Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2016 | May. 01, 2016 | |
Document and Entity Information | ||
Entity Registrant Name | GREAT WEST LIFE & ANNUITY INSURANCE CO | |
Entity Central Index Key | 744,455 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Document Type | 10-Q | |
Document Period End Date | Mar. 31, 2016 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q1 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 7,232,986 |
Condensed Consolidated Balance
Condensed Consolidated Balance Sheets - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Investments: | ||
Fixed maturities, available-for-sale, at fair value (amortized cost $19,884,469 and $20,007,462) | $ 20,838,179 | $ 20,531,627 |
Fixed maturities, held-for-trading, at fair value (amortized cost $553,871 and $612,899) | 569,611 | 615,839 |
Mortgage loans on real estate (net of allowances of $2,882 and $2,890) | 3,275,312 | 3,247,704 |
Policy loans | 4,069,236 | 4,092,661 |
Short-term investments (amortized cost $808,515 and $267,026) | 808,515 | 267,026 |
Limited partnership and other corporation interests | 37,077 | 40,980 |
Other investments | 14,974 | 15,189 |
Total investments | 29,612,904 | 28,811,026 |
Other assets: | ||
Cash | 18,708 | 34,362 |
Reinsurance receivable | 609,377 | 604,946 |
Deferred acquisition costs (“DAC”) and value of business acquired (“VOBA”) | 391,883 | 414,143 |
Investment income due and accrued | 316,742 | 283,183 |
Collateral under securities lending agreements | 107,654 | 0 |
Due from parent and affiliates | 78,570 | 62,596 |
Goodwill | 137,683 | 137,683 |
Other intangible assets | 22,846 | 23,819 |
Other assets | 938,940 | 874,918 |
Assets of discontinued operations | 19,951 | 21,910 |
Separate account assets | 27,239,781 | 26,631,193 |
Total assets | 59,495,039 | 57,899,779 |
Policy benefit liabilities: | ||
Future policy benefits | 27,591,907 | 27,110,981 |
Policy and contract claims | 364,276 | 354,899 |
Policyholders’ funds | 262,651 | 299,577 |
Provision for policyholders’ dividends | 54,060 | 55,481 |
Undistributed earnings on participating business | 19,768 | 17,024 |
Total policy benefit liabilities | 28,292,662 | 27,837,962 |
General liabilities: | ||
Due to parent and affiliates | 544,988 | 540,310 |
Commercial paper | 99,171 | 93,371 |
Payable under securities lending agreements | 107,654 | 0 |
Deferred income tax liabilities, net | 272,504 | 137,116 |
Other liabilities | 783,609 | 755,651 |
Liabilities of discontinued operations | 19,951 | 21,910 |
Separate account liabilities | 27,239,781 | 26,631,193 |
Total liabilities | $ 57,360,320 | $ 56,017,513 |
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; 7,232,986 shares issued and outstanding | 7,233 | 7,233 |
Additional paid-in capital | 841,549 | 840,874 |
Accumulated other comprehensive income | 459,991 | 233,438 |
Retained earnings | 825,946 | 800,721 |
Total stockholder’s equity | 2,134,719 | 1,882,266 |
Total liabilities and stockholder’s equity | $ 59,495,039 | $ 57,899,779 |
Condensed Consolidated Balance3
Condensed Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Statement of Financial Position [Abstract] | ||
Fixed maturities, available-for-sale, amortized cost (in dollars) | $ 19,884,469 | $ 20,007,462 |
Fixed maturities, held for trading, amortized cost (in dollars) | 553,871 | 612,899 |
Mortgage loans on real estate, allowances (in dollars) | 2,882 | 2,890 |
Short-term investments, available-for-sale, amortized cost (in dollars) | $ 808,515 | $ 267,026 |
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 | 7,232,986 | 7,232,986 |
Common stock, number of shares outstanding | 7,232,986 | 7,232,986 |
Condensed Consolidated Statemen
Condensed Consolidated Statements of Income - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Revenues: | ||
Premium income | $ 154,927 | $ 145,703 |
Fee income | 225,067 | 225,277 |
Other revenue | 3,149 | 1,820 |
Net investment income | 331,785 | 358,856 |
Realized investment gains (losses), net: | ||
Total other-than-temporary gains (losses), net | (536) | (558) |
Other-than-temporary (gains) losses, net, transferred to other comprehensive income (loss) | 0 | 108 |
Other realized investment gains (losses), net | 31,806 | 18,650 |
Total realized investment gains (losses), net | 31,270 | 18,200 |
Total revenues | 746,198 | 749,856 |
Benefits and expenses: | ||
Life and other policy benefits | 186,636 | 149,539 |
(Decrease) increase in future policy benefits | (14,015) | 17,351 |
Interest credited or paid to contractholders | 148,310 | 142,891 |
Provision for policyholders’ share of losses on participating business | (169) | (451) |
Dividends to policyholders | 15,981 | 18,341 |
Total benefits | 336,743 | 327,671 |
General insurance expenses | 276,528 | 244,484 |
Amortization of DAC and VOBA | 539 | 17,556 |
Interest expense | 9,724 | 9,637 |
Total benefits and expenses | 623,534 | 599,348 |
Income before income taxes | 122,664 | 150,508 |
Income tax expense | 24,038 | 51,896 |
Net income | $ 98,626 | $ 98,612 |
Condensed Consolidated Stateme5
Condensed Consolidated Statements of Comprehensive Income - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Statement of Comprehensive Income [Abstract] | |||
Net income | $ 98,626 | $ 98,612 | |
Components of other comprehensive income | |||
Unrealized holding gains (losses), net, arising on available-for-sale fixed maturity investments | 446,610 | 181,375 | |
Unrealized holding gains (losses), net, arising on cash flow hedges | (1,604) | 17,155 | |
Reclassification adjustment for (gains) losses, net, realized in net income | (22,456) | (30,437) | |
Net unrealized gains (losses) related to investments | 422,550 | 168,093 | |
Future policy benefits, DAC and VOBA adjustments | (76,240) | (35,129) | |
Employee benefit plan adjustment | 2,234 | 2,603 | |
Other comprehensive income before income taxes | 348,544 | 135,567 | |
Income tax expense related to items of other comprehensive income | 121,991 | 47,448 | |
Other comprehensive income (loss) | [1] | 226,553 | 88,119 |
Total comprehensive income | 325,179 | 186,731 | |
Non-credit component of impaired gains on fixed maturities available-for-sale | $ (1,895) | $ (2,543) | |
[1] | Other comprehensive income includes the non-credit component of impaired gains (losses), net, on fixed maturities available-for-sale in the amounts of $(1,895) and $(2,543) for the three months ended March 31, 2016, and 2015, respectively. |
Condensed Consolidated Stateme6
Condensed Consolidated Statements of Stockholder's Equity - USD ($) $ in Thousands | Total | Common stock | Additional paid-in capital | Accumulated other comprehensive income | Retained earnings | |
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/loss, 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 | |
Beginning balance at Dec. 31, 2015 | 1,882,266 | 7,233 | 840,874 | 233,438 | 800,721 | |
Increase (Decrease) in Stockholder's Equity | ||||||
Net income | 98,626 | 98,626 | ||||
Other comprehensive income/loss, net of income taxes | 226,553 | [1] | 226,553 | |||
Dividends | (73,401) | (73,401) | ||||
Capital contribution - stock-based compensation | 534 | 534 | ||||
Income tax benefit on stock-based compensation | 141 | 141 | ||||
Ending balance at Mar. 31, 2016 | $ 2,134,719 | $ 7,233 | $ 841,549 | $ 459,991 | $ 825,946 | |
[1] | Other comprehensive income includes the non-credit component of impaired gains (losses), net, on fixed maturities available-for-sale in the amounts of $(1,895) and $(2,543) for the three months ended March 31, 2016, and 2015, respectively. |
Condensed Consolidated Stateme7
Condensed Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Cash flows from operating activities: | ||
Net cash provided by operating activities | $ 142,307 | $ 298,843 |
Proceeds from sales, maturities and redemptions of investments: | ||
Fixed maturities, available-for-sale | 1,983,974 | 3,024,890 |
Mortgage loans on real estate | 92,302 | 54,923 |
Limited partnership interests, other corporation interests and other investments | 2,567 | 1,174 |
Purchases of investments: | ||
Fixed maturities, available-for-sale | (1,818,569) | (1,009,516) |
Mortgage loans on real estate | (117,720) | (131,172) |
Limited partnership interests, other corporation interests and other investments | (1,593) | (123) |
Net change in short-term investments | (546,036) | (2,170,798) |
Net change in policy loans | (29) | (141) |
Purchases of furniture, equipment and software | (12,064) | (23,451) |
Net cash used in investing activities | (417,168) | (254,214) |
Cash flows from financing activities: | ||
Contract deposits | 851,509 | 428,073 |
Contract withdrawals | (510,660) | (401,887) |
Net change in due to/from parent and affiliates | (11,274) | 16,067 |
Dividends paid | (73,401) | (77,309) |
Payments for and interest paid on financing element derivatives, net | (3,000) | (4,169) |
Net change in commercial paper borrowings | 5,800 | (8,600) |
Net change in book overdrafts | 92 | (1,722) |
Income tax benefit on share-based compensation | 141 | 275 |
Net cash provided by (used in) financing activities | 259,207 | (49,272) |
Net decrease in cash | (15,654) | (4,643) |
Cash, beginning of year | 34,362 | 12,775 |
Cash, end of period | 18,708 | 8,132 |
Net cash paid during the year for: | ||
Income taxes | (8,305) | (11,488) |
Interest | (140) | (56) |
Non-cash investing and financing transactions during the years: | ||
Share-based compensation expense | $ 534 | $ 525 |
Organization and Basis of Prese
Organization and Basis of Presentation | 3 Months Ended |
Mar. 31, 2016 | |
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, 2015 , 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, 2016 , 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, 2015 . 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, 2016 , 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, 2016 , 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. |
Acquisitions
Acquisitions | 3 Months Ended |
Mar. 31, 2016 | |
Business Combinations [Abstract] | |
Acquisitions | Acquisitions Putnam Retirement Business Description of transaction On January 1, 2015, the Company acquired the retirement business of Putnam Investments, LLC (“Putnam”), an affiliate of the Company. 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 $7,717 of other liabilities, and recognized a dividend of $330 . |
Application of Recent Accountin
Application of Recent Accounting Pronouncements | 3 Months Ended |
Mar. 31, 2016 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Application of Recent Accounting Pronouncements | Application of Recent Accounting Pronouncements Recently adopted accounting pronouncements 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 (“VIEs”). The update is effective for interim and annual periods beginning after December 15, 2015, with early adoption permitted, including in the interim periods. The adoption of this ASU did not have a material effect on the Company’s consolidated financial position or results of operations; however, the Company has additional investments that meet the definition of VIE under this update. As such, the guidance was retrospectively applied and the December 31, 2015 carrying value and maximum exposure to loss in relation to the activities of the VIEs disclosed in Note 5 includes an additional $35,776 to conform to the current year presentation. 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 adoption of this ASU did not have a material effect on the Company’s consolidated financial position or results of operations. 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, 2017, based upon an update issued by the FASB in August 2015. Early adoption is permitted as of accounting periods beginning after December 15, 2016. The Company is currently evaluating the impact of this update on its consolidated financial statements. In May 2015, the FASB issued ASU 2015-09, Financial Services-Insurance: Disclosures about Short-Duration Contracts (Topic 944) . The update requires that all years in the claims development table that precede the current reporting period and the related disclosure about the history of claims duration should be presented as required supplementary information. The update also includes a disclosure objective of providing information about claim frequency along with a description of methodologies for determining claim frequency information, unless it is impracticable to do so. The update is effective for annual reporting periods beginning after December 15, 2015, and for interim reporting periods within annual reporting periods beginning after December 15, 2016, with early adoption permitted. The Company is currently evaluating the impact of this update on its consolidated financial statements. In January 2016, the FASB issued ASU 2016-01, Recognition and Measurement of Financial Assets and Financial Liabilities (Subtopic 825-10). The amendments in this update address certain aspects of recognition, measurement, presentation, and disclosure of financial instruments by requiring equity investments (except those accounted for under the equity method of accounting) to be measured at fair value with changes in fair value recognized in net income, simplify the impairment assessment of equity investments without readily determinable fair values by requiring a qualitative assessment to identify impairment, use of exit price notion when measuring the fair value of financial instruments for disclosure purposes, separate presentation of financial assets and liabilities by measurement category and form of financial assets (i.e. securities or loans and receivables) on the balance sheet or notes to the financial statements, eliminating the requirement to disclose the method and significant assumptions used to estimate fair value of a financial instrument measured at amortized cost on the balance sheet, requiring entities to present separately in other comprehensive income the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk (i.e. “own credit”) when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments, and clarify that an entity should evaluate the need for a valuation allowance on a deferred tax asset related to available-for-sale securities in combination with the entity’s other deferred tax assets. The update is effective for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. The ASU also permits early adoption of the own credit provision. The Company is currently evaluating the impact of this update on its consolidated financial statements. In February 2016, the FASB issued ASU 2016-02, Leases . This update requires organizations to recognize lease assets and lease liabilities on the balance sheet and also disclose key information about leasing arrangements. This ASU is effective for annual reporting periods beginning on or after December 15, 2018, and interim periods within those annual periods. Earlier application is permitted for all entities as of the beginning of an interim or annual period. The Company is currently evaluating the impact of this update on its consolidated financial statements. In March 2016, the FASB issued ASU 2016-05, Derivative Contract Novations . The amendments clarify that a change in the counterparty to a derivative instrument that has been designated as a hedging instrument in an existing hedging relationship would not, in and of itself, be considered a termination of the derivative instrument or a change in critical term of the hedging relationship. The update is effective for fiscal years and interim periods within those beginning after December 15, 2016. The Company is currently evaluating the impact of this update on its financial statements. In March 2016, the FASB issued ASU 2016-06, Derivatives and Hedging: Contingent Put and Call Options in Debt Instruments . The amendments clarify the steps required to assess whether a call or put option meets the criteria for bifurcation as an embedded derivative. The update is effective for fiscal years and interim periods within those beginning after December 15, 2016. The Company does not expect this update to have a material impact on the Company’s financial statements. In March 2016, the FASB issued ASU 2016-07, Investments - Equity Method and Joint Ventures . The amendments simplify the equity method of accounting by eliminating the requirement to retrospectively apply the equity method to an investment that subsequently qualifies for such accounting as a result of an increase in the level of ownership interest or degree of influence. The update is effective for fiscal years and interim periods within those beginning after December 15, 2016. The Company is currently evaluating the impact of this update on its financial statements. In March 2016, the FASB issued ASU 2016-08, Revenue from Contracts with Customers: Principal versus Agent Considerations . The amendments are intended to improve the operability and understandability of the implementation guidance on principal versus agent considerations. The effective date for this update is the same as the effective date for ASU 2014-09. The Company is currently evaluating the impact of this update on its financial statements. In March 2016, the FASB issued ASU 2016-09, Compensation-Stock Compensation: Improvements to Employee Share-Based Payment Account . The amendments simplify several aspects of the accounting for employee share-based payment transactions including the accounting for income taxes, forfeitures, statutory tax withholding requirements, and cash flow statements. The update is effective for fiscal years and interim periods within those beginning after December 15, 2016. The Company is currently evaluating the impact of this update on its financial statements. In April 2016, the FASB issued ASU 2016-10, Revenue from Contracts with Customers: Identifying Performance Obligations and Licensing . The amendments are intended to reduce the cost and complexity of applying the guidance on identifying promised goods or services and to improve the operability and understandability of the licensing implementation guidance. The effective date for this update is the same as the effective date for ASU 2014-09. The Company is currently evaluating the impact of this update on its financial statements. In May 2016, the FASB issued ASU 2016-12 , Revenue from Contracts with Customers: Narrow-Scope Improvements and Practical Expedients . The standard amends guidance in the new revenue standard on collectibility, noncash consideration, presentation of sales tax, and transition and are intended to address implementation issues that were raised by stakeholders and provide additional practical expedients. The effective date for this update is the same as the effective date for ASU 2014-09. The Company is currently evaluating the impact of this update on its financial statements. |
