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Fair Values of Financial Instruments (Tables)

9 Months Ended

Sep. 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:

			September 30, 2022												December 31, 2021
			Carrying Amount						Fair Value						Carrying Amount						Fair Value
			(Dollars in thousands)
Assets
Fixed maturity securities, available for sale			$	41,087,911					$	41,087,911					$	51,305,943					$	51,305,943
Mortgage loans on real estate			6,601,445						6,159,905						5,687,998						5,867,227
Real estate investments			897,673						897,673						337,939						337,939
Derivative instruments			196,656						196,656						1,277,480						1,277,480
Other investments			2,636,152						2,694,152						1,767,144						1,767,144
Cash and cash equivalents			1,808,132						1,808,132						4,508,982						4,508,982
Coinsurance deposits			8,848,418						8,342,351						8,850,608						7,938,292
Liabilities
Policy benefit reserves			60,756,774						56,012,323						65,076,041						56,375,076
Single premium immediate annuity (SPIA) benefit reserves			215,902						225,088						226,207						235,891
Other policy funds - FHLB			50,000						50,000						—						—
Notes and loan payable			794,831						774,625						496,250						569,485
Subordinated debentures			78,668						80,056						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 September 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)
September 30, 2022
Assets
Fixed maturity securities, available for sale:
U.S. Government and agencies			$	169,538					$	26,075					$	143,463					$	—
States, municipalities and territories			4,042,890						—						4,042,890						—
Foreign corporate securities and foreign governments			859,063						—						859,063						—
Corporate securities			26,894,108						—						26,574,576						319,532
Residential mortgage backed securities			1,372,741						—						1,372,741						—
Commercial mortgage backed securities			3,706,960						—						3,706,960						—
Other asset backed securities			4,042,611						—						3,944,366						98,245
Other investments			783,904						5,003						778,901						—
Real estate investments			897,673						—						—						897,673
Derivative instruments			196,656						—						196,656						—
Cash and cash equivalents			1,808,132						1,808,132						—						—
			$	44,774,276					$	1,839,210					$	41,619,616					$	1,315,450
Liabilities
Funds withheld liability - embedded derivative			$	(520,458)					$	—					$	—					$	(520,458)
Fixed index annuities - embedded derivatives			5,257,042						—						—						5,257,042
			$	4,736,584					$	—					$	—					$	4,736,584
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)						September 30, 2022						December 31, 2021						September 30, 2022						December 31, 2021
1 - 5						2.17%						3.04%						1.86%						2.19%
6 - 10						3.24%						2.84%						1.97%						2.26%
11 - 15						3.76%						4.47%						1.88%						2.14%
16 - 20						8.02%						8.93%						2.88%						1.33%
20+						4.90%						4.93%						1.79%						—%

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, 2022 and 2021:

			Three Months Ended   September 30,												Nine Months Ended   September 30,
			2022						2021						2022						2021
			(Dollars in thousands)
Fixed maturity securities, available for sale - Corporate securities
Beginning balance			$	77,726					$	—					$	—					$	—
Transfers in			241,878						—						319,604						—
Total realized/unrealized gains (losses):
Included in net income			—						—						—						—
Included in other comprehensive income (loss)			(72)						—						(72)						—
Ending balance			$	319,532					$	—					$	319,532					$	—
Fixed maturity securities, available for sale - Other asset backed securities
Beginning balance			$	64,550					$	—					$	—					$	—
Transfers in			37,151						—						101,701						—
Total realized/unrealized gains (losses):
Included in net income			—						—						—						—
Included in other comprehensive income (loss)			(3,456)						—						(3,456)						—
Ending balance			$	98,245					$	—					$	98,245					$	—
Other investments
Beginning balance			$	—					$	—					$	6,349					$	—
Transfers in			—						6,349						—						6,349
Transfers out			—						—						(3,867)						—
Total realized/unrealized gains (losses):
Included in net income			—						—						(2,482)						—
Included in other comprehensive income (loss)			—						—						—						—
Ending balance			$	—					$	6,349					$	—					$	6,349
Real estate investments
Beginning balance			$	672,475					$	258,237					$	337,939					$	—
Purchases and sales, net			250,062						1,025						553,628						259,262
Change in fair value			(24,864)						—						6,106						—
Ending balance			$	897,673					$	259,262					$	897,673					$	259,262
Funds withheld liability - embedded derivative
Beginning balance			$	—					$	—					$	—					$	—
Transfers in			(520,458)						—						(520,458)						—
Change in fair value			—						—						—						—
Ending balance			$	(520,458)					$	—					$	(520,458)					$	—
Fixed index annuities - embedded derivatives
Beginning balance			$	5,836,312					$	8,384,764					$	7,964,961					$	7,938,281
Premiums less benefits			(92,242)						365,474						(28,759)						1,062,994
Change in fair value, net			(466,244)						(681,509)						(2,658,376)						(932,546)
Reserve release related to in-force ceded reinsurance			(20,784)						(520,889)						(20,784)						(520,889)
Ending balance			$	5,257,042					$	7,547,840					$	5,257,042					$	7,547,840

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, 2022 and 2021:

			Three Months Ended   September 30,												Nine Months Ended   September 30,
			2022						2021						2022						2021
			(Dollars in thousands)
Fixed maturity securities, available for sale - Corporate securities
Beginning balance			$	77,726					$	—					$	—					$	—
Transfers in			241,878						—						319,604						—
Total realized/unrealized gains (losses):
Included in net income			—						—						—						—
Included in other comprehensive income (loss)			(72)						—						(72)						—
Ending balance			$	319,532					$	—					$	319,532					$	—
Fixed maturity securities, available for sale - Other asset backed securities
Beginning balance			$	64,550					$	—					$	—					$	—
Transfers in			37,151						—						101,701						—
Total realized/unrealized gains (losses):
Included in net income			—						—						—						—
Included in other comprehensive income (loss)			(3,456)						—						(3,456)						—
Ending balance			$	98,245					$	—					$	98,245					$	—
Other investments
Beginning balance			$	—					$	—					$	6,349					$	—
Transfers in			—						6,349						—						6,349
Transfers out			—						—						(3,867)						—
Total realized/unrealized gains (losses):
Included in net income			—						—						(2,482)						—
Included in other comprehensive income (loss)			—						—						—						—
Ending balance			$	—					$	6,349					$	—					$	6,349
Real estate investments
Beginning balance			$	672,475					$	258,237					$	337,939					$	—
Purchases and sales, net			250,062						1,025						553,628						259,262
Change in fair value			(24,864)						—						6,106						—
Ending balance			$	897,673					$	259,262					$	897,673					$	259,262
Funds withheld liability - embedded derivative
Beginning balance			$	—					$	—					$	—					$	—
Transfers in			(520,458)						—						(520,458)						—
Change in fair value			—						—						—						—
Ending balance			$	(520,458)					$	—					$	(520,458)					$	—
Fixed index annuities - embedded derivatives
Beginning balance			$	5,836,312					$	8,384,764					$	7,964,961					$	7,938,281
Premiums less benefits			(92,242)						365,474						(28,759)						1,062,994
Change in fair value, net			(466,244)						(681,509)						(2,658,376)						(932,546)
Reserve release related to in-force ceded reinsurance			(20,784)						(520,889)						(20,784)						(520,889)
Ending balance			$	5,257,042					$	7,547,840					$	5,257,042					$	7,547,840

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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.

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