Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2014

Fair Value Disclosures [Abstract]

Schedule of Assets and Liabilities Measured at Fair Value on Recurring Basis

The following tables set forth the Company’s assets and liabilities that are measured at fair value on a recurring basis as of the date indicated:

	September 30, 2014
	Total		Level 1	Level 2	Level 3
	(In thousands)
Debt securities, available for sale	$	2,707,265	—	2,707,265	—
Equity securities, available for sale	17,615		16,405	1,210	—
Derivatives, index options	109,812		—	—	109,812
Total assets	$	2,834,692	16,405	2,708,475	109,812
Policyholder account balances (a)	$	127,622	—	—	127,622
Other liabilities (b)	7,704		—	—	7,704
Total liabilities	$	135,326	—	—	135,326

During the three and nine months ended September 30, 2014, the Company had no transfers into or out of Levels 1, 2 or 3.

	December 31, 2013
	Total		Level 1	Level 2	Level 3
	(In thousands)
Debt securities, available for sale	$	2,636,666	—	2,636,666	—
Equity securities, available for sale	14,878		13,802	1,076	—
Derivatives, index options	169,314		—	—	169,314
Total assets	$	2,820,858	13,802	2,637,742	169,314
Policyholder account balances (a)	$	187,399	—	—	187,399
Other liabilities (b)	5,939		—	—	5,939
Total liabilities	$	193,338	—	—	193,338

(a)  Represents the fair value of certain product-related embedded derivatives that were recorded at fair value.

(b)  Represents the liability for share-based compensation.

Schedule of Assets by Pricing Source and Fair Value Hierarchy Measured on Recurring Basis

The following tables present, by pricing source and fair value hierarchy level, the Company’s assets that are measured at fair value on a recurring basis:

	September 30, 2014
	Total			Level 1		Level 2		Level 3
	(In thousands)
Debt securities, available for sale:
Priced by third-party vendors	$	2,707,265		—		2,707,265		—
Priced internally	—			—		—		—
Subtotal	2,707,265			—		2,707,265		—
Equity securities, available for sale:
Priced by third-party vendors	17,615			16,405		1,210		—
Priced internally	—			—		—		—
Subtotal	17,615			16,405		1,210		—
Derivatives, index options:
Priced by third-party vendors	109,812			—		—		109,812
Priced internally	—			—		—		—
Subtotal	109,812			—		—		109,812
Total	$	2,834,692		16,405		2,708,475		109,812
Percent of total	100.0		%	0.6	%	95.5	%	3.9	%

	December 31, 2013
	Total			Level 1		Level 2		Level 3
	(In thousands)
Debt securities, available for sale:
Priced by third-party vendors	$	2,636,666		—		2,636,666		—
Priced internally	—			—		—		—
Subtotal	2,636,666			—		2,636,666		—
Equity securities, available for sale:
Priced by third-party vendors	14,878			13,802		1,076		—
Priced internally	—			—		—		—
Subtotal	14,878			13,802		1,076		—
Derivatives, index options:
Priced by third-party vendors	169,314			—		—		169,314
Priced internally	—			—		—		—
Subtotal	169,314			—		—		169,314
Total	$	2,820,858		13,802		2,637,742		169,314
Percent of total	100.0		%	0.5	%	93.5	%	6.0	%

Schedule of Significant Unobservable Inputs for Fair Value Measurements

The following tables provide additional information about fair value measurements for which significant unobservable (Level 3) inputs were utilized to determine fair value.

	For the Three Months Ended September 30, 2014
	Debt Securities, Available for Sale		Equity Securities, Available for Sale	Derivatives, Index Options		Total Assets		Other Liabilities
	(In thousands)
Balance at July 1, 2014	$	—	—	146,514		146,514		171,428
Total realized and unrealized gains (losses):
Included in net income	—		—	3,479		3,479		4,099
Included in other comprehensive income	—		—	—		—		—
Purchases, sales, issuances and settlements, net				(40,181	)	(40,181	)	(40,201	)
Transfers into (out of) Level 3	—		—	—		—		—
Balance at end of period	$	—	—	109,812		109,812		135,326
Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets held at the end of the reporting period:
Net investment income	$	—	—	747		747		—
Other operating expenses	—		—	—		—		175
Total	$	—	—	747		747		175

	For the Three Months ended September 30, 2013
	Debt Securities, Available for Sale		Equity Securities, Available for Sale	Derivatives, Index Options	Total Assets	Other Liabilities
	(In thousands)
Balance at July 1, 2013	$	—	—	—	—	4,370
Total realized and unrealized gains (losses):
Included in net income	—		—	—	—	1,010
Included in other comprehensive income	—		—	—	—	—
Purchases, sales, issuances and settlements, net	—		—	—	—	(827	)
Transfers into (out of) Level 3	—		—	—	—	—
Balance at end of period	$	—	—	—	—	4,553
Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets held at the end of the reporting period:
Net investment income	$	—	—	—	—	—
Other operating expenses	—		—	—	—	1,601
Total	$	—	—	—	—	1,601

