
	March 31, 2020						December 31, 2019
	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Financial assets
Fixed maturity securities, bonds held-to-maturity	$	8,554,809	$	8,501,656	$	8,631,261	$	8,968,690
Fixed maturity securities, bonds available-for-sale	6,480,374		6,480,374		6,725,085		6,725,085
Equity securities	1,375,083		1,375,083		1,700,960		1,700,960
Equity-indexed options	125,988		125,988		256,005		256,005
Mortgage loans on real estate, net of allowance	5,125,365		5,497,500		5,097,017		5,309,005
Policy loans	380,084		380,084		379,657		379,657
Short-term investments	418,882		418,882		425,321		425,321
Separate account assets ($871,196 and $1,049,938 included in fair value hierarchy)	893,856		893,856		1,073,891		1,073,891
Separately managed accounts	50,583		50,583		50,503		50,503
Total financial assets	$	23,405,024	$	23,724,006	$	24,339,700	$	24,889,117
Financial liabilities
Investment contracts	$	10,242,029	$	10,242,029	$	10,254,959	$	10,254,959
Embedded derivative liability for equity-indexed contracts	630,952		630,952		731,552		731,552
Notes payable	156,943		156,943		157,997		157,997
Separate account liabilities ($871,196 and $1,049,938 included in fair value hierarchy)	893,856		893,856		1,073,891		1,073,891
Total financial liabilities	$	11,923,780	$	11,923,780	$	12,218,399	$	12,218,399

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability. A fair value hierarchy is used to determine fair value based on a hypothetical transaction at the measurement date from the perspective of a market participant. American National has evaluated the types of securities in its investment portfolio to determine an appropriate hierarchy level based upon trading activity and the observability of market inputs. The classification of assets or liabilities within the fair value hierarchy is based on the lowest level of significant input to its valuation. The input levels are defined as follows:


Level 1						Unadjusted quoted prices in active markets for identical assets or liabilities.

Level 2						Quoted prices in markets that are not active or inputs that are observable directly or indirectly. Level 2 inputs include quoted prices for similar assets or liabilities other than quoted prices in Level 1; quoted prices in markets that are not active; or other inputs that are observable or can be derived principally from or corroborated by observable market data for substantially the full term of the assets or liabilities.

Level 3						Unobservable inputs that are supported by little or no market activity and are significant to the fair value of the assets or liabilities. Unobservable inputs reflect American National’s own assumptions about the assumptions that market participants would use in pricing the asset or liability. Level 3 assets and liabilities include financial instruments whose values are determined using pricing models and third-party evaluation, as well as instruments for which the determination of fair value requires significant management judgment or estimation.

Fixed Maturity Securities and Equity Options—American National utilizes SS&C Technologies, Inc. pricing service to estimate fair value measurements. The estimates of fair value for most fixed maturity securities, including municipal bonds, provided by the pricing service are disclosed as Level 2 measurements as the estimates are based on observable market information rather than market quotes. The pricing service utilizes market quotations for fixed maturity securities that have quoted prices in active markets. Since fixed maturity securities generally do not trade on a daily basis, the pricing service prepares estimates of fair value measurements for these securities using its proprietary pricing applications, which include available relevant market information, benchmark curves, benchmarking of like securities, sector groupings and matrix pricing. Additionally, an option adjusted spread model is used to develop prepayment and interest rate scenarios.

The pricing service evaluates each asset class based on relevant market information, credit information, perceived market movements and sector news. The market inputs utilized in the pricing evaluation, listed in the approximate order of priority, include: benchmark yields, reported trades, broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers, reference data, and economic events. The extent of the use of each market input depends on the asset class and the market conditions. Depending on the security, the priority of the use of inputs may change or some market inputs may not be relevant. For some securities, additional inputs may be necessary.

