Fair Value Measurements (Tables)

9 Months Ended

Sep. 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
	September 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	$	—	$	1,085,830	$	—	$	1,085,830
Obligations of U.S. states and their subdivisions	—		2,288,301		—		2,288,301
Foreign government securities	—		2,332		—		2,332
Corporate debt securities	—		12,621,693		4,783		12,626,476
Asset-backed securities	—		1,349,729		40		1,349,769
Residential mortgage-backed securities	—		136,910		—		136,910
Commercial mortgage-backed securities	—		995,371		—		995,371
Collateralized debt obligations	—		9,365		—		9,365
Total fixed maturities available-for-sale	—		18,489,531		4,823		18,494,354
Fixed maturities held-for-trading:
U.S. government direct obligations and U.S. agencies	—		68,853		—		68,853
Corporate debt securities	—		57,268		—		57,268
Commercial mortgage-backed securities	—		1,093		—		1,093
Total fixed maturities held-for-trading	—		127,214		—		127,214
Short-term investments	605,962		1,857,213		—		2,463,175
Collateral under securities lending agreements	45,726		—		—		45,726
Collateral under derivative counterparty collateral agreements	81,937		—		—		81,937
Derivative instruments designated as hedges:
Interest rate swaps	—		13,978		—		13,978
Cross-currency swaps	—		17,375		—		17,375
Derivative instruments not designated as hedges:
Interest rate swaps	—		10,057		—		10,057
Interest rate swaptions	—		193		—		193
Other forward contracts	—		23,519		—		23,519
Cross-currency swaps	—		13,900		—		13,900
Total derivative instruments	—		79,022		—		79,022
Separate account assets	14,747,770		11,619,799		—		26,367,569
Total assets	$	15,481,395	$	32,172,779	$	4,823	$	47,658,997

Liabilities
Payable under securities lending agreements	$	45,726	$	—	$	—	$	45,726
Collateral under derivative counterparty collateral agreements	15,168		—		—		15,168
Derivative instruments designated as hedges:
Cross-currency swaps	—		983		—		983
Derivative instruments not designated as hedges:
Interest rate swaps	—		5,152		—		5,152
Other forward contracts	—		8,741		—		8,741
Cross-currency swaps	—		92,360		—		92,360
Total derivative instruments	—		107,236		—		107,236
Embedded derivatives - GLWB	—		—		9,777		9,777
Separate account liabilities ⁽¹⁾	6		357,468		—		357,474
Total liabilities	$	60,900	$	464,704	$	9,777	$	535,381

⁽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 September 30, 2015
	Assets										Liabilities
	Fixed maturities available-for-sale										Embedded
	Corporate			Asset-backed		Collateralized					derivatives
	debt securities			securities		debt obligations		Total			- GLWB
Balances, July 1, 2015	$	5,065		$	31	$	—	$	5,096		$	2,919
Realized and unrealized gains (losses) included in:
Net income (loss)	—			—		—		—			6,858
Other comprehensive income (loss)	(66		)	—		—		(66		)	—
Settlements	(216		)	9		—		(207		)	—
Balances, September 30, 2015	$	4,783		$	40	$	—	$	4,823		$	9,777
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 September 30, 2015	$	—		$	—	$	—	$	—		$	6,858



	Recurring Level 3 financial assets and liabilities
	Three Months Ended September 30, 2014
	Assets												Liabilities
	Fixed maturities available-for-sale												Embedded
	Corporate			Asset-backed			Collateralized						derivatives
	debt securities			securities			debt obligations			Total			- GLWB
Balances, July 1, 2014	$	6,371		$	220,134		$	29		$	226,534		$	609
Realized and unrealized gains (losses) included in:
Net income (loss)	—			—			(17		)	(17		)	1,494
Other comprehensive income (loss)	(111		)	(3,957		)	(12		)	(4,080		)	—
Settlements	(155		)	(6,250		)	—			(6,405		)	—
Balances, September 30, 2014	$	6,105		$	209,927		$	—		$	216,032		$	2,103
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 September 30, 2014	$	—		$	—		$	—		$	—		$	1,494



	Recurring Level 3 financial assets and liabilities
	Nine Months Ended September 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)	—			—		—		—			3,370
Other comprehensive income (loss)	(143		)	—		—		(143		)	—
Settlements	(916		)	4		—		(912		)	—
Balances, September 30, 2015	$	4,783		$	40	$	—	$	4,823		$	9,777
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 September 30, 2015	$	—		$	—	$	—	$	—		$	3,370



	Recurring Level 3 financial assets and liabilities
	Nine Months Ended September 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)	—			—			(17		)	(17		)	2,103
Other comprehensive income (loss)	(36		)	(9,551		)	(15		)	(9,602		)	—
Settlements	(511		)	(33,480		)	—			(33,991		)	—
Balances, September 30, 2014	$	6,105		$	209,927		$	—		$	216,032		2,103
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 September 30, 2014	$	—		$	—		$	—		$	—		$	2,103

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:



	September 30, 2015
	Fair Value		Valuation Technique	Unobservable Input	Range
Embedded derivatives - GLWB	$	9,777	Risk neutral stochastic valuation methodology	Equity volatility	15% - 28%
				Swap curve	0.75% - 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:



	September 30, 2015				December 31, 2014
	Carrying		Estimated		Carrying		Estimated
	amount		fair value		amount		fair value
Assets
Mortgage loans on real estate	$	3,324,597	$	3,502,107	$	3,363,570	$	3,558,111
Policy loans	4,150,476		4,150,476		4,130,062		4,130,062
Limited partnership interests	36,474		37,339		38,796		41,853
Other investments	14,760		44,591		15,614		43,263

Liabilities
Annuity contract benefits without life contingencies	$	10,897,078	$	10,746,275	$	10,569,147	$	10,563,477
Policyholders’ funds	266,438		266,438		335,484		335,484
Commercial paper	96,284		96,284		98,589		98,589
Notes payable	541,826		569,320		532,547		564,904