FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 2016

Schedule of financial instruments carried at fair value categorized by input level

The categorization of fair value measurements, by input level, for our financial instruments carried at fair value on a recurring basis at September 30, 2016 is as follows (dollars in millions):



	Quoted prices in active markets for identical assets or liabilities (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets:
Fixed maturities, available for sale:
Corporate securities	$	—	$	13,588.6	$	288.5	$	13,877.1
United States Treasury securities and obligations of United States government corporations and agencies	—		286.7		—		286.7
States and political subdivisions	—		2,084.1		—		2,084.1
Debt securities issued by foreign governments	—		24.4		4.1		28.5
Asset-backed securities	—		2,664.3		56.5		2,720.8
Collateralized debt obligations	—		175.2		2.5		177.7
Commercial mortgage-backed securities	—		1,547.1		32.4		1,579.5
Mortgage pass-through securities	—		2.7		—		2.7
Collateralized mortgage obligations	—		1,053.1		12.0		1,065.1
Total fixed maturities, available for sale	—		21,426.2		396.0		21,822.2
Equity securities - corporate securities	126.9		180.5		23.9		331.3
Trading securities:
Corporate securities	—		18.7		—		18.7
United States Treasury securities and obligations of United States government corporations and agencies	—		.5		—		.5
Asset-backed securities	—		66.8		—		66.8
Collateralized debt obligations	—		2.3		—		2.3
Commercial mortgage-backed securities	—		142.0		8.3		150.3
Collateralized mortgage obligations	—		64.1		—		64.1
Equity securities	4.5		—		—		4.5
Total trading securities	4.5		294.4		8.3		307.2
Investments held by variable interest entities - corporate securities	—		1,794.4		—		1,794.4
Other invested assets - derivatives	—		84.7		—		84.7
Assets held in separate accounts	—		4.7		—		4.7
Total assets carried at fair value by category	$	131.4	$	23,784.9	$	428.2	$	24,344.5

Liabilities:
Future policy benefits - embedded derivatives associated with fixed index annuity products	$	—	$	—	$	1,145.7	$	1,145.7

The categorization of fair value measurements, by input level, for our financial instruments carried at fair value on a recurring basis at December 31, 2015 is as follows (dollars in millions):



	Quoted prices in active markets for identical assets or liabilities (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total
Assets:
Fixed maturities, available for sale:
Corporate securities	$	—	$	12,698.1	$	170.4	$	12,868.5
United States Treasury securities and obligations of United States government corporations and agencies	—		194.5		—		194.5
States and political subdivisions	—		2,104.2		—		2,104.2
Debt securities issued by foreign governments	—		20.7		—		20.7
Asset-backed securities	—		1,816.3		35.9		1,852.2
Collateralized debt obligations	—		186.7		—		186.7
Commercial mortgage-backed securities	—		1,604.2		1.1		1,605.3
Mortgage pass-through securities	—		3.3		.1		3.4
Collateralized mortgage obligations	—		1,047.4		—		1,047.4
Total fixed maturities, available for sale	—		19,675.4		207.5		19,882.9
Equity securities - corporate securities	254.9		176.1		32.0		463.0
Trading securities:
Corporate securities	—		21.5		—		21.5
United States Treasury securities and obligations of United States government corporations and agencies	—		1.9		—		1.9
Asset-backed securities	—		35.5		—		35.5
Collateralized debt obligations	—		2.1		—		2.1
Commercial mortgage-backed securities	—		118.1		39.9		158.0
Collateralized mortgage obligations	—		38.2		—		38.2
Equity securities	4.9		—		—		4.9
Total trading securities	4.9		217.3		39.9		262.1
Investments held by variable interest entities - corporate securities	—		1,633.6		—		1,633.6
Other invested assets - derivatives	1.6		41.0		—		42.6
Assets held in separate accounts	—		4.7		—		4.7
Total assets carried at fair value by category	$	261.4	$	21,748.1	$	279.4	$	22,288.9

