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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 | |
---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 56.47 | 0 | 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
|
(State or other jurisdiction of incorporation or organization)
|
|
(I.R.S. Employer Identification No.)
|
Large accelerated filer
x
|
|
Accelerated filer
o
|
Non-accelerated filer
o
|
|
Smaller reporting company
o
|
|
Page
|
|
|
|
|
|
|
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||
|
(Unaudited)
|
|
|
||||
Assets
|
|
|
|
||||
Investments:
|
|
|
|
||||
Fixed maturity securities:
|
|
|
|
||||
Available for sale, at fair value (amortized cost: 2016 - $39,199,077; 2015 - $35,823,710)
|
$
|
42,304,410
|
|
|
$
|
36,421,839
|
|
Held for investment, at amortized cost (fair value: 2016 - $75,547; 2015 - $65,377)
|
76,773
|
|
|
76,622
|
|
||
Equity securities, available for sale, at fair value (cost: 2016 - $7,520; 2015 - $7,515)
|
7,843
|
|
|
7,828
|
|
||
Mortgage loans on real estate
|
2,419,230
|
|
|
2,435,257
|
|
||
Derivative instruments
|
706,007
|
|
|
337,256
|
|
||
Other investments
|
297,068
|
|
|
291,530
|
|
||
Total investments
|
45,811,331
|
|
|
39,570,332
|
|
||
|
|
|
|
||||
Cash and cash equivalents
|
812,814
|
|
|
397,749
|
|
||
Coinsurance deposits
|
4,453,320
|
|
|
3,187,470
|
|
||
Accrued investment income
|
405,996
|
|
|
362,104
|
|
||
Deferred policy acquisition costs
|
2,370,781
|
|
|
2,905,136
|
|
||
Deferred sales inducements
|
1,800,435
|
|
|
2,232,148
|
|
||
Deferred income taxes
|
—
|
|
|
232,683
|
|
||
Income taxes recoverable
|
12,652
|
|
|
29,599
|
|
||
Other assets
|
180,892
|
|
|
112,171
|
|
||
Total assets
|
$
|
55,848,221
|
|
|
$
|
49,029,392
|
|
|
|
|
|
||||
Liabilities and Stockholders' Equity
|
|
|
|
||||
Liabilities:
|
|
|
|
||||
Policy benefit reserves
|
$
|
50,814,665
|
|
|
$
|
45,495,431
|
|
Other policy funds and contract claims
|
302,849
|
|
|
324,850
|
|
||
Notes and loan payable
|
493,445
|
|
|
393,227
|
|
||
Subordinated debentures
|
241,751
|
|
|
241,452
|
|
||
Deferred income taxes
|
110,551
|
|
|
—
|
|
||
Other liabilities
|
1,072,098
|
|
|
629,897
|
|
||
Total liabilities
|
53,035,359
|
|
|
47,084,857
|
|
||
|
|
|
|
||||
Stockholders' equity:
|
|
|
|
||||
Preferred stock, par value $1 per share, 2,000,000 shares authorized,
2016 and 2015 - no shares issued and outstanding
|
—
|
|
|
—
|
|
||
Common stock, par value $1 per share, 200,000,000 shares authorized; issued and outstanding:
2016 - 87,898,452 shares (excluding 3,221,258 treasury shares);
2015 - 81,354,079 shares (excluding 3,448,750 treasury shares)
|
87,898
|
|
|
81,354
|
|
||
Additional paid-in capital
|
767,570
|
|
|
630,367
|
|
||
Accumulated other comprehensive income
|
963,796
|
|
|
201,663
|
|
||
Retained earnings
|
993,598
|
|
|
1,031,151
|
|
||
Total stockholders' equity
|
2,812,862
|
|
|
1,944,535
|
|
||
Total liabilities and stockholders' equity
|
$
|
55,848,221
|
|
|
$
|
49,029,392
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Revenues:
|
|
|
|
|
|
|
|
||||||||
Premiums and other considerations
|
$
|
12,731
|
|
|
$
|
8,335
|
|
|
$
|
31,534
|
|
|
$
|
25,369
|
|
Annuity product charges
|
47,675
|
|
|
37,975
|
|
|
125,304
|
|
|
99,066
|
|
||||
Net investment income
|
463,583
|
|
|
436,085
|
|
|
1,374,239
|
|
|
1,253,930
|
|
||||
Change in fair value of derivatives
|
103,794
|
|
|
(351,360
|
)
|
|
68,828
|
|
|
(405,484
|
)
|
||||
Net realized gains (losses) on investments, excluding other than temporary impairment ("OTTI") losses
|
5,256
|
|
|
1,159
|
|
|
10,680
|
|
|
10,362
|
|
||||
OTTI losses on investments:
|
|
|
|
|
|
|
|
||||||||
Total OTTI losses
|
(4,554
|
)
|
|
(10,000
|
)
|
|
(11,334
|
)
|
|
(10,132
|
)
|
||||
Portion of OTTI losses recognized in (from) other comprehensive income
|
1,575
|
|
|
4,771
|
|
|
(1,785
|
)
|
|
3,943
|
|
||||
Net OTTI losses recognized in operations
|
(2,979
|
)
|
|
(5,229
|
)
|
|
(13,119
|
)
|
|
(6,189
|
)
|
||||
Total revenues
|
630,060
|
|
|
126,965
|
|
|
1,597,466
|
|
|
977,054
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Benefits and expenses:
|
|
|
|
|
|
|
|
||||||||
Insurance policy benefits and change in future policy benefits
|
15,065
|
|
|
10,959
|
|
|
37,567
|
|
|
32,629
|
|
||||
Interest sensitive and index product benefits
|
278,943
|
|
|
213,465
|
|
|
487,735
|
|
|
802,431
|
|
||||
Amortization of deferred sales inducements
|
69,245
|
|
|
65,807
|
|
|
127,396
|
|
|
152,278
|
|
||||
Change in fair value of embedded derivatives
|
144,404
|
|
|
(414,724
|
)
|
|
694,564
|
|
|
(583,112
|
)
|
||||
Interest expense on notes and loan payable
|
6,887
|
|
|
7,283
|
|
|
20,649
|
|
|
21,976
|
|
||||
Interest expense on subordinated debentures
|
3,253
|
|
|
3,075
|
|
|
9,627
|
|
|
9,138
|
|
||||
Amortization of deferred policy acquisition costs
|
98,108
|
|
|
67,885
|
|
|
198,486
|
|
|
186,871
|
|
||||
Other operating costs and expenses
|
25,133
|
|
|
24,497
|
|
|
78,786
|
|
|
70,487
|
|
||||
Total benefits and expenses
|
641,038
|
|
|
(21,753
|
)
|
|
1,654,810
|
|
|
692,698
|
|
||||
Income (loss) before income taxes
|
(10,978
|
)
|
|
148,718
|
|
|
(57,344
|
)
|
|
284,356
|
|
||||
Income tax expense (benefit)
|
(3,558
|
)
|
|
51,412
|
|
|
(19,791
|
)
|
|
98,302
|
|
||||
Net income (loss)
|
$
|
(7,420
|
)
|
|
$
|
97,306
|
|
|
$
|
(37,553
|
)
|
|
$
|
186,054
|
|
|
|
|
|
|
|
|
|
||||||||
Earnings (loss) per common share
|
$
|
(0.09
|
)
|
|
$
|
1.22
|
|
|
$
|
(0.45
|
)
|
|
$
|
2.39
|
|
Earnings (loss) per common share - assuming dilution
|
$
|
(0.09
|
)
|
|
$
|
1.19
|
|
|
$
|
(0.45
|
)
|
|
$
|
2.33
|
|
|
|
|
|
|
|
|
|
||||||||
Weighted average common shares outstanding (in thousands):
|
|
|
|
|
|
|
|
||||||||
Earnings (loss) per common share
|
86,262
|
|
|
79,676
|
|
|
83,645
|
|
|
77,995
|
|
||||
Earnings (loss) per common share - assuming dilution
|
87,044
|
|
|
81,559
|
|
|
84,413
|
|
|
79,977
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
|
|
|
|
|
|
|
||||||||
Net income (loss)
|
$
|
(7,420
|
)
|
|
$
|
97,306
|
|
|
$
|
(37,553
|
)
|
|
$
|
186,054
|
|
Other comprehensive income (loss):
|
|
|
|
|
|
|
|
||||||||
Change in net unrealized investment gains/losses (1)
|
107,003
|
|
|
60,402
|
|
|
1,167,763
|
|
|
(453,582
|
)
|
||||
Noncredit component of OTTI losses (1)
|
(731
|
)
|
|
(2,381
|
)
|
|
835
|
|
|
(1,968
|
)
|
||||
Reclassification of unrealized investment gains/losses to net income (loss) (1)
|
2,287
|
|
|
96
|
|
|
3,914
|
|
|
1,940
|
|
||||
Other comprehensive income (loss) before income tax
|
108,559
|
|
|
58,117
|
|
|
1,172,512
|
|
|
(453,610
|
)
|
||||
Income tax effect related to other comprehensive income (loss)
|
(37,995
|
)
|
|
(20,341
|
)
|
|
(410,379
|
)
|
|
158,764
|
|
||||
Other comprehensive income (loss)
|
70,564
|
|
|
37,776
|
|
|
762,133
|
|
|
(294,846
|
)
|
||||
Comprehensive income (loss)
|
$
|
63,144
|
|
|
$
|
135,082
|
|
|
$
|
724,580
|
|
|
$
|
(108,792
|
)
|
(1)
|
Net of related adjustments to amortization of deferred sales inducements and deferred policy acquisition costs.
|
|
Common
Stock
|
|
Additional
Paid-in
Capital
|
|
Accumulated
Other
Comprehensive
Income |
|
Retained
Earnings
|
|
Total
Stockholders'
Equity
|
||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||
Balance at December 31, 2015
|
$
|
81,354
|
|
|
$
|
630,367
|
|
|
$
|
201,663
|
|
|
$
|
1,031,151
|
|
|
$
|
1,944,535
|
|
Net loss for period
|
—
|
|
|
—
|
|
|
—
|
|
|
(37,553
|
)
|
|
(37,553
|
)
|
|||||
Other comprehensive income
|
—
|
|
|
—
|
|
|
762,133
|
|
|
—
|
|
|
762,133
|
|
|||||
Share-based compensation, including excess income tax benefits
|
—
|
|
|
5,335
|
|
|
—
|
|
|
—
|
|
|
5,335
|
|
|||||
Issuance of common stock via settlement of forward sale agreements
|
5,590
|
|
|
129,072
|
|
|
—
|
|
|
—
|
|
|
134,662
|
|
|||||
Issuance of 861,375 shares of common stock under compensation plans, including excess income tax benefits
|
861
|
|
|
2,890
|
|
|
—
|
|
|
—
|
|
|
3,751
|
|
|||||
Issuance of 92,998 shares of common stock to settle warrants that have reached their expiration
|
93
|
|
|
(94
|
)
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|||||
Balance at September 30, 2016
|
$
|
87,898
|
|
|
$
|
767,570
|
|
|
$
|
963,796
|
|
|
$
|
993,598
|
|
|
$
|
2,812,862
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Balance at December 31, 2014
|
$
|
76,062
|
|
|
$
|
513,218
|
|
|
$
|
721,401
|
|
|
$
|
829,195
|
|
|
$
|
2,139,876
|
|
Net income for period
|
—
|
|
|
—
|
|
|
—
|
|
|
186,054
|
|
|
186,054
|
|
|||||
Other comprehensive loss
|
—
|
|
|
—
|
|
|
(294,846
|
)
|
|
—
|
|
|
(294,846
|
)
|
|||||
Share-based compensation, including excess income tax benefits
|
—
|
|
|
7,567
|
|
|
—
|
|
|
—
|
|
|
7,567
|
|
|||||
Issuance of common stock via public offering
|
4,300
|
|
|
100,179
|
|
|
—
|
|
|
—
|
|
|
104,479
|
|
|||||
Issuance of 828,529 shares of common stock under compensation plans, including excess income tax benefits
|
829
|
|
|
5,950
|
|
|
—
|
|
|
—
|
|
|
6,779
|
|
|||||
Balance at September 30, 2015
|
$
|
81,191
|
|
|
$
|
626,914
|
|
|
$
|
426,555
|
|
|
$
|
1,015,249
|
|
|
$
|
2,149,909
|
|
|
Nine Months Ended
September 30, |
||||||
|
2016
|
|
2015
|
||||
Operating activities
|
|
|
|
||||
Net income (loss)
|
$
|
(37,553
|
)
|
|
$
|
186,054
|
|
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
|
|
|
|
||||
Interest sensitive and index product benefits
|
487,735
|
|
|
802,431
|
|
||
Amortization of deferred sales inducements
|
127,396
|
|
|
152,278
|
|
||
Annuity product charges
|
(125,304
|
)
|
|
(99,066
|
)
|
||
Change in fair value of embedded derivatives
|
694,564
|
|
|
(583,112
|
)
|
||
Change in traditional life and accident and health insurance reserves
|
8,977
|
|
|
3,024
|
|
||
Policy acquisition costs deferred
|
(423,525
|
)
|
|
(464,451
|
)
|
||
Amortization of deferred policy acquisition costs
|
198,486
|
|
|
186,871
|
|
||
Provision for depreciation and other amortization
|
3,000
|
|
|
3,733
|
|
||
Amortization of discounts and premiums on investments
|
(2,258
|
)
|
|
(10,730
|
)
|
||
Realized gains (losses) on investments and net OTTI losses recognized in operations
|
2,439
|
|
|
(4,173
|
)
|
||
Change in fair value of derivatives
|
(70,002
|
)
|
|
404,085
|
|
||
Deferred income taxes
|
(66,895
|
)
|
|
23,640
|
|
||
Share-based compensation
|
4,849
|
|
|
5,332
|
|
||
Change in accrued investment income
|
(43,892
|
)
|
|
(48,963
|
)
|
||
Change in income taxes recoverable/payable
|
16,947
|
|
|
4,794
|
|
||
Change in other assets
|
1,930
|
|
|
1,053
|
|
||
Change in other policy funds and contract claims
|
(27,627
|
)
|
|
(36,876
|
)
|
||
Change in collateral held for derivatives
|
254,210
|
|
|
(469,752
|
)
|
||
Change in other liabilities
|
(48,608
|
)
|
|
24,766
|
|
||
Other
|
(10,363
|
)
|
|
(9,843
|
)
|
||
Net cash provided by operating activities
|
944,506
|
|
|
71,095
|
|
||
|
|
|
|
||||
Investing activities
|
|
|
|
||||
Sales, maturities, or repayments of investments:
|
|
|
|
||||
Fixed maturity securities - available for sale
|
1,853,281
|
|
|
1,280,927
|
|
||
Mortgage loans on real estate
|
302,262
|
|
|
354,391
|
|
||
Derivative instruments
|
147,887
|
|
|
563,125
|
|
||
Other investments
|
12,928
|
|
|
11,716
|
|
||
Acquisition of investments:
|
|
|
|
||||
Fixed maturity securities - available for sale
|
(5,065,873
|
)
|
|
(5,041,263
|
)
|
||
Mortgage loans on real estate
|
(284,186
|
)
|
|
(362,123
|
)
|
||
Derivative instruments
|
(444,360
|
)
|
|
(427,763
|
)
|
||
Other investments
|
(9,778
|
)
|
|
(5,206
|
)
|
||
Purchases of property, furniture and equipment
|
(872
|
)
|
|
(913
|
)
|
||
Net cash used in investing activities
|
(3,488,711
|
)
|
|
(3,627,109
|
)
|
|
Nine Months Ended
September 30, |
||||||
|
2016
|
|
2015
|
||||
Financing activities
|
|
|
|
||||
Receipts credited to annuity and single premium universal life policyholder account balances
|
$
|
5,712,759
|
|
|
$
|
4,913,473
|
|
Coinsurance deposits
|
(1,180,827
|
)
|
|
21,623
|
|
||
Return of annuity policyholder account balances
|
(1,806,895
|
)
|
|
(1,638,598
|
)
|
||
Financing fees incurred and deferred
|
(1,456
|
)
|
|
—
|
|
||
Repayment of notes payable
|
—
|
|
|
(48,152
|
)
|
||
Net proceeds from settlement of notes hedges and warrants
|
—
|
|
|
25,775
|
|
||
Proceeds from issuance of debt
|
100,000
|
|
|
—
|
|
||
Acquisition of common stock
|
—
|
|
|
(16
|
)
|
||
Excess tax benefits realized from share-based compensation plans
|
487
|
|
|
3,281
|
|
||
Proceeds from issuance of common stock
|
138,660
|
|
|
111,274
|
|
||
Change in checks in excess of cash balance
|
(3,458
|
)
|
|
(10,546
|
)
|
||
Net cash provided by financing activities
|
2,959,270
|
|
|
3,378,114
|
|
||
Increase in cash and cash equivalents
|
415,065
|
|
|
(177,900
|
)
|
||
Cash and cash equivalents at beginning of period
|
397,749
|
|
|
701,514
|
|
||
Cash and cash equivalents at end of period
|
$
|
812,814
|
|
|
$
|
523,614
|
|
|
|
|
|
||||
Supplemental disclosures of cash flow information
|
|
|
|
||||
Cash paid during period for:
|
|
|
|
||||
Interest expense
|
$
|
35,764
|
|
|
$
|
36,136
|
|
Income taxes
|
29,961
|
|
|
66,541
|
|
||
Non-cash operating activity:
|
|
|
|
||||
Deferral of sales inducements
|
270,991
|
|
|
346,410
|
|
||
Non-cash financing activities:
|
|
|
|
||||
Common stock issued to settle warrants that have expired
|
93
|
|
|
—
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||||
|
Carrying
Amount
|
|
Fair Value
|
|
Carrying
Amount
|
|
Fair Value
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
Assets
|
|
|
|
|
|
|
|
||||||||
Fixed maturity securities:
|
|
|
|
|
|
|
|
||||||||
Available for sale
|
$
|
42,304,410
|
|
|
$
|
42,304,410
|
|
|
$
|
36,421,839
|
|
|
$
|
36,421,839
|
|
Held for investment
|
76,773
|
|
|
75,547
|
|
|
76,622
|
|
|
65,377
|
|
||||
Equity securities, available for sale
|
7,843
|
|
|
7,843
|
|
|
7,828
|
|
|
7,828
|
|
||||
Mortgage loans on real estate
|
2,419,230
|
|
|
2,446,247
|
|
|
2,435,257
|
|
|
2,471,864
|
|
||||
Derivative instruments
|
706,007
|
|
|
706,007
|
|
|
337,256
|
|
|
337,256
|
|
||||
Other investments
|
297,068
|
|
|
290,719
|
|
|
285,044
|
|
|
290,075
|
|
||||
Cash and cash equivalents
|
812,814
|
|
|
812,814
|
|
|
397,749
|
|
|
397,749
|
|
||||
Coinsurance deposits
|
4,453,320
|
|
|
3,997,317
|
|
|
3,187,470
|
|
|
2,860,882
|
|
||||
Interest rate caps
|
307
|
|
|
307
|
|
|
1,410
|
|
|
1,410
|
|
||||
Counterparty collateral
|
144,082
|
|
|
144,082
|
|
|
82,312
|
|
|
82,312
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
||||||||
Policy benefit reserves
|
50,461,717
|
|
|
42,237,613
|
|
|
45,151,460
|
|
|
38,435,515
|
|
||||
Single premium immediate annuity (SPIA) benefit reserves
|
302,428
|
|
|
313,130
|
|
|
324,264
|
|
|
336,066
|
|
||||
Notes and loan payable
|
493,445
|
|
|
520,800
|
|
|
393,227
|
|
|
417,752
|
|
||||
Subordinated debentures
|
241,751
|
|
|
227,755
|
|
|
241,452
|
|
|
216,933
|
|
||||
Interest rate swap
|
4,944
|
|
|
4,944
|
|
|
3,139
|
|
|
3,139
|
|
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)
|
||||||||||||||
September 30, 2016
|
|
|
|
|
|
|
|
||||||||
Assets
|
|
|
|
|
|
|
|
||||||||
Fixed maturity securities:
|
|
|
|
|
|
|
|
||||||||
Available for sale:
|
|
|
|
|
|
|
|
||||||||
United States Government full faith and credit
|
$
|
418,465
|
|
|
$
|
411,408
|
|
|
$
|
7,057
|
|
|
$
|
—
|
|
United States Government sponsored agencies
|
1,472,904
|
|
|
—
|
|
|
1,472,904
|
|
|
—
|
|
||||
United States municipalities, states and territories
|
4,052,210
|
|
|
—
|
|
|
4,052,210
|
|
|
—
|
|
||||
Foreign government obligations
|
254,420
|
|
|
—
|
|
|
254,420
|
|
|
—
|
|
||||
Corporate securities
|
27,915,657
|
|
|
6
|
|
|
27,915,651
|
|
|
—
|
|
||||
Residential mortgage backed securities
|
1,358,174
|
|
|
—
|
|
|
1,358,174
|
|
|
—
|
|
||||
Commercial mortgage backed securities
|
5,310,156
|
|
|
—
|
|
|
5,310,156
|
|
|
—
|
|
||||
Other asset backed securities
|
1,522,424
|
|
|
—
|
|
|
1,522,424
|
|
|
—
|
|
||||
Equity securities, available for sale: finance, insurance and real estate
|
7,843
|
|
|
—
|
|
|
7,843
|
|
|
—
|
|
||||
Derivative instruments
|
706,007
|
|
|
—
|
|
|
706,007
|
|
|
—
|
|
||||
Cash and cash equivalents
|
812,814
|
|
|
812,814
|
|
|
—
|
|
|
—
|
|
||||
Interest rate caps
|
307
|
|
|
—
|
|
|
307
|
|
|
—
|
|
||||
Counterparty collateral
|
144,082
|
|
|
—
|
|
|
144,082
|
|
|
—
|
|
||||
|
$
|
43,975,463
|
|
|
$
|
1,224,228
|
|
|
$
|
42,751,235
|
|
|
$
|
—
|
|
Liabilities
|
|
|
|
|
|
|
|
||||||||
Interest rate swap
|
$
|
4,944
|
|
|
$
|
—
|
|
|
$
|
4,944
|
|
|
$
|
—
|
|
Fixed index annuities - embedded derivatives
|
6,678,102
|
|
|
—
|
|
|
—
|
|
|
6,678,102
|
|
||||
|
$
|
6,683,046
|
|
|
$
|
—
|
|
|
$
|
4,944
|
|
|
$
|
6,678,102
|
|
|
|
|
|
|
|
|
|
||||||||
December 31, 2015
|
|
|
|
|
|
|
|
||||||||
Assets
|
|
|
|
|
|
|
|
||||||||
Fixed maturity securities:
|
|
|
|
|
|
|
|
||||||||
Available for sale:
|
|
|
|
|
|
|
|
||||||||
United States Government full faith and credit
|
$
|
471,256
|
|
|
$
|
438,598
|
|
|
$
|
32,658
|
|
|
$
|
—
|
|
United States Government sponsored agencies
|
1,398,611
|
|
|
—
|
|
|
1,398,611
|
|
|
—
|
|
||||
United States municipalities, states and territories
|
3,755,367
|
|
|
—
|
|
|
3,755,367
|
|
|
—
|
|
||||
Foreign government obligations
|
212,565
|
|
|
—
|
|
|
212,565
|
|
|
—
|
|
||||
Corporate securities
|
23,802,394
|
|
|
121
|
|
|
23,802,273
|
|
|
—
|
|
||||
Residential mortgage backed securities
|
1,462,072
|
|
|
—
|
|
|
1,462,072
|
|
|
—
|
|
||||
Commercial mortgage backed securities
|
4,174,396
|
|
|
—
|
|
|
4,174,396
|
|
|
—
|
|
||||
Other asset backed securities
|
1,145,178
|
|
|
—
|
|
|
1,145,178
|
|
|
—
|
|
||||
Equity securities, available for sale: finance, insurance and real estate
|
7,828
|
|
|
—
|
|
|
7,828
|
|
|
—
|
|
||||
Derivative instruments
|
337,256
|
|
|
—
|
|
|
337,256
|
|
|
—
|
|
||||
Cash and cash equivalents
|
397,749
|
|
|
397,749
|
|
|
—
|
|
|
—
|
|
||||
Interest rate caps
|
1,410
|
|
|
—
|
|
|
1,410
|
|
|
—
|
|
||||
Counterparty collateral
|
82,312
|
|
|
—
|
|
|
82,312
|
|
|
—
|
|
||||
|
$
|
37,248,394
|
|
|
$
|
836,468
|
|
|
$
|
36,411,926
|
|
|
$
|
—
|
|
Liabilities
|
|
|
|
|
|
|
|
||||||||
Interest rate swap
|
$
|
3,139
|
|
|
$
|
—
|
|
|
$
|
3,139
|
|
|
$
|
—
|
|
Fixed index annuities - embedded derivatives
|
5,983,622
|
|
|
—
|
|
|
—
|
|
|
5,983,622
|
|
||||
|
$
|
5,986,761
|
|
|
$
|
—
|
|
|
$
|
3,139
|
|
|
$
|
5,983,622
|
|
•
|
reported trading prices,
|
•
|
benchmark yields,
|
•
|
broker-dealer quotes,
|
•
|
benchmark securities,
|
•
|
bids and offers,
|
•
|
credit ratings,
|
•
|
relative credit information, and
|
•
|
other reference data.
|
|
|
Average Lapse Rates
|
|
Average Partial Withdrawal Rates
|
||||
Contract Duration (Years)
|
|
September 30, 2016
|
|
December 31, 2015
|
|
September 30, 2016
|
|
December 31, 2015
|
1 - 5
|
|
1.76%
|
|
1.58%
|
|
3.30%
|
|
3.08%
|
6 - 10
|
|
6.59%
|
|
8.55%
|
|
3.30%
|
|
3.55%
|
11 - 15
|
|
11.25%
|
|
12.01%
|
|
3.32%
|
|
3.59%
|
16 - 20
|
|
12.03%
|
|
12.99%
|
|
3.18%
|
|
3.22%
|
20+
|
|
11.68%
|
|
12.54%
|
|
3.18%
|
|
3.22%
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
Available for sale securities
|
|
|
|
|
|
|
|
||||||||
Beginning balance
|
$
|
—
|
|
|
$
|
26
|
|
|
$
|
—
|
|
|
$
|
375
|
|
Principal returned
|
—
|
|
|
(2
|
)
|
|
—
|
|
|
(23
|
)
|
||||
Amortization of premium/accretion of discount
|
—
|
|
|
(28
|
)
|
|
—
|
|
|
(494
|
)
|
||||
Total gains (losses) (realized/unrealized):
|
|
|
|
|
|
|
|
||||||||
Included in other comprehensive income (loss)
|
—
|
|
|
4
|
|
|
—
|
|
|
280
|
|
||||
Included in operations
|
—
|
|
|
—
|
|
|
—
|
|
|
(138
|
)
|
||||
Ending balance
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
Fixed index annuities - embedded derivatives
|
|
|
|
|
|
|
|
||||||||
Beginning balance
|
$
|
6,499,015
|
|
|
$
|
5,984,007
|
|
|
$
|
5,983,622
|
|
|
$
|
5,574,653
|
|
Premiums less benefits
|
137,526
|
|
|
207,141
|
|
|
273,287
|
|
|
1,020,853
|
|
||||
Change in fair value, net
|
41,561
|
|
|
(460,031
|
)
|
|
421,193
|
|
|
(864,389
|
)
|
||||
Ending balance
|
$
|
6,678,102
|
|
|
$
|
5,731,117
|
|
|
$
|
6,678,102
|
|
|
$
|
5,731,117
|
|
|
Amortized
Cost
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Fair Value
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
September 30, 2016
|
|
|
|
|
|
|
|
||||||||
Fixed maturity securities:
|
|
|
|
|
|
|
|
||||||||
Available for sale:
|
|
|
|
|
|
|
|
||||||||
United States Government full faith and credit
|
$
|
416,503
|
|
|
$
|
1,962
|
|
|
$
|
—
|
|
|
$
|
418,465
|
|
United States Government sponsored agencies
|
1,410,760
|
|
|
62,563
|
|
|
(419
|
)
|
|
1,472,904
|
|
||||
United States municipalities, states and territories
|
3,548,586
|
|
|
503,992
|
|
|
(368
|
)
|
|
4,052,210
|
|
||||
Foreign government obligations
|
233,825
|
|
|
24,420
|
|
|
(3,825
|
)
|
|
254,420
|
|
||||
Corporate securities
|
25,751,501
|
|
|
2,298,306
|
|
|
(134,150
|
)
|
|
27,915,657
|
|
||||
Residential mortgage backed securities
|
1,225,720
|
|
|
134,685
|
|
|
(2,231
|
)
|
|
1,358,174
|
|
||||
Commercial mortgage backed securities
|
5,121,361
|
|
|
216,346
|
|
|
(27,551
|
)
|
|
5,310,156
|
|
||||
Other asset backed securities
|
1,490,821
|
|
|
46,705
|
|
|
(15,102
|
)
|
|
1,522,424
|
|
||||
|
$
|
39,199,077
|
|
|
$
|
3,288,979
|
|
|
$
|
(183,646
|
)
|
|
$
|
42,304,410
|
|
Held for investment:
|
|
|
|
|
|
|
|
||||||||
Corporate security
|
$
|
76,773
|
|
|
$
|
—
|
|
|
$
|
(1,226
|
)
|
|
$
|
75,547
|
|
|
|
|
|
|
|
|
|
||||||||
Equity securities, available for sale:
|
|
|
|
|
|
|
|
||||||||
Finance, insurance, and real estate
|
$
|
7,520
|
|
|
$
|
323
|
|
|
$
|
—
|
|
|
$
|
7,843
|
|
|
|
|
|
|
|
|
|
||||||||
December 31, 2015
|
|
|
|
|
|
|
|
||||||||
Fixed maturity securities:
|
|
|
|
|
|
|
|
||||||||
Available for sale:
|
|
|
|
|
|
|
|
||||||||
United States Government full faith and credit
|
$
|
470,567
|
|
|
$
|
988
|
|
|
$
|
(299
|
)
|
|
$
|
471,256
|
|
United States Government sponsored agencies
|
1,386,219
|
|
|
26,801
|
|
|
(14,409
|
)
|
|
1,398,611
|
|
||||
United States municipalities, states and territories
|
3,422,667
|
|
|
341,328
|
|
|
(8,628
|
)
|
|
3,755,367
|
|
||||
Foreign government obligations
|
210,953
|
|
|
12,547
|
|
|
(10,935
|
)
|
|
212,565
|
|
||||
Corporate securities
|
23,597,530
|
|
|
887,288
|
|
|
(682,424
|
)
|
|
23,802,394
|
|
||||
Residential mortgage backed securities
|
1,366,985
|
|
|
98,576
|
|
|
(3,489
|
)
|
|
1,462,072
|
|
||||
Commercial mortgage backed securities
|
4,238,265
|
|
|
41,412
|
|
|
(105,281
|
)
|
|
4,174,396
|
|
||||
Other asset backed securities
|
1,130,524
|
|
|
34,534
|
|
|
(19,880
|
)
|
|
1,145,178
|
|
||||
|
$
|
35,823,710
|
|
|
$
|
1,443,474
|
|
|
$
|
(845,345
|
)
|
|
$
|
36,421,839
|
|
Held for investment:
|
|
|
|
|
|
|
|
||||||||
Corporate security
|
$
|
76,622
|
|
|
$
|
—
|
|
|
$
|
(11,245
|
)
|
|
$
|
65,377
|
|
|
|
|
|
|
|
|
|
||||||||
Equity securities, available for sale:
|
|
|
|
|
|
|
|
||||||||
Finance, insurance, and real estate
|
$
|
7,515
|
|
|
$
|
313
|
|
|
$
|
—
|
|
|
$
|
7,828
|
|
|
Available for sale
|
|
Held for investment
|
||||||||||||
|
Amortized
Cost
|
|
Fair Value
|
|
Amortized
Cost
|
|
Fair Value
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
Due in one year or less
|
$
|
585,813
|
|
|
$
|
591,574
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Due after one year through five years
|
2,449,847
|
|
|
2,626,859
|
|
|
—
|
|
|
—
|
|
||||
Due after five years through ten years
|
11,633,226
|
|
|
12,222,759
|
|
|
—
|
|
|
—
|
|
||||
Due after ten years through twenty years
|
8,770,193
|
|
|
9,756,946
|
|
|
—
|
|
|
—
|
|
||||
Due after twenty years
|
7,922,096
|
|
|
8,915,518
|
|
|
76,773
|
|
|
75,547
|
|
||||
|
31,361,175
|
|
|
34,113,656
|
|
|
76,773
|
|
|
75,547
|
|
||||
Residential mortgage backed securities
|
1,225,720
|
|
|
1,358,174
|
|
|
—
|
|
|
—
|
|
||||
Commercial mortgage backed securities
|
5,121,361
|
|
|
5,310,156
|
|
|
—
|
|
|
—
|
|
||||
Other asset backed securities
|
1,490,821
|
|
|
1,522,424
|
|
|
—
|
|
|
—
|
|
||||
|
$
|
39,199,077
|
|
|
$
|
42,304,410
|
|
|
$
|
76,773
|
|
|
$
|
75,547
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||
|
(Dollars in thousands)
|
||||||
Net unrealized gains on available for sale fixed maturity securities and equity securities
|
$
|
3,105,656
|
|
|
$
|
598,442
|
|
Adjustments for assumed changes in amortization of deferred policy acquisition costs and deferred sales inducements
|
(1,657,561
|
)
|
|
(322,859
|
)
|
||
Deferred income tax valuation allowance reversal
|
22,534
|
|
|
22,534
|
|
||
Deferred income tax expense
|
(506,833
|
)
|
|
(96,454
|
)
|
||
Net unrealized gains reported as accumulated other comprehensive income
|
$
|
963,796
|
|
|
$
|
201,663
|
|
|
Less than 12 months
|
|
12 months or more
|
|
Total
|
||||||||||||||||||
|
Fair Value
|
|
Unrealized
Losses
|
|
Fair Value
|
|
Unrealized
Losses
|
|
Fair Value
|
|
Unrealized
Losses
|
||||||||||||
|
(Dollars in thousands)
|
||||||||||||||||||||||
September 30, 2016
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Fixed maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Available for sale:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
United States Government sponsored agencies
|
$
|
76,581
|
|
|
$
|
(419
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
76,581
|
|
|
$
|
(419
|
)
|
United States municipalities, states and territories
|
68,084
|
|
|
(368
|
)
|
|
—
|
|
|
—
|
|
|
68,084
|
|
|
(368
|
)
|
||||||
Foreign government obligations
|
—
|
|
|
—
|
|
|
20,750
|
|
|
(3,825
|
)
|
|
20,750
|
|
|
(3,825
|
)
|
||||||
Corporate securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Finance, insurance and real estate
|
453,189
|
|
|
(5,447
|
)
|
|
100,261
|
|
|
(5,376
|
)
|
|
553,450
|
|
|
(10,823
|
)
|
||||||
Manufacturing, construction and mining
|
271,769
|
|
|
(5,102
|
)
|
|
764,319
|
|
|
(80,318
|
)
|
|
1,036,088
|
|
|
(85,420
|
)
|
||||||
Utilities and related sectors
|
157,473
|
|
|
(3,440
|
)
|
|
221,059
|
|
|
(17,989
|
)
|
|
378,532
|
|
|
(21,429
|
)
|
||||||
Wholesale/retail trade
|
16,064
|
|
|
(75
|
)
|
|
59,574
|
|
|
(3,914
|
)
|
|
75,638
|
|
|
(3,989
|
)
|
||||||
Services, media and other
|
136,667
|
|
|
(4,545
|
)
|
|
133,607
|
|
|
(7,944
|
)
|
|
270,274
|
|
|
(12,489
|
)
|
||||||
Residential mortgage backed securities
|
38,200
|
|
|
(2,144
|
)
|
|
1,976
|
|
|
(87
|
)
|
|
40,176
|
|
|
(2,231
|
)
|
||||||
Commercial mortgage backed securities
|
945,680
|
|
|
(27,518
|
)
|
|
937
|
|
|
(33
|
)
|
|
946,617
|
|
|
(27,551
|
)
|
||||||
Other asset backed securities
|
263,184
|
|
|
(9,224
|
)
|
|
98,048
|
|
|
(5,878
|
)
|
|
361,232
|
|
|
(15,102
|
)
|
||||||
|
$
|
2,426,891
|
|
|
$
|
(58,282
|
)
|
|
$
|
1,400,531
|
|
|
$
|
(125,364
|
)
|
|
$
|
3,827,422
|
|
|
$
|
(183,646
|
)
|
Held for investment:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Corporate security:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Insurance
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
75,547
|
|
|
$
|
(1,226
|
)
|
|
$
|
75,547
|
|
|
$
|
(1,226
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
December 31, 2015
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Fixed maturity securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Available for sale:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
United States Government full faith and credit
|
$
|
37,730
|
|
|
$
|
(299
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
37,730
|
|
|
$
|
(299
|
)
|
United States Government sponsored agencies
|
957,053
|
|
|
(14,409
|
)
|
|
—
|
|
|
—
|
|
|
957,053
|
|
|
(14,409
|
)
|
||||||
United States municipalities, states and territories
|
261,823
|
|
|
(8,474
|
)
|
|
2,846
|
|
|
(154
|
)
|
|
264,669
|
|
|
(8,628
|
)
|
||||||
Foreign government obligations
|
42,966
|
|
|
(1,762
|
)
|
|
15,463
|
|
|
(9,173
|
)
|
|
58,429
|
|
|
(10,935
|
)
|
||||||
Corporate securities:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Finance, insurance and real estate
|
2,077,223
|
|
|
(59,607
|
)
|
|
49,912
|
|
|
(14,855
|
)
|
|
2,127,135
|
|
|
(74,462
|
)
|
||||||
Manufacturing, construction and mining
|
3,517,967
|
|
|
(246,456
|
)
|
|
376,229
|
|
|
(131,003
|
)
|
|
3,894,196
|
|
|
(377,459
|
)
|
||||||
Utilities and related sectors
|
2,240,652
|
|
|
(138,940
|
)
|
|
97,184
|
|
|
(22,565
|
)
|
|
2,337,836
|
|
|
(161,505
|
)
|
||||||
Wholesale/retail trade
|
473,050
|
|
|
(17,863
|
)
|
|
38,682
|
|
|
(8,125
|
)
|
|
511,732
|
|
|
(25,988
|
)
|
||||||
Services, media and other
|
1,037,011
|
|
|
(39,937
|
)
|
|
32,050
|
|
|
(3,073
|
)
|
|
1,069,061
|
|
|
(43,010
|
)
|
||||||
Residential mortgage backed securities
|
162,770
|
|
|
(2,958
|
)
|
|
6,438
|
|
|
(531
|
)
|
|
169,208
|
|
|
(3,489
|
)
|
||||||
Commercial mortgage backed securities
|
2,679,510
|
|
|
(105,002
|
)
|
|
11,495
|
|
|
(279
|
)
|
|
2,691,005
|
|
|
(105,281
|
)
|
||||||
Other asset backed securities
|
457,055
|
|
|
(10,581
|
)
|
|
46,657
|
|
|
(9,299
|
)
|
|
503,712
|
|
|
(19,880
|
)
|
||||||
|
$
|
13,944,810
|
|
|
$
|
(646,288
|
)
|
|
$
|
676,956
|
|
|
$
|
(199,057
|
)
|
|
$
|
14,621,766
|
|
|
$
|
(845,345
|
)
|
Held for investment:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Corporate security:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Insurance
|
$
|
65,377
|
|
|
$
|
(11,245
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
65,377
|
|
|
$
|
(11,245
|
)
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
Fixed maturity securities held for investment carried at amortized cost
|
$
|
6,954
|
|
|
$
|
(3,753
|
)
|
|
$
|
10,019
|
|
|
$
|
(13,980
|
)
|
Investments carried at fair value:
|
|
|
|
|
|
|
|
||||||||
Fixed maturity securities, available for sale
|
$
|
224,258
|
|
|
$
|
118,345
|
|
|
$
|
2,507,204
|
|
|
$
|
(908,644
|
)
|
Equity securities, available for sale
|
28
|
|
|
(30
|
)
|
|
10
|
|
|
23
|
|
||||
|
224,286
|
|
|
118,315
|
|
|
2,507,214
|
|
|
(908,621
|
)
|
||||
Adjustment for effect on other balance sheet accounts:
|
|
|
|
|
|
|
|
||||||||
Deferred policy acquisition costs and deferred sales inducements
|
(115,727
|
)
|
|
(60,198
|
)
|
|
(1,334,702
|
)
|
|
455,011
|
|
||||
Deferred income tax asset/liability
|
(37,995
|
)
|
|
(20,341
|
)
|
|
(410,379
|
)
|
|
158,764
|
|
||||
|
(153,722
|
)
|
|
(80,539
|
)
|
|
(1,745,081
|
)
|
|
613,775
|
|
||||
Change in net unrealized gains on investments carried at fair value
|
$
|
70,564
|
|
|
$
|
37,776
|
|
|
$
|
762,133
|
|
|
$
|
(294,846
|
)
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
Available for sale fixed maturity securities:
|
|
|
|
|
|
|
|
||||||||
Gross realized gains
|
$
|
4,956
|
|
|
$
|
283
|
|
|
$
|
11,047
|
|
|
$
|
4,783
|
|
Gross realized losses
|
(79
|
)
|
|
(97
|
)
|
|
(2,678
|
)
|
|
(897
|
)
|
||||
|
4,877
|
|
|
186
|
|
|
8,369
|
|
|
3,886
|
|
||||
Other investments:
|
|
|
|
|
|
|
|
||||||||
Gain on sale of real estate
|
31
|
|
|
2,245
|
|
|
867
|
|
|
3,278
|
|
||||
Loss on sale of real estate
|
—
|
|
|
—
|
|
|
(93
|
)
|
|
(575
|
)
|
||||
Impairment losses on real estate
|
—
|
|
|
(570
|
)
|
|
—
|
|
|
(1,199
|
)
|
||||
|
31
|
|
|
1,675
|
|
|
774
|
|
|
1,504
|
|
||||
Mortgage loans on real estate:
|
|
|
|
|
|
|
|
||||||||
Decrease (increase) in allowance for credit losses
|
(113
|
)
|
|
(702
|
)
|
|
(3,946
|
)
|
|
597
|
|
||||
Recovery of specific allowance
|
461
|
|
|
—
|
|
|
5,483
|
|
|
4,375
|
|
||||
|
348
|
|
|
(702
|
)
|
|
1,537
|
|
|
4,972
|
|
||||
|
$
|
5,256
|
|
|
$
|
1,159
|
|
|
$
|
10,680
|
|
|
$
|
10,362
|
|
•
|
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 mortgage and asset backed securities.
|
|
|
|
|
Discount Rate
|
|
Default Rate
|
|
Loss Severity
|
||||||||||||
Sector
|
|
Vintage
|
|
Min
|
|
Max
|
|
Min
|
|
Max
|
|
Min
|
|
Max
|
||||||
Nine months ended September 30, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Prime
|
|
2005
|
|
7.7
|
%
|
|
7.7
|
%
|
|
14
|
%
|
|
14
|
%
|
|
50
|
%
|
|
50
|
%
|
|
|
2006
|
|
7.3
|
%
|
|
7.3
|
%
|
|
13
|
%
|
|
13
|
%
|
|
50
|
%
|
|
50
|
%
|
|
|
2007
|
|
6.2
|
%
|
|
6.4
|
%
|
|
18
|
%
|
|
31
|
%
|
|
50
|
%
|
|
55
|
%
|
Alt-A
|
|
2005
|
|
7.4
|
%
|
|
7.4
|
%
|
|
11
|
%
|
|
11
|
%
|
|
60
|
%
|
|
60
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Nine months ended September 30, 2015
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Prime
|
|
2006
|
|
6.5
|
%
|
|
6.5
|
%
|
|
14
|
%
|
|
14
|
%
|
|
40
|
%
|
|
40
|
%
|
|
|
2007
|
|
5.8
|
%
|
|
7.0
|
%
|
|
15
|
%
|
|
21
|
%
|
|
45
|
%
|
|
55
|
%
|
Alt-A
|
|
2005
|
|
5.6
|
%
|
|
5.6
|
%
|
|
99
|
%
|
|
99
|
%
|
|
2
|
%
|
|
2
|
%
|
|
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 September 30, 2016
|
|
|
|
|
|
|
|
||||||
Fixed maturity securities, available for sale:
|
|
|
|
|
|
|
|
||||||
Corporate securities:
|
|
|
|
|
|
|
|
||||||
Materials
|
1
|
|
$
|
(4,554
|
)
|
|
$
|
1,575
|
|
|
$
|
(2,979
|
)
|
|
|
|
|
|
|
|
|
||||||
Three months ended September 30, 2015
|
|
|
|
|
|
|
|
||||||
Fixed maturity securities, available for sale:
|
|
|
|
|
|
|
|
||||||
Residential mortgage backed securities
|
3
|
|
$
|
—
|
|
|
$
|
(354
|
)
|
|
$
|
(354
|
)
|
Other asset backed securities
|
1
|
|
(10,000
|
)
|
|
5,125
|
|
|
(4,875
|
)
|
|||
|
4
|
|
$
|
(10,000
|
)
|
|
$
|
4,771
|
|
|
$
|
(5,229
|
)
|
|
|
|
|
|
|
|
|
||||||
Nine months ended September 30, 2016
|
|
|
|
|
|
|
|
||||||
Fixed maturity securities, available for sale:
|
|
|
|
|
|
|
|
||||||
Corporate securities:
|
|
|
|
|
|
|
|
||||||
Energy
|
2
|
|
$
|
(642
|
)
|
|
$
|
—
|
|
|
$
|
(642
|
)
|
Materials
|
1
|
|
(4,554
|
)
|
|
1,575
|
|
|
(2,979
|
)
|
|||
Telecommunications
|
1
|
|
(4,462
|
)
|
|
562
|
|
|
(3,900
|
)
|
|||
Utilities
|
1
|
|
(136
|
)
|
|
—
|
|
|
(136
|
)
|
|||
Residential mortgage backed securities
|
6
|
|
—
|
|
|
(440
|
)
|
|
(440
|
)
|
|||
Commercial mortgage backed securities
|
5
|
|
(1,540
|
)
|
|
—
|
|
|
(1,540
|
)
|
|||
Other asset backed securities
|
1
|
|
—
|
|
|
(3,482
|
)
|
|
(3,482
|
)
|
|||
|
17
|
|
$
|
(11,334
|
)
|
|
$
|
(1,785
|
)
|
|
$
|
(13,119
|
)
|
|
|
|
|
|
|
|
|
||||||
Nine months ended September 30, 2015
|
|
|
|
|
|
|
|
||||||
Fixed maturity securities, available for sale:
|
|
|
|
|
|
|
|
||||||
Residential mortgage backed securities
|
7
|
|
$
|
(132
|
)
|
|
$
|
(1,182
|
)
|
|
$
|
(1,314
|
)
|
Other asset backed securities
|
1
|
|
(10,000
|
)
|
|
5,125
|
|
|
(4,875
|
)
|
|||
|
8
|
|
$
|
(10,132
|
)
|
|
$
|
3,943
|
|
|
$
|
(6,189
|
)
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
Cumulative credit loss at beginning of period
|
$
|
(154,408
|
)
|
|
$
|
(128,010
|
)
|
|
$
|
(145,824
|
)
|
|
$
|
(127,050
|
)
|
Credit losses on securities for which OTTI has not previously been recognized
|
(2,979
|
)
|
|
(4,876
|
)
|
|
(9,197
|
)
|
|
(5,008
|
)
|
||||
Additional credit losses on securities for which OTTI has previously been recognized
|
—
|
|
|
(353
|
)
|
|
(3,922
|
)
|
|
(1,181
|
)
|
||||
Accumulated losses on securities that were disposed of during the period
|
573
|
|
|
761
|
|
|
2,129
|
|
|
761
|
|
||||
Cumulative credit loss at end of period
|
$
|
(156,814
|
)
|
|
$
|
(132,478
|
)
|
|
$
|
(156,814
|
)
|
|
$
|
(132,478
|
)
|
|
Amortized Cost
|
|
OTTI
Recognized in
Other
Comprehensive
Income
|
|
Change in Fair
Value Since
OTTI was
Recognized
|
|
Fair Value
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
September 30, 2016
|
|
|
|
|
|
|
|
||||||||
Fixed maturity securities, available for sale:
|
|
|
|
|
|
|
|
||||||||
Corporate securities
|
$
|
12,930
|
|
|
$
|
(5,112
|
)
|
|
$
|
9,729
|
|
|
$
|
17,547
|
|
Residential mortgage backed securities
|
392,598
|
|
|
(170,284
|
)
|
|
206,943
|
|
|
429,257
|
|
||||
Commercial mortgage backed securities
|
6,585
|
|
|
—
|
|
|
190
|
|
|
6,775
|
|
||||
Other asset backed securities
|
4,854
|
|
|
(1,643
|
)
|
|
(1,566
|
)
|
|
1,645
|
|
||||
|
$
|
416,967
|
|
|
$
|
(177,039
|
)
|
|
$
|
215,296
|
|
|
$
|
455,224
|
|
December 31, 2015
|
|
|
|
|
|
|
|
||||||||
Fixed maturity securities, available for sale:
|
|
|
|
|
|
|
|
||||||||
Corporate securities
|
$
|
6,396
|
|
|
$
|
(2,975
|
)
|
|
$
|
9
|
|
|
$
|
3,430
|
|
Residential mortgage backed securities
|
466,871
|
|
|
(170,724
|
)
|
|
199,149
|
|
|
495,296
|
|
||||
Other asset backed securities
|
8,154
|
|
|
(5,125
|
)
|
|
(553
|
)
|
|
2,476
|
|
||||
|
$
|
481,421
|
|
|
$
|
(178,824
|
)
|
|
$
|
198,605
|
|
|
$
|
501,202
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||
|
(Dollars in thousands)
|
||||||
Principal outstanding
|
$
|
2,427,905
|
|
|
$
|
2,449,909
|
|
Loan loss allowance
|
(7,527
|
)
|
|
(14,142
|
)
|
||
Deferred prepayment fees
|
(1,148
|
)
|
|
(510
|
)
|
||
Carrying value
|
$
|
2,419,230
|
|
|
$
|
2,435,257
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||
|
Principal
|
|
Percent
|
|
Principal
|
|
Percent
|
||||||
|
(Dollars in thousands)
|
||||||||||||
Geographic distribution
|
|
|
|
|
|
|
|
||||||
East
|
$
|
652,230
|
|
|
26.9
|
%
|
|
$
|
698,113
|
|
|
28.5
|
%
|
Middle Atlantic
|
155,249
|
|
|
6.4
|
%
|
|
160,261
|
|
|
6.6
|
%
|
||
Mountain
|
231,561
|
|
|
9.5
|
%
|
|
252,442
|
|
|
10.3
|
%
|
||
New England
|
12,834
|
|
|
0.5
|
%
|
|
13,161
|
|
|
0.5
|
%
|
||
Pacific
|
387,212
|
|
|
16.0
|
%
|
|
355,268
|
|
|
14.5
|
%
|
||
South Atlantic
|
474,238
|
|
|
19.5
|
%
|
|
456,227
|
|
|
18.6
|
%
|
||
West North Central
|
319,341
|
|
|
13.2
|
%
|
|
313,120
|
|
|
12.8
|
%
|
||
West South Central
|
195,240
|
|
|
8.0
|
%
|
|
201,317
|
|
|
8.2
|
%
|
||
|
$
|
2,427,905
|
|
|
100.0
|
%
|
|
$
|
2,449,909
|
|
|
100.0
|
%
|
Property type distribution
|
|
|
|
|
|
|
|
||||||
Office
|
$
|
321,297
|
|
|
13.2
|
%
|
|
$
|
396,154
|
|
|
16.2
|
%
|
Medical Office
|
54,129
|
|
|
2.2
|
%
|
|
77,438
|
|
|
3.2
|
%
|
||
Retail
|
825,490
|
|
|
34.0
|
%
|
|
790,158
|
|
|
32.2
|
%
|
||
Industrial/Warehouse
|
677,342
|
|
|
27.9
|
%
|
|
686,400
|
|
|
28.0
|
%
|
||
Hotel
|
1,142
|
|
|
0.1
|
%
|
|
3,361
|
|
|
0.1
|
%
|
||
Apartment
|
376,189
|
|
|
15.5
|
%
|
|
352,971
|
|
|
14.4
|
%
|
||
Mixed use/other
|
172,316
|
|
|
7.1
|
%
|
|
143,427
|
|
|
5.9
|
%
|
||
|
$
|
2,427,905
|
|
|
100.0
|
%
|
|
$
|
2,449,909
|
|
|
100.0
|
%
|
|
Three Months Ended
September 30, 2016 |
|
Three Months Ended
September 30, 2015 |
||||||||||||
|
Specific
Allowance
|
|
General Allowance
|
|
Specific
Allowance
|
|
General Allowance
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
Beginning allowance balance
|
$
|
(4,552
|
)
|
|
$
|
(6,300
|
)
|
|
$
|
(9,316
|
)
|
|
$
|
(7,500
|
)
|
Charge-offs
|
2,977
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Recoveries
|
461
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Change in provision for credit losses
|
(213
|
)
|
|
100
|
|
|
(1,302
|
)
|
|
600
|
|
||||
Ending allowance balance
|
$
|
(1,327
|
)
|
|
$
|
(6,200
|
)
|
|
$
|
(10,618
|
)
|
|
$
|
(6,900
|
)
|
|
|
|
|
|
|
|
|
||||||||
|
Nine Months Ended
September 30, 2016 |
|
Nine Months Ended
September 30, 2015 |
||||||||||||
|
Specific
Allowance
|
|
General Allowance
|
|
Specific
Allowance
|
|
General Allowance
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
Beginning allowance balance
|
$
|
(7,842
|
)
|
|
$
|
(6,300
|
)
|
|
$
|
(12,333
|
)
|
|
$
|
(10,300
|
)
|
Charge-offs
|
5,078
|
|
|
—
|
|
|
143
|
|
|
—
|
|
||||
Recoveries
|
5,483
|
|
|
—
|
|
|
4,375
|
|
|
—
|
|
||||
Change in provision for credit losses
|
(4,046
|
)
|
|
100
|
|
|
(2,803
|
)
|
|
3,400
|
|
||||
Ending allowance balance
|
$
|
(1,327
|
)
|
|
$
|
(6,200
|
)
|
|
$
|
(10,618
|
)
|
|
$
|
(6,900
|
)
|
|
September 30, 2016
|
|
December 31, 2015
|
||||
|
(Dollars in thousands)
|
||||||
Individually evaluated for impairment
|
$
|
4,683
|
|
|
$
|
21,277
|
|
Collectively evaluated for impairment
|
2,423,222
|
|
|
2,428,632
|
|
||
Total loans evaluated for impairment
|
$
|
2,427,905
|
|
|
$
|
2,449,909
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
Real estate owned at beginning of period
|
$
|
—
|
|
|
$
|
12,958
|
|
|
$
|
6,485
|
|
|
$
|
20,238
|
|
Real estate acquired in satisfaction of mortgage loans
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Additions
|
—
|
|
|
120
|
|
|
—
|
|
|
120
|
|
||||
Sales
|
—
|
|
|
(2,761
|
)
|
|
(6,444
|
)
|
|
(9,241
|
)
|
||||
Impairments
|
—
|
|
|
(570
|
)
|
|
—
|
|
|
(1,199
|
)
|
||||
Depreciation
|
—
|
|
|
(53
|
)
|
|
(41
|
)
|
|
(224
|
)
|
||||
Real estate owned at end of period
|
$
|
—
|
|
|
$
|
9,694
|
|
|
$
|
—
|
|
|
$
|
9,694
|
|
|
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
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
September 30, 2016
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
2,427,905
|
|
|
$
|
—
|
|
|
$
|
2,427,905
|
|
December 31, 2015
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
2,449,909
|
|
|
$
|
—
|
|
|
$
|
2,449,909
|
|
|
Recorded
Investment
|
|
Unpaid Principal Balance
|
|
Related
Allowance
|
||||||
|
(Dollars in thousands)
|
||||||||||
September 30, 2016
|
|
|
|
|
|
||||||
Mortgage loans with an allowance
|
$
|
3,356
|
|
|
$
|
4,683
|
|
|
$
|
(1,327
|
)
|
Mortgage loans with no related allowance
|
1,621
|
|
|
1,621
|
|
|
—
|
|
|||
|
$
|
4,977
|
|
|
$
|
6,304
|
|
|
$
|
(1,327
|
)
|
December 31, 2015
|
|
|
|
|
|
||||||
Mortgage loans with an allowance
|
$
|
13,435
|
|
|
$
|
21,277
|
|
|
$
|
(7,842
|
)
|
Mortgage loans with no related allowance
|
8,859
|
|
|
8,859
|
|
|
—
|
|
|||
|
$
|
22,294
|
|
|
$
|
30,136
|
|
|
$
|
(7,842
|
)
|
|
Average Recorded Investment
|
|
Interest Income Recognized
|
||||
|
(Dollars in thousands)
|
||||||
Three months ended September 30, 2016
|
|
|
|
||||
Mortgage loans with an allowance
|
$
|
3,378
|
|
|
$
|
75
|
|
Mortgage loans with no related allowance
|
1,634
|
|
|
25
|
|
||
|
$
|
5,012
|
|
|
$
|
100
|
|
Three months ended September 30, 2015
|
|
|
|
||||
Mortgage loans with an allowance
|
$
|
17,336
|
|
|
$
|
44
|
|
Mortgage loans with no related allowance
|
13,414
|
|
|
176
|
|
||
|
$
|
30,750
|
|
|
$
|
220
|
|
Nine months ended September 30, 2016
|
|
|
|
||||
Mortgage loans with an allowance
|
$
|
3,420
|
|
|
$
|
226
|
|
Mortgage loans with no related allowance
|
1,680
|
|
|
75
|
|
||
|
$
|
5,100
|
|
|
$
|
301
|
|
Nine months ended September 30, 2015
|
|
|
|
||||
Mortgage loans with an allowance
|
$
|
17,649
|
|
|
$
|
866
|
|
Mortgage loans with no related allowance
|
13,432
|
|
|
595
|
|
||
|
$
|
31,081
|
|
|
$
|
1,461
|
|
•
|
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 TDRs
|
|
Principal
Balance
Outstanding
|
|
Specific Loan Loss Allowance
|
|
Net
Carrying
Amount
|
||||||
|
|
|
|
(Dollars in thousands)
|
||||||||||
September 30, 2016
|
|
|
|
|
|
|
|
|
||||||
South Atlantic
|
|
1
|
|
$
|
3,024
|
|
|
$
|
—
|
|
|
$
|
3,024
|
|
East North Central
|
|
1
|
|
2,041
|
|
|
(467
|
)
|
|
1,574
|
|
|||
|
|
2
|
|
$
|
5,065
|
|
|
$
|
(467
|
)
|
|
$
|
4,598
|
|
December 31, 2015
|
|
|
|
|
|
|
|
|
||||||
South Atlantic
|
|
6
|
|
$
|
11,155
|
|
|
$
|
(2,992
|
)
|
|
$
|
8,163
|
|
East North Central
|
|
2
|
|
3,306
|
|
|
(467
|
)
|
|
2,839
|
|
|||
West North Central
|
|
1
|
|
5,913
|
|
|
—
|
|
|
5,913
|
|
|||
|
|
9
|
|
$
|
20,374
|
|
|
$
|
(3,459
|
)
|
|
$
|
16,915
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||
|
(Dollars in thousands)
|
||||||
Assets
|
|
|
|
||||
Derivative instruments
|
|
|
|
||||
Call options
|
$
|
706,007
|
|
|
$
|
337,256
|
|
Other assets
|
|
|
|
||||
Interest rate caps
|
307
|
|
|
1,410
|
|
||
|
$
|
706,314
|
|
|
$
|
338,666
|
|
Liabilities
|
|
|
|
||||
Policy benefit reserves - annuity products
|
|
|
|
||||
Fixed index annuities - embedded derivatives
|
$
|
6,678,102
|
|
|
$
|
5,983,622
|
|
Other liabilities
|
|
|
|
||||
Interest rate swap
|
4,944
|
|
|
3,139
|
|
||
|
$
|
6,683,046
|
|
|
$
|
5,986,761
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
Change in fair value of derivatives:
|
|
|
|
|
|
|
|
||||||||
Call options
|
$
|
103,267
|
|
|
$
|
(347,038
|
)
|
|
$
|
72,910
|
|
|
$
|
(396,399
|
)
|
2015 notes hedges
|
—
|
|
|
(1,141
|
)
|
|
—
|
|
|
(4,516
|
)
|
||||
Interest rate swap
|
647
|
|
|
(2,349
|
)
|
|
(2,979
|
)
|
|
(3,283
|
)
|
||||
Interest rate caps
|
(120
|
)
|
|
(832
|
)
|
|
(1,103
|
)
|
|
(1,286
|
)
|
||||
|
$
|
103,794
|
|
|
$
|
(351,360
|
)
|
|
$
|
68,828
|
|
|
$
|
(405,484
|
)
|
Change in fair value of embedded derivatives:
|
|
|
|
|
|
|
|
||||||||
Fixed index annuities—embedded derivatives
|
$
|
41,561
|
|
|
$
|
(460,031
|
)
|
|
$
|
421,193
|
|
|
$
|
(864,389
|
)
|
Other changes in difference between policy benefit reserves computed using derivative accounting vs. long-duration contracts accounting
|
102,843
|
|
|
46,448
|
|
|
273,371
|
|
|
285,793
|
|
||||
2015 notes embedded conversion derivative
|
—
|
|
|
(1,141
|
)
|
|
—
|
|
|
(4,516
|
)
|
||||
|
$
|
144,404
|
|
|
$
|
(414,724
|
)
|
|
$
|
694,564
|
|
|
$
|
(583,112
|
)
|
|
|
|
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||||
Counterparty
|
|
Credit Rating
(S&P)
|
|
Credit Rating (Moody's)
|
|
Notional
Amount
|
|
Fair Value
|
|
Notional
Amount
|
|
Fair Value
|
||||||||
|
|
|
|
|
|
(Dollars in thousands)
|
||||||||||||||
Bank of America
|
|
A
|
|
A1
|
|
$
|
6,367,855
|
|
|
$
|
156,209
|
|
|
$
|
6,257,861
|
|
|
$
|
67,662
|
|
Barclays
|
|
A-
|
|
A2
|
|
2,485,187
|
|
|
62,339
|
|
|
2,463,768
|
|
|
35,273
|
|
||||
BNP Paribas
|
|
A
|
|
A1
|
|
891,487
|
|
|
16,050
|
|
|
1,520,710
|
|
|
16,944
|
|
||||
Citibank, N.A.
|
|
A
|
|
A1
|
|
3,738,323
|
|
|
69,484
|
|
|
3,786,498
|
|
|
23,587
|
|
||||
Credit Suisse
|
|
A
|
|
A2
|
|
1,652,310
|
|
|
35,776
|
|
|
1,278,492
|
|
|
12,508
|
|
||||
Deutsche Bank
|
|
BBB+
|
|
Baa2
|
|
522,531
|
|
|
7,950
|
|
|
1,349,002
|
|
|
10,704
|
|
||||
J.P. Morgan
|
|
A+
|
|
Aa3
|
|
1,622,978
|
|
|
19,165
|
|
|
838,982
|
|
|
5,283
|
|
||||
Morgan Stanley
|
|
A
|
|
A1
|
|
2,870,679
|
|
|
49,172
|
|
|
3,465,457
|
|
|
33,171
|
|
||||
Royal Bank of Canada
|
|
AA-
|
|
Aa3
|
|
3,413,277
|
|
|
91,977
|
|
|
2,820,410
|
|
|
48,654
|
|
||||
SunTrust
|
|
A-
|
|
Baa1
|
|
2,297,155
|
|
|
63,758
|
|
|
1,308,434
|
|
|
20,028
|
|
||||
Wells Fargo
|
|
AA-
|
|
Aa2
|
|
4,521,020
|
|
|
129,851
|
|
|
4,187,955
|
|
|
63,442
|
|
||||
Exchange traded
|
|
|
|
|
|
207,038
|
|
|
4,276
|
|
|
—
|
|
|
—
|
|
||||
|
|
|
|
|
|
$
|
30,589,840
|
|
|
$
|
706,007
|
|
|
$
|
29,277,569
|
|
|
$
|
337,256
|
|
|
|
Notional
|
|
|
|
Pay
|
|
|
|
September 30, 2016
|
|
December 31, 2015
|
|||||||
Maturity Date
|
|
Amount
|
|
Receive Rate
|
|
Rate
|
|
Counterparty
|
|
Fair Value
|
|
Fair Value
|
|||||||
|
|
|
|
|
|
|
|
|
|
(Dollars in thousands)
|
|||||||||
March 15, 2021
|
|
$
|
85,500
|
|
|
LIBOR
|
|
2.415
|
%
|
|
SunTrust
|
|
$
|
(4,944
|
)
|
|
$
|
(3,139
|
)
|
|
|
Notional
|
|
|
|
Cap
|
|
|
|
September 30, 2016
|
|
December 31, 2015
|
|||||||
Maturity Date
|
|
Amount
|
|
Floating Rate
|
|
Rate
|
|
Counterparty
|
|
Fair Value
|
|
Fair Value
|
|||||||
|
|
|
|
|
|
|
|
|
|
(Dollars in thousands)
|
|||||||||
July 7, 2021
|
|
$
|
40,000
|
|
|
LIBOR
|
|
2.50
|
%
|
|
SunTrust
|
|
$
|
153
|
|
|
$
|
708
|
|
July 8, 2021
|
|
12,000
|
|
|
LIBOR
|
|
2.50
|
%
|
|
SunTrust
|
|
46
|
|
|
212
|
|
|||
July 29, 2021
|
|
27,000
|
|
|
LIBOR
|
|
2.50
|
%
|
|
SunTrust
|
|
108
|
|
|
490
|
|
|||
|
|
$
|
79,000
|
|
|
|
|
|
|
|
|
$
|
307
|
|
|
$
|
1,410
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
(Dollars in thousands, except per share data)
|
||||||||||||||
Numerator:
|
|
|
|
|
|
|
|
||||||||
Net income (loss) - numerator for earnings (loss) per common share
|
$
|
(7,420
|
)
|
|
$
|
97,306
|
|
|
$
|
(37,553
|
)
|
|
$
|
186,054
|
|
|
|
|
|
|
|
|
|
||||||||
Denominator:
|
|
|
|
|
|
|
|
||||||||
Weighted average common shares outstanding (1)
|
86,261,692
|
|
|
79,675,955
|
|
|
83,645,427
|
|
|
77,994,602
|
|
||||
Effect of dilutive securities:
|
|
|
|
|
|
|
|
||||||||
2015 warrants
|
—
|
|
|
714,980
|
|
|
20,219
|
|
|
766,795
|
|
||||
Stock options and deferred compensation agreements
|
424,875
|
|
|
981,271
|
|
|
423,498
|
|
|
1,076,166
|
|
||||
Restricted stock and restricted stock units
|
357,359
|
|
|
186,430
|
|
|
323,409
|
|
|
139,747
|
|
||||
Denominator for earnings (loss) per common share - assuming dilution
|
87,043,926
|
|
|
81,558,636
|
|
|
84,412,553
|
|
|
79,977,310
|
|
||||
|
|
|
|
|
|
|
|
||||||||
Earnings (loss) per common share
|
$
|
(0.09
|
)
|
|
$
|
1.22
|
|
|
$
|
(0.45
|
)
|
|
$
|
2.39
|
|
Earnings (loss) per common share - assuming dilution
|
$
|
(0.09
|
)
|
|
$
|
1.19
|
|
|
$
|
(0.45
|
)
|
|
$
|
2.33
|
|
(1)
|
Weighted average common shares outstanding include shares vested under the NMO Deferred Compensation Plan.
|
Period
|
|
Number of
Shares
|
|
Range of
Exercise Prices
|
||
|
|
|
|
Minimum
|
|
Maximum
|
Three months ended September 30, 2016
|
|
1,058,491
|
|
$24.79
|
|
$24.79
|
Three months ended September 30, 2015
|
|
—
|
|
$—
|
|
$—
|
Nine months ended September 30, 2016
|
|
1,058,491
|
|
$24.79
|
|
$24.79
|
Nine months ended September 30, 2015
|
|
—
|
|
$—
|
|
$—
|
•
|
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.
|
•
|
the amount of assets under our management,
|
•
|
investment spreads we earn on our policyholder account balances,
|
•
|
our ability to manage our investment portfolio to maximize returns and minimize risks such as interest rate changes and defaults or impairment of investments,
|
•
|
our ability to manage interest rates credited to policyholders and costs of the options purchased to fund the annual index credits on our fixed index annuities,
|
•
|
our ability to manage the costs of acquiring new business (principally commissions to agents and bonuses credited to policyholders) and
|
•
|
our ability to manage our operating expenses.
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
Average yield on invested assets
|
4.46%
|
|
4.79%
|
|
4.52%
|
|
4.77%
|
Aggregate cost of money
|
1.89%
|
|
1.96%
|
|
1.91%
|
|
1.96%
|
Aggregate investment spread
|
2.57%
|
|
2.83%
|
|
2.61%
|
|
2.81%
|
|
|
|
|
|
|
|
|
Impact of:
|
|
|
|
|
|
|
|
Investment yield - additional prepayment income
|
0.04%
|
|
0.14%
|
|
0.05%
|
|
0.08%
|
Cost of money effect of over hedging
|
0.02%
|
|
0.02%
|
|
0.01%
|
|
0.05%
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
Product Type
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
|
(Dollars in thousands)
|
||||||||||||||
Fixed index annuities
|
|
$
|
1,291,236
|
|
|
$
|
1,764,179
|
|
|
$
|
4,504,784
|
|
|
$
|
4,748,612
|
|
Annual reset fixed rate annuities
|
|
13,877
|
|
|
8,425
|
|
|
46,448
|
|
|
32,612
|
|
||||
Multi-year fixed rate annuities
|
|
225,937
|
|
|
45,032
|
|
|
1,161,527
|
|
|
132,249
|
|
||||
Single premium immediate annuities
|
|
11,730
|
|
|
8,921
|
|
|
25,357
|
|
|
27,085
|
|
||||
Total before coinsurance ceded
|
|
1,542,780
|
|
|
1,826,557
|
|
|
5,738,116
|
|
|
4,940,558
|
|
||||
Coinsurance ceded
|
|
416,233
|
|
|
98,881
|
|
|
1,471,488
|
|
|
272,827
|
|
||||
Net after coinsurance ceded
|
|
$
|
1,126,547
|
|
|
$
|
1,727,676
|
|
|
$
|
4,266,628
|
|
|
$
|
4,667,731
|
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
|
(Dollars in thousands)
|
||||||||||||||
Increase (decrease) in amortization of deferred sales inducements
|
|
$
|
17,868
|
|
|
$
|
(5,612
|
)
|
|
$
|
35,760
|
|
|
$
|
(5,612
|
)
|
Increase (decrease) in amortization of deferred policy acquisition costs
|
|
22,080
|
|
|
(10,970
|
)
|
|
48,164
|
|
|
(10,970
|
)
|
||||
Increase in interest sensitive and index product benefits
|
|
42,002
|
|
|
18,313
|
|
|
42,002
|
|
|
18,313
|
|
||||
Effect on net income (loss)
|
|
(52,859
|
)
|
|
(1,117
|
)
|
|
(81,224
|
)
|
|
(1,117
|
)
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
Reconciliation of net income (loss) to operating income (loss):
|
|
|
|
|
|
|
|
||||||||
Net income (loss)
|
$
|
(7,420
|
)
|
|
$
|
97,306
|
|
|
$
|
(37,553
|
)
|
|
$
|
186,054
|
|
Adjustments to arrive at operating income (loss):
|
|
|
|
|
|
|
|
||||||||
Net realized (gains) losses and net OTTI losses on investments, net of offsets
|
(1,008
|
)
|
|
2,542
|
|
|
752
|
|
|
(2,835
|
)
|
||||
Change in fair value of derivatives and embedded derivatives - index annuities, net of offsets
|
9,400
|
|
|
(83,410
|
)
|
|
160,078
|
|
|
(61,277
|
)
|
||||
Change in fair value of derivatives and embedded derivatives - debt
|
(1,049
|
)
|
|
2,575
|
|
|
2,483
|
|
|
2,746
|
|
||||
Litigation reserve, net of offsets
|
(1,957
|
)
|
|
—
|
|
|
(1,957
|
)
|
|
—
|
|
||||
Income taxes
|
(2,689
|
)
|
|
26,903
|
|
|
(57,426
|
)
|
|
20,991
|
|
||||
Operating income (loss)
|
$
|
(4,723
|
)
|
|
$
|
45,916
|
|
|
$
|
66,377
|
|
|
$
|
145,679
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
Increase (decrease) in amortization of deferred sales inducements
|
$
|
18,055
|
|
|
$
|
(478
|
)
|
|
$
|
36,127
|
|
|
$
|
(478
|
)
|
Increase (decrease) in amortization of deferred policy acquisition costs
|
21,493
|
|
|
(4,260
|
)
|
|
47,765
|
|
|
(4,260
|
)
|
||||
Increase in interest sensitive and index product benefits
|
42,002
|
|
|
18,313
|
|
|
42,002
|
|
|
18,313
|
|
||||
Effect on operating income (loss)
|
(52,600
|
)
|
|
(8,756
|
)
|
|
(81,202
|
)
|
|
(8,756
|
)
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
Surrender charges
|
$
|
13,819
|
|
|
$
|
13,104
|
|
|
$
|
40,381
|
|
|
$
|
36,071
|
|
Lifetime income benefit riders (LIBR) fees
|
33,856
|
|
|
24,871
|
|
|
84,923
|
|
|
62,995
|
|
||||
|
$
|
47,675
|
|
|
$
|
37,975
|
|
|
$
|
125,304
|
|
|
$
|
99,066
|
|
|
|
|
|
|
|
|
|
||||||||
Withdrawals from annuity policies subject to surrender charges
|
$
|
117,223
|
|
|
$
|
106,939
|
|
|
$
|
334,510
|
|
|
$
|
288,135
|
|
Average surrender charge collected on withdrawals subject to surrender charges
|
11.8
|
%
|
|
12.3
|
%
|
|
12.1
|
%
|
|
12.5
|
%
|
||||
|
|
|
|
|
|
|
|
||||||||
Fund values on policies subject to LIBR fees
|
$
|
4,789,359
|
|
|
$
|
3,816,764
|
|
|
$
|
12,668,190
|
|
|
$
|
10,295,527
|
|
Weighted average per policy LIBR fee
|
0.71
|
%
|
|
0.65
|
%
|
|
0.67
|
%
|
|
0.61
|
%
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
Call options:
|
|
|
|
|
|
|
|
||||||||
Gain (loss) on option expiration
|
$
|
(14,299
|
)
|
|
$
|
(17,336
|
)
|
|
$
|
(259,497
|
)
|
|
$
|
193,957
|
|
Change in unrealized gains/losses
|
117,566
|
|
|
(329,702
|
)
|
|
332,407
|
|
|
(590,356
|
)
|
||||
2015 notes hedges
|
—
|
|
|
(1,141
|
)
|
|
—
|
|
|
(4,516
|
)
|
||||
Interest rate swap
|
647
|
|
|
(2,349
|
)
|
|
(2,979
|
)
|
|
(3,283
|
)
|
||||
Interest rate caps
|
(120
|
)
|
|
(832
|
)
|
|
(1,103
|
)
|
|
(1,286
|
)
|
||||
|
$
|
103,794
|
|
|
$
|
(351,360
|
)
|
|
$
|
68,828
|
|
|
$
|
(405,484
|
)
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
S&P 500 Index
|
|
|
|
|
|
|
|
Point-to-point strategy
|
0.0 - 8.2%
|
|
0.0 - 8.0%
|
|
0.0 - 8.2%
|
|
0.0 - 8.9%
|
Monthly average strategy
|
0.0 - 8.0%
|
|
0.0 - 7.4%
|
|
0.0 - 8.0%
|
|
0.0 - 9.0%
|
Monthly point-to-point strategy
|
0.0 - 4.1%
|
|
0.0 - 6.5%
|
|
0.0 - 4.1%
|
|
0.0 - 12.1%
|
Fixed income (bond index) strategies
|
0.0 - 10.0%
|
|
0.0 - 7.0%
|
|
0.0 - 10.0%
|
|
0.0 - 10.0%
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
Available for sale fixed maturity securities:
|
|
|
|
|
|
|
|
||||||||
Gross realized gains
|
$
|
4,956
|
|
|
$
|
283
|
|
|
$
|
11,047
|
|
|
$
|
4,783
|
|
Gross realized losses
|
(79
|
)
|
|
(97
|
)
|
|
(2,678
|
)
|
|
(897
|
)
|
||||
|
4,877
|
|
|
186
|
|
|
8,369
|
|
|
3,886
|
|
||||
Other investments:
|
|
|
|
|
|
|
|
||||||||
Gain on sale of real estate
|
31
|
|
|
2,245
|
|
|
867
|
|
|
3,278
|
|
||||
Loss on sale of real estate
|
—
|
|
|
—
|
|
|
(93
|
)
|
|
(575
|
)
|
||||
Impairment losses on real estate
|
—
|
|
|
(570
|
)
|
|
—
|
|
|
(1,199
|
)
|
||||
|
31
|
|
|
1,675
|
|
|
774
|
|
|
1,504
|
|
||||
Mortgage loans on real estate:
|
|
|
|
|
|
|
|
||||||||
Decrease (increase) in allowance for credit losses
|
(113
|
)
|
|
(702
|
)
|
|
(3,946
|
)
|
|
597
|
|
||||
Recovery of specific allowance
|
461
|
|
|
—
|
|
|
5,483
|
|
|
4,375
|
|
||||
|
348
|
|
|
(702
|
)
|
|
1,537
|
|
|
4,972
|
|
||||
|
$
|
5,256
|
|
|
$
|
1,159
|
|
|
$
|
10,680
|
|
|
$
|
10,362
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
Index credits on index policies
|
$
|
126,653
|
|
|
$
|
101,170
|
|
|
$
|
142,084
|
|
|
$
|
515,675
|
|
Interest credited (including changes in minimum guaranteed interest for fixed index annuities)
|
71,766
|
|
|
64,680
|
|
|
204,739
|
|
|
194,476
|
|
||||
Lifetime income benefit riders
|
80,524
|
|
|
47,615
|
|
|
140,912
|
|
|
92,280
|
|
||||
|
$
|
278,943
|
|
|
$
|
213,465
|
|
|
$
|
487,735
|
|
|
$
|
802,431
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
Amortization of deferred sales inducements before gross profit adjustments
|
$
|
78,178
|
|
|
$
|
53,163
|
|
|
$
|
212,358
|
|
|
$
|
155,014
|
|
Gross profit adjustments:
|
|
|
|
|
|
|
|
||||||||
Fair value accounting for derivatives and embedded derivatives
|
(9,825
|
)
|
|
13,334
|
|
|
(84,532
|
)
|
|
(3,279
|
)
|
||||
Net realized gains (losses) on investments, net OTTI losses recognized in operations and changes in litigation reserves
|
892
|
|
|
(690
|
)
|
|
(430
|
)
|
|
543
|
|
||||
Amortization of deferred sales inducements after gross profit adjustments
|
$
|
69,245
|
|
|
$
|
65,807
|
|
|
$
|
127,396
|
|
|
$
|
152,278
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
|
|
|
|
|
|
|
|
||||||||
Fixed index annuities - embedded derivatives
|
$
|
41,561
|
|
|
$
|
(460,031
|
)
|
|
$
|
421,193
|
|
|
$
|
(864,389
|
)
|
Other changes in difference between policy benefit reserves computed using derivative accounting vs. long-duration contracts accounting
|
102,843
|
|
|
46,448
|
|
|
273,371
|
|
|
285,793
|
|
||||
2015 notes embedded conversion derivative
|
—
|
|
|
(1,141
|
)
|
|
—
|
|
|
(4,516
|
)
|
||||
|
$
|
144,404
|
|
|
$
|
(414,724
|
)
|
|
$
|
694,564
|
|
|
$
|
(583,112
|
)
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
Amortization of deferred policy acquisition costs before gross profit adjustments
|
$
|
106,777
|
|
|
$
|
71,715
|
|
|
$
|
299,729
|
|
|
$
|
216,608
|
|
Gross profit adjustments:
|
|
|
|
|
|
|
|
||||||||
Fair value accounting for derivatives and embedded derivatives
|
(9,919
|
)
|
|
(2,992
|
)
|
|
(100,858
|
)
|
|
(30,532
|
)
|
||||
Net realized gains (losses) on investments, net OTTI losses recognized in operations and changes in litigation reserves
|
1,250
|
|
|
(838
|
)
|
|
(385
|
)
|
|
795
|
|
||||
Amortization of deferred policy acquisition costs after gross profit adjustments
|
$
|
98,108
|
|
|
$
|
67,885
|
|
|
$
|
198,486
|
|
|
$
|
186,871
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
|
|
|
|
(Dollars in thousands)
|
||||||||||
Salary and benefits
|
$
|
12,111
|
|
|
$
|
12,349
|
|
|
$
|
38,939
|
|
|
$
|
35,461
|
|
Risk charges
|
7,688
|
|
|
5,654
|
|
|
21,747
|
|
|
15,784
|
|
||||
Other
|
5,334
|
|
|
6,494
|
|
|
18,100
|
|
|
19,242
|
|
||||
Total other operating costs and expenses
|
$
|
25,133
|
|
|
$
|
24,497
|
|
|
$
|
78,786
|
|
|
$
|
70,487
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||
|
Carrying
Amount
|
|
Percent
|
|
Carrying
Amount
|
|
Percent
|
||||||
|
(Dollars in thousands)
|
||||||||||||
Fixed maturity securities:
|
|
|
|
|
|
|
|
||||||
United States Government full faith and credit
|
$
|
418,465
|
|
|
0.9
|
%
|
|
$
|
471,256
|
|
|
1.3
|
%
|
United States Government sponsored agencies
|
1,472,904
|
|
|
3.2
|
%
|
|
1,398,611
|
|
|
3.5
|
%
|
||
United States municipalities, states and territories
|
4,052,210
|
|
|
8.8
|
%
|
|
3,755,367
|
|
|
9.5
|
%
|
||
Foreign government obligations
|
254,420
|
|
|
0.6
|
%
|
|
212,565
|
|
|
0.5
|
%
|
||
Corporate securities
|
27,992,430
|
|
|
61.1
|
%
|
|
23,879,016
|
|
|
60.3
|
%
|
||
Residential mortgage backed securities
|
1,358,174
|
|
|
3.0
|
%
|
|
1,462,072
|
|
|
3.7
|
%
|
||
Commercial mortgage backed securities
|
5,310,156
|
|
|
11.6
|
%
|
|
4,174,396
|
|
|
10.5
|
%
|
||
Other asset backed securities
|
1,522,424
|
|
|
3.3
|
%
|
|
1,145,178
|
|
|
2.9
|
%
|
||
Total fixed maturity securities
|
42,381,183
|
|
|
92.5
|
%
|
|
36,498,461
|
|
|
92.2
|
%
|
||
Equity securities
|
7,843
|
|
|
—
|
%
|
|
7,828
|
|
|
—
|
%
|
||
Mortgage loans on real estate
|
2,419,230
|
|
|
5.3
|
%
|
|
2,435,257
|
|
|
6.2
|
%
|
||
Derivative instruments
|
706,007
|
|
|
1.5
|
%
|
|
337,256
|
|
|
0.9
|
%
|
||
Other investments
|
297,068
|
|
|
0.7
|
%
|
|
291,530
|
|
|
0.7
|
%
|
||
|
$
|
45,811,331
|
|
|
100.0
|
%
|
|
$
|
39,570,332
|
|
|
100.0
|
%
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||
Rating Agency Rating
|
|
Carrying
Amount
|
|
Percent of
Fixed Maturity
Securities
|
|
Carrying
Amount
|
|
Percent of
Fixed Maturity
Securities
|
||||||
|
|
(Dollars in thousands)
|
||||||||||||
Aaa/Aa/A
|
|
$
|
27,509,994
|
|
|
64.9
|
%
|
|
$
|
23,724,648
|
|
|
65.0
|
%
|
Baa
|
|
13,278,853
|
|
|
31.3
|
%
|
|
11,491,609
|
|
|
31.5
|
%
|
||
Total investment grade
|
|
40,788,847
|
|
|
96.2
|
%
|
|
35,216,257
|
|
|
96.5
|
%
|
||
Ba
|
|
931,771
|
|
|
2.2
|
%
|
|
657,760
|
|
|
1.8
|
%
|
||
B
|
|
147,965
|
|
|
0.4
|
%
|
|
68,712
|
|
|
0.2
|
%
|
||
Caa
|
|
59,636
|
|
|
0.1
|
%
|
|
91,998
|
|
|
0.3
|
%
|
||
Ca and lower
|
|
452,964
|
|
|
1.1
|
%
|
|
463,734
|
|
|
1.2
|
%
|
||
Total below investment grade
|
|
1,592,336
|
|
|
3.8
|
%
|
|
1,282,204
|
|
|
3.5
|
%
|
||
|
|
$
|
42,381,183
|
|
|
100.0
|
%
|
|
$
|
36,498,461
|
|
|
100.0
|
%
|
NAIC Designation
|
|
NRSRO Equivalent Rating
|
1
|
|
Aaa/Aa/A
|
2
|
|
Baa
|
3
|
|
Ba
|
4
|
|
B
|
5
|
|
Caa
|
6
|
|
Ca and lower
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||||||||||||||||||
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
|
|
$
|
25,136,784
|
|
|
$
|
27,489,043
|
|
|
$
|
27,489,043
|
|
|
64.9
|
%
|
|
$
|
23,363,259
|
|
|
$
|
24,207,801
|
|
|
$
|
24,207,801
|
|
|
66.3
|
%
|
2
|
|
12,859,996
|
|
|
13,679,587
|
|
|
13,679,587
|
|
|
32.3
|
%
|
|
11,709,730
|
|
|
11,589,325
|
|
|
11,589,325
|
|
|
31.8
|
%
|
||||||
3
|
|
1,107,948
|
|
|
1,062,620
|
|
|
1,063,846
|
|
|
2.5
|
%
|
|
758,531
|
|
|
643,293
|
|
|
654,538
|
|
|
1.8
|
%
|
||||||
4
|
|
147,237
|
|
|
124,317
|
|
|
124,317
|
|
|
0.3
|
%
|
|
60,480
|
|
|
44,312
|
|
|
44,312
|
|
|
0.1
|
%
|
||||||
5
|
|
12,794
|
|
|
18,839
|
|
|
18,839
|
|
|
—
|
%
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
%
|
||||||
6
|
|
11,091
|
|
|
5,551
|
|
|
5,551
|
|
|
—
|
%
|
|
8,332
|
|
|
2,485
|
|
|
2,485
|
|
|
—
|
%
|
||||||
|
|
$
|
39,275,850
|
|
|
$
|
42,379,957
|
|
|
$
|
42,381,183
|
|
|
100.0
|
%
|
|
$
|
35,900,332
|
|
|
$
|
36,487,216
|
|
|
$
|
36,498,461
|
|
|
100.0
|
%
|
|
Number of
Securities
|
|
Amortized
Cost
|
|
Unrealized
Losses
|
|
Fair Value
|
|||||||
|
|
|
(Dollars in thousands)
|
|||||||||||
September 30, 2016
|
|
|
|
|
|
|
|
|||||||
Fixed maturity securities, available for sale:
|
|
|
|
|
|
|
|
|||||||
United States Government sponsored agencies
|
2
|
|
|
$
|
77,000
|
|
|
$
|
(419
|
)
|
|
$
|
76,581
|
|
United States municipalities, states and territories
|
7
|
|
|
68,452
|
|
|
(368
|
)
|
|
68,084
|
|
|||
Foreign government obligations
|
2
|
|
|
24,575
|
|
|
(3,825
|
)
|
|
20,750
|
|
|||
Corporate securities:
|
|
|
|
|
|
|
|
|
||||||
Finance, insurance and real estate
|
38
|
|
|
564,273
|
|
|
(10,823
|
)
|
|
553,450
|
|
|||
Manufacturing, construction and mining
|
97
|
|
|
1,121,508
|
|
|
(85,420
|
)
|
|
1,036,088
|
|
|||
Utilities and related sectors
|
41
|
|
|
399,961
|
|
|
(21,429
|
)
|
|
378,532
|
|
|||
Wholesale/retail trade
|
7
|
|
|
79,627
|
|
|
(3,989
|
)
|
|
75,638
|
|
|||
Services, media and other
|
20
|
|
|
282,763
|
|
|
(12,489
|
)
|
|
270,274
|
|
|||
Residential mortgage backed securities
|
16
|
|
|
42,407
|
|
|
(2,231
|
)
|
|
40,176
|
|
|||
Commercial mortgage backed securities
|
99
|
|
|
974,168
|
|
|
(27,551
|
)
|
|
946,617
|
|
|||
Other asset backed securities
|
34
|
|
|
376,334
|
|
|
(15,102
|
)
|
|
361,232
|
|
|||
|
363
|
|
|
$
|
4,011,068
|
|
|
$
|
(183,646
|
)
|
|
$
|
3,827,422
|
|
Fixed maturity securities, held for investment:
|
|
|
|
|
|
|
|
|||||||
Corporate security:
|
|
|
|
|
|
|
|
|||||||
Insurance
|
1
|
|
|
$
|
76,773
|
|
|
$
|
(1,226
|
)
|
|
$
|
75,547
|
|
|
|
|
|
|
|
|
|
|||||||
December 31, 2015
|
|
|
|
|
|
|
|
|||||||
Fixed maturity securities, available for sale:
|
|
|
|
|
|
|
|
|||||||
United States Government full faith and credit
|
4
|
|
|
$
|
38,029
|
|
|
$
|
(299
|
)
|
|
$
|
37,730
|
|
United States Government sponsored agencies
|
21
|
|
|
971,462
|
|
|
(14,409
|
)
|
|
957,053
|
|
|||
United States municipalities, states and territories
|
76
|
|
|
273,297
|
|
|
(8,628
|
)
|
|
264,669
|
|
|||
Foreign government obligations
|
6
|
|
|
69,364
|
|
|
(10,935
|
)
|
|
58,429
|
|
|||
Corporate securities:
|
|
|
|
|
|
|
|
|||||||
Finance, insurance and real estate
|
145
|
|
|
2,201,597
|
|
|
(74,462
|
)
|
|
2,127,135
|
|
|||
Manufacturing, construction and mining
|
334
|
|
|
4,271,655
|
|
|
(377,459
|
)
|
|
3,894,196
|
|
|||
Utilities and related sectors
|
216
|
|
|
2,499,341
|
|
|
(161,505
|
)
|
|
2,337,836
|
|
|||
Wholesale/retail trade
|
43
|
|
|
537,720
|
|
|
(25,988
|
)
|
|
511,732
|
|
|||
Services, media and other
|
101
|
|
|
1,112,071
|
|
|
(43,010
|
)
|
|
1,069,061
|
|
|||
Residential mortgage backed securities
|
34
|
|
|
172,697
|
|
|
(3,489
|
)
|
|
169,208
|
|
|||
Commercial mortgage backed securities
|
222
|
|
|
2,796,286
|
|
|
(105,281
|
)
|
|
2,691,005
|
|
|||
Other asset backed securities
|
43
|
|
|
523,592
|
|
|
(19,880
|
)
|
|
503,712
|
|
|||
|
1,245
|
|
|
$
|
15,467,111
|
|
|
$
|
(845,345
|
)
|
|
$
|
14,621,766
|
|
Fixed maturity securities, held for investment:
|
|
|
|
|
|
|
|
|||||||
Corporate security:
|
|
|
|
|
|
|
|
|||||||
Insurance
|
1
|
|
|
$
|
76,622
|
|
|
$
|
(11,245
|
)
|
|
$
|
65,377
|
|
NAIC Designation
|
|
Carrying Value of
Securities with
Gross Unrealized
Losses
|
|
Percent of
Total
|
|
Gross
Unrealized Losses |
|
Percent of
Total
|
||||||
|
|
(Dollars in thousands)
|
||||||||||||
September 30, 2016
|
|
|
|
|
|
|
|
|
||||||
1
|
|
$
|
1,968,836
|
|
|
50.4
|
%
|
|
$
|
(46,397
|
)
|
|
25.1
|
%
|
2
|
|
1,172,321
|
|
|
30.0
|
%
|
|
(50,849
|
)
|
|
27.5
|
%
|
||
3
|
|
647,740
|
|
|
16.6
|
%
|
|
(58,113
|
)
|
|
31.4
|
%
|
||
4
|
|
104,555
|
|
|
2.7
|
%
|
|
(23,065
|
)
|
|
12.5
|
%
|
||
5
|
|
5,198
|
|
|
0.1
|
%
|
|
(903
|
)
|
|
0.5
|
%
|
||
6
|
|
5,545
|
|
|
0.2
|
%
|
|
(5,545
|
)
|
|
3.0
|
%
|
||
|
|
$
|
3,904,195
|
|
|
100.0
|
%
|
|
$
|
(184,872
|
)
|
|
100.0
|
%
|
December 31, 2015
|
|
|
|
|
|
|
|
|
||||||
1
|
|
$
|
8,278,102
|
|
|
56.3
|
%
|
|
$
|
(280,209
|
)
|
|
32.7
|
%
|
2
|
|
5,813,570
|
|
|
39.6
|
%
|
|
(436,543
|
)
|
|
51.0
|
%
|
||
3
|
|
560,199
|
|
|
3.8
|
%
|
|
(117,814
|
)
|
|
13.7
|
%
|
||
4
|
|
44,041
|
|
|
0.3
|
%
|
|
(16,168
|
)
|
|
1.9
|
%
|
||
5
|
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
||
6
|
|
2,476
|
|
|
—
|
%
|
|
(5,856
|
)
|
|
0.7
|
%
|
||
|
|
$
|
14,698,388
|
|
|
100.0
|
%
|
|
$
|
(856,590
|
)
|
|
100.0
|
%
|
|
Number of
Securities
|
|
Amortized
Cost
|
|
Fair Value
|
|
Gross
Unrealized
Losses
|
|||||||
|
|
|
(Dollars in thousands)
|
|||||||||||
September 30, 2016
|
|
|
|
|
|
|
|
|||||||
Fixed maturity securities:
|
|
|
|
|
|
|
|
|||||||
Investment grade:
|
|
|
|
|
|
|
|
|||||||
Less than six months
|
183
|
|
|
$
|
2,145,551
|
|
|
$
|
2,102,467
|
|
|
$
|
(43,084
|
)
|
Six months or more and less than twelve months
|
20
|
|
|
188,631
|
|
|
183,275
|
|
|
(5,356
|
)
|
|||
Twelve months or greater
|
79
|
|
|
962,113
|
|
|
908,301
|
|
|
(53,812
|
)
|
|||
Total investment grade
|
282
|
|
|
3,296,295
|
|
|
3,194,043
|
|
|
(102,252
|
)
|
|||
Below investment grade:
|
|
|
|
|
|
|
|
|||||||
Less than six months
|
18
|
|
|
117,063
|
|
|
108,928
|
|
|
(8,135
|
)
|
|||
Six months or more and less than twelve months
|
8
|
|
|
33,928
|
|
|
32,221
|
|
|
(1,707
|
)
|
|||
Twelve months or greater
|
56
|
|
|
640,555
|
|
|
567,777
|
|
|
(72,778
|
)
|
|||
Total below investment grade
|
82
|
|
|
791,546
|
|
|
708,926
|
|
|
(82,620
|
)
|
|||
|
364
|
|
|
$
|
4,087,841
|
|
|
$
|
3,902,969
|
|
|
$
|
(184,872
|
)
|
|
|
|
|
|
|
|
|
|||||||
December 31, 2015
|
|
|
|
|
|
|
|
|||||||
Fixed maturity securities:
|
|
|
|
|
|
|
|
|||||||
Investment grade:
|
|
|
|
|
|
|
|
|||||||
Less than six months
|
588
|
|
|
$
|
7,395,125
|
|
|
$
|
7,193,059
|
|
|
$
|
(202,066
|
)
|
Six months or more and less than twelve months
|
484
|
|
|
6,799,113
|
|
|
6,388,844
|
|
|
(410,269
|
)
|
|||
Twelve months or greater
|
44
|
|
|
592,600
|
|
|
484,646
|
|
|
(107,954
|
)
|
|||
Total investment grade
|
1,116
|
|
|
14,786,838
|
|
|
14,066,549
|
|
|
(720,289
|
)
|
|||
Below investment grade:
|
|
|
|
|
|
|
|
|||||||
Less than six months
|
87
|
|
|
297,879
|
|
|
279,947
|
|
|
(17,932
|
)
|
|||
Six months or more and less than twelve months
|
15
|
|
|
175,603
|
|
|
148,337
|
|
|
(27,266
|
)
|
|||
Twelve months or greater
|
28
|
|
|
283,413
|
|
|
192,310
|
|
|
(91,103
|
)
|
|||
Total below investment grade
|
130
|
|
|
756,895
|
|
|
620,594
|
|
|
(136,301
|
)
|
|||
|
1,246
|
|
|
$
|
15,543,733
|
|
|
$
|
14,687,143
|
|
|
$
|
(856,590
|
)
|
|
Number of
Securities
|
|
Amortized
Cost
|
|
Fair
Value
|
|
Gross
Unrealized
Losses
|
|||||||
|
|
|
(Dollars in thousands)
|
|||||||||||
September 30, 2016
|
|
|
|
|
|
|
|
|||||||
Investment grade:
|
|
|
|
|
|
|
|
|||||||
Less than six months
|
1
|
|
|
$
|
10,451
|
|
|
$
|
6,429
|
|
|
$
|
(4,022
|
)
|
Six months or more and less than twelve months
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||
Twelve months or greater
|
1
|
|
|
2,070
|
|
|
993
|
|
|
(1,077
|
)
|
|||
Total investment grade
|
2
|
|
|
12,521
|
|
|
7,422
|
|
|
(5,099
|
)
|
|||
Below investment grade:
|
|
|
|
|
|
|
|
|||||||
Less than six months
|
1
|
|
|
4,995
|
|
|
3,190
|
|
|
(1,805
|
)
|
|||
Six months or more and less than twelve months
|
2
|
|
|
5,000
|
|
|
3,841
|
|
|
(1,159
|
)
|
|||
Twelve months or greater
|
10
|
|
|
89,899
|
|
|
56,701
|
|
|
(33,198
|
)
|
|||
Total below investment grade
|
13
|
|
|
99,894
|
|
|
63,732
|
|
|
(36,162
|
)
|
|||
|
15
|
|
|
$
|
112,415
|
|
|
$
|
71,154
|
|
|
$
|
(41,261
|
)
|
|
|
|
|
|
|
|
|
|||||||
December 31, 2015
|
|
|
|
|
|
|
|
|||||||
Investment grade:
|
|
|
|
|
|
|
|
|||||||
Less than six months
|
37
|
|
|
$
|
460,894
|
|
|
$
|
339,047
|
|
|
$
|
(121,847
|
)
|
Six months or more and less than twelve months
|
13
|
|
|
122,794
|
|
|
82,149
|
|
|
(40,645
|
)
|
|||
Twelve months or greater
|
1
|
|
|
2,856
|
|
|
1,999
|
|
|
(857
|
)
|
|||
Total investment grade
|
51
|
|
|
586,544
|
|
|
423,195
|
|
|
(163,349
|
)
|
|||
Below investment grade:
|
|
|
|
|
|
|
|
|||||||
Less than six months
|
13
|
|
|
73,412
|
|
|
44,976
|
|
|
(28,436
|
)
|
|||
Six months or more and less than twelve months
|
13
|
|
|
145,886
|
|
|
88,308
|
|
|
(57,578
|
)
|
|||
Twelve months or greater
|
3
|
|
|
30,930
|
|
|
14,213
|
|
|
(16,717
|
)
|
|||
Total below investment grade
|
29
|
|
|
250,228
|
|
|
147,497
|
|
|
(102,731
|
)
|
|||
|
80
|
|
|
$
|
836,772
|
|
|
$
|
570,692
|
|
|
$
|
(266,080
|
)
|
|
Available for sale
|
|
Held for investment
|
||||||||||||
|
Amortized
Cost
|
|
Fair Value
|
|
Amortized
Cost
|
|
Fair Value
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
September 30, 2016
|
|
|
|
|
|
|
|
||||||||
Due in one year or less
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Due after one year through five years
|
155,440
|
|
|
147,773
|
|
|
—
|
|
|
—
|
|
||||
Due after five years through ten years
|
1,054,247
|
|
|
1,017,021
|
|
|
—
|
|
|
—
|
|
||||
Due after ten years through twenty years
|
388,586
|
|
|
368,382
|
|
