Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2017 | May 12, 2017 | |
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, 2017 | |
Document Fiscal Year Focus | 2,017 | |
Document Fiscal Period Focus | Q1 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 7,292,708 |
Condensed Consolidated Balance
Condensed Consolidated Balance Sheets - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Investments: | ||
Fixed maturities, available-for-sale, at fair value (amortized cost $21,427,802 and $21,672,727) | $ 22,042,336 | $ 22,153,703 |
Fixed maturities, held-for-trading, at fair value (amortized cost $183,595 and $519,495) | 185,617 | 514,738 |
Mortgage loans on real estate (net of allowances of $1,309 and $2,882) | 3,844,931 | 3,558,826 |
Policy loans | 4,016,844 | 4,019,648 |
Short-term investments (amortized cost $744,063 and $303,988) | 744,063 | 303,988 |
Limited partnership and other corporation interests | 37,948 | 34,895 |
Other investments | 14,529 | 15,052 |
Total investments | 30,886,268 | 30,600,850 |
Other assets: | ||
Cash and cash equivalents | 12,920 | 18,321 |
Reinsurance recoverable | 597,096 | 598,864 |
Deferred acquisition costs (“DAC”) and value of business acquired (“VOBA”) | 490,487 | 486,690 |
Investment income due and accrued | 315,826 | 287,681 |
Collateral under securities lending agreements | 94,531 | 0 |
Due from parent and affiliates | 86,834 | 81,995 |
Goodwill | 137,683 | 137,683 |
Other intangible assets | 19,297 | 20,087 |
Other assets | 1,014,949 | 1,021,210 |
Assets of discontinued operations | 17,213 | 17,652 |
Separate account assets | 27,597,906 | 27,037,765 |
Total assets | 61,271,010 | 60,308,798 |
Policy benefit liabilities: | ||
Future policy benefits | 29,230,356 | 28,872,899 |
Policy and contract claims | 384,990 | 372,259 |
Policyholders’ funds | 241,167 | 285,554 |
Provision for policyholders’ dividends | 48,070 | 49,521 |
Undistributed earnings on participating business | 16,000 | 15,573 |
Total policy benefit liabilities | 29,920,583 | 29,595,806 |
General liabilities: | ||
Due to parent and affiliates | 539,884 | 537,990 |
Commercial paper | 98,645 | 99,049 |
Payable under securities lending agreements | 94,531 | 0 |
Deferred income tax liabilities, net | 230,519 | 191,911 |
Other liabilities | 737,179 | 816,304 |
Liabilities of discontinued operations | 17,213 | 17,652 |
Separate account liabilities | 27,597,906 | 27,037,765 |
Total liabilities | 59,236,460 | 58,296,477 |
Commitments and contingencies (See Note 12) | ||
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; 7,292,708 shares issued and outstanding | 7,293 | 7,293 |
Additional paid-in capital | 863,451 | 863,031 |
Accumulated other comprehensive income | 299,854 | 235,875 |
Retained earnings | 863,952 | 906,122 |
Total stockholder’s equity | 2,034,550 | 2,012,321 |
Total liabilities and stockholder’s equity | $ 61,271,010 | $ 60,308,798 |
Condensed Consolidated Balance3
Condensed Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Statement of Financial Position [Abstract] | ||
Fixed maturities, available-for-sale, amortized cost (in dollars) | $ 21,427,802 | $ 21,672,727 |
Fixed maturities, held for trading, amortized cost (in dollars) | 183,595 | 519,495 |
Mortgage loans on real estate, allowances (in dollars) | 1,309 | 2,882 |
Short-term investments, available-for-sale, amortized cost (in dollars) | $ 744,063 | $ 303,988 |
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 | 7,292,708 | 7,292,708 |
Common stock, number of shares outstanding | 7,292,708 | 7,292,708 |
Condensed Consolidated Statemen
Condensed Consolidated Statements of Income - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Revenues: | ||
Premium income | $ 152,241 | $ 154,927 |
Fee income | 255,116 | 225,067 |
Other revenue | 2,384 | 3,149 |
Net investment income | 313,471 | 331,785 |
Realized investment gains (losses), net: | ||
Total other-than-temporary gains (losses), net | 0 | (536) |
Other realized investment gains (losses), net | (11,754) | 31,806 |
Total realized investment gains (losses), net | (11,754) | 31,270 |
Total revenues | 711,458 | 746,198 |
Benefits and expenses: | ||
Life and other policy benefits | 170,289 | 186,636 |
Increase (decrease) in future policy benefits | 126 | (14,015) |
Interest credited or paid to contractholders | 153,946 | 148,310 |
Provision for policyholders’ share of (losses) earnings on participating business | (2) | (169) |
Dividends to policyholders | 15,069 | 15,981 |
Total benefits | 339,428 | 336,743 |
General insurance expenses | 307,131 | 276,528 |
Amortization of DAC and VOBA | 5,322 | 539 |
Interest expense | 7,630 | 9,724 |
Total benefits and expenses | 659,511 | 623,534 |
Income before income taxes | 51,947 | 122,664 |
Income tax expense | 17,117 | 24,038 |
Net income | $ 34,830 | $ 98,626 |
Condensed Consolidated Stateme5
Condensed Consolidated Statements of Comprehensive Income (Loss) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2017 | Mar. 31, 2016 | ||
Statement of Comprehensive Income [Abstract] | |||
Net income | $ 34,830 | $ 98,626 | |
Components of other comprehensive income | |||
Unrealized holding gains (losses), net, arising on available-for-sale fixed maturity investments | 130,229 | 446,610 | |
Unrealized holding gains (losses), net, arising on cash flow hedges | (6,955) | (1,604) | |
Reclassification adjustment for (gains) losses, net, realized in net income | 1,475 | (22,456) | |
Net unrealized gains (losses) related to investments | 124,749 | 422,550 | |
Future policy benefits, DAC and VOBA adjustments | (28,466) | (76,240) | |
Employee benefit plan adjustment | 2,146 | 2,234 | |
Other comprehensive income before income taxes | 98,429 | 348,544 | |
Income tax expense related to items of other comprehensive income | 34,450 | 121,991 | |
Other comprehensive income (loss) | [1] | 63,979 | 226,553 |
Total comprehensive income | $ 98,809 | $ 325,179 | |
[1] | Other comprehensive income includes the non-credit component of impaired gains (losses), net, on fixed maturities available-for-sale in the amounts of $(1,089) and $(1,895) for the three months ended March 31, 2017, and 2016, respectively |
Condensed Consolidated Stateme6
Condensed Consolidated Statements of Comprehensive Income (Loss) (Parenthetical) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Statement of Comprehensive Income [Abstract] | ||
Non-credit component of impaired gains on fixed maturities available-for-sale | $ (1,089) | $ (1,895) |
Condensed Consolidated Stateme7
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, 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, 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 | |
Beginning balance at Dec. 31, 2016 | 2,012,321 | 7,293 | 863,031 | 235,875 | 906,122 | |
Increase (Decrease) in Stockholder's Equity | ||||||
Net income | 34,830 | 34,830 | ||||
Other comprehensive income, net of income taxes | 63,979 | [1] | 63,979 | |||
Dividends | (77,000) | (77,000) | ||||
Capital contribution - stock-based compensation | 420 | 420 | ||||
Ending balance at Mar. 31, 2017 | $ 2,034,550 | $ 7,293 | $ 863,451 | $ 299,854 | $ 863,952 | |
[1] | Other comprehensive income includes the non-credit component of impaired gains (losses), net, on fixed maturities available-for-sale in the amounts of $(1,089) and $(1,895) for the three months ended March 31, 2017, and 2016, respectively |
Condensed Consolidated Stateme8
Condensed Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Cash flows from operating activities: | ||
Net cash provided by operating activities | $ 361,764 | $ 142,740 |
Proceeds from sales, maturities and redemptions of investments: | ||
Fixed maturities, available-for-sale | 1,825,006 | 1,983,974 |
Mortgage loans on real estate | 54,480 | 92,302 |
Limited partnership interests, other corporation interests and other investments | 1,426 | 2,567 |
Purchases of investments: | ||
Fixed maturities, available-for-sale | (1,599,114) | (1,818,569) |
Mortgage loans on real estate | (335,324) | (117,720) |
Limited partnership interests, other corporation interests and other investments | (4,555) | (1,593) |
Net change in short-term investments | (439,510) | (546,036) |
Net change in policy loans | 279 | (29) |
Purchases of furniture, equipment, and software | (9,978) | (12,064) |
Net cash used in investing activities | (507,290) | (417,168) |
Cash flows from financing activities: | ||
Contract deposits | 778,744 | 851,509 |
Contract withdrawals | (543,572) | (510,660) |
Net change in due to/from parent and affiliates | (2,921) | (11,274) |
Dividends paid | (77,000) | (73,401) |
Payments for and interest paid on financing element derivatives, net | (1,870) | (3,000) |
Net change in commercial paper borrowings | (404) | 5,800 |
Net change in book overdrafts | (12,672) | 92 |
Employee taxes paid for withheld shares | (180) | (433) |
Income tax benefit on share-based compensation | 0 | 141 |
Net cash provided by financing activities | 140,125 | 258,774 |
Net decrease in cash and cash equivalents | (5,401) | (15,654) |
Cash and cash equivalents, beginning of year | 18,321 | 34,362 |
Cash and cash equivalents, end of period | 12,920 | 18,708 |
Net cash paid during the year for: | ||
Income taxes | (3,139) | (8,305) |
Interest | (3,199) | (140) |
Non-cash investing and financing transactions during the years: | ||
Share-based compensation expense | $ 420 | $ 534 |
Organization and Basis of Prese
Organization and Basis of Presentation | 3 Months Ended |
Mar. 31, 2017 | |
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 formed in 1998. GWL&A Financial is a direct wholly-owned subsidiary of Great-West Lifeco U.S. LLC (“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, 2016 , which was derived from the Company’s audited consolidated financial statements, and the unaudited interim condensed consolidated financial statements as of and for the three months ended March 31, 2017 , 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, 2016 . 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, 2017 , 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, 2017 , 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. |
Application of Recent Accountin
Application of Recent Accounting Pronouncements | 3 Months Ended |
Mar. 31, 2017 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Application of Recent Accounting Pronouncements | Application of Recent Accounting Pronouncements Recently adopted accounting pronouncements In March 2016, the FASB issued ASU 2016-09, Compensation-Stock Compensation: Improvements to Employee Share-Based Payment Accounting . The new guidance is effective for the fiscal years beginning after December 15, 2016, including interim periods within those fiscal years, and requires a modified retrospective, a retrospective or a prospective transition approach depending upon the type of change. The new guidance changed several aspects of the accounting for share-based payment award transactions, including: (i) income tax consequences when awards vest or are settled; (ii) classification of awards as either equity or liabilities due to statutory tax withholding requirements; and (iii) classification on the statement of cash flows. The adoption of this ASU did not have a material effect on the Company’s condensed consolidated financial statements. Future adoption of new accounting pronouncements In May 2014, the FASB issued ASU 2014-09, Revenue from Contracts with Customers (“ASU 2014-09”), effective for fiscal years beginning after December 15, 2017 and interim periods within those years. Early adoption is permitted. The guidance may be applied retrospectively for all periods presented or retrospectively with a cumulative-effect adjustment at the date of adoption. The new guidance will supersede nearly all existing revenue recognition guidance under U.S. GAAP; however, it will not impact the accounting for insurance and investment contracts within the scope of financial services insurance, leases, financial instruments and guarantees. The core principle of the model requires that an entity recognizes 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. The Company’s implementation efforts are primarily focused on certain fee income earned from assets under management, assets under administration, shareholder servicing, administration and recordkeeping services, and investment advisory services as well as the evaluation of certain incremental costs to obtain a customer contract which are to be deferred and recognized over the expected customer life. The Company continues to evaluate the impact of this update on its condensed consolidated financial statements. In January 2016, the FASB issued ASU 2016-01, Recognition and Measurement of Financial Assets and Financial Liabilities , effective for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. Early adoption is permitted for the instrument-specific credit risk provision. 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, eliminating certain disclosure requirements related to financial instruments measured at amortized cost and adding disclosures related to the measurement categories of financial assets and financial liabilities, 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 the fair value option for financial instruments, and clarifying 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 Company is currently evaluating the impact of this update on its condensed consolidated financial statements and anticipates the primary change to be the requirement for equity investments such as limited partnership interests, that are currently accounted for under the cost method, to be measured at fair value with changes in the fair value recognized in net income. In February 2016, the FASB issued ASU 2016-02, Leases, effective for annual reporting periods beginning on or after December 15, 2018, and interim periods within those annual periods. Earlier application is permitted as of the beginning of an interim or annual period. This update requires organizations to recognize lease assets and lease liabilities on the balance sheet with lease terms of more than 12 months and also disclose certain qualitative and quantitative information about leasing arrangements. The Company’s implementation efforts are primarily focused on the review of its existing lease contracts and performing a completeness assessment over the lease population. The Company is currently evaluating the impact of this update on its condensed consolidated financial statements. In June 2016, the FASB issued ASU 2016-13, Financial Instruments: Credit Losses: Measurement of Credit Losses on Financial Instruments, effective for fiscal years and interim periods within those beginning after December 15, 2019. Early adoption is permitted for fiscal years beginning after December 15, 2018. This update amends guidance on the impairment of financial instruments by adding an impairment model that is based on expected losses rather than incurred losses and is intended to result in more timely recognition of losses. The standard also simplifies the accounting by decreasing the number of credit impairment models that an entity can use to account for debt instruments. The Company is currently evaluating the impact of this update on its condensed consolidated financial statements. In August 2016, the FASB issued ASU 2016-15, Statement of Cash Flows: Classification of Certain Cash Receipts and Cash Payments (a consensus of the Emerging Issues Task Force), effective for fiscal years and interim periods within those beginning after December 15, 2017. Early adoption is permitted. This ASU addresses diversity in how certain cash receipts and cash payments are presented and classified in the statement of cash flows. The Company is currently evaluating the impact of this update on its condensed consolidated financial statements. In November 2016, the FASB issued ASU 2016-18, Statement of Cash Flows: Restricted Cash (a consensus of the Emerging Issues Task Force ), effective for fiscal years and interim periods within those beginning after December 15, 2017. Early adoption is permitted. This update requires organizations to show the changes in the total of cash, cash equivalents, restricted cash and restricted cash equivalents in the statement of cash flows. The Company is currently evaluating the impact of this update on its condensed consolidated financial statements. In January 2017, the FASB issued ASU 2017-04, Intangibles - Goodwill and Other , effective for annual or any interim goodwill impairment tests after December 15, 2019. Early adoption is permitted for interim or annual goodwill impairment tests performed on testing dates after January 1, 2017. The update eliminates Step 2 from the goodwill impairment test and will require management to perform its goodwill impairment test by comparing the fair value of a reporting unit with its carrying amount. Any amount by which the carrying amount exceeds the reporting unit’s fair value (not to exceed the goodwill allocated to that reporting unit) is recognized as an impairment charge. The Company is currently evaluating the impact of this update on its condensed consolidated financial statements. In March 2017, the FASB issued ASU 2017-07, Compensation-Retirement Benefits: Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost, effective for annual reporting periods beginning on or after December 15, 2017, and interim periods within those annual periods. Earlier application is permitted for all entities as of the beginning of an interim or annual period. This update requires organizations to disaggregate the service cost component from the other components of net benefit costs in the income statement and present it with other current compensation costs for the related employees and present while providing guidance for capitalization eligibility for service costs. The Company is currently evaluating the impact of this update in its condensed consolidated financial statements. |
