Document_and_Entity_Informatio
Document and Entity Information | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | 1-May-15 |
Document and Entity Information | ||
Entity Registrant Name | GREAT WEST LIFE & ANNUITY INSURANCE CO | |
Entity Central Index Key | 744455 | |
Document Type | 10-Q | |
Document Period End Date | 31-Mar-15 | |
Amendment Flag | FALSE | |
Current Fiscal Year End Date | -19 | |
Entity Filer Category | Non-accelerated Filer | |
Entity Common Stock, Shares Outstanding | 7,032 | |
Document Fiscal Year Focus | 2015 | |
Document Fiscal Period Focus | Q1 |
Condensed_Consolidated_Balance
Condensed Consolidated Balance Sheets (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Investments: | ||
Fixed maturities, available-for-sale, at fair value (amortized cost $17,002,708 and $18,953,144) | $18,367,667 | $20,162,078 |
Fixed maturities, held-for-trading, at fair value (amortized cost $122,978 and $331,081) | 129,752 | 338,543 |
Mortgage loans on real estate (net of allowances of $2,890 and $2,890) | 3,440,183 | 3,363,570 |
Policy loans | 4,125,285 | 4,130,062 |
Short-term investments (amortized cost $2,434,626 and $263,501) | 2,434,626 | 263,501 |
Limited partnership and other corporation interests | 47,481 | 49,421 |
Other investments | 15,485 | 16,068 |
Total investments | 28,560,479 | 28,323,243 |
Other assets: | ||
Cash | 8,132 | 12,775 |
Reinsurance receivable | 612,184 | 611,270 |
Deferred acquisition costs (“DACâ€) and value of business acquired (“VOBAâ€) | 358,898 | 378,694 |
Investment income due and accrued | 309,291 | 278,886 |
Collateral under securities lending agreements | 89,906 | 13,741 |
Due from parent and affiliates | 49,908 | 47,193 |
Goodwill | 137,683 | 137,683 |
Other intangible assets | 26,891 | 27,915 |
Other assets | 843,525 | 773,651 |
Assets of discontinued operations | 23,852 | 24,324 |
Separate account assets | 28,611,411 | 27,718,844 |
Total assets | 59,632,160 | 58,348,219 |
Policy benefit liabilities: | ||
Future policy benefits | 26,141,356 | 25,968,411 |
Policy and contract claims | 345,853 | 339,104 |
Policyholders’ funds | 296,602 | 335,484 |
Provision for policyholders’ dividends | 57,390 | 58,577 |
Undistributed earnings on participating business | 20,990 | 20,050 |
Total policy benefit liabilities | 26,862,191 | 26,721,626 |
General liabilities: | ||
Due to parent and affiliates | 566,048 | 547,266 |
Commercial paper | 89,989 | 98,589 |
Payable under securities lending agreements | 89,906 | 13,741 |
Deferred income tax liabilities, net | 385,868 | 314,616 |
Other liabilities | 755,160 | 771,700 |
Liabilities of discontinued operations | 23,852 | 24,324 |
Separate account liabilities | 28,611,411 | 27,718,844 |
Total liabilities | 57,384,425 | 56,210,706 |
Commitments and contingencies (See Note 13) | ||
Stockholder’s equity: | ||
Preferred stock ($1 par value, 50,000,000 shares authorized; none issued and outstanding) | 0 | 0 |
Common stock ($1 par value, 50,000,000 shares authorized; 7,032,000 shares issued and outstanding) | 7,032 | 7,032 |
Additional paid-in capital | 778,464 | 777,664 |
Accumulated other comprehensive income | 691,137 | 603,018 |
Retained earnings | 771,102 | 749,799 |
Total stockholder’s equity | 2,247,735 | 2,137,513 |
Total liabilities and stockholder’s equity | $59,632,160 | $58,348,219 |
Condensed_Consolidated_Balance1
Condensed Consolidated Balance Sheets (Parenthetical) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, except Share data, unless otherwise specified | ||
Statement of Financial Position [Abstract] | ||
Fixed maturities, available-for-sale, amortized cost (in dollars) | $17,002,708 | $18,953,144 |
Fixed maturities, held for trading, amortized cost (in dollars) | 122,978 | 331,081 |
Mortgage loans on real estate, allowances (in dollars) | 2,890 | 2,890 |
Short-term investments, available-for-sale, amortized cost (in dollars) | $2,434,626 | $263,501 |
Preferred stock, par value (in dollars per share) | $1 | $1 |
Preferred stock, number of shares authorized | 50,000,000 | 50,000,000 |
Preferred stock, number of shares issued | 0 | 0 |
Preferred stock, number of shares outstanding | 0 | 0 |
Common stock, par value (in dollars per share) | $1 | $1 |
Common stock, number of shares authorized | 50,000,000 | 50,000,000 |
Common stock, number of shares issued | 7,032,000 | 7,032,000 |
Common stock, number of shares outstanding | 7,032,000 | 7,032,000 |
Condensed_Consolidated_Stateme
Condensed Consolidated Statements of Income (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Revenues: | ||
Premium income | $145,703 | $131,854 |
Fee income | 225,277 | 166,513 |
Other revenue | 1,820 | 0 |
Net investment income | 358,856 | 300,023 |
Realized investment gains (losses), net: | ||
Total other-than-temporary gains (losses) | -558 | -688 |
Other-than-temporary (gains) losses transferred to other comprehensive income (loss) | 108 | 0 |
Other realized investment gains (losses), net | 18,650 | 27,597 |
Total realized investment gains (losses), net | 18,200 | 26,909 |
Total revenues | 749,856 | 625,299 |
Benefits and expenses: | ||
Life and other policy benefits | 149,539 | 149,889 |
Increase in future policy benefits | 17,351 | 4,580 |
Interest credited or paid to contractholders | 142,891 | 132,133 |
Provision for policyholders’ share of losses on participating business | -451 | -352 |
Dividends to policyholders | 18,341 | 20,129 |
Total benefits | 327,671 | 306,379 |
General insurance expenses | 244,484 | 164,086 |
Amortization of DAC and VOBA | 17,556 | 403 |
Interest expense | 9,637 | 9,326 |
Total benefits and expenses | 599,348 | 480,194 |
Income before income taxes | 150,508 | 145,105 |
Income tax expense | 51,896 | 50,354 |
Net income | $98,612 | $94,751 |
Condensed_Consolidated_Stateme1
Condensed Consolidated Statements of Comprehensive Income (USD $) | 3 Months Ended | |||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | ||
Statement of Comprehensive Income [Abstract] | ||||
Net income | $98,612 | $94,751 | ||
Components of other comprehensive income | ||||
Unrealized holding gains (losses), net, arising on available-for-sale fixed maturity investments | 181,375 | 311,298 | ||
Unrealized holding gains (losses), net, arising on cash flow hedges | 17,155 | 884 | ||
Reclassification adjustment for (gains) losses, net, realized in net income | -30,437 | -22,218 | ||
Net unrealized gains (losses) related to investments | 168,093 | 289,964 | ||
Future policy benefits, DAC and VOBA adjustments | -35,129 | -57,248 | ||
Employee benefit plan adjustment | 2,603 | 0 | ||
Other comprehensive income before income taxes | 135,567 | 232,716 | ||
Income tax expense related to items of other comprehensive income | 47,448 | 81,450 | ||
Other comprehensive income (loss) | 88,119 | [1] | 151,266 | [1] |
Total comprehensive income | 186,731 | 246,017 | ||
Non-credit component of impaired losses on fixed maturities available-for-sale | ($2,543) | $1,772 | ||
[1] | Other comprehensive income includes the non-credit component of impaired gains (losses), net, on fixed maturities available-for-sale in the amounts of $(2,543) and $1,772 for the three months ended March 31, 2015 and 2014, respectively. |
Condensed_Consolidated_Stateme2
Condensed Consolidated Statements of Stockholder's Equity (USD $) | Total | Common stock | Additional paid-in capital | Accumulated other comprehensive income | Retained earnings | |
In Thousands, unless otherwise specified | ||||||
Beginning balance at Dec. 31, 2013 | $1,875,732 | $7,032 | $774,115 | $345,754 | $748,831 | |
Increase (Decrease) in Stockholder's Equity | ||||||
Net income | 94,751 | 94,751 | ||||
Other comprehensive income, net of income taxes | 151,266 | [1] | 151,266 | |||
Dividends | -92,801 | -92,801 | ||||
Capital contribution - stock-based compensation | 650 | 650 | ||||
Income tax benefit on stock-based compensation | 27 | 27 | ||||
Ending balance at Mar. 31, 2014 | 2,029,625 | 7,032 | 774,792 | 497,020 | 750,781 | |
Beginning balance at Dec. 31, 2014 | 2,137,513 | 7,032 | 777,664 | 603,018 | 749,799 | |
Increase (Decrease) in Stockholder's Equity | ||||||
Net income | 98,612 | 98,612 | ||||
Other comprehensive income, net of income taxes | 88,119 | [1] | 88,119 | |||
Dividends | -77,309 | -77,309 | ||||
Capital contribution - stock-based compensation | 525 | 525 | ||||
Income tax benefit on stock-based compensation | 275 | 275 | ||||
Ending balance at Mar. 31, 2015 | $2,247,735 | $7,032 | $778,464 | $691,137 | $771,102 | |
[1] | Other comprehensive income includes the non-credit component of impaired gains (losses), net, on fixed maturities available-for-sale in the amounts of $(2,543) and $1,772 for the three months ended March 31, 2015 and 2014, respectively. |
Condensed_Consolidated_Stateme3
Condensed Consolidated Statements of Cash Flows (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Cash flows from operating activities: | ||
Net cash provided by operating activities | $298,843 | $112,280 |
Proceeds from sales, maturities and redemptions of investments: | ||
Fixed maturities, available-for-sale | 3,024,890 | 2,648,898 |
Mortgage loans on real estate | 54,923 | 40,355 |
Limited partnership interests, other corporation interests and other investments | 1,174 | 4,574 |
Purchases of investments: | ||
Fixed maturities, available-for-sale | -1,009,516 | -409,356 |
Mortgage loans on real estate | -131,172 | -89,239 |
Limited partnership interests, other corporation interests and other investments | -123 | -606 |
Net change in short-term investments | -2,170,798 | -2,367,889 |
Net change in policy loans | -141 | -18 |
Purchases of furniture, equipment and software | -23,451 | -5,365 |
Net cash used in investing activities | -254,214 | -178,646 |
Cash flows from financing activities: | ||
Contract deposits | 428,073 | 576,724 |
Contract withdrawals | -401,887 | -436,178 |
Net change in due to/from parent and affiliates | 16,067 | 43,388 |
Dividends paid | -77,309 | -92,801 |
Payments for and interest (paid) received on financing element derivatives, net | -4,169 | -4,029 |
Net change in commercial paper borrowings | -8,600 | -299 |
Net change in book overdrafts | -1,722 | -13,020 |
Income tax benefit of stock option exercises | 275 | 27 |
Net cash (used in) provided by financing activities | -49,272 | 73,812 |
Net (decrease) increase in cash | -4,643 | 7,446 |
Cash, beginning of year | 12,775 | 7,491 |
Cash, end of period | 8,132 | 14,937 |
Net cash (paid) received during the year for: | ||
Income taxes | -11,488 | 30,969 |
Interest | -56 | -68 |
Non-cash investing and financing transactions during the years: | ||
Share-based compensation expense | $525 | $650 |
Organization_and_Basis_of_Pres
Organization and Basis of Presentation | 3 Months Ended |
Mar. 31, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization and Basis of Presentation | Organization and Basis of Presentation |
Organization | |
Great-West Life & Annuity Insurance Company (“GWLA”) and its subsidiaries (collectively, the “Company”) is a direct wholly-owned subsidiary of GWL&A Financial Inc. (“GWL&A Financial”), a holding company. GWL&A Financial is a direct wholly-owned subsidiary of Great-West Lifeco U.S. Inc. (“Lifeco U.S.”) and an indirect wholly-owned subsidiary of Great-West Lifeco Inc. (“Lifeco”), a Canadian holding company. The Company offers a wide range of life insurance, retirement and investment products to individuals, businesses and other private and public organizations throughout the United States. The Company is an insurance company domiciled in the State of Colorado and is subject to regulation by the Colorado Division of Insurance. | |
Basis of Presentation | |
The condensed consolidated financial statements include the accounts of the Company and the accounts of its subsidiaries over which it exercises control and are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”). Intercompany transactions and balances have been eliminated in consolidation. | |
The condensed consolidated balance sheet as of December 31, 2014, which was derived from the Company’s audited financial statements, and the unaudited interim condensed consolidated financial statements as of and for the three months ended March 31, 2015, have been prepared in accordance with the instructions for Form 10-Q. In compliance with those instructions, certain information and footnote disclosures normally included in consolidated financial statements prepared in accordance with U.S. GAAP have been condensed or omitted. As such, these condensed consolidated financial statements should be read in conjunction with the audited consolidated financial statements and the notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2014. | |
In the opinion of management, these statements include all normal recurring adjustments necessary to fairly present the Company’s condensed consolidated results of operations, financial position and cash flows as of March 31, 2015, and for all periods presented. The condensed consolidated results of operations and condensed consolidated statement of cash flows for the three months ended March 31, 2015 are not necessarily indicative of the results or cash flows expected for the full year. | |
Use of Estimates | |
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. |
Acquisition
Acquisition | 3 Months Ended |
Mar. 31, 2015 | |
Business Combinations [Abstract] | |
Acquisition | Acquisition |
Putnam Retirement Business | |
Description of transaction | |
On January 1, 2015, the Company acquired the retirement business of Putnam, an affiliated entity. The transaction was accounted for as a combination between entities under common control. As such, the assets and liabilities acquired from Putnam were recorded at historical cost as of January 1, 2015. In exchange for cash paid in the amount of $4,114, the Company acquired $11,501 of other assets, assumed $7,895 of other liabilities and recognized a dividend of $508. The 2015 amounts presented are aligned with the new business structure which includes the Putnam retirement business, while the 2014 comparative amounts reflect the previous structure which excludes the Putnam retirement business. | |
J.P. Morgan Retirement Plan Services | |
Description of transaction | |
On August 29, 2014, the Company completed the acquisition of all of the voting equity interests in the J.P. Morgan Retirement Plan Services (“RPS”) large-market record-keeping business. This acquisition transformed the Company, together with Putnam Investments, LLC (“Putnam”), an affiliate of the Company, into the second largest provider based on number of participants in the U.S. defined contribution market. The Company presented the allocation of the purchase price to the amounts of assets acquired, goodwill and liabilities assumed in the Company’s Annual Report on Form 10-K for the year ended December 31, 2014. | |
Revenues and earnings of the acquiree | |
For the three months ended March 31, 2015, RPS contributed $48,628 in revenue and $1,000 in net income. These amounts are included in the condensed consolidated statements of income for the three months ended March 31, 2015. | |
Pro-forma information | |
Supplementary pro-forma revenue and net earnings for the combined entity, as though the acquisition date for this business combination had occurred on January 1, 2014, has not been included as historical records are not available. |
Application_of_Recent_Accounti
Application of Recent Accounting Pronouncements | 3 Months Ended |
Mar. 31, 2015 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Application of Recent Accounting Pronouncements | Application of Recent Accounting Pronouncements |
Recently adopted accounting pronouncements | |
In June 2014, the FASB issued ASU No. 2014-11 Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (“ASU No. 2014-11”). ASU No. 2014-11 amends the accounting for entities that enter into repurchase-to-maturity transactions and repurchase agreements executed as repurchase financings. ASU No. 2014-11 requires new footnote disclosures for repurchase agreements and securities lending transactions accounted for as secured borrowings. The accounting changes in ASU 2014-11 are effective for public business entities for the first interim or annual period beginning after December 15, 2014. The disclosure for repurchase agreements, securities lending transactions, and repurchase-to-maturity transactions accounted for as secured borrowings is required to be presented for annual periods beginning after December 15, 2014, and for interim periods beginning after March 15, 2015. The adoption of the accounting changes did not have an impact on the Company’s financial position or results of operations. The Company is currently evaluating the impact of the disclosure changes on its financial statements. | |
Future adoption of new accounting pronouncements | |
In May 2014, the FASB issued ASU No. 2014-09 Revenue from Contracts with Customers (Topic 606) (“ASU No. 2014-09”). The update outlines a comprehensive model for accounting for revenue arising from contracts with customers and supersedes most current revenue recognition guidance, including industry-specific guidance. While the update does not apply to insurance contracts within the scope of Topic 944, it does apply to other fee income earned by the Company which includes fees from assets under management, assets under administration, shareholder servicing, administration and record-keeping services and investment advisory services. The core principle of the model requires that an entity should recognize revenue for the transfer of goods or services equal to the amount that it expects to be entitled to receive for those goods or services. The update also requires increased disclosure about the nature, amount, timing and uncertainty of revenue and cash flows arising from customer contracts. In adopting ASU No. 2014-09, the Company may use either a full retrospective or a modified retrospective approach. The update is effective for public business entities for interim and annual periods beginning after December 15, 2016. Early adoption is not permitted. The Company is currently evaluating the impact of this update on its financial statements. | |
In August 2014, the FASB issued ASU 2014-15, Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern (Subtopic 205-40). The update will require management to evaluate whether there is substantial doubt about the Company’s ability to continue as a going concern. If there is substantial doubt about the Company’s ability to continue as a going concern, the Company will be required to disclose that fact, along with managements’ evaluation of the effectiveness of its plan to alleviate that doubt. The update defines substantial doubt as when it is probable that the Company will be unable to meet its obligations as they become due within one year of the date the financial statements are issued. The assessment and disclosure requirements, if applicable, will be required quarterly. The update is effective for the annual period ending after December 15, 2016, and for interim and annual periods thereafter. The Company does not expect this update to have an impact on the Company’s financial statements. | |
In February 2015, the FASB issued ASU 2015-02, Amendments to the Consolidation Analysis (Topic 810). The update primarily amends the criteria used to evaluate whether certain variable interest entities should be consolidated. The update also modifies the criteria used to determine whether partnerships and similar entities are variable interest entities. The update is effective for interim and annual periods beginning after December 15, 2016 with early adoption permitted, including in the interim periods. The Company is currently evaluating the impact of this update on its financial statements. | |
In April, 2015, the FASB issued ASU 2015-05, Customer’s Accounting for Fees Paid in a Cloud Computing Arrangement (Subtopic 350-40). The update requires the Company to determine if the cloud computing arrangement contains a software license and if so, apply the accounting requirements for other intangible assets. The update also supersedes the requirement to apply lease accounting requirements by analogy for lease classification. If the arrangement is not a software license, then the Company applies accounting requirements for a service requirement. The update is effective for interim and annual periods beginning after December 15, 2015 with early adoption permitted. The Company is currently evaluating the impact of this update on its financial statements. | |
In May, 2015, the FASB issued ASU 2015-07, Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) (Topic 820). The update removes the requirement to categorize within the fair value hierarchy all investments measured using the net asset value per share practical expedient and related disclosures. The update is effective for interim and annual periods beginning after December 15, 2015. The Company is currently evaluating the impact of this update on its financial statements. |
Dividends
Dividends | 3 Months Ended |
Mar. 31, 2015 | |
Dividends [Abstract] | |
Dividends | Dividends |
The maximum amount of dividends, which can be paid to stockholders by insurance companies domiciled in the State of Colorado, is subject to restrictions relating to statutory surplus and statutory net gain from operations. Prior to the payment of any dividends, the Company seeks approval from the Colorado Insurance Commissioner. During the three months ended March 31, 2015, and 2014, the Company paid dividends of $77,309 and $92,801, respectively, to its parent, GWL&A Financial. |
Summary_of_Investments
Summary of Investments | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||
Summary of Investments | Summary of Investments | ||||||||||||||||||||||||
The following tables summarize fixed maturity investments classified as available-for-sale and the non-credit-related component of other-than-temporary impairments (“OTTI”) in accumulated other comprehensive income (loss) (“AOCI”): | |||||||||||||||||||||||||
31-Mar-15 | |||||||||||||||||||||||||
Amortized | Gross unrealized | Gross unrealized | Estimated fair value | OTTI (gain) loss | |||||||||||||||||||||
Fixed maturities: | cost | gains | losses | and carrying value | included in AOCI (1) | ||||||||||||||||||||
U.S. government direct obligations and U.S. agencies | $ | 1,081,949 | $ | 74,740 | $ | 390 | $ | 1,156,299 | $ | — | |||||||||||||||
Obligations of U.S. states and their subdivisions | 2,051,020 | 311,136 | 1,463 | 2,360,693 | — | ||||||||||||||||||||
Foreign government securities | 2,414 | — | — | 2,414 | — | ||||||||||||||||||||
Corporate debt securities (2) | 11,536,443 | 873,106 | 79,718 | 12,329,831 | (2,329 | ) | |||||||||||||||||||
Asset-backed securities | 1,284,772 | 151,734 | 11,461 | 1,425,045 | (92,246 | ) | |||||||||||||||||||
Residential mortgage-backed securities | 157,318 | 6,637 | 1,509 | 162,446 | (177 | ) | |||||||||||||||||||
Commercial mortgage-backed securities | 878,942 | 42,969 | 839 | 921,072 | — | ||||||||||||||||||||
Collateralized debt obligations | 9,850 | 17 | — | 9,867 | — | ||||||||||||||||||||
Total fixed maturities | $ | 17,002,708 | $ | 1,460,339 | $ | 95,380 | $ | 18,367,667 | $ | (94,752 | ) | ||||||||||||||
(1) Indicates the amount of any OTTI (gain) loss included in AOCI that is included in gross unrealized gains and losses. OTTI (gain) loss included in AOCI, as presented above, includes both the initial recognition of non-credit losses and the effects of subsequent increases and decreases in estimated fair value for those fixed maturity securities with previous non-credit impairment. The non-credit loss component of OTTI (gain) loss was in an unrealized gain position due to increases in estimated fair value subsequent to initial recognition of non-credit losses on such securities. | |||||||||||||||||||||||||
(2) Includes perpetual debt investments with amortized cost of $157,742 and estimated fair value of $129,358. | |||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||
Amortized | Gross unrealized | Gross unrealized | Estimated fair value | OTTI (gain) loss | |||||||||||||||||||||
Fixed maturities: | cost | gains | losses | and carrying value | included in AOCI (1) | ||||||||||||||||||||
U.S. government direct obligations and U.S. agencies | $ | 3,478,153 | $ | 70,597 | $ | 1,494 | $ | 3,547,256 | $ | — | |||||||||||||||
Obligations of U.S. states and their subdivisions | 1,885,715 | 287,668 | 899 | 2,172,484 | — | ||||||||||||||||||||
Foreign government securities | 2,455 | — | 4 | 2,451 | — | ||||||||||||||||||||
Corporate debt securities (2) | 11,258,517 | 763,036 | 82,104 | 11,939,449 | (2,228 | ) | |||||||||||||||||||
Asset-backed securities | 1,263,089 | 149,152 | 13,702 | 1,398,539 | (96,603 | ) | |||||||||||||||||||
Residential mortgage-backed securities | 167,793 | 7,368 | 1,932 | 173,229 | (185 | ) | |||||||||||||||||||
Commercial mortgage-backed securities | 886,748 | 32,556 | 1,099 | 918,205 | — | ||||||||||||||||||||
Collateralized debt obligations | 10,674 | — | 209 | 10,465 | — | ||||||||||||||||||||
Total fixed maturities | $ | 18,953,144 | $ | 1,310,377 | $ | 101,443 | $ | 20,162,078 | $ | (99,016 | ) | ||||||||||||||
(1) Indicates the amount of any OTTI (gain) loss included in AOCI that is included in gross unrealized gains and losses. OTTI (gain) loss included in AOCI, as presented above, includes both the initial recognition of non-credit losses and the effects of subsequent increases and decreases in estimated fair value for those fixed maturity securities with previous non-credit impairment. The non-credit loss component of OTTI (gain) loss was in an unrealized gain position due to increases in estimated fair value subsequent to initial recognition of non-credit losses on such securities. | |||||||||||||||||||||||||
(2) Includes perpetual debt investments with amortized cost of $157,742 and estimated fair value of $131,799. | |||||||||||||||||||||||||
See Note 8 for additional discussion regarding fair value measurements. | |||||||||||||||||||||||||
