$559.0	Yield Analysis	Discount rates	4.6%	17.3%	12.4%	Decrease
Mortgage loans on real estate	$227.0	Yield Analysis	Principal funded	NA	NA	NA	Decrease
Interest sensitive contract liabilities - fixed indexed annuities embedded derivatives	$111.6	Option Budget Method	Nonperformance risk	0.6%	1.5%	1.1%	Decrease
			Option budget	1.1%	5.7%	2.7%	Increase
			Surrender rate	0.5%	15% (base) 30% (add'l shock)	10.5%	Decrease
Other invested assets	$100.0	Market Approach	EBITDA Multiples	2.6x	3.1x	2.8x	NA
			Discount rates	8.0%	25.5%	14.5%	NA
Preferred equity	$6.1	Yield Analysis	Discount rates	24.0%	28.0%	26.0%	Increase
Detachable warrants	$2.2	Market Approach GPCM	EBITDA Multiples	10.0x	11.5x	100.0%	Decrease
Preferred stock	$31.4	Market Approach	EBITDA Multiples	2.55x	3.05x	2.8x	Decrease
* Weighted by account value