American National has reviewed the inputs and methodology used and the techniques applied by the pricing service to produce quotes that represent the fair value of a specific security. The review confirms that the pricing service is utilizing information from observable transactions or a technique that represents a market participant’s assumptions. American National does not adjust quotes received from the pricing service. The pricing service utilized by American National has indicated that they will only produce an estimate of fair value if there is objectively verifiable information available.

American National holds a small amount of private placement debt and fixed maturity securities that have characteristics that make them unsuitable for matrix pricing. For these securities, a quote from an independent broker (typically a market maker) is obtained. Due to the disclaimers on the quotes that indicate the price is indicative only, American National includes these fair value estimates in Level 3.

For securities priced using a quote from an independent broker, such as the equity-indexed options and certain fixed maturity securities, American National uses a market-based fair value analysis to validate the reasonableness of prices received. Price variances above a certain threshold are analyzed further to determine if any pricing issue exists. This analysis is performed quarterly.

Equity Securities—For publicly-traded equity securities, prices are received from a nationally recognized pricing service that are based on observable market transactions, and these securities are classified as Level 1 measurements. For certain preferred stock, current market quotes in active markets are unavailable. In these instances, an estimated fair value is received from the pricing service. The service utilizes similar methodologies to price preferred stocks as it does for fixed maturity securities. If applicable, these estimates would be disclosed as Level 2 measurements. American National tests the accuracy of the information provided by reference to other services annually.

Separate account assets and liabilities—Separate account assets and liabilities are funds that are held separate from the general assets and liabilities of American National and that represent the investments of variable insurance product contract holders, who bear the investment risk of such funds. Investment income and investment gains and losses from these separate funds accrue to the benefit of the contract holders. Separate accounts are established in conformity with insurance laws and are not chargeable with liabilities that arise from any other business of American National. American National reports separately, as assets and liabilities, investments held in separate accounts and liabilities of the separate accounts if (i) such separate accounts are legally recognized; (ii) assets supporting the contract liabilities are legally insulated from American National’s general account liabilities; (iii) investments are directed by the contract holder; and (iv) all investment performance, net of contract fees and assessments, is passed through to the contract holder. The assets of these accounts are carried at fair value. Deposits, net investment income and realized investment gains and losses for these accounts are excluded from revenues, and related liability increases are excluded from benefits and expenses in the condensed consolidated statements of operations.

The separate account assets included on the quantitative disclosures fair value hierarchy table are comprised of short-term investments, equity securities, and fixed maturity available-for-sale bonds. Equity securities are classified as Level 1 measurements. Short-term investments and fixed maturity securities are classified as Level 2 measurements. These classifications for separate account assets reflect the same fair value level methodologies as listed above as they are derived from the same vendors and follow the same process.

Embedded Derivative—The amounts reported within policyholder contract deposits include equity linked interest crediting rates based on the S&P 500 index within index annuities and indexed life. The following unobservable inputs are used for measuring the fair value of the embedded derivatives associated with the policyholder contract liabilities:

•Lapse rate assumptions are determined by company experience. Lapse rates are generally assumed to be lower during a contract’s surrender charge period and then higher once the surrender charge period has ended. Decreases to the assumed lapse rates generally increase the fair value of the liability as more policyholders persist to collect the crediting interest pertaining to the indexed product. Increases to the lapse rate assumption decrease the fair value.

•Mortality rate assumptions vary by age and gender based on company and industry experience. Decreases to the assumed mortality rates increase the fair value of the liabilities as more policyholders earn crediting interest. Increases to the assumed mortality rates decrease the fair value as higher decrements reduce the potential for future interest credits.

•Equity volatility assumptions begin with current market volatilities and grow to long-term values. Increases to the assumed volatility will increase the fair value of liabilities, as future projections will produce higher increases in the linked index. At March 31, 2020 and December 31, 2019, the one year implied volatility used to estimate embedded derivative value was 46.1% and 11.3%, respectively.

