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Fair Value of Assets and Liabilities (Tables)
 9 Months Ended
Sep. 30, 2012
Fair Value of Assets and Liabilities [Abstract]  
Fair Value, Assets and Liabilities Measured on Recurring Basis
   As of September 30, 2012
   Level 1Level 2Level 3 Netting (2)Total
   (in thousands)
Fixed maturities, available-for-sale:          
 U.S Treasury securities and obligations of U.S. government authorities and agencies$ -$ 35,764$ -$ -$ 35,764
 Obligations of U.S. states and their political subdivisions  -  102,915  -  -  102,915
 Foreign government bonds  -  56,325  -  -  56,325
 Corporate securities  -  3,281,845  95,390  -  3,377,235
 Asset-backed securities  -  127,282  57,703  -  184,985
 Commercial mortgage-backed securities  -  429,529  -  -  429,529
 Residential mortgage-backed securities  -  341,157  -  -  341,157
Sub-total  -  4,374,817  153,093  -  4,527,910
Trading account assets:          
  Asset-backed securities  -  2,029  -  -  2,029
  Equity securities  5,702  -  195  -  5,897
Sub-total  5,702  2,029  195  -  7,926
Equity securities, available-for-sale   -  22  -  -  22
Short-term investments   175,729  -  -  -  175,729
Cash equivalents  39  -  -  -  39
Other long-term investments  -  195,750  1,757  (32,202)  165,305
Reinsurance recoverables  -  -  1,822,323  -  1,822,323
Other assets  -  24,696  -  -  24,696
Sub-total excluding separate account assets   181,470  4,597,314  1,977,368  (32,202)  6,723,950
Separate account assets (1)   171,842  44,962,212  -  -  45,134,054
Total assets$ 353,312$ 49,559,526$ 1,977,368$ (32,202)$ 51,858,004
Future policy benefits$ -$ -$ 1,886,648$ -$ 1,886,648
Other liabilities  -  32,202  -  (32,202)  -
Total liabilities$ -$ 32,202$ 1,886,648$ (32,202)$ 1,886,648
             

   As of December 31, 2011 (3)
   Level 1Level 2Level 3 Netting (2)Total
   (in thousands)
Fixed maturities, available-for-sale:          
 U.S Treasury securities and obligations of U.S. government authorities and agencies$ -$ 86,036$ -$ -$ 86,036
 Obligations of U.S. states and their political subdivisions  -  94,158  -  -  94,158
 Foreign government securities  -  77,230  -  -  77,230
 Corporate securities  6,705  3,854,846  89,658  -  3,951,209
 Asset-backed securities  -  128,821  48,563  -  177,384
 Commercial mortgage-backed securities  -  491,757  -  -  491,757
 Residential mortgage-backed securities  -  395,993  -  -  395,993
Sub-total  6,705  5,128,841  138,221  -  5,273,767
Trading account assets:          
  Asset-backed securities  -  31,571  -  -  31,571
  Equity securities  6,804  -  203  -  7,007
Sub-total  6,804  31,571  203  -  38,578
Equity securities, available-for-sale   3,071  -  -  -  3,071
Short-term investments   227,235  10,366  -  -  237,601
Cash equivalents  8,112  -  -  -  8,112
Other long-term investments  -  191,144  1,213  (40,012)  152,345
Reinsurance recoverables  -  -  1,747,757  -  1,747,757
Other assets  -  25,225  -  -  25,225
Sub-total excluding separate account assets   251,927  5,387,147  1,887,394  (40,012)  7,486,456
Separate account assets (1)   1,039,821  41,902,937  -  -  42,942,758
Total assets$ 1,291,748$ 47,290,084$ 1,887,394$ (40,012)$ 50,429,214
Future policy benefits$ -$ -$ 1,783,595$ -$ 1,783,595
Other liabilities  -  40,012  -  (40,012)  -
Total liabilities$ -$ 40,012$ 1,783,595$ (40,012)$ 1,783,595
             

  • Separate account assets represent segregated funds that are invested for certain customers. Investment risks associated with market value changes are borne by the customers, except to the extent of minimum guarantees made by the Company with respect to certain accounts. Separate account liabilities are not included in the above table as they are reported at contract value and not fair value in the Company's Unaudited Interim Statements of Financial Position.
  • “Netting” amounts represent the impact of offsetting asset and liability positions held with the same counterparty.
  • Includes reclassifications to conform to current period presentation.

