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Fair Values of Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2020
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, 2020
 
December 31, 2019
 
Carrying
Amount
 
Fair Value
 
Carrying
Amount
 
Fair Value
 
(Dollars in thousands)
Assets
 
 
 
 
 
 
 
Fixed maturity securities, available for sale
$
50,738,792

 
$
50,738,792

 
$
51,580,490

 
$
51,580,490

Mortgage loans on real estate
3,958,233

 
4,044,873

 
3,448,793

 
3,536,446

Derivative instruments
672,958

 
672,958

 
1,355,989

 
1,355,989

Other investments
479,099

 
479,099

 
492,301

 
492,301

Cash and cash equivalents
2,408,635

 
2,408,635

 
2,293,392

 
2,293,392

Coinsurance deposits
4,962,859

 
4,527,374

 
5,115,013

 
4,635,926

Interest rate caps
—

 
—

 
6

 
6

 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
Policy benefit reserves
61,312,957

 
51,865,732

 
61,540,992

 
51,800,247

Single premium immediate annuity (SPIA) benefit reserves
243,910

 
251,599

 
255,698

 
263,773

Notes payable
495,388

 
543,520

 
495,116

 
541,520

Subordinated debentures
77,964

 
74,084

 
157,265

 
168,357
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, 2020 and December 31, 2019 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, 2020
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
Fixed maturity securities, available for sale:
 
 
 
 
 
 
 
United States Government full faith and credit
$
39,342

 
$
33,057

 
$
6,285

 
$
—

United States Government sponsored agencies
343,387

 
—

 
343,387

 
—

United States municipalities, states and territories
3,778,710

 
—

 
3,778,710

 
—

Foreign government obligations
207,509

 
—

 
207,509

 
—

Corporate securities
33,330,711

 
10

 
33,330,701

 
—

Residential mortgage backed securities
1,712,725

 
—

 
1,712,725

 
—

Commercial mortgage backed securities
5,393,062

 
—

 
5,393,062

 
—

Other asset backed securities
5,933,346

 
—

 
5,933,346

 
—

Derivative instruments
672,958

 
—

 
672,958

 
—

Cash and cash equivalents
2,408,635

 
2,408,635

 
—

 
—

 
$
53,820,385

 
$
2,441,702

 
$
51,378,683

 
$
—

Liabilities
 
 
 
 
 
 
 
Fixed index annuities - embedded derivatives
$
9,418,485

 
$
—

 
$
—

 
$
9,418,485

 
 
 
 
 
 
 
 
December 31, 2019
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
Fixed maturity securities, available for sale:
 
 
 
 
 
 
 
United States Government full faith and credit
$
161,765

 
$
155,945

 
$
5,820

 
$
—

United States Government sponsored agencies
625,020

 
—

 
625,020

 
—

United States municipalities, states and territories
4,527,671

 
—

 
4,527,671

 
—

Foreign government obligations
205,096

 
—

 
205,096

 
—

Corporate securities
32,536,839

 
4

 
32,536,835

 
—

Residential mortgage backed securities
1,575,664

 
—

 
1,575,664

 
—

Commercial mortgage backed securities
5,786,279

 
—

 
5,786,279

 
—

Other asset backed securities
6,162,156

 
—

 
6,162,156

 
—

Derivative instruments
1,355,989

 
—

 
1,355,989

 
—

Cash and cash equivalents
2,293,392

 
2,293,392

 
—

 
—

Interest rate caps
6

 
—

 
6

 
—

 
$
55,229,877

 
$
2,449,341

 
$
52,780,536

 
$
—

Liabilities
 
 
 
 
 
 
 
Fixed index annuities - embedded derivatives
$
9,624,395

 
$
—

 
$
—

 
$
9,624,395
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, 2020
 
December 31, 2019
 
June 30, 2020
 
December 31, 2019
1 - 5
 
0.98%
 
0.90%
 
3.38%
 
3.33%
6 - 10
 
1.29%
 
1.29%
 
3.87%
 
3.84%
11 - 15
 
3.11%
 
3.31%
 
4.12%
 
4.12%
16 - 20
 
7.74%
 
8.52%
 
4.21%
 
4.18%
20+
 
7.29%
 
7.10%
 
4.12%
 
4.12%
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, 2020 and 2019:
 
Three Months Ended 
 June 30,
 
Six Months Ended 
 June 30,
 
2020
 
2019
 
2020
 
2019
 
(Dollars in thousands)
Fixed index annuities - embedded derivatives
 
 
 
 
 
 
 
Beginning balance
$
8,451,482

 
$
8,876,055

 
$
9,624,395

 
$
8,165,405

Premiums less benefits
53,019

 
200,472

 
165,177

 
258,480

Change in fair value, net
913,984

 
204,590

 
(371,087
)
 
857,232

Ending balance
$
9,418,485

 
$
9,281,117

 
$
9,418,485

 
$
9,281,117