Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2013

Fair Value Measurements

Schedule of financial assets and liabilities carried at fair value on a recurring basis

	Assets and liabilities measured at
	fair value on a recurring basis
	March 31, 2013
	Quoted prices		Significant
	in active		other		Significant
	markets for		observable		unobservable
	identical assets		inputs		inputs
	(Level 1)		(Level 2)		(Level 3)		Total
Assets
Fixed maturities available-for-sale:
U.S. government direct obligations and U.S. agencies	$	—	$	2,991,545	$	—	$	2,991,545
Obligations of U.S. states and their subdivisions	—		2,066,010		—		2,066,010
Foreign government securities	—		2,744		—		2,744
Corporate debt securities	—		10,728,583		1,801		10,730,384
Asset-backed securities	—		1,568,966		261,503		1,830,469
Residential mortgage-backed securities	—		402,712		—		402,712
Commercial mortgage-backed securities	—		654,066		—		654,066
Collateralized debt obligations	—		13,223		32		13,255
Total fixed maturities available- for-sale	—		18,427,849		263,336		18,691,185
Fixed maturities held for trading:
U.S. government direct obligations and U.S. agencies	—		71,479		—		71,479
Corporate debt securities	—		61,089		—		61,089
Asset-backed securities	—		42,195		—		42,195
Total fixed maturities held for trading	—		174,763		—		174,763
Short-term investments available-for-sale	247,083		1,678,686		—		1,925,769
Collateral under securities lending agreements	45,813		—		—		45,813
Collateral under derivative counterparty collateral agreements	74,780		—		—		74,780
Derivative instruments designated as hedges:
Interest rate swaps	—		26,117		—		26,117
Cross-currency swaps	—		7,722		—		7,722
Derivative instruments not designated as hedges:
Interest rate swaps	—		463		—		463
Interest rate swaptions	—		518		—		518
Total derivative instruments	—		34,820		—		34,820
Separate account assets	12,986,386		12,435,008		—		25,421,394
Total assets	$	13,354,062	$	32,751,126	$	263,336	$	46,368,524
Liabilities
Payable under securities lending agreements	$	45,813	$	—	$	—	$	45,813
Derivative instruments designated as hedges:
Interest rate swaps	—		820		—		820
Cross-currency swaps	—		105,955		—		105,955
Derivative instruments not designated as hedges:
Interest rate swaps	—		673		—		673
Total derivative instruments	—		107,448		—		107,448
Separate account liabilities (1)	20		122,534		—		122,554
Total liabilities	$	45,833	$	229,982	$	—	$	275,815

(1) Includes only separate account instruments which are carried at the fair value of the underlying invested liabilities owned by the separate accounts.

	Assets and liabilities measured at
	fair value on a recurring basis
	December 31, 2012
	Quoted prices		Significant
	in active		other		Significant
	markets for		observable		unobservable
	identical assets		inputs		inputs
	(Level 1)		(Level 2)		(Level 3)		Total
Assets
Fixed maturities available-for-sale:
U.S. government direct obligations and U.S. agencies	$	—	$	2,834,074	$	—	$	2,834,074
Obligations of U.S. states and their subdivisions	—		2,018,505		—		2,018,505
Corporate debt securities	—		10,372,269		1,822		10,374,091
Asset-backed securities	—		1,595,601		265,538		1,861,139
Residential mortgage-backed securities	—		425,585		—		425,585
Commercial mortgage-backed securities	—		662,955		—		662,955
Collateralized debt obligations	—		11,963		32		11,995
Total fixed maturities available- for-sale	—		17,920,952		267,392		18,188,344
Fixed maturities held for trading:
U.S. government direct obligations and U.S. agencies	—		263,634		—		263,634
Corporate debt securities	—		61,336		—		61,336
Asset-backed securities	—		42,630		—		42,630
Total fixed maturities held for trading	—		367,600		—		367,600
Short-term investments available-for-sale	19,459		246,873		—		266,332
Collateral under securities lending agreements	142,022		—		—		142,022
Collateral under derivative counterparty collateral agreements	54,400		—		—		54,400
Derivative instruments designated as hedges:
Interest rate swaps	—		26,371		—		26,371
Cross-currency swaps	—		4,643		—		4,643
Derivative instruments not designated as hedges:
Interest rate swaps	—		1,062		—		1,062
Interest rate swaptions	—		342		—		342
Total derivative instruments	—		32,418		—		32,418
Separate account assets	12,171,024		12,434,502		—		24,605,526
Total assets	$	12,386,905	$	31,002,345	$	267,392	$	43,656,642
Liabilities
Payable under securities lending agreements	$	142,022	$	—	$	—	$	142,022
Derivative instruments designated as hedges:
Interest rate swaps	—		1,649		—		1,649
Cross-currency swaps	—		85,752		—		85,752
Derivative instruments not designated as hedges:
Interest rate swaps	—		757		—		757
Total derivative instruments	—		88,158		—		88,158
Separate account liabilities (1)	14		352,653		—		352,667
Total liabilities	$	142,036	$	440,811	$	—	$	582,847

