Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 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
	June 30, 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	$	—	$	927,698	$	—	$	927,698
Obligations of U.S. states and their subdivisions	—		2,311,904		—		2,311,904
Foreign government securities	—		2,381		—		2,381
Corporate debt securities	—		12,246,025		5,065		12,251,090
Asset-backed securities	—		1,372,803		31		1,372,834
Residential mortgage-backed securities	—		147,188		—		147,188
Commercial mortgage-backed securities	—		954,447		—		954,447
Collateralized debt obligations	—		9,535		—		9,535
Total fixed maturities available-for-sale	—		17,971,981		5,096		17,977,077
Fixed maturities held-for-trading:
U.S. government direct obligations and U.S. agencies	—		72,118		—		72,118
Corporate debt securities	—		57,384		—		57,384
Commercial mortgage-backed securities	—		1,075		—		1,075
Total fixed maturities held-for-trading	—		130,577		—		130,577
Short-term investments	193,146		2,441,964		—		2,635,110
Collateral under securities lending agreements	88,660		—		—		88,660
Collateral under derivative counterparty collateral agreements	120,927		—		—		120,927
Derivative instruments designated as hedges:
Interest rate swaps	—		16,458		—		16,458
Cross-currency swaps	—		9,112		—		9,112
Derivative instruments not designated as hedges:
Interest rate swaps	—		4,620		—		4,620
Interest rate swaptions	—		260		—		260
Other forward contracts	—		7,157		—		7,157
Cross-currency swaps	—		7,039		—		7,039
Total derivative instruments	—		44,646		—		44,646
Separate account assets	16,103,914		11,401,841		—		27,505,755
Total assets	$	16,506,647	$	31,991,009	$	5,096	$	48,502,752

Liabilities
Payable under securities lending agreements	$	88,660	$	—	$	—	$	88,660
Collateral under derivative counterparty collateral agreements	820		—		—		820
Derivative instruments designated as hedges:
Interest rate swaps	—		9		—		9
Cross-currency swaps	—		7,568		—		7,568
Derivative instruments not designated as hedges:
Interest rate swaps	—		6,179		—		6,179
Other forward contracts	—		24,917		—		24,917
Cross-currency swaps	—		123,788		—		123,788
Total derivative instruments	—		162,461		—		162,461
Embedded derivatives - GLWB	—		—		2,919		2,919
Separate account liabilities ⁽¹⁾	7		272,031		—		272,038
Total liabilities	$	89,487	$	434,492	$	2,919	$	526,898

⁽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 June 30, 2015
	Assets											Liabilities
	Fixed maturities available-for-sale											Embedded
	Corporate			Asset-backed			Collateralized					derivatives
	debt securities			securities			debt obligations		Total			- GLWB
Balances, April 1, 2015	$	5,329		$	33		$	—	$	5,362		$	9,177
Realized and unrealized gains (losses) included in:
Net income (loss)	—			—			—		—			(6,258		)
Other comprehensive income (loss)	(49		)	—			—		(49		)	—
Settlements	(215		)	(2		)	—		(217		)	—
Balances, June 30, 2015	$	5,065		$	31		$	—	$	5,096		$	2,919
Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets and liabilities held at June 30, 2015	$	—		$	—		$	—	$	—		$	(6,258	)



	Recurring Level 3 financial assets and liabilities
	Three Months Ended June 30, 2014
	Assets											Liabilities
	Fixed maturities available-for-sale											Embedded
	Corporate			Asset-backed			Collateralized					derivatives
	debt securities			securities			debt obligations		Total			- GLWB
Balances, April 1, 2014	$	6,523		$	246,025		$	29	$	252,577		$	—
Realized and unrealized gains (losses) included in:
Net income (loss)	—			—			—		—			609
Other comprehensive income (loss)	17			(12,407		)	—		(12,390		)	—
Settlements	(169		)	(13,484		)	—		(13,653		)	—
Balances, June 30, 2014	$	6,371		$	220,134		$	29	$	226,534		$	609
Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets and liabilities held at June 30, 2014	$	—		$	—		$	—	$	—		$	609



	Recurring Level 3 financial assets and liabilities
	Six Months Ended June 30, 2015
	Assets											Liabilities
	Fixed maturities available-for-sale											Embedded
	Corporate			Asset-backed			Collateralized					derivatives
	debt securities			securities			debt obligations		Total			- GLWB
Balances, January 1, 2015	$	5,842		$	36		$	—	$	5,878		$	6,407
Realized and unrealized gains (losses) included in:
Net income (loss)	—			—			—		—			(3,488		)
Other comprehensive income (loss)	(77		)	—			—		(77		)	—
Settlements	(700		)	(5		)	—		(705		)	—
Balances, June 30, 2015	$	5,065		$	31		$	—	$	5,096		$	2,919
Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets and liabilities held at June 30, 2015	$	—		$	—		$	—	$	—		$	(3,488	)



	Recurring Level 3 financial assets and liabilities
	Six Months Ended June 30, 2014
	Assets												Liabilities
	Fixed maturities available-for-sale												Embedded
	Corporate			Asset-backed			Collateralized						derivatives
	debt securities			securities			debt obligations			Total			- GLWB
Balances, January 1, 2014	$	6,652		$	252,958		$	32		$	259,642		$	—
Realized and unrealized gains (losses) included in:
Net income (loss)	—			—			—			—			609
Other comprehensive income (loss)	75			(5,594		)	(3		)	(5,522		)	—
Settlements	(356		)	(27,230		)	—			(27,586		)	—
Balances, June 30, 2014	$	6,371		$	220,134		$	29		$	226,534		609
Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets and liabilities held at June 30, 2014	$	—		$	—		$	—		$	—		$	609

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 liabilities categorized within Level 3 of the recurring fair value measurements table:



	June 30, 2015
	Fair Value		Valuation Technique	Unobservable Input	Range
Embedded derivatives - GLWB	$	2,919	Risk neutral stochastic valuation methodology	Equity volatility	15% - 28%
				Swap curve	0.80% - 3.00%
				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:



	June 30, 2015				December 31, 2014
	Carrying		Estimated		Carrying		Estimated
	amount		fair value		amount		fair value
Assets
Mortgage loans on real estate	$	3,362,890	$	3,514,602	$	3,363,570	$	3,558,111
Policy loans	4,203,808		4,203,808		4,130,062		4,130,062
Limited partnership interests	36,697		38,651		38,796		41,853
Other investments	14,907		44,591		15,614		43,263

Liabilities
Annuity contract benefits without life contingencies	$	10,672,677	$	10,466,585	$	10,569,147	$	10,563,477
Policyholders’ funds	311,404		311,404		335,484		335,484
Commercial paper	98,489		98,489		98,589		98,589
Notes payable	532,561		560,140		532,547		564,904