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v3.22.1

Fair Values of Financial Instruments (Tables) | 3 Months Ended
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Mar. 31, 2022
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, 2022 |  | December 31, 2021
| Carrying Amount |  | Fair Value |  | Carrying Amount |  | Fair Value
| (Dollars in thousands)
Assets |  |  |  |  |  |  |
Fixed maturity securities, available for sale | $ | 49,662,120 |  |  | $ | 49,662,120 |  |  | $ | 51,305,943 |  |  | $ | 51,305,943 |
Mortgage loans on real estate | 5,734,872 |  |  | 5,792,356 |  |  | 5,687,998 |  |  | 5,867,227 |
Real estate investments | 510,188 |  |  | 510,188 |  |  | 337,939 |  |  | 337,939 |
Derivative instruments | 642,413 |  |  | 642,413 |  |  | 1,277,480 |  |  | 1,277,480 |
Other investments | 1,999,113 |  |  | 2,057,113 |  |  | 1,767,144 |  |  | 1,767,144 |
Cash and cash equivalents | 1,933,899 |  |  | 1,933,899 |  |  | 4,508,982 |  |  | 4,508,982 |
Coinsurance deposits | 8,713,069 |  |  | 8,002,548 |  |  | 8,850,608 |  |  | 7,938,292 |
Liabilities |  |  |  |  |  |  |
Policy benefit reserves | 63,342,037 |  |  | 56,478,030 |  |  | 65,076,041 |  |  | 56,375,076 |
Single premium immediate annuity (SPIA) benefit reserves | 224,618 |  |  | 234,189 |  |  | 226,207 |  |  | 235,891 |
Other policy funds - FHLB | 200,000 |  |  | 200,000 |  |  | — |  |  | — |
Notes payable | 496,425 |  |  | 523,085 |  |  | 496,250 |  |  | 569,485 |
Subordinated debentures | 78,502 |  |  | 80,126 |  |  | 78,421 |  |  | 93,721 |
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, 2022 and December 31, 2021 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, 2022 |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |
Fixed maturity securities, available for sale: |  |  |  |  |  |  |
United States Government full faith and credit | $ | 38,666 |  |  | $ | 33,850 |  |  | $ | 4,816 |  |  | $ | — |
United States Government sponsored agencies | 174,845 |  |  | — |  |  | 174,845 |  |  | — |
United States municipalities, states and territories | 3,812,510 |  |  | — |  |  | 3,812,510 |  |  | — |
Foreign government obligations | 405,166 |  |  | — |  |  | 405,166 |  |  | — |
Corporate securities | 33,873,527 |  |  | 31,499 |  |  | 33,842,028 |  |  | — |
Residential mortgage backed securities | 1,210,559 |  |  | — |  |  | 1,210,559 |  |  | — |
Commercial mortgage backed securities | 4,769,867 |  |  | — |  |  | 4,769,867 |  |  | — |
Other asset backed securities | 5,376,980 |  |  | — |  |  | 5,376,980 |  |  | — |
Other investments: equity securities | 29,303 |  |  | — |  |  | 25,436 |  |  | 3,867 |
Real estate investments | 510,188 |  |  | — |  |  | — |  |  | 510,188 |
Derivative instruments | 642,413 |  |  | — |  |  | 642,413 |  |  | — |
Cash and cash equivalents | 1,933,899 |  |  | 1,933,899 |  |  | — |  |  | — |
| $ | 52,777,923 |  |  | $ | 1,999,248 |  |  | $ | 50,264,620 |  |  | $ | 514,055 |
Liabilities |  |  |  |  |  |  |
Funds withheld liability - embedded derivative | $ | (204,806) |  |  | $ | — |  |  | $ | (204,806) |  |  | $ | — |
Fixed index annuities - embedded derivatives | 6,770,915 |  |  | — |  |  | — |  |  | 6,770,915 |
| $ | 6,566,109 |  |  | $ | — |  |  | $ | (204,806) |  |  | $ | 6,770,915 |
December 31, 2021 |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |
Fixed maturity securities, available for sale: |  |  |  |  |  |  |
United States Government full faith and credit | $ | 37,793 |  |  | $ | 32,737 |  |  | $ | 5,056 |  |  | $ | — |
United States Government sponsored agencies | 1,040,953 |  |  | — |  |  | 1,040,953 |  |  | — |
United States municipalities, states and territories | 3,927,201 |  |  | — |  |  | 3,927,201 |  |  | — |
Foreign government obligations | 402,545 |  |  | — |  |  | 402,545 |  |  | — |
Corporate securities | 34,660,234 |  |  | 32,700 |  |  | 34,627,534 |  |  | — |
Residential mortgage backed securities | 1,125,049 |  |  | — |  |  | 1,125,049 |  |  | — |
