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Share Name | Share Symbol | Market | Type |
---|---|---|---|
American Equity Investment Life Holding Company | NYSE:AEL | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.10 | 0.18% | 56.31 | 56.385 | 56.20 | 56.21 | 337,968 | 01:00:00 |
x
|
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
o
|
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
Iowa
|
|
42-1447959
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(State of Incorporation)
|
|
(I.R.S. Employer Identification No.)
|
|
|
|
6000 Westown Parkway
West Des Moines, Iowa
|
|
50266
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(Address of principal executive offices)
|
|
(Zip Code)
|
|
|
|
Registrant's telephone number, including area code
|
|
(515) 221-0002
|
|
|
(Telephone)
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Title of each class
|
|
Name of each exchange on which registered
|
Common Stock, par value $1
|
|
New York Stock Exchange
|
Large accelerated filer
o
|
|
Accelerated filer
x
|
Non-accelerated filer
o
|
|
Smaller reporting company
o
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(Do not check if a smaller reporting company)
|
|
|
|
Page
|
|
|
|
|
|
|
|
|
|
March 31, 2012
|
|
December 31, 2011
|
||||
|
(Unaudited)
|
|
|
||||
Assets
|
|
|
|
||||
Investments:
|
|
|
|
||||
Fixed maturity securities:
|
|
|
|
||||
Available for sale, at fair value (amortized cost: 2012 - $17,738,411; 2011 - $16,980,279)
|
$
|
19,007,153
|
|
|
$
|
18,464,109
|
|
Held for investment, at amortized cost (fair value: 2012 - $1,521,790; 2011 - $2,644,422)
|
1,531,763
|
|
|
2,644,206
|
|
||
Equity securities, available for sale, at fair value (cost: 2012 - $56,396; 2011 - $58,438)
|
65,227
|
|
|
62,845
|
|
||
Mortgage loans on real estate
|
2,756,392
|
|
|
2,823,047
|
|
||
Derivative instruments
|
558,610
|
|
|
273,314
|
|
||
Other investments
|
115,594
|
|
|
115,930
|
|
||
Total investments
|
24,034,739
|
|
|
24,383,451
|
|
||
|
|
|
|
||||
Cash and cash equivalents
|
2,527,113
|
|
|
404,952
|
|
||
Coinsurance deposits
|
2,902,172
|
|
|
2,818,642
|
|
||
Accrued investment income
|
236,622
|
|
|
228,937
|
|
||
Deferred policy acquisition costs
|
1,820,153
|
|
|
1,683,857
|
|
||
Deferred sales inducements
|
1,352,771
|
|
|
1,242,787
|
|
||
Deferred income taxes
|
60,528
|
|
|
21,981
|
|
||
Income taxes recoverable
|
—
|
|
|
8,441
|
|
||
Other assets
|
104,435
|
|
|
81,671
|
|
||
Total assets
|
$
|
33,038,533
|
|
|
$
|
30,874,719
|
|
|
|
|
|
||||
Liabilities and Stockholders' Equity
|
|
|
|
||||
Liabilities:
|
|
|
|
||||
Policy benefit reserves
|
$
|
29,255,621
|
|
|
$
|
28,118,716
|
|
Other policy funds and contract claims
|
418,818
|
|
|
400,594
|
|
||
Notes payable
|
300,567
|
|
|
297,608
|
|
||
Subordinated debentures
|
268,574
|
|
|
268,593
|
|
||
Income taxes payable
|
9,000
|
|
|
—
|
|
||
Other liabilities
|
1,412,369
|
|
|
380,529
|
|
||
Total liabilities
|
31,664,949
|
|
|
29,466,040
|
|
||
|
|
|
|
||||
Stockholders' equity:
|
|
|
|
||||
Preferred stock, no par value, 2,000,000 shares authorized, 2012 and 2011 no shares issued and outstanding
|
—
|
|
|
—
|
|
||
Common stock, par value $1 per share, 125,000,000 shares authorized; issued and outstanding:
2012 - 58,621,637 shares (excluding 5,124,749 treasury shares);
2011 - 57,836,540 shares (excluding 5,616,595 treasury shares)
|
58,622
|
|
|
57,837
|
|
||
Additional paid-in capital
|
470,079
|
|
|
468,281
|
|
||
Unallocated common stock held by ESOP; 2012 - 336,093 shares; 2011 - 336,093 shares
|
(3,287
|
)
|
|
(3,620
|
)
|
||
Accumulated other comprehensive income
|
408,747
|
|
|
457,229
|
|
||
Retained earnings
|
439,423
|
|
|
428,952
|
|
||
Total stockholders' equity
|
1,373,584
|
|
|
1,408,679
|
|
||
Total liabilities and stockholders' equity
|
$
|
33,038,533
|
|
|
$
|
30,874,719
|
|
|
Three Months Ended March 31,
|
||||||
|
2012
|
|
2011
|
||||
Revenues:
|
|
|
|
||||
Traditional life insurance premiums
|
$
|
3,222
|
|
|
$
|
2,916
|
|
Annuity product charges
|
19,393
|
|
|
16,962
|
|
||
Net investment income
|
326,910
|
|
|
292,128
|
|
||
Change in fair value of derivatives
|
259,161
|
|
|
148,653
|
|
||
Net realized losses on investments, excluding other than temporary impairment ("OTTI") losses
|
(6,076
|
)
|
|
(1,193
|
)
|
||
OTTI losses on investments:
|
|
|
|
||||
Total OTTI losses
|
(1,781
|
)
|
|
(5,100
|
)
|
||
Portion of OTTI losses recognized from other comprehensive income
|
(1,100
|
)
|
|
(1,471
|
)
|
||
Net OTTI losses recognized in operations
|
(2,881
|
)
|
|
(6,571
|
)
|
||
Total revenues
|
599,729
|
|
|
452,895
|
|
||
|
|
|
|
||||
Benefits and expenses:
|
|
|
|
||||
Insurance policy benefits and change in future policy benefits
|
2,117
|
|
|
1,895
|
|
||
Interest sensitive and index product benefits
|
139,123
|
|
|
159,665
|
|
||
Amortization of deferred sales inducements
|
16,710
|
|
|
30,692
|
|
||
Change in fair value of embedded derivatives
|
359,066
|
|
|
128,303
|
|
||
Interest expense on notes payable
|
6,995
|
|
|
7,907
|
|
||
Interest expense on subordinated debentures
|
3,586
|
|
|
3,466
|
|
||
Interest expense on amounts due under repurchase agreements
|
—
|
|
|
4
|
|
||
Amortization of deferred policy acquisition costs
|
34,284
|
|
|
55,223
|
|
||
Other operating costs and expenses
|
21,713
|
|
|
17,474
|
|
||
Total benefits and expenses
|
583,594
|
|
|
404,629
|
|
||
Income before income taxes
|
16,135
|
|
|
48,266
|
|
||
Income tax expense
|
5,664
|
|
|
16,923
|
|
||
Net income
|
10,471
|
|
|
31,343
|
|
||
|
|
|
|
||||
Earnings per common share
|
$
|
0.18
|
|
|
$
|
0.53
|
|
Earnings per common share - assuming dilution
|
$
|
0.16
|
|
|
$
|
0.48
|
|
Weighted average common shares outstanding (in thousands):
|
|
|
|
||||
Earnings per common share
|
59,701
|
|
|
59,182
|
|
||
Earnings per common share - assuming dilution
|
65,930
|
|
|
65,711
|
|
|
Three Months Ended March 31,
|
||||||
|
2012
|
|
2011
|
||||
|
|
|
|
||||
Net income
|
$
|
10,471
|
|
|
$
|
31,343
|
|
Other comprehensive loss:
|
|
|
|
||||
Change in net unrealized investment gains/losses (1)
|
(74,975
|
)
|
|
(22,553
|
)
|
||
Noncredit component of OTTI losses (1)
|
389
|
|
|
644
|
|
||
Other comprehensive loss before income tax
|
(74,586
|
)
|
|
(21,909
|
)
|
||
Income tax effect related to other comprehensive loss
|
26,104
|
|
|
7,668
|
|
||
Other comprehensive loss
|
(48,482
|
)
|
|
(14,241
|
)
|
||
Comprehensive income (loss)
|
$
|
(38,011
|
)
|
|
$
|
17,102
|
|
|
Common
Stock
|
|
Additional
Paid-in
Capital
|
|
Unallocated
Common
Stock Held
by ESOP
|
|
Accumulated
Other
Comprehensive
Income |
|
Retained
Earnings
|
|
Total
Stockholders'
Equity
|
||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Balance at December 31, 2011
|
$
|
57,837
|
|
|
$
|
468,281
|
|
|
$
|
(3,620
|
)
|
|
$
|
457,229
|
|
|
$
|
428,952
|
|
|
$
|
1,408,679
|
|
Net income for period
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
10,471
|
|
|
10,471
|
|
||||||
Other comprehensive loss
|
—
|
|
|
—
|
|
|
—
|
|
|
(48,482
|
)
|
|
—
|
|
|
(48,482
|
)
|
||||||
Conversion of $60 of subordinated debentures
|
7
|
|
|
49
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
56
|
|
||||||
Allocation of 30,903 shares of common stock by ESOP, including excess income tax benefits
|
—
|
|
|
22
|
|
|
333
|
|
|
—
|
|
|
—
|
|
|
355
|
|
||||||
Share-based compensation, including excess income tax benefits
|
—
|
|
|
1,774
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,774
|
|
||||||
Issuance of 777,690 shares of common stock under compensation plans, including excess income tax benefits
|
778
|
|
|
(47
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
731
|
|
||||||
Balance at March 31, 2012
|
$
|
58,622
|
|
|
$
|
470,079
|
|
|
$
|
(3,287
|
)
|
|
$
|
408,747
|
|
|
$
|
439,423
|
|
|
$
|
1,373,584
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Balance at December 31, 2010
|
$
|
56,968
|
|
|
$
|
454,454
|
|
|
$
|
(4,815
|
)
|
|
$
|
81,820
|
|
|
$
|
349,620
|
|
|
$
|
938,047
|
|
Net income for period
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
31,343
|
|
|
31,343
|
|
||||||
Other comprehensive loss
|
—
|
|
|
—
|
|
|
—
|
|
|
(14,241
|
)
|
|
—
|
|
|
(14,241
|
)
|
||||||
Allocation of 24,492 shares of common stock by ESOP, including excess income tax benefits
|
—
|
|
|
37
|
|
|
264
|
|
|
—
|
|
|
—
|
|
|
301
|
|
||||||
Share-based compensation, including excess income tax benefits
|
—
|
|
|
2,630
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,630
|
|
||||||
Issuance of 719,979 shares of common stock under compensation plans, including excess income tax benefits
|
720
|
|
|
2,377
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,097
|
|
||||||
Balance at March 31, 2011
|
$
|
57,688
|
|
|
$
|
459,498
|
|
|
$
|
(4,551
|
)
|
|
$
|
67,579
|
|
|
$
|
380,963
|
|
|
$
|
961,177
|
|
|
Three Months Ended March 31,
|
||||||
|
2012
|
|
2011
|
||||
Operating activities
|
|
|
|
||||
Net income
|
$
|
10,471
|
|
|
$
|
31,343
|
|
Adjustments to reconcile net income to net cash provided by operating activities:
|
|
|
|
||||
Interest sensitive and index product benefits
|
139,123
|
|
|
159,665
|
|
||
Amortization of deferred sales inducements
|
16,710
|
|
|
30,692
|
|
||
Annuity product charges
|
(19,393
|
)
|
|
(16,962
|
)
|
||
Change in fair value of embedded derivatives
|
359,066
|
|
|
128,303
|
|
||
Increase in traditional life and accident and health insurance reserves
|
6,032
|
|
|
24,356
|
|
||
Policy acquisition costs deferred
|
(91,177
|
)
|
|
(117,501
|
)
|
||
Amortization of deferred policy acquisition costs
|
34,284
|
|
|
55,223
|
|
||
Provision for depreciation and other amortization
|
4,547
|
|
|
4,515
|
|
||
Amortization of discounts and premiums on investments
|
(39,738
|
)
|
|