The amortized cost and estimated fair value of fixed maturity investments classified as available-for-sale, based on estimated cash flows, are shown in the table below. Actual maturities will likely differ from these projections because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. | |||||||||||||||||||||||||
March 31, 2015 | |||||||||||||||||||||||||
Amortized cost | Estimated fair value | ||||||||||||||||||||||||
Maturing in one year or less | $ | 658,867 | $ | 689,902 | |||||||||||||||||||||
Maturing after one year through five years | 3,603,240 | 3,922,438 | |||||||||||||||||||||||
Maturing after five years through ten years | 4,427,116 | 4,729,717 | |||||||||||||||||||||||
Maturing after ten years | 5,245,378 | 5,739,031 | |||||||||||||||||||||||
Mortgage-backed and asset-backed securities | 3,068,107 | 3,286,579 | |||||||||||||||||||||||
Total fixed maturities | $ | 17,002,708 | $ | 18,367,667 | |||||||||||||||||||||
Mortgage-backed (commercial and residential) and asset-backed securities include those issued by the U.S. government and U.S. agencies. | |||||||||||||||||||||||||
The following table summarizes information regarding the sales of securities classified as available-for-sale: | |||||||||||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||||||||||
2015 | 2014 | ||||||||||||||||||||||||
Proceeds from sales | $ | 2,658,671 | $ | 2,239,661 | |||||||||||||||||||||
Gross realized gains from sales | 23,351 | 19,773 | |||||||||||||||||||||||
Gross realized losses from sales | 20 | 1,062 | |||||||||||||||||||||||
Mortgage loans on real estate — The following table summarizes the carrying value of the mortgage loan portfolio by component: | |||||||||||||||||||||||||
March 31, 2015 | December 31, 2014 | ||||||||||||||||||||||||
Principal | $ | 3,433,510 | $ | 3,356,374 | |||||||||||||||||||||
Unamortized premium (discount) and fees, net | 9,563 | 10,086 | |||||||||||||||||||||||
Mortgage provision allowance | (2,890 | ) | (2,890 | ) | |||||||||||||||||||||
Total mortgage loans | $ | 3,440,183 | $ | 3,363,570 | |||||||||||||||||||||
The recorded investment of the mortgage loan portfolio categorized as performing was $3,443,073 and $3,366,460 as of March 31, 2015 and December 31, 2014, respectively. | |||||||||||||||||||||||||
Three Months Ended March 31, 2015 | Year Ended December 31, 2014 | ||||||||||||||||||||||||
Commercial mortgages | Commercial mortgages | ||||||||||||||||||||||||
Allowance ending balance by basis of impairment method: | |||||||||||||||||||||||||
Collectively evaluated for impairment | $ | 2,890 | $ | 2,890 | |||||||||||||||||||||
Recorded investment balance in the mortgage loan portfolio, gross of allowance, by basis of impairment method: | $ | 3,443,073 | $ | 3,366,460 | |||||||||||||||||||||
Individually evaluated for impairment | 12,878 | 12,986 | |||||||||||||||||||||||
Collectively evaluated for impairment | 3,430,195 | 3,353,474 | |||||||||||||||||||||||
Limited partnership and other corporation interests — At March 31, 2015 and December 31, 2014, the Company had $47,481 and $49,421, respectively, invested in limited partnership and other corporation interests. Included in limited partnership interests are investments in low-income housing limited partnerships (“LIHLP”) that qualify for federal and state tax credits and ownership interests in pooled investment funds. | |||||||||||||||||||||||||
The Company has determined each investment in LIHLP to be considered a variable interest entity (“VIE”) but consolidation was not required because the Company has no power through voting rights or similar rights to direct the activities that most significantly impact the entities’ economic performance. As a 99% limited partner in various upper-tier LIHLPs, the Company expects to receive the tax credits allocated to the partnership and operating losses from depreciation and interest expense. The general partner is most closely involved in the development and management of the LIHLP project and has a small ownership percentage of the partnership. | |||||||||||||||||||||||||
The carrying value and maximum exposure to loss in relation to the activities of the VIEs was $6,308 and $7,464 at March 31, 2015 and December 31, 2014, respectively. | |||||||||||||||||||||||||
Special deposits and securities lending — The Company had securities on deposit with government authorities as required by certain insurance laws with fair values of $14,785 and $14,612 at March 31, 2015 and December 31, 2014, respectively. | |||||||||||||||||||||||||
The Company participates in a securities lending program whereby securities are loaned to third parties. Securities with a cost or amortized cost of $169,739 and $15,252 and estimated fair values of $170,659 and $15,423 were on loan under the program at March 31, 2015 and December 31, 2014, respectively. The Company received cash of $89,906 and $13,741 and securities with a fair value of $85,137 and $2,131 as collateral at March 31, 2015 and December 31, 2014, respectively. | |||||||||||||||||||||||||
Unrealized losses on fixed maturity investments classified as available-for-sale — The following tables summarize unrealized investment losses, including the non-credit-related portion of OTTI losses reported in AOCI, by class of investment: | |||||||||||||||||||||||||
March 31, 2015 | |||||||||||||||||||||||||
Less than twelve months | Twelve months or longer | Total | |||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | ||||||||||||||||||||
Fixed maturities: | fair value | loss and OTTI | fair value | loss and OTTI | fair value | loss and OTTI | |||||||||||||||||||
U.S. government direct obligations and U.S. agencies | $ | 46,293 | $ | 65 | $ | 26,592 | $ | 325 | $ | 72,885 | $ | 390 | |||||||||||||
Obligations of U.S. states and their subdivisions | 162,763 | 1,214 | 807 | 249 | 163,570 | 1,463 | |||||||||||||||||||
Corporate debt securities | 773,294 | 23,499 | 381,146 | 56,219 | 1,154,440 | 79,718 | |||||||||||||||||||
Asset-backed securities | 78,682 | 415 | 195,402 | 11,046 | 274,084 | 11,461 | |||||||||||||||||||
Residential mortgage-backed securities | 3,945 | 10 | 22,622 | 1,499 | 26,567 | 1,509 | |||||||||||||||||||
Commercial mortgage-backed securities | 60,370 | 699 | 24,939 | 140 | 85,309 | 839 | |||||||||||||||||||
Total fixed maturities | $ | 1,125,347 | $ | 25,902 | $ | 651,508 | $ | 69,478 | $ | 1,776,855 | $ | 95,380 | |||||||||||||
Total number of securities in an unrealized loss position | 122 | 89 | 211 | ||||||||||||||||||||||
31-Dec-14 | |||||||||||||||||||||||||
Less than twelve months | Twelve months or longer | Total | |||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | ||||||||||||||||||||
Fixed maturities: | fair value | loss and OTTI | fair value | loss and OTTI | fair value | loss and OTTI | |||||||||||||||||||
U.S. government direct obligations and U.S. agencies | $ | 566,335 | $ | 503 | $ | 74,322 | $ | 991 | $ | 640,657 | $ | 1,494 | |||||||||||||
Obligations of U.S. states and their subdivisions | 18,280 | 218 | 41,064 | 681 | 59,344 | 899 | |||||||||||||||||||
Foreign government securities | 2,451 | 4 | — | — | 2,451 | 4 | |||||||||||||||||||
Corporate debt securities | 836,263 | 16,775 | 764,528 | 65,329 | 1,600,791 | 82,104 | |||||||||||||||||||
Asset-backed securities | 88,312 | 849 | 200,072 | 12,853 | 288,384 | 13,702 | |||||||||||||||||||
Residential mortgage-backed securities | 4,663 | 11 | 24,052 | 1,921 | 28,715 | 1,932 | |||||||||||||||||||
Commercial mortgage-backed securities | 35,015 | 127 | 57,333 | 972 | 92,348 | 1,099 | |||||||||||||||||||
Collateralized debt obligations | 10,465 | 209 | — | — | 10,465 | 209 | |||||||||||||||||||
Total fixed maturities | $ | 1,561,784 | $ | 18,696 | $ | 1,161,371 | $ | 82,747 | $ | 2,723,155 | $ | 101,443 | |||||||||||||
Total number of securities in an unrealized loss position | 134 | 153 | 287 | ||||||||||||||||||||||
Fixed maturity investments — Total unrealized losses and OTTI decreased by $6,063, or 6%, from December 31, 2014 to March 31, 2015. The overall decrease in unrealized losses was across most asset classes and reflects lower interest rates at March 31, 2015 compared to December 31, 2014 resulting in generally higher valuations of these fixed maturity securities. | |||||||||||||||||||||||||
Total unrealized losses greater than twelve months decreased by $13,269 from December 31, 2014 to March 31, 2015. Corporate debt securities account for 81%, or $56,219, of the unrealized losses and OTTI greater than twelve months at March 31, 2015. Non-investment grade corporate debt securities account for $10,420 of the unrealized losses and OTTI greater than twelve months and $9,731 of the losses are on perpetual debt investments issued by investment grade rated banks in the United Kingdom. Management does not have the intent to sell these assets; therefore, an OTTI was not recognized in earnings. | |||||||||||||||||||||||||
Asset-backed securities account for 16% of the unrealized losses and OTTI greater than twelve months at March 31, 2015. The present value of the cash flows expected to be collected is not less than amortized cost and management does not have the intent to sell these assets; therefore, an OTTI was not recognized in earnings. | |||||||||||||||||||||||||
Other-than-temporary impairment recognition — The OTTI on fixed maturity securities where the loss portion is bifurcated and the credit related component is recognized in realized investment gains (losses) is summarized as follows: | |||||||||||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||||||||||
2015 | 2014 | ||||||||||||||||||||||||
Beginning balance | $ | 119,532 | $ | 167,961 | |||||||||||||||||||||
Initial impairments - credit loss on securities not previously impaired | 450 | — | |||||||||||||||||||||||
Reductions due to increases in cash flows expected to be collected that are recognized over the remaining life of the security | (4,329 | ) | — | ||||||||||||||||||||||
Ending balance | $ | 115,653 | $ | 167,961 | |||||||||||||||||||||
Derivative_Financial_Instrumen
Derivative Financial Instruments | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||
Derivative Financial Instruments | Derivative Financial Instruments | ||||||||||||||||
Derivative transactions are generally entered into pursuant to International Swaps and Derivatives Association (“ISDA”) Master Agreements or Master Securities Forward Transaction Agreements (“MSFTA”) with approved counterparties that provide for a single net payment to be made by one party to the other on a daily basis, periodic payment dates, or at the due date, expiration or termination of the agreement. | |||||||||||||||||
The ISDA Master Agreements contain provisions that would allow the counterparties to require immediate settlement of all derivative instruments in a net liability position if the Company were to default on any debt obligations over a certain threshold. The MSFTA contain provisions which do not stipulate a threshold for default and only apply to debt obligations between the Company and the specific counterparty. The aggregate fair value, inclusive of accrued income and expense, of derivative instruments with credit-risk-related contingent features that were in a net liability position was $102,046 and $141,653 as of March 31, 2015 and December 31, 2014, respectively. The Company had pledged collateral related to these derivatives of $57,443 and $106,110 as of March 31, 2015 and December 31, 2014, respectively, in the normal course of business. If the credit-risk-related contingent features were triggered on March 31, 2015 the fair value of assets that could be required to settle the derivatives in a net liability position was $44,603. | |||||||||||||||||
At March 31, 2015 and December 31, 2014, the Company had pledged $57,443 and $106,110 of unrestricted cash collateral to counterparties in the normal course of business, while other counterparties had pledged $13,176 and $791 of unrestricted cash collateral to the Company to satisfy collateral netting agreements, respectively. | |||||||||||||||||
At March 31, 2015, the Company estimated $7,128 of net derivative gains related to cash flow hedges included in AOCI will be reclassified into net income within the next twelve months. Gains and losses included in AOCI are reclassified into net income when the hedged item affects earnings. | |||||||||||||||||
Types of derivative instruments and derivative strategies | |||||||||||||||||
Interest rate contracts | |||||||||||||||||
Cash flow hedges | |||||||||||||||||
Interest rate swap agreements are used to convert the interest rate on certain debt securities from a floating rate to a fixed rate. Interest rate futures are used to manage the interest rate risks of forecasted acquisitions of fixed rate maturity investments and are primarily structured to hedge interest rate risk inherent in the assumptions used to price certain liabilities. | |||||||||||||||||
Fair value hedges | |||||||||||||||||
Interest rate swap agreements are used to convert the interest rate on certain debt securities from a fixed rate to a floating rate to manage the interest rate risk of the change in the fair value of certain fixed rate maturity investments. | |||||||||||||||||
Not designated as hedging instruments | |||||||||||||||||
The Company enters into certain transactions in which derivatives are hedging an economic risk but hedge accounting is not elected. These derivative instruments include: exchange-traded interest rate swap futures, over-the-counter (“OTC”) interest rate swaptions, OTC interest rate swaps, exchange-traded Eurodollar interest rate futures and treasury interest rate futures. Certain of the Company’s OTC derivatives are cleared and settled through a central clearing counterparty while others are bilateral contracts between the Company and a counterparty. | |||||||||||||||||
The derivative instruments mentioned above are economic hedges and used to manage risk. These transactions are used to offset changes in liabilities including those in variable annuity products, hedge the economic effect of a large increase in interest rates, manage the potential variability in future interest payments due to a change in credited interest rates and the related change in cash flows due to increased surrenders and manage interest rate risks of forecasted acquisitions of fixed rate maturity investments and forecasted liability pricing. | |||||||||||||||||
Cross-currency contracts | |||||||||||||||||
Cross-currency swaps are used to manage the foreign currency exchange rate risk associated with investments denominated in other than U.S. dollars. The Company uses cross-currency swaps to convert interest and principal payments on foreign denominated debt instruments into U.S. dollars. Cross-currency swaps may be designated as cash flow hedges; however, hedge accounting is not always elected. | |||||||||||||||||
Equity contracts | |||||||||||||||||
Futures on equity indices are used to reduce the Company’s exposure to equity market risks; however, hedge accounting is not elected. The Company is hedging the risk of declining equity market values having an adverse effect on fee income collected on equity funds. The Company also uses futures on equity indices to offset changes in guaranteed lifetime withdrawal benefit liabilities. | |||||||||||||||||
Other forward contracts | |||||||||||||||||
The Company uses forward settling TBA securities to gain exposure to the investment risk and return of agency mortgage-backed securities (pass-throughs). These transactions enhance the return on the Company’s investment portfolio and provide a more liquid and cost effective method of achieving these goals than purchasing or selling individual agency mortgage-backed pools. As the Company does not regularly accept delivery of such securities, they are accounted for as derivatives but hedge accounting is not elected. | |||||||||||||||||
The following tables summarize the notional amount and fair value of derivative financial instruments, excluding embedded derivatives: | |||||||||||||||||
March 31, 2015 | |||||||||||||||||
Net derivatives | Asset derivatives | Liability derivatives | |||||||||||||||
Notional amount | Fair value | Fair value (1) | Fair value (1) | ||||||||||||||
Hedge designation/derivative type: | |||||||||||||||||
Derivatives designated as hedges: | |||||||||||||||||
Cash flow hedges: | |||||||||||||||||
Interest rate swaps | $ | 184,200 | $ | 19,593 | $ | 19,593 | $ | — | |||||||||
Cross-currency swaps | 186,225 | 15,878 | 15,946 | 68 | |||||||||||||
Total cash flow hedges | 370,425 | 35,471 | 35,539 | 68 | |||||||||||||
Fair value hedges: | |||||||||||||||||
Interest rate swaps | 42,550 | 69 | 260 | 191 | |||||||||||||
Total fair value hedges | 42,550 | 69 | 260 | 191 | |||||||||||||
Total derivatives designated as hedges | 412,975 | 35,540 | 35,799 | 259 | |||||||||||||
Derivatives not designated as hedges: | |||||||||||||||||
Interest rate swaps | 195,600 | 7,206 | 10,527 | 3,321 | |||||||||||||
Futures on equity indices | 5,932 | — | — | — | |||||||||||||
Interest rate futures | 10,883 | — | — | — | |||||||||||||
Interest rate swaptions | 243,344 | 244 | 244 | — | |||||||||||||
Other forward contracts | 5,930,500 | 16,825 | 20,925 | 4,100 | |||||||||||||
Cross-currency swaps | 662,935 | (80,823 | ) | 14,197 | 95,020 | ||||||||||||
Total derivatives not designated as hedges | 7,049,194 | (56,548 | ) | 45,893 | 102,441 | ||||||||||||
Total derivative financial instruments | $ | 7,462,169 | $ | (21,008 | ) | $ | 81,692 | $ | 102,700 | ||||||||
(1) The estimated fair value excludes accrued income and expense. The estimated fair value of all derivatives in an asset position is reported within other assets and the estimated fair value of all derivatives in a liability position is reported within other liabilities in the condensed consolidated balance sheets. | |||||||||||||||||
December 31, 2014 | |||||||||||||||||
Net derivatives | Asset derivatives | Liability derivatives | |||||||||||||||
Notional amount | Fair value | Fair value (1) | Fair value (1) | ||||||||||||||
Hedge designation/derivative type: | |||||||||||||||||
Derivatives designated as hedges: | |||||||||||||||||
Cash flow hedges: | |||||||||||||||||
Interest rate swaps | $ | 184,200 | $ | 17,746 | $ | 17,746 | $ | — | |||||||||
Cross-currency swaps | 174,245 | 2,322 | 5,143 | 2,821 | |||||||||||||
Total cash flow hedges | 358,445 | 20,068 | 22,889 | 2,821 | |||||||||||||
Fair value hedges: | |||||||||||||||||
Interest rate swaps | 78,000 | 1,506 | 1,637 | 131 | |||||||||||||
Total fair value hedges | 78,000 | 1,506 | 1,637 | 131 | |||||||||||||
Total derivatives designated as hedges | 436,445 | 21,574 | 24,526 | 2,952 | |||||||||||||
Derivatives not designated as hedges: | |||||||||||||||||
Interest rate swaps | 128,100 | 4,402 | 6,246 | 1,844 | |||||||||||||
Futures on equity indices | 5,505 | — | — | — | |||||||||||||
Interest rate futures | 17,958 | — | — | — | |||||||||||||
Interest rate swaptions | 293,964 | 271 | 271 | — | |||||||||||||
Cross-currency swaps | 662,935 | (127,230 | ) | 4,561 | 131,791 | ||||||||||||
Total derivatives not designated as hedges | 1,108,462 | (122,557 | ) | 11,078 | 133,635 | ||||||||||||
Total derivative financial instruments | $ | 1,544,907 | $ | (100,983 | ) | $ | 35,604 | $ | 136,587 | ||||||||
(1) The estimated fair value excludes accrued income and expense. The estimated fair value of all derivatives in an asset position is reported within other assets and the estimated fair value of all derivatives in a liability position is reported within other liabilities in the condensed consolidated balance sheets. | |||||||||||||||||
Notional amounts are used to express the extent of the Company’s involvement in derivative transactions and represent a standard measurement of the volume of its derivative activity. Notional amounts represent those amounts used to calculate contractual flows to be exchanged and are not paid or received. The average notional outstanding during the three months ended March 31, 2015 was $416,588, $846,165, $20,570, $278,999, and $4,551,500 for interest rate swaps, cross-currency swaps, futures, swaptions and other forward contracts, respectively. The average notional outstanding during the year ended December 31, 2014 was $340,262, $732,581, $21,702, $407,552, and $4,217,408 for interest rate swaps, cross-currency swaps, futures, swaptions and other forward contracts, respectively. | |||||||||||||||||
The following tables present the effect of derivative instruments in the condensed consolidated statements of income reported by cash flow hedges, fair value hedges and economic hedges, excluding embedded derivatives: | |||||||||||||||||
Gain (loss) recognized | Gain (loss) reclassified from OCI | ||||||||||||||||
in OCI on derivatives | into net income (Effective portion) | ||||||||||||||||
(Effective portion) | |||||||||||||||||
Three Months Ended March 31, | Three Months Ended March 31, | ||||||||||||||||
2015 | 2014 | 2015 | 2014 | ||||||||||||||
Cash flow hedges: | |||||||||||||||||
Interest rate swaps | $ | 3,141 | $ | 1,244 | $ | 1,856 | $ | 563 | (A) | ||||||||
Cross-currency swaps | 14,014 | (360 | ) | 423 | — | (A) | |||||||||||
Interest rate futures | — | — | (21 | ) | 17 | (A) | |||||||||||
Total cash flow hedges | $ | 17,155 | $ | 884 | $ | 2,258 | $ | 580 | |||||||||
(A) Net investment income. | |||||||||||||||||
Gain (loss) on derivatives | Gain (loss) on hedged assets | ||||||||||||||||
recognized in net income | recognized in net income | ||||||||||||||||
Three Months Ended March 31, | Three Months Ended March 31, | ||||||||||||||||
2015 | 2014 | 2015 | 2014 | ||||||||||||||
Fair value hedges: | |||||||||||||||||
Interest rate swaps | $ | (1,438 | ) | $ | (1,067 | ) | (A) | $ | — | $ | — | ||||||
Interest rate swaps | 630 | — | (B) | — | — | ||||||||||||
Items hedged in interest rate swaps | — | — | 1,443 | 1,067 | (A) | ||||||||||||
Items hedged in interest rate swaps | — | — | (630 | ) | — | (B) | |||||||||||
Total fair value hedges | $ | (808 | ) | $ | (1,067 | ) | $ | 813 | $ | 1,067 | |||||||
(A) Net investment income. | |||||||||||||||||
(B) Represents realized gains (losses) on closed positions recorded in realized investment gains (losses), net. | |||||||||||||||||
Gain (loss) on derivatives recognized in net income | |||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||
2015 | 2014 | ||||||||||||||||
Derivatives not designated as hedging instruments: | |||||||||||||||||
Futures on equity indices | $ | 147 | (A) | $ | 77 | (A) | |||||||||||
Futures on equity indices | (723 | ) | (B) | (163 | ) | (B) | |||||||||||
Interest rate swaps | 2,822 | (A) | 1,109 | (A) | |||||||||||||
Interest rate futures | (151 | ) | (A) | (3 | ) | (A) | |||||||||||
Interest rate futures | 135 | (B) | (24 | ) | (B) | ||||||||||||
Interest rate swaptions | 910 | (A) | 202 | (A) | |||||||||||||
Interest rate swaptions | (987 | ) | (B) | (833 | ) | (B) | |||||||||||
Other forward contracts | 16,825 | (A) | (6,343 | ) | (A) | ||||||||||||
Other forward contracts | (9,340 | ) | (B) | 7,581 | (B) | ||||||||||||
Cross-currency swaps | 45,046 | (A) | (1,632 | ) | (A) | ||||||||||||
Total derivatives not designated as hedging instruments | $ | 54,684 | $ | (29 | ) | ||||||||||||
(A) Net investment income. | |||||||||||||||||
(B) Represents realized gains (losses) on closed positions recorded in realized investment gains (losses), net. | |||||||||||||||||
Embedded derivative - Guaranteed Lifetime Withdrawal Benefit | |||||||||||||||||
The Company offers a guaranteed lifetime withdrawal benefit (“GLWB”) through a variable annuity or a contingent deferred annuity. The GLWB is deemed to be an embedded derivative. The GLWB is recorded at fair value within policyholders’ funds on the condensed consolidated balance sheets. Changes in fair value of GLWB are recorded in net investment income in the condensed consolidated statements of income. | |||||||||||||||||
The estimated fair value of the GLWB was $9,177 and $6,407 at March 31, 2015 and December 31, 2014, respectively. The changes in fair value of the GLWB were $2,770 and zero for the three months ended March 31, 2015 and 2014, respectively. |
Summary_of_Offsetting_Assets_a
Summary of Offsetting Assets and Liabilities | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Offsetting [Abstract] | |||||||||||||||||
Summary of Offsetting Assets and Liabilities | Summary of Offsetting Assets and Liabilities | ||||||||||||||||
The Company enters into derivative transactions and short-term reverse repurchase agreements with several approved counterparties. The Company’s derivative transactions are generally governed by MSFTA or ISDA Master Agreements which provide for legally enforceable set-off and close-out netting in the event of default or bankruptcy of the Company’s counterparties. The Company’s MSFTA and ISDA Master Agreements generally include provisions which require both the pledging and accepting of collateral in connection with its derivative transactions. These provisions have the effect of securing each party’s position to the extent of collateral held. Short-term reverse repurchase agreements also include collateral provisions with the counterparty. The following tables summarize the effect of master netting arrangements on the Company’s financial position in the normal course of business and in the event of default or bankruptcy of the Company’s counterparties: | |||||||||||||||||
March 31, 2015 | |||||||||||||||||
Gross fair value not offset | |||||||||||||||||
in balance sheets | |||||||||||||||||
Gross fair value of | Financial | Cash collateral | Net | ||||||||||||||
Financial instruments (assets): | recognized assets (1) | instruments | received | fair value | |||||||||||||
Derivative instruments (2) | $ | 68,382 | $ | (45,795 | ) | $ | 13,176 | $ | 9,411 | ||||||||
Short-term reverse repurchase agreements (3) | 600,000 | (600,000 | ) | — | — | ||||||||||||
Total financial instruments (assets) | $ | 668,382 | $ | (645,795 | ) | $ | 13,176 | $ | 9,411 | ||||||||
