Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2014

Assets and Liabilities Measured at Fair Value on a Recurring Basis

The following tables present the assets and liabilities measured at fair value on a recurring basis and their corresponding level in the fair value hierarchy at December 31:

	Total		Level 1		Level 2		Level 3
2014:
Assets accounted for at fair value:
Fixed-maturity securities, available-for-sale:
U.S. government	$	1,232,954		1,232,954		—		—
Agencies not backed by the full faith and credit of the U.S. government		145,350		—		145,350		—
States and political subdivisions		7,540,942		—		7,540,942		—
Foreign government		311,675		—		277,528		34,147
Public utilities		6,328,249		—		5,807,050		521,199
Corporate securities		49,497,457		—		44,284,896		5,212,561
Mortgage-backed securities		14,097,897		—		14,096,565		1,332
CMOs		12,032		—		12,032		—
CDOs		45,229		—		—		45,229
Fixed-maturity securities, at fair value through income		41,223		41,223		—		—
Derivative investments		721,736		32		710,121		11,583
Equity securities, available-for-sale		6,226		6,226		—		—
Equity securities, trading		314,023		286,971		27,052		—
Corporate-owned life insurance		312,419		—		312,419		—
Separate account assets		30,789,371		30,789,371		—		—
Total assets accounted for at fair value	$	111,396,783		32,356,777		73,213,955		5,826,051
Liabilities accounted for at fair value:
Derivative liabilities	$	448,220		—		447,463		757
Separate account liabilities		30,789,371		30,789,371		—		—
Reserves at fair value (1)		17,052,283		—		—		17,052,283
Total liabilities accounted for at fair value	$	48,289,874		30,789,371		447,463		17,053,040

	Total		Level 1		Level 2		Level 3
2013:
Assets accounted for at fair value:
Fixed-maturity securities, available-for-sale:
U.S. government	$	1,118,443		1,118,443		—		—
Agencies not backed by the full faith and credit of the U.S. government		511,829		—		511,829		—
States and political subdivisions		4,958,360		—		4,958,360		—
Foreign government		365,234		—		331,950		33,284
Public utilities		5,136,210		—		4,935,015		201,195
Corporate securities		41,676,852		—		37,949,049		3,727,803
Mortgage-backed securities		12,525,293		—		12,522,213		3,080
CMOs		14,212		—		14,212		—
CDOs		56,873		—		—		56,873
Fixed-maturity securities, at fair value through income		40,416		40,416
Derivative investments		831,707		1,151		821,890		8,666
Equity securities, available-for-sale		29,112		29,112
Equity securities, trading		227,822		206,500		21,322		—
Corporate-owned life insurance		290,752		—		290,752		—
Separate account assets		30,747,777		30,747,777		—		—
Total assets accounted for at fair value	$	98,530,892		32,143,399		62,356,592		4,030,901
Liabilities accounted for at fair value:
Derivative liabilities	$	1,391,989		770		1,361,968		29,251
Separate account liabilities		30,747,777		30,747,777		—		—
Reserves at fair value (1)		11,943,461		—		—		11,943,461
Total liabilities accounted for at fair value	$	44,083,227		30,748,547		1,361,968		11,972,712

(1) Reserves at fair value are reported in account balances and future policy benefit reserves on the Consolidated Balance Sheets.

Reconciliation of the Beginning and Ending Balances for the Company's Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis

The following table provides a reconciliation of the beginning and ending balances for the Company’s Level 3 assets and liabilities measured at fair value on a recurring basis:

																						Realized
																						gains (losses)
																						included
																						in net
																						income
				Total realized/unrealized																		related to
				gains (losses) included in																		financial
							Other			Purchases			Sales			Transfer into						instruments
	Beginning						comprehensive			and			and			and/or out of			Ending			still held at
	balance			Net income			income (loss)			issuances			settlements			Level 3, net			balance			December 31
2014:
Fixed-maturity securities:
Available-for-sale:
Foreign government	$	33,284			—			863			—			—			—			34,147			—
Public utilities		201,195			(63	)		21,494			205,774			(8,435	)		101,234			521,199			(63	)
Corporate securities		3,727,803			(3,046	)		138,923			1,432,088			(144,367	)		61,160			5,212,561			(11,865	)
CDOs		56,872			2,488			(592	)		—			(13,539	)		—			45,229			1,615
Mortgage-backed securities		3,080			112			(41	)		—			(1,819	)		—			1,332			112
Total fixed-maturity securities	$	4,022,234			(509	)		160,647			1,637,862			(168,160	)		162,394			5,814,468			(10,201	)
Derivative assets	$	8,666			240,700			—			—			(237,783	)		—			11,583			2,917
Derivative liabilities		(29,251	)		(128,330	)		—			—			156,824			—			(757	)		28,494
Reserves at fair value		(11,943,461	)		(4,077,424	)		—			(2,166,876	)		1,135,478			—			(17,052,283	)		(6,244,300	)
																						Realized
																						gains (losses)
																						included
																						in net
																						income
				Total realized/unrealized																		related to
				gains (losses) included in																		financial
							Other			Purchases			Sales			Transfer into						instruments
	Beginning						comprehensive			and			and			and/or out of			Ending			still held at
	balance			Net income			income (loss)			issuances			settlements			Level 3, net			balance			December 31
2013:
Fixed-maturity securities:
Available-for-sale:
Foreign government	$	34,906			—			(1,622	)		—			—			—			33,284			—
Public utilities		193,162			—			(10,278	)		68,300			(679	)		(49,310	)		201,195			—
Corporate securities		3,501,577			3,344			(237,236	)		549,744			(89,626	)		—			3,727,803			140
CDOs		54,766			2,009			6,413			—			(6,316	)		—			56,872			1,984
Mortgage-backed securities		4,789			91			68			—			(1,868	)		—			3,080			86
Total fixed-maturity securities	$	3,789,200			5,444			(242,655	)		618,044			(98,489	)		(49,310	)		4,022,234			2,210
Derivative assets	$	7,884			593,079			—			—			(592,297	)		—			8,666			782
Derivative liabilities		(51,705	)		(242,038	)		—			—			264,492			—			(29,251	)		22,453
Reserves at fair value		(10,961,562	)		(1,015,824	)		—			(1,232,687	)		1,266,612			—			(11,943,461	)		(2,248,511	)

