Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2015

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
	March 31, 2015
	Quoted prices		Significant
	in active markets for identical assets (Level 1)		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	$	—	$	1,156,299	$	—	$	1,156,299
Obligations of U.S. states and their subdivisions	—		2,360,693		—		2,360,693
Foreign government securities	—		2,414		—		2,414
Corporate debt securities	—		12,324,502		5,329		12,329,831
Asset-backed securities	—		1,425,012		33		1,425,045
Residential mortgage-backed securities	—		162,446		—		162,446
Commercial mortgage-backed securities	—		921,072		—		921,072
Collateralized debt obligations	—		9,867		—		9,867
Total fixed maturities available-for-sale	—		18,362,305		5,362		18,367,667
Fixed maturities held-for-trading:
U.S. government direct obligations and U.S. agencies	—		70,516		—		70,516
Corporate debt securities	—		58,120		—		58,120
Commercial mortgage-backed securities	—		1,116		—		1,116
Total fixed maturities held-for-trading	—		129,752		—		129,752
Short-term investments	273,572		2,161,054		—		2,434,626
Collateral under securities lending agreements	89,906		—		—		89,906
Collateral under derivative counterparty collateral agreements	70,619		—		—		70,619
Derivative instruments designated as hedges:
Interest rate swaps	—		19,853		—		19,853
Cross-currency swaps	—		15,946		—		15,946
Derivative instruments not designated as hedges:
Interest rate swaps	—		10,527		—		10,527
Interest rate swaptions	—		244		—		244
Other forward contracts	—		20,925		—		20,925
Cross-currency swaps	—		14,197		—		14,197
Total derivative instruments	—		81,692		—		81,692
Separate account assets	16,470,665		12,140,746		—		28,611,411
Total assets	$	16,904,762	$	32,875,549	$	5,362	$	49,785,673

Liabilities
Payable under securities lending agreements	$	89,906	$	—	$	—	$	89,906
Collateral under derivative counterparty collateral agreements	13,176		—		—		13,176
Derivative instruments designated as hedges:
Interest rate swaps	—		191		—		191
Cross-currency swaps	—		68		—		68
Derivative instruments not designated as hedges:
Interest rate swaps	—		3,321		—		3,321
Other forward contracts	—		4,100		—		4,100
Cross-currency swaps	—		95,020		—		95,020
Total derivative instruments	—		102,700		—		102,700
Embedded derivatives - GLWB	—		—		9,177		9,177
Separate account liabilities ⁽¹⁾	36		225,016		—		225,052
Total liabilities	$	103,118	$	327,716	$	9,177	$	440,011

⁽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, 2014
	Quoted prices		Significant
	in active markets for identical assets (Level 1)		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
Embedded derivatives - GLWB	—		—		6,407		6,407
Separate account liabilities ⁽¹⁾	15		217,712		—		217,727
Total liabilities	$	14,547	$	354,299	$	6,407	$	375,253

⁽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
	Three Months Ended March 31, 2015
	Assets											Liabilities
	Fixed maturities available-for-sale											Embedded
	Corporate			Asset-backed			Collateralized					derivatives
	debt securities			securities			debt obligations		Total			- GLWB
Balance, January 1, 2015	$	5,842		$	36		$	—	$	5,878		$	6,407
Realized and unrealized gains (losses) included in:
Net income (loss)	—			—			—		—			2,770
Other comprehensive income (loss)	(28		)	—			—		(28		)	—
Settlements	(485		)	(3		)	—		(488		)	—
Balances, March 31, 2015	$	5,329		$	33		$	—	$	5,362		$	9,177
Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets held at March 31, 2015	$	—		$	—		$	—	$	—		$	2,770



	Recurring Level 3 financial assets and liabilities
	Three Months Ended March 31, 2014
	Assets												Liabilities
	Fixed maturities available-for-sale												Embedded
	Corporate			Asset-backed			Collateralized						derivatives
	debt securities			securities			debt obligations			Total			- GLWB
Balance, January 1, 2014	$	6,652		$	252,958		$	32		$	259,642		$	—
Realized and unrealized gains (losses) included in:
Other comprehensive income (loss)	58			6,813			(3		)	6,868			—
Settlements	(187		)	(13,746		)	—			(13,933		)	—
Balances, March 31, 2014	$	6,523		$	246,025		$	29		$	252,577		$	—
Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets held at March 31, 2014	$	—		$	—		$	—		$	—		$	—

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

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



	March 31, 2015
	Fair Value		Valuation Technique	Unobservable Input	Range
Embedded derivatives - GLWB	$	9,177	Risk neutral stochastic valuation methodology	Equity volatility	15% - 28%
				Swap curve	0.80% - 2.50%
				Mortality rate	Based on the Annuity 2000 Mortality Table
				Lapse rate	1% - 12%



	December 31, 2014
	Fair Value		Valuation Technique	Unobservable Input	Range
Embedded derivatives - GLWB	$	6,407	Risk neutral stochastic valuation methodology	Equity volatility	15% - 28%
				Swap curve	0.44% - 2.70%
				Mortality rate	Based on the Annuity 2000 Mortality Table
				Lapse rate	1% - 12%

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:



	March 31, 2015				December 31, 2014
	Carrying		Estimated		Carrying		Estimated
	amount		fair value		amount		fair value
Assets
Mortgage loans on real estate	$	3,440,183	$	3,682,669	$	3,363,570	$	3,558,111
Policy loans	4,125,285		4,125,285		4,130,062		4,130,062
Limited partnership interests	37,876		41,147		38,796		41,853
Other investments	15,021		44,591		15,614		43,263

Liabilities
Annuity contract benefits without life contingencies	$	10,556,269	$	10,774,463	$	10,569,147	$	10,563,477
Policyholders’ funds	296,602		296,602		335,484		335,484
Commercial paper	89,989		89,989		98,589		98,589
Notes payable	541,812		591,782		532,547		564,904

- 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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- Definition

Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

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