Commercial mortgage backed securities | 4,840,311 |  |  | — |  |  | 4,840,311 |  |  | — |
Other asset backed securities | 5,271,857 |  |  | — |  |  | 5,271,857 |  |  | — |
Other investments: equity securities | 12,226 |  |  | — |  |  | 5,877 |  |  | 6,349 |
Real estate investments | 337,939 |  |  | — |  |  | — |  |  | 337,939 |
Derivative instruments | 1,277,480 |  |  | — |  |  | 1,277,480 |  |  | — |
Cash and cash equivalents | 4,508,982 |  |  | 4,508,982 |  |  | — |  |  | — |
| $ | 57,442,570 |  |  | $ | 4,574,419 |  |  | $ | 52,523,863 |  |  | $ | 344,288 |
Liabilities |  |  |  |  |  |  |
Funds withheld liability - embedded derivative | $ | (2,362) |  |  | $ | — |  |  | $ | (2,362) |  |  | $ | — |
Fixed index annuities - embedded derivatives | 7,964,961 |  |  | — |  |  | — |  |  | 7,964,961 |
| $ | 7,962,599 |  |  | $ | — |  |  | $ | (2,362) |  |  | $ | 7,964,961 |
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, 2022 |  | December 31, 2021 |  | March 31, 2022 |  | December 31, 2021
1 - 5 |  | 3.13% |  | 3.04% |  | 2.20% |  | 2.19%
6 - 10 |  | 2.91% |  | 2.84% |  | 2.27% |  | 2.26%
11 - 15 |  | 4.32% |  | 4.47% |  | 2.11% |  | 2.14%
16 - 20 |  | 9.30% |  | 8.93% |  | 1.30% |  | 1.33%
20+ |  | 4.97% |  | 4.93% |  | —% |  | —%
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 months ended March 31, 2022 and 2021:
|  |  | Three Months Ended March 31,
|  |  |  |  | 2022 |  | 2021
|  |  |  |  | (Dollars in thousands)
Other investments: equity securities |  |  |  |  |  |  |
Beginning balance |  |  |  |  | $ | 6,349 |  |  | $ | — |
Transfers in |  |  |  |  | — |  |  | — |
Total realized/unrealized gains (losses): |  |  |  |  |  |  |
Included in net income |  |  |  |  | (2,482) |  |  | — |
Included in other comprehensive income (loss) |  |  |  |  | — |  |  | — |
Ending balance |  |  |  |  | $ | 3,867 |  |  | $ | — |
Real estate investments |  |  |  |  |  |  |
Beginning balance |  |  |  |  | $ | 337,939 |  |  | $ | — |
Purchases and sales, net |  |  |  |  | 168,088 |  |  | — |
Change in fair value |  |  |  |  | 4,161 |  |  | — |
Ending balance |  |  |  |  | $ | 510,188 |  |  | $ | — |
Fixed index annuities - embedded derivatives |  |  |  |  |  |  |
Beginning balance |  |  |  |  | $ | 7,964,961 |  |  | $ | 7,938,281 |
Premiums less benefits |  |  |  |  | 114,077 |  |  | 119,791 |
Change in fair value, net |  |  |  |  | (1,308,123) |  |  | (377,121) |
Ending balance |  |  |  |  | $ | 6,770,915 |  |  | $ | 7,680,951 |
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 months ended March 31, 2022 and 2021:
|  |  | Three Months Ended March 31,
|  |  |  |  | 2022 |  | 2021
|  |  |  |  | (Dollars in thousands)
Other investments: equity securities |  |  |  |  |  |  |
Beginning balance |  |  |  |  | $ | 6,349 |  |  | $ | — |
Transfers in |  |  |  |  | — |  |  | — |
Total realized/unrealized gains (losses): |  |  |  |  |  |  |
Included in net income |  |  |  |  | (2,482) |  |  | — |
Included in other comprehensive income (loss) |  |  |  |  | — |  |  | — |
Ending balance |  |  |  |  | $ | 3,867 |  |  | $ | — |
Real estate investments |  |  |  |  |  |  |
Beginning balance |  |  |  |  | $ | 337,939 |  |  | $ | — |
Purchases and sales, net |  |  |  |  | 168,088 |  |  | — |
Change in fair value |  |  |  |  | 4,161 |  |  | — |
Ending balance |  |  |  |  | $ | 510,188 |  |  | $ | — |
Fixed index annuities - embedded derivatives |  |  |  |  |  |  |
Beginning balance |  |  |  |  | $ | 7,964,961 |  |  | $ | 7,938,281 |
Premiums less benefits |  |  |  |  | 114,077 |  |  | 119,791 |
Change in fair value, net |  |  |  |  | (1,308,123) |  |  | (377,121) |
Ending balance |  |  |  |  | $ | 6,770,915 |  |  | $ | 7,680,951 |

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- Definition Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19279-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19279-110258 + Details
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