(45,564
|
)
|
||
Realized gains/losses on investments and net OTTI losses recognized in operations
|
8,957
|
|
|
7,764
|
|
||
Change in fair value of derivatives
|
(259,161
|
)
|
|
(149,241
|
)
|
||
Deferred income taxes
|
(12,443
|
)
|
|
(41,597
|
)
|
||
Share-based compensation
|
1,106
|
|
|
1,719
|
|
||
Change in accrued investment income
|
(7,685
|
)
|
|
(30,003
|
)
|
||
Change in income taxes recoverable/payable
|
17,441
|
|
|
56,581
|
|
||
Change in other assets
|
(682
|
)
|
|
253
|
|
||
Change in other policy funds and contract claims
|
18,224
|
|
|
45,816
|
|
||
Change in collateral held for derivatives
|
292,043
|
|
|
122,437
|
|
||
Change in other liabilities
|
(19,523
|
)
|
|
(28,408
|
)
|
||
Other
|
(482
|
)
|
|
318
|
|
||
Net cash provided by operating activities
|
457,720
|
|
|
239,709
|
|
||
|
|
|
|
||||
Investing activities
|
|
|
|
||||
Sales, maturities, or repayments of investments:
|
|
|
|
||||
Fixed maturity securities - available for sale
|
965,283
|
|
|
1,732,408
|
|
||
Fixed maturity securities - held for investment
|
1,140,816
|
|
|
—
|
|
||
Equity securities - available for sale
|
2,605
|
|
|
—
|
|
||
Mortgage loans on real estate
|
99,199
|
|
|
52,768
|
|
||
Derivative instruments
|
57,015
|
|
|
97,878
|
|
||
Other investments
|
4,568
|
|
|
—
|
|
||
Acquisition of investments:
|
|
|
|
||||
Fixed maturity securities - available for sale
|
(988,547
|
)
|
|
(1,824,696
|
)
|
||
Fixed maturity securities - held for investment
|
—
|
|
|
(760,505
|
)
|
||
Equity securities - available for sale
|
—
|
|
|
(1,600
|
)
|
||
Mortgage loans on real estate
|
(43,678
|
)
|
|
(191,583
|
)
|
||
Derivative instruments
|
(83,201
|
)
|
|
(83,409
|
)
|
||
Other investments
|
(17
|
)
|
|
(33
|
)
|
||
Purchases of property, furniture and equipment
|
(191
|
)
|
|
(2,656
|
)
|
||
Net cash provided by (used in) investing activities
|
1,153,852
|
|
|
(981,428
|
)
|
|
Three Months Ended March 31,
|
||||||
|
2012
|
|
2011
|
||||
Financing activities
|
|
|
|
||||
Receipts credited to annuity and single premium universal life policyholder account balances
|
$
|
979,445
|
|
|
$
|
1,341,844
|
|
Coinsurance deposits
|
(49,478
|
)
|
|
(16,207
|
)
|
||
Return of annuity policyholder account balances
|
(414,521
|
)
|
|
(438,371
|
)
|
||
Financing fees incurred and deferred
|
—
|
|
|
(1,566
|
)
|
||
Excess tax benefits realized from share-based compensation plans
|
665
|
|
|
935
|
|
||
Proceeds from issuance of common stock
|
721
|
|
|
3,052
|
|
||
Change in checks in excess of cash balance
|
(6,243
|
)
|
|
1,003
|
|
||
Net cash provided by financing activities
|
510,589
|
|
|
890,690
|
|
||
Increase in cash and cash equivalents
|
2,122,161
|
|
|
148,971
|
|
||
Cash and cash equivalents at beginning of period
|
404,952
|
|
|
597,766
|
|
||
Cash and cash equivalents at end of period
|
$
|
2,527,113
|
|
|
$
|
746,737
|
|
|
|
|
|
||||
Supplemental disclosures of cash flow information
|
|
|
|
||||
Cash paid during period for:
|
|
|
|
||||
Interest expense
|
$
|
7,014
|
|
|
$
|
6,792
|
|
Income taxes
|
—
|
|
|
1,000
|
|
||
Non-cash operating activity:
|
|
|
|
||||
Deferral of sales inducements
|
70,019
|
|
|
106,249
|
|
||
Non-cash investing activity:
|
|
|
|
||||
Real estate acquired in satisfaction of mortgage loans
|
3,303
|
|
|
3,781
|
|
||
Non-cash financing activities:
|
|
|
|
||||
Conversion of subordinated debentures
|
60
|
|
|
—
|
|
|
March 31, 2012
|
|
December 31, 2011
|
||||||||||||
|
Carrying
Amount
|
|
Fair Value
|
|
Carrying
Amount
|
|
Fair Value
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
Assets
|
|
|
|
|
|
|
|
||||||||
Fixed maturity securities:
|
|
|
|
|
|
|
|
||||||||
Available for sale
|
$
|
19,007,153
|
|
|
$
|
19,007,153
|
|
|
$
|
18,464,109
|
|
|
$
|
18,464,109
|
|
Held for investment
|
1,531,763
|
|
|
1,521,790
|
|
|
2,644,206
|
|
|
2,644,422
|
|
||||
Equity securities, available for sale
|
65,227
|
|
|
65,227
|
|
|
62,845
|
|
|
62,845
|
|
||||
Mortgage loans on real estate
|
2,756,392
|
|
|
2,980,414
|
|
|
2,823,047
|
|
|
3,030,308
|
|
||||
Derivative instruments
|
558,610
|
|
|
558,610
|
|
|
273,314
|
|
|
273,314
|
|
||||
Other investments
|
79,769
|
|
|
77,297
|
|
|
79,109
|
|
|
76,648
|
|
||||
Cash and cash equivalents
|
2,527,113
|
|
|
2,527,113
|
|
|
404,952
|
|
|
404,952
|
|
||||
Coinsurance deposits
|
2,902,172
|
|
|
2,622,586
|
|
|
2,818,642
|
|
|
2,549,025
|
|
||||
Interest rate swaps
|
890
|
|
|
890
|
|
|
—
|
|
|
—
|
|
||||
2015 notes hedges
|
62,344
|
|
|
62,344
|
|
|
45,593
|
|
|
45,593
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
||||||||
Policy benefit reserves
|
28,969,453
|
|
|
24,077,557
|
|
|
27,842,770
|
|
|
23,407,540
|
|
||||
Single premium immediate annuity (SPIA) benefit reserves
|
418,143
|
|
|
433,803
|
|
|
397,248
|
|
|
412,998
|
|
||||
Notes payable
|
300,567
|
|
|
432,539
|
|
|
297,608
|
|
|
376,370
|
|
||||
Subordinated debentures
|
268,574
|
|
|
245,648
|
|
|
268,593
|
|
|
233,809
|
|
||||
2015 notes embedded derivatives
|
62,344
|
|
|
62,344
|
|
|
45,593
|
|
|
45,593
|
|
Level 1—
|
Quoted prices are available in active markets for identical financial instruments as of the reporting date. We do not adjust the quoted price for these financial instruments, even in situations where we hold a large position and a sale could reasonably impact the quoted price.
|
Level 2—
|
Quoted prices in active markets for similar financial instruments, quoted prices for identical or similar financial instruments in markets that are not active; and models and other valuation methodologies using inputs other than quoted prices that are observable.
|
Level 3—
|
Models and other valuation methodologies using significant inputs that are unobservable for financial instruments and include situations where there is little, if any, market activity for the financial instrument. The inputs into the determination of fair value require significant management judgment or estimation. Financial instruments that are included in Level 3 are securities for which no market activity or data exists and for which we used discounted expected future cash flows with our own assumptions about what a market participant would use in determining fair value.
|
|
Total
Fair Value
|
|
Quoted
Prices in
Active
Markets
(Level 1)
|
|
Significant
Other
Observable
Inputs
(Level 2)
|
|
Significant
Unobservable
Inputs
(Level 3)
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
March 31, 2012
|
|
|
|
|
|
|
|
||||||||
Assets
|
|
|
|
|
|
|
|
||||||||
Fixed maturity securities:
|
|
|
|
|
|
|
|
||||||||
Available for sale:
|
|
|
|
|
|
|
|
||||||||
United States Government full faith and credit
|
$
|
4,586
|
|
|
$
|
4,586
|
|
|
$
|
—
|
|
|
$
|
—
|
|
United States Government sponsored agencies
|
1,680,889
|
|
|
—
|
|
|
1,680,889
|
|
|
—
|
|
||||
United States municipalities, states and territories
|
3,331,165
|
|
|
—
|
|
|
3,331,165
|
|
|
—
|
|
||||
Foreign government obligations
|
43,713
|
|
|
—
|
|
|
43,713
|
|
|
—
|
|
||||
Corporate securities
|
10,852,808
|
|
|
59,446
|
|
|
10,793,362
|
|
|
—
|
|
||||
Residential mortgage backed securities
|
2,583,699
|
|
|
—
|
|
|
2,581,672
|
|
|
2,027
|
|
||||
Other asset backed securities
|
510,293
|
|
|
373
|
|
|
509,920
|
|
|
—
|
|
||||
Equity securities, available for sale: finance, insurance and real estate
|
65,227
|
|
|
45,533
|
|
|
19,694
|
|
|
—
|
|
||||
Derivative instruments
|
558,610
|
|
|
—
|
|
|
558,610
|
|
|
—
|
|
||||
Cash and cash equivalents
|
2,527,113
|
|
|
2,527,113
|
|
|
—
|
|
|
—
|
|
||||
Interest rate swaps
|
890
|
|
|
—
|
|
|
890
|
|
|
—
|
|
||||
2015 notes hedges
|
62,334
|
|
|
—
|
|
|
62,334
|
|
|
—
|
|
||||
|
$
|
22,158,993
|
|
|
$
|
2,637,051
|
|
|
$
|
19,519,915
|
|
|
$
|
2,027
|
|
Liabilities
|
|
|
|
|
|
|
|
||||||||
2015 notes embedded derivatives
|
$
|
62,334
|
|
|
$
|
—
|
|
|
$
|
62,334
|
|
|
$
|
—
|
|
Fixed index annuities - embedded derivatives
|
2,921,037
|
|
|
—
|
|
|
—
|
|
|
2,921,037
|
|
||||
|
$
|
2,983,371
|
|
|
$
|
—
|
|
|
$
|
62,334
|
|
|
$
|
2,921,037
|
|
|
|
|
|
|
|
|
|
||||||||
December 31, 2011
|
|
|
|
|
|
|
|
||||||||
Assets
|
|
|
|
|
|
|
|
||||||||
Fixed maturity securities:
|
|
|
|
|
|
|
|
||||||||
Available for sale:
|
|
|
|
|
|
|
|
||||||||
United States Government full faith and credit
|
$
|
4,678
|
|
|
$
|
4,678
|
|
|
$
|
—
|
|
|
$
|
—
|
|
United States Government sponsored agencies
|
1,799,779
|
|
|
—
|
|
|
1,799,779
|
|
|
—
|
|
||||
United States municipalities, states and territories
|
3,333,383
|
|
|
—
|
|
|
3,333,383
|
|
|
—
|
|
||||
Foreign government obligations
|
43,228
|
|
|
—
|
|
|
43,228
|
|
|
—
|
|
||||
Corporate securities
|
10,116,361
|
|
|
58,827
|
|
|
10,057,534
|
|
|
—
|
|
||||
Residential mortgage backed securities
|
2,703,290
|
|
|
—
|
|
|
2,701,192
|
|
|
2,098
|
|
||||
Other asset backed securities
|
463,390
|
|
|
370
|
|
|
463,020
|
|
|
—
|
|
||||
Equity securities, available for sale: finance, insurance and real estate
|
62,845
|
|
|
44,229
|
|
|
18,616
|
|
|
—
|
|
||||
Derivative instruments
|
273,314
|
|
|
—
|
|
|
273,314
|
|
|
—
|
|
||||
Cash and cash equivalents
|
404,952
|
|
|
404,952
|
|
|
—
|
|
|
—
|
|
||||
2015 notes hedges
|
45,593
|
|
|
—
|
|
|
45,593
|
|
|
—
|
|
||||
|
$
|
19,250,813
|
|
|
$
|
513,056
|
|
|
$
|
18,735,659
|
|
|
$
|
2,098
|
|
Liabilities
|
|
|
|
|
|
|
|
||||||||
2015 notes embedded derivatives
|
45,593
|
|
|
—
|
|
|
45,593
|
|
|
—
|
|
||||
Fixed index annuities - embedded derivatives
|
2,530,496
|
|
|
—
|
|
|
—
|
|
|
2,530,496
|
|
||||
|
$
|
2,576,089
|
|
|
$
|
—
|
|
|
$
|
45,593
|
|
|
$
|
2,530,496
|
|
•
|
reported trading prices,
|
•
|
benchmark yields
|
•
|
broker-dealer quotes,
|
•
|
benchmark securities,
|
•
|
bids and offers,
|
•
|
credit ratings,
|
•
|
relative credit information, and
|
•
|
other reference data.