Dividends
Dividends | 3 Months Ended |
Mar. 31, 2016 | |
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, 2016 , and 2015 , the Company paid dividends of $73,401 and $77,309 , respectively, to its parent, GWL&A Financial. |
Summary of Investments
Summary of Investments | 3 Months Ended |
Mar. 31, 2016 | |
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”): March 31, 2016 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 $ 2,306,623 $ 89,965 $ 741 $ 2,395,847 $ — Obligations of U.S. states and their subdivisions 1,942,741 290,203 1,166 2,231,778 — Foreign government securities 2,250 — 3 2,247 — Corporate debt securities (2) 12,768,568 652,028 224,945 13,195,651 (1,733 ) Asset-backed securities 1,627,812 123,351 15,742 1,735,421 (81,066 ) Residential mortgage-backed securities 105,454 3,808 880 108,382 (43 ) Commercial mortgage-backed securities 1,122,101 41,831 4,068 1,159,864 — Collateralized debt obligations 8,920 69 — 8,989 — Total fixed maturities $ 19,884,469 $ 1,201,255 $ 247,545 $ 20,838,179 $ (82,842 ) (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 $149,062 and estimated fair value of $107,421 . December 31, 2015 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 $ 3,291,167 $ 55,193 $ 4,608 $ 3,341,752 $ — Obligations of U.S. states and their subdivisions 1,988,214 238,862 7,903 2,219,173 50 Foreign government securities 2,291 — 5 2,286 — Corporate debt securities (2) 12,388,886 437,207 320,381 12,505,712 (1,810 ) Asset-backed securities 1,196,326 128,406 13,362 1,311,370 (86,474 ) Residential mortgage-backed securities 122,146 4,734 1,508 125,372 (123 ) Commercial mortgage-backed securities 1,009,320 19,117 11,529 1,016,908 — Collateralized debt obligations 9,112 — 58 9,054 — Total fixed maturities $ 20,007,462 $ 883,519 $ 359,354 $ 20,531,627 $ (88,357 ) (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 $149,062 and estimated fair value of $116,423 . 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, 2016 Amortized cost Estimated fair value Maturing in one year or less $ 691,217 $ 716,630 Maturing after one year through five years 3,663,240 3,892,707 Maturing after five years through ten years 5,699,079 5,940,455 Maturing after ten years 5,023,933 5,288,230 Mortgage-backed and asset-backed securities 4,807,000 5,000,157 Total fixed maturities $ 19,884,469 $ 20,838,179 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, 2016 2015 Proceeds from sales $ 1,682,893 $ 2,658,671 Gross realized gains from sales 19,857 23,351 Gross realized losses from sales 11 20 Included in net investment income are unrealized gains (losses) of $12,622 and $908 for the three months ended March 31, 2016, and 2015 , respectively, on held-for-trading fixed maturity investments still held at period end. Mortgage loans on real estate — The following table summarizes the carrying value of the mortgage loan portfolio by component: March 31, 2016 December 31, 2015 Principal $ 3,271,087 $ 3,242,627 Unamortized premium (discount) and fees, net 7,107 7,967 Mortgage provision allowance (2,882 ) (2,890 ) Total mortgage loans $ 3,275,312 $ 3,247,704 The following table summarizes the recorded investment of the mortgage loan portfolio by risk assessment category as of March 31, 2016 , and December 31, 2015 , respectively. March 31, 2016 December 31, 2015 Performing $ 3,276,729 $ 3,249,129 Non-performing 1,465 1,465 Total $ 3,278,194 $ 3,250,594 The following table summarizes activity in the mortgage provision allowance: Three Months Ended March 31, 2016 Year Ended December 31, 2015 Commercial mortgages Commercial mortgages Beginning balance $ 2,890 $ 2,890 Provision increases 536 — Provision decreases (544 ) — Ending balance $ 2,882 $ 2,890 Allowance ending balance by basis of impairment method: Individually evaluated for impairment $ 536 $ — Collectively evaluated for impairment 2,346 2,890 Recorded investment balance in the mortgage loan portfolio, gross of allowance, by basis of impairment method: $ 3,278,194 $ 3,250,594 Individually evaluated for impairment 13,922 14,031 Collectively evaluated for impairment 3,264,272 3,236,563 Limited partnership and other corporation interests — At March 31, 2016 , and December 31, 2015 , the Company had $37,077 and $40,980 , respectively, invested in limited partnership and other corporation interests. Limited partnership interests represent the Company’s minority ownership interests in pooled investment funds that primarily make private equity investments across diverse industries and geographical focuses. The Company has determined its interest in each limited partnership to be considered a variable interest entity (“VIE”). Consolidation is not required as the Company is not deemed to be the primary beneficiary of the VIEs. The carrying value and maximum exposure to loss in relation to the activities of the VIEs was $34,601 and $38,504 at March 31, 2016 , and December 31, 2015 , respectively. Special deposits — The Company had securities on deposit with government authorities as required by certain insurance laws with fair values of $7,014 and $14,000 at March 31, 2016 , and December 31, 2015 , respectively. Securities lending — Securities with a cost or amortized cost of $169,660 and zero , and estimated fair values of $167,578 and zero , were on loan under the program at March 31, 2016 , and December 31, 2015 , respectively. The Company received cash of $107,654 and zero , and securities with a fair value of $64,776 and zero , as collateral at March 31, 2016 , and December 31, 2015 , respectively. The Company bears the risk of any deficiency in the amount of collateral available for return to a borrower due to a loss in an approved investment. The following table summarizes the collateral pledged by the Company under the securities lending program, by class of investment. Under the securities lending program the collateral pledged is, by definition, the securities loaned against the assets borrowed. March 31, 2016 December 31, 2015 Securities lending transactions U.S. government direct obligations and U.S. agencies $ 7,091 $ — Corporate debt securities 160,487 — Total secured borrowings $ 167,578 $ — The Company’s securities lending agreements are open agreements meaning the borrower can return and the Company can recall the loaned securities at any time. The assets and liabilities associated with securities lending program are not subject to master netting arrangements and are not offset in the condensed consolidated balance sheets. 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, 2016 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 $ 50,371 $ 439 $ 53,275 $ 302 $ 103,646 $ 741 Obligations of U.S. states and their subdivisions 10,796 143 78,883 1,023 89,679 1,166 Foreign government securities 2,248 3 — — 2,248 3 Corporate debt securities 2,052,304 74,189 865,541 150,756 2,917,845 224,945 Asset-backed securities 388,520 5,968 207,508 9,774 596,028 15,742 Residential mortgage-backed securities 4,858 9 18,107 871 22,965 880 Commercial mortgage-backed securities 143,070 2,254 61,814 1,814 204,884 4,068 Total fixed maturities $ 2,652,167 $ 83,005 $ 1,285,128 $ 164,540 $ 3,937,295 $ 247,545 Total number of securities in an unrealized loss position 246 155 401 December 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 $ 1,357,822 $ 4,101 $ 23,604 $ 507 $ 1,381,426 $ 4,608 Obligations of U.S. states and their subdivisions 267,581 7,903 — — 267,581 7,903 Foreign government securities 2,286 5 — — 2,286 5 Corporate debt securities 4,412,965 202,874 552,791 117,507 4,965,756 320,381 Asset-backed securities 247,082 4,372 182,404 8,990 429,486 13,362 Residential mortgage-backed securities — — 18,625 1,508 18,625 1,508 Commercial mortgage-backed securities 429,175 11,154 44,498 375 473,673 11,529 Collateralized debt obligations 9,054 58 — — 9,054 58 Total fixed maturities $ 6,725,965 $ 230,467 $ 821,922 $ 128,887 $ 7,547,887 $ 359,354 Total number of securities in an unrealized loss position 558 106 664 Fixed maturity investments — Total unrealized losses and OTTI decreased by $111,809 , or 31% , from December 31, 2015 , to March 31, 2016 . The overall decrease in unrealized losses was across most asset classes and reflects lower interest rates at March 31, 2016 , compared to December 31, 2015 , resulting in generally higher valuations of these fixed maturity securities. Total unrealized losses greater than twelve months increased by $35,653 from December 31, 2015 , to March 31, 2016 . Corporate debt securities account for 92% , or $150,756 , of the unrealized losses and OTTI greater than twelve months at March 31, 2016 . Non-investment grade corporate debt securities account for $19,440 of the unrealized losses and OTTI greater than twelve months, and $13,166 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 6% of the unrealized losses and OTTI greater than twelve months at March 31, 2016 . 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, 2016 2015 Beginning balance $ 102,343 $ 119,532 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 (3,927 ) (4,329 ) Ending balance $ 98,416 $ 115,653 |
Derivative Financial Instrument
Derivative Financial Instruments | 3 Months Ended |
Mar. 31, 2016 | |
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 $77,578 and $76,107 as of March 31, 2016 , and December 31, 2015 , respectively. The Company had pledged collateral related to these derivatives of $33,155 and $45,940 as of March 31, 2016 , and December 31, 2015 , respectively, in the normal course of business. If the credit-risk-related contingent features were triggered on March 31, 2016 , the fair value of assets that could be required to settle the derivatives in a net liability position was $44,422 . At March 31, 2016 , and December 31, 2015 , the Company had pledged $33,155 and $50,924 of unrestricted cash collateral to counterparties in the normal course of business, while other counterparties had pledged $22,450 and $19,060 of unrestricted cash collateral to the Company to satisfy collateral netting agreements, respectively. At March 31, 2016 , the Company estimated $4,651 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 security investments and debt obligations 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 The Company uses futures on equity indices to offset changes in guaranteed lifetime withdrawal benefit liabilities; however, hedge accounting is not elected. Other forward contracts The Company uses forward settling to be announced (“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, 2016 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 $ 419,800 $ 11,443 $ 13,867 $ 2,424 Cross-currency swaps 389,294 25,518 29,992 4,474 Total cash flow hedges 809,094 36,961 43,859 6,898 Total derivatives designated as hedges 809,094 36,961 43,859 6,898 Derivatives not designated as hedges: Interest rate swaps 361,100 13,850 21,619 7,769 Futures on equity indices 32,259 — — — Interest rate futures 137,500 — — — Interest rate swaptions 144,704 179 179 — Other forward contracts 1,687,650 3,056 4,161 1,105 Cross-currency swaps 662,935 (38,149 ) 21,716 59,865 Total derivatives not designated as hedges 3,026,148 (21,064 ) 47,675 68,739 Total derivative financial instruments $ 3,835,242 $ 15,897 $ 91,534 $ 75,637 (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, 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 $ 143,800 $ 11,843 $ 11,843 $ — Cross-currency swaps 380,873 28,714 28,736 22 Total cash flow hedges 524,673 40,557 40,579 22 Total derivatives designated as hedges 524,673 40,557 40,579 22 Derivatives not designated as hedges: Interest rate swaps 303,600 3,240 8,295 5,055 Futures on equity indices 29,310 — — — Interest rate futures 117,200 — — — Interest rate swaptions 151,204 189 189 — Cross-currency swaps 662,935 (51,759 ) 19,537 71,296 Total derivatives not designated as hedges 1,264,249 (48,330 ) 28,021 76,351 Total derivative financial instruments $ 1,788,922 $ (7,773 ) $ 68,600 $ 76,373 (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, 2016 , was $620,400 , $1,050,124 , $165,772 , $146,329 , and $1,324,717 for interest rate swaps, cross-currency swaps, futures, swaptions, and other forward contracts, respectively. The average notional outstanding during the year ended December 31, 2015 , was $443,589 , $937,242 , $111,801 , $212,299 , and $5,014,845 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 in OCI on derivatives (Effective portion) Gain (loss) reclassified from OCI Three Months Ended March 31, Three Months Ended March 31, 2016 2015 2016 2015 Cash flow hedges: Interest rate swaps $ 525 $ 3,141 $ 1,494 $ 1,856 (A) Cross-currency swaps (2,129 ) 14,014 992 423 (A) Interest rate futures — — — (21 ) (A) Total cash flow hedges $ (1,604 ) $ 17,155 $ 2,486 $ 2,258 (A) Net investment income. Gain (loss) on derivatives Gain (loss) on hedged assets Three Months Ended March 31, Three Months Ended March 31, 2016 2015 2016 2015 Fair value hedges: Interest rate swaps $ — $ (1,438 ) (A) $ — $ — Interest rate swaps — 630 (B) — — Items hedged in interest rate swaps — — — 1,443 (A) Items hedged in interest rate swaps — — — (630 ) (B) Total fair value hedges $ — $ (808 ) $ — $ 813 (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, 2016 2015 Derivatives not designated as hedging instruments: Futures on equity indices $ (230 ) (A) $ 147 (A) Futures on equity indices (1,441 ) (B) (723 ) (B) Interest rate swaps 10,622 (A) 2,822 (A) Interest rate futures (204 ) (A) (151 ) (A) Interest rate futures (32 ) (B) 135 (B) Interest rate swaptions 134 (A) 910 (A) Interest rate swaptions (195 ) (B) (987 ) (B) Other forward contracts 3,056 (A) 16,825 (A) Other forward contracts 2,938 (B) (9,340 ) (B) Cross-currency swaps 12,199 (A) 45,046 (A) Total derivatives not designated as hedging instruments $ 26,847 $ 54,684 (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 future policy benefits 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 $21,707 and $11,257 at March 31, 2016 , and December 31, 2015 , respectively. The changes in fair value of the GLWB were $10,450 and $2,770 for the three months ended March 31, 2016, and 2015 , respectively. |