Dividends
Dividends | 3 Months Ended |
Mar. 31, 2017 | |
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, 2017 , and 2016 , the Company paid dividends of $77,000 and $73,401 , respectively, to its parent, GWL&A Financial. |
Summary of Investments
Summary of Investments | 3 Months Ended |
Mar. 31, 2017 | |
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, 2017 Amortized Gross unrealized Gross unrealized Estimated fair value OTTI (gain) loss Fixed maturities: cost gains losses and carrying value included in AOCI (1) U.S. government direct obligations and U.S. agencies $ 1,813,394 $ 46,163 $ 19,189 $ 1,840,368 $ — Obligations of U.S. states and their subdivisions 1,889,794 215,426 5,121 2,100,099 — Corporate debt securities (2) 14,270,203 512,816 229,442 14,553,577 (1,248 ) Asset-backed securities 1,443,721 101,214 16,671 1,528,264 (70,463 ) Residential mortgage-backed securities 124,522 4,200 996 127,726 (106 ) Commercial mortgage-backed securities 1,353,588 23,313 18,836 1,358,065 — Collateralized debt obligations 532,580 1,693 36 534,237 — Total fixed maturities $ 21,427,802 $ 904,825 $ 290,291 $ 22,042,336 $ (71,817 ) (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 $115,037 and estimated fair value of $105,162 . December 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 $ 3,022,279 $ 47,791 $ 34,958 $ 3,035,112 $ — Obligations of U.S. states and their subdivisions 1,890,568 214,411 6,317 2,098,662 — Corporate debt securities (2) 13,811,597 477,316 309,164 13,979,749 (1,488 ) Asset-backed securities 1,226,493 104,274 18,388 1,312,379 (72,464 ) Residential mortgage-backed securities 138,292 3,867 1,167 140,992 23 Commercial mortgage-backed securities 1,222,257 23,207 20,182 1,225,282 — Collateralized debt obligations 361,241 339 53 361,527 — Total fixed maturities $ 21,672,727 $ 871,205 $ 390,229 $ 22,153,703 $ (73,929 ) (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 $135,187 and estimated fair value of $113,239 . See Note 7 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, 2017 Amortized cost Estimated fair value Maturing in one year or less $ 644,280 $ 662,742 Maturing after one year through five years 3,845,273 4,018,406 Maturing after five years through ten years 6,950,269 7,068,702 Maturing after ten years 5,073,643 5,282,788 Mortgage-backed and asset-backed securities 4,914,337 5,009,698 Total fixed maturities $ 21,427,802 $ 22,042,336 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, 2017 2016 Proceeds from sales $ 1,580,522 $ 1,682,893 Gross realized gains from sales 12,433 19,857 Gross realized losses from sales 15,257 11 Included in net investment income are unrealized gains (losses) of $(277) and $12,622 for the three months ended March 31, 2017, and 2016 , 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, 2017 December 31, 2016 Principal $ 3,843,130 $ 3,558,863 Unamortized premium (discount) and fees, net 4,909 5,541 Foreign exchange translation (1,799 ) (2,696 ) Mortgage provision allowance (1,309 ) (2,882 ) Total mortgage loans $ 3,844,931 $ 3,558,826 The following table summarizes the recorded investment of the mortgage loan portfolio by risk assessment category as of March 31, 2017 , and December 31, 2016 , respectively: March 31, 2017 December 31, 2016 Performing $ 3,844,775 $ 3,560,243 Non-performing 1,465 1,465 Total $ 3,846,240 $ 3,561,708 The following table summarizes activity in the mortgage provision allowance: Three Months Ended March 31, 2017 Year Ended December 31, 2016 Commercial mortgages Commercial mortgages Beginning balance $ 2,882 $ 2,890 Provision increases — 536 Provision decreases (1,573 ) (544 ) Ending balance $ 1,309 $ 2,882 Allowance ending balance by basis of impairment method: Individually evaluated for impairment $ 536 $ 536 Collectively evaluated for impairment 773 2,346 Recorded investment balance in the mortgage loan portfolio, gross of allowance, by basis of impairment method: $ 3,846,240 $ 3,561,708 Individually evaluated for impairment 1,465 1,465 Collectively evaluated for impairment 3,844,775 3,560,243 Limited partnership and other corporation interests — At March 31, 2017 , and December 31, 2016 , the Company had $37,948 and $34,895 , 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 $35,565 and $32,444 at March 31, 2017 , and December 31, 2016 , respectively. Securities lending — Securities with a cost or amortized cost of $164,390 and estimated fair values of $160,012 were on loan under the program at March 31, 2017 . There were no securities on loan at December 31, 2016 . The Company received cash of $94,531 and securities with a fair value of $70,537 as collateral at March 31, 2017 . 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. Under the securities lending program the collateral pledged is, by definition, the securities loaned against the cash borrowed. The following table summarizes the cash collateral liability under the securities lending program, by class of securities loaned: March 31, 2017 December 31, 2016 Cash collateral liability by class of loaned security U.S. government direct obligations and U.S. agencies $ 1,025 $ — Corporate debt securities 93,506 — Total $ 94,531 $ — 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, 2017 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 $ 1,254,124 $ 18,974 $ 10,181 $ 215 $ 1,264,305 $ 19,189 Obligations of U.S. states and their subdivisions 165,820 4,641 10,394 480 176,214 5,121 Corporate debt securities 3,711,201 121,580 880,097 107,862 4,591,298 229,442 Asset-backed securities 458,552 4,905 271,982 11,766 730,534 16,671 Residential mortgage-backed securities 5,755 18 13,386 978 19,141 996 Commercial mortgage-backed securities 630,766 16,473 35,929 2,363 666,695 18,836 Collateralized debt obligations 30,980 36 — — 30,980 36 Total fixed maturities $ 6,257,198 $ 166,627 $ 1,221,969 $ 123,664 $ 7,479,167 $ 290,291 Total number of securities in an unrealized loss position 554 132 686 December 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 $ 2,006,588 $ 34,752 $ 10,526 $ 206 $ 2,017,114 $ 34,958 Obligations of U.S. states and their subdivisions 216,154 5,922 10,498 395 226,652 6,317 Corporate debt securities 4,119,630 170,453 860,153 138,711 4,979,783 309,164 Asset-backed securities 316,065 6,971 230,331 11,417 546,396 18,388 Residential mortgage-backed securities 16,962 102 14,297 1,065 31,259 1,167 Commercial mortgage-backed securities 592,508 17,535 26,068 2,647 618,576 20,182 Collateralized debt obligations 160,612 53 — — 160,612 53 Total fixed maturities $ 7,428,519 $ 235,788 $ 1,151,873 $ 154,441 $ 8,580,392 $ 390,229 Total number of securities in an unrealized loss position 610 128 738 Fixed maturity investments — Total unrealized losses and OTTI decreased by $99,938 , or 26% , from December 31, 2016 , to March 31, 2017 . The majority, or $69,161 , of the decrease was in the less than twelve months category. The overall decrease in unrealized losses was across all asset classes and reflects lower interest rates at March 31, 2017 , compared to December 31, 2016 , resulting in generally higher valuations of these fixed maturity securities. Total unrealized losses greater than twelve months decreased by $30,777 from December 31, 2016 , to March 31, 2017 . Corporate debt securities account for 87% , or $107,862 , of the unrealized losses and OTTI greater than twelve months at March 31, 2017 . Non-investment grade corporate debt securities account for $7,851 of the unrealized losses and OTTI greater than twelve months, and $2,176 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 10% of the unrealized losses and OTTI greater than twelve months at March 31, 2017 . 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, 2017 2016 Beginning balance $ 83,665 $ 102,343 Reductions due to increases in cash flows expected to be collected that are recognized over the remaining life of the security (3,306 ) (3,927 ) Ending balance $ 80,359 $ 98,416 |
Derivative Financial Instrument
Derivative Financial Instruments | 3 Months Ended |
Mar. 31, 2017 | |
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 $49,235 and $38,324 as of March 31, 2017 , and December 31, 2016 , respectively. The Company had pledged collateral related to these derivatives of zero and zero as of March 31, 2017 , and December 31, 2016 , respectively, in the normal course of business. If the credit-risk-related contingent features were triggered on March 31, 2017 , the fair value of assets that could be required to settle the derivatives in a net liability position was $49,235 . At March 31, 2017 , and December 31, 2016 , the Company had pledged zero and zero of unrestricted cash collateral to counterparties in the normal course of business, while other counterparties had pledged $80,145 and $103,214 of unrestricted cash collateral to the Company to satisfy collateral netting agreements, respectively. At March 31, 2017 , the Company estimated $10,436 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. 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. Foreign currency contracts Cross-currency swaps and foreign currency forwards 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. The Company uses foreign currency forwards to reduce the risk of foreign currency exchange rate changes on proceeds received on sales of foreign denominated debt instruments; however, hedge accounting is not 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, 2017 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 $ 37,308 $ 37,308 $ — Cross-currency swaps 666,577 32,731 43,652 10,921 Total cash flow hedges 1,086,377 70,039 80,960 10,921 Total derivatives designated as hedges 1,086,377 70,039 80,960 10,921 Derivatives not designated as hedges: Interest rate swaps 486,100 (6,708 ) 8,187 14,895 Futures on equity indices 31,433 — — — Interest rate futures 74,600 — — — Interest rate swaptions 162,464 265 265 — Other forward contracts 2,538,450 6,784 7,817 1,033 Cross-currency swaps 612,733 19,152 42,071 22,919 Total derivatives not designated as hedges 3,905,780 19,493 58,340 38,847 Total derivative financial instruments $ 4,992,157 $ 89,532 $ 139,300 $ 49,768 (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, 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 $ 33,390 $ 33,390 $ — Cross-currency swaps 614,208 45,347 53,641 8,294 Total cash flow hedges 1,034,008 78,737 87,031 8,294 Total derivatives designated as hedges 1,034,008 78,737 87,031 8,294 Derivatives not designated as hedges: Interest rate swaps 468,100 (4,358 ) 8,982 13,340 Futures on equity indices 34,422 — — — Interest rate futures 81,500 — — — Interest rate swaptions 165,534 354 354 — Cross-currency swaps 612,733 33,371 50,018 16,647 Total derivatives not designated as hedges 1,362,289 29,367 59,354 29,987 Total derivative financial instruments $ 2,396,297 $ 108,104 $ 146,385 $ 38,281 (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, 2017 , was $897,400 , $1,239,581 , $114,425 , $163,232 , and $1,545,788 for interest rate swaps, cross-currency swaps, futures, swaptions, and other forward contracts, respectively. The average notional outstanding during the year ended December 31, 2016 , was $784,900 , $1,141,967 , $145,658 , $156,632 , and $2,230,167 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 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, 2017 2016 2017 2016 Cash flow hedges: Interest rate swaps $ (148 ) $ 525 $ 1,220 $ 1,494 (A) Interest rate swaps 3,843 — (880 ) — (B) Cross-currency swaps (10,650 ) (2,129 ) 1,102 992 (A) Total cash flow hedges $ (6,955 ) $ (1,604 ) $ 1,442 $ 2,486 (A) Net investment income. (B) Interest expense. Gain (loss) on derivatives recognized in net income Three Months Ended March 31, 2017 2016 Derivatives not designated as hedging instruments: Futures on equity indices $ (684 ) (A) $ (230 ) (A) Futures on equity indices (1,284 ) (B) (1,441 ) (B) Interest rate swaps (1,549 ) (A) 10,622 (A) Interest rate futures (14 ) (A) (204 ) (A) Interest rate futures 5 (B) (32 ) (B) Interest rate swaptions (27 ) (A) 134 (A) Interest rate swaptions (74 ) (B) (195 ) (B) Other forward contracts 6,784 (A) 3,056 (A) Other forward contracts (5,597 ) (B) 2,938 (B) Cross-currency swaps (14,168 ) (A) 12,199 (A) Total derivatives not designated as hedging instruments $ (16,608 ) $ 26,847 (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 $4,042 and $5,712 at March 31, 2017 , and December 31, 2016 , respectively. The changes in fair value of the GLWB were $1,670 and $(10,450) for the three months ended March 31, 2017, and 2016 , respectively. |
Summary of Offsetting Assets an
Summary of Offsetting Assets and Liabilities | 3 Months Ended |
Mar. 31, 2017 | |
Offsetting [Abstract] | |
Summary of Offsetting Assets and Liabilities | Summary of Offsetting Assets and Liabilities The Company enters into derivative transactions and short-term reverse repurchase agreements with several approved counterparties. The Company’s derivative transactions are generally governed by MSFTA or ISDA Master Agreements which provide for legally enforceable set-off and close-out netting in the event of default or bankruptcy of the Company’s counterparties. The Company’s MSFTA and ISDA Master Agreements generally include provisions which require both the pledging and accepting of collateral in connection with its derivative transactions. These provisions have the effect of securing each party’s position to the extent of collateral held. Short-term reverse repurchase agreements also include collateral provisions with the counterparty. The following tables summarize the effect of master netting arrangements on the Company’s financial position in the normal course of business and in the event of default or bankruptcy of the Company’s counterparties: March 31, 2017 Gross fair value not offset in balance sheets Gross fair value of Financial Cash collateral Net Financial instruments (assets): recognized assets (1) instruments received fair value Derivative instruments (2) $ 104,020 $ (35,694 ) $ (65,290 ) $ 3,036 Short-term reverse repurchase agreement (3) 34,500 (34,500 ) — — Total financial instruments (assets) 138,520 (70,194 ) (65,290 ) 3,036 March 31, 2017 Gross fair value not offset in balance sheets Gross fair value of Financial Cash collateral Net Financial instruments (liabilities): recognized liabilities (1) instruments pledged fair value Derivative instruments (4) 35,943 (35,694 ) — 249 (1) The gross fair value of derivative instrument and short-term reverse repurchase agreement 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 short-term reverse repurchase agreement assets is reported in short-term investments in the condensed consolidated balance sheets. The collateral is held by an independent third-party custodian under a tri-party agreement. (4) The estimated fair value of derivative instrument liabilities is reported in other liabilities in the condensed consolidated balance sheets. Derivative transactions entered into under ISDA master agreements include income and expense accruals. December 31, 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/(pledged) fair value Derivative instruments (assets) (2) $ 119,862 $ (26,254 ) $ 92,756 $ 852 Derivative instruments (liabilities) (3) 26,254 (26,254 ) — — (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, 2017 | |