|
|
Three Months Ended March 31,
|
||||||
|
2012
|
|
2011
|
||||
|
(Dollars in thousands)
|
||||||
Available for sale securities
|
|
|
|
||||
Beginning balance
|
$
|
2,098
|
|
|
$
|
2,702
|
|
Purchases
|
—
|
|
|
1,600
|
|
||
Principal returned
|
(41
|
)
|
|
(188
|
)
|
||
(Amortization)/accretion of premium/discount
|
26
|
|
|
12
|
|
||
Total gains (losses) (realized/unrealized):
|
|
|
|
||||
Included in other comprehensive income (loss)
|
102
|
|
|
175
|
|
||
Included in operations
|
(158
|
)
|
|
—
|
|
||
Ending balance
|
$
|
2,027
|
|
|
$
|
4,301
|
|
|
Three Months Ended March 31,
|
||||||
|
2012
|
|
2011
|
||||
|
(Dollars in thousands)
|
||||||
Fixed index annuities - embedded derivatives
|
|
|
|
||||
Beginning balance
|
$
|
2,530,496
|
|
|
$
|
1,971,383
|
|
Premiums less benefits
|
84,226
|
|
|
215,943
|
|
||
Change in unrealized gains, net
|
306,315
|
|
|
54,674
|
|
||
Ending balance
|
$
|
2,921,037
|
|
|
$
|
2,242,000
|
|
|
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Fair Value
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
March 31, 2012
|
|
|
|
|
|
|
|
||||||||
Fixed maturity securities:
|
|
|
|
|
|
|
|
||||||||
Available for sale:
|
|
|
|
|
|
|
|
||||||||
United States Government full faith and credit
|
$
|
4,084
|
|
|
$
|
502
|
|
|
$
|
—
|
|
|
$
|
4,586
|
|
United States Government sponsored agencies
|
1,669,737
|
|
|
12,903
|
|
|
(1,751
|
)
|
|
1,680,889
|
|
||||
United States municipalities, states and territories
|
3,015,682
|
|
|
316,645
|
|
|
(1,162
|
)
|
|
3,331,165
|
|
||||
Foreign government obligations
|
36,387
|
|
|
7,326
|
|
|
—
|
|
|
43,713
|
|
||||
Corporate securities
|
9,982,373
|
|
|
932,175
|
|
|
(61,740
|
)
|
|
10,852,808
|
|
||||
Residential mortgage backed securities
|
2,529,727
|
|
|
131,170
|
|
|
(77,198
|
)
|
|
2,583,699
|
|
||||
Other asset backed securities
|
500,421
|
|
|
17,352
|
|
|
(7,480
|
)
|
|
510,293
|
|
||||
|
$
|
17,738,411
|
|
|
$
|
1,418,073
|
|
|
$
|
(149,331
|
)
|
|
$
|
19,007,153
|
|
Held for investment:
|
|
|
|
|
|
|
|
||||||||
United States Government sponsored agencies
|
$
|
1,455,793
|
|
|
$
|
7,761
|
|
|
$
|
—
|
|
|
$
|
1,463,554
|
|
Corporate security
|
75,970
|
|
|
—
|
|
|
(17,734
|
)
|
|
58,236
|
|
||||
|
$
|
1,531,763
|
|
|
$
|
7,761
|
|
|
$
|
(17,734
|
)
|
|
$
|
1,521,790
|
|
Equity securities, available for sale:
|
|
|
|
|
|
|
|
||||||||
Finance, insurance, and real estate
|
$
|
56,396
|
|
|
$
|
9,900
|
|
|
$
|
(1,069
|
)
|
|
$
|
65,227
|
|
|
|
|
|
|
|
|
|
||||||||
December 31, 2011
|
|
|
|
|
|
|
|
||||||||
Fixed maturity securities:
|
|
|
|
|
|
|
|
||||||||
Available for sale:
|
|
|
|
|
|
|
|
||||||||
United States Government full faith and credit
|
$
|
4,084
|
|
|
$
|
594
|
|
|
$
|
—
|
|
|
$
|
4,678
|
|
United States Government sponsored agencies
|
1,780,401
|
|
|
19,378
|
|
|
—
|
|
|
1,799,779
|
|
||||
United States municipalities, states and territories
|
2,981,699
|
|
|
351,694
|
|
|
(10
|
)
|
|
3,333,383
|
|
||||
Foreign government obligations
|
36,373
|
|
|
6,855
|
|
|
—
|
|
|
43,228
|
|
||||
Corporate securities
|
9,117,173
|
|
|
1,079,422
|
|
|
(80,234
|
)
|
|
10,116,361
|
|
||||
Residential mortgage backed securities
|
2,618,040
|
|
|
157,331
|
|
|
(72,081
|
)
|
|
2,703,290
|
|
||||
Other asset backed securities
|
442,509
|
|
|
26,492
|
|
|
(5,611
|
)
|
|
463,390
|
|
||||
|
$
|
16,980,279
|
|
|
$
|
1,641,766
|
|
|
$
|
(157,936
|
)
|
|
$
|
18,464,109
|
|
Held for investment:
|
|
|
|
|
|
|
|
||||||||
United States Government sponsored agencies
|
$
|
2,568,274
|
|
|
$
|
16,806
|
|
|
$
|
—
|
|
|
$
|
2,585,080
|
|
Corporate security
|
75,932
|
|
|
—
|
|
|
(16,590
|
)
|
|
59,342
|
|
||||
|
$
|
2,644,206
|
|
|
$
|
16,806
|
|
|
$
|
(16,590
|
)
|
|
$
|
2,644,422
|
|
Equity securities, available for sale:
|
|
|
|
|
|
|
|
||||||||
Finance, insurance, and real estate
|
$
|
58,438
|
|
|
$
|
8,752
|
|
|
$
|
(4,345
|
)
|
|
$
|
62,845
|
|
|
Available for sale
|
|
Held for investment
|
||||||||||||
|
Amortized
Cost
|
|
Fair Value
|
|
Amortized
Cost
|
|
Fair Value
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
Due in one year or less
|
$
|
54,155
|
|
|
$
|
56,064
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Due after one year through five years
|
478,530
|
|
|
537,796
|
|
|
—
|
|
|
—
|
|
||||
Due after five years through ten years
|
2,902,552
|
|
|
3,144,559
|
|
|
—
|
|
|
—
|
|
||||
Due after ten years through twenty years
|
4,321,964
|
|
|
4,622,946
|
|
|
—
|
|
|
—
|
|
||||
Due after twenty years
|
6,951,062
|
|
|
7,551,796
|
|
|
1,531,763
|
|
|
1,521,790
|
|
||||
|
14,708,263
|
|
|
15,913,161
|
|
|
1,531,763
|
|
|
1,521,790
|
|
||||
Residential mortgage backed securities
|
2,529,727
|
|
|
2,583,699
|
|
|
—
|
|
|
—
|
|
||||
Other asset backed securities
|
500,421
|
|
|
510,293
|
|
|
—
|
|
|
—
|
|
||||
|
$
|
17,738,411
|
|
|
$
|
19,007,153
|
|
|
$
|
1,531,763
|
|
|
$
|
1,521,790
|
|
|
March 31,
2012 |
|
December 31,
2011 |
||||
|
(Dollars in thousands)
|
||||||
Net unrealized gains on available for sale fixed maturity securities and equity securities
|
$
|
1,277,573
|
|
|
$
|
1,488,237
|
|
Adjustments for assumed changes in amortization of deferred policy acquisition costs and deferred sales inducements
|
(683,398
|
)
|
|
(819,476
|
)
|
||
Deferred income tax valuation allowance reversal
|
22,534
|
|
|
22,534
|
|
||
Deferred income tax benefit
|
(207,962
|
)
|
|
(234,066
|
)
|
||
Net unrealized gains reported as accumulated other comprehensive income
|
$
|
408,747
|
|
|
$
|
457,229
|
|
|
|
March 31, 2012
|
|
December 31, 2011
|
||||||||||||
NAIC
Designation
|
|
Amortized Cost
|
|
|
Fair Value
|
|
Amortized Cost
|
|
Fair Value
|
|||||||
|
|
(Dollars in thousands)
|
||||||||||||||
1
|
|
$
|
13,459,266
|
|
|
$
|
14,395,046
|
|
|
$
|
14,359,272
|
|
|
$
|
15,486,571
|
|
2
|
|
5,477,252
|
|
|
5,821,823
|
|
|
4,894,739
|
|
|
5,272,759
|
|
||||
3
|
|
302,139
|
|
|
280,833
|
|
|
335,642
|
|
|
315,406
|
|
||||
4
|
|
22,851
|
|
|
21,137
|
|
|
26,674
|
|
|
23,989
|
|
||||
5
|
|
5,613
|
|
|
5,872
|
|
|
4,932
|
|
|
5,756
|
|
||||
6
|
|
3,053
|
|
|
4,232
|
|
|
3,226
|
|
|
4,050
|
|
||||
|
|
$
|
19,270,174
|
|
|
$
|
20,528,943
|
|
|
$
|
19,624,485
|
|
|
$
|
21,108,531
|
|
|
Less than 12 months
|
|
12 months or more
|
|
Total
|
||||||||||||||||||
|
Fair Value
|
|
Unrealized
Losses
|
|
Fair Value
|
|
Unrealized
Losses
|
|
Fair Value
|
|
Unrealized
Losses
|
||||||||||||
|
(Dollars in thousands)
|
||||||||||||||||||||||
March 31, 2012
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Fixed maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Available for sale:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
United States Government sponsored agencies
|
$
|
607,349
|
|
|
$
|
(1,751
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
607,349
|
|
|
$
|
(1,751
|
)
|
United States municipalities, states and territories
|
47,597
|
|
|
(1,162
|
)
|
|
—
|
|
|
—
|
|
|
47,597
|
|
|
(1,162
|
)
|
||||||
Corporate securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Finance, insurance and real estate
|
393,955
|
|
|
(18,721
|
)
|
|
137,166
|
|
|
(12,238
|
)
|
|
531,121
|
|
|
(30,959
|
)
|
||||||
Manufacturing, construction and mining
|
312,333
|
|
|
(11,078
|
)
|
|
16,838
|
|
|
(1,543
|
)
|
|
329,171
|
|
|
(12,621
|
)
|
||||||
Utilities and related sectors
|
220,057
|
|
|
(7,749
|
)
|
|
40,567
|
|
|
(4,148
|
)
|
|
260,624
|
|
|
(11,897
|
)
|
||||||
Wholesale/retail trade
|
18,001
|
|
|
(605
|
)
|
|
9,575
|
|
|
(891
|
)
|
|
27,576
|
|
|
(1,496
|
)
|
||||||
Services, media and other
|
121,293
|
|
|
(1,219
|
)
|
|
16,452
|
|
|
(3,548
|
)
|
|
137,745
|
|
|
(4,767
|
)
|
||||||
Residential mortgage backed securities
|
445,892
|
|
|
(30,080
|
)
|
|
563,164
|
|
|
(47,118
|
)
|
|
1,009,056
|
|
|
(77,198
|
)
|
||||||
Other asset backed securities
|
174,011
|
|
|
(5,166
|
)
|
|
30,378
|
|
|
(2,314
|
)
|
|
204,389
|
|
|
(7,480
|
)
|
||||||
|
$
|
2,340,488
|
|
|
$
|
(77,531
|
)
|
|
$
|
814,140
|
|
|
$
|
(71,800
|
)
|
|
$
|
3,154,628
|
|
|
$
|
(149,331
|
)
|
Held for investment:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Corporate security:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Insurance
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
58,236
|
|
|
$
|
(17,734
|
)
|
|
$
|
58,236
|
|
|
$
|
(17,734
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Equity securities, available for sale:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Finance, insurance and real estate
|
$
|
12,212
|
|
|
$
|
(913
|
)
|
|
$
|
4,844
|
|
|
$
|
(156
|
)
|
|
$
|
17,056
|
|
|
$
|
(1,069
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
December 31, 2011
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Fixed maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Available for sale:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
United States municipalities, states and territories
|
$
|
3,535
|
|
|
$
|
(10
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,535
|
|
|
$
|
(10
|
)
|
Corporate securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Finance, insurance and real estate
|
363,909
|
|
|
(36,575
|
)
|
|
146,354
|
|
|
(15,611
|
)
|
|
510,263
|
|
|
(52,186
|
)
|
||||||
Manufacturing, construction and mining
|
201,762
|
|
|
(7,131
|
)
|
|
29,875
|
|
|
(1,869
|
)
|
|
231,637
|
|
|
(9,000
|
)
|
||||||
Utilities and related sectors
|
174,251
|
|
|
(7,576
|
)
|
|
37,778
|
|
|
(6,946
|
)
|
|
212,029
|
|
|
(14,522
|
)
|
||||||
Wholesale/retail trade
|
15,523
|
|
|
(188
|
)
|
|
9,275
|
|
|
(1,194
|
)
|
|
24,798
|
|
|
(1,382
|
)
|
||||||
Services, media and other
|
27,688
|
|
|
(249
|
)
|
|
17,105
|
|
|
(2,895
|
)
|
|
44,793
|
|
|
(3,144
|
)
|
||||||
Residential mortgage backed securities
|
295,352
|
|
|
(19,920
|
)
|
|
709,612
|
|
|
(52,161
|
)
|
|
1,004,964
|
|
|
(72,081
|
)
|
||||||
Other asset backed securities
|
115,542
|
|
|
(2,863
|
)
|
|
15,550
|
|
|
(2,748
|
)
|
|
131,092
|
|
|
(5,611
|
)
|
||||||
|
$
|
1,197,562
|
|
|
$
|
(74,512
|
)
|
|
$
|
965,549
|
|
|
$
|
(83,424
|
)
|
|
$
|
2,163,111
|
|
|
$
|
(157,936
|
)
|
Held for investment:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Corporate security:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Insurance
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
59,342
|
|
|
$
|
(16,590
|
)
|
|
$
|
59,342
|
|
|
$
|
(16,590
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Equity securities, available for sale:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Finance, insurance and real estate
|
$
|
20,028
|
|
|
$
|
(3,095
|
)
|
|
$
|
3,750
|
|
|
$
|
(1,250
|
)
|
|
$
|
23,778
|
|
|
$
|
(4,345
|
)
|
|
Three Months Ended March 31,
|
||||||
|
2012
|
|
2011
|
||||
|
|
|
|
||||
Fixed maturity securities held for investment carried at amortized cost
|
$
|
10,189
|
|
|
$
|
(25,658
|
)
|
|
|
|
|
||||
Investments carried at fair value:
|
|
|
|
||||
Fixed maturity securities, available for sale
|
$
|
(215,088
|
)
|
|
$
|
(52,144
|
)
|
Equity securities, available for sale
|
4,424
|
|
|
2,081
|
|
||
|
(210,664
|
)
|
|
(50,063
|
)
|
||
Adjustment for effect on other balance sheet accounts:
|
|
|
|
||||
Deferred policy acquisition costs and deferred sales inducements
|
136,078
|
|
|
28,154
|
|
||
Deferred income tax asset
|
26,104
|
|
|
7,668
|
|
||
|
162,182
|
|
|
35,822
|
|
||
Decrease in net unrealized gains on investments carried at fair value
|
$
|
(48,482
|
)
|
|
$
|
(14,241
|
)
|
|
Three Months Ended March 31,
|
||||||
|
2,012
|
|
2,011
|
||||
|
(Dollars in thousands)
|
||||||
Available for sale fixed maturity securities:
|
|
|
|
||||
Gross realized gains
|
$
|
1,018
|
|
|
$
|
1,641
|
|
Gross realized losses
|
(296
|
)
|
|
—
|
|
||
|
722
|
|
|
1,641
|
|
||
Equity securities:
|
|
|
|
||||
Gross realized gains
|
562
|
|
|
—
|
|
||
Mortgage loans on real estate:
|
|
|
|
||||
Increase in allowance for credit losses
|
(7,831
|
)
|
|
(2,834
|
)
|
||
Other investments:
|
|
|
|
||||
Gain on sale of real estate
|
1,445
|
|
|
—
|
|
||
Impairment losses on real estate
|
(974
|
)
|
|
—
|
|
||
|
471
|
|
|
—
|
|
||
|
$
|
(6,076
|
)
|
|
$
|
(1,193
|
)
|
•
|
the length of time and the extent to which the fair value has been less than amortized cost or cost;
|
•
|
whether the issuer is current on all payments and all contractual payments have been made as agreed;
|
•
|
the remaining payment terms and the financial condition and near-term prospects of the issuer;
|
•
|
the lack of ability to refinance due to liquidity problems in the credit market;
|
•
|
the fair value of any underlying collateral;
|
•
|
the existence of any credit protection available;
|
•
|
our intent to sell and whether it is more likely than not we would be required to sell prior to recovery for debt securities;
|
•
|
our assessment in the case of equity securities including perpetual preferred stocks with credit deterioration that the security cannot recover to cost in a reasonable period of time;
|
•
|
our intent and ability to retain equity securities for a period of time sufficient to allow for recovery;
|
•
|
consideration of rating agency actions; and
|
•
|
changes in estimated cash flows of residential mortgage and asset backed securities.
