Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 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
	June 30, 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	$	—	$	1,431,635	$	—	$	1,431,635
Obligations of U.S. states and their subdivisions	—		2,108,567		—		2,108,567
Corporate debt securities	—		15,015,692		10,703		15,026,395
Asset-backed securities	—		1,722,178		—		1,722,178
Residential mortgage-backed securities	—		75,090		—		75,090
Commercial mortgage-backed securities	—		1,297,687		—		1,297,687
Collateralized debt obligations	—		580,966		—		580,966
Total fixed maturities available-for-sale	—		22,231,815		10,703		22,242,518
Fixed maturities held-for-trading:
U.S. government direct obligations and U.S. agencies	—		126,590		—		126,590
Corporate debt securities	—		54,889		—		54,889
Commercial mortgage-backed securities	—		1,075		—		1,075
Total fixed maturities held-for-trading	—		182,554		—		182,554
Short-term investments	406,459		511,257		—		917,716
Collateral under securities lending agreements	—		77,614		—		77,614
Collateral under derivative counterparty collateral agreements	61,829		—		—		61,829
Derivative instruments designated as hedges:
Interest rate swaps	—		29,929		—		29,929
Cross-currency swaps	—		40,324		—		40,324
Derivative instruments not designated as hedges:
Interest rate swaps	—		10,296		—		10,296
Interest rate swaptions	—		204		—		204
Other forward contracts	—		2,843		—		2,843
Cross-currency swaps	—		35,587		—		35,587
Total derivative instruments	—		119,183		—		119,183
Separate account assets ⁽¹⁾	16,057,719		11,366,695		—		27,856,199
Total assets	$	16,526,007	$	34,489,118	$	10,703	$	51,457,613

Liabilities
Derivative instruments designated as hedges:
Cross-currency swaps	$	—	$	20,052	$	—	$	20,052
Derivative instruments not designated as hedges:
Interest rate swaps	—		12,492		—		12,492
Other forward contracts	—		5,423		—		5,423
Cross-currency swaps	—		24,004		—		24,004
Total derivative instruments	—		61,971		—		61,971
Embedded derivatives - GLWB	—		—		9,595		9,595
Separate account liabilities ⁽²⁾	4		444,831		—		444,835
Total liabilities	$	4	$	506,802	$	9,595	$	516,401

⁽¹⁾Included in the total fair value amount are $432 million of investments as of June 30, 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 June 30, 2017
	Assets			Liabilities
	Fixed maturities available-for-sale			Embedded
	Corporate			derivatives
	debt securities			- GLWB
Balances, April 1, 2017	$	10,931		$	4,042
Realized and unrealized gains (losses) included in:
Net income (loss)	—			(5,553		)
Other comprehensive income (loss)	84			—
Settlements	(312		)	—
Balances, June 30, 2017	$	10,703		$	9,595
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, 2017	$	—		$	(5,553	)



	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
	Six Months Ended June 30, 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)	—			(3,883		)
Other comprehensive income (loss)	(280		)	—
Settlements	(656		)	—
Balances, June 30, 2017	$	10,703		$	9,595
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, 2017	$	—		$	(3,883	)



	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.

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	June 30, 2017	December 31, 2016
Embedded derivatives - GLWB	Risk neutral stochastic valuation methodology	Equity volatility	15% - 28%	15% - 30%
		Swap curve	1.30% - 2.52%	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:



	June 30, 2017				December 31, 2016
	Carrying		Estimated		Carrying		Estimated
	amount		fair value		amount		fair value
Assets
Mortgage loans on real estate	$	3,924,598	$	4,020,537	$	3,558,826	$	3,574,240
Policy loans	4,066,620		4,066,620		4,019,648		4,019,648
Limited partnership interests	32,991		31,944		29,345		29,822
Other investments	13,603		43,799		14,382		44,687

Liabilities
Annuity contract benefits without life contingencies	$	12,419,039	$	12,314,755	$	12,291,378	$	12,129,631
Policyholders’ funds	287,265		287,265		285,554		285,554
Commercial paper	71,253		71,253		99,049		99,049
Notes payable	531,220		563,615		531,092		495,004