Summary of Offsetting Assets an
Summary of Offsetting Assets and Liabilities | 3 Months Ended |
Mar. 31, 2016 | |
Offsetting [Abstract] | |
Summary of Offsetting Assets and Liabilities | Summary of Offsetting Assets and Liabilities The Company enters into derivative transactions 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. 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, 2016 Gross fair value not offset in balance sheets Gross fair value of Financial Cash collateral Net Financial instruments: recognized assets/liabilities (1) instruments received fair value Derivative instruments (assets) (2) $ 77,202 $ (48,039 ) $ 22,217 $ 6,946 Derivative instruments (liabilities) (3) 69,160 (48,039 ) (20,817 ) 304 (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. 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. December 31, 2015 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) $ 66,435 $ (38,236 ) $ 19,060 $ 9,139 Derivative instruments (liabilities) (3) 76,107 (38,236 ) (37,871 ) — (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. 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, 2016 | |
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, 2016 Quoted prices Significant in active other Significant Total Assets Fixed maturities available-for-sale: U.S. government direct obligations and U.S. agencies $ — $ 2,395,847 $ — $ 2,395,847 Obligations of U.S. states and their subdivisions — 2,231,778 — 2,231,778 Foreign government securities — 2,247 — 2,247 Corporate debt securities — 13,180,109 15,542 13,195,651 Asset-backed securities — 1,735,421 — 1,735,421 Residential mortgage-backed securities — 108,382 — 108,382 Commercial mortgage-backed securities — 1,159,864 — 1,159,864 Collateralized debt obligations — 8,989 — 8,989 Total fixed maturities available-for-sale — 20,822,637 15,542 20,838,179 Fixed maturities held-for-trading: U.S. government direct obligations and U.S. agencies — 511,509 — 511,509 Corporate debt securities — 56,991 — 56,991 Commercial mortgage-backed securities — 1,111 — 1,111 Total fixed maturities held-for-trading — 569,611 — 569,611 Short-term investments 369,283 439,232 — 808,515 Collateral under securities lending agreements 107,654 — — 107,654 Collateral under derivative counterparty collateral agreements 55,605 — — 55,605 Derivative instruments designated as hedges: Interest rate swaps — 13,867 — 13,867 Cross-currency swaps — 29,992 — 29,992 Derivative instruments not designated as hedges: Interest rate swaps — 21,619 — 21,619 Interest rate swaptions — 179 — 179 Other forward contracts — 4,161 — 4,161 Cross-currency swaps — 21,716 — 21,716 Total derivative instruments — 91,534 — 91,534 Separate account assets 15,170,321 12,069,460 — 27,239,781 Total assets $ 15,702,863 $ 33,992,474 $ 15,542 $ 49,710,879 Liabilities Payable under securities lending agreements $ 107,654 $ — $ — $ 107,654 Collateral under derivative counterparty collateral agreements 22,450 — — 22,450 Derivative instruments designated as hedges: Interest rate swaps — 2,424 — 2,424 Cross-currency swaps — 4,474 — 4,474 Derivative instruments not designated as hedges: Interest rate swaps — 7,769 — 7,769 Other forward contracts — 1,105 — 1,105 Cross-currency swaps — 59,865 — 59,865 Total derivative instruments — 75,637 — 75,637 Embedded derivatives - GLWB — — 21,707 21,707 Separate account liabilities (1) 38 256,885 — 256,923 Total liabilities $ 130,142 $ 332,522 $ 21,707 $ 484,371 (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, 2015 Quoted prices Significant in active other Significant Total Assets Fixed maturities available-for-sale: U.S. government direct obligations and U.S. agencies $ — $ 3,341,752 $ — $ 3,341,752 Obligations of U.S. states and their subdivisions — 2,219,173 — 2,219,173 Foreign government securities — 2,286 — 2,286 Corporate debt securities — 12,501,174 4,538 12,505,712 Asset-backed securities — 1,311,370 — 1,311,370 Residential mortgage-backed securities — 125,372 — 125,372 Commercial mortgage-backed securities — 1,016,908 — 1,016,908 Collateralized debt obligations — 9,054 — 9,054 Total fixed maturities available-for-sale — 20,527,089 4,538 20,531,627 Fixed maturities held-for-trading: U.S. government direct obligations and U.S. agencies — 558,208 — 558,208 Corporate debt securities — 56,566 — 56,566 Commercial mortgage-backed securities — 1,065 — 1,065 Total fixed maturities held-for-trading — 615,839 — 615,839 Short-term investments 132,288 134,738 — 267,026 Collateral under derivative counterparty collateral agreements 69,984 — — 69,984 Derivative instruments designated as hedges: Interest rate swaps — 11,843 — 11,843 Cross-currency swaps — 28,736 — 28,736 Derivative instruments not designated as hedges: Interest rate swaps — 8,295 — 8,295 Interest rate swaptions — 189 — 189 Cross-currency swaps — 19,537 — 19,537 Total derivative instruments — 68,600 — 68,600 Separate account assets 15,249,966 11,381,227 — 26,631,193 Total assets $ 15,452,238 $ 32,727,493 $ 4,538 $ 48,184,269 Liabilities Collateral under derivative counterparty collateral agreements $ 19,060 $ — $ — $ 19,060 Derivative instruments designated as hedges: Cross-currency swaps — 22 — 22 Derivative instruments not designated as hedges: Interest rate swaps — 5,055 — 5,055 Cross-currency swaps — 71,296 — 71,296 Total derivative instruments — 76,373 — 76,373 Embedded derivatives - GLWB — — 11,257 11,257 Separate account liabilities (1) 24 290,293 — 290,317 Total liabilities $ 19,084 $ 366,666 $ 11,257 $ 397,007 (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 generally 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. Collateral under 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, 2016 Assets Liabilities Fixed maturities available-for-sale Embedded Corporate derivatives debt securities - GLWB Balances, January 1, 2016 $ 4,538 $ 11,257 Realized and unrealized gains (losses) included in: Net income — 10,450 Other comprehensive income 366 — Settlements (598 ) — Transfers into Level 3 (1) 11,236 — Balances, March 31, 2016 $ 15,542 $ 21,707 Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets and liabilities held at March 31, 2016 $ — $ 10,450 (1) Transfers into Level 3 are due primarily to decreased observability of inputs in valuation methodologies. Recurring Level 3 financial assets and liabilities Three Months Ended March 31, 2015 Assets Liabilities Fixed maturities available-for-sale Embedded Corporate Asset-backed derivatives debt securities securities Total - GLWB Balances, 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 and liabilities held at March 31, 2015 $ — $ — $ — $ 2,770 The following tables present significant unobservable inputs used during the valuation of certain liabilities categorized within Level 3 of the recurring fair value measurements table: March 31, 2016 Fair Value Valuation Technique Unobservable Input Range Embedded derivatives - GLWB $ 21,707 Risk neutral stochastic valuation methodology Equity volatility 15% - 28% Swap curve 0.85% - 2.50% Mortality rate Based on the Annuity 2000 Mortality Table Lapse rate 1% - 15% December 31, 2015 Fair Value Valuation Technique Unobservable Input Range Embedded derivatives - GLWB $ 11,257 Risk neutral stochastic valuation methodology Equity volatility 15% - 28% Swap curve 0.75% - 3.00% Mortality rate Based on the Annuity 2000 Mortality Table Lapse rate 1% - 15% 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, 2016 December 31, 2015 Carrying Estimated Carrying Estimated amount fair value amount fair value Assets Mortgage loans on real estate $ 3,275,312 $ 3,463,079 $ 3,247,704 $ 3,362,496 Policy loans 4,069,236 4,069,236 4,092,661 4,092,661 Limited partnership interests 33,372 32,725 35,039 34,882 Other investments 14,459 44,723 14,596 44,723 Liabilities Annuity contract benefits without life contingencies $ 11,428,441 $ 11,492,552 $ 11,104,721 $ 10,839,205 Policyholders’ funds 262,651 262,651 299,577 299,577 Commercial paper 99,171 99,171 93,371 93,371 Notes payable 541,840 562,486 532,575 563,633 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 primarily 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 1 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, 2016 | |
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, 2016 Unrealized Unrealized Future policy Employee Total Balances, January 1, 2016 $ 339,520 $ 45,284 $ (65,785 ) $ (85,581 ) $ 233,438 Other comprehensive income (loss) before reclassifications 290,296 (1,043 ) (49,556 ) — 239,697 Amounts reclassified from AOCI (12,980 ) (1,616 ) — 1,452 (13,144 ) Net current period other comprehensive income (loss) 277,316 (2,659 ) (49,556 ) 1,452 226,553 Balances, March 31, 2016 $ 616,836 $ 42,625 $ (115,341 ) $ (84,129 ) $ 459,991 Three Months Ended March 31, 2015 Unrealized Unrealized Future policy Employee Total 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 The following tables present the composition of other comprehensive income (loss): Three Months Ended March 31, 2016 Before-tax Tax (expense) Net-of-tax amount benefit amount Unrealized holding gains (losses), net, arising on fixed maturities, available-for-sale $ 446,610 $ (156,314 ) $ 290,296 Unrealized holding gains (losses), net, arising on cash flow hedges (1,604 ) 561 (1,043 ) Reclassification adjustment for (gains) losses, net, realized in net income (22,456 ) 7,860 (14,596 ) Net unrealized gains (losses) related to investments 422,550 (147,893 ) 274,657 Future policy benefits, DAC and VOBA adjustments (76,240 ) 26,684 (49,556 ) Net unrealized gains (losses) 346,310 (121,209 ) 225,101 Employee benefit plan adjustment 2,234 (782 ) 1,452 Other comprehensive income (loss) $ 348,544 $ (121,991 ) $ 226,553 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 The following tables presents the reclassifications out of accumulated other comprehensive income (loss): Three Months Ended March 31, 2016 2015 Details about accumulated other Amount reclassified from accumulated other comprehensive income (loss) Affected line item in the statement where net income is presented Unrealized holding (gains) losses, net, arising on fixed maturities, available-for-sale $ (19,970 ) $ (28,179 ) Other realized investment (gains) losses, net (19,970 ) (28,179 ) Total before tax (6,990 ) (9,863 ) Tax expense or benefit $ (12,980 ) $ (18,316 ) Net of tax Unrealized holding (gains) losses, net, arising on cash flow hedges $ (2,486 ) $ (2,258 ) Net investment income (2,486 ) (2,258 ) Total before tax (870 ) (790 ) Tax expense or benefit $ (1,616 ) $ (1,468 ) Net of tax Amortization of employee benefit plan items Prior service (benefits) $ (151 ) (1) $ (181 ) (1) Actuarial (gains) 2,385 (1) 3,115 (1) 2,234 2,934 Total before tax 782 1,027 Tax expense or benefit $ 1,452 $ 1,907 Net of tax Total reclassification $ (13,144 ) $ (17,877 ) 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, 2016 | |
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 Pension Plan Post-Retirement Medical Plan Supplemental Executive Total 2016 2015 2016 2015 2016 2015 2016 2015 Components of net periodic cost (benefit): Service cost $ 1,335 $ 1,509 $ 293 $ 264 $ 73 $ 70 $ 1,701 $ 1,843 Interest cost 6,282 5,997 175 126 444 531 6,901 6,654 Expected return on plan assets (6,278 ) (7,087 ) — — — — (6,278 ) (7,087 ) Amortization of unrecognized prior service costs (benefits) — 3 (276 ) (417 ) 125 233 (151 ) (181 ) Amortization of losses (gains) from earlier periods 2,485 3,106 (85 ) (157 ) (15 ) 166 2,385 3,115 Net periodic cost (benefit) $ 3,824 $ 3,528 $ 107 $ (184 ) $ 627 $ 1,000 $ 4,558 $ 4,344 On January 1, 2015, the Company acquired the retirement business of Putnam, an affiliate of the Company. See Note 2 for additional discussion regarding the acquisition. Per the terms of the Asset Transfer Agreement, the Company was required to give each Putnam employee full credit for the employee’s service period with Putnam prior to the closing date for the purpose of eligibility to participate, vesting and level of benefits under the Post-Retirement Medical Plan. As a result, approximately 150 individuals became eligible participants of the Post-Retirement Medical Plan at January 1, 2015. The transaction was recorded as a prior service cost, which resulted in a $339 increase before tax to other liabilities and expenses and a decrease to accumulated other comprehensive income. The Company expects to make payments of approximately $816 with respect to its Post-Retirement Medical Plan and $3,337 with respect to its Supplemental Executive Retirement Plan during the year ended December 31, 2016 . The Company expects to make contributions of zero to its Defined Benefit Pension Plan during the year ended December 31, 2016 . 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, 2016 2015 Payments to the Post-Retirement Medical Plan 204 133 Payments to the Supplemental Executive Retirement Plan 834 2,335 |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2016 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes The provision for income taxes is comprised of the following: Three Months Ended March 31, 2016 2015 Current $ 10,640 $ 28,094 Deferred 13,398 23,802 Total income tax provision $ 24,038 $ 51,896 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, 2016 2015 Statutory federal income tax rate 35.0 % 35.0 % Income tax effect of: Investment income not subject to federal tax (2.3 )% (2.0 )% Tax credits (16.3 )% (0.2 )% State income taxes, net of federal benefit 2.3 % 1.3 % Other, net 0.9 % 0.4 % Effective income tax rate 19.6 % 34.5 % During the three months ended March 31, 2016, and 2015 , the Company recorded an increase in unrecognized tax benefits in the amount of $1,843 and $2,695 , respectively. The Company anticipates additional increases to its unrecognized tax benefits of $5,000 to $7,000 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 2011 and prior. Tax years 2012 through 2014 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, 2016 | |
Segment Reporting [Abstract] | |
Segment Information | Segment Information The Chief Operating Decision Maker (“CODM”) of the Company is also the Chief Executive Officer (“CEO”) of the Company and 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, 2016 Individual Empower Markets Retirement Other Total Revenue: Premium income $ 133,286 $ 346 $ 21,295 $ 154,927 Fee income 22,724 200,923 1,420 225,067 Other revenue — 3,149 — 3,149 Net investment income 207,693 110,534 13,558 331,785 Realized investment gains (losses), net 11,806 19,471 (7 ) 31,270 Total revenues 375,509 334,423 36,266 746,198 Benefits and expenses: Policyholder benefits 267,497 49,917 19,329 336,743 Operating expenses 37,223 231,640 17,928 286,791 Total benefits and expenses 304,720 281,557 37,257 623,534 Income (loss) before income taxes 70,789 52,866 (991 ) 122,664 Income tax expense (benefit) 23,834 651 (447 ) 24,038 Net income (loss) $ 46,955 $ 52,215 $ (544 ) $ 98,626 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 |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2016 | |
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 statutory accounting basis prescribed by the National Association of Insurance Commissioners), at anytime. The Company was in compliance with all covenants at March 31, 2016 , and December 31, 2015 . At March 31, 2016 , and December 31, 2015 , 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 $1,169,670 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, 2016 , and December 31, 2015 , 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, 2016 , and December 31, 2015 , 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, 2016 , and December 31, 2015 , were $205,160 and $50,692 , of which $28,010 and $8,692 were related to cost basis limited partnership interests, respectively, all of which is due within one year from the dates indicated. Contingencies From time to time, the Company may be threatened with, or named as a defendant in, lawsuits, mediations, arbitrations, and administrative claims. Any such claims that are decided against the Company could harm the Company’s business. The Company is also subject to periodic regulatory audits and inspections which could result in fines or other disciplinary actions. Unfavorable outcomes in such matters may result in a material impact on the Company's financial position, results of operations, or cash flows. The Company is defending a lawsuit related to a motor vehicle accident involving an employee. It received a $20,000 demand from the plaintiff’s attorney during the fourth quarter of 2014. The amount is fully indemnified by a third-party insurer. The Company is defending lawsuits relating to the administration of its staff retirement plan, or to the costs and features of certain of its retirement or fund products. These actions are at their early stages. Management believes the claims are without merit and will defend these actions. Based on the information known, these actions will not have a material adverse effect on the consolidated financial position of the Company. The Company is involved in other 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. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2016 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events On April 28, 2016, the Company’s Board of Directors declared a dividend of $31,430 , payable on June 15, 2016, to its sole shareholder, GWL&A Financial. |