Liabilities:
Future policy benefits - embedded derivatives associated with fixed index annuity products	$	—	$	—	$	1,057.1	$	1,057.1

Schedule of assets and liabilities measured on a recurring fair value basis

The fair value measurements for our financial instruments disclosed at fair value on a recurring basis are as follows (dollars in millions):



	September 30, 2016
	Quoted prices in active markets for identical assets or liabilities (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total estimated fair value		Total carrying amount
Assets:
Mortgage loans	$	—	$	—	$	1,867.3	$	1,867.3	$	1,749.5
Policy loans	—		—		110.8		110.8		110.8
Other invested assets:
Company-owned life insurance	—		165.5		—		165.5		165.5
Cash and cash equivalents:
Unrestricted	631.1		74.9		—		706.0		706.0
Held by variable interest entities	147.7		—		—		147.7		147.7
Liabilities:
Policyholder account balances	—		—		10,817.2		10,817.2		10,817.2
Investment borrowings	—		1,654.1		—		1,654.1		1,647.6
Borrowings related to variable interest entities	—		1,732.2		—		1,732.2		1,690.2
Notes payable – direct corporate obligations	—		934.8		—		934.8		912.5



	December 31, 2015
	Quoted prices in active markets for identical assets or liabilities (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Total estimated fair value		Total carrying amount
Assets:
Mortgage loans	$	—	$	—	$	1,772.4	$	1,772.4	$	1,721.0
Policy loans	—		—		109.4		109.4		109.4
Other invested assets:
Company-owned life insurance	—		158.1		—		158.1		158.1
Cash and cash equivalents:
Unrestricted	432.3		—		—		432.3		432.3
Held by variable interest entities	364.4		—		—		364.4		364.4
Liabilities:
Policyholder account balances	—		—		10,762.3		10,762.3		10,762.3
Investment borrowings	—		1,549.8		—		1,549.8		1,548.1
Borrowings related to variable interest entities	—		1,673.6		—		1,673.6		1,676.4
Notes payable – direct corporate obligations	—		937.8		—		937.8		911.1

The following table presents additional information about assets and liabilities measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value for the three months ended September 30, 2016 (dollars in millions):



	September 30, 2016
	Beginning balance as of June 30, 2016			Purchases, sales, issuances and settlements, net (b)			Total realized and unrealized gains (losses) included in net income		Total realized and unrealized gains (losses) included in accumulated other comprehensive income (loss)			Transfers into Level 3 (a)		Transfers out of Level 3 (a)			Ending balance as of September 30, 2016			Amount of total gains (losses) for the three months ended September 30, 2016 included in our net income relating to assets and liabilities still held as of the reporting date
Assets:
Fixed maturities, available for sale:
Corporate securities	$	174.6		$	118.8		$	—	$	(4.9	)	$	—	$	—		$	288.5		$	—
Debt securities issued by foreign governments	4.1			—			—		—			—		—			4.1			—
Asset-backed securities	39.1			5.7			—		2.1			24.6		(15.0		)	56.5			—
Collateralized debt obligations	—			2.5			—		—			—		—			2.5			—
Commercial mortgage-backed securities	1.1			17.0			—		(.1		)	14.4		—			32.4			—
Collateralized mortgage obligations	—			12.0			—		—			—		—			12.0			—
Total fixed maturities, available for sale	218.9			156.0			—		(2.9		)	39.0		(15.0		)	396.0			—
Equity securities - corporate securities	21.4			3.3			—		(.8		)	—		—			23.9			—
Trading securities - commercial mortgage-backed securities	—			—			—		(1.7		)	10.0		—			8.3			(1.7		)
Liabilities:
Future policy benefits - embedded derivatives associated with fixed index annuity products	(1,127.0		)	(37.0		)	18.3		—			—		—			(1,145.7		)	18.3

_________


(a)	Transfers into Level 3 are the result of unobservable inputs utilized within valuation methodologies for assets that were previously valued using observable inputs. Transfers out of Level 3 are due to the use of observable inputs in valuation methodologies as well as the utilization of pricing service information for certain assets that the Company is able to validate.

