XML 45 R35.htm IDEA: XBRL DOCUMENT

Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2023

Schedule of Assets and Liabilities that are Measured at Fair Value on a Recurring Basis

The following tables set forth the Company’s assets and liabilities that are measured at fair value on a recurring basis as of the date indicated.


	June 30, 2023
	Total		Level 1	Level 2	Level 3

	(In thousands)

Debt securities, available-for-sale	$	7,324,100	—	6,840,120	483,980
Debt securities, trading	1,069,625		—	928,001	141,624
Equity securities	23,157		19,697	3,460	—
Mortgage loans	19,422		—	—	19,422
Derivatives, index options	72,863		—	—	72,863

Short-term investments	7,821		—	7,821	—


Total assets	$	8,516,988	19,697	7,779,402	717,889

Policyholder account balances (a)	$	430,320	—	—	430,320
Market risk benefits liabilities, net (b)	208,803		—	—	208,803
Embedded derivative contra-liability (c)	(313,744)		—	(304,318)	(9,426)
Other liabilities (d)	50,295		—	—	50,295

Total liabilities	$	375,674	—	(304,318)	679,992

(a) Represents the fair value of certain product-related embedded derivatives that were recorded at fair value.

(b) Represents the fair value of the market risk benefits liability which is recorded at fair value.

(d) Represents the liability for share-based compensation which is recorded at fair value.


	December 31, 2022
	Total		Level 1	Level 2	Level 3

	(In thousands)

Debt securities, available-for-sale	$	7,611,633	—	7,148,838	462,795
Debt security, trading	1,065,993		—	942,756	123,237
Equity securities	22,076		18,407	3,669	—
Mortgage loans	19,334		—	—	19,334
Derivatives, index options	23,669		—	—	23,669
Market risk benefits assets	—		—	—	—
Short-term investments	3,937		—	3,937	—


Total assets	$	8,746,642	18,407	8,099,200	629,035

Policyholder account balances (a)	$	387,686	—	—	387,686
Market risk benefits liabilities, net (b)	167,018		—	—	167,018
Embedded derivative contra-liability (c)	(334,955)		—	(324,712)	(10,243)
Other liabilities (d)	20,542		—	—	20,542

Total liabilities	$	240,291	—	(324,712)	565,003

(a) Represents the fair value of certain product-related embedded derivatives that were recorded at fair value.

(b) Represents the fair value of the market risk benefits liability which is recorded at fair value.

(d) Represents the liability for share-based compensation which is recorded at fair value.

Schedule of Assets by Pricing Source and Fair Value Hierarchy Level

The following tables present, by pricing source and fair value hierarchy level, the Company's assets that are measured at fair value on a recurring basis.


	June 30, 2023
	Total			Level 1		Level 2		Level 3

	(In thousands)

Debt securities, available-for-sale:
Priced by third-party vendors	$	7,210,694		—		6,840,120		370,574
Priced internally	113,406			—		—		113,406
Subtotal	7,324,100			—		6,840,120		483,980

Debt securities, trading:
Priced by third-party vendors	1,069,625			—		928,001		141,624
Priced internally	—			—		—		—
Subtotal	1,069,625			—		928,001		141,624

Equity securities:
Priced by third-party vendors	23,157			19,697		3,460		—
Priced internally	—			—		—		—
Subtotal	23,157			19,697		3,460		—

Mortgage loans:
Priced by third-party vendors	—			—		—		—
Priced internally	19,422			—		—		19,422
Subtotal	19,422			—		—		19,422

Derivatives, index options:
Priced by third-party vendors	72,863			—		—		72,863
Priced internally	—			—		—		—
Subtotal	72,863			—		—		72,863

Short-term Investments:
Priced by third-party vendors	7,821			—		7,821		—
Priced internally	—			—		—		—
Subtotal	7,821			—		7,821		—

Total	$	8,516,988		19,697		7,779,402		717,889

Percent of total	100.0		%	0.2	%	91.4	%	8.4	%


	December 31, 2022
	Total			Level 1		Level 2		Level 3

	(In thousands)

Debt securities, available-for-sale:
Priced by third-party vendors	$	7,535,630		—		7,148,838		386,792
Priced internally	76,003			—		—		76,003
Subtotal	7,611,633			—		7,148,838		462,795

Debt securities, trading:
Priced by third-party vendors	1,065,993			—		942,756		123,237
Priced internally	—			—		—		—
Subtotal	1,065,993			—		942,756		123,237

Equity securities:
Priced by third-party vendors	22,076			18,407		3,669		—
Priced internally	—			—		—		—
Subtotal	22,076			18,407		3,669		—

Mortgage loans:
Priced by third-party vendors	—			—		—		—
Priced internally	19,334			—		—		19,334
Subtotal	19,334			—		—		19,334

Derivatives, index options:
Priced by third-party vendors	23,669			—		—		23,669
Priced internally	—			—		—		—
Subtotal	23,669			—		—		23,669

Short-term investments:
Priced by third-party vendors	3,937			—		3,937		—
Priced internally	—			—		—		—
Subtotal	3,937			—		3,937		—

Total	$	8,746,642		18,407		8,099,200		629,035

Percent of total	100.0		%	0.2	%	92.6	%	7.2	%

Schedule of Significant Unobservable Inputs for Fair Value Measurements

The following tables provide additional information about fair value measurements for Level 3 for which significant unobservable inputs were utilized to determine fair value.


