Fair Value Measurements (Tables)

9 Months Ended

Sep. 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
	September 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	$	—	$	1,543,460	$	—	$	1,543,460
Obligations of U.S. states and their subdivisions	—		2,110,818		—		2,110,818
Corporate debt securities	—		15,485,120		10,080		15,495,200
Asset-backed securities	—		1,676,750		—		1,676,750
Residential mortgage-backed securities	—		70,919		—		70,919
Commercial mortgage-backed securities	—		1,386,952		—		1,386,952
Collateralized debt obligations	—		728,770		—		728,770
Total fixed maturities available-for-sale	—		23,002,789		10,080		23,012,869
Fixed maturities held-for-trading:
U.S. government direct obligations and U.S. agencies	—		20,291		—		20,291
Corporate debt securities	—		38,956		—		38,956
Commercial mortgage-backed securities	—		1,081		—		1,081
Total fixed maturities held-for-trading	—		60,328		—		60,328
Short-term investments	320,398		502,673		—		823,071
Collateral under securities lending agreements	1,870		72,925		—		74,795
Collateral under derivative counterparty collateral agreements	41,524		—		—		41,524
Derivative instruments designated as hedges:
Interest rate swaps	—		29,482		—		29,482
Cross-currency swaps	—		30,874		—		30,874
Derivative instruments not designated as hedges:
Interest rate swaps	—		10,147		—		10,147
Interest rate swaptions	—		156		—		156
Other forward contracts	—		925		—		925
Cross-currency swaps	—		27,193		—		27,193
Total derivative instruments	—		98,777		—		98,777
Separate account assets ⁽¹⁾	16,255,644		11,213,991		—		27,866,779
Total assets	$	16,619,436	$	34,951,483	$	10,080	$	51,978,143

Liabilities
Derivative instruments designated as hedges:
Cross-currency swaps	$	—	$	35,184	$	—	$	35,184
Derivative instruments not designated as hedges:
Interest rate swaps	—		12,624		—		12,624
Other forward contracts	—		4,076		—		4,076
Cross-currency swaps	—		31,056		—		31,056
Total derivative instruments	—		82,940		—		82,940
Embedded derivatives - GLWB	—		—		10,221		10,221
Separate account liabilities ⁽²⁾	18		521,723		—		521,741
Total liabilities	$	18	$	604,663	$	10,221	$	614,902

⁽¹⁾Included in the total fair value amount are $397 million of investments as of September 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 September 30, 2017
	Assets			Liabilities
	Fixed maturities available-for-sale			Embedded
	Corporate			derivatives
	debt securities			- GLWB
Balances, July 1, 2017	$	10,703		$	9,595
Realized and unrealized gains (losses) included in:
Net income (loss)	—			(626		)
Other comprehensive income (loss)	166			—
Settlements	(432		)	—
Transfers out of Level 3 ⁽¹⁾	(357		)	—
Balances, September 30, 2017	$	10,080		$	10,221
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, 2017	$	—		$	(626	)

⁽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.



	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
	Nine Months Ended September 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)	—			(4,509		)
Other comprehensive income (loss)	83			—
Settlements	(1,275		)	—
Transfers out of Level 3 ⁽¹⁾	(367		)	—
Balances, September 30, 2017	$	10,080		$	10,221
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, 2017	$	—		$	(4,509	)

⁽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.



	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.

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	September 30, 2017	December 31, 2016
Embedded derivatives - GLWB	Risk neutral stochastic valuation methodology	Equity volatility	15% - 28%	15% - 30%
		Swap curve	1.33% - 2.54%	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:



	September 30, 2017				December 31, 2016
	Carrying		Estimated		Carrying		Estimated
	amount		fair value		amount		fair value
Assets
Mortgage loans on real estate	$	3,943,088	$	4,020,555	$	3,558,826	$	3,574,240
Policy loans	4,073,511		4,073,511		4,019,648		4,019,648
Limited partnership interests	40,433		40,413		29,345		29,822
Other investments	12,631		43,002		14,382		44,687

Liabilities
Annuity contract benefits without life contingencies	$	12,669,339	$	12,641,064	$	12,291,378	$	12,129,631
Policyholders’ funds	245,007		245,007		285,554		285,554
Commercial paper	99,868		99,868		99,049		99,049
Notes payable	534,538		565,903		531,092		495,004