Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value Disclosures [Abstract]

Schedule of assets and liabilities that are measured at fair value on a recurring basis

The following tables set forth the Company’s assets and liabilities that are measured at fair value on a recurring basis as of the date indicated:

	March 31, 2020
	Total		Level 1	Level 2	Level 3
	(In thousands)
Debt securities, available for sale	$	3,174,260	—	3,174,260	—
Equity securities	15,984		15,984	—	—
Derivatives, index options	24,335		—	—	24,335
Other invested assets	2		2	—	—
Total assets	$	3,214,581	15,986	3,174,260	24,335
Policyholder account balances (a)	$	61,625	—	—	61,625
Other liabilities (b)	7,255		—	—	7,255
Total liabilities	$	68,880	—	—	68,880

During the three months ended March 31, 2020, the Company made no transfers into or out of Levels 1, 2 or 3.

	December 31, 2019
	Total		Level 1	Level 2	Level 3
	(In thousands)
Debt securities, available for sale	$	3,356,945	—	3,356,945	—
Equity securities	23,594		23,594	—	—
Derivatives, index options	157,588		—	—	157,588
Other invested assets	2		2	—	—
Total assets	$	3,538,129	23,596	3,356,945	157,588
Policyholder account balances (a)	$	155,902	—	—	155,902
Other liabilities (b)	15,301		—	—	15,301
Total liabilities	$	171,203	—	—	171,203

(a)  Represents the fair value of certain product-related embedded derivatives that were recorded at fair value.

(b)  Represents the liability for share-based compensation and contingent consideration for businesses acquired.

Schedule of assets by by pricing source and fair value hierarchy level

The following tables present, by pricing source and fair value hierarchy level, the Company’s assets that are measured at fair value on a recurring basis:

	March 31, 2020
	Total			Level 1		Level 2		Level 3
	(In thousands)
Debt securities, available for sale:
Priced by third-party vendors	$	3,174,260		—		3,174,260		—
Priced internally	—			—		—		—
Subtotal	3,174,260			—		3,174,260		—
Equity securities:
Priced by third-party vendors	15,984			15,984		—		—
Priced internally	—			—		—		—
Subtotal	15,984			15,984		—		—
Derivatives, index options:
Priced by third-party vendors	24,335			—		—		24,335
Priced internally	—			—		—		—
Subtotal	24,335			—		—		24,335
Other invested assets:
Priced by third-party vendors	2			2		—		—
Priced internally	—			—		—		—
Subtotal	2			2		—		—
Total	$	3,214,581		15,986		3,174,260		24,335
Percent of total	100.0		%	0.5	%	98.7	%	0.8	%

	December 31, 2019
	Total			Level 1		Level 2		Level 3
	(In thousands)
Debt securities, available for sale:
Priced by third-party vendors	$	3,356,945		—		3,356,945		—
Priced internally	—			—		—		—
Subtotal	3,356,945			—		3,356,945		—
Equity securities, available for sale:
Priced by third-party vendors	23,594			23,594		—		—
Priced internally	—			—		—		—
Subtotal	23,594			23,594		—		—
Derivatives, index options:
Priced by third-party vendors	157,588			—		—		157,588
Priced internally	—			—		—		—
Subtotal	157,588			—		—		157,588
Other invested assets:
Priced by third-party vendors	2			2		—		—
Priced internally	—			—		—		—
Subtotal	2			2		—		—
Total	$	3,538,129		23,596		3,356,945		157,588
Percent of total	100.0		%	0.7	%	94.8	%	4.5	%

Schedule of significant unobservable inputs for fair value measurements

The following tables provide additional information about fair value measurements for which significant unobservable (Level 3) inputs were utilized to determine fair value.

	Three Months Ended March 31, 2020
	Debt Securities, Available for Sale		Equity Securities	Derivatives, Index Options		Total Assets		Other Liabilities
	(In thousands)
Balance at January 1, 2020	$	—	—	157,588		157,588		171,203
Total realized and unrealized gains (losses):
Included in net income	—		—	(106,629	)	(106,629	)	(73,848	)
Purchases, sales, issuances and settlements, net:
Purchases	—		—	22,403		22,403		22,403
Sales	—		—	—		—		—
Issuances	—		—	—		—		—
Settlements	—		—	(49,027	)	(49,027	)	(50,878	)
Transfers into (out of) Level 3	—		—	—		—		—
Balance at end of period	$	—	—	24,335		24,335		68,880
Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets held at the end of the reporting period:
Net investment income (loss)	$	—	—	(105,997	)	(105,997	)	—
Benefits and expenses	—		—	—		—		(112,192	)
Total	$	—	—	(105,997	)	(105,997	)	(112,192	)