March 31, 2015 | |||||||||||||||||
Gross fair value not offset | |||||||||||||||||
in balance sheets | |||||||||||||||||
Gross fair value of | Financial | Cash collateral | Net | ||||||||||||||
Financial instruments (liabilities): | recognized liabilities (1) | instruments | pledged | fair value | |||||||||||||
Derivative instruments (4) | $ | 101,899 | $ | (45,795 | ) | $ | (56,099 | ) | $ | 5 | |||||||
(1) The gross fair value of derivative instrument and short-term reverse repurchase agreement assets are not netted against offsetting liabilities for presentation on the condensed consolidated balance sheets. | |||||||||||||||||
(2) The estimated fair value of derivative instrument assets is reported in other assets in the condensed consolidated balance sheets. The estimated fair value of derivative transactions entered into under ISDA master agreements include income and expense accruals. | |||||||||||||||||
(3) The estimated fair value of short-term reverse repurchase agreement assets is reported in short-term investments in the condensed consolidated balance sheets. The collateral is held by an independent third-party custodian under a tri-party agreement. | |||||||||||||||||
(4) The estimated fair value of derivative instrument liabilities is reported in other liabilities in the condensed consolidated balance sheets. Derivative transactions entered into under ISDA master agreements include income and expense accruals. | |||||||||||||||||
December 31, 2014 | |||||||||||||||||
Gross fair value not offset | |||||||||||||||||
in balance sheets | |||||||||||||||||
Gross fair value of | Financial | Cash collateral | Net | ||||||||||||||
Financial instruments: | recognized assets/liabilities (1) | instruments | received/(pledged) | fair value | |||||||||||||
Derivative instruments (assets) (2) | $ | 32,895 | $ | (32,595 | ) | $ | 279 | $ | 21 | ||||||||
Derivative instruments (liabilities) (3) | 140,655 | (32,595 | ) | (105,929 | ) | 2,131 | |||||||||||
(1) The gross fair value of derivative instrument assets is not netted against offsetting liabilities for presentation on the condensed consolidated balance sheets. | |||||||||||||||||
(2) The estimated fair value of derivative instrument assets is reported in other assets in the condensed consolidated balance sheets. The estimated fair value of derivative transactions entered into under ISDA master agreements include income and expense accruals. | |||||||||||||||||
(3) The estimated fair value of derivative instrument liabilities is reported in other liabilities in the condensed consolidated balance sheets. Derivative transactions entered into under ISDA master agreements include income and expense accruals. |
Fair_Value_Measurements
Fair Value Measurements | 3 Months Ended | |||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||
Fair Value Disclosures [Abstract] | ||||||||||||||||||||
Fair Value Measurements | Fair Value Measurements | |||||||||||||||||||
Recurring fair value measurements | ||||||||||||||||||||
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, 2015 | ||||||||||||||||||||
Quoted prices | Significant | |||||||||||||||||||
in active | other | Significant | Total | |||||||||||||||||
markets for | observable | unobservable | ||||||||||||||||||
identical assets | inputs | inputs | ||||||||||||||||||
(Level 1) | (Level 2) | (Level 3) | ||||||||||||||||||
Assets | ||||||||||||||||||||
Fixed maturities available-for-sale: | ||||||||||||||||||||
U.S. government direct obligations and U.S. agencies | $ | — | $ | 1,156,299 | $ | — | $ | 1,156,299 | ||||||||||||
Obligations of U.S. states and their subdivisions | — | 2,360,693 | — | 2,360,693 | ||||||||||||||||
Foreign government securities | — | 2,414 | — | 2,414 | ||||||||||||||||
Corporate debt securities | — | 12,324,502 | 5,329 | 12,329,831 | ||||||||||||||||
Asset-backed securities | — | 1,425,012 | 33 | 1,425,045 | ||||||||||||||||
Residential mortgage-backed securities | — | 162,446 | — | 162,446 | ||||||||||||||||
Commercial mortgage-backed securities | — | 921,072 | — | 921,072 | ||||||||||||||||
Collateralized debt obligations | — | 9,867 | — | 9,867 | ||||||||||||||||
Total fixed maturities available-for-sale | — | 18,362,305 | 5,362 | 18,367,667 | ||||||||||||||||
Fixed maturities held-for-trading: | ||||||||||||||||||||
U.S. government direct obligations and U.S. agencies | — | 70,516 | — | 70,516 | ||||||||||||||||
Corporate debt securities | — | 58,120 | — | 58,120 | ||||||||||||||||
Commercial mortgage-backed securities | — | 1,116 | — | 1,116 | ||||||||||||||||
Total fixed maturities held-for-trading | — | 129,752 | — | 129,752 | ||||||||||||||||
Short-term investments | 273,572 | 2,161,054 | — | 2,434,626 | ||||||||||||||||
Collateral under securities lending agreements | 89,906 | — | — | 89,906 | ||||||||||||||||
Collateral under derivative counterparty collateral agreements | 70,619 | — | — | 70,619 | ||||||||||||||||
Derivative instruments designated as hedges: | ||||||||||||||||||||
Interest rate swaps | — | 19,853 | — | 19,853 | ||||||||||||||||
Cross-currency swaps | — | 15,946 | — | 15,946 | ||||||||||||||||
Derivative instruments not designated as hedges: | ||||||||||||||||||||
Interest rate swaps | — | 10,527 | — | 10,527 | ||||||||||||||||
Interest rate swaptions | — | 244 | — | 244 | ||||||||||||||||
Other forward contracts | — | 20,925 | — | 20,925 | ||||||||||||||||
Cross-currency swaps | — | 14,197 | — | 14,197 | ||||||||||||||||
Total derivative instruments | — | 81,692 | — | 81,692 | ||||||||||||||||
Separate account assets | 16,470,665 | 12,140,746 | — | 28,611,411 | ||||||||||||||||
Total assets | $ | 16,904,762 | $ | 32,875,549 | $ | 5,362 | $ | 49,785,673 | ||||||||||||
Liabilities | ||||||||||||||||||||
Payable under securities lending agreements | $ | 89,906 | $ | — | $ | — | $ | 89,906 | ||||||||||||
Collateral under derivative counterparty collateral agreements | 13,176 | — | — | 13,176 | ||||||||||||||||
Derivative instruments designated as hedges: | ||||||||||||||||||||
Interest rate swaps | — | 191 | — | 191 | ||||||||||||||||
Cross-currency swaps | — | 68 | — | 68 | ||||||||||||||||
Derivative instruments not designated as hedges: | ||||||||||||||||||||
Interest rate swaps | — | 3,321 | — | 3,321 | ||||||||||||||||
Other forward contracts | — | 4,100 | — | 4,100 | ||||||||||||||||
Cross-currency swaps | — | 95,020 | — | 95,020 | ||||||||||||||||
Total derivative instruments | — | 102,700 | — | 102,700 | ||||||||||||||||
Embedded derivatives - GLWB | — | — | 9,177 | 9,177 | ||||||||||||||||
Separate account liabilities (1) | 36 | 225,016 | — | 225,052 | ||||||||||||||||
Total liabilities | $ | 103,118 | $ | 327,716 | $ | 9,177 | $ | 440,011 | ||||||||||||
(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, 2014 | ||||||||||||||||||||
Quoted prices | Significant | |||||||||||||||||||
in active | other | Significant | Total | |||||||||||||||||
markets for | observable | unobservable | ||||||||||||||||||
identical assets | inputs | inputs | ||||||||||||||||||
(Level 1) | (Level 2) | (Level 3) | ||||||||||||||||||
Assets | ||||||||||||||||||||
Fixed maturities available-for-sale: | ||||||||||||||||||||
U.S. government direct obligations and U.S. agencies | $ | — | $ | 3,547,256 | $ | — | $ | 3,547,256 | ||||||||||||
Obligations of U.S. states and their subdivisions | — | 2,172,484 | — | 2,172,484 | ||||||||||||||||
Foreign government securities | — | 2,451 | — | 2,451 | ||||||||||||||||
Corporate debt securities | — | 11,933,607 | 5,842 | 11,939,449 | ||||||||||||||||
Asset-backed securities | — | 1,398,503 | 36 | 1,398,539 | ||||||||||||||||
Residential mortgage-backed securities | — | 173,229 | — | 173,229 | ||||||||||||||||
Commercial mortgage-backed securities | — | 918,205 | — | 918,205 | ||||||||||||||||
Collateralized debt obligations | — | 10,465 | — | 10,465 | ||||||||||||||||
Total fixed maturities available-for-sale | — | 20,156,200 | 5,878 | 20,162,078 | ||||||||||||||||
Fixed maturities held-for-trading: | ||||||||||||||||||||
U.S. government direct obligations and U.S. agencies | — | 279,602 | — | 279,602 | ||||||||||||||||
Corporate debt securities | — | 57,850 | — | 57,850 | ||||||||||||||||
Commercial mortgage-backed securities | — | 1,091 | — | 1,091 | ||||||||||||||||
Total fixed maturities held-for-trading | — | 338,543 | — | 338,543 | ||||||||||||||||
Short-term investments | 156,935 | 106,566 | — | 263,501 | ||||||||||||||||
Collateral under securities lending agreements | 13,741 | — | — | 13,741 | ||||||||||||||||
Collateral under derivative counterparty collateral agreements | 106,901 | — | — | 106,901 | ||||||||||||||||
Derivative instruments designated as hedges: | ||||||||||||||||||||
Interest rate swaps | — | 19,383 | — | 19,383 | ||||||||||||||||
Cross-currency swaps | — | 5,143 | — | 5,143 | ||||||||||||||||
Derivative instruments not designated as hedges: | ||||||||||||||||||||
Interest rate swaps | — | 6,246 | — | 6,246 | ||||||||||||||||
Interest rate swaptions | — | 271 | — | 271 | ||||||||||||||||
Cross-currency swaps | — | 4,561 | — | 4,561 | ||||||||||||||||
Total derivative instruments | — | 35,604 | — | 35,604 | ||||||||||||||||
Separate account assets | 16,146,057 | 11,572,787 | — | 27,718,844 | ||||||||||||||||
Total assets | $ | 16,423,634 | $ | 32,209,700 | $ | 5,878 | $ | 48,639,212 | ||||||||||||
Liabilities | ||||||||||||||||||||
Payable under securities lending agreements | $ | 13,741 | $ | — | $ | — | $ | 13,741 | ||||||||||||
Collateral under derivative counterparty collateral agreements | 791 | — | — | 791 | ||||||||||||||||
Derivative instruments designated as hedges: | ||||||||||||||||||||
Interest rate swaps | — | 131 | — | 131 | ||||||||||||||||
Cross-currency swaps | — | 2,821 | — | 2,821 | ||||||||||||||||
Derivative instruments not designated as hedges: | ||||||||||||||||||||
Interest rate swaps | — | 1,844 | — | 1,844 | ||||||||||||||||
Cross-currency swaps | — | 131,791 | — | 131,791 | ||||||||||||||||
Total derivative instruments | — | 136,587 | — | 136,587 | ||||||||||||||||
Embedded derivatives - GLWB | — | — | 6,407 | 6,407 | ||||||||||||||||
Separate account liabilities (1) | 15 | 217,712 | — | 217,727 | ||||||||||||||||
Total liabilities | $ | 14,547 | $ | 354,299 | $ | 6,407 | $ | 375,253 | ||||||||||||
(1) Includes only separate account instruments which are carried at the fair value of the underlying liabilities owned by the separate accounts. | ||||||||||||||||||||
The methods and assumptions used to estimate the fair value of the Company’s financial assets and liabilities carried at fair value on a recurring basis are as follows: | ||||||||||||||||||||
Fixed maturity investments | ||||||||||||||||||||
The fair values for fixed maturity investments are based upon market prices from independent pricing services. In cases where market prices are not readily available, fair values are estimated by the Company. To determine estimated fair value for these instruments, the Company generally utilizes discounted cash flows models with market observable pricing inputs such as spreads, average life and credit quality. Fair value estimates are made at a specific point in time, based on available market information and judgments about financial instruments, including estimates of the timing and amounts of expected future cash flows and the credit standing of the issuer or counterparty. | ||||||||||||||||||||
Short-term investments and securities lending agreements | ||||||||||||||||||||
The amortized cost of short-term investments, collateral under securities lending agreements and payable under securities lending agreements is a reasonable estimate of fair value due to their short-term nature and high credit quality of the issuers. | ||||||||||||||||||||
Derivative counterparty collateral agreements | ||||||||||||||||||||
Included in other assets is cash collateral received from or pledged to derivative counterparties and included in other liabilities is the obligation to return the cash collateral to the counterparties. The carrying value of the collateral is a reasonable estimate of fair value. | ||||||||||||||||||||
Derivative instruments | ||||||||||||||||||||
Included in other assets and other liabilities are derivative financial instruments. The estimated fair values of OTC derivatives, primarily consisting of cross-currency swaps, interest rate swaps, interest rate swaptions and other forward contracts, are the estimated amounts the Company would receive or pay to terminate the agreements at the end of each reporting period, taking into consideration current interest rates and other relevant factors. | ||||||||||||||||||||
Embedded derivative - GLWB | ||||||||||||||||||||
Significant unobservable inputs used in the fair value measurements of GLWB include long-term equity and interest rate implied volatility, mortality and policyholder behavior assumptions, such as benefit utilization, lapses and partial withdrawals. | ||||||||||||||||||||
Separate account assets and liabilities | ||||||||||||||||||||
Separate account assets and liabilities primarily include investments in mutual fund, fixed maturity and short-term securities. Mutual funds are recorded at net asset value, which approximates fair value, on a daily basis. The fixed maturity and short-term investments are valued in the same manner, and using the same pricing sources and inputs as the fixed maturity and short-term investments of the Company. | ||||||||||||||||||||
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, 2015 | ||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||
Fixed maturities available-for-sale | Embedded | |||||||||||||||||||
Corporate | Asset-backed | Collateralized | derivatives | |||||||||||||||||
debt securities | securities | debt obligations | Total | - GLWB | ||||||||||||||||
Balance, January 1, 2015 | $ | 5,842 | $ | 36 | $ | — | $ | 5,878 | $ | 6,407 | ||||||||||
Realized and unrealized gains (losses) included in: | ||||||||||||||||||||
Net income (loss) | — | — | — | — | 2,770 | |||||||||||||||
Other comprehensive income (loss) | (28 | ) | — | — | (28 | ) | — | |||||||||||||
Settlements | (485 | ) | (3 | ) | — | (488 | ) | — | ||||||||||||
Balances, March 31, 2015 | $ | 5,329 | $ | 33 | $ | — | $ | 5,362 | $ | 9,177 | ||||||||||
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, 2015 | $ | — | $ | — | $ | — | $ | — | $ | 2,770 | ||||||||||
Recurring Level 3 financial assets and liabilities | ||||||||||||||||||||
Three Months Ended March 31, 2014 | ||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||
Fixed maturities available-for-sale | Embedded | |||||||||||||||||||
Corporate | Asset-backed | Collateralized | derivatives | |||||||||||||||||
debt securities | securities | debt obligations | Total | - GLWB | ||||||||||||||||
Balance, January 1, 2014 | $ | 6,652 | $ | 252,958 | $ | 32 | $ | 259,642 | $ | — | ||||||||||
Realized and unrealized gains (losses) included in: | ||||||||||||||||||||
Other comprehensive income (loss) | 58 | 6,813 | (3 | ) | 6,868 | — | ||||||||||||||
Settlements | (187 | ) | (13,746 | ) | — | (13,933 | ) | — | ||||||||||||
Balances, March 31, 2014 | $ | 6,523 | $ | 246,025 | $ | 29 | $ | 252,577 | $ | — | ||||||||||
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, 2014 | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
The following tables present significant unobservable inputs used during the valuation of certain assets categorized within Level 3 of the recurring fair value measurements table: | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
Fair Value | Valuation Technique | Unobservable Input | Range | |||||||||||||||||
Embedded derivatives - GLWB | $ | 9,177 | Risk neutral stochastic valuation methodology | Equity volatility | 15% - 28% | |||||||||||||||
Swap curve | 0.80% - 2.50% | |||||||||||||||||||
Mortality rate | Based on the Annuity 2000 Mortality Table | |||||||||||||||||||
Lapse rate | 1% - 12% | |||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||
Fair Value | Valuation Technique | Unobservable Input | Range | |||||||||||||||||
Embedded derivatives - GLWB | $ | 6,407 | Risk neutral stochastic valuation methodology | Equity volatility | 15% - 28% | |||||||||||||||
Swap curve | 0.44% - 2.70% | |||||||||||||||||||
Mortality rate | Based on the Annuity 2000 Mortality Table | |||||||||||||||||||
Lapse rate | 1% - 12% | |||||||||||||||||||
Non-recurring fair value measurements - Certain assets are measured at estimated fair value on a non-recurring basis and are not included in the tables above. The Company held zero and $9,242 of adjusted cost basis limited partnership interests which were impaired at March 31, 2015 and December 31, 2014, respectively, based on the fair value disclosed in the limited partnership financial statements. These limited partnership interests were recorded at estimated fair value and represent a non-recurring fair value measurement. The estimated fair value was categorized as Level 3. | ||||||||||||||||||||
Fair value of financial instruments | ||||||||||||||||||||
The following tables summarize the carrying amounts and estimated fair values of the Company’s financial instruments not carried at fair value on a recurring basis: | ||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||
Carrying | Estimated | Carrying | Estimated | |||||||||||||||||
amount | fair value | amount | fair value | |||||||||||||||||
Assets | ||||||||||||||||||||
Mortgage loans on real estate | $ | 3,440,183 | $ | 3,682,669 | $ | 3,363,570 | $ | 3,558,111 | ||||||||||||
Policy loans | 4,125,285 | 4,125,285 | 4,130,062 | 4,130,062 | ||||||||||||||||
Limited partnership interests | 37,876 | 41,147 | 38,796 | 41,853 | ||||||||||||||||
Other investments | 15,021 | 44,591 | 15,614 | 43,263 | ||||||||||||||||
Liabilities | ||||||||||||||||||||
Annuity contract benefits without life contingencies | $ | 10,556,269 | $ | 10,774,463 | $ | 10,569,147 | $ | 10,563,477 | ||||||||||||
Policyholders’ funds | 296,602 | 296,602 | 335,484 | 335,484 | ||||||||||||||||
Commercial paper | 89,989 | 89,989 | 98,589 | 98,589 | ||||||||||||||||
Notes payable | 541,812 | 591,782 | 532,547 | 564,904 | ||||||||||||||||
The methods and assumptions used to estimate the fair value of financial instruments not carried at fair value on a recurring basis are summarized as follows: | ||||||||||||||||||||
Mortgage loans on real estate | ||||||||||||||||||||
Mortgage loan fair value estimates are generally based on discounted cash flows. A discount rate matrix is used where the discount rate valuing a specific mortgage generally corresponds to that mortgage’s remaining term and credit quality. Management believes the discount rate used is comparable to the credit, interest rate, term, servicing costs and risks of loans similar to the portfolio loans that the Company would make today given its internal pricing strategy. The estimated fair value is classified as Level 2. | ||||||||||||||||||||
Policy loans | ||||||||||||||||||||
Policy loans are funds provided to policy holders in return for a claim on the policy. The funds provided are limited to the cash surrender value of the underlying policy. The nature of policy loans is to have a negligible default risk as the loans are fully collateralized by the value of the policy. Policy loans do not have a stated maturity and the balances and accrued interest are repaid either by the policyholder or with proceeds from the policy. Due to the collateralized nature of policy loans and unpredictable timing of repayments, the Company believes the fair value of policy loans approximates carrying value. The estimated fair value is classified as Level 2. | ||||||||||||||||||||
Limited partnership interests | ||||||||||||||||||||
Limited partnership interests, accounted for using the cost method, represent the Company’s minority ownership interests in pooled investment funds. These funds employ varying investment strategies that principally make private equity investments across diverse industries and geographical focuses. The estimated fair value was determined using the partnership financial statement reported capital account or net asset value adjusted for other relevant information which may impact the exit value of the investments. Distributions by these investments are generated from investment gains, from operating income generated by the underlying investments of the funds and from liquidation of the underlying assets of the funds which are estimated to be liquidated over the next one to 10 years. The estimated fair value is classified as Level 3. | ||||||||||||||||||||
Other investments | ||||||||||||||||||||
Other investments primarily include real estate held for investment. The estimated fair value for real estate is based on the unadjusted annual appraised value which includes factors such as comparable property sales, property income analysis, and capitalization rates. The estimated fair value is classified as Level 2. | ||||||||||||||||||||
Annuity contract benefits without life contingencies | ||||||||||||||||||||
The estimated fair value of annuity contract benefits without life contingencies is estimated by discounting the projected expected cash flows to the maturity of the contracts utilizing risk-free spot interest rates plus a provision for the Company’s credit risk. The estimated fair value is classified as Level 2. | ||||||||||||||||||||
Policyholders’ funds | ||||||||||||||||||||
The carrying amount of policyholders’ funds approximates the fair value since the Company can change the interest credited rates with 30 days notice. The estimated fair value is classified as Level 2. | ||||||||||||||||||||
Commercial paper | ||||||||||||||||||||
The amortized cost of commercial paper is a reasonable estimate of fair value due to its short-term nature and the high credit quality of the obligor. The estimated fair value is classified as Level 2. | ||||||||||||||||||||
Notes payable | ||||||||||||||||||||
The estimated fair value of the notes payable to GWL&A Financial is based upon quoted market prices from independent pricing services of securities with characteristics similar to those of the notes payable. The estimated fair value is classified as Level 2. |
Other_Comprehensive_Income
Other Comprehensive Income | 3 Months Ended | |||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||
Comprehensive Income (Loss), Net of Tax, Attributable to Parent [Abstract] | ||||||||||||||||||||
Other Comprehensive Income | Other Comprehensive Income | |||||||||||||||||||
The following tables present the accumulated balances for each classification of other comprehensive income (loss): | ||||||||||||||||||||
Three Months Ended March 31, 2015 | ||||||||||||||||||||
Unrealized | Unrealized | Future policy | Employee | Total | ||||||||||||||||
holding gains | holding gains | benefits, DAC | benefit plan | |||||||||||||||||
/ losses | / losses | and VOBA | adjustment | |||||||||||||||||
arising on | arising on | adjustments | ||||||||||||||||||
fixed | cash flow | |||||||||||||||||||
maturities, | hedges | |||||||||||||||||||
available-for- | ||||||||||||||||||||
sale | ||||||||||||||||||||
Balances, January 1, 2015 | $ | 784,183 | $ | 33,141 | $ | (108,194 | ) | $ | (106,112 | ) | $ | 603,018 | ||||||||
Other comprehensive income (loss) before reclassifications | 117,894 | 11,151 | (22,834 | ) | (215 | ) | 105,996 | |||||||||||||
Amounts reclassified from AOCI | (18,316 | ) | (1,468 | ) | — | 1,907 | (17,877 | ) | ||||||||||||
Net current period other comprehensive income (loss) | 99,578 | 9,683 | (22,834 | ) | 1,692 | 88,119 | ||||||||||||||
Balances, March 31, 2015 | $ | 883,761 | $ | 42,824 | $ | (131,028 | ) | $ | (104,420 | ) | $ | 691,137 | ||||||||
Three Months Ended March 31, 2014 | ||||||||||||||||||||
Unrealized | Unrealized | Future policy | Employee | Total | ||||||||||||||||
holding gains | holding gains | benefits, DAC | benefit plan | |||||||||||||||||
/ losses | / losses | and VOBA | adjustment | |||||||||||||||||
arising on | arising on | adjustments | ||||||||||||||||||
fixed | cash flow | |||||||||||||||||||
maturities, | hedges | |||||||||||||||||||
available-for- | ||||||||||||||||||||
sale | ||||||||||||||||||||
Balances, January 1, 2014 | $ | 434,023 | $ | 25,517 | $ | (70,000 | ) | $ | (43,786 | ) | $ | 345,754 | ||||||||
Other comprehensive income (loss) before reclassifications | 202,344 | 575 | (37,211 | ) | — | 165,708 | ||||||||||||||
Amounts reclassified from AOCI | (14,065 | ) | (377 | ) | — | — | (14,442 | ) | ||||||||||||
Net current period other comprehensive income (loss) | 188,279 | 198 | (37,211 | ) | — | 151,266 | ||||||||||||||
Balances, March 31, 2014 | $ | 622,302 | $ | 25,715 | $ | (107,211 | ) | $ | (43,786 | ) | $ | 497,020 | ||||||||
The following tables present the composition of other comprehensive income (loss): | ||||||||||||||||||||
Three Months Ended March 31, 2015 | ||||||||||||||||||||
Before-tax | Tax (expense) | Net-of-tax | ||||||||||||||||||
amount | benefit | amount | ||||||||||||||||||
Unrealized holding gains (losses), net, arising on fixed maturities, available-for-sale | $ | 181,375 | $ | (63,481 | ) | $ | 117,894 | |||||||||||||
Unrealized holding gains (losses), net, arising on cash flow hedges | 17,155 | (6,004 | ) | 11,151 | ||||||||||||||||
Reclassification adjustment for (gains) losses, net, realized in net income | (30,437 | ) | 10,653 | (19,784 | ) | |||||||||||||||
Net unrealized gains (losses) related to investments | 168,093 | (58,832 | ) | 109,261 | ||||||||||||||||
Future policy benefits, DAC and VOBA adjustments | (35,129 | ) | 12,295 | (22,834 | ) | |||||||||||||||
Net unrealized gains (losses) | 132,964 | (46,537 | ) | 86,427 | ||||||||||||||||
Employee benefit plan adjustment | 2,603 | (911 | ) | 1,692 | ||||||||||||||||
Other comprehensive income (loss) | $ | 135,567 | $ | (47,448 | ) | $ | 88,119 | |||||||||||||
Three Months Ended March 31, 2014 | ||||||||||||||||||||
Before-tax | Tax (expense) | Net-of-tax | ||||||||||||||||||
amount | benefit | amount | ||||||||||||||||||
