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Fair Values of Financial Instruments (Tables)

12 Months Ended

Dec. 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:

	December 31,
	2019								2018
	Carrying Amount				Fair Value				Carrying Amount				Fair Value
	(Dollars in thousands)
Assets
Fixed maturity securities, available for sale	$	51,580,490			$	51,580,490			$	45,923,727			$	45,923,727
Mortgage loans on real estate	3,448,793				3,536,446				2,943,091				2,920,612
Derivative instruments	1,355,989				1,355,989				205,149				205,149
Other investments	492,301				492,301				355,531				348,970
Cash and cash equivalents	2,293,392				2,293,392				344,396				344,396
Coinsurance deposits	5,115,013				4,635,926				4,954,068				4,553,790
Interest rate caps	6				6				597				597
Interest rate swap	—				—				354				354
Counterparty collateral	—				—				33,101				33,101
Liabilities
Policy benefit reserves	61,540,992				51,800,247				57,249,510				49,180,143
Single premium immediate annuity (SPIA) benefit reserves	255,698				263,773				270,406				279,077
Notes payable	495,116				541,520				494,591				489,985
Subordinated debentures	157,265				168,357				242,982				215,514
Amounts due under repurchase agreements	—				—				109,298				109,298

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, 2019 and 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)
December 31, 2019
Assets
Fixed maturity securities, available for sale:
United States Government full faith and credit	$	161,765			$	155,945			$	5,820			$	—
United States Government sponsored agencies	625,020				—				625,020				—
United States municipalities, states and territories	4,527,671				—				4,527,671				—
Foreign government obligations	205,096				—				205,096				—
Corporate securities	32,536,839				4				32,536,835				—
Residential mortgage backed securities	1,575,664				—				1,575,664				—
Commercial mortgage backed securities	5,786,279				—				5,786,279				—
Other asset backed securities	6,162,156				—				6,162,156				—
Derivative instruments	1,355,989				—				1,355,989				—
Cash and cash equivalents	2,293,392				2,293,392				—				—
Interest rate caps	6				—				6				—
	$	55,229,877			$	2,449,341			$	52,780,536			$	—
Liabilities
Fixed index annuities - embedded derivatives	$	9,624,395			$	—			$	—			$	9,624,395
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				—
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				—
	$	46,507,324			$	350,303			$	46,157,021			$	—
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)		December 31, 2019		December 31, 2018		December 31, 2019		December 31, 2018
1 - 5		0.90%		2.05%		3.33%		3.33%
6 - 10		1.29%		7.28%		3.84%		3.33%
11 - 15		3.31%		11.35%		4.12%		3.35%
16 - 20		8.52%		11.90%		4.18%		3.22%
20+		7.10%		11.57%		4.12%		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 years ended December 31, 2019 and 2018:

	Year Ended December 31,
	2019				2018
	(Dollars in thousands)
Fixed index annuities - embedded derivatives
Beginning balance	$	8,165,405			$	8,790,427
Premiums less benefits	896,688				1,542,606
Change in fair value, net	562,302				(2,167,628		)
Ending balance	$	9,624,395			$	8,165,405

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