FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)

12 Months Ended

Dec. 31, 2015

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

The following table presents the Company’s hierarchy for its assets and liabilities measured at fair value on a recurring basis as of December 31, 2015 (Successor Company):



	Level 1		Level 2		Level 3		Total
	(Dollars In Thousands)
Assets:
Fixed maturity securities - available-for-sale
Residential mortgage-backed securities	$	—	$	1,765,270	$	3	$	1,765,273
Commercial mortgage-backed securities	—		1,285,864		—		1,285,864
Other asset-backed securities	—		210,020		587,031		797,051
U.S. government-related securities	1,054,353		477,824		—		1,532,177
State, municipalities, and political subdivisions	—		1,603,600		—		1,603,600
Other government-related securities	—		17,740		—		17,740
Corporate securities	83		24,876,455		902,119		25,778,657
Preferred stock	43,073		19,614		—		62,687
Total fixed maturity securities - available-for-sale	1,097,509		30,256,387		1,489,153		32,843,049
Fixed maturity securities - trading
Residential mortgage-backed securities	—		286,658		—		286,658
Commercial mortgage-backed securities	—		146,743		—		146,743
Other asset-backed securities	—		122,511		152,912		275,423
U.S. government-related securities	233,592		4,755		—		238,347
State, municipalities, and political subdivisions	—		313,354		—		313,354
Other government-related securities	—		58,827		—		58,827
Corporate securities	—		1,322,276		18,225		1,340,501
Preferred stock	2,794		1,402		—		4,196
Total fixed maturity securities - trading	236,386		2,256,526		171,137		2,664,049
Total fixed maturity securities	1,333,895		32,512,913		1,660,290		35,507,098
Equity securities	620,358		13,063		66,504		699,925
Other long-term investments ⁽¹⁾	113,699		141,487		68,384		323,570
Short-term investments	261,659		2,178		—		263,837
Total investments	2,329,611		32,669,641		1,795,178		36,794,430
Cash	212,358		—		—		212,358
Assets related to separate accounts
Variable annuity	12,829,188		—		—		12,829,188
Variable universal life	827,610		—		—		827,610
Total assets measured at fair value on a recurring basis	$	16,198,767	$	32,669,641	$	1,795,178	$	50,663,586

Liabilities:
Annuity account balances⁽²⁾	$	—	$	—	$	92,512	$	92,512
Other liabilities ⁽¹⁾	40,067		106,310		375,848		522,225
Total liabilities measured at fair value on a recurring basis	$	40,067	$	106,310	$	468,360	$	614,737

(1) Includes certain freestanding and embedded derivatives.

(2) Represents liabilities related to fixed indexed annuities.

The following table presents the Company’s hierarchy for its assets and liabilities measured at fair value on a recurring basis as of December 31, 2014 (Predecessor Company):



	Level 1		Level 2		Level 3		Total
	(Dollars In Thousands)
Assets:
Fixed maturity securities - available-for-sale
Residential mortgage-backed securities	$	—	$	1,418,255	$	3	$	1,418,258
Commercial mortgage-backed securities	—		1,177,252		—		1,177,252
Other asset-backed securities	—		275,415		563,961		839,376
U.S. government-related securities	1,165,188		263,707		—		1,428,895
State, municipalities, and political subdivisions	—		1,684,014		3,675		1,687,689
Other government-related securities	—		20,172		—		20,172
Corporate securities	132		26,039,963		1,325,683		27,365,778
Total fixed maturity securities - available-for-sale	1,165,320		30,878,778		1,893,322		33,937,420