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, 2017 Quoted prices Significant in active other Significant Total Assets Fixed maturities available-for-sale: U.S. government direct obligations and U.S. agencies $ — $ 1,840,368 $ — $ 1,840,368 Obligations of U.S. states and their subdivisions — 2,100,099 — 2,100,099 Corporate debt securities — 14,542,646 10,931 14,553,577 Asset-backed securities — 1,528,264 — 1,528,264 Residential mortgage-backed securities — 127,726 — 127,726 Commercial mortgage-backed securities — 1,358,065 — 1,358,065 Collateralized debt obligations — 534,237 — 534,237 Total fixed maturities available-for-sale — 22,031,405 10,931 22,042,336 Fixed maturities held-for-trading: U.S. government direct obligations and U.S. agencies — 129,296 — 129,296 Corporate debt securities — 55,249 — 55,249 Commercial mortgage-backed securities — 1,072 — 1,072 Total fixed maturities held-for-trading — 185,617 — 185,617 Short-term investments 262,866 481,197 — 744,063 Collateral under securities lending agreements 94,531 — — 94,531 Collateral under derivative counterparty collateral agreements 80,145 — — 80,145 Derivative instruments designated as hedges: Interest rate swaps — 37,308 — 37,308 Cross-currency swaps — 43,652 — 43,652 Derivative instruments not designated as hedges: Interest rate swaps — 8,187 — 8,187 Interest rate swaptions — 265 — 265 Other forward contracts — 7,817 — 7,817 Cross-currency swaps — 42,071 — 42,071 Total derivative instruments — 139,300 — 139,300 Separate account assets (1) 15,849,064 11,330,972 — 27,597,906 Total assets $ 16,286,606 $ 34,168,491 $ 10,931 $ 50,883,898 Liabilities Payable under securities lending agreements $ 94,531 $ — $ — $ 94,531 Collateral under derivative counterparty collateral agreements 80,145 — — 80,145 Derivative instruments designated as hedges: Cross-currency swaps — 10,921 — 10,921 Derivative instruments not designated as hedges: Interest rate swaps — 14,895 — 14,895 Other forward contracts — 1,033 — 1,033 Cross-currency swaps — 22,919 — 22,919 Total derivative instruments — 49,768 — 49,768 Embedded derivatives - GLWB — — 4,042 4,042 Separate account liabilities (2) 26 409,044 — 409,070 Total liabilities $ 174,702 $ 458,812 $ 4,042 $ 637,556 (1) Included in the total fair value amount are $418 million of investments as of March 31, 2017 for which the fair value is estimated using net asset value per unit as a practical expedient which are excluded from the disclosure requirement to classify amounts in the fair value hierarchy in connection with the adoption of ASU 2015-07. (2) Includes only separate account instruments which are carried at the fair value of the underlying liabilities owned by the separate accounts. Assets and liabilities measured at fair value on a recurring basis December 31, 2016 Quoted prices Significant in active other Significant Total Assets Fixed maturities available-for-sale: U.S. government direct obligations and U.S. agencies $ — $ 3,035,112 $ — $ 3,035,112 Obligations of U.S. states and their subdivisions — 2,098,662 — 2,098,662 Corporate debt securities — 13,968,110 11,639 13,979,749 Asset-backed securities — 1,312,379 — 1,312,379 Residential mortgage-backed securities — 140,992 — 140,992 Commercial mortgage-backed securities — 1,225,282 — 1,225,282 Collateralized debt obligations — 361,527 — 361,527 Total fixed maturities available-for-sale — 22,142,064 11,639 22,153,703 Fixed maturities held-for-trading: U.S. government direct obligations and U.S. agencies — 458,067 — 458,067 Corporate debt securities — 55,591 — 55,591 Commercial mortgage-backed securities — 1,080 — 1,080 Total fixed maturities held-for-trading — 514,738 — 514,738 Short-term investments 267,851 36,137 — 303,988 Collateral under derivative counterparty collateral agreements 103,214 — — 103,214 Derivative instruments designated as hedges: Interest rate swaps — 33,390 — 33,390 Cross-currency swaps — 53,641 — 53,641 Derivative instruments not designated as hedges: Interest rate swaps — 8,982 — 8,982 Interest rate swaptions — 354 — 354 Cross-currency swaps — 50,018 — 50,018 Total derivative instruments — 146,385 — 146,385 Separate account assets (1) 15,407,992 11,199,924 — 27,037,765 Total assets $ 15,779,057 $ 34,039,248 $ 11,639 $ 50,259,793 Liabilities Collateral under derivative counterparty collateral agreements $ 103,214 $ — $ — $ 103,214 Derivative instruments designated as hedges: Cross-currency swaps — 8,294 — 8,294 Derivative instruments not designated as hedges: Interest rate swaps — 13,340 — 13,340 Cross-currency swaps — 16,647 — 16,647 Total derivative instruments — 38,281 — 38,281 Embedded derivatives - GLWB — — 5,712 5,712 Separate account liabilities (2) 55 336,468 — 336,523 Total liabilities $ 103,269 $ 374,749 $ 5,712 $ 483,730 (1) Included in the total fair value amount are $430 million of investments as of December 31, 2016 for which the fair value is estimated using net asset value per unit as a practical expedient which are excluded from the disclosure requirement to classify amounts in the fair value hierarchy in connection with the adoption of ASU 2015-07. (2) Includes only separate account instruments which are carried at the fair value of the underlying liabilities owned by the separate accounts. 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 evaluated prices from independent pricing services. In cases where these prices are not readily available, fair values are estimated by the Company. To determine estimated fair value for these instruments, the Company generally utilizes discounted cash flows models with market observable pricing inputs such as spreads, average life, and credit quality. Fair value estimates are made at a specific point in time, based on available market information and judgments about financial instruments, including estimates of the timing and amounts of expected future cash flows and the credit standing of the issuer or counterparty. Short-term investments and securities lending agreements The amortized cost of short-term investments, collateral under securities lending agreements, and payable under securities lending agreements is a reasonable estimate of fair value due to their short-term nature and high credit quality of the issuers. Derivative counterparty collateral agreements Included in other assets is cash collateral received from or pledged to derivative counterparties and included in other liabilities is the obligation to return the cash collateral to the counterparties. The carrying value of the collateral is a reasonable estimate of fair value. Derivative instruments Included in other assets and other liabilities are derivative financial instruments. The estimated fair values of OTC derivatives, primarily consisting of cross-currency swaps, interest rate swaps, interest rate swaptions, and other forward contracts, are the estimated amounts the Company would receive or pay to terminate the agreements at the end of each reporting period, taking into consideration current interest rates and other relevant factors. Embedded derivative - GLWB Significant unobservable inputs used in the fair value measurements of GLWB include long-term equity and interest rate implied volatility, mortality, and policyholder behavior assumptions, such as benefit utilization, lapses, and partial withdrawals. Separate account assets and liabilities Separate account assets and liabilities primarily include investments in mutual fund, fixed maturity, and short-term securities. Mutual funds are recorded at net asset value, which approximates fair value, on a daily basis. The fixed maturity and short-term investments are valued in the same manner, and using the same pricing sources and inputs as the fixed maturity and short-term investments of the Company. The following tables present additional information about assets and liabilities measured at fair value on a recurring basis and for which the Company has utilized Level 3 inputs to determine fair value: Recurring Level 3 financial assets and liabilities Three Months Ended March 31, 2017 Assets Liabilities Fixed maturities available-for-sale Embedded Corporate derivatives debt securities - GLWB Balances, January 1, 2017 $ 11,639 $ 5,712 Realized and unrealized gains (losses) included in: Net income (loss) — 1,670 Other comprehensive income (loss) (364 ) — Settlements (344 ) — Balances, March 31, 2017 $ 10,931 $ 4,042 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, 2017 $ — $ 1,670 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 (loss) — (10,450 ) Other comprehensive income (loss) 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. The following table presents significant unobservable inputs used during the valuation of certain liabilities categorized within Level 3 of the recurring fair value measurements table: Range Valuation Technique Unobservable Input March 31, 2017 December 31, 2016 Embedded derivatives - GLWB Risk neutral stochastic valuation methodology Equity volatility 15% - 28% 15% - 30% Swap curve 1.38% - 2.66% 0.75% - 3.00% Mortality rate Based on the Annuity 2000 Mortality Table Based on the Annuity 2000 Mortality Table Base Lapse rate 1% - 15% 1% - 15% Fair value of financial instruments The following tables summarize the carrying amounts and estimated fair values of the Company’s financial instruments and investments not carried at fair value on a recurring basis: March 31, 2017 December 31, 2016 Carrying Estimated Carrying Estimated amount fair value amount fair value Assets Mortgage loans on real estate $ 3,844,931 $ 3,915,687 $ 3,558,826 $ 3,574,240 Policy loans 4,016,844 4,016,844 4,019,648 4,019,648 Limited partnership interests 32,579 31,947 29,345 29,822 Other investments 13,935 44,243 14,382 44,687 Liabilities Annuity contract benefits without life contingencies $ 12,383,984 $ 12,249,498 $ 12,291,378 $ 12,129,631 Policyholders’ funds 241,167 241,167 285,554 285,554 Commercial paper 98,645 98,645 99,049 99,049 Notes payable 534,339 528,415 531,092 495,004 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 one to 10 years . The estimated fair value is classified as Level 3. Other investments Other investments primarily include real estate held for investment. The estimated fair value for real estate is based on the unadjusted appraised value which includes factors such as comparable property sales, property income analysis, and capitalization rates. The estimated fair value is classified as Level 3. 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, 2017 | |
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, 2017 Unrealized Unrealized Future policy Employee Total Balances, January 1, 2017 $ 311,748 $ 67,076 $ (58,646 ) $ (84,303 ) $ 235,875 Other comprehensive income (loss) before reclassifications 84,649 (4,521 ) (18,503 ) — 61,625 Amounts reclassified from AOCI 1,896 (937 ) — 1,395 2,354 Net current period other comprehensive income (loss) 86,545 (5,458 ) (18,503 ) 1,395 63,979 Balances, March 31, 2017 $ 398,293 $ 61,618 $ (77,149 ) $ (82,908 ) $ 299,854 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 The following tables present the composition of other comprehensive income (loss): Three Months Ended March 31, 2017 Before-tax Tax (expense) Net-of-tax amount benefit amount Unrealized holding gains (losses), net, arising on fixed maturities, available-for-sale $ 130,229 $ (45,580 ) $ 84,649 Unrealized holding gains (losses), net, arising on cash flow hedges (6,955 ) 2,434 (4,521 ) Reclassification adjustment for (gains) losses, net, realized in net income 1,475 (516 ) 959 Net unrealized gains (losses) related to investments 124,749 (43,662 ) 81,087 Future policy benefits, DAC and VOBA adjustments (28,466 ) 9,963 (18,503 ) Net unrealized gains (losses) 96,283 (33,699 ) 62,584 Employee benefit plan adjustment 2,146 (751 ) 1,395 Other comprehensive income (loss) $ 98,429 $ (34,450 ) $ 63,979 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 The following tables presents the reclassifications out of accumulated other comprehensive income (loss): Three Months Ended March 31, 2017 2016 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 $ 2,917 $ (19,970 ) Other realized investment (gains) losses, net 2,917 (19,970 ) Total before tax 1,021 (6,990 ) Tax expense or benefit $ 1,896 $ (12,980 ) Net of tax Unrealized holding (gains) losses, net, arising on cash flow hedges $ (2,322 ) $ (2,486 ) Net investment income 880 — Interest Expense (1,442 ) (2,486 ) Total before tax (505 ) (870 ) Tax expense or benefit $ (937 ) $ (1,616 ) Net of tax Amortization of employee benefit plan items Prior service (benefits) $ 73 (1) $ (151 ) (1) Actuarial (gains) 2,073 (1) 2,385 (1) 2,146 2,234 Total before tax 751 782 Tax expense or benefit $ 1,395 $ 1,452 Net of tax Total reclassification $ 2,354 $ (13,144 ) 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 9 for additional details). |
Employee Benefit Plans
Employee Benefit Plans | 3 Months Ended |
Mar. 31, 2017 | |
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 2017 2016 2017 2016 2017 2016 2017 2016 Components of net periodic cost (benefit): Service cost $ (2,067 ) $ 1,335 $ 357 $ 293 $ (4 ) $ 73 $ (1,714 ) $ 1,701 Interest cost 6,121 6,282 188 175 405 444 6,714 6,901 Expected return on plan assets (5,118 ) (6,278 ) — — — — (5,118 ) (6,278 ) Amortization of unrecognized prior service costs (benefits) — — (52 ) (276 ) 125 125 73 (151 ) Amortization of losses (gains) from earlier periods 2,199 2,485 (113 ) (85 ) (13 ) (15 ) 2,073 2,385 Net periodic cost (benefit) $ 1,135 $ 3,824 $ 380 $ 107 $ 513 $ 627 $ 2,028 $ 4,558 The Company expects to make payments of approximately $678 with respect to its Post-Retirement Medical Plan and $3,336 with respect to its Supplemental Executive Retirement Plan during the year ended December 31, 2017 . The Company expects to make contributions of zero to its Defined Benefit Pension Plan during the year ended December 31, 2017 . 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, 2017 2016 Payments to the Post-Retirement Medical Plan 169 204 Payments to the Supplemental Executive Retirement Plan 834 834 |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2017 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes The provision for income taxes is comprised of the following: Three Months Ended March 31, 2017 2016 Current expense $ 12,959 $ 10,640 Deferred expense 4,158 13,398 Total income tax provision $ 17,117 $ 24,038 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, 2017 2016 Statutory federal income tax rate 35.0 % 35.0 % Income tax effect of: Investment income not subject to federal tax (3.3 )% (2.3 )% Tax credits (0.8 )% (16.3 )% State income taxes, net of federal benefit 1.8 % 2.3 % Other, net 0.3 % 0.9 % Effective income tax rate 33.0 % 19.6 % During the three months ended March 31, 2017, and 2016 , the Company recorded an increase in unrecognized tax benefits in the amount of $1,994 and $1,843 respectively. The Company anticipates additional decreases to its unrecognized tax benefits of $7,000 to $9,000 in the next twelve months. The Company expects that the majority of the decrease 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 2012 and prior. Tax years 2013 through 2015 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, 2017 | |
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, and Other. Individual Markets The Individual Markets reporting and operating segment distributes life insurance and individual annuity 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 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”) (“the GWSC operating segment”), 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. The Company evaluates performance of its reportable segments based on their profitability from operations after income taxes. 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, 2017 Individual Empower Markets Retirement Other Total Revenue: Premium income $ 131,559 $ 91 $ 20,591 $ 152,241 Fee income 25,981 227,320 1,815 255,116 Other revenue — 2,384 — 2,384 Net investment income 184,205 117,620 11,646 313,471 Realized investment gains (losses), net 584 (12,316 ) (22 ) (11,754 ) Total revenues 342,329 335,099 34,030 711,458 Benefits and expenses: Policyholder benefits 270,088 47,629 21,711 339,428 Operating expenses 38,386 255,764 25,933 320,083 Total benefits and expenses 308,474 303,393 47,644 659,511 Income (loss) before income taxes 33,855 31,706 (13,614 ) 51,947 Income tax expense (benefit) 11,650 10,426 (4,959 ) 17,117 Net income (loss) $ 22,205 $ 21,280 $ (8,655 ) $ 34,830 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 |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2017 | |