Organization and Basis of Pre22
Organization and Basis of Presentation (Policies) | 3 Months Ended |
Mar. 31, 2016 | |
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, 2015 , 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, 2016 , 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, 2015 . 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, 2016 , 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, 2016 , 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 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 (“VIEs”). The update is effective for interim and annual periods beginning after December 15, 2015, with early adoption permitted, including in the interim periods. The adoption of this ASU did not have a material effect on the Company’s consolidated financial position or results of operations; however, the Company has additional investments that meet the definition of VIE under this update. As such, the guidance was retrospectively applied and the December 31, 2015 carrying value and maximum exposure to loss in relation to the activities of the VIEs disclosed in Note 5 includes an additional $35,776 to conform to the current year presentation. 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 adoption of this ASU did not have a material effect on the Company’s consolidated financial position or results of operations. 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, 2017, based upon an update issued by the FASB in August 2015. Early adoption is permitted as of accounting periods beginning after December 15, 2016. The Company is currently evaluating the impact of this update on its consolidated financial statements. In May 2015, the FASB issued ASU 2015-09, Financial Services-Insurance: Disclosures about Short-Duration Contracts (Topic 944) . The update requires that all years in the claims development table that precede the current reporting period and the related disclosure about the history of claims duration should be presented as required supplementary information. The update also includes a disclosure objective of providing information about claim frequency along with a description of methodologies for determining claim frequency information, unless it is impracticable to do so. The update is effective for annual reporting periods beginning after December 15, 2015, and for interim reporting periods within annual reporting periods beginning after December 15, 2016, with early adoption permitted. The Company is currently evaluating the impact of this update on its consolidated financial statements. In January 2016, the FASB issued ASU 2016-01, Recognition and Measurement of Financial Assets and Financial Liabilities (Subtopic 825-10). The amendments in this update address certain aspects of recognition, measurement, presentation, and disclosure of financial instruments by requiring equity investments (except those accounted for under the equity method of accounting) to be measured at fair value with changes in fair value recognized in net income, simplify the impairment assessment of equity investments without readily determinable fair values by requiring a qualitative assessment to identify impairment, use of exit price notion when measuring the fair value of financial instruments for disclosure purposes, separate presentation of financial assets and liabilities by measurement category and form of financial assets (i.e. securities or loans and receivables) on the balance sheet or notes to the financial statements, eliminating the requirement to disclose the method and significant assumptions used to estimate fair value of a financial instrument measured at amortized cost on the balance sheet, requiring entities to present separately in other comprehensive income the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk (i.e. “own credit”) when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments, and clarify that an entity should evaluate the need for a valuation allowance on a deferred tax asset related to available-for-sale securities in combination with the entity’s other deferred tax assets. The update is effective for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. The ASU also permits early adoption of the own credit provision. The Company is currently evaluating the impact of this update on its consolidated financial statements. In February 2016, the FASB issued ASU 2016-02, Leases . This update requires organizations to recognize lease assets and lease liabilities on the balance sheet and also disclose key information about leasing arrangements. This ASU is effective for annual reporting periods beginning on or after December 15, 2018, and interim periods within those annual periods. Earlier application is permitted for all entities as of the beginning of an interim or annual period. The Company is currently evaluating the impact of this update on its consolidated financial statements. In March 2016, the FASB issued ASU 2016-05, Derivative Contract Novations . The amendments clarify that a change in the counterparty to a derivative instrument that has been designated as a hedging instrument in an existing hedging relationship would not, in and of itself, be considered a termination of the derivative instrument or a change in critical term of the hedging relationship. The update is effective for fiscal years and interim periods within those beginning after December 15, 2016. The Company is currently evaluating the impact of this update on its financial statements. In March 2016, the FASB issued ASU 2016-06, Derivatives and Hedging: Contingent Put and Call Options in Debt Instruments . The amendments clarify the steps required to assess whether a call or put option meets the criteria for bifurcation as an embedded derivative. The update is effective for fiscal years and interim periods within those beginning after December 15, 2016. The Company does not expect this update to have a material impact on the Company’s financial statements. In March 2016, the FASB issued ASU 2016-07, Investments - Equity Method and Joint Ventures . The amendments simplify the equity method of accounting by eliminating the requirement to retrospectively apply the equity method to an investment that subsequently qualifies for such accounting as a result of an increase in the level of ownership interest or degree of influence. The update is effective for fiscal years and interim periods within those beginning after December 15, 2016. The Company is currently evaluating the impact of this update on its financial statements. In March 2016, the FASB issued ASU 2016-08, Revenue from Contracts with Customers: Principal versus Agent Considerations . The amendments are intended to improve the operability and understandability of the implementation guidance on principal versus agent considerations. The effective date for this update is the same as the effective date for ASU 2014-09. The Company is currently evaluating the impact of this update on its financial statements. In March 2016, the FASB issued ASU 2016-09, Compensation-Stock Compensation: Improvements to Employee Share-Based Payment Account . The amendments simplify several aspects of the accounting for employee share-based payment transactions including the accounting for income taxes, forfeitures, statutory tax withholding requirements, and cash flow statements. The update is effective for fiscal years and interim periods within those beginning after December 15, 2016. The Company is currently evaluating the impact of this update on its financial statements. In April 2016, the FASB issued ASU 2016-10, Revenue from Contracts with Customers: Identifying Performance Obligations and Licensing . The amendments are intended to reduce the cost and complexity of applying the guidance on identifying promised goods or services and to improve the operability and understandability of the licensing implementation guidance. The effective date for this update is the same as the effective date for ASU 2014-09. The Company is currently evaluating the impact of this update on its financial statements. In May 2016, the FASB issued ASU 2016-12 , Revenue from Contracts with Customers: Narrow-Scope Improvements and Practical Expedients . The standard amends guidance in the new revenue standard on collectibility, noncash consideration, presentation of sales tax, and transition and are intended to address implementation issues that were raised by stakeholders and provide additional practical expedients. The effective date for this update is the same as the effective date for ASU 2014-09. 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, 2016 | |
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”): March 31, 2016 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 $ 2,306,623 $ 89,965 $ 741 $ 2,395,847 $ — Obligations of U.S. states and their subdivisions 1,942,741 290,203 1,166 2,231,778 — Foreign government securities 2,250 — 3 2,247 — Corporate debt securities (2) 12,768,568 652,028 224,945 13,195,651 (1,733 ) Asset-backed securities 1,627,812 123,351 15,742 1,735,421 (81,066 ) Residential mortgage-backed securities 105,454 3,808 880 108,382 (43 ) Commercial mortgage-backed securities 1,122,101 41,831 4,068 1,159,864 — Collateralized debt obligations 8,920 69 — 8,989 — Total fixed maturities $ 19,884,469 $ 1,201,255 $ 247,545 $ 20,838,179 $ (82,842 ) (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 $149,062 and estimated fair value of $107,421 . December 31, 2015 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 $ 3,291,167 $ 55,193 $ 4,608 $ 3,341,752 $ — Obligations of U.S. states and their subdivisions 1,988,214 238,862 7,903 2,219,173 50 Foreign government securities 2,291 — 5 2,286 — Corporate debt securities (2) 12,388,886 437,207 320,381 12,505,712 (1,810 ) Asset-backed securities 1,196,326 128,406 13,362 1,311,370 (86,474 ) Residential mortgage-backed securities 122,146 4,734 1,508 125,372 (123 ) Commercial mortgage-backed securities 1,009,320 19,117 11,529 1,016,908 — Collateralized debt obligations 9,112 — 58 9,054 — Total fixed maturities $ 20,007,462 $ 883,519 $ 359,354 $ 20,531,627 $ (88,357 ) (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 $149,062 and estimated fair value of $116,423 . |
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, 2016 Amortized cost Estimated fair value Maturing in one year or less $ 691,217 $ 716,630 Maturing after one year through five years 3,663,240 3,892,707 Maturing after five years through ten years 5,699,079 5,940,455 Maturing after ten years 5,023,933 5,288,230 Mortgage-backed and asset-backed securities 4,807,000 5,000,157 Total fixed maturities $ 19,884,469 $ 20,838,179 |
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, 2016 2015 Proceeds from sales $ 1,682,893 $ 2,658,671 Gross realized gains from sales 19,857 23,351 Gross realized losses from sales 11 20 |
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, 2016 December 31, 2015 Principal $ 3,271,087 $ 3,242,627 Unamortized premium (discount) and fees, net 7,107 7,967 Mortgage provision allowance (2,882 ) (2,890 ) Total mortgage loans $ 3,275,312 $ 3,247,704 |
Financing Receivable Credit Quality Indicators | The following table summarizes the recorded investment of the mortgage loan portfolio by risk assessment category as of March 31, 2016 , and December 31, 2015 , respectively. March 31, 2016 December 31, 2015 Performing $ 3,276,729 $ 3,249,129 Non-performing 1,465 1,465 Total $ 3,278,194 $ 3,250,594 |
Summary of activity in the mortgage provision allowance | The following table summarizes activity in the mortgage provision allowance: Three Months Ended March 31, 2016 Year Ended December 31, 2015 Commercial mortgages Commercial mortgages Beginning balance $ 2,890 $ 2,890 Provision increases 536 — Provision decreases (544 ) — Ending balance $ 2,882 $ 2,890 Allowance ending balance by basis of impairment method: Individually evaluated for impairment $ 536 $ — Collectively evaluated for impairment 2,346 2,890 Recorded investment balance in the mortgage loan portfolio, gross of allowance, by basis of impairment method: $ 3,278,194 $ 3,250,594 Individually evaluated for impairment 13,922 14,031 Collectively evaluated for impairment 3,264,272 3,236,563 |
Transfer of Certain Financial Assets Accounted for as Secured Borrowings | The following table summarizes the collateral pledged by the Company under the securities lending program, by class of investment. Under the securities lending program the collateral pledged is, by definition, the securities loaned against the assets borrowed. March 31, 2016 December 31, 2015 Securities lending transactions U.S. government direct obligations and U.S. agencies $ 7,091 $ — Corporate debt securities 160,487 — Total secured borrowings $ 167,578 $ — |
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, 2016 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 $ 50,371 $ 439 $ 53,275 $ 302 $ 103,646 $ 741 Obligations of U.S. states and their subdivisions 10,796 143 78,883 1,023 89,679 1,166 Foreign government securities 2,248 3 — — 2,248 3 Corporate debt securities 2,052,304 74,189 865,541 150,756 2,917,845 224,945 Asset-backed securities 388,520 5,968 207,508 9,774 596,028 15,742 Residential mortgage-backed securities 4,858 9 18,107 871 22,965 880 Commercial mortgage-backed securities 143,070 2,254 61,814 1,814 204,884 4,068 Total fixed maturities $ 2,652,167 $ 83,005 $ 1,285,128 $ 164,540 $ 3,937,295 $ 247,545 Total number of securities in an unrealized loss position 246 155 401 December 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 $ 1,357,822 $ 4,101 $ 23,604 $ 507 $ 1,381,426 $ 4,608 Obligations of U.S. states and their subdivisions 267,581 7,903 — — 267,581 7,903 Foreign government securities 2,286 5 — — 2,286 5 Corporate debt securities 4,412,965 202,874 552,791 117,507 4,965,756 320,381 Asset-backed securities 247,082 4,372 182,404 8,990 429,486 13,362 Residential mortgage-backed securities — — 18,625 1,508 18,625 1,508 Commercial mortgage-backed securities 429,175 11,154 44,498 375 473,673 11,529 Collateralized debt obligations 9,054 58 — — 9,054 58 Total fixed maturities $ 6,725,965 $ 230,467 $ 821,922 $ 128,887 $ 7,547,887 $ 359,354 Total number of securities in an unrealized loss position 558 106 664 |
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, 2016 2015 Beginning balance $ 102,343 $ 119,532 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 (3,927 ) (4,329 ) Ending balance $ 98,416 $ 115,653 |
Derivative Financial Instrume24