(b)

Purchases, sales, issuances and settlements, net, represent the activity that occurred during the period that results in a change of the asset or liability but does not represent changes in fair value for the instruments held at the beginning of the period. Such activity primarily consists of purchases and sales of fixed maturity and equity securities and changes to embedded derivative instruments related to insurance products resulting from the issuance of new contracts, or changes to existing contracts. In addition, such activity includes the investments received upon the recapture of reinsurance agreements with BRe on September 29, 2016. The following summarizes such activity for the three months ended September 30, 2016 (dollars in millions):



	Purchases			Received in reinsurance recapture		Sales			Issuances			Settlements		Purchases, sales, issuances and settlements, net
Assets:
Fixed maturities, available for sale:
Corporate securities	$	1.1		$	118.6	$	(.9	)	$	—		$	—	$	118.8
Asset-backed securities	7.0			—		(1.3		)	—			—		5.7
Collateralized debt obligations	2.5			—		—			—			—		2.5
Commercial mortgage-backed securities	17.0			—		—			—			—		17.0
Collateralized mortgage obligations	—			12.0		—			—			—		12.0
Total fixed maturities, available for sale	27.6			130.6		(2.2		)	—			—		156.0
Equity securities - corporate securities	1.1			2.2		—			—			—		3.3
Liabilities:
Future policy benefits - embedded derivatives associated with fixed index annuity products	(38.5		)	—		3.1			(14.6		)	13.0		(37.0		)

The following table presents additional information about assets and liabilities measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value for the nine months ended September 30, 2016 (dollars in millions):



	September 30, 2016
	Beginning balance as of December 31, 2015			Purchases, sales, issuances and settlements, net (b)			Total realized and unrealized gains (losses) included in net income			Total realized and unrealized gains (losses) included in accumulated other comprehensive income (loss)			Transfers into Level 3 (a)		Transfers out of Level 3 (a)			Ending balance as of September 30, 2016			Amount of total gains (losses) for the nine months ended September 30, 2016 included in our net income relating to assets and liabilities still held as of the reporting date
Assets:
Fixed maturities, available for sale:
Corporate securities	$	170.4		$	104.4		$	(7.0	)	$	7.4		$	20.3	$	(7.0	)	$	288.5		$	(5.6	)
Debt securities issued by foreign governments	—			4.0			—			.1			—		—			4.1			—
Asset-backed securities	35.9			1.7			—			4.0			28.6		(13.7		)	56.5			—
Collateralized debt obligations	—			2.5			—			—			—		—			2.5			—
Commercial mortgage-backed securities	1.1			17.0			—			.4			13.9		—			32.4			—
Mortgage pass-through securities	.1			(.1		)	—			—			—		—			—			—
Collateralized mortgage obligations	—			12.0			—			—			—		—			12.0			—
Total fixed maturities, available for sale	207.5			141.5			(7.0		)	11.9			62.8		(20.7		)	396.0			(5.6		)
Equity securities - corporate securities	32.0			5.5			(12.8		)	(.8		)	—		—			23.9			(12.8		)
Trading securities - commercial mortgage-backed securities	39.9			—			—			(1.4		)	—		(30.2		)	8.3			(1.4		)
Liabilities:
Future policy benefits - embedded derivatives associated with fixed index annuity products	(1,057.1		)	(55.3		)	(33.3		)	—			—		—			(1,145.7		)	(33.3		)

_________


(a)	Transfers into Level 3 are the result of unobservable inputs utilized within valuation methodologies for assets that were previously valued using observable inputs. Transfers out of Level 3 are due to the use of observable inputs in valuation methodologies as well as the utilization of pricing service information for certain assets that the Company is able to validate.