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, 2017 , and December 31, 2016 . At March 31, 2017 , and December 31, 2016 , 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 $1,154,380 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, 2017 , and December 31, 2016 , 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, 2017 , and December 31, 2016 , 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, 2017 , and December 31, 2016 , were $550,139 and $438,458 , of which $88,903 and $93,440 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, 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 lawsuits relating to the costs and features of certain of its retirement or fund products. These actions have not reached the trial stage. 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, 2017 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events On April 26, 2017, the Company’s Board of Directors declared a dividend of $60,301 payable on June 15, 2017, to its sole shareholder, GWL&A Financial. |
Organization and Basis of Pre22
Organization and Basis of Presentation (Policies) | 3 Months Ended |
Mar. 31, 2017 | |
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, 2016 , which was derived from the Company’s audited consolidated financial statements, and the unaudited interim condensed consolidated financial statements as of and for the three months ended March 31, 2017 , 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, 2016 . 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, 2017 , 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, 2017 , 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. |
Application of Recent Account23
Application of Recent Accounting Pronouncements (Policies) | 3 Months Ended |
Mar. 31, 2017 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
New Accounting Pronouncements | Application of Recent Accounting Pronouncements Recently adopted accounting pronouncements In March 2016, the FASB issued ASU 2016-09, Compensation-Stock Compensation: Improvements to Employee Share-Based Payment Accounting . The new guidance is effective for the fiscal years beginning after December 15, 2016, including interim periods within those fiscal years, and requires a modified retrospective, a retrospective or a prospective transition approach depending upon the type of change. The new guidance changed several aspects of the accounting for share-based payment award transactions, including: (i) income tax consequences when awards vest or are settled; (ii) classification of awards as either equity or liabilities due to statutory tax withholding requirements; and (iii) classification on the statement of cash flows. The adoption of this ASU did not have a material effect on the Company’s condensed consolidated financial statements. Future adoption of new accounting pronouncements In May 2014, the FASB issued ASU 2014-09, Revenue from Contracts with Customers (“ASU 2014-09”), effective for fiscal years beginning after December 15, 2017 and interim periods within those years. Early adoption is permitted. The guidance may be applied retrospectively for all periods presented or retrospectively with a cumulative-effect adjustment at the date of adoption. The new guidance will supersede nearly all existing revenue recognition guidance under U.S. GAAP; however, it will not impact the accounting for insurance and investment contracts within the scope of financial services insurance, leases, financial instruments and guarantees. The core principle of the model requires that an entity recognizes 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. The Company’s implementation efforts are primarily focused on certain fee income earned from assets under management, assets under administration, shareholder servicing, administration and recordkeeping services, and investment advisory services as well as the evaluation of certain incremental costs to obtain a customer contract which are to be deferred and recognized over the expected customer life. The Company continues to evaluate the impact of this update on its condensed consolidated financial statements. In January 2016, the FASB issued ASU 2016-01, Recognition and Measurement of Financial Assets and Financial Liabilities , effective for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. Early adoption is permitted for the instrument-specific credit risk provision. 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, eliminating certain disclosure requirements related to financial instruments measured at amortized cost and adding disclosures related to the measurement categories of financial assets and financial liabilities, 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 the fair value option for financial instruments, and clarifying 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 Company is currently evaluating the impact of this update on its condensed consolidated financial statements and anticipates the primary change to be the requirement for equity investments such as limited partnership interests, that are currently accounted for under the cost method, to be measured at fair value with changes in the fair value recognized in net income. In February 2016, the FASB issued ASU 2016-02, Leases, effective for annual reporting periods beginning on or after December 15, 2018, and interim periods within those annual periods. Earlier application is permitted as of the beginning of an interim or annual period. This update requires organizations to recognize lease assets and lease liabilities on the balance sheet with lease terms of more than 12 months and also disclose certain qualitative and quantitative information about leasing arrangements. The Company’s implementation efforts are primarily focused on the review of its existing lease contracts and performing a completeness assessment over the lease population. The Company is currently evaluating the impact of this update on its condensed consolidated financial statements. In June 2016, the FASB issued ASU 2016-13, Financial Instruments: Credit Losses: Measurement of Credit Losses on Financial Instruments, effective for fiscal years and interim periods within those beginning after December 15, 2019. Early adoption is permitted for fiscal years beginning after December 15, 2018. This update amends guidance on the impairment of financial instruments by adding an impairment model that is based on expected losses rather than incurred losses and is intended to result in more timely recognition of losses. The standard also simplifies the accounting by decreasing the number of credit impairment models that an entity can use to account for debt instruments. The Company is currently evaluating the impact of this update on its condensed consolidated financial statements. In August 2016, the FASB issued ASU 2016-15, Statement of Cash Flows: Classification of Certain Cash Receipts and Cash Payments (a consensus of the Emerging Issues Task Force), effective for fiscal years and interim periods within those beginning after December 15, 2017. Early adoption is permitted. This ASU addresses diversity in how certain cash receipts and cash payments are presented and classified in the statement of cash flows. The Company is currently evaluating the impact of this update on its condensed consolidated financial statements. In November 2016, the FASB issued ASU 2016-18, Statement of Cash Flows: Restricted Cash (a consensus of the Emerging Issues Task Force ), effective for fiscal years and interim periods within those beginning after December 15, 2017. Early adoption is permitted. This update requires organizations to show the changes in the total of cash, cash equivalents, restricted cash and restricted cash equivalents in the statement of cash flows. The Company is currently evaluating the impact of this update on its condensed consolidated financial statements. In January 2017, the FASB issued ASU 2017-04, Intangibles - Goodwill and Other , effective for annual or any interim goodwill impairment tests after December 15, 2019. Early adoption is permitted for interim or annual goodwill impairment tests performed on testing dates after January 1, 2017. The update eliminates Step 2 from the goodwill impairment test and will require management to perform its goodwill impairment test by comparing the fair value of a reporting unit with its carrying amount. Any amount by which the carrying amount exceeds the reporting unit’s fair value (not to exceed the goodwill allocated to that reporting unit) is recognized as an impairment charge. The Company is currently evaluating the impact of this update on its condensed consolidated financial statements. In March 2017, the FASB issued ASU 2017-07, Compensation-Retirement Benefits: Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost, effective for annual reporting periods beginning on or after December 15, 2017, and interim periods within those annual periods. Earlier application is permitted for all entities as of the beginning of an interim or annual period. This update requires organizations to disaggregate the service cost component from the other components of net benefit costs in the income statement and present it with other current compensation costs for the related employees and present while providing guidance for capitalization eligibility for service costs. The Company is currently evaluating the impact of this update in its condensed consolidated financial statements. |
Summary of Investments (Tables)
Summary of Investments (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
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, 2017 Amortized Gross unrealized Gross unrealized Estimated fair value OTTI (gain) loss Fixed maturities: cost gains losses and carrying value included in AOCI (1) U.S. government direct obligations and U.S. agencies $ 1,813,394 $ 46,163 $ 19,189 $ 1,840,368 $ — Obligations of U.S. states and their subdivisions 1,889,794 215,426 5,121 2,100,099 — Corporate debt securities (2) 14,270,203 512,816 229,442 14,553,577 (1,248 ) Asset-backed securities 1,443,721 101,214 16,671 1,528,264 (70,463 ) Residential mortgage-backed securities 124,522 4,200 996 127,726 (106 ) Commercial mortgage-backed securities 1,353,588 23,313 18,836 1,358,065 — Collateralized debt obligations 532,580 1,693 36 534,237 — Total fixed maturities $ 21,427,802 $ 904,825 $ 290,291 $ 22,042,336 $ (71,817 ) (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 $115,037 and estimated fair value of $105,162 . December 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 $ 3,022,279 $ 47,791 $ 34,958 $ 3,035,112 $ — Obligations of U.S. states and their subdivisions 1,890,568 214,411 6,317 2,098,662 — Corporate debt securities (2) 13,811,597 477,316 309,164 13,979,749 (1,488 ) Asset-backed securities 1,226,493 104,274 18,388 1,312,379 (72,464 ) Residential mortgage-backed securities 138,292 3,867 1,167 140,992 23 Commercial mortgage-backed securities 1,222,257 23,207 20,182 1,225,282 — Collateralized debt obligations 361,241 339 53 361,527 — Total fixed maturities $ 21,672,727 $ 871,205 $ 390,229 $ 22,153,703 $ (73,929 ) (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 $135,187 and estimated fair value of $113,239 . |
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, 2017 Amortized cost Estimated fair value Maturing in one year or less $ 644,280 $ 662,742 Maturing after one year through five years 3,845,273 4,018,406 Maturing after five years through ten years 6,950,269 7,068,702 Maturing after ten years 5,073,643 5,282,788 Mortgage-backed and asset-backed securities 4,914,337 5,009,698 Total fixed maturities $ 21,427,802 $ 22,042,336 |
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, 2017 2016 Proceeds from sales $ 1,580,522 $ 1,682,893 Gross realized gains from sales 12,433 19,857 Gross realized losses from sales 15,257 11 |
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, 2017 December 31, 2016 Principal $ 3,843,130 $ 3,558,863 Unamortized premium (discount) and fees, net 4,909 5,541 Foreign exchange translation (1,799 ) (2,696 ) Mortgage provision allowance (1,309 ) (2,882 ) Total mortgage loans $ 3,844,931 $ 3,558,826 |
Summary of 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, 2017 , and December 31, 2016 , respectively: March 31, 2017 December 31, 2016 Performing $ 3,844,775 $ 3,560,243 Non-performing 1,465 1,465 Total $ 3,846,240 $ 3,561,708 |
Summary of activity in the mortgage provision allowance | The following table summarizes activity in the mortgage provision allowance: Three Months Ended March 31, 2017 Year Ended December 31, 2016 Commercial mortgages Commercial mortgages Beginning balance $ 2,882 $ 2,890 Provision increases — 536 Provision decreases (1,573 ) (544 ) Ending balance $ 1,309 $ 2,882 Allowance ending balance by basis of impairment method: Individually evaluated for impairment $ 536 $ 536 Collectively evaluated for impairment 773 2,346 Recorded investment balance in the mortgage loan portfolio, gross of allowance, by basis of impairment method: $ 3,846,240 $ 3,561,708 Individually evaluated for impairment 1,465 1,465 Collectively evaluated for impairment 3,844,775 3,560,243 |
Collateral received for securities loaned | The following table summarizes the cash collateral liability under the securities lending program, by class of securities loaned: March 31, 2017 December 31, 2016 Cash collateral liability by class of loaned security U.S. government direct obligations and U.S. agencies $ 1,025 $ — Corporate debt securities 93,506 — Total $ 94,531 $ — |
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, 2017 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 $ 1,254,124 $ 18,974 $ 10,181 $ 215 $ 1,264,305 $ 19,189 Obligations of U.S. states and their subdivisions 165,820 4,641 10,394 480 176,214 5,121 Corporate debt securities 3,711,201 121,580 880,097 107,862 4,591,298 229,442 Asset-backed securities 458,552 4,905 271,982 11,766 730,534 16,671 Residential mortgage-backed securities 5,755 18 13,386 978 19,141 996 Commercial mortgage-backed securities 630,766 16,473 35,929 2,363 666,695 18,836 Collateralized debt obligations 30,980 36 — — 30,980 36 Total fixed maturities $ 6,257,198 $ 166,627 $ 1,221,969 $ 123,664 $ 7,479,167 $ 290,291 Total number of securities in an unrealized loss position 554 132 686 December 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 $ 2,006,588 $ 34,752 $ 10,526 $ 206 $ 2,017,114 $ 34,958 Obligations of U.S. states and their subdivisions 216,154 5,922 10,498 395 226,652 6,317 Corporate debt securities 4,119,630 170,453 860,153 138,711 4,979,783 309,164 Asset-backed securities 316,065 6,971 230,331 11,417 546,396 18,388 Residential mortgage-backed securities 16,962 102 14,297 1,065 31,259 1,167 Commercial mortgage-backed securities 592,508 17,535 26,068 2,647 618,576 20,182 Collateralized debt obligations 160,612 53 — — 160,612 53 Total fixed maturities $ 7,428,519 $ 235,788 $ 1,151,873 $ 154,441 $ 8,580,392 $ 390,229 Total number of securities in an unrealized loss position 610 128 738 |
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, 2017 2016 Beginning balance $ 83,665 $ 102,343 Reductions due to increases in cash flows expected to be collected that are recognized over the remaining life of the security (3,306 ) (3,927 ) Ending balance $ 80,359 $ 98,416 |
Derivative Financial Instrume25
Derivative Financial Instruments (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
