Fair Value Measurements (Tables)

12 Months Ended

Dec. 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
	December 31, 2015
	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	$	—	$	3,341,752	$	—	$	3,341,752
Obligations of U.S. states and their subdivisions	—		2,219,173		—		2,219,173
Foreign government securities	—		2,286		—		2,286
Corporate debt securities	—		12,501,174		4,538		12,505,712
Asset-backed securities	—		1,311,370		—		1,311,370
Residential mortgage-backed securities	—		125,372		—		125,372
Commercial mortgage-backed securities	—		1,016,908		—		1,016,908
Collateralized debt obligations	—		9,054		—		9,054
Total fixed maturities available-for-sale	—		20,527,089		4,538		20,531,627
Fixed maturities held-for-trading:
U.S. government direct obligations and U.S. agencies	—		558,208		—		558,208
Corporate debt securities	—		56,566		—		56,566
Commercial mortgage-backed securities	—		1,065		—		1,065
Total fixed maturities held-for-trading	—		615,839		—		615,839
Short-term investments	132,288		134,738		—		267,026
Collateral under derivative counterparty collateral agreements	69,984		—		—		69,984
Derivative instruments designated as hedges:
Interest rate swaps	—		11,843		—		11,843
Cross-currency swaps	—		28,736		—		28,736
Derivative instruments not designated as hedges:
Interest rate swaps	—		8,295		—		8,295
Interest rate swaptions	—		189		—		189
Cross-currency swaps	—		19,537		—		19,537
Total derivative instruments	—		68,600		—		68,600
Separate account assets	15,249,966		11,381,227				26,631,193
Total assets	$	15,452,238	$	32,727,493	$	4,538	$	48,184,269

Liabilities
Collateral under derivative counterparty collateral agreements	$	19,060	$	—	$	—	$	19,060
Derivative instruments designated as hedges:
Cross-currency swaps	—		22		—		22
Derivative instruments not designated as hedges:
Interest rate swaps	—		5,055		—		5,055
Cross-currency swaps	—		71,296		—		71,296
Total derivative instruments	—		76,373		—		76,373
Embedded derivatives - GLWB	—		—		11,257		11,257
Separate account liabilities ⁽¹⁾	24		290,293		—		290,317
Total liabilities	$	19,084	$	366,666	$	11,257	$	397,007

⁽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 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
Asset-backed securities	—		—		—		—
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.

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, 2015
	Assets											Liabilities
	Fixed maturities available-for-sale											Embedded derivatives - GLWB
	Corporate			Asset-backed			Collateralized
	debt securities			securities			debt obligations		Total
Balances, January 1, 2015	$	5,842		$	36		$	—	$	5,878		$	—
Realized and unrealized gains (losses) included in:
Net Income	—			—			—		—			11,257
Other comprehensive income (loss)	(178		)	—			—		(178		)	—
Settlements	(1,126		)	—			—		(1,126		)	—
Transfers out of Level 3 ⁽¹⁾	—			(36		)	—		(36		)	$	—
Balances, December 31, 2015	$	4,538		$	—		$	—	$	4,538		$	11,257
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, 2015	$	—		$	—		$	—	$	—		$	11,257

⁽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, 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	$	—		$	—		$	—		$	—



	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
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.

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, 2015
	Fair Value		Valuation Technique	Unobservable Input	Range
Embedded derivatives - GLWB	$	11,257	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% - 15%

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, 2015				December 31, 2014
	Carrying		Estimated		Carrying		Estimated
	amount		fair value		amount		fair value
Assets
Mortgage loans on real estate	$	3,247,704	$	3,362,496	$	3,363,570	$	3,558,111
Policy loans	4,092,661		4,092,661		4,130,062		4,130,062
Limited partnership interests	35,039		34,882		38,796		41,853
Other investments	14,596		44,723		15,614		43,263

Liabilities
Annuity contract benefits without life contingencies	$	11,104,721	$	10,839,205	$	10,569,147	$	10,563,477
Policyholders’ funds	299,577		299,577		335,484		335,484
Commercial paper	93,371		93,371		98,589		98,589
Notes payable	532,575		563,633		532,547		564,904