|
|
|
|
|
Discount Rate
|
|
Default Rate
|
|
Loss Severity
|
||||||||||||
Sector
|
|
Vintage
|
|
Min
|
|
Max
|
|
Min
|
|
Max
|
|
Min
|
|
Max
|
||||||
Three months ended March 31, 2012
|
||||||||||||||||||||
Prime
|
|
2005
|
|
7.5
|
%
|
|
7.5
|
%
|
|
13
|
%
|
|
13
|
%
|
|
50
|
%
|
|
50
|
%
|
|
|
2006
|
|
6.9
|
%
|
|
7.4
|
%
|
|
19
|
%
|
|
19
|
%
|
|
50
|
%
|
|
55
|
%
|
|
|
2007
|
|
6.4
|
%
|
|
7.3
|
%
|
|
15
|
%
|
|
38
|
%
|
|
50
|
%
|
|
60
|
%
|
Alt-A
|
|
2005
|
|
6.4
|
%
|
|
7.4
|
%
|
|
14
|
%
|
|
27
|
%
|
|
5
|
%
|
|
50
|
%
|
|
|
2006
|
|
6.0
|
%
|
|
6.0
|
%
|
|
46
|
%
|
|
46
|
%
|
|
55
|
%
|
|
55
|
%
|
|
|
2007
|
|
6.6
|
%
|
|
7.0
|
%
|
|
42
|
%
|
|
55
|
%
|
|
55
|
%
|
|
60
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Three months ended March 31, 2011
|
||||||||||||||||||||
Prime
|
|
2005
|
|
7.7
|
%
|
|
7.7
|
%
|
|
8
|
%
|
|
8
|
%
|
|
50
|
%
|
|
50
|
%
|
|
|
2006
|
|
7.3
|
%
|
|
7.6
|
%
|
|
9
|
%
|
|
11
|
%
|
|
50
|
%
|
|
55
|
%
|
|
|
2007
|
|
5.8
|
%
|
|
7.3
|
%
|
|
8
|
%
|
|
30
|
%
|
|
40
|
%
|
|
60
|
%
|
Alt-A
|
|
2005
|
|
6.0
|
%
|
|
7.7
|
%
|
|
18
|
%
|
|
18
|
%
|
|
50
|
%
|
|
50
|
%
|
|
|
2006
|
|
6.0
|
%
|
|
6.0
|
%
|
|
30
|
%
|
|
30
|
%
|
|
50
|
%
|
|
50
|
%
|
|
|
2007
|
|
6.2
|
%
|
|
7.4
|
%
|
|
29
|
%
|
|
41
|
%
|
|
50
|
%
|
|
60
|
%
|
|
Number
of
Securities
|
|
|
Total OTTI
Losses
|
|
|
Portion of OTTI
Losses Recognized in (from) Other
Comprehensive
Income
|
|
|
Net OTTI Losses
Recognized in Operations
|
|
|||
|
|
|
(Dollars in thousands)
|
|||||||||||
Three months ended March 31, 2012
|
|
|
|
|
|
|
|
|||||||
Fixed maturity securities, available for sale:
|
|
|
|
|
|
|
|
|||||||
Residential mortgage backed securities
|
20
|
|
|
$
|
(1,781
|
)
|
|
$
|
(1,100
|
)
|
|
$
|
(2,881
|
)
|
|
|
|
|
|
|
|
|
|||||||
Three months ended March 31, 2011
|
|
|
|
|
|
|
|
|||||||
Fixed maturity securities, available for sale:
|
|
|
|
|
|
|
|
|||||||
Residential mortgage backed securities
|
24
|
|
|
$
|
(5,100
|
)
|
|
$
|
(1,471
|
)
|
|
$
|
(6,571
|
)
|
|
Three Months Ended March 31,
|
||||||
|
2012
|
|
2011
|
||||
|
(Dollars in thousands)
|
||||||
Cumulative credit loss at beginning of period
|
$
|
(119,095
|
)
|
|
$
|
(96,893
|
)
|
Credit losses on securities for which OTTI has not previously been recognized
|
—
|
|
|
(789
|
)
|
||
Additional credit losses on securities for which OTTI has previously been recognized
|
(2,881
|
)
|
|
(5,782
|
)
|
||
Accumulated losses on securities that were disposed of during the period
|
—
|
|
|
1,213
|
|
||
Cumulative credit loss at end of period
|
$
|
(121,976
|
)
|
|
$
|
(102,251
|
)
|
|
Amortized Cost
|
|
OTTI
Recognized in
Other
Comprehensive
Income
|
|
Change in Fair
Value Since
OTTI was
Recognized
|
|
Fair Value
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
March 31, 2012
|
|
|
|
|
|
|
|
||||||||
Fixed maturity securities, available for sale:
|
|
|
|
|
|
|
|
||||||||
Corporate securities
|
$
|
3,401
|
|
|
$
|
(2,151
|
)
|
|
$
|
5,683
|
|
|
$
|
6,933
|
|
Residential mortgage backed securities
|
969,010
|
|
|
(186,026
|
)
|
|
126,626
|
|
|
909,610
|
|
||||
Equity securities, available for sale:
|
|
|
|
|
|
|
|
||||||||
Finance, insurance and real estate
|
9,976
|
|
|
—
|
|
|
8,512
|
|
|
18,488
|
|
||||
|
$
|
982,387
|
|
|
$
|
(188,177
|
)
|
|
$
|
140,821
|
|
|
$
|
935,031
|
|
December 31, 2011
|
|
|
|
|
|
|
|
||||||||
Fixed maturity securities, available for sale:
|
|
|
|
|
|
|
|
||||||||
Corporate securities
|
$
|
3,347
|
|
|
$
|
(2,151
|
)
|
|
$
|
4,818
|
|
|
$
|
6,014
|
|
Residential mortgage backed securities
|
999,024
|
|
|
(187,126
|
)
|
|
125,502
|
|
|
937,400
|
|
||||
Equity securities, available for sale:
|
|
|
|
|
|
|
|
||||||||
Finance, insurance and real estate
|
12,019
|
|
|
—
|
|
|
8,110
|
|
|
20,129
|
|
||||
|
$
|
1,014,390
|
|
|
$
|
(189,277
|
)
|
|
$
|
138,430
|
|
|
$
|
963,543
|
|
|
March 31, 2012
|
|
December 31, 2011
|
||||
|
(Dollars in thousands)
|
||||||
Principal outstanding
|
$
|
2,796,287
|
|
|
$
|
2,856,011
|
|
Loan loss allowance
|
(39,895
|
)
|
|
(32,964
|
)
|
||
Carrying value
|
$
|
2,756,392
|
|
|
$
|
2,823,047
|
|
|
March 31, 2012
|
|
December 31, 2011
|
||||||||||
|
Principal Outstanding
|
|
Percent
|
|
Principal Outstanding
|
|
Percent
|
||||||
|
(Dollars in thousands)
|
||||||||||||
Geographic distribution
|
|
|
|
|
|
|
|
||||||
East
|
$
|
717,953
|
|
|
25.7
|
%
|
|
$
|
719,231
|
|
|
25.2
|
%
|
Middle Atlantic
|
157,771
|
|
|
5.6
|
%
|
|
169,240
|
|
|
5.9
|
%
|
||
Mountain
|
407,010
|
|
|
14.5
|
%
|
|
411,054
|
|
|
14.4
|
%
|
||
New England
|
32,889
|
|
|
1.2
|
%
|
|
36,815
|
|
|
1.3
|
%
|
||
Pacific
|
306,721
|
|
|
11.0
|
%
|
|
309,693
|
|
|
10.8
|
%
|
||
South Atlantic
|
488,968
|
|
|
17.5
|
%
|
|
493,764
|
|
|
17.3
|
%
|
||
West North Central
|
458,915
|
|
|
16.4
|
%
|
|
487,693
|
|
|
17.1
|
%
|
||
West South Central
|
226,060
|
|
|
8.1
|
%
|
|
228,521
|
|
|
8.0
|
%
|
||
|
2,796,287
|
|
|
100.0
|
%
|
|
2,856,011
|
|
|
100.0
|
%
|
||
|
|
|
|
|
|
|
|
||||||
Property type distribution
|
|
|
|
|
|
|
|
||||||
Office
|
$
|
750,536
|
|
|
26.8
|
%
|
|
$
|
777,343
|
|
|
27.2
|
%
|
Medical Office
|
152,393
|
|
|
5.4
|
%
|
|
175,580
|
|
|
6.1
|
%
|
||
Retail
|
630,629
|
|
|
22.7
|
%
|
|
635,916
|
|
|
22.3
|
%
|
||
Industrial/Warehouse
|
699,303
|
|
|
25.0
|
%
|
|
710,426
|
|
|
24.9
|
%
|
||
Hotel
|
137,994
|
|
|
4.9
|
%
|
|
139,193
|
|
|
4.9
|
%
|
||
Apartment
|
190,159
|
|
|
6.8
|
%
|
|
187,548
|
|
|
6.6
|
%
|
||
Mixed use/other
|
235,273
|
|
|
8.4
|
%
|
|
230,005
|
|
|
8.0
|
%
|
||
|
2,796,287
|
|
|
100.0
|
%
|
|
2,856,011
|
|
|
100.0
|
%
|
|
Three Months Ended
March 31, 2012
|
|
Three Months Ended
March 31, 2011
|
||||||||||||
|
Specific Allowance
|
|
General Allowance
|
|
Specific Allowance
|
|
General Allowance
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
Beginning allowance balance
|
$
|
(23,664
|
)
|
|
$
|
(9,300
|
)
|
|
$
|
(13,224
|
)
|
|
$
|
(3,000
|
)
|
Charge-offs
|
900
|
|
|
—
|
|
|
2,116
|
|
|
—
|
|
||||
Recoveries
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Provision for credit losses
|
(6,831
|
)
|
|
(1,000
|
)
|
|
(2,734
|
)
|
|
(100
|
)
|
||||
Ending allowance balance
|
$
|
(29,595
|
)
|
|
$
|
(10,300
|
)
|
|
$
|
(13,842
|
)
|
|
$
|
(3,100
|
)
|
|
March 31, 2012
|
|
December 31, 2011
|
||||
|
(Dollars in thousands)
|
||||||
Individually evaluated for impairment
|
$
|
75,141
|
|
|
$
|
67,698
|
|
Collectively evaluated for impairment
|
173,296
|
|
|
176,681
|
|
||
Total loans evaluated for impairment
|
$
|
248,437
|
|
|
$
|
244,379
|
|
|
Three Months Ended March 31,
|
||||||
|
2012
|
|
2011
|
||||
|
(Dollars in thousands)
|
||||||
Real estate owned at beginning of period
|
$
|
36,821
|
|
|
$
|
19,122
|
|
Real estate acquired in satisfaction of mortgage loans
|
3,303
|
|
|
3,781
|
|
||
Additions
|
—
|
|
|
24
|
|
||
Sales
|
(3,083
|
)
|
|
—
|
|
||
Impairments
|
(974
|
)
|
|
—
|
|
||
Depreciation
|
(243
|
)
|
|
(137
|
)
|
||
Real estate owned at end of period
|
$
|
35,824
|
|
|
$
|
22,790
|
|
|
March 31, 2012
|
|
December 31, 2011
|
||||
|
(Dollars in thousands)
|
||||||
Credit Exposure--By Payment Activity
|
|
|
|
||||
Performing
|
$
|
2,677,066
|
|
|
$
|
2,743,068
|
|
In workout
|
65,941
|
|
|
67,425
|
|
||
Delinquent
|
6,315
|
|
|
6,595
|
|
||
Collateral dependent
|
46,965
|
|
|
38,923
|
|
||
|
$
|
2,796,287
|
|
|
$
|
2,856,011
|
|
|
30 - 59 Days
|
|
60 - 89 Days
|
|
90 Days and Over
|
|
Total Past Due
|
|
Current
|
|
Collateral Dependent Receivables
|
|
Total Financing Receivables
|
||||||||||||||
|
(Dollars in thousands)
|
||||||||||||||||||||||||||
Commercial Mortgage Loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
March 31, 2012
|
$
|
2,318
|
|
|
$
|
3,579
|
|
|
$
|
2,736
|
|
|
$
|
8,633
|
|
|
$
|
2,740,689
|
|
|
$
|
46,965
|
|
|
$
|
2,796,287
|
|
December 31, 2011
|
$
|
3,378
|
|
|
$
|
—
|
|
|
$
|
6,595
|
|
|
$
|
9,973
|
|
|
$
|
2,807,115
|
|
|
$
|
38,923
|
|
|
$
|
2,856,011
|
|
|
Recorded Investment
|
|
