XML 45 R31.htm IDEA: XBRL DOCUMENT v3.6.0.2
Fair Values of Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2016
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:
 
December 31,
 
2016
 
2015
 
Carrying
Amount
 
Fair Value
 
Carrying
Amount
 
Fair Value
 
(Dollars in thousands)
Assets
 
 
 
 
 
 
 
Fixed maturity securities:
 
 
 
 
 
 
 
Available for sale
$
41,060,494

 
$
41,060,494

 
$
36,421,839

 
$
36,421,839

Held for investment
76,825

 
68,766

 
76,622

 
65,377

Mortgage loans on real estate
2,480,956

 
2,522,035

 
2,435,257

 
2,471,864

Derivative instruments
830,519

 
830,519

 
337,256

 
337,256

Other investments
308,774

 
300,918

 
292,872

 
297,903

Cash and cash equivalents
791,266

 
791,266

 
397,749

 
397,749

Coinsurance deposits
4,639,492

 
4,150,792

 
3,187,470

 
2,860,882

Interest rate caps
1,082

 
1,082

 
1,410

 
1,410

Counterparty collateral
145,693

 
145,693

 
82,312

 
82,312

 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
Policy benefit reserves
51,280,331

 
43,104,183

 
45,151,460

 
38,435,515

Single premium immediate annuity (SPIA) benefit reserves
297,724

 
308,028

 
324,264

 
336,066

Notes and loan payable
493,755

 
519,440

 
393,227

 
417,752

Subordinated debentures
241,853

 
225,106

 
241,452

 
216,933

Interest rate swap
2,113

 
2,113

 
3,139

 
3,139
Assets and Liabilities Measured on a Recurring Basis by Fair Value Hierarchy
Our assets and liabilities which are measured at fair value on a recurring basis as of December 31, 2016 and 2015 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)
December 31, 2016
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
Fixed maturity securities:
 
 
 
 
 
 
 
Available for sale:
 
 
 
 
 
 
 
United States Government full faith and credit
$
11,805

 
$
5,381

 
$
6,424

 
$
—

United States Government sponsored agencies
1,344,787

 
—

 
1,344,787

 
—

United States municipalities, states and territories
3,926,950

 
—

 
3,926,950

 
—

Foreign government obligations
232,233

 
—

 
232,233

 
—

Corporate securities
27,118,526

 
6

 
27,118,520

 
—

Residential mortgage backed securities
1,254,835

 
—

 
1,254,835

 
—

Commercial mortgage backed securities
5,365,235

 
—

 
5,365,235

 
—

Other asset backed securities
1,806,123

 
—

 
1,806,123

 
—

Other investments: equity securities, available for sale
8,000

 
—

 
8,000

 
—

Derivative instruments
830,519

 
—

 
830,519

 
—

Cash and cash equivalents
791,266

 
791,266

 
—

 
—

Interest rate caps
1,082

 
—

 
1,082

 
—

Counterparty collateral
145,693

 
—

 
145,693

 
—

 
$
42,837,054

 
$
796,653

 
$
42,040,401

 
$
—

Liabilities
 
 
 
 
 
 
 
Interest rate swap
$
2,113

 
$
—

 
$
2,113

 
$
—

Fixed index annuities—embedded derivatives
6,563,288

 
—

 
—

 
6,563,288

 
$
6,565,401

 
$
—

 
$
2,113

 
$
6,563,288

December 31, 2015
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
Fixed maturity securities:
 
 
 
 
 
 
 
Available for sale:
 
 
 
 
 
 
 
United States Government full faith and credit
$
471,256

 
$
438,598

 
$
32,658

 
$
—

United States Government sponsored agencies
1,398,611

 
—

 
1,398,611

 
—

United States municipalities, states and territories
3,755,367

 
—

 
3,755,367

 
—

Foreign government obligations
212,565

 
—

 
212,565

 
—

Corporate securities
23,802,394

 
121

 
23,802,273

 
—

Residential mortgage backed securities
1,462,072

 
—

 
1,462,072

 
—

Commercial mortgage backed securities
4,174,396

 
—

 
4,174,396

 
—

Other asset backed securities
1,145,178

 
—

 
1,145,178

 
—

Other investments: equity securities, available for sale
7,828

 
—

 
7,828

 
—

Derivative instruments
337,256

 
—

 
337,256

 
—

Cash and cash equivalents
397,749

 
397,749

 
—

 
—

Interest rate caps
1,410

 
—

 
1,410

 
—

Counterparty collateral
82,312

 
—

 
82,312

 
—

 
$
37,248,394

 
$
836,468

 
$
36,411,926

 
$
—

Liabilities
 
 
 
 
 
 
 
Interest rate swap
$
3,139

 
$
—

 
$
3,139

 
$
—

Fixed index annuities—embedded derivatives
5,983,622

 
—

 
—

 
5,983,622

 
$
5,986,761

 
$
—

 
$
3,139

 
$
5,983,622
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)
 
December 31, 2016
 
December 31, 2015
 
December 31, 2016
 
December 31, 2015
1 - 5
 
1.76%
 
1.58%
 
3.30%
 
3.08%
6 - 10
 
6.58%
 
8.55%
 
3.30%
 
3.55%
11 - 15
 
11.25%
 
12.01%
 
3.32%
 
3.59%
16 - 20
 
12.04%
 
12.99%
 
3.18%
 
3.22%
20+
 
11.68%
 
12.54%
 
3.18%
 
3.22%
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 liabilities, which are measured at fair value on a recurring basis using significant unobservable inputs for the years ended December 31, 2016 and 2015:
 
Year Ended December 31,
 
2016
 
2015
 
(Dollars in thousands)
Fixed index annuities—embedded derivatives
 
 
 
Beginning balance
$
5,983,622

 
$
5,574,653

Premiums less benefits
434,621

 
1,234,637

Change in fair value, net
145,045

 
(825,668
)
Ending balance
$
6,563,288

 
$
5,983,622