Fair Value Measurements (Tables)

9 Months Ended

Sep. 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
	September 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	$	—	$	1,128,002	$	—	$	1,128,002
Obligations of U.S. states and their subdivisions	—		2,251,210		—		2,251,210
Foreign government securities	—		2,164		—		2,164
Corporate debt securities	—		14,389,380		14,707		14,404,087
Asset-backed securities	—		1,596,662		—		1,596,662
Residential mortgage-backed securities	—		96,717		—		96,717
Commercial mortgage-backed securities	—		1,217,078		—		1,217,078
Collateralized debt obligations	—		130,221		—		130,221
Total fixed maturities available-for-sale	—		20,811,434		14,707		20,826,141
Fixed maturities held-for-trading:
U.S. government direct obligations and U.S. agencies	—		341,368		—		341,368
Corporate debt securities	—		56,390		—		56,390
Commercial mortgage-backed securities	—		1,122		—		1,122
Total fixed maturities held-for-trading	—		398,880		—		398,880
Short-term investments	338,051		1,976,256		—		2,314,307
Collateral under securities lending agreements	99,404		—		—		99,404
Collateral under derivative counterparty collateral agreements	109,156		—		—		109,156
Derivative instruments designated as hedges:
Interest rate swaps	—		13,490		—		13,490
Cross-currency swaps	—		51,284		—		51,284
Derivative instruments not designated as hedges:
Interest rate swaps	—		32,982		—		32,982
Interest rate swaptions	—		191		—		191
Other forward contracts	—		7,891		—		7,891
Cross-currency swaps	—		41,528		—		41,528
Total derivative instruments	—		147,366		—		147,366
Separate account assets ⁽¹⁾	15,580,267		11,738,559		—		27,775,827
Total assets	$	16,126,878	$	35,072,495	$	14,707	$	51,671,081

Liabilities
Payable under securities lending agreements	$	99,404	$	—	$	—	$	99,404
Collateral under derivative counterparty collateral agreements	80,630		—		—		80,630
Derivative instruments designated as hedges:
Interest rate swaps	—		27,342		—		27,342
Cross-currency swaps	—		5,090		—		5,090
Derivative instruments not designated as hedges:
Interest rate swaps	—		10,061		—		10,061
Other forward contracts	—		623		—		623
Cross-currency swaps	—		26,828		—		26,828
Total derivative instruments	—		69,944		—		69,944
Embedded derivatives - GLWB	—		—		31,277		31,277
Separate account liabilities ⁽²⁾	4		517,570		—		517,574
Total liabilities	$	180,038	$	587,514	$	31,277	$	798,829

⁽¹⁾Included in the total fair value amount are $457 million of investments as of September 30, 2016 for which the fair value is estimated using net asset value per unit as a practical expedient which are excluded from the disclosure requirement to classify amounts in the fair value hierarchy in connection with the adoption of ASU 2015-07.

⁽²⁾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 ⁽¹⁾	15,249,966		10,847,266		—		26,631,193
Total assets	$	15,452,238	$	32,193,532	$	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 ⁽²⁾	24		290,293		—		290,317
Total liabilities	$	19,084	$	366,666	$	11,257	$	397,007

⁽¹⁾Included in the total fair value amount are $534 million of investments as of December 31, 2015 for which the fair value is estimated using net asset value per unit as a practical expedient which are excluded from the disclosure requirement to classify amounts in the fair value hierarchy in connection with the adoption of ASU 2015-07.

⁽²⁾ 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, 2016
	Assets			Liabilities
	Fixed maturities available-for-sale			Embedded
	Corporate			derivatives
	debt securities			- GLWB
Balances, July 1, 2016	$	15,056		$	30,687
Realized and unrealized gains (losses) included in:
Net income (loss)	—			590
Other comprehensive income (loss)	245			—
Settlements	(594		)	—
Balances, September 30, 2016	$	14,707		$	31,277
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, 2016	$	—		$	590



	Recurring Level 3 financial assets and liabilities
	Three Months Ended September 30, 2015
	Assets								Liabilities
	Fixed maturities available-for-sale								Embedded
	Corporate			Asset-backed					derivatives
	debt securities			securities		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
	Nine Months Ended September 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)	—			20,020
Other comprehensive income (loss)	720			—
Settlements	(1,787		)	—
Transfers into Level 3 ⁽¹⁾	11,236			—
Balances, September 30, 2016	$	14,707		$	31,277
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, 2016	$	—		$	20,020

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



	Recurring Level 3 financial assets and liabilities
	Nine Months Ended September 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)	—			—		—			3,370
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

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, 2016
	Fair Value		Valuation Technique	Unobservable Input	Range
Embedded derivatives - GLWB	$	31,277	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 and investments not carried at fair value on a recurring basis:



	September 30, 2016				December 31, 2015
	Carrying		Estimated		Carrying		Estimated
	amount		fair value		amount		fair value
Assets
Mortgage loans on real estate	$	3,568,114	$	3,795,123	$	3,247,704	$	3,362,496
Policy loans	4,056,284		4,056,284		4,092,661		4,092,661
Limited partnership interests	30,336		30,262		35,039		34,882
Other investments	14,293		44,723		14,596		44,723

Liabilities
Annuity contract benefits without life contingencies	$	12,254,743	$	12,357,043	$	11,104,721	$	10,839,205
Policyholders’ funds	254,712		254,712		299,577		299,577
Commercial paper	99,971		99,971		93,371		93,371
Notes payable	534,299		515,795		532,575		563,633