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Fair Values of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 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:

			June 30, 2022												December 31, 2021
			Carrying Amount						Fair Value						Carrying Amount						Fair Value
			(Dollars in thousands)
Assets
Fixed maturity securities, available for sale			$	45,323,775					$	45,323,775					$	51,305,943					$	51,305,943
Mortgage loans on real estate			6,228,616						6,032,745						5,687,998						5,867,227
Real estate investments			672,475						672,475						337,939						337,939
Derivative instruments			200,781						200,781						1,277,480						1,277,480
Other investments			2,112,169						2,170,169						1,767,144						1,767,144
Cash and cash equivalents			1,287,225						1,287,225						4,508,982						4,508,982
Coinsurance deposits			8,600,297						8,013,371						8,850,608						7,938,292
Liabilities
Policy benefit reserves			61,895,423						56,347,523						65,076,041						56,375,076
Single premium immediate annuity (SPIA) benefit reserves			221,970						231,419						226,207						235,891
Other policy funds - FHLB			300,000						300,000						—						—
Notes payable			496,552						494,045						496,250						569,485
Subordinated debentures			78,584						90,850						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 June 30, 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)
June 30, 2022
Assets
Fixed maturity securities, available for sale:
U.S. Government and agencies			$	186,491					$	32,922					$	153,569					$	—
States, municipalities and territories			4,390,844						—						4,390,844						—
Foreign corporate securities and foreign governments			969,883						—						969,883						—
Corporate securities			29,825,798						—						29,748,072						77,726
Residential mortgage backed securities			1,391,707						—						1,391,707						—
Commercial mortgage backed securities			4,188,392						—						4,188,392						—
Other asset backed securities			4,370,660						—						4,306,110						64,550
Other investments			593,181						9,008						584,173						—
Real estate investments			672,475						—						—						672,475
Derivative instruments			200,781						—						200,781						—
Cash and cash equivalents			1,287,225						1,287,225						—						—
			$	48,077,437					$	1,329,155					$	45,933,531					$	814,751
Liabilities
Funds withheld liability - embedded derivative			$	(404,228)					$	—					$	(404,228)					$	—
Fixed index annuities - embedded derivatives			5,836,312						—						—						5,836,312
			$	5,432,084					$	—					$	(404,228)					$	5,836,312
December 31, 2021
Assets
Fixed maturity securities, available for sale:
U.S. Government and agencies			$	1,078,746					$	32,737					$	1,046,009					$	—
States, municipalities and territories			3,927,201						—						3,927,201						—
Foreign corporate securities and foreign governments			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			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)						June 30, 2022						December 31, 2021						June 30, 2022						December 31, 2021
1 - 5						3.19%						3.04%						2.19%						2.19%
6 - 10						2.99%						2.84%						2.24%						2.26%
11 - 15						4.07%						4.47%						2.07%						2.14%
16 - 20						9.48%						8.93%						1.25%						1.33%
20+						4.93%						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 and six months ended June 30, 2022 and 2021:

			Three Months Ended   June 30,												Six Months Ended   June 30,
			2022						2021						2022						2021
			(Dollars in thousands)
Fixed maturity securities, available for sale - Corporate securities
Beginning balance			$	—					$	—					$	—					$	—
Transfers in			77,726						—						77,726						—
Ending balance			$	77,726					$	—					$	77,726					$	—
Fixed maturity securities, available for sale - Other asset backed securities
Beginning balance			$	—					$	—					$	—					$	—
Transfers in			64,550						—						64,550						—
Ending balance			$	64,550					$	—					$	64,550					$	—
Other investments
Beginning balance			$	3,867					$	—					$	6,349					$	—
Transfers out			(3,867)						—						(3,867)						—
Included in net income			—						—						(2,482)						—
Ending balance			$	—					$	—					$	—					$	—
Real estate investments
Beginning balance			$	510,188					$	—					$	337,939					$	—
Purchases and sales, net			135,478						258,237						303,566						258,237
Change in fair value			26,809						—						30,970						—
Ending balance			$	672,475					$	258,237					$	672,475					$	258,237
Fixed index annuities - embedded derivatives
Beginning balance			$	6,770,915					$	7,680,951					$	7,964,961					$	7,938,281
Premiums less benefits			(50,594)						577,729						63,483						697,520
Change in fair value, net			(884,009)						126,084						(2,192,132)						(251,037)
Ending balance			$	5,836,312					$	8,384,764					$	5,836,312					$	8,384,764

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 six months ended June 30, 2022 and 2021:

			Three Months Ended   June 30,												Six Months Ended   June 30,
			2022						2021						2022						2021
			(Dollars in thousands)
Fixed maturity securities, available for sale - Corporate securities
Beginning balance			$	—					$	—					$	—					$	—
Transfers in			77,726						—						77,726						—
Ending balance			$	77,726					$	—					$	77,726					$	—
Fixed maturity securities, available for sale - Other asset backed securities
Beginning balance			$	—					$	—					$	—					$	—
Transfers in			64,550						—						64,550						—
Ending balance			$	64,550					$	—					$	64,550					$	—
Other investments
Beginning balance			$	3,867					$	—					$	6,349					$	—
Transfers out			(3,867)						—						(3,867)						—
Included in net income			—						—						(2,482)						—
Ending balance			$	—					$	—					$	—					$	—
Real estate investments
Beginning balance			$	510,188					$	—					$	337,939					$	—
Purchases and sales, net			135,478						258,237						303,566						258,237
Change in fair value			26,809						—						30,970						—
Ending balance			$	672,475					$	258,237					$	672,475					$	258,237
Fixed index annuities - embedded derivatives
Beginning balance			$	6,770,915					$	7,680,951					$	7,964,961					$	7,938,281
Premiums less benefits			(50,594)						577,729						63,483						697,520
Change in fair value, net			(884,009)						126,084						(2,192,132)						(251,037)
Ending balance			$	5,836,312					$	8,384,764					$	5,836,312					$	8,384,764

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