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, 2017 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 $ 37,308 $ 37,308 $ — Cross-currency swaps 666,577 32,731 43,652 10,921 Total cash flow hedges 1,086,377 70,039 80,960 10,921 Total derivatives designated as hedges 1,086,377 70,039 80,960 10,921 Derivatives not designated as hedges: Interest rate swaps 486,100 (6,708 ) 8,187 14,895 Futures on equity indices 31,433 — — — Interest rate futures 74,600 — — — Interest rate swaptions 162,464 265 265 — Other forward contracts 2,538,450 6,784 7,817 1,033 Cross-currency swaps 612,733 19,152 42,071 22,919 Total derivatives not designated as hedges 3,905,780 19,493 58,340 38,847 Total derivative financial instruments $ 4,992,157 $ 89,532 $ 139,300 $ 49,768 (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, 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 $ 33,390 $ 33,390 $ — Cross-currency swaps 614,208 45,347 53,641 8,294 Total cash flow hedges 1,034,008 78,737 87,031 8,294 Total derivatives designated as hedges 1,034,008 78,737 87,031 8,294 Derivatives not designated as hedges: Interest rate swaps 468,100 (4,358 ) 8,982 13,340 Futures on equity indices 34,422 — — — Interest rate futures 81,500 — — — Interest rate swaptions 165,534 354 354 — Cross-currency swaps 612,733 33,371 50,018 16,647 Total derivatives not designated as hedges 1,362,289 29,367 59,354 29,987 Total derivative financial instruments $ 2,396,297 $ 108,104 $ 146,385 $ 38,281 (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 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, 2017 2016 2017 2016 Cash flow hedges: Interest rate swaps $ (148 ) $ 525 $ 1,220 $ 1,494 (A) Interest rate swaps 3,843 — (880 ) — (B) Cross-currency swaps (10,650 ) (2,129 ) 1,102 992 (A) Total cash flow hedges $ (6,955 ) $ (1,604 ) $ 1,442 $ 2,486 (A) Net investment income. (B) Interest expense. Gain (loss) on derivatives recognized in net income Three Months Ended March 31, 2017 2016 Derivatives not designated as hedging instruments: Futures on equity indices $ (684 ) (A) $ (230 ) (A) Futures on equity indices (1,284 ) (B) (1,441 ) (B) Interest rate swaps (1,549 ) (A) 10,622 (A) Interest rate futures (14 ) (A) (204 ) (A) Interest rate futures 5 (B) (32 ) (B) Interest rate swaptions (27 ) (A) 134 (A) Interest rate swaptions (74 ) (B) (195 ) (B) Other forward contracts 6,784 (A) 3,056 (A) Other forward contracts (5,597 ) (B) 2,938 (B) Cross-currency swaps (14,168 ) (A) 12,199 (A) Total derivatives not designated as hedging instruments $ (16,608 ) $ 26,847 (A) Net investment income. (B) Represents realized gains (losses) on closed positions recorded in realized investment gains (losses), net. |
Summary of Offsetting Assets 26
Summary of Offsetting Assets and Liabilities (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
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, 2017 Gross fair value not offset in balance sheets Gross fair value of Financial Cash collateral Net Financial instruments (assets): recognized assets (1) instruments received fair value Derivative instruments (2) $ 104,020 $ (35,694 ) $ (65,290 ) $ 3,036 Short-term reverse repurchase agreement (3) 34,500 (34,500 ) — — Total financial instruments (assets) 138,520 (70,194 ) (65,290 ) 3,036 March 31, 2017 Gross fair value not offset in balance sheets Gross fair value of Financial Cash collateral Net Financial instruments (liabilities): recognized liabilities (1) instruments pledged fair value Derivative instruments (4) 35,943 (35,694 ) — 249 (1) The gross fair value of derivative instrument and short-term reverse repurchase agreement 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 short-term reverse repurchase agreement assets is reported in short-term investments in the condensed consolidated balance sheets. The collateral is held by an independent third-party custodian under a tri-party agreement. (4) The estimated fair value of derivative instrument liabilities is reported in other liabilities in the condensed consolidated balance sheets. Derivative transactions entered into under ISDA master agreements include income and expense accruals. December 31, 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/(pledged) fair value Derivative instruments (assets) (2) $ 119,862 $ (26,254 ) $ 92,756 $ 852 Derivative instruments (liabilities) (3) 26,254 (26,254 ) — — (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, 2017 | |
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, 2017 Quoted prices Significant in active other Significant Total Assets Fixed maturities available-for-sale: U.S. government direct obligations and U.S. agencies $ — $ 1,840,368 $ — $ 1,840,368 Obligations of U.S. states and their subdivisions — 2,100,099 — 2,100,099 Corporate debt securities — 14,542,646 10,931 14,553,577 Asset-backed securities — 1,528,264 — 1,528,264 Residential mortgage-backed securities — 127,726 — 127,726 Commercial mortgage-backed securities — 1,358,065 — 1,358,065 Collateralized debt obligations — 534,237 — 534,237 Total fixed maturities available-for-sale — 22,031,405 10,931 22,042,336 Fixed maturities held-for-trading: U.S. government direct obligations and U.S. agencies — 129,296 — 129,296 Corporate debt securities — 55,249 — 55,249 Commercial mortgage-backed securities — 1,072 — 1,072 Total fixed maturities held-for-trading — 185,617 — 185,617 Short-term investments 262,866 481,197 — 744,063 Collateral under securities lending agreements 94,531 — — 94,531 Collateral under derivative counterparty collateral agreements 80,145 — — 80,145 Derivative instruments designated as hedges: Interest rate swaps — 37,308 — 37,308 Cross-currency swaps — 43,652 — 43,652 Derivative instruments not designated as hedges: Interest rate swaps — 8,187 — 8,187 Interest rate swaptions — 265 — 265 Other forward contracts — 7,817 — 7,817 Cross-currency swaps — 42,071 — 42,071 Total derivative instruments — 139,300 — 139,300 Separate account assets (1) 15,849,064 11,330,972 — 27,597,906 Total assets $ 16,286,606 $ 34,168,491 $ 10,931 $ 50,883,898 Liabilities Payable under securities lending agreements $ 94,531 $ — $ — $ 94,531 Collateral under derivative counterparty collateral agreements 80,145 — — 80,145 Derivative instruments designated as hedges: Cross-currency swaps — 10,921 — 10,921 Derivative instruments not designated as hedges: Interest rate swaps — 14,895 — 14,895 Other forward contracts — 1,033 — 1,033 Cross-currency swaps — 22,919 — 22,919 Total derivative instruments — 49,768 — 49,768 Embedded derivatives - GLWB — — 4,042 4,042 Separate account liabilities (2) 26 409,044 — 409,070 Total liabilities $ 174,702 $ 458,812 $ 4,042 $ 637,556 (1) Included in the total fair value amount are $418 million of investments as of March 31, 2017 for which the fair value is estimated using net asset value per unit as a practical expedient which are excluded from the disclosure requirement to classify amounts in the fair value hierarchy in connection with the adoption of ASU 2015-07. (2) Includes only separate account instruments which are carried at the fair value of the underlying liabilities owned by the separate accounts. Assets and liabilities measured at fair value on a recurring basis December 31, 2016 Quoted prices Significant in active other Significant Total Assets Fixed maturities available-for-sale: U.S. government direct obligations and U.S. agencies $ — $ 3,035,112 $ — $ 3,035,112 Obligations of U.S. states and their subdivisions — 2,098,662 — 2,098,662 Corporate debt securities — 13,968,110 11,639 13,979,749 Asset-backed securities — 1,312,379 — 1,312,379 Residential mortgage-backed securities — 140,992 — 140,992 Commercial mortgage-backed securities — 1,225,282 — 1,225,282 Collateralized debt obligations — 361,527 — 361,527 Total fixed maturities available-for-sale — 22,142,064 11,639 22,153,703 Fixed maturities held-for-trading: U.S. government direct obligations and U.S. agencies — 458,067 — 458,067 Corporate debt securities — 55,591 — 55,591 Commercial mortgage-backed securities — 1,080 — 1,080 Total fixed maturities held-for-trading — 514,738 — 514,738 Short-term investments 267,851 36,137 — 303,988 Collateral under derivative counterparty collateral agreements 103,214 — — 103,214 Derivative instruments designated as hedges: Interest rate swaps — 33,390 — 33,390 Cross-currency swaps — 53,641 — 53,641 Derivative instruments not designated as hedges: Interest rate swaps — 8,982 — 8,982 Interest rate swaptions — 354 — 354 Cross-currency swaps — 50,018 — 50,018 Total derivative instruments — 146,385 — 146,385 Separate account assets (1) 15,407,992 11,199,924 — 27,037,765 Total assets $ 15,779,057 $ 34,039,248 $ 11,639 $ 50,259,793 Liabilities Collateral under derivative counterparty collateral agreements $ 103,214 $ — $ — $ 103,214 Derivative instruments designated as hedges: Cross-currency swaps — 8,294 — 8,294 Derivative instruments not designated as hedges: Interest rate swaps — 13,340 — 13,340 Cross-currency swaps — 16,647 — 16,647 Total derivative instruments — 38,281 — 38,281 Embedded derivatives - GLWB — — 5,712 5,712 Separate account liabilities (2) 55 336,468 — 336,523 Total liabilities $ 103,269 $ 374,749 $ 5,712 $ 483,730 (1) Included in the total fair value amount are $430 million of investments as of December 31, 2016 for which the fair value is estimated using net asset value per unit as a practical expedient which are excluded from the disclosure requirement to classify amounts in the fair value hierarchy in connection with the adoption of ASU 2015-07. (2) Includes only separate account instruments which are carried at the fair value of the underlying liabilities owned by the separate accounts. |
Schedule of assets and liabilities measured at fair value on a recurring basis, for which Level 3 inputs are utilized to determine fair value | The following tables present additional information about assets and liabilities measured at fair value on a recurring basis and for which the Company has utilized Level 3 inputs to determine fair value: Recurring Level 3 financial assets and liabilities Three Months Ended March 31, 2017 Assets Liabilities Fixed maturities available-for-sale Embedded Corporate derivatives debt securities - GLWB Balances, January 1, 2017 $ 11,639 $ 5,712 Realized and unrealized gains (losses) included in: Net income (loss) — 1,670 Other comprehensive income (loss) (364 ) — Settlements (344 ) — Balances, March 31, 2017 $ 10,931 $ 4,042 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, 2017 $ — $ 1,670 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 (loss) — (10,450 ) Other comprehensive income (loss) 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. |
Schedule of significant unobservable inputs used during the valuation of liabilities categorized within Level 3 of the recurring fair value measurements table | The following table presents significant unobservable inputs used during the valuation of certain liabilities categorized within Level 3 of the recurring fair value measurements table: Range Valuation Technique Unobservable Input March 31, 2017 December 31, 2016 Embedded derivatives - GLWB Risk neutral stochastic valuation methodology Equity volatility 15% - 28% 15% - 30% Swap curve 1.38% - 2.66% 0.75% - 3.00% Mortality rate Based on the Annuity 2000 Mortality Table Based on the Annuity 2000 Mortality Table Base Lapse rate 1% - 15% 1% - 15% |
Summary of the carrying amounts and estimated fair values of financial instruments not carried at fair value on a recurring basis | The following tables summarize the carrying amounts and estimated fair values of the Company’s financial instruments and investments not carried at fair value on a recurring basis: March 31, 2017 December 31, 2016 Carrying Estimated Carrying Estimated amount fair value amount fair value Assets Mortgage loans on real estate $ 3,844,931 $ 3,915,687 $ 3,558,826 $ 3,574,240 Policy loans 4,016,844 4,016,844 4,019,648 4,019,648 Limited partnership interests 32,579 31,947 29,345 29,822 Other investments 13,935 44,243 14,382 44,687 Liabilities Annuity contract benefits without life contingencies $ 12,383,984 $ 12,249,498 $ 12,291,378 $ 12,129,631 Policyholders’ funds 241,167 241,167 285,554 285,554 Commercial paper 98,645 98,645 99,049 99,049 Notes payable 534,339 528,415 531,092 495,004 |
Other Comprehensive Income (Tab
Other Comprehensive Income (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
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, 2017 Unrealized Unrealized Future policy Employee Total Balances, January 1, 2017 $ 311,748 $ 67,076 $ (58,646 ) $ (84,303 ) $ 235,875 Other comprehensive income (loss) before reclassifications 84,649 (4,521 ) (18,503 ) — 61,625 Amounts reclassified from AOCI 1,896 (937 ) — 1,395 2,354 Net current period other comprehensive income (loss) 86,545 (5,458 ) (18,503 ) 1,395 63,979 Balances, March 31, 2017 $ 398,293 $ 61,618 $ (77,149 ) $ (82,908 ) $ 299,854 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 |
Schedule of composition of other comprehensive income (loss) | The following tables present the composition of other comprehensive income (loss): Three Months Ended March 31, 2017 Before-tax Tax (expense) Net-of-tax amount benefit amount Unrealized holding gains (losses), net, arising on fixed maturities, available-for-sale $ 130,229 $ (45,580 ) $ 84,649 Unrealized holding gains (losses), net, arising on cash flow hedges (6,955 ) 2,434 (4,521 ) Reclassification adjustment for (gains) losses, net, realized in net income 1,475 (516 ) 959 Net unrealized gains (losses) related to investments 124,749 (43,662 ) 81,087 Future policy benefits, DAC and VOBA adjustments (28,466 ) 9,963 (18,503 ) Net unrealized gains (losses) 96,283 (33,699 ) 62,584 Employee benefit plan adjustment 2,146 (751 ) 1,395 Other comprehensive income (loss) $ 98,429 $ (34,450 ) $ 63,979 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 |
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, 2017 2016 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 $ 2,917 $ (19,970 ) Other realized investment (gains) losses, net 2,917 (19,970 ) Total before tax 1,021 (6,990 ) Tax expense or benefit $ 1,896 $ (12,980 ) Net of tax Unrealized holding (gains) losses, net, arising on cash flow hedges $ (2,322 ) $ (2,486 ) Net investment income 880 — Interest Expense (1,442 ) (2,486 ) Total before tax (505 ) (870 ) Tax expense or benefit $ (937 ) $ (1,616 ) Net of tax Amortization of employee benefit plan items Prior service (benefits) $ 73 (1) $ (151 ) (1) Actuarial (gains) 2,073 (1) 2,385 (1) 2,146 2,234 Total before tax 751 782 Tax expense or benefit $ 1,395 $ 1,452 Net of tax Total reclassification $ 2,354 $ (13,144 ) 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 9 for additional details). |
Employee Benefit Plans (Tables)
Employee Benefit Plans (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
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 2017 2016 2017 2016 2017 2016 2017 2016 Components of net periodic cost (benefit): Service cost $ (2,067 ) $ 1,335 $ 357 $ 293 $ (4 ) $ 73 $ (1,714 ) $ 1,701 Interest cost 6,121 6,282 188 175 405 444 6,714 6,901 Expected return on plan assets (5,118 ) (6,278 ) — — — — (5,118 ) (6,278 ) Amortization of unrecognized prior service costs (benefits) — — (52 ) (276 ) 125 125 73 (151 ) Amortization of losses (gains) from earlier periods 2,199 2,485 (113 ) (85 ) (13 ) (15 ) 2,073 2,385 Net periodic cost (benefit) $ 1,135 $ 3,824 $ 380 $ 107 $ 513 $ 627 $ 2,028 $ 4,558 |
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, 2017 2016 Payments to the Post-Retirement Medical Plan 169 204 Payments to the Supplemental Executive Retirement Plan 834 834 |
Income Taxes (Tables)
Income Taxes (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
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, 2017 2016 Current expense $ 12,959 $ 10,640 Deferred expense 4,158 13,398 Total income tax provision $ 17,117 $ 24,038 |
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, 2017 2016 Statutory federal income tax rate 35.0 % 35.0 % Income tax effect of: Investment income not subject to federal tax (3.3 )% (2.3 )% Tax credits (0.8 )% (16.3 )% State income taxes, net of federal benefit 1.8 % 2.3 % Other, net 0.3 % 0.9 % Effective income tax rate 33.0 % 19.6 % |
Segment Information (Tables)
Segment Information (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Segment Reporting [Abstract] | |