Unpaid Principal Balance
|
|
Related Allowance
|
|
Average Recorded Investment
|
|
Interest Income Recognized
|
||||||||||
|
(Dollars in thousands)
|
||||||||||||||||||
March 31, 2012
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage loans with an allowance
|
$
|
45,546
|
|
|
$
|
75,141
|
|
|
$
|
(29,595
|
)
|
|
$
|
56,843
|
|
|
$
|
505
|
|
Mortgage loans with no related allowance
|
66,756
|
|
|
66,756
|
|
|
—
|
|
|
66,823
|
|
|
916
|
|
|||||
|
$
|
112,302
|
|
|
$
|
141,897
|
|
|
$
|
(29,595
|
)
|
|
$
|
123,666
|
|
|
$
|
1,421
|
|
December 31, 2011
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage loans with an allowance
|
$
|
44,034
|
|
|
$
|
67,698
|
|
|
$
|
(23,664
|
)
|
|
$
|
53,617
|
|
|
$
|
3,284
|
|
Mortgage loans with no related allowance
|
63,023
|
|
|
63,023
|
|
|
—
|
|
|
60,974
|
|
|
3,509
|
|
|||||
|
$
|
107,057
|
|
|
$
|
130,721
|
|
|
$
|
(23,664
|
)
|
|
$
|
114,591
|
|
|
$
|
6,793
|
|
•
|
borrower is in default,
|
•
|
borrower has declared bankruptcy,
|
•
|
there is growing concern about the borrower's ability to continue as a going concern,
|
•
|
borrower has insufficient cash flows to service debt,
|
•
|
borrower's inability to obtain funds from other sources, and
|
•
|
there is a breach of financial covenants by the borrower.
|
•
|
assets used to satisfy debt are less than our recorded investment,
|
•
|
interest rate is modified,
|
•
|
maturity date extension at an interest rate less than market rate,
|
•
|
capitalization of interest,
|
•
|
delaying principal and/or interest for a period of three months or more, and
|
•
|
partial forgiveness of the balance or charge-off.
|
Geographic Region
|
|
Number of Workouts
|
|
Principal Balance Outstanding
|
|
Specific Loan Loss Allowance
|
|
Net Carrying Amount
|
||||||
|
|
|
|
(Dollars in thousands)
|
||||||||||
March 31, 2012
|
|
|
|
|
|
|
|
|
||||||
East
|
|
2
|
|
$
|
6,127
|
|
|
$
|
(1,964
|
)
|
|
$
|
4,163
|
|
Mountain
|
|
9
|
|
30,833
|
|
|
(1,260
|
)
|
|
29,573
|
|
|||
South Atlantic
|
|
10
|
|
27,342
|
|
|
(5,213
|
)
|
|
22,129
|
|
|||
East North Central
|
|
1
|
|
3,378
|
|
|
(894
|
)
|
|
2,484
|
|
|||
West North Central
|
|
1
|
|
5,036
|
|
|
(1,300
|
)
|
|
3,736
|
|
|||
|
|
23
|
|
$
|
72,716
|
|
|
$
|
(10,631
|
)
|
|
$
|
62,085
|
|
December 31, 2011
|
|
|
|
|
|
|
|
|
||||||
East
|
|
3
|
|
$
|
8,489
|
|
|
$
|
(2,115
|
)
|
|
$
|
6,374
|
|
Mountain
|
|
10
|
|
29,539
|
|
|
(1,637
|
)
|
|
27,902
|
|
|||
South Atlantic
|
|
11
|
|
28,676
|
|
|
(6,339
|
)
|
|
22,337
|
|
|||
West North Central
|
|
1
|
|
1,937
|
|
|
(269
|
)
|
|
1,668
|
|
|||
|
|
25
|
|
$
|
68,641
|
|
|
$
|
(10,360
|
)
|
|
$
|
58,281
|
|
|
|
March 31,
2012 |
|
December 31,
2011 |
||||
|
|
(Dollars in thousands)
|
||||||
Assets
|
|
|
|
|
||||
Derivative instruments
|
|
|
|
|
||||
Call options
|
|
$
|
558,610
|
|
|
$
|
273,314
|
|
|
|
|
|
|
||||
Other assets
|
|
|
|
|
||||
2015 notes hedges
|
|
62,344
|
|
|
45,593
|
|
||
Interest rate swaps
|
|
890
|
|
|
—
|
|
||
|
|
$
|
621,844
|
|
|
$
|
318,907
|
|
Liabilities
|
|
|
|
|
||||
Policy benefit reserves - annuity products
|
|
|
|
|
||||
Fixed index annuities - embedded derivatives
|
|
$
|
2,921,037
|
|
|
$
|
2,530,496
|
|
Other liabilities
|
|
|
|
|
||||
2015 notes embedded derivatives
|
|
62,344
|
|
|
45,593
|
|
||
|
|
$
|
2,983,381
|
|
|
$
|
2,576,089
|
|
|
|
Three Months Ended March 31,
|
||||||
|
|
2012
|
|
2011
|
||||
|
|
(Dollars in thousands)
|
||||||
Change in fair value of derivatives:
|
|
|
|
|
||||
Call options
|
|
$
|
241,520
|
|
|
$
|
143,452
|
|
2015 notes hedges
|
|
16,751
|
|
|
5,269
|
|
||
Interest rate swaps
|
|
890
|
|
|
(68
|
)
|
||
|
|
$
|
259,161
|
|
|
$
|
148,653
|
|
Change in fair value of embedded derivatives:
|
|
|
|
|
||||
2015 notes embedded derivatives
|
|
$
|
16,751
|
|
|
$
|
5,269
|
|
Fixed index annuities
|
|
342,315
|
|
|
123,034
|
|
||
|
|
$
|
359,066
|
|
|
$
|
128,303
|
|
|
|
|
|
|
|
March 31, 2012
|
|
December 31, 2011
|
||||||||||||
Counterparty
|
|
Credit Rating (S&P)
|
|
Credit Rating (Moody's)
|
|
Notional
Amount
|
|
Fair Value
|
|
Notional
Amount
|
|
Fair Value
|
||||||||
|
|
|
|
|
|
(Dollars in thousands)
|
||||||||||||||
Bank of America
|
|
A
|
|
A2
|
|
$
|
2,049,538
|
|
|
$
|
83,722
|
|
|
$
|
2,340,213
|
|
|
$
|
43,481
|
|
Barclays
|
|
A+
|
|
Aa3
|
|
2,845,481
|
|
|
118,741
|
|
|
2,419,339
|
|
|
60,903
|
|
||||
BNP Paribas
|
|
AA-
|
|
Aa3
|
|
2,523,344
|
|
|
92,469
|
|
|
2,533,301
|
|
|
48,293
|
|
||||
Citibank, N.A.
|
|
A
|
|
A1
|
|
309,874
|
|
|
6,967
|
|
|
—
|
|
|
—
|
|
||||
Credit Suisse
|
|
A+
|
|
Aa1
|
|
1,320,782
|
|
|
57,127
|
|
|
1,423,802
|
|
|
27,464
|
|
||||
Deutsche Bank
|
|
A+
|
|
Aa3
|
|
600,367
|
|
|
23,805
|
|
|
384,420
|
|
|
7,697
|
|
||||
HSBC
|
|
AA-
|
|
Aa2
|
|
309,119
|
|
|
10,029
|
|
|
348,674
|
|
|
4,557
|
|
||||
J.P. Morgan
|
|
A+
|
|
Aa1
|
|
1,606,270
|
|
|
53,672
|
|
|
2,109,019
|
|
|
27,961
|
|
||||
Morgan Stanley
|
|
A
|
|
A2
|
|
561,219
|
|
|
23,583
|
|
|
244,180
|
|
|
7,375
|
|
||||
UBS
|
|
A
|
|
Aa3
|
|
622
|
|
|
77
|
|
|
39,147
|
|
|
240
|
|
||||
Wells Fargo (Wachovia)
|
|
AA-
|
|
Aa3
|
|
2,150,085
|
|
|
88,418
|
|
|
2,227,235
|
|
|
45,343
|
|
||||
|
|
|
|
|
|
$
|
14,276,701
|
|
|
$
|
558,610
|
|
|
$
|
14,069,330
|
|
|
$
|
273,314
|
|
|
|
Notional
|
|
|
|
Pay
|
|
|
|
March 31, 2012
|
|
December 31, 2011
|
|||||||
Maturity Date
|
|
Amount
|
|
Receive Rate
|
|
Rate
|
|
Counterparty
|
|
Fair Value
|
|
Fair Value
|
|||||||
|
|
|
|
|
|
|
|
|
|
(Dollars in thousands)
|
|||||||||
March 15, 2021
|
|
$
|
85,000
|
|
|
*LIBOR
|
|
2.415
|
%
|
|
SunTrust
|
|
$
|
890
|
|
|
$
|
—
|
|
|
|
March 31, 2012
|
|
December 31, 2011
|
||||||||||||||||||||
|
|
September 2015 Notes
|
|
December 2029 Notes
|
|
December 2024 Notes
|
|
September 2015 Notes
|
|
December 2029 Notes
|
|
December 2024 Notes
|
||||||||||||
|
|
(Dollars in thousands)
|
||||||||||||||||||||||
Notes payable:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Principal amount of liability component
|
|
$
|
200,000
|
|
|
$
|
115,839
|
|
|
$
|
28,243
|
|
|
$
|
200,000
|
|
|
$
|
115,839
|
|
|
$
|
28,243
|
|
Unamortized discount
|
|
(27,217
|
)
|
|
(16,298
|
)
|
|
—
|
|
|
(28,906
|
)
|
|
(17,568
|
)
|
|
—
|
|
||||||
Net carrying amount of liability component
|
|
$
|
172,783
|
|
|
$
|
99,541
|
|
|
$
|
28,243
|
|
|
$
|
171,094
|
|
|
$
|
98,271
|
|
|
$
|
28,243
|
|
Additional paid-in capital:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Carrying amount of equity component
|
|
|
|
$
|
15,586
|
|
|
$
|
22,637
|
|
|
|
|
$
|
15,586
|
|
|
$
|
22,637
|
|
||||
Amount by which the if-converted value exceeds principal
|
|
$
|
4,320
|
|
|
$
|
36,821
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
8,489
|
|
|
$
|
—
|
|
|
|
Three Months Ended
March 31,
|
||||||
|
|
2012
|
|
2011
|
||||
|
|
(Dollars in thousands, except per share data)
|
||||||
Numerator:
|
|
|
|
|
||||
Net income - numerator for earnings per common share
|
|
$
|
10,471
|
|
|
$
|
31,343
|
|
Interest on convertible subordinated debentures (net of income tax benefit)
|
|
258
|
|
|
258
|
|
||
Numerator for earnings per common share - assuming dilution
|
|
$
|
10,729
|
|
|
$
|
31,601
|
|
|
|
|
|
|
||||
Denominator:
|
|
|
|
|
||||
Weighted average common shares outstanding (1)
|
|
59,700,537
|
|
|
59,182,019
|
|
||
Effect of dilutive securities:
|
|
|
|
|
||||
Convertible subordinated debentures
|
|
2,883,310
|
|
|
2,727,084
|
|
||
Convertible senior notes
|
|
2,719,840
|
|
|
2,981,680
|
|
||
Stock options and deferred compensation agreements
|
|
626,622
|
|
|
820,192
|
|
||
Denominator for earnings per common share - assuming dilution
|
|
$
|
65,930,309
|
|
|
$
|
65,710,975
|
|
|
|
|
|
|
||||
Earnings per common share
|
|
$
|
0.18
|
|
|
$
|
0.53
|
|
Earnings per common share - assuming dilution
|
|
$
|
0.16
|
|
|
$
|
0.48
|
|
(1)
|
Weighted average common shares outstanding include shares vested under the NMO Deferred Compensation Plan and exclude unallocated shares held by the ESOP.