	Three Months Ended June 30, 2023
	Assets
	Debt Securities, Available-for-Sale		Trading Securities	Derivatives, Index Options	Mortgage Loans	Total Assets

	(In thousands)

Beginning balance, April 1, 2023	$	488,349	145,899	39,233	19,555	693,036
Total realized and unrealized gains (losses):
Included in net earnings	—		(861)	20,921	(102)	19,958
Included in other comprehensive income (loss)	(1,751)		—	—	—	(1,751)
Purchases, sales, issuances and settlements, net:
Purchases	13,124		4,405	12,979	—	30,508
Sales	—		—	—	—	—
Issuances	—		—	—	—	—
Settlements	(15,742)		(7,819)	(270)	(31)	(23,862)
Transfers into (out of) Level 3	—		—	—	—	—

Balance at end of period June 30, 2023	$	483,980	141,624	72,863	19,422	717,889

Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets/liabilities held at the end of the reporting period:
Net investment income	$	—	(861)	21,841	(102)	20,878
Benefits and expenses	—		—	—	—	—

Total	$	—	(861)	21,841	(102)	20,878


	Three Months Ended June 30, 2023
	Total Liabilities
	Embedded Derivative on Funds Withheld Liability		Policyholder Account Balances	Other Liabilities	Market Risk Benefits Liabilities, net	Total Liabilities



Beginning balance, April 1, 2023	$	(8,464)	394,153	17,244	211,357	614,290
Total realized and unrealized gains (losses):
Included in net earnings	(962)		23,458	34,582	(2,619)	54,459
Included in other comprehensive income (loss)	—		—	—	—	—
Purchases, sales, issuances and settlements, net:
Purchases	—		12,979	—	—	12,979
Sales	—		—	—	—	—
Issuances	—		—	22	65	87
Settlements	—		(270)	(1,553)	—	(1,823)
Transfers into (out of) Level 3	—		—	—	—	—

Balance at end of period June 30, 2023	$	(9,426)	430,320	50,295	208,803	679,992

Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets/liabilities held at the end of the reporting period:
Net investment income	$	(962)	—	—	—	(962)
Benefits and expenses	—		21,841	34,582	(2,619)	53,804

Total	$	(962)	21,841	34,582	(2,619)	52,842


	Three Months Ended June 30, 2022
	Assets
	Debt Securities, Available-for-Sale		Trading Securities	Derivatives, Index Options	Mortgage Loans	Total Assets

	(In thousands)

Beginning balance, April 1, 2022	$	338,201	101,504	44,861	11,120	495,686
Total realized and unrealized gains (losses):
Included in net earnings	—		(3,235)	(38,425)	(670)	(42,330)
Included in other comprehensive income (loss)	(15,689)		—	—	—	(15,689)
Purchases, sales, issuances and settlements, net:
Purchases	57,979		1,500	13,800	8,319	81,598
Sales	—		—	—	—	—
Issuances	—		—	—	—	—
Settlements	(6,534)		—	(14,165)	(31)	(20,730)
Transfers into (out of) Level 3	—		—	—	—	—

Balance at end of period June 30, 2022	$	373,957	99,769	6,071	18,738	498,535

Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets/liabilities held at the end of the reporting period:
Net investment income	$	—	(3,235)	(26,975)	(670)	(30,880)
Benefits and expenses	—		—	—	—	—

Total	$	—	(3,235)	(26,975)	(670)	(30,880)


	Three Months Ended June 30, 2022
	Total Liabilities
	Embedded Derivative on Funds Withheld Liability		Policyholder Account Balances	Other Liabilities	Market Risk Benefits Liabilities	Total Liabilities



Beginning balance, April 1, 2022	$	(2,636)	444,582	8,444	234,844	685,234
Total realized and unrealized gains (losses):
Included in net earnings	(3,898)		(61,496)	936	(58,130)	(122,588)
Included in other comprehensive income (loss)	—		—	—	—	—
Purchases, sales, issuances and settlements, net:
Purchases	—		13,800	—	—	13,800
Sales	—		—	—	—	—
Issuances	—		—	29	44	73
Settlements	—		(14,165)	(77)	—	(14,242)
Transfers into (out of) Level 3	—		—	—	—	—

Balance at end of period June 30, 2022	$	(6,534)	382,721	9,332	176,758	562,277

Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets/liabilities held at the end of the reporting period:
Net investment income	$	(3,898)	—	—	—	(3,898)
Benefits and expenses	—		(26,975)	936	(58,130)	(84,169)

Total	$	(3,898)	(26,975)	936	(58,130)	(88,067)


	Six Months Ended June 30, 2023
	Assets
	Debt Securities, Available-for-Sale		Trading Securities	Derivatives, Index Options	Mortgage Loans	Total Assets

	(In thousands)

Beginning balance, January 1, 2023	$	462,796	123,236	23,669	19,334	629,035
Total realized and unrealized gains (losses):
Included in net earnings	—		664	23,854	152	24,670
Included in other comprehensive income (loss)	4,855		—	—	—	4,855
Purchases, sales, issuances and settlements, net:
Purchases	35,657		28,762	25,610	—	90,029
Sales	—		—	—	—	—
Issuances	—		—	—	—	—
Settlements	(19,328)		(11,038)	(270)	(64)	(30,700)
Transfers into (out of) Level 3	—		—	—	—	—

Balance at end of period June 30, 2023	$	483,980	141,624	72,863	19,422	717,889

Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets/liabilities held at the end of the reporting period:
Net investment income	$	—	664	25,074	152	25,890
Benefits and expenses	—		—	—	—	—

Total	$	—	664	25,074	152	25,890


		Six Months Ended June 30, 2023
	Liabilities
		Embedded Derivative on Funds Withheld Liability		Policyholder Account Balances	Other Liabilities	Market Risk Benefits Liabilities	Total Liabilities

		(In thousands)

Beginning balance, January 1, 2023		$	(10,243)	387,686	20,542	167,018	565,003
Total realized and unrealized gains (losses):
Included in net earnings		817		17,294	32,268	41,698	92,077
Included in other comprehensive income (loss)		—		—	—	—	—
Purchases, sales, issuances and settlements, net:
Purchases		—		25,610	—	—	25,610
Sales		—		—	—	—	—
Issuances		—		—	22	87	109
Settlements		—		(270)	(2,537)	—	(2,807)
Transfers into (out of) Level 3		—		—	—	—	—

Balance at end of period June 30, 2023		$	(9,426)	430,320	50,295	208,803	679,992

Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets/liabilities held at the end of the reporting period:
Net investment income		$	817	—	—	—	817
Benefits and expenses		—		25,074	32,268	41,698	99,040

Total		$	817	25,074	32,268	41,698	99,857


	Six Months Ended June 30, 2022
	Assets
	Debt Securities, Available-for-Sale		Trading Securities	Derivatives, Index Options	Mortgage Loans	Total Assets

	(In thousands)

Beginning balance, January 1, 2022	$	326,962	74,822	101,622	8,469	511,875
Total realized and unrealized gains (losses):
Included in net earnings	—		(6,603)	(76,624)	(1,128)	(84,355)
Included in other comprehensive income (loss)	(30,693)		—	—	—	(30,693)
Purchases, sales, issuances and settlements, net:
Purchases	95,984		31,550	26,257	11,459	165,250
Sales	—		—	—	—	—
Issuances	—		—	—	—	—
Settlements	(18,296)		—	(45,184)	(62)	(63,542)
Transfers into (out of) Level 3	—		—	—	—	—

Balance at end of period June 30, 2022	$	373,957	99,769	6,071	18,738	498,535

Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets/liabilities held at the end of the reporting period:
Net investment income	$	—	(6,603)	(59,382)	(1,128)	(67,113)
Benefits and expenses	—		—	—	—	—

Total	$	—	(6,603)	(59,382)	(1,128)	(67,113)


		Six Months Ended June 30, 2022
	Liabilities
		Embedded Derivative on Funds Withheld Liability		Policyholder Account Balances	Other Liabilities	Market Risk Benefits Liabilities	Total Liabilities

		(In thousands)

Beginning balance, January 1, 2022		$	—	550,596	7,869	299,833	858,298
Total realized and unrealized gains (losses):
Included in net earnings		(7,703)		(148,948)	2,511	(123,487)	(277,627)
Included in other comprehensive income (loss)		—		—	—	—	—
Purchases, sales, issuances and settlements, net:
Purchases		—		26,257	—	—	26,257
Sales		—		—	—	—	—
Issuances		—		—	29	412	441
Settlements		—		(45,184)	(1,077)	—	(46,261)
Transfers into (out of) Level 3		1,169		—	—	—	1,169

Balance at end of period June 30, 2022		$	(6,534)	382,721	9,332	176,758	562,277

Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets/liabilities held at the end of the reporting period:
Net investment income		$	(7,703)	—	—	—	(7,703)
Benefits and expenses		—		(59,382)	2,511	(123,487)	(180,358)

Total		$	(7,703)	(59,382)	2,511	(123,487)	(188,061)

Schedule of Quantitative Information of Level 3 Assets

The following table presents the valuation method for financial assets and liabilities priced internally and categorized as level 3, as well as the unobservable inputs used in the valuation of those financial instruments:

June 30, 2023

Fair Value

Valuation Technique

Unobservable Input

Range (Weighted Average)

(In thousands)

Assets:

Debt securities available-for-sale

113,406

Discounted cash flows

Discount rate

4.32% - 7.37% (5.62%)

Mortgage loans

19,422

Discounted cash flows

Spread

175 - 300 bps

Total assets

132,828

Liabilities:

Policyholder account balances

430,320

Deterministic cash flow model

Projected option cost

0.00% - 8.91% (3.48%)

Share-based compensation

50,295

Black-Scholes model

Expected term

0.4 to 9.5 years

Expected volatility

39.94%

Market risk benefits liabilities, net

208,803

Risk-neutral valuation

Benefit utilization rates

5% - 20% (5%)

Total liabilities

689,418

December 31, 2022

Fair Value

Valuation Technique

Unobservable Input

Range (Weighted Average)

(In thousands)

Assets:

Debt securities available-for-sale

76,003

Discounted cash flows

Discount rate

4.32% - 7.28% (5.79%)

Mortgage loans

19,334

Discounted cash flows

Spread

150 - 300 bps

Total assets

95,337

Liabilities:

Policyholder account balances

387,686

Deterministic cash flow model

Projected option cost

0.00% - 5.7% (2.92%)

Share-based compensation

20,542

Black-Scholes model

Expected term

0.9 to 10.0 years

Expected volatility

36.18%

Market risk benefits liabilities, net

167,018

Risk-neutral valuation

Benefit utilization rates

5% - 20% (5%)

Total liabilities

575,246

Schedule of Carrying Amounts and Fair Values of the Company's Financial Instruments

The carrying amounts and fair values of the Company's financial instruments are as follows:


	June 30, 2023
				Fair Value Hierarchy Level
	Carrying Values		Fair Values	Level 1	Level 2	Level 3

	(In thousands)

ASSETS

Debt securities, available-for-sale	$	7,324,100	7,324,100	—	6,840,120	483,980
Debt securities, trading	1,069,625		1,069,625	—	928,001	141,624
Cash and cash equivalents	291,820		291,820	291,820	—	—
Mortgage loans	495,411		448,594	—	—	448,594
Real estate	27,413		47,867	—	—	47,867
Policy loans	69,123		88,368	—	—	88,368
Other loans	38,991		39,052	—	—	39,052
Derivatives, index options	72,863		72,863	—	—	72,863
Equity securities	23,157		23,157	19,697	3,460	—
Short-term investments	7,821		7,821	—	7,821	—
Life interest in Libbie Shearn Moody Trust	7,100		12,775	—	—	12,775
Other investments	4,513		30,323	—	—	30,323

LIABILITIES
Deferred annuity contracts	$	5,228,773	3,626,023	—	—	3,626,023
Immediate annuity and supplemental contracts	356,181		363,023	—	—	363,023
Market risk benefits liabilities, net	208,803		208,803	—	—	208,803


	December 31, 2022
				Fair Value Hierarchy Level
	Carrying Values		Fair Values	Level 1	Level 2	Level 3

	(In thousands)
ASSETS

Debt securities, available-for-sale	$	7,611,633	7,611,633	—	7,148,837	462,796
Debt securities, trading	1,065,993		1,065,993	—	942,756	123,237
Cash and cash equivalents	295,270		295,270	295,270	—	—
Mortgage loans	505,730		457,873	—	—	457,873
Real estate	27,712		47,867	—	—	47,867
Policy loans	70,495		87,478	—	—	87,478
Other loans	31,586		31,915	—	—	31,915
Derivatives, index options	23,669		23,669	—	—	23,669
Equity securities	22,076		22,076	18,407	3,669	—
Short-term investments	3,937		3,937	—	3,937	—
Life interest in Libbie Shearn Moody Trust	7,100		12,775	—	—	12,775
Other investments	4,513		26,230	—	—	26,230

LIABILITIES
Deferred annuity contracts	$	5,583,038	3,934,517	—	—	3,934,517
Immediate annuity and supplemental contracts	367,128		373,346	—	—	373,346
Market risk benefits liabilities, net	167,018		167,018	—	—	167,018