Summary of financial information related to segments | The following tables summarize segment financial information: Three Months Ended March 31, 2017 Individual Empower Markets Retirement Other Total Revenue: Premium income $ 131,559 $ 91 $ 20,591 $ 152,241 Fee income 25,981 227,320 1,815 255,116 Other revenue — 2,384 — 2,384 Net investment income 184,205 117,620 11,646 313,471 Realized investment gains (losses), net 584 (12,316 ) (22 ) (11,754 ) Total revenues 342,329 335,099 34,030 711,458 Benefits and expenses: Policyholder benefits 270,088 47,629 21,711 339,428 Operating expenses 38,386 255,764 25,933 320,083 Total benefits and expenses 308,474 303,393 47,644 659,511 Income (loss) before income taxes 33,855 31,706 (13,614 ) 51,947 Income tax expense (benefit) 11,650 10,426 (4,959 ) 17,117 Net income (loss) $ 22,205 $ 21,280 $ (8,655 ) $ 34,830 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 |
Dividends (Details)
Dividends (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Dividends [Abstract] | ||
Dividends paid to parent, GWL&A Financial | $ 77,000 | $ 73,401 |
Summary of Investments - SOI Fi
Summary of Investments - SOI Fixed Maturity AFS and non-credit OTTI in AOCI (Details) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Securities available-for-sale | ||
Amortized cost | $ 21,427,802 | $ 21,672,727 |
Fixed maturities available-for-sale: | 22,042,336 | 22,153,703 |
Fixed maturities | ||
Securities available-for-sale | ||
Amortized cost | 21,427,802 | 21,672,727 |
Gross unrealized gains | 904,825 | 871,205 |
Gross unrealized losses | 290,291 | 390,229 |
Fixed maturities available-for-sale: | 22,042,336 | 22,153,703 |
OTTI (gain) loss included in AOCI | (71,817) | (73,929) |
U.S. government direct obligations and U.S. agencies | ||
Securities available-for-sale | ||
Amortized cost | 1,813,394 | 3,022,279 |
Gross unrealized gains | 46,163 | 47,791 |
Gross unrealized losses | 19,189 | 34,958 |
Fixed maturities available-for-sale: | 1,840,368 | 3,035,112 |
OTTI (gain) loss included in AOCI | 0 | 0 |
Obligations of U.S. states and their subdivisions | ||
Securities available-for-sale | ||
Amortized cost | 1,889,794 | 1,890,568 |
Gross unrealized gains | 215,426 | 214,411 |
Gross unrealized losses | 5,121 | 6,317 |
Fixed maturities available-for-sale: | 2,100,099 | 2,098,662 |
OTTI (gain) loss included in AOCI | 0 | 0 |
Corporate debt securities | ||
Securities available-for-sale | ||
Amortized cost | 14,270,203 | 13,811,597 |
Gross unrealized gains | 512,816 | 477,316 |
Gross unrealized losses | 229,442 | 309,164 |
Fixed maturities available-for-sale: | 14,553,577 | 13,979,749 |
OTTI (gain) loss included in AOCI | (1,248) | (1,488) |
Perpetual debt investments | ||
Securities available-for-sale | ||
Amortized cost | 115,037 | 135,187 |
Fixed maturities available-for-sale: | 105,162 | 113,239 |
Asset-backed securities | ||
Securities available-for-sale | ||
Amortized cost | 1,443,721 | 1,226,493 |
Gross unrealized gains | 101,214 | 104,274 |
Gross unrealized losses | 16,671 | 18,388 |
Fixed maturities available-for-sale: | 1,528,264 | 1,312,379 |
OTTI (gain) loss included in AOCI | (70,463) | (72,464) |
Residential mortgage-backed securities | ||
Securities available-for-sale | ||
Amortized cost | 124,522 | 138,292 |
Gross unrealized gains | 4,200 | 3,867 |
Gross unrealized losses | 996 | 1,167 |
Fixed maturities available-for-sale: | 127,726 | 140,992 |
OTTI (gain) loss included in AOCI | (106) | 23 |
Commercial mortgage-backed securities | ||
Securities available-for-sale | ||
Amortized cost | 1,353,588 | 1,222,257 |
Gross unrealized gains | 23,313 | 23,207 |
Gross unrealized losses | 18,836 | 20,182 |
Fixed maturities available-for-sale: | 1,358,065 | 1,225,282 |
OTTI (gain) loss included in AOCI | 0 | 0 |
Collateralized debt obligations | ||
Securities available-for-sale | ||
Amortized cost | 532,580 | 361,241 |
Gross unrealized gains | 1,693 | 339 |
Gross unrealized losses | 36 | 53 |
Fixed maturities available-for-sale: | 534,237 | 361,527 |
OTTI (gain) loss included in AOCI | $ 0 | $ 0 |
Summary of Investments - SOI 34
Summary of Investments - SOI Fixed Maturity AFS aging (Details 2) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Amortized cost | ||
Maturing in one year or less | $ 644,280 | |
Maturing after one year through five years | 3,845,273 | |
Maturing after five years through ten years | 6,950,269 | |
Maturing after ten years | 5,073,643 | |
Mortgage-backed and asset-backed securities | 4,914,337 | |
Amortized cost | 21,427,802 | $ 21,672,727 |
Estimated fair value | ||
Maturing in one year or less | 662,742 | |
Maturing after one year through five years | 4,018,406 | |
Maturing after five years through ten years | 7,068,702 | |
Maturing after ten years | 5,282,788 | |
Mortgage-backed and asset-backed securities | 5,009,698 | |
Estimated fair value | $ 22,042,336 | $ 22,153,703 |
Summary of Investments - SOI AF
Summary of Investments - SOI AFS Proceeds from sales (Details 2.1) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Investments, Debt and Equity Securities [Abstract] | ||
Proceeds from sales | $ 1,580,522 | $ 1,682,893 |
Gross realized gains from sales | 12,433 | 19,857 |
Gross realized losses from sales | 15,257 | 11 |
Unrealized gain (loss) on held-for-trading fixed maturity investments | $ (277) | $ 12,622 |
Summary of Investments - SOI Mo
Summary of Investments - SOI Mortgage loans on real estate by component (Details 3) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 |
Investments, Debt and Equity Securities [Abstract] | |||
Principal | $ 3,843,130 | $ 3,558,863 | |
Unamortized premium (discount) and fees, net | 4,909 | 5,541 | |
Foreign exchange translation | (1,799) | (2,696) | |
Mortgage provision allowance | (1,309) | (2,882) | $ (2,890) |
Total mortgage loans | $ 3,844,931 | $ 3,558,826 |
Summary of Investments - SOI ri
Summary of Investments - SOI risk assessment (Details) - Mortgages - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Financing Receivable, Recorded Investment [Line Items] | ||
Recorded investment | $ 3,846,240 | $ 3,561,708 |
Performing | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Recorded investment | 3,844,775 | 3,560,243 |
Non-performing | ||
Financing Receivable, Recorded Investment [Line Items] | ||
Recorded investment | $ 1,465 | $ 1,465 |
Summary of Investments - SOI 38
Summary of Investments - SOI Mortgage provision allowance rollforward (Details 4) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2017 | Dec. 31, 2016 | |
Allowance for Loan and Lease Losses [Roll Forward] | ||
Beginning balance | $ 2,882 | $ 2,890 |
Provision increases | 0 | 536 |
Provision decreases | (1,573) | (544) |
Ending balance | 1,309 | 2,882 |
Allowance ending balance by basis of impairment method: | ||
Individually evaluated for impairment | 536 | 536 |
Collectively evaluated for impairment | 773 | 2,346 |
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: | 3,846,240 | 3,561,708 |
Individually evaluated for impairment | 1,465 | 1,465 |
Collectively evaluated for impairment | 3,844,775 | 3,560,243 |
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: | $ 3,846,240 | $ 3,561,708 |
Summary of Investments - SOI Lt
Summary of Investments - SOI Ltd partnership Sec lending Special deposits (Details 5) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Investments, Debt and Equity Securities [Abstract] | ||
Limited partnership and other corporation interests | $ 37,948 | $ 34,895 |
Nature and activities of the VIEs and the effect on financial statements | ||
Carrying value in relation to the activities of the VIEs | 35,565 | 32,444 |
Maximum exposure to loss in relation to the activities of the VIEs | 35,565 | 32,444 |
Special deposits and securities lending | ||
Amortized cost | 164,390 | |
Securities loaned to third parties at fair value | 160,012 | |
Collateral received | 94,531 | $ 0 |
Collateral fair value | $ 70,537 |
Summary of Investments - SOI Se
Summary of Investments - SOI Securities Lending (Details) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Securities Financing Transaction [Line Items] | ||
Payable under securities lending agreements | $ 94,531 | $ 0 |
U.S. government direct obligations and U.S. agencies | ||
Securities Financing Transaction [Line Items] | ||
Payable under securities lending agreements | 1,025 | 0 |
Corporate debt securities | ||
Securities Financing Transaction [Line Items] | ||
Payable under securities lending agreements | $ 93,506 | $ 0 |
Summary of Investments - SOI Un
Summary of Investments - SOI Unrealized losses fixed maturities AFS (Details 6) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017USD ($)position | Dec. 31, 2016USD ($)position | |
Fixed maturities | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Less than twelve months, Estimated fair value | $ 6,257,198 | $ 7,428,519 |
Less than twelve months, Unrealized loss and OTTI | 166,627 | 235,788 |
Twelve months or longer, Estimated fair value | 1,221,969 | 1,151,873 |
Twelve months or longer, Unrealized loss and OTTI | 123,664 | 154,441 |
Total Estimated fair value | 7,479,167 | 8,580,392 |
Total Unrealized losses and OTTI | $ 290,291 | $ 390,229 |
Additional disclosure | ||
Total number of securities in an unrealized loss position, Less than twelve months | position | 554 | 610 |
Total number of securities in an unrealized loss position, twelve months or longer | position | 132 | 128 |
Total number of securities in an unrealized loss position | position | 686 | 738 |
Decrease (increase) in total unrealized losses and other-than-temporary impairment losses | $ 99,938 | |
Decrease (increase) in total unrealized losses and other-than-temporary impairment losses (as a percent) | 26.00% | |
Increase (decrease) in the less than twelve months category | $ (69,161) | |
Increase (decrease) in greater than twelve months unrealized losses and other-than-temporary impairment losses | (30,777) | |
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 | 1,254,124 | $ 2,006,588 |
Less than twelve months, Unrealized loss and OTTI | 18,974 | 34,752 |
Twelve months or longer, Estimated fair value | 10,181 | 10,526 |
Twelve months or longer, Unrealized loss and OTTI | 215 | 206 |
Total Estimated fair value | 1,264,305 | 2,017,114 |
Total Unrealized losses and OTTI | 19,189 | 34,958 |
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 | 165,820 | 216,154 |
Less than twelve months, Unrealized loss and OTTI | 4,641 | 5,922 |
Twelve months or longer, Estimated fair value | 10,394 | 10,498 |
Twelve months or longer, Unrealized loss and OTTI | 480 | 395 |
Total Estimated fair value | 176,214 | 226,652 |
Total Unrealized losses and OTTI | 5,121 | 6,317 |
Corporate debt securities | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Less than twelve months, Estimated fair value | 3,711,201 | 4,119,630 |
Less than twelve months, Unrealized loss and OTTI | 121,580 | 170,453 |
Twelve months or longer, Estimated fair value | 880,097 | 860,153 |
Twelve months or longer, Unrealized loss and OTTI | 107,862 | 138,711 |
Total Estimated fair value | 4,591,298 | 4,979,783 |
Total Unrealized losses and OTTI | $ 229,442 | 309,164 |
Additional disclosure | ||
Unrealized losses and OTTI over twelve months on securities (as a percent) | 87.00% | |
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 | $ 7,851 | |
Perpetual debt investments | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Twelve months or longer, Unrealized loss and OTTI | 2,176 | |
Asset-backed securities | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Less than twelve months, Estimated fair value | 458,552 | 316,065 |
Less than twelve months, Unrealized loss and OTTI | 4,905 | 6,971 |
Twelve months or longer, Estimated fair value | 271,982 | 230,331 |
Twelve months or longer, Unrealized loss and OTTI | 11,766 | 11,417 |
Total Estimated fair value | 730,534 | 546,396 |
Total Unrealized losses and OTTI | $ 16,671 | 18,388 |
Additional disclosure | ||
Unrealized losses and OTTI over twelve months on securities (as a percent) | 10.00% | |
Residential mortgage-backed securities | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Less than twelve months, Estimated fair value | $ 5,755 | 16,962 |
Less than twelve months, Unrealized loss and OTTI | 18 | 102 |
Twelve months or longer, Estimated fair value | 13,386 | 14,297 |
Twelve months or longer, Unrealized loss and OTTI | 978 | 1,065 |
Total Estimated fair value | 19,141 | 31,259 |
Total Unrealized losses and OTTI | 996 | 1,167 |
Commercial mortgage-backed securities | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Less than twelve months, Estimated fair value | 630,766 | 592,508 |
Less than twelve months, Unrealized loss and OTTI | 16,473 | 17,535 |
Twelve months or longer, Estimated fair value | 35,929 | 26,068 |
Twelve months or longer, Unrealized loss and OTTI | 2,363 | 2,647 |
Total Estimated fair value | 666,695 | 618,576 |
Total Unrealized losses and OTTI | 18,836 | 20,182 |
Collateralized debt obligations | ||
Unrealized losses on fixed maturity and equity investments classified as available-for-sale | ||
Less than twelve months, Estimated fair value | 30,980 | 160,612 |
Less than twelve months, Unrealized loss and OTTI | 36 | 53 |
Twelve months or longer, Estimated fair value | 0 | 0 |
Twelve months or longer, Unrealized loss and OTTI | 0 | 0 |
Total Estimated fair value | 30,980 | 160,612 |
Total Unrealized losses and OTTI | $ 36 | $ 53 |
Summary of Investments - SOI O
Summary of Investments - SOI OTTI table (Details 7) - Fixed maturities - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ||
Beginning balance | $ 83,665 | $ 102,343 |
Reductions due to increases in cash flows expected to be collected that are recognized over the remaining life of the security | (3,306) | (3,927) |
Ending balance | $ 80,359 | $ 98,416 |
Derivative Financial Instrume43
Derivative Financial Instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2017 | Dec. 31, 2016 | |
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 | $ 49,235 | $ 38,324 |
Collateral related to the derivatives | 0 | 0 |
Fair value of assets required to settle the derivatives in, net liability position | 49,235 | |
Amount of unrestricted cash collateral to counterparties in the normal course of business | 0 | 0 |
Cash collateral received | 80,145 | 103,214 |
Net derivative gains estimated to be reclassified from accumulated other comprehensive income (loss) into net income within the next twelve months | 10,436 | |
Derivative financial instruments | ||
Notional amount | 4,992,157 | 2,396,297 |
Net derivatives, Fair value | 89,532 | 108,104 |
Asset derivatives, Fair value | 139,300 | 146,385 |
Liability derivatives, Fair value | 49,768 | 38,281 |
Interest rate swaps | ||
Derivative financial instruments | ||
Average notional amount of the derivative instruments | 897,400 | 784,900 |
Cross-currency swaps | ||
Derivative financial instruments | ||
Average notional amount of the derivative instruments | 1,239,581 | 1,141,967 |
Other forward contracts | ||
Derivative financial instruments | ||
Average notional amount of the derivative instruments | 1,545,788 | 2,230,167 |
Future | ||
Derivative financial instruments | ||
Average notional amount of the derivative instruments | 114,425 | 145,658 |
Swaption | ||
Derivative financial instruments | ||
Average notional amount of the derivative instruments | 163,232 | 156,632 |
Derivatives designated as hedges: | ||
Derivative financial instruments | ||
Notional amount | 1,086,377 | 1,034,008 |
Net derivatives, Fair value | 70,039 | 78,737 |
Asset derivatives, Fair value | 80,960 | 87,031 |
Liability derivatives, Fair value | 10,921 | 8,294 |
Derivatives designated as hedges: | Cash flow hedges: | ||
Derivative financial instruments | ||
Notional amount | 1,086,377 | 1,034,008 |
Net derivatives, Fair value | 70,039 | 78,737 |
Asset derivatives, Fair value | 80,960 | 87,031 |
Liability derivatives, Fair value | 10,921 | 8,294 |
Derivatives designated as hedges: | Cash flow hedges: | Interest rate swaps | ||
Derivative financial instruments | ||
Notional amount | 419,800 | 419,800 |
Net derivatives, Fair value | 37,308 | 33,390 |
Asset derivatives, Fair value | 37,308 | 33,390 |
Liability derivatives, Fair value | 0 | 0 |
Derivatives designated as hedges: | Cash flow hedges: | Cross-currency swaps | ||
Derivative financial instruments | ||
Notional amount | 666,577 | 614,208 |
Net derivatives, Fair value | 32,731 | 45,347 |
Asset derivatives, Fair value | 43,652 | 53,641 |
Liability derivatives, Fair value | 10,921 | 8,294 |
Derivatives not designated as hedges: | ||
Derivative financial instruments | ||
Notional amount | 3,905,780 | 1,362,289 |
