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Fair Values of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2018

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,
	2018								2017
	Carrying Amount				Fair Value				Carrying Amount				Fair Value
	(Dollars in thousands)
Assets
Fixed maturity securities:
Available for sale	$	45,923,727			$	45,923,727			$	45,372,989			$	45,372,989
Held for investment	—				—				77,041				76,460
Mortgage loans on real estate	2,943,091				2,920,612				2,665,531				2,670,037
Derivative instruments	205,149				205,149				1,568,380				1,568,380
Other investments	355,531				348,970				616,764				605,894
Cash and cash equivalents	344,396				344,396				1,434,045				1,434,045
Coinsurance deposits	4,954,068				4,553,790				4,858,289				4,347,990
Interest rate caps	597				597				415				415
Interest rate swap	354				354				—				—
Counterparty collateral	33,101				33,101				186,108				186,108
Liabilities
Policy benefit reserves	57,249,510				49,180,143				55,786,011				46,344,931
Single premium immediate annuity (SPIA) benefit reserves	270,406				279,077				282,563				292,153
Notes payable	494,591				489,985				494,093				521,800
Subordinated debentures	242,982				215,514				242,565				244,117
Amounts due under repurchase agreements	109,298				109,298				—				—
Interest rate swap	—				—				789				789

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, 2018 and 2017 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, 2018
Assets
Fixed maturity securities:
Available for sale:
United States Government full faith and credit	$	11,652			$	5,900			$	5,752			$	—
United States Government sponsored agencies	1,138,529				—				1,138,529				—
United States municipalities, states and territories	4,126,267				—				4,126,267				—
Foreign government obligations	230,274				—				230,274				—
Corporate securities	28,371,514				7				28,371,507				—
Residential mortgage backed securities	1,202,159				—				1,202,159				—
Commercial mortgage backed securities	5,379,003				—				5,379,003				—
Other asset backed securities	5,464,329				—				5,464,329				—
Other investments: equity securities, available for sale	7,437				—				7,437				—
Derivative instruments	205,149				—				205,149				—
Cash and cash equivalents	344,396				344,396				—				—
Interest rate caps	597				—				597				—
Interest rate swap	354				—				354				—
Counterparty collateral	33,101				—				33,101				—
	$	46,514,761			$	350,303			$	46,164,458			$	—
Liabilities
Fixed index annuities - embedded derivatives	$	8,165,405			$	—			$	—			$	8,165,405
December 31, 2017
Assets
Fixed maturity securities:
Available for sale:
United States Government full faith and credit	$	11,876			$	5,640			$	6,236			$	—
United States Government sponsored agencies	1,305,017				—				1,305,017				—
United States municipalities, states and territories	4,166,812				—				4,166,812				—
Foreign government obligations	239,360				—				239,360				—
Corporate securities	29,878,971				5				29,878,966				—
Residential mortgage backed securities	1,105,567				—				1,105,567				—
Commercial mortgage backed securities	5,544,850				—				5,544,850				—
Other asset backed securities	3,120,536				—				3,120,536				—
Other investments: equity securities, available for sale	292,429				285,000				7,429				—
Derivative instruments	1,568,380				—				1,568,380				—
Cash and cash equivalents	1,434,045				1,434,045				—				—
Interest rate caps	415				—				415				—
Counterparty collateral	186,108				—				186,108				—
	$	48,854,366			$	1,724,690			$	47,129,676			$	—
Liabilities
Interest rate swap	$	789			$	—			$	789			$	—
Fixed index annuities - embedded derivatives	8,790,427				—				—				8,790,427
	$	8,791,216			$	—			$	789			$	8,790,427

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)		December 31, 2018		December 31, 2017		December 31, 2018		December 31, 2017
1 - 5		2.05%		1.83%		3.33%		3.32%
6 - 10		7.28%		7.01%		3.33%		3.32%
11 - 15		11.35%		11.31%		3.35%		3.34%
16 - 20		11.90%		11.96%		3.22%		3.20%
20+		11.57%		11.62%		3.22%		3.20%

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 years ended December 31, 2018 and 2017:

	Year Ended December 31,
	2018				2017
	(Dollars in thousands)
Fixed index annuities - embedded derivatives
Beginning balance	$	8,790,427			$	6,563,288
Premiums less benefits	1,542,606				2,052,985
Change in fair value, net	(2,167,628		)		174,154
Ending balance	$	8,165,405			$	8,790,427

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