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Fair Values of Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2019
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, 2019
 
December 31, 2018
 
Carrying
Amount
 
Fair Value
 
Carrying
Amount
 
Fair Value
 
(Dollars in thousands)
Assets
 
 
 
 
 
 
 
Fixed maturity securities, available for sale
$
50,171,303

 
$
50,171,303

 
$
45,923,727

 
$
45,923,727

Mortgage loans on real estate
3,083,675

 
3,128,732

 
2,943,091

 
2,920,612

Derivative instruments
888,208

 
888,208

 
205,149

 
205,149

Other investments
642,219

 
642,219

 
355,531

 
348,970

Cash and cash equivalents
1,215,967

 
1,215,967

 
344,396

 
344,396

Coinsurance deposits
5,029,374

 
4,574,116

 
4,954,068

 
4,553,790

Interest rate caps
59

 
59

 
597

 
597

Interest rate swap
—

 
—

 
354

 
354

Counterparty collateral
—

 
—

 
33,101

 
33,101

 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
Policy benefit reserves
59,849,400

 
50,673,721

 
57,249,510

 
49,180,143

Single premium immediate annuity (SPIA) benefit reserves
263,430

 
271,842

 
270,406

 
279,077

Notes payable
494,850

 
510,640

 
494,591

 
489,985

Subordinated debentures
243,200

 
246,046

 
242,982

 
215,514

Amounts due under repurchase agreements
—

 
—

 
109,298

 
109,298

Interest rate swap
881

 
881

 
—

 
—
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, 2019 and December 31, 2018 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, 2019
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
Fixed maturity securities, available for sale:
 
 
 
 
 
 
 
United States Government full faith and credit
$
12,023

 
$
6,080

 
$
5,943

 
$
—

United States Government sponsored agencies
1,214,609

 
—

 
1,214,609

 
—

United States municipalities, states and territories
4,299,962

 
—

 
4,299,962

 
—

Foreign government obligations
233,095

 
—

 
233,095

 
—

Corporate securities
31,312,263

 
3

 
31,312,260

 
—

Residential mortgage backed securities
1,338,946

 
—

 
1,338,946

 
—

Commercial mortgage backed securities
5,673,990

 
—

 
5,673,990

 
—

Other asset backed securities
6,086,415

 
—

 
6,086,415

 
—

Other investments: equity securities, available for sale
259,311

 
251,870

 
7,441

 
—

Derivative instruments
888,208

 
—

 
888,208

 
—

Cash and cash equivalents
1,215,967

 
1,215,967

 
—

 
—

Interest rate caps
59

 
—

 
59

 
—

 
$
52,534,848

 
$
1,473,920

 
$
51,060,928

 
$
—

Liabilities
 
 
 
 
 
 
 
Interest rate swap
$
881

 
$
—

 
$
881

 
$
—

Fixed index annuities - embedded derivatives
9,281,117

 
—

 
—

 
9,281,117

 
$
9,281,998

 
$
—

 
$
881

 
$
9,281,117

 
 
 
 
 
 
 
 
December 31, 2018
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
Fixed maturity securities, available for sale:
 
 
 
 
 
 
 
United States Government full faith and credit
$
11,652

 
$
5,900

 
$
5,752

 
$
—

United States Government sponsored agencies
1,138,529

 
—

 
1,138,529

 
—

United States municipalities, states and territories
4,126,267

 
—

 
4,126,267

 
—

Foreign government obligations
230,274

 
—

 
230,274

 
—

Corporate securities
28,371,514

 
7

 
28,371,507

 
—

Residential mortgage backed securities
1,202,159

 
—

 
1,202,159

 
—

Commercial mortgage backed securities
5,379,003

 
—

 
5,379,003

 
—

Other asset backed securities
5,464,329

 
—

 
5,464,329

 
—

Other investments: equity securities, available for sale
7,437

 
—

 
7,437

 
—

Derivative instruments
205,149

 
—

 
205,149

 
—

Cash and cash equivalents
344,396

 
344,396

 
—

 
—

Interest rate caps
597

 
—

 
597

 
—

Interest rate swap
354

 
—

 
354

 
—

Counterparty collateral
33,101

 
—

 
33,101

 
—

 
$
46,514,761

 
$
350,303

 
$
46,164,458

 
$
—

Liabilities
 
 
 
 
 
 
 
Fixed index annuities - embedded derivatives
$
8,165,405

 
$
—

 
$
—

 
$
8,165,405
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, 2019
 
December 31, 2018
 
June 30, 2019
 
December 31, 2018
1 - 5
 
2.31%
 
2.05%
 
3.34%
 
3.33%
6 - 10
 
7.53%
 
7.28%
 
3.34%
 
3.33%
11 - 15
 
11.38%
 
11.35%
 
3.36%
 
3.35%
16 - 20
 
11.86%
 
11.90%
 
3.23%
 
3.22%
20+
 
11.55%
 
11.57%
 
3.23%
 
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 three and six months ended June 30, 2019 and 2018:
 
Three Months Ended 
 June 30,
 
Six Months Ended 
 June 30,
 
2019
 
2018
 
2019
 
2018
 
(Dollars in thousands)
Fixed index annuities - embedded derivatives
 
 
 
 
 
 
 
Beginning balance
$
8,876,055

 
$
8,233,557

 
$
8,165,405

 
$
8,790,427

Premiums less benefits
200,472

 
406,494

 
258,480

 
955,647

Change in fair value, net
204,590

 
(288,900
)
 
857,232

 
(1,394,923
)
Ending balance
$
9,281,117

 
$
8,351,151

 
$
9,281,117

 
$
8,351,151