ý | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
¨ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Arizona | 06-1241288 | |
(State or Other Jurisdiction of Incorporation or Organization) | (I.R.S. Employer Identification Number) |
Large accelerated filer | ¨ | Accelerated filer | ¨ |
Non-accelerated filer | ý | Smaller reporting company | ¨ |
Page | |||
Item 1. | |||
Item 2. | |||
Item 3. | |||
Item 4. | |||
Item 1. | |||
Item 1A. | |||
Item 6. | |||
March 31, 2016 | December 31, 2015 | ||||||
ASSETS | |||||||
Fixed maturities, available-for-sale, at fair value (amortized cost, 2016: $2,521,513; 2015: $2,433,626) | $ | 2,653,708 | $ | 2,524,272 | |||
Trading account assets, at fair value | 7,331 | 5,653 | |||||
Equity securities, available-for-sale, at fair value (cost, 2016: $14; 2015: $14) | 18 | 17 | |||||
Commercial mortgage and other loans | 446,620 | 438,172 | |||||
Policy loans | 13,094 | 13,054 | |||||
Short-term investments | 764 | 158,227 | |||||
Other long-term investments | 221,301 | 182,157 | |||||
Total investments | 3,342,836 | 3,321,552 | |||||
Cash and cash equivalents | 106,478 | 536 | |||||
Deferred policy acquisition costs | 536,943 | 749,302 | |||||
Accrued investment income | 27,028 | 22,615 | |||||
Reinsurance recoverables | 3,776,339 | 3,088,328 | |||||
Value of business acquired | 30,184 | 33,640 | |||||
Deferred sales inducements | 327,494 | 452,752 | |||||
Receivables from parent and affiliates | 49,087 | 212,696 | |||||
Other assets | 104,486 | 123,158 | |||||
Separate account assets | 38,392,917 | 39,250,159 | |||||
TOTAL ASSETS | $ | 46,693,792 | $ | 47,254,738 | |||
LIABILITIES AND EQUITY | |||||||
LIABILITIES | |||||||
Policyholders’ account balances | $ | 2,422,041 | $ | 2,416,125 | |||
Future policy benefits | 4,294,804 | 3,578,662 | |||||
Payables to parent and affiliates | 47,589 | 275,737 | |||||
Cash collateral for loaned securities | 3,683 | 10,568 | |||||
Income taxes | 196,710 | 274,951 | |||||
Short-term debt | 0 | 1,000 | |||||
Other liabilities | 113,806 | 100,618 | |||||
Separate account liabilities | 38,392,917 | 39,250,159 | |||||
Total Liabilities | 45,471,550 | 45,907,820 | |||||
COMMITMENTS AND CONTINGENT LIABILITIES (See Note 6) | |||||||
EQUITY | |||||||
Common stock, ($100 par value; 25,000 shares authorized, issued and outstanding) | 2,500 | 2,500 | |||||
Additional paid-in capital | 901,422 | 901,422 | |||||
Retained earnings | 254,165 | 396,830 | |||||
Accumulated other comprehensive income | 64,155 | 46,166 | |||||
Total Equity | 1,222,242 | 1,346,918 | |||||
TOTAL LIABILITIES AND EQUITY | $ | 46,693,792 | $ | 47,254,738 |
Three Months Ended March 31, | |||||||
2016 | 2015 | ||||||
REVENUES | |||||||
Premiums | $ | 5,490 | $ | 9,192 | |||
Policy charges and fee income | 149,506 | 191,383 | |||||
Net investment income | 33,010 | 37,589 | |||||
Asset administration fees and other income | 27,331 | 54,043 | |||||
Realized investment gains (losses), net: | |||||||
Other-than-temporary impairments on fixed maturity securities | (3,755 | ) | (25 | ) | |||
Other-than-temporary impairments on fixed maturity securities transferred to other comprehensive income (loss) | 1,818 | 16 | |||||
Other realized investment gains (losses), net | (12,305 | ) | 13,484 | ||||
Total realized investment gains (losses), net | (14,242 | ) | 13,475 | ||||
Total revenues | 201,095 | 305,682 | |||||
BENEFITS AND EXPENSES | |||||||
Policyholders’ benefits | 23,676 | 11,989 | |||||
Interest credited to policyholders’ account balances | 131,659 | 91,630 | |||||
Amortization of deferred policy acquisition costs | 207,476 | 141,060 | |||||
General, administrative and other expenses | 66,779 | 87,072 | |||||
Total benefits and expenses | 429,590 | 331,751 | |||||
INCOME (LOSS) FROM OPERATIONS BEFORE INCOME TAXES | (228,495 | ) | (26,069 | ) | |||
Income tax expense (benefit) | (85,830 | ) | (4,767 | ) | |||
NET INCOME (LOSS) | (142,665 | ) | (21,302 | ) | |||
Other comprehensive income (loss), before tax: | |||||||
Foreign currency translation adjustments | 28 | (59 | ) | ||||
Net unrealized investment gains (losses): | |||||||
Unrealized investment gains (losses) for the period | 25,501 | 14,793 | |||||
Reclassification adjustment for (gains) losses included in net income | 2,146 | (1,862 | ) | ||||
Net unrealized investment gains (losses) | 27,647 | 12,931 | |||||
Other comprehensive income (loss), before tax: | 27,675 | 12,872 | |||||
Less: Income tax expense (benefit) related to other comprehensive income (loss) | |||||||
Foreign currency translation adjustments | 10 | (21 | ) | ||||
Net unrealized investment gains (losses) | 9,676 | 4,526 | |||||
Total | 9,686 | 4,505 | |||||
Other comprehensive income (loss), net of tax | 17,989 | 8,367 | |||||
COMPREHENSIVE INCOME (LOSS) | $ | (124,676 | ) | $ | (12,935 | ) |
Common Stock | Additional Paid-in Capital | Retained Earnings | Accumulated Other Comprehensive Income (Loss) | Total Equity | |||||||||||||||
Balance, December 31, 2015 | $ | 2,500 | $ | 901,422 | $ | 396,830 | $ | 46,166 | $ | 1,346,918 | |||||||||
Comprehensive income: | |||||||||||||||||||
Net income (loss) | 0 | 0 | (142,665 | ) | 0 | (142,665 | ) | ||||||||||||
Other comprehensive income (loss), net of tax | 0 | 0 | 0 | 17,989 | 17,989 | ||||||||||||||
Total comprehensive income (loss) | (124,676 | ) | |||||||||||||||||
Balance, March 31, 2016 | $ | 2,500 | $ | 901,422 | $ | 254,165 | $ | 64,155 | $ | 1,222,242 | |||||||||
Common Stock | Additional Paid-in Capital | Retained Earnings | Accumulated Other Comprehensive Income (Loss) | Total Equity | |||||||||||||||
Balance, December 31, 2014 | $ | 2,500 | $ | 901,422 | $ | 673,613 | $ | 84,622 | $ | 1,662,157 | |||||||||
Comprehensive income: | |||||||||||||||||||
Net income (loss) | 0 | 0 | (21,302 | ) | 0 | (21,302 | ) | ||||||||||||
Other comprehensive income (loss), net of tax | 0 | 0 | 0 | 8,367 | 8,367 | ||||||||||||||
Total comprehensive income (loss) | (12,935 | ) | |||||||||||||||||
Balance, March 31, 2015 | $ | 2,500 | $ | 901,422 | $ | 652,311 | $ | 92,989 | $ | 1,649,222 |
2016 | 2015 | ||||||
CASH FLOWS FROM OPERATING ACTIVITIES: | |||||||
Net income (loss) | $ | (142,665 | ) | $ | (21,302 | ) | |
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | |||||||
Policy charges and fee income | 102 | 539 | |||||
Realized investment (gains) losses, net | 14,242 | (13,475 | ) | ||||
Depreciation and amortization | 1,819 | 32,888 | |||||
Interest credited to policyholders’ account balances | 131,659 | 91,630 | |||||
Change in: | |||||||
Future policy benefits | 64,852 | 57,356 | |||||
Accrued investment income | (4,413 | ) | (2,783 | ) | |||
Net receivable from/payable to parent and affiliates | (64,504 | ) | (2,451 | ) | |||
Deferred sales inducements | (8 | ) | (724 | ) | |||
Deferred policy acquisition costs | 207,158 | 140,554 | |||||
Income taxes | (87,927 | ) | 4,495 | ||||
Reinsurance recoverables | (69,025 | ) | (67,013 | ) | |||
Bonus reserve | 0 | (30,029 | ) | ||||
Derivatives, net | (6,366 | ) | (4,092 | ) | |||
Deferred loss on reinsurance | 4,445 | 0 | |||||
Other, net | (13,642 | ) | (3,914 | ) | |||
Cash flows from operating activities | $ | 35,727 | $ | 181,679 | |||
CASH FLOWS FROM INVESTING ACTIVITIES: | |||||||
Proceeds from the sale/maturity/prepayment of: | |||||||
Fixed maturities, available-for-sale | $ | 74,705 | $ | 155,652 | |||
Commercial mortgage and other loans | 5,582 | 5,890 | |||||
Trading account assets | 540 | 1,799 | |||||
Policy loans | 227 | 179 | |||||
Other long-term investments | 415 | 883 | |||||
Short-term investments | 702,478 | 478,691 | |||||
Payments for the purchase/origination of: | |||||||
Fixed maturities, available-for-sale | (148,237 | ) | (78,468 | ) | |||
Commercial mortgage and other loans | (14,184 | ) | (1,492 | ) | |||
Trading account assets | (300 | ) | (1,577 | ) | |||
Policy loans | (109 | ) | (38 | ) | |||
Other long-term investments | (2,156 | ) | 274 | ||||
Short-term investments | (545,014 | ) | (523,304 | ) | |||
Notes receivable from parent and affiliates, net | 1,941 | 274 | |||||
Derivatives, net | 1 | 30 | |||||
Other, net | 149 | 158 | |||||
Cash flows from investing activities | $ | 76,038 | $ | 38,951 | |||
CASH FLOWS FROM FINANCING ACTIVITIES: | |||||||
Cash collateral for loaned securities | (6,885 | ) | 3,847 | ||||
Net decrease in short-term borrowing | (1,000 | ) | (30,347 | ) | |||
Drafts outstanding | 2,584 | 10,021 |
Policyholders’ account balances | |||||||
Deposits | 412,276 | 250,594 | |||||
Withdrawals | (412,798 | ) | (439,124 | ) | |||
Cash flows used in financing activities | $ | (5,823 | ) | $ | (205,009 | ) | |
NET INCREASE IN CASH AND CASH EQUIVALENTS | 105,942 | 15,621 | |||||
CASH AND CASH EQUIVALENTS, BEGINNING OF YEAR | 536 | 594 | |||||
CASH AND CASH EQUIVALENTS, END OF PERIOD | $ | 106,478 | $ | 16,215 |
March 31, 2016 | |||||||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | OTTI in AOCI(3) | |||||||||||||||
(in thousands) | |||||||||||||||||||
Fixed maturities, available-for-sale | |||||||||||||||||||
U.S. Treasury securities and obligations of U.S. government authorities and agencies | $ | 18,175 | $ | 231 | $ | 0 | $ | 18,406 | $ | 0 | |||||||||
Obligations of U.S. states and their political subdivisions | 23,567 | 1,020 | 0 | 24,587 | 0 | ||||||||||||||
Foreign government bonds | 42,886 | 6,771 | 10 | 49,647 | 0 | ||||||||||||||
Public utilities | 202,972 | 21,631 | 2,092 | 222,511 | 0 | ||||||||||||||
Redeemable preferred stock | 16,000 | 720 | 0 | 16,720 | 0 | ||||||||||||||
All other U.S. public corporate securities | 797,603 | 65,416 | 5,010 | 858,009 | 31 | ||||||||||||||
All other U.S. private corporate securities | 505,153 | 32,605 | 5,230 | 532,528 | (660 | ) | |||||||||||||
All other foreign public corporate securities | 125,408 | 4,323 | 34 | 129,697 | 0 | ||||||||||||||
All other foreign private corporate securities | 232,411 | 3,515 | 12,377 | 223,549 | 0 | ||||||||||||||
Asset-backed securities(1) | 162,166 | 2,000 | 1,638 | 162,528 | (34 | ) | |||||||||||||
Commercial mortgage-backed securities | 270,865 | 14,242 | 4 | 285,103 | 0 | ||||||||||||||
Residential mortgage-backed securities(2) | 124,307 | 6,125 | 9 | 130,423 | (6 | ) | |||||||||||||
Total fixed maturities, available-for-sale | $ | 2,521,513 | $ | 158,599 | $ | 26,404 | $ | 2,653,708 | $ | (669 | ) | ||||||||
Equity securities, available-for-sale | |||||||||||||||||||
Common Stocks: | |||||||||||||||||||
Public utilities | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||||||
Mutual funds | 14 | 4 | 0 | 18 | |||||||||||||||
Total equity securities, available-for-sale | $ | 14 | $ | 4 | $ | 0 | $ | 18 |
(1) | Includes credit-tranched securities collateralized by sub-prime mortgages, auto loans, credit cards, education loans and other asset types. |
(2) | Includes publicly-traded agency pass-through securities and collateralized mortgage obligations. |
(3) | Represents the amount of OTTI losses in Accumulated Other Comprehensive Income ("AOCI"), which were not included in earnings. Amount excludes $(0.8) million of net unrealized losses on impaired available-for-sale securities relating to changes in the value of such securities subsequent to the impairment measurement date. |
December 31, 2015 | |||||||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | OTTI in AOCI(3) | |||||||||||||||
(in thousands) | |||||||||||||||||||
Fixed maturities, available-for-sale | |||||||||||||||||||
U.S. Treasury securities and obligations of U.S. government authorities and agencies | $ | 12,233 | $ | 28 | $ | 107 | $ | 12,154 | $ | 0 | |||||||||
Obligations of U.S. states and their political subdivisions | 20,116 | 474 | 378 | 20,212 | 0 | ||||||||||||||
Foreign government bonds | 43,188 | 6,123 | 28 | 49,283 | 0 | ||||||||||||||
Public utilities | 203,803 | 15,969 | 4,263 | 215,509 | 0 | ||||||||||||||
All other U.S. public corporate securities | 818,627 | 52,866 | 7,717 | 863,776 | 0 | ||||||||||||||
All other U.S. private corporate securities | 494,640 | 30,996 | 4,407 | 521,229 | 0 | ||||||||||||||
All other foreign public corporate securities | 132,414 | 3,781 | 608 | 135,587 | 0 | ||||||||||||||
All other foreign private corporate securities | 219,009 | 2,487 | 15,842 | 205,654 | 0 | ||||||||||||||
Asset-backed securities(1) | 149,196 | 2,786 | 692 | 151,290 | (35 | ) | |||||||||||||
Commercial mortgage-backed securities | 211,429 | 4,963 | 652 | 215,740 | 0 | ||||||||||||||
Residential mortgage-backed securities(2) | 128,971 | 4,886 | 19 | 133,838 | (7 | ) | |||||||||||||
Total fixed maturities, available-for-sale | $ | 2,433,626 | $ | 125,359 | $ | 34,713 | $ | 2,524,272 | $ | (42 | ) | ||||||||
Equity securities, available-for-sale | |||||||||||||||||||
Common Stocks: | |||||||||||||||||||
Public utilities | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||||||
Mutual funds | 14 | 3 | 0 | 17 | |||||||||||||||
Total equity securities, available-for-sale | $ | 14 | $ | 3 | $ | 0 | $ | 17 |
(1) | Includes credit-tranched securities collateralized by sub-prime mortgages, auto loans, credit cards, education loans and other asset types. |
(2) | Includes publicly-traded agency pass-through securities and collateralized mortgage obligations. |
(3) | Represents the amount of OTTI losses in AOCI, which were not included in earnings. Amount excludes $0.1 million of net unrealized gains on impaired available-for-sale securities relating to changes in the value of such securities subsequent to the impairment measurement date. |
Available-for-Sale | |||||||
Amortized Cost | Fair Value | ||||||
(in thousands) | |||||||
Due in one year or less | $ | 447,470 | $ | 449,492 | |||
Due after one year through five years | 637,263 | 662,980 | |||||
Due after five years through ten years | 491,903 | 530,852 | |||||
Due after ten years | 387,539 | 432,330 | |||||
Asset-backed securities | 162,166 | 162,528 | |||||
Commercial mortgage-backed securities | 270,865 | 285,103 | |||||
Residential mortgage-backed securities | 124,307 | 130,423 | |||||
Total | $ | 2,521,513 | $ | 2,653,708 |
Three Months Ended March 31, | |||||||
2016 | 2015 | ||||||
(in thousands) | |||||||
Fixed maturities, available-for-sale | |||||||
Proceeds from sales | $ | 30,474 | $ | 4,736 | |||
Proceeds from maturities/repayments | 45,601 | 157,146 | |||||
Gross investment gains from sales, prepayments and maturities | 86 | 1,902 | |||||
Gross investment losses from sales and maturities | (295 | ) | (31 | ) | |||
Equity securities, available-for-sale | |||||||
Proceeds from sales | $ | 0 | $ | 0 | |||
Gross investment gains from sales | 0 | 0 | |||||
Gross investment losses from sales | 0 | 0 | |||||
Fixed maturity and equity security impairments | |||||||
Net writedowns for OTTI losses on fixed maturities recognized in earnings(1) | $ | (1,937 | ) | $ | (9 | ) | |
Writedowns for impairments on equity securities | 0 | 0 |
(1) | Excludes the portion of OTTI recorded in “Other comprehensive income (loss),” representing any difference between the fair value of the impaired debt security and the net present value of its projected future cash flows at the time of the impairment. |
Three Months Ended March 31, | |||||||
2016 | 2015 | ||||||
(in thousands) | |||||||
Balance, beginning of period | $ | 86 | $ | 93 | |||
Credit loss impairments previously recognized on securities which matured, paid down, prepaid or were sold during the period | (3 | ) | (5 | ) | |||
Credit loss impairment recognized in the current period on securities not previously impaired | 1,189 | 0 | |||||
Additional credit loss impairments recognized in the current period on securities previously impaired | 0 | 9 | |||||
Increases due to the passage of time on previously recorded credit losses | 0 | 0 | |||||
Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected | (1 | ) | (3 | ) | |||
Balance, end of period | $ | 1,271 | $ | 94 |
March 31, 2016 | December 31, 2015 | ||||||||||||||
Cost | Fair Value | Cost | Fair Value | ||||||||||||
(in thousands) | |||||||||||||||
Total trading account assets—Equity securities | $ | 5,470 | $ | 7,331 | $ | 5,618 | $ | 5,653 |
March 31, 2016 | December 31, 2015 | ||||||||||||
Amount (in thousands) | % of Total | Amount (in thousands) | % of Total | ||||||||||
Commercial mortgage and agricultural property loans by property type: | |||||||||||||
Apartments/Multi-Family | $ | 139,790 | 31.5 | % | $ | 136,190 | 31.2 | % | |||||
Industrial | 63,037 | 14.2 | 58,621 | 13.5 | |||||||||
Retail | 66,848 | 15.0 | 67,358 | 15.5 | |||||||||
Office | 99,247 | 22.3 | 100,357 | 23.0 | |||||||||
Other | 21,947 | 4.9 | 18,660 | 4.3 | |||||||||
Hospitality | 4,933 | 1.1 | 4,963 | 1.1 | |||||||||
Total commercial mortgage loans | 395,802 | 89.0 | 386,149 | 88.6 | |||||||||
Agricultural property loans | 48,727 | 11.0 | 49,926 | 11.4 | |||||||||
Total commercial mortgage and agricultural property loans by property type | 444,529 | 100.0 | % | 436,075 | 100.0 | % | |||||||
Valuation allowance | (649 | ) | (643 | ) | |||||||||
Total net commercial mortgage and agricultural property loans by property type | 443,880 | 435,432 | |||||||||||
Other Loans | |||||||||||||
Uncollateralized loans | 2,740 | 2,740 | |||||||||||
Valuation allowance | 0 | 0 | |||||||||||
Total net other loans | 2,740 | 2,740 | |||||||||||
Total commercial mortgage and other loans | $ | 446,620 | $ | 438,172 |
March 31, 2016 | |||||||||||||||
Commercial Mortgage Loans | Agricultural Property Loans | Uncollateralized Loans | Total | ||||||||||||
(in thousands) | |||||||||||||||
Allowance for credit losses, beginning of year | $ | 622 | $ | 21 | $ | 0 | $ | 643 | |||||||
Addition to (release of) allowance for losses | 17 | (11 | ) | 0 | 6 | ||||||||||
Charge-offs, net of recoveries | 0 | 0 | 0 | 0 | |||||||||||
Total ending balance | $ | 639 | $ | 10 | $ | 0 | $ | 649 |
December 31, 2015 | |||||||||||||||
Commercial Mortgage Loans | Agricultural Property Loans | Uncollateralized Loans | Total | ||||||||||||
(in thousands) | |||||||||||||||
Allowance for credit losses, beginning of year | $ | 455 | $ | 27 | $ | 0 | $ | 482 | |||||||
Addition to (release of) allowance for losses | 167 | (6 | ) | 0 | 161 | ||||||||||
Charge-offs, net of recoveries | 0 | 0 | 0 | 0 | |||||||||||
Total ending balance | $ | 622 | $ | 21 | $ | 0 | $ | 643 |
March 31, 2016 | |||||||||||||||
Commercial Mortgage Loans | Agricultural Property Loans | Uncollateralized Loans | Total | ||||||||||||
(in thousands) | |||||||||||||||
Allowance for Credit Losses: | |||||||||||||||
Individually evaluated for impairment | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||
Collectively evaluated for impairment | 639 | 10 | 0 | 649 | |||||||||||
Loans acquired with deteriorated credit quality | 0 | 0 | 0 | 0 | |||||||||||
Total ending balance | $ | 639 | $ | 10 | $ | 0 | $ | 649 |
Recorded Investment(1): | |||||||||||||||
Gross of reserves: individually evaluated for impairment | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||
Gross of reserves: collectively evaluated for impairment | 395,802 | 48,727 | 2,740 | 447,269 | |||||||||||
Gross of reserves: loans acquired with deteriorated credit quality | 0 | 0 | 0 | 0 | |||||||||||
Total ending balance, gross of reserves | $ | 395,802 | $ | 48,727 | $ | 2,740 | $ | 447,269 |
(1) | Recorded investment reflects the carrying value gross of related allowance. |
December 31, 2015 | |||||||||||||||
Commercial Mortgage Loans | Agricultural Property Loans | Uncollateralized Loans | Total | ||||||||||||
(in thousands) | |||||||||||||||
Allowance for Credit Losses: | |||||||||||||||
Individually evaluated for impairment | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||
Collectively evaluated for impairment | 622 | 21 | 0 | 643 | |||||||||||
Loans acquired with deteriorated credit quality | 0 | 0 | 0 | 0 | |||||||||||
Total ending balance | $ | 622 | $ | 21 | $ | 0 | $ | 643 |
Recorded Investment(1): | |||||||||||||||