(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

	Recurring Level 3 financial assets and liabilities
	Three months ended March 31, 2013
	Fixed maturities available-for-sale
	Corporate			Asset-backed			Collateralized
	debt securities			securities			debt obligations		Total
Balance, January 1, 2013	$	1,822		$	265,538		$	32	$	267,392
Realized and unrealized gains (losses) included in:
Other comprehensive income (loss)	(16		)	7,005			—		6,989
Settlements	(5		)	(11,040		)	—		(11,045		)
Balance, March 31, 2013	$	1,801		$	261,503		$	32	$	263,336
Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets held at March 31, 2013	$	—		$	—		$	—	$	—

	Recurring Level 3 financial assets and liabilities
	Three months ended March 31, 2012
	Fixed maturities available-for-sale
	Corporate			Asset-backed			Collateralized			Separate
	debt securities			securities			debt obligations			accounts			Total
Balance, January 1, 2012	$	36,496		$	279,021		$	22		$	2,118		$	317,657
Realized and unrealized gains (losses) included in:
Net income	(218		)	—			—			(1,715		)	(1,933		)
Other comprehensive income (loss)	437			8,571			—			1,627			10,635
Sales	(836		)	—			—			(1,997		)	(2,833		)
Settlements	(926		)	(6,937		)	(1		)	(33		)	(7,897		)
Transfers out of Level 3 (1)	(18,652		)	(5,020		)	—			—			(23,672		)
Balance, March 31, 2012	$	16,301		$	275,635		$	21		$	—		$	291,957
Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets held at March 31, 2012	$	—		$	—		$	—		$	—		$	—

(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 and internal models.

Schedule of significant unobservable inputs used during the valuation of assets categorized within Level 3 of the recurring fair value measurements table

	March 31, 2013
	Fair Value		Valuation Technique	Unobservable Input	Weighted Average
Fixed maturities available-for-sale:
Asset-backed securities(1)	$	261,443	Internal model pricing	Prepayment speed assumption	5
				Constant default rate assumption	5
				Adjusted ABX Index spread assumption (2)	625

(1) Includes home improvement loans only.

(2) Includes an internally calculated liquidity premium adjustment of 217.

Summary of the carrying amounts and estimated fair values of financial instruments not carried at fair value on a recurring basis

	March 31, 2013				December 31, 2012
	Carrying		Estimated		Carrying		Estimated
	amount		fair value		amount		fair value
Assets
Mortgage loans on real estate	$	2,897,724	$	3,126,363	$	2,881,758	$	3,114,796
Policy loans	4,182,726		4,182,726		4,260,200		4,260,200
Limited partnership interests	47,240		43,683		46,707		43,954
Other investments	18,391		44,930		18,890		45,050
Liabilities
Annuity contract benefits without life contingencies	$	9,642,222	$	9,713,538	$	9,622,357	$	9,731,734
Policyholders’ funds	345,189		345,189		374,821		374,821
Repurchase agreements	1,909,616		1,909,616		—		—
Commercial paper	96,786		96,786		97,987		97,987
Notes payable	541,756		583,315		532,491		563,860