Fixed maturity securities - trading
Residential mortgage-backed securities	—		288,114		—		288,114
Commercial mortgage-backed securities	—		151,111		—		151,111
Other asset-backed securities	—		105,118		169,461		274,579
U.S. government-related securities	245,563		4,898		—		250,461
State, municipalities, and political subdivisions	—		325,446		—		325,446
Other government-related securities	—		57,032		—		57,032
Corporate securities	—		1,447,333		24,744		1,472,077
Total fixed maturity securities - trading	245,563		2,379,052		194,205		2,818,820
Total fixed maturity securities	1,410,883		33,257,830		2,087,527		36,756,240
Equity securities	590,832		99,267		66,691		756,790
Other long-term investments ⁽¹⁾	119,997		106,079		44,625		270,701
Short-term investments	243,436		3,281		—		246,717
Total investments	2,365,148		33,466,457		2,198,843		38,030,448
Cash	268,286		—		—		268,286
Assets related to separate accounts
Variable annuity	13,157,429		—		—		13,157,429
Variable universal life	834,940		—		—		834,940
Total assets measured at fair value on a recurring basis	$	16,625,803	$	33,466,457	$	2,198,843	$	52,291,103

Liabilities:
Annuity account balances ⁽²⁾	$	—	$	—	$	97,825	$	97,825
Other liabilities ⁽¹⁾	62,146		61,046		506,343		629,535
Total liabilities measured at fair value on a recurring basis	$	62,146	$	61,046	$	604,168	$	727,360


(1)	Includes certain freestanding and embedded derivatives.


(2)	Represents liabilities related to fixed indexed annuities.

Schedule of valuation method for material financial instruments included in Level 3, as well as the unobservable inputs used in the valuation of those financial instruments

The following table presents the valuation method for material financial instruments included in Level 3, as well as the unobservable inputs used in the valuation of those financial instruments:



	Predecessor Company
	Fair Value As of December 31, 2014		Valuation Technique	Unobservable Input	Range (Weighted Average)
	(Dollars In Thousands)
Assets:
Other asset-backed securities	$	563,752	Discounted cash flow	Liquidity premium	0.39% - 1.49% (0.69%)
				Paydown rate	9.70% - 15.80% (12.08%)
Corporate securities	1,282,864		Discounted cash flow	Spread over treasury	0.33% - 7.50% (2.19%)
Liabilities:
Embedded derivatives—GMWB⁽¹⁾	$	25,927	Actuarial cash flow model	Mortality	44.5% to 100% of 1994 MGDB table
				Lapse	0.25% - 17%, depending on product/duration/funded status of guarantee
				Utilization	97% - 101%
				Nonperformance risk	0.12% - 0.96%
Annuity account balances⁽²⁾	97,825		Actuarial cash flow model	Asset earned rate	3.86% - 5.92%
				Expenses	$88 - $102 per policy
				Withdrawal rate	2.20%
				Mortality	49% to 80% of 1994 MGDB table
				Lapse	2.2% - 33.0%, depending on duration/surrender charge period
				Return on assets	1.50% - 1.85% depending on surrender charge period
				Nonperformance risk	0.12% - 0.96%
Embedded derivative—FIA	124,465		Actuarial cash flow model	Expenses	$83 - $97 per policy
				Withdrawal rate	1.1% - 4.5% depending on duration and tax qualification
				Mortality	49% to 80% of 1994 MGDB table
				Lapse	2.2% - 40.0%, depending on duration/surrender charge period
				Nonperformance risk	0.12% - 0.96%
Embedded derivative - IUL	6,691		Actuarial cash flow model	Mortality	37% - 74% of 2008 VBT Primary Tables
				Lapse	0.5% - 10%, depending on duration/distribution channel and smoking class
				Nonperformance risk	0.12% - 0.96%


(1)	The fair value for the GMWB embedded derivative is presented as a net asset. Excludes modified coinsurance arrangements.


(2)	Represents liabilities related to fixed indexed annuities.

