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Fair Values of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2021

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, 2021												December 31, 2020
			Carrying Amount						Fair Value						Carrying Amount						Fair Value
			(Dollars in thousands)
Assets
Fixed maturity securities, available for sale			$	45,690,341					$	45,690,341					$	47,538,893					$	47,538,893
Mortgage loans on real estate			4,290,602						4,400,228						4,165,489						4,327,885
Derivative instruments			1,509,892						1,509,892						1,310,954						1,310,954
Other investments			908,437						908,437						590,078						590,078
Cash and cash equivalents			11,087,125						11,087,125						9,095,522						9,095,522
Coinsurance deposits			4,646,406						4,265,420						4,844,927						4,411,051
Liabilities
Policy benefit reserves			62,755,460						54,495,993						61,406,599						52,928,174
Single premium immediate annuity (SPIA) benefit reserves			233,628						240,883						240,226						247,679
Notes payable			495,811						555,150						495,668						567,345
Subordinated debentures			78,187						81,039						78,112						87,951

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, 2021 and December 31, 2020 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, 2021
Assets
Fixed maturity securities, available for sale:
United States Government full faith and credit			$	38,727					$	33,228					$	5,499					$	—
United States Government sponsored agencies			1,027,441						—						1,027,441						—
United States municipalities, states and territories			3,655,844						—						3,655,844						—
Foreign government obligations			193,944						—						193,944						—
Corporate securities			29,890,265						11						29,890,254						—
Residential mortgage backed securities			1,346,473						—						1,346,473						—
Commercial mortgage backed securities			4,177,242						—						4,177,242						—
Other asset backed securities			5,360,405						—						5,360,405						—
Other investments: equity securities			352,552						350,000						2,552						—
Derivative instruments			1,509,892						—						1,509,892						—
Cash and cash equivalents			11,087,125						11,087,125						—						—
			$	58,639,910					$	11,470,364					$	47,169,546					$	—
Liabilities
Fixed index annuities - embedded derivatives			$	7,680,951					$	—					$	—					$	7,680,951
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

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, 2021						December 31, 2020						March 31, 2021						December 31, 2020
1 - 5						1.25%						1.22%						2.61%						2.63%
6 - 10						1.42%						1.50%						3.12%						3.14%
11 - 15						5.99%						5.66%						3.57%						3.58%
16 - 20						6.88%						7.08%						3.80%						3.79%
20+						7.43%						7.36%						3.64%						3.63%

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, 2021 and 2020:

									Three Months Ended   March 31,
															2021						2020
															(Dollars in thousands)
Fixed index annuities - embedded derivatives
Beginning balance															$	7,938,281					$	9,624,395
Premiums less benefits															119,791						112,158
Change in fair value, net															(377,121)						(1,285,071)
Ending balance															$	7,680,951					$	8,451,482

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