Unrealized holding gains (losses), net, arising on fixed maturities, available-for-sale | $ | 311,298 | $ | (108,954 | ) | $ | 202,344 | |||||||||||||
Unrealized holding gains (losses), net, arising on cash flow hedges | 884 | (309 | ) | 575 | ||||||||||||||||
Reclassification adjustment for (gains) losses, net, realized in net income | (22,218 | ) | 7,776 | (14,442 | ) | |||||||||||||||
Net unrealized gains (losses) related to investments | 289,964 | (101,487 | ) | 188,477 | ||||||||||||||||
Future policy benefits, DAC and VOBA adjustments | (57,248 | ) | 20,037 | (37,211 | ) | |||||||||||||||
Net unrealized gains (losses) | 232,716 | (81,450 | ) | 151,266 | ||||||||||||||||
Other comprehensive income (loss) | $ | 232,716 | $ | (81,450 | ) | $ | 151,266 | |||||||||||||
The following tables presents the reclassifications out of accumulated other comprehensive income (loss): | ||||||||||||||||||||
Three Months Ended March 31, | ||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||
Details about accumulated other | Amount reclassified from accumulated other comprehensive income (loss) | Affected line item in the statement where net income is presented | ||||||||||||||||||
comprehensive income (loss) components | ||||||||||||||||||||
Unrealized holding (gains) losses, net, arising on fixed maturities, available-for-sale | $ | (28,179 | ) | $ | (21,638 | ) | Other realized investment (gains) losses, net | |||||||||||||
(28,179 | ) | (21,638 | ) | Total before tax | ||||||||||||||||
(9,863 | ) | (7,573 | ) | Tax expense or benefit | ||||||||||||||||
$ | (18,316 | ) | $ | (14,065 | ) | Net of tax | ||||||||||||||
Unrealized holding (gains) losses, net, arising on cash flow hedges | $ | (2,258 | ) | $ | (580 | ) | Net investment income | |||||||||||||
(2,258 | ) | (580 | ) | Total before tax | ||||||||||||||||
(790 | ) | (203 | ) | Tax expense or benefit | ||||||||||||||||
$ | (1,468 | ) | $ | (377 | ) | Net of tax | ||||||||||||||
Amortization of employee benefit plan items | ||||||||||||||||||||
Prior service costs (benefits) | $ | (181 | ) | (1) | $ | — | ||||||||||||||
Actuarial losses (gains) | 3,115 | (1) | — | |||||||||||||||||
2,934 | — | Total before tax | ||||||||||||||||||
1,027 | — | Tax expense or benefit | ||||||||||||||||||
$ | 1,907 | $ | — | Net of tax | ||||||||||||||||
Total reclassification | $ | (17,877 | ) | $ | (14,442 | ) | Net of tax | |||||||||||||
(1) These accumulated other comprehensive income components are included in the computation of net periodic (benefit) cost of employee benefit plans (see Note 10 for additional details). | ||||||||||||||||||||
Employee_Benefit_Plans
Employee Benefit Plans | 3 Months Ended | |||||||||||||||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||||||||||||||
Compensation and Retirement Disclosure [Abstract] | ||||||||||||||||||||||||||||||||
Employee Benefit Plans | Employee Benefit Plans | |||||||||||||||||||||||||||||||
Net periodic cost (benefit) of the Defined Benefit Pension, Post-Retirement Medical and Supplemental Executive Retirement plans included in general insurance expenses in the accompanying condensed consolidated statements of income includes the following components: | ||||||||||||||||||||||||||||||||
Three Months Ended March 31, | ||||||||||||||||||||||||||||||||
Defined Benefit | Post-Retirement | Supplemental Executive | Total | |||||||||||||||||||||||||||||
Pension Plan | Medical Plan | Retirement Plan | ||||||||||||||||||||||||||||||
2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | 2014 | |||||||||||||||||||||||||
Components of net periodic cost (benefit): | ||||||||||||||||||||||||||||||||
Service cost | $ | 1,509 | $ | 1,174 | $ | 264 | $ | 206 | $ | 70 | $ | 205 | $ | 1,843 | $ | 1,585 | ||||||||||||||||
Interest cost | 5,997 | 5,738 | 126 | 130 | 531 | 697 | 6,654 | 6,565 | ||||||||||||||||||||||||
Expected return on plan assets | (7,087 | ) | (7,319 | ) | — | — | — | — | (7,087 | ) | (7,319 | ) | ||||||||||||||||||||
Amortization of unrecognized prior service costs (benefits) | 3 | 13 | (417 | ) | (426 | ) | 233 | 233 | (181 | ) | (180 | ) | ||||||||||||||||||||
Amortization of losses (gains) from earlier periods | 3,106 | 645 | (157 | ) | (130 | ) | 166 | 92 | 3,115 | 607 | ||||||||||||||||||||||
Net periodic cost (benefit) | $ | 3,528 | $ | 251 | $ | (184 | ) | $ | (220 | ) | $ | 1,000 | $ | 1,227 | $ | 4,344 | $ | 1,258 | ||||||||||||||
The Company expects to make payments of approximately $533 with respect to its Post-Retirement Medical Plan and $4,825 with respect to its Supplemental Executive Retirement Plan during the year ended December 31, 2015. The Company expects to make contributions of zero to its Defined Benefit Pension Plan during the year ended December 31, 2015. A December 31 measurement date is used for the employee benefit plans. | ||||||||||||||||||||||||||||||||
The following table summarizes contributions to the Defined Benefit Pension Plan and payments made to the Post-Retirement Medical Plan and the Supplemental Executive Retirement Plan: | ||||||||||||||||||||||||||||||||
Three Months Ended March 31, | ||||||||||||||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||||||||||||||
Contributions to the Defined Benefit Pension Plan | $ | — | $ | 2,024 | ||||||||||||||||||||||||||||
Payments to the Post-Retirement Medical Plan | 133 | 131 | ||||||||||||||||||||||||||||||
Payments to the Supplemental Executive Retirement Plan | 2,335 | 908 | ||||||||||||||||||||||||||||||
Income_Taxes
Income Taxes | 3 Months Ended | ||||||||
Mar. 31, 2015 | |||||||||
Income Tax Disclosure [Abstract] | |||||||||
Income Taxes | Income Taxes | ||||||||
The provision for income taxes is comprised of the following: | |||||||||
Three Months Ended March 31, | |||||||||
2015 | 2014 | ||||||||
Current | $ | 28,094 | $ | 31,044 | |||||
Deferred | 23,802 | 19,310 | |||||||
Total income tax provision | $ | 51,896 | $ | 50,354 | |||||
The following table presents a reconciliation between the statutory federal income tax rate and the Company’s effective income tax rate: | |||||||||
Three Months Ended March 31, | |||||||||
2015 | 2014 | ||||||||
Statutory federal income tax rate | 35 | % | 35 | % | |||||
Income tax effect of: | |||||||||
Investment income not subject to federal tax | (2.0 | )% | (2.1 | )% | |||||
Tax credits | (0.2 | )% | (0.2 | )% | |||||
State income taxes, net of federal benefit | 1.3 | % | 1.5 | % | |||||
Other, net | 0.4 | % | 0.5 | % | |||||
Effective income tax rate | 34.5 | % | 34.7 | % | |||||
During the three months ended March 31, 2015 and 2014, the Company recorded an increase in unrecognized tax benefits in the amount of $2,695 and $1,992, respectively. The Company anticipates additional increases to its unrecognized tax benefits of $4,000 to $5,000 in the next twelve months. The Company expects that the majority of the increase in its unrecognized tax benefits will not impact the effective tax rate. | |||||||||
The Company files income tax returns in the U.S. federal jurisdiction and various states. With few exceptions, the Company is no longer subject to U.S. federal income tax examinations by tax authorities for years 2010 and prior. Tax years 2011 through 2013 are open to federal examination by the Internal Revenue Service (“IRS”). The Company does not expect significant increases or decreases to unrecognized tax benefits relating to federal, state or local audits. |
Segment_Information
Segment Information | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Segment Reporting [Abstract] | |||||||||||||||||
Segment Information | Segment Information | ||||||||||||||||
The Chief Operating Decision Maker (“CODM”) of the Company is also the Chief Executive Officer (“CEO”) of Lifeco U.S. The CODM reviews the financial information for the purposes of assessing performance and allocating resources based upon the results of Lifeco U.S. and other U.S. affiliates prepared in accordance with International Financial Reporting Standards. The CODM, in his capacity as CEO of the Company, reviews the Company’s financial information only in connection with the quarterly and annual reports that are filed with the Securities and Exchange Commission (“SEC”). Consequently, the Company does not provide its discrete financial information to the CODM to be regularly reviewed to make decisions about resources to be allocated or to assess performance. For purposes of SEC reporting requirements, the Company has chosen to present its financial information in three segments, notwithstanding the above. The three segments are: Individual Markets, Empower Retirement (formerly known as “Retirement Services”) and Other. | |||||||||||||||||
Individual Markets | |||||||||||||||||
The Individual Markets reporting and operating segment distributes life insurance, annuity and retirement products to both individuals and businesses through various distribution channels. Life insurance products in-force include participating and non-participating term life, whole life, universal life and variable universal life. | |||||||||||||||||
Empower Retirement | |||||||||||||||||
The Empower Retirement reporting and operating segment provides various retirement plan products (including individual retirement accounts (“IRAs”)) and investment options as well as comprehensive administrative and record-keeping services for financial institutions and employers, which include educational, advisory, enrollment and communication services for employer-sponsored defined contribution plans and associated defined benefit plans. | |||||||||||||||||
Other | |||||||||||||||||
The Company’s Other reporting segment is substantially comprised of activity under the assumption of reinsurance between Great-West Life & Annuity Insurance Company of South Carolina (“GWSC”), a wholly owned subsidiary, and The Canada Life Assurance Company (“CLAC”), corporate items not directly allocated to the other operating segments and interest expense on long-term debt. | |||||||||||||||||
The accounting principles used to determine segment results are the same as those used in the consolidated financial statements. Inter-segment transactions and balances have been eliminated in consolidation. The Company’s operations are not materially dependent on one or a few customers, brokers or agents. | |||||||||||||||||
The following tables summarize segment financial information: | |||||||||||||||||
Three Months Ended March 31, 2015 | |||||||||||||||||
Individual | Empower | ||||||||||||||||
Markets | Retirement | Other | Total | ||||||||||||||
Revenue: | |||||||||||||||||
Premium income | $ | 124,962 | $ | — | $ | 20,741 | $ | 145,703 | |||||||||
Fee income | 21,502 | 202,821 | 954 | 225,277 | |||||||||||||
Other revenue | — | 1,820 | — | 1,820 | |||||||||||||
Net investment income | 217,653 | 127,730 | 13,473 | 358,856 | |||||||||||||
Realized investment gains (losses), net | 8,400 | 9,800 | — | 18,200 | |||||||||||||
Total revenues | 372,517 | 342,171 | 35,168 | 749,856 | |||||||||||||
Benefits and expenses: | |||||||||||||||||
Policyholder benefits | 256,323 | 49,045 | 22,303 | 327,671 | |||||||||||||
Operating expenses | 35,941 | 221,030 | 14,706 | 271,677 | |||||||||||||
Total benefits and expenses | 292,264 | 270,075 | 37,009 | 599,348 | |||||||||||||
Income (loss) before income taxes | 80,253 | 72,096 | (1,841 | ) | 150,508 | ||||||||||||
Income tax expense (benefit) | 28,222 | 24,380 | (706 | ) | 51,896 | ||||||||||||
Net income (loss) | $ | 52,031 | $ | 47,716 | $ | (1,135 | ) | $ | 98,612 | ||||||||
Three Months Ended March 31, 2014 | |||||||||||||||||
Individual | Empower | ||||||||||||||||
Markets | Retirement | Other | Total | ||||||||||||||
Revenue: | |||||||||||||||||
Premium income | $ | 112,777 | $ | 572 | $ | 18,505 | $ | 131,854 | |||||||||
Fee income | 23,630 | 141,881 | 1,002 | 166,513 | |||||||||||||
Net investment income | 185,520 | 101,174 | 13,329 | 300,023 | |||||||||||||
Realized investment gains (losses), net | 6,735 | 20,154 | 20 | 26,909 | |||||||||||||
Total revenues | 328,662 | 263,781 | 32,856 | 625,299 | |||||||||||||
Benefits and expenses: | |||||||||||||||||
Policyholder benefits | 238,997 | 48,480 | 18,902 | 306,379 | |||||||||||||
Operating expenses | 35,338 | 123,986 | 14,491 | 173,815 | |||||||||||||
Total benefits and expenses | 274,335 | 172,466 | 33,393 | 480,194 | |||||||||||||
Income (loss) before income taxes | 54,327 | 91,315 | (537 | ) | 145,105 | ||||||||||||
Income tax expense | 18,965 | 31,310 | 79 | 50,354 | |||||||||||||
Net income (loss) | $ | 35,362 | $ | 60,005 | $ | (616 | ) | $ | 94,751 | ||||||||
Commitments_and_Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies |
Commitments | |
The Company has a revolving credit facility agreement in the amount of $50,000 for general corporate purposes. The credit facility expires on March 1, 2018. Interest accrues at a rate dependent on various conditions and terms of borrowings. The agreement requires, among other things, the Company to maintain a minimum adjusted net worth, of $1,100,000, as defined in the credit facility agreement (compiled on the unconsolidated statutory accounting basis prescribed by the National Association of Insurance Commissioners), at anytime. The Company was in compliance with all covenants at March 31, 2015 and December 31, 2014. At March 31, 2015 and December 31, 2014, there were no outstanding amounts related to the credit facility. | |
GWSC and CLAC are parties to a reinsurance agreement pursuant to which GWSC assumes term life insurance from CLAC. GWL&A Financial obtained two letters of credit for the benefit of the Company as collateral under the GWSC and CLAC reinsurance agreement for policy liabilities and capital support. The first letter of credit is for $1,168,810 and renews annually until it expires on July 3, 2027. The second letter of credit is for $70,000 and renews annually until it expires on December 31, 2017. At March 31, 2015 and December 31, 2014, there were no outstanding amounts related to the letters of credit. | |
In addition, the Company has other letters of credit with a total amount of $9,095, renewable annually for an indefinite period of time. At March 31, 2015 and December 31, 2014, there were no outstanding amounts related to those letters of credit. | |
The Company makes commitments to fund partnership interests, mortgage loans on real estate and other investments in the normal course of its business. The amounts of these unfunded commitments at March 31, 2015 and December 31, 2014 were $224,055 and $166,356, of which $5,066 and $4,997 were related to cost basis limited partnership interests, respectively, all of which is due within one year from the dates indicated. | |
Contingencies | |
The Company is involved in various legal proceedings that arise in the ordinary course of its business. In the opinion of management, after consultation with counsel, the likelihood of loss from the resolution of these proceedings is remote and/or the estimated loss is not expected to have a material effect on the Company’s consolidated financial position, results of its operations or cash flows. | |
The Company is currently evaluating the interpretation of Internal Revenue Code rules related to certain product investments. If the Company’s interpretation is not upheld, which is reasonably possible, the potential exposure is estimated to be up to $21,000. | |
The Company received a $20,000 demand letter related to a vehicle accident involving an employee. The amount is fully indemnified by a third-party insurer. |
Subsequent_Event
Subsequent Event | 3 Months Ended |
Mar. 31, 2015 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events |
On May 1, 2015, the Company’s Board of Directors declared a dividend of $34,801, payable on June 30, 2015, to its sole shareholder, GWL&A Financial. |
Organization_and_Basis_of_Pres1
Organization and Basis of Presentation (Policies) | 3 Months Ended |
Mar. 31, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Basis of Presentation | Basis of Presentation |
The condensed consolidated financial statements include the accounts of the Company and the accounts of its subsidiaries over which it exercises control and are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”). Intercompany transactions and balances have been eliminated in consolidation. | |
The condensed consolidated balance sheet as of December 31, 2014, which was derived from the Company’s audited financial statements, and the unaudited interim condensed consolidated financial statements as of and for the three months ended March 31, 2015, have been prepared in accordance with the instructions for Form 10-Q. In compliance with those instructions, certain information and footnote disclosures normally included in consolidated financial statements prepared in accordance with U.S. GAAP have been condensed or omitted. As such, these condensed consolidated financial statements should be read in conjunction with the audited consolidated financial statements and the notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2014. | |
In the opinion of management, these statements include all normal recurring adjustments necessary to fairly present the Company’s condensed consolidated results of operations, financial position and cash flows as of March 31, 2015, and for all periods presented. The condensed consolidated results of operations and condensed consolidated statement of cash flows for the three months ended March 31, 2015 are not necessarily indicative of the results or cash flows expected for the full year. | |
Use of Estimates | Use of Estimates |
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. | |
New Accounting Pronouncements, Policy | Recently adopted accounting pronouncements |
In June 2014, the FASB issued ASU No. 2014-11 Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (“ASU No. 2014-11”). ASU No. 2014-11 amends the accounting for entities that enter into repurchase-to-maturity transactions and repurchase agreements executed as repurchase financings. ASU No. 2014-11 requires new footnote disclosures for repurchase agreements and securities lending transactions accounted for as secured borrowings. The accounting changes in ASU 2014-11 are effective for public business entities for the first interim or annual period beginning after December 15, 2014. The disclosure for repurchase agreements, securities lending transactions, and repurchase-to-maturity transactions accounted for as secured borrowings is required to be presented for annual periods beginning after December 15, 2014, and for interim periods beginning after March 15, 2015. The adoption of the accounting changes did not have an impact on the Company’s financial position or results of operations. The Company is currently evaluating the impact of the disclosure changes on its financial statements. | |
Future adoption of new accounting pronouncements | |
In May 2014, the FASB issued ASU No. 2014-09 Revenue from Contracts with Customers (Topic 606) (“ASU No. 2014-09”). The update outlines a comprehensive model for accounting for revenue arising from contracts with customers and supersedes most current revenue recognition guidance, including industry-specific guidance. While the update does not apply to insurance contracts within the scope of Topic 944, it does apply to other fee income earned by the Company which includes fees from assets under management, assets under administration, shareholder servicing, administration and record-keeping services and investment advisory services. The core principle of the model requires that an entity should recognize revenue for the transfer of goods or services equal to the amount that it expects to be entitled to receive for those goods or services. The update also requires increased disclosure about the nature, amount, timing and uncertainty of revenue and cash flows arising from customer contracts. In adopting ASU No. 2014-09, the Company may use either a full retrospective or a modified retrospective approach. The update is effective for public business entities for interim and annual periods beginning after December 15, 2016. Early adoption is not permitted. The Company is currently evaluating the impact of this update on its financial statements. | |
In August 2014, the FASB issued ASU 2014-15, Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern (Subtopic 205-40). The update will require management to evaluate whether there is substantial doubt about the Company’s ability to continue as a going concern. If there is substantial doubt about the Company’s ability to continue as a going concern, the Company will be required to disclose that fact, along with managements’ evaluation of the effectiveness of its plan to alleviate that doubt. The update defines substantial doubt as when it is probable that the Company will be unable to meet its obligations as they become due within one year of the date the financial statements are issued. The assessment and disclosure requirements, if applicable, will be required quarterly. The update is effective for the annual period ending after December 15, 2016, and for interim and annual periods thereafter. The Company does not expect this update to have an impact on the Company’s financial statements. | |
In February 2015, the FASB issued ASU 2015-02, Amendments to the Consolidation Analysis (Topic 810). The update primarily amends the criteria used to evaluate whether certain variable interest entities should be consolidated. The update also modifies the criteria used to determine whether partnerships and similar entities are variable interest entities. The update is effective for interim and annual periods beginning after December 15, 2016 with early adoption permitted, including in the interim periods. The Company is currently evaluating the impact of this update on its financial statements. | |
In April, 2015, the FASB issued ASU 2015-05, Customer’s Accounting for Fees Paid in a Cloud Computing Arrangement (Subtopic 350-40). The update requires the Company to determine if the cloud computing arrangement contains a software license and if so, apply the accounting requirements for other intangible assets. The update also supersedes the requirement to apply lease accounting requirements by analogy for lease classification. If the arrangement is not a software license, then the Company applies accounting requirements for a service requirement. The update is effective for interim and annual periods beginning after December 15, 2015 with early adoption permitted. The Company is currently evaluating the impact of this update on its financial statements. | |
In May, 2015, the FASB issued ASU 2015-07, Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) (Topic 820). The update removes the requirement to categorize within the fair value hierarchy all investments measured using the net asset value per share practical expedient and related disclosures. The update is effective for interim and annual periods beginning after December 15, 2015. The Company is currently evaluating the impact of this update on its financial statements. |
Summary_of_Investments_Tables
Summary of Investments (Tables) | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||
Summary of fixed maturity investments classified as available-for-sale and the non-credit related components of other-than-temporary impairments (OTTI) in accumulated other comprehensive income (loss) (AOCI) | The following tables summarize fixed maturity investments classified as available-for-sale and the non-credit-related component of other-than-temporary impairments (“OTTI”) in accumulated other comprehensive income (loss) (“AOCI”): | ||||||||||||||||||||||||
31-Mar-15 | |||||||||||||||||||||||||
Amortized | Gross unrealized | Gross unrealized | Estimated fair value | OTTI (gain) loss | |||||||||||||||||||||
Fixed maturities: | cost | gains | losses | and carrying value | included in AOCI (1) | ||||||||||||||||||||
U.S. government direct obligations and U.S. agencies | $ | 1,081,949 | $ | 74,740 | $ | 390 | $ | 1,156,299 | $ | — | |||||||||||||||
Obligations of U.S. states and their subdivisions | 2,051,020 | 311,136 | 1,463 | 2,360,693 | — | ||||||||||||||||||||
Foreign government securities | 2,414 | — | — | 2,414 | — | ||||||||||||||||||||
Corporate debt securities (2) | 11,536,443 | 873,106 | 79,718 | 12,329,831 | (2,329 | ) | |||||||||||||||||||
Asset-backed securities | 1,284,772 | 151,734 | 11,461 | 1,425,045 | (92,246 | ) | |||||||||||||||||||
Residential mortgage-backed securities | 157,318 | 6,637 | 1,509 | 162,446 | (177 | ) | |||||||||||||||||||
Commercial mortgage-backed securities | 878,942 | 42,969 | 839 | 921,072 | — | ||||||||||||||||||||
Collateralized debt obligations | 9,850 | 17 | — | 9,867 | — | ||||||||||||||||||||
Total fixed maturities | $ | 17,002,708 | $ | 1,460,339 | $ | 95,380 | $ | 18,367,667 | $ | (94,752 | ) | ||||||||||||||
(1) Indicates the amount of any OTTI (gain) loss included in AOCI that is included in gross unrealized gains and losses. OTTI (gain) loss included in AOCI, as presented above, includes both the initial recognition of non-credit losses and the effects of subsequent increases and decreases in estimated fair value for those fixed maturity securities with previous non-credit impairment. The non-credit loss component of OTTI (gain) loss was in an unrealized gain position due to increases in estimated fair value subsequent to initial recognition of non-credit losses on such securities. | |||||||||||||||||||||||||
(2) Includes perpetual debt investments with amortized cost of $157,742 and estimated fair value of $129,358. | |||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||
Amortized | Gross unrealized | Gross unrealized | Estimated fair value | OTTI (gain) loss | |||||||||||||||||||||
Fixed maturities: | cost | gains | losses | and carrying value | included in AOCI (1) | ||||||||||||||||||||
U.S. government direct obligations and U.S. agencies | $ | 3,478,153 | $ | 70,597 | $ | 1,494 | $ | 3,547,256 | $ | — | |||||||||||||||