Fair values of indexed life and annuity liabilities are calculated using the discounted cash flow technique. Shown below are the significant unobservable inputs used to calculate the Level 3 fair value of the embedded derivatives within policyholder contract deposits (in millions, except range percentages):


	Assets and Liabilities Carried at Fair Value by Hierarchy Level as of March 31, 2020
	Total Fair Value		Level 1		Level 2		Level 3
Financial assets
Fixed maturity securities, bonds available-for-sale
U.S. treasury and government	$	30,304	$	—	$	30,304	$	—
U.S. states and political subdivisions	1,078,917		—		1,078,917		—
Foreign governments	6,432		—		6,432		—
Corporate debt securities	5,319,261		—		5,265,871		53,390
Residential mortgage-backed securities	29,585		—		29,585		—
Collateralized debt securities	15,875		—		15,875		—
Total bonds available-for-sale	6,480,374		—		6,426,984		53,390
Equity securities
Common stock	1,358,605		1,358,142		—		463
Preferred stock	16,478		16,478		—		—
Total equity securities	1,375,083		1,374,620		—		463
Options	125,988		—		—		125,988
Short-term investments	418,882		—		418,882		—
Separate account assets	871,196		215,339		655,857		—
Separately managed accounts	50,583		—		—		50,583
Total financial assets	$	9,322,106	$	1,589,959	$	7,501,723	$	230,424
Financial liabilities
Embedded derivative for equity-indexed contracts	$	630,952	$	—	$	—	$	630,952
Separate account liabilities	871,196		215,339		655,857		—
Total financial liabilities	$	1,502,148	$	215,339	$	655,857	$	630,952


	Assets and Liabilities Carried at Fair Value by Hierarchy Level as of December 31, 2019
	Total Fair Value		Level 1		Level 2		Level 3
Financial assets
Fixed maturity securities, bonds available-for-sale
U.S. treasury and government	$	29,941	$	—	$	29,941	$	—
U.S. states and political subdivisions	1,078,165		—		1,078,165		—
Foreign governments	6,287		—		6,287		—
Corporate debt securities	5,576,620		—		5,531,776		44,844
Residential mortgage-backed securities	23,943		—		23,943		—
Collateralized debt securities	10,129		—		10,129		—
Total bonds available-for-sale	6,725,085		—		6,680,241		44,844
Equity securities
Common stock	1,682,149		1,681,686		—		463
Preferred stock	18,811		18,811		—		—
Total equity securities	1,700,960		1,700,497		—		463
Options	256,005		—		—		256,005
Short-term investments	425,321		—		425,321		—
Separate account assets	1,049,938		271,575		778,363		—
Separately managed accounts	50,503		—		—		50,503
Total financial assets	$	10,207,812	$	1,972,072	$	7,883,925	$	351,815
Financial liabilities
Embedded derivative for equity-indexed contracts	$	731,552	$	—	$	—	$	731,552
Separate account liabilities	1,049,938		271,575		778,363		—
Total financial liabilities	$	1,781,490	$	271,575	$	778,363	$	731,552


	Level 3
	Three months ended March 31, 2020
	Assets								Liability
	Investment Securities		Equity-Indexed Options		Separately Managed Accounts		Embedded Derivative
Beginning balance	$	45,307	$	256,005	$	50,503	$	731,552


Net loss for derivatives included in net investment income	—		(108,095)		—		—
Net change included in interest credited	—		—		—		(89,581)
Net fair value change included in other comprehensive income	—		—		80		—
Purchases, sales and settlements or maturities
Purchases	22,702		14,164		—		—
Sales	(14,156)		—		—		—
Settlements or maturities	—		(36,086)		—		—
Premiums less benefits	—		—		—		(11,019)



Ending balance at March 31, 2020	$	53,853	$	125,988	$	50,583	$	630,952
Change in unrealized gains or losses for the period included in other comprehensive income for assets held at March 31, 2020	$	—			$	80

	Level 3
	Three months ended March 31, 2019
	Assets								Liability
	Investment Securities		Equity-Indexed Options		Separately Managed Accounts		Embedded Derivative
Beginning balance	$	4,346	$	148,006	$	—	$	596,075


