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Fair Values of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 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:

			September 30, 2021												December 31, 2020
			Carrying Amount						Fair Value						Carrying Amount						Fair Value
			(Dollars in thousands)
Assets
Fixed maturity securities, available for sale			$	45,738,097					$	45,738,097					$	47,538,893					$	47,538,893
Mortgage loans on real estate			4,288,742						4,457,776						4,165,489						4,327,885
Real estate investments			259,262						259,262						—						—
Derivative instruments			990,033						990,033						1,310,954						1,310,954
Other investments			1,021,226						1,021,226						590,078						590,078
Cash and cash equivalents			12,684,793						12,684,793						9,095,522						9,095,522
Coinsurance deposits			8,733,096						7,861,372						4,844,927						4,411,051
Liabilities
Policy benefit reserves			64,429,370						55,935,990						61,406,599						52,928,174
Single premium immediate annuity (SPIA) benefit reserves			228,508						235,456						240,226						247,679
Notes payable			496,101						574,210						495,668						567,345
Subordinated debentures			78,342						89,292						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 September 30, 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)
September 30, 2021
Assets
Fixed maturity securities, available for sale:
United States Government full faith and credit			$	38,486					$	33,110					$	5,376					$	—
United States Government sponsored agencies			1,043,351						—						1,043,351						—
United States municipalities, states and territories			3,596,256						—						3,596,256						—
Foreign government obligations			195,341						—						195,341						—
Corporate securities			31,021,887						5						31,021,882						—
Residential mortgage backed securities			1,053,983						—						1,053,983						—
Commercial mortgage backed securities			4,138,078						—						4,138,078						—
Other asset backed securities			4,650,715						—						4,650,715						—
Other investments: equity securities			362,149						350,000						5,800						6,349
Real estate investments			259,262						—						—						259,262
Derivative instruments			990,033						—						990,033						—
Cash and cash equivalents			12,684,793						12,684,793						—						—
			$	60,034,334					$	13,067,908					$	46,700,815					$	265,611
Liabilities
Fixed index annuities - embedded derivatives			$	7,547,840					$	—					$	—					$	7,547,840
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)						September 30, 2021						December 31, 2020						September 30, 2021						December 31, 2020
1 - 5						2.98%						1.22%						2.20%						2.63%
6 - 10						2.74%						1.50%						2.26%						3.14%
11 - 15						4.66%						5.66%						2.18%						3.58%
16 - 20						8.72%						7.08%						1.35%						3.79%
20+						4.92%						7.36%						—%						3.63%

Assets 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 assets and liabilities, which are measured at fair value on a recurring basis using significant unobservable inputs for the three and nine months ended September 30, 2021 and 2020:

			Three Months Ended   September 30,												Nine Months Ended   September 30,
			2021						2020						2021						2020
			(Dollars in thousands)
Other investments: equity securities
Beginning balance			$	—					$	—					$	—					$	—
Transfers in			6,349						—						6,349						—
Ending balance			$	6,349					$	—					$	6,349					$	—
Real estate investments
Beginning balance			$	258,237					$	—					$	—					$	—
Purchases and sales, net			1,025						—						259,262						—
Change in fair value			—						—						—						—
Ending balance			$	259,262					$	—					$	259,262					$	—
Fixed index annuities - embedded derivatives
Beginning balance			$	8,384,764					$	9,418,485					$	7,938,281					$	9,624,395
Premiums less benefits			365,474						78,244						1,062,994						243,421
Change in fair value, net			(681,509)						(2,021,513)						(932,546)						(2,392,600)
Reserve release related to in-force ceded reinsurance			(520,889)						—						(520,889)						—
Ending balance			$	7,547,840					$	7,475,216					$	7,547,840					$	7,475,216

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 assets and liabilities, which are measured at fair value on a recurring basis using significant unobservable inputs for the three and nine months ended September 30, 2021 and 2020:

			Three Months Ended   September 30,												Nine Months Ended   September 30,
			2021						2020						2021						2020
			(Dollars in thousands)
Other investments: equity securities
Beginning balance			$	—					$	—					$	—					$	—
Transfers in			6,349						—						6,349						—
Ending balance			$	6,349					$	—					$	6,349					$	—
Real estate investments
Beginning balance			$	258,237					$	—					$	—					$	—
Purchases and sales, net			1,025						—						259,262						—
Change in fair value			—						—						—						—
Ending balance			$	259,262					$	—					$	259,262					$	—
Fixed index annuities - embedded derivatives
Beginning balance			$	8,384,764					$	9,418,485					$	7,938,281					$	9,624,395
Premiums less benefits			365,474						78,244						1,062,994						243,421
Change in fair value, net			(681,509)						(2,021,513)						(932,546)						(2,392,600)
Reserve release related to in-force ceded reinsurance			(520,889)						—						(520,889)						—
Ending balance			$	7,547,840					$	7,475,216					$	7,547,840					$	7,475,216

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