Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2017

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
	March 31, 2017
	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	$	—	$	1,840,368	$	—	$	1,840,368
Obligations of U.S. states and their subdivisions	—		2,100,099		—		2,100,099
Corporate debt securities	—		14,542,646		10,931		14,553,577
Asset-backed securities	—		1,528,264		—		1,528,264
Residential mortgage-backed securities	—		127,726		—		127,726
Commercial mortgage-backed securities	—		1,358,065		—		1,358,065
Collateralized debt obligations	—		534,237		—		534,237
Total fixed maturities available-for-sale	—		22,031,405		10,931		22,042,336
Fixed maturities held-for-trading:
U.S. government direct obligations and U.S. agencies	—		129,296		—		129,296
Corporate debt securities	—		55,249		—		55,249
Commercial mortgage-backed securities	—		1,072		—		1,072
Total fixed maturities held-for-trading	—		185,617		—		185,617
Short-term investments	262,866		481,197		—		744,063
Collateral under securities lending agreements	94,531		—		—		94,531
Collateral under derivative counterparty collateral agreements	80,145		—		—		80,145
Derivative instruments designated as hedges:
Interest rate swaps	—		37,308		—		37,308
Cross-currency swaps	—		43,652		—		43,652
Derivative instruments not designated as hedges:
Interest rate swaps	—		8,187		—		8,187
Interest rate swaptions	—		265		—		265
Other forward contracts	—		7,817		—		7,817
Cross-currency swaps	—		42,071		—		42,071
Total derivative instruments	—		139,300		—		139,300
Separate account assets ⁽¹⁾	15,849,064		11,330,972		—		27,597,906
Total assets	$	16,286,606	$	34,168,491	$	10,931	$	50,883,898

Liabilities
Payable under securities lending agreements	$	94,531	$	—	$	—	$	94,531
Collateral under derivative counterparty collateral agreements	80,145		—		—		80,145
Derivative instruments designated as hedges:
Cross-currency swaps	—		10,921		—		10,921
Derivative instruments not designated as hedges:
Interest rate swaps	—		14,895		—		14,895
Other forward contracts	—		1,033		—		1,033
Cross-currency swaps	—		22,919		—		22,919
Total derivative instruments	—		49,768		—		49,768
Embedded derivatives - GLWB	—		—		4,042		4,042
Separate account liabilities ⁽²⁾	26		409,044		—		409,070
Total liabilities	$	174,702	$	458,812	$	4,042	$	637,556

⁽¹⁾Included in the total fair value amount are $418 million of investments as of March 31, 2017 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, 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	$	—	$	3,035,112	$	—	$	3,035,112
Obligations of U.S. states and their subdivisions	—		2,098,662		—		2,098,662
Corporate debt securities	—		13,968,110		11,639		13,979,749
Asset-backed securities	—		1,312,379		—		1,312,379
Residential mortgage-backed securities	—		140,992		—		140,992
Commercial mortgage-backed securities	—		1,225,282		—		1,225,282
Collateralized debt obligations	—		361,527		—		361,527
Total fixed maturities available-for-sale	—		22,142,064		11,639		22,153,703
Fixed maturities held-for-trading:
U.S. government direct obligations and U.S. agencies	—		458,067		—		458,067
Corporate debt securities	—		55,591		—		55,591
Commercial mortgage-backed securities	—		1,080		—		1,080
Total fixed maturities held-for-trading	—		514,738		—		514,738
Short-term investments	267,851		36,137		—		303,988
Collateral under derivative counterparty collateral agreements	103,214		—		—		103,214
Derivative instruments designated as hedges:
Interest rate swaps	—		33,390		—		33,390
Cross-currency swaps	—		53,641		—		53,641
Derivative instruments not designated as hedges:
Interest rate swaps	—		8,982		—		8,982
Interest rate swaptions	—		354		—		354
Cross-currency swaps	—		50,018		—		50,018
Total derivative instruments	—		146,385		—		146,385
Separate account assets ⁽¹⁾	15,407,992		11,199,924		—		27,037,765
Total assets	$	15,779,057	$	34,039,248	$	11,639	$	50,259,793

Liabilities
Collateral under derivative counterparty collateral agreements	$	103,214	$	—	$	—	$	103,214
Derivative instruments designated as hedges:
Cross-currency swaps	—		8,294		—		8,294
Derivative instruments not designated as hedges:
Interest rate swaps	—		13,340		—		13,340
Cross-currency swaps	—		16,647		—		16,647
Total derivative instruments	—		38,281		—		38,281
Embedded derivatives - GLWB	—		—		5,712		5,712
Separate account liabilities ⁽²⁾	55		336,468		—		336,523
Total liabilities	$	103,269	$	374,749	$	5,712	$	483,730

⁽¹⁾Included in the total fair value amount are $430 million of investments as of December 31, 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.

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 March 31, 2017
	Assets			Liabilities
	Fixed maturities available-for-sale			Embedded
	Corporate			derivatives
	debt securities			- GLWB
Balances, January 1, 2017	$	11,639		$	5,712
Realized and unrealized gains (losses) included in:
Net income (loss)	—			1,670
Other comprehensive income (loss)	(364		)	—
Settlements	(344		)	—
Balances, March 31, 2017	$	10,931		$	4,042
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 March 31, 2017	$	—		$	1,670



	Recurring Level 3 financial assets and liabilities
	Three Months Ended March 31, 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)	—			(10,450		)
Other comprehensive income (loss)	366			—
Settlements	(598		)	—
Transfers into Level 3 ⁽¹⁾	11,236			—
Balances, March 31, 2016	$	15,542		$	21,707
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 March 31, 2016	$	—		$	(10,450	)

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

The following table presents significant unobservable inputs used during the valuation of certain liabilities categorized within Level 3 of the recurring fair value measurements table:



			Range
	Valuation Technique	Unobservable Input	March 31, 2017	December 31, 2016
Embedded derivatives - GLWB	Risk neutral stochastic valuation methodology	Equity volatility	15% - 28%	15% - 30%
		Swap curve	1.38% - 2.66%	0.75% - 3.00%
		Mortality rate	Based on the Annuity 2000 Mortality Table	Based on the Annuity 2000 Mortality Table
		Base Lapse rate	1% - 15%	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:



	March 31, 2017				December 31, 2016
	Carrying		Estimated		Carrying		Estimated
	amount		fair value		amount		fair value
Assets
Mortgage loans on real estate	$	3,844,931	$	3,915,687	$	3,558,826	$	3,574,240
Policy loans	4,016,844		4,016,844		4,019,648		4,019,648
Limited partnership interests	32,579		31,947		29,345		29,822
Other investments	13,935		44,243		14,382		44,687

Liabilities
Annuity contract benefits without life contingencies	$	12,383,984	$	12,249,498	$	12,291,378	$	12,129,631
Policyholders’ funds	241,167		241,167		285,554		285,554
Commercial paper	98,645		98,645		99,049		99,049
Notes payable	534,339		528,415		531,092		495,004