Net gain for derivatives included in net investment income	—		66,485		16,532		—
Net change included in interest credited	—		—		—		58,156
Net fair value change included in other comprehensive income	—		—		9		—
Purchases, sales and settlements or maturities
Purchases	—		17,356		4,505		—
Sales	—		—		—		—
Settlements or maturities	—		(15,691)		—		—
Premiums less benefits	—		—		—		14,254



Ending balance at March 31, 2019	$	4,346	$	216,156	$	21,046	$	668,485

Mortgage Loans—The fair value of mortgage loans is estimated using discounted cash flow analyses on a loan by loan basis by applying a discount rate to expected cash flows from future installment and balloon payments. The discount rate takes into account general market trends and specific credit risk trends for the individual loan. Factors used to arrive at the discount rate include inputs from spreads based on U.S. Treasury notes and the loan’s credit quality, region, property type, lien priority, payment type and current status.

Policy loans—The carrying value of policy loans is the outstanding balance plus any accrued interest. Due to the collateralized nature of policy loans such that they cannot be separated from the policy contracts, the unpredictable timing of repayments and the fact that settlement is at outstanding value, American National believes the carrying value of policy loans approximates fair value.

Separately managed accounts—The amounts reported in separately managed accounts consist primarily of notes and private equity. These investments are private placements and do not have a readily determinable fair value. The carrying value of the separately managed accounts is cost or market value if available from the separately managed account manager. Market value is provided by the separately managed account manager in subsequent quarters. American National believes that cost approximates fair value at initial recognition during the quarter of investment.

Investment contracts—The carrying value of investment contracts is equivalent to the accrued account balance. The accrued account balance consists of deposits, net of withdrawals, plus or minus interest credited, fees and charges assessed and other adjustments. American National believes that the carrying value of investment contracts approximates fair value because the majority of these contracts’ interest rates reset at anniversary.


	March 31, 2020
	FV Hierarchy Level	Carrying Amount		Fair Value
Financial assets
Fixed maturity securities, bonds held-to-maturity
U.S. states and political subdivisions	Level 2	$	155,151	$	159,929
Foreign governments	Level 2	3,899		4,419
Corporate debt securities	Level 2	8,011,160		7,956,612

Residential mortgage-backed securities	Level 2	179,084		186,919
Collateralized debt securities	Level 2	205,515		193,777

Total fixed maturity securities, bonds held-to-maturity		8,554,809		8,501,656
Mortgage loans on real estate, net allowance	Level 3	5,125,365		5,497,500
Policy loans	Level 3	380,084		380,084
Separately managed accounts	Level 3	50,583		50,583
Total financial assets		$	14,110,841	$	14,429,823
Financial liabilities
Investment contracts	Level 3	$	10,242,029	$	10,242,029
Notes payable	Level 3	156,943		156,943
Total financial liabilities		$	10,398,972	$	10,398,972


	December 31, 2019
	FV Hierarchy Level	Carrying Amount		Fair Value
Financial assets
Fixed maturity securities, bonds held-to-maturity
U.S. states and political subdivisions	Level 2	$	165,109	$	170,114
Foreign governments	Level 2	3,907		4,349
Corporate debt securities	Level 2	8,099,098		8,424,969
Residential mortgage-backed securities	Level 2	237,516		242,828
Collateralized debt securities	Level 2	125,631		126,430

Total fixed maturity securities, bonds held-to-maturity		8,631,261		8,968,690
Mortgage loans on real estate, net allowance	Level 3	5,097,017		5,309,005
Policy loans	Level 3	379,657		379,657
Separately managed accounts	Level 3	50,503		50,503
Total financial assets		$	14,158,438	$	14,707,855
Financial liabilities
Investment contracts	Level 3	$	10,254,959	$	10,254,959
Notes payable	Level 3	157,997		157,997
Total financial liabilities		$	10,412,956	$	10,412,956