Gross of reserves: individually evaluated for impairment | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||
Gross of reserves: collectively evaluated for impairment | 386,149 | 49,926 | 2,740 | 438,815 | |||||||||||
Gross of reserves: loans acquired with deteriorated credit quality | 0 | 0 | 0 | 0 | |||||||||||
Total ending balance, gross of reserves | $ | 386,149 | $ | 49,926 | $ | 2,740 | $ | 438,815 |
(1) | Recorded investment reflects the carrying value gross of related allowance. |
March 31, 2016 | |||||||||||||||||||
Recorded Investment(1) | Unpaid Principal Balance | Related Allowance | Average Recorded Investment Before Allowance(2) | Interest Income Recognized(3) | |||||||||||||||
(in thousands) | |||||||||||||||||||
With no related allowance recorded | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||||
With an allowance recorded | 0 | 0 | 0 | 0 | 0 | ||||||||||||||
Total | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
(1) | Recorded investment reflects the carrying value gross of related allowance. |
(2) | Average recorded investment represents the average of the beginning-of-period and end-of-period balances. |
(3) | The interest income recognized is for the year-to-date income regardless of when the impairments occurred. |
December 31, 2015 | ||||||||||||||||||
Recorded Investment(1) | Unpaid Principal Balance | Related Allowance | Average Recorded Investment Before Allowance(2) | Interest Income Recognized(3) | ||||||||||||||
(in thousands) | ||||||||||||||||||
With no related allowance recorded | $ | 0 | $ | 0 | 0 | $ | 0 | $ | 0 | |||||||||
With an allowance recorded | 0 | 0 | 0 | 0 | 0 | |||||||||||||
Total | $ | 0 | $ | 0 | 0 | $ | 0 | $ | 0 |
(1) | Recorded investment reflects the carrying value gross of related allowance. |
(2) | Average recorded investment represents the average of the beginning-of-period and all subsequent quarterly end-of-period balances. |
(3) | The interest income recognized is for the year-to-date income regardless of when the impairments occurred. |
Debt Service Coverage Ratio - March 31, 2016 | |||||||||||||||
Greater than 1.2X | 1.0X to <1.2X | Less than 1.0X | Total | ||||||||||||
(in thousands) | |||||||||||||||
Loan-to-Value Ratio | |||||||||||||||
0%-59.99% | $ | 304,569 | $ | 4,628 | $ | 907 | $ | 310,104 | |||||||
60%-69.99% | 98,855 | 0 | 0 | 98,855 | |||||||||||
70%-79.99% | 34,164 | 1,406 | 0 | 35,570 | |||||||||||
Greater than 80% | 0 | 0 | 0 | 0 | |||||||||||
Total commercial mortgage and agricultural property loans | $ | 437,588 | $ | 6,034 | $ | 907 | $ | 444,529 |
Debt Service Coverage Ratio - December 31, 2015 | |||||||||||||||
Greater than 1.2X | 1.0X to <1.2X | Less than 1.0X | Total | ||||||||||||
(in thousands) | |||||||||||||||
Loan-to-Value Ratio | |||||||||||||||
0%-59.99% | $ | 303,215 | $ | 9,073 | $ | 992 | $ | 313,280 | |||||||
60%-69.99% | 95,977 | 0 | 0 | 95,977 | |||||||||||
70%-79.99% | 25,401 | 1,417 | 0 | 26,818 | |||||||||||
Greater than 80% | 0 | 0 | 0 | 0 | |||||||||||
Total commercial mortgage and agricultural property loans | $ | 424,593 | $ | 10,490 | $ | 992 | $ | 436,075 |
March 31, 2016 | |||||||||||||||||||||||
Current | 30-59 Days Past Due | 60-89 Days Past Due | Greater than 90 Days | Total Commercial Mortgage and Other Loans | Non-Accrual Status | ||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Commercial mortgage loans | $ | 395,802 | $ | 0 | $ | 0 | $ | 0 | $ | 395,802 | $ | 0 | |||||||||||
Agricultural property loans | 48,727 | 0 | 0 | 0 | 48,727 | 0 | |||||||||||||||||
Uncollateralized loans | 2,740 | 0 | 0 | 0 | 2,740 | 0 | |||||||||||||||||
Total | $ | 447,269 | $ | 0 | $ | 0 | $ | 0 | $ | 447,269 | $ | 0 |
December 31, 2015 | |||||||||||||||||||||||
Current | 30-59 Days Past Due | 60-89 Days Past Due | Greater than 90 Days | Total Commercial Mortgage and Other Loans | Non-Accrual Status | ||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Commercial mortgage loans | $ | 386,149 | $ | 0 | $ | 0 | $ | 0 | $ | 386,149 | $ | 0 | |||||||||||
Agricultural property loans | 49,926 | 0 | 0 | 0 | 49,926 | 0 | |||||||||||||||||
Uncollateralized loans | 2,740 | 0 | 0 | 0 | 2,740 | 0 | |||||||||||||||||
Total | $ | 438,815 | $ | 0 | $ | 0 | $ | 0 | $ | 438,815 | $ | 0 |
Three Months Ended March 31, | |||||||
2016 | 2015 | ||||||
(in thousands) | |||||||
Fixed maturities, available-for-sale | $ | 29,070 | $ | 30,782 | |||
Trading account assets | 2 | 2 | |||||
Commercial mortgage and other loans | 4,896 | 5,236 | |||||
Policy loans | 110 | 130 | |||||
Short-term investments | 204 | 44 | |||||
Other long-term investments | 114 | 2,795 | |||||
Gross investment income | 34,396 | 38,989 | |||||
Less: investment expenses | (1,386 | ) | (1,400 | ) | |||
Net investment income | $ | 33,010 | $ | 37,589 |
Three Months Ended March 31, | |||||||
2016 | 2015 | ||||||
(in thousands) | |||||||
Fixed maturities | $ | (2,146 | ) | $ | 1,862 | ||
Equity securities | 0 | 0 | |||||
Commercial mortgage and other loans | (6 | ) | 75 | ||||
Derivatives | (11,610 | ) | 11,538 | ||||
Other long-term investments | (480 | ) | 0 | ||||
Realized investment gains (losses), net | $ | (14,242 | ) | $ | 13,475 |
Accumulated Other Comprehensive Income (Loss) | |||||||||||
Foreign Currency Translation Adjustment | Net Unrealized Investment Gains (Losses)(1) | Total Accumulated Other Comprehensive Income (Loss) | |||||||||
(in thousands) | |||||||||||
Balance, December 31, 2015 | $ | (65 | ) | $ | 46,231 | $ | 46,166 | ||||
Change in OCI before reclassifications | 28 | 25,501 | 25,529 | ||||||||
Amounts reclassified from AOCI | 0 | 2,146 | 2,146 | ||||||||
Income tax benefit (expense) | (10 | ) | (9,676 | ) | (9,686 | ) | |||||
Balance, March 31, 2016 | $ | (47 | ) | $ | 64,202 | $ | 64,155 |
Accumulated Other Comprehensive Income (Loss) | |||||||||||
Foreign Currency Translation Adjustment | Net Unrealized Investment Gains (Losses)(1) | Total Accumulated Other Comprehensive Income (Loss) | |||||||||
(in thousands) | |||||||||||
Balance, December 31, 2014 | $ | (30 | ) | $ | 84,652 | $ | 84,622 | ||||
Change in OCI before reclassifications | (59 | ) | 14,793 | 14,734 | |||||||
Amounts reclassified from AOCI | 0 | (1,862 | ) | (1,862 | ) | ||||||
Income tax benefit (expense) | 21 | (4,526 | ) | (4,505 | ) | ||||||
Balance, March 31, 2015 | $ | (68 | ) | $ | 93,057 | $ | 92,989 |
(1) | Includes cash flow hedges of $10.7 million and $14.8 million as of March 31, 2016 and December 31, 2015, respectively, and $13.0 million and $5.0 million as of March 31, 2015 and December 31, 2014, respectively. |
Three Months Ended March 31, 2016 | Three Months Ended March 31, 2015 | ||||||
(in thousands) | |||||||
Amounts reclassified from AOCI(1)(2): | |||||||
Net unrealized investment gains (losses): | |||||||
Cash flow hedges—Currency/ Interest rate(3) | $ | 391 | $ | 232 | |||
Net unrealized investment gains (losses) on available-for-sale securities | (2,537 | ) | 1,630 | ||||
Total net unrealized investment gains (losses)(4) | (2,146 | ) | 1,862 | ||||
Total reclassifications for the period | $ | (2,146 | ) | $ | 1,862 |
(1) | All amounts are shown before tax. |
(2) | Positive amounts indicate gains/benefits reclassified out of AOCI. Negative amounts indicate losses/costs reclassified out of AOCI. |
(3) | See Note 5 for additional information on cash flow hedges. |
(4) | See table below for additional information on unrealized investment gains (losses), including the impact on deferred policy acquisition costs and other costs and future policy benefits. |
Net Unrealized Gains (Losses) on Investments | DAC and Other Costs | Future Policy Benefits | Deferred Income Tax (Liability) Benefit | Accumulated Other Comprehensive Income (Loss) Related to Net Unrealized Investment Gains (Losses) | |||||||||||||||
(in thousands) | |||||||||||||||||||
Balance, December 31, 2015 | $ | 9 | $ | (3 | ) | $ | 0 | $ | 14 | $ | 20 | ||||||||
Net investment gains (losses) on investments arising during the period | (3 | ) | 0 | 0 | 1 | (2 | ) | ||||||||||||
Reclassification adjustment for (gains) losses included in net income | (1 | ) | 0 | 0 | 0 | (1 | ) | ||||||||||||
Reclassification adjustment for (gains) losses excluded from net income(1) | (1,497 | ) | 0 | 0 | 524 | (973 | ) | ||||||||||||
Impact of net unrealized investment (gains) losses on DAC and other costs | 0 | 441 | 0 | (154 | ) | 287 | |||||||||||||
Impact of net unrealized investment (gains) losses on future policy benefits | 0 | 0 | 66 | (23 | ) | 43 | |||||||||||||
Balance, March 31, 2016 | $ | (1,492 | ) | $ | 438 | $ | 66 | $ | 362 | $ | (626 | ) |
(1) | Represents "transfers in" related to the portion of OTTI losses recognized during the period that were not recognized in earnings for securities with no prior OTTI loss. |
Net Unrealized Gains (Losses) on Investments(2) | DAC and Other Costs | Future Policy Benefits | Deferred Income Tax (Liability) Benefit | Accumulated Other Comprehensive Income (Loss) Related to Net Unrealized Investment Gains (Losses) | |||||||||||||||
(in thousands) | |||||||||||||||||||
Balance, December 31, 2015 | $ | 107,451 | $ | (30,465 | ) | $ | (4,596 | ) | $ | (26,179 | ) | $ | 46,211 | ||||||
Net investment gains (losses) on investments arising during the period | 35,245 | 0 | 0 | (12,335 | ) | 22,910 | |||||||||||||
Reclassification adjustment for (gains) losses included in net income | 2,147 | 0 | 0 | (751 | ) | 1,396 | |||||||||||||
Reclassification adjustment for (gains) losses excluded from net income(1) | 1,497 | 0 | 0 | (524 | ) | 973 | |||||||||||||
Impact of net unrealized investment (gains) losses on DAC and other costs | 0 | (8,921 | ) | 0 | 3,122 | (5,799 | ) | ||||||||||||
Impact of net unrealized investment (gains) losses on future policy benefits | 0 | 0 | (1,327 | ) | 464 | (863 | ) | ||||||||||||
Balance, March 31, 2016 | $ | 146,340 | $ | (39,386 | ) | $ | (5,923 | ) | $ | (36,203 | ) | $ | 64,828 |
(1) | Represents "transfers out" related to the portion of OTTI losses recognized during the period that were not recognized in earnings for securities with no prior OTTI loss. |
(2) | Includes cash flow hedges. See Note 5 for information on cash flow hedges. |
March 31, 2016 | December 31, 2015 | ||||||
(in thousands) | |||||||
Fixed maturity securities on which an OTTI loss has been recognized | $ | (1,492 | ) | $ | 9 | ||
Fixed maturity securities, available-for-sale—all other | 133,687 | 90,637 | |||||
Equity securities, available-for-sale | 4 | 3 | |||||
Affiliated notes | 1,630 | 1,660 | |||||
Derivatives designated as cash flow hedges (1) | 10,664 | 14,847 | |||||
Other investments | 355 | 304 | |||||
Net unrealized gains (losses) on investments | $ | 144,848 | $ | 107,460 |
(1) | See Note 5 for more information on cash flow hedges. |
March 31, 2016 | |||||||||||||||||||||||
Less than twelve months | Twelve months or more | Total | |||||||||||||||||||||
Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | ||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Fixed maturities, available-for-sale | |||||||||||||||||||||||
U.S. Treasury securities and obligations of U.S. government authorities and agencies | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||||||
Obligations of U.S. states and their political subdivisions | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||
Foreign government bonds | 6,072 | 10 | 0 | 0 | 6,072 | 10 | |||||||||||||||||
Public utilities | 8,393 | 442 | 15,296 | 1,650 | 23,689 | 2,092 | |||||||||||||||||
All other U.S. public corporate securities | 52,075 | 4,182 | 37,953 | 828 | 90,028 | 5,010 | |||||||||||||||||
All other U.S. private corporate securities | 65,504 | 4,935 | 1,772 | 295 | 67,276 | 5,230 | |||||||||||||||||
All other foreign public corporate securities | 13,602 | 34 | 0 | 0 | 13,602 | 34 | |||||||||||||||||
All other foreign private corporate securities | 33,779 | 3,137 | 88,232 | 9,240 | 122,011 | 12,377 | |||||||||||||||||
Asset-backed securities | 66,304 | 1,336 | 26,332 | 302 | 92,636 | 1,638 | |||||||||||||||||
Commercial mortgage-backed securities | 197 | 1 | 661 | 3 | 858 | 4 | |||||||||||||||||
Residential mortgage-backed securities | 256 | 9 | 0 | 0 | 256 | 9 | |||||||||||||||||
Total | $ | 246,182 | $ | 14,086 | $ | 170,246 | $ | 12,318 | $ | 416,428 | $ | 26,404 | |||||||||||
Equity securities, available-for-sale | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
December 31, 2015 | |||||||||||||||||||||||
Less than twelve months | Twelve months or more | Total | |||||||||||||||||||||
Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | ||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Fixed maturities, available-for-sale | |||||||||||||||||||||||
U.S. Treasury securities and obligations of U.S. government authorities and agencies | $ | 8,480 | $ | 107 | $ | 0 | $ | 0 | $ | 8,480 | $ | 107 | |||||||||||
Obligations of U.S. states and their political subdivisions | 6,887 | 378 | 0 | 0 | 6,887 | 378 | |||||||||||||||||
Foreign government bonds | 13,616 | 28 | 0 | 0 | 13,616 | 28 | |||||||||||||||||
Public utilities | 49,104 | 1,421 | 14,217 | 2,842 | 63,321 | 4,263 | |||||||||||||||||
All other U.S. public corporate securities | 207,578 | 6,297 | 29,828 | 1,420 | 237,406 | 7,717 | |||||||||||||||||
All other U.S. private corporate securities | 84,318 | 4,020 | 3,550 | 387 | 87,868 | 4,407 | |||||||||||||||||
All other foreign public corporate securities | 76,573 | 608 | 0 | 0 | 76,573 | 608 | |||||||||||||||||
All other foreign private corporate securities | 38,047 | 1,972 | 85,341 | 13,870 | 123,388 | 15,842 | |||||||||||||||||
Asset-backed securities | 50,195 | 430 | 26,359 | 262 | 76,554 | 692 | |||||||||||||||||
Commercial mortgage-backed securities | 55,065 | 642 | 833 | 10 | 55,898 | 652 | |||||||||||||||||
Residential mortgage-backed securities | 2,141 | 19 | 0 | 0 | 2,141 | 19 | |||||||||||||||||
Total | $ | 592,004 | $ | 15,922 | $ | 160,128 | $ | 18,791 | $ | 752,132 | $ | 34,713 | |||||||||||
Equity securities, available-for-sale | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
As of March 31, 2016 | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Netting(1) | Total | |||||||||||||||
(in thousands) | |||||||||||||||||||
Fixed maturities, available-for-sale: | |||||||||||||||||||
U.S Treasury securities and obligations of U.S. government authorities and agencies | $ | 0 | $ | 18,406 | $ | 0 | $ | 0 | $ | 18,406 | |||||||||
Obligations of U.S. states and their political subdivisions | 0 | 24,587 | 0 | 0 | 24,587 | ||||||||||||||
Foreign government bonds | 0 | 49,647 | 0 | 0 | 49,647 | ||||||||||||||
U.S. corporate public securities | 0 | 931,933 | 15,000 | 0 | 946,933 | ||||||||||||||
U.S. corporate private securities | 0 | 527,850 | 116,844 | 0 | 644,694 | ||||||||||||||
Foreign corporate public securities | 0 | 147,034 | 0 | 0 | 147,034 | ||||||||||||||
Foreign corporate private securities | 0 | 235,364 | 8,989 | 0 | 244,353 | ||||||||||||||
Asset-backed securities | 0 | 99,809 | 62,719 | 0 | 162,528 | ||||||||||||||
Commercial mortgage-backed securities | 0 | 285,103 | 0 | 0 | 285,103 | ||||||||||||||
Residential mortgage-backed securities | 0 | 130,423 | 0 | 0 | 130,423 | ||||||||||||||
Sub total | 0 | 2,450,156 | 203,552 | 0 | 2,653,708 | ||||||||||||||
Trading account assets: | |||||||||||||||||||
Equity securities | 5,295 | 0 | 2,036 | 0 | 7,331 | ||||||||||||||
Sub total | 5,295 | 0 | 2,036 | 0 | 7,331 | ||||||||||||||
Equity securities, available-for-sale | 18 | 0 | 0 | 18 | |||||||||||||||
Short-term investments | 0 | 314 | 450 | 0 | 764 | ||||||||||||||
Cash equivalents | 12,604 | 73,896 | 375 | 0 | 86,875 | ||||||||||||||
Other long-term investments | 0 | 191,853 | 0 | (38,525 | ) | 153,328 | |||||||||||||
Reinsurance recoverables | 0 | 0 | 3,693,262 | 0 | 3,693,262 | ||||||||||||||
Receivables from parent and affiliates | 0 | 32,522 | 2,847 | 0 | 35,369 | ||||||||||||||
Sub total excluding separate account assets | 17,899 | 2,748,759 | 3,902,522 | (38,525 | ) | 6,630,655 | |||||||||||||
Separate account assets(2) | 0 | 38,392,917 | 0 | 0 | 38,392,917 | ||||||||||||||
Total assets | $ | 17,899 | $ | 41,141,676 | $ | 3,902,522 | $ | (38,525 | ) | $ | 45,023,572 | ||||||||
Future policy benefits(3) | $ | 0 | $ | 0 | $ | 3,842,607 | $ | 0 | $ | 3,842,607 | |||||||||
Payables to parent and affiliates | 0 | 52,818 | 0 | (52,818 | ) | 0 | |||||||||||||
Total liabilities | $ | 0 | $ | 52,818 | $ | 3,842,607 | $ | (52,818 | ) | $ | 3,842,607 |
As of December 31, 2015 | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Netting(1) | Total | |||||||||||||||
(in thousands) | |||||||||||||||||||
Fixed maturities, available-for-sale: | |||||||||||||||||||
U.S Treasury securities and obligations of U.S. government authorities and agencies | $ | 0 | $ | 12,154 | $ | 0 | $ | 0 | $ | 12,154 | |||||||||
Obligations of U.S. states and their political subdivisions | 0 | 20,212 | 0 | 0 | 20,212 | ||||||||||||||
Foreign government securities | 0 | 49,283 | 0 | 0 | 49,283 | ||||||||||||||
U.S. corporate public securities | 0 | 934,109 | 15,000 | 0 | 949,109 | ||||||||||||||
U.S. corporate private securities | 0 | 523,298 | 107,777 | 0 | 631,075 | ||||||||||||||
Foreign corporate public securities | 0 | 136,222 | 0 | 0 | 136,222 | ||||||||||||||
Foreign corporate private securities | 0 | 220,818 | 4,531 | 0 | 225,349 | ||||||||||||||
Asset-backed securities | 0 | 104,797 | 46,493 | 0 | 151,290 | ||||||||||||||
Commercial mortgage-backed securities | 0 | 215,740 | 0 | 0 | 215,740 | ||||||||||||||
Residential mortgage-backed securities | 0 | 133,838 | 0 | 0 | 133,838 | ||||||||||||||
Sub total | 0 | 2,350,471 | 173,801 | 0 | 2,524,272 | ||||||||||||||
Trading account assets: | |||||||||||||||||||
Equity securities | 5,653 | 0 | 0 | 0 | 5,653 | ||||||||||||||
Sub total | 5,653 | 0 | 0 | 0 | 5,653 | ||||||||||||||
Equity securities, available-for-sale | 0 | 17 | 0 | 0 | 17 | ||||||||||||||
Short-term investments | 157,257 | 520 | 450 | 0 | 158,227 | ||||||||||||||
Cash equivalents | 0 | 0 | 225 | 0 | 225 | ||||||||||||||
Other long-term investments(4) | 0 | 135,209 | 1,565 | (21,508 | ) | 115,266 | |||||||||||||
Reinsurance recoverables | 0 | 0 | 3,012,653 | 0 | 3,012,653 | ||||||||||||||
Receivables from parent and affiliates | 0 | 29,676 | 7,664 | 0 | 37,340 | ||||||||||||||
Sub total excluding separate account assets | 162,910 | 2,515,893 | 3,196,358 | (21,508 | ) | 5,853,653 | |||||||||||||
Separate account assets(2) | 0 | 39,250,159 | 0 | 0 | 39,250,159 | ||||||||||||||
Total assets | $ | 162,910 | $ | 41,766,052 | $ | 3,196,358 | $ | (21,508 | ) | $ | 45,103,812 | ||||||||
Future policy benefits(3) | $ | 0 | $ | 0 | $ | 3,134,077 | $ | 0 | $ | 3,134,077 | |||||||||
Payables to parent and affiliates | 0 | 25,277 | 0 | (25,277 | ) | 0 | |||||||||||||
Total liabilities | $ | 0 | $ | 25,277 | $ | 3,134,077 | $ | (25,277 | ) | $ | 3,134,077 |
(1) | “Netting” amounts represent cash collateral of $(14.3) million and $(3.8) million as of March 31, 2016 and December 31, 2015, respectively, and the impact of offsetting asset and liability positions held with the same counterparty, subject to master netting arrangements. |
(2) | Separate account assets represent segregated funds that are invested for certain customers. Investment risks associated with market value changes are borne by the customers, except to the extent of minimum guarantees made by the Company with respect to certain accounts. Separate account liabilities are not included in the above table as they are reported at contract value and not fair value in the Company’s Unaudited Interim Statements of Financial Position. |
(3) | As of March 31, 2016, the net embedded derivative liability position of $3,843 million includes $19 million of embedded derivatives in an asset position and $3,862 million of embedded derivatives in a liability position. As of December 31, 2015, the net embedded derivative liability position of $3,134 million includes $34 million of embedded derivatives in an asset position and $3,168 million of embedded derivatives in a liability position. |
