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Fair Values of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2017

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:

	June 30, 2017								December 31, 2016
	Carrying Amount				Fair Value				Carrying Amount				Fair Value
	(Dollars in thousands)
Assets
Fixed maturity securities:
Available for sale	$	43,893,785			$	43,893,785			$	41,060,494			$	41,060,494
Held for investment	76,931				76,702				76,825				68,766
Mortgage loans on real estate	2,553,391				2,554,995				2,480,956				2,522,035
Derivative instruments	1,086,624				1,086,624				830,519				830,519
Other investments	314,421				305,551				308,774				300,918
Cash and cash equivalents	1,574,913				1,574,913				791,266				791,266
Coinsurance deposits	4,710,650				4,213,996				4,639,492				4,150,792
Interest rate caps	468				468				1,082				1,082
Counterparty collateral	144,283				144,283				145,693				145,693
Liabilities
Policy benefit reserves	53,546,680				44,785,605				51,280,331				43,104,183
Single premium immediate annuity (SPIA) benefit reserves	286,856				296,948				297,724				308,028
Notes and loan payable	888,660				929,437				493,755				519,440
Subordinated debentures	242,045				245,190				241,853				225,106
Amounts due under repurchase agreements	61,673				61,673				—				—
Interest rate swap	2,001				2,001				2,113				2,113

Assets and Liabilities Measured at Fair Value 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 June 30, 2017 and December 31, 2016 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)
June 30, 2017
Assets
Fixed maturity securities:
Available for sale:
United States Government full faith and credit	$	12,174			$	5,807			$	6,367			$	—
United States Government sponsored agencies	1,340,839				—				1,340,839				—
United States municipalities, states and territories	4,137,714				—				4,137,714				—
Foreign government obligations	238,869				—				238,869				—
Corporate securities	29,287,071				6				29,287,065				—
Residential mortgage backed securities	1,181,850				—				1,181,850				—
Commercial mortgage backed securities	5,540,383				—				5,540,383				—
Other asset backed securities	2,154,885				—				2,154,885				—
Other investments: equity securities, available for sale	7,982				—				7,982				—
Derivative instruments	1,086,624				—				1,086,624				—
Cash and cash equivalents	1,574,913				1,574,913				—				—
Interest rate caps	468				—				468				—
Counterparty collateral	144,283				—				144,283				—
	$	46,708,055			$	1,580,726			$	45,127,329			$	—
Liabilities
Interest rate swap	$	2,001			$	—			$	2,001			$	—
Fixed index annuities - embedded derivatives	7,552,365				—				—				7,552,365
	$	7,554,366			$	—			$	2,001			$	7,552,365
December 31, 2016
Assets
Fixed maturity securities:
Available for sale:
United States Government full faith and credit	$	11,805			$	5,381			$	6,424			$	—
United States Government sponsored agencies	1,344,787				—				1,344,787				—
United States municipalities, states and territories	3,926,950				—				3,926,950				—
Foreign government obligations	236,341				—				236,341				—
Corporate securities	27,114,418				6				27,114,412				—
Residential mortgage backed securities	1,254,835				—				1,254,835				—
Commercial mortgage backed securities	5,365,235				—				5,365,235				—
Other asset backed securities	1,806,123				—				1,806,123				—
Other investments: equity securities, available for sale	8,000				—				8,000				—
Derivative instruments	830,519				—				830,519				—
Cash and cash equivalents	791,266				791,266				—				—
Interest rate caps	1,082				—				1,082				—
Counterparty collateral	145,693				—				145,693				—
	$	42,837,054			$	796,653			$	42,040,401			$	—
Liabilities
Interest rate swap	$	2,113			$	—			$	2,113			$	—
Fixed index annuities - embedded derivatives	6,563,288				—				—				6,563,288
	$	6,565,401			$	—			$	2,113			$	6,563,288

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)		June 30, 2017		December 31, 2016		June 30, 2017		December 31, 2016
1 - 5		1.95%		1.76%		3.31%		3.30%
6 - 10		6.85%		6.58%		3.32%		3.30%
11 - 15		11.28%		11.25%		3.33%		3.32%
16 - 20		11.99%		12.04%		3.19%		3.18%
20+		11.65%		11.68%		3.19%		3.18%

Liabilities 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 liabilities, which are measured at fair value on a recurring basis using significant unobservable inputs for the three and six months ended June 30, 2017 and 2016:

	Three Months Ended   June 30,								Six Months Ended   June 30,
	2017				2016				2017				2016
	(Dollars in thousands)
Fixed index annuities - embedded derivatives
Beginning balance	$	7,051,000			$	6,254,466			$	6,563,288			$	5,983,622
Premiums less benefits	497,689				44,632				909,191				135,761
Change in fair value, net	3,676				199,917				79,886				379,632
Ending balance	$	7,552,365			$	6,499,015			$	7,552,365			$	6,499,015

X

- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

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Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

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