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Fair Values of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2019

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:

	March 31, 2019								December 31, 2018
	Carrying Amount				Fair Value				Carrying Amount				Fair Value
	(Dollars in thousands)
Assets
Fixed maturity securities, available for sale	$	48,037,107			$	48,037,107			$	45,923,727			$	45,923,727
Mortgage loans on real estate	3,049,998				3,054,546				2,943,091				2,920,612
Derivative instruments	755,866				755,866				205,149				205,149
Other investments	361,804				352,390				355,531				348,970
Cash and cash equivalents	1,115,890				1,115,890				344,396				344,396
Coinsurance deposits	4,995,744				4,549,793				4,954,068				4,553,790
Interest rate caps	268				268				597				597
Interest rate swap	—				—				354				354
Counterparty collateral	114,137				114,137				33,101				33,101
Liabilities
Policy benefit reserves	58,639,873				49,765,848				57,249,510				49,180,143
Single premium immediate annuity (SPIA) benefit reserves	266,102				274,693				270,406				279,077
Notes payable	494,720				501,000				494,591				489,985
Subordinated debentures	243,090				235,003				242,982				215,514
Amounts due under repurchase agreements	243,331				243,331				109,298				109,298
Interest rate swap	95				95				—				—

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 March 31, 2019 and December 31, 2018 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)
March 31, 2019
Assets
Fixed maturity securities, available for sale:
United States Government full faith and credit	$	11,701			$	5,967			$	5,734			$	—
United States Government sponsored agencies	1,187,340				—				1,187,340				—
United States municipalities, states and territories	4,174,846				—				4,174,846				—
Foreign government obligations	235,542				—				235,542				—
Corporate securities	30,014,197				8				30,014,189				—
Residential mortgage backed securities	1,201,332				—				1,201,332				—
Commercial mortgage backed securities	5,543,512				—				5,543,512				—
Other asset backed securities	5,668,637				—				5,668,637				—
Other investments: equity securities, available for sale	7,439				—				7,439				—
Derivative instruments	755,866				—				755,866				—
Cash and cash equivalents	1,115,890				1,115,890				—				—
Interest rate caps	268				—				268				—
Counterparty collateral	114,137				—				114,137				—
	$	50,030,707			$	1,121,865			$	48,908,842			$	—
Liabilities
Interest rate swap	$	95			$	—			$	95			$	—
Fixed index annuities - embedded derivatives	8,876,055				—				—				8,876,055
	$	8,876,150			$	—			$	95			$	8,876,055
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

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)		March 31, 2019		December 31, 2018		March 31, 2019		December 31, 2018
1 - 5		2.31%		2.05%		3.34%		3.33%
6 - 10		7.53%		7.28%		3.34%		3.33%
11 - 15		11.37%		11.35%		3.36%		3.35%
16 - 20		11.85%		11.90%		3.23%		3.22%
20+		11.54%		11.57%		3.23%		3.22%

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 months ended March 31, 2019 and 2018:

	Three Months Ended   March 31,
	2019				2018
	(Dollars in thousands)
Fixed index annuities - embedded derivatives
Beginning balance	$	8,165,405			$	8,790,427
Premiums less benefits	58,008				549,153
Change in fair value, net	652,642				(1,106,023		)
Ending balance	$	8,876,055			$	8,233,557

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