(4) | Prior period amounts are presented on a basis consistent with the current period presentation, reflecting the adoption of ASU 2015-07. |
As of March 31, 2016 | |||||||||||
Internal (1) | External (2) | Total | |||||||||
(in thousands) | |||||||||||
Corporate securities(3) | $ | 124,818 | $ | 16,015 | $ | 140,833 | |||||
Asset-backed securities(4) | 0 | 62,719 | 62,719 | ||||||||
Trading account assets: | |||||||||||
Equity securities | 2,036 | 0 | 2,036 | ||||||||
Short-term investments | 450 | 0 | 450 | ||||||||
Cash equivalents | 375 | 0 | 375 | ||||||||
Reinsurance recoverables | 3,693,262 | 0 | 3,693,262 | ||||||||
Receivables from parent and affiliates | 0 | 2,847 | 2,847 | ||||||||
Total assets | $ | 3,820,941 | $ | 81,581 | $ | 3,902,522 | |||||
Future policy benefits | $ | 3,842,607 | $ | 0 | $ | 3,842,607 | |||||
Total liabilities | $ | 3,842,607 | $ | 0 | $ | 3,842,607 |
As of December 31, 2015 | |||||||||||
Internal (1) | External (2) | Total | |||||||||
(in thousands) | |||||||||||
Corporate securities(3) | $ | 111,295 | $ | 16,013 | $ | 127,308 | |||||
Asset-backed securities(4) | 0 | 46,493 | 46,493 | ||||||||
Short-term investments | 450 | 0 | 450 | ||||||||
Cash equivalents | 225 | 0 | 225 | ||||||||
Other long-term investments(5) | 1,565 | 0 | 1,565 | ||||||||
Reinsurance recoverables | 3,012,653 | 0 | 3,012,653 | ||||||||
Receivables from parent and affiliates | 0 | 7,664 | 7,664 | ||||||||
Total assets | $ | 3,126,188 | $ | 70,170 | $ | 3,196,358 | |||||
Future policy benefits | $ | 3,134,077 | $ | 0 | $ | 3,134,077 | |||||
Total liabilities | $ | 3,134,077 | $ | 0 | $ | 3,134,077 |
(1) | Represents valuations reflecting both internally-derived and market inputs as well as third-party pricing information or quotes. See below for additional information related to internally-developed valuation for significant items in the above table. |
(2) | Represents unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available. |
(3) | Includes assets classified as fixed maturities available-for-sale. |
(4) | Includes credit-tranched securities collateralized by sub-prime mortgages, auto loans, credit cards, education loans and other asset types. |
(5) | Prior period amounts are presented on a basis consistent with the current period presentation, reflecting the adoption of ASU 2015-07. |
As of March 31, 2016 | ||||||||||||
Fair Value | Primary Valuation Techniques | Unobservable Inputs | Minimum | Maximum | Weighted Average | Impact of Increase in Input on Fair Value (1) | ||||||
(in thousands) | ||||||||||||
Assets: | ||||||||||||
Corporate securities | $ | 124,818 | Discounted cash flow | Discount rate | 3.38 | % | 20.38 | % | 4.97 | % | Decrease | |
Reinsurance recoverables | $ | 3,693,262 | Fair values are determined in the same manner as future policy benefits | |||||||||
Liabilities: | ||||||||||||
Future policy benefits (2) | $ | 3,842,607 | Discounted cash flow | Lapse rate (3) | 0 | % | 14 | % | Decrease | |||
NPR spread (4) | 0.44 | % | 2.07 | % | Decrease | |||||||
Utilization rate (5) | 63 | % | 95 | % | Increase | |||||||
Withdrawal rate (6) | 74 | % | 100 | % | Increase | |||||||
Mortality rate (7) | 0 | % | 14 | % | Decrease | |||||||
Equity volatility curve | 16 | % | 28 | % | Increase |
As of December 31, 2015 | ||||||||||||
Fair Value | Primary Valuation Techniques | Unobservable Inputs | Minimum | Maximum | Weighted Average | Impact of Increase in Input on Fair Value (1) | ||||||
(in thousands) | ||||||||||||
Assets: | ||||||||||||
Corporate securities | $ | 111,295 | Discounted cash flow | Discount rate | 3.71 | % | 17.95 | % | 4.43 | % | Decrease | |
Reinsurance recoverables | $ | 3,012,653 | Fair values are determined in the same manner as future policy benefits | |||||||||
Liabilities: | ||||||||||||
Future policy benefits (2) | $ | 3,134,077 | Discounted cash flow | Lapse rate (3) | 0 | % | 14 | % | Decrease | |||
NPR spread (4) | 0.06 | % | 1.76 | % | Decrease | |||||||
Utilization rate (5) | 63 | % | 95 | % | Increase | |||||||
Withdrawal rate (6) | 74 | % | 100 | % | Increase | |||||||
Mortality rate (7) | 0 | % | 14 | % | Decrease | |||||||
Equity volatility curve | 17 | % | 28 | % | Increase |
(1) | Conversely, the impact of a decrease in input would have the opposite impact for the fair value as that presented in the table. |
(2) | Future policy benefits primarily represent general account liabilities for the living benefit features of the Company’s variable annuity contracts which are accounted for as embedded derivatives. Since the valuation methodology for these liabilities uses a range of inputs that vary at the contract level over the cash flow projection period, presenting a range, rather than weighted average, is a more meaningful representation of the unobservable inputs used in the valuation. |
(3) | Lapse rates are adjusted at the contract level based on the in-the-moneyness of the living benefit and reflect other factors, such as the applicability of any surrender charges. Lapse rates are reduced when contracts are more in-the-money. Lapse rates are also generally assumed to be lower for the period where surrender charges apply. |
(4) | To reflect NPR, the Company incorporates an additional spread over LIBOR into the discount rate used in the valuation of individual living benefit contracts in a liability position and generally not to those in a contra-liability position. The NPR spread reflects the financial strength ratings of the Company and its affiliates, as these are insurance liabilities and senior to debt. The additional spread over LIBOR is determined by utilizing the credit spreads associated with issuing funding agreements, adjusted for any illiquidity risk premium. |
(5) | The utilization rate assumption estimates the percentage of contracts that will utilize the benefit during the contract duration, and begin lifetime withdrawals at various time intervals from contract inception. The remaining contractholders are assumed to either begin lifetime withdrawals immediately or never utilize the benefit. Utilization assumptions may vary by product type, tax status and age. The impact of changes in these assumptions is highly dependent on the product type, the age of the contractholder at the time of the sale, and the timing of the first lifetime income withdrawal. Range reflects the utilization rate for the vast majority of business with living benefits. |
(6) | The withdrawal rate assumption estimates the magnitude of annual contractholder withdrawals relative to the maximum allowable amount under the contract. These assumptions may vary based on the product type, contractholder age, tax status and withdrawal timing. The fair value of the liability will generally increase the closer the withdrawal rate is to 100%. |
(7) | Range reflects the mortality rate for the vast majority of business with living benefits, with policyholders ranging from 35 to 90 years old. While the majority of living benefits have a minimum age requirement, certain benefits do not have an age restriction. This results in contractholders for certain benefits with mortality rates approaching 0%. Based on historical experience, the Company applies a set of age and duration specific mortality rate adjustments compared to standard industry tables. A mortality improvement assumption is also incorporated into the overall mortality table. |
Three Months Ended March 31, 2016 | |||||||||||||||||||||||
Fixed Maturities Available-For-Sale | |||||||||||||||||||||||
U.S. Corporate Public Securities | U.S. Corporate Private Securities | Foreign Corporate Private Securities | Asset-Backed Securities | Trading Account Assets -Equity Securities | Short-Term Investments | ||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Fair Value, beginning of period assets/(liabilities) | $ | 15,000 | $ | 107,777 | $ | 4,531 | $ | 46,493 | $ | 0 | $ | 450 | |||||||||||
Total gains (losses) (realized/unrealized): | |||||||||||||||||||||||
Included in earnings: | |||||||||||||||||||||||
Realized investment gains (losses), net | 0 | (962 | ) | 0 | 0 | 0 | 0 | ||||||||||||||||
Asset management fees and other income | 0 | 0 | 0 | 0 | 471 | 0 | |||||||||||||||||
Included in other comprehensive income (loss) | 0 | (1,437 | ) | (2,538 | ) | (225 | ) | 0 | 0 | ||||||||||||||
Net investment income | 0 | 1,381 | 50 | 54 | 0 | 0 | |||||||||||||||||
Purchases | 0 | 119 | 0 | 0 | 0 | 0 | |||||||||||||||||
Sales | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||
Issuances | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||
Settlements | 0 | (210 | ) | (1,740 | ) | (440 | ) | 0 | 0 | ||||||||||||||
Transfers into Level 3(1) | 0 | 10,176 | 8,686 | 17,824 | 0 | 0 | |||||||||||||||||
Transfers out of Level 3(1) | 0 | 0 | 0 | (987 | ) | 0 | 0 | ||||||||||||||||
Other(3) | 0 | 0 | 0 | 0 | 1,565 | 0 | |||||||||||||||||
Fair Value, end of period assets/(liabilities) | $ | 15,000 | $ | 116,844 | $ | 8,989 | $ | 62,719 | $ | 2,036 | $ | 450 | |||||||||||
Unrealized gains (losses) for assets/(liabilities) still held(2): | |||||||||||||||||||||||
Included in earnings: | |||||||||||||||||||||||
Realized investment gains (losses), net | $ | 0 | $ | (962 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||||
Asset management fees and other income | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 470 | $ | 0 |
Three Months Ended March 31, 2016 | |||||||||||||||||||
Cash Equivalents | Other Long-term Investments | Reinsurance Recoverables | Receivables from Parent and Affiliates | Future Policy Benefits | |||||||||||||||
(in thousands) | |||||||||||||||||||
Fair Value, beginning of period assets/(liabilities) | $ | 225 | $ | 1,565 | $ | 3,012,653 | $ | 7,664 | $ | (3,134,077 | ) | ||||||||
Total gains (losses) (realized/unrealized): | |||||||||||||||||||
Included in earnings: | |||||||||||||||||||
Realized investment gains (losses), net | 0 | 0 | 624,974 | (13 | ) | (650,030 | ) | ||||||||||||
Asset management fees and other income | 0 | 0 | 0 | 0 | 0 | ||||||||||||||
Included in other comprehensive income (loss) | 0 | 0 | 0 | 141 | 0 | ||||||||||||||
Net investment income | 0 | 0 | 0 | 0 | 0 | ||||||||||||||
Purchases | 150 | 0 | 55,635 | 0 | 0 | ||||||||||||||
Sales | 0 | 0 | 0 | (1,988 | ) | 0 | |||||||||||||
Issuances | 0 | 0 | 0 | 0 | (58,500 | ) | |||||||||||||
Settlements | 0 | 0 | 0 | 0 | 0 | ||||||||||||||
Transfers into Level 3(1) | 0 | 0 | 0 | 0 | 0 | ||||||||||||||
Transfers out of Level 3(1) | 0 | 0 | 0 | (2,957 | ) | 0 | |||||||||||||
Other(3) | 0 | (1,565 | ) | 0 | 0 | 0 | |||||||||||||
Fair Value, end of period assets/(liabilities) | $ | 375 | $ | 0 | $ | 3,693,262 | $ | 2,847 | $ | (3,842,607 | ) | ||||||||
Unrealized gains (losses) for assets/(liabilities) still held(2): | |||||||||||||||||||
Included in earnings: | |||||||||||||||||||
Realized investment gains (losses), net | $ | 0 | $ | 0 | $ | 643,330 | $ | 0 | $ | (669,159 | ) | ||||||||
Asset management fees and other income | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
Three Months Ended March 31, 2015 | |||||||||||||||
Fixed Maturities Available-For-Sale(4) | |||||||||||||||
U.S. Corporate Public Securities | U.S. Corporate Private Securities | Foreign Corporate Private Securities | Asset-Backed Securities(5) | ||||||||||||
(in thousands) | |||||||||||||||
Fair Value, beginning of period assets/(liabilities) | $ | 16,860 | $ | 98,544 | $ | 666 | $ | 40,524 | |||||||
Total gains (losses) (realized/unrealized): | |||||||||||||||
Included in earnings: | |||||||||||||||
Realized investment gains (losses), net | 0 | 0 | 62 | 0 | |||||||||||
Asset management fees and other income | 0 | 0 | 0 | 0 | |||||||||||
Included in other comprehensive income (loss) | (23 | ) | (145 | ) | (51 | ) | 81 | ||||||||
Net investment income | 9 | 1,267 | 1 | 12 | |||||||||||
Purchases | 15,000 | 2,270 | 0 | 0 | |||||||||||
Sales | (15,000 | ) | (212 | ) | 0 | 0 | |||||||||
Issuances | 0 | 0 | 0 | 0 | |||||||||||
Settlements | (119 | ) | (129 | ) | (678 | ) | (579 | ) | |||||||
Transfers into Level 3(1) | 0 | 0 | 0 | 9,783 | |||||||||||
Transfers out of Level 3(1) | 0 | 0 | 0 | (983 | ) | ||||||||||
Fair Value, end of period assets/(liabilities) | $ | 16,727 | $ | 101,595 | $ | 0 | $ | 48,838 | |||||||
Unrealized gains (losses) for assets still held(2): | |||||||||||||||
Included in earnings: | |||||||||||||||
Realized investment gains (losses), net | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||
Asset management fees and other income | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
Three Months Ended March 31, 2015 | |||||||||||||||||||
Cash Equivalents | Other Long- Term Investments (4) | Reinsurance Recoverables | Receivables from Parent and Affiliates | Future Policy Benefits | |||||||||||||||
(in thousands) | |||||||||||||||||||
Fair Value, beginning of period assets/(liabilities) | $ | 225 | $ | 0 | $ | 2,996,154 | $ | 22,320 | $ | (3,112,411 | ) | ||||||||
Total gains or (losses) (realized/unrealized): | |||||||||||||||||||
Included in earnings: | |||||||||||||||||||
Realized investment gains (losses), net | 0 | 0 | 246,814 | 1 | (257,315 | ) | |||||||||||||
Asset management fees and other income | 0 | 0 | 0 | 0 | 0 | ||||||||||||||
Included in other comprehensive income (loss) | 0 | 0 | 0 | (292 | ) | 0 | |||||||||||||
Net investment income | 0 | 0 | 0 | 0 | 0 | ||||||||||||||
Purchases | 0 | 0 | 57,644 | 0 | 0 | ||||||||||||||
Sales | 0 | 0 | 0 | 0 | 0 | ||||||||||||||
Issuances | 0 | 0 | 0 | 0 | (60,523 | ) | |||||||||||||
Settlements | 0 | 0 | 0 | 0 | 0 | ||||||||||||||
Transfers into Level 3(1) | 0 | 0 | 0 | 1,986 | 0 | ||||||||||||||
Transfers out of Level 3(1) | 0 | 0 | 0 | 0 | 0 | ||||||||||||||
Other(3) | 0 | 0 | 0 | 0 | 0 | ||||||||||||||
Fair Value, end of period assets/(liabilities) | $ | 225 | $ | 0 | $ | 3,300,612 | $ | 24,015 | $ | (3,430,249 | ) | ||||||||
Unrealized gains (losses) for assets/(liabilities) still held(2): | |||||||||||||||||||
Included in earnings: | |||||||||||||||||||
Realized investment gains (losses), net | $ | 0 | $ | 0 | $ | 272,379 | $ | 0 | $ | (283,739 | ) | ||||||||
Asset management fees and other income | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
(1) | Transfers into or out of any level are generally reported as the value as of the beginning of the quarter in which the transfer occurs for any such assets still held at the end of the quarter. |
(2) | Unrealized gains or losses related to assets still held at the end of the period do not include amortization or accretion of premiums and discounts. |
(3) | Primarily related to private warrants reclassified from derivatives to trading securities. |
(4) | Prior period amounts have been reclassified to conform to current period presentation, including the adoption of ASU 2015-07. |
(5) | Includes credit-tranched securities collateralized by sub-prime mortgages, auto loans, credit cards, education loans and other asset types. |
March 31, 2016 | |||||||||||||||||||
Fair Value | Carrying Amount (1) | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | Total | |||||||||||||||
(in thousands) | |||||||||||||||||||
Assets: | |||||||||||||||||||
Commercial mortgage and other loans | $ | 0 | $ | 2,746 | $ | 466,942 | $ | 469,688 | $ | 446,620 | |||||||||
Policy loans | 0 | 0 | 13,094 | 13,094 | 13,094 | ||||||||||||||
Cash and cash equivalents | 19,603 | 0 | 0 | 19,603 | 19,603 | ||||||||||||||
Accrued investment income | 0 | 27,028 | 0 | 27,028 | 27,028 | ||||||||||||||
Receivables from parent and affiliates | 0 | 13,718 | 0 | 13,718 | 13,718 | ||||||||||||||
Other assets | 0 | 1,477 | 0 | 1,477 | 1,477 | ||||||||||||||
Total assets | $ | 19,603 | $ | 44,969 | $ | 480,036 | $ | 544,608 | $ | 521,540 | |||||||||
Liabilities: | |||||||||||||||||||
Policyholders’ account balances - investment contracts | $ | 0 | $ | 0 | $ | 100,507 | $ | 100,507 | $ | 100,368 | |||||||||
Cash collateral for loaned securities | 0 | 3,683 | 0 | 3,683 | 3,683 | ||||||||||||||
Payables to parent and affiliates | 0 | 25,868 | 0 | 25,868 | 25,868 | ||||||||||||||
Other liabilities | 0 | 98,097 | 0 | 98,097 | 98,097 | ||||||||||||||
Separate account liabilities - investment contracts | 0 | 263 | 0 | 263 | 263 | ||||||||||||||
Total liabilities | $ | 0 | $ | 127,911 | $ | 100,507 | $ | 228,418 | $ | 228,279 |
December 31, 2015(2) | |||||||||||||||||||
Fair Value | Carrying Amount(1) | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | Total | |||||||||||||||
(in thousands) | |||||||||||||||||||
Assets: | |||||||||||||||||||
Commercial mortgage and other loans | $ | 0 | $ | 2,793 | $ | 448,349 | $ | 451,142 | $ | 438,172 | |||||||||
Policy loans | 0 | 0 | 13,054 | 13,054 | 13,054 | ||||||||||||||
Cash and cash equivalents | 311 | 0 | 0 | 311 | 311 | ||||||||||||||
Accrued investment income | 0 | 22,615 | 0 | 22,615 | 22,615 | ||||||||||||||
Receivables from parent and affiliates | 0 | 14,868 | 0 | 14,868 | 14,868 | ||||||||||||||
Other assets | 0 | 1,085 | 0 | 1,085 | 1,085 | ||||||||||||||
Total assets | $ | 311 | $ | 41,361 | $ | 461,403 | $ | 503,075 | $ | 490,105 | |||||||||
Liabilities: | |||||||||||||||||||
Policyholders’ account balances - investment contracts | $ | 0 | $ | 0 | $ | 102,438 | $ | 102,438 | $ | 103,003 | |||||||||
Cash collateral for loaned securities | 0 | 10,568 | 0 | 10,568 | 10,568 | ||||||||||||||
Short-term debt | 0 | 1,000 | 0 | 1,000 | 1,000 | ||||||||||||||
Payables to parent and affiliates | 0 | 25,678 | 0 | 25,678 | 25,678 | ||||||||||||||
Other liabilities | 0 | 83,464 | 0 | 83,464 | 83,464 | ||||||||||||||
Separate account liabilities - investment contracts | 0 | 293 | 0 | 293 | 293 | ||||||||||||||
Total liabilities | $ | 0 | $ | 121,003 | $ | 102,438 | $ | 223,441 | $ | 224,006 |
(1) | Carrying values presented herein differ from those in the Company’s Unaudited Interim Statements of Financial Position because certain items within the respective financial statement captions are not considered financial instruments or out of scope under authoritative guidance relating to disclosures of the fair value of financial instruments. Financial statement captions excluded from the above table are not considered financial instruments. |
(2) | As discussed in Note 2, the Company adopted ASU 2015-07, effective January 1, 2016, which resulted in the exclusion of certain other long-term investments from the fair value hierarchy. The guidance was required to be applied retrospectively, and therefore, prior period amounts have been revised to conform to the current period presentation. At March 31, 2016 and December 31, 2015, the fair values of these cost method investments were $3.2 million and $3.3 million, respectively, which had been previously classified in level 3 at December 31, 2015. The carrying values of these investments were $3.2 million and $3.1 million as of March 31, 2016 and December 31, 2015, respectively. |
March 31, 2016 | December 31, 2015 | |||||||||||||||||||||||
Gross Fair Value | Gross Fair Value | |||||||||||||||||||||||
Primary Underlying | Notional | Assets | Liabilities | Notional | Assets | Liabilities | ||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||
Derivatives Designated as Hedge Accounting Instruments: | ||||||||||||||||||||||||
Currency/Interest Rate | ||||||||||||||||||||||||
Foreign Currency Swaps | $ | 131,513 | $ | 13,347 | $ | (1,686 | ) | $ | 115,358 | $ | 15,910 | $ | (206 | ) | ||||||||||
Total Qualifying Hedges | $ | 131,513 | $ | 13,347 | $ | (1,686 | ) | $ | 115,358 | $ | 15,910 | $ | (206 | ) | ||||||||||
Derivatives Not Qualifying as Hedge Accounting Instruments: | ||||||||||||||||||||||||
Interest Rate | ||||||||||||||||||||||||
Interest Rate Swaps | $ | 1,706,750 | $ | 134,729 | $ | (23,703 | ) | $ | 1,872,750 | $ | 84,817 | $ | (13,452 | ) | ||||||||||
Interest Rate Options | 400,000 | 10,903 | (636 | ) | 100,000 | 9,431 | 0 | |||||||||||||||||
Foreign Currency | ||||||||||||||||||||||||
Foreign Currency Forwards | 2,752 | 0 | (104 | ) | 2,752 | 23 | 0 | |||||||||||||||||
Currency/Interest Rate | ||||||||||||||||||||||||
Foreign Currency Swaps | 72,334 | 8,215 | (329 | ) | 77,729 | 11,220 | 0 | |||||||||||||||||
Credit | ||||||||||||||||||||||||
Credit Default Swaps | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||
Equity | ||||||||||||||||||||||||
Total Return Swaps | 676,451 | 0 | (23,513 | ) | 217,999 | 320 | (3,626 | ) | ||||||||||||||||
Equity Options | 18,886,800 | 24,659 | (2,847 | ) | 18,286,800 | 15,054 | (7,993 | ) | ||||||||||||||||
Total Non-Qualifying Hedges | $ | 21,745,087 | $ | 178,506 | $ | (51,132 | ) | $ | 20,558,030 | $ | 120,865 | $ | (25,071 | ) | ||||||||||
Total Derivatives (1) | $ | 21,876,600 | $ | 191,853 | $ | (52,818 | ) | $ | 20,673,388 | $ | 136,775 | $ | (25,277 | ) |
(1) | Excludes embedded derivatives which contain multiple underlyings. The fair value of these embedded derivatives was a net liability of $3,843 million and $3,134 million as of March 31, 2016 and December 31, 2015, respectively, included in “Future policy benefits.” The fair value of the embedded derivatives related to the reinsurance of certain of these benefits to Pruco Re and Prudential Insurance included in “Reinsurance recoverables” was an asset of $3,693 million and $3,013 million as of March 31, 2016 and December 31, 2015, respectively. |
March 31, 2016 | |||||||||||||||||||
Gross Amounts of Recognized Financial Instruments | Gross Amounts Offset in the Statements of Financial Position | Net Amounts Presented in the Statements of Financial Position | Financial Instruments/ Collateral(1) | Net Amount | |||||||||||||||
(in thousands) | |||||||||||||||||||
Offsetting of Financial Assets: | |||||||||||||||||||
Derivatives | $ | 191,853 | $ | (38,525 | ) | $ | 153,328 | $ | (141,420 | ) | $ | 11,908 | |||||||
Offsetting of Financial Liabilities: | |||||||||||||||||||
Derivatives | $ | 52,818 | $ | (52,818 | ) | $ | 0 | $ | 0 | $ | 0 |
December 31, 2015 | |||||||||||||||||||
Gross Amounts of Recognized Financial Instruments | Gross Amounts Offset in the Statements of Financial Position | Net Amounts Presented in the Statements of Financial Position | Financial Instruments/ Collateral(1) | Net Amount | |||||||||||||||
(in thousands) | |||||||||||||||||||
Offsetting of Financial Assets: | |||||||||||||||||||
Derivatives | $ | 135,210 | $ | (21,508 | ) | $ | 113,702 | $ | (101,288 | ) | $ | 12,414 | |||||||
Offsetting of Financial Liabilities: | |||||||||||||||||||
Derivatives | $ | 25,277 | $ | (25,277 | ) | $ | 0 | $ | 0 | $ | 0 |
(1) | Amounts exclude the excess of collateral received/pledged from/to the counterparty. |
Three Months Ended March 31, 2016 | |||||||||||||||
Realized Investment Gains (Losses) | Net Investment Income | Other Income | AOCI(1) | ||||||||||||
(in thousands) | |||||||||||||||
Derivatives Designated as Hedge Accounting Instruments: | |||||||||||||||
Cash flow hedges | |||||||||||||||
Currency/Interest Rate | $ | 0 | $ | 251 | $ | 169 | $ | (4,183 | ) | ||||||
Total cash flow hedges | 0 | 251 | 169 | (4,183 | ) | ||||||||||
Derivatives Not Qualifying as Hedge Accounting Instruments: | |||||||||||||||
Interest Rate | 45,149 | 0 | 0 | 0 | |||||||||||
Currency | (127 | ) | 0 | 0 | 0 | ||||||||||
Currency/Interest Rate | (3,058 | ) | 0 | (34 | ) | 0 | |||||||||
Credit | 0 | 0 | 0 | 0 | |||||||||||
Equity | (19,413 | ) | 0 | 0 | 0 | ||||||||||
Embedded Derivatives | (34,161 | ) | 0 | 0 | 0 | ||||||||||
Total non-qualifying hedges | (11,610 | ) | 0 | (34 | ) | 0 | |||||||||
Total | $ | (11,610 | ) | $ | 251 | $ | 135 | $ | (4,183 | ) |
Three Months Ended March 31, 2015 | |||||||||||||||
Realized Investment Gains (Losses) | Net Investment Income | Other Income | AOCI(1) | ||||||||||||
(in thousands) | |||||||||||||||
Derivatives Designated as Hedge Accounting Instruments: | |||||||||||||||
Cash flow hedges | |||||||||||||||
Currency/Interest Rate | $ | 0 | $ | 93 | $ | 138 | $ | 8,324 | |||||||
Total cash flow hedges | 0 | 93 | 138 | 8,324 | |||||||||||
Derivatives Not Qualifying as Hedge Accounting Instruments: | |||||||||||||||
Interest Rate | 30,044 | 0 | 0 | 0 | |||||||||||
Currency | 0 | 0 | 0 | 0 | |||||||||||
Currency/Interest Rate | 6,006 | 0 | 99 | 0 | |||||||||||
Credit | (1 | ) | 0 | 0 | 0 | ||||||||||
Equity | (3,883 | ) | 0 | 0 | 0 | ||||||||||
Embedded Derivatives | (20,628 | ) | 0 | 0 | 0 | ||||||||||
Total non-qualifying hedges | 11,538 | 0 | 99 | 0 | |||||||||||
Total | $ | 11,538 | $ | 93 | $ | 237 | $ | 8,324 |
(1) | Amounts deferred in AOCI. |
(in thousands) | |||
Balance, December 31, 2015 | $ | 14,847 | |
Net deferred gains (losses) on cash flow hedges from January 1 to March 31, 2016 | (3,792 | ) | |
Amounts reclassified into current period earnings | (391 | ) | |
Balance, March 31, 2016 | $ | 10,664 |
• | Deferred policy acquisition costs ("DAC") and other costs, including deferred sales inducements ("DSI") and value of business acquired ("VOBA"); |
• | Valuation of investments, including derivatives, and the recognition of other-than-temporary impairments ("OTTI"); |
• | Policyholder liabilities; |
• | Reinsurance recoverables; |
• | Taxes on income; and |
• | Reserves for contingencies, including reserves for losses in connection with unresolved legal matters. |
• | Separate account assets decreased $0.9 billion primarily driven by net outflows and continued surrenders due to runoff of the block, policy charges, and the impact of the asset transfer feature which moved contractholder account values from the separate account to the general account, partially offset by favorable fund performance. |
• | DAC and DSI decreased $0.3 billion primarily resulting from the impact of the embedded derivatives and related hedge positions and base amortization. |
• | Receivables from parent and affiliates decreased $0.2 billion related to cash consideration received from an affiliate related to the recapture of the New York contracts in the fourth quarter of 2015. |
• | Reinsurance recoverables increased $0.7 billion related to the reinsured liability for living benefit embedded derivatives primarily resulting from an increase in the present value of future expected benefit payments driven by declining interest rates. |
• | Separate account liabilities decreased $0.9 billion offsetting the decrease in separate account assets above. |
• | Payables to parent and affiliates decreased $0.2 billion related to the cash consideration paid relating to ceding the |
• | New York contracts, as discussed above. |
• | Future policy benefits and other policyholder liabilities increased $0.7 billion primarily driven by the mark-to-market of the liability for living benefit embedded derivatives, as discussed above. |
• | Equity market exposure affecting the statutory capital of the Company and Prudential Financial as a whole, which is managed through Prudential Financial's equity hedge program and on-balance sheet and contingent sources of capital; |
• | Prudential Financial's decision to manage a portion of its interest rate risk internally, on a net basis, at an enterprise level. In implementing this strategy, Prudential Financial executed intercompany derivative transactions between its Corporate and Other operations and certain business segments. Prudential Financial limits its exposure to the resulting net interest rate risk at the enterprise level through options embedded in our hedging strategy that may be exercised if interest rates decline below certain thresholds. During the first quarter of 2016, Prudential Financial replaced a portion of these intercompany derivatives with external derivatives and expects to manage this interest rate risk within the business segments of the Company and Prudential Insurance in the future; and |
• | Activities of Prudential Financial's business segments, including those for which specific risk mitigation strategies have been implemented, such as the living benefits hedging program that covers certain risks associated with our variable annuity products. Effective April 1, 2016, the living benefits hedging program resides within the Company and Prudential Insurance. |
PART II | OTHER INFORMATION |
PRUDENTIAL ANNUITIES LIFE ASSURANCE CORPORATION | ||
By: | /s/ Yanela C. Frias | |
Yanela C. Frias | ||
Executive Vice President and Chief Financial Officer | ||
(Authorized Signatory and Principal Financial Officer) |
31.1 | Section 302 Certification of the Chief Executive Officer. |
31.2 | Section 302 Certification of the Chief Financial Officer. |
32.1 | Section 906 Certification of the Chief Executive Officer. |
32.2 | Section 906 Certification of the Chief Financial Officer. |
101.INS-XBRL | Instance Document. |
101.SCH-XBRL | Taxonomy Extension Schema Document. |
101.CAL-XBRL | Taxonomy Extension Calculation Linkbase Document. |
101.LAB-XBRL | Taxonomy Extension Label Linkbase Document. |
101.PRE-XBRL | Taxonomy Extension Presentation Linkbase Document. |
101.DEF-XBRL | Taxonomy Extension Definition Linkbase Document. |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant is made known to us by others within such entity, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d) | Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting. |
/s/ Lori D. Fouché | |
Lori D. Fouché | |
President and Chief Executive Officer |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant is made known to us by others within such entity, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d) | Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting. |
/s/ Yanela C. Frias | |
Yanela C. Frias | |
Executive Vice President and Chief Financial Officer |
/s/ Lori D. Fouché | ||
Name: | Lori D. Fouché | |
Title: | President and Chief Executive Officer |
/s/ Yanela C. Frias | ||
Name: | Yanela C. Frias | |
Title: | Executive Vice President and Chief Financial Officer |
Document and Entity Information - shares |
3 Months Ended | |
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Mar. 31, 2016 |
May. 12, 2016 |
|
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Mar. 31, 2016 | |
Document Fiscal Year Focus | 2016 | |
Document Fiscal Period Focus | Q1 | |
Entity Registrant Name | PRUDENTIAL ANNUITIES LIFE ASSURANCE CORP/CT | |
Entity Central Index Key | 0000881453 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Entity Common Stock, Shares Outstanding | 25,000 |
Unaudited Interim Statements of Financial Position (Parenthetical) - USD ($) $ in Thousands |
Mar. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Statement of Financial Position [Abstract] | ||
Fixed maturities, available-for-sale, amortized cost | $ 2,521,513 | $ 2,433,626 |
Equity securities, available-for-sale, amortized cost | $ 14 | $ 14 |
Common stock, par value (in dollars per share) | $ 100 | $ 100 |
Common stock, shares authorized | 25,000 | 25,000 |
Common stock, shares issued | 25,000 | 25,000 |
Common stock, shares outstanding | 25,000 | 25,000 |
Unaudited Interim Statements of Equity - USD ($) $ in Thousands |
Total |
Common Stock |
Additional Paid-in Capital |
Retained Earnings |
Accumulated Other Comprehensive Income (Loss) |
Total Equity |
---|---|---|---|---|---|---|
Balance at Dec. 31, 2014 | $ 2,500 | $ 901,422 | $ 673,613 | $ 84,622 | $ 1,662,157 | |
Comprehensive income: | ||||||
Net income (loss) | $ (21,302) | (21,302) | (21,302) | |||
Other comprehensive income (loss), net of tax | 8,367 | 8,367 | 8,367 | |||
Total comprehensive income (loss) | (12,935) | |||||
Balance at Mar. 31, 2015 | 2,500 | 901,422 | 652,311 | 92,989 | 1,649,222 | |
Balance at Dec. 31, 2015 | 2,500 | 901,422 | 396,830 | 46,166 | 1,346,918 | |
Comprehensive income: | ||||||
Net income (loss) | (142,665) | (142,665) | (142,665) | |||
Other comprehensive income (loss), net of tax | $ 17,989 | 17,989 | 17,989 | |||
Total comprehensive income (loss) | (124,676) | |||||
Balance at Mar. 31, 2016 | $ 2,500 | $ 901,422 | $ 254,165 | $ 64,155 | $ 1,222,242 |
Business and Basis of Presentation |
3 Months Ended |
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Mar. 31, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Business and Basis of Presentation | BUSINESS AND BASIS OF PRESENTATION Prudential Annuities Life Assurance Corporation (the “Company” or “PALAC”), with its principal offices in Shelton, Connecticut, is an indirect wholly-owned subsidiary of Prudential Financial, Inc. (“Prudential Financial”), a New Jersey corporation. The Company is a wholly-owned subsidiary of Prudential Annuities, Inc. (“PAI”), which in turn is an indirect wholly-owned subsidiary of Prudential Financial. The Company developed long-term savings and retirement products, which were distributed through its affiliated broker/dealer company, Prudential Annuities Distributors, Inc. (“PAD”). The Company issued variable and fixed deferred and immediate annuities for individuals and groups in the United States of America, District of Columbia and Puerto Rico. In addition, the Company has a relatively small in force block of variable life insurance policies. The Company no longer actively sells such products. Beginning in March 2010, the Company ceased offering its variable annuity products (and where offered, the companion market value adjustment option) to new investors upon the launch of a new product line by each of Pruco Life Insurance Company and Pruco Life Insurance Company of New Jersey (which are affiliates of the Company). These initiatives were implemented to create operational and administrative efficiencies by offering a single product line of annuity products from a more limited group of legal entities. During 2012, the Company suspended additional customer deposits for variable annuities with certain optional living benefit riders. However, subject to applicable contract provisions and administrative rules, the Company continues to accept additional customer deposits on certain in force contracts. The Company is engaged in a business that is highly competitive because of the large number of stock and mutual life insurance companies and other entities engaged in marketing long-term savings and retirement products, including insurance products, and individual and group annuities. On August 31, 2013, the Company redomesticated from Connecticut to Arizona. As a result of the redomestication, the Company is now an Arizona insurance company and its principal insurance regulatory authority is the Arizona Department of Insurance. Additionally, the Company is now domiciled in the same jurisdiction as the primary reinsurer of the Company’s living benefits, Pruco Reinsurance, Ltd. (“Pruco Re”), which is also regulated by the Arizona Department of Insurance. This change enabled the Company to claim statutory reserve credit for business ceded to Pruco Re without the need for Pruco Re to collateralize its obligations under the reinsurance agreement. As disclosed in Note 1 to the Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2015, the Company surrendered its New York license effective as of December 31, 2015, and reinsured the majority of its New York business to an affiliate, The Prudential lnsurance Company of America (“Prudential Insurance”). The license surrender relieves the Company of the requirement to hold New York statutory reserves on its business in excess of the statutory reserves required by its domiciliary regulator, the Arizona Department of Insurance. For the small portion of New York business retained by the Company, a custodial account has been established to hold collateral assets in an amount equal to a percentage of the reserves associated with such business, as calculated in accordance with PALAC's New York Regulation 109 Plan approved by the New York Department of Financial Services. Effective April 1, 2016, the Company recaptured the risks related to its variable annuity living benefit riders that were previously reinsured to Pruco Re. In addition, the Company reinsured variable annuity base contracts, along with the living benefit riders, from Pruco Life Insurance Company, excluding the Pruco Life Insurance Company of New Jersey business which was reinsured to Prudential Insurance. This reinsurance agreement covers new and in force business and excludes business reinsured externally. The product risks related to the reinsured business are being managed in the Company. In addition, the living benefit hedging program related to the reinsured living benefit riders will be managed within the Company. Basis of Presentation The Unaudited Interim Financial Statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) on a basis consistent with reporting interim financial information in accordance with instructions to Form 10-Q and Article 10 of Regulation S-X of the Securities and Exchange Commission (“SEC”). In the opinion of management, all adjustments necessary for a fair statement of the financial position and results of operations have been made. All such adjustments are of a normal, recurring nature. Interim results are not necessarily indicative of the results that may be expected for the full year. These financial statements should be read in conjunction with the Company’s Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2015. 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 as of 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. The most significant estimates include those used in determining deferred policy acquisition costs ("DAC") and related amortization; value of business acquired ("VOBA") and its amortization; amortization of deferred sales inducements ("DSI"); measurement of goodwill and any related impairments; valuation of investments including derivatives and the recognition of other-than-temporary impairments (“OTTI”); future policy benefits including guarantees; pension and other postretirement benefits; provision for income taxes and valuation of deferred tax assets; and accruals for contingent liabilities, including estimates for losses in connection with unresolved legal matters. Reclassifications Certain amounts in prior periods have been reclassified to conform to the current period presentation. |
Significant Accounting Policies and Pronouncements |
3 Months Ended |
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Mar. 31, 2016 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies and Pronouncements | SIGNIFICANT ACCOUNTING POLICIES AND PRONOUNCEMENTS This section supplements, and should be read in conjunction with, Note 2 to the Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2015. Adoption of New Accounting Pronouncements In May 2015, the Financial Accounting Standards Board (“FASB”) issued guidance (Accounting Standards Update (“ASU”) 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent)) to remove the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient. The new guidance became effective for annual periods and interim periods within those annual periods that began after December 15, 2015, and was applied retrospectively. Adoption of the guidance did not have a significant effect on the Company’s financial statement disclosures. See Note 4. In August 2014, the FASB issued updated guidance (ASU 2014-14, Receivables-Troubled Debt Restructurings by Creditors (Subtopic 310-40): Classification of Certain Government-Guaranteed Mortgage Loans upon Foreclosure) requiring that mortgage loans be derecognized and that a separate other receivable be recognized upon foreclosure if certain conditions are met. Upon foreclosure, the separate other receivable should be measured based on the amount of the loan balance (principal and interest) expected to be recovered from the guarantor. The new guidance became effective for annual periods and interim periods within those annual periods that began after December 15, 2014 and was applied prospectively. Adoption of the guidance did not have a significant effect on the Company’s financial position, results of operations or financial statement disclosures. In August 2014, the FASB issued updated guidance (ASU 2014-13, Consolidation (Topic 810): Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity) for measuring the financial assets and the financial liabilities of a consolidated collateralized financing entity. Under the guidance, an entity within scope is permitted to measure both the financial assets and financial liabilities of a consolidated collateralized financing entity based on either the fair value of the financial assets or the financial liabilities, whichever is more observable. If adopted, the guidance eliminates the measurement difference that exists when both are measured at fair value. The Company adopted the updated guidance effective January 1, 2016, and applied the modified retrospective method of adoption. Adoption of the updated guidance did not have a significant effect on the Company’s financial position, results of operations or financial statement disclosures. In June 2014, the FASB issued updated guidance (ASU 2014-11, Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures) that requires repurchase-to-maturity transactions to be accounted for as secured borrowings and eliminates existing guidance for repurchase financings. The guidance also requires new disclosures for certain transactions accounted for as secured borrowings and for transfers accounted for as sales when the transferor also retains substantially all of the exposure to the economic return on the transferred financial assets. Accounting changes and new disclosures for transfers accounted for as sales under the new guidance were effective for the first interim or annual period beginning after December 15, 2014 and did not have a significant effect on the Company's financial position, results of operations or financial statement disclosures. Disclosures for certain transactions accounted for as secured borrowings were effective for interim periods beginning after March 15, 2015 and are included in Note 3. In April 2014, the FASB issued updated guidance (ASU 2014-08, Presentation of Financial Statements (Topic 205) and Property, Plant, and Equipment (Topic 360): Reporting Discontinued Operations and Disclosures of Disposals of Components of an Entity) that changes the criteria for reporting discontinued operations and introduces new disclosures. The new guidance became effective for new disposals and new classifications of disposal groups as held for sale that occur within annual periods that began on or after December 15, 2014, and interim periods within those annual periods. Adoption of the guidance did not have a significant effect on the Company’s financial position, results of operations or financial statement disclosures. In January 2014, the FASB issued updated guidance (ASU 2014-04, Receivables-Troubled Debt Restructuring by Creditors (Subtopic 310-40): Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure) for troubled debt restructurings clarifying when an in-substance repossession or foreclosure occurs, and when a creditor is considered to have received physical possession of residential real estate property collateralizing a consumer mortgage loan. The new guidance became effective for annual periods and interim periods within those annual periods that began after December 15, 2014, and was applied prospectively. Adoption of the guidance did not have a significant effect on the Company’s financial position, results of operations or financial statement disclosures. Future Adoption of New Accounting Pronouncements In May 2014, the FASB issued updated guidance (ASU 2014-09, Revenue from Contracts with Customers (Topic 606)) on accounting for revenue recognition. The guidance is based on the core principle that revenue is recognized to depict the transfer of goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods and services. The guidance also requires additional disclosures about the nature, amount, timing and uncertainty of revenue and cash flows arising from customer contracts, including significant judgments and changes in judgments and assets recognized from cost incurred to obtain or fulfill a contract. Revenue recognition for insurance contracts is explicitly scoped out of the guidance. In August 2015, the FASB issued an update to defer the original effective date of this guidance. As a result of the deferral, the new guidance is effective for annual periods and interim periods within those annual periods, beginning after December 15, 2017, and must be applied using one of two retrospective application methods. Early adoption is permitted only for annual reporting periods beginning after December 15, 2016, including interim reporting periods within that reporting period. The Company is currently assessing the impact of the guidance on the Company’s financial position, results of operations and financial statement disclosures. In January 2016, the FASB issued updated guidance (ASU 2016-01, Financial Instruments-Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities) on the recognition and measurement of financial assets and financial liabilities. The guidance revises an entity’s accounting related to the classification and measurement of certain equity investments and the presentation of certain fair value changes for financial liabilities measured at fair value. The guidance also amends certain disclosure requirements associated with the fair value of financial instruments. The new guidance is effective for annual periods and interim reporting periods within those annual periods beginning after December 15, 2017. Early adoption is not permitted except for the provisions related to the presentation of certain fair value changes for financial liabilities measured at fair value. The Company is currently assessing the impact of the guidance on the Company’s financial position, results of operations and financial statement disclosures. In February 2016, the FASB issued guidance (ASU 2016-02, Leases (Topic 842)) that ensures assets and liabilities from all outstanding lease contracts are recognized on balance sheet (with limited exception). The guidance substantially changes a Lessee’s accounting for leases and requires the recording on balance sheet of a “right-of-use” asset and liability to make lease payments for most leases. A Lessee will continue to recognize expense in its income statement in a manner similar to the requirements under the current lease accounting guidance. For Lessors, the guidance modifies classification criteria and accounting for sales-type and direct financing leases and requires a Lessor to derecognize the carrying value of the leased asset that is considered to have been transferred to a Lessee and record a lease receivable and residual asset (“receivable and residual” approach). The guidance also eliminates the real estate specific provisions of the current guidance (i.e., sale-leaseback). The amendments are effective for financial statements issued for annual reporting periods beginning after December 15, 2018, and for interim periods within those annual periods, with early adoption permitted. The Company is currently assessing the impact of the guidance on the Company’s financial position, results of operations and financial statement disclosures. In March 2016, the FASB issued guidance (ASU 2016-07, Investments—Equity Method and Joint Ventures (Topic 323): Simplifying the Transition to the Equity Method of Accounting) to simplify the transition to equity method when an investment qualifies for use of the equity method as a result of an increase in the level of ownership or degree of influence. The amendments require that the equity method investor add the cost of acquiring the additional interest in the investee to the current basis of the investor’s previously held interest and adopt the equity method of accounting as of the date the investment becomes qualified for equity method accounting. The amendments are effective for financial statements issued for annual reporting periods beginning after December 15, 2016, and for interim periods within those annual periods. The Company is currently assessing the impact of the guidance on the Company’s financial position, results of operations and financial statement disclosures. |
Investments |
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Investments | INVESTMENTS Fixed Maturities and Equity Securities The following tables provide information relating to fixed maturities and equity securities (excluding investments classified as trading) as of the dates indicated:
The amortized cost and fair value of fixed maturities by contractual maturities at March 31, 2016, are as follows:
Actual maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations. Asset-backed, commercial mortgage-backed and residential mortgage-backed securities are shown separately in the table above, as they are not due at a single maturity date. The following table depicts the sources of fixed maturity and equity security proceeds and related investment gains (losses), as well as losses on impairments of both fixed maturities and equity securities:
As discussed in Note 2 to the Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2015, a portion of certain OTTI losses on fixed maturity securities is recognized in “Other comprehensive income (loss)" (“OCI”). For these securities, the net amount recognized in earnings (“credit loss impairments”) represents the difference between the amortized cost of the security and the net present value of its projected future cash flows discounted at the effective interest rate implicit in the debt security prior to impairment. Any remaining difference between the fair value and amortized cost is recognized in OCI. The following table sets forth the amount of pre-tax credit loss impairments on fixed maturity securities held by the Company as of the dates indicated, for which a portion of the OTTI loss was recognized in OCI, and the corresponding changes in such amounts.
Trading Account Assets The following table sets forth the composition of “Trading account assets” as of the dates indicated:
The net change in unrealized gains (losses) from trading account assets still held at period end, recorded within “Asset administration fees and other income,” was $1.8 million and less than $(0.1) million for the three months ended March 31, 2016 and 2015, respectively. Commercial Mortgage and Other Loans The Company’s commercial mortgage and other loans are comprised as follows, as of the dates indicated:
The commercial mortgage and agricultural property loans are geographically dispersed throughout the United States (with the largest concentrations in California (23%), New York (11%) and Texas (7%)) and include loans secured by properties in Europe and Australia at March 31, 2016. Activity in the allowance for credit losses for all commercial mortgage and other loans, as of the dates indicated, is as follows:
The following tables set forth the allowance for credit losses and the recorded investment in commercial mortgage and other loans as of the dates indicated:
Impaired loans include those loans for which it is probable that all amounts due will not be collected according to the contractual terms of the loan agreement. Impaired commercial mortgage and other loans identified in management's specific review of probable loan losses and the related allowance for losses, as of the dates indicated, are as follows:
The following tables set forth certain key credit quality indicators based upon the recorded investment gross of allowance for credit losses as of the dates indicated:
The following tables provide an aging of past due commercial mortgage and other loans as of the dates indicated, based upon the recorded investment gross of allowance for credit losses, as well as the amount of commercial mortgage loans on non-accrual status as of the dates indicated.
See Note 2 to the Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2015 for further discussion regarding non-accrual status loans. For the three months ended March 31, 2016 and 2015, there were no commercial mortgage and other loans acquired, other than those through direct origination, nor were there any commercial mortgage and other loans sold. The Company’s commercial mortgage and other loans may occasionally be involved in a troubled debt restructuring. As of both March 31, 2016 and December 31, 2015, the Company had no significant commitments to borrowers that have been involved in a troubled debt restructuring. For the three months ended March 31, 2016 and 2015, there were no new troubled debt restructurings related to commercial mortgage and other loans and no payment defaults on commercial mortgage and other loans that were modified as a troubled debt restructuring within the twelve months preceding. For additional information relating to the accounting for troubled debt restructurings, see Note 2 to the Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2015. As of both March 31, 2016 and December 31, 2015, the Company did not have any foreclosed residential real estate property. Net Investment Income Net investment income for the three months ended March 31, 2016 and 2015, was from the following sources:
Realized Investment Gains (Losses), Net Realized investment gains (losses), net, for the three months ended March 31, 2016 and 2015, were from the following sources:
Accumulated Other Comprehensive Income (Loss) The balance of and changes in each component of “Accumulated other comprehensive income (loss)” for the three months ended March 31, 2016 and 2015 are as follows:
Reclassifications out of Accumulated Other Comprehensive Income (Loss)
Net Unrealized Investment Gains (Losses) Net unrealized investment gains and losses on securities classified as available-for-sale and certain other long-term investments and other assets are included in the Company’s Unaudited Interim Statements of Financial Position as a component of AOCI. Changes in these amounts include reclassification adjustments to exclude from OCI those items that are included as part of “Net income” for a period that had been part of OCI in earlier periods. The amounts for the periods indicated below, split between amounts related to fixed maturity securities on which an OTTI loss has been recognized, and all other net unrealized investment gains and losses, are as follows: Net Unrealized Investment Gains and Losses on Fixed Maturity Securities on which an OTTI loss has been recognized
All Other Net Unrealized Investment Gains and Losses in AOCI
Net Unrealized Gains (Losses) on Investments by Asset Class The table below presents net unrealized gains (losses) on investments by asset class as of the dates indicated:
Duration of Gross Unrealized Loss Positions for Fixed Maturities and Equity Securities The following table shows the fair value and gross unrealized losses aggregated by investment category and length of time that individual fixed maturity securities and equity securities have been in a continuous unrealized loss position, as of the dates indicated:
The gross unrealized losses on fixed maturity securities as of March 31, 2016 and December 31, 2015, are composed of $12.6 million and $22.6 million, respectively, related to high or highest quality securities based on the National Association of Insurance Commissioners (“NAIC”) or equivalent rating and $13.8 million and $12.1 million, respectively, related to other than high or highest quality securities based on NAIC or equivalent rating. As of March 31, 2016, the $12.3 million of gross unrealized losses of twelve months or more were concentrated in the consumer non-cyclical, capital goods, finance and utility sectors of the Company’s corporate securities. As of December 31, 2015, the $18.8 million of gross unrealized losses of twelve months or more were concentrated in consumer non-cyclical, capital goods, utility and finance sectors of the Company’s corporate securities. In accordance with its policy described in Note 2 to the Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2015, the Company concluded that an adjustment to earnings for OTTI for these securities was not warranted at March 31, 2016 or December 31, 2015. These conclusions are based on a detailed analysis of the underlying credit and cash flows on each security. The gross unrealized losses are primarily attributable to a decrease in interest rates, general credit spread tightening and foreign currency exchange rate movements. As of March 31, 2016, the Company does not intend to sell these securities and it is not more likely than not that the Company will be required to sell these securities before the anticipated recovery of the remaining amortized cost basis. Securities Lending and Repurchase Agreements In the normal course of business, the Company sells securities under agreements to repurchase and enters into securities lending transactions. As of March 31, 2016 and December 31, 2015, the Company had $3.7 million and $10.6 million, respectively, of securities lending transactions recorded as "Cash collateral for loaned securities," all of which were corporate securities. The remaining contractual maturity of all securities lending transactions is overnight and continuous. As of both March 31, 2016 and December 31, 2015, the Company had no repurchase transactions. |
Fair Value of Assets and Liabilities |
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value of Assets and Liabilities | FAIR VALUE OF ASSETS AND LIABILITIES Fair Value Measurement – Fair value represents the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The authoritative fair value guidance establishes a framework for measuring fair value that includes a hierarchy used to classify the inputs used in measuring fair value. The level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement. The levels of the fair value hierarchy are as follows: Level 1 - Fair value is based on unadjusted quoted prices in active markets that are accessible to the Company for identical assets or liabilities. The Company’s Level 1 assets and liabilities primarily include certain cash equivalents and short-term investments and equity securities. Level 2 - Fair value is based on significant inputs, other than quoted prices included in Level 1, that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the asset or liability through corroboration with observable market data. Level 2 inputs include quoted market prices in active markets for similar assets and liabilities, quoted market prices in markets that are not active for identical or similar assets or liabilities, and other market observable inputs. The Company’s Level 2 assets and liabilities include: fixed maturities (corporate public and private bonds, most government securities, certain asset-backed and mortgage-backed securities, etc.), certain equity securities (mutual funds, which do not trade in active markets because they are not publicly available), certain commercial mortgage loans, short-term investments and certain cash equivalents, and certain over-the-counter ("OTC") derivatives. Level 3 - Fair value is based on at least one significant unobservable input for the asset or liability. The assets and liabilities in this category may require significant judgment or estimation in determining the fair value. The Company’s Level 3 assets and liabilities primarily include: certain private fixed maturities and equity securities, certain manually priced public equity securities and fixed maturities, short-term investments, certain highly structured OTC derivative contracts and embedded derivatives resulting from certain products with guaranteed benefits. Assets and Liabilities by Hierarchy Level – The tables below present the balances of assets and liabilities reported at fair value on a recurring basis, as of the dates indicated.
The methods and assumptions the Company uses to estimate the fair value of assets and liabilities measured at fair value on a recurring basis are summarized below. Fixed Maturity Securities – The fair values of the Company’s public fixed maturity securities are generally based on prices obtained from independent pricing services. Prices for each security are generally sourced from multiple pricing vendors, and a vendor hierarchy is maintained by asset type based on historical pricing experience and vendor expertise. The Company ultimately uses the price from the pricing service highest in the vendor hierarchy based on the respective asset type. The pricing hierarchy is updated for new financial products and recent pricing experience with various vendors. Consistent with the fair value hierarchy described above, securities with validated quotes from pricing services are generally reflected within Level 2, as they are primarily based on observable pricing for similar assets and/or other market observable inputs. Typical inputs used by these pricing services include but are not limited to reported trades, benchmark yields, issuer spreads, bids, offers, and/or estimated cash flow, prepayment speeds and default rates. If the pricing information received from third party pricing services is deemed not reflective of market activity or other inputs observable in the market, the Company may challenge the price through a formal process with the pricing service or classify the securities as Level 3. If the pricing service updates the price to be more consistent with the presented market observations, the security remains within Level 2. Internally-developed valuations or indicative broker quotes are also used to determine fair value in circumstances where vendor pricing is not available, or where the Company ultimately concludes that pricing information received from the independent pricing services is not reflective of market activity. If the Company concludes the values from both pricing services and brokers are not reflective of market activity, it may override the information with an internally developed valuation. As of March 31, 2016 and December 31, 2015 overrides on a net basis were not material. Pricing service overrides, internally-developed valuations and indicative broker quotes are generally included in Level 3 in the fair value hierarchy. The Company conducts several specific price monitoring activities. Daily analyses identify price changes over predetermined thresholds defined at the financial instrument level. Various pricing integrity reports are reviewed on a daily and monthly basis to determine if pricing is reflective of market activity or if it would warrant any adjustments. Other procedures performed include, but are not limited to, reviews of third-party pricing services methodologies, reviews of pricing trends, and back-testing. The fair value of private fixed maturities, which are comprised of investments in private placement securities, originated by internal private asset managers, are primarily determined using discounted cash flow models. These models primarily use observable inputs that include Treasury or similar base rates plus estimated credit spreads to value each security. The credit spreads are obtained through a survey of private market intermediaries who are active in both primary and secondary transactions, and consider, among other factors, the credit quality and industry sector of the issuer and the reduced liquidity associated with private placements. Since most private placements are valued using standard market observable inputs and inputs derived from, or corroborated by, market observable data including observed prices and spreads for similar publicly traded or privately traded issues, they have been reflected within Level 2. For certain private fixed maturities, the discounted cash flow model may incorporate significant unobservable inputs, which reflect the Company’s own assumptions about the inputs that market participants would use in pricing the asset. To the extent management determines that such unobservable inputs are significant to the price of a security, a Level 3 classification is made. Trading Account Assets – Trading account assets consist primarily of equity securities whose fair values are determined consistent with similar instruments described below under “Equity Securities”. Equity Securities – Equity securities consist principally of investments in common and preferred stock of publicly-traded companies, privately-traded securities, as well as mutual fund shares. The fair values of most publicly traded equity securities are based on quoted market prices in active markets for identical assets and are classified within Level 1 in the fair value hierarchy. Estimated fair values for most privately traded equity securities are determined using discounted cash flow, earnings multiple and other valuation models that require a substantial level of judgment around inputs and therefore are classified within Level 3. The fair values of mutual fund shares that transact regularly (but do not trade in active markets because they are not publicly available) are based on transaction prices of identical fund shares and are classified within Level 2 in the fair value hierarchy. Derivative Instruments – Derivatives are recorded at fair value either as assets, within “Other long-term investments” or as liabilities, within “Payables to parent and affiliates” except for embedded derivatives which are recorded with the associated host contract. The fair values of derivative contracts can be affected by changes in interest rates, foreign exchange rates, credit spreads, market volatility, expected returns, non-performance risk (“NPR”), liquidity and other factors. For derivative positions included within Level 3 of the fair value hierarchy, liquidity valuation adjustments are made to reflect the cost of exiting significant risk positions, and consider the bid-ask spread, maturity, complexity and other specific attributes of the underlying derivative position. The majority of the Company’s derivative positions are traded in the OTC derivative market and are classified within Level 2 in the fair value hierarchy. OTC derivatives classified within Level 2 are valued using models that utilize actively quoted or observable market input values from external market data providers, third-party pricing vendors and/or recent trading activity. The Company’s policy is to use mid-market pricing in determining its best estimate of fair value. The fair values of most OTC derivatives, including interest rate and cross currency swaps and single name credit default swaps are determined using discounted cash flow models. The fair values of European style option contracts are determined using Black-Scholes option pricing models. These models’ key inputs include the contractual terms of the respective contract, along with significant observable inputs, including interest rates, currency rates, credit spreads, equity prices, index dividend yields, NPR, volatility and other factors. The Company’s cleared interest rate swaps and credit derivatives linked to an index are valued using models that utilize actively quoted or observable market inputs, including Overnight Indexed Swap discount rates, obtained from external market data providers, third-party pricing vendors, and/or recent trading activity. These derivatives are classified as Level 2 in the fair value hierarchy. The vast majority of the Company’s derivative agreements are with highly rated major international financial institutions. To reflect the market’s perception of its own and the counterparty’s NPR, the Company incorporates additional spreads over London Inter-Bank Offered Rate (“LIBOR”) into the discount rate used in determining the fair value of OTC derivative assets and liabilities that are not otherwise collateralized. Derivatives classified as Level 3 include structured products. These derivatives are valued based upon models, such as Monte Carlo simulation models and other techniques that utilize significant unobservable inputs. Level 3 methodologies are validated through periodic comparison of the Company’s fair values to external broker-dealer values. As of March 31, 2016, there were no internally valued derivatives with the fair value classified within Level 3, and all derivatives were classified within Level 2. As of December 31, 2015, there was $1.6 million of internally valued derivatives with the fair value classified within Level 3. See Note 5 for more details on the fair value of derivative instruments by primary underlying. As discussed in Note 2, the Company adopted ASU 2015-07, effective January 1, 2016, which resulted in the exclusion of certain "Other long-term investments" from the fair value hierarchy. The guidance was required to be applied retrospectively, and therefore, prior period amounts have been revised to conform to the current period presentation. At March 31, 2016 and December 31, 2015, the fair value of these investments were $0.5 million and $0.6 million, respectively, which had been previously classified in Level 3 at December 31, 2015. Cash Equivalents and Short-Term Investments – Cash equivalents and short-term investments include money market instruments and other highly liquid debt instruments. Certain money market instruments are valued using unadjusted quoted prices in active markets that are accessible for identical assets and are primarily classified as Level 1. The remaining instruments in this category are classified within Level 2 and Level 3. Level 2 instruments are generally fair valued based on market observable inputs. Level 3 instruments are internally valued based on internal asset manager valuations. Separate Account Assets – Separate account assets include fixed maturity securities, treasuries, equity securities, and mutual funds for which values are determined consistent with similar instruments described above under “Fixed Maturity Securities” and “Equity Securities”. Receivables from Parent and Affiliates – Receivables from parent and affiliates carried at fair value include affiliated bonds within the Company’s legal entity whose fair values are determined consistent with similar securities described above under “Fixed Maturity Securities” managed by affiliated asset managers. Reinsurance Recoverables – Reinsurance recoverables carried at fair value include the reinsurance of the Company’s living benefit guarantees on certain of its variable annuity contracts. These guarantees are accounted for as embedded derivatives and are described below in “Future Policy Benefits”. The reinsurance agreements covering these guarantees are derivatives with fair value determined in the same manner as the living benefit guarantees. Future Policy Benefits – The liability for future policy benefits is related to guarantees primarily associated with the living benefit features of certain variable-annuity contracts offered by the Company, including guaranteed minimum accumulation benefits (“GMAB”), guaranteed minimum withdrawal benefits (“GMWB”), and guaranteed minimum income and withdrawal benefits (“GMIWB”), accounted for as embedded derivatives. The fair values of these liabilities are calculated as the present value of future expected benefit payments to contractholders less the present value of future rider fees attributable to the optional living benefit feature. This methodology could result in either a liability or contra-liability balance, given changing capital market conditions and various actuarial assumptions. Since there is no observable active market for the transfer of these obligations, the valuations are calculated using internally developed models with option pricing techniques. The models are based on a risk neutral valuation framework and incorporate premiums for risks inherent in valuation techniques, inputs, and the general uncertainty around the timing and amount of future cash flows. The determination of these risk premiums requires the use of management's judgment. The significant inputs to the valuation models for these embedded derivatives include capital market assumptions, such as interest rate levels and volatility assumptions, the Company’s market-perceived NPR, as well as actuarially determined assumptions, including contractholder behavior, such as lapse rates, benefit utilization rates, withdrawal rates and mortality rates. Since many of these assumptions are unobservable and are considered to be significant inputs to the liability valuation, the liability included in future policy benefits has been reflected within Level 3 in the fair value hierarchy. Capital market inputs and actual policyholders’ account values are updated each quarter based on capital market conditions as of the end of the quarter, including interest rates, equity markets and volatility. In the risk neutral valuation, the initial swap curve drives the total return used to grow the policyholders’ account values. The Company’s discount rate assumption is based on the LIBOR swap curve, adjusted for an additional spread relative to LIBOR to reflect NPR. Actuarial assumptions, including contractholder behavior and mortality, are reviewed at least annually, and updated based upon emerging experience, future expectations, and other data, including any observable market data. These assumptions are generally updated annually unless a material change that the Company feels is indicative of a long-term trend is observed in an interim period. Transfers between Levels 1 and 2 – Transfers between levels are made to reflect changes in observability of inputs and market activity. Transfers into or out of any level are generally reported as the value as of the beginning of the quarter in which the transfers occur for any such assets still held at the end of the quarter. Periodically there are transfers between Level 1 and Level 2 for assets held in the Company’s Separate Account. During the three months ended March 31, 2016 and 2015, there were no transfers between Level 1 and Level 2. Level 3 Assets and Liabilities by Price Source – The tables below present the balances of Level 3 assets and liabilities measured at fair value with their corresponding pricing sources.
Quantitative Information Regarding Internally Priced Level 3 Assets and Liabilities – The tables below present quantitative information on significant internally-priced Level 3 assets and liabilities.
Interrelationships Between Unobservable Inputs – In addition to the sensitivities of fair value measurements to changes in each unobservable input in isolation, as reflected in the table above, interrelationships between these inputs may also exist, such that a change in one unobservable input may give rise to a change in another, or multiple, inputs. Examples of such interrelationships for significant internally-priced Level 3 assets and liabilities are as follows: Corporate Securities – The rate used to discount future cash flows reflects current risk-free rates plus credit and liquidity spread requirements that market participants would use to value an asset. The discount rate may be influenced by many factors, including market cycles, expectations of default, collateral, term and asset complexity. Each of these factors can influence discount rates, either in isolation, or in response to other factors. Future Policy Benefits – The Company expects efficient benefit utilization and withdrawal rates to generally be correlated with lapse rates. However, behavior is generally highly dependent on the facts and circumstances surrounding the individual contractholder, such as their liquidity needs or tax situation, which could drive lapse behavior independent of other contractholder behavior assumptions. To the extent more efficient contractholder behavior results in greater in-the-moneyness at the contract level, lapse rates may decline for those contracts. Similarly, to the extent that increases in equity volatility are correlated with overall declines in the capital markets, lapse rates may decline as contracts become more in-the-money. Valuation Process for Fair Value Measurements Categorized within Level 3 – The Company has established an internal control infrastructure over the valuation of financial instruments that requires ongoing oversight by its various business groups. These management control functions are segregated from the trading and investing functions. For invested assets, the Company has established oversight teams, often in the form of pricing committees within each asset management group. The teams, which typically include representation from investment, accounting, operations, legal and other disciplines are responsible for overseeing and monitoring the pricing of the Company’s investments and performing periodic due diligence reviews of independent pricing services. An actuarial valuation team oversees the valuation of living benefit features of the Company’s variable annuity contracts. The Company has also established policies and guidelines that require the establishment of valuation methodologies and consistent application of such methodologies. These policies and guidelines govern the use of inputs and price source hierarchies and provide controls around the valuation processes. These controls include appropriate review and analysis of investment prices against market activity or indicators of reasonableness, analysis of portfolio returns to corresponding benchmark returns, back-testing, review of bid/ask spreads to assess activity, approval of price source changes, price overrides, methodology changes and classification of fair value hierarchy levels. For living benefit features of the Company’s variable annuity products, the actuarial valuation unit periodically tests contract input data and actuarial assumptions are reviewed at least annually, and updated based upon emerging experience, future expectations and other data, including any observable market data. The valuation policies and guidelines are reviewed and updated as appropriate. Within the trading and investing functions, the Company has established policies and procedures that relate to the approval of all new transaction types, transaction pricing sources and fair value hierarchy coding within the financial reporting system. For variable annuity product changes or new launches of living benefit features, the actuarial valuation unit validates input logic and new product features and agrees new input data directly to source documents. Changes in Level 3 assets and liabilities – The following tables provide summaries of the changes in fair values of Level 3 assets and liabilities as of the dates indicated, as well as the portion of gains or losses included in income attributable to unrealized gains or losses related to those assets and liabilities still held at the end of their respective periods.
Transfers – Transfers into Level 3 are generally the result of unobservable inputs utilized within valuation methodologies and the use of indicative broker quotes for assets that were previously valued using observable inputs. Transfers out of Level 3 are generally due to the use of observable inputs in valuation methodologies as well as the availability of pricing service information for certain assets that the Company is able to validate. Fair Value of Financial Instruments The table below presents the carrying amount and fair value by fair value hierarchy level of certain financial instruments that are not reported at fair value. The financial instruments presented below are reported at carrying value on the Company’s Unaudited Interim Statements of Financial Position; however, in some cases, as described below, the carrying amount equals or approximates fair value.
The fair values presented above have been determined by using available market information and by applying market valuation methodologies, as described in more detail below. Commercial Mortgage and Other Loans The fair value of most commercial mortgage loans is based upon the present value of the expected future cash flows discounted at the appropriate U.S. Treasury rate plus an appropriate credit spread for similar quality loans. The quality ratings for these loans, a primary determinant of the credit spreads and a significant component of the pricing process, are based on an internally-developed methodology. Policy Loans Policy loans carrying value approximates fair value. Other Long-Term Investments Other long-term investments include investments in joint ventures and limited partnerships. The estimated fair values of these cost method investments are generally based on the Company’s share of the NAV as provided in the financial statements of the investees. In certain circumstances, management may adjust the NAV by a premium or discount when it has sufficient evidence to support applying such adjustments. No such adjustments were made as of March 31, 2016 and December 31, 2015. Cash and Cash Equivalents, Accrued Investment Income, Receivables from Parent and Affiliates, and Other Assets The Company believes that due to the short-term nature of certain assets, the carrying value approximates fair value. These assets include: cash and cash equivalents, accrued investment income, and other assets that meet the definition of financial instruments, including receivables such as unsettled trades and accounts receivable. Policyholders’ Account Balances - Investment Contracts Only the portion of policyholders’ account balances related to products that are investment contracts (those without significant mortality or morbidity risk) are reflected in the table above. For payout annuities and other similar contracts without life contingencies, fair values are generally derived using discounted projected cash flows based on interest rates that are representative of the Company’s financial strength ratings, and hence reflect the Company’s own NPR. For those balances that can be withdrawn by the customer at any time without prior notice or penalty, the fair value is the amount estimated to be payable to the customer as of the reporting date, which is generally the carrying value. Cash Collateral for Loaned Securities Cash collateral for loaned securities represents the collateral received or paid in connection with loaning or borrowing securities. For these transactions, the carrying value of the related asset or liability approximates fair value as they equal the amount of cash collateral received or paid. Debt The fair value of short-term debt is generally determined by either prices obtained from independent pricing services, which are validated by the Company, or discounted cash flow models. These fair values consider the Company’s own NPR. Discounted cash flow models predominately use market observable inputs such as the borrowing rates currently available to the Company for debt and financial instruments with similar terms and remaining maturities. For debt with a maturity of less than 90 days, the carrying value approximates fair value. Other Liabilities and Payables to Parent and Affiliates Other liabilities and payables to parent and affiliates are primarily payables, such as unsettled trades, drafts, escrow deposits and accrued expense payables. Due to the short-term until settlement of most of these liabilities, the Company believes that carrying value approximates fair value. Separate Account Liabilities - Investment Contracts Only the portion of separate account liabilities related to products that are investment contracts are reflected in the table above. Separate account liabilities are recorded at the amount credited to the contractholder, which reflects the change in fair value of the corresponding separate account assets including contractholder deposits less withdrawals and fees; therefore, carrying value approximates fair value. |
Derivative Instruments |
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments | DERIVATIVE INSTRUMENTS Types of Derivative Instruments and Derivative Strategies Interest Rate Contracts Interest rate swaps are used by the Company to reduce risks from changes in interest rates, manage interest rate exposures arising from mismatches between assets and liabilities (including duration mismatches) and to hedge against changes in the value of assets it owns or anticipates acquiring or selling. Swaps may be attributed to specific assets or liabilities or may be used on a portfolio basis. Under interest rate swaps, the Company agrees with counterparties to exchange, at specified intervals, the difference between fixed-rate and floating-rate interest amounts calculated by reference to an agreed upon notional principal amount. Equity Contracts Equity index options are contracts which will settle in cash based on differentials in the underlying indices at the time of exercise and the strike price. The Company uses combinations of purchases and sales of equity index options to hedge the effects of adverse changes in equity indices within a predetermined range. Total return swaps are contracts whereby the Company agrees with counterparties to exchange, at specified intervals, the difference between the return on an asset (or market index) and LIBOR plus an associated funding spread based on a notional amount. The Company generally uses total return swaps to hedge the effect of adverse changes in equity indices. Foreign Exchange Contracts Currency derivatives, including currency swaps and forwards, are used by the Company to reduce risks from changes in currency exchange rates with respect to investments denominated in foreign currencies that the Company either holds or intends to acquire or sell. Under currency forwards, the Company agrees with counterparties to deliver a specified amount of an identified currency at a specified future date. Typically, the price is agreed upon at the time of the contract and payment for such a contract is made at the specified future date. The Company executes forward sales of the hedged currency in exchange for U.S. dollars at a specified exchange rate. The maturities of these forwards correspond with the future periods in which the non-U.S. dollar-denominated earnings are expected to be generated. These earnings hedges do not qualify for hedge accounting. Under currency swaps, the Company agrees with counterparties to exchange, at specified intervals, the difference between one currency and another at an exchange rate and calculated by reference to an agreed principal amount. Generally, the principal amount of each currency is exchanged at the beginning and termination of the currency swap by each party. These transactions are entered into pursuant to master agreements that provide for a single net payment to be made by one counterparty for payments made in the same currency at each due date. Credit Contracts Credit derivatives are used by the Company to enhance the return on the Company’s investment portfolio by creating credit exposure similar to an investment in public fixed maturity cash instruments. With credit derivatives the Company sells credit protection on a single name reference, or certain index reference, and in return receives a quarterly premium. With credit default derivatives, this premium or credit spread generally corresponds to the difference between the yield on the referenced name’s public fixed maturity cash instruments and swap rates, at the time the agreement is executed. If there is an event of default by the referenced name, as defined by the agreement, then the Company is obligated to pay the counterparty the referenced amount of the contract and receive in return the referenced defaulted security or similar security or pay the referenced amount less the auction recovery rate. See credit derivatives section for a discussion of guarantees related to credit derivatives written. In addition to selling credit protection, the Company has purchased credit protection using credit derivatives in order to hedge specific credit exposures in the Company’s investment portfolio. Embedded Derivatives The Company sells variable annuity products, which may include guaranteed benefit features that are accounted for as embedded derivatives. The Company has reinsurance agreements to transfer the risk related to certain of these benefit features to affiliates, Pruco Re and Prudential Insurance. See Note 1 for the subsequent change effective April 1, 2016. The embedded derivatives related to the living benefit features and the related reinsurance agreements are carried at fair value. These embedded derivatives are marked to market through “Realized investment gains (losses), net” based on the change in value of the underlying contractual guarantees, which are determined using valuation models, as described in Note 4. The table below provides a summary of the gross notional amount and fair value of derivatives contracts by the primary underlying, excluding embedded derivatives which are recorded with the associated host. Many derivative instruments contain multiple underlyings. The fair value amounts below represent the gross fair value of derivative contracts prior to taking into account the netting effects of master netting agreements, cash collateral held with the same counterparty, and non-performance risk.
Offsetting Assets and Liabilities The following table presents recognized derivative instruments (excluding embedded derivatives and associated reinsurance recoverables) that are offset in the Unaudited Interim Statements of Financial Position, and/or are subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset in the Unaudited Interim Statements of Financial Position.
For information regarding the rights of offset associated with the derivative assets and liabilities in the table above see “Credit Risk” below and Note 7. Cash Flow Hedges The primary derivative instruments used by the Company in its cash flow hedge accounting relationships are currency swaps. These instruments are only designated for hedge accounting in instances where the appropriate criteria are met. The Company does not use futures, options, credit, equity or embedded derivatives in any of its cash flow hedge accounting relationships. The following tables provide the financial statement classification and impact of derivatives used in qualifying and non-qualifying hedge relationships, excluding the offset of the hedged item in an effective hedge relationship.
For the three months ended March 31, 2016 and 2015, the ineffective portion of derivatives accounted for using hedge accounting was not material to the Company’s results of operations. Also, there were no material amounts reclassified into earnings relating to instances in which the Company discontinued cash flow hedge accounting because the forecasted transaction did not occur by the anticipated date or within the additional time period permitted by the authoritative guidance for the accounting for derivatives and hedging. Presented below is a rollforward of current period cash flow hedges in “Accumulated other comprehensive income (loss)” before taxes:
Using March 31, 2016 values, it is estimated that a pre-tax gain of approximately $1 million will be reclassified from AOCI to earnings during the subsequent twelve months ending March 31, 2017, offset by amounts pertaining to the hedged item. As of March 31, 2016, the Company did not have any qualifying cash flow hedges of forecasted transactions other than those related to the variability of the payment or receipt of interest or foreign currency amounts on existing financial instruments. The maximum length of time for which these variable cash flows are hedged is 17 years. Income amounts deferred in AOCI as a result of cash flow hedges are included in "Net unrealized investment gains (losses)" within OCI in the Unaudited Interim Statements of Operations and Comprehensive Income (Loss). Credit Derivatives The Company had no open credit derivative positions where it has written or purchased credit protection as of March 31, 2016 and December 31, 2015. Credit Risk The Company is exposed to credit-related losses in the event of non-performance by its counterparty to financial derivative transactions. The Company has credit risk exposure to an affiliate, Prudential Global Funding, LLC (“PGF”), related to its OTC derivative transactions. PGF manages credit risk with external counterparties by entering into derivative transactions with highly rated major international financial institutions and other creditworthy counterparties, and by obtaining collateral, such as cash and securities, when appropriate. Additionally, limits are set on single party credit exposures which are subject to periodic management review. Under fair value measurements, the Company incorporates the market’s perception of its own and the counterparty’s non-performance risk in determining the fair value of the portion of its OTC derivative assets and liabilities that are uncollateralized. Credit spreads are applied to the derivative fair values on a net basis by counterparty. To reflect the Company’s own credit spread, a proxy based on relevant debt spreads is applied to OTC derivative net liability positions. Similarly, the Company’s counterparty’s credit spread is applied to OTC derivative net asset positions. |
Commitments, Contingent Liabilities And Litigation And Regulatory Matters |
3 Months Ended |
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Mar. 31, 2016 | |
Commitments And Guarantees And Contingent Liabilities [Abstract] | |
Commitments, Contingent Liabilities and Litigation and Regulatory Matters | COMMITMENTS, CONTINGENT LIABILITIES AND LITIGATION AND REGULATORY MATTERS Commitments The Company had made commitments to fund $28 million and $5 million of commercial loans as of March 31, 2016 and December 31, 2015, respectively. The Company also made commitments to purchase or fund investments, mostly private fixed maturities, of $31 million and $36 million as of March 31, 2016 and December 31, 2015, respectively. Contingent Liabilities On an ongoing basis, the Company’s internal supervisory and control functions review the quality of sales, marketing and other customer interface procedures and practices and may recommend modifications or enhancements. From time to time, this review process results in the discovery of product administration, servicing or other errors, including errors relating to the timing or amount of payments or contract values due to customers. In certain cases, if appropriate, the Company may offer customers remediation and may incur charges, including the cost of such remediation, administrative costs and regulatory fines. The Company is subject to the laws and regulations of states and other jurisdictions concerning the identification, reporting and escheatment of unclaimed or abandoned funds, and is subject to audit and examination for compliance with these requirements. For additional discussion of these matters, see “Litigation and Regulatory Matters” below. It is possible that the results of operations or the cash flows of the Company in a particular quarterly or annual period could be materially affected as a result of payments in connection with the matters discussed above or other matters depending, in part, upon the results of operations or cash flows for such period. Management believes, however, that ultimate payments in connection with these matters, after consideration of applicable reserves and rights to indemnification, should not have a material adverse effect on the Company’s financial position. Litigation and Regulatory Matters The Company is subject to legal and regulatory actions in the ordinary course of its business. Pending legal and regulatory actions include proceedings specific to the Company and proceedings generally applicable to business practices in the industry in which it operates. The Company is subject to class action lawsuits and other litigation involving a variety of issues and allegations involving sales practices, claims payments and procedures, premium charges, policy servicing and breach of fiduciary duty to customers. The Company is also subject to litigation arising out of its general business activities, such as its investments, contracts, leases and labor and employment relationships, including claims of discrimination and harassment, and could be exposed to claims or litigation concerning certain business or process patents. In addition, the Company, along with other participants in the businesses in which it engages, may be subject from time to time to investigations, examinations and inquiries, in some cases industry-wide, concerning issues or matters upon which such regulators have determined to focus. In some of the Company’s pending legal and regulatory actions, parties are seeking large and/or indeterminate amounts, including punitive or exemplary damages. The outcome of litigation or a regulatory matter, and the amount or range of potential loss at any particular time, is often inherently uncertain. The Company establishes accruals for litigation and regulatory matters when it is probable that a loss has been incurred and the amount of that loss can be reasonably estimated. For litigation and regulatory matters where a loss may be reasonably possible, but not probable, or is probable but not reasonably estimable, no accrual is established, but the matter, if material, is disclosed. The Company estimates that as of March 31, 2016, the aggregate range of reasonably possible losses in excess of accruals established for those litigation and regulatory matters for which such an estimate currently can be made is $0 to approximately $3 million. This estimate is not an indication of expected loss, if any, or the Company’s maximum possible loss exposure on such matters. The Company reviews relevant information with respect to its litigation and regulatory matters on a quarterly and annual basis and updates its accruals, disclosures and estimates of reasonably possible loss based on such reviews. For a discussion of the Company's litigations and regulatory matters, see Note 12 to the Company's Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2015. Summary The Company’s litigation and regulatory matters are subject to many uncertainties, and given their complexity and scope, their outcome cannot be predicted. It is possible that the Company’s results of operations or cash flows in a particular quarterly or annual period could be materially affected by an ultimate unfavorable resolution of pending litigation and regulatory matters depending, in part, upon the results of operations or cash flows for such period. In light of the unpredictability of the Company’s litigation and regulatory matters, it is also possible that in certain cases an ultimate unfavorable resolution of one or more pending litigation or regulatory matters could have a material adverse effect on the Company’s financial position. Management believes, however, that, based on information currently known to it, the ultimate outcome of all pending litigation and regulatory matters, after consideration of applicable reserves and rights to indemnification, is not likely to have a material adverse effect on the Company’s financial position. |
Related Party Transactions |
3 Months Ended |
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Mar. 31, 2016 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | RELATED PARTY TRANSACTIONS The Company has extensive transactions and relationships with Prudential Insurance and other affiliates. Although we seek to ensure that these transactions and relationships are fair and reasonable, it is possible that the terms of these transactions are not the same as those that would result from transactions among unrelated parties. Expense Charges and Allocations Many of the Company’s expenses are allocations or charges from Prudential Insurance or other affiliates. The Company’s general and administrative expenses are charged to the Company using allocation methodologies based on business production processes. Management believes that the methodology is reasonable and reflects costs incurred by Prudential Insurance to process transactions on behalf of the Company. The Company operates under service and lease agreements whereby services of officers and employees, supplies, use of equipment and office space are provided by Prudential Insurance. The Company reviews its allocation methodology periodically which it may adjust accordingly. General and administrative expenses also include allocations of stock compensation expenses related to a stock option program and a deferred compensation program issued by Prudential Financial. The expense charged to the Company for the stock option program and deferred compensation program was less than $1 million for both the three months ended March 31, 2016 and 2015. The Company is charged for its share of employee benefits expenses. These expenses include costs for funded and non-funded contributory and non-contributory defined benefit pension plans. Some of these benefits are based on earnings and length of service. Other benefits are based on an account balance, which takes into consideration age, service and earnings during career. The Company’s share of net expense for the pension plans was less than $1 million for both the three months ended March 31, 2016 and 2015. Prudential Insurance sponsors voluntary savings plans for its employees' 401(k) plans. The 401(k) plans provide for salary reduction contributions by employees and matching contributions by the Company of up to 4% of annual salary. The expense charged to the Company for the matching contribution to the 401(k) plans was less than $1 million for both the three months ended March 31, 2016 and 2015. Affiliated Asset Administration Fee Income In accordance with a revenue sharing agreement with AST Investment Services, Inc. (“ASTISI”), and Prudential Investments LLC (“Prudential Investments”), the Company receives fee income calculated on contractholder separate account balances invested in the Advanced Series Trust and The Prudential Series Fund. Income received from ASTISI and Prudential Investments related to this agreement was $25 million and $53 million for the three months ended March 31, 2016 and 2015, respectively. These revenues are recorded as “Asset administration fees and other income” in the Unaudited Interim Statements of Operations and Comprehensive Income (Loss). Affiliated Investment Management Expenses In accordance with an agreement with PGIM, Inc. (“PGIM”), the Company pays investment management expenses to PGIM who acts as investment manager to certain Company general account and separate account assets. Investment management expenses paid to PGIM related to this agreement were $1 million for both the three months ended March 31, 2016 and 2015. These expenses are recorded as “Net investment income” in the Unaudited Interim Statements of Operations and Comprehensive Income (Loss). Cost Allocation Agreements with Affiliates Certain operating costs (including rental of office space, furniture, and equipment) have been charged to the Company at cost by Prudential Annuities Information Services and Technology Corporation (“PAIST”), an affiliated company. PALAC signed a written service agreement with PAIST for these services executed and approved by the Connecticut Insurance Department in 1995. This agreement automatically continues in effect from year to year and may be terminated by either party upon 30 days written notice. Allocated lease expense was $0 and less than $1 million for the three months ended March 31, 2016 and 2015, respectively. Allocated sub-lease rental income, recorded as a reduction to lease expense was $0 for both the three months ended March 31, 2016 and 2015. The Company pays commissions and certain other fees to PAD in consideration for PAD’s marketing and underwriting of the Company’s products. Commissions and fees are paid by PAD to broker-dealers who sold and service the Company’s products. Commissions and fees paid by the Company to PAD were $27 million and $43 million for the three months ended March 31, 2016 and 2015, respectively. Debt Agreements Short-term and Long-term Debt The Company is authorized to borrow funds up to $2 billion from Prudential Financial and its affiliates to meet its capital and other funding needs. The Company had debt of $0 and $1 million outstanding with Prudential Funding, LLC as of March 31, 2016 and December 31, 2015, respectively. Total interest expense on debt with Prudential Funding, LLC and Prudential Financial was less than $1 million for the three months ended March 31, 2016 and 2015, respectively. Reinsurance Agreements The Company uses reinsurance as part of its risk management and capital management strategies for certain of its optional living benefit features and certain base contracts. Through March 31, 2016, the Company reinsured its living benefit guarantees on certain variable annuity products to Pruco Re and Prudential Insurance, which are the legal entities in which we executed our living benefit hedging program. See Note 1 for the subsequent change effective April 1, 2016. Fees ceded under these agreements are included in “Realized investment gains (losses), net” on the Unaudited Interim Statements of Operations and Comprehensive Income (Loss). The Company's ceded fees were $59 million and $68 million to Pruco Re for the three months ended March 31, 2016 and 2015, respectively. The Company's ceded fees were $6 million and less than $1 million to Prudential Insurance for the three months ended March 31, 2016 and 2015, respectively. The Company ceded base contract fees of $11 million to Prudential Insurance as of March 31, 2016, which are included in "Policy Charges and Fee Income". See Note 1 for a discussion on the fourth quarter 2015 reinsurance treaty related to the Company's New York license surrender. The Company’s reinsurance payables related to affiliated reinsurance were $22 million and $250 million as of March 31, 2016 and December 31, 2015, respectively. These payables are reflected in “Payable to parent and affiliates” in the Company’s Unaudited Interim Statements of Financial Position. The Company’s reinsurance recoverables related to affiliated reinsurance were $3,776 million and $3,088 million as of March 31, 2016 and December 31, 2015, respectively. The assets are reflected in “Reinsurance recoverables” in the Company’s Unaudited Interim Statements of Financial Position. Realized gains (losses) were $616 million and $237 million for the three months ended March 31, 2016 and 2015, respectively. Changes in realized gains (losses) for the 2016 and 2015 periods were primarily due to changes in market conditions in each respective period. See Note 6 to the Company’s Financial Statements included in its Annual Report on Form 10-K for the year ended December 31, 2015, for information regarding the Company’s reinsurance agreements. Derivative Trades In its ordinary course of business, the Company enters into OTC derivative contracts with an affiliate, PGF. For these OTC derivative contracts, PGF has a substantially equal and offsetting position with an external counterparty. |
Significant Accounting Policies and Pronouncements (Policies) |
3 Months Ended |
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Mar. 31, 2016 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation The Unaudited Interim Financial Statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) on a basis consistent with reporting interim financial information in accordance with instructions to Form 10-Q and Article 10 of Regulation S-X of the Securities and Exchange Commission (“SEC”). In the opinion of management, all adjustments necessary for a fair statement of the financial position and results of operations have been made. All such adjustments are of a normal, recurring nature. Interim results are not necessarily indicative of the results that may be expected for the full year. These financial statements should be read in conjunction with the Company’s Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2015. |
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 as of 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. The most significant estimates include those used in determining deferred policy acquisition costs ("DAC") and related amortization; value of business acquired ("VOBA") and its amortization; amortization of deferred sales inducements ("DSI"); measurement of goodwill and any related impairments; valuation of investments including derivatives and the recognition of other-than-temporary impairments (“OTTI”); future policy benefits including guarantees; pension and other postretirement benefits; provision for income taxes and valuation of deferred tax assets; and accruals for contingent liabilities, including estimates for losses in connection with unresolved legal matters. |
Reclassifications | Reclassifications Certain amounts in prior periods have been reclassified to conform to the current period presentation. |
New Accounting Pronouncements | Adoption of New Accounting Pronouncements In May 2015, the Financial Accounting Standards Board (“FASB”) issued guidance (Accounting Standards Update (“ASU”) 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent)) to remove the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient. The new guidance became effective for annual periods and interim periods within those annual periods that began after December 15, 2015, and was applied retrospectively. Adoption of the guidance did not have a significant effect on the Company’s financial statement disclosures. See Note 4. In August 2014, the FASB issued updated guidance (ASU 2014-14, Receivables-Troubled Debt Restructurings by Creditors (Subtopic 310-40): Classification of Certain Government-Guaranteed Mortgage Loans upon Foreclosure) requiring that mortgage loans be derecognized and that a separate other receivable be recognized upon foreclosure if certain conditions are met. Upon foreclosure, the separate other receivable should be measured based on the amount of the loan balance (principal and interest) expected to be recovered from the guarantor. The new guidance became effective for annual periods and interim periods within those annual periods that began after December 15, 2014 and was applied prospectively. Adoption of the guidance did not have a significant effect on the Company’s financial position, results of operations or financial statement disclosures. In August 2014, the FASB issued updated guidance (ASU 2014-13, Consolidation (Topic 810): Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity) for measuring the financial assets and the financial liabilities of a consolidated collateralized financing entity. Under the guidance, an entity within scope is permitted to measure both the financial assets and financial liabilities of a consolidated collateralized financing entity based on either the fair value of the financial assets or the financial liabilities, whichever is more observable. If adopted, the guidance eliminates the measurement difference that exists when both are measured at fair value. The Company adopted the updated guidance effective January 1, 2016, and applied the modified retrospective method of adoption. Adoption of the updated guidance did not have a significant effect on the Company’s financial position, results of operations or financial statement disclosures. In June 2014, the FASB issued updated guidance (ASU 2014-11, Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures) that requires repurchase-to-maturity transactions to be accounted for as secured borrowings and eliminates existing guidance for repurchase financings. The guidance also requires new disclosures for certain transactions accounted for as secured borrowings and for transfers accounted for as sales when the transferor also retains substantially all of the exposure to the economic return on the transferred financial assets. Accounting changes and new disclosures for transfers accounted for as sales under the new guidance were effective for the first interim or annual period beginning after December 15, 2014 and did not have a significant effect on the Company's financial position, results of operations or financial statement disclosures. Disclosures for certain transactions accounted for as secured borrowings were effective for interim periods beginning after March 15, 2015 and are included in Note 3. In April 2014, the FASB issued updated guidance (ASU 2014-08, Presentation of Financial Statements (Topic 205) and Property, Plant, and Equipment (Topic 360): Reporting Discontinued Operations and Disclosures of Disposals of Components of an Entity) that changes the criteria for reporting discontinued operations and introduces new disclosures. The new guidance became effective for new disposals and new classifications of disposal groups as held for sale that occur within annual periods that began on or after December 15, 2014, and interim periods within those annual periods. Adoption of the guidance did not have a significant effect on the Company’s financial position, results of operations or financial statement disclosures. In January 2014, the FASB issued updated guidance (ASU 2014-04, Receivables-Troubled Debt Restructuring by Creditors (Subtopic 310-40): Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure) for troubled debt restructurings clarifying when an in-substance repossession or foreclosure occurs, and when a creditor is considered to have received physical possession of residential real estate property collateralizing a consumer mortgage loan. The new guidance became effective for annual periods and interim periods within those annual periods that began after December 15, 2014, and was applied prospectively. Adoption of the guidance did not have a significant effect on the Company’s financial position, results of operations or financial statement disclosures. Future Adoption of New Accounting Pronouncements In May 2014, the FASB issued updated guidance (ASU 2014-09, Revenue from Contracts with Customers (Topic 606)) on accounting for revenue recognition. The guidance is based on the core principle that revenue is recognized to depict the transfer of goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods and services. The guidance also requires additional disclosures about the nature, amount, timing and uncertainty of revenue and cash flows arising from customer contracts, including significant judgments and changes in judgments and assets recognized from cost incurred to obtain or fulfill a contract. Revenue recognition for insurance contracts is explicitly scoped out of the guidance. In August 2015, the FASB issued an update to defer the original effective date of this guidance. As a result of the deferral, the new guidance is effective for annual periods and interim periods within those annual periods, beginning after December 15, 2017, and must be applied using one of two retrospective application methods. Early adoption is permitted only for annual reporting periods beginning after December 15, 2016, including interim reporting periods within that reporting period. The Company is currently assessing the impact of the guidance on the Company’s financial position, results of operations and financial statement disclosures. In January 2016, the FASB issued updated guidance (ASU 2016-01, Financial Instruments-Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities) on the recognition and measurement of financial assets and financial liabilities. The guidance revises an entity’s accounting related to the classification and measurement of certain equity investments and the presentation of certain fair value changes for financial liabilities measured at fair value. The guidance also amends certain disclosure requirements associated with the fair value of financial instruments. The new guidance is effective for annual periods and interim reporting periods within those annual periods beginning after December 15, 2017. Early adoption is not permitted except for the provisions related to the presentation of certain fair value changes for financial liabilities measured at fair value. The Company is currently assessing the impact of the guidance on the Company’s financial position, results of operations and financial statement disclosures. In February 2016, the FASB issued guidance (ASU 2016-02, Leases (Topic 842)) that ensures assets and liabilities from all outstanding lease contracts are recognized on balance sheet (with limited exception). The guidance substantially changes a Lessee’s accounting for leases and requires the recording on balance sheet of a “right-of-use” asset and liability to make lease payments for most leases. A Lessee will continue to recognize expense in its income statement in a manner similar to the requirements under the current lease accounting guidance. For Lessors, the guidance modifies classification criteria and accounting for sales-type and direct financing leases and requires a Lessor to derecognize the carrying value of the leased asset that is considered to have been transferred to a Lessee and record a lease receivable and residual asset (“receivable and residual” approach). The guidance also eliminates the real estate specific provisions of the current guidance (i.e., sale-leaseback). The amendments are effective for financial statements issued for annual reporting periods beginning after December 15, 2018, and for interim periods within those annual periods, with early adoption permitted. The Company is currently assessing the impact of the guidance on the Company’s financial position, results of operations and financial statement disclosures. In March 2016, the FASB issued guidance (ASU 2016-07, Investments—Equity Method and Joint Ventures (Topic 323): Simplifying the Transition to the Equity Method of Accounting) to simplify the transition to equity method when an investment qualifies for use of the equity method as a result of an increase in the level of ownership or degree of influence. The amendments require that the equity method investor add the cost of acquiring the additional interest in the investee to the current basis of the investor’s previously held interest and adopt the equity method of accounting as of the date the investment becomes qualified for equity method accounting. The amendments are effective for financial statements issued for annual reporting periods beginning after December 15, 2016, and for interim periods within those annual periods. The Company is currently assessing the impact of the guidance on the Company’s financial position, results of operations and financial statement disclosures. |
Investments (Tables) |
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Investments [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fixed Maturities and Equity Securities, Available-for-sale Securities | The following tables provide information relating to fixed maturities and equity securities (excluding investments classified as trading) as of the dates indicated:
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Investments Classified by Contractual Maturity Date | The amortized cost and fair value of fixed maturities by contractual maturities at March 31, 2016, are as follows:
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Sources of Fixed Maturity Proceeds, Related Investment Gains (Losses), and Losses on Impairments of Fixed Maturities and Equity Securities | The following table depicts the sources of fixed maturity and equity security proceeds and related investment gains (losses), as well as losses on impairments of both fixed maturities and equity securities:
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Credit Losses Recognized in Earnings on Fixed Maturity Securities Held by the Company for which a Portion of the OTTI Loss was Recognized in OCI | The following table sets forth the amount of pre-tax credit loss impairments on fixed maturity securities held by the Company as of the dates indicated, for which a portion of the OTTI loss was recognized in OCI, and the corresponding changes in such amounts.
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Trading Account Assets Disclosure | The following table sets forth the composition of “Trading account assets” as of the dates indicated:
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Commercial Mortgage and Other Loans | The Company’s commercial mortgage and other loans are comprised as follows, as of the dates indicated:
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Allowance for Losses | Activity in the allowance for credit losses for all commercial mortgage and other loans, as of the dates indicated, is as follows:
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Allowance for Credit Losses and Recorded Investment in Commercial Mortgage and Other Loans | The following tables set forth the allowance for credit losses and the recorded investment in commercial mortgage and other loans as of the dates indicated:
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Impaired Financing Receivables | Impaired loans include those loans for which it is probable that all amounts due will not be collected according to the contractual terms of the loan agreement. Impaired commercial mortgage and other loans identified in management's specific review of probable loan losses and the related allowance for losses, as of the dates indicated, are as follows:
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Credit Quality Indicators | The following tables set forth certain key credit quality indicators based upon the recorded investment gross of allowance for credit losses as of the dates indicated:
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Past Due Financing Receivables | The following tables provide an aging of past due commercial mortgage and other loans as of the dates indicated, based upon the recorded investment gross of allowance for credit losses, as well as the amount of commercial mortgage loans on non-accrual status as of the dates indicated.
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Net Investment Income | Net investment income for the three months ended March 31, 2016 and 2015, was from the following sources:
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Realized Gain (Loss) on Investments | Realized investment gains (losses), net, for the three months ended March 31, 2016 and 2015, were from the following sources:
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Accumulated Other Comprehensive Income Loss Table | The balance of and changes in each component of “Accumulated other comprehensive income (loss)” for the three months ended March 31, 2016 and 2015 are as follows:
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Reclassifications Out Of Accumulated Other Comprehensive Income |
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Net Unrealized Investment Gain (Loss) AOCI Rollforward |
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All Other Net Unrealized Investment Gain (Loss) AOCI Rollforward |
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Unrealized Gains and (Losses) on Investments | The table below presents net unrealized gains (losses) on investments by asset class as of the dates indicated:
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Duration Of Gross Unrealized Losses On Fixed Maturity Securities Disclosures | The following table shows the fair value and gross unrealized losses aggregated by investment category and length of time that individual fixed maturity securities and equity securities have been in a continuous unrealized loss position, as of the dates indicated:
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Fair Value of Assets and Liabilities (Tables) |
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring Basis | The tables below present the balances of assets and liabilities reported at fair value on a recurring basis, as of the dates indicated.
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Fair Value Level Three Amounts By Pricing Source | The tables below present the balances of Level 3 assets and liabilities measured at fair value with their corresponding pricing sources.
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Fair Value Inputs, Assets, Quantitative Information | The tables below present quantitative information on significant internally-priced Level 3 assets and liabilities.
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Fair Value Inputs, Liabilities, Quantitative Information | The tables below present quantitative information on significant internally-priced Level 3 assets and liabilities.
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Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The following tables provide summaries of the changes in fair values of Level 3 assets and liabilities as of the dates indicated, as well as the portion of gains or losses included in income attributable to unrealized gains or losses related to those assets and liabilities still held at the end of their respective periods.
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Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | The following tables provide summaries of the changes in fair values of Level 3 assets and liabilities as of the dates indicated, as well as the portion of gains or losses included in income attributable to unrealized gains or losses related to those assets and liabilities still held at the end of their respective periods.
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Fair Value Disclosure Financial Instruments Not Carried at Fair Value | The table below presents the carrying amount and fair value by fair value hierarchy level of certain financial instruments that are not reported at fair value. The financial instruments presented below are reported at carrying value on the Company’s Unaudited Interim Statements of Financial Position; however, in some cases, as described below, the carrying amount equals or approximates fair value.
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Derivative Instruments (Tables) |
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value | The table below provides a summary of the gross notional amount and fair value of derivatives contracts by the primary underlying, excluding embedded derivatives which are recorded with the associated host. Many derivative instruments contain multiple underlyings. The fair value amounts below represent the gross fair value of derivative contracts prior to taking into account the netting effects of master netting agreements, cash collateral held with the same counterparty, and non-performance risk.
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Offsetting of Financial Assets | The following table presents recognized derivative instruments (excluding embedded derivatives and associated reinsurance recoverables) that are offset in the Unaudited Interim Statements of Financial Position, and/or are subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset in the Unaudited Interim Statements of Financial Position.
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Offsetting of Financial Liabilities | The following table presents recognized derivative instruments (excluding embedded derivatives and associated reinsurance recoverables) that are offset in the Unaudited Interim Statements of Financial Position, and/or are subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset in the Unaudited Interim Statements of Financial Position.
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Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance | The following tables provide the financial statement classification and impact of derivatives used in qualifying and non-qualifying hedge relationships, excluding the offset of the hedged item in an effective hedge relationship.
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Schedule of Derivative Instruments Recognized in Accumulated Other Comprehensive Income(Loss) Before Taxes | Presented below is a rollforward of current period cash flow hedges in “Accumulated other comprehensive income (loss)” before taxes:
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Investments (Fixed Maturities Proceeds) (Details) - USD ($) $ in Thousands |
3 Months Ended | |
---|---|---|
Mar. 31, 2016 |
Mar. 31, 2015 |
|
Fixed maturities, available-for-sale | ||
Available For Sale | ||
Proceeds from sales | $ 30,474 | $ 4,736 |
Proceeds from maturities/repayments | 45,601 | 157,146 |
Gross investment gains from sales, prepayments and maturities | 86 | 1,902 |
Gross investment losses from sales and maturities | (295) | (31) |
Fixed maturity and equity security impairments | ||
Net Writedowns for OTTI losses on fixed maturities recognized in earnings | (1,937) | (9) |
Equity securities, available-for-sale | ||
Available For Sale | ||
Proceeds from sales | 0 | 0 |
Gross investment gains from sales, prepayments and maturities | 0 | 0 |
Gross investment losses from sales and maturities | 0 | 0 |
Fixed maturity and equity security impairments | ||
Writedowns for impairments on equity securities | $ 0 | $ 0 |
Investments (Credit Losses Recognized In Earnings on Fixed Maturity Securities Held by the Company) (Details) - USD ($) $ in Thousands |
3 Months Ended | |
---|---|---|
Mar. 31, 2016 |
Mar. 31, 2015 |
|
Credit losses recognized in earnings on fixed maturity securities | ||
Balance, beginning of period | $ 86 | $ 93 |
Credit loss impairments previously recognized on securities which matured, paid down, prepaid or were sold during the period | (3) | (5) |
Credit loss impairment recognized in the current period on securities not previously impaired | 1,189 | 0 |
Additional credit loss impairments recognized in the current period on securities previously impaired | 0 | 9 |
Increases due to the passage of time on previously recorded credit losses | 0 | 0 |
Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected | (1) | (3) |
Balance, end of period | $ 1,271 | $ 94 |
Investments (Trading Account Assets) (Details) - USD ($) $ in Thousands |
Mar. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Investments [Abstract] | ||
Cost | $ 5,470 | $ 5,618 |
Fair Value | $ 7,331 | $ 5,653 |
Investments (Narrative) (Details) - USD ($) $ in Millions |
3 Months Ended | 12 Months Ended | |
---|---|---|---|
Mar. 31, 2016 |
Mar. 31, 2015 |
Dec. 31, 2015 |
|
Investments [Abstract] | |||
Trading Securities, Change in Unrealized Holding Gain (Loss) (less than for 2015) | $ 1.8 | $ (0.1) | |
Investment [Line Items] | |||
% of Total | 100.00% | 100.00% | |
Gross unrealized losses related to high or highest quality securities | $ 12.6 | $ 22.6 | |
Gross unrealized losses related to other than high or highest quality securities | 13.8 | 12.1 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 12.3 | 18.8 | |
Corporate securities | |||
Investment [Line Items] | |||
Securities Loaned, Including Not Subject To Master Netting Arrangement And Assets Other Than Securities Transferred | $ 3.7 | $ 10.6 | |
California | |||
Investment [Line Items] | |||
% of Total | 23.00% | ||
New York | |||
Investment [Line Items] | |||
% of Total | 11.00% | ||
Texas | |||
Investment [Line Items] | |||
% of Total | 7.00% |
Investments (Impaired Loans) (Details) - USD ($) $ in Thousands |
3 Months Ended | 12 Months Ended |
---|---|---|
Mar. 31, 2016 |
Dec. 31, 2015 |
|
Valuation and Qualifying Accounts Disclosure [Line Items] | ||
Recorded Investment | $ 0 | $ 0 |
Unpaid Principal Balance | 0 | 0 |
Related Allowance | 0 | 0 |
Average Recorded Investment Before Allowance | 0 | 0 |
Interest Income Recognized | 0 | 0 |
With no related allowance recorded | ||
Valuation and Qualifying Accounts Disclosure [Line Items] | ||
Recorded Investment | 0 | 0 |
Unpaid Principal Balance | 0 | 0 |
Related Allowance | 0 | 0 |
Average Recorded Investment Before Allowance | 0 | 0 |
Interest Income Recognized | 0 | 0 |
With an allowance recorded | ||
Valuation and Qualifying Accounts Disclosure [Line Items] | ||
Recorded Investment | 0 | 0 |
Unpaid Principal Balance | 0 | 0 |
Related Allowance | 0 | 0 |
Average Recorded Investment Before Allowance | 0 | 0 |
Interest Income Recognized | $ 0 | $ 0 |
Investments (Realized Investment Gains Losses Net) (Details) - USD ($) $ in Thousands |
3 Months Ended | |
---|---|---|
Mar. 31, 2016 |
Mar. 31, 2015 |
|
Schedule Of Gain Loss On Investments [Line Items] | ||
Realized investment gains (losses), net | $ (14,242) | $ 13,475 |
Fixed maturities | ||
Schedule Of Gain Loss On Investments [Line Items] | ||
Realized investment gains (losses), net | (2,146) | 1,862 |
Equity securities | ||
Schedule Of Gain Loss On Investments [Line Items] | ||
Realized investment gains (losses), net | 0 | 0 |
Commercial mortgage and other loans | ||
Schedule Of Gain Loss On Investments [Line Items] | ||
Realized investment gains (losses), net | (6) | 75 |
Derivatives | ||
Schedule Of Gain Loss On Investments [Line Items] | ||
Realized investment gains (losses), net | (11,610) | 11,538 |
Other long-term investments | ||
Schedule Of Gain Loss On Investments [Line Items] | ||
Realized investment gains (losses), net | $ (480) | $ 0 |
Investments (Reclassifications of AOCI) (Details) - USD ($) $ in Thousands |
3 Months Ended | |
---|---|---|
Mar. 31, 2016 |
Mar. 31, 2015 |
|
Cash flow hedges—Currency/Interest rate | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income on Derivatives [Line Items] | ||
Amount Reclassified from AOCI | $ 391 | $ 232 |
Net unrealized investment gains (losses) on available-for-sale securities | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income on Derivatives [Line Items] | ||
Amount Reclassified from AOCI | (2,537) | 1,630 |
Total net unrealized investment gains (losses) | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income on Derivatives [Line Items] | ||
Amount Reclassified from AOCI | (2,146) | 1,862 |
Accumulated Other Comprehensive Income (Loss) | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income on Derivatives [Line Items] | ||
Amount Reclassified from AOCI | $ (2,146) | $ 1,862 |
Fair Value of Assets and Liabilities (Narrative) (Details) - USD ($) |
3 Months Ended | ||
---|---|---|---|
Mar. 31, 2016 |
Mar. 31, 2015 |
Dec. 31, 2015 |
|
Fair Value Disclosures [Abstract] | |||
Fair Value of Level 3 Derivatives | $ 0 | $ 1,600,000 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Transfers Between Level 1 and Level 2 | 0 | $ 0 | |
Accounting Standards Update 2015-07 | Other long-term investments | Level 3 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Investments, Fair Value Disclosure | $ 500,000 | $ 600,000 |
Derivative Instruments (Offsetting Assets and Liabilities) (Details) - USD ($) $ in Thousands |
Mar. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Offsetting Assets [Line Items] | ||
Gross Amounts of Recognized Financial Instruments | $ 191,853 | $ 136,775 |
Offsetting Liabilities [Line Items] | ||
Gross Amounts of Recognized Financial Instruments | 52,818 | 25,277 |
Counterparty A | ||
Offsetting Assets [Line Items] | ||
Gross Amounts of Recognized Financial Instruments | 191,853 | 135,210 |
Gross Amounts Offset in the Statements of Financial Position | (38,525) | (21,508) |
Net Amounts Presented in the Statements of Financial Position | 153,328 | 113,702 |
Financial Instruments/Collateral | (141,420) | (101,288) |
Net Amount | 11,908 | 12,414 |
Offsetting Liabilities [Line Items] | ||
Gross Amounts of Recognized Financial Instruments | 52,818 | 25,277 |
Gross Amounts Offset in the Statements of Financial Position | (52,818) | (25,277) |
Net Amounts Presented in the Statements of Financial Position | 0 | 0 |
Financial Instruments/Collateral | 0 | 0 |
Net Amount | $ 0 | $ 0 |
Derivative Instruments (Current Period Cash Flow Hedges in AOCI (loss) before Taxes) (Details) $ in Thousands |
3 Months Ended |
---|---|
Mar. 31, 2016
USD ($)
| |
AOCI Attributable to Parent, Net of Tax [Roll Forward] | |
Beginning Balance | $ 14,847 |
Net deferred gains (losses) on cash flow hedges from January 1 to March 31, 2016 | (3,792) |
Amounts reclassified into current period earnings | (391) |
Ending Balance | $ 10,664 |
Derivative Instruments (Narrative) (Details) $ in Millions |
3 Months Ended |
---|---|
Mar. 31, 2016
USD ($)
| |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Cash Flow Hedge Gain (Loss) to be Reclassified within Twelve Months | $ 1 |
Maximum length of time hedged in cash flow hedge (in years) | 17 years |
Commitments, Contingent Liabilities And Litigation And Regulatory Matters (Narrative Excluding Litigation) (Details) - USD ($) $ in Millions |
Mar. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Commitments And Guarantees And Contingent Liabilities [Abstract] | ||
Total outstanding mortgage loan commitments | $ 28 | $ 5 |
Obligation to purchase or fund investments | $ 31 | $ 36 |
Commitments, Contingent Liabilities And Litigation And Regulatory Matters (Litigation Narrative) (Details) |
Mar. 31, 2016
USD ($)
|
---|---|
Minimum | |
Loss Contingencies [Line Items] | |
Estimate of possible losses in excess of accruals | $ 0 |
Maximum | |
Loss Contingencies [Line Items] | |
Estimate of possible losses in excess of accruals | $ 3,000,000 |
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