Derivative Financial Instruments (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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, 2016 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 $ 419,800 $ 11,443 $ 13,867 $ 2,424 Cross-currency swaps 389,294 25,518 29,992 4,474 Total cash flow hedges 809,094 36,961 43,859 6,898 Total derivatives designated as hedges 809,094 36,961 43,859 6,898 Derivatives not designated as hedges: Interest rate swaps 361,100 13,850 21,619 7,769 Futures on equity indices 32,259 — — — Interest rate futures 137,500 — — — Interest rate swaptions 144,704 179 179 — Other forward contracts 1,687,650 3,056 4,161 1,105 Cross-currency swaps 662,935 (38,149 ) 21,716 59,865 Total derivatives not designated as hedges 3,026,148 (21,064 ) 47,675 68,739 Total derivative financial instruments $ 3,835,242 $ 15,897 $ 91,534 $ 75,637 (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, 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 $ 143,800 $ 11,843 $ 11,843 $ — Cross-currency swaps 380,873 28,714 28,736 22 Total cash flow hedges 524,673 40,557 40,579 22 Total derivatives designated as hedges 524,673 40,557 40,579 22 Derivatives not designated as hedges: Interest rate swaps 303,600 3,240 8,295 5,055 Futures on equity indices 29,310 — — — Interest rate futures 117,200 — — — Interest rate swaptions 151,204 189 189 — Cross-currency swaps 662,935 (51,759 ) 19,537 71,296 Total derivatives not designated as hedges 1,264,249 (48,330 ) 28,021 76,351 Total derivative financial instruments $ 1,788,922 $ (7,773 ) $ 68,600 $ 76,373 (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 in OCI on derivatives (Effective portion) Gain (loss) reclassified from OCI Three Months Ended March 31, Three Months Ended March 31, 2016 2015 2016 2015 Cash flow hedges: Interest rate swaps $ 525 $ 3,141 $ 1,494 $ 1,856 (A) Cross-currency swaps (2,129 ) 14,014 992 423 (A) Interest rate futures — — — (21 ) (A) Total cash flow hedges $ (1,604 ) $ 17,155 $ 2,486 $ 2,258 (A) Net investment income. Gain (loss) on derivatives Gain (loss) on hedged assets Three Months Ended March 31, Three Months Ended March 31, 2016 2015 2016 2015 Fair value hedges: Interest rate swaps $ — $ (1,438 ) (A) $ — $ — Interest rate swaps — 630 (B) — — Items hedged in interest rate swaps — — — 1,443 (A) Items hedged in interest rate swaps — — — (630 ) (B) Total fair value hedges $ — $ (808 ) $ — $ 813 (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, 2016 2015 Derivatives not designated as hedging instruments: Futures on equity indices $ (230 ) (A) $ 147 (A) Futures on equity indices (1,441 ) (B) (723 ) (B) Interest rate swaps 10,622 (A) 2,822 (A) Interest rate futures (204 ) (A) (151 ) (A) Interest rate futures (32 ) (B) 135 (B) Interest rate swaptions 134 (A) 910 (A) Interest rate swaptions (195 ) (B) (987 ) (B) Other forward contracts 3,056 (A) 16,825 (A) Other forward contracts 2,938 (B) (9,340 ) (B) Cross-currency swaps 12,199 (A) 45,046 (A) Total derivatives not designated as hedging instruments $ 26,847 $ 54,684 (A) Net investment income. (B) Represents realized gains (losses) on closed positions recorded in realized investment gains (losses), net. |
Summary of Offsetting Assets 25
Summary of Offsetting Assets and Liabilities (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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, 2016 Gross fair value not offset in balance sheets Gross fair value of Financial Cash collateral Net Financial instruments: recognized assets/liabilities (1) instruments received fair value Derivative instruments (assets) (2) $ 77,202 $ (48,039 ) $ 22,217 $ 6,946 Derivative instruments (liabilities) (3) 69,160 (48,039 ) (20,817 ) 304 (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. 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. December 31, 2015 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) $ 66,435 $ (38,236 ) $ 19,060 $ 9,139 Derivative instruments (liabilities) (3) 76,107 (38,236 ) (37,871 ) — (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. 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, 2016 | |
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, 2016 Quoted prices Significant in active other Significant Total Assets Fixed maturities available-for-sale: U.S. government direct obligations and U.S. agencies $ — $ 2,395,847 $ — $ 2,395,847 Obligations of U.S. states and their subdivisions — 2,231,778 — 2,231,778 Foreign government securities — 2,247 — 2,247 Corporate debt securities — 13,180,109 15,542 13,195,651 Asset-backed securities — 1,735,421 — 1,735,421 Residential mortgage-backed securities — 108,382 — 108,382 Commercial mortgage-backed securities — 1,159,864 — 1,159,864 Collateralized debt obligations — 8,989 — 8,989 Total fixed maturities available-for-sale — 20,822,637 15,542 20,838,179 Fixed maturities held-for-trading: U.S. government direct obligations and U.S. agencies — 511,509 — 511,509 Corporate debt securities — 56,991 — 56,991 Commercial mortgage-backed securities — 1,111 — 1,111 Total fixed maturities held-for-trading — 569,611 — 569,611 Short-term investments 369,283 439,232 — 808,515 Collateral under securities lending agreements 107,654 — — 107,654 Collateral under derivative counterparty collateral agreements 55,605 — — 55,605 Derivative instruments designated as hedges: Interest rate swaps — 13,867 — 13,867 Cross-currency swaps — 29,992 — 29,992 Derivative instruments not designated as hedges: Interest rate swaps — 21,619 — 21,619 Interest rate swaptions — 179 — 179 Other forward contracts — 4,161 — 4,161 Cross-currency swaps — 21,716 — 21,716 Total derivative instruments — 91,534 — 91,534 Separate account assets 15,170,321 12,069,460 — 27,239,781 Total assets $ 15,702,863 $ 33,992,474 $ 15,542 $ 49,710,879 Liabilities Payable under securities lending agreements $ 107,654 $ — $ — $ 107,654 Collateral under derivative counterparty collateral agreements 22,450 — — 22,450 Derivative instruments designated as hedges: Interest rate swaps — 2,424 — 2,424 Cross-currency swaps — 4,474 — 4,474 Derivative instruments not designated as hedges: Interest rate swaps — 7,769 — 7,769 Other forward contracts — 1,105 — 1,105 Cross-currency swaps — 59,865 — 59,865 Total derivative instruments — 75,637 — 75,637 Embedded derivatives - GLWB — — 21,707 21,707 Separate account liabilities (1) 38 256,885 — 256,923 Total liabilities $ 130,142 $ 332,522 $ 21,707 $ 484,371 (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, 2015 Quoted prices Significant in active other Significant Total Assets Fixed maturities available-for-sale: U.S. government direct obligations and U.S. agencies $ — $ 3,341,752 $ — $ 3,341,752 Obligations of U.S. states and their subdivisions — 2,219,173 — 2,219,173 Foreign government securities — 2,286 — 2,286 Corporate debt securities — 12,501,174 4,538 12,505,712 Asset-backed securities — 1,311,370 — 1,311,370 Residential mortgage-backed securities — 125,372 — 125,372 Commercial mortgage-backed securities — 1,016,908 — 1,016,908 Collateralized debt obligations — 9,054 — 9,054 Total fixed maturities available-for-sale — 20,527,089 4,538 20,531,627 Fixed maturities held-for-trading: U.S. government direct obligations and U.S. agencies — 558,208 — 558,208 Corporate debt securities — 56,566 — 56,566 Commercial mortgage-backed securities — 1,065 — 1,065 Total fixed maturities held-for-trading — 615,839 — 615,839 Short-term investments 132,288 134,738 — 267,026 Collateral under derivative counterparty collateral agreements 69,984 — — 69,984 Derivative instruments designated as hedges: Interest rate swaps — 11,843 — 11,843 Cross-currency swaps — 28,736 — 28,736 Derivative instruments not designated as hedges: Interest rate swaps — 8,295 — 8,295 Interest rate swaptions — 189 — 189 Cross-currency swaps — 19,537 — 19,537 Total derivative instruments — 68,600 — 68,600 Separate account assets 15,249,966 11,381,227 — 26,631,193 Total assets $ 15,452,238 $ 32,727,493 $ 4,538 $ 48,184,269 Liabilities Collateral under derivative counterparty collateral agreements $ 19,060 $ — $ — $ 19,060 Derivative instruments designated as hedges: Cross-currency swaps — 22 — 22 Derivative instruments not designated as hedges: Interest rate swaps — 5,055 — 5,055 Cross-currency swaps — 71,296 — 71,296 Total derivative instruments — 76,373 — 76,373 Embedded derivatives - GLWB — — 11,257 11,257 Separate account liabilities (1) 24 290,293 — 290,317 Total liabilities $ 19,084 $ 366,666 $ 11,257 $ 397,007 (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, 2016 Assets Liabilities Fixed maturities available-for-sale Embedded Corporate derivatives debt securities - GLWB Balances, January 1, 2016 $ 4,538 $ 11,257 Realized and unrealized gains (losses) included in: Net income — 10,450 Other comprehensive income 366 — Settlements (598 ) — Transfers into Level 3 (1) 11,236 — Balances, March 31, 2016 $ 15,542 $ 21,707 Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets and liabilities held at March 31, 2016 $ — $ 10,450 (1) Transfers into Level 3 are due primarily to decreased observability of inputs in valuation methodologies. Recurring Level 3 financial assets and liabilities Three Months Ended March 31, 2015 Assets Liabilities Fixed maturities available-for-sale Embedded Corporate Asset-backed derivatives debt securities securities Total - GLWB Balances, 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 and liabilities held at March 31, 2015 $ — $ — $ — $ 2,770 |
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 liabilities categorized within Level 3 of the recurring fair value measurements table: March 31, 2016 Fair Value Valuation Technique Unobservable Input Range Embedded derivatives - GLWB $ 21,707 Risk neutral stochastic valuation methodology Equity volatility 15% - 28% Swap curve 0.85% - 2.50% Mortality rate Based on the Annuity 2000 Mortality Table Lapse rate 1% - 15% December 31, 2015 Fair Value Valuation Technique Unobservable Input Range Embedded derivatives - GLWB $ 11,257 Risk neutral stochastic valuation methodology Equity volatility 15% - 28% Swap curve 0.75% - 3.00% Mortality rate Based on the Annuity 2000 Mortality Table Lapse rate 1% - 15% |
Summary of the carrying amounts and estimated fair values of financial instruments not carried at fair value on a recurring basis | The following tables summarize the carrying amounts and estimated fair values of the Company’s financial instruments not carried at fair value on a recurring basis: March 31, 2016 December 31, 2015 Carrying Estimated Carrying Estimated amount fair value amount fair value Assets Mortgage loans on real estate $ 3,275,312 $ 3,463,079 $ 3,247,704 $ 3,362,496 Policy loans 4,069,236 4,069,236 4,092,661 4,092,661 Limited partnership interests 33,372 32,725 35,039 34,882 Other investments 14,459 44,723 14,596 44,723 Liabilities Annuity contract benefits without life contingencies $ 11,428,441 $ 11,492,552 $ 11,104,721 $ 10,839,205 Policyholders’ funds 262,651 262,651 299,577 299,577 Commercial paper 99,171 99,171 93,371 93,371 Notes payable 541,840 562,486 532,575 563,633 |
Other Comprehensive Income (Tab
Other Comprehensive Income (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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, 2016 Unrealized Unrealized Future policy Employee Total Balances, January 1, 2016 $ 339,520 $ 45,284 $ (65,785 ) $ (85,581 ) $ 233,438 Other comprehensive income (loss) before reclassifications 290,296 (1,043 ) (49,556 ) — 239,697 Amounts reclassified from AOCI (12,980 ) (1,616 ) — 1,452 (13,144 ) Net current period other comprehensive income (loss) 277,316 (2,659 ) (49,556 ) 1,452 226,553 Balances, March 31, 2016 $ 616,836 $ 42,625 $ (115,341 ) $ (84,129 ) $ 459,991 Three Months Ended March 31, 2015 Unrealized Unrealized Future policy Employee Total 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 |
Schedule of composition of other comprehensive income (loss) | The following tables present the composition of other comprehensive income (loss): Three Months Ended March 31, 2016 Before-tax Tax (expense) Net-of-tax amount benefit amount Unrealized holding gains (losses), net, arising on fixed maturities, available-for-sale $ 446,610 $ (156,314 ) $ 290,296 Unrealized holding gains (losses), net, arising on cash flow hedges (1,604 ) 561 (1,043 ) Reclassification adjustment for (gains) losses, net, realized in net income (22,456 ) 7,860 (14,596 ) Net unrealized gains (losses) related to investments 422,550 (147,893 ) 274,657 Future policy benefits, DAC and VOBA adjustments (76,240 ) 26,684 (49,556 ) Net unrealized gains (losses) 346,310 (121,209 ) 225,101 Employee benefit plan adjustment 2,234 (782 ) 1,452 Other comprehensive income (loss) $ 348,544 $ (121,991 ) $ 226,553 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 |
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, 2016 2015 Details about accumulated other Amount reclassified from accumulated other comprehensive income (loss) Affected line item in the statement where net income is presented Unrealized holding (gains) losses, net, arising on fixed maturities, available-for-sale $ (19,970 ) $ (28,179 ) Other realized investment (gains) losses, net (19,970 ) (28,179 ) Total before tax (6,990 ) (9,863 ) Tax expense or benefit $ (12,980 ) $ (18,316 ) Net of tax Unrealized holding (gains) losses, net, arising on cash flow hedges $ (2,486 ) $ (2,258 ) Net investment income (2,486 ) (2,258 ) Total before tax (870 ) (790 ) Tax expense or benefit $ (1,616 ) $ (1,468 ) Net of tax Amortization of employee benefit plan items Prior service (benefits) $ (151 ) (1) $ (181 ) (1) Actuarial (gains) 2,385 (1) 3,115 (1) 2,234 2,934 Total before tax 782 1,027 Tax expense or benefit $ 1,452 $ 1,907 Net of tax Total reclassification $ (13,144 ) $ (17,877 ) 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, 2016 | |
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 Pension Plan Post-Retirement Medical Plan Supplemental Executive Total 2016 2015 2016 2015 2016 2015 2016 2015 Components of net periodic cost (benefit): Service cost $ 1,335 $ 1,509 $ 293 $ 264 $ 73 $ 70 $ 1,701 $ 1,843 Interest cost 6,282 5,997 175 126 444 531 6,901 6,654 Expected return on plan assets (6,278 ) (7,087 ) — — — — (6,278 ) (7,087 ) Amortization of unrecognized prior service costs (benefits) — 3 (276 ) (417 ) 125 233 (151 ) (181 ) Amortization of losses (gains) from earlier periods 2,485 3,106 (85 ) (157 ) (15 ) 166 2,385 3,115 Net periodic cost (benefit) $ 3,824 $ 3,528 $ 107 $ (184 ) $ 627 $ 1,000 $ 4,558 $ 4,344 |
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, 2016 2015 Payments to the Post-Retirement Medical Plan 204 133 Payments to the Supplemental Executive Retirement Plan 834 2,335 |
Income Taxes (Tables)
Income Taxes (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
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, 2016 2015 Current $ 10,640 $ 28,094 Deferred 13,398 23,802 Total income tax provision $ 24,038 $ 51,896 |
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, 2016 2015 Statutory federal income tax rate 35.0 % 35.0 % Income tax effect of: Investment income not subject to federal tax (2.3 )% (2.0 )% Tax credits (16.3 )% (0.2 )% State income taxes, net of federal benefit 2.3 % 1.3 % Other, net 0.9 % 0.4 % Effective income tax rate 19.6 % 34.5 % |
Segment Information (Tables)
Segment Information (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Segment Reporting [Abstract] | |
Summary of financial information related to segments | The following tables summarize segment financial information: Three Months Ended March 31, 2016 Individual Empower Markets Retirement Other Total Revenue: Premium income $ 133,286 $ 346 $ 21,295 $ 154,927 Fee income 22,724 200,923 1,420 225,067 Other revenue — 3,149 — 3,149 Net investment income 207,693 110,534 13,558 331,785 Realized investment gains (losses), net 11,806 19,471 (7 ) 31,270 Total revenues 375,509 334,423 36,266 746,198 Benefits and expenses: Policyholder benefits 267,497 49,917 19,329 336,743 Operating expenses 37,223 231,640 17,928 286,791 Total benefits and expenses 304,720 281,557 37,257 623,534 Income (loss) before income taxes 70,789 52,866 (991 ) 122,664 Income tax expense (benefit) 23,834 651 (447 ) 24,038 Net income (loss) $ 46,955 $ 52,215 $ (544 ) $ 98,626 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 |
Acquisitions (Details)
Acquisitions (Details) - Putnam Retirement Business $ in Thousands | Jan. 01, 2015USD ($) |
Business Acquisition [Line Items] | |
Cash paid | $ 4,114 |
Other assets acquired | 11,501 |
Other liabilities assumed | 7,717 |
Dividend | $ 330 |
Application of Recent Account32
Application of Recent Accounting Pronouncements (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Maximum exposure to loss in relation to the activities of the VIEs | $ 34,601 | $ 38,504 |
Accounting Standards Update 2015-02 | Adjustments | ||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Maximum exposure to loss in relation to the activities of the VIEs | $ 35,776 |
Dividends (Details)
Dividends (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Dividends [Abstract] | ||
Dividends paid to parent, GWL&A Financial | $ 73,401 | $ 77,309 |
Summary of Investments - SOI Fi
Summary of Investments - SOI Fixed Maturity AFS and non-credit OTTI in AOCI (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Securities available-for-sale | ||
Amortized cost | $ 19,884,469 | $ 20,007,462 |
Fixed maturities available-for-sale: | 20,838,179 | 20,531,627 |
Fixed maturities | ||
Securities available-for-sale | ||
Amortized cost | 19,884,469 | 20,007,462 |