	Three Months Ended March 31, 2019
	Debt Securities, Available for Sale		Equity Securities, Available for Sale	Derivatives, Index Options		Total Assets		Other Liabilities
	(In thousands)
Balance at January 1, 2019	$	—	—	14,684		14,684		56,704
Total realized and unrealized gains (losses):
Included in net income	—		—	42,003		42,003		25,529
Purchases, sales, issuances and settlements, net:
Purchases	—		—	17,592		17,592		17,592
Sales	—		—	—		—		—
Issuances	—		—	—		—		3,700
Settlements	—		—	(3,278	)	(3,278	)	(5,800	)
Transfers into (out of) Level 3	—		—	—		—		—
Balance at end of period	$	—	—	71,001		71,001		97,725
Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets held at the end of the reporting period:
Net investment income	$	—	—	40,464		40,464		—
Benefits and expenses	—		—	—		—		38,961
Total	$	—	—	40,464		40,464		38,961

Schedule of quantitative information of Level 3 assets

The following table presents the valuation method for financial assets and liabilities categorized as level 3, as well as the unobservable inputs used in the valuation of those financial instruments:

	March 31, 2020
	Fair Value		Valuation Technique	Unobservable Input	Range (Weighted Average)
	(In thousands)
Assets:
Derivatives, index options	$	24,335	Broker prices	Implied volatility	12.96% - 53.69% (16.06%)
Total assets	$	24,335
Liabilities:
Policyholder account balances	$	61,625	Deterministic cash flow model	Projected option cost	0.0% - 15.95% (1.32%)
Share based compensation	3,081		Black-Scholes model	Expected term	1.7 to 9.7 years
				Expected volatility	28.30%
Contingent consideration on businesses acquired	4,174		Probabilistic Method	Discount rate	10%
				Projected renewal premium	$57.2-82.4 million ($71.9)
Total liabilities	$	68,880

	December 31, 2019
	Fair Value		Valuation Technique	Unobservable Input	Range (Weighted Average)
	(In thousands)
Assets:
Derivatives, index options	$	157,588	Broker prices	Implied volatility	13.10% - 19.90% (15.25%)
Total assets	$	157,588
Liabilities:
Policyholder account balances	$	155,902	Deterministic cash flow model	Projected option cost	0.0% - 17.55% (3.14%)
Share based compensation	11,225		Black-Scholes model	Expected term	1.9 to 10 years
				Expected volatility	22.19%
Contingent consideration on businesses acquired	4,076		Probabilistic Method	Discount rate	10.0%
				Projected renewal premium	$57.2 - $82.4 million ($71.9)
Total liabilities	$	171,203

Schedule of carrying amounts and fair values of the Company's financial instruments

The carrying amounts and fair values of the Company's financial instruments are as follows:

	March 31, 2020
				Fair Value Hierarchy Level
	Carrying Values		Fair Values	Level 1	Level 2	Level 3
	(In thousands)
ASSETS
Debt securities held to maturity	$	6,990,041	7,181,687	—	7,181,687
Debt securities available for sale	3,174,260		3,174,260	—	3,174,260	—
Cash and cash equivalents	352,215		352,215	352,215	—	—
Mortgage loans	276,083		278,015	—	—	278,015
Real estate	34,443		48,547			48,547
Policy loans	78,036		135,870	—	—	135,870
Other loans	13,461		13,643	—	—	13,643
Derivatives, index options	24,335		24,335	—	—	24,335
Equity securities	15,984		15,984	15,984	—	—
Life interest in Libbie Shearn Moody Trust	9,230		12,775	—	—	12,775
Other investments	4,515		22,582	2	—	22,580
LIABILITIES
Deferred annuity contracts	$	6,866,418	5,760,527	—	—	5,760,527
Immediate annuity and supplemental contracts	399,448		449,249	—	—	449,249
Contingent consideration on businesses acquired	4,174		4,174	—	—	4,174

	December 31, 2019
				Fair Value Hierarchy Level
	Carrying Values		Fair Values	Level 1	Level 2	Level 3
	(In thousands)
ASSETS
Debt securities held to maturity	$	7,106,245	7,407,703	—	7,407,703	—
Debt securities available for sale	3,356,945		3,356,945	—	3,356,945	—
Cash and cash equivalents	253,524		253,524	253,524	—	—
Mortgage loans	272,422		270,931	—	—	270,931
Real estate	34,588		57,204	—	—	57,204
Policy loans	80,008		123,650	—	—	123,650
Other loans	13,547		13,698	—	—	13,698
Derivatives, index options	157,588		157,588	—	—	157,588
Equity securities	23,594		23,594	23,594	—	—
Life interest in Libbie Shearn Moody Trust	9,230		12,775	—	—	12,775
Other investments	197		16,182	2	—	16,180
LIABILITIES
Deferred annuity contracts (1)	$	7,014,833	5,931,352	—	—	5,931,352
Immediate annuity and supplemental contracts	400,465		422,931	—	—	422,931
Contingent consideration on businesses acquired	4,076		4,076	—	—	4,076

(1) Revised to correct for an adjustment related to the understatement of reserve liabilities of $15.0 million.