The following table presents the valuation method for material financial instruments included in Level 3, as well as the unobservable inputs used in the valuation of those financial instruments:



	Successor Company
	Fair Value As of December 31, 2015		Valuation Technique	Unobservable Input	Range (Weighted Average)
	(Dollars In Thousands)
Assets:
Other asset-backed securities	$	587,031	Discounted cash flow	Liquidity premium	0.27% - 1.49% (0.42%)
				Paydown rate	10.20% - 14.72% (13.11%)
Corporate securities	875,810		Discounted cash flow	Spread over treasury	0.10% - 19.00% (2.61%)
Liabilities:
Embedded derivatives—GMWB⁽¹⁾	$	18,511	Actuarial cash flow model	Mortality	1994 MGDB table with company experience
				Lapse	0.3% - 15%, depending on product/duration/funded status of guarantee
				Utilization	99%. 10% of policies have a one-time over-utilization of 400%
				Nonperformance risk	0.18% - 1.04%
Annuity account balances⁽²⁾	92,512		Actuarial cash flow model	Asset earned rate	4.53% - 5.67%
				Expenses	$81 per policy
				Withdrawal rate	2.20%
				Mortality	1994 MGDB table with company experience
				Lapse	2.2% - 33.0%, depending on duration/surrender charge period
				Return on assets	1.50% - 1.85% depending on surrender charge period
				Nonperformance risk	0.18% - 1.04%
Embedded derivative—FIA	100,329		Actuarial cash flow model	Expenses	$81.50 per policy
				Withdrawal rate	1.1% - 4.5% depending on duration and tax qualification
				Mortality	1994 MGDB table with company experience
				Lapse	2.5% - 40.0%, depending on duration/surrender charge period
				Nonperformance risk	0.18% - 1.04%
Embedded derivative—IUL	29,629		Actuarial cash flow model	Mortality	38% - 153% of 2015
					VBT Primary Tables
				Lapse	0.5% - 10.0%, depending on duration/distribution channel and smoking class
				Nonperformance risk	0.18% - 1.04%


(1)	The fair value for the GMWB embedded derivative is presented as a net liability. Excludes modified coinsurance agreements.


(2)	Represents liabilities related to fixed indexed annuities.

Schedule of reconciliation of the beginning and ending balances for fair value measurements, for which the Company has used significant unobservable inputs (Level 3)

The following table presents a reconciliation of the beginning and ending balances for fair value measurements for the year ended December 31, 2014 (Predecessor Company), for which the Company has used significant unobservable inputs (Level 3):



			Total Realized and Unrealized Gains				Total Realized and Unrealized Losses																							Total Gains (losses) included in Earnings related to Instruments still held at the Reporting Date
	Beginning Balance		Included in Earnings		Included in Other Comprehensive Income		Included in Earnings			Included in Other Comprehensive Income			Purchases		Sales			Issuances		Settlements		Transfers in/out of Level 3			Other			Ending Balance
	(Dollars In Thousands)
Assets:
Fixed maturity securities available-for-sale
Residential mortgage-backed securities	$	28	$	—	$	—	$	—		$	(1	)	$	—	$	(24	)	$	—	$	—	$	—		$	—		$	3	$	—
Commercial mortgage-backed securities	—		—				—			—			—		—			—		—		—						—		—
Other asset-backed securities	545,808		—		36,395		(248		)	(8,033		)	—		(10,064		)	—		—		—			103			563,961		—
U.S. government-related securities	—		—		—		—			—			—		—			—		—		—			—			—		—
States, municipals, and political subdivisions	3,675		—		—		—			—			—		—			—		—		—			—			3,675		—
Other government-related securities	—		—		—		—			—			—		—			—		—		—			—			—		—
Corporate securities	1,549,940		1,183		67,955		(2		)	(33,553		)	139,029		(226,073		)	—		—		(162,236		)	(10,560		)	1,325,683		—
Total fixed maturity securities - available-for-sale	2,099,451		1,183		104,350		(250		)	(41,587		)	139,029		(236,161		)	—		—		(162,236		)	(10,457		)	1,893,322		—
Fixed maturity securities - trading
Residential mortgage-backed securities	—		11		—		—			—			842		—			—		—		(853		)	—			—		—
Commercial mortgage-backed securities	—		—		—		—			—			—		—			—		—		—			—			—		—
Other asset-backed securities	194,977		9,507		—		(5,508		)	—			—		(30,462		)	—		—		—			947			169,461		1,083
U.S. government-related securities	—		—		—		—			—			—		—			—		—		—						—		—
States, municipals and political subdivisions	—		—		—		—			—			—		—			—		—		—			—			—		—
Other government-related securities	—		—		—		—			—			—		—			—		—		—			—			—		—
Corporate securities	29,199		1,294		—		(1,098		)	—			5,839		(10,770		)	—		—		4			276			24,744		(121		)
Total fixed maturity securities - trading	224,176		10,812		—		(6,606		)	—			6,681		(41,232		)	—		—		(849		)	1,223			194,205		962
Total fixed maturity securities	2,323,627		11,995		104,350		(6,856		)	(41,587		)	145,710		(277,393		)	—		—		(163,085		)	(9,234		)	2,087,527		962
Equity securities	67,979		—		1,192		—			(261		)	9,551		(1,119		)	—		—		(10,651		)	—			66,691		—
Other long-term investments⁽¹⁾	98,886		4,979		—		(59,240		)	—			—		—			—		—		—			—			44,625		(54,261		)
Short-term investments	—		—		—		—			—			—		—			—		—		—			—			—		—
Total investments	2,490,492		16,974		105,542		(66,096		)	(41,848		)	155,261		(278,512		)	—		—		(173,736		)	(9,234		)	2,198,843		(53,299		)
Total assets measured at fair value on a recurring basis	$	2,490,492	$	16,974	$	105,542	$	(66,096	)	$	(41,848	)	$	155,261	$	(278,512	)	$	—	$	—	$	(173,736	)	$	(9,234	)	$	2,198,843	$	(53,299	)