Obligations of U.S. states and their subdivisions | 1,885,715 | 287,668 | 899 | 2,172,484 | — | ||||||||||||||||||||
Foreign government securities | 2,455 | — | 4 | 2,451 | — | ||||||||||||||||||||
Corporate debt securities (2) | 11,258,517 | 763,036 | 82,104 | 11,939,449 | (2,228 | ) | |||||||||||||||||||
Asset-backed securities | 1,263,089 | 149,152 | 13,702 | 1,398,539 | (96,603 | ) | |||||||||||||||||||
Residential mortgage-backed securities | 167,793 | 7,368 | 1,932 | 173,229 | (185 | ) | |||||||||||||||||||
Commercial mortgage-backed securities | 886,748 | 32,556 | 1,099 | 918,205 | — | ||||||||||||||||||||
Collateralized debt obligations | 10,674 | — | 209 | 10,465 | — | ||||||||||||||||||||
Total fixed maturities | $ | 18,953,144 | $ | 1,310,377 | $ | 101,443 | $ | 20,162,078 | $ | (99,016 | ) | ||||||||||||||
(1) Indicates the amount of any OTTI (gain) loss included in AOCI that is included in gross unrealized gains and losses. OTTI (gain) loss included in AOCI, as presented above, includes both the initial recognition of non-credit losses and the effects of subsequent increases and decreases in estimated fair value for those fixed maturity securities with previous non-credit impairment. The non-credit loss component of OTTI (gain) loss was in an unrealized gain position due to increases in estimated fair value subsequent to initial recognition of non-credit losses on such securities. | |||||||||||||||||||||||||
(2) Includes perpetual debt investments with amortized cost of $157,742 and estimated fair value of $131,799. | |||||||||||||||||||||||||
Schedule of amortized cost and estimated fair value of fixed maturity investments classified as available-for-sale | The amortized cost and estimated fair value of fixed maturity investments classified as available-for-sale, based on estimated cash flows, are shown in the table below. Actual maturities will likely differ from these projections because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. | ||||||||||||||||||||||||
March 31, 2015 | |||||||||||||||||||||||||
Amortized cost | Estimated fair value | ||||||||||||||||||||||||
Maturing in one year or less | $ | 658,867 | $ | 689,902 | |||||||||||||||||||||
Maturing after one year through five years | 3,603,240 | 3,922,438 | |||||||||||||||||||||||
Maturing after five years through ten years | 4,427,116 | 4,729,717 | |||||||||||||||||||||||
Maturing after ten years | 5,245,378 | 5,739,031 | |||||||||||||||||||||||
Mortgage-backed and asset-backed securities | 3,068,107 | 3,286,579 | |||||||||||||||||||||||
Total fixed maturities | $ | 17,002,708 | $ | 18,367,667 | |||||||||||||||||||||
Summary of information regarding the sales of securities classified as available-for-sale | The following table summarizes information regarding the sales of securities classified as available-for-sale: | ||||||||||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||||||||||
2015 | 2014 | ||||||||||||||||||||||||
Proceeds from sales | $ | 2,658,671 | $ | 2,239,661 | |||||||||||||||||||||
Gross realized gains from sales | 23,351 | 19,773 | |||||||||||||||||||||||
Gross realized losses from sales | 20 | 1,062 | |||||||||||||||||||||||
Schedule of the carrying value of the mortgage loan portfolio by component | The following table summarizes the carrying value of the mortgage loan portfolio by component: | ||||||||||||||||||||||||
March 31, 2015 | December 31, 2014 | ||||||||||||||||||||||||
Principal | $ | 3,433,510 | $ | 3,356,374 | |||||||||||||||||||||
Unamortized premium (discount) and fees, net | 9,563 | 10,086 | |||||||||||||||||||||||
Mortgage provision allowance | (2,890 | ) | (2,890 | ) | |||||||||||||||||||||
Total mortgage loans | $ | 3,440,183 | $ | 3,363,570 | |||||||||||||||||||||
Summary of activity in the mortgage provision allowance | |||||||||||||||||||||||||
Three Months Ended March 31, 2015 | Year Ended December 31, 2014 | ||||||||||||||||||||||||
Commercial mortgages | Commercial mortgages | ||||||||||||||||||||||||
Allowance ending balance by basis of impairment method: | |||||||||||||||||||||||||
Collectively evaluated for impairment | $ | 2,890 | $ | 2,890 | |||||||||||||||||||||
Recorded investment balance in the mortgage loan portfolio, gross of allowance, by basis of impairment method: | $ | 3,443,073 | $ | 3,366,460 | |||||||||||||||||||||
Individually evaluated for impairment | 12,878 | 12,986 | |||||||||||||||||||||||
Collectively evaluated for impairment | 3,430,195 | 3,353,474 | |||||||||||||||||||||||
Schedule of unrealized investment losses, including the non-credit-related portion of OTTI losses reported in AOCI, by class of investment | The following tables summarize unrealized investment losses, including the non-credit-related portion of OTTI losses reported in AOCI, by class of investment: | ||||||||||||||||||||||||
March 31, 2015 | |||||||||||||||||||||||||
Less than twelve months | Twelve months or longer | Total | |||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | ||||||||||||||||||||
Fixed maturities: | fair value | loss and OTTI | fair value | loss and OTTI | fair value | loss and OTTI | |||||||||||||||||||
U.S. government direct obligations and U.S. agencies | $ | 46,293 | $ | 65 | $ | 26,592 | $ | 325 | $ | 72,885 | $ | 390 | |||||||||||||
Obligations of U.S. states and their subdivisions | 162,763 | 1,214 | 807 | 249 | 163,570 | 1,463 | |||||||||||||||||||
Corporate debt securities | 773,294 | 23,499 | 381,146 | 56,219 | 1,154,440 | 79,718 | |||||||||||||||||||
Asset-backed securities | 78,682 | 415 | 195,402 | 11,046 | 274,084 | 11,461 | |||||||||||||||||||
Residential mortgage-backed securities | 3,945 | 10 | 22,622 | 1,499 | 26,567 | 1,509 | |||||||||||||||||||
Commercial mortgage-backed securities | 60,370 | 699 | 24,939 | 140 | 85,309 | 839 | |||||||||||||||||||
Total fixed maturities | $ | 1,125,347 | $ | 25,902 | $ | 651,508 | $ | 69,478 | $ | 1,776,855 | $ | 95,380 | |||||||||||||
Total number of securities in an unrealized loss position | 122 | 89 | 211 | ||||||||||||||||||||||
31-Dec-14 | |||||||||||||||||||||||||
Less than twelve months | Twelve months or longer | Total | |||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | ||||||||||||||||||||
Fixed maturities: | fair value | loss and OTTI | fair value | loss and OTTI | fair value | loss and OTTI | |||||||||||||||||||
U.S. government direct obligations and U.S. agencies | $ | 566,335 | $ | 503 | $ | 74,322 | $ | 991 | $ | 640,657 | $ | 1,494 | |||||||||||||
Obligations of U.S. states and their subdivisions | 18,280 | 218 | 41,064 | 681 | 59,344 | 899 | |||||||||||||||||||
Foreign government securities | 2,451 | 4 | — | — | 2,451 | 4 | |||||||||||||||||||
Corporate debt securities | 836,263 | 16,775 | 764,528 | 65,329 | 1,600,791 | 82,104 | |||||||||||||||||||
Asset-backed securities | 88,312 | 849 | 200,072 | 12,853 | 288,384 | 13,702 | |||||||||||||||||||
Residential mortgage-backed securities | 4,663 | 11 | 24,052 | 1,921 | 28,715 | 1,932 | |||||||||||||||||||
Commercial mortgage-backed securities | 35,015 | 127 | 57,333 | 972 | 92,348 | 1,099 | |||||||||||||||||||
Collateralized debt obligations | 10,465 | 209 | — | — | 10,465 | 209 | |||||||||||||||||||
Total fixed maturities | $ | 1,561,784 | $ | 18,696 | $ | 1,161,371 | $ | 82,747 | $ | 2,723,155 | $ | 101,443 | |||||||||||||
Total number of securities in an unrealized loss position | 134 | 153 | 287 | ||||||||||||||||||||||
Other than Temporary Impairment, Credit Losses Recognized in Earnings | The OTTI on fixed maturity securities where the loss portion is bifurcated and the credit related component is recognized in realized investment gains (losses) is summarized as follows: | ||||||||||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||||||||||
2015 | 2014 | ||||||||||||||||||||||||
Beginning balance | $ | 119,532 | $ | 167,961 | |||||||||||||||||||||
Initial impairments - credit loss on securities not previously impaired | 450 | — | |||||||||||||||||||||||
Reductions due to increases in cash flows expected to be collected that are recognized over the remaining life of the security | (4,329 | ) | — | ||||||||||||||||||||||
Ending balance | $ | 115,653 | $ | 167,961 | |||||||||||||||||||||
Derivative_Financial_Instrumen1
Derivative Financial Instruments (Tables) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||
Summary of derivative financial instruments | The following tables summarize the notional amount and fair value of derivative financial instruments, excluding embedded derivatives: | ||||||||||||||||
March 31, 2015 | |||||||||||||||||
Net derivatives | Asset derivatives | Liability derivatives | |||||||||||||||
Notional amount | Fair value | Fair value (1) | Fair value (1) | ||||||||||||||
Hedge designation/derivative type: | |||||||||||||||||
Derivatives designated as hedges: | |||||||||||||||||
Cash flow hedges: | |||||||||||||||||
Interest rate swaps | $ | 184,200 | $ | 19,593 | $ | 19,593 | $ | — | |||||||||
Cross-currency swaps | 186,225 | 15,878 | 15,946 | 68 | |||||||||||||
Total cash flow hedges | 370,425 | 35,471 | 35,539 | 68 | |||||||||||||
Fair value hedges: | |||||||||||||||||
Interest rate swaps | 42,550 | 69 | 260 | 191 | |||||||||||||
Total fair value hedges | 42,550 | 69 | 260 | 191 | |||||||||||||
Total derivatives designated as hedges | 412,975 | 35,540 | 35,799 | 259 | |||||||||||||
Derivatives not designated as hedges: | |||||||||||||||||
Interest rate swaps | 195,600 | 7,206 | 10,527 | 3,321 | |||||||||||||
Futures on equity indices | 5,932 | — | — | — | |||||||||||||
Interest rate futures | 10,883 | — | — | — | |||||||||||||
Interest rate swaptions | 243,344 | 244 | 244 | — | |||||||||||||
Other forward contracts | 5,930,500 | 16,825 | 20,925 | 4,100 | |||||||||||||
Cross-currency swaps | 662,935 | (80,823 | ) | 14,197 | 95,020 | ||||||||||||
Total derivatives not designated as hedges | 7,049,194 | (56,548 | ) | 45,893 | 102,441 | ||||||||||||
Total derivative financial instruments | $ | 7,462,169 | $ | (21,008 | ) | $ | 81,692 | $ | 102,700 | ||||||||
(1) The estimated fair value excludes accrued income and expense. The estimated fair value of all derivatives in an asset position is reported within other assets and the estimated fair value of all derivatives in a liability position is reported within other liabilities in the condensed consolidated balance sheets. | |||||||||||||||||
December 31, 2014 | |||||||||||||||||
Net derivatives | Asset derivatives | Liability derivatives | |||||||||||||||
Notional amount | Fair value | Fair value (1) | Fair value (1) | ||||||||||||||
Hedge designation/derivative type: | |||||||||||||||||
Derivatives designated as hedges: | |||||||||||||||||
Cash flow hedges: | |||||||||||||||||
Interest rate swaps | $ | 184,200 | $ | 17,746 | $ | 17,746 | $ | — | |||||||||
Cross-currency swaps | 174,245 | 2,322 | 5,143 | 2,821 | |||||||||||||
Total cash flow hedges | 358,445 | 20,068 | 22,889 | 2,821 | |||||||||||||
Fair value hedges: | |||||||||||||||||
Interest rate swaps | 78,000 | 1,506 | 1,637 | 131 | |||||||||||||
Total fair value hedges | 78,000 | 1,506 | 1,637 | 131 | |||||||||||||
Total derivatives designated as hedges | 436,445 | 21,574 | 24,526 | 2,952 | |||||||||||||
Derivatives not designated as hedges: | |||||||||||||||||
Interest rate swaps | 128,100 | 4,402 | 6,246 | 1,844 | |||||||||||||
Futures on equity indices | 5,505 | — | — | — | |||||||||||||
Interest rate futures | 17,958 | — | — | — | |||||||||||||
Interest rate swaptions | 293,964 | 271 | 271 | — | |||||||||||||
Cross-currency swaps | 662,935 | (127,230 | ) | 4,561 | 131,791 | ||||||||||||
Total derivatives not designated as hedges | 1,108,462 | (122,557 | ) | 11,078 | 133,635 | ||||||||||||
Total derivative financial instruments | $ | 1,544,907 | $ | (100,983 | ) | $ | 35,604 | $ | 136,587 | ||||||||
(1) The estimated fair value excludes accrued income and expense. The estimated fair value of all derivatives in an asset position is reported within other assets and the estimated fair value of all derivatives in a liability position is reported within other liabilities in the condensed consolidated balance sheets. | |||||||||||||||||
Schedule of the effect of derivative instruments in the condensed consolidated statement of income reported by cash flow hedges, fair value hedges and economic hedges | The following tables present the effect of derivative instruments in the condensed consolidated statements of income reported by cash flow hedges, fair value hedges and economic hedges, excluding embedded derivatives: | ||||||||||||||||
Gain (loss) recognized | Gain (loss) reclassified from OCI | ||||||||||||||||
in OCI on derivatives | into net income (Effective portion) | ||||||||||||||||
(Effective portion) | |||||||||||||||||
Three Months Ended March 31, | Three Months Ended March 31, | ||||||||||||||||
2015 | 2014 | 2015 | 2014 | ||||||||||||||
Cash flow hedges: | |||||||||||||||||
Interest rate swaps | $ | 3,141 | $ | 1,244 | $ | 1,856 | $ | 563 | (A) | ||||||||
Cross-currency swaps | 14,014 | (360 | ) | 423 | — | (A) | |||||||||||
Interest rate futures | — | — | (21 | ) | 17 | (A) | |||||||||||
Total cash flow hedges | $ | 17,155 | $ | 884 | $ | 2,258 | $ | 580 | |||||||||
(A) Net investment income. | |||||||||||||||||
Gain (loss) on derivatives | Gain (loss) on hedged assets | ||||||||||||||||
recognized in net income | recognized in net income | ||||||||||||||||
Three Months Ended March 31, | Three Months Ended March 31, | ||||||||||||||||
2015 | 2014 | 2015 | 2014 | ||||||||||||||
Fair value hedges: | |||||||||||||||||
Interest rate swaps | $ | (1,438 | ) | $ | (1,067 | ) | (A) | $ | — | $ | — | ||||||
Interest rate swaps | 630 | — | (B) | — | — | ||||||||||||
Items hedged in interest rate swaps | — | — | 1,443 | 1,067 | (A) | ||||||||||||
Items hedged in interest rate swaps | — | — | (630 | ) | — | (B) | |||||||||||
Total fair value hedges | $ | (808 | ) | $ | (1,067 | ) | $ | 813 | $ | 1,067 | |||||||
(A) Net investment income. | |||||||||||||||||
(B) Represents realized gains (losses) on closed positions recorded in realized investment gains (losses), net. | |||||||||||||||||
Gain (loss) on derivatives recognized in net income | |||||||||||||||||
Three Months Ended March 31, | |||||||||||||||||
2015 | 2014 | ||||||||||||||||
Derivatives not designated as hedging instruments: | |||||||||||||||||
Futures on equity indices | $ | 147 | (A) | $ | 77 | (A) | |||||||||||
Futures on equity indices | (723 | ) | (B) | (163 | ) | (B) | |||||||||||
Interest rate swaps | 2,822 | (A) | 1,109 | (A) | |||||||||||||
Interest rate futures | (151 | ) | (A) | (3 | ) | (A) | |||||||||||
Interest rate futures | 135 | (B) | (24 | ) | (B) | ||||||||||||
Interest rate swaptions | 910 | (A) | 202 | (A) | |||||||||||||
Interest rate swaptions | (987 | ) | (B) | (833 | ) | (B) | |||||||||||
Other forward contracts | 16,825 | (A) | (6,343 | ) | (A) | ||||||||||||
Other forward contracts | (9,340 | ) | (B) | 7,581 | (B) | ||||||||||||
Cross-currency swaps | 45,046 | (A) | (1,632 | ) | (A) | ||||||||||||
Total derivatives not designated as hedging instruments | $ | 54,684 | $ | (29 | ) | ||||||||||||
(A) Net investment income. | |||||||||||||||||
(B) Represents realized gains (losses) on closed positions recorded in realized investment gains (losses), net. |
Summary_of_Offsetting_Assets_a1
Summary of Offsetting Assets and Liabilities (Tables) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Offsetting [Abstract] | |||||||||||||||||
Summary of the Company's financial instruments that are subject to master netting arrangements | The following tables summarize the effect of master netting arrangements on the Company’s financial position in the normal course of business and in the event of default or bankruptcy of the Company’s counterparties: | ||||||||||||||||
March 31, 2015 | |||||||||||||||||
Gross fair value not offset | |||||||||||||||||
in balance sheets | |||||||||||||||||
Gross fair value of | Financial | Cash collateral | Net | ||||||||||||||
Financial instruments (assets): | recognized assets (1) | instruments | received | fair value | |||||||||||||
Derivative instruments (2) | $ | 68,382 | $ | (45,795 | ) | $ | 13,176 | $ | 9,411 | ||||||||
Short-term reverse repurchase agreements (3) | 600,000 | (600,000 | ) | — | — | ||||||||||||
Total financial instruments (assets) | $ | 668,382 | $ | (645,795 | ) | $ | 13,176 | $ | 9,411 | ||||||||
March 31, 2015 | |||||||||||||||||
Gross fair value not offset | |||||||||||||||||
in balance sheets | |||||||||||||||||
Gross fair value of | Financial | Cash collateral | Net | ||||||||||||||
Financial instruments (liabilities): | recognized liabilities (1) | instruments | pledged | fair value | |||||||||||||
Derivative instruments (4) | $ | 101,899 | $ | (45,795 | ) | $ | (56,099 | ) | $ | 5 | |||||||
(1) The gross fair value of derivative instrument and short-term reverse repurchase agreement assets are not netted against offsetting liabilities for presentation on the condensed consolidated balance sheets. | |||||||||||||||||
(2) The estimated fair value of derivative instrument assets is reported in other assets in the condensed consolidated balance sheets. The estimated fair value of derivative transactions entered into under ISDA master agreements include income and expense accruals. | |||||||||||||||||
(3) The estimated fair value of short-term reverse repurchase agreement assets is reported in short-term investments in the condensed consolidated balance sheets. The collateral is held by an independent third-party custodian under a tri-party agreement. | |||||||||||||||||
(4) The estimated fair value of derivative instrument liabilities is reported in other liabilities in the condensed consolidated balance sheets. Derivative transactions entered into under ISDA master agreements include income and expense accruals. | |||||||||||||||||
December 31, 2014 | |||||||||||||||||
Gross fair value not offset | |||||||||||||||||
in balance sheets | |||||||||||||||||
Gross fair value of | Financial | Cash collateral | Net | ||||||||||||||
Financial instruments: | recognized assets/liabilities (1) | instruments | received/(pledged) | fair value | |||||||||||||
Derivative instruments (assets) (2) | $ | 32,895 | $ | (32,595 | ) | $ | 279 | $ | 21 | ||||||||
Derivative instruments (liabilities) (3) | 140,655 | (32,595 | ) | (105,929 | ) | 2,131 | |||||||||||
(1) The gross fair value of derivative instrument assets is not netted against offsetting liabilities for presentation on the condensed consolidated balance sheets. | |||||||||||||||||
(2) The estimated fair value of derivative instrument assets is reported in other assets in the condensed consolidated balance sheets. The estimated fair value of derivative transactions entered into under ISDA master agreements include income and expense accruals. | |||||||||||||||||
(3) The estimated fair value of derivative instrument liabilities is reported in other liabilities in the condensed consolidated balance sheets. Derivative transactions entered into under ISDA master agreements include income and expense accruals. |
Fair_Value_Measurements_Tables
Fair Value Measurements (Tables) | 3 Months Ended | |||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||
Fair Value Disclosures [Abstract] | ||||||||||||||||||||
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, 2015 | ||||||||||||||||||||
Quoted prices | Significant | |||||||||||||||||||
in active | other | Significant | Total | |||||||||||||||||
markets for | observable | unobservable | ||||||||||||||||||
identical assets | inputs | inputs | ||||||||||||||||||
(Level 1) | (Level 2) | (Level 3) | ||||||||||||||||||
Assets | ||||||||||||||||||||
Fixed maturities available-for-sale: | ||||||||||||||||||||
U.S. government direct obligations and U.S. agencies | $ | — | $ | 1,156,299 | $ | — | $ | 1,156,299 | ||||||||||||
Obligations of U.S. states and their subdivisions | — | 2,360,693 | — | 2,360,693 | ||||||||||||||||
Foreign government securities | — | 2,414 | — | 2,414 | ||||||||||||||||
Corporate debt securities | — | 12,324,502 | 5,329 | 12,329,831 | ||||||||||||||||
Asset-backed securities | — | 1,425,012 | 33 | 1,425,045 | ||||||||||||||||
Residential mortgage-backed securities | — | 162,446 | — | 162,446 | ||||||||||||||||
Commercial mortgage-backed securities | — | 921,072 | — | 921,072 | ||||||||||||||||
Collateralized debt obligations | — | 9,867 | — | 9,867 | ||||||||||||||||
Total fixed maturities available-for-sale | — | 18,362,305 | 5,362 | 18,367,667 | ||||||||||||||||
Fixed maturities held-for-trading: | ||||||||||||||||||||
U.S. government direct obligations and U.S. agencies | — | 70,516 | — | 70,516 | ||||||||||||||||
Corporate debt securities | — | 58,120 | — | 58,120 | ||||||||||||||||
Commercial mortgage-backed securities | — | 1,116 | — | 1,116 | ||||||||||||||||
Total fixed maturities held-for-trading | — | 129,752 | — | 129,752 | ||||||||||||||||
Short-term investments | 273,572 | 2,161,054 | — | 2,434,626 | ||||||||||||||||
Collateral under securities lending agreements | 89,906 | — | — | 89,906 | ||||||||||||||||
Collateral under derivative counterparty collateral agreements | 70,619 | — | — | 70,619 | ||||||||||||||||
Derivative instruments designated as hedges: | ||||||||||||||||||||
Interest rate swaps | — | 19,853 | — | 19,853 | ||||||||||||||||
Cross-currency swaps | — | 15,946 | — | 15,946 | ||||||||||||||||
Derivative instruments not designated as hedges: | ||||||||||||||||||||
Interest rate swaps | — | 10,527 | — | 10,527 | ||||||||||||||||
Interest rate swaptions | — | 244 | — | 244 | ||||||||||||||||
Other forward contracts | — | 20,925 | — | 20,925 | ||||||||||||||||
Cross-currency swaps | — | 14,197 | — | 14,197 | ||||||||||||||||
Total derivative instruments | — | 81,692 | — | 81,692 | ||||||||||||||||
Separate account assets | 16,470,665 | 12,140,746 | — | 28,611,411 | ||||||||||||||||
Total assets | $ | 16,904,762 | $ | 32,875,549 | $ | 5,362 | $ | 49,785,673 | ||||||||||||
Liabilities | ||||||||||||||||||||
Payable under securities lending agreements | $ | 89,906 | $ | — | $ | — | $ | 89,906 | ||||||||||||
Collateral under derivative counterparty collateral agreements | 13,176 | — | — | 13,176 | ||||||||||||||||
Derivative instruments designated as hedges: | ||||||||||||||||||||
Interest rate swaps | — | 191 | — | 191 | ||||||||||||||||
Cross-currency swaps | — | 68 | — | 68 | ||||||||||||||||
Derivative instruments not designated as hedges: | ||||||||||||||||||||
Interest rate swaps | — | 3,321 | — | 3,321 | ||||||||||||||||
Other forward contracts | — | 4,100 | — | 4,100 | ||||||||||||||||
Cross-currency swaps | — | 95,020 | — | 95,020 | ||||||||||||||||
Total derivative instruments | — | 102,700 | — | 102,700 | ||||||||||||||||
Embedded derivatives - GLWB | — | — | 9,177 | 9,177 | ||||||||||||||||
Separate account liabilities (1) | 36 | 225,016 | — | 225,052 | ||||||||||||||||
Total liabilities | $ | 103,118 | $ | 327,716 | $ | 9,177 | $ | 440,011 | ||||||||||||
(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, 2014 | ||||||||||||||||||||
Quoted prices | Significant | |||||||||||||||||||
in active | other | Significant | Total | |||||||||||||||||
markets for | observable | unobservable | ||||||||||||||||||
identical assets | inputs | inputs | ||||||||||||||||||
(Level 1) | (Level 2) | (Level 3) | ||||||||||||||||||
Assets | ||||||||||||||||||||
Fixed maturities available-for-sale: | ||||||||||||||||||||
U.S. government direct obligations and U.S. agencies | $ | — | $ | 3,547,256 | $ | — | $ | 3,547,256 | ||||||||||||
Obligations of U.S. states and their subdivisions | — | 2,172,484 | — | 2,172,484 | ||||||||||||||||
Foreign government securities | — | 2,451 | — | 2,451 | ||||||||||||||||
Corporate debt securities | — | 11,933,607 | 5,842 | 11,939,449 | ||||||||||||||||
Asset-backed securities | — | 1,398,503 | 36 | 1,398,539 | ||||||||||||||||
Residential mortgage-backed securities | — | 173,229 | — | 173,229 | ||||||||||||||||
Commercial mortgage-backed securities | — | 918,205 | — | 918,205 | ||||||||||||||||
Collateralized debt obligations | — | 10,465 | — | 10,465 | ||||||||||||||||
Total fixed maturities available-for-sale | — | 20,156,200 | 5,878 | 20,162,078 | ||||||||||||||||
Fixed maturities held-for-trading: | ||||||||||||||||||||
U.S. government direct obligations and U.S. agencies | — | 279,602 | — | 279,602 | ||||||||||||||||
Corporate debt securities | — | 57,850 | — | 57,850 | ||||||||||||||||
Commercial mortgage-backed securities | — | 1,091 | — | 1,091 | ||||||||||||||||
Total fixed maturities held-for-trading | — | 338,543 | — | 338,543 | ||||||||||||||||
Short-term investments | 156,935 | 106,566 | — | 263,501 | ||||||||||||||||
Collateral under securities lending agreements | 13,741 | — | — | 13,741 | ||||||||||||||||
Collateral under derivative counterparty collateral agreements | 106,901 | — | — | 106,901 | ||||||||||||||||
Derivative instruments designated as hedges: | ||||||||||||||||||||
Interest rate swaps | — | 19,383 | — | 19,383 | ||||||||||||||||
Cross-currency swaps | — | 5,143 | — | 5,143 | ||||||||||||||||
Derivative instruments not designated as hedges: | ||||||||||||||||||||
Interest rate swaps | — | 6,246 | — | 6,246 | ||||||||||||||||
Interest rate swaptions | — | 271 | — | 271 | ||||||||||||||||
Cross-currency swaps | — | 4,561 | — | 4,561 | ||||||||||||||||
Total derivative instruments | — | 35,604 | — | 35,604 | ||||||||||||||||
Separate account assets | 16,146,057 | 11,572,787 | — | 27,718,844 | ||||||||||||||||
Total assets | $ | 16,423,634 | $ | 32,209,700 | $ | 5,878 | $ | 48,639,212 | ||||||||||||
Liabilities | ||||||||||||||||||||
Payable under securities lending agreements | $ | 13,741 | $ | — | $ | — | $ | 13,741 | ||||||||||||
Collateral under derivative counterparty collateral agreements | 791 | — | — | 791 | ||||||||||||||||
Derivative instruments designated as hedges: | ||||||||||||||||||||
Interest rate swaps | — | 131 | — | 131 | ||||||||||||||||
Cross-currency swaps | — | 2,821 | — | 2,821 | ||||||||||||||||
Derivative instruments not designated as hedges: | ||||||||||||||||||||
