Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2014

Schedule of financial assets and liabilities carried at fair value on a recurring basis

The following tables present the Company’s financial assets and liabilities carried at fair value on a recurring basis by fair value hierarchy category:



	Assets and liabilities measured at fair value on a recurring basis
	December 31, 2014
	Quoted prices in active markets for identical assets (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Fixed maturities available-for-sale:
U.S. government direct obligations and U.S. agencies	$	—	$	3,547,256	$	—	$	3,547,256
Obligations of U.S. states and their subdivisions	—		2,172,484		—		2,172,484
Foreign government securities	—		2,451		—		2,451
Corporate debt securities	—		11,933,607		5,842		11,939,449
Asset-backed securities	—		1,398,503		36		1,398,539
Residential mortgage-backed securities	—		173,229		—		173,229
Commercial mortgage-backed securities	—		918,205		—		918,205
Collateralized debt obligations	—		10,465		—		10,465
Total fixed maturities available-for-sale	—		20,156,200		5,878		20,162,078
Fixed maturities held for trading:
U.S. government direct obligations and U.S. agencies	—		279,602		—		279,602
Corporate debt securities	—		57,850		—		57,850
Commercial mortgage-backed securities	—		1,091		—		1,091
Total fixed maturities held for trading	—		338,543		—		338,543
Short-term investments	156,935		106,566		—		263,501
Collateral under securities lending agreements	13,741		—		—		13,741
Collateral under derivative counterparty collateral agreements	106,901		—		—		106,901
Derivative instruments designated as hedges:
Interest rate swaps	—		19,383		—		19,383
Cross-currency swaps	—		5,143		—		5,143
Derivative instruments not designated as hedges:
Interest rate swaps	—		6,246		—		6,246
Interest rate swaptions	—		271		—		271
Cross-currency swaps	—		4,561		—		4,561
Total derivative instruments	—		35,604		—		35,604
Separate account assets	16,146,057		11,572,787				27,718,844
Total assets	$	16,423,634	$	32,209,700	$	5,878	$	48,639,212

Liabilities
Payable under securities lending agreements	$	13,741	$	—	$	—	$	13,741
Collateral under derivative counterparty collateral agreements	791		—		—		791
Derivative instruments designated as hedges:
Interest rate swaps	—		131		—		131
Cross-currency swaps	—		2,821		—		2,821
Derivative instruments not designated as hedges:
Interest rate swaps	—		1,844		—		1,844
Cross-currency swaps	—		131,791		—		131,791
Total derivative instruments	—		136,587		—		136,587
Separate account liabilities ⁽¹⁾	15		217,712		—		217,727
Total liabilities	$	14,547	$	354,299	$	—	$	368,846

⁽¹⁾ Includes only separate account instruments which are carried at the fair value of the underlying liabilities owned by the separate accounts.



	Assets and liabilities measured at fair value on a recurring basis
	December 31, 2013
	Quoted prices in active markets for identical assets (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets
Fixed maturities available-for-sale:
U.S. government direct obligations and U.S. agencies	$	—	$	3,064,639	$	—	$	3,064,639
Obligations of U.S. states and their subdivisions	—		1,943,587		—		1,943,587
Foreign government securities	—		2,603		—		2,603
Corporate debt securities	—		10,792,329		6,652		10,798,981
Asset-backed securities	—		1,402,679		252,958		1,655,637
Residential mortgage-backed securities	—		249,585		—		249,585
Commercial mortgage-backed securities	—		742,124		—		742,124
Collateralized debt obligations	—		12,356		32		12,388
Total fixed maturities available-for-sale	—		18,209,902		259,642		18,469,544
Fixed maturities held for trading:
U.S. government direct obligations and U.S. agencies	—		236,000		—		236,000
Corporate debt securities	—		58,171		—		58,171
Asset-backed securities	—		40,858		—		40,858
Commercial mortgage-backed securities	—		1,026		—		1,026
Total fixed maturities held for trading	—		336,055		—		336,055
Short-term investments	254,378		39,909		—		294,287
Collateral under securities lending agreements	18,534		—		—		18,534
Collateral under derivative counterparty collateral agreements	143,710		—		—		143,710
Derivative instruments designated as hedges:
Interest rate swaps	—		18,927		—		18,927
Derivative instruments not designated as hedges:
Interest rate swaps	—		1,454		—		1,454
Interest rate swaptions	—		1,176		—		1,176
Cross-currency swaps	—		1,921		—		1,921
Total derivative instruments	—		23,478		—		23,478
Separate account assets	14,861,680		11,769,224		—		26,630,904
Total assets	$	15,278,302	$	30,378,568	$	259,642	$	45,916,512

Liabilities
Payable under securities lending agreements	$	18,534	$	—	$	—	$	18,534
Derivative instruments designated as hedges:
Interest rate swaps	—		147		—		147
Cross-currency swaps	—		7,843		—		7,843
Derivative instruments not designated as hedges:
Interest rate swaps	—		3,492		—		3,492
Cross-currency swaps	—		156,261		—		156,261
Total derivative instruments	—		167,743		—		167,743
Separate account liabilities ⁽¹⁾	2		166,325		—		166,327
Total liabilities	$	18,536	$	334,068	$	—	$	352,604

⁽¹⁾ Includes only separate account instruments which are carried at the fair value of the underlying liabilities owned by the separate accounts.