Liabilities:
Annuity account balances(2)	$	107,000	$	—	$	—	$	(4,307	)	$	—		$	—	$	—		$	685	$	14,167	$	—		$	—		$	97,825	$	—
Other liabilities(1)	233,738		22,547		—		(295,152		)	—			—		—			—		—		—			—			506,343		(272,605		)
Total liabilities measured at fair value on a recurring basis	$	340,738	$	22,547	$	—	$	(299,459	)	$	—		$	—	$	—		$	685	$	14,167	$	—		$	—		$	604,168	$	(272,605	)

(1) Represents certain freestanding and embedded derivatives.

(2) Represents liabilities related to fixed indexed annuities.

The following table presents a reconciliation of the beginning and ending balances for fair value measurements for the period of February 1, 2015 to December 31, 2015 (Successor Company), for which the Company has used significant unobservable inputs (Level 3):



			Total Realized and Unrealized Gains				Total Realized and Unrealized Losses																							Total Gains (losses) included in Earnings related to Instruments still held at the Reporting Date
	Beginning Balance		Included in Earnings		Included In Other Comprehensive Income		Included in Earnings			Included in Other Comprehensive Income			Purchases		Sales			Issuances		Settlements		Transfers in/out of Level 3			Other			Ending Balance
	(Dollars In Thousands)
Assets:
Fixed maturity securities available-for-sale
Residential mortgage-backed securities	$	3	$	—	$	—	$	—		$	—		$	—	$	—		$	—	$	—	$	—		$	—		$	3	$	—
Commercial mortgage-backed securities	—		—		—		—			—			—		—			—		—		—			—			—		—
Other asset-backed securities	603,646		—		11,040		(92		)	(17,076		)	—		(9,677		)	—		—		—			(810		)	587,031		—
U.S. government-related securities	—		—		—		—			—			—		—			—		—		—			—			—		—
States, municipals, and political subdivisions	3,675		—		—		—			—			—		(3,675		)	—		—		—			—			—		—
Other government-related securities	—		—		—		—			—			—		—			—		—		—			—			—		—
Corporate securities	1,307,259		4,367		24,490		(963		)	(52,898		)	199,924		(407,052		)	—		—		(164,588		)	(8,420		)	902,119		—
Total fixed maturity securities - available-for-sale	1,914,583		4,367		35,530		(1,055		)	(69,974		)	199,924		(420,404		)	—		—		(164,588		)	(9,230		)	1,489,153		—
Fixed maturity securities - trading
Residential mortgage-backed securities	—		—		—		—			—			—		—			—		—		—			—			—		—
Commercial mortgage-backed securities	—		—		—		—			—			—		—			—		—		—			—			—		—
Other asset-backed securities	169,473		6,260		—		(7,967		)	—			2,000		(15,154		)	—		—		(1,982		)	282			152,912		(5,804		)
U.S. government-related securities	—		—		—		—			—			—		—			—		—		—			—			—		—
States, municipals and political subdivisions	—		—		—		—			—			—		—			—		—		—			—			—		—
Other government-related securities	—		—		—		—			—			—		—			—		—		—			—			—		—
Corporate securities	25,130		501		—		(1,407		)	—			—		(5,805		)	—		—		—			(194		)	18,225		(1,430		)
Total fixed maturity securities - trading	194,603		6,761		—		(9,374		)	—			2,000		(20,959		)	—		—		(1,982		)	88			171,137		(7,234		)
Total fixed maturity securities	2,109,186		11,128		35,530		(10,429		)	(69,974		)	201,924		(441,363		)	—		—		(166,570		)	(9,142		)	1,660,290		(7,234		)
Equity securities	66,691		—		44		—			—			—		(231		)	—		—		—			—			66,504		—
Other long-term investments⁽¹⁾	64,200		52,792		—		(48,608		)	—			—		—			—		—		—			—			68,384		4,184
Short-term investments	—		—		—		—			—			—		—			—		—		—			—			—		—
Total investments	2,240,077		63,920		35,574		(59,037		)	(69,974		)	201,924		(441,594		)	—		—		(166,570		)	(9,142		)	1,795,178		(3,050		)
Total assets measured at fair value on a recurring basis	$	2,240,077	$	63,920	$	35,574	$	(59,037	)	$	(69,974	)	$	201,924	$	(441,594	)	$	—	$	—	$	(166,570	)	$	(9,142	)	$	1,795,178	$	(3,050	)

Liabilities:
Annuity account balances⁽²⁾	$	98,279	$	—	$	—	$	(6,156	)	$	—		$	—	$	—		$	368	$	12,291	$	—		$	—		$	92,512	$	—
Other liabilities⁽¹⁾	530,118		278,171		—		(123,901		)	—			—		—			—		—		—			—			375,848		154,270
Total liabilities measured at fair value on a recurring basis	$	628,397	$	278,171	$	—	$	(130,057	)	$	—		$	—	$	—		$	368	$	12,291	$	—		$	—		$	468,360	$	154,270

(1) Represents certain freestanding and embedded derivatives.

(2) Represents liabilities related to fixed indexed annuities.

The following table presents a reconciliation of the beginning and ending balances for fair value measurements for the period of January 1, 2015 to January 31, 2015 (Predecessor Company), for which the Company has used significant unobservable inputs (Level 3):



																													Total Gains (losses) included in Earnings related to Instruments still held at the Reporting Date
			Total Realized and Unrealized Gains				Total Realized and Unrealized Losses
	Beginning Balance		Included in Earnings		Included in Other Comprehensive Income		Included in Earnings			Included in Other Comprehensive Income			Purchases		Sales			Issuances		Settlements		Transfers in/out of Level 3		Other			Ending Balance
	(Dollars In Thousands)
Assets:
Fixed maturity securities available-for-sale
Residential mortgage-backed securities	$	3	$	—	$	—	$	—		$	—		$	—	$	—		$	—	$	—	$	—	$	—		$	3	$	—
Commercial mortgage-backed securities	—		—		—		—			—			—		—			—		—		—		—			—		—
Other asset-backed securities	563,961		—		—		—			(3,867		)	—		(32		)	—		—		43,205		379			603,646		—
U.S. government-related securities	—		—		—		—			—			—		—			—		—		—		—			—		—
States, municipals, and political subdivisions	3,675		—		—		—			—			—		—			—		—		—		—			3,675		—
Other government-related securities	—		—		—		—			—			—		—			—		—		—		—			—		—
Corporate securities	1,325,683		—		12,282		—			(23,029		)	—		(7,062		)	—		—		—		(615		)	1,307,259		—
Total fixed maturity securities— available-for-sale	1,893,322		—		12,282		—			(26,896		)	—		(7,094		)	—		—		43,205		(236		)	1,914,583		—
Fixed maturity securities—trading
Residential mortgage-backed securities	—		—		—		—			—			—		—			—		—		—		—			—		—
Commercial mortgage-backed securities	—		—		—		—			—			—		—			—		—		—		—			—		—
Other asset-backed securities	169,461		586		—		(139		)	—			—		(472		)	—		—		—		37			169,473		447
U.S. government-related securities	—		—		—		—			—			—		—			—		—		—		—			—		—
States, municipals and political subdivisions	—		—		—		—			—			—		—			—		—		—		—			—		—
Other government-related securities	—		—		—		—			—			—		—			—		—		—		—			—		—
Corporate securities	24,744		602		—		(196		)	—			—		(20		)	—		—		—		—			25,130		406
Total fixed maturity securities—trading	194,205		1,188		—		(335		)	—			—		(492		)	—		—		—		37			194,603		853
Total fixed maturity securities	2,087,527		1,188		12,282		(335		)	(26,896		)	—		(7,586		)	—		—		43,205		(199		)	2,109,186		853
Equity securities	66,691		—		—		—			—			—		—			—		—		—		—			66,691		—
Other long-term investments⁽¹⁾	44,625		16,617		—		(15,166		)	—			—		—			—		—		—		—			46,076		1,451
Short-term investments	—		—		—		—			—			—		—			—		—		—		—			—		—
Total investments	2,198,843		17,805		12,282		(15,501		)	(26,896		)	—		(7,586		)	—		—		43,205		(199		)	2,221,953		2,304
Total assets measured at fair value on a recurring basis	$	2,198,843	$	17,805	$	12,282	$	(15,501	)	$	(26,896	)	$	—	$	(7,586	)	$	—	$	—	$	43,205	$	(199	)	$	2,221,953	$	2,304
Liabilities:
Annuity account balances⁽²⁾	$	97,825	$	—	$	—	$	(536	)	$	—		$	—	$	—		$	7	$	419	$	—	$	—		$	97,949	$	—
Other liabilities⁽¹⁾	506,343		61		—		(125,995		)	—			—		—			—		—		—		—			632,277		(125,934		)
Total liabilities measured at fair value on a recurring basis	$	604,168	$	61	$	—	$	(126,531	)	$	—		$	—	$	—		$	7	$	419	$	—	$	—		$	730,226	$	(125,934	)


(1)	Represents certain freestanding and embedded derivatives.


(2)	Represents liabilities related to fixed indexed annuities.

Schedule of the carrying amounts and estimated fair value of the Company's financial instruments

The carrying amounts and estimated fair values of the Company’s financial instruments as of the periods shown below are as follows:



		Successor Company				Predecessor Company
		As of				As of
		December 31, 2015				December 31, 2014
	Fair Value Level	Carrying Amounts		Fair Values		Carrying Amounts		Fair Values
		(Dollars In Thousands)				(Dollars In Thousands)
Assets:
Mortgage loans on real estate	3	$	5,662,812	$	5,529,803	$	5,133,780	$	5,524,059
Policy loans	3	1,699,508		1,699,508		1,758,237		1,758,237
Fixed maturities, held-to-maturity⁽¹⁾	3	593,314		515,000		435,000		458,422

Liabilities:
Stable value product account balances	3	$	2,131,822	$	2,124,712	$	1,959,488	$	1,973,624
Annuity account balances	3	10,719,862		10,274,571		10,950,729		10,491,775

Debt:
Non-recourse funding obligations⁽²⁾	3	$	1,951,563	$	1,621,773	$	1,527,752	$	1,753,183

Except as noted below, fair values were estimated using quoted market prices.

(1) Security purchased from unconsolidated subsidiary, Red Mountain LLC.

(2) Of this carrying amount $500.0 million, fair value of $495.5 million, as of December 31, 2015 (Successor Company) and $435.0 million, fair value of $461.4 million, as of December 31, 2014 (Predecessor Company), relates to non-recourse funding obligations issued by Golden Gate V.