|
Period
|
|
Number of
Shares
|
|
Range of
Exercise Prices
|
|||
|
|
|
|
Minimum
|
|
Maximum
|
|
Three months ended March 31, 2012
|
|
1,499,900
|
|
|
$11.88
|
|
$14.34
|
Three months ended March 31, 2011
|
|
2,500
|
|
|
$14.34
|
|
$14.34
|
•
|
general economic conditions and other factors, including prevailing interest rate levels and stock and credit market performance which may affect (among other things) our ability to sell our products, our ability to access capital resources and the costs associated therewith, the fair value of our investments, which could result in impairments and other than temporary impairments, and certain liabilities, and the lapse rate and profitability of policies;
|
•
|
customer response to new products and marketing initiatives;
|
•
|
changes in Federal income tax laws and regulations which may affect the relative income tax advantages of our products;
|
•
|
increasing competition in the sale of annuities;
|
•
|
regulatory changes or actions, including those relating to regulation of financial services affecting (among other things) bank sales and underwriting of insurance products and regulation of the sale, underwriting and pricing of products; and
|
•
|
the risk factors or uncertainties listed from time to time in our filings with the SEC.
|
|
|
Three Months Ended March 31,
|
||||||
Product Type
|
|
2012
|
|
2011
|
||||
|
|
(Dollars in thousands)
|
||||||
Fixed index annuities:
|
|
|
|
|
||||
Index strategies
|
|
$
|
488,126
|
|
|
$
|
778,582
|
|
Fixed strategy
|
|
289,354
|
|
|
357,472
|
|
||
|
|
777,480
|
|
|
1,136,054
|
|
||
Fixed rate annuities:
|
|
|
|
|
||||
Single-year rate guaranteed
|
|
34,487
|
|
|
46,853
|
|
||
Multi-year rate guaranteed
|
|
121,665
|
|
|
77,047
|
|
||
Single premium immediate annuities
|
|
45,813
|
|
|
81,890
|
|
||
|
|
201,965
|
|
|
205,790
|
|
||
Total before coinsurance ceded
|
|
979,445
|
|
|
1,341,844
|
|
||
Coinsurance ceded
|
|
98,779
|
|
|
65,877
|
|
||
Net after coinsurance ceded
|
|
$
|
880,666
|
|
|
$
|
1,275,967
|
|
|
|
Three Months Ended
March 31,
|
||
|
|
2012
|
|
2011
|
Reported Amounts
|
|
|
|
|
Average yield on invested assets
|
|
5.61%
|
|
5.96%
|
Aggregate cost of money
|
|
2.68%
|
|
2.82%
|
Aggregate investment spread
|
|
2.93%
|
|
3.14%
|
|
|
|
|
|
Adjustments
|
|
|
|
|
Investment yield - temporary cash investments
|
|
0.14%
|
|
0.05%
|
Investment yield - additional prepayment income
|
|
(0.07)%
|
|
—%
|
Cost of money benefit from over hedging
|
|
0.01%
|
|
0.07%
|
|
|
|
|
|
Adjusted Amounts
|
|
|
|
|
Average yield on invested assets
|
|
5.68%
|
|
6.01%
|
Aggregate cost of money
|
|
2.69%
|
|
2.89%
|
Aggregate investment spread
|
|
2.99%
|
|
3.12%
|
|
Three Months Ended March 31,
|
||||||
|
2012
|
|
2011
|
||||
|
(Dollars in thousands)
|
||||||
Reconciliation of net income to operating income:
|
|
|
|
||||
Net income
|
$
|
10,471
|
|
|
$
|
31,343
|
|
Net realized losses and net OTTI losses on investments, net of offsets
|
3,547
|
|
|
2,472
|
|
||
Net effect of derivatives, embedded derivatives and other index annuity, net of offsets
|
15,742
|
|
|
(3,241
|
)
|
||
Operating income
|
$
|
29,760
|
|
|
$
|
30,574
|
|
|
Three Months Ended March 31,
|
||||||
|
2012
|
|
2011
|
||||
|
(Dollars in thousands)
|
||||||
Call options:
|
|
|
|
||||
Gain (loss) on option expiration
|
$
|
(26,153
|
)
|
|
$
|
32,118
|
|
Change in unrealized gain/loss
|
267,673
|
|
|
111,334
|
|
||
2015 notes hedges
|
16,751
|
|
|
5,269
|
|
||
Interest rate swaps
|
890
|
|
|
(68
|
)
|
||
|
$
|
259,161
|
|
|
$
|
148,653
|
|
|
Three Months Ended March 31,
|
||
|
2012
|
|
2011
|
S&P 500 Index
|
|
|
|
Point-to-point strategy
|
0.0% - 7.0%
|
|
0.0% - 11.50%
|
Monthly average strategy
|
0.0% - 10.2%
|
|
0.0% - 25.0%
|
Monthly point-to-point strategy
|
0.0% - 3.3%
|
|
0.0% - 12.1%
|
Fixed income (bond index) strategies
|
4.0% - 10.0%
|
|
2.0% - 9.7%
|
|
Three Months Ended March 31,
|
||||||
|
2012
|
|
2011
|
||||
|
(Dollars in thousands)
|
||||||
Available for sale fixed maturity securities:
|
|
|
|
||||
Gross realized gains
|
$
|
1,018
|
|
|
$
|
1,641
|
|
Gross realized losses
|
(296
|
)
|
|
—
|
|
||
|
722
|
|
|
1,641
|
|
||
Equity securities:
|
|
|
|
||||
Gross realized gains
|
562
|
|
|
—
|
|
||
Mortgage loans on real estate:
|
|
|
|
||||
Increase in allowance for credit losses
|
(7,831
|
)
|
|
(2,834
|
)
|
||
Other investments:
|
|
|
|
||||
Gain on sale of real estate
|
1,445
|
|
|
—
|
|
||
Impairment losses on real estate
|
(974
|
)
|
|
—
|
|
||
|
471
|
|
|
—
|
|
||
|
$
|
(6,076
|
)
|
|
$
|
(1,193
|
)
|
|
Three Months Ended March 31,
|
||||||
|
2012
|
|
2011
|
||||
|
(Dollars in thousands)
|
||||||
Index credits on index policies
|
$
|
50,658
|
|
|
$
|
87,394
|
|
Interest credited (including changes in minimum guaranteed interest for fixed index annuities)
|
80,512
|
|
|
68,782
|
|
||
Living income benefit rider
|
7,953
|
|
|
3,489
|
|
||
|
$
|
139,123
|
|
|
$
|
159,665
|
|
|
Three Months Ended March 31,
|
||||||
|
2012
|
|
2011
|
||||
|
(Dollars in thousands)
|
||||||
Amortization of deferred sales inducements before gross profit adjustments
|
$
|
33,468
|
|
|
$
|
30,272
|
|
Gross profit adjustments:
|
|
|
|
||||
Fair value accounting for derivatives and embedded derivatives
|
(15,420
|
)
|
|
2,056
|
|
||
Net realized losses on investments and net OTTI losses recognized in operations
|
(1,338
|
)
|
|
(1,636
|
)
|
||
Amortization of deferred sales inducements after gross profit adjustments
|
$
|
16,710
|
|
|
$
|
30,692
|
|
|
Three Months Ended March 31,
|
||||||
|
2012
|
|
2011
|
||||
|
(Dollars in thousands)
|
||||||
Amortization of deferred policy acquisition costs before gross profit adjustments
|
$
|
55,639
|
|
|
$
|
53,759
|
|
Gross profit adjustments:
|
|
|
|
||||
Fair value accounting for derivatives and embedded derivatives
|
(19,243
|
)
|
|
3,753
|
|
||
Net realized losses on investments and net OTTI losses recognized in operations
|
(2,112
|
)
|
|
(2,289
|
)
|
||
Amortization of deferred policy acquisition costs after gross profit adjustments
|
$
|
34,284
|
|
|
$
|
55,223
|
|
|
March 31, 2012
|
|
December 31, 2011
|
||||||||||
|
Carrying
Amount
|
|
Percent
|
|
Carrying
Amount
|
|
Percent
|
||||||
|
(Dollars in thousands)
|
||||||||||||
Fixed maturity securities:
|
|
|
|
|
|
|
|
||||||
United States Government full faith and credit
|
$
|
4,586
|
|
|
—
|
%
|
|
$
|
4,678
|
|
|
—
|
%
|
United States Government sponsored agencies
|
3,136,682
|
|
|
13.0
|
%
|
|
4,368,053
|
|
|
17.9
|
%
|
||
United States municipalities, states and territories
|
3,331,165
|
|
|
13.9
|
%
|
|
3,333,383
|
|
|
13.7
|
%
|
||
Foreign government obligations
|
43,713
|
|
|
0.2
|
%
|
|
43,228
|
|
|
0.2
|
%
|
||
Corporate securities
|
10,928,778
|
|
|
45.5
|
%
|
|
10,192,293
|
|
|
41.8
|
%
|
||
Residential mortgage backed securities
|
2,583,699
|
|
|
10.7
|
%
|
|
2,703,290
|
|
|
11.1
|
%
|
||
Other asset backed securities
|
510,293
|
|
|
2.1
|
%
|
|
463,390
|
|
|
1.9
|
%
|
||
Total fixed maturity securities
|
20,538,916
|
|
|
85.4
|
%
|
|
21,108,315
|
|
|
86.6
|
%
|
||
Equity securities
|
65,227
|
|
|
0.3
|
%
|
|
62,845
|
|
|
0.2
|
%
|
||
Mortgage loans on real estate
|
2,756,392
|
|
|
11.5
|
%
|
|
2,823,047
|
|
|
11.6
|
%
|
||
Derivative instruments
|
559,500
|
|
|
2.3
|
%
|
|
273,314
|
|
|
1.1
|
%
|
||
Other investments
|
115,594
|
|
|
0.5
|
%
|
|
115,930
|
|
|
0.5
|
%
|
||
|
$
|
24,035,629
|
|
|
100.0
|
%
|
|
$
|
24,383,451
|
|
|
100.0
|
%
|
|
|
March 31, 2012
|
|
December 31, 2011
|
||||||||||
Rating Agency Rating
|
|
Carrying
Amount
|
|
Percent of
Fixed Maturity
Securities
|
|
Carrying
Amount
|
|
Percent of
Fixed Maturity
Securities
|
||||||
|
|
(Dollars in thousands)
|
||||||||||||
Aaa/Aa/A
|
|
$
|
13,708,986
|
|
|
66.7
|
%
|
|
$
|
14,777,524
|
|
|
70.0
|
%
|
Baa
|
|
5,454,496
|
|
|
26.6
|
%
|
|
4,945,809
|
|
|
23.4
|
%
|
||
Total investment grade
|
|
19,163,482
|
|
|
93.3
|
%
|
|
19,723,333
|
|
|
93.4
|
%
|
||
Ba
|
|
268,117
|
|
|
1.3
|
%
|
|
257,585
|
|
|
1.2
|
%
|
||
B
|
|
167,019
|
|
|
0.8
|
%
|
|
169,112
|
|
|
0.8
|
%
|
||
Caa and lower
|
|
847,914
|
|
|
4.1
|
%
|
|
858,694
|
|
|
4.1
|
%
|
||
In or near default
|
|
92,384
|
|
|
0.5
|
%
|
|
99,591
|
|
|
0.5
|
%
|
||
Total below investment grade
|
|
1,375,434
|
|
|
6.7
|
%
|
|
1,384,982
|
|
|
6.6
|
%
|
||
|
|
$
|
20,538,916
|
|
|
100.0
|
%
|
|
$
|
21,108,315
|
|
|
100.0
|
%
|
NAIC Designation
|
|
NRSRO Equivalent Rating
|
1
|
|
Aaa/Aa/A
|
2
|
|
Baa
|
3
|
|
Ba
|
4
|
|
B
|
5
|
|
Caa and lower
|
6
|
|
In or near default
|
|
|
March 31, 2012
|
|
December 31, 2011
