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Fair Values of Financial Instruments (Tables)

3 Months Ended

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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