Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2016

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, 2016
	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	$	—	$	1,181,290	$	—	$	1,181,290
Obligations of U.S. states and their subdivisions	—		2,273,641		—		2,273,641
Foreign government securities	—		2,205		—		2,205
Corporate debt securities	—		13,792,661		15,056		13,807,717
Asset-backed securities	—		1,680,061		—		1,680,061
Residential mortgage-backed securities	—		96,158		—		96,158
Commercial mortgage-backed securities	—		1,090,803		—		1,090,803
Collateralized debt obligations	—		38,713		—		38,713
Total fixed maturities available-for-sale	—		20,155,532		15,056		20,170,588
Fixed maturities held-for-trading:
U.S. government direct obligations and U.S. agencies	—		268,691		—		268,691
Corporate debt securities	—		56,932		—		56,932
Commercial mortgage-backed securities	—		1,129		—		1,129
Total fixed maturities held-for-trading	—		326,752		—		326,752
Short-term investments	345,406		2,067,786		—		2,413,192
Collateral under securities lending agreements	79,780		—		—		79,780
Collateral under derivative counterparty collateral agreements	108,216		—		—		108,216
Derivative instruments designated as hedges:
Interest rate swaps	—		14,649		—		14,649
Cross-currency swaps	—		52,287		—		52,287
Derivative instruments not designated as hedges:
Interest rate swaps	—		33,083		—		33,083
Interest rate swaptions	—		138		—		138
Other forward contracts	—		20,582		—		20,582
Cross-currency swaps	—		40,175		—		40,175
Total derivative instruments	—		160,914		—		160,914
Separate account assets	15,193,369		12,058,035		—		27,251,404
Total assets	$	15,726,771	$	34,769,019	$	15,056	$	50,510,846

Liabilities
Payable under securities lending agreements	$	79,780	$	—	$	—	$	79,780
Collateral under derivative counterparty collateral agreements	82,626		—		—		82,626
Derivative instruments designated as hedges:
Interest rate swaps	—		24,150		—		24,150
Cross-currency swaps	—		1,432		—		1,432
Derivative instruments not designated as hedges:
Interest rate swaps	—		10,563		—		10,563
Other forward contracts	—		5,027		—		5,027
Cross-currency swaps	—		28,839		—		28,839
Total derivative instruments	—		70,011		—		70,011
Embedded derivatives - GLWB	—		—		30,687		30,687
Separate account liabilities ⁽¹⁾	6		368,282		—		368,288
Total liabilities	$	162,412	$	438,293	$	30,687	$	631,392

⁽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, 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	$	—	$	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.

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, 2016
	Assets			Liabilities
	Fixed maturities available-for-sale			Embedded
	Corporate			derivatives
	debt securities			- GLWB
Balances, April 1, 2016	$	15,542		$	21,707
Realized and unrealized gains (losses) included in:
Net income (loss)	—			8,980
Other comprehensive income (loss)	109			—
Settlements	(595		)	—
Balances, June 30, 2016	$	15,056		$	30,687
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, 2016	$	—		$	8,980



	Recurring Level 3 financial assets and liabilities
	Three Months Ended June 30, 2015
	Assets									Liabilities
	Fixed maturities available-for-sale									Embedded
	Corporate			Asset-backed						derivatives
	debt securities			securities			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
	Six Months Ended June 30, 2016
	Assets			Liabilities
	Fixed maturities available-for-sale			Embedded
	Corporate			derivatives
	debt securities			- GLWB
Balances, January 1, 2016	$	4,538		$	11,257
Realized and unrealized gains (losses) included in:
Net income (loss)	—			19,430
Other comprehensive income (loss)	475			—
Settlements	(1,193		)	—
Transfers into Level 3 ⁽¹⁾	11,236			—
Balances, June 30, 2016	$	15,056		$	30,687
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, 2016	$	—		$	19,430

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



	Recurring Level 3 financial assets and liabilities
	Six Months Ended June 30, 2015
	Assets									Liabilities
	Fixed maturities available-for-sale									Embedded
	Corporate			Asset-backed						derivatives
	debt securities			securities			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	)

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, 2016
	Fair Value		Valuation Technique	Unobservable Input	Range
Embedded derivatives - GLWB	$	30,687	Risk neutral stochastic valuation methodology	Equity volatility	15% - 28%
				Swap curve	0.5% - 2.50%
				Mortality rate	Based on the Annuity 2000 Mortality Table
				Lapse rate	1% - 15%



	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:



	June 30, 2016				December 31, 2015
	Carrying		Estimated		Carrying		Estimated
	amount		fair value		amount		fair value
Assets
Mortgage loans on real estate	$	3,495,837	$	3,699,863	$	3,247,704	$	3,362,496
Policy loans	4,113,952		4,113,952		4,092,661		4,092,661
Limited partnership interests	29,905		29,140		35,039		34,882
Other investments	14,295		44,723		14,596		44,723

Liabilities
Annuity contract benefits without life contingencies	$	11,838,861	$	11,967,170	$	11,104,721	$	10,839,205
Policyholders’ funds	289,666		289,666		299,577		299,577
Commercial paper	99,669		99,669		93,371		93,371
Notes payable	530,956		527,132		532,575		563,633