 
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
      Three Months Ended September 30, 2012
      Fixed Maturities Available-For-Sale - Corporate Securities Fixed Maturities Available-For-Sale - Asset Backed Securities Trading Account Assets- Equity Securities  Other Long-Term Investments Reinsurance Recoverables
  (in thousands)
Fair Value, beginning of period assets/(liabilities) $ 92,461 $ 51,766 $ 197 $ 305 $ 1,761,274 
 Total gains or (losses) (realized/unrealized):                
  Included in earnings:                
   Realized investment gains (losses), net   1,567   -   -   (646)   4,037 
   Asset management fees and other income   -   -   (2)   10   - 
  Included in other comprehensive income (loss)   2,143   10   -   -   - 
 Net investment income   1,120   151   -   -   - 
 Purchases   -   7,992   -   2,089   57,012 
 Sales   -   -   -   -   - 
 Issuances   -   -   -   -   - 
 Settlements   (1,901)   (2,216)   -   (1)   - 
 Transfers into Level 3 (1)   -   -   -   -   - 
 Transfers out of Level 3 (1)   -   -   -   -   - 
Fair Value, end of period assets/(liabilities) $ 95,390 $ 57,703 $ 195 $ 1,757 $ 1,822,323 
                     
Unrealized gains (losses) for the period relating to                 
 those Level 3 assets that were still held                
 at the end of the period (2):                
  Included in earnings:                
   Realized investment gains (losses), net $ - $ - $ - $ - $ 16,488 
   Asset management fees and other income  $ - $ - $ (2) $ 10 $ - 
   Interest credited to policyholders' account balances $ - $ - $ - $ - $ - 
                     
     Three Months Ended September 30, 2012           
     Future Policy Benefits          
 (in thousands)           
Fair Value, beginning of period assets/(liabilities) $ (1,795,715)           
 Total gains or (losses) (realized/unrealized):              
  Included in earnings:              
   Realized investment gains (losses), net   (31,202)           
   Purchases -           
   Sales -           
   Issuances   (59,731)           
   Settlements -           
   Transfers into Level 3 (1) -           
   Transfers out of Level 3 (1) -           
Fair Value, end of period assets/(liabilities) $ (1,886,648)           
                     
Unrealized gains (losses) for the period relating to                 
 those Level 3 assets that were still held                
 at the end of the period (2):                
  Included in earnings:                
   Realized investment gains (losses), net $ (43,763)           
   Interest credited to policyholders' account balances $ -           

      Nine Months Ended September 30, 2012 
      Fixed Maturities, Available For Sale – Corporate Securities Fixed Maturities, Available For Sale –Asset- Backed Securities Trading Account Assets - Equity Securities  Other Long Term Investments  Reinsurance Recoverables 
  (in thousands)
Fair Value, beginning of period assets/(liabilities) $ 89,658 $ 48,563 $ 203 $ 1,213 $ 1,747,757 
 Total gains (losses) (realized/unrealized):                
  Included in earnings:                
   Realized investment gains (losses), net   1,576   -   -   (1,623)   (93,818) 
   Asset management fees and other income   -   -   (8)   12   - 
  Included in other comprehensive income (loss)   2,883   963   -   -   - 
 Net investment income   3,497   502   -   -   - 
 Purchases   5,400   15,492   -   2,149   168,384 
 Sales   (29)   -   -   -   - 
 Issuances   -   -   -   -   - 
 Settlements   (7,896)   (7,817)   -   6   - 
 Transfers into Level 3 (1)   11,992   -   -   -   - 
 Transfers out of Level 3 (1)   (11,691)   -   -   -   - 
Fair Value, end of period assets/(liabilities) $ 95,390 $ 57,703 $ 195 $ 1,757 $ 1,822,323 
                     
Unrealized gains (losses) for the period relating to those                
 Level 3 assets that were still held at the end of the period (2):                
  Included in earnings:                
   Realized investment gains (losses), net $ - $ - $ - $ - $ (55,459) 
   Asset management fees and other income $ - $ - $ (8) $ 12 $ - 
   Interest credited to policyholders' account balances $ - $ - $ - $ - $ - 
                     
      Nine Months Ended September 30, 2012             
      Future Policy Benefits             
  (in thousands)             
Fair Value, beginning of period assets/(liabilities) $ (1,783,595)             
 Total gains (losses) (realized/unrealized):                
  Included in earnings:                
   Realized investment gains (losses), net   73,429             
   Asset management fees and other income   -             
   Interest credited to policyholder account balances   -             
  Included in other comprehensive income (loss)   -             
 Net investment income   -             
 Issuances   (176,482)             
 Settlements   -             
 Transfers into Level 3 (1)   -             
 Transfers out of Level 3 (1)   -             
Fair Value, end of period assets/(liabilities) $ (1,886,648)             
                     
Unrealized gains (losses) for the period relating to those                
 Level 3 assets that were still held at the end of the period (2):                
  Included in earnings:                
   Realized investment gains (losses), net $ 34,583             
   Asset management fees and other income $ -             
   Interest credited to policyholders' account balances $ -             