|
—
|
|
|
—
|
|
||||
Due after twenty years
|
1,019,886
|
|
|
946,221
|
|
|
76,773
|
|
|
75,547
|
|
||||
|
2,618,159
|
|
|
2,479,397
|
|
|
76,773
|
|
|
75,547
|
|
||||
Residential mortgage backed securities
|
42,407
|
|
|
40,176
|
|
|
—
|
|
|
—
|
|
||||
Commercial mortgage backed securities
|
974,168
|
|
|
946,617
|
|
|
—
|
|
|
—
|
|
||||
Other asset backed securities
|
376,334
|
|
|
361,232
|
|
|
—
|
|
|
—
|
|
||||
|
$
|
4,011,068
|
|
|
$
|
3,827,422
|
|
|
$
|
76,773
|
|
|
$
|
75,547
|
|
|
|
|
|
|
|
|
|
||||||||
December 31, 2015
|
|
|
|
|
|
|
|
||||||||
Due in one year or less
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Due after one year through five years
|
257,994
|
|
|
247,957
|
|
|
—
|
|
|
—
|
|
||||
Due after five years through ten years
|
6,111,139
|
|
|
5,802,168
|
|
|
—
|
|
|
—
|
|
||||
Due after ten years through twenty years
|
2,816,752
|
|
|
2,693,742
|
|
|
—
|
|
|
—
|
|
||||
Due after twenty years
|
2,788,651
|
|
|
2,513,974
|
|
|
76,622
|
|
|
65,377
|
|
||||
|
11,974,536
|
|
|
11,257,841
|
|
|
76,622
|
|
|
65,377
|
|
||||
Residential mortgage backed securities
|
172,697
|
|
|
169,208
|
|
|
—
|
|
|
—
|
|
||||
Commercial mortgage backed securities
|
2,796,286
|
|
|
2,691,005
|
|
|
—
|
|
|
—
|
|
||||
Other asset backed securities
|
523,592
|
|
|
503,712
|
|
|
—
|
|
|
—
|
|
||||
|
$
|
15,467,111
|
|
|
$
|
14,621,766
|
|
|
$
|
76,622
|
|
|
$
|
65,377
|
|
|
|
September 30, 2016
|
||||||||||||
Sector and Subsector
|
|
Amortized
Cost
|
|
Fair Value
|
|
Unrealized Gain (Loss)
|
|
Average Credit Rating
|
||||||
|
|
(Dollars in thousands)
|
|
|
||||||||||
Energy
|
|
|
|
|
|
|
|
|
||||||
Independent
|
|
$
|
505,553
|
|
|
$
|
506,918
|
|
|
$
|
1,365
|
|
|
Baa
|
Integrated
|
|
497,369
|
|
|
532,324
|
|
|
34,955
|
|
|
A
|
|||
Oil field services
|
|
405,148
|
|
|
385,393
|
|
|
(19,755
|
)
|
|
Baa
|
|||
Refining
|
|
119,571
|
|
|
126,823
|
|
|
7,252
|
|
|
Baa
|
|||
Midstream
|
|
760,316
|
|
|
790,623
|
|
|
30,307
|
|
|
Baa
|
|||
Government owned no guarantee
|
|
308,695
|
|
|
336,258
|
|
|
27,563
|
|
|
A
|
|||
Metals & Mining
|
|
559,112
|
|
|
583,469
|
|
|
24,357
|
|
|
Baa
|
|||
Total Energy and Metals & Mining
|
|
$
|
3,155,764
|
|
|
$
|
3,261,808
|
|
|
$
|
106,044
|
|
|
Baa
|
|
|
Amortized Cost at September 30, 2016
|
||||||||||||||||||||||||||||||
|
|
Energy
|
|
|
|
|
||||||||||||||||||||||||||
NRSRO Rating
|
|
Independent
|
|
Integrated
|
|
Oil field services
|
|
Refining
|
|
Midstream
|
|
Government Owned No Guarantee
|
|
Metals & Mining
|
|
Total
|
||||||||||||||||
|
|
(Dollars in thousands)
|
||||||||||||||||||||||||||||||
Aaa
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Aa
|
|
—
|
|
|
228,200
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
44,662
|
|
|
—
|
|
|
272,862
|
|
||||||||
A
|
|
89,493
|
|
|
84,765
|
|
|
90,631
|
|
|
500
|
|
|
90,842
|
|
|
214,194
|
|
|
76,594
|
|
|
647,019
|
|
||||||||
Baa
|
|
369,837
|
|
|
149,192
|
|
|
185,220
|
|
|
119,071
|
|
|
635,467
|
|
|
25,264
|
|
|
287,846
|
|
|
1,771,897
|
|
||||||||
Ba
|
|
46,223
|
|
|
35,212
|
|
|
100,235
|
|
|
—
|
|
|
34,007
|
|
|
—
|
|
|
129,897
|
|
|
345,574
|
|
||||||||
B
|
|
—
|
|
|
—
|
|
|
29,062
|
|
|
—
|
|
|
—
|
|
|
24,575
|
|
|
54,092
|
|
|
107,729
|
|
||||||||
Below B
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
10,683
|
|
|
10,683
|
|
||||||||
|
|
$
|
505,553
|
|
|
$
|
497,369
|
|
|
$
|
405,148
|
|
|
$
|
119,571
|
|
|
$
|
760,316
|
|
|
$
|
308,695
|
|
|
$
|
559,112
|
|
|
$
|
3,155,764
|
|
|
|
Fair Value at September 30, 2016
|
||||||||||||||||||||||||||||||
|
|
Energy
|
|
|
|
|
||||||||||||||||||||||||||
NRSRO Rating
|
|
Independent
|
|
Integrated
|
|
Oil field services
|
|
Refining
|
|
Midstream
|
|
Government Owned No Guarantee
|
|
Metals & Mining
|
|
Total
|
||||||||||||||||
|
|
(Dollars in thousands)
|
||||||||||||||||||||||||||||||
Aaa
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Aa
|
|
—
|
|
|
249,998
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
47,087
|
|
|
—
|
|
|
297,085
|
|
||||||||
A
|
|
93,882
|
|
|
88,981
|
|
|
98,603
|
|
|
551
|
|
|
99,269
|
|
|
242,485
|
|
|
83,669
|
|
|
707,440
|
|
||||||||
Baa
|
|
369,909
|
|
|
159,716
|
|
|
183,741
|
|
|
126,272
|
|
|
658,477
|
|
|
25,936
|
|
|
304,529
|
|
|
1,828,580
|
|
||||||||
Ba
|
|
43,127
|
|
|
33,629
|
|
|
83,138
|
|
|
—
|
|
|
32,877
|
|
|
—
|
|
|
129,763
|
|
|
322,534
|
|
||||||||
B
|
|
—
|
|
|
—
|
|
|
19,911
|
|
|
—
|
|
|
—
|
|
|
20,750
|
|
|
49,452
|
|
|
90,113
|
|
||||||||
Below B
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
16,056
|
|
|
16,056
|
|
||||||||
|
|
$
|
506,918
|
|
|
$
|
532,324
|
|
|
$
|
385,393
|
|
|
$
|
126,823
|
|
|
$
|
790,623
|
|
|
$
|
336,258
|
|
|
$
|
583,469
|
|
|
$
|
3,261,808
|
|
|
September 30, 2016
|
||||||||
|
Amortized Cost
|
|
Carrying
Amount/Fair Value
|
|
Percent
of Total
Carrying
Amount
|
||||
|
(Dollars in thousands)
|
|
|
||||||
GIIPS (1)
|
$
|
232,384
|
|
|
$
|
263,285
|
|
|
0.6%
|
Asia/Pacific
|
429,332
|
|
|
470,108
|
|
|
1.1%
|
||
Non-GIIPS Europe
|
2,977,297
|
|
|
3,199,061
|
|
|
7.5%
|
||
Latin America
|
261,452
|
|
|
259,606
|
|
|
0.6%
|
||
Non-U.S. North America
|
1,279,722
|
|
|
1,346,510
|
|
|
3.2%
|
||
Australia & New Zealand
|
790,853
|
|
|
831,821
|
|
|
2.0%
|
||
Other
|
1,129,309
|
|
|
1,184,464
|
|
|
2.8%
|
||
|
$
|
7,100,349
|
|
|
$
|
7,554,855
|
|
|
17.8%
|
(1)
|
Greece, Ireland, Italy, Portugal and Spain continue to cause credit risk as economic conditions in these countries continue to be volatile, especially within the financial and banking sectors. All of our exposure in GIIPS are corporate securities with issuers domiciled in these countries. None of our foreign government obligations were held in any of these countries.
|
|
September 30, 2016
|
||||||
|
Amortized Cost
|
|
Carrying Amount/
Fair Value
|
||||
|
(Dollars in thousands)
|
||||||
GIIPS (1)
|
$
|
28,763
|
|
|
$
|
30,447
|
|
Asia/Pacific
|
11,500
|
|
|
9,597
|
|
||
Non-GIIPS Europe
|
98,170
|
|
|
95,254
|
|
||
Latin America
|
55,579
|
|
|
42,308
|
|
||
Non-U.S. North America
|
120,456
|
|
|
116,486
|
|
||
|
$
|
314,468
|
|
|
$
|
294,092
|
|
General Description
|
|
Number of
Securities
|
|
Amortized
Cost
|
|
Unrealized
Gains (Losses)
|
|
Fair Value
|
|
Months in
Continuous
Unrealized
Loss Position
|
|
Months
Unrealized
Losses
Greater
Than 20%
|
||||||
|
|
|
|
(Dollars in thousands)
|
|
|
|
|
||||||||||
Investment grade
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Corporate securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Utilities
|
|
1
|
|
$
|
10,452
|
|
|
$
|
(4,023
|
)
|
|
$
|
6,429
|
|
|
13
|
|
2
|
Other asset backed securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Financials
|
|
1
|
|
2,218
|
|
|
(1,153
|
)
|
|
1,065
|
|
|
66
|
|
17
|
|||
Utilities
|
|
1
|
|
4,995
|
|
|
(1,805
|
)
|
|
3,190
|
|
|
1
|
|
1
|
|||
|
|
3
|
|
$
|
17,665
|
|
|
$
|
(6,981
|
)
|
|
$
|
10,684
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Below investment grade
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Corporate securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Energy
|
|
4
|
|
$
|
45,044
|
|
|
$
|
(10,668
|
)
|
|
$
|
34,376
|
|
|
25 - 41
|
|
0 - 21
|
Industrials
|
|
1
|
|
4,981
|
|
|
(3,181
|
)
|
|
1,800
|
|
|
23
|
|
14
|
|||
Materials
|
|
4
|
|
29,772
|
|
|
(3,518
|
)
|
|
26,254
|
|
|
15 - 44
|
|
0 - 11
|
|||
Telecommunications
|
|
1
|
|
2,171
|
|
|
(686
|
)
|
|
1,485
|
|
|
27
|
|
15
|
|||
Other asset backed securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Financials
|
|
1
|
|
4,854
|
|
|
(3,209
|
)
|
|
1,645
|
|
|
40
|
|
21
|
|||
|
|
11
|
|
$
|
86,822
|
|
|
$
|
(21,262
|
)
|
|
$
|
65,560
|
|
|
|
|
|
|
|
14
|
|
$
|
104,487
|
|
|
$
|
(28,243
|
)
|
|
$
|
76,244
|
|
|
|
|
|
|
September 30, 2016
|
|
December 31, 2015
|
||||||||||
|
Principal Outstanding
|
|
Percent of Total Principal Outstanding
|
|
Principal Outstanding
|
|
Percent of Total Principal Outstanding
|
||||||
|
(Dollars in thousands)
|
||||||||||||
Debt Service Coverage Ratio:
|
|
|
|
|
|
|
|
||||||
Greater than or equal to 1.5
|
$
|
1,740,867
|
|
|
71.7
|
%
|
|
$
|
1,772,226
|
|
|
72.3
|
%
|
Greater than or equal to 1.2 and less than 1.5
|
487,260
|
|
|
20.1
|
%
|
|
414,482
|
|
|
16.9
|
%
|
||
Greater than or equal to 1.0 and less than 1.2
|
123,284
|
|
|
5.1
|
%
|
|
141,799
|
|
|
5.8
|
%
|
||
Less than 1.0
|
76,494
|
|
|
3.1
|
%
|
|
121,402
|
|
|
5.0
|
%
|
||
|
$
|
2,427,905
|
|
|
100.0
|
%
|
|
$
|
2,449,909
|
|
|
100.0
|
%
|
|
September 30, 2016
|
|
December 31, 2015
|
||||
|
(Dollars in thousands)
|
||||||
Impaired mortgage loans with an allowance
|
$
|
4,683
|
|
|
$
|
21,277
|
|
Impaired mortgage loans with no related allowance
|
1,621
|
|
|
8,859
|
|
||
Allowance for probable loan losses
|
(1,327
|
)
|
|
(7,842
|
)
|
||
Net carrying value of impaired mortgage loans
|
$
|
4,977
|
|
|
$
|
22,294
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
|
(Dollars in thousands)
|
||||||||||||||
Annual index credits to policyholders on their anniversaries
|
$
|
126,653
|
|
|
$
|
101,170
|
|
|
$
|
142,084
|
|
|
$
|
515,675
|
|
Proceeds received at expiration of options related to such credits
|
128,293
|
|
|
103,750
|
|
|
144,343
|
|
|
529,196
|
|
Exhibit No.
|
|
Description
|
|
Method of Filing
|
10.1
|
|
First Amendment to American Equity Investment Life Holding Company 2016 Employee Incentive Plan
|
|
Incorporated by reference to Exhibit 99.2 to Form S-8 filed on September 8, 2016
|
10.2
|
|
Credit Agreement, dated as of September 30, 2016, among American Equity Investment Life Holding Company, the lenders party thereto and JPMorgan Chase Bank, N.A., as administrative agent
|
|
Incorporated by reference to Exhibit 10.1 to Form 8-K filed on October 3, 2016
|
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
|
|
Filed herewith
|
101.SCH
|
|
XBRL Taxonomy Extension Schema Document
|
|
Filed herewith
|
101.CAL
|
|
XBRL Taxonomy Extension Calculation Linkbase Document
|
|
Filed herewith
|
101.DEF
|
|
XBRL Taxonomy Extension Definition Linkbase Document
|
|
Filed herewith
|
101.LAB
|
|
XBRL Taxonomy Extension Label Linkbase Document
|
|
Filed herewith
|
101.PRE
|
|
XBRL Taxonomy Extension Presentation Linkbase Document
|
|
Filed herewith
|
Date:
|
November 9, 2016
|
|
AMERICAN EQUITY INVESTMENT LIFE
|
|
|
|
|
|
HOLDING COMPANY
|
|
|
|
|
|
|
|
|
|
|
|
By:
|
/s/ John M. Matovina
|
|
|
|
|
|
John M. Matovina, Chief Executive Officer and President
|
|
|
|
|
|
(Principal Executive Officer)
|
|
|
|
|
|
|
|
|
|
|
By:
|
/s/ Ted M. Johnson
|
|
|
|
|
|
Ted M. Johnson, Chief Financial Officer and Treasurer
|
|
|
|
|
|
(Principal Financial Officer)
|
|
|
|
|
|
|
|
|
|
|
By:
|
/s/ Scott A. Samuelson
|
|
|
|
|
|
Scott A. Samuelson, Vice President - Controller
|
|
|
|
|
|
(Principal Accounting Officer)
|
|
1 Year American Equity Investme... Chart |
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