Gross unrealized gains | 1,201,255 | 883,519 |
Gross unrealized losses | 247,545 | 359,354 |
Fixed maturities available-for-sale: | 20,838,179 | 20,531,627 |
OTTI (gain) loss included in AOCI | (82,842) | (88,357) |
U.S. government direct obligations and U.S. agencies | ||
Securities available-for-sale | ||
Amortized cost | 2,306,623 | 3,291,167 |
Gross unrealized gains | 89,965 | 55,193 |
Gross unrealized losses | 741 | 4,608 |
Fixed maturities available-for-sale: | 2,395,847 | 3,341,752 |
OTTI (gain) loss included in AOCI | 0 | 0 |
Obligations of U.S. states and their subdivisions | ||
Securities available-for-sale | ||
Amortized cost | 1,942,741 | 1,988,214 |
Gross unrealized gains | 290,203 | 238,862 |
Gross unrealized losses | 1,166 | 7,903 |
Fixed maturities available-for-sale: | 2,231,778 | 2,219,173 |
OTTI (gain) loss included in AOCI | 0 | 50 |
Foreign government securities | ||
Securities available-for-sale | ||
Amortized cost | 2,250 | 2,291 |
Gross unrealized gains | 0 | 0 |
Gross unrealized losses | 3 | 5 |
Fixed maturities available-for-sale: | 2,247 | 2,286 |
OTTI (gain) loss included in AOCI | 0 | 0 |
Corporate debt securities | ||
Securities available-for-sale | ||
Amortized cost | 12,768,568 | 12,388,886 |
Gross unrealized gains | 652,028 | 437,207 |
Gross unrealized losses | 224,945 | 320,381 |
Fixed maturities available-for-sale: | 13,195,651 | 12,505,712 |
OTTI (gain) loss included in AOCI | (1,733) | (1,810) |
Perpetual debt investments | ||
Securities available-for-sale | ||
Amortized cost | 149,062 | 149,062 |
Fixed maturities available-for-sale: | 107,421 | 116,423 |
Asset-backed securities | ||
Securities available-for-sale | ||
Amortized cost | 1,627,812 | 1,196,326 |
Gross unrealized gains | 123,351 | 128,406 |
Gross unrealized losses | 15,742 | 13,362 |
Fixed maturities available-for-sale: | 1,735,421 | 1,311,370 |
OTTI (gain) loss included in AOCI | (81,066) | (86,474) |
Residential mortgage-backed securities | ||
Securities available-for-sale | ||
Amortized cost | 105,454 | 122,146 |
Gross unrealized gains | 3,808 | 4,734 |
Gross unrealized losses | 880 | 1,508 |
Fixed maturities available-for-sale: | 108,382 | 125,372 |
OTTI (gain) loss included in AOCI | (43) | (123) |
Commercial mortgage-backed securities | ||
Securities available-for-sale | ||
Amortized cost | 1,122,101 | 1,009,320 |
Gross unrealized gains | 41,831 | 19,117 |
Gross unrealized losses | 4,068 | 11,529 |
Fixed maturities available-for-sale: | 1,159,864 | 1,016,908 |
OTTI (gain) loss included in AOCI | 0 | 0 |
Collateralized debt obligations | ||
Securities available-for-sale | ||
Amortized cost | 8,920 | 9,112 |
Gross unrealized gains | 69 | 0 |
Gross unrealized losses | 0 | 58 |
Fixed maturities available-for-sale: | 8,989 | 9,054 |
OTTI (gain) loss included in AOCI | $ 0 | $ 0 |
Summary of Investments - SOI 35
Summary of Investments - SOI Fixed Maturity AFS aging (Details 2) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Amortized cost | ||
Maturing in one year or less | $ 691,217 | |
Maturing after one year through five years | 3,663,240 | |
Maturing after five years through ten years | 5,699,079 | |
Maturing after ten years | 5,023,933 | |
Mortgage-backed and asset-backed securities | 4,807,000 | |
Amortized cost | 19,884,469 | $ 20,007,462 |
Estimated fair value | ||
Maturing in one year or less | 716,630 | |
Maturing after one year through five years | 3,892,707 | |
Maturing after five years through ten years | 5,940,455 | |
Maturing after ten years | 5,288,230 | |
Mortgage-backed and asset-backed securities | 5,000,157 | |
Estimated fair value | $ 20,838,179 | $ 20,531,627 |
Summary of Investments - SOI AF
Summary of Investments - SOI AFS Proceeds from sales (Details 2.1) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | ||
Proceeds from sales | $ 1,682,893 | $ 2,658,671 |
Gross realized gains from sales | 19,857 | 23,351 |
Gross realized losses from sales | 11 | 20 |
Unrealized gains/losses | $ 12,622 | $ 908 |
Summary of Investments - SOI Mo
Summary of Investments - SOI Mortgage loans on real estate by component (Details 3) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 |
Investments, Debt and Equity Securities [Abstract] | |||
Principal | $ 3,271,087 | $ 3,242,627 | |
Unamortized premium (discount) and fees, net | 7,107 | 7,967 | |
Mortgage provision allowance | (2,882) | (2,890) | $ (2,890) |
Total mortgage loans | $ 3,275,312 | $ 3,247,704 |
Summary of Investments - SOI ri
Summary of Investments - SOI risk assessment (Details) - Mortgages - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Financing Receivable, Recorded Investment [Line Items] | ||
Recorded investment | $ 3,278,194 | $ 3,250,594 |
Performing | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Recorded investment | 3,276,729 | 3,249,129 |
Non-performing | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Recorded investment | $ 1,465 | $ 1,465 |
Summary of Investments - SOI 39
Summary of Investments - SOI Mortgage provision allowance rollforward (Details 4) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
Allowance for Loan and Lease Losses [Roll Forward] | |||
Beginning balance | $ 2,890 | $ 2,890 | |
Provision increases | 536 | 0 | |
Provision decreases | (544) | $ 0 | |
Ending balance | 2,882 | ||
Allowance ending balance by basis of impairment method: | |||
Individually evaluated for impairment | 536 | $ 0 | |
Collectively evaluated for impairment | 2,346 | 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: | 3,278,194 | 3,250,594 | |
Individually evaluated for impairment | 13,922 | 14,031 | |
Collectively evaluated for impairment | 3,264,272 | 3,236,563 | |
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: | $ 3,278,194 | $ 3,250,594 |
Summary of Investments - SOI Lt
Summary of Investments - SOI Ltd partnership Sec lending Special deposits (Details 5) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Investments, Debt and Equity Securities [Abstract] | ||
Limited partnership and other corporation interests | $ 37,077 | $ 40,980 |
Nature and activities of the VIEs and the effect on financial statements | ||
Carrying value in relation to the activities of the VIEs | 34,601 | 38,504 |
Maximum exposure to loss in relation to the activities of the VIEs | 34,601 | 38,504 |
Special deposits and securities lending | ||
Fair value of securities on deposit with governmental authorities | 7,014 | 14,000 |
Securities loaned to third parties at amortized cost | 169,660 | 0 |
Estimated fair value of securities loaned to third parties | 167,578 | 0 |
Restricted cash received as collateral | 107,654 | 0 |
Securities received as collateral | 64,776 | 0 |
Maturity Overnight and Continuous | ||
Transfer of certain financial assets accounted for as secured borrowings | ||
Securities lending transactions | 167,578 | 0 |
Maturity Overnight and Continuous | U.S. government direct obligations and U.S. agencies | ||
Transfer of certain financial assets accounted for as secured borrowings | ||
Securities lending transactions | 7,091 | 0 |
Maturity Overnight and Continuous | Corporate debt securities | ||
Transfer of certain financial assets accounted for as secured borrowings | ||
Securities lending transactions | $ 160,487 | $ 0 |
Summary of Investments - SOI Un
Summary of Investments - SOI Unrealized losses fixed maturities AFS (Details 6) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016USD ($)position | Dec. 31, 2015USD ($)position | |
Fixed maturities | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Less than twelve months, Estimated fair value | $ 2,652,167 | $ 6,725,965 |
Less than twelve months, Unrealized loss and OTTI | 83,005 | 230,467 |
Twelve months or longer, Estimated fair value | 1,285,128 | 821,922 |
Twelve months or longer, Unrealized loss and OTTI | 164,540 | 128,887 |
Total Estimated fair value | 3,937,295 | 7,547,887 |
Total Unrealized losses and OTTI | $ 247,545 | $ 359,354 |
Additional disclosure | ||
Total number of securities in an unrealized loss position, Less than twelve months | position | 246 | 558 |
Total number of securities in an unrealized loss position, twelve months or longer | position | 155 | 106 |
Total number of securities in an unrealized loss position | position | 401 | 664 |
Decrease (increase) in total unrealized losses and other-than-temporary impairment losses | $ 111,809 | |
Decrease (increase) in total unrealized losses and other-than-temporary impairment losses (as a percent) | 31.00% | |
Increase (decrease) in greater than twelve months unrealized losses and other-than-temporary impairment losses | $ 35,653 | |
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 | 50,371 | $ 1,357,822 |
Less than twelve months, Unrealized loss and OTTI | 439 | 4,101 |
Twelve months or longer, Estimated fair value | 53,275 | 23,604 |
Twelve months or longer, Unrealized loss and OTTI | 302 | 507 |
Total Estimated fair value | 103,646 | 1,381,426 |
Total Unrealized losses and OTTI | 741 | 4,608 |
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 | 10,796 | 267,581 |
Less than twelve months, Unrealized loss and OTTI | 143 | 7,903 |
Twelve months or longer, Estimated fair value | 78,883 | 0 |
Twelve months or longer, Unrealized loss and OTTI | 1,023 | 0 |
Total Estimated fair value | 89,679 | 267,581 |
Total Unrealized losses and OTTI | 1,166 | 7,903 |
Foreign government securities | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Less than twelve months, Estimated fair value | 2,248 | 2,286 |
Less than twelve months, Unrealized loss and OTTI | 3 | 5 |
Twelve months or longer, Estimated fair value | 0 | 0 |
Twelve months or longer, Unrealized loss and OTTI | 0 | 0 |
Total Estimated fair value | 2,248 | 2,286 |
Total Unrealized losses and OTTI | 3 | 5 |
Corporate debt securities | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Less than twelve months, Estimated fair value | 2,052,304 | 4,412,965 |
Less than twelve months, Unrealized loss and OTTI | 74,189 | 202,874 |
Twelve months or longer, Estimated fair value | 865,541 | 552,791 |
Twelve months or longer, Unrealized loss and OTTI | 150,756 | 117,507 |
Total Estimated fair value | 2,917,845 | 4,965,756 |
Total Unrealized losses and OTTI | $ 224,945 | 320,381 |
Additional disclosure | ||
Unrealized losses and OTTI over twelve months on securities (as a percent) | 92.00% | |
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 | $ 19,440 | |
Perpetual debt investments | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Twelve months or longer, Unrealized loss and OTTI | 13,166 | |
Asset-backed securities | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Less than twelve months, Estimated fair value | 388,520 | 247,082 |
Less than twelve months, Unrealized loss and OTTI | 5,968 | 4,372 |
Twelve months or longer, Estimated fair value | 207,508 | 182,404 |
Twelve months or longer, Unrealized loss and OTTI | 9,774 | 8,990 |
Total Estimated fair value | 596,028 | 429,486 |
Total Unrealized losses and OTTI | $ 15,742 | 13,362 |
Additional disclosure | ||
Unrealized losses and OTTI over twelve months on securities (as a percent) | 6.00% | |
Residential mortgage-backed securities | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Less than twelve months, Estimated fair value | $ 4,858 | 0 |
Less than twelve months, Unrealized loss and OTTI | 9 | 0 |
Twelve months or longer, Estimated fair value | 18,107 | 18,625 |
Twelve months or longer, Unrealized loss and OTTI | 871 | 1,508 |
Total Estimated fair value | 22,965 | 18,625 |
Total Unrealized losses and OTTI | 880 | 1,508 |
Commercial mortgage-backed securities | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Less than twelve months, Estimated fair value | 143,070 | 429,175 |
Less than twelve months, Unrealized loss and OTTI | 2,254 | 11,154 |
Twelve months or longer, Estimated fair value | 61,814 | 44,498 |
Twelve months or longer, Unrealized loss and OTTI | 1,814 | 375 |
Total Estimated fair value | 204,884 | 473,673 |
Total Unrealized losses and OTTI | $ 4,068 | 11,529 |
Collateralized debt obligations | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Less than twelve months, Estimated fair value | 9,054 | |
Less than twelve months, Unrealized loss and OTTI | 58 | |
Twelve months or longer, Estimated fair value | 0 | |
Twelve months or longer, Unrealized loss and OTTI | 0 | |
Total Estimated fair value | 9,054 | |
Total Unrealized losses and OTTI | $ 58 |
Summary of Investments - SOI O
Summary of Investments - SOI OTTI table (Details 7) - Fixed maturities - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ||
Beginning balance | $ 102,343 | $ 119,532 |
Initial impairments - credit loss on securities not previously impaired | 0 | 450 |
Reductions due to increases in cash flows expected to be collected that are recognized over the remaining life of the security | (3,927) | (4,329) |
Ending balance | $ 98,416 | $ 115,653 |
Derivative Financial Instrume43
Derivative Financial Instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
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 | $ 77,578 | $ 76,107 |
Collateral related to the derivatives | 33,155 | 45,940 |
Fair value of assets required to settle the derivatives in, net liability position | 44,422 | |
Amount of unrestricted cash collateral to counterparties in the normal course of business | 33,155 | 50,924 |
Cash collateral received | 22,450 | 19,060 |
Net derivative gains estimated to be reclassified from accumulated other comprehensive income (loss) into net income within the next twelve months | 4,651 | |
Derivative financial instruments | ||
Notional amount | 3,835,242 | 1,788,922 |
Net derivatives, Fair value | 15,897 | (7,773) |
Asset derivatives, Fair value | 91,534 | 68,600 |
Liability derivatives, Fair value | 75,637 | 76,373 |
Interest rate swaps | ||
Derivative financial instruments | ||
Average notional amount of the derivative instruments | 620,400 | 443,589 |
Cross-currency swaps | ||
Derivative financial instruments | ||
Average notional amount of the derivative instruments | 1,050,124 | 937,242 |
Other forward contracts | ||
Derivative financial instruments | ||
Average notional amount of the derivative instruments | 1,324,717 | 5,014,845 |
Future | ||
Derivative financial instruments | ||
Average notional amount of the derivative instruments | 165,772 | 111,801 |
Swaption | ||
Derivative financial instruments | ||
Average notional amount of the derivative instruments | 146,329 | 212,299 |
Derivatives designated as hedges: | ||
Derivative financial instruments | ||
Notional amount | 809,094 | 524,673 |
Net derivatives, Fair value | 36,961 | 40,557 |
Asset derivatives, Fair value | 43,859 | 40,579 |
Liability derivatives, Fair value | 6,898 | 22 |
Derivatives designated as hedges: | Cash flow hedges: | ||
Derivative financial instruments | ||
Notional amount | 809,094 | 524,673 |
Net derivatives, Fair value | 36,961 | 40,557 |
Asset derivatives, Fair value | 43,859 | 40,579 |
Liability derivatives, Fair value | 6,898 | 22 |
Derivatives designated as hedges: | Cash flow hedges: | Interest rate swaps | ||
Derivative financial instruments | ||
Notional amount | 419,800 | 143,800 |
Net derivatives, Fair value | 11,443 | 11,843 |
Asset derivatives, Fair value | 13,867 | 11,843 |
Liability derivatives, Fair value | 2,424 | 0 |
Derivatives designated as hedges: | Cash flow hedges: | Cross-currency swaps | ||
Derivative financial instruments | ||
Notional amount | 389,294 | 380,873 |
Net derivatives, Fair value | 25,518 | 28,714 |
Asset derivatives, Fair value | 29,992 | 28,736 |
Liability derivatives, Fair value | 4,474 | 22 |
Derivatives not designated as hedges: | ||
Derivative financial instruments | ||
Notional amount | 3,026,148 | 1,264,249 |
Net derivatives, Fair value | (21,064) | (48,330) |
Asset derivatives, Fair value | 47,675 | 28,021 |
Liability derivatives, Fair value | 68,739 | 76,351 |
Derivatives not designated as hedges: | Interest rate swaps | ||
Derivative financial instruments | ||
Notional amount | 361,100 | 303,600 |
Net derivatives, Fair value | 13,850 | 3,240 |
Asset derivatives, Fair value | 21,619 | 8,295 |
Liability derivatives, Fair value | 7,769 | 5,055 |
Derivatives not designated as hedges: | Cross-currency swaps | ||
Derivative financial instruments | ||
Notional amount | 662,935 | 662,935 |
Net derivatives, Fair value | (38,149) | (51,759) |
Asset derivatives, Fair value | 21,716 | 19,537 |
Liability derivatives, Fair value | 59,865 | 71,296 |
Derivatives not designated as hedges: | Futures on equity indices | ||
Derivative financial instruments | ||
Notional amount | 32,259 | 29,310 |
Net derivatives, Fair value | 0 | 0 |
Asset derivatives, Fair value | 0 | 0 |
Liability derivatives, Fair value | 0 | 0 |
Derivatives not designated as hedges: | Interest rate futures | ||
Derivative financial instruments | ||
Notional amount | 137,500 | 117,200 |
Net derivatives, Fair value | 0 | 0 |
Asset derivatives, Fair value | 0 | 0 |
Liability derivatives, Fair value | 0 | 0 |
Derivatives not designated as hedges: | Interest rate swaptions | ||
Derivative financial instruments | ||
Notional amount | 144,704 | 151,204 |
Net derivatives, Fair value | 179 | 189 |
Asset derivatives, Fair value | 179 | 189 |
Liability derivatives, Fair value | 0 | $ 0 |
Derivatives not designated as hedges: | Other forward contracts | ||
Derivative financial instruments | ||
Notional amount | 1,687,650 | |
Net derivatives, Fair value | 3,056 | |
Asset derivatives, Fair value | 4,161 | |
Liability derivatives, Fair value | $ 1,105 |
Derivative Financial Instrume44
Derivative Financial Instruments (Details 2) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
Derivatives not designated as hedging instruments | |||
Gain (loss) on derivatives recognized in net income | $ 26,847 | $ 54,684 | |
Net investment income | |||
Derivatives not designated as hedging instruments | |||
Change in fair value of GLWB | 10,450 | 2,770 | |
Policyholders' Funds | |||
Derivatives not designated as hedging instruments | |||
Embedded derivatives - GLWB | 21,707 | $ 11,257 | |
Interest rate swaps | Net investment income | |||
Derivatives not designated as hedging instruments | |||
Gain (loss) on derivatives recognized in net income | 10,622 | 2,822 | |
Interest rate futures | Net investment income | |||
Derivatives not designated as hedging instruments | |||
Gain (loss) on derivatives recognized in net income | (204) | (151) | |
Interest rate futures | Realized investment gains (losses) | |||
Derivatives not designated as hedging instruments | |||
Gain (loss) on derivatives recognized in net income | (32) | 135 | |
Futures on equity indices | Net investment income | |||
Derivatives not designated as hedging instruments | |||
Gain (loss) on derivatives recognized in net income | (230) | 147 | |
Futures on equity indices | Realized investment gains (losses) | |||
Derivatives not designated as hedging instruments | |||
Gain (loss) on derivatives recognized in net income | (1,441) | (723) | |
Interest rate swaptions | Net investment income | |||
Derivatives not designated as hedging instruments | |||
Gain (loss) on derivatives recognized in net income | 134 | 910 | |
Interest rate swaptions | Realized investment gains (losses) | |||
Derivatives not designated as hedging instruments | |||
Gain (loss) on derivatives recognized in net income | (195) | (987) | |
Other forward contracts | Net investment income | |||
Derivatives not designated as hedging instruments | |||
Gain (loss) on derivatives recognized in net income | 3,056 | 16,825 | |
Other forward contracts | Realized investment gains (losses) | |||
Derivatives not designated as hedging instruments | |||
Gain (loss) on derivatives recognized in net income | 2,938 | (9,340) | |
Cross-currency swaps | Net investment income | |||
Derivatives not designated as hedging instruments | |||
Gain (loss) on derivatives recognized in net income | 12,199 | 45,046 | |
Cash flow hedges: | |||
Effect of derivative instruments in the condensed consolidated statement of income | |||
Gain (loss) recognized in OCI on derivatives (Effective portion) | (1,604) | 17,155 | |
Gain (loss) reclassified from OCI into net income (Effective portion) | 2,486 | 2,258 | |
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) | 525 | 3,141 | |
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) | 1,494 | 1,856 | |
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) | 0 | (21) | |
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) | (2,129) | 14,014 | |
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) | 992 | 423 | |
Fair value hedges: | |||
Effect of derivative instruments in the condensed consolidated statement of income | |||
Gain (loss) on derivatives recognized in net income | 0 | (808) | |
Gain (loss) on hedged assets recognized in net income | 0 | 813 | |
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 | 0 | (1,438) | |
Gain (loss) on hedged assets recognized in net income | 0 | 1,443 | |
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 | 0 | 630 | |
Gain (loss) on hedged assets recognized in net income | $ 0 | $ (630) |
Summary of Offsetting Assets 45
Summary of Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Derivative instruments (assets) | ||
Gross fair value of recognized assets | $ 77,202 | $ 66,435 |
Financial instruments | (48,039) | (38,236) |
Cash collateral received | 22,217 | 19,060 |
Net fair value | 6,946 | 9,139 |
Derivatives instrument (liabilities) | ||
Gross fair value of recognized assets/liabilities | 69,160 | 76,107 |
Financial Instruments | (48,039) | (38,236) |
Cash collateral received/(pledged) | (20,817) | (37,871) |
Net fair value | $ 304 | $ 0 |
Fair Value Measurements - Recur
Fair Value Measurements - Recurring by FV hierarchy (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Assets | ||
Fixed maturities available-for-sale: | $ 20,838,179 | $ 20,531,627 |
Fixed maturities held-for-trading: | 569,611 | 615,839 |
Short-term investments | 808,515 | 267,026 |
Collateral under securities lending agreements | 107,654 | 0 |
Collateral under derivative counterparty collateral agreements | 33,155 | 50,924 |
Total derivative instruments | 91,534 | 68,600 |
Separate account assets | 27,239,781 | 26,631,193 |
Liabilities | ||
Payable under securities lending agreements | 107,654 | 0 |
Collateral under derivative counterparty collateral agreements | 22,450 | 19,060 |
Total derivative instruments | 75,637 | 76,373 |
Separate account liabilities | 27,239,781 | 26,631,193 |
Derivative instruments designated as hedges: | ||
Assets | ||
Total derivative instruments | 43,859 | 40,579 |
Liabilities | ||
Total derivative instruments | 6,898 | 22 |
Derivative instruments not designated as hedges: | ||
Assets | ||
Total derivative instruments | 47,675 | 28,021 |
Liabilities | ||
Total derivative instruments | 68,739 | 76,351 |
Derivative instruments not designated as hedges: | Interest rate swaps | ||
Assets | ||
Total derivative instruments | 21,619 | 8,295 |
Liabilities | ||
Total derivative instruments | 7,769 | 5,055 |
Derivative instruments not designated as hedges: | Interest rate swaptions | ||
Assets | ||
Total derivative instruments | 179 | 189 |
Liabilities | ||
Total derivative instruments | 0 | 0 |
Derivative instruments not designated as hedges: | Other forward contracts | ||
Assets | ||
Total derivative instruments | 4,161 | |
Liabilities | ||
Total derivative instruments | 1,105 | |
Derivative instruments not designated as hedges: | Cross-currency swaps | ||
Assets | ||
Total derivative instruments | 21,716 | 19,537 |
Liabilities | ||
Total derivative instruments | 59,865 | 71,296 |
U.S. government direct obligations and U.S. agencies | ||
Assets | ||
Fixed maturities available-for-sale: | 2,395,847 | 3,341,752 |
Obligations of U.S. states and their subdivisions | ||
Assets | ||
Fixed maturities available-for-sale: | 2,231,778 | 2,219,173 |
Foreign government securities | ||
Assets | ||
Fixed maturities available-for-sale: | 2,247 | 2,286 |
Corporate debt securities | ||
Assets | ||
Fixed maturities available-for-sale: | 13,195,651 | 12,505,712 |
Asset-backed securities | ||
Assets | ||
Fixed maturities available-for-sale: | 1,735,421 | 1,311,370 |
Residential mortgage-backed securities | ||
Assets | ||
Fixed maturities available-for-sale: | 108,382 | 125,372 |
Commercial mortgage-backed securities | ||
Assets | ||
Fixed maturities available-for-sale: | 1,159,864 | 1,016,908 |
Collateralized debt obligations | ||
Assets | ||
Fixed maturities available-for-sale: | 8,989 | 9,054 |
Recurring basis | ||
Assets | ||
Fixed maturities available-for-sale: | 20,838,179 | 20,531,627 |
Fixed maturities held-for-trading: | 569,611 | 615,839 |
Short-term investments | 808,515 | 267,026 |
Collateral under securities lending agreements | 107,654 | |
Collateral under derivative counterparty collateral agreements | 55,605 | 69,984 |
Total derivative instruments | 91,534 | 68,600 |
Separate account assets | 27,239,781 | 26,631,193 |
Total assets | 49,710,879 | 48,184,269 |
Liabilities | ||
Payable under securities lending agreements | 107,654 | |
Collateral under derivative counterparty collateral agreements | 22,450 | 19,060 |
Total derivative instruments | 75,637 | 76,373 |
Embedded derivatives - GLWB | 21,707 | 11,257 |
Separate account liabilities | 256,923 | 290,317 |
Total liabilities | 484,371 | 397,007 |
Recurring basis | Derivative instruments designated as hedges: | Interest rate swaps | ||
Assets | ||
Total derivative instruments | 13,867 | 11,843 |
Liabilities | ||
Total derivative instruments | 2,424 | |
Recurring basis | Derivative instruments designated as hedges: | Cross-currency swaps | ||
Assets | ||
Total derivative instruments | 29,992 | 28,736 |
Liabilities | ||
Total derivative instruments | 4,474 | 22 |
Recurring basis | Derivative instruments not designated as hedges: | Interest rate swaps | ||
Assets | ||
Total derivative instruments | 21,619 | 8,295 |
Liabilities | ||
Total derivative instruments | 7,769 | 5,055 |
Recurring basis | Derivative instruments not designated as hedges: | Interest rate swaptions | ||
Assets | ||
Total derivative instruments | 179 | 189 |
Recurring basis | Derivative instruments not designated as hedges: | Other forward contracts | ||
Assets | ||
Total derivative instruments | 4,161 | |
Liabilities | ||
Total derivative instruments | 1,105 | |
Recurring basis | Derivative instruments not designated as hedges: | Cross-currency swaps | ||
Assets | ||
Total derivative instruments | 21,716 | 19,537 |
Liabilities | ||
Total derivative instruments | 59,865 | 71,296 |
Recurring basis | U.S. government direct obligations and U.S. agencies | ||
Assets | ||
Fixed maturities available-for-sale: | 2,395,847 | 3,341,752 |
Fixed maturities held-for-trading: | 511,509 | 558,208 |
Recurring basis | Obligations of U.S. states and their subdivisions | ||
Assets | ||
Fixed maturities available-for-sale: | 2,231,778 | 2,219,173 |
Recurring basis | Foreign government securities | ||
Assets | ||
Fixed maturities available-for-sale: | 2,247 | 2,286 |
Recurring basis | Corporate debt securities | ||
Assets | ||
Fixed maturities available-for-sale: | 13,195,651 | 12,505,712 |
Fixed maturities held-for-trading: | 56,991 | 56,566 |
Recurring basis | Asset-backed securities | ||
Assets | ||
Fixed maturities available-for-sale: | 1,735,421 | 1,311,370 |
Recurring basis | Residential mortgage-backed securities | ||
Assets | ||
Fixed maturities available-for-sale: | 108,382 | 125,372 |
Recurring basis | Commercial mortgage-backed securities | ||
Assets | ||
Fixed maturities available-for-sale: | 1,159,864 | 1,016,908 |
Fixed maturities held-for-trading: | 1,111 | 1,065 |
Recurring basis | Collateralized debt obligations | ||
Assets | ||
Fixed maturities available-for-sale: | 8,989 | 9,054 |
Recurring basis | Quoted prices in active markets for identical assets (Level 1) | ||
Assets | ||
Short-term investments | 369,283 | 132,288 |
Collateral under securities lending agreements | 107,654 | |
Collateral under derivative counterparty collateral agreements | 55,605 | 69,984 |
Separate account assets | 15,170,321 | 15,249,966 |
Total assets | 15,702,863 | 15,452,238 |
Liabilities | ||
Payable under securities lending agreements | 107,654 | |
Collateral under derivative counterparty collateral agreements | 22,450 | 19,060 |
Separate account liabilities | 38 | 24 |
Total liabilities | 130,142 | 19,084 |
Recurring basis | Significant other observable inputs (Level 2) | ||
Assets | ||
Fixed maturities available-for-sale: | 20,822,637 | 20,527,089 |
Fixed maturities held-for-trading: | 569,611 | 615,839 |
Short-term investments | 439,232 | 134,738 |
Total derivative instruments | 91,534 | 68,600 |
Separate account assets | 12,069,460 | 11,381,227 |
Total assets | 33,992,474 | 32,727,493 |
Liabilities | ||
Total derivative instruments | 75,637 | 76,373 |
Separate account liabilities | 256,885 | 290,293 |
Total liabilities | 332,522 | 366,666 |
Recurring basis | Significant other observable inputs (Level 2) | Derivative instruments designated as hedges: | Interest rate swaps | ||
Assets | ||
Total derivative instruments | 13,867 | 11,843 |
Liabilities | ||
Total derivative instruments | 2,424 | |
Recurring basis | Significant other observable inputs (Level 2) | Derivative instruments designated as hedges: | Cross-currency swaps | ||
Assets | ||
Total derivative instruments | 29,992 | 28,736 |
Liabilities | ||
Total derivative instruments | 4,474 | 22 |
Recurring basis | Significant other observable inputs (Level 2) | Derivative instruments not designated as hedges: | Interest rate swaps | ||
Assets | ||
Total derivative instruments | 21,619 | 8,295 |
Liabilities | ||
Total derivative instruments | 7,769 | 5,055 |
Recurring basis | Significant other observable inputs (Level 2) | Derivative instruments not designated as hedges: | Interest rate swaptions | ||
Assets | ||
Total derivative instruments | 179 | 189 |
Recurring basis | Significant other observable inputs (Level 2) | Derivative instruments not designated as hedges: | Other forward contracts | ||
Assets | ||
Total derivative instruments | 4,161 | |
Liabilities | ||
Total derivative instruments | 1,105 | |
Recurring basis | Significant other observable inputs (Level 2) | Derivative instruments not designated as hedges: | Cross-currency swaps | ||
Assets | ||
Total derivative instruments | 21,716 | 19,537 |
Liabilities | ||
Total derivative instruments | 59,865 | 71,296 |
Recurring basis | Significant other observable inputs (Level 2) | U.S. government direct obligations and U.S. agencies | ||
Assets | ||
Fixed maturities available-for-sale: | 2,395,847 | 3,341,752 |
Fixed maturities held-for-trading: | 511,509 | 558,208 |
Recurring basis | Significant other observable inputs (Level 2) | Obligations of U.S. states and their subdivisions | ||
Assets | ||
Fixed maturities available-for-sale: | 2,231,778 | 2,219,173 |
Recurring basis | Significant other observable inputs (Level 2) | Foreign government securities | ||
Assets | ||
Fixed maturities available-for-sale: | 2,247 | 2,286 |
Recurring basis | Significant other observable inputs (Level 2) | Corporate debt securities | ||
Assets | ||
Fixed maturities available-for-sale: | 13,180,109 | 12,501,174 |
Fixed maturities held-for-trading: | 56,991 | 56,566 |
Recurring basis | Significant other observable inputs (Level 2) | Asset-backed securities | ||
Assets | ||
Fixed maturities available-for-sale: | 1,735,421 | 1,311,370 |
Recurring basis | Significant other observable inputs (Level 2) | Residential mortgage-backed securities | ||
Assets | ||
Fixed maturities available-for-sale: | 108,382 | 125,372 |
Recurring basis | Significant other observable inputs (Level 2) | Commercial mortgage-backed securities | ||
Assets | ||
Fixed maturities available-for-sale: | 1,159,864 | 1,016,908 |
Fixed maturities held-for-trading: | 1,111 | 1,065 |
Recurring basis | Significant other observable inputs (Level 2) | Collateralized debt obligations | ||
Assets | ||
Fixed maturities available-for-sale: | 8,989 | 9,054 |
Recurring basis | Significant unobservable inputs (Level 3) | ||
Assets | ||
Fixed maturities available-for-sale: | 15,542 | 4,538 |
Total assets | 15,542 | 4,538 |
Liabilities | ||
Embedded derivatives - GLWB | 21,707 | 11,257 |
Total liabilities | 21,707 | 11,257 |
Recurring basis | Significant unobservable inputs (Level 3) | Corporate debt securities | ||
Assets | ||
Fixed maturities available-for-sale: | 15,542 | 4,538 |
Recurring basis | Significant unobservable inputs (Level 3) | Asset-backed securities | ||
Assets | ||
Fixed maturities available-for-sale: | $ 0 | $ 0 |
Fair Value Measurements - Rec47
Fair Value Measurements - Recurring basis Level 3 rollforward (Details 2) - Recurring basis - Level 3 - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Recurring Level 3 financial assets and liabilities | ||
Balance at the beginning of the period | $ 5,878 | |
Net income | 0 | |
Other comprehensive income | (28) | |