Net derivatives, Fair value | 19,493 | 29,367 |
Asset derivatives, Fair value | 58,340 | 59,354 |
Liability derivatives, Fair value | 38,847 | 29,987 |
Derivatives not designated as hedges: | Interest rate swaps | ||
Derivative financial instruments | ||
Notional amount | 486,100 | 468,100 |
Net derivatives, Fair value | (6,708) | (4,358) |
Asset derivatives, Fair value | 8,187 | 8,982 |
Liability derivatives, Fair value | 14,895 | 13,340 |
Derivatives not designated as hedges: | Cross-currency swaps | ||
Derivative financial instruments | ||
Notional amount | 612,733 | 612,733 |
Net derivatives, Fair value | 19,152 | 33,371 |
Asset derivatives, Fair value | 42,071 | 50,018 |
Liability derivatives, Fair value | 22,919 | 16,647 |
Derivatives not designated as hedges: | Futures on equity indices | ||
Derivative financial instruments | ||
Notional amount | 31,433 | 34,422 |
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 | 74,600 | 81,500 |
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 | 162,464 | 165,534 |
Net derivatives, Fair value | 265 | 354 |
Asset derivatives, Fair value | 265 | 354 |
Liability derivatives, Fair value | 0 | $ 0 |
Derivatives not designated as hedges: | Other forward contracts | ||
Derivative financial instruments | ||
Notional amount | 2,538,450 | |
Net derivatives, Fair value | 6,784 | |
Asset derivatives, Fair value | 7,817 | |
Liability derivatives, Fair value | $ 1,033 |
Derivative Financial Instrume44
Derivative Financial Instruments (Details 2) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2017 | Mar. 31, 2016 | Dec. 31, 2016 | |
Derivatives not designated as hedging instruments | |||
Gain (loss) on derivatives recognized in net income | $ (16,608) | $ 26,847 | |
Net investment income | |||
Derivatives not designated as hedging instruments | |||
Change in fair value of GLWB | 1,670 | (10,450) | |
Policyholders' Funds | |||
Derivatives not designated as hedging instruments | |||
Embedded derivatives - GLWB | 4,042 | $ 5,712 | |
Interest rate swaps | Net investment income | |||
Derivatives not designated as hedging instruments | |||
Gain (loss) on derivatives recognized in net income | (1,549) | 10,622 | |
Interest rate futures | Net investment income | |||
Derivatives not designated as hedging instruments | |||
Gain (loss) on derivatives recognized in net income | (14) | (204) | |
Interest rate futures | Realized investment gains (losses) | |||
Derivatives not designated as hedging instruments | |||
Gain (loss) on derivatives recognized in net income | 5 | (32) | |
Futures on equity indices | Net investment income | |||
Derivatives not designated as hedging instruments | |||
Gain (loss) on derivatives recognized in net income | (684) | (230) | |
Futures on equity indices | Realized investment gains (losses) | |||
Derivatives not designated as hedging instruments | |||
Gain (loss) on derivatives recognized in net income | (1,284) | (1,441) | |
Interest rate swaptions | Net investment income | |||
Derivatives not designated as hedging instruments | |||
Gain (loss) on derivatives recognized in net income | (27) | 134 | |
Interest rate swaptions | Realized investment gains (losses) | |||
Derivatives not designated as hedging instruments | |||
Gain (loss) on derivatives recognized in net income | (74) | (195) | |
Other forward contracts | Net investment income | |||
Derivatives not designated as hedging instruments | |||
Gain (loss) on derivatives recognized in net income | 6,784 | 3,056 | |
Other forward contracts | Realized investment gains (losses) | |||
Derivatives not designated as hedging instruments | |||
Gain (loss) on derivatives recognized in net income | (5,597) | 2,938 | |
Cross-currency swaps | Net investment income | |||
Derivatives not designated as hedging instruments | |||
Gain (loss) on derivatives recognized in net income | (14,168) | 12,199 | |
Cash flow hedges: | |||
Effect of derivative instruments in the condensed consolidated statement of income | |||
Gain (loss) recognized in OCI on derivatives (Effective portion) | (6,955) | (1,604) | |
Gain (loss) reclassified from OCI into net income (Effective portion) | 1,442 | 2,486 | |
Cash flow hedges: | Interest rate swaps | Net investment income | |||
Effect of derivative instruments in the condensed consolidated statement of income | |||
Gain (loss) recognized in OCI on derivatives (Effective portion) | (148) | 525 | |
Gain (loss) reclassified from OCI into net income (Effective portion) | 1,220 | 1,494 | |
Cash flow hedges: | Interest rate swaps | Interest Expense | |||
Effect of derivative instruments in the condensed consolidated statement of income | |||
Gain (loss) recognized in OCI on derivatives (Effective portion) | 3,843 | 0 | |
Gain (loss) reclassified from OCI into net income (Effective portion) | (880) | 0 | |
Cash flow hedges: | Cross-currency swaps | Net investment income | |||
Effect of derivative instruments in the condensed consolidated statement of income | |||
Gain (loss) recognized in OCI on derivatives (Effective portion) | (10,650) | (2,129) | |
Gain (loss) reclassified from OCI into net income (Effective portion) | $ 1,102 | $ 992 |
Summary of Offsetting Assets 45
Summary of Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Derivative instruments (assets) | ||
Gross fair value of recognized assets | $ 138,520 | $ 119,862 |
Financial instruments | (70,194) | (26,254) |
Cash collateral received | (65,290) | (92,756) |
Net fair value | 3,036 | 852 |
Derivatives instrument (liabilities) | ||
Gross fair value of recognized liabilities | 35,943 | 26,254 |
Financial instruments | (35,694) | (26,254) |
Cash collateral received | 0 | 0 |
Net fair value | 249 | $ 0 |
Derivative instruments | ||
Derivative instruments (assets) | ||
Gross fair value of recognized assets | 104,020 | |
Financial instruments | (35,694) | |
Cash collateral received | (65,290) | |
Net fair value | 3,036 | |
Short-term reverse purchase agreement | ||
Derivative instruments (assets) | ||
Gross fair value of recognized assets | 34,500 | |
Financial instruments | (34,500) | |
Cash collateral received | 0 | |
Net fair value | $ 0 |
Fair Value Measurements - Recur
Fair Value Measurements - Recurring by FV hierarchy (Details) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Assets | ||
Fixed maturities available-for-sale: | $ 22,042,336 | $ 22,153,703 |
Fixed maturities held-for-trading: | 185,617 | 514,738 |
Short-term investments | 744,063 | 303,988 |
Collateral under securities lending agreements | 94,531 | 0 |
Collateral under derivative counterparty collateral agreements | 0 | 0 |
Total derivative instruments | 139,300 | 146,385 |
Separate account assets | 27,597,906 | 27,037,765 |
Liabilities | ||
Payable under securities lending agreements | 94,531 | 0 |
Collateral under derivative counterparty collateral agreements | 80,145 | 103,214 |
Total derivative instruments | 49,768 | 38,281 |
Separate account liabilities | 27,597,906 | 27,037,765 |
Derivative instruments designated as hedges: | ||
Assets | ||
Total derivative instruments | 80,960 | 87,031 |
Liabilities | ||
Total derivative instruments | 10,921 | 8,294 |
Derivative instruments not designated as hedges: | ||
Assets | ||
Total derivative instruments | 58,340 | 59,354 |
Liabilities | ||
Total derivative instruments | 38,847 | 29,987 |
Derivative instruments not designated as hedges: | Interest rate swaps | ||
Assets | ||
Total derivative instruments | 8,187 | 8,982 |
Liabilities | ||
Total derivative instruments | 14,895 | 13,340 |
Derivative instruments not designated as hedges: | Interest rate swaptions | ||
Assets | ||
Total derivative instruments | 265 | 354 |
Liabilities | ||
Total derivative instruments | 0 | 0 |
Derivative instruments not designated as hedges: | Other forward contracts | ||
Assets | ||
Total derivative instruments | 7,817 | |
Liabilities | ||
Total derivative instruments | 1,033 | |
Derivative instruments not designated as hedges: | Cross-currency swaps | ||
Assets | ||
Total derivative instruments | 42,071 | 50,018 |
Liabilities | ||
Total derivative instruments | 22,919 | 16,647 |
U.S. government direct obligations and U.S. agencies | ||
Assets | ||
Fixed maturities available-for-sale: | 1,840,368 | 3,035,112 |
Liabilities | ||
Payable under securities lending agreements | 1,025 | 0 |
Obligations of U.S. states and their subdivisions | ||
Assets | ||
Fixed maturities available-for-sale: | 2,100,099 | 2,098,662 |
Corporate debt securities | ||
Assets | ||
Fixed maturities available-for-sale: | 14,553,577 | 13,979,749 |
Liabilities | ||
Payable under securities lending agreements | 93,506 | 0 |
Asset-backed securities | ||
Assets | ||
Fixed maturities available-for-sale: | 1,528,264 | 1,312,379 |
Residential mortgage-backed securities | ||
Assets | ||
Fixed maturities available-for-sale: | 127,726 | 140,992 |
Commercial mortgage-backed securities | ||
Assets | ||
Fixed maturities available-for-sale: | 1,358,065 | 1,225,282 |
Collateralized debt obligations | ||
Assets | ||
Fixed maturities available-for-sale: | 534,237 | 361,527 |
Recurring basis | ||
Assets | ||
Fixed maturities available-for-sale: | 22,042,336 | 22,153,703 |
Fixed maturities held-for-trading: | 185,617 | 514,738 |
Short-term investments | 744,063 | 303,988 |
Collateral under securities lending agreements | 94,531 | |
Collateral under derivative counterparty collateral agreements | 80,145 | 103,214 |
Total derivative instruments | 139,300 | 146,385 |
Separate account assets | 27,597,906 | 27,037,765 |
Total assets | 50,883,898 | 50,259,793 |
Separate account assets excluded | 418,000 | 430,000 |
Liabilities | ||
Payable under securities lending agreements | 94,531 | |
Collateral under derivative counterparty collateral agreements | 80,145 | 103,214 |
Total derivative instruments | 49,768 | 38,281 |
Embedded derivatives - GLWB | 4,042 | 5,712 |
Separate account liabilities | 409,070 | 336,523 |
Total liabilities | 637,556 | 483,730 |
Recurring basis | Derivative instruments designated as hedges: | Interest rate swaps | ||
Assets | ||
Total derivative instruments | 37,308 | 33,390 |
Recurring basis | Derivative instruments designated as hedges: | Cross-currency swaps | ||
Assets | ||
Total derivative instruments | 43,652 | 53,641 |
Liabilities | ||
Total derivative instruments | 10,921 | 8,294 |
Recurring basis | Derivative instruments not designated as hedges: | Interest rate swaps | ||
Assets | ||
Total derivative instruments | 8,187 | 8,982 |
Liabilities | ||
Total derivative instruments | 14,895 | 13,340 |
Recurring basis | Derivative instruments not designated as hedges: | Interest rate swaptions | ||
Assets | ||
Total derivative instruments | 265 | 354 |
Recurring basis | Derivative instruments not designated as hedges: | Other forward contracts | ||
Assets | ||
Total derivative instruments | 7,817 | |
Liabilities | ||
Total derivative instruments | 1,033 | |
Recurring basis | Derivative instruments not designated as hedges: | Cross-currency swaps | ||
Assets | ||
Total derivative instruments | 42,071 | 50,018 |
Liabilities | ||
Total derivative instruments | 22,919 | 16,647 |
Recurring basis | U.S. government direct obligations and U.S. agencies | ||
Assets | ||
Fixed maturities available-for-sale: | 1,840,368 | 3,035,112 |
Fixed maturities held-for-trading: | 129,296 | 458,067 |
Recurring basis | Obligations of U.S. states and their subdivisions | ||
Assets | ||
Fixed maturities available-for-sale: | 2,100,099 | 2,098,662 |
Recurring basis | Corporate debt securities | ||
Assets | ||
Fixed maturities available-for-sale: | 14,553,577 | 13,979,749 |
Fixed maturities held-for-trading: | 55,249 | 55,591 |
Recurring basis | Asset-backed securities | ||
Assets | ||
Fixed maturities available-for-sale: | 1,528,264 | 1,312,379 |
Recurring basis | Residential mortgage-backed securities | ||
Assets | ||
Fixed maturities available-for-sale: | 127,726 | 140,992 |
Recurring basis | Commercial mortgage-backed securities | ||
Assets | ||
Fixed maturities available-for-sale: | 1,358,065 | 1,225,282 |
Fixed maturities held-for-trading: | 1,072 | 1,080 |
Recurring basis | Collateralized debt obligations | ||
Assets | ||
Fixed maturities available-for-sale: | 534,237 | 361,527 |
Recurring basis | Quoted prices in active markets for identical assets (Level 1) | ||
Assets | ||
Short-term investments | 262,866 | 267,851 |
Collateral under securities lending agreements | 94,531 | |
Collateral under derivative counterparty collateral agreements | 80,145 | 103,214 |
Separate account assets | 15,849,064 | 15,407,992 |
Total assets | 16,286,606 | 15,779,057 |
Liabilities | ||
Payable under securities lending agreements | 94,531 | |
Collateral under derivative counterparty collateral agreements | 80,145 | 103,214 |
Separate account liabilities | 26 | 55 |
Total liabilities | 174,702 | 103,269 |
Recurring basis | Significant other observable inputs (Level 2) | ||
Assets | ||
Fixed maturities available-for-sale: | 22,031,405 | 22,142,064 |
Fixed maturities held-for-trading: | 185,617 | 514,738 |
Short-term investments | 481,197 | 36,137 |
Total derivative instruments | 139,300 | 146,385 |
Separate account assets | 11,330,972 | 11,199,924 |
Total assets | 34,168,491 | 34,039,248 |
Liabilities | ||
Total derivative instruments | 49,768 | 38,281 |
Separate account liabilities | 409,044 | 336,468 |
Total liabilities | 458,812 | 374,749 |
Recurring basis | Significant other observable inputs (Level 2) | Derivative instruments designated as hedges: | Interest rate swaps | ||
Assets | ||
Total derivative instruments | 37,308 | 33,390 |
Recurring basis | Significant other observable inputs (Level 2) | Derivative instruments designated as hedges: | Cross-currency swaps | ||
Assets | ||
Total derivative instruments | 43,652 | 53,641 |
Liabilities | ||
Total derivative instruments | 10,921 | 8,294 |
Recurring basis | Significant other observable inputs (Level 2) | Derivative instruments not designated as hedges: | Interest rate swaps | ||
Assets | ||
Total derivative instruments | 8,187 | 8,982 |
Liabilities | ||
Total derivative instruments | 14,895 | 13,340 |
Recurring basis | Significant other observable inputs (Level 2) | Derivative instruments not designated as hedges: | Interest rate swaptions | ||
Assets | ||
Total derivative instruments | 265 | 354 |
Recurring basis | Significant other observable inputs (Level 2) | Derivative instruments not designated as hedges: | Other forward contracts | ||
Assets | ||
Total derivative instruments | 7,817 | |
Liabilities | ||
Total derivative instruments | 1,033 | |
Recurring basis | Significant other observable inputs (Level 2) | Derivative instruments not designated as hedges: | Cross-currency swaps | ||
Assets | ||
Total derivative instruments | 42,071 | 50,018 |
Liabilities | ||
Total derivative instruments | 22,919 | 16,647 |
Recurring basis | Significant other observable inputs (Level 2) | U.S. government direct obligations and U.S. agencies | ||
Assets | ||
Fixed maturities available-for-sale: | 1,840,368 | 3,035,112 |
Fixed maturities held-for-trading: | 129,296 | 458,067 |
Recurring basis | Significant other observable inputs (Level 2) | Obligations of U.S. states and their subdivisions | ||
Assets | ||
Fixed maturities available-for-sale: | 2,100,099 | 2,098,662 |
Recurring basis | Significant other observable inputs (Level 2) | Corporate debt securities | ||
Assets | ||
Fixed maturities available-for-sale: | 14,542,646 | 13,968,110 |
Fixed maturities held-for-trading: | 55,249 | 55,591 |
Recurring basis | Significant other observable inputs (Level 2) | Asset-backed securities | ||
Assets | ||
Fixed maturities available-for-sale: | 1,528,264 | 1,312,379 |
Recurring basis | Significant other observable inputs (Level 2) | Residential mortgage-backed securities | ||
Assets | ||
Fixed maturities available-for-sale: | 127,726 | 140,992 |
Recurring basis | Significant other observable inputs (Level 2) | Commercial mortgage-backed securities | ||
Assets | ||
Fixed maturities available-for-sale: | 1,358,065 | 1,225,282 |
Fixed maturities held-for-trading: | 1,072 | 1,080 |
Recurring basis | Significant other observable inputs (Level 2) | Collateralized debt obligations | ||
Assets | ||
Fixed maturities available-for-sale: | 534,237 | 361,527 |
Recurring basis | Significant unobservable inputs (Level 3) | ||
Assets | ||
Fixed maturities available-for-sale: | 10,931 | 11,639 |
Total assets | 10,931 | 11,639 |
Liabilities | ||