      Three Months Ended September 30, 2011
      Fixed Maturities Available-For-Sale -Corporate Securities Fixed Maturities Available-For-Sale - Asset Backed Securities Equity Securities - Available-For-Sale  Other Long-Term Investments Reinsurance Recoverable  Trading Account Assets - Equity Securities 
  (in thousands)
Fair Value, beginning of period assets/(liabilities) $ 93,700 $ 53,890 $ 230 $ 186 $ 118,635 $ - 
 Total gains or (losses) (realized/unrealized):                   
  Included in earnings:                   
   Realized investment gains (losses), net   -   -   -   65   1,665,947   - 
  Included in other comprehensive income (loss)   4,794   (834)   -   (56)   -   1 
 Net investment income   1,157   92   -   -   -   - 
 Purchases   450   -   -   219   53,547   - 
 Sales   -   -   -   -   -   - 
 Issuances   -   -   -   -   -   - 
 Settlements   (749)   (1,433)   -   -   -   - 
 Transfers into Level 3 (1)   19,600   -   -   -   -   - 
 Transfers out of Level 3 (1)   (8,129)   -   -   -   -   - 
 Other (3)   -   -   (230)   -   -   230 
Fair Value, end of period assets/(liabilities) $ 110,823 $ 51,715 $ - $ 414 $ 1,838,129 $ 231 
Unrealized gains (losses) for the period relating to those                   
 Level 3 assets that were still held at the                   
 end of the period (2):                   
  Included in earnings:                   
   Realized investment gains (losses), net $ - $ - $ - $ 64 $ 1,667,836 $ - 
   Asset management fees and other income $ - $ - $ - $ (27) $ - $ 2 
   Interest credited to policyholders' account balances $ - $ - $ -   -   -   - 
                        
     Three Months Ended September 30, 2011               
     Future Policy Benefits              
 (in thousands)               
Fair Value, beginning of period assets/(liabilities) $ (95,603)                
 Total gains or (losses) (realized/unrealized):                   
  Included in earnings:                   
   Realized investment gains (losses), net   (1,722,775)                
   Purchases   -                
   Sales   -                
   Issuances   (56,149)                
   Settlements   -                
   Transfers into Level 3 (1)   -                
   Transfers out of Level 3 (1)   -                
Fair Value, end of period assets/(liabilities) $ (1,874,527)                
Unrealized gains (losses) for the period relating to                   
 Level 3 assets that were still held at the                   
 end of the period (2):                   
  Included in earnings:                   
   Realized investment gains (losses), net $ (1,724,423)                
   Interest credited to policyholders' account balances $ -                

      Nine Months Ended September 30, 2011
      Fixed Maturities Available-For-Sale -Corporate Securities Fixed Maturities Available-For-Sale - Asset Backed Securities Equity Securities - Available-For-Sale  Other Long-Term Investments Reinsurance Recoverable   Trading Account Assets- Equity Securities 
  (in thousands)
Fair Value, beginning of period assets/(liabilities) $ 74,255 $ 53,857 $ - $ - $ 186,735 $ - 
 Total gains or (losses) (realized/unrealized):                   
  Included in earnings:                   
   Realized investment gains (losses), net   35   -   -   251   1,491,815   - 
   Asset management fees and other income    -   -   -   (56)   -   - 
  Included in other comprehensive income (loss)   5,334   297   -   -   -   1 
 Net investment income   3,394   333   -   -   -   - 
 Purchases   8,703   -   -   219   159,579   - 
 Sales   -   -   (746)   -   -   - 
 Issuances   -   -   -   -   -   - 
 Settlements   (2,392)   (2,772)   -   -   -   - 
 Transfers into Level 3 (1)   51,134   -   976   -   -   - 
 Transfers out of Level 3 (1)   (29,640)   -   -   -   -   - 
 Other (3)   -   -   (230)   -   -   230 
Fair Value, end of period assets/(liabilities) $ 110,823 $ 51,715 $ - $ 414 $ 1,838,129 $ 231 
Unrealized gains (losses) for the period relating to those                   
 Level 3 assets that were still held                   
 at the end of the period (2):                   
  Included in earnings:                   
   Realized investment gains (losses), net $ - $ - $ - $ 226 $ 1,498,922 $ - 
   Asset management fees and other income $ - $ - $ - $ (56) $ - $ 2 
                        
     Nine Months Ended September 30, 2011                
     Future Policy Benefits               
 (in thousands)                
Fair Value, beginning of period assets/(liabilities) $ (164,283)                
 Total gains or (losses) (realized/unrealized):                   
  Included in earnings:                   
   Realized investment gