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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Reinsurance Group of America Inc | NYSE:RGA | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
10.47 | 5.48% | 201.65 | 202.06 | 194.505 | 195.35 | 810,553 | 01:00:00 |
MISSOURI
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43-1627032
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(State or other jurisdiction
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(IRS employer
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of incorporation or organization)
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identification number)
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Item
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Page
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PART I – FINANCIAL INFORMATION
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1
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2
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3
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4
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PART II – OTHER INFORMATION
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1
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1A
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2
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6
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June 30,
2016 |
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December 31,
2015 |
||||
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(Dollars in thousands, except share data)
|
||||||
Assets
|
|
|
|
|
||||
Fixed maturity securities:
|
|
|
|
|
||||
Available-for-sale at fair value (amortized cost of $30,076,884 and $28,322,977)
|
|
$
|
33,160,976
|
|
|
$
|
29,642,905
|
|
Mortgage loans on real estate (net of allowances of $6,499 and $6,813)
|
|
3,377,039
|
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3,129,951
|
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||
Policy loans
|
|
1,445,410
|
|
|
1,468,796
|
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||
Funds withheld at interest
|
|
5,899,289
|
|
|
5,880,203
|
|
||
Short-term investments
|
|
195,979
|
|
|
558,284
|
|
||
Other invested assets
|
|
1,682,143
|
|
|
1,298,120
|
|
||
Total investments
|
|
45,760,836
|
|
|
41,978,259
|
|
||
Cash and cash equivalents
|
|
1,034,329
|
|
|
1,525,275
|
|
||
Accrued investment income
|
|
368,926
|
|
|
339,452
|
|
||
Premiums receivable and other reinsurance balances
|
|
1,917,844
|
|
|
1,797,504
|
|
||
Reinsurance ceded receivables
|
|
681,425
|
|
|
637,859
|
|
||
Deferred policy acquisition costs
|
|
3,401,935
|
|
|
3,392,437
|
|
||
Other assets
|
|
711,408
|
|
|
712,366
|
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Total assets
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$
|
53,876,703
|
|
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$
|
50,383,152
|
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Liabilities and Stockholders’ Equity
|
|
|
|
|
||||
Future policy benefits
|
|
$
|
19,605,021
|
|
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$
|
19,612,251
|
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Interest-sensitive contract liabilities
|
|
14,024,012
|
|
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13,663,873
|
|
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Other policy claims and benefits
|
|
4,305,219
|
|
|
4,094,640
|
|
||
Other reinsurance balances
|
|
344,527
|
|
|
296,899
|
|
||
Deferred income taxes
|
|
2,901,264
|
|
|
2,218,328
|
|
||
Other liabilities
|
|
1,157,252
|
|
|
1,165,071
|
|
||
Short-term debt
|
|
299,807
|
|
|
—
|
|
||
Long-term debt
|
|
2,788,473
|
|
|
2,297,548
|
|
||
Collateral finance and securitization notes
|
|
870,482
|
|
|
899,161
|
|
||
Total liabilities
|
|
46,296,057
|
|
|
44,247,771
|
|
||
Commitments and contingent liabilities (See Note 8)
|
|
|
|
|
|
|
||
Stockholders’ Equity:
|
|
|
|
|
||||
Preferred stock - par value $.01 per share, 10,000,000 shares authorized, no shares issued or outstanding
|
|
—
|
|
|
—
|
|
||
Common stock - par value $.01 per share, 140,000,000 shares authorized, 79,137,758 shares issued at June 30, 2016 and December 31, 2015
|
|
791
|
|
|
791
|
|
||
Additional paid-in capital
|
|
1,834,995
|
|
|
1,816,142
|
|
||
Retained earnings
|
|
4,870,711
|
|
|
4,620,303
|
|
||
Treasury stock, at cost - 15,068,009 and 13,933,232 shares
|
|
(1,111,225
|
)
|
|
(1,010,139
|
)
|
||
Accumulated other comprehensive income
|
|
1,985,374
|
|
|
708,284
|
|
||
Total stockholders’ equity
|
|
7,580,646
|
|
|
6,135,381
|
|
||
Total liabilities and stockholders’ equity
|
|
$
|
53,876,703
|
|
|
$
|
50,383,152
|
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
|
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2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Revenues:
|
|
(Dollars in thousands, except per share data)
|
||||||||||||||
Net premiums
|
|
$
|
2,346,945
|
|
|
$
|
2,129,043
|
|
|
$
|
4,503,950
|
|
|
$
|
4,152,895
|
|
Investment income, net of related expenses
|
|
507,666
|
|
|
450,539
|
|
|
924,932
|
|
|
877,430
|
|
||||
Investment related gains (losses), net:
|
|
|
|
|
|
|
|
|
||||||||
Other-than-temporary impairments on fixed maturity securities
|
|
(846
|
)
|
|
(4,137
|
)
|
|
(34,663
|
)
|
|
(6,664
|
)
|
||||
Other investment related gains (losses), net
|
|
119,110
|
|
|
(12,041
|
)
|
|
32,041
|
|
|
(1,931
|
)
|
||||
Total investment related gains (losses), net
|
|
118,264
|
|
|
(16,178
|
)
|
|
(2,622
|
)
|
|
(8,595
|
)
|
||||
Other revenues
|
|
66,193
|
|
|
66,936
|
|
|
125,376
|
|
|
129,223
|
|
||||
Total revenues
|
|
3,039,068
|
|
|
2,630,340
|
|
|
5,551,636
|
|
|
5,150,953
|
|
||||
Benefits and Expenses:
|
|
|
|
|
|
|
|
|
||||||||
Claims and other policy benefits
|
|
1,997,502
|
|
|
1,866,183
|
|
|
3,884,266
|
|
|
3,641,634
|
|
||||
Interest credited
|
|
95,849
|
|
|
77,246
|
|
|
183,754
|
|
|
197,924
|
|
||||
Policy acquisition costs and other insurance expenses
|
|
405,681
|
|
|
300,412
|
|
|
639,444
|
|
|
577,455
|
|
||||
Other operating expenses
|
|
159,895
|
|
|
131,600
|
|
|
317,319
|
|
|
253,218
|
|
||||
Interest expense
|
|
20,331
|
|
|
35,851
|
|
|
53,138
|
|
|
71,478
|
|
||||
Collateral finance and securitization expense
|
|
6,587
|
|
|
5,258
|
|
|
12,912
|
|
|
11,329
|
|
||||
Total benefits and expenses
|
|
2,685,845
|
|
|
2,416,550
|
|
|
5,090,833
|
|
|
4,753,038
|
|
||||
Income before income taxes
|
|
353,223
|
|
|
213,790
|
|
|
460,803
|
|
|
397,915
|
|
||||
Provision for income taxes
|
|
117,120
|
|
|
83,399
|
|
|
148,228
|
|
|
142,410
|
|
||||
Net income
|
|
$
|
236,103
|
|
|
$
|
130,391
|
|
|
$
|
312,575
|
|
|
$
|
255,505
|
|
Earnings per share:
|
|
|
|
|
|
|
|
|
||||||||
Basic earnings per share
|
|
$
|
3.68
|
|
|
$
|
1.97
|
|
|
$
|
4.86
|
|
|
$
|
3.80
|
|
Diluted earnings per share
|
|
$
|
3.64
|
|
|
$
|
1.94
|
|
|
$
|
4.81
|
|
|
$
|
3.76
|
|
Dividends declared per share
|
|
$
|
0.37
|
|
|
$
|
0.33
|
|
|
$
|
0.74
|
|
|
$
|
0.66
|
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Comprehensive income (loss)
|
|
(Dollars in thousands)
|
||||||||||||||
Net income
|
|
$
|
236,103
|
|
|
$
|
130,391
|
|
|
$
|
312,575
|
|
|
$
|
255,505
|
|
Other comprehensive income (loss), net of tax:
|
|
|
|
|
|
|
|
|
||||||||
Foreign currency translation adjustments
|
|
9,942
|
|
|
21,935
|
|
|
87,675
|
|
|
(95,836
|
)
|
||||
Net unrealized investment gains
|
|
643,893
|
|
|
(757,641
|
)
|
|
1,191,118
|
|
|
(413,717
|
)
|
||||
Defined benefit pension and postretirement plan adjustments
|
|
1,156
|
|
|
834
|
|
|
(1,703
|
)
|
|
1,788
|
|
||||
Total other comprehensive income (loss), net of tax
|
|
654,991
|
|
|
(734,872
|
)
|
|
1,277,090
|
|
|
(507,765
|
)
|
||||
Total comprehensive income (loss)
|
|
$
|
891,094
|
|
|
$
|
(604,481
|
)
|
|
$
|
1,589,665
|
|
|
$
|
(252,260
|
)
|
|
|
Six months ended June 30,
|
||||||
|
|
2016
|
|
2015
|
||||
|
|
(Dollars in thousands)
|
||||||
Cash Flows from Operating Activities:
|
|
|
|
|
||||
Net income
|
|
$
|
312,575
|
|
|
$
|
255,505
|
|
Adjustments to reconcile net income to net cash provided by operating activities:
|
|
|
|
|
||||
Change in operating assets and liabilities:
|
|
|
|
|
||||
Accrued investment income
|
|
(34,705
|
)
|
|
(26,656
|
)
|
||
Premiums receivable and other reinsurance balances
|
|
(98,610
|
)
|
|
(19,683
|
)
|
||
Deferred policy acquisition costs
|
|
(5,435
|
)
|
|
5,136
|
|
||
Reinsurance ceded receivable balances
|
|
(60,465
|
)
|
|
(115,355
|
)
|
||
Future policy benefits, other policy claims and benefits, and other reinsurance balances
|
|
380,297
|
|
|
353,946
|
|
||
Deferred income taxes
|
|
101,163
|
|
|
77,047
|
|
||
Other assets and other liabilities, net
|
|
(43,708
|
)
|
|
42,363
|
|
||
Amortization of net investment premiums, discounts and other
|
|
(42,843
|
)
|
|
(39,021
|
)
|
||
Investment related (gains) losses, net
|
|
2,622
|
|
|
8,595
|
|
||
Other, net
|
|
83,555
|
|
|
63,815
|
|
||
Net cash provided by operating activities
|
|
594,446
|
|
|
605,692
|
|
||
Cash Flows from Investing Activities:
|
|
|
|
|
||||
Sales of fixed maturity securities available-for-sale
|
|
2,271,414
|
|
|
2,742,814
|
|
||
Maturities of fixed maturity securities available-for-sale
|
|
273,552
|
|
|
232,712
|
|
||
Sales of equity securities
|
|
132,932
|
|
|
50,083
|
|
||
Principal payments on mortgage loans on real estate
|
|
294,843
|
|
|
166,583
|
|
||
Principal payments on policy loans
|
|
25,065
|
|
|
441
|
|
||
Purchases of fixed maturity securities available-for-sale
|
|
(4,416,290
|
)
|
|
(2,806,351
|
)
|
||
Purchases of equity securities
|
|
(408,684
|
)
|
|
(68,116
|
)
|
||
Cash invested in mortgage loans on real estate
|
|
(543,454
|
)
|
|
(531,317
|
)
|
||
Cash invested in policy loans
|
|
(1,679
|
)
|
|
(686
|
)
|
||
Cash invested in funds withheld at interest
|
|
(27,868
|
)
|
|
(57,708
|
)
|
||
Purchase of businesses, net of cash acquired of $19,377
|
|
—
|
|
|
(191,450
|
)
|
||
Purchases of property and equipment
|
|
—
|
|
|
(22,944
|
)
|
||
Cash paid under securities repurchase agreements
|
|
—
|
|
|
(101,203
|
)
|
||
Change in short-term investments
|
|
350,062
|
|
|
22,543
|
|
||
Change in other invested assets
|
|
(8,100
|
)
|
|
91,562
|
|
||
Net cash used in investing activities
|
|
(2,058,207
|
)
|
|
(473,037
|
)
|
||
Cash Flows from Financing Activities:
|
|
|
|
|
||||
Dividends to stockholders
|
|
(47,746
|
)
|
|
(44,519
|
)
|
||
Repayment of collateral finance and securitization notes
|
|
(35,369
|
)
|
|
(17,632
|
)
|
||
Proceeds from issuance of collateral finance and securitization notes
|
|
—
|
|
|
160,060
|
|
||
Proceeds from long-term debt issuance
|
|
799,984
|
|
|
—
|
|
||
Debt issuance costs
|
|
(9,026
|
)
|
|
(1,170
|
)
|
||
Principal payments of long-term debt
|
|
(1,227
|
)
|
|
(1,178
|
)
|
||
Purchases of treasury stock
|
|
(120,806
|
)
|
|
(262,515
|
)
|
||
Exercise of stock options, net
|
|
5,219
|
|
|
12,641
|
|
||
Change in cash collateral for derivative positions and other arrangements
|
|
57,055
|
|
|
(31,244
|
)
|
||
Deposits on universal life and other investment type policies and contracts
|
|
513,679
|
|
|
132,679
|
|
||
Withdrawals on universal life and other investment type policies and contracts
|
|
(208,743
|
)
|
|
(363,600
|
)
|
||
Net cash provided by (used in) financing activities
|
|
953,020
|
|
|
(416,478
|
)
|
||
Effect of exchange rate changes on cash
|
|
19,795
|
|
|
(26,185
|
)
|
||
Change in cash and cash equivalents
|
|
(490,946
|
)
|
|
(310,008
|
)
|
||
Cash and cash equivalents, beginning of period
|
|
1,525,275
|
|
|
1,645,669
|
|
||
Cash and cash equivalents, end of period
|
|
$
|
1,034,329
|
|
|
$
|
1,335,661
|
|
Supplemental disclosures of cash flow information:
|
|
|
|
|
||||
Interest paid
|
|
$
|
68,445
|
|
|
$
|
74,637
|
|
Income taxes paid, net of refunds
|
|
$
|
43,838
|
|
|
$
|
(19,307
|
)
|
Non-cash transactions:
|
|
|
|
|
||||
Transfer of invested assets
|
|
$
|
1,730
|
|
|
$
|
118
|
|
Accrual for capitalized assets
|
|
$
|
—
|
|
|
$
|
2,121
|
|
Purchase of businesses:
|
|
|
|
|
||||
Assets acquired, excluding cash acquired
|
|
$
|
—
|
|
|
$
|
3,681,699
|
|
Liabilities assumed
|
|
—
|
|
|
(3,490,249
|
)
|
||
Net cash paid on purchase
|
|
$
|
—
|
|
|
$
|
191,450
|
|
1.
|
Business and Basis of Presentation
|
2.
|
Earnings Per Share
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Earnings:
|
|
|
|
|
|
|
|
|
||||||||
Net income (numerator for basic and diluted calculations)
|
|
$
|
236,103
|
|
|
$
|
130,391
|
|
|
$
|
312,575
|
|
|
$
|
255,505
|
|
Shares:
|
|
|
|
|
|
|
|
|
||||||||
Weighted average outstanding shares (denominator for basic calculation)
|
|
64,126
|
|
|
66,351
|
|
|
64,348
|
|
|
67,246
|
|
||||
Equivalent shares from outstanding stock options
|
|
670
|
|
|
769
|
|
|
660
|
|
|
785
|
|
||||
Denominator for diluted calculation
|
|
64,796
|
|
|
67,120
|
|
|
65,008
|
|
|
68,031
|
|
||||
Earnings per share:
|
|
|
|
|
|
|
|
|
||||||||
Basic
|
|
$
|
3.68
|
|
|
$
|
1.97
|
|
|
$
|
4.86
|
|
|
$
|
3.80
|
|
Diluted
|
|
$
|
3.64
|
|
|
$
|
1.94
|
|
|
$
|
4.81
|
|
|
$
|
3.76
|
|
3.
|
Equity
|
|
|
Issued
|
|
Held In Treasury
|
|
Outstanding
|
|||
Balance, December 31, 2015
|
|
79,137,758
|
|
|
13,933,232
|
|
|
65,204,526
|
|
Common stock acquired
|
|
—
|
|
|
1,352,211
|
|
|
(1,352,211
|
)
|
Stock-based compensation
(1)
|
|
—
|
|
|
(217,434
|
)
|
|
217,434
|
|
Balance, June 30, 2016
|
|
79,137,758
|
|
|
15,068,009
|
|
|
64,069,749
|
|
|
|
Issued
|
|
Held In Treasury
|
|
Outstanding
|
|||
Balance, December 31, 2014
|
|
79,137,758
|
|
|
10,364,797
|
|
|
68,772,961
|
|
Common stock acquired
|
|
—
|
|
|
2,791,360
|
|
|
(2,791,360
|
)
|
Stock-based compensation
(1)
|
|
—
|
|
|
(440,059
|
)
|
|
440,059
|
|
Balance, June 30, 2015
|
|
79,137,758
|
|
|
12,716,098
|
|
|
66,421,660
|
|
(1)
|
Represents net shares issued from treasury pursuant to the Company's equity-based compensation programs.
|
|
|
AOCI, Net of Income Tax
|
||||||||||||||
|
|
Accumulated
Currency
Translation
Adjustments
|
|
Unrealized
Appreciation
(Depreciation)
of Investments
(1)
|
|
Pension and
Postretirement
Benefits
|
|
Total
|
||||||||
Balance, December 31, 2015
|
|
$
|
(181,151
|
)
|
|
$
|
935,697
|
|
|
$
|
(46,262
|
)
|
|
$
|
708,284
|
|
Other comprehensive income before reclassifications
|
|
99,374
|
|
|
1,759,753
|
|
|
(6,083
|
)
|
|
1,853,044
|
|
||||
Amounts reclassified to (from) AOCI
|
|
—
|
|
|
(24,366
|
)
|
|
3,467
|
|
|
(20,899
|
)
|
||||
Deferred income tax benefit (expense)
|
|
(11,699
|
)
|
|
(544,269
|
)
|
|
913
|
|
|
(555,055
|
)
|
||||
Balance, June 30, 2016
|
|
$
|
(93,476
|
)
|
|
$
|
2,126,815
|
|
|
$
|
(47,965
|
)
|
|
$
|
1,985,374
|
|
|
|
AOCI, Net of Income Tax
|
||||||||||||||
|
|
Accumulated
Currency
Translation
Adjustments
|
|
Unrealized
Appreciation
(Depreciation)
of Investments
(1)
|
|
Pension and
Postretirement
Benefits
|
|
Total
|
||||||||
Balance, December 31, 2014
|
|
$
|
81,847
|
|
|
$
|
1,624,773
|
|
|
$
|
(49,491
|
)
|
|
$
|
1,657,129
|
|
Other comprehensive income before reclassifications
|
|
(89,220
|
)
|
|
(612,314
|
)
|
|
733
|
|
|
(700,801
|
)
|
||||
Amounts reclassified to (from) AOCI
|
|
—
|
|
|
(6,192
|
)
|
|
1,965
|
|
|
(4,227
|
)
|
||||
Deferred income tax benefit (expense)
|
|
(6,616
|
)
|
|
204,789
|
|
|
(910
|
)
|
|
197,263
|
|
||||
Balance, June 30, 2015
|
|
$
|
(13,989
|
)
|
|
$
|
1,211,056
|
|
|
$
|
(47,703
|
)
|
|
$
|
1,149,364
|
|
(1)
|
Includes cash flow hedges of
$(41,192)
and
$(29,397)
as of
June 30, 2016
and
December 31, 2015
, respectively, and
$(23,901)
and
$(31,591)
as of
June 30, 2015
and
December 31, 2014
, respectively. See Note 5 - “Derivative Instruments” for additional information on cash flow hedges.
|
|
Amount Reclassified from AOCI
|
|
|
||||||||||||||
|
Three months ended June 30,
|
|
Six months ended June 30,
|
|
|
||||||||||||
Details about AOCI Components
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
Affected Line Item in
Statements of Income
|
||||||||
Net unrealized investment gains (losses):
|
|
|
|
|
|
|
|
|
|
||||||||
Net unrealized gains (losses) on available-for-sale securities
|
$
|
30,190
|
|
|
$
|
1,829
|
|
|
$
|
11,899
|
|
|
$
|
4,908
|
|
|
Investment related gains (losses), net
|
Cash flow hedges - Interest rate swaps
|
93
|
|
|
231
|
|
|
253
|
|
|
291
|
|
|
(1)
|
||||
Cash flow hedges - Forward bond purchase commitments
|
(1,045
|
)
|
|
1,807
|
|
|
(257
|
)
|
|
967
|
|
|
(1)
|
||||
Deferred policy acquisition costs attributed to unrealized gains and losses
|
5,365
|
|
|
(4,307
|
)
|
|
12,471
|
|
|
26
|
|
|
(2)
|
||||
Total
|
34,603
|
|
|
(440
|
)
|
|
24,366
|
|
|
6,192
|
|
|
|
||||
Provision for income taxes
|
(9,646
|
)
|
|
(245
|
)
|
|
(4,996
|
)
|
|
(537
|
)
|
|
|
||||
Net unrealized gains (losses), net of tax
|
$
|
24,957
|
|
|
$
|
(685
|
)
|
|
$
|
19,370
|
|
|
$
|
5,655
|
|
|
|
Amortization of defined benefit plan items:
|
|
|
|
|
|
|
|
|
|
||||||||
Prior service cost
|
$
|
(75
|
)
|
|
$
|
(80
|
)
|
|
$
|
(153
|
)
|
|
$
|
(163
|
)
|
|
(3)
|
Actuarial gains (losses)
|
(1,841
|
)
|
|
(1,098
|
)
|
|
(3,314
|
)
|
|
(1,802
|
)
|
|
(3)
|
||||
Total
|
(1,916
|
)
|
|
(1,178
|
)
|
|
(3,467
|
)
|
|
(1,965
|
)
|
|
|
||||
Provision for income taxes
|
670
|
|
|
413
|
|
|
1,213
|
|
|
688
|
|
|
|
||||
Amortization of defined benefit plans, net of tax
|
$
|
(1,246
|
)
|
|
$
|
(765
|
)
|
|
$
|
(2,254
|
)
|
|
$
|
(1,277
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Total reclassifications for the period
|
$
|
23,711
|
|
|
$
|
(1,450
|
)
|
|
$
|
17,116
|
|
|
$
|
4,378
|
|
|
|
(1)
|
See Note 5 - "Derivative Instruments" for additional information on cash flow hedges.
|
(2)
|
This AOCI component is included in the computation of the deferred policy acquisition cost. See Note 8 – “Deferred Policy Acquisition Costs” of the 2015 Annual Report for additional details.
|
(3)
|
This AOCI component is included in the computation of the net periodic pension cost. See Note 10 – “Employee Benefit Plans” for additional details.
|
4.
|
Investments
|
June 30, 2016:
|
|
Amortized
|
|
Unrealized
|
|
Unrealized
|
|
Estimated Fair
|
|
% of
|
|
Other-than-
temporary impairments |
|||||||||||
|
|
Cost
|
|
Gains
|
|
Losses
|
|
Value
|
|
Total
|
|
in AOCI
|
|||||||||||
Available-for-sale:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Corporate securities
|
|
$
|
18,417,375
|
|
|
$
|
1,260,330
|
|
|
$
|
134,468
|
|
|
$
|
19,543,237
|
|
|
58.9
|
%
|
|
$
|
—
|
|
Canadian and Canadian provincial governments
|
|
2,607,276
|
|
|
1,497,998
|
|
|
—
|
|
|
4,105,274
|
|
|
12.4
|
|
|
—
|
|
|||||
Residential mortgage-backed securities
|
|
1,225,718
|
|
|
72,733
|
|
|
5,673
|
|
|
1,292,778
|
|
|
3.9
|
|
|
(300
|
)
|
|||||
Asset-backed securities
|
|
1,377,736
|
|
|
11,054
|
|
|
32,113
|
|
|
1,356,677
|
|
|
4.1
|
|
|
275
|
|
|||||
Commercial mortgage-backed securities
|
|
1,441,091
|
|
|
67,727
|
|
|
1,125
|
|
|
1,507,693
|
|
|
4.5
|
|
|
(1,609
|
)
|
|||||
U.S. government and agencies
|
|
1,907,648
|
|
|
99,690
|
|
|
—
|
|
|
2,007,338
|
|
|
6.1
|
|
|
—
|
|
|||||
State and political subdivisions
|
|
538,037
|
|
|
74,042
|
|
|
6,137
|
|
|
605,942
|
|
|
1.8
|
|
|
—
|
|
|||||
Other foreign government, supranational and foreign government-sponsored enterprises
|
|
2,562,003
|
|
|
190,688
|
|
|
10,654
|
|
|
2,742,037
|
|
|
8.3
|
|
|
—
|
|
|||||
Total fixed maturity securities
|
|
$
|
30,076,884
|
|
|
$
|
3,274,262
|
|
|
$
|
190,170
|
|
|
$
|
33,160,976
|
|
|
100.0
|
%
|
|
$
|
(1,634
|
)
|
Non-redeemable preferred stock
|
|
$
|
66,464
|
|
|
$
|
2,575
|
|
|
$
|
7,936
|
|
|
$
|
61,103
|
|
|
14.6
|
%
|
|
|
||
Other equity securities
|
|
349,577
|
|
|
7,952
|
|
|
446
|
|
|
357,083
|
|
|
85.4
|
|
|
|
||||||
Total equity securities
|
|
$
|
416,041
|
|
|
$
|
10,527
|
|
|
$
|
8,382
|
|
|
$
|
418,186
|
|
|
100.0
|
%
|
|
|
December 31, 2015:
|
|
Amortized
|
|
Unrealized
|
|
Unrealized
|
|
Estimated Fair
|
|
% of
|
|
Other-than-
temporary impairments |
|||||||||||
|
|
Cost
|
|
Gains
|
|
Losses
|
|
Value
|
|
Total
|
|
in AOCI
|
|||||||||||
Available-for-sale:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Corporate securities
|
|
$
|
17,575,507
|
|
|
$
|
599,718
|
|
|
$
|
467,069
|
|
|
$
|
17,708,156
|
|
|
59.7
|
%
|
|
$
|
—
|
|
Canadian and Canadian provincial governments
|
|
2,469,009
|
|
|
1,110,282
|
|
|
2,532
|
|
|
3,576,759
|
|
|
12.1
|
|
|
—
|
|
|||||
Residential mortgage-backed securities
|
|
1,277,998
|
|
|
45,152
|
|
|
11,673
|
|
|
1,311,477
|
|
|
4.4
|
|
|
(300
|
)
|
|||||
Asset-backed securities
|
|
1,219,000
|
|
|
12,052
|
|
|
18,376
|
|
|
1,212,676
|
|
|
4.1
|
|
|
354
|
|
|||||
Commercial mortgage-backed securities
|
|
1,456,848
|
|
|
37,407
|
|
|
11,168
|
|
|
1,483,087
|
|
|
5.0
|
|
|
(1,609
|
)
|
|||||
U.S. government and agencies
|
|
1,423,791
|
|
|
15,586
|
|
|
57,718
|
|
|
1,381,659
|
|
|
4.7
|
|
|
—
|
|
|||||
State and political subdivisions
|
|
480,067
|
|
|
40,014
|
|
|
9,067
|
|
|
511,014
|
|
|
1.7
|
|
|
—
|
|
|||||
Other foreign government, supranational and foreign government-sponsored enterprises
|
|
2,420,757
|
|
|
78,964
|
|
|
41,644
|
|
|
2,458,077
|
|
|
8.3
|
|
|
—
|
|
|||||
Total fixed maturity securities
|
|
$
|
28,322,977
|
|
|
$
|
1,939,175
|
|
|
$
|
619,247
|
|
|
$
|
29,642,905
|
|
|
100.0
|
%
|
|
$
|
(1,555
|
)
|
Non-redeemable preferred stock
|
|
$
|
85,645
|
|
|
$
|
7,837
|
|
|
$
|
5,962
|
|
|
$
|
87,520
|
|
|
69.5
|
%
|
|
|
||
Other equity securities
|
|
40,584
|
|
|
—
|
|
|
2,242
|
|
|
38,342
|
|
|
30.5
|
|
|
|
||||||
Total equity securities
|
|
$
|
126,229
|
|
|
$
|
7,837
|
|
|
$
|
8,204
|
|
|
$
|
125,862
|
|
|
100.0
|
%
|
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||
|
Amortized
Cost
|
|
Estimated
Fair Value
|
|
Amortized
Cost
|
|
Estimated
Fair Value
|
||||||||
Fixed maturity securities pledged as collateral
|
$
|
189,370
|
|
|
$
|
202,763
|
|
|
$
|
169,678
|
|
|
$
|
176,782
|
|
Fixed maturity securities received as collateral
|
n/a
|
|
|
261,461
|
|
|
n/a
|
|
|
242,914
|
|
||||
Assets in trust held to satisfy collateral requirements
|
12,318,432
|
|
|
13,375,925
|
|
|
10,535,729
|
|
|
10,928,393
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||
|
Amortized
Cost
|
|
Estimated
Fair Value
|
|
Amortized
Cost
|
|
Estimated
Fair Value
|
||||||||
Fixed maturity securities guaranteed or issued by:
|
|
|
|
|
|
|
|
||||||||
Canadian province of Ontario
|
$
|
853,014
|
|
|
$
|
1,257,954
|
|
|
$
|
864,444
|
|
|
$
|
1,199,080
|
|
Canadian province of Quebec
|
1,026,507
|
|
|
1,854,422
|
|
|
943,484
|
|
|
1,525,903
|
|
|
|
Amortized Cost
|
|
Estimated Fair Value
|
||||
Available-for-sale:
|
|
|
|
|
||||
Due in one year or less
|
|
$
|
776,005
|
|
|
$
|
783,582
|
|
Due after one year through five years
|
|
6,682,598
|
|
|
7,007,050
|
|
||
Due after five years through ten years
|
|
8,706,784
|
|
|
9,309,939
|
|
||
Due after ten years
|
|
9,866,952
|
|
|
11,903,257
|
|
||
Asset and mortgage-backed securities
|
|
4,044,545
|
|
|
4,157,148
|
|
||
Total
|
|
$
|
30,076,884
|
|
|
$
|
33,160,976
|
|
June 30, 2016:
|
|
|
|
Estimated
|
|
|
|||||
|
|
Amortized Cost
|
|
Fair Value
|
|
% of Total
|
|||||
Finance
|
|
$
|
6,268,530
|
|
|
$
|
6,577,989
|
|
|
33.8
|
%
|
Industrial
|
|
10,192,465
|
|
|
10,811,758
|
|
|
55.2
|
|
||
Utility
|
|
1,956,380
|
|
|
2,153,490
|
|
|
11.0
|
|
||
Total
|
|
$
|
18,417,375
|
|
|
$
|
19,543,237
|
|
|
100.0
|
%
|
|
|
|
|
|
|
|
|||||
December 31, 2015:
|
|
|
|
Estimated
|
|
|
|||||
|
|
Amortized Cost
|
|
Fair Value
|
|
% of Total
|
|||||
Finance
|
|
$
|
5,408,791
|
|
|
$
|
5,555,044
|
|
|
31.4
|
%
|
Industrial
|
|
10,211,426
|
|
|
10,129,917
|
|
|
57.2
|
|
||
Utility
|
|
1,955,290
|
|
|
2,023,195
|
|
|
11.4
|
|
||
Total
|
|
$
|
17,575,507
|
|
|
$
|
17,708,156
|
|
|
100.0
|
%
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Balance, beginning of period
|
|
$
|
7,284
|
|
|
$
|
7,284
|
|
|
$
|
7,284
|
|
|
$
|
7,284
|
|
Credit loss OTTI previously recognized on securities which matured, paid down, prepaid or were sold during the period
|
|
(310
|
)
|
|
—
|
|
|
(310
|
)
|
|
—
|
|
||||
Balance, end of period
|
|
$
|
6,974
|
|
|
$
|
7,284
|
|
|
$
|
6,974
|
|
|
$
|
7,284
|
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||
|
|
Gross
Unrealized
Losses
|
|
% of Total
|
|
Gross
Unrealized
Losses
|
|
% of Total
|
||||||
Less than 20%
|
|
$
|
150,638
|
|
|
75.8
|
%
|
|
$
|
463,109
|
|
|
73.8
|
%
|
20% or more for less than six months
|
|
8,933
|
|
|
4.5
|
|
|
142,495
|
|
|
22.7
|
|
||
20% or more for six months or greater
|
|
38,981
|
|
|
19.7
|
|
|
21,847
|
|
|
3.5
|
|
||
Total
|
|
$
|
198,552
|
|
|
100.0
|
%
|
|
$
|
627,451
|
|
|
100.0
|
%
|
|
|
Less than 12 months
|
|
12 months or greater
|
|
Total
|
||||||||||||||||||
|
|
|
|
Gross
|
|
|
|
Gross
|
|
|
|
Gross
|
||||||||||||
June 30, 2016:
|
|
Estimated
|
|
Unrealized
|
|
Estimated
|
|
Unrealized
|
|
Estimated
|
|
Unrealized
|
||||||||||||
|
|
Fair Value
|
|
Losses
|
|
Fair Value
|
|
Losses
|
|
Fair Value
|
|
Losses
|
||||||||||||
Investment grade securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Corporate securities
|
|
$
|
649,275
|
|
|
$
|
15,424
|
|
|
$
|
1,208,939
|
|
|
$
|
59,206
|
|
|
$
|
1,858,214
|
|
|
$
|
74,630
|
|
Residential mortgage-backed securities
|
|
67,472
|
|
|
1,672
|
|
|
120,431
|
|
|
3,990
|
|
|
187,903
|
|
|
5,662
|
|
||||||
Asset-backed securities
|
|
534,180
|
|
|
18,943
|
|
|
258,828
|
|
|
10,507
|
|
|
793,008
|
|
|
29,450
|
|
||||||
Commercial mortgage-backed securities
|
|
78,002
|
|
|
423
|
|
|
41,399
|
|
|
702
|
|
|
119,401
|
|
|
1,125
|
|
||||||
State and political subdivisions
|
|
9,697
|
|
|
443
|
|
|
56,930
|
|
|
5,694
|
|
|
66,627
|
|
|
6,137
|
|
||||||
Other foreign government, supranational and foreign government-sponsored enterprises
|
|
99,330
|
|
|
1,135
|
|
|
79,592
|
|
|
3,677
|
|
|
178,922
|
|
|
4,812
|
|
||||||
Total investment grade securities
|
|
1,437,956
|
|
|
38,040
|
|
|
1,766,119
|
|
|
83,776
|
|
|
3,204,075
|
|
|
121,816
|
|
||||||
Below investment grade securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Corporate securities
|
|
282,830
|
|
|
14,077
|
|
|
335,351
|
|
|
45,761
|
|
|
618,181
|
|
|
59,838
|
|
||||||
Residential mortgage-backed securities
|
|
—
|
|
|
—
|
|
|
379
|
|
|
11
|
|
|
379
|
|
|
11
|
|
||||||
Asset-backed securities
|
|
5,858
|
|
|
1,118
|
|
|
8,623
|
|
|
1,545
|
|
|
14,481
|
|
|
2,663
|
|
||||||
Other foreign government, supranational and foreign government-sponsored enterprises
|
|
2,328
|
|
|
23
|
|
|
59,437
|
|
|
5,819
|
|
|
61,765
|
|
|
5,842
|
|
||||||
Total below investment grade securities
|
|
291,016
|
|
|
15,218
|
|
|
403,790
|
|
|
53,136
|
|
|
694,806
|
|
|
68,354
|
|
||||||
Total fixed maturity securities
|
|
$
|
1,728,972
|
|
|
$
|
53,258
|
|
|
$
|
2,169,909
|
|
|
$
|
136,912
|
|
|
$
|
3,898,881
|
|
|
$
|
190,170
|
|
Non-redeemable preferred stock
|
|
$
|
3,248
|
|
|
$
|
261
|
|
|
$
|
24,247
|
|
|
$
|
7,675
|
|
|
$
|
27,495
|
|
|
$
|
7,936
|
|
Other equity securities
|
|
—
|
|
|
—
|
|
|
6,606
|
|
|
446
|
|
|
6,606
|
|
|
446
|
|
||||||
Total equity securities
|
|
$
|
3,248
|
|
|
$
|
261
|
|
|
$
|
30,853
|
|
|
$
|
8,121
|
|
|
$
|
34,101
|
|
|
$
|
8,382
|
|
|
|
Less than 12 months
|
|
12 months or greater
|
|
Total
|
||||||||||||||||||
|
|
|
|
Gross
|
|
|
|
Gross
|
|
|
|
Gross
|
||||||||||||
December 31, 2015:
|
|
Estimated
|
|
Unrealized
|
|
Estimated
|
|
Unrealized
|
|
Estimated
|
|
Unrealized
|
||||||||||||
|
|
Fair Value
|
|
Losses
|
|
Fair Value
|
|
Losses
|
|
Fair Value
|
|
Losses
|
||||||||||||
Investment grade securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Corporate securities
|
|
$
|
6,388,148
|
|
|
$
|
323,961
|
|
|
$
|
294,755
|
|
|
$
|
40,861
|
|
|
$
|
6,682,903
|
|
|
$
|
364,822
|
|
Canadian and Canadian provincial governments
|
|
122,746
|
|
|
2,532
|
|
|
—
|
|
|
—
|
|
|
122,746
|
|
|
2,532
|
|
||||||
Residential mortgage-backed securities
|
|
452,297
|
|
|
7,036
|
|
|
82,314
|
|
|
4,057
|
|
|
534,611
|
|
|
11,093
|
|
||||||
Asset-backed securities
|
|
581,701
|
|
|
9,825
|
|
|
199,298
|
|
|
7,100
|
|
|
780,999
|
|
|
16,925
|
|
||||||
Commercial mortgage-backed securities
|
|
514,877
|
|
|
9,806
|
|
|
31,177
|
|
|
997
|
|
|
546,054
|
|
|
10,803
|
|
||||||
U.S. government and agencies
|
|
1,010,387
|
|
|
57,718
|
|
|
—
|
|
|
—
|
|
|
1,010,387
|
|
|
57,718
|
|
||||||
State and political subdivisions
|
|
157,837
|
|
|
5,349
|
|
|
13,016
|
|
|
3,718
|
|
|
170,853
|
|
|
9,067
|
|
||||||
Other foreign government, supranational and foreign government-sponsored enterprises
|
|
702,962
|
|
|
18,279
|
|
|
38,379
|
|
|
4,206
|
|
|
741,341
|
|
|
22,485
|
|
||||||
Total investment grade securities
|
|
9,930,955
|
|
|
434,506
|
|
|
658,939
|
|
|
60,939
|
|
|
10,589,894
|
|
|
495,445
|
|
||||||
Below investment grade securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Corporate securities
|
|
554,688
|
|
|
71,171
|
|
|
114,427
|
|
|
31,076
|
|
|
669,115
|
|
|
102,247
|
|
||||||
Residential mortgage-backed securities
|
|
22,646
|
|
|
282
|
|
|
7,679
|
|
|
298
|
|
|
30,325
|
|
|
580
|
|
||||||
Asset-backed securities
|
|
6,772
|
|
|
201
|
|
|
9,335
|
|
|
1,250
|
|
|
16,107
|
|
|
1,451
|
|
||||||
Commercial mortgage-backed securities
|
|
3,253
|
|
|
248
|
|
|
767
|
|
|
117
|
|
|
4,020
|
|
|
365
|
|
||||||
Other foreign government, supranational and foreign government-sponsored enterprises
|
|
60,668
|
|
|
7,356
|
|
|
31,693
|
|
|
11,803
|
|
|
92,361
|
|
|
19,159
|
|
||||||
Total below investment grade securities
|
|
648,027
|
|
|
79,258
|
|
|
163,901
|
|
|
44,544
|
|
|
811,928
|
|
|
123,802
|
|
||||||
Total fixed maturity securities
|
|
$
|
10,578,982
|
|
|
$
|
513,764
|
|
|
$
|
822,840
|
|
|
$
|
105,483
|
|
|
$
|
11,401,822
|
|
|
$
|
619,247
|
|
Non-redeemable preferred stock
|
|
$
|
12,331
|
|
|
$
|
2,175
|
|
|
$
|
12,191
|
|
|
$
|
3,787
|
|
|
$
|
24,522
|
|
|
$
|
5,962
|
|
Other equity securities
|
|
38,327
|
|
|
2,242
|
|
|
—
|
|
|
—
|
|
|
38,327
|
|
|
2,242
|
|
||||||
Total equity securities
|
|
$
|
50,658
|
|
|
$
|
4,417
|
|
|
$
|
12,191
|
|
|
$
|
3,787
|
|
|
$
|
62,849
|
|
|
$
|
8,204
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Fixed maturity securities available-for-sale
|
$
|
323,592
|
|
|
$
|
303,792
|
|
|
$
|
636,007
|
|
|
$
|
573,560
|
|
Mortgage loans on real estate
|
41,900
|
|
|
37,121
|
|
|
81,692
|
|
|
71,893
|
|
||||
Policy loans
|
16,372
|
|
|
16,248
|
|
|
32,506
|
|
|
30,288
|
|
||||
Funds withheld at interest
|
112,893
|
|
|
87,325
|
|
|
168,873
|
|
|
199,585
|
|
||||
Short-term investments
|
985
|
|
|
814
|
|
|
1,960
|
|
|
1,509
|
|
||||
Other invested assets
|
29,487
|
|
|
22,418
|
|
|
39,311
|
|
|
34,445
|
|
||||
Investment income
|
525,229
|
|
|
467,718
|
|
|
960,349
|
|
|
911,280
|
|
||||
Investment expense
|
(17,563
|
)
|
|
(17,179
|
)
|
|
(35,417
|
)
|
|
(33,850
|
)
|
||||
Investment income, net of related expenses
|
$
|
507,666
|
|
|
$
|
450,539
|
|
|
$
|
924,932
|
|
|
$
|
877,430
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Fixed maturity and equity securities available for sale:
|
|
|
|
|
|
|
|
||||||||
Other-than-temporary impairment losses on fixed maturity securities recognized in earnings
|
$
|
(846
|
)
|
|
$
|
(4,137
|
)
|
|
$
|
(34,663
|
)
|
|
$
|
(6,664
|
)
|
Gain on investment activity
|
53,615
|
|
|
20,009
|
|
|
80,807
|
|
|
39,210
|
|
||||
Loss on investment activity
|
(22,556
|
)
|
|
(14,475
|
)
|
|
(34,343
|
)
|
|
(28,071
|
)
|
||||
Other impairment losses and change in mortgage loan provision
|
211
|
|
|
143
|
|
|
(1,849
|
)
|
|
(4,025
|
)
|
||||
Derivatives and other, net
|
87,840
|
|
|
(17,718
|
)
|
|
(12,574
|
)
|
|
(9,045
|
)
|
||||
Total investment related gains (losses), net
|
$
|
118,264
|
|
|
$
|
(16,178
|
)
|
|
$
|
(2,622
|
)
|
|
$
|
(8,595
|
)
|
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||
|
Amortized
Cost
|
|
Estimated
Fair Value
|
|
Amortized
Cost
|
|
Estimated
Fair Value
|
||||||||
Borrowed securities
|
$
|
269,740
|
|
|
$
|
289,454
|
|
|
$
|
259,540
|
|
|
$
|
266,297
|
|
Repurchase program/reverse repurchase program:
|
|
|
|
|
|
|
|
||||||||
Securities pledged
|
448,615
|
|
|
480,618
|
|
|
443,435
|
|
|
465,889
|
|
||||
Securities received
|
n/a
|
|
|
485,826
|
|
|
n/a
|
|
|
481,197
|
|
|
June 30, 2016
|
||||||||||||||||||
|
Remaining Contractual Maturity of the Agreements
|
||||||||||||||||||
|
Overnight and Continuous
|
|
Up to 30 Days
|
|
30-90 Days
|
|
Greater than 90 Days
|
|
Total
|
||||||||||
Collateral on repurchase program:
|
|
|
|
|
|
|
|
|
|
||||||||||
Corporate securities
|
$
|
—
|
|
|
$
|
5,329
|
|
|
$
|
4,031
|
|
|
$
|
137,505
|
|
|
$
|
146,865
|
|
Residential mortgage-backed securities
|
—
|
|
|
—
|
|
|
—
|
|
|
101,715
|
|
|
101,715
|
|
|||||
U.S. government and agencies
|
—
|
|
|
—
|
|
|
—
|
|
|
212,918
|
|
|
212,918
|
|
|||||
Foreign government
|
—
|
|
|
—
|
|
|
—
|
|
|
14,524
|
|
|
14,524
|
|
|||||
Other
|
4,596
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,596
|
|
|||||
Total borrowings
|
$
|
4,596
|
|
|
$
|
5,329
|
|
|
$
|
4,031
|
|
|
$
|
466,662
|
|
|
$
|
480,618
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Gross amount of recognized liabilities for repurchase agreement in preceding table
|
|
$
|
485,826
|
|
|||||||||||||||
Amounts related to agreements not included in offsetting disclosure
|
|
$
|
5,208
|
|
|
December 31, 2015
|
||||||||||||||||||
|
Remaining Contractual Maturity of the Agreements
|
||||||||||||||||||
|
Overnight and Continuous
|
|
Up to 30 Days
|
|
30-90 Days
|
|
Greater than 90 Days
|
|
Total
|
||||||||||
Collateral on repurchase program:
|
|
|
|
|
|
|
|
|
|
||||||||||
Corporate securities
|
$
|
—
|
|
|
$
|
2,951
|
|
|
$
|
—
|
|
|
$
|
147,324
|
|
|
$
|
150,275
|
|
Residential mortgage-backed securities
|
—
|
|
|
—
|
|
|
—
|
|
|
97,639
|
|
|
97,639
|
|
|||||
U.S. government and agencies
|
—
|
|
|
—
|
|
|
—
|
|
|
199,431
|
|
|
199,431
|
|
|||||
Foreign government
|
—
|
|
|
—
|
|
|
—
|
|
|
3,358
|
|
|
3,358
|
|
|||||
Other
|
15,186
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
15,186
|
|
|||||
Total borrowings
|
$
|
15,186
|
|
|
$
|
2,951
|
|
|
$
|
—
|
|
|
$
|
447,752
|
|
|
$
|
465,889
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Gross amount of recognized liabilities for repurchase agreement in preceding table
|
|
$
|
481,197
|
|
|||||||||||||||
Amounts related to agreements not included in offsetting disclosure
|
|
$
|
15,308
|
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||
Property type:
|
|
Recorded
Investment
|
|
% of Total
|
|
Recorded
Investment |
|
% of Total
|
||||||
Office building
|
|
$
|
1,057,245
|
|
|
31.3
|
%
|
|
$
|
980,858
|
|
|
31.3
|
%
|
Retail
|
|
1,033,538
|
|
|
30.5
|
|
|
1,026,018
|
|
|
32.7
|
|
||
Industrial
|
|
708,764
|
|
|
20.9
|
|
|
527,485
|
|
|
16.8
|
|
||
Apartment
|
|
397,719
|
|
|
11.8
|
|
|
420,014
|
|
|
13.4
|
|
||
Other commercial
|
|
186,272
|
|
|
5.5
|
|
|
182,389
|
|
|
5.8
|
|
||
Total
|
|
$
|
3,383,538
|
|
|
100.0
|
%
|
|
$
|
3,136,764
|
|
|
100.0
|
%
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||
|
|
Recorded
Investment
|
|
% of Total
|
|
Recorded
Investment
|
|
% of Total
|
||||||
Due within five years
|
|
$
|
768,747
|
|
|
22.7
|
%
|
|
$
|
873,280
|
|
|
27.8
|
%
|
Due after five years through ten years
|
|
1,800,601
|
|
|
53.2
|
|
|
1,561,535
|
|
|
49.8
|
|
||
Due after ten years
|
|
814,190
|
|
|
24.1
|
|
|
701,949
|
|
|
22.4
|
|
||
Total
|
|
$
|
3,383,538
|
|
|
100.0
|
%
|
|
$
|
3,136,764
|
|
|
100.0
|
%
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||
Internal credit quality grade:
|
|
Recorded
Investment
|
|
% of Total
|
|
Recorded
Investment
|
|
% of Total
|
||||||
High investment grade
|
|
$
|
1,904,494
|
|
|
56.3
|
%
|
|
$
|
1,621,601
|
|
|
51.7
|
%
|
Investment grade
|
|
1,396,572
|
|
|
41.3
|
|
|
1,397,996
|
|
|
44.6
|
|
||
Average
|
|
39,444
|
|
|
1.2
|
|
|
87,196
|
|
|
2.8
|
|
||
Watch list
|
|
36,035
|
|
|
1.0
|
|
|
13,550
|
|
|
0.4
|
|
||
In or near default
|
|
6,993
|
|
|
0.2
|
|
|
16,421
|
|
|
0.5
|
|
||
Total
|
|
$
|
3,383,538
|
|
|
100.0
|
%
|
|
$
|
3,136,764
|
|
|
100.0
|
%
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||
Mortgage loans:
|
|
|
|
|
||||
Individually measured for impairment
|
|
$
|
6,993
|
|
|
$
|
16,421
|
|
Collectively measured for impairment
|
|
3,376,545
|
|
|
3,120,343
|
|
||
Mortgage loans, gross of valuation allowances
|
|
3,383,538
|
|
|
3,136,764
|
|
||
Valuation allowances:
|
|
|
|
|
||||
Individually measured for impairment
|
|
—
|
|
|
588
|
|
||
Collectively measured for impairment
|
|
6,499
|
|
|
6,225
|
|
||
Total valuation allowances
|
|
6,499
|
|
|
6,813
|
|
||
Mortgage loans, net of valuation allowances
|
|
$
|
3,377,039
|
|
|
$
|
3,129,951
|
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Balance, beginning of period
|
|
$
|
6,824
|
|
|
$
|
6,130
|
|
|
$
|
6,813
|
|
|
$
|
6,471
|
|
Provision (release)
|
|
(325
|
)
|
|
(188
|
)
|
|
(314
|
)
|
|
(529
|
)
|
||||
Balance, end of period
|
|
$
|
6,499
|
|
|
$
|
5,942
|
|
|
$
|
6,499
|
|
|
$
|
5,942
|
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||
Equity securities
|
|
$
|
418,186
|
|
|
$
|
125,862
|
|
Limited partnership interests and real estate joint ventures
|
|
635,574
|
|
|
567,697
|
|
||
Derivatives
|
|
310,796
|
|
|
256,178
|
|
||
FVO contractholder-directed unit-linked investments
|
|
195,842
|
|
|
197,547
|
|
||
Other
|
|
121,745
|
|
|
150,836
|
|
||
Total other invested assets
|
|
$
|
1,682,143
|
|
|
$
|
1,298,120
|
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||||||||||
|
|
Notional
|
|
Carrying Value/Fair Value
|
|
Notional
|
|
Carrying Value/Fair Value
|
||||||||||||||||
|
|
Amount
|
|
Assets
|
|
Liabilities
|
|
Amount
|
|
Assets
|
|
Liabilities
|
||||||||||||
Derivatives not designated as hedging instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate swaps
|
|
$
|
1,118,523
|
|
|
$
|
175,987
|
|
|
$
|
970
|
|
|
$
|
1,123,057
|
|
|
$
|
85,075
|
|
|
$
|
4,196
|
|
Financial futures
|
|
508,310
|
|
|
—
|
|
|
—
|
|
|
420,665
|
|
|
—
|
|
|
—
|
|
||||||
Foreign currency forwards
|
|
43,000
|
|
|
1,703
|
|
|
2,732
|
|
|
45,000
|
|
|
44
|
|
|
6,768
|
|
||||||
Consumer price index swaps
|
|
29,208
|
|
|
—
|
|
|
613
|
|
|
28,561
|
|
|
—
|
|
|
292
|
|
||||||
Credit default swaps
|
|
865,000
|
|
|
8,635
|
|
|
5,300
|
|
|
897,000
|
|
|
8,230
|
|
|
11,053
|
|
||||||
Equity options
|
|
541,749
|
|
|
54,322
|
|
|
—
|
|
|
453,435
|
|
|
46,653
|
|
|
—
|
|
||||||
Longevity swaps
|
|
888,480
|
|
|
17,781
|
|
|
—
|
|
|
868,960
|
|
|
15,003
|
|
|
7
|
|
||||||
Mortality swaps
|
|
50,000
|
|
|
—
|
|
|
1,997
|
|
|
50,000
|
|
|
—
|
|
|
2,619
|
|
||||||
Synthetic guaranteed investment contracts
|
|
8,235,734
|
|
|
—
|
|
|
—
|
|
|
7,098,825
|
|
|
—
|
|
|
—
|
|
||||||
Embedded derivatives in:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Modified coinsurance or funds withheld arrangements
|
|
—
|
|
|
—
|
|
|
91,981
|
|
|
—
|
|
|
—
|
|
|
76,698
|
|
||||||
Indexed annuity products
|
|
—
|
|
|
—
|
|
|
841,832
|
|
|
—
|
|
|
—
|
|
|
878,114
|
|
||||||
Variable annuity products
|
|
—
|
|
|
—
|
|
|
283,548
|
|
|
—
|
|
|
—
|
|
|
192,470
|
|
||||||
Total non-hedging derivatives
|
|
12,280,004
|
|
|
258,428
|
|
|
1,228,973
|
|
|
10,985,503
|
|
|
155,005
|
|
|
1,172,217
|
|
||||||
Derivatives designated as hedging instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate swaps
|
|
435,000
|
|
|
—
|
|
|
42,038
|
|
|
120,000
|
|
|
—
|
|
|
29,986
|
|
||||||
Foreign currency swaps
|
|
909,524
|
|
|
102,406
|
|
|
3,383
|
|
|
823,486
|
|
|
146,265
|
|
|
—
|
|
||||||
Total hedging derivatives
|
|
1,344,524
|
|
|
102,406
|
|
|
45,421
|
|
|
943,486
|
|
|
146,265
|
|
|
29,986
|
|
||||||
Total derivatives
|
|
$
|
13,624,528
|
|
|
$
|
360,834
|
|
|
$
|
1,274,394
|
|
|
$
|
11,928,989
|
|
|
$
|
301,270
|
|
|
$
|
1,202,203
|
|
|
|
|
|
|
|
|
|
Gross Amounts Not
Offset in the Balance Sheet
|
|
|
||||||||||||||
|
|
Gross Amounts
Recognized
|
|
Gross Amounts
Offset in the
Balance Sheet
|
|
Net Amounts
Presented in the
Balance Sheet
|
|
Financial
Instruments
(1)
|
|
Cash Collateral
Pledged/
Received
|
|
Net Amount
|
||||||||||||
June 30, 2016:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative assets
|
|
$
|
360,834
|
|
|
$
|
(32,257
|
)
|
|
$
|
328,577
|
|
|
$
|
(40,876
|
)
|
|
$
|
(298,459
|
)
|
|
$
|
(10,758
|
)
|
Derivative liabilities
|
|
57,033
|
|
|
(32,257
|
)
|
|
24,776
|
|
|
(74,538
|
)
|
|
(16,822
|
)
|
|
(66,584
|
)
|
||||||
December 31, 2015:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Derivative assets
|
|
$
|
301,270
|
|
|
$
|
(30,096
|
)
|
|
$
|
271,174
|
|
|
$
|
(20,888
|
)
|
|
$
|
(245,038
|
)
|
|
$
|
5,248
|
|
Derivative liabilities
|
|
54,921
|
|
|
(30,096
|
)
|
|
24,825
|
|
|
(47,149
|
)
|
|
(12,540
|
)
|
|
(34,864
|
)
|
(1)
|
Includes initial margin posted to a central clearing partner.
|
Type of Fair Value Hedge
|
|
Hedged Item
|
|
Gains (Losses) Recognized for Derivatives
|
|
Gains (Losses) Recognized for Hedged Items
|
|
Ineffectiveness Recognized in Investment Related Gains (Losses), net
|
||||||
For the three months ended June 30, 2016:
|
|
|
|
|
|
|
||||||||
Foreign currency swaps
|
|
Foreign-denominated fixed maturity securities
|
|
$
|
(3,755
|
)
|
|
$
|
3,755
|
|
|
$
|
—
|
|
For the six months ended June 30, 2016:
|
|
|
|
|
|
|
||||||||
Foreign currency swaps
|
|
Foreign-denominated fixed maturity securities
|
|
$
|
2,112
|
|
|
$
|
(2,112
|
)
|
|
$
|
—
|
|
|
|
Three months ended June 30,
|
||||||
|
|
2016
|
|
2015
|
||||
Balance beginning of period
|
|
$
|
(21,794
|
)
|
|
$
|
(30,598
|
)
|
Gains (losses) deferred in other comprehensive income (loss) on the effective portion of cash flow hedges
|
|
(20,350
|
)
|
|
8,735
|
|
||
Amounts reclassified to investment related gains (losses), net
|
|
1,010
|
|
|
(1,495
|
)
|
||
Amounts reclassified to investment income
|
|
(58
|
)
|
|
(543
|
)
|
||
Balance end of period
|
|
$
|
(41,192
|
)
|
|
$
|
(23,901
|
)
|
|
|
|
|
|
||||
|
|
Six months ended June 30,
|
||||||
|
|
2016
|
|
2015
|
||||
Balance beginning of period
|
|
$
|
(29,397
|
)
|
|
$
|
(31,591
|
)
|
Gains (losses) deferred in other comprehensive income (loss) on the effective portion of cash flow hedges
|
|
(11,799
|
)
|
|
8,948
|
|
||
Amounts reclassified to investment related (gains) losses, net
|
|
169
|
|
|
(655
|
)
|
||
Amounts reclassified to investment income
|
|
(165
|
)
|
|
(603
|
)
|
||
Balance end of period
|
|
$
|
(41,192
|
)
|
|
$
|
(23,901
|
)
|
|
|
Effective Portion
|
||||||||||
Derivative Type
|
|
Gain (Loss) Recognized in OCI
|
|
Gain (Loss) Reclassified into Income from OCI
|
||||||||
|
|
|
|
Investment Related Gains (Losses), net
|
|
Investment Income
|
||||||
For the three months ended June 30, 2016:
|
||||||||||||
Interest rate swaps
|
|
$
|
(20,350
|
)
|
|
$
|
—
|
|
|
$
|
93
|
|
Forward bond purchase commitments
|
|
—
|
|
|
(1,010
|
)
|
|
(35
|
)
|
|||
Total
|
|
$
|
(20,350
|
)
|
|
$
|
(1,010
|
)
|
|
$
|
58
|
|
For the three months ended June 30, 2015:
|
|
|
|
|
|
|
||||||
Interest rate swaps
|
|
$
|
2,417
|
|
|
$
|
—
|
|
|
$
|
231
|
|
Forward bond purchase commitments
|
|
6,318
|
|
|
1,495
|
|
|
312
|
|
|||
Total
|
|
$
|
8,735
|
|
|
$
|
1,495
|
|
|
$
|
543
|
|
|
|
|
|
|
|
|
||||||
For the six months ended June 30, 2016:
|
|
|
|
|
|
|
||||||
Interest rate swaps
|
|
$
|
(11,799
|
)
|
|
$
|
—
|
|
|
$
|
253
|
|
Forward bond purchase commitments
|
|
—
|
|
|
(169
|
)
|
|
(88
|
)
|
|||
Total
|
|
$
|
(11,799
|
)
|
|
$
|
(169
|
)
|
|
$
|
165
|
|
For the six months ended June 30, 2015:
|
|
|
|
|
|
|
||||||
Interest rate swaps
|
|
$
|
(5,150
|
)
|
|
$
|
—
|
|
|
$
|
291
|
|
Forward bond purchase commitments
|
|
14,098
|
|
|
655
|
|
|
312
|
|
|||
Total
|
|
$
|
8,948
|
|
|
$
|
655
|
|
|
$
|
603
|
|
|
|
Derivative Gains (Losses) Deferred in AOCI
|
||||||||||||||
|
|
For the three months ended June 30,
|
|
For the six months ended June 30,
|
||||||||||||
Type of NIFO Hedge
(1) (2)
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Foreign currency swaps
|
|
$
|
302
|
|
|
$
|
(12,945
|
)
|
|
$
|
(31,493
|
)
|
|
$
|
37,021
|
|
(1)
|
There were no sales or substantial liquidations of net investments in foreign operations that would have required the reclassification of gains or losses from accumulated other comprehensive income (loss) into investment income during the periods presented.
|
(2)
|
There was no ineffectiveness recognized for the Company’s hedges of net investments in foreign operations.
|
|
|
|
|
Gain (Loss) for the three months ended
June 30,
|
||||||
Type of Non-hedging Derivative
|
|
Income Statement Location of Gain (Loss)
|
|
2016
|
|
2015
|
||||
Interest rate swaps
|
|
Investment related gains (losses), net
|
|
$
|
41,500
|
|
|
$
|
(41,729
|
)
|
Financial futures
|
|
Investment related gains (losses), net
|
|
(7,557
|
)
|
|
(2,183
|
)
|
||
Foreign currency forwards
|
|
Investment related gains (losses), net
|
|
3,577
|
|
|
(1,433
|
)
|
||
CPI swaps
|
|
Investment related gains (losses), net
|
|
(520
|
)
|
|
168
|
|
||
Credit default swaps
|
|
Investment related gains (losses), net
|
|
3,518
|
|
|
(187
|
)
|
||
Equity options
|
|
Investment related gains (losses), net
|
|
(3,225
|
)
|
|
(2,606
|
)
|
||
Longevity swaps
|
|
Other revenues
|
|
2,394
|
|
|
1,911
|
|
||
Mortality swaps
|
|
Other revenues
|
|
1,046
|
|
|
(478
|
)
|
||
Subtotal
|
|
|
|
40,733
|
|
|
(46,537
|
)
|
||
Embedded derivatives in:
|
|
|
|
|
|
|
||||
Modified coinsurance or funds withheld arrangements
|
|
Investment related gains (losses), net
|
|
76,966
|
|
|
(23,098
|
)
|
||
Indexed annuity products
|
|
Interest credited
|
|
(2,019
|
)
|
|
8,080
|
|
||
Variable annuity products
|
|
Investment related gains (losses), net
|
|
(28,137
|
)
|
|
50,878
|
|
||
Total non-hedging derivatives
|
|
|
|
$
|
87,543
|
|
|
$
|
(10,677
|
)
|
|
|
|
|
|
|
|
||||
|
|
|
|
Gain (Loss) for the six months ended
June 30,
|
||||||
Type of Non-hedging Derivative
|
|
Income Statement Location of Gain (Loss)
|
|
2016
|
|
2015
|
||||
Interest rate swaps
|
|
Investment related gains (losses), net
|
|
$
|
104,027
|
|
|
$
|
(12,385
|
)
|
Interest rate options
|
|
Investment related gains (losses), net
|
|
—
|
|
|
3,275
|
|
||
Financial futures
|
|
Investment related gains (losses), net
|
|
(18,608
|
)
|
|
(9,514
|
)
|
||
Foreign currency forwards
|
|
Investment related gains (losses), net
|
|
6,077
|
|
|
(1,653
|
)
|
||
CPI swaps
|
|
Investment related gains (losses), net
|
|
(700
|
)
|
|
97
|
|
||
Credit default swaps
|
|
Investment related gains (losses), net
|
|
6,864
|
|
|
2,471
|
|
||
Equity options
|
|
Investment related gains (losses), net
|
|
(5,928
|
)
|
|
(10,672
|
)
|
||
Longevity swaps
|
|
Other revenues
|
|
2,481
|
|
|
3,731
|
|
||
Mortality swaps
|
|
Other revenues
|
|
622
|
|
|
(957
|
)
|
||
Subtotal
|
|
|
|
94,835
|
|
|
(25,607
|
)
|
||
Embedded derivatives in:
|
|
|
|
|
|
|
||||
Modified coinsurance or funds withheld arrangements
|
|
Investment related gains (losses), net
|
|
(15,283
|
)
|
|
(25,423
|
)
|
||
Indexed annuity products
|
|
Interest credited
|
|
(626
|
)
|
|
(21,246
|
)
|
||
Variable annuity products
|
|
Investment related gains (losses), net
|
|
(91,077
|
)
|
|
25,745
|
|
||
Total non-hedging derivatives
|
|
|
|
$
|
(12,151
|
)
|
|
$
|
(46,531
|
)
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||||||
Rating Agency Designation of Referenced Credit Obligations
(1)
|
|
Estimated Fair
Value of Credit
Default Swaps
|
|
Maximum
Amount of Future
Payments under
Credit Default
Swaps
(2)
|
|
Weighted
Average
Years to
Maturity
(3)
|
|
Estimated Fair
Value of Credit
Default Swaps
|
|
Maximum
Amount of Future
Payments under
Credit Default
Swaps
(2)
|
|
Weighted
Average
Years to
Maturity
(3)
|
||||||||
AA/AA-/A+/A/A-
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Single name credit default swaps
|
|
$
|
851
|
|
|
$
|
151,500
|
|
|
4.2
|
|
$
|
1,689
|
|
|
$
|
152,500
|
|
|
3.9
|
Credit default swaps referencing indices
|
|
—
|
|
|
—
|
|
|
—
|
|
—
|
|
|
—
|
|
|
—
|
||||
Subtotal
|
|
851
|
|
|
151,500
|
|
|
4.2
|
|
1,689
|
|
|
152,500
|
|
|
3.9
|
||||
BBB+/BBB/BBB-
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Single name credit default swaps
|
|
(2,451
|
)
|
|
289,200
|
|
|
4.2
|
|
(5,066
|
)
|
|
315,200
|
|
|
4.2
|
||||
Credit default swaps referencing indices
|
|
4,554
|
|
|
416,000
|
|
|
5.0
|
|
2,274
|
|
|
416,000
|
|
|
5.0
|
||||
Subtotal
|
|
2,103
|
|
|
705,200
|
|
|
4.7
|
|
(2,792
|
)
|
|
731,200
|
|
|
4.6
|
||||
BB+/BB
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Single name credit default swaps
|
|
(134
|
)
|
|
5,000
|
|
|
3.2
|
|
(2,900
|
)
|
|
10,000
|
|
|
4.1
|
||||
Credit default swaps referencing indices
|
|
—
|
|
|
—
|
|
|
—
|
|
—
|
|
|
—
|
|
|
—
|
||||
Subtotal
|
|
(134
|
)
|
|
5,000
|
|
|
3.2
|
|
(2,900
|
)
|
|
10,000
|
|
|
4.1
|
||||
Total
|
|
$
|
2,820
|
|
|
$
|
861,700
|
|
|
4.6
|
|
$
|
(4,003
|
)
|
|
$
|
893,700
|
|
|
4.5
|
(1)
|
The rating agency designations are based on ratings from Standard and Poor’s (“S&P”).
|
(2)
|
Assumes the value of the referenced credit obligations is zero.
|
(3)
|
The weighted average years to maturity of the credit default swaps is calculated based on weighted average notional amounts.
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Embedded derivatives in modco or funds withheld arrangements included in investment related gains
|
$
|
76,966
|
|
|
$
|
(23,098
|
)
|
|
$
|
(15,283
|
)
|
|
$
|
(25,423
|
)
|
After the associated amortization of DAC and taxes, the related amounts included in net income
|
18,807
|
|
|
(3,917
|
)
|
|
(7,970
|
)
|
|
(6,504
|
)
|
||||
Embedded derivatives in variable annuity contracts included in investment related gains
|
(28,137
|
)
|
|
50,878
|
|
|
(91,077
|
)
|
|
25,745
|
|
||||
After the associated amortization of DAC and taxes, the related amounts included in net income
|
(40,167
|
)
|
|
19,608
|
|
|
(66,010
|
)
|
|
10,198
|
|
||||
Amounts related to embedded derivatives in equity-indexed annuities included in benefits and expenses
|
(2,019
|
)
|
|
8,080
|
|
|
(626
|
)
|
|
(21,246
|
)
|
||||
After the associated amortization of DAC and taxes, the related amounts included in net income
|
(7,816
|
)
|
|
1,233
|
|
|
3,418
|
|
|
(14,766
|
)
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||
Estimated fair value of derivatives in net asset position
|
|
$
|
305,798
|
|
|
$
|
248,968
|
|
Cash provided as collateral
(1)
|
|
16,822
|
|
|
12,540
|
|
||
Securities pledged to counterparties as collateral
(2)
|
|
74,538
|
|
|
47,149
|
|
||
Cash pledged from counterparties as collateral
(3)
|
|
(298,459
|
)
|
|
(245,038
|
)
|
||
Securities pledged from counterparties as collateral
(4)
|
|
(40,876
|
)
|
|
(20,888
|
)
|
||
Initial margin for cleared derivatives
(2)
|
|
(62,577
|
)
|
|
(34,898
|
)
|
||
Net amount after application of master netting agreements and collateral
|
|
$
|
(4,754
|
)
|
|
$
|
7,833
|
|
Margin account related to exchange-traded futures
(5)
|
|
$
|
10,503
|
|
|
$
|
11,004
|
|
(1)
|
Consists of receivable from counterparty, included in other assets.
|
(2)
|
Included in available-for-sale securities, primarily consists of U.S. Treasury and government agency securities.
|
(3)
|
Included in cash and cash equivalents, with obligation to return cash collateral recorded in other liabilities.
|
(4)
|
Consists of U.S. Treasury and government securities.
|
(5)
|
Included in other assets.
|
June 30, 2016:
|
|
|
|
Fair Value Measurements Using:
|
||||||||||||
|
|
Total
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
||||||||
Assets:
|
|
|
|
|
|
|
|
|
||||||||
Fixed maturity securities – available-for-sale:
|
|
|
|
|
|
|
|
|
||||||||
Corporate securities
|
|
$
|
19,543,237
|
|
|
$
|
252,082
|
|
|
$
|
17,993,773
|
|
|
$
|
1,297,382
|
|
Canadian and Canadian provincial governments
|
|
4,105,274
|
|
|
—
|
|
|
3,551,082
|
|
|
554,192
|
|
||||
Residential mortgage-backed securities
|
|
1,292,778
|
|
|
—
|
|
|
1,126,799
|
|
|
165,979
|
|
||||
Asset-backed securities
|
|
1,356,677
|
|
|
—
|
|
|
1,057,861
|
|
|
298,816
|
|
||||
Commercial mortgage-backed securities
|
|
1,507,693
|
|
|
—
|
|
|
1,469,758
|
|
|
37,935
|
|
||||
U.S. government and agencies
|
|
2,007,338
|
|
|
1,874,944
|
|
|
106,139
|
|
|
26,255
|
|
||||
State and political subdivisions
|
|
605,942
|
|
|
—
|
|
|
570,696
|
|
|
35,246
|
|
||||
Other foreign government supranational and foreign government-sponsored enterprises
|
|
2,742,037
|
|
|
289,633
|
|
|
2,438,698
|
|
|
13,706
|
|
||||
Total fixed maturity securities – available-for-sale
|
|
33,160,976
|
|
|
2,416,659
|
|
|
28,314,806
|
|
|
2,429,511
|
|
||||
Funds withheld at interest – embedded derivatives
|
|
(91,981
|
)
|
|
—
|
|
|
—
|
|
|
(91,981
|
)
|
||||
Cash equivalents
|
|
213,556
|
|
|
213,556
|
|
|
—
|
|
|
—
|
|
||||
Short-term investments
|
|
160,901
|
|
|
133,716
|
|
|
27,185
|
|
|
—
|
|
||||
Other invested assets:
|
|
|
|
|
|
|
|
|
||||||||
Non-redeemable preferred stock
|
|
61,103
|
|
|
48,030
|
|
|
13,073
|
|
|
—
|
|
||||
Other equity securities
|
|
357,083
|
|
|
357,083
|
|
|
—
|
|
|
—
|
|
||||
Derivatives:
|
|
|
|
|
|
|
|
|
||||||||
Interest rate swaps
|
|
159,611
|
|
|
—
|
|
|
159,611
|
|
|
—
|
|
||||
Foreign currency forwards
|
|
1,498
|
|
|
—
|
|
|
1,498
|
|
|
—
|
|
||||
CPI swaps
|
|
(613
|
)
|
|
—
|
|
|
(613
|
)
|
|
—
|
|
||||
Credit default swaps
|
|
5,625
|
|
|
—
|
|
|
5,625
|
|
|
—
|
|
||||
Equity options
|
|
43,543
|
|
|
—
|
|
|
43,543
|
|
|
—
|
|
||||
Foreign currency swaps
|
|
101,132
|
|
|
—
|
|
|
101,132
|
|
|
—
|
|
||||
FVO contractholder-directed unit-linked investments
|
|
195,842
|
|
|
194,604
|
|
|
1,238
|
|
|
—
|
|
||||
Other
|
|
934
|
|
|
934
|
|
|
—
|
|
|
—
|
|
||||
Total other invested assets
|
|
925,758
|
|
|
600,651
|
|
|
325,107
|
|
|
—
|
|
||||
Other assets - longevity swaps
|
|
17,781
|
|
|
—
|
|
|
—
|
|
|
17,781
|
|
||||
Total
|
|
$
|
34,386,991
|
|
|
$
|
3,364,582
|
|
|
$
|
28,667,098
|
|
|
$
|
2,355,311
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
||||||||
Interest sensitive contract liabilities – embedded derivatives
|
|
$
|
1,125,380
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,125,380
|
|
Other liabilities:
|
|
|
|
|
|
|
|
|
||||||||
Derivatives:
|
|
|
|
|
|
|
|
|
||||||||
Interest rate swaps
|
|
26,632
|
|
|
—
|
|
|
26,632
|
|
|
—
|
|
||||
Foreign currency forwards
|
|
2,527
|
|
|
—
|
|
|
2,527
|
|
|
—
|
|
||||
Credit default swaps
|
|
2,290
|
|
|
—
|
|
|
2,290
|
|
|
—
|
|
||||
Equity options
|
|
(10,779
|
)
|
|
—
|
|
|
(10,779
|
)
|
|
—
|
|
||||
Foreign currency swaps
|
|
2,109
|
|
|
—
|
|
|
2,109
|
|
|
—
|
|
||||
Mortality swaps
|
|
1,997
|
|
|
—
|
|
|
—
|
|
|
1,997
|
|
||||
Total
|
|
$
|
1,150,156
|
|
|
$
|
—
|
|
|
$
|
22,779
|
|
|
$
|
1,127,377
|
|
December 31, 2015:
|
|
|
|
Fair Value Measurements Using:
|
||||||||||||
|
|
Total
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
||||||||
Assets:
|
|
|
|
|
|
|
|
|
||||||||
Fixed maturity securities – available-for-sale:
|
|
|
|
|
|
|
|
|
||||||||
Corporate securities
|
|
$
|
17,708,156
|
|
|
$
|
269,039
|
|
|
$
|
16,212,147
|
|
|
$
|
1,226,970
|
|
Canadian and Canadian provincial governments
|
|
3,576,759
|
|
|
—
|
|
|
3,160,683
|
|
|
416,076
|
|
||||
Residential mortgage-backed securities
|
|
1,311,477
|
|
|
—
|
|
|
980,828
|
|
|
330,649
|
|
||||
Asset-backed securities
|
|
1,212,676
|
|
|
—
|
|
|
908,840
|
|
|
303,836
|
|
||||
Commercial mortgage-backed securities
|
|
1,483,087
|
|
|
—
|
|
|
1,414,524
|
|
|
68,563
|
|
||||
U.S. government and agencies
|
|
1,381,659
|
|
|
1,227,858
|
|
|
127,536
|
|
|
26,265
|
|
||||
State and political subdivisions
|
|
511,014
|
|
|
—
|
|
|
472,672
|
|
|
38,342
|
|
||||
Other foreign government, supranational and foreign government-sponsored enterprises
|
|
2,458,077
|
|
|
260,552
|
|
|
2,183,460
|
|
|
14,065
|
|
||||
Total fixed maturity securities – available-for-sale
|
|
29,642,905
|
|
|
1,757,449
|
|
|
25,460,690
|
|
|
2,424,766
|
|
||||
Funds withheld at interest – embedded derivatives
|
|
(76,698
|
)
|
|
—
|
|
|
—
|
|
|
(76,698
|
)
|
||||
Cash equivalents
|
|
406,521
|
|
|
406,521
|
|
|
—
|
|
|
—
|
|
||||
Short-term investments
|
|
530,773
|
|
|
524,946
|
|
|
5,827
|
|
|
—
|
|
||||
Other invested assets:
|
|
|
|
|
|
|
|
|
||||||||
Non-redeemable preferred stock
|
|
87,520
|
|
|
81,809
|
|
|
5,711
|
|
|
—
|
|
||||
Other equity securities
|
|
38,342
|
|
|
38,342
|
|
|
—
|
|
|
—
|
|
||||
Derivatives:
|
|
|
|
|
|
|
|
|
||||||||
Interest rate swaps
|
|
71,882
|
|
|
—
|
|
|
71,882
|
|
|
—
|
|
||||
Foreign currency forwards
|
|
20
|
|
|
—
|
|
|
20
|
|
|
—
|
|
||||
CPI swaps
|
|
(292
|
)
|
|
—
|
|
|
(292
|
)
|
|
—
|
|
||||
Credit default swaps
|
|
2,567
|
|
|
—
|
|
|
2,567
|
|
|
—
|
|
||||
Equity options
|
|
40,644
|
|
|
—
|
|
|
40,644
|
|
|
—
|
|
||||
Foreign currency swaps
|
|
141,357
|
|
|
—
|
|
|
141,357
|
|
|
—
|
|
||||
FVO contractholder-directed unit-linked investments
|
|
197,547
|
|
|
195,317
|
|
|
2,230
|
|
|
—
|
|
||||
Other
|
|
8,170
|
|
|
8,170
|
|
|
—
|
|
|
—
|
|
||||
Total other invested assets
|
|
587,757
|
|
|
323,638
|
|
|
264,119
|
|
|
—
|
|
||||
Other assets - longevity swaps
|
|
14,996
|
|
|
—
|
|
|
—
|
|
|
14,996
|
|
||||
Total
|
|
$
|
31,106,254
|
|
|
$
|
3,012,554
|
|
|
$
|
25,730,636
|
|
|
$
|
2,363,064
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
||||||||
Interest sensitive contract liabilities – embedded derivatives
|
|
$
|
1,070,584
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,070,584
|
|
Other liabilities:
|
|
|
|
|
|
|
|
|
||||||||
Derivatives:
|
|
|
|
|
|
|
|
|
||||||||
Interest rate swaps
|
|
20,989
|
|
|
—
|
|
|
20,989
|
|
|
—
|
|
||||
Foreign currency forwards
|
|
6,744
|
|
|
—
|
|
|
6,744
|
|
|
—
|
|
||||
Credit default swaps
|
|
5,390
|
|
|
—
|
|
|
5,390
|
|
|
—
|
|
||||
Equity options
|
|
(6,009
|
)
|
|
—
|
|
|
(6,009
|
)
|
|
—
|
|
||||
Foreign currency swaps
|
|
(4,908
|
)
|
|
—
|
|
|
(4,908
|
)
|
|
—
|
|
||||
Mortality swaps
|
|
2,619
|
|
|
—
|
|
|
—
|
|
|
2,619
|
|
||||
Total
|
|
$
|
1,095,409
|
|
|
$
|
—
|
|
|
$
|
22,206
|
|
|
$
|
1,073,203
|
|
|
Estimated Fair Value
|
|
Valuation Technique
|
|
Unobservable Inputs
|
|
Range (Weighted Average)
|
||||||||
June 30, 2016
|
|
December 31, 2015
|
|
|
|
June 30, 2016
|
|
December 31, 2015
|
|||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Corporate securities
|
$167,602
|
|
$195,557
|
|
Market comparable securities
|
|
Liquidity premium
|
|
0-2% (1%)
|
|
|
0-2% (1%)
|
|
||
U.S. government and agencies
|
26,255
|
|
|
26,265
|
|
|
Market comparable securities
|
|
Liquidity premium
|
|
0-1% (1%)
|
|
|
0-1% (1%)
|
|
State and political subdivisions
|
4,941
|
|
|
4,770
|
|
|
Market comparable securities
|
|
Liquidity premium
|
|
1
|
%
|
|
1
|
%
|
Funds withheld at interest- embedded derivatives
|
(91,981
|
)
|
|
(76,698
|
)
|
|
Total return swap
|
|
Mortality
|
|
0-100% (2%)
|
|
|
0-100% (2%)
|
|
|
|
|
|
|
|
|
Lapse
|
|
0-35% (8%)
|
|
|
0-35% (7%)
|
|
||
|
|
|
|
|
|
|
Withdrawal
|
|
0-5% (3%)
|
|
|
0-5% (3%)
|
|
||
|
|
|
|
|
|
|
CVA
|
|
0-5% (1%)
|
|
|
0-5% (1%)
|
|
||
|
|
|
|
|
|
|
Crediting rate
|
|
2-4% (2%)
|
|
|
2-4% (3%)
|
|
||
Longevity swaps
|
17,781
|
|
|
14,996
|
|
|
Discounted cash flow
|
|
Mortality
|
|
0-100% (2%)
|
|
|
0-100% (2%)
|
|
|
|
|
|
|
|
|
Mortality improvement
|
|
(10%)-10% (3%)
|
|
|
(10%)-10% (3%)
|
|
||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
||||
Interest sensitive contract liabilities- embedded derivatives- indexed annuities
|
841,832
|
|
|
878,114
|
|
|
Discounted cash flow
|
|
Mortality
|
|
0-100% (2%)
|
|
|
0-100% (2%)
|
|
|
|
|
|
|
|
|
Lapse
|
|
0-35% (8%)
|
|
|
0-35% (7%)
|
|
||
|
|
|
|
|
|
|
Withdrawal
|
|
0-5% (3%)
|
|
|
0-5% (3%)
|
|
||
|
|
|
|
|
|
|
Option budget projection
|
|
2-4% (2%)
|
|
|
2-4% (3%)
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||||
Interest sensitive contract liabilities- embedded derivatives- variable annuities
|
283,548
|
|
|
192,470
|
|
|
Discounted cash
flow
|
|
Mortality
|
|
0-100% (2%)
|
|
|
0-100% (2%)
|
|
|
|
|
|
|
|
|
Lapse
|
|
0-25% (7%)
|
|
|
0-25% (7%)
|
|
||
|
|
|
|
|
|
|
Withdrawal
|
|
0-7% (3%)
|
|
|
0-7% (3%)
|
|
||
|
|
|
|
|
|
|
CVA
|
|
0-5% (1%)
|
|
|
0-5% (1%)
|
|
||
|
|
|
|
|
|
|
Long-term volatility
|
|
0-27% (14%)
|
|
|
0-27% (14%)
|
|
||
Mortality swaps
|
1,997
|
|
|
2,619
|
|
|
Discounted cash flow
|
|
Mortality
|
|
0-100% (1%)
|
|
|
0-100% (1%)
|
|
|
|
2016
|
|
2015
|
||||||||||||
|
|
Transfers from
Level 1 to
Level 2
|
|
Transfers from
Level 2 to
Level 1
|
|
Transfers from
Level 1 to
Level 2
|
|
Transfers from
Level 2 to
Level 1
|
||||||||
Three months ended June 30:
|
|
|
|
|
|
|
|
|
||||||||
Fixed maturity securities - available-for-sale:
|
|
|
|
|
|
|
|
|
||||||||
Corporate securities
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
31,896
|
|
|
|
|
|
|
|
|
|
|
||||||||
Six months ended June 30:
|
|
|
|
|
|
|
|
|
||||||||
Fixed maturity securities - available-for-sale:
|
|
|
|
|
|
|
|
|
||||||||
Corporate securities
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
625
|
|
|
$
|
36,996
|
|
For the three months ended June 30, 2016:
|
|
Fixed maturity securities - available-for-sale
|
||||||||||||||||||||||
|
|
Corporate
securities
|
|
Canadian and Canadian provincial governments
|
|
Residential
mortgage-
backed
securities
|
|
Asset-backed
securities
|
|
Commercial
mortgage-
backed
securities
|
|
U.S. government
and agencies
|
||||||||||||
Fair value, beginning of period
|
|
$
|
1,243,660
|
|
|
$
|
487,383
|
|
|
$
|
333,253
|
|
|
$
|
285,220
|
|
|
$
|
63,574
|
|
|
$
|
25,880
|
|
Total gains/losses (realized/unrealized)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Included in earnings, net:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investment income, net of related expenses
|
|
(592
|
)
|
|
3,049
|
|
|
116
|
|
|
252
|
|
|
490
|
|
|
(122
|
)
|
||||||
Investment related gains (losses), net
|
|
12
|
|
|
—
|
|
|
(1,891
|
)
|
|
823
|
|
|
(2,669
|
)
|
|
—
|
|
||||||
Interest credited
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Included in other comprehensive income
|
|
30,391
|
|
|
63,760
|
|
|
3,839
|
|
|
2,793
|
|
|
453
|
|
|
461
|
|
||||||
Other revenues
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Purchases
(1)
|
|
72,982
|
|
|
—
|
|
|
42,913
|
|
|
59,779
|
|
|
—
|
|
|
144
|
|
||||||
Sales
(1)
|
|
(901
|
)
|
|
—
|
|
|
(167,236
|
)
|
|
(30,181
|
)
|
|
(22,338
|
)
|
|
—
|
|
||||||
Settlements
(1)
|
|
(47,461
|
)
|
|
—
|
|
|
(13,464
|
)
|
|
(4,196
|
)
|
|
(68
|
)
|
|
(108
|
)
|
||||||
Transfers into Level 3
|
|
5,023
|
|
|
—
|
|
|
—
|
|
|
18,398
|
|
|
—
|
|
|
—
|
|
||||||
Transfers out of Level 3
|
|
(5,732
|
)
|
|
—
|
|
|
(31,551
|
)
|
|
(34,072
|
)
|
|
(1,507
|
)
|
|
—
|
|
||||||
Fair value, end of period
|
|
$
|
1,297,382
|
|
|
$
|
554,192
|
|
|
$
|
165,979
|
|
|
$
|
298,816
|
|
|
$
|
37,935
|
|
|
$
|
26,255
|
|
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Included in earnings, net:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investment income, net of related expenses
|
|
$
|
(608
|
)
|
|
$
|
3,049
|
|
|
$
|
530
|
|
|
$
|
187
|
|
|
$
|
485
|
|
|
$
|
(122
|
)
|
Investment related gains (losses), net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Interest credited
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
For the three months ended June 30, 2016 (continued):
|
|
Fixed maturity securities
available-for-sale
|
|
|
|
|
|
|
|
|
||||||||||||||
|
|
State
and political subdivisions |
|
Other foreign government, supranational and foreign government-sponsored enterprises
|
|
Funds withheld
at interest-
embedded
derivatives
|
|
Other assets - longevity swaps
|
|
Interest sensitive contract liabilities embedded derivatives
|
|
Other liabilities - mortality swaps
|
||||||||||||
Fair value, beginning of period
|
|
$
|
34,624
|
|
|
$
|
13,936
|
|
|
$
|
(168,948
|
)
|
|
$
|
15,806
|
|
|
$
|
(1,118,069
|
)
|
|
$
|
(3,043
|
)
|
Total gains/losses (realized/unrealized)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Included in earnings, net:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investment income, net of related expenses
|
|
12
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Investment related gains (losses), net
|
|
—
|
|
|
—
|
|
|
76,967
|
|
|
—
|
|
|
(28,137
|
)
|
|
—
|
|
||||||
Interest credited
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2,019
|
)
|
|
—
|
|
||||||
Included in other comprehensive income
|
|
837
|
|
|
95
|
|
|
—
|
|
|
(419
|
)
|
|
—
|
|
|
—
|
|
||||||
Other revenues
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,394
|
|
|
—
|
|
|
1,046
|
|
||||||
Purchases
(1)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,703
|
|
|
—
|
|
||||||
Sales
(1)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Settlements
(1)
|
|
(227
|
)
|
|
(325
|
)
|
|
—
|
|
|
—
|
|
|
18,142
|
|
|
—
|
|
||||||
Transfers into Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Transfers out of Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Fair value, end of period
|
|
$
|
35,246
|
|
|
$
|
13,706
|
|
|
$
|
(91,981
|
)
|
|
$
|
17,781
|
|
|
$
|
(1,125,380
|
)
|
|
$
|
(1,997
|
)
|
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Included in earnings, net:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investment income, net of related expenses
|
|
$
|
12
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Investment related gains (losses), net
|
|
—
|
|
|
—
|
|
|
76,967
|
|
|
—
|
|
|
(31,333
|
)
|
|
—
|
|
||||||
Other revenues
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,394
|
|
|
—
|
|
|
1,046
|
|
||||||
Interest credited
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(20,162
|
)
|
|
—
|
|
For the six months ended June 30, 2016:
|
|
Fixed maturity securities - available-for-sale
|
||||||||||||||||||||||
|
|
Corporate
securities
|
|
Canadian and Canadian provincial governments
|
|
Residential
mortgage-
backed
securities
|
|
Asset-backed
securities
|
|
Commercial
mortgage-
backed
securities
|
|
U.S. government
and agencies
|
||||||||||||
Fair value, beginning of period
|
|
$
|
1,226,970
|
|
|
$
|
416,076
|
|
|
$
|
330,649
|
|
|
$
|
303,836
|
|
|
$
|
68,563
|
|
|
$
|
26,265
|
|
Total gains/losses (realized/unrealized)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Included in earnings, net:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investment income, net of related expenses
|
|
(1,419
|
)
|
|
6,051
|
|
|
(371
|
)
|
|
426
|
|
|
1,133
|
|
|
(245
|
)
|
||||||
Investment related gains (losses), net
|
|
(21,856
|
)
|
|
—
|
|
|
(1,922
|
)
|
|
1,101
|
|
|
(3,289
|
)
|
|
—
|
|
||||||
Interest credited
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Included in other comprehensive income
|
|
56,073
|
|
|
132,065
|
|
|
(493
|
)
|
|
(7,734
|
)
|
|
(2,359
|
)
|
|
1,057
|
|
||||||
Other revenues
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Purchases
(1)
|
|
140,578
|
|
|
—
|
|
|
72,228
|
|
|
97,050
|
|
|
1,545
|
|
|
257
|
|
||||||
Sales
(1)
|
|
(10,483
|
)
|
|
—
|
|
|
(167,684
|
)
|
|
(38,681
|
)
|
|
(25,976
|
)
|
|
—
|
|
||||||
Settlements
(1)
|
|
(96,955
|
)
|
|
—
|
|
|
(24,904
|
)
|
|
(7,921
|
)
|
|
(137
|
)
|
|
(1,079
|
)
|
||||||
Transfers into Level 3
|
|
10,206
|
|
|
—
|
|
|
—
|
|
|
24,796
|
|
|
—
|
|
|
—
|
|
||||||
Transfers out of Level 3
|
|
(5,732
|
)
|
|
—
|
|
|
(41,524
|
)
|
|
(74,057
|
)
|
|
(1,545
|
)
|
|
—
|
|
||||||
Fair value, end of period
|
|
$
|
1,297,382
|
|
|
$
|
554,192
|
|
|
$
|
165,979
|
|
|
$
|
298,816
|
|
|
$
|
37,935
|
|
|
$
|
26,255
|
|
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Included in earnings, net:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investment income, net of related expenses
|
|
$
|
(1,428
|
)
|
|
$
|
6,051
|
|
|
$
|
42
|
|
|
$
|
350
|
|
|
$
|
1,031
|
|
|
$
|
(245
|
)
|
Investment related gains (losses), net
|
|
(21,726
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Interest credited
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
For the six months ended June 30, 2016 (continued):
|
|
Fixed maturity securities
available-for-sale
|
|
|
|
|
|
|
|
|
||||||||||||||
|
|
State
and political subdivisions |
|
Other foreign government, supranational and foreign government-sponsored enterprises
|
|
Funds withheld
at interest-
embedded
derivatives
|
|
Other assets - longevity swaps
|
|
Interest sensitive contract liabilities embedded derivatives
|
|
Other liabilities - mortality swaps
|
||||||||||||
Fair value, beginning of period
|
|
$
|
38,342
|
|
|
$
|
14,065
|
|
|
$
|
(76,698
|
)
|
|
$
|
14,996
|
|
|
$
|
(1,070,584
|
)
|
|
$
|
(2,619
|
)
|
Total gains/losses (realized/unrealized)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Included in earnings, net:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investment income, net of related expenses
|
|
195
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Investment related gains (losses), net
|
|
—
|
|
|
—
|
|
|
(15,283
|
)
|
|
—
|
|
|
(91,077
|
)
|
|
—
|
|
||||||
Interest credited
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(626
|
)
|
|
—
|
|
||||||
Included in other comprehensive income
|
|
1,171
|
|
|
288
|
|
|
—
|
|
|
304
|
|
|
—
|
|
|
—
|
|
||||||
Other revenues
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,481
|
|
|
—
|
|
|
622
|
|
||||||
Purchases
(1)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,035
|
|
|
—
|
|
||||||
Sales
(1)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Settlements
(1)
|
|
(258
|
)
|
|
(647
|
)
|
|
—
|
|
|
—
|
|
|
34,872
|
|
|
—
|
|
||||||
Transfers into Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Transfers out of Level 3
|
|
(4,204
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Fair value, end of period
|
|
$
|
35,246
|
|
|
$
|
13,706
|
|
|
$
|
(91,981
|
)
|
|
$
|
17,781
|
|
|
$
|
(1,125,380
|
)
|
|
$
|
(1,997
|
)
|
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Included in earnings, net:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investment income, net of related expenses
|
|
$
|
195
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Investment related gains (losses), net
|
|
—
|
|
|
—
|
|
|
(15,283
|
)
|
|
—
|
|
|
(96,811
|
)
|
|
—
|
|
||||||
Other revenues
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,481
|
|
|
—
|
|
|
622
|
|
||||||
Interest credited
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(35,497
|
)
|
|
—
|
|
(1)
|
The amount reported within purchases, sales and settlements is the purchase price (for purchases) and the sales/settlement proceeds (for sales and settlements) based upon the actual date purchased or sold/settled. Items purchased and sold/settled in the same period are excluded from the rollforward. The Company had no issuances during the period.
|
For the three months ended June 30, 2015:
|
|
Fixed maturity securities - available-for-sale
|
||||||||||||||||||||||
|
|
Corporate
securities
|
|
Residential
mortgage-
backed
securities
|
|
Asset-backed
securities
|
|
Commercial
mortgage-
backed
securities
|
|
U.S. government
and agencies
|
|
State
and political subdivisions |
||||||||||||
Fair value, beginning of period
|
|
$
|
1,286,979
|
|
|
$
|
192,579
|
|
|
$
|
609,436
|
|
|
$
|
93,869
|
|
|
$
|
27,756
|
|
|
$
|
41,875
|
|
Total gains/losses (realized/unrealized)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Included in earnings, net:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investment income, net of related expenses
|
|
(1,051
|
)
|
|
(156
|
)
|
|
1,511
|
|
|
677
|
|
|
112
|
|
|
8
|
|
||||||
Investment related gains (losses), net
|
|
(166
|
)
|
|
17
|
|
|
283
|
|
|
(770
|
)
|
|
(10
|
)
|
|
(5
|
)
|
||||||
Interest credited
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Included in other comprehensive income
|
|
(16,902
|
)
|
|
(1,291
|
)
|
|
(301
|
)
|
|
(386
|
)
|
|
(559
|
)
|
|
(1,480
|
)
|
||||||
Purchases
(1)
|
|
76,982
|
|
|
118,868
|
|
|
44,181
|
|
|
42
|
|
|
154
|
|
|
—
|
|
||||||
Sales
(1)
|
|
(3,949
|
)
|
|
—
|
|
|
(1,615
|
)
|
|
(2,000
|
)
|
|
—
|
|
|
—
|
|
||||||
Settlements
(1)
|
|
(103,696
|
)
|
|
(8,617
|
)
|
|
(63,751
|
)
|
|
(893
|
)
|
|
(94
|
)
|
|
(212
|
)
|
||||||
Transfers into Level 3
|
|
413
|
|
|
1,800
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Transfers out of Level 3
|
|
(1,293
|
)
|
|
(4,824
|
)
|
|
(9,234
|
)
|
|
(12,720
|
)
|
|
—
|
|
|
—
|
|
||||||
Fair value, end of period
|
|
$
|
1,237,317
|
|
|
$
|
298,376
|
|
|
$
|
580,510
|
|
|
$
|
77,819
|
|
|
$
|
27,359
|
|
|
$
|
40,186
|
|
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Included in earnings, net:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investment income, net of related expenses
|
|
$
|
(997
|
)
|
|
$
|
(156
|
)
|
|
$
|
706
|
|
|
$
|
640
|
|
|
$
|
112
|
|
|
$
|
8
|
|
Investment related gains (losses), net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Interest credited
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
For the three months ended June 30, 2015 (continued):
|
|
Fixed maturity securities
available-for-sale
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
|
Other foreign government, supranational and foreign government-sponsored enterprises
|
|
Funds withheld
at interest-
embedded
derivatives
|
|
Other invested assets - non-redeemable preferred stock
|
|
Other assets - longevity swaps
|
|
Interest sensitive contract liabilities embedded derivatives
|
|
Other liabilities - mortality swaps
|
||||||||||||
Fair value, beginning of period
|
|
$
|
15,202
|
|
|
$
|
19,769
|
|
|
$
|
7,992
|
|
|
$
|
8,602
|
|
|
$
|
(1,132,271
|
)
|
|
$
|
(1,276
|
)
|
Total gains/losses (realized/unrealized)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Included in earnings, net:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investment income, net of related expenses
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Investment related gains (losses), net
|
|
—
|
|
|
(23,098
|
)
|
|
—
|
|
|
—
|
|
|
50,878
|
|
|
—
|
|
||||||
Interest credited
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
8,080
|
|
|
—
|
|
||||||
Included in other comprehensive income
|
|
(232
|
)
|
|
—
|
|
|
(104
|
)
|
|
340
|
|
|
—
|
|
|
—
|
|
||||||
Other revenues
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,911
|
|
|
—
|
|
|
(478
|
)
|
||||||
Purchases
(1)
|
|
—
|
|
|
—
|
|
|
4,500
|
|
|
—
|
|
|
(13,924
|
)
|
|
—
|
|
||||||
Sales
(1)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Settlements
(1)
|
|
(313
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
18,083
|
|
|
—
|
|
||||||
Transfers into Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Transfers out of Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Fair value, end of period
|
|
$
|
14,657
|
|
|
$
|
(3,329
|
)
|
|
$
|
12,388
|
|
|
$
|
10,853
|
|
|
$
|
(1,069,154
|
)
|
|
$
|
(1,754
|
)
|
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Included in earnings, net:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investment income, net of related expenses
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Investment related gains (losses), net
|
|
—
|
|
|
(23,098
|
)
|
|
—
|
|
|
—
|
|
|
48,603
|
|
|
—
|
|
||||||
Other revenues
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,911
|
|
|
—
|
|
|
(478
|
)
|
||||||
Interest credited
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(10,003
|
)
|
|
—
|
|
For the six months ended June 30, 2015:
|
|
Fixed maturity securities - available-for-sale
|
||||||||||||||||||||||
|
|
Corporate
securities
|
|
Residential
mortgage-
backed
securities
|
|
Asset-backed
securities
|
|
Commercial
mortgage-
backed
securities
|
|
U.S. government
and agencies
|
|
State
and political subdivisions |
||||||||||||
Fair value, beginning of period
|
|
$
|
1,310,427
|
|
|
$
|
188,094
|
|
|
$
|
572,960
|
|
|
$
|
86,746
|
|
|
$
|
28,529
|
|
|
$
|
42,711
|
|
Total gains/losses (realized/unrealized)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Included in earnings, net:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investment income, net of related expenses
|
|
(1,854
|
)
|
|
(296
|
)
|
|
2,930
|
|
|
1,271
|
|
|
93
|
|
|
15
|
|
||||||
Investment related gains (losses), net
|
|
(571
|
)
|
|
(65
|
)
|
|
356
|
|
|
(683
|
)
|
|
(117
|
)
|
|
(9
|
)
|
||||||
Interest credited
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Included in other comprehensive income
|
|
(10,833
|
)
|
|
(768
|
)
|
|
3,331
|
|
|
(696
|
)
|
|
(383
|
)
|
|
(1,455
|
)
|
||||||
Purchases
(1)
|
|
113,882
|
|
|
130,307
|
|
|
85,172
|
|
|
42
|
|
|
275
|
|
|
—
|
|
||||||
Sales
(1)
|
|
(3,949
|
)
|
|
(714
|
)
|
|
(8,971
|
)
|
|
(2,956
|
)
|
|
—
|
|
|
—
|
|
||||||
Settlements
(1)
|
|
(163,296
|
)
|
|
(14,336
|
)
|
|
(67,873
|
)
|
|
(6,013
|
)
|
|
(1,038
|
)
|
|
(241
|
)
|
||||||
Transfers into Level 3
|
|
413
|
|
|
2,400
|
|
|
9,055
|
|
|
12,828
|
|
|
—
|
|
|
—
|
|
||||||
Transfers out of Level 3
|
|
(6,902
|
)
|
|
(6,246
|
)
|
|
(16,450
|
)
|
|
(12,720
|
)
|
|
—
|
|
|
(835
|
)
|
||||||
Fair value, end of period
|
|
$
|
1,237,317
|
|
|
$
|
298,376
|
|
|
$
|
580,510
|
|
|
$
|
77,819
|
|
|
$
|
27,359
|
|
|
$
|
40,186
|
|
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Included in earnings, net:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investment income, net of related expenses
|
|
$
|
(1,800
|
)
|
|
$
|
(297
|
)
|
|
$
|
2,105
|
|
|
$
|
1,229
|
|
|
$
|
93
|
|
|
$
|
15
|
|
Investment related gains (losses), net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Interest credited
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
For the six months ended June 30, 2015 (continued):
|
|
Fixed maturity securities
available-for-sale
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
|
Other foreign government, supranational and foreign government-sponsored enterprises
|
|
Funds withheld
at interest-
embedded
derivatives
|
|
Other invested assets - non-redeemable preferred stock
|
|
Other assets - longevity swaps
|
|
Interest sensitive contract liabilities embedded derivatives
|
|
Other liabilities - mortality swaps
|
||||||||||||
Fair value, beginning of period
|
|
$
|
19,663
|
|
|
$
|
22,094
|
|
|
$
|
7,904
|
|
|
$
|
7,727
|
|
|
$
|
(1,085,166
|
)
|
|
$
|
(797
|
)
|
Total gains/losses (realized/unrealized)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Included in earnings, net:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investment income, net of related expenses
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Investment related gains (losses), net
|
|
—
|
|
|
(25,423
|
)
|
|
—
|
|
|
—
|
|
|
25,745
|
|
|
—
|
|
||||||
Policy acquisition costs and other insurance expenses
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(21,246
|
)
|
|
—
|
|
||||||
Included in other comprehensive income
|
|
(50
|
)
|
|
—
|
|
|
(16
|
)
|
|
(605
|
)
|
|
—
|
|
|
—
|
|
||||||
Other revenues
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,731
|
|
|
—
|
|
|
(957
|
)
|
||||||
Purchases
(1)
|
|
—
|
|
|
—
|
|
|
4,529
|
|
|
—
|
|
|
(25,568
|
)
|
|
—
|
|
||||||
Sales
(1)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Settlements
(1)
|
|
(623
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Transfers into Level 3
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
37,081
|
|
|
—
|
|
||||||
Transfers out of Level 3
|
|
(4,333
|
)
|
|
—
|
|
|
(29
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Fair value, end of period
|
|
$
|
14,657
|
|
|
$
|
(3,329
|
)
|
|
$
|
12,388
|
|
|
$
|
10,853
|
|
|
$
|
(1,069,154
|
)
|
|
$
|
(1,754
|
)
|
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Included in earnings, net:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investment income, net of related expenses
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Investment related gains (losses), net
|
|
—
|
|
|
(25,423
|
)
|
|
—
|
|
|
—
|
|
|
20,358
|
|
|
—
|
|
||||||
Other revenues
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,731
|
|
|
—
|
|
|
(957
|
)
|
||||||
Interest credited
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(58,327
|
)
|
|
—
|
|
(1)
|
The amount reported within purchases, sales and settlements is the purchase price (for purchases) and the sales/settlement proceeds (for sales and settlements) based upon the actual date purchased or sold/settled. Items purchased and sold/settled in the same period are excluded from the rollforward. The Company had no issuances during the period.
|
|
|
Carrying Value After Measurement
|
|
Net Investment Gains (Losses)
|
||||||||||||||||||||
|
|
At June 30,
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||||||||
(dollars in thousands)
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||||||
Mortgage loans
(1)
|
|
$
|
6,993
|
|
|
$
|
5,850
|
|
|
$
|
(400
|
)
|
|
$
|
(11
|
)
|
|
$
|
(702
|
)
|
|
$
|
39
|
|
Limited partnership interests
(2)
|
|
4,460
|
|
|
13,667
|
|
|
(112
|
)
|
|
—
|
|
|
(2,039
|
)
|
|
(4,509
|
)
|
(1)
|
Mortgage loans — The impaired mortgage loans presented above were written down to their estimated fair values at the date the impairments were recognized and are reported as losses above. Subsequent improvements in estimated fair value on previously impaired loans recorded through a reduction in the previously established valuation allowance are reported as gains above. Nonrecurring fair value adjustments on mortgage loans are based on the fair value of underlying collateral or discounted cash flows.
|
(2)
|
Limited partnership interests — The impaired limited partnership interests presented above were accounted for using the cost method. Impairments on these cost method investments were recognized at estimated fair value determined using the net asset values of the Company’s ownership interest as provided in the financial statements of the investees. The market for these investments has limited activity and price transparency.
|
June 30, 2016:
|
|
Carrying Value
|
|
Estimated
Fair Value
|
|
Fair Value Measurement Using:
|
||||||||||||||||||
Level 1
|
|
Level 2
|
|
Level 3
|
|
NAV
|
||||||||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Mortgage loans on real estate
|
|
$
|
3,377,039
|
|
|
$
|
3,502,098
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,502,098
|
|
|
$
|
—
|
|
Policy loans
|
|
1,445,410
|
|
|
1,445,410
|
|
|
—
|
|
|
1,445,410
|
|
|
—
|
|
|
—
|
|
||||||
Funds withheld at interest
(1)
|
|
5,987,794
|
|
|
6,368,471
|
|
|
—
|
|
|
—
|
|
|
6,368,471
|
|
|
—
|
|
||||||
Cash and cash equivalents
(2)
|
|
820,773
|
|
|
820,773
|
|
|
820,773
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Short-term investments
(2)
|
|
35,078
|
|
|
35,078
|
|
|
35,078
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Other invested assets
(2)
|
|
383,295
|
|
|
409,054
|
|
|
4,297
|
|
|
36,151
|
|
|
86,092
|
|
|
282,514
|
|
||||||
Accrued investment income
|
|
368,926
|
|
|
368,926
|
|
|
—
|
|
|
368,926
|
|
|
—
|
|
|
—
|
|
||||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest-sensitive contract liabilities
(1)
|
|
$
|
10,058,118
|
|
|
$
|
10,650,840
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
10,650,840
|
|
|
$
|
—
|
|
Short-term debt
|
|
299,807
|
|
|
308,457
|
|
|
—
|
|
|
—
|
|
|
308,457
|
|
|
—
|
|
||||||
Long-term debt
|
|
2,788,473
|
|
|
2,954,981
|
|
|
—
|
|
|
—
|
|
|
2,954,981
|
|
|
—
|
|
||||||
Collateral finance and securitization notes
|
|
870,482
|
|
|
790,304
|
|
|
—
|
|
|
—
|
|
|
790,304
|
|
|
—
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
December 31, 2015:
|
|
Carrying Value
|
|
Estimated
Fair Value
|
|
Fair Value Measurement Using:
|
||||||||||||||||||
Level 1
|
|
Level 2
|
|
Level 3
|
|
NAV
|
||||||||||||||||||
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Mortgage loans on real estate
|
|
$
|
3,129,951
|
|
|
$
|
3,197,808
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,197,808
|
|
|
$
|
—
|
|
Policy loans
|
|
1,468,796
|
|
|
1,468,796
|
|
|
—
|
|
|
1,468,796
|
|
|
—
|
|
|
—
|
|
||||||
Funds withheld at interest
(1)
|
|
5,956,380
|
|
|
6,311,780
|
|
|
—
|
|
|
—
|
|
|
6,311,780
|
|
|
—
|
|
||||||
Cash and cash equivalents
(2)
|
|
1,118,754
|
|
|
1,118,754
|
|
|
1,118,754
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Short-term investments
(2)
|
|
27,511
|
|
|
27,511
|
|
|
27,511
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Other invested assets
(2)
|
|
399,799
|
|
|
444,342
|
|
|
4,445
|
|
|
34,886
|
|
|
111,412
|
|
|
293,599
|
|
||||||
Accrued investment income
|
|
339,452
|
|
|
339,452
|
|
|
—
|
|
|
339,452
|
|
|
—
|
|
|
—
|
|
||||||
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest-sensitive contract liabilities
(1)
|
|
$
|
9,746,870
|
|
|
$
|
9,841,576
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
9,841,576
|
|
|
$
|
—
|
|
Long-term debt
|
|
2,297,548
|
|
|
2,415,119
|
|
|
—
|
|
|
—
|
|
|
2,415,119
|
|
|
—
|
|
||||||
Collateral finance and securitization notes
|
|
899,161
|
|
|
791,275
|
|
|
—
|
|
|
—
|
|
|
791,275
|
|
|
—
|
|
(1)
|
Carrying values presented herein differ from those presented in the condensed consolidated balance sheets because certain items within the respective financial statement caption are embedded derivatives and are measured at fair value on a recurring basis.
|
(2)
|
Carrying values presented herein differ from those presented in the condensed consolidated balance sheets because certain items within the respective financial statement caption are measured at fair value on a recurring basis.
|
7.
|
Segment Information
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
Revenues:
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
U.S. and Latin America:
|
|
|
|
|
|
|
|
|
||||||||
Traditional
|
|
$
|
1,494,003
|
|
|
$
|
1,342,248
|
|
|
$
|
2,894,820
|
|
|
$
|
2,597,538
|
|
Non-Traditional
|
|
305,077
|
|
|
191,775
|
|
|
343,982
|
|
|
384,448
|
|
||||
Total
|
|
1,799,080
|
|
|
1,534,023
|
|
|
3,238,802
|
|
|
2,981,986
|
|
||||
Canada:
|
|
|
|
|
|
|
|
|
||||||||
Traditional
|
|
288,912
|
|
|
270,090
|
|
|
546,912
|
|
|
535,094
|
|
||||
Non-Traditional
|
|
11,854
|
|
|
11,458
|
|
|
22,538
|
|
|
23,332
|
|
||||
Total
|
|
300,766
|
|
|
281,548
|
|
|
569,450
|
|
|
558,426
|
|
||||
Europe, Middle East and Africa:
|
|
|
|
|
|
|
|
|
||||||||
Traditional
|
|
301,642
|
|
|
284,192
|
|
|
591,276
|
|
|
579,424
|
|
||||
Non-Traditional
|
|
80,977
|
|
|
75,308
|
|
|
148,733
|
|
|
130,684
|
|
||||
Total
|
|
382,619
|
|
|
359,500
|
|
|
740,009
|
|
|
710,108
|
|
||||
Asia Pacific:
|
|
|
|
|
|
|
|
|
||||||||
Traditional
|
|
477,571
|
|
|
411,314
|
|
|
871,770
|
|
|
805,189
|
|
||||
Non-Traditional
|
|
17,045
|
|
|
7,076
|
|
|
37,116
|
|
|
26,646
|
|
||||
Total
|
|
494,616
|
|
|
418,390
|
|
|
908,886
|
|
|
831,835
|
|
||||
Corporate and Other
|
|
61,987
|
|
|
36,879
|
|
|
94,489
|
|
|
68,598
|
|
||||
Total
|
|
$
|
3,039,068
|
|
|
$
|
2,630,340
|
|
|
$
|
5,551,636
|
|
|
$
|
5,150,953
|
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
Income (loss) before income taxes:
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
U.S. and Latin America:
|
|
|
|
|
|
|
|
|
||||||||
Traditional
|
|
$
|
111,430
|
|
|
$
|
82,793
|
|
|
$
|
162,528
|
|
|
$
|
100,636
|
|
Non-Traditional
|
|
108,854
|
|
|
70,393
|
|
|
93,958
|
|
|
124,898
|
|
||||
Total
|
|
220,284
|
|
|
153,186
|
|
|
256,486
|
|
|
225,534
|
|
||||
Canada:
|
|
|
|
|
|
|
|
|
||||||||
Traditional
|
|
43,309
|
|
|
22,736
|
|
|
63,404
|
|
|
45,463
|
|
||||
Non-Traditional
|
|
2,128
|
|
|
3,094
|
|
|
2,720
|
|
|
7,225
|
|
||||
Total
|
|
45,437
|
|
|
25,830
|
|
|
66,124
|
|
|
52,688
|
|
||||
Europe, Middle East and Africa:
|
|
|
|
|
|
|
|
|
||||||||
Traditional
|
|
6,834
|
|
|
9,159
|
|
|
5,718
|
|
|
19,641
|
|
||||
Non-Traditional
|
|
27,469
|
|
|
31,432
|
|
|
52,893
|
|
|
51,066
|
|
||||
Total
|
|
34,303
|
|
|
40,591
|
|
|
58,611
|
|
|
70,707
|
|
||||
Asia Pacific:
|
|
|
|
|
|
|
|
|
||||||||
Traditional
|
|
34,482
|
|
|
4,315
|
|
|
75,642
|
|
|
56,963
|
|
||||
Non-Traditional
|
|
(73
|
)
|
|
(1,405
|
)
|
|
8,480
|
|
|
8,740
|
|
||||
Total
|
|
34,409
|
|
|
2,910
|
|
|
84,122
|
|
|
65,703
|
|
||||
Corporate and Other
|
|
18,790
|
|
|
(8,727
|
)
|
|
(4,540
|
)
|
|
(16,717
|
)
|
||||
Total
|
|
$
|
353,223
|
|
|
$
|
213,790
|
|
|
$
|
460,803
|
|
|
$
|
397,915
|
|
Assets:
|
|
June 30, 2016
|
|
December 31, 2015
|
||||
U.S. and Latin America:
|
|
|
|
|
||||
Traditional
|
|
$
|
17,806,550
|
|
|
$
|
16,554,509
|
|
Non-Traditional
|
|
13,935,486
|
|
|
13,405,878
|
|
||
Total
|
|
31,742,036
|
|
|
29,960,387
|
|
||
Canada:
|
|
|
|
|
||||
Traditional
|
|
3,894,407
|
|
|
3,604,344
|
|
||
Non-Traditional
|
|
16,933
|
|
|
27,543
|
|
||
Total
|
|
3,911,340
|
|
|
3,631,887
|
|
||
Europe, Middle East and Africa:
|
|
|
|
|
||||
Traditional
|
|
2,669,404
|
|
|
2,757,593
|
|
||
Non-Traditional
|
|
4,076,547
|
|
|
4,162,703
|
|
||
Total
|
|
6,745,951
|
|
|
6,920,296
|
|
||
Asia Pacific:
|
|
|
|
|
||||
Traditional
|
|
3,757,131
|
|
|
3,227,530
|
|
||
Non-Traditional
|
|
742,063
|
|
|
742,528
|
|
||
Total
|
|
4,499,194
|
|
|
3,970,058
|
|
||
Corporate and Other
|
|
6,978,182
|
|
|
5,900,524
|
|
||
Total
|
|
$
|
53,876,703
|
|
|
$
|
50,383,152
|
|
8.
|
Commitments, Contingencies and Guarantees
|
|
June 30, 2016
|
|
December 31, 2015
|
||||
Limited partnerships and real estate joint ventures
|
$
|
252,864
|
|
|
$
|
263,163
|
|
Commercial mortgage loans
|
56,139
|
|
|
86,325
|
|
||
Bank loans
|
51,041
|
|
|
48,686
|
|
||
Equity release mortgages
|
40,091
|
|
|
8,504
|
|
Commitment Period:
|
June 30, 2016
|
||
2023
|
$
|
500.0
|
|
2033
|
950.0
|
|
|
2034
|
3,000.0
|
|
|
2035
|
1,314.2
|
|
|
2036
|
1,432.0
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||
Treaty guarantees
|
$
|
759,175
|
|
|
$
|
765,505
|
|
Treaty guarantees, net of assets in trust
|
631,267
|
|
|
634,909
|
|
||
Borrowed securities
|
269,740
|
|
|
259,540
|
|
||
Financing arrangements
|
121,369
|
|
|
100,000
|
|
||
Lease obligations
|
3,140
|
|
|
5,217
|
|
9.
|
Income Tax
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Tax provision at U.S. statutory rate
|
|
$
|
123,628
|
|
|
$
|
74,826
|
|
|
$
|
161,281
|
|
|
$
|
139,270
|
|
Increase (decrease) in income taxes resulting from:
|
|
|
|
|
|
|
|
|
||||||||
Foreign tax rate differing from U.S. tax rate
|
|
(8,398
|
)
|
|
(764
|
)
|
|
(12,282
|
)
|
|
(6,285
|
)
|
||||
Differences in tax bases in foreign jurisdictions
|
|
(5,553
|
)
|
|
(6,931
|
)
|
|
(14,489
|
)
|
|
(13,601
|
)
|
||||
Deferred tax valuation allowance
|
|
4,288
|
|
|
4,967
|
|
|
9,287
|
|
|
11,758
|
|
||||
Amounts related to tax audit contingencies
|
|
3,288
|
|
|
952
|
|
|
3,889
|
|
|
1,905
|
|
||||
Subpart F
|
|
738
|
|
|
11,452
|
|
|
1,433
|
|
|
17,886
|
|
||||
Foreign tax credits
|
|
(427
|
)
|
|
(1,104
|
)
|
|
(721
|
)
|
|
(3,448
|
)
|
||||
Return to provision adjustments
|
|
(442
|
)
|
|
(212
|
)
|
|
(316
|
)
|
|
(4,977
|
)
|
||||
Other, net
|
|
(2
|
)
|
|
213
|
|
|
146
|
|
|
(98
|
)
|
||||
Total provision for income taxes
|
|
$
|
117,120
|
|
|
$
|
83,399
|
|
|
$
|
148,228
|
|
|
$
|
142,410
|
|
Effective tax rate
|
|
33.2
|
%
|
|
39.0
|
%
|
|
32.2
|
%
|
|
35.8
|
%
|
|
|
Pension Benefits
|
|
Other Benefits
|
||||||||||||
|
|
Three months ended June 30,
|
|
Three months ended June 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Service cost
|
|
$
|
2,652
|
|
|
$
|
2,586
|
|
|
$
|
1,015
|
|
|
$
|
589
|
|
Interest cost
|
|
1,076
|
|
|
1,283
|
|
|
643
|
|
|
491
|
|
||||
Expected return on plan assets
|
|
(1,345
|
)
|
|
(1,331
|
)
|
|
—
|
|
|
—
|
|
||||
Amortization of prior service cost
|
|
75
|
|
|
80
|
|
|
—
|
|
|
—
|
|
||||
Amortization of prior actuarial loss
|
|
1,224
|
|
|
833
|
|
|
617
|
|
|
265
|
|
||||
Net periodic benefit cost
|
|
$
|
3,682
|
|
|
$
|
3,451
|
|
|
$
|
2,275
|
|
|
$
|
1,345
|
|
|
|
Pension Benefits
|
|
Other Benefits
|
||||||||||||
|
|
Six months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Service cost
|
|
$
|
4,958
|
|
|
$
|
4,616
|
|
|
$
|
2,031
|
|
|
$
|
1,178
|
|
Interest cost
|
|
2,335
|
|
|
2,526
|
|
|
1,286
|
|
|
982
|
|
||||
Expected return on plan assets
|
|
(2,569
|
)
|
|
(2,449
|
)
|
|
—
|
|
|
—
|
|
||||
Amortization of prior service cost
|
|
153
|
|
|
163
|
|
|
—
|
|
|
—
|
|
||||
Amortization of prior actuarial loss
|
|
2,081
|
|
|
1,272
|
|
|
1,233
|
|
|
530
|
|
||||
Net periodic benefit cost
|
|
$
|
6,958
|
|
|
$
|
6,128
|
|
|
$
|
4,550
|
|
|
$
|
2,690
|
|
11.
|
Equity Based Compensation
|
12.
|
Reinsurance
|
|
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||
Reinsurer
|
|
A.M. Best Rating
|
|
Amount
|
|
% of Total
|
|
Amount
|
|
% of Total
|
||||||
Reinsurer A
|
|
A+
|
|
$
|
233,016
|
|
|
34.2
|
%
|
|
$
|
199,479
|
|
|
31.3
|
%
|
Reinsurer B
|
|
A+
|
|
190,957
|
|
|
28.0
|
|
|
179,522
|
|
|
28.1
|
|
||
Reinsurer C
|
|
A+
|
|
68,727
|
|
|
10.1
|
|
|
72,836
|
|
|
11.4
|
|
||
Reinsurer D
|
|
A++
|
|
38,098
|
|
|
5.6
|
|
|
41,807
|
|
|
6.6
|
|
||
Reinsurer E
|
|
A
|
|
36,847
|
|
|
5.4
|
|
|
37,138
|
|
|
5.8
|
|
||
Other reinsurers
|
|
|
|
113,780
|
|
|
16.7
|
|
|
107,077
|
|
|
16.8
|
|
||
Total
|
|
|
|
$
|
681,425
|
|
|
100.0
|
%
|
|
$
|
637,859
|
|
|
100.0
|
%
|
14.
|
New Accounting Standards
|
•
|
The change in the value of embedded derivatives related to reinsurance treaties written on a modco or funds withheld basis are subject to the general accounting principles for derivatives and hedging related to embedded derivatives. The unrealized gains and losses associated with these embedded derivatives, after adjustment for deferred acquisition costs, resulted in an increase in income before income taxes of $35.0 million in the second quarter of 2016 and a decrease of $2.3 million in the first six months of 2016, as compared to the same periods in 2015.
|
•
|
Changes in risk-free rates used in the fair value estimates of embedded derivatives associated with EIAs affect the amount of unrealized gains and losses the Company recognizes. The unrealized gains and losses associated with EIAs, after adjustment for deferred acquisition costs and retrocession, resulted in an increase in income before income taxes of $3.1 million in the second quarter of 2016 and a decrease of $4.6 million in the first six months of 2016, as compared to the same periods in 2015.
|
•
|
The change in the Company’s liability for variable annuities associated with guaranteed minimum living benefits affects the amount of unrealized gains and losses the Company recognizes. The unrealized gains and losses associated with guaranteed minimum living benefits, after adjustment for deferred acquisition costs, decreased income before income taxes by $92.0 million and $117.2 million in the second quarter and first six months of 2016, respectively, as compared to the same periods in 2015.
|
For the three months ended June 30, 2016:
|
|
|
|
Non-Traditional
|
|
|
||||||||||
(dollars in thousands)
|
|
|
|
Asset-Intensive
|
|
Financial
Reinsurance
|
|
Total U.S. and Latin America
|
||||||||
|
|
Traditional
|
|
|||||||||||||
Revenues:
|
|
|
|
|
|
|
|
|
||||||||
Net premiums
|
|
$
|
1,307,395
|
|
|
$
|
5,662
|
|
|
$
|
—
|
|
|
$
|
1,313,057
|
|
Investment income, net of related expenses
|
|
182,238
|
|
|
177,681
|
|
|
2,386
|
|
|
362,305
|
|
||||
Investment related gains (losses), net
|
|
(882
|
)
|
|
76,830
|
|
|
—
|
|
|
75,948
|
|
||||
Other revenues
|
|
5,252
|
|
|
24,555
|
|
|
17,963
|
|
|
47,770
|
|
||||
Total revenues
|
|
1,494,003
|
|
|
284,728
|
|
|
20,349
|
|
|
1,799,080
|
|
||||
Benefits and expenses:
|
|
|
|
|
|
|
|
|
||||||||
Claims and other policy benefits
|
|
1,149,665
|
|
|
19,507
|
|
|
—
|
|
|
1,169,172
|
|
||||
Interest credited
|
|
20,845
|
|
|
68,436
|
|
|
—
|
|
|
89,281
|
|
||||
Policy acquisition costs and other insurance expenses
|
|
182,285
|
|
|
97,078
|
|
|
3,085
|
|
|
282,448
|
|
||||
Other operating expenses
|
|
29,778
|
|
|
5,728
|
|
|
2,389
|
|
|
37,895
|
|
||||
Total benefits and expenses
|
|
1,382,573
|
|
|
190,749
|
|
|
5,474
|
|
|
1,578,796
|
|
||||
Income before income taxes
|
|
$
|
111,430
|
|
|
$
|
93,979
|
|
|
$
|
14,875
|
|
|
$
|
220,284
|
|
|
|
|
|
|
|
|
|
|
||||||||
For the three months ended June 30, 2015:
|
|
|
|
Non-Traditional
|
|
|
||||||||||
(dollars in thousands)
|
|
|
|
Asset-Intensive
|
|
Financial
Reinsurance
|
|
Total U.S. and Latin America
|
||||||||
|
|
Traditional
|
|
|||||||||||||
Revenues:
|
|
|
|
|
|
|
|
|
||||||||
Net premiums
|
|
$
|
1,170,931
|
|
|
$
|
5,941
|
|
|
$
|
—
|
|
|
$
|
1,176,872
|
|
Investment income, net of related expenses
|
|
163,390
|
|
|
155,364
|
|
|
1,194
|
|
|
319,948
|
|
||||
Investment related gains (losses), net
|
|
3,360
|
|
|
(15,075
|
)
|
|
—
|
|
|
(11,715
|
)
|
||||
Other revenues
|
|
4,567
|
|
|
26,634
|
|
|
17,717
|
|
|
48,918
|
|
||||
Total revenues
|
|
1,342,248
|
|
|
172,864
|
|
|
18,911
|
|
|
1,534,023
|
|
||||
Benefits and expenses:
|
|
|
|
|
|
|
|
|
||||||||
Claims and other policy benefits
|
|
1,041,390
|
|
|
19,983
|
|
|
—
|
|
|
1,061,373
|
|
||||
Interest credited
|
|
21,875
|
|
|
59,042
|
|
|
—
|
|
|
80,917
|
|
||||
Policy acquisition costs and other insurance expenses
|
|
169,035
|
|
|
32,976
|
|
|
2,522
|
|
|
204,533
|
|
||||
Other operating expenses
|
|
27,155
|
|
|
5,113
|
|
|
1,746
|
|
|
34,014
|
|
||||
Total benefits and expenses
|
|
1,259,455
|
|
|
117,114
|
|
|
4,268
|
|
|
1,380,837
|
|
||||
Income before income taxes
|
|
$
|
82,793
|
|
|
$
|
55,750
|
|
|
$
|
14,643
|
|
|
$
|
153,186
|
|
For the six months ended June 30, 2016:
|
|
|
|
Non-Traditional
|
|
|
||||||||||
(dollars in thousands)
|
|
|
|
Asset-Intensive
|
|
Financial
Reinsurance
|
|
Total U.S. and Latin America
|
||||||||
|
|
Traditional
|
|
|||||||||||||
Revenues:
|
|
|
|
|
|
|
|
|
||||||||
Net premiums
|
|
$
|
2,541,789
|
|
|
$
|
11,881
|
|
|
$
|
—
|
|
|
$
|
2,553,670
|
|
Investment income, net of related expenses
|
|
347,261
|
|
|
294,896
|
|
|
4,993
|
|
|
647,150
|
|
||||
Investment related gains (losses), net
|
|
(2,982
|
)
|
|
(51,721
|
)
|
|
—
|
|
|
(54,703
|
)
|
||||
Other revenues
|
|
8,752
|
|
|
47,389
|
|
|
36,544
|
|
|
92,685
|
|
||||
Total revenues
|
|
2,894,820
|
|
|
302,445
|
|
|
41,537
|
|
|
3,238,802
|
|
||||
Benefits and expenses:
|
|
|
|
|
|
|
|
|
||||||||
Claims and other policy benefits
|
|
2,269,107
|
|
|
39,340
|
|
|
—
|
|
|
2,308,447
|
|
||||
Interest credited
|
|
42,245
|
|
|
130,994
|
|
|
—
|
|
|
173,239
|
|
||||
Policy acquisition costs and other insurance expenses
|
|
359,363
|
|
|
57,422
|
|
|
5,653
|
|
|
422,438
|
|
||||
Other operating expenses
|
|
61,577
|
|
|
11,540
|
|
|
5,075
|
|
|
78,192
|
|
||||
Total benefits and expenses
|
|
2,732,292
|
|
|
239,296
|
|
|
10,728
|
|
|
2,982,316
|
|
||||
Income before income taxes
|
|
$
|
162,528
|
|
|
$
|
63,149
|
|
|
$
|
30,809
|
|
|
$
|
256,486
|
|
|
|
|
|
|
|
|
|
|
||||||||
For the six months ended June 30, 2015:
|
|
|
|
Non-Traditional
|
|
|
||||||||||
(dollars in thousands)
|
|
|
|
Asset-Intensive
|
|
Financial
Reinsurance
|
|
Total U.S. and Latin America
|
||||||||
|
|
Traditional
|
|
|||||||||||||
Revenues:
|
|
|
|
|
|
|
|
|
||||||||
Net premiums
|
|
$
|
2,285,025
|
|
|
$
|
10,982
|
|
|
$
|
—
|
|
|
$
|
2,296,007
|
|
Investment income, net of related expenses
|
|
306,395
|
|
|
303,201
|
|
|
2,339
|
|
|
611,935
|
|
||||
Investment related gains (losses), net
|
|
887
|
|
|
(18,274
|
)
|
|
—
|
|
|
(17,387
|
)
|
||||
Other revenues
|
|
5,231
|
|
|
53,178
|
|
|
33,022
|
|
|
91,431
|
|
||||
Total revenues
|
|
2,597,538
|
|
|
349,087
|
|
|
35,361
|
|
|
2,981,986
|
|
||||
Benefits and expenses:
|
|
|
|
|
|
|
|
|
||||||||
Claims and other policy benefits
|
|
2,080,797
|
|
|
26,709
|
|
|
—
|
|
|
2,107,506
|
|
||||
Interest credited
|
|
34,819
|
|
|
154,027
|
|
|
—
|
|
|
188,846
|
|
||||
Policy acquisition costs and other insurance expenses
|
|
327,602
|
|
|
61,030
|
|
|
4,938
|
|
|
393,570
|
|
||||
Other operating expenses
|
|
53,684
|
|
|
9,431
|
|
|
3,415
|
|
|
66,530
|
|
||||
Total benefits and expenses
|
|
2,496,902
|
|
|
251,197
|
|
|
8,353
|
|
|
2,756,452
|
|
||||
Income before income taxes
|
|
$
|
100,636
|
|
|
$
|
97,890
|
|
|
$
|
27,008
|
|
|
$
|
225,534
|
|
(dollars in thousands)
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Revenues:
|
|
|
|
|
|
|
|
|
||||||||
Total revenues
|
|
$
|
284,728
|
|
|
$
|
172,864
|
|
|
$
|
302,445
|
|
|
$
|
349,087
|
|
Less:
|
|
|
|
|
|
|
|
|
||||||||
Embedded derivatives – modco/funds withheld treaties
|
|
77,848
|
|
|
(26,456
|
)
|
|
(12,366
|
)
|
|
(26,309
|
)
|
||||
Guaranteed minimum benefit riders and related free standing derivatives
|
|
2,923
|
|
|
10,619
|
|
|
(12,063
|
)
|
|
6,052
|
|
||||
Revenues before certain derivatives
|
|
203,957
|
|
|
188,701
|
|
|
326,874
|
|
|
369,344
|
|
||||
Benefits and expenses:
|
|
|
|
|
|
|
|
|
||||||||
Total benefits and expenses
|
|
190,749
|
|
|
117,114
|
|
|
239,296
|
|
|
251,197
|
|
||||
Less:
|
|
|
|
|
|
|
|
|
||||||||
Embedded derivatives – modco/funds withheld treaties
|
|
48,033
|
|
|
(17,072
|
)
|
|
(3,021
|
)
|
|
(15,416
|
)
|
||||
Guaranteed minimum benefit riders and related free standing derivatives
|
|
2,545
|
|
|
3,340
|
|
|
(304
|
)
|
|
2,190
|
|
||||
Equity-indexed annuities
|
|
(7,359
|
)
|
|
(4,305
|
)
|
|
5,901
|
|
|
1,296
|
|
||||
Benefits and expenses before certain derivatives
|
|
147,530
|
|
|
135,151
|
|
|
236,720
|
|
|
263,127
|
|
||||
Income before income taxes:
|
|
|
|
|
|
|
|
|
||||||||
Income before income taxes
|
|
93,979
|
|
|
55,750
|
|
|
63,149
|
|
|
97,890
|
|
||||
Less:
|
|
|
|
|
|
|
|
|
||||||||
Embedded derivatives – modco/funds withheld treaties
|
|
29,815
|
|
|
(9,384
|
)
|
|
(9,345
|
)
|
|
(10,893
|
)
|
||||
Guaranteed minimum benefit riders and related free standing derivatives
|
|
378
|
|
|
7,279
|
|
|
(11,759
|
)
|
|
3,862
|
|
||||
Equity-indexed annuities
|
|
7,359
|
|
|
4,305
|
|
|
(5,901
|
)
|
|
(1,296
|
)
|
||||
Income before income taxes and certain derivatives
|
|
$
|
56,427
|
|
|
$
|
53,550
|
|
|
$
|
90,154
|
|
|
$
|
106,217
|
|
(dollars in thousands)
|
Three months ended June 30,
|
||||||||||||||||||||||
|
2016
|
|
2015
|
||||||||||||||||||||
Revenues:
|
Traditional
|
|
Non-Traditional
|
|
Total Canada
|
|
Traditional
|
|
Non-Traditional
|
|
Total Canada
|
||||||||||||
Net premiums
|
$
|
240,107
|
|
|
$
|
10,192
|
|
|
$
|
250,299
|
|
|
$
|
224,960
|
|
|
$
|
9,725
|
|
|
$
|
234,685
|
|
Investment income, net of related expenses
|
46,859
|
|
|
228
|
|
|
47,087
|
|
|
45,751
|
|
|
328
|
|
|
46,079
|
|
||||||
Investment related gains (losses), net
|
2,285
|
|
|
—
|
|
|
2,285
|
|
|
(167
|
)
|
|
—
|
|
|
(167
|
)
|
||||||
Other revenues
|
(339
|
)
|
|
1,434
|
|
|
1,095
|
|
|
(454
|
)
|
|
1,405
|
|
|
951
|
|
||||||
Total revenues
|
288,912
|
|
|
11,854
|
|
|
300,766
|
|
|
270,090
|
|
|
11,458
|
|
|
281,548
|
|
||||||
Benefits and expenses:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Claims and other policy benefits
|
176,478
|
|
|
8,834
|
|
|
185,312
|
|
|
185,742
|
|
|
7,904
|
|
|
193,646
|
|
||||||
Interest credited
|
7
|
|
|
—
|
|
|
7
|
|
|
5
|
|
|
—
|
|
|
5
|
|
||||||
Policy acquisition costs and other insurance expenses
|
60,021
|
|
|
513
|
|
|
60,534
|
|
|
53,371
|
|
|
148
|
|
|
53,519
|
|
||||||
Other operating expenses
|
9,097
|
|
|
379
|
|
|
9,476
|
|
|
8,236
|
|
|
312
|
|
|
8,548
|
|
||||||
Total benefits and expenses
|
245,603
|
|
|
9,726
|
|
|
255,329
|
|
|
247,354
|
|
|
8,364
|
|
|
255,718
|
|
||||||
Income before income taxes
|
$
|
43,309
|
|
|
$
|
2,128
|
|
|
$
|
45,437
|
|
|
$
|
22,736
|
|
|
$
|
3,094
|
|
|
$
|
25,830
|
|
(dollars in thousands)
|
Six months ended June 30,
|
||||||||||||||||||||||
|
2016
|
|
2015
|
||||||||||||||||||||
Revenues:
|
Traditional
|
|
Non-Traditional
|
|
Total Canada
|
|
Traditional
|
|
Non-Traditional
|
|
Total Canada
|
||||||||||||
Net premiums
|
$
|
455,570
|
|
|
$
|
19,143
|
|
|
$
|
474,713
|
|
|
$
|
437,510
|
|
|
$
|
19,692
|
|
|
$
|
457,202
|
|
Investment income, net of related expenses
|
88,882
|
|
|
612
|
|
|
89,494
|
|
|
95,191
|
|
|
878
|
|
|
96,069
|
|
||||||
Investment related gains (losses), net
|
3,925
|
|
|
—
|
|
|
3,925
|
|
|
1,291
|
|
|
—
|
|
|
1,291
|
|
||||||
Other revenues
|
(1,465
|
)
|
|
2,783
|
|
|
1,318
|
|
|
1,102
|
|
|
2,762
|
|
|
3,864
|
|
||||||
Total revenues
|
546,912
|
|
|
22,538
|
|
|
569,450
|
|
|
535,094
|
|
|
23,332
|
|
|
558,426
|
|
||||||
Benefits and expenses:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Claims and other policy benefits
|
348,879
|
|
|
18,438
|
|
|
367,317
|
|
|
369,276
|
|
|
15,203
|
|
|
384,479
|
|
||||||
Interest credited
|
9
|
|
|
—
|
|
|
9
|
|
|
9
|
|
|
—
|
|
|
9
|
|
||||||
Policy acquisition costs and other insurance expenses
|
117,159
|
|
|
717
|
|
|
117,876
|
|
|
102,922
|
|
|
255
|
|
|
103,177
|
|
||||||
Other operating expenses
|
17,461
|
|
|
663
|
|
|
18,124
|
|
|
17,424
|
|
|
649
|
|
|
18,073
|
|
||||||
Total benefits and expenses
|
483,508
|
|
|
19,818
|
|
|
503,326
|
|
|
489,631
|
|
|
16,107
|
|
|
505,738
|
|
||||||
Income before income taxes
|
$
|
63,404
|
|
|
$
|
2,720
|
|
|
$
|
66,124
|
|
|
$
|
45,463
|
|
|
$
|
7,225
|
|
|
$
|
52,688
|
|
(dollars in thousands)
|
Three months ended June 30,
|
||||||||||||||||||||||
|
2016
|
|
2015
|
||||||||||||||||||||
Revenues:
|
Traditional
|
|
Non-Traditional
|
|
Total EMEA
|
|
Traditional
|
|
Non-Traditional
|
|
Total EMEA
|
||||||||||||
Net premiums
|
$
|
286,861
|
|
|
$
|
43,484
|
|
|
$
|
330,345
|
|
|
$
|
275,745
|
|
|
$
|
50,234
|
|
|
$
|
325,979
|
|
Investment income, net of related expenses
|
13,321
|
|
|
33,417
|
|
|
46,738
|
|
|
13,092
|
|
|
15,782
|
|
|
28,874
|
|
||||||
Investment related gains (losses), net
|
—
|
|
|
1,468
|
|
|
1,468
|
|
|
(4,509
|
)
|
|
50
|
|
|
(4,459
|
)
|
||||||
Other revenues
|
1,460
|
|
|
2,608
|
|
|
4,068
|
|
|
(136
|
)
|
|
9,242
|
|
|
9,106
|
|
||||||
Total revenues
|
301,642
|
|
|
80,977
|
|
|
382,619
|
|
|
284,192
|
|
|
75,308
|
|
|
359,500
|
|
||||||
Benefits and expenses:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Claims and other policy benefits
|
252,336
|
|
|
44,004
|
|
|
296,340
|
|
|
240,942
|
|
|
39,849
|
|
|
280,791
|
|
||||||
Interest credited
|
—
|
|
|
2,966
|
|
|
2,966
|
|
|
(4,048
|
)
|
|
—
|
|
|
(4,048
|
)
|
||||||
Policy acquisition costs and other insurance expenses
|
17,550
|
|
|
723
|
|
|
18,273
|
|
|
14,183
|
|
|
266
|
|
|
14,449
|
|
||||||
Other operating expenses
|
24,922
|
|
|
5,815
|
|
|
30,737
|
|
|
23,956
|
|
|
3,761
|
|
|
27,717
|
|
||||||
Total benefits and expenses
|
294,808
|
|
|
53,508
|
|
|
348,316
|
|
|
275,033
|
|
|
43,876
|
|
|
318,909
|
|
||||||
Income before income taxes
|
$
|
6,834
|
|
|
$
|
27,469
|
|
|
$
|
34,303
|
|
|
$
|
9,159
|
|
|
$
|
31,432
|
|
|
$
|
40,591
|
|
(dollars in thousands)
|
Six months ended June 30,
|
||||||||||||||||||||||
|
2016
|
|
2015
|
||||||||||||||||||||
Revenues:
|
Traditional
|
|
Non-Traditional
|
|
Total EMEA
|
|
Traditional
|
|
Non-Traditional
|
|
Total EMEA
|
||||||||||||
Net premiums
|
$
|
563,296
|
|
|
$
|
79,090
|
|
|
$
|
642,386
|
|
|
$
|
545,491
|
|
|
$
|
80,094
|
|
|
$
|
625,585
|
|
Investment income, net of related expenses
|
25,489
|
|
|
62,101
|
|
|
87,590
|
|
|
25,181
|
|
|
32,659
|
|
|
57,840
|
|
||||||
Investment related gains (losses), net
|
5
|
|
|
464
|
|
|
469
|
|
|
7,748
|
|
|
901
|
|
|
8,649
|
|
||||||
Other revenues
|
2,486
|
|
|
7,078
|
|
|
9,564
|
|
|
1,004
|
|
|
17,030
|
|
|
18,034
|
|
||||||
Total revenues
|
591,276
|
|
|
148,733
|
|
|
740,009
|
|
|
579,424
|
|
|
130,684
|
|
|
710,108
|
|
||||||
Benefits and expenses:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Claims and other policy benefits
|
503,579
|
|
|
80,447
|
|
|
584,026
|
|
|
476,249
|
|
|
71,930
|
|
|
548,179
|
|
||||||
Interest credited
|
—
|
|
|
3,374
|
|
|
3,374
|
|
|
8,301
|
|
|
—
|
|
|
8,301
|
|
||||||
Policy acquisition costs and other insurance expenses
|
32,332
|
|
|
530
|
|
|
32,862
|
|
|
26,191
|
|
|
(264
|
)
|
|
25,927
|
|
||||||
Other operating expenses
|
49,647
|
|
|
11,489
|
|
|
61,136
|
|
|
49,042
|
|
|
7,952
|
|
|
56,994
|
|
||||||
Total benefits and expenses
|
585,558
|
|
|
95,840
|
|
|
681,398
|
|
|
559,783
|
|
|
79,618
|
|
|
639,401
|
|
||||||
Income before income taxes
|
$
|
5,718
|
|
|
$
|
52,893
|
|
|
$
|
58,611
|
|
|
$
|
19,641
|
|
|
$
|
51,066
|
|
|
$
|
70,707
|
|
(dollars in thousands)
|
Three months ended June 30,
|
||||||||||||||||||||||
|
2016
|
|
2015
|
||||||||||||||||||||
Revenues:
|
Traditional
|
|
Non-Traditional
|
|
Total Asia Pacific
|
|
Traditional
|
|
Non-Traditional
|
|
Total Asia Pacific
|
||||||||||||
Net premiums
|
$
|
454,629
|
|
|
$
|
(1,493
|
)
|
|
$
|
453,136
|
|
|
$
|
390,456
|
|
|
$
|
898
|
|
|
$
|
391,354
|
|
Investment income, net of related expenses
|
20,461
|
|
|
5,885
|
|
|
26,346
|
|
|
20,043
|
|
|
3,888
|
|
|
23,931
|
|
||||||
Investment related gains (losses), net
|
—
|
|
|
6,527
|
|
|
6,527
|
|
|
—
|
|
|
(1,549
|
)
|
|
(1,549
|
)
|
||||||
Other revenues
|
2,481
|
|
|
6,126
|
|
|
8,607
|
|
|
815
|
|
|
3,839
|
|
|
4,654
|
|
||||||
Total revenues
|
477,571
|
|
|
17,045
|
|
|
494,616
|
|
|
411,314
|
|
|
7,076
|
|
|
418,390
|
|
||||||
Benefits and expenses:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Claims and other policy benefits
|
338,447
|
|
|
8,237
|
|
|
346,684
|
|
|
325,667
|
|
|
4,706
|
|
|
330,373
|
|
||||||
Interest credited
|
—
|
|
|
3,136
|
|
|
3,136
|
|
|
—
|
|
|
169
|
|
|
169
|
|
||||||
Policy acquisition costs and other insurance expenses
|
67,908
|
|
|
1,667
|
|
|
69,575
|
|
|
49,335
|
|
|
419
|
|
|
49,754
|
|
||||||
Other operating expenses
|
36,734
|
|
|
4,078
|
|
|
40,812
|
|
|
31,997
|
|
|
3,187
|
|
|
35,184
|
|
||||||
Total benefits and expenses
|
443,089
|
|
|
17,118
|
|
|
460,207
|
|
|
406,999
|
|
|
8,481
|
|
|
415,480
|
|
||||||
Income (loss) before income taxes
|
$
|
34,482
|
|
|
$
|
(73
|
)
|
|
$
|
34,409
|
|
|
$
|
4,315
|
|
|
$
|
(1,405
|
)
|
|
$
|
2,910
|
|
(dollars in thousands)
|
Six months ended June 30,
|
||||||||||||||||||||||
|
2016
|
|
2015
|
||||||||||||||||||||
Revenues:
|
Traditional
|
|
Non-Traditional
|
|
Total Asia Pacific
|
|
Traditional
|
|
Non-Traditional
|
|
Total Asia Pacific
|
||||||||||||
Net premiums
|
$
|
828,771
|
|
|
$
|
4,193
|
|
|
$
|
832,964
|
|
|
$
|
762,601
|
|
|
$
|
11,180
|
|
|
$
|
773,781
|
|
Investment income, net of related expenses
|
40,328
|
|
|
12,259
|
|
|
52,587
|
|
|
40,647
|
|
|
7,537
|
|
|
48,184
|
|
||||||
Investment related gains (losses), net
|
14
|
|
|
8,214
|
|
|
8,228
|
|
|
—
|
|
|
(1,027
|
)
|
|
(1,027
|
)
|
||||||
Other revenues
|
2,657
|
|
|
12,450
|
|
|
15,107
|
|
|
1,941
|
|
|
8,956
|
|
|
10,897
|
|
||||||
Total revenues
|
871,770
|
|
|
37,116
|
|
|
908,886
|
|
|
805,189
|
|
|
26,646
|
|
|
831,835
|
|
||||||
Benefits and expenses:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Claims and other policy benefits
|
612,745
|
|
|
11,710
|
|
|
624,455
|
|
|
590,976
|
|
|
10,441
|
|
|
601,417
|
|
||||||
Interest credited
|
—
|
|
|
6,166
|
|
|
6,166
|
|
|
—
|
|
|
353
|
|
|
353
|
|
||||||
Policy acquisition costs and other insurance expenses
|
112,275
|
|
|
2,954
|
|
|
115,229
|
|
|
96,247
|
|
