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Fair Values of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2015

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:

	December 31,
	2015								2014
	Carrying Amount				Fair Value				Carrying Amount				Fair Value
	(Dollars in thousands)
Assets
Fixed maturity securities:
Available for sale	$	36,421,839			$	36,421,839			$	32,445,202			$	32,445,202
Held for investment	76,622				65,377				76,432				75,838
Equity securities, available for sale	7,828				7,828				7,805				7,805
Mortgage loans on real estate	2,435,257				2,471,864				2,434,580				2,493,901
Derivative instruments	337,256				337,256				731,113				731,113
Other investments	285,044				290,075				266,488				273,004
Cash and cash equivalents	397,749				397,749				701,514				701,514
Coinsurance deposits	3,187,470				2,860,882				3,044,342				2,698,552
Interest rate caps	1,411				1,411				2,778				2,778
2015 notes hedges	—				—				30,291				30,291
Counterparty collateral	82,312				82,312				206,096				206,096
Liabilities
Policy benefit reserves	45,151,460				38,435,515				39,463,987				33,078,978
Single premium immediate annuity (SPIA) benefit reserves	324,264				336,066				365,440				377,654
Notes payable	400,000				417,752				421,679				503,349
Subordinated debentures	246,450				216,933				246,243				244,437
2015 notes embedded conversion derivative	—				—				30,291				30,291
Interest rate swap	3,139				3,139				2,644				2,644

Assets and Liabilities Measured on a Recurring Basis by Fair Value Hierarchy

Our assets and liabilities which are measured at fair value on a recurring basis as of December 31, 2015 and 2014 are presented below based on the fair value hierarchy levels:

	Total Fair Value				Quoted Prices in Active Markets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)
	(Dollars in thousands)
December 31, 2015
Assets
Fixed maturity securities:
Available for sale:
United States Government full faith and credit	$	471,256			$	438,598			$	32,658			$	—
United States Government sponsored agencies	1,398,611				—				1,398,611				—
United States municipalities, states and territories	3,755,367				—				3,755,367				—
Foreign government obligations	212,565				—				212,565				—
Corporate securities	23,802,394				121				23,802,273				—
Residential mortgage backed securities	1,462,072				—				1,462,072				—
Commercial mortgage backed securities	4,174,396				—				4,174,396				—
Other asset backed securities	1,145,178				—				1,145,178				—
Equity securities, available for sale: finance, insurance and real estate	7,828				—				7,828				—
Derivative instruments	337,256				—				337,256				—
Cash and cash equivalents	397,749				397,749				—				—
Interest rate caps	1,411				—				1,411				—
Counterparty collateral	82,312				—				82,312				—
	$	37,248,395			$	836,468			$	36,411,927			$	—
Liabilities
Interest rate swap	$	3,139			$	—			$	3,139			$	—
Fixed index annuities—embedded derivatives	5,983,622				—				—				5,983,622
	$	5,986,761			$	—			$	3,139			$	5,983,622
December 31, 2014
Assets
Fixed maturity securities:
Available for sale:
United States Government full faith and credit	$	138,460			$	4,255			$	134,205			$	—
United States Government sponsored agencies	1,393,890				—				1,393,890				—
United States municipalities, states and territories	3,723,309				—				3,723,309				—
Foreign government obligations	193,803				—				193,803				—
Corporate securities	21,490,292				11				21,490,281				—
Residential mortgage backed securities	1,751,345				—				1,750,970				375
Commercial mortgage backed securities	2,807,620				—				2,807,620				—
Other asset backed securities	946,483				—				946,483				—
Equity securities, available for sale: finance, insurance and real estate	7,805				—				7,805				—
Derivative instruments	731,113				—				731,113				—
Cash and cash equivalents	701,514				701,514				—				—
Interest rate caps	2,778				—				2,778				—
2015 notes hedges	30,291				—				30,291				—
Counterparty collateral	206,096				—				206,096				—
	$	34,124,799			$	705,780			$	33,418,644			$	375
Liabilities
2015 notes embedded conversion derivative	$	30,291			$	—			$	30,291			$	—
Interest rate swap	2,644				—				2,644				—
Fixed index annuities—embedded derivatives	5,574,653				—				—				5,574,653
	$	5,607,588			$	—			$	32,935			$	5,574,653

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)		Year Ended December 31, 2015			Year Ended December 31, 2014			Year Ended December 31, 2015			Year Ended December 31, 2014
1 - 5		1.58	%		1.60	%		3.08	%		3.07	%
6 - 10		8.55	%		8.14	%		3.55	%		3.54	%
11 - 15		12.01	%		11.58	%		3.59	%		3.56	%
16 - 20		12.99	%		12.25	%		3.22	%		3.31	%
20+		12.54	%		11.94	%		3.22	%		3.31	%

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

	Year Ended December 31,
	2015				2014
	(Dollars in thousands)
Available for sale securities
Beginning balance	$	375			$	1,376
Principal returned	(23		)		(285		)
Amortization of premium/accretion of discount	(494		)		(262		)
Total gains (losses) (realized/unrealized):
Included in other comprehensive income (loss)	280				109
Included in operations	(138		)		(563		)
Ending balance	$	—			$	375

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

	Year Ended December 31,
	2015				2014
	(Dollars in thousands)
Fixed index annuities—embedded derivatives
Beginning balance	$	5,574,653			$	4,406,163
Premiums less benefits	1,234,637				1,700,827
Change in fair value, net	(825,668		)		(532,337		)
Ending balance	$	5,983,622			$	5,574,653

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