Interest rate swaps | — | 1,844 | — | 1,844 | ||||||||||||||||
Cross-currency swaps | — | 131,791 | — | 131,791 | ||||||||||||||||
Total derivative instruments | — | 136,587 | — | 136,587 | ||||||||||||||||
Embedded derivatives - GLWB | — | — | 6,407 | 6,407 | ||||||||||||||||
Separate account liabilities (1) | 15 | 217,712 | — | 217,727 | ||||||||||||||||
Total liabilities | $ | 14,547 | $ | 354,299 | $ | 6,407 | $ | 375,253 | ||||||||||||
(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 | 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, 2015 | ||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||
Fixed maturities available-for-sale | Embedded | |||||||||||||||||||
Corporate | Asset-backed | Collateralized | derivatives | |||||||||||||||||
debt securities | securities | debt obligations | Total | - GLWB | ||||||||||||||||
Balance, January 1, 2015 | $ | 5,842 | $ | 36 | $ | — | $ | 5,878 | $ | 6,407 | ||||||||||
Realized and unrealized gains (losses) included in: | ||||||||||||||||||||
Net income (loss) | — | — | — | — | 2,770 | |||||||||||||||
Other comprehensive income (loss) | (28 | ) | — | — | (28 | ) | — | |||||||||||||
Settlements | (485 | ) | (3 | ) | — | (488 | ) | — | ||||||||||||
Balances, March 31, 2015 | $ | 5,329 | $ | 33 | $ | — | $ | 5,362 | $ | 9,177 | ||||||||||
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, 2015 | $ | — | $ | — | $ | — | $ | — | $ | 2,770 | ||||||||||
Recurring Level 3 financial assets and liabilities | ||||||||||||||||||||
Three Months Ended March 31, 2014 | ||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||
Fixed maturities available-for-sale | Embedded | |||||||||||||||||||
Corporate | Asset-backed | Collateralized | derivatives | |||||||||||||||||
debt securities | securities | debt obligations | Total | - GLWB | ||||||||||||||||
Balance, January 1, 2014 | $ | 6,652 | $ | 252,958 | $ | 32 | $ | 259,642 | $ | — | ||||||||||
Realized and unrealized gains (losses) included in: | ||||||||||||||||||||
Other comprehensive income (loss) | 58 | 6,813 | (3 | ) | 6,868 | — | ||||||||||||||
Settlements | (187 | ) | (13,746 | ) | — | (13,933 | ) | — | ||||||||||||
Balances, March 31, 2014 | $ | 6,523 | $ | 246,025 | $ | 29 | $ | 252,577 | $ | — | ||||||||||
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, 2014 | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Schedule of significant unobservable inputs used during the valuation of liabilities categorized within Level 3 of the recurring fair value measurements table | The following tables present significant unobservable inputs used during the valuation of certain assets categorized within Level 3 of the recurring fair value measurements table: | |||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
Fair Value | Valuation Technique | Unobservable Input | Range | |||||||||||||||||
Embedded derivatives - GLWB | $ | 9,177 | Risk neutral stochastic valuation methodology | Equity volatility | 15% - 28% | |||||||||||||||
Swap curve | 0.80% - 2.50% | |||||||||||||||||||
Mortality rate | Based on the Annuity 2000 Mortality Table | |||||||||||||||||||
Lapse rate | 1% - 12% | |||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||
Fair Value | Valuation Technique | Unobservable Input | Range | |||||||||||||||||
Embedded derivatives - GLWB | $ | 6,407 | Risk neutral stochastic valuation methodology | Equity volatility | 15% - 28% | |||||||||||||||
Swap curve | 0.44% - 2.70% | |||||||||||||||||||
Mortality rate | Based on the Annuity 2000 Mortality Table | |||||||||||||||||||
Lapse rate | 1% - 12% | |||||||||||||||||||
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 not carried at fair value on a recurring basis: | |||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||
Carrying | Estimated | Carrying | Estimated | |||||||||||||||||
amount | fair value | amount | fair value | |||||||||||||||||
Assets | ||||||||||||||||||||
Mortgage loans on real estate | $ | 3,440,183 | $ | 3,682,669 | $ | 3,363,570 | $ | 3,558,111 | ||||||||||||
Policy loans | 4,125,285 | 4,125,285 | 4,130,062 | 4,130,062 | ||||||||||||||||
Limited partnership interests | 37,876 | 41,147 | 38,796 | 41,853 | ||||||||||||||||
Other investments | 15,021 | 44,591 | 15,614 | 43,263 | ||||||||||||||||
Liabilities | ||||||||||||||||||||
Annuity contract benefits without life contingencies | $ | 10,556,269 | $ | 10,774,463 | $ | 10,569,147 | $ | 10,563,477 | ||||||||||||
Policyholders’ funds | 296,602 | 296,602 | 335,484 | 335,484 | ||||||||||||||||
Commercial paper | 89,989 | 89,989 | 98,589 | 98,589 | ||||||||||||||||
Notes payable | 541,812 | 591,782 | 532,547 | 564,904 | ||||||||||||||||
Other_Comprehensive_Income_Tab
Other Comprehensive Income (Tables) | 3 Months Ended | |||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||
Comprehensive Income (Loss), Net of Tax, Attributable to Parent [Abstract] | ||||||||||||||||||||
Schedule of accumulated balances for each classification of other comprehensive income (loss) | The following tables present the accumulated balances for each classification of other comprehensive income (loss): | |||||||||||||||||||
Three Months Ended March 31, 2015 | ||||||||||||||||||||
Unrealized | Unrealized | Future policy | Employee | Total | ||||||||||||||||
holding gains | holding gains | benefits, DAC | benefit plan | |||||||||||||||||
/ losses | / losses | and VOBA | adjustment | |||||||||||||||||
arising on | arising on | adjustments | ||||||||||||||||||
fixed | cash flow | |||||||||||||||||||
maturities, | hedges | |||||||||||||||||||
available-for- | ||||||||||||||||||||
sale | ||||||||||||||||||||
Balances, January 1, 2015 | $ | 784,183 | $ | 33,141 | $ | (108,194 | ) | $ | (106,112 | ) | $ | 603,018 | ||||||||
Other comprehensive income (loss) before reclassifications | 117,894 | 11,151 | (22,834 | ) | (215 | ) | 105,996 | |||||||||||||
Amounts reclassified from AOCI | (18,316 | ) | (1,468 | ) | — | 1,907 | (17,877 | ) | ||||||||||||
Net current period other comprehensive income (loss) | 99,578 | 9,683 | (22,834 | ) | 1,692 | 88,119 | ||||||||||||||
Balances, March 31, 2015 | $ | 883,761 | $ | 42,824 | $ | (131,028 | ) | $ | (104,420 | ) | $ | 691,137 | ||||||||
Three Months Ended March 31, 2014 | ||||||||||||||||||||
Unrealized | Unrealized | Future policy | Employee | Total | ||||||||||||||||
holding gains | holding gains | benefits, DAC | benefit plan | |||||||||||||||||
/ losses | / losses | and VOBA | adjustment | |||||||||||||||||
arising on | arising on | adjustments | ||||||||||||||||||
fixed | cash flow | |||||||||||||||||||
maturities, | hedges | |||||||||||||||||||
available-for- | ||||||||||||||||||||
sale | ||||||||||||||||||||
Balances, January 1, 2014 | $ | 434,023 | $ | 25,517 | $ | (70,000 | ) | $ | (43,786 | ) | $ | 345,754 | ||||||||
Other comprehensive income (loss) before reclassifications | 202,344 | 575 | (37,211 | ) | — | 165,708 | ||||||||||||||
Amounts reclassified from AOCI | (14,065 | ) | (377 | ) | — | — | (14,442 | ) | ||||||||||||
Net current period other comprehensive income (loss) | 188,279 | 198 | (37,211 | ) | — | 151,266 | ||||||||||||||
Balances, March 31, 2014 | $ | 622,302 | $ | 25,715 | $ | (107,211 | ) | $ | (43,786 | ) | $ | 497,020 | ||||||||
Schedule of composition of other comprehensive income (loss) | The following tables present the composition of other comprehensive income (loss): | |||||||||||||||||||
Three Months Ended March 31, 2015 | ||||||||||||||||||||
Before-tax | Tax (expense) | Net-of-tax | ||||||||||||||||||
amount | benefit | amount | ||||||||||||||||||
Unrealized holding gains (losses), net, arising on fixed maturities, available-for-sale | $ | 181,375 | $ | (63,481 | ) | $ | 117,894 | |||||||||||||
Unrealized holding gains (losses), net, arising on cash flow hedges | 17,155 | (6,004 | ) | 11,151 | ||||||||||||||||
Reclassification adjustment for (gains) losses, net, realized in net income | (30,437 | ) | 10,653 | (19,784 | ) | |||||||||||||||
Net unrealized gains (losses) related to investments | 168,093 | (58,832 | ) | 109,261 | ||||||||||||||||
Future policy benefits, DAC and VOBA adjustments | (35,129 | ) | 12,295 | (22,834 | ) | |||||||||||||||
Net unrealized gains (losses) | 132,964 | (46,537 | ) | 86,427 | ||||||||||||||||
Employee benefit plan adjustment | 2,603 | (911 | ) | 1,692 | ||||||||||||||||
Other comprehensive income (loss) | $ | 135,567 | $ | (47,448 | ) | $ | 88,119 | |||||||||||||
Three Months Ended March 31, 2014 | ||||||||||||||||||||
Before-tax | Tax (expense) | Net-of-tax | ||||||||||||||||||
amount | benefit | amount | ||||||||||||||||||
Unrealized holding gains (losses), net, arising on fixed maturities, available-for-sale | $ | 311,298 | $ | (108,954 | ) | $ | 202,344 | |||||||||||||
Unrealized holding gains (losses), net, arising on cash flow hedges | 884 | (309 | ) | 575 | ||||||||||||||||
Reclassification adjustment for (gains) losses, net, realized in net income | (22,218 | ) | 7,776 | (14,442 | ) | |||||||||||||||
Net unrealized gains (losses) related to investments | 289,964 | (101,487 | ) | 188,477 | ||||||||||||||||
Future policy benefits, DAC and VOBA adjustments | (57,248 | ) | 20,037 | (37,211 | ) | |||||||||||||||
Net unrealized gains (losses) | 232,716 | (81,450 | ) | 151,266 | ||||||||||||||||
Other comprehensive income (loss) | $ | 232,716 | $ | (81,450 | ) | $ | 151,266 | |||||||||||||
Schedule of reclassifications out of accumulated other comprehensive income (loss) | The following tables presents the reclassifications out of accumulated other comprehensive income (loss): | |||||||||||||||||||
Three Months Ended March 31, | ||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||
Details about accumulated other | Amount reclassified from accumulated other comprehensive income (loss) | Affected line item in the statement where net income is presented | ||||||||||||||||||
comprehensive income (loss) components | ||||||||||||||||||||
Unrealized holding (gains) losses, net, arising on fixed maturities, available-for-sale | $ | (28,179 | ) | $ | (21,638 | ) | Other realized investment (gains) losses, net | |||||||||||||
(28,179 | ) | (21,638 | ) | Total before tax | ||||||||||||||||
(9,863 | ) | (7,573 | ) | Tax expense or benefit | ||||||||||||||||
$ | (18,316 | ) | $ | (14,065 | ) | Net of tax | ||||||||||||||
Unrealized holding (gains) losses, net, arising on cash flow hedges | $ | (2,258 | ) | $ | (580 | ) | Net investment income | |||||||||||||
(2,258 | ) | (580 | ) | Total before tax | ||||||||||||||||
(790 | ) | (203 | ) | Tax expense or benefit | ||||||||||||||||
$ | (1,468 | ) | $ | (377 | ) | Net of tax | ||||||||||||||
Amortization of employee benefit plan items | ||||||||||||||||||||
Prior service costs (benefits) | $ | (181 | ) | (1) | $ | — | ||||||||||||||
Actuarial losses (gains) | 3,115 | (1) | — | |||||||||||||||||
2,934 | — | Total before tax | ||||||||||||||||||
1,027 | — | Tax expense or benefit | ||||||||||||||||||
$ | 1,907 | $ | — | Net of tax | ||||||||||||||||
Total reclassification | $ | (17,877 | ) | $ | (14,442 | ) | Net of tax | |||||||||||||
(1) These accumulated other comprehensive income components are included in the computation of net periodic (benefit) cost of employee benefit plans (see Note 10 for additional details). | ||||||||||||||||||||
Employee_Benefit_Plans_Tables
Employee Benefit Plans (Tables) | 3 Months Ended | |||||||||||||||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||||||||||||||
Compensation and Retirement Disclosure [Abstract] | ||||||||||||||||||||||||||||||||
Schedule of net periodic cost (benefit) | Net periodic cost (benefit) of the Defined Benefit Pension, Post-Retirement Medical and Supplemental Executive Retirement plans included in general insurance expenses in the accompanying condensed consolidated statements of income includes the following components: | |||||||||||||||||||||||||||||||
Three Months Ended March 31, | ||||||||||||||||||||||||||||||||
Defined Benefit | Post-Retirement | Supplemental Executive | Total | |||||||||||||||||||||||||||||
Pension Plan | Medical Plan | Retirement Plan | ||||||||||||||||||||||||||||||
2015 | 2014 | 2015 | 2014 | 2015 | 2014 | 2015 | 2014 | |||||||||||||||||||||||||
Components of net periodic cost (benefit): | ||||||||||||||||||||||||||||||||
Service cost | $ | 1,509 | $ | 1,174 | $ | 264 | $ | 206 | $ | 70 | $ | 205 | $ | 1,843 | $ | 1,585 | ||||||||||||||||
Interest cost | 5,997 | 5,738 | 126 | 130 | 531 | 697 | 6,654 | 6,565 | ||||||||||||||||||||||||
Expected return on plan assets | (7,087 | ) | (7,319 | ) | — | — | — | — | (7,087 | ) | (7,319 | ) | ||||||||||||||||||||
Amortization of unrecognized prior service costs (benefits) | 3 | 13 | (417 | ) | (426 | ) | 233 | 233 | (181 | ) | (180 | ) | ||||||||||||||||||||
Amortization of losses (gains) from earlier periods | 3,106 | 645 | (157 | ) | (130 | ) | 166 | 92 | 3,115 | 607 | ||||||||||||||||||||||
Net periodic cost (benefit) | $ | 3,528 | $ | 251 | $ | (184 | ) | $ | (220 | ) | $ | 1,000 | $ | 1,227 | $ | 4,344 | $ | 1,258 | ||||||||||||||
Schedule of contributions to the Defined Benefit Pension Plan and payments made to the Post-Retirement Medical Plan and the Supplemental Executive Retirement Plan | The following table summarizes contributions to the Defined Benefit Pension Plan and payments made to the Post-Retirement Medical Plan and the Supplemental Executive Retirement Plan: | |||||||||||||||||||||||||||||||
Three Months Ended March 31, | ||||||||||||||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||||||||||||||
Contributions to the Defined Benefit Pension Plan | $ | — | $ | 2,024 | ||||||||||||||||||||||||||||
Payments to the Post-Retirement Medical Plan | 133 | 131 | ||||||||||||||||||||||||||||||
Payments to the Supplemental Executive Retirement Plan | 2,335 | 908 | ||||||||||||||||||||||||||||||
Income_Taxes_Tables
Income Taxes (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2015 | |||||||||
Income Tax Disclosure [Abstract] | |||||||||
Schedule of the provision for income taxes | The provision for income taxes is comprised of the following: | ||||||||
Three Months Ended March 31, | |||||||||
2015 | 2014 | ||||||||
Current | $ | 28,094 | $ | 31,044 | |||||
Deferred | 23,802 | 19,310 | |||||||
Total income tax provision | $ | 51,896 | $ | 50,354 | |||||
Schedule of reconciliation between the statutory federal income tax rate and the Company's effective federal income tax rate | The following table presents a reconciliation between the statutory federal income tax rate and the Company’s effective income tax rate: | ||||||||
Three Months Ended March 31, | |||||||||
2015 | 2014 | ||||||||
Statutory federal income tax rate | 35 | % | 35 | % | |||||
Income tax effect of: | |||||||||
Investment income not subject to federal tax | (2.0 | )% | (2.1 | )% | |||||
Tax credits | (0.2 | )% | (0.2 | )% | |||||
State income taxes, net of federal benefit | 1.3 | % | 1.5 | % | |||||
Other, net | 0.4 | % | 0.5 | % | |||||
Effective income tax rate | 34.5 | % | 34.7 | % |
Segment_Information_Tables
Segment Information (Tables) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Segment Reporting [Abstract] | |||||||||||||||||
Summary of financial information related to segments | The following tables summarize segment financial information: | ||||||||||||||||
Three Months Ended March 31, 2015 | |||||||||||||||||
Individual | Empower | ||||||||||||||||
Markets | Retirement | Other | Total | ||||||||||||||
Revenue: | |||||||||||||||||
Premium income | $ | 124,962 | $ | — | $ | 20,741 | $ | 145,703 | |||||||||
Fee income | 21,502 | 202,821 | 954 | 225,277 | |||||||||||||
Other revenue | — | 1,820 | — | 1,820 | |||||||||||||
Net investment income | 217,653 | 127,730 | 13,473 | 358,856 | |||||||||||||
Realized investment gains (losses), net | 8,400 | 9,800 | — | 18,200 | |||||||||||||
Total revenues | 372,517 | 342,171 | 35,168 | 749,856 | |||||||||||||
Benefits and expenses: | |||||||||||||||||
Policyholder benefits | 256,323 | 49,045 | 22,303 | 327,671 | |||||||||||||
Operating expenses | 35,941 | 221,030 | 14,706 | 271,677 | |||||||||||||
Total benefits and expenses | 292,264 | 270,075 | 37,009 | 599,348 | |||||||||||||
Income (loss) before income taxes | 80,253 | 72,096 | (1,841 | ) | 150,508 | ||||||||||||
Income tax expense (benefit) | 28,222 | 24,380 | (706 | ) | 51,896 | ||||||||||||
Net income (loss) | $ | 52,031 | $ | 47,716 | $ | (1,135 | ) | $ | 98,612 | ||||||||
Three Months Ended March 31, 2014 | |||||||||||||||||
Individual | Empower | ||||||||||||||||
Markets | Retirement | Other | Total | ||||||||||||||
Revenue: | |||||||||||||||||
Premium income | $ | 112,777 | $ | 572 | $ | 18,505 | $ | 131,854 | |||||||||
Fee income | 23,630 | 141,881 | 1,002 | 166,513 | |||||||||||||
Net investment income | 185,520 | 101,174 | 13,329 | 300,023 | |||||||||||||
Realized investment gains (losses), net | 6,735 | 20,154 | 20 | 26,909 | |||||||||||||
Total revenues | 328,662 | 263,781 | 32,856 | 625,299 | |||||||||||||
Benefits and expenses: | |||||||||||||||||
Policyholder benefits | 238,997 | 48,480 | 18,902 | 306,379 | |||||||||||||
Operating expenses | 35,338 | 123,986 | 14,491 | 173,815 | |||||||||||||
Total benefits and expenses | 274,335 | 172,466 | 33,393 | 480,194 | |||||||||||||
Income (loss) before income taxes | 54,327 | 91,315 | (537 | ) | 145,105 | ||||||||||||
Income tax expense | 18,965 | 31,310 | 79 | 50,354 | |||||||||||||
Net income (loss) | $ | 35,362 | $ | 60,005 | $ | (616 | ) | $ | 94,751 | ||||||||
Acquisition_Narrative_Details
Acquisition - Narrative (Details) (USD $) | 3 Months Ended | 0 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Jan. 01, 2015 |
J.P. Morgan Retirement Plan Services (RPS) | ||
Business Acquisition [Line Items] | ||
Revenue of acquired entity from date of acquisition | $48,628 | |
Net income of acquired entity from date of acquisition | 1,000 | |
Putnam Retirement Business | ||
Business Acquisition [Line Items] | ||
Cash paid | 4,114 | |
Other assets acquired | 11,501 | |
Other liabilities assumed | 7,895 | |
Dividend | $508 |
Dividends_Details
Dividends (Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Dividends [Abstract] | ||
Dividends paid to parent, GWL&A Financial | $77,309 | $92,801 |
Summary_of_Investments_SOI_Fix
Summary of Investments - SOI Fixed Maturity AFS and non-credit OTTI in AOCI (Details) (USD $) | 3 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 | ||
Securities available-for-sale | ||||
Total fixed maturities | $17,002,708 | $18,953,144 | ||
Fixed maturities available-for-sale: | 18,367,667 | 20,162,078 | ||
Fixed maturities | ||||
Securities available-for-sale | ||||
Total fixed maturities | 17,002,708 | 18,953,144 | ||
Gross unrealized gains | 1,460,339 | 1,310,377 | ||
Gross unrealized losses | 95,380 | 101,443 | ||
Fixed maturities available-for-sale: | 18,367,667 | 20,162,078 | ||
OTTI (gain) loss included in AOCI | -94,752 | [1] | -99,016 | [1] |
U.S. government direct obligations and U.S. agencies | ||||
Securities available-for-sale | ||||
Total fixed maturities | 1,081,949 | 3,478,153 | ||
Gross unrealized gains | 74,740 | 70,597 | ||
Gross unrealized losses | 390 | 1,494 | ||
Fixed maturities available-for-sale: | 1,156,299 | 3,547,256 | ||
OTTI (gain) loss included in AOCI | 0 | [1] | 0 | [1] |
Obligations of U.S. states and their subdivisions | ||||
Securities available-for-sale | ||||
Total fixed maturities | 2,051,020 | 1,885,715 | ||
Gross unrealized gains | 311,136 | 287,668 | ||
Gross unrealized losses | 1,463 | 899 | ||
Fixed maturities available-for-sale: | 2,360,693 | 2,172,484 | ||
OTTI (gain) loss included in AOCI | 0 | [1] | 0 | [1] |
Foreign government securities | ||||
Securities available-for-sale | ||||
Total fixed maturities | 2,414 | 2,455 | ||
Gross unrealized gains | 0 | 0 | ||
Gross unrealized losses | 0 | 4 | ||
Fixed maturities available-for-sale: | 2,414 | 2,451 | ||
OTTI (gain) loss included in AOCI | 0 | [1] | 0 | [1] |
Corporate debt securities | ||||
Securities available-for-sale | ||||
Total fixed maturities | 11,536,443 | [2] | 11,258,517 | [3] |
Gross unrealized gains | 873,106 | [2] | 763,036 | [3] |
Gross unrealized losses | 79,718 | [2] | 82,104 | [3] |
Fixed maturities available-for-sale: | 12,329,831 | [2] | 11,939,449 | [3] |
OTTI (gain) loss included in AOCI | -2,329 | [1],[2] | -2,228 | [1],[3] |
Perpetual debt investments | ||||
Securities available-for-sale | ||||
Total fixed maturities | 157,742 | 157,742 | ||
Fixed maturities available-for-sale: | 129,358 | 131,799 | ||
Asset-backed securities | ||||
Securities available-for-sale | ||||
Total fixed maturities | 1,284,772 | 1,263,089 | ||
Gross unrealized gains | 151,734 | 149,152 | ||
Gross unrealized losses | 11,461 | 13,702 | ||
Fixed maturities available-for-sale: | 1,425,045 | 1,398,539 | ||
OTTI (gain) loss included in AOCI | -92,246 | [1] | -96,603 | [1] |
Residential mortgage-backed securities | ||||
Securities available-for-sale | ||||
Total fixed maturities | 157,318 | 167,793 | ||
Gross unrealized gains | 6,637 | 7,368 | ||
Gross unrealized losses | 1,509 | 1,932 | ||
Fixed maturities available-for-sale: | 162,446 | 173,229 | ||
OTTI (gain) loss included in AOCI | -177 | [1] | -185 | [1] |
Commercial mortgage-backed securities | ||||
Securities available-for-sale | ||||
Total fixed maturities | 878,942 | 886,748 | ||
Gross unrealized gains | 42,969 | 32,556 | ||
Gross unrealized losses | 839 | 1,099 | ||
Fixed maturities available-for-sale: | 921,072 | 918,205 | ||
OTTI (gain) loss included in AOCI | 0 | [1] | 0 | [1] |
Collateralized debt obligations | ||||
Securities available-for-sale | ||||
Total fixed maturities | 9,850 | 10,674 | ||
Gross unrealized gains | 17 | 0 | ||
Gross unrealized losses | 0 | 209 | ||
Fixed maturities available-for-sale: | 9,867 | 10,465 | ||
OTTI (gain) loss included in AOCI | $0 | [1] | $0 | [1] |
[1] | Indicates the amount of any OTTI (gain) loss included in AOCI that is included in gross unrealized gains and losses. OTTI (gain) loss included in AOCI, as presented above, includes both the initial recognition of non-credit losses and the effects of subsequent increases and decreases in estimated fair value for those fixed maturity securities with previous non-credit impairment. The non-credit loss component of OTTI (gain) loss was in an unrealized gain position due to increases in estimated fair value subsequent to initial recognition of non-credit losses on such securities. | |||
[2] | Includes perpetual debt investments with amortized cost of $157,742 and estimated fair value of $129,358. | |||
[3] | Includes perpetual debt investments with amortized cost of $157,742 and estimated fair value of $131,799. |
Summary_of_Investments_SOI_Fix1
Summary of Investments - SOI Fixed Maturity AFS aging (Details 2) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Amortized cost | ||
Maturing in one year or less | $658,867 | |
Maturing after one year through five years | 3,603,240 | |
Maturing after five years through ten years | 4,427,116 | |
Maturing after ten years | 5,245,378 | |
Mortgage-backed and asset-backed securities | 3,068,107 | |
Total fixed maturities | 17,002,708 | 18,953,144 |
Estimated fair value | ||
Maturing in one year or less | 689,902 | |
Maturing after one year through five years | 3,922,438 | |
Maturing after five years through ten years | 4,729,717 | |
Maturing after ten years | 5,739,031 | |
Mortgage-backed and asset-backed securities | 3,286,579 | |
Total fixed maturities | $18,367,667 | $20,162,078 |
Summary_of_Investments_SOI_AFS
Summary of Investments - SOI AFS Proceeds from sales (Details 2.1) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Investments, Debt and Equity Securities [Abstract] | ||
Proceeds from sales | $2,658,671 | $2,239,661 |
Gross realized gains from sales | 23,351 | 19,773 |
Gross realized losses from sales | $20 | $1,062 |
Summary_of_Investments_SOI_Mor
Summary of Investments - SOI Mortgage loans on real estate by component (Details 3) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Investments, Debt and Equity Securities [Abstract] | ||
Principal | $3,433,510 | $3,356,374 |
Unamortized premium (discount) and fees, net | 9,563 | 10,086 |
Mortgage provision allowance | -2,890 | -2,890 |
Total mortgage loans | $3,440,183 | $3,363,570 |
Summary_of_Investments_SOI_Mor1
Summary of Investments - SOI Mortgage provision allowance rollforward (Details 4) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Allowance ending balance by basis of impairment method: | ||
Collectively evaluated for impairment | $2,890 | $2,890 |
Mortgage Loans on Real Estate | ||
Recorded investment balance in the mortgage loan portfolio, gross of allowance, by basis of impairment method: | ||
Recorded investment balance in the mortgage loan portfolio, gross of allowance, by basis of impairment method: | 3,443,073 | 3,366,460 |
Individually evaluated for impairment | 12,878 | 12,986 |
Collectively evaluated for impairment | 3,430,195 | 3,353,474 |
Mortgage Loans on Real Estate | Performing Financing Receivable | ||
Recorded investment balance in the mortgage loan portfolio, gross of allowance, by basis of impairment method: | ||
Recorded investment balance in the mortgage loan portfolio, gross of allowance, by basis of impairment method: | $3,443,073 | $3,366,460 |
Summary_of_Investments_SOI_Ltd
Summary of Investments - SOI Ltd partnership Sec lending Special deposits (Details 5) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 |
Investments, Debt and Equity Securities [Abstract] | ||
Limited partnership and other corporation interests | $47,481 | $49,421 |
Interest in various upper-tier LIHLPs (as a percent) | 99.00% | |
Nature and activities of the VIEs and the effect on financial statements | ||
Carrying value in relation to the activities of the VIEs | 6,308 | 7,464 |
Maximum exposure to loss in relation to the activities of the VIEs | 6,308 | 7,464 |
Special deposits and securities lending | ||
Fair value of securities on deposit with governmental authorities | 14,785 | 14,612 |
Securities loaned to third parties at amortized cost | 169,739 | 15,252 |