Settlements | (488) | |
Balance at the end of the period | 5,362 | |
Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets and liabilities | 0 | |
Fixed maturities available-for-sale, Corporate debt securities | ||
Recurring Level 3 financial assets and liabilities | ||
Balance at the beginning of the period | $ 4,538 | 5,842 |
Net income | 0 | 0 |
Other comprehensive income | 366 | (28) |
Settlements | (598) | (485) |
Transfers into Level 3 | 11,236 | |
Balance at the end of the period | 15,542 | 5,329 |
Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets and liabilities | 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 | |
Net income | 0 | |
Other comprehensive income | 0 | |
Settlements | (3) | |
Balance at the end of the period | 33 | |
Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets and liabilities | 0 | |
Embedded Derivative Financial Instruments | ||
Recurring Level 3 financial assets and liabilities | ||
Balance at the beginning of the period | 11,257 | 6,407 |
Net income | 10,450 | 2,770 |
Other comprehensive income | 0 | 0 |
Settlements | 0 | 0 |
Transfers into Level 3 | 0 | |
Balance at the end of the period | 21,707 | 9,177 |
Total gains (losses) for the period included in net income attributable to the change in unrealized gains and losses relating to assets and liabilities | $ 10,450 | $ 2,770 |
Fair Value Measurements - Level
Fair Value Measurements - Level 3 unobservable inputs (Details 3) - Recurring basis - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Significant unobservable inputs used during the valuation of assets categorized within Level 3 of the recurring fair value measurements table | ||
Embedded derivatives - GLWB | $ 21,707 | $ 11,257 |
Level 3 | ||
Significant unobservable inputs used during the valuation of assets categorized within Level 3 of the recurring fair value measurements table | ||
Embedded derivatives - GLWB | $ 21,707 | $ 11,257 |
Level 3 | Internal model pricing | Minimum | ||
Unobservable Input | ||
Equity Volatility | 15.00% | 15.00% |
Swap Curve | 0.85% | 0.75% |
Lapse Rate | 1.00% | 1.00% |
Level 3 | Internal model pricing | Maximum | ||
Unobservable Input | ||
Equity Volatility | 28.00% | 28.00% |
Swap Curve | 2.50% | 3.00% |
Lapse Rate | 15.00% | 15.00% |
Derivative Financial Instruments, Liabilities | Level 3 | 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 | $ 21,707 | $ 11,257 |
Fair Value Measurements - Rec49
Fair Value Measurements - Recurring not carried at FV (Details 5) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | |
Assets | ||
Mortgage loans on real estate | $ 3,275,312 | $ 3,247,704 |
Policy loans | 4,069,236 | 4,092,661 |
Liabilities | ||
Policyholders’ funds | 262,651 | 299,577 |
Commercial paper | $ 99,171 | 93,371 |
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 | |
Carrying amount | ||
Assets | ||
Mortgage loans on real estate | $ 3,275,312 | 3,247,704 |
Policy loans | 4,069,236 | 4,092,661 |
Limited partnership interests | 33,372 | 35,039 |
Other investments | 14,459 | 14,596 |
Liabilities | ||
Annuity contract benefits without life contingencies | 11,428,441 | 11,104,721 |
Policyholders’ funds | 262,651 | 299,577 |
Commercial paper | 99,171 | 93,371 |
Notes payable | 541,840 | 532,575 |
Estimated fair value | ||
Assets | ||
Mortgage loans on real estate | 3,463,079 | 3,362,496 |
Policy loans | 4,069,236 | 4,092,661 |
Limited partnership interests | 32,725 | 34,882 |
Other investments | 44,723 | 44,723 |
Liabilities | ||
Annuity contract benefits without life contingencies | 11,492,552 | 10,839,205 |
Policyholders’ funds | 262,651 | 299,577 |
Commercial paper | 99,171 | 93,371 |
Notes payable | $ 562,486 | $ 563,633 |
Other Comprehensive Income (Det
Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Other Comprehensive Income [Roll Forward] | |||
Beginning balance | $ 233,438 | $ 603,018 | |
Other comprehensive income (loss) before reclassifications | 239,697 | 105,996 | |
Amounts reclassified from AOCI | (13,144) | (17,877) | |
Other comprehensive income (loss) | [1] | 226,553 | 88,119 |
Ending balance | 459,991 | 691,137 | |
Unrealized holding gains / losses arising on fixed maturities, available-for- sale | |||
Other Comprehensive Income [Roll Forward] | |||
Beginning balance | 339,520 | 784,183 | |
Other comprehensive income (loss) before reclassifications | 290,296 | 117,894 | |
Amounts reclassified from AOCI | (12,980) | (18,316) | |
Other comprehensive income (loss) | 277,316 | 99,578 | |
Ending balance | 616,836 | 883,761 | |
Unrealized holding gains / losses arising on cash flow hedges | |||
Other Comprehensive Income [Roll Forward] | |||
Beginning balance | 45,284 | 33,141 | |
Other comprehensive income (loss) before reclassifications | (1,043) | 11,151 | |
Amounts reclassified from AOCI | (1,616) | (1,468) | |
Other comprehensive income (loss) | (2,659) | 9,683 | |
Ending balance | 42,625 | 42,824 | |
Future policy benefits, DAC and VOBA adjustments | |||
Other Comprehensive Income [Roll Forward] | |||
Beginning balance | (65,785) | (108,194) | |
Other comprehensive income (loss) before reclassifications | (49,556) | (22,834) | |
Amounts reclassified from AOCI | 0 | 0 | |
Other comprehensive income (loss) | (49,556) | (22,834) | |
Ending balance | (115,341) | (131,028) | |
Employee benefit plan adjustment | |||
Other Comprehensive Income [Roll Forward] | |||
Beginning balance | (85,581) | (106,112) | |
Other comprehensive income (loss) before reclassifications | 0 | (215) | |
Amounts reclassified from AOCI | 1,452 | 1,907 | |
Other comprehensive income (loss) | 1,452 | 1,692 | |
Ending balance | $ (84,129) | $ (104,420) | |
[1] | Other comprehensive income includes the non-credit component of impaired gains (losses), net, on fixed maturities available-for-sale in the amounts of $(1,895) and $(2,543) for the three months ended March 31, 2016, and 2015, respectively. |
Other Comprehensive Income (D51
Other Comprehensive Income (Details 2) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Before-tax amount | |||
Unrealized holding gains (losses), net, arising on fixed maturities, available-for-sale | $ 446,610 | $ 181,375 | |
Unrealized holding gains (losses), net, arising on cash flow hedges | (1,604) | 17,155 | |
Reclassification adjustment for (gains) losses, net, realized in net income | (22,456) | (30,437) | |
Net unrealized gains (losses) related to investments | 422,550 | 168,093 | |
Future policy benefits, DAC and VOBA adjustments | (76,240) | (35,129) | |
Net unrealized gains (losses) | 346,310 | 132,964 | |
Employee benefit plan adjustment | 2,234 | 2,603 | |
Other comprehensive income before income taxes | 348,544 | 135,567 | |
Tax (expense) benefit | |||
Unrealized holding gains (losses), net, arising on fixed maturities, available-for-sale | (156,314) | (63,481) | |
Unrealized holding gains (losses), net, arising on cash flow hedges | 561 | (6,004) | |
Reclassification adjustment for (gains) losses, net, realized in net income | 7,860 | 10,653 | |
Net unrealized gains (losses) related to investments | (147,893) | (58,832) | |
Future policy benefits, DAC and VOBA adjustments | 26,684 | 12,295 | |
Net unrealized gains (losses) | (121,209) | (46,537) | |
Employee benefit plan adjustment | (782) | (911) | |
Other comprehensive income (loss) | (121,991) | (47,448) | |
Net-of-tax amount | |||
Unrealized holding gains (losses), net, arising on fixed maturities, available-for-sale | 290,296 | 117,894 | |
Unrealized holding gains (losses), net, arising on cash flow hedges | (1,043) | 11,151 | |
Reclassification adjustment for (gains) losses, net, realized in net income | (14,596) | (19,784) | |
Net unrealized gains (losses) related to investments | 274,657 | 109,261 | |
Future policy benefits, DAC and VOBA adjustments | (49,556) | (22,834) | |
Net unrealized gains (losses) | 225,101 | 86,427 | |
Employee benefit plan adjustment | 1,452 | 1,692 | |
Other comprehensive income (loss) | [1] | $ 226,553 | $ 88,119 |
[1] | Other comprehensive income includes the non-credit component of impaired gains (losses), net, on fixed maturities available-for-sale in the amounts of $(1,895) and $(2,543) for the three months ended March 31, 2016, and 2015, respectively. |
Other Comprehensive Income (D52
Other Comprehensive Income (Details 3) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Reclassifications out of accumulated other comprehensive income (loss) | ||
Other realized investment (gains) losses, net | $ (31,806) | $ (18,650) |
Net investment income | (331,785) | (358,856) |
Prior service (benefits) | (151) | (181) |
Actuarial (gains) | 2,385 | 3,115 |
Tax expense or benefit | (7,860) | (10,653) |
Net of tax | (13,144) | (17,877) |
Amount reclassified from accumulated other comprehensive income (loss) | ||
Reclassifications out of accumulated other comprehensive income (loss) | ||
Net of tax | (13,144) | (17,877) |
Unrealized holding (gains) losses, net, arising on fixed maturities, available-for-sale | ||
Reclassifications out of accumulated other comprehensive income (loss) | ||
Net of tax | (12,980) | (18,316) |
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 | (19,970) | (28,179) |
Total before tax | (19,970) | (28,179) |
Tax expense or benefit | (6,990) | (9,863) |
Net of tax | (12,980) | (18,316) |
Unrealized holding (gains) losses, net, arising on cash flow hedges | ||
Reclassifications out of accumulated other comprehensive income (loss) | ||
Net of tax | (1,616) | (1,468) |
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 | (2,486) | (2,258) |
Total before tax | (2,486) | (2,258) |
Tax expense or benefit | (870) | (790) |
Net of tax | (1,616) | (1,468) |
Amortization of employee benefit plan items | ||
Reclassifications out of accumulated other comprehensive income (loss) | ||
Net of tax | 1,452 | 1,907 |
Amortization of employee benefit plan items | Amount reclassified from accumulated other comprehensive income (loss) | ||
Reclassifications out of accumulated other comprehensive income (loss) | ||
Prior service (benefits) | (151) | (181) |
Actuarial (gains) | 2,385 | 3,115 |
Total before tax | 2,234 | 2,934 |
Tax expense or benefit | 782 | 1,027 |
Net of tax | $ 1,452 | $ 1,907 |
Employee Benefit Plans (Details
Employee Benefit Plans (Details) $ in Thousands | Jan. 01, 2015USD ($)plan_participant | Mar. 31, 2016USD ($) | Mar. 31, 2015USD ($) |
Components of net periodic cost (benefit): | |||
Service cost | $ 1,701 | $ 1,843 | |
Interest cost | 6,901 | 6,654 | |
Expected return on plan assets | (6,278) | (7,087) | |
Amortization of unrecognized prior service costs (benefits) | (151) | (181) | |
Amortization of losses (gains) from earlier periods | 2,385 | 3,115 | |
Net periodic cost (benefit) | 4,558 | 4,344 | |
Defined Benefit Pension Plan | |||
Components of net periodic cost (benefit): | |||
Service cost | 1,335 | 1,509 | |
Interest cost | 6,282 | 5,997 | |
Expected return on plan assets | (6,278) | (7,087) | |
Amortization of unrecognized prior service costs (benefits) | 0 | 3 | |
Amortization of losses (gains) from earlier periods | 2,485 | 3,106 | |
Net periodic cost (benefit) | 3,824 | 3,528 | |
Expected Employer contribution for the year | 0 | ||
Post-Retirement Medical Plan | |||
Components of net periodic cost (benefit): | |||
Service cost | 293 | 264 | |
Interest cost | 175 | 126 | |
Expected return on plan assets | 0 | 0 | |
Amortization of unrecognized prior service costs (benefits) | (276) | (417) | |
Amortization of losses (gains) from earlier periods | (85) | (157) | |
Net periodic cost (benefit) | 107 | (184) | |
Expected Employer contribution for the year | 816 | ||
Payments to plan | 204 | 133 | |
Post-Retirement Medical Plan | Putnam | |||
Components of net periodic cost (benefit): | |||
Number of individuals | plan_participant | 150 | ||
Post-Retirement Medical Plan | Other Liabilities | Putnam | |||
Components of net periodic cost (benefit): | |||
Prior service cost | $ 339 | ||
Supplemental Executive Retirement Plan | |||
Components of net periodic cost (benefit): | |||
Service cost | 73 | 70 | |
Interest cost | 444 | 531 | |
Expected return on plan assets | 0 | 0 | |
Amortization of unrecognized prior service costs (benefits) | 125 | 233 | |
Amortization of losses (gains) from earlier periods | (15) | 166 | |
Net periodic cost (benefit) | 627 | 1,000 | |
Expected Employer contribution for the year | 3,337 | ||
Payments to plan | $ 834 | $ 2,335 |
Income Taxes (Details)
Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Investments, Owned, Federal Income Tax Note [Line Items] | ||
Current | $ 10,640 | $ 28,094 |
Deferred | 13,398 | 23,802 |
Total income tax provision | $ 24,038 | $ 51,896 |
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 | (2.30%) | (2.00%) |
Tax credits | (16.30%) | (0.20%) |
State income taxes, net of federal benefit | 2.30% | 1.30% |
Other, net | 0.90% | 0.40% |
Effective income tax rate | 19.60% | 34.50% |
Reconciliation of unrecognized tax benefits | ||
Amount of unrecognized tax benefits if recognized, would impact the annual effective tax rate | $ 1,843 | $ 2,695 |
Minimum | ||
Reconciliation of unrecognized tax benefits | ||
Additional increase to unrecognized tax benefits | 5,000 | |
Maximum | ||
Reconciliation of unrecognized tax benefits | ||
Additional increase to unrecognized tax benefits | $ 7,000 |
Segment Information (Details)
Segment Information (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016USD ($)segment | Mar. 31, 2015USD ($) | |
Financial information of the segments | ||
Number of reportable segments | segment | 3 | |
Revenues | ||
Premium income | $ 154,927 | $ 145,703 |
Fee income | 225,067 | 225,277 |
Other revenue | 3,149 | 1,820 |
Net investment income | 331,785 | 358,856 |
Realized investment gains (losses), net | 31,270 | 18,200 |
Total revenues | 746,198 | 749,856 |
Benefits and expenses: | ||
Policyholder benefits | 336,743 | 327,671 |
Operating expenses | 286,791 | 271,677 |
Total benefits and expenses | 623,534 | 599,348 |
Income before income taxes | 122,664 | 150,508 |
Income tax expense | 24,038 | 51,896 |
Net income | 98,626 | 98,612 |
Individual Markets | ||
Revenues | ||
Premium income | 133,286 | 124,962 |
Fee income | 22,724 | 21,502 |
Other revenue | 0 | 0 |
Net investment income | 207,693 | 217,653 |
Realized investment gains (losses), net | 11,806 | 8,400 |
Total revenues | 375,509 | 372,517 |
Benefits and expenses: | ||
Policyholder benefits | 267,497 | 256,323 |
Operating expenses | 37,223 | 35,941 |
Total benefits and expenses | 304,720 | 292,264 |
Income before income taxes | 70,789 | 80,253 |
Income tax expense | 23,834 | 28,222 |
Net income | 46,955 | 52,031 |
Empower Retirement | ||
Revenues | ||
Premium income | 346 | 0 |
Fee income | 200,923 | 202,821 |
Other revenue | 3,149 | 1,820 |
Net investment income | 110,534 | 127,730 |
Realized investment gains (losses), net | 19,471 | 9,800 |
Total revenues | 334,423 | 342,171 |
Benefits and expenses: | ||
Policyholder benefits | 49,917 | 49,045 |
Operating expenses | 231,640 | 221,030 |
Total benefits and expenses | 281,557 | 270,075 |
Income before income taxes | 52,866 | 72,096 |
Income tax expense | 651 | 24,380 |
Net income | 52,215 | 47,716 |
Other | ||
Revenues | ||
Premium income | 21,295 | 20,741 |
Fee income | 1,420 | 954 |
Other revenue | 0 | 0 |
Net investment income | 13,558 | 13,473 |
Realized investment gains (losses), net | (7) | 0 |
Total revenues | 36,266 | 35,168 |
Benefits and expenses: | ||
Policyholder benefits | 19,329 | 22,303 |
Operating expenses | 17,928 | 14,706 |
Total benefits and expenses | 37,257 | 37,009 |
Income before income taxes | (991) | (1,841) |
Income tax expense | (447) | (706) |
Net income | $ (544) | $ (1,135) |
Commitments and Contingencies (
Commitments and Contingencies (Details) | 3 Months Ended | ||
Mar. 31, 2016USD ($)letter_of_credit | Dec. 31, 2014USD ($) | Dec. 31, 2015USD ($) | |
Commitments | |||
Unfunded commitments, due in one year | $ 205,160,000 | $ 50,692,000 | |
Unfunded commitments related to cost basis limited partnership interests, due in one year | $ 28,010,000 | 8,692,000 | |
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 | letter_of_credit | 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 | 1,169,670,000 | ||
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 |
(Details)
(Details) $ in Thousands | Apr. 28, 2016USD ($) |
Subsequent event | GWL&A Financial | |
Subsequent event | |
Dividend declared to be paid to the sole shareholder, GWL&A Financial | $ 31,430 |