Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 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
	September 30, 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	$	—	$	926,905	$	—	$	926,905
Obligations of U.S. states and their subdivisions	—		1,971,658		—		1,971,658
Foreign government securities	—		2,645		—		2,645
Corporate debt securities	—		10,664,962		1,792		10,666,754
Asset-backed securities	—		1,505,854		255,349		1,761,203
Residential mortgage-backed securities	—		319,246		—		319,246
Commercial mortgage-backed securities	—		588,390		—		588,390
Collateralized debt obligations	—		12,202		32		12,234
Total fixed maturities available-for-sale	—		15,991,862		257,173		16,249,035
Fixed maturities held for trading:
U.S. government direct obligations and U.S. agencies	—		172,577		—		172,577
Corporate debt securities	—		58,979		—		58,979
Asset-backed securities	—		41,299		—		41,299
Total fixed maturities held for trading	—		272,855		—		272,855
Short-term investments available-for-sale	257,328		2,003,382		—		2,260,710
Collateral under securities lending agreements	65,711		—		—		65,711
Collateral under derivative counterparty collateral agreements	132,344		—		—		132,344
Derivative instruments designated as hedges:
Interest rate swaps	—		20,777		—		20,777
Cross-currency swaps	—		3,145		—		3,145
Derivative instruments not designated as hedges:
Interest rate swaps	—		955		—		955
Interest rate swaptions	—		920		—		920
Other forward contracts	—		85,479		—		85,479
Total derivative instruments	—		111,276		—		111,276
Separate account assets	13,985,333		11,863,829		—		25,849,162
Total assets	$	14,440,716	$	30,243,204	$	257,173	$	44,941,093
Liabilities
Payable under securities lending agreements	$	65,711	$	—	$	—	$	65,711
Derivative instruments designated as hedges:
Interest rate swaps	—		182		—		182
Cross-currency swaps	—		154,216		—		154,216
Derivative instruments not designated as hedges:
Interest rate swaps	—		2,562		—		2,562
Other forward contracts	—		29,949		—		29,949
Total derivative instruments	—		186,909		—		186,909
Separate account liabilities (1)	8		261,191		—		261,199
Total liabilities	$	65,719	$	448,100	$	—	$	513,819

(1) 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, 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 September 30, 2013
	Fixed maturities available-for-sale
	Corporate			Asset-backed			Collateralized
	debt securities			securities			debt obligations		Total
Balance, July 1, 2013	$	1,796		$	260,768		$	32	$	262,596
Realized and unrealized gains (losses) included in:
Other comprehensive income (loss)	(5		)	6,667			—		6,662
Settlements	1			(12,086		)	—		(12,085		)
Balance, September 30, 2013	$	1,792		$	255,349		$	32	$	257,173
Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets held at September 30, 2013	$	—		$	—		$	—	$	—

	Recurring Level 3 financial assets and liabilities
	Three months ended September 30, 2012
	Fixed maturities available-for-sale
	Corporate			Asset-backed			Collateralized
	debt securities			securities			debt obligations		Total
Balance, July 1, 2012	$	5,460		$	269,035		$	19	$	274,514
Realized and unrealized gains (losses) included in:
Other comprehensive income (loss)	33			12,547			12		12,592
Settlements	16			(9,786		)	1		(9,769		)
Transfers out of Level 3 (1)	(3,734		)	—			—		(3,734		)
Balance, September 30, 2012	$	1,775		$	271,796		$	32	$	273,603
Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets held at September 30, 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.

	Recurring Level 3 financial assets and liabilities
	Nine months ended September 30, 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)	(28		)	25,261			—		25,233
Settlements	(2		)	(35,450		)	—		(35,452		)
Balance, September 30, 2013	$	1,792		$	255,349		$	32	$	257,173
Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets held at September 30, 2013	$	—		$	—		$	—	$	—

	Recurring Level 3 financial assets and liabilities
	Nine months ended September 30, 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	(66		)	—			—			(1,715		)	(1,781		)
Other comprehensive income (loss)	70			22,298			11			1,627			24,006
Sales	(1,598		)	—			—			(1,997		)	(3,595		)
Settlements	(795		)	(24,503		)	(1		)	(33		)	(25,332		)
Transfers out of Level 3 (1)	(32,332		)	(5,020		)	—			—			(37,352		)
Balance, September 30, 2012	$	1,775		$	271,796		$	32		$	—		$	273,603
Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets held at September 30, 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

	September 30, 2013
	Fair Value		Valuation Technique	Unobservable Input	Weighted Average
Fixed maturities available-for-sale:
Asset-backed securities(1)	$	255,293	Internal model pricing	Prepayment speed assumption	5
				Constant default rate assumption	3
				Adjusted ABX Index spread assumption (2)	495

(1) Includes home improvement loans only.

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

	December 31, 2012
	Fair Value		Valuation Technique	Unobservable Input	Weighted Average
Fixed maturities available-for-sale:
Asset-backed securities(1)	$	265,470	Internal model pricing	Prepayment speed assumption	5
				Constant default rate assumption	5
				Adjusted ABX Index spread assumption (2)	655

(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

	September 30, 2013				December 31, 2012
	Carrying		Estimated		Carrying		Estimated
	amount		fair value		amount		fair value
Assets
Mortgage loans on real estate	$	3,039,245	$	3,132,774	$	2,881,758	$	3,114,796
Policy loans	4,145,260		4,145,260		4,260,200		4,260,200
Limited partnership interests	46,885		46,239		46,707		43,954
Other investments	16,360		42,895		18,890		45,050
Liabilities
Annuity contract benefits without life contingencies	$	10,106,819	$	9,784,830	$	9,622,357	$	9,731,734
Policyholders’ funds	326,639		326,639		374,821		374,821
Commercial paper	99,988		99,988		97,987		97,987
Notes payable due to parent	541,770		548,902		532,491		563,860