Estimated fair value of securities loaned to third parties | 170,659 | 15,423 |
Restricted cash received as collateral | 89,906 | 13,741 |
Securities received as collateral | $85,137 | $2,131 |
Summary_of_Investments_SOI_Unr
Summary of Investments - SOI Unrealized losses fixed maturities AFS (Details 6) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 |
position | position | |
Fixed maturities | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Less than twelve months, Estimated fair value | $1,125,347 | $1,561,784 |
Less than twelve months, Unrealized loss and OTTI | 25,902 | 18,696 |
Twelve months or longer, Estimated fair value | 651,508 | 1,161,371 |
Twelve months or longer, Unrealized loss and OTTI | 69,478 | 82,747 |
Total Estimated fair value | 1,776,855 | 2,723,155 |
Total Unrealized losses and OTTI | 95,380 | 101,443 |
Additional disclosure | ||
Total number of securities in an unrealized loss position, Less than twelve months | 122 | 134 |
Total number of securities in an unrealized loss position, twelve months or longer | 89 | 153 |
Total number of securities in an unrealized loss position | 211 | 287 |
Increase (decrease) in total unrealized losses and other-than-temporary impairment losses | 6,063 | |
Decrease in total unrealized losses and other-than-temporary impairment losses (as a percent) | 6.00% | |
Increase (decrease) in greater than twelve months unrealized losses and other-than-temporary impairment losses | 13,269 | |
U.S. government direct obligations and U.S. agencies | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Less than twelve months, Estimated fair value | 46,293 | 566,335 |
Less than twelve months, Unrealized loss and OTTI | 65 | 503 |
Twelve months or longer, Estimated fair value | 26,592 | 74,322 |
Twelve months or longer, Unrealized loss and OTTI | 325 | 991 |
Total Estimated fair value | 72,885 | 640,657 |
Total Unrealized losses and OTTI | 390 | 1,494 |
Obligations of U.S. states and their subdivisions | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Less than twelve months, Estimated fair value | 162,763 | 18,280 |
Less than twelve months, Unrealized loss and OTTI | 1,214 | 218 |
Twelve months or longer, Estimated fair value | 807 | 41,064 |
Twelve months or longer, Unrealized loss and OTTI | 249 | 681 |
Total Estimated fair value | 163,570 | 59,344 |
Total Unrealized losses and OTTI | 1,463 | 899 |
Foreign government securities | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Less than twelve months, Estimated fair value | 2,451 | |
Less than twelve months, Unrealized loss and OTTI | 4 | |
Twelve months or longer, Estimated fair value | 0 | |
Twelve months or longer, Unrealized loss and OTTI | 0 | |
Total Estimated fair value | 2,451 | |
Total Unrealized losses and OTTI | 4 | |
Corporate debt securities | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Less than twelve months, Estimated fair value | 773,294 | 836,263 |
Less than twelve months, Unrealized loss and OTTI | 23,499 | 16,775 |
Twelve months or longer, Estimated fair value | 381,146 | 764,528 |
Twelve months or longer, Unrealized loss and OTTI | 56,219 | 65,329 |
Total Estimated fair value | 1,154,440 | 1,600,791 |
Total Unrealized losses and OTTI | 79,718 | 82,104 |
Additional disclosure | ||
Unrealized losses and OTTI over twelve months on securities (as a percent) | 81.00% | |
Corporate debt securities | Non-investment grade | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Twelve months or longer, Unrealized loss and OTTI | 10,420 | |
Perpetual debt investments | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Twelve months or longer, Unrealized loss and OTTI | 9,731 | |
Asset-backed securities | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Less than twelve months, Estimated fair value | 78,682 | 88,312 |
Less than twelve months, Unrealized loss and OTTI | 415 | 849 |
Twelve months or longer, Estimated fair value | 195,402 | 200,072 |
Twelve months or longer, Unrealized loss and OTTI | 11,046 | 12,853 |
Total Estimated fair value | 274,084 | 288,384 |
Total Unrealized losses and OTTI | 11,461 | 13,702 |
Additional disclosure | ||
Unrealized losses and OTTI over twelve months on securities (as a percent) | 16.00% | |
Residential mortgage-backed securities | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Less than twelve months, Estimated fair value | 3,945 | 4,663 |
Less than twelve months, Unrealized loss and OTTI | 10 | 11 |
Twelve months or longer, Estimated fair value | 22,622 | 24,052 |
Twelve months or longer, Unrealized loss and OTTI | 1,499 | 1,921 |
Total Estimated fair value | 26,567 | 28,715 |
Total Unrealized losses and OTTI | 1,509 | 1,932 |
Commercial mortgage-backed securities | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Less than twelve months, Estimated fair value | 60,370 | 35,015 |
Less than twelve months, Unrealized loss and OTTI | 699 | 127 |
Twelve months or longer, Estimated fair value | 24,939 | 57,333 |
Twelve months or longer, Unrealized loss and OTTI | 140 | 972 |
Total Estimated fair value | 85,309 | 92,348 |
Total Unrealized losses and OTTI | 839 | 1,099 |
Collateralized debt obligations | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Less than twelve months, Estimated fair value | 10,465 | |
Less than twelve months, Unrealized loss and OTTI | 209 | |
Twelve months or longer, Estimated fair value | 0 | |
Twelve months or longer, Unrealized loss and OTTI | 0 | |
Total Estimated fair value | 10,465 | |
Total Unrealized losses and OTTI | $209 |
Summary_of_Investments_SOI_OTT
Summary of Investments - SOI OTTI table (Details 7) (Fixed maturities, USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Fixed maturities | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ||
Beginning balance | $119,532 | $167,961 |
Initial impairments - credit loss on securities not previously impaired | 450 | 0 |
Reductions due to increases in cash flows expected to be collected that are recognized over the remaining life of the security | -4,329 | 0 |
Ending balance | $115,653 | $167,961 |
Derivative_Financial_Instrumen2
Derivative Financial Instruments (Details) (USD $) | 3 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 | ||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||
Aggregate fair value of derivative instruments with credit-risk-related contingent features, in case of net liability position | $102,046 | $141,653 | ||
Collateral related to the derivatives | 57,443 | 106,110 | ||
Fair value of assets required to settle the derivatives in, net liability position | 44,603 | |||
Amount of unrestricted cash collateral to counterparties in the normal course of business | 57,443 | 106,110 | ||
Cash collateral received | 13,176 | 791 | ||
Net derivative gains estimated to be reclassified from accumulated other comprehensive income (loss) into net income within the next twelve months | 7,128 | |||
Derivative financial instruments | ||||
Notional amount | 7,462,169 | 1,544,907 | ||
Net derivatives, Fair value | -21,008 | -100,983 | ||
Asset derivatives, Fair value | 81,692 | [1] | 35,604 | [1] |
Liability derivatives, Fair value | 102,700 | [1] | 136,587 | [1] |
Interest rate swaps | ||||
Derivative financial instruments | ||||
Average notional amount of the derivative instruments | 416,588 | 340,262 | ||
Other forward contracts | ||||
Derivative financial instruments | ||||
Average notional amount of the derivative instruments | 4,551,500 | 4,217,408 | ||
Cross-currency swaps | ||||
Derivative financial instruments | ||||
Average notional amount of the derivative instruments | 846,165 | 732,581 | ||
Future | ||||
Derivative financial instruments | ||||
Average notional amount of the derivative instruments | 20,570 | 21,702 | ||
Swaption | ||||
Derivative financial instruments | ||||
Average notional amount of the derivative instruments | 278,999 | 407,552 | ||
Derivatives designated as hedges: | ||||
Derivative financial instruments | ||||
Notional amount | 412,975 | 436,445 | ||
Net derivatives, Fair value | 35,540 | 21,574 | ||
Asset derivatives, Fair value | 35,799 | [1] | 24,526 | [1] |
Liability derivatives, Fair value | 259 | [1] | 2,952 | [1] |
Derivatives designated as hedges: | Cash flow hedges: | ||||
Derivative financial instruments | ||||
Notional amount | 370,425 | 358,445 | ||
Net derivatives, Fair value | 35,471 | 20,068 | ||
Asset derivatives, Fair value | 35,539 | [1] | 22,889 | [1] |
Liability derivatives, Fair value | 68 | [1] | 2,821 | [1] |
Derivatives designated as hedges: | Cash flow hedges: | Interest rate swaps | ||||
Derivative financial instruments | ||||
Notional amount | 184,200 | 184,200 | ||
Net derivatives, Fair value | 19,593 | 17,746 | ||
Asset derivatives, Fair value | 19,593 | [1] | 17,746 | [1] |
Liability derivatives, Fair value | 0 | [1] | 0 | [1] |
Derivatives designated as hedges: | Cash flow hedges: | Cross-currency swaps | ||||
Derivative financial instruments | ||||
Notional amount | 186,225 | 174,245 | ||
Net derivatives, Fair value | 15,878 | 2,322 | ||
Asset derivatives, Fair value | 15,946 | [1] | 5,143 | [1] |
Liability derivatives, Fair value | 68 | [1] | 2,821 | [1] |
Derivatives designated as hedges: | Fair value hedges: | ||||
Derivative financial instruments | ||||
Notional amount | 42,550 | 78,000 | ||
Net derivatives, Fair value | 69 | 1,506 | ||
Asset derivatives, Fair value | 260 | [1] | 1,637 | [1] |
Liability derivatives, Fair value | 191 | [1] | 131 | [1] |
Derivatives designated as hedges: | Fair value hedges: | Interest rate swaps | ||||
Derivative financial instruments | ||||
Notional amount | 42,550 | 78,000 | ||
Net derivatives, Fair value | 69 | 1,506 | ||
Asset derivatives, Fair value | 260 | [1] | 1,637 | [1] |
Liability derivatives, Fair value | 191 | [1] | 131 | [1] |
Derivatives not designated as hedges: | ||||
Derivative financial instruments | ||||
Notional amount | 7,049,194 | 1,108,462 | ||
Net derivatives, Fair value | -56,548 | -122,557 | ||
Asset derivatives, Fair value | 45,893 | [1] | 11,078 | [1] |
Liability derivatives, Fair value | 102,441 | [1] | 133,635 | [1] |
Derivatives not designated as hedges: | Interest rate swaps | ||||
Derivative financial instruments | ||||
Notional amount | 195,600 | 128,100 | ||
Net derivatives, Fair value | 7,206 | 4,402 | ||
Asset derivatives, Fair value | 10,527 | [1] | 6,246 | [1] |
Liability derivatives, Fair value | 3,321 | [1] | 1,844 | [1] |
Derivatives not designated as hedges: | Futures on equity indices | ||||
Derivative financial instruments | ||||
Notional amount | 5,932 | 5,505 | ||
Net derivatives, Fair value | 0 | 0 | ||
Asset derivatives, Fair value | 0 | [1] | 0 | [1] |
Liability derivatives, Fair value | 0 | [1] | 0 | [1] |
Derivatives not designated as hedges: | Interest rate futures | ||||
Derivative financial instruments | ||||
Notional amount | 10,883 | 17,958 | ||
Net derivatives, Fair value | 0 | 0 | ||
Asset derivatives, Fair value | 0 | [1] | 0 | [1] |
Liability derivatives, Fair value | 0 | [1] | 0 | [1] |
Derivatives not designated as hedges: | Interest rate swaptions | ||||
Derivative financial instruments | ||||
Notional amount | 243,344 | 293,964 | ||
Net derivatives, Fair value | 244 | 271 | ||
Asset derivatives, Fair value | 244 | [1] | 271 | [1] |
Liability derivatives, Fair value | 0 | [1] | ||
Derivatives not designated as hedges: | Other forward contracts | ||||
Derivative financial instruments | ||||
Notional amount | 5,930,500 | |||
Net derivatives, Fair value | 16,825 | |||
Asset derivatives, Fair value | 20,925 | [1] | ||
Liability derivatives, Fair value | 4,100 | [1] | ||
Derivatives not designated as hedges: | Cross-currency swaps | ||||
Derivative financial instruments | ||||
Notional amount | 662,935 | 662,935 | ||
Net derivatives, Fair value | -80,823 | -127,230 | ||
Asset derivatives, Fair value | 14,197 | [1] | 4,561 | [1] |
Liability derivatives, Fair value | $95,020 | [1] | $131,791 | [1] |
[1] | The estimated fair value excludes accrued income and expense. The estimated fair value of all derivatives in an asset position is reported within other assets and the estimated fair value of all derivatives in a liability position is reported within other liabilities in the condensed consolidated balance sheets. |
Derivative_Financial_Instrumen3
Derivative Financial Instruments (Details 2) (USD $) | 3 Months Ended | ||||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | ||
Derivatives not designated as hedging instruments | |||||
Gain (loss) on derivatives recognized in net income | $54,684 | ($29) | |||
Net investment income | |||||
Derivatives not designated as hedging instruments | |||||
Change in fair value of GLWB | 2,770 | 0 | |||
Policyholders' Funds | |||||
Derivatives not designated as hedging instruments | |||||
Embedded derivatives - GLWB | 9,177 | 6,407 | |||
Futures on equity indices | Net investment income | |||||
Derivatives not designated as hedging instruments | |||||
Gain (loss) on derivatives recognized in net income | 147 | [1] | 77 | [1] | |
Futures on equity indices | Realized investment gains (losses) | |||||
Derivatives not designated as hedging instruments | |||||
Gain (loss) on derivatives recognized in net income | -723 | -163 | |||
Interest rate swaps | Net investment income | |||||
Derivatives not designated as hedging instruments | |||||
Gain (loss) on derivatives recognized in net income | 2,822 | [1] | 1,109 | [1] | |
Interest rate futures | Net investment income | |||||
Derivatives not designated as hedging instruments | |||||
Gain (loss) on derivatives recognized in net income | -151 | [1] | -3 | [1] | |
Interest rate futures | Realized investment gains (losses) | |||||
Derivatives not designated as hedging instruments | |||||
Gain (loss) on derivatives recognized in net income | 135 | -24 | |||
Interest rate swaptions | Net investment income | |||||
Derivatives not designated as hedging instruments | |||||
Gain (loss) on derivatives recognized in net income | 910 | [1] | 202 | [1] | |
Interest rate swaptions | Realized investment gains (losses) | |||||
Derivatives not designated as hedging instruments | |||||
Gain (loss) on derivatives recognized in net income | -987 | -833 | |||
Other forward contracts | Net investment income | |||||
Derivatives not designated as hedging instruments | |||||
Gain (loss) on derivatives recognized in net income | 16,825 | [1] | -6,343 | [1] | |
Other forward contracts | Realized investment gains (losses) | |||||
Derivatives not designated as hedging instruments | |||||
Gain (loss) on derivatives recognized in net income | -9,340 | 7,581 | |||
Cross-currency swaps | Net investment income | |||||
Derivatives not designated as hedging instruments | |||||
Gain (loss) on derivatives recognized in net income | 45,046 | [1] | -1,632 | [1] | |
Cash flow hedges: | |||||
Effect of derivative instruments in the condensed consolidated statement of income | |||||
Gain (loss) recognized in OCI on derivatives (Effective portion) | 17,155 | 884 | |||
Gain (loss) reclassified from OCI into net income (Effective portion) | 2,258 | 580 | |||
Cash flow hedges: | Interest rate swaps | |||||
Effect of derivative instruments in the condensed consolidated statement of income | |||||
Gain (loss) recognized in OCI on derivatives (Effective portion) | 3,141 | 1,244 | |||
Cash flow hedges: | Interest rate swaps | Net investment income | |||||
Effect of derivative instruments in the condensed consolidated statement of income | |||||
Gain (loss) reclassified from OCI into net income (Effective portion) | 1,856 | [1] | 563 | [1] | |
Cash flow hedges: | Interest rate futures | |||||
Effect of derivative instruments in the condensed consolidated statement of income | |||||
Gain (loss) recognized in OCI on derivatives (Effective portion) | 0 | 0 | |||
Cash flow hedges: | Interest rate futures | Net investment income | |||||
Effect of derivative instruments in the condensed consolidated statement of income | |||||
Gain (loss) reclassified from OCI into net income (Effective portion) | -21 | [1] | 17 | [1] | |
Cash flow hedges: | Cross-currency swaps | |||||
Effect of derivative instruments in the condensed consolidated statement of income | |||||
Gain (loss) recognized in OCI on derivatives (Effective portion) | 14,014 | -360 | |||
Cash flow hedges: | Cross-currency swaps | Net investment income | |||||
Effect of derivative instruments in the condensed consolidated statement of income | |||||
Gain (loss) reclassified from OCI into net income (Effective portion) | 423 | [1] | 0 | [1] | |
Fair value hedges: | |||||
Effect of derivative instruments in the condensed consolidated statement of income | |||||
Gain (loss) on derivatives recognized in net income | -808 | -1,067 | |||
Gain (loss) on hedged assets recognized in net income | 813 | 1,067 | |||
Fair value hedges: | Interest rate swaps | Net investment income | |||||
Effect of derivative instruments in the condensed consolidated statement of income | |||||
Gain (loss) on derivatives recognized in net income | -1,438 | [1] | -1,067 | [1] | |
Gain (loss) on hedged assets recognized in net income | 1,443 | [1] | 1,067 | [1] | |
Fair value hedges: | Interest rate swaps | Realized investment gains (losses) | |||||
Effect of derivative instruments in the condensed consolidated statement of income | |||||
Gain (loss) on derivatives recognized in net income | 630 | [2] | 0 | [2] | |
Gain (loss) on hedged assets recognized in net income | ($630) | [2] | $0 | [2] | |
[1] | Net investment income. | ||||
[2] | Represents realized gains (losses) on closed positions recorded in realized investment gains (losses), net. |
Summary_of_Offsetting_Assets_a2
Summary of Offsetting Assets and Liabilities (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
Derivative instruments (assets) | ||||
Gross fair value of recognized assets | $68,382 | [1],[2] | $32,895 | [1],[3] |
Financial instruments | -45,795 | [1] | -32,595 | [1] |
Cash collateral received | 13,176 | [1] | 279 | [1] |
Net fair value | 9,411 | [1] | 21 | [1] |
Short-term reverse repurchase agreements | ||||
Gross fair value of recognized assets | 600,000 | [2],[4] | ||
Financial instruments | -600,000 | [4] | ||
Cash collateral received | 0 | [4] | ||
Net fair value | 0 | [4] | ||
Financial instruments (assets) | ||||
Gross fair value of recognized assets | 668,382 | [2] | ||
Financial instruments | -645,795 | |||
Cash collateral received | 13,176 | |||
Net fair value | 9,411 | |||
Derivatives instrument (liabilities) | ||||
Gross fair value of recognized assets/liabilities | 101,899 | [2],[5] | 140,655 | [3],[5] |
Financial Instruments | -45,795 | [5] | -32,595 | [5] |
Cash collateral received/(pledged) | -56,099 | [5] | -105,929 | [5] |
Net fair value | $5 | [5] | $2,131 | [5] |
[1] | The estimated fair value of derivative instrument assets is reported in other assets in the condensed consolidated balance sheets. The estimated fair value of derivative transactions entered into under ISDA master agreements include income and expense accruals. | |||
[2] | The gross fair value of derivative instrument and short-term reverse repurchase agreement assets are not netted against offsetting liabilities for presentation on the condensed consolidated balance sheets. | |||
[3] | The gross fair value of derivative instrument assets is not netted against offsetting liabilities for presentation on the condensed consolidated balance sheets. | |||
[4] | The estimated fair value of short-term reverse repurchase agreement assets is reported in short-term investments in the condensed consolidated balance sheets. The collateral is held by an independent third-party custodian under a tri-party agreement. | |||
[5] | The estimated fair value of derivative instrument liabilities is reported in other liabilities in the condensed consolidated balance sheets. Derivative transactions entered into under ISDA master agreements include income and expense accruals. |
Fair_Value_Measurements_Recurr
Fair Value Measurements - Recurring by FV hierarchy (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
Assets | ||||
Fixed maturities available-for-sale: | $18,367,667 | $20,162,078 | ||
Fixed maturities held-for-trading: | 129,752 | 338,543 | ||
Short-term investments | 2,434,626 | 263,501 | ||
Collateral under securities lending agreements | 89,906 | 13,741 | ||
Collateral under derivative counterparty collateral agreements | 57,443 | 106,110 | ||
Total derivative instruments | 81,692 | [1] | 35,604 | [1] |
Separate account assets | 28,611,411 | 27,718,844 | ||
Liabilities | ||||
Payable under securities lending agreements | 89,906 | 13,741 | ||
Collateral under derivative counterparty collateral agreements | 13,176 | 791 | ||
Total derivative instruments | 102,700 | [1] | 136,587 | [1] |
Separate account liabilities | 28,611,411 | 27,718,844 | ||
Derivative instruments designated as hedges: | ||||
Assets | ||||
Total derivative instruments | 35,799 | [1] | 24,526 | [1] |
Liabilities | ||||
Total derivative instruments | 259 | [1] | 2,952 | [1] |
Derivative instruments not designated as hedges: | ||||
Assets | ||||
Total derivative instruments | 45,893 | [1] | 11,078 | [1] |
Liabilities | ||||
Total derivative instruments | 102,441 | [1] | 133,635 | [1] |
Derivative instruments not designated as hedges: | Interest rate swaps | ||||
Assets | ||||
Total derivative instruments | 10,527 | [1] | 6,246 | [1] |
Liabilities | ||||
Total derivative instruments | 3,321 | [1] | 1,844 | [1] |
Derivative instruments not designated as hedges: | Interest rate swaptions | ||||
Assets | ||||
Total derivative instruments | 244 | [1] | 271 | [1] |
Liabilities | ||||
Total derivative instruments | 0 | [1] | ||
Derivative instruments not designated as hedges: | Cross-currency swaps | ||||
Assets | ||||
Total derivative instruments | 14,197 | [1] | 4,561 | [1] |
Liabilities | ||||
Total derivative instruments | 95,020 | [1] | 131,791 | [1] |
Derivative instruments not designated as hedges: | Other forward contracts | ||||
Assets | ||||
Total derivative instruments | 20,925 | [1] | ||
Liabilities | ||||
Total derivative instruments | 4,100 | [1] | ||
U.S. government direct obligations and U.S. agencies | ||||
Assets | ||||
Fixed maturities available-for-sale: | 1,156,299 | 3,547,256 | ||
Obligations of U.S. states and their subdivisions | ||||
Assets | ||||
Fixed maturities available-for-sale: | 2,360,693 | 2,172,484 | ||
Foreign government securities | ||||
Assets | ||||
Fixed maturities available-for-sale: | 2,414 | 2,451 | ||
Corporate debt securities | ||||
Assets | ||||
Fixed maturities available-for-sale: | 12,329,831 | [2] | 11,939,449 | [3] |
Asset-backed securities | ||||
Assets | ||||
Fixed maturities available-for-sale: | 1,425,045 | 1,398,539 | ||
Residential mortgage-backed securities | ||||
Assets | ||||
Fixed maturities available-for-sale: | 162,446 | 173,229 | ||
Commercial mortgage-backed securities | ||||
Assets | ||||
Fixed maturities available-for-sale: | 921,072 | 918,205 | ||
Collateralized debt obligations | ||||
Assets | ||||
Fixed maturities available-for-sale: | 9,867 | 10,465 | ||
Recurring basis | Quoted prices in active markets for identical assets (Level 1) | ||||
Assets | ||||
Short-term investments | 273,572 | 156,935 | ||
Collateral under securities lending agreements | 89,906 | 13,741 | ||
Collateral under derivative counterparty collateral agreements | 70,619 | 106,901 | ||
Separate account assets | 16,470,665 | 16,146,057 | ||
Total assets | 16,904,762 | 16,423,634 | ||
Liabilities | ||||
Payable under securities lending agreements | 89,906 | 13,741 | ||
Collateral under derivative counterparty collateral agreements | 13,176 | 791 | ||
Separate account liabilities | 36 | [4] | 15 | [4] |
Total liabilities | 103,118 | 14,547 | ||
Recurring basis | Significant other observable inputs (Level 2) | ||||
Assets | ||||
Fixed maturities available-for-sale: | 18,362,305 | 20,156,200 | ||
Fixed maturities held-for-trading: | 129,752 | 338,543 | ||
Short-term investments | 2,161,054 | 106,566 | ||
Total derivative instruments | 81,692 | 35,604 | ||
Separate account assets | 12,140,746 | 11,572,787 | ||
Total assets | 32,875,549 | 32,209,700 | ||
Liabilities | ||||
Total derivative instruments | 102,700 | 136,587 | ||
Separate account liabilities | 225,016 | [4] | 217,712 | [4] |
Total liabilities | 327,716 | 354,299 | ||
Recurring basis | Significant other observable inputs (Level 2) | Derivative instruments designated as hedges: | Interest rate swaps | ||||
Assets | ||||
Total derivative instruments | 19,853 | 19,383 | ||
Liabilities | ||||
Total derivative instruments | 191 | 131 | ||
Recurring basis | Significant other observable inputs (Level 2) | Derivative instruments designated as hedges: | Cross-currency swaps | ||||
Assets | ||||
Total derivative instruments | 15,946 | 5,143 | ||
Liabilities | ||||
Total derivative instruments | 68 | 2,821 | ||
Recurring basis | Significant other observable inputs (Level 2) | Derivative instruments not designated as hedges: | Interest rate swaps | ||||
Assets | ||||
Total derivative instruments | 10,527 | 6,246 | ||
Liabilities | ||||
Total derivative instruments | 3,321 | 1,844 | ||
Recurring basis | Significant other observable inputs (Level 2) | Derivative instruments not designated as hedges: | Interest rate swaptions | ||||
Assets | ||||
Total derivative instruments | 244 | 271 | ||
Recurring basis | Significant other observable inputs (Level 2) | Derivative instruments not designated as hedges: | Cross-currency swaps | ||||
Assets | ||||
Total derivative instruments | 14,197 | 4,561 | ||
Liabilities | ||||
Total derivative instruments | 95,020 | 131,791 | ||
Recurring basis | Significant other observable inputs (Level 2) | Derivative instruments not designated as hedges: | Other forward contracts | ||||
Assets | ||||
Total derivative instruments | 20,925 | |||
Liabilities | ||||
Total derivative instruments | 4,100 | |||
Recurring basis | Significant other observable inputs (Level 2) | U.S. government direct obligations and U.S. agencies | ||||
Assets | ||||
Fixed maturities available-for-sale: | 1,156,299 | 3,547,256 | ||
