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Fair Values of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2020

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,
			2020												2019
			Carrying Amount						Fair Value						Carrying Amount						Fair Value
			(Dollars in thousands)
Assets
Fixed maturity securities, available for sale			$	47,538,893					$	47,538,893					$	51,580,490					$	51,580,490
Mortgage loans on real estate			4,165,489						4,327,885						3,448,793						3,536,446
Derivative instruments			1,310,954						1,310,954						1,355,989						1,355,989
Other investments			590,078						590,078						492,301						492,301
Cash and cash equivalents			9,095,522						9,095,522						2,293,392						2,293,392
Coinsurance deposits			4,844,927						4,411,051						5,115,013						4,635,926
Interest rate caps			—						—						6						6
Liabilities
Policy benefit reserves			61,406,599						52,928,174						61,540,992						51,800,247
Single premium immediate annuity (SPIA) benefit reserves			240,226						247,679						255,698						263,773
Notes payable			495,668						567,345						495,116						541,520
Subordinated debentures			78,112						87,951						157,265						168,357

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, 2020 and 2019 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, 2020
Assets
Fixed maturity securities, available for sale:
United States Government full faith and credit			$	39,771					$	33,940					$	5,831					$	—
United States Government sponsored agencies			1,039,551						—						1,039,551						—
United States municipalities, states and territories			3,776,131						—						3,776,131						—
Foreign government obligations			202,706						—						202,706						—
Corporate securities			31,156,827						8						31,156,819						—
Residential mortgage backed securities			1,512,831						—						1,512,831						—
Commercial mortgage backed securities			4,261,227						—						4,261,227						—
Other asset backed securities			5,549,849						—						5,549,849						—
Derivative instruments			1,310,954						—						1,310,954						—
Cash and cash equivalents			9,095,522						9,095,522						—						—
			$	57,945,369					$	9,129,470					$	48,815,899					$	—
Liabilities
Fixed index annuities - embedded derivatives			$	7,938,281					$	—					$	—					$	7,938,281
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

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, 2020						December 31, 2019						December 31, 2020						December 31, 2019
1 - 5						1.22%						0.90%						2.63%						3.33%
6 - 10						1.50%						1.29%						3.14%						3.84%
11 - 15						5.66%						3.31%						3.58%						4.12%
16 - 20						7.08%						8.52%						3.79%						4.18%
20+						7.36%						7.10%						3.63%						4.12%

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, 2020 and 2019:

			Year Ended December 31,
			2020						2019
			(Dollars in thousands)
Fixed index annuities - embedded derivatives
Beginning balance			$	9,624,395					$	8,165,405
Premiums less benefits			235,971						896,688
Change in fair value, net			(1,922,085)						562,302
Ending balance			$	7,938,281					$	9,624,395

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