Significant Unobservable Inputs Used in Fair Value Measurements for Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis

The following table provides a summary of the significant unobservable inputs used in the fair value measurements developed by the Company or reasonably available to the Company of Level 3 assets and liabilities on a recurring basis at December 31:

	Fair value		Valuation Technique	Unobservable input	Range (weighted average)
2014:
Fixed-maturity securities:
Available-for-sale:
Foreign government	$	34,147	Matrix pricing	Option adjusted spread	156-162 (160)
Public utilities		521,199	Matrix pricing	Option adjusted spread	62-351 (190)
Corporate securities		5,212,561	Matrix pricing	Option adjusted spread	17-725 (186)
CDOs		24,649	Intex discounted	Constant prepayment rate	0–25.0% (0.5%)
			cash flows	Annual default rate	0.5–62.5% (1.9%)
				Loss severity	10–80.0% (44.7%)
				Delinquencies	0–32.0% (1.0%)
				Discount Margin to LIBOR	1.7–11.0% (4.9%)
CDOs		20,580	Third-Party Vendor	Prepayment rates	*
Mortgage-backed securities		1,332	Intex discounted	Constant prepayment rate	2.0–2.0% (2.0%)
			cash flows	Annual default rate	20.0-90.0% (20.0%)
				Loss severity	55.0–70.0% (55.0%)
				Delinquencies	5.0–30.0% (15.0%)
				Discount Margin to LIBOR	4.3–4.3% (4.3%)
Derivative assets:
TRS	$	7,914	Third-Party Vendor	Spread and discount rates	*
CDO embedded derivative		3,669	Discounted cash flow	Prepayment rates	*
Derivative liabilities:
TRS		(757)	Third-Party Vendor	Spread and discount rates	*

	Fair value		Valuation Technique		Unobservable input	Range (weighted average)
Reserves at Fair Value: ***
MVLO	$	14,903,758		Discounted cash flow	Annuitizations		0–25	%
					Surrenders		0–25	%
					Mortality**		0–100	%
					Withdrawal Benefit Election		0-50	%
GMWB and GMAB		1,756,137		Discounted cash flow	Surrenders		0.5–35	%
					Mortality**		0–100	%

* Management does not have insight into the specific assumptions used. See narrative below for qualitative discussion.

** Mortality assumptions are derived by applying management determined factors to the Annuity 2000 Mortality Table.

*** Certain reserves at fair value related to a new product are not yet modeled and excluded from this disclosure.

Fair Value of Financial Assets and Liabilities

The following table presents the carrying amounts and fair values of financial assets and liabilities at December 31:

	2014
	Carrying amount		Fair value
			Level 1		Level 2		Level 3		Total
Financial assets:
Held-to-maturity fixed-maturity securities	$	180,398		—		—		204,489		204,489
Mortgage loans on real estate		7,182,169		—		—		7,618,106		7,618,106
Loans to affiliates		850,115		—		850,115		—		850,115
Policy loans		160,141		—		160,141		—		160,141
Acquired loans		201,268		—		175,888		97,487		273,375
Other invested assets		75,041		—		—		75,041		75,041
Financial liabilities:
Investment contracts	$	84,156,386		—		—		84,921,955		84,921,955
Mortgage notes payable		92,184		—		—		109,119		109,119

	2013
	Carrying amount		Fair value
			Level 1		Level 2		Level 3		Total
Financial assets:
Held-to-maturity fixed-maturity securities	$	220,752		—		—		219,516		219,516
Mortgage loans on real estate		6,134,525		—		—		6,554,054		6,554,054
Loans to affiliates		1,191,170		—		1,191,170		—		1,191,170
Policy loans		158,217		—		158,217		—		158,217
Acquired loans		205,131		—		162,320		85,238		247,558
Other invested assets		50,046		—		—		50,046		50,046
Financial liabilities:
Investment contracts	$	71,735,796		—		—		72,477,568		72,477,568
Mortgage notes payable		99,210		—		—		112,884		112,884