Fixed maturities held-for-trading: | 70,516 | 279,602 | ||
Recurring basis | Significant other observable inputs (Level 2) | Obligations of U.S. states and their subdivisions | ||||
Assets | ||||
Fixed maturities available-for-sale: | 2,360,693 | 2,172,484 | ||
Recurring basis | Significant other observable inputs (Level 2) | Foreign government securities | ||||
Assets | ||||
Fixed maturities available-for-sale: | 2,414 | 2,451 | ||
Recurring basis | Significant other observable inputs (Level 2) | Corporate debt securities | ||||
Assets | ||||
Fixed maturities available-for-sale: | 12,324,502 | 11,933,607 | ||
Fixed maturities held-for-trading: | 58,120 | 57,850 | ||
Recurring basis | Significant other observable inputs (Level 2) | Asset-backed securities | ||||
Assets | ||||
Fixed maturities available-for-sale: | 1,425,012 | 1,398,503 | ||
Recurring basis | Significant other observable inputs (Level 2) | Residential mortgage-backed securities | ||||
Assets | ||||
Fixed maturities available-for-sale: | 162,446 | 173,229 | ||
Recurring basis | Significant other observable inputs (Level 2) | Commercial mortgage-backed securities | ||||
Assets | ||||
Fixed maturities available-for-sale: | 921,072 | 918,205 | ||
Fixed maturities held-for-trading: | 1,116 | 1,091 | ||
Recurring basis | Significant other observable inputs (Level 2) | Collateralized debt obligations | ||||
Assets | ||||
Fixed maturities available-for-sale: | 9,867 | 10,465 | ||
Recurring basis | Fair Value, Inputs, Level 3 | ||||
Assets | ||||
Fixed maturities available-for-sale: | 5,362 | 5,878 | ||
Total assets | 5,362 | 5,878 | ||
Liabilities | ||||
Embedded derivatives - GLWB | 9,177 | 6,407 | ||
Total liabilities | 9,177 | 6,407 | ||
Recurring basis | Fair Value, Inputs, Level 3 | Corporate debt securities | ||||
Assets | ||||
Fixed maturities available-for-sale: | 5,329 | 5,842 | ||
Recurring basis | Fair Value, Inputs, Level 3 | Asset-backed securities | ||||
Assets | ||||
Fixed maturities available-for-sale: | 33 | 36 | ||
Recurring basis | Total | ||||
Assets | ||||
Fixed maturities available-for-sale: | 18,367,667 | 20,162,078 | ||
Fixed maturities held-for-trading: | 129,752 | 338,543 | ||
Short-term investments | 2,434,626 | 263,501 | ||
Collateral under securities lending agreements | 89,906 | 13,741 | ||
Collateral under derivative counterparty collateral agreements | 70,619 | 106,901 | ||
Total derivative instruments | 81,692 | 35,604 | ||
Separate account assets | 28,611,411 | 27,718,844 | ||
Total assets | 49,785,673 | 48,639,212 | ||
Liabilities | ||||
Payable under securities lending agreements | 89,906 | 13,741 | ||
Collateral under derivative counterparty collateral agreements | 13,176 | 791 | ||
Total derivative instruments | 102,700 | 136,587 | ||
Embedded derivatives - GLWB | 9,177 | 6,407 | ||
Separate account liabilities | 225,052 | [4] | 217,727 | [4] |
Total liabilities | 440,011 | 375,253 | ||
Recurring basis | Total | Derivative instruments designated as hedges: | Interest rate swaps | ||||
Assets | ||||
Total derivative instruments | 19,853 | 19,383 | ||
Liabilities | ||||
Total derivative instruments | 191 | 131 | ||
Recurring basis | Total | Derivative instruments designated as hedges: | Cross-currency swaps | ||||
Assets | ||||
Total derivative instruments | 15,946 | 5,143 | ||
Liabilities | ||||
Total derivative instruments | 68 | 2,821 | ||
Recurring basis | Total | Derivative instruments not designated as hedges: | Interest rate swaps | ||||
Assets | ||||
Total derivative instruments | 10,527 | 6,246 | ||
Liabilities | ||||
Total derivative instruments | 3,321 | 1,844 | ||
Recurring basis | Total | Derivative instruments not designated as hedges: | Interest rate swaptions | ||||
Assets | ||||
Total derivative instruments | 244 | 271 | ||
Recurring basis | Total | Derivative instruments not designated as hedges: | Cross-currency swaps | ||||
Assets | ||||
Total derivative instruments | 14,197 | 4,561 | ||
Liabilities | ||||
Total derivative instruments | 95,020 | 131,791 | ||
Recurring basis | Total | Derivative instruments not designated as hedges: | Other forward contracts | ||||
Assets | ||||
Total derivative instruments | 20,925 | |||
Liabilities | ||||
Total derivative instruments | 4,100 | |||
Recurring basis | Total | U.S. government direct obligations and U.S. agencies | ||||
Assets | ||||
Fixed maturities available-for-sale: | 1,156,299 | 3,547,256 | ||
Fixed maturities held-for-trading: | 70,516 | 279,602 | ||
Recurring basis | Total | Obligations of U.S. states and their subdivisions | ||||
Assets | ||||
Fixed maturities available-for-sale: | 2,360,693 | 2,172,484 | ||
Recurring basis | Total | Foreign government securities | ||||
Assets | ||||
Fixed maturities available-for-sale: | 2,414 | 2,451 | ||
Recurring basis | Total | Corporate debt securities | ||||
Assets | ||||
Fixed maturities available-for-sale: | 12,329,831 | 11,939,449 | ||
Fixed maturities held-for-trading: | 58,120 | 57,850 | ||
Recurring basis | Total | Asset-backed securities | ||||
Assets | ||||
Fixed maturities available-for-sale: | 1,425,045 | 1,398,539 | ||
Recurring basis | Total | Residential mortgage-backed securities | ||||
Assets | ||||
Fixed maturities available-for-sale: | 162,446 | 173,229 | ||
Recurring basis | Total | Commercial mortgage-backed securities | ||||
Assets | ||||
Fixed maturities available-for-sale: | 921,072 | 918,205 | ||
Fixed maturities held-for-trading: | 1,116 | 1,091 | ||
Recurring basis | Total | Collateralized debt obligations | ||||
Assets | ||||
Fixed maturities available-for-sale: | $9,867 | $10,465 | ||
[1] | The estimated fair value excludes accrued income and expense. The estimated fair value of all derivatives in an asset position is reported within other assets and the estimated fair value of all derivatives in a liability position is reported within other liabilities in the condensed consolidated balance sheets. | |||
[2] | Includes perpetual debt investments with amortized cost of $157,742 and estimated fair value of $129,358. | |||
[3] | Includes perpetual debt investments with amortized cost of $157,742 and estimated fair value of $131,799. | |||
[4] | Includes only separate account instruments which are carried at the fair value of the underlying liabilities owned by the separate accounts |
Fair_Value_Measurements_Recurr1
Fair Value Measurements - Recurring basis Level 3 rollforward (Details 2) (Recurring basis, Level 3, USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Recurring Level 3 financial assets and liabilities | ||
Balance at the beginning of the period | $5,878 | $259,642 |
Net income (loss) | 0 | |
Other comprehensive income (loss) | -28 | 6,868 |
Settlements | -488 | -13,933 |
Balance at the end of the period | 5,362 | 252,577 |
Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets held | 0 | 0 |
Fixed maturities available-for-sale, Corporate debt securities | ||
Recurring Level 3 financial assets and liabilities | ||
Balance at the beginning of the period | 5,842 | 6,652 |
Net income (loss) | 0 | |
Other comprehensive income (loss) | -28 | 58 |
Settlements | -485 | -187 |
Balance at the end of the period | 5,329 | 6,523 |
Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets held | 0 | 0 |
Fixed maturities available-for-sale, Asset-backed securities | ||
Recurring Level 3 financial assets and liabilities | ||
Balance at the beginning of the period | 36 | 252,958 |
Net income (loss) | 0 | |
Other comprehensive income (loss) | 0 | 6,813 |
Settlements | -3 | -13,746 |
Balance at the end of the period | 33 | 246,025 |
Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets held | 0 | 0 |
Fixed maturities available-for-sale, Collateralized debt obligations | ||
Recurring Level 3 financial assets and liabilities | ||
Balance at the beginning of the period | 0 | 32 |
Net income (loss) | 0 | |
Other comprehensive income (loss) | 0 | -3 |
Settlements | 0 | 0 |
Balance at the end of the period | 0 | 29 |
Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets held | 0 | 0 |
Embedded Derivative Financial Instruments | ||
Recurring Level 3 financial assets and liabilities | ||
Balance at the beginning of the period | 6,407 | 0 |
Net income (loss) | 2,770 | |
Other comprehensive income (loss) | 0 | 0 |
Settlements | 0 | 0 |
Balance at the end of the period | 9,177 | 0 |
Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets held | $2,770 | $0 |
Fair_Value_Measurements_Level_
Fair Value Measurements - Level 3 unobservable inputs (Details 3) (Recurring basis, Level 3, USD $) | 3 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 |
Significant unobservable inputs used during the valuation of assets categorized within Level 3 of the recurring fair value measurements table | ||
Embedded derivatives - GLWB | 9,177 | 6,407 |
Internal model pricing | ||
Significant unobservable inputs used during the valuation of assets categorized within Level 3 of the recurring fair value measurements table | ||
Embedded derivatives - GLWB | 9,177 | 6,407 |
Internal model pricing | Minimum | ||
Unobservable Input | ||
Equity Volatility | 15.00% | 15.00% |
Swap Curve | 0.80% | 0.44% |
Lapse Rate | 1.00% | 1.00% |
Internal model pricing | Maximum | ||
Unobservable Input | ||
Equity Volatility | 28.00% | 28.00% |
Swap Curve | 2.50% | 2.70% |
Lapse Rate | 12.00% | 12.00% |
Fair_Value_Measurements_Nonrec
Fair Value Measurements - Non-recurring measurement (Details 4) (Fair Value, Measurements, Nonrecurring, Level 3, USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
Fair Value, Measurements, Nonrecurring | Level 3 | ||
Carrying amounts and estimated fair values of the financial instruments | ||
Limited partnership interests | $0 | $9,242,000 |
Fair_Value_Measurements_Recurr2
Fair Value Measurements - Recurring not carried at FV (Details 5) (USD $) | 3 Months Ended | |
Mar. 31, 2015 | Dec. 31, 2014 | |
Assets | ||
Mortgage loans on real estate | $3,440,183,000 | $3,363,570,000 |
Policy loans | 4,125,285,000 | 4,130,062,000 |
Liabilities | ||
Policyholders’ funds | 296,602,000 | 335,484,000 |
Commercial paper | 89,989,000 | 98,589,000 |
Policyholders' funds, Notice required to change policyholders' funds interest crediting rate (in days) | 30 days | |
Minimum | ||
Liabilities | ||
Limited partnership interests, Estimated liquidation period of underlying assets of the funds | 1 year | |
Maximum | ||
Liabilities | ||
Limited partnership interests, Estimated liquidation period of underlying assets of the funds | 10 years | |
Fair Value, Inputs, Level 2 | Carrying amount | ||
Assets | ||
Mortgage loans on real estate | 3,440,183,000 | 3,363,570,000 |
Policy loans | 4,125,285,000 | 4,130,062,000 |
Other investments | 15,021,000 | 15,614,000 |
Liabilities | ||
Annuity contract benefits without life contingencies | 10,556,269,000 | 10,569,147,000 |
Policyholders’ funds | 296,602,000 | 335,484,000 |
Commercial paper | 89,989,000 | 98,589,000 |
Notes payable | 541,812,000 | 532,547,000 |
Fair Value, Inputs, Level 2 | Estimated fair value | ||
Assets | ||
Mortgage loans on real estate | 3,682,669,000 | 3,558,111,000 |
Policy loans | 4,125,285,000 | 4,130,062,000 |
Other investments | 44,591,000 | 43,263,000 |
Liabilities | ||
Annuity contract benefits without life contingencies | 10,774,463,000 | 10,563,477,000 |
Policyholders’ funds | 296,602,000 | 335,484,000 |
Commercial paper | 89,989,000 | 98,589,000 |
Notes payable | 591,782,000 | 564,904,000 |
Fair Value, Inputs, Level 3 | Carrying amount | ||
Assets | ||
Limited partnership interests | 37,876,000 | 38,796,000 |
Fair Value, Inputs, Level 3 | Estimated fair value | ||
Assets | ||
Limited partnership interests | $41,147,000 | $41,853,000 |
Other_Comprehensive_Income_Det
Other Comprehensive Income (Details) (USD $) | 3 Months Ended | |||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | ||
Other Comprehensive Income [Roll Forward] | ||||
Balance at the beginning of the period | $603,018 | $345,754 | ||
Other comprehensive income (loss) before reclassifications | 105,996 | 165,708 | ||
Amounts reclassified from AOCI | -17,877 | -14,442 | ||
Other comprehensive income (loss) | 88,119 | [1] | 151,266 | [1] |
Balance at the end of the period | 691,137 | 497,020 | ||
Unrealized holding gains / losses arising on fixed maturities, available-for- sale | ||||
Other Comprehensive Income [Roll Forward] | ||||
Balance at the beginning of the period | 784,183 | 434,023 | ||
Other comprehensive income (loss) before reclassifications | 117,894 | 202,344 | ||
Amounts reclassified from AOCI | -18,316 | -14,065 | ||
Other comprehensive income (loss) | 99,578 | 188,279 | ||
Balance at the end of the period | 883,761 | 622,302 | ||
Unrealized holding gains / losses arising on cash flow hedges | ||||
Other Comprehensive Income [Roll Forward] | ||||
Balance at the beginning of the period | 33,141 | 25,517 | ||
Other comprehensive income (loss) before reclassifications | 11,151 | 575 | ||
Amounts reclassified from AOCI | -1,468 | -377 | ||
Other comprehensive income (loss) | 9,683 | 198 | ||
Balance at the end of the period | 42,824 | 25,715 | ||
Future policy benefits, DAC and VOBA adjustments | ||||
Other Comprehensive Income [Roll Forward] | ||||
Balance at the beginning of the period | -108,194 | -70,000 | ||
Other comprehensive income (loss) before reclassifications | -22,834 | -37,211 | ||
Amounts reclassified from AOCI | 0 | 0 | ||
Other comprehensive income (loss) | -22,834 | -37,211 | ||
Balance at the end of the period | -131,028 | -107,211 | ||
Employee benefit plan adjustment | ||||
Other Comprehensive Income [Roll Forward] | ||||
Balance at the beginning of the period | -106,112 | -43,786 | ||
Other comprehensive income (loss) before reclassifications | -215 | 0 | ||
Amounts reclassified from AOCI | 1,907 | 0 | ||
Other comprehensive income (loss) | 1,692 | 0 | ||
Balance at the end of the period | ($104,420) | ($43,786) | ||
[1] | Other comprehensive income includes the non-credit component of impaired gains (losses), net, on fixed maturities available-for-sale in the amounts of $(2,543) and $1,772 for the three months ended March 31, 2015 and 2014, respectively. |
Other_Comprehensive_Income_Det1
Other Comprehensive Income (Details 2) (USD $) | 3 Months Ended | |||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | ||
Before-tax amount | ||||
Unrealized holding gains (losses) arising during the period on available-for-sale fixed maturity investments | $181,375 | $311,298 | ||
Unrealized holding gains (losses) arising during the period on cash flow hedges | 17,155 | 884 | ||
Reclassification adjustment for (gains) losses realized in net income | -30,437 | -22,218 | ||
Net unrealized gains (losses) related to investments | 168,093 | 289,964 | ||
Future policy benefits, DAC and VOBA adjustments | -35,129 | -57,248 | ||
Net unrealized gains (losses) | 132,964 | 232,716 | ||
Employee benefit plan adjustment | 2,603 | 0 | ||
Other comprehensive income before income taxes | 135,567 | 232,716 | ||
Tax (expense) benefit | ||||
Unrealized holding gains (losses) arising during the period on available-for-sale fixed maturity investments | -63,481 | -108,954 | ||
Unrealized holding gains (losses) arising during the period on cash flow hedges | -6,004 | -309 | ||
Reclassification adjustment for (gains) losses realized in net income | 10,653 | 7,776 | ||
Net unrealized gains (losses) | -58,832 | -101,487 | ||
Future policy benefits, DAC and VOBA adjustments | 12,295 | 20,037 | ||
Net unrealized gains (losses) | -46,537 | -81,450 | ||
Employee benefit plan adjustment | -911 | |||
Other comprehensive income (loss) | -47,448 | -81,450 | ||
Net-of-tax amount | ||||
Unrealized holding gains (losses) arising during the period on available-for-sale fixed maturity investments | 117,894 | 202,344 | ||
Unrealized holding gains (losses) arising during the period on cash flow hedges | 11,151 | 575 | ||
Reclassification adjustment for (gains) losses realized in net income | -19,784 | -14,442 | ||
Net unrealized gains (losses) | 109,261 | 188,477 | ||
Future policy benefits, DAC and VOBA adjustments | -22,834 | -37,211 | ||
Net unrealized gains (losses) | 86,427 | 151,266 | ||
Employee benefit plan adjustment | 1,692 | |||
Other comprehensive income (loss) | $88,119 | [1] | $151,266 | [1] |
[1] | Other comprehensive income includes the non-credit component of impaired gains (losses), net, on fixed maturities available-for-sale in the amounts of $(2,543) and $1,772 for the three months ended March 31, 2015 and 2014, respectively. |
Other_Comprehensive_Income_Det2
Other Comprehensive Income (Details 3) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | |
Reclassifications out of accumulated other comprehensive income (loss) | |||
Other realized investment (gains) losses, net | ($18,650) | ($27,597) | |
Net investment income | -358,856 | -300,023 | |
Prior service costs (benefits) | -181 | -180 | |
Actuarial losses (gains) | 3,115 | 607 | |
Tax expense or benefit | -10,653 | -7,776 | |
Net of tax | -17,877 | -14,442 | |
Amount reclassified from accumulated other comprehensive income (loss) | |||
Reclassifications out of accumulated other comprehensive income (loss) | |||
Net of tax | -17,877 | -14,442 | |
Unrealized holding (gains) losses, net, arising on fixed maturities, available-for-sale | |||
Reclassifications out of accumulated other comprehensive income (loss) | |||
Net of tax | -18,316 | -14,065 | |
Unrealized holding (gains) losses, net, arising on fixed maturities, available-for-sale | Amount reclassified from accumulated other comprehensive income (loss) | |||
Reclassifications out of accumulated other comprehensive income (loss) | |||
Other realized investment (gains) losses, net | -28,179 | -21,638 | |
Total before tax | -28,179 | -21,638 | |
Tax expense or benefit | -9,863 | -7,573 | |
Net of tax | -18,316 | -14,065 | |
Unrealized holding (gains) losses, net, arising on cash flow hedges | |||
Reclassifications out of accumulated other comprehensive income (loss) | |||
Net of tax | -1,468 | -377 | |
Unrealized holding (gains) losses, net, arising on cash flow hedges | Amount reclassified from accumulated other comprehensive income (loss) | |||
Reclassifications out of accumulated other comprehensive income (loss) | |||
Net investment income | -2,258 | -580 | |
Total before tax | -2,258 | -580 | |
Tax expense or benefit | -790 | -203 | |
Net of tax | -1,468 | -377 | |
Amortization of employee benefit plan items | |||
Reclassifications out of accumulated other comprehensive income (loss) | |||
Net of tax | 1,907 | 0 | |
Amortization of employee benefit plan items | Amount reclassified from accumulated other comprehensive income (loss) | |||
Reclassifications out of accumulated other comprehensive income (loss) | |||
Prior service costs (benefits) | -181 | [1] | 0 |
Actuarial losses (gains) | 3,115 | [1] | 0 |
Total before tax | 2,934 | 0 | |
Tax expense or benefit | 1,027 | 0 | |
Net of tax | $1,907 | $0 | |
[1] | These accumulated other comprehensive income components are included in the computation of net periodic (benefit) cost of employee benefit plans (see Note 10 for additional details). |
Employee_Benefit_Plans_Details
Employee Benefit Plans (Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Components of net periodic cost (benefit): | ||
Service cost | $1,843 | $1,585 |
Interest cost | 6,654 | 6,565 |
Expected return on plan assets | -7,087 | -7,319 |
Amortization of unrecognized prior service costs (benefits) | -181 | -180 |
Amortization of losses (gains) from earlier periods | 3,115 | 607 |
Net periodic cost (benefit) | 4,344 | 1,258 |
Defined Benefit Pension Plan | ||
Components of net periodic cost (benefit): | ||
Service cost | 1,509 | 1,174 |
Interest cost | 5,997 | 5,738 |
Expected return on plan assets | -7,087 | -7,319 |
Amortization of unrecognized prior service costs (benefits) | 3 | 13 |
Amortization of losses (gains) from earlier periods | 3,106 | 645 |
Net periodic cost (benefit) | 3,528 | 251 |
Expected Employer contribution for the year | 0 | |
Payments to plan | 0 | 2,024 |
Post-Retirement Medical Plan | ||
Components of net periodic cost (benefit): | ||
Service cost | 264 | 206 |
Interest cost | 126 | 130 |
Expected return on plan assets | 0 | 0 |
Amortization of unrecognized prior service costs (benefits) | -417 | -426 |
Amortization of losses (gains) from earlier periods | -157 | -130 |
Net periodic cost (benefit) | -184 | -220 |
Expected Employer contribution for the year | 533 | |
Payments to plan | 133 | 131 |
Supplemental Executive Retirement Plan | ||
Components of net periodic cost (benefit): | ||
Service cost | 70 | 205 |
Interest cost | 531 | 697 |
Expected return on plan assets | 0 | 0 |
Amortization of unrecognized prior service costs (benefits) | 233 | 233 |
Amortization of losses (gains) from earlier periods | 166 | 92 |
Net periodic cost (benefit) | 1,000 | 1,227 |
Expected Employer contribution for the year | 4,825 | |
Payments to plan | $2,335 | $908 |
Income_Taxes_Details
Income Taxes (Details) (USD $) | 3 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | |
Investments, Owned, Federal Income Tax Note [Line Items] | ||
Current | $28,094,000 | $31,044,000 |
Deferred | 23,802,000 | 19,310,000 |
Total income tax provision | 51,896,000 | 50,354,000 |
Reconciliation between the statutory federal income tax rate and the effective income tax rate from continuing operations | ||
Statutory federal income tax rate | 35.00% | 35.00% |
Investment income not subject to federal tax | -2.00% | -2.10% |
Tax credits | -0.20% | -0.20% |
State income taxes, net of federal benefit | 1.30% | 1.50% |
Other, net | 0.40% | 0.50% |
Effective income tax rate | 34.50% | 34.70% |
Reconciliation of unrecognized tax benefits | ||
Amount of unrecognized tax benefits if recognized, would impact the annual effective tax rate | 2,695,000 | 1,992,000 |
Minimum | ||
Reconciliation of unrecognized tax benefits | ||
Additional increase to unrecognized tax benefits | 4,000,000 | |
Maximum | ||
Reconciliation of unrecognized tax benefits | ||
Additional increase to unrecognized tax benefits | $5,000,000 |
Segment_Information_Details
Segment Information (Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
segment | ||
Financial information of the segments | ||
Number of reportable segments | 3 | |
Revenues | ||
Premium income | $145,703 | $131,854 |
Fee income | 225,277 | 166,513 |
Other revenue | 1,820 | 0 |
Net investment income | 358,856 | 300,023 |
Realized investment gains (losses), net | 18,200 | 26,909 |
Total revenues | 749,856 | 625,299 |
Benefits and expenses: | ||
Policyholder benefits | 327,671 | 306,379 |
Operating expenses | 271,677 | 173,815 |
Total benefits and expenses | 599,348 | 480,194 |
Income (loss) before income taxes | 150,508 | 145,105 |
Income tax expense | 51,896 | 50,354 |
Net income | 98,612 | 94,751 |
Individual Markets | ||
Revenues | ||
Premium income | 124,962 | 112,777 |
Fee income | 21,502 | 23,630 |
Other revenue | 0 | |
Net investment income | 217,653 | 185,520 |
Realized investment gains (losses), net | 8,400 | 6,735 |
Total revenues | 372,517 | 328,662 |
Benefits and expenses: | ||
Policyholder benefits | 256,323 | 238,997 |
Operating expenses | 35,941 | 35,338 |
Total benefits and expenses | 292,264 | 274,335 |
Income (loss) before income taxes | 80,253 | 54,327 |
Income tax expense | 28,222 | 18,965 |
Net income | 52,031 | 35,362 |
Empower Retirement | ||
Revenues | ||
Premium income | 0 | 572 |
Fee income | 202,821 | 141,881 |
Other revenue | 1,820 | |
Net investment income | 127,730 | 101,174 |
Realized investment gains (losses), net | 9,800 | 20,154 |
Total revenues | 342,171 | 263,781 |
Benefits and expenses: | ||
Policyholder benefits | 49,045 | 48,480 |
Operating expenses | 221,030 | 123,986 |
Total benefits and expenses | 270,075 | 172,466 |
Income (loss) before income taxes | 72,096 | 91,315 |
Income tax expense | 24,380 | 31,310 |
Net income | 47,716 | 60,005 |
Other | ||
Revenues | ||
Premium income | 20,741 | 18,505 |
Fee income | 954 | 1,002 |
Other revenue | 0 | |
Net investment income | 13,473 | 13,329 |
Realized investment gains (losses), net | 0 | 20 |
Total revenues | 35,168 | 32,856 |
Benefits and expenses: | ||
Policyholder benefits | 22,303 | 18,902 |
Operating expenses | 14,706 | 14,491 |
Total benefits and expenses | 37,009 | 33,393 |
Income (loss) before income taxes | -1,841 | -537 |
Income tax expense | -706 | 79 |
Net income | ($1,135) | ($616) |
Commitments_and_Contingencies_
Commitments and Contingencies (Details) (USD $) | 3 Months Ended | |
Mar. 31, 2015 | Dec. 31, 2014 | |
Commitments | ||
Unfunded commitments, due in one year | $224,055,000 | $166,356,000 |
Unfunded commitments related to cost basis limited partnership interests, due in one year | 5,066,000 | 4,997,000 |
Unfavorable Regulatory Action | ||
Commitments | ||
Potential exposure | 21,000,000 | |
Insurance Claims | ||
Commitments | ||
Demand letter | 20,000,000 | |
GWL&A Financial Inc. | ||
Commitments | ||
Number of letters of credit obtained for the benefit of related party | 2 | |
Revolving credit facility | ||
Commitments | ||
Amount of credit facility under agreement for general corporate purposes | 50,000,000 | |
Adjusted net worth required for each quarter | 1,100,000,000 | |
Amount outstanding | 0 | 0 |
First letter of credit | ||
Commitments | ||
Amount of credit facility under agreement for general corporate purposes | 1,168,810,000 | |
Second letter of credit | ||
Commitments | ||
Amount of credit facility under agreement for general corporate purposes | 70,000,000 | |
First and Second Letters of Credit | ||
Commitments | ||
Amount outstanding | 0 | 0 |
Other Letters of Credit | ||
Commitments | ||
Amount of credit facility under agreement for general corporate purposes | 9,095,000 | |
Amount outstanding | $0 | $0 |
Subsequent_Event_Details
Subsequent Event (Details) (Subsequent event, GWL&A Financial, USD $) | 1-May-15 |
In Thousands, unless otherwise specified | |
Subsequent event | GWL&A Financial | |
Subsequent event | |
Dividend declared to be paid to the sole shareholder, GWL&A Financial | $34,801 |