Schedule of assets and liabilities measured at fair value on a recurring basis, for which Level 3 inputs are utilized to determine fair value

The following tables present additional information about assets and liabilities measured at fair value on a recurring basis and for which the Company has utilized Level 3 inputs to determine fair value:



	Recurring Level 3 financial assets and liabilities
	Year Ended December 31, 2014
	Fixed maturities available-for-sale
	Corporate			Asset-backed			Collateralized
	debt securities			securities			debt obligations			Total
Balances, January 1, 2014	$	6,652		$	252,958		$	32		$	259,642
Realized and unrealized gains (losses) included in:
Net Income	—			—			(17		)	(17		)
Other comprehensive income (loss)	(178		)	—			(15		)	(193		)
Settlements	(632		)	(19		)	—			(651		)
Transfers out of Level 3 ⁽¹⁾	—			(252,903		)	—			(252,903		)
Balances, December 31, 2014	$	5,842		$	36		$	—		$	5,878
Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets held at December 31, 2014	$	—		$	—		$	—		$	—

⁽¹⁾Transfers out of Level 3 are due primarily to increased observability of inputs in valuation methodologies as evidenced by corroboration of market prices with multiple pricing vendors and internal models.



	Recurring Level 3 financial assets and liabilities
	Year Ended December 31, 2013
	Fixed maturities available-for-sale
	Corporate			Asset-backed			Collateralized
	debt securities			securities			debt obligations		Total
Balances, January 1, 2013	$	1,822		$	265,538		$	32	$	267,392
Realized and unrealized gains (losses) included in:
Other comprehensive income (loss)	(240		)	34,766			—		34,526
Settlements	(762		)	(47,346		)	—		(48,108		)
Transfers into Level 3 ⁽¹⁾	5,832			—			—		5,832
Balances, December 31, 2013	$	6,652		$	252,958		$	32	$	259,642
Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets held at December 31, 2013	$	—		$	—		$	—	$	—

⁽¹⁾ Transfers into Level 3 are due primarily to decreased observability of inputs in valuation methodologies.



	Recurring Level 3 financial assets and liabilities
	Year Ended December 31, 2012
	Fixed maturities available-for-sale
	Corporate			Asset-backed			Collateralized			Separate
	debt securities			securities			debt obligations			accounts			Total
January 1, 2012	$	36,496		$	279,021		$	22		$	2,118		$	317,657
Realized and unrealized gains (losses) included in:
Net income	(66		)	—			—			(3,692		)	(3,758		)
Other comprehensive income (loss)	102			33,346			11			3,604			37,063
Sales	(1,598		)	—			—			(1,997		)	(3,595		)
Settlements	(874		)	(41,809		)	(1		)	(33		)	(42,717		)
Transfers out of Level 3⁽¹⁾	(32,238		)	(5,020		)	—			—			(37,258		)
Balances, December 31, 2012	$	1,822		$	265,538		$	32		$	—		$	267,392
Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets held at December 31, 2012	$	—		$	—		$	—		$	—		$	—

Schedule of significant unobservable inputs used during the valuation of assets categorized within Level 3 of the recurring fair value measurements table

The following table presents significant unobservable inputs used during the valuation of certain assets categorized within Level 3 of the recurring fair value measurements table:



	December 31, 2013
	Fair Value		Valuation Technique	Unobservable Input	Weighted Average
Fixed maturities available-for-sale:
Asset-backed securities ⁽¹⁾	$	252,902	Internal model pricing	Prepayment speed assumption	9
				Constant default rate assumption	5
				Adjusted ABX Index spread assumption ⁽²⁾	455

⁽¹⁾ Includes home improvement loans only.

⁽²⁾ Includes an internally calculated liquidity premium adjustment of 217.

At December 31, 2013, after adjusting the ABX Index spread assumption by the liquidity premium, the overall discount rate ranged from 327 to 647 basis points. The constant default rate assumption ranged from 2.0 to 12.9.

Summary of the carrying amounts and estimated fair values of financial instruments not carried at fair value on a recurring basis

The following tables summarize the carrying amounts and estimated fair values of the Company’s financial instruments not carried at fair value on a recurring basis:



	December 31, 2014				December 31, 2013
	Carrying		Estimated		Carrying		Estimated
	amount		fair value		amount		fair value
Assets
Mortgage loans on real estate	$	3,363,570	$	3,558,111	$	3,134,255	$	3,197,292
Policy loans	4,130,062		4,130,062		4,185,472		4,185,472
Limited partnership interests	38,796		41,853		44,551		42,433
Other investments	15,614		43,263		16,643		42,814

Liabilities
Annuity contract benefits without life contingencies	$	10,569,147	$	10,563,477	$	10,263,043	$	9,986,464
Policyholders’ funds	335,484		335,484		345,689		345,689
Commercial paper	98,589		98,589		98,990		98,990
Notes payable	532,547		564,904		532,519		541,918

- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

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