Embedded derivatives - GLWB | 4,042 | 5,712 |
Total liabilities | 4,042 | 5,712 |
Recurring basis | Significant unobservable inputs (Level 3) | Corporate debt securities | ||
Assets | ||
Fixed maturities available-for-sale: | 10,931 | 11,639 |
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, 2017 | Mar. 31, 2016 | ||
Fixed maturities available-for-sale, Corporate debt securities | |||
Recurring Level 3 financial assets and liabilities | |||
Balance at the beginning of the period | $ 11,639 | $ 4,538 | |
Net income (loss) | 0 | 0 | |
Other comprehensive income (loss) | (364) | 366 | |
Settlements | (344) | (598) | |
Transfers into Level 3 | [1] | 11,236 | |
Balance at the end of the period | 10,931 | 15,542 | |
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 | |
Embedded Derivative Financial Instruments | |||
Recurring Level 3 financial assets and liabilities | |||
Balance at the beginning of the period | 5,712 | 11,257 | |
Net income (loss) | 1,670 | (10,450) | |
Other comprehensive income (loss) | 0 | 0 | |
Settlements | 0 | 0 | |
Transfers into Level 3 | [1] | 0 | |
Balance at the end of the period | 4,042 | 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 | $ 1,670 | $ (10,450) | |
[1] | (1) Transfers into Level 3 are due primarily to decreased observability of inputs in valuation methodologies. |
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, 2017 | Dec. 31, 2016 | |
Significant unobservable inputs used during the valuation of assets categorized within Level 3 of the recurring fair value measurements table | ||
Embedded derivatives - GLWB | $ 4,042 | $ 5,712 |
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 | $ 4,042 | $ 5,712 |
Level 3 | Internal model pricing | Minimum | ||
Unobservable Input | ||
Equity volatility | 15.00% | 15.00% |
Swap curve | 1.38% | 0.75% |
Base Lapse rate | 1.00% | 1.00% |
Level 3 | Internal model pricing | Maximum | ||
Unobservable Input | ||
Equity volatility | 28.00% | 30.00% |
Swap curve | 2.66% | 3.00% |
Base Lapse rate | 15.00% | 15.00% |
Fair Value Measurements - Rec49
Fair Value Measurements - Recurring not carried at FV (Details 4) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Dec. 31, 2016 | |
Assets | ||
Mortgage loans on real estate | $ 3,844,931 | $ 3,558,826 |
Policy loans | 4,016,844 | 4,019,648 |
Liabilities | ||
Policyholders’ funds | 241,167 | 285,554 |
Commercial paper | $ 98,645 | 99,049 |
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 | $ 3,844,931 | 3,558,826 |
Policy loans | 4,016,844 | 4,019,648 |
Limited partnership interests | 32,579 | 29,345 |
Other investments | 13,935 | 14,382 |
Liabilities | ||
Annuity contract benefits without life contingencies | 12,383,984 | 12,291,378 |
Policyholders’ funds | 241,167 | 285,554 |
Commercial paper | 98,645 | 99,049 |
Notes payable | 534,339 | 531,092 |
Estimated fair value | ||
Assets | ||
Mortgage loans on real estate | 3,915,687 | 3,574,240 |
Policy loans | 4,016,844 | 4,019,648 |
Limited partnership interests | 31,947 | 29,822 |
Other investments | 44,243 | 44,687 |
Liabilities | ||
Annuity contract benefits without life contingencies | 12,249,498 | 12,129,631 |
Policyholders’ funds | 241,167 | 285,554 |
Commercial paper | 98,645 | 99,049 |
Notes payable | $ 528,415 | $ 495,004 |
Other Comprehensive Income (Det
Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2017 | Mar. 31, 2016 | ||
Other Comprehensive Income [Roll Forward] | |||
Beginning balance | $ 2,012,321 | $ 1,882,266 | |
Other comprehensive income (loss) before reclassifications | 61,625 | 239,697 | |
Amounts reclassified from AOCI | 2,354 | (13,144) | |
Other comprehensive income (loss) | [1] | 63,979 | 226,553 |
Ending balance | 2,034,550 | 2,134,719 | |
Unrealized holding gains / losses arising on fixed maturities, available-for- sale | |||
Other Comprehensive Income [Roll Forward] | |||
Beginning balance | 311,748 | 339,520 | |
Other comprehensive income (loss) before reclassifications | 84,649 | 290,296 | |
Amounts reclassified from AOCI | 1,896 | (12,980) | |
Other comprehensive income (loss) | 86,545 | 277,316 | |
Ending balance | 398,293 | 616,836 | |
Unrealized holding gains / losses arising on cash flow hedges | |||
Other Comprehensive Income [Roll Forward] | |||
Beginning balance | 67,076 | 45,284 | |
Other comprehensive income (loss) before reclassifications | (4,521) | (1,043) | |
Amounts reclassified from AOCI | (937) | (1,616) | |
Other comprehensive income (loss) | (5,458) | (2,659) | |
Ending balance | 61,618 | 42,625 | |
Future policy benefits, DAC and VOBA adjustments | |||
Other Comprehensive Income [Roll Forward] | |||
Beginning balance | (58,646) | (65,785) | |
Other comprehensive income (loss) before reclassifications | (18,503) | (49,556) | |
Amounts reclassified from AOCI | 0 | 0 | |
Other comprehensive income (loss) | (18,503) | (49,556) | |
Ending balance | (77,149) | (115,341) | |
Employee benefit plan adjustment | |||
Other Comprehensive Income [Roll Forward] | |||
Beginning balance | (84,303) | (85,581) | |
Other comprehensive income (loss) before reclassifications | 0 | 0 | |
Amounts reclassified from AOCI | 1,395 | 1,452 | |
Other comprehensive income (loss) | 1,395 | 1,452 | |
Ending balance | (82,908) | (84,129) | |
AOCI Attributable to Parent | |||
Other Comprehensive Income [Roll Forward] | |||
Beginning balance | 235,875 | 233,438 | |
Other comprehensive income (loss) | 63,979 | 226,553 | |
Ending balance | $ 299,854 | $ 459,991 | |
[1] | Other comprehensive income includes the non-credit component of impaired gains (losses), net, on fixed maturities available-for-sale in the amounts of $(1,089) and $(1,895) for the three months ended March 31, 2017, and 2016, respectively |
Other Comprehensive Income (D51
Other Comprehensive Income (Details 2) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2017 | Mar. 31, 2016 | ||
Before-tax amount | |||
Unrealized holding gains (losses), net, arising on fixed maturities, available-for-sale | $ 130,229 | $ 446,610 | |
Unrealized holding gains (losses), net, arising on cash flow hedges | (6,955) | (1,604) | |
Reclassification adjustment for (gains) losses, net, realized in net income | 1,475 | (22,456) | |
Net unrealized gains (losses) related to investments | 124,749 | 422,550 | |
Future policy benefits, DAC and VOBA adjustments | (28,466) | (76,240) | |
Net unrealized gains (losses) | 96,283 | 346,310 | |
Employee benefit plan adjustment | 2,146 | 2,234 | |
Other comprehensive income before income taxes | 98,429 | 348,544 | |
Tax (expense) benefit | |||
Unrealized holding gains (losses), net, arising on fixed maturities, available-for-sale | (45,580) | (156,314) | |
Unrealized holding gains (losses), net, arising on cash flow hedges | 2,434 | 561 | |
Reclassification adjustment for (gains) losses, net, realized in net income | (516) | 7,860 | |
Net unrealized gains (losses) related to investments | (43,662) | (147,893) | |
Future policy benefits, DAC and VOBA adjustments | 9,963 | 26,684 | |
Net unrealized gains (losses) | (33,699) | (121,209) | |
Employee benefit plan adjustment | (751) | (782) | |
Other comprehensive income (loss) | (34,450) | (121,991) | |
Net-of-tax amount | |||
Unrealized holding gains (losses), net, arising on fixed maturities, available-for-sale | 84,649 | 290,296 | |
Unrealized holding gains (losses), net, arising on cash flow hedges | (4,521) | (1,043) | |
Reclassification adjustment for (gains) losses, net, realized in net income | 959 | (14,596) | |
Net unrealized gains (losses) related to investments | 81,087 | 274,657 | |
Future policy benefits, DAC and VOBA adjustments | (18,503) | (49,556) | |
Net unrealized gains (losses) | 62,584 | 225,101 | |
Employee benefit plan adjustment | 1,395 | 1,452 | |
Other comprehensive income (loss) | [1] | $ 63,979 | $ 226,553 |
[1] | Other comprehensive income includes the non-credit component of impaired gains (losses), net, on fixed maturities available-for-sale in the amounts of $(1,089) and $(1,895) for the three months ended March 31, 2017, and 2016, respectively |
Other Comprehensive Income (D52
Other Comprehensive Income (Details 3) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Reclassifications out of accumulated other comprehensive income (loss) | ||
Other realized investment (gains) losses, net | $ 11,754 | $ (31,806) |
Net investment income | (313,471) | (331,785) |
Interest expense | (7,630) | (9,724) |
Amortization of unrecognized prior service costs (benefits) | 73 | (151) |
Actuarial (gains) | 2,073 | 2,385 |
Tax expense or benefit | 516 | (7,860) |
Net of tax | 2,354 | (13,144) |
Unrealized holding (gains) losses, net, arising on fixed maturities, available-for-sale | ||
Reclassifications out of accumulated other comprehensive income (loss) | ||
Net of tax | 1,896 | (12,980) |
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 | 2,917 | (19,970) |
Total before tax | 2,917 | (19,970) |
Tax expense or benefit | 1,021 | (6,990) |
Net of tax | 1,896 | (12,980) |
Unrealized holding (gains) losses, net, arising on cash flow hedges | ||
Reclassifications out of accumulated other comprehensive income (loss) | ||
Net of tax | (937) | (1,616) |
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 | (2,322) | (2,486) |
Interest expense | 880 | 0 |
Total before tax | (1,442) | (2,486) |
Tax expense or benefit | (505) | (870) |
Net of tax | (937) | (1,616) |
Amortization of employee benefit plan items | ||
Reclassifications out of accumulated other comprehensive income (loss) | ||
Net of tax | 1,395 | 1,452 |
Amortization of employee benefit plan items | Amount reclassified from accumulated other comprehensive income (loss) | ||
Reclassifications out of accumulated other comprehensive income (loss) | ||
Amortization of unrecognized prior service costs (benefits) | 73 | (151) |
Actuarial (gains) | 2,073 | 2,385 |
Total before tax | 2,146 | 2,234 |
Tax expense or benefit | 751 | 782 |
Net of tax | $ 1,395 | $ 1,452 |
Employee Benefit Plans (Details
Employee Benefit Plans (Details) - USD ($) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | Dec. 31, 2017 | |
Components of net periodic cost (benefit): | |||
Service cost | $ (1,714,000) | $ 1,701,000 | |
Interest cost | 6,714,000 | 6,901,000 | |
Expected return on plan assets | (5,118,000) | (6,278,000) | |
Amortization of unrecognized prior service costs (benefits) | 73,000 | (151,000) | |
Amortization of losses (gains) from earlier periods | 2,073,000 | 2,385,000 | |
Net periodic cost (benefit) | 2,028,000 | 4,558,000 | |
Defined Benefit Pension Plan | |||
Components of net periodic cost (benefit): | |||
Service cost | (2,067,000) | 1,335,000 | |
Interest cost | 6,121,000 | 6,282,000 | |
Expected return on plan assets | (5,118,000) | (6,278,000) | |
Amortization of unrecognized prior service costs (benefits) | 0 | 0 | |
Amortization of losses (gains) from earlier periods | 2,199,000 | 2,485,000 | |
Net periodic cost (benefit) | 1,135,000 | 3,824,000 | |
Post-Retirement Medical Plan | |||
Components of net periodic cost (benefit): | |||
Service cost | 357,000 | 293,000 | |
Interest cost | 188,000 | 175,000 | |
Expected return on plan assets | 0 | 0 | |
Amortization of unrecognized prior service costs (benefits) | (52,000) | (276,000) | |
Amortization of losses (gains) from earlier periods | (113,000) | (85,000) | |
Net periodic cost (benefit) | 380,000 | 107,000 | |
Payments to plan | 169,000 | 204,000 | |
Supplemental Executive Retirement Plan | |||
Components of net periodic cost (benefit): | |||
Service cost | (4,000) | 73,000 | |
Interest cost | 405,000 | 444,000 | |
Expected return on plan assets | 0 | 0 | |
Amortization of unrecognized prior service costs (benefits) | 125,000 | 125,000 | |
Amortization of losses (gains) from earlier periods | (13,000) | (15,000) | |
Net periodic cost (benefit) | 513,000 | 627,000 | |
Payments to plan | $ 834,000 | $ 834,000 | |
Scenario, Forecast | Defined Benefit Pension Plan | |||
Components of net periodic cost (benefit): | |||
Expected Employer contribution for the year | $ 0 | ||
Scenario, Forecast | Post-Retirement Medical Plan | |||
Components of net periodic cost (benefit): | |||
Expected Employer contribution for the year | 678,000 | ||
Scenario, Forecast | Supplemental Executive Retirement Plan | |||
Components of net periodic cost (benefit): | |||
Expected Employer contribution for the year | $ 3,336,000 |
Income Taxes (Details)
Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Income Tax Disclosure [Abstract] | ||
Current expense | $ 12,959 | $ 10,640 |
Deferred expense | 4,158 | 13,398 |
Total income tax provision | $ 17,117 | $ 24,038 |
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 | (3.30%) | (2.30%) |
Tax credits | (0.80%) | (16.30%) |
State income taxes, net of federal benefit | 1.80% | 2.30% |
Other, net | 0.30% | 0.90% |
Effective income tax rate | 33.00% | 19.60% |
Reconciliation of unrecognized tax benefits | ||
Increase in unrecognized tax benefit | $ 1,994 | $ 1,843 |
Additional decrease to unrecognized tax benefits | $ 7,000 | $ 9,000 |
Segment Information (Details)
Segment Information (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017USD ($)segment | Mar. 31, 2016USD ($) | |
Financial information of the segments | ||
Number of reportable segments | segment | 3 | |
Revenues | ||
Premium income | $ 152,241 | $ 154,927 |
Fee income | 255,116 | 225,067 |
Other revenue | 2,384 | 3,149 |
Net investment income | 313,471 | 331,785 |
Realized investment gains (losses), net | (11,754) | 31,270 |
Total revenues | 711,458 | 746,198 |
Benefits and expenses: | ||
Policyholder benefits | 339,428 | 336,743 |
Operating expenses | 320,083 | 286,791 |
Total benefits and expenses | 659,511 | 623,534 |
Income before income taxes | 51,947 | 122,664 |
Income tax expense | 17,117 | 24,038 |
Net income | 34,830 | 98,626 |
Individual Markets | ||
Revenues | ||
Premium income | 131,559 | 133,286 |
Fee income | 25,981 | 22,724 |
Other revenue | 0 | 0 |
Net investment income | 184,205 | 207,693 |
Realized investment gains (losses), net | 584 | 11,806 |
Total revenues | 342,329 | 375,509 |
Benefits and expenses: | ||
Policyholder benefits | 270,088 | 267,497 |
Operating expenses | 38,386 | 37,223 |
Total benefits and expenses | 308,474 | 304,720 |
Income before income taxes | 33,855 | 70,789 |
Income tax expense | 11,650 | 23,834 |
Net income | 22,205 | 46,955 |
Empower Retirement | ||
Revenues | ||
Premium income | 91 | 346 |
Fee income | 227,320 | 200,923 |
Other revenue | 2,384 | 3,149 |
Net investment income | 117,620 | 110,534 |
Realized investment gains (losses), net | (12,316) | 19,471 |
Total revenues | 335,099 | 334,423 |
Benefits and expenses: | ||
Policyholder benefits | 47,629 | 49,917 |
Operating expenses | 255,764 | 231,640 |
Total benefits and expenses | 303,393 | 281,557 |
Income before income taxes | 31,706 | 52,866 |
Income tax expense | 10,426 | 651 |
Net income | 21,280 | 52,215 |
Other | ||
Revenues | ||
Premium income | 20,591 | 21,295 |
Fee income | 1,815 | 1,420 |
Other revenue | 0 | 0 |
Net investment income | 11,646 | 13,558 |
Realized investment gains (losses), net | (22) | (7) |
Total revenues | 34,030 | 36,266 |
Benefits and expenses: | ||
Policyholder benefits | 21,711 | 19,329 |
Operating expenses | 25,933 | 17,928 |
Total benefits and expenses | 47,644 | 37,257 |
Income before income taxes | (13,614) | (991) |
Income tax expense | (4,959) | (447) |
Net income | $ (8,655) | $ (544) |
Commitments and Contingencies (
Commitments and Contingencies (Details) | 3 Months Ended | |
Mar. 31, 2017USD ($)letter_of_credit | Dec. 31, 2016USD ($) | |
Commitments | ||
Unfunded commitments, due in one year | $ 550,139,000 | $ 438,458,000 |
Unfunded commitments related to cost basis limited partnership interests, due in one year | $ 88,903,000 | 93,440,000 |
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 | 1,154,380,000 | |
Second letter of credit | ||
Commitments | ||
Amount of credit facility under agreement for general corporate purposes | 70,000,000 | |
First and Second Letters of Credit | ||
Commitments | ||
Amount outstanding | 0 | 0 |
Other Letters of Credit | ||
Commitments | ||
Amount of credit facility under agreement for general corporate purposes | 9,095,000 | |
Amount outstanding | $ 0 | $ 0 |
Subsequent Events Narrative (De
Subsequent Events Narrative (Details) $ in Thousands | Apr. 26, 2017USD ($) |
Subsequent Event | |
Subsequent Event [Line Items] | |
Dividends payable | $ 60,301 |