|
965
|
|
|
97,212
|
|
||||||
Other operating expenses
|
71,108
|
|
|
7,806
|
|
|
78,914
|
|
|
61,003
|
|
|
6,147
|
|
|
67,150
|
|
||||||
Total benefits and expenses
|
796,128
|
|
|
28,636
|
|
|
824,764
|
|
|
748,226
|
|
|
17,906
|
|
|
766,132
|
|
||||||
Income before income taxes
|
$
|
75,642
|
|
|
$
|
8,480
|
|
|
$
|
84,122
|
|
|
$
|
56,963
|
|
|
$
|
8,740
|
|
|
$
|
65,703
|
|
(dollars in thousands)
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Revenues:
|
|
|
|
|
|
|
|
|
||||||||
Net premiums
|
|
$
|
108
|
|
|
$
|
153
|
|
|
$
|
217
|
|
|
$
|
320
|
|
Investment income, net of related expenses
|
|
25,190
|
|
|
31,707
|
|
|
48,111
|
|
|
63,402
|
|
||||
Investment related gains (losses), net
|
|
32,036
|
|
|
1,712
|
|
|
39,459
|
|
|
(121
|
)
|
||||
Other revenues
|
|
4,653
|
|
|
3,307
|
|
|
6,702
|
|
|
4,997
|
|
||||
Total revenues
|
|
61,987
|
|
|
36,879
|
|
|
94,489
|
|
|
68,598
|
|
||||
Benefits and expenses:
|
|
|
|
|
|
|
|
|
||||||||
Claims and other policy benefits
|
|
(6
|
)
|
|
—
|
|
|
21
|
|
|
53
|
|
||||
Interest credited
|
|
459
|
|
|
203
|
|
|
966
|
|
|
415
|
|
||||
Policy acquisition costs and other insurance income
|
|
(25,149
|
)
|
|
(21,843
|
)
|
|
(48,961
|
)
|
|
(42,431
|
)
|
||||
Other operating expenses
|
|
40,975
|
|
|
26,137
|
|
|
80,953
|
|
|
44,471
|
|
||||
Interest expense
|
|
20,331
|
|
|
35,851
|
|
|
53,138
|
|
|
71,478
|
|
||||
Collateral finance and securitization expense
|
|
6,587
|
|
|
5,258
|
|
|
12,912
|
|
|
11,329
|
|
||||
Total benefits and expenses
|
|
43,197
|
|
|
45,606
|
|
|
99,029
|
|
|
85,315
|
|
||||
Income (loss) before income taxes
|
|
$
|
18,790
|
|
|
$
|
(8,727
|
)
|
|
$
|
(4,540
|
)
|
|
$
|
(16,717
|
)
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
|
|
2016
|
|
2015
|
|
2016
|
|
2015
|
||||||||
Interest expense
|
|
$
|
28,351
|
|
|
$
|
44,230
|
|
|
$
|
68,874
|
|
|
$
|
88,252
|
|
Capital contributions to subsidiaries
|
|
41,000
|
|
|
2,504
|
|
|
41,000
|
|
|
2,504
|
|
||||
Dividends to shareholders
|
|
23,727
|
|
|
21,850
|
|
|
47,746
|
|
|
44,519
|
|
||||
Interest and dividend income
|
|
32,844
|
|
|
37,851
|
|
|
55,893
|
|
|
61,694
|
|
||||
Issuance of unaffiliated debt
|
|
799,984
|
|
|
—
|
|
|
799,984
|
|
|
—
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||
Cash and invested assets
|
$
|
1,338,424
|
|
|
$
|
720,068
|
|
|
Six months ended June 30,
|
||||||
|
2016
|
|
2015
|
||||
Dividends to shareholders
|
$
|
47,746
|
|
|
$
|
44,519
|
|
Repurchases of treasury stock
|
116,088
|
|
|
253,604
|
|
||
Total amount paid to shareholders
|
$
|
163,834
|
|
|
$
|
298,123
|
|
|
|
|
|
||||
Number of shares repurchased
|
1,352,211
|
|
|
2,791,360
|
|
||
Average price per share
|
$
|
85.85
|
|
|
$
|
90.85
|
|
|
|
For the six months ended June 30,
|
||||||
|
|
2016
|
|
2015
|
||||
|
|
(Dollars in thousands)
|
||||||
Sources:
|
|
|
|
|||||
|
Net cash provided by operating activities
|
$
|
594,446
|
|
|
$
|
605,692
|
|
|
Proceeds from issuance of collateral finance and securitization notes
|
—
|
|
|
160,060
|
|
||
|
Proceeds from long-term debt issuance
|
799,984
|
|
|
—
|
|
||
|
Exercise of stock options, net
|
5,219
|
|
|
12,641
|
|
||
|
Change in cash collateral for derivative positions and other arrangements
|
57,055
|
|
|
—
|
|
||
|
Cash provided by changes in universal life and other
|
|
|
|
||||
|
investment type policies and contracts
|
304,936
|
|
|
—
|
|
||
|
Effect of exchange rate changes on cash
|
19,795
|
|
|
—
|
|
||
|
Total sources
|
1,781,435
|
|
|
778,393
|
|
||
|
|
|
|
|
||||
Uses:
|
|
|
|
|||||
|
Net cash used in investing activities
|
2,058,207
|
|
|
473,037
|
|
||
|
Dividends to stockholders
|
47,746
|
|
|
44,519
|
|
||
|
Repayment of collateral finance and securitization notes
|
35,369
|
|
|
17,632
|
|
||
|
Debt issuance costs
|
9,026
|
|
|
1,170
|
|
||
|
Principal payments of long-term debt
|
1,227
|
|
|
1,178
|
|
||
|
Purchases of treasury stock
|
120,806
|
|
|
262,515
|
|
||
|
Change in cash collateral for derivatives and other arrangements
|
—
|
|
|
31,244
|
|
||
|
Cash used for changes in universal life and other
|
|
|
|
||||
|
investment type policies and contracts
|
—
|
|
|
230,921
|
|
||
|
Effect of exchange rate changes on cash
|
—
|
|
|
26,185
|
|
||
|
Total uses
|
2,272,381
|
|
|
1,088,401
|
|
||
Net change in cash and cash equivalents
|
$
|
(490,946
|
)
|
|
$
|
(310,008
|
)
|
|
|
June 30, 2016
|
|
% of Total
|
|
December 31, 2015
|
|
% of Total
|
||||||
Fixed maturity securities, available-for-sale
|
|
$
|
33,160,976
|
|
|
70.9
|
%
|
|
$
|
29,642,905
|
|
|
68.1
|
%
|
Mortgage loans on real estate
|
|
3,377,039
|
|
|
7.2
|
|
|
3,129,951
|
|
|
7.2
|
|
||
Policy loans
|
|
1,445,410
|
|
|
3.1
|
|
|
1,468,796
|
|
|
3.4
|
|
||
Funds withheld at interest
|
|
5,899,289
|
|
|
12.6
|
|
|
5,880,203
|
|
|
13.5
|
|
||
Short-term investments
|
|
195,979
|
|
|
0.4
|
|
|
558,284
|
|
|
1.3
|
|
||
Other invested assets
|
|
1,682,143
|
|
|
3.6
|
|
|
1,298,120
|
|
|
3.0
|
|
||
Cash and cash equivalents
|
|
1,034,329
|
|
|
2.2
|
|
|
1,525,275
|
|
|
3.5
|
|
||
Total cash and invested assets
|
|
$
|
46,795,165
|
|
|
100.0
|
%
|
|
$
|
43,503,534
|
|
|
100.0
|
%
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||||||||
|
2016
|
|
2015
|
|
Increase/
(Decrease)
|
|
2016
|
|
2015
|
|
Increase/
(Decrease)
|
||||||||||
Average invested assets at amortized cost
|
$
|
23,216,459
|
|
|
$
|
21,029,197
|
|
|
10.4
|
%
|
|
$
|
22,669,219
|
|
|
$
|
20,926,385
|
|
|
8.3
|
%
|
Net investment income
|
268,747
|
|
|
252,131
|
|
|
6.6
|
%
|
|
514,046
|
|
|
499,369
|
|
|
2.9
|
%
|
||||
Investment yield (ratio of net investment income to average invested assets)
|
4.71
|
%
|
|
4.88
|
%
|
|
(17) bps
|
|
|
4.59
|
%
|
|
4.83
|
%
|
|
(24) bps
|
|
|
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||||||||
NAIC
Designation
|
|
Rating Agency
Designation
|
|
Amortized Cost
|
|
Estimated
Fair Value
|
|
% of Total
|
|
Amortized Cost
|
|
Estimated
Fair Value
|
|
% of Total
|
||||||||||
1
|
|
AAA/AA/A
|
|
$
|
19,755,011
|
|
|
$
|
22,392,311
|
|
|
67.5
|
%
|
|
$
|
17,801,017
|
|
|
$
|
19,231,535
|
|
|
64.8
|
%
|
2
|
|
BBB
|
|
8,679,819
|
|
|
9,130,971
|
|
|
27.5
|
|
|
8,838,444
|
|
|
8,830,172
|
|
|
29.8
|
|
||||
3
|
|
BB
|
|
1,012,092
|
|
|
1,018,629
|
|
|
3.1
|
|
|
1,054,449
|
|
|
1,001,614
|
|
|
3.4
|
|
||||
4
|
|
B
|
|
456,457
|
|
|
431,649
|
|
|
1.3
|
|
|
399,417
|
|
|
359,591
|
|
|
1.2
|
|
||||
5
|
|
CCC and lower
|
|
143,675
|
|
|
135,927
|
|
|
0.4
|
|
|
207,351
|
|
|
197,498
|
|
|
0.7
|
|
||||
6
|
|
In or near default
|
|
29,830
|
|
|
51,489
|
|
|
0.2
|
|
|
22,299
|
|
|
22,495
|
|
|
0.1
|
|
||||
|
|
Total
|
|
$
|
30,076,884
|
|
|
$
|
33,160,976
|
|
|
100.0
|
%
|
|
$
|
28,322,977
|
|
|
$
|
29,642,905
|
|
|
100.0
|
%
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||||
|
|
Amortized Cost
|
|
Estimated
Fair Value
|
|
Amortized Cost
|
|
Estimated
Fair Value
|
||||||||
Residential mortgage-backed securities:
|
|
|
|
|
|
|
|
|
||||||||
Agency
|
|
$
|
601,728
|
|
|
$
|
659,526
|
|
|
$
|
602,524
|
|
|
$
|
634,077
|
|
Non-agency
|
|
623,990
|
|
|
633,252
|
|
|
675,474
|
|
|
677,400
|
|
||||
Total residential mortgage-backed securities
|
|
1,225,718
|
|
|
1,292,778
|
|
|
1,277,998
|
|
|
1,311,477
|
|
||||
Commercial mortgage-backed securities
|
|
1,441,091
|
|
|
1,507,693
|
|
|
1,456,848
|
|
|
1,483,087
|
|
||||
Asset-backed securities
|
|
1,377,736
|
|
|
1,356,677
|
|
|
1,219,000
|
|
|
1,212,676
|
|
||||
Total
|
|
$
|
4,044,545
|
|
|
$
|
4,157,148
|
|
|
$
|
3,953,846
|
|
|
$
|
4,007,240
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
2016
|
|
2015
|
|
2016
|
|
2015
|
|||||||||
Impairment losses on fixed maturity securities
|
$
|
846
|
|
|
$
|
4,137
|
|
|
$
|
34,663
|
|
|
$
|
6,664
|
|
Other impairment losses
|
114
|
|
|
45
|
|
|
2,163
|
|
|
4,554
|
|
||||
Change in mortgage loan provision
|
(325
|
)
|
|
(188
|
)
|
|
(314
|
)
|
|
(529
|
)
|
||||
Total
|
$
|
635
|
|
|
$
|
3,994
|
|
|
$
|
36,512
|
|
|
$
|
10,689
|
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||
Total energy sector investments, estimated fair value
|
|
$
|
2,598,512
|
|
|
$
|
2,342,803
|
|
Fixed maturity and equity securities:
|
|
|
|
|
|
|
||
Amortized cost
|
|
$
|
2,404,565
|
|
|
$
|
2,378,775
|
|
Net unrealized gains (losses)
|
|
84,519
|
|
|
(157,813
|
)
|
||
Estimated fair value
|
|
$
|
2,489,084
|
|
|
$
|
2,220,962
|
|
Percentage investment grade
|
|
87.6
|
%
|
|
89.0
|
%
|
||
Net written credit default swaps, notional amount
|
|
$
|
98,908
|
|
|
$
|
110,608
|
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||
Sector:
|
|
|
|
|
||
Corporate securities
|
|
71.9
|
%
|
|
75.8
|
%
|
Canadian and Canada provincial governments
|
|
—
|
|
|
0.4
|
|
Residential mortgage-backed securities
|
|
2.9
|
|
|
1.9
|
|
Asset-backed securities
|
|
16.1
|
|
|
2.9
|
|
Commercial mortgage-backed securities
|
|
0.6
|
|
|
1.8
|
|
State and political subdivisions
|
|
3.1
|
|
|
9.2
|
|
U.S. government and agencies
|
|
—
|
|
|
1.4
|
|
Other foreign government, supranational and foreign government-sponsored enterprises
|
|
5.4
|
|
|
6.6
|
|
Total
|
|
100.0
|
%
|
|
100.0
|
%
|
Industry:
|
|
|
|
|
||
Finance
|
|
14.1
|
%
|
|
8.8
|
%
|
Asset-backed
|
|
16.1
|
|
|
2.9
|
|
Industrial
|
|
55.0
|
|
|
62.1
|
|
Mortgage-backed
|
|
3.5
|
|
|
3.7
|
|
Government
|
|
8.5
|
|
|
17.6
|
|
Utility
|
|
2.8
|
|
|
4.9
|
|
Total
|
|
100.0
|
%
|
|
100.0
|
%
|
|
|
June 30, 2016
|
|
December 31, 2015
|
||||||||||
|
|
Recorded
Investment
|
|
% of Total
|
|
Recorded
Investment
|
|
% of Total
|
||||||
Pacific
|
|
$
|
1,047,145
|
|
|
30.9
|
%
|
|
$
|
894,411
|
|
|
28.5
|
%
|
South Atlantic
|
|
691,074
|
|
|
20.4
|
|
|
663,528
|
|
|
21.2
|
|
||
Mountain
|
|
519,620
|
|
|
15.4
|
|
|
486,699
|
|
|
15.5
|
|
||
East North Central
|
|
362,421
|
|
|
10.7
|
|
|
337,002
|
|
|
10.7
|
|
||
West North Central
|
|
293,288
|
|
|
8.7
|
|
|
274,760
|
|
|
8.8
|
|
||
West South Central
|
|
269,326
|
|
|
8.0
|
|
|
237,549
|
|
|
7.6
|
|
||
Middle Atlantic
|
|
102,390
|
|
|
3.0
|
|
|
151,084
|
|
|
4.8
|
|
||
East South Central
|
|
67,251
|
|
|
2.0
|
|
|
59,630
|
|
|
1.9
|
|
||
New England
|
|
13,913
|
|
|
0.4
|
|
|
32,101
|
|
|
1.0
|
|
||
Subtotal - U.S.
|
|
3,366,428
|
|
|
99.5
|
|
|
3,136,764
|
|
|
100.0
|
|
||
Canada
|
|
17,110
|
|
|
0.5
|
|
|
—
|
|
|
—
|
|
||
Total
|
|
$
|
3,383,538
|
|
|
100.0
|
%
|
|
$
|
3,136,764
|
|
|
100.0
|
%
|
1.
|
Risk Culture: Risk management is an integral part of the Company’s culture and is embedded in RGA’s business processes in accordance with RGA’s risk philosophy. As the cornerstone of the ERM framework, a culture of prudent risk management reinforced by senior management plays a preeminent role in the effective management of risks assumed by RGA.
|
2.
|
Risk Tolerance Statements: Describes the amount of risk the Company is willing to accept, which take into account the interactions and aggregation of risks across multiple risk areas. These statements provide a framework for managing the Company from an overall risk point of view.
|
3.
|
Risk Targets and Limits: Risk Targets are established and managed in conjunction with strategic planning and set the desired range of risk that the Company seeks to assume. Risk Limits establish the maximum amount of each risk that the Company is willing to assume to remain within the Company’s risk tolerance.
|
4.
|
Risk Assessment Process: RGA uses qualitative and quantitative methods to assess key risks through a portfolio approach, which analyzes established and emerging risks in conjunction with other risks.
|
5.
|
Business Specific Limits/Controls: These limits/controls provide additional safeguards against undesired risk exposures and are embedded in business processes. Examples include: maximum retention limits, pricing and underwriting reviews, per issuer limits, concentration limits, and standard treaty language.
|
(dollars in millions)
|
|
June 30, 2016
|
|
December 31, 2015
|
||||
No guarantee minimum benefits
|
|
$
|
732
|
|
|
$
|
782
|
|
GMDB only
|
|
58
|
|
|
62
|
|
||
GMIB only
|
|
5
|
|
|
5
|
|
||
GMAB only
|
|
29
|
|
|
33
|
|
||
GMWB only
|
|
1,367
|
|
|
1,425
|
|
||
GMDB / WB
|
|
341
|
|
|
359
|
|
||
Other
|
|
20
|
|
|
22
|
|
||
Total variable annuity account values
|
|
$
|
2,552
|
|
|
$
|
2,688
|
|
Fair value of liabilities associated with living benefit riders
|
|
$
|
284
|
|
|
$
|
192
|
|
•
|
managing the growth of these operations effectively, particularly given the recent rates of growth;
|
•
|
changes in mortality and morbidity experience and the supply and demand for our products that are specific to these markets and that may be difficult to anticipate;
|
•
|
political and economic instability in the regions of the world where we operate;
|
•
|
uncertainty arising out of foreign government sovereignty over our international operations; and
|
•
|
potentially uncertain or adverse tax consequences, including the repatriation of earnings from our non-U.S. subsidiaries.
|
|
|
Total Number of Shares
Purchased (1)
|
|
Average Price Paid per
Share
|
|
Total Number of Shares
Purchased as Part of
Publicly Announced Plans
or Programs (1)
|
|
Maximum Number (or
Approximate Dollar
Value) of Shares that May
Yet Be Purchased Under
the Plan or Program
|
||||||
April 1, 2016 -
April 30, 2016
|
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
$
|
294,855,892
|
|
May 1, 2016 -
May 31, 2016
|
|
42,193
|
|
|
$
|
96.48
|
|
|
—
|
|
|
$
|
294,855,892
|
|
June 1, 2016 -
June 30, 2016
|
|
119,796
|
|
|
$
|
91.58
|
|
|
119,527
|
|
|
$
|
283,911,502
|
|
(1)
|
RGA repurchased 119,527 shares of common stock under its share repurchase program for $10.9 million during June 2016. The Company net settled - issuing 121,354 and 3,462 shares from treasury and repurchasing from recipients 42,193 and 269 shares in May and June, respectively, in settlement of income tax withholding requirements incurred by the recipients of an equity incentive award.
|
|
|
Reinsurance Group of America, Incorporated
|
|
Date: August 3, 2016
|
|
By:
|
/s/ A. Greig Woodring
|
|
|
|
A. Greig Woodring
|
|
|
|
Chief Executive Officer
|
|
|
|
(Principal Executive Officer)
|
Date: August 3, 2016
|
|
By:
|
/s/ Todd C. Larson
|
|
|
|
Todd C. Larson
|
|
|
|
Senior Executive Vice President & Chief Financial Officer
|
|
|
|
(Principal Financial and Accounting Officer)
|
|
|
|
Exhibit
Number
|
|
Description
|
|
|
|
3.1
|
|
Amended and Restated Articles of Incorporation, incorporated by reference to Exhibit 3.1 of Current Report on Form 8-K filed November 25, 2008.
|
|
|
|
3.2
|
|
Amended and Restated Bylaws, incorporated by reference to Exhibit 3.1 of Current Report on Form 8-K filed July 18, 2014.
|
|
|
|
4.1
|
|
Third Supplemental Indenture, dated as of June 8, 2016, between the Company and The Bank of New York Mellon Trust Company, N.A., as Trustee, incorporated by reference to Exhibit 4.2 to the Current Report on Form 8-K filed June 8, 2016.
|
|
|
|
4.2
|
|
Fourth Supplemental Indenture, dated as of June 8, 2016, between the Company and The Bank of New York Mellon Trust Company, N.A., as Trustee, incorporated by reference to Exhibit 4.3 to the Current Report on Form 8-K filed June 8, 2016.
|
|
|
|
4.3
|
|
Form of 3.95% Senior Note due 2026, incorporated by reference to Exhibit 4.4 to the Current Report on Form 8-K filed June 8, 2016.
|
|
|
|
4.4
|
|
Form of 5.75% Fixed-to-Floating Rate Subordinated Debenture due 2056, incorporated by reference to Exhibit 4.5 to the Current Report on Form 8-K filed June 8, 2016.
|
|
|
|
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.
|
|
|
|
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.
|
|
|
|
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.
|
|
|
|
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.
|
|
|
|
101.INS
|
|
XBRL Instance Document
|
|
|
|
101.SCH
|
|
XBRL Taxonomy Extension Schema Document
|
|
|
|
101.CAL
|
|
XBRL Taxonomy Extension Calculation Linkbase Document
|
|
|
|
101.LAB
|
|
XBRL Taxonomy Extension Label Linkbase Document
|
|
|
|
101.PRE
|
|
XBRL Taxonomy Extension Presentation Linkbase Document
|
|
|
|
101.DEF
|
|
XBRL Taxonomy Extension Definition Linkbase Document
|
1 Year Reinsurance Group of Ame... Chart |
1 Month Reinsurance Group of Ame... Chart |
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