	Nine Months Ended September 30, 2014
	Debt Securities, Available for Sale		Equity Securities, Available for Sale	Derivatives, Index Options		Total Assets		Other Liabilities
	(In thousands)
Beginning balance, January 1, 2014	$	—	—	169,314		169,314		193,338
Total realized and unrealized gains (losses):
Included in net income	—		—	49,278		49,278		51,529
Included in other comprehensive income	—		—	—		—		—
Purchases, sales, issuances and settlements, net	—		—	(108,780	)	(108,780	)	(109,541	)
Transfers into (out of) Level 3	—		—	—		—		—
Balance at end of period	$	—	—	109,812		109,812		135,326
Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets held at the end of the reporting period:
Net investment income	$	—	—	29,895		29,895		—
Other operating expenses	—		—	—		—		3,266
Total	$	—	—	29,895		29,895		3,266

	Nine Months Ended September 30, 2013
	Debt Securities, Available for Sale		Equity Securities, Available for Sale	Derivatives, Index Options	Total Assets	Other Liabilities
	(In thousands)
Beginning balance, January 1, 2013	$	—	—	—	—	2,718
Total realized and unrealized gains (losses):
Included in net income	—		—	—	—	3,976
Included in other comprehensive income	—		—	—	—	—
Purchases, sales, issuances and settlements, net	—		—	—	—	(2,141	)
Transfers into (out of) Level 3	—		—	—	—	—
Balance at end of period	$	—	—	—	—	4,553
Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets held at the end of the reporting period:
Net investment income	$	—	—	—	—	—
Other operating expenses	—		—	—	—	5,343
Total	$	—	—	—	—	5,343

Schedule of quantitative information of Level 3 liabilities

The following tables show the quantitative information about the Company's level 3 assets and liabilities.

	September 30, 2014
	Fair Value		Valuation Technique	Unobservable Input
	(In thousands)
Derivatives, index options	$	109,812	Broker prices	Implied volatility
				Inputs from broker proprietary models
Total assets	$	109,812
Policyholder account balances	$	127,622	Deterministic cash flow model	Projected option cost
Other liabilities	7,704		Black Scholes	Expected term
				Forfeiture assumptions
Total liabilities	$	135,326

	December 31, 2013
	Fair Value		Valuation Technique	Unobservable Input
	(In thousands)
Derivatives, index options	$	169,314	Broker prices	Implied volatility
				Inputs from broker proprietary models
Total assets	$	169,314
Policyholder account balances	$	187,399	Deterministic cash flow model	Projected option cost
Other liabilities	5,939		Black Scholes	Expected term
				Forfeiture assumptions
Total liabilities	$	193,338

Schedule of quantitative information of Level 3 assets

he following tables show the quantitative information about the Company's level 3 assets and liabilities.

	September 30, 2014
	Fair Value		Valuation Technique	Unobservable Input
	(In thousands)
Derivatives, index options	$	109,812	Broker prices	Implied volatility
				Inputs from broker proprietary models
Total assets	$	109,812
Policyholder account balances	$	127,622	Deterministic cash flow model	Projected option cost
Other liabilities	7,704		Black Scholes	Expected term
				Forfeiture assumptions
Total liabilities	$	135,326

	December 31, 2013
	Fair Value		Valuation Technique	Unobservable Input
	(In thousands)
Derivatives, index options	$	169,314	Broker prices	Implied volatility
				Inputs from broker proprietary models
Total assets	$	169,314
Policyholder account balances	$	187,399	Deterministic cash flow model	Projected option cost
Other liabilities	5,939		Black Scholes	Expected term
				Forfeiture assumptions
Total liabilities	$	193,338

Schedule of Carrying Amounts and Fair Values of Financial Instruments

The carrying amounts and fair values of the Company's financial instruments are as follows:

	September 30, 2014
				Fair Value Hierarchy Level
	Carrying Values		Fair Values	Level 1	Level 2	Level 3
	(In thousands)
ASSETS
Investments in debt and equity securities:
Securities held to maturity	$	6,898,038	7,195,441	—	7,195,441	—
Securities available for sale	2,724,880		2,724,880	16,405	2,708,475	—
Cash and short-term investments	121,482		121,482	121,482	—	—
Mortgage loans	152,740		159,845	—	—	159,845
Policy loans	63,746		63,746	—	—	63,746
Other loans	2,318		2,462	—	—	2,462
Derivatives, index options	109,812		109,812	—	—	109,812
Life interest in Libbie Shearn Moody Trust	—		12,775	—	—	12,775
LIABILITIES
Deferred annuity contracts	$	7,471,884	7,102,374	—	—	7,102,374
Immediate annuity and supplemental contracts	448,892		472,485	—	—	472,485

	December 31, 2013
				Fair Value Hierarchy Level
	Carrying Values		Fair Values	Level 1	Level 2	Level 3
	(In thousands)
ASSETS
Investments in debt and equity securities:
Securities held to maturity	$	6,510,320	6,656,144	—	6,656,144	—
Securities available for sale	2,651,544		2,651,544	13,802	2,637,742	—
Cash and short-term investments	120,859		120,859	120,859	—	—
Mortgage loans	132,765		138,159	—	—	138,159
Policy loans	65,969		65,969	—	—	65,969
Other loans	2,986		3,143	—	—	3,143
Derivatives, index options	169,314		169,314	—	—	169,314
Life interest in Libbie Shearn Moody Trust	—		12,775	—	—	12,775
LIABILITIES
Deferred annuity contracts	$	7,288,861	6,941,902	—	—	6,941,902
Immediate annuity and supplemental contracts	463,276		483,690	—	—	483,690