(b)

Purchases, sales, issuances and settlements, net, represent the activity that occurred during the period that results in a change of the asset or liability but does not represent changes in fair value for the instruments held at the beginning of the period. Such activity primarily consists of purchases and sales of fixed maturity and equity securities and changes to embedded derivative instruments related to insurance products resulting from the issuance of new contracts, or changes to existing contracts. In addition, such activity includes the investments received upon the recapture of reinsurance agreements with BRe on September 29, 2016. The following summarizes such activity for the nine months ended September 30, 2016 (dollars in millions):



	Purchases			Received in reinsurance recapture		Sales			Issuances			Settlements		Purchases, sales, issuances and settlements, net
Assets:
Fixed maturities, available for sale:
Corporate securities	$	1.1		$	118.6	$	(15.3	)	$	—		$	—	$	104.4
Debt securities issued by foreign governments	4.0			—		—			—			—		4.0
Asset-backed securities	7.0			—		(5.3		)	—			—		1.7
Collateralized debt obligations	2.5			—		—			—			—		2.5
Commercial mortgage-backed securities	17.0			—		—			—			—		17.0
Mortgage pass-through securities	—			—		(.1		)	—			—		(.1		)
Collateralized mortgage obligations	—			12.0		—			—			—		12.0
Total fixed maturities, available for sale	31.6			130.6		(20.7		)	—			—		141.5
Equity securities - corporate securities	3.3			2.2		—			—			—		5.5
Liabilities:
Future policy benefits - embedded derivatives associated with fixed index annuity products	(101.9		)	—		19.2			(17.5		)	44.9		(55.3		)



	September 30, 2015
	Beginning balance as of June 30, 2015			Purchases, sales, issuances and settlements, net (b)			Total realized and unrealized gains (losses) included in net income			Total realized and unrealized gains (losses) included in accumulated other comprehensive income (loss)			Transfers into Level 3 (a)		Transfers out of Level 3 (a)			Ending balance as of September 30, 2015			Amount of total gains (losses) for the three months ended September 30, 2015 included in our net income relating to assets and liabilities still held as of the reporting date
Assets:
Fixed maturities, available for sale:
Corporate securities	$	133.7		$	4.6		$	—		$	(3.8	)	$	11.8	$	—		$	146.3		$	—
Asset-backed securities	53.3			10.4			—			.2			—		(23.9		)	40.0			—
Commercial mortgage-backed securities	1.2			14.6			—			(.2		)	—		—			15.6			—
Mortgage pass-through securities	.2			(.1		)	—			—			—		—			.1			—
Total fixed maturities, available for sale	188.4			29.5			—			(3.8		)	11.8		(23.9		)	202.0			—
Equity securities - corporate securities	29.9			1.0			—			—			—		—			30.9			—
Trading securities - commercial mortgage-backed securities	39.9			—			—			(.6		)	—		(9.2		)	30.1			(.6		)
Liabilities:
Future policy benefits - embedded derivatives associated with fixed index annuity products	(1,074.0		)	16.1			(21.2		)	—			—		—			(1,079.1		)	(21.2		)

____________


(a)	Transfers into Level 3 are the result of unobservable inputs utilized within valuation methodologies for assets that were previously valued using observable inputs. Transfers out of Level 3 are due to the use of observable inputs in valuation methodologies as well as the utilization of pricing service information for certain assets that the Company is able to validate.

(b)

Purchases, sales, issuances and settlements, net, represent the activity that occurred during the period that results in a change of the asset or liability but does not represent changes in fair value for the instruments held at the beginning of the period. Such activity primarily consists of purchases and sales of fixed maturity and equity securities and changes to embedded derivative instruments related to insurance products resulting from the issuance of new contracts, or changes to existing contracts. The following summarizes such activity for the three months ended September 30, 2015 (dollars in millions):



	Purchases			Sales			Issuances		Settlements		Purchases, sales, issuances and settlements, net
Assets:
Fixed maturities, available for sale:
Corporate securities	$	6.0		$	(1.4	)	$	—	$	—	$	4.6
Asset-backed securities	11.0			(.6		)	—		—		10.4
Commercial mortgage-backed securities	14.6			—			—		—		14.6
Mortgage pass-through securities	—			(.1		)	—		—		(.1		)
Total fixed maturities, available for sale	31.6			(2.1		)	—		—		29.5
Equity securities - corporate securities	1.0			—			—		—		1.0
Liabilities:
Future policy benefits - embedded derivatives associated with fixed index annuity products	(38.0		)	39.0			—		15.1		16.1

The following table presents additional information about assets and liabilities measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value for the nine months ended September 30, 2015 (dollars in millions):



	September 30, 2015
	Beginning balance as of December 31, 2014			Purchases, sales, issuances and settlements, net (b)			Total realized and unrealized gains (losses) included in net income			Total realized and unrealized gains (losses) included in accumulated other comprehensive income (loss)			Transfers into Level 3 (a)		Transfers out of Level 3 (a)			Ending balance as of September 30, 2015			Amount of total gains (losses) for the nine months ended September 30, 2015 included in our net income relating to assets and liabilities still held as of the reporting date
Assets:
Fixed maturities, available for sale:
Corporate securities	$	365.9		$	(21.7	)	$	(2.2	)	$	(10.0	)	$	21.0	$	(206.7	)	$	146.3		$	—
States and political subdivisions	35.5			—			—			—			—		(35.5		)	—			—
Asset-backed securities	59.2			10.0			—			(.6		)	—		(28.6		)	40.0			—
Commercial mortgage-backed securities	1.2			14.5			—			(.1		)	—		—			15.6			—
Mortgage pass-through securities	.4			(.3		)	—			—			—		—			.1			—
Total fixed maturities, available for sale	462.2			2.5			(2.2		)	(10.7		)	21.0		(270.8		)	202.0			—
Equity securities - corporate securities	28.0			2.9			—			—			—		—			30.9			—
Trading securities - commercial mortgage-backed securities	28.6			—			—			1.5			—		—			30.1			1.5
Liabilities:
Future policy benefits - embedded derivatives associated with fixed index annuity products	(1,081.5		)	6.1			(3.7		)	—			—		—			(1,079.1		)	(3.7		)

____________


(a)	Transfers into Level 3 are the result of unobservable inputs utilized within valuation methodologies for assets that were previously valued using observable inputs. Transfers out of Level 3 are due to the use of observable inputs in valuation methodologies as well as the utilization of pricing service information for certain assets that the Company is able to validate.

(b)

Purchases, sales, issuances and settlements, net, represent the activity that occurred during the period that results in a change of the asset or liability but does not represent changes in fair value for the instruments held at the beginning of the period. Such activity primarily consists of purchases and sales of fixed maturity and equity securities and changes to embedded derivative instruments related to insurance products resulting from the issuance of new contracts, or changes to existing contracts. The following summarizes such activity for the nine months ended September 30, 2015 (dollars in millions):



	Purchases			Sales			Issuances			Settlements		Purchases, sales, issuances and settlements, net
Assets:
Fixed maturities, available for sale:
Corporate securities	$	6.1		$	(27.8	)	$	—		$	—	$	(21.7	)
Asset-backed securities	11.0			(1.0		)	—			—		10.0
Commercial mortgage-backed securities	14.5			—			—			—		14.5
Mortgage pass-through securities	—			(.3		)	—			—		(.3		)
Total fixed maturities, available for sale	31.6			(29.1		)	—			—		2.5
Equity securities - corporate securities	2.9			—			—			—		2.9
Liabilities:
Future policy benefits - embedded derivatives associated with fixed index annuity products	(101.4		)	61.4			(2.3		)	48.4		6.1

Schedule of fair value measurement inputs

The following table provides additional information about the significant unobservable (Level 3) inputs developed internally by the Company to determine fair value for certain assets and liabilities carried at fair value at September 30, 2016 (dollars in millions):



	Fair value at September 30, 2016		Valuation techniques	Unobservable inputs	Range (weighted average)
Assets:
Corporate securities (a)	$	201.1	Discounted cash flow analysis	Discount margins	2.50% - 13.00% (4.51%)
Asset-backed securities (b)	26.1		Discounted cash flow analysis	Discount margins	2.23% - 3.70% (2.90%)
Equity securities (c)	23.9		Market multiple	Projected cash flows	0.4% - 6.2% (5.9%)
Other assets categorized as Level 3 (d)	177.1		Unadjusted third-party price source	Not applicable	Not applicable
Total	428.2
Liabilities:
Future policy benefits (e)	1,145.7		Discounted projected embedded derivatives	Projected portfolio yields	5.15% - 5.61% (5.42%)
				Discount rates	0.00% - 2.48% (1.26%)
				Surrender rates	1.67% - 46.56% (14.09%)

________________________________


(a)	Corporate securities - The significant unobservable input used in the fair value measurement of our corporate securities is discount margin added to a riskless market yield. Significant increases (decreases) in discount margin in isolation would result in a significantly lower (higher) fair value measurement.


(b)	Asset-backed securities - The significant unobservable input used in the fair value measurement of these asset-backed securities is discount margin added to a riskless market yield. Significant increases (decreases) in discount margin in isolation would result in a significantly lower (higher) fair value measurement.


(c)	Equity securities - The significant unobservable input used in the fair value measurement of these equity securities is projected cash flows. Generally, increases (decreases) in the projected cash flows would result in higher (lower) fair value measurements.


(d)	Other assets categorized as Level 3 - For these assets, there were no adjustments to quoted market prices obtained from third-party pricing sources.

(e)

Future policy benefits - The significant unobservable inputs used in the fair value measurement of our embedded derivatives associated with fixed index annuity products are projected portfolio yields, discount rates and surrender rates. Increases (decreases) in projected portfolio yields in isolation would lead to a higher (lower) fair value measurement. The discount rate is based on the Treasury rate adjusted by a margin. Increases (decreases) in the discount rates would lead to a lower (higher) fair value measurement. Assumed surrender rates are used to project how long the contracts remain in force. Generally, the longer the contracts are assumed to be in force the higher the fair value of the embedded derivative.



	Fair value at December 31, 2015		Valuation techniques	Unobservable inputs	Range (weighted average)
Assets:
Corporate securities (a)	$	76.9	Discounted cash flow analysis	Discount margins	1.65% - 9.74% (5.35%)
Asset-backed securities (b)	22.2		Discounted cash flow analysis	Discount margins	2.83% - 4.45% (3.50%)
Equity security (c)	32.0		Market approach	Projected cash flows	Not applicable
Other assets categorized as Level 3 (d)	148.3		Unadjusted third-party price source	Not applicable	Not applicable
Total	279.4
Liabilities:
Future policy benefits (e)	1,057.1		Discounted projected embedded derivatives	Projected portfolio yields	5.15% - 5.61% (5.42%)
				Discount rates	0.00% - 3.18% (1.94%)
				Surrender rates	1.67% - 46.56% (14.09%)

________________________________


(a)	Corporate securities - The significant unobservable input used in the fair value measurement of our corporate securities is discount margin added to a riskless market yield. Significant increases (decreases) in discount margin in isolation would result in a significantly lower (higher) fair value measurement.


(b)	Asset-backed securities - The significant unobservable input used in the fair value measurement of these asset-backed securities is discount margin added to a riskless market yield. Significant increases (decreases) in discount margin in isolation would result in a significantly lower (higher) fair value measurement.

(c)

Equity security - This equity security represents an investment in a company that is constructing a manufacturing facility. The significant unobservable input is the cash flows that will be generated upon completion of the manufacturing facility. Given the nature of this investment, the best current indicator of value is the cost basis of the investment, which we believe approximates market value.


(d)	Other assets categorized as Level 3 - For these assets, there were no adjustments to quoted market prices obtained from third-party pricing sources.

(e)