|
||||||||||||||||||||||||||
NAIC Designation
|
|
Amortized
Cost
|
|
Fair Value
|
|
Carrying
Amount
|
|
Percent
of Total
Carrying
Amount
|
|
Amortized
Cost
|
|
Fair Value
|
|
Carrying
Amount
|
|
Percent
of Total
Carrying
Amount
|
||||||||||||||
|
|
(Dollars in thousands)
|
|
|
|
(Dollars in thousands)
|
|
|
||||||||||||||||||||||
1
|
|
$
|
13,459,266
|
|
|
$
|
14,395,046
|
|
|
$
|
14,387,285
|
|
|
70.0
|
%
|
|
$
|
14,359,272
|
|
|
$
|
15,486,571
|
|
|
$
|
15,469,765
|
|
|
73.3
|
%
|
2
|
|
5,477,252
|
|
|
5,821,823
|
|
|
5,821,823
|
|
|
28.4
|
%
|
|
4,894,739
|
|
|
5,272,759
|
|
|
5,272,759
|
|
|
25.0
|
%
|
||||||
3
|
|
302,139
|
|
|
280,833
|
|
|
298,567
|
|
|
1.5
|
%
|
|
335,642
|
|
|
315,406
|
|
|
331,996
|
|
|
1.6
|
%
|
||||||
4
|
|
22,851
|
|
|
21,137
|
|
|
21,137
|
|
|
0.1
|
%
|
|
26,674
|
|
|
23,989
|
|
|
23,989
|
|
|
0.1
|
%
|
||||||
5
|
|
5,613
|
|
|
5,872
|
|
|
5,872
|
|
|
—
|
%
|
|
4,932
|
|
|
5,756
|
|
|
5,756
|
|
|
—
|
%
|
||||||
6
|
|
3,053
|
|
|
4,232
|
|
|
4,232
|
|
|
—
|
%
|
|
3,226
|
|
|
4,050
|
|
|
4,050
|
|
|
—
|
%
|
||||||
|
|
$
|
19,270,174
|
|
|
$
|
20,528,943
|
|
|
$
|
20,538,916
|
|
|
100.0
|
%
|
|
$
|
19,624,485
|
|
|
$
|
21,108,531
|
|
|
$
|
21,108,315
|
|
|
100.0
|
%
|
Collateral Type
|
|
Principal
Amount
|
|
|
Amortized
Cost
|
|
Fair Value
|
|||||
|
|
(Dollars in thousands)
|
||||||||||
OTTI has not been recognized
|
|
|
|
|
|
|
||||||
Government agency
|
|
$
|
496,984
|
|
|
$
|
442,594
|
|
|
$
|
518,871
|
|
Prime
|
|
1,124,185
|
|
|
1,070,996
|
|
|
1,108,651
|
|
|||
Alt-A
|
|
46,456
|
|
|
47,127
|
|
|
46,567
|
|
|||
|
|
$
|
1,667,625
|
|
|
$
|
1,560,717
|
|
|
$
|
1,674,089
|
|
OTTI has been recognized
|
|
|
|
|
|
|
||||||
Prime
|
|
$
|
674,942
|
|
|
$
|
597,834
|
|
|
$
|
572,673
|
|
Alt-A
|
|
460,358
|
|
|
371,176
|
|
|
336,937
|
|
|||
|
|
$
|
1,135,300
|
|
|
$
|
969,010
|
|
|
$
|
909,610
|
|
Total by collateral type
|
|
|
|
|
|
|
||||||
Government agency
|
|
$
|
496,984
|
|
|
$
|
442,594
|
|
|
$
|
518,871
|
|
Prime
|
|
1,799,127
|
|
|
1,668,830
|
|
|
1,681,324
|
|
|||
Alt-A
|
|
506,814
|
|
|
418,303
|
|
|
383,504
|
|
|||
|
|
$
|
2,802,925
|
|
|
$
|
2,529,727
|
|
|
$
|
2,583,699
|
|
Total by NAIC designation
|
|
|
|
|
|
|
||||||
1
|
|
$
|
2,307,176
|
|
|
$
|
2,103,630
|
|
|
$
|
2,188,038
|
|
2
|
|
424,365
|
|
|
362,759
|
|
|
333,942
|
|
|||
3
|
|
67,109
|
|
|
60,498
|
|
|
59,692
|
|
|||
6
|
|
4,275
|
|
|
2,840
|
|
|
2,027
|
|
|||
|
|
$
|
2,802,925
|
|
|
$
|
2,529,727
|
|
|
$
|
2,583,699
|
|
|
Number of
Securities
|
|
Amortized
Cost
|
|
Unrealized
Losses
|
|
Fair Value
|
|||||||
|
|
|
(Dollars in thousands)
|
|||||||||||
March 31, 2012
|
|
|
|
|
|
|
|
|||||||
Fixed maturity securities, available for sale:
|
|
|
|
|
|
|
|
|||||||
United States Government sponsored agencies
|
7
|
|
|
$
|
609,100
|
|
|
$
|
(1,751
|
)
|
|
$
|
607,349
|
|
United States municipalities, states and territories
|
14
|
|
|
48,759
|
|
|
(1,162
|
)
|
|
47,597
|
|
|||
Corporate securities:
|
|
|
|
|
|
|
|
|||||||
Finance, insurance and real estate
|
52
|
|
|
562,080
|
|
|
(30,959
|
)
|
|
531,121
|
|
|||
Manufacturing, construction and mining
|
45
|
|
|
341,792
|
|
|
(12,621
|
)
|
|
329,171
|
|
|||
Utilities and related sectors
|
38
|
|
|
272,521
|
|
|
(11,897
|
)
|
|
260,624
|
|
|||
Wholesale/retail trade
|
6
|
|
|
29,072
|
|
|
(1,496
|
)
|
|
27,576
|
|
|||
Services, media and other
|
16
|
|
|
142,512
|
|
|
(4,767
|
)
|
|
137,745
|
|
|||
Residential mortgage backed securities
|
99
|
|
|
1,086,254
|
|
|
(77,198
|
)
|
|
1,009,056
|
|
|||
Other asset backed securities
|
21
|
|
|
211,869
|
|
|
(7,480
|
)
|
|
204,389
|
|
|||
|
298
|
|
|
$
|
3,303,959
|
|
|
$
|
(149,331
|
)
|
|
$
|
3,154,628
|
|
Fixed maturity securities, held for investment:
|
|
|
|
|
|
|
|
|||||||
Corporate security:
|
|
|
|
|
|
|
|
|||||||
Insurance
|
1
|
|
|
$
|
75,970
|
|
|
$
|
(17,734
|
)
|
|
$
|
58,236
|
|
|
|
|
|
|
|
|
|
|||||||
Equity securities, available for sale:
|
|
|
|
|
|
|
|
|||||||
Finance, insurance and real estate
|
3
|
|
|
$
|
18,125
|
|
|
$
|
(1,069
|
)
|
|
$
|
17,056
|
|
|
|
|
|
|
|
|
|
|||||||
December 31, 2011
|
|
|
|
|
|
|
|
|||||||
Fixed maturity securities, available for sale:
|
|
|
|
|
|
|
|
|||||||
United States municipalities, states and territories
|
1
|
|
|
$
|
3,545
|
|
|
$
|
(10
|
)
|
|
$
|
3,535
|
|
Corporate securities:
|
|
|
|
|
|
|
|
|||||||
Finance, insurance and real estate
|
52
|
|
|
562,449
|
|
|
(52,186
|
)
|
|
510,263
|
|
|||
Manufacturing, construction and mining
|
32
|
|
|
240,637
|
|
|
(9,000
|
)
|
|
231,637
|
|
|||
Utilities and related sectors
|
28
|
|
|
226,551
|
|
|
(14,522
|
)
|
|
212,029
|
|
|||
Wholesale/retail trade
|
4
|
|
|
26,180
|
|
|
(1,382
|
)
|
|
24,798
|
|
|||
Services, media and other
|
9
|
|
|
47,937
|
|
|
(3,144
|
)
|
|
44,793
|
|
|||
Residential mortgage backed securities
|
95
|
|
|
1,077,045
|
|
|
(72,081
|
)
|
|
1,004,964
|
|
|||
Other asset backed securities
|
17
|
|
|
136,703
|
|
|
(5,611
|
)
|
|
131,092
|
|
|||
|
238
|
|
|
$
|
2,321,047
|
|
|
$
|
(157,936
|
)
|
|
$
|
2,163,111
|
|
Fixed maturity securities, held for investment:
|
|
|
|
|
|
|
|
|||||||
Corporate security:
|
|
|
|
|
|
|
|
|||||||
Insurance
|
1
|
|
|
$
|
75,932
|
|
|
$
|
(16,590
|
)
|
|
$
|
59,342
|
|
|
|
|
|
|
|
|
|
|||||||
Equity securities, available for sale
|
|
|
|
|
|
|
|
|||||||
Finance, insurance and real estate
|
7
|
|
|
$
|
28,123
|
|
|
$
|
(4,345
|
)
|
|
$
|
23,778
|
|
NAIC Designation
|
|
Carrying Value of
Securities with
Gross Unrealized
Losses
|
|
Percent of
Total
|
|
Gross
Unrealized Losses |
|
Percent of
Total
|
||||||
|
|
(Dollars in thousands)
|
||||||||||||
March 31, 2012
|
|
|
|
|
|
|
|
|
||||||
1
|
|
$
|
2,009,273
|
|
|
62.2
|
%
|
|
$
|
(85,496
|
)
|
|
51.2
|
%
|
2
|
|
1,016,722
|
|
|
31.5
|
%
|
|
(52,448
|
)
|
|
31.4
|
%
|
||
3
|
|
177,330
|
|
|
5.5
|
%
|
|
(26,137
|
)
|
|
15.6
|
%
|
||
4
|
|
21,137
|
|
|
0.6
|
%
|
|
(1,714
|
)
|
|
1.0
|
%
|
||
5
|
|
4,109
|
|
|
0.1
|
%
|
|
(457
|
)
|
|
0.3
|
%
|
||
6
|
|
2,027
|
|
|
0.1
|
%
|
|
(813
|
)
|
|
0.5
|
%
|
||
|
|
$
|
3,230,598
|
|
|
100.0
|
%
|
|
$
|
(167,065
|
)
|
|
100.0
|
%
|
December 31, 2011
|
|
|
|
|
|
|
|
|
||||||
1
|
|
$
|
1,229,962
|
|
|
54.9
|
%
|
|
$
|
(88,632
|
)
|
|
50.8
|
%
|
2
|
|
825,771
|
|
|
36.9
|
%
|
|
(56,551
|
)
|
|
32.4
|
%
|
||
3
|
|
165,902
|
|
|
7.4
|
%
|
|
(25,402
|
)
|
|
14.6
|
%
|
||
4
|
|
15,310
|
|
|
0.7
|
%
|
|
(3,026
|
)
|
|
1.7
|
%
|
||
5
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
||
6
|
|
2,098
|
|
|
0.1
|
%
|
|
(915
|
)
|
|
0.5
|
%
|
||
|
|
$
|
2,239,043
|
|
|
100.0
|
%
|
|
$
|
(174,526
|
)
|
|
100.0
|
%
|
|
|
Number of
Securities
|
|
Amortized
Cost
|
|
Fair Value
|
|
Gross
Unrealized
Losses
|
|||||||
|
|
|
|
(Dollars in thousands)
|
|||||||||||
March 31, 2012
|
|
|
|
|
|
|
|
|
|||||||
Fixed maturity securities:
|
|
|
|
|
|
|
|
|
|||||||
Investment grade:
|
|
|
|
|
|
|
|
|
|||||||
Less than six months
|
|
154
|
|
|
$
|
1,737,351
|
|
|
$
|
1,707,806
|
|
|
$
|
(29,545
|
)
|
Six months or more and less than twelve months
|
|
28
|
|
|
301,257
|
|
|
281,355
|
|
|
(19,902
|
)
|
|||
Twelve months or greater
|
|
28
|
|
|
302,969
|
|
|
280,833
|
|
|
(22,136
|
)
|
|||
Total investment grade
|
|
210
|
|
|
2,341,577
|
|
|
2,269,994
|
|
|
(71,583
|
)
|
|||
Below investment grade:
|
|
|
|
|
|
|
|
|
|||||||
Less than six months
|
|
15
|
|
|
194,345
|
|
|
187,366
|
|
|
(6,979
|
)
|
|||
Six months or more and less than twelve months
|
|
15
|
|
|
185,066
|
|
|
163,961
|
|
|
(21,105
|
)
|
|||
Twelve months or greater
|
|
59
|
|
|
658,941
|
|
|
591,543
|
|
|
(67,398
|
)
|
|||
Total below investment grade
|
|
89
|
|
|
1,038,352
|
|
|
942,870
|
|
|
(95,482
|
)
|
|||
Equity securities:
|
|
|
|
|
|
|
|
|
|||||||
Less then six months
|
|
1
|
|
|
10,125
|
|
|
9,242
|
|
|
(883
|
)
|
|||
Six months or more and less than twelve months
|
|
1
|
|
|
3,000
|
|
|
2,970
|
|
|
(30
|
)
|
|||
Twelve months or greater
|
|
1
|
|
|
5,000
|
|
|
4,844
|
|
|
(156
|
)
|
|||
Total equity securities
|
|
3
|
|
|
18,125
|
|
|
17,056
|
|
|
(1,069
|
)
|
|||
|
|
302
|
|
|
$
|
3,398,054
|
|
|
$
|
3,229,920
|
|
|
$
|
(168,134
|
)
|
December 31, 2011
|
|
|
|
|
|
|
|
|
|||||||
Fixed maturity securities:
|
|
|
|
|
|
|
|
|
|||||||
Investment grade:
|
|
|
|
|
|
|
|
|
|||||||
Less than six months
|
|
105
|
|
|
$
|
888,771
|
|
|
$
|
845,654
|
|
|
$
|
(43,117
|
)
|
Six months or more and less than twelve months
|
|
16
|
|
|
133,766
|
|
|
121,320
|
|
|
(12,446
|
)
|
|||
Twelve months or greater
|
|
32
|
|
|
333,116
|
|
|
304,408
|
|
|
(28,708
|
)
|
|||
Total investment grade
|
|
153
|
|
|
1,355,653
|
|
|
1,271,382
|
|
|
(84,271
|
)
|
|||
Below investment grade:
|
|
|
|
|
|
|
|
|
|||||||
Less than six months
|
|
15
|
|
|
193,472
|
|
|
180,373
|
|
|
(13,099
|
)
|
|||
Six months or more and less than twelve months
|
|
8
|
|
|
56,065
|
|
|
50,215
|
|
|
(5,850
|
)
|
|||
Twelve months or greater
|
|
63
|
|
|
791,789
|
|
|
720,483
|
|
|
(71,306
|
)
|
|||
Total below investment grade
|
|
86
|
|
|
1,041,326
|
|
|
951,071
|
|
|
(90,255
|
)
|
|||
Equity securities:
|
|
|
|
|
|
|
|
|
|||||||
Less then six months
|
|
4
|
|
|
17,123
|
|
|
15,004
|
|
|
(2,119
|
)
|
|||
Six months or more and less than twelve months
|
|
2
|
|
|
6,000
|
|
|
5,024
|
|
|
(976
|
)
|
|||
Twelve months or greater
|
|
1
|
|
|
5,000
|
|
|
3,750
|
|
|
(1,250
|
)
|
|||
Total equity securities
|
|
7
|
|
|
28,123
|
|
|
23,778
|
|
|
(4,345
|
)
|
|||
|
|
246
|
|
|
$
|
2,425,102
|
|
|
$
|
2,246,231
|
|
|
$
|
(178,871
|
)
|
|
|
Number of
Securities
|
|
Amortized
Cost
|
|
Fair
Value
|
|
Gross
Unrealized
Losses
|
|||||||
|
|
|
|
(Dollars in thousands)
|
|||||||||||
March 31, 2012
|
|
|
|
|
|
|
|
|
|||||||
Investment grade:
|
|
|
|
|
|
|
|
|
|||||||
Less than six months
|
|
3
|
|
|
$
|
42,368
|
|
|
$
|
31,212
|
|
|
$
|
(11,156
|
)
|
Six months or more and less than twelve months
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||
Twelve months or greater
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||
Total investment grade
|
|
3
|
|
|
42,368
|
|
|
31,212
|
|
|
(11,156
|
)
|
|||
Below investment grade:
|
|
|
|
|
|
|
|
|
|||||||
Less than six months
|
|
7
|
|
|
36,432
|
|
|
26,486
|
|
|
(9,946
|
)
|
|||
Six months or more and less than twelve months
|
|
1
|
|
|
7,324
|
|
|
5,150
|
|
|
(2,174
|
)
|
|||
Twelve months or greater
|
|
3
|
|
|
78,810
|
|
|
60,263
|
|
|
(18,547
|
)
|
|||
Total below investment grade
|
|
11
|
|
|
122,566
|
|
|
91,899
|
|
|
(30,667
|
)
|
|||
|
|
14
|
|
|
$
|
164,934
|
|
|
$
|
123,111
|
|
|
$
|
(41,823
|
)
|
|
|
|
|
|
|
|
|
|
|||||||
December 31, 2011
|
|
|
|
|
|
|
|
|
|||||||
Investment grade:
|
|
|
|
|
|
|
|
|
|||||||
Less than six months
|
|
9
|
|
|
$
|
83,332
|
|
|
$
|
56,501
|
|
|
$
|
(26,831
|
)
|
Six months or more and less than twelve months
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||
Twelve months or greater
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||
Total investment grade
|
|
9
|
|
|
83,332
|
|
|
56,501
|
|
|
(26,831
|
)
|
|||
Below investment grade:
|
|
|
|
|
|
|
|
|
|||||||
Less than six months
|
|
4
|
|
|
38,506
|
|
|
29,076
|
|
|
(9,430
|
)
|
|||
Six months or more and less than twelve months
|
|
1
|
|
|
7,464
|
|
|
5,250
|
|
|
(2,214
|
)
|
|||
Twelve months or greater
|
|
3
|
|
|
78,945
|
|
|
61,440
|
|
|
(17,505
|
)
|
|||
Total below investment grade
|
|
8
|
|
|
124,915
|
|
|
95,766
|
|
|
(29,149
|
)
|
|||
|
|
17
|
|
|
$
|
208,247
|
|
|
$
|
152,267
|
|
|
$
|
(55,980
|
)
|
|
|
Available for sale
|
|
Held for investment
|
||||||||||||
|
|
Amortized
Cost
|
|
Fair Value
|
|
Amortized
Cost
|
|
Fair Value
|
||||||||
|
|
(Dollars in thousands)
|
||||||||||||||
March 31, 2012
|
|
|
|
|
|
|
|
|
||||||||
Due in one year or less
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Due after one year through five years
|
|
10,996
|
|
|
10,679
|
|
|
—
|
|
|
—
|
|
||||
Due after five years through ten years
|
|
321,677
|
|
|
312,806
|
|
|
—
|
|
|
—
|
|
||||
Due after ten years through twenty years
|
|
739,361
|
|
|
709,715
|
|
|
—
|
|
|
—
|
|
||||
Due after twenty years
|
|
933,802
|
|
|
907,983
|
|
|
75,970
|
|
|
58,236
|
|
||||
|
|
2,005,836
|
|
|
1,941,183
|
|
|
75,970
|
|
|
58,236
|
|
||||
Residential mortgage backed securities
|
|
1,086,254
|
|
|
1,009,056
|
|
|
—
|
|
|
—
|
|
||||
Other asset backed securities
|
|
211,869
|
|
|
204,389
|
|
|
—
|
|
|
—
|
|
||||
|
|
$
|
3,303,959
|
|
|
$
|
3,154,628
|
|
|
$
|
75,970
|
|
|
$
|
58,236
|
|
|
|
|
|
|
|
|
|
|
||||||||
December 31, 2011
|
|
|
|
|
|
|
|
|
||||||||
Due in one year or less
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Due after one year through five years
|
|
18,066
|
|
|
16,725
|
|
|
—
|
|
|
—
|
|
||||
Due after five years through ten years
|
|
374,616
|
|
|
356,620
|
|
|
—
|
|
|
—
|
|
||||
Due after ten years through twenty years
|
|
359,672
|
|
|
319,977
|
|
|
—
|
|
|
—
|
|
||||
Due after twenty years
|
|
354,945
|
|
|
333,733
|
|
|
75,932
|
|
|
59,342
|
|
||||
|
|
1,107,299
|
|
|
1,027,055
|
|
|
75,932
|
|
|
59,342
|
|
||||
Residential mortgage backed securities
|
|
1,077,045
|
|
|
1,004,964
|
|
|
—
|
|
|
—
|
|
||||
Other asset backed securities
|
|
136,703
|
|
|
131,092
|
|
|
—
|
|
|
—
|
|
||||
|
|
$
|
2,321,047
|
|
|
$
|
2,163,111
|
|
|
$
|
75,932
|
|
|
$
|
59,342
|
|
|
March 31, 2012
|
||||||||
|
Amortized Cost
|
|
Carrying
Amount/Fair Value
|
|
Percent
of Total
Carrying
Amount
|
||||
|
(Dollars in thousands)
|
|
|
||||||
PIIGS (1)
|
$
|
187,800
|
|
|
$
|
185,833
|
|
|
0.9%
|
Asia/Pacific
|
73,018
|
|
|
78,030
|
|
|
0.4%
|
||
Non-PIIGS Europe
|
951,711
|
|
|
996,206
|
|
|
4.9%
|
||
Latin America
|
130,213
|
|
|
138,795
|
|
|
0.7%
|
||
Non-U.S. North America
|
535,380
|
|
|
577,661
|
|
|
2.8%
|
||
Australia & New Zealand
|
309,120
|
|
|
314,914
|
|
|
1.5%
|
||
Other
|
150,724
|
|
|
171,641
|
|
|
0.8%
|
||
|
$
|
2,337,966
|
|
|
$
|
2,463,080
|
|
|
12.0%
|
General Description
|
|
Number of
Securities
|
|
Amortized
Cost
|
|
Unrealized
Gains
|
|
Fair Value
|
|
Months in
Continuous
Unrealized
Loss Position
|
|
Months
Unrealized
Losses
Greater
Than 20%
|
||||||
|
|
|
|
(Dollars in thousands)
|
|
|
|
|
||||||||||
Investment grade
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Corporate fixed maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Finance
|
|
4
|
|
|
64,478
|
|
|
(12,345
|
)
|
|
52,133
|
|
|
4 - 16
|
|
0 - 7
|
||
Industrial
|
|
3
|
|
|
18,278
|
|
|
(2,960
|
)
|
|
15,318
|
|
|
8 - 19
|
|
0 - 5
|
||
|
|
7
|
|
|
82,756
|
|
|
(15,305
|
)
|
|
67,451
|
|
|
|
|
|
||
Below investment grade
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Corporate fixed maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Finance
|
|
1
|
|
|
$
|
4,565
|
|
|
(456
|
)
|
|
$
|
4,109
|
|
|
1
|
|
—
|
|
|
8
|
|
|
$
|
87,321
|
|
|
(15,761
|
)
|
|
$
|
71,560
|
|
|
|
|
|
|
|
March 31, 2012
|
|
December 31, 2011
|
||||
|
|
(Dollars in thousands)
|
||||||
Mortgage loans with allowances
|
|
$
|
75,141
|
|
|
$
|
67,698
|
|
Mortgage loans with no allowance for losses
|
|
67,398
|
|
|
63,023
|
|
||
Allowance for probable loan losses
|
|
(29,595
|
)
|
|
(23,664
|
)
|
||
Net carrying value
|
|
$
|
112,944
|
|
|
$
|
107,057
|
|
|
Number
|
|
Name
|
Method of Filing
|
|
|
|
|
|
|
12.1
|
|
Ratio of Earnings to Fixed Charges
|
Filed herewith
|
|
|
|
|
|
|
31.1
|
|
Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
|
Filed herewith
|
|
|
|
|
|
|
31.2
|
|
Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
|
Filed herewith
|
|
|
|
|
|
|
32.1
|
|
Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
|
Filed herewith
|
|
|
|
|
|
|
32.2
|
|
Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
|
Filed herewith
|
|
|
|
|
|
|
101.INS
|
|
XBRL Instance Document
|
*
|
|
|
|
|
|
|
101.SCH
|
|
XBRL Taxonomy Extension Schema Document
|
*
|
|
|
|
|
|
|
101.CAL
|
|
XBRL Taxonomy Extension Calculation Linkbase Document
|
*
|
|
|
|
|
|
|
101.DEF
|
|
XBRL Taxonomy Extension Definition Linkbase Document
|
*
|
|
|
|
|
|
|
101.LAB
|
|
XBRL Taxonomy Extension Label Linkbase Document
|
*
|
|
|
|
|
|
|
101.PRE
|
|
XBRL Taxonomy Extension Presentation Linkbase Document
|
*
|
|
|
|
|
|
|
*
|
|
Pursuant to Rule 406T of Regulation S-T, these interactive data files are deemed not filed or part of a registration statement or prospectus for purposes of Sections 11 or 12 of the Securities Act of 1933, as amended, or Section 18 of the Securities and Exchange Act of 1934, as amended and otherwise are not subject to liability under those sections.
|
Date: May 7, 2012
|
AMERICAN EQUITY INVESTMENT LIFE
|
|
|
|
HOLDING COMPANY
|
|
|
|
|
|
|
|
By:
|
/s/ Wendy C. Waugaman
|
|
|
|
Wendy C. Waugaman, President
and Chief Executive Officer
|
|
|
|
(Principal Executive Officer)
|
|
|
|
|
|
|
By:
|
/s/ John M. Matovina
|
|
|
|
John M. Matovina, Vice Chairman,
Chief Financial Officer and Treasurer
|
|
|
|
(Principal Financial Officer)
|
|
|
|
|
|
|
By:
|
/s/ Ted M. Johnson
|
|
|
|
Ted M. Johnson, Vice President - Controller
|
|
|
|
(Principal Accounting Officer)
|
|
1 Year American Equity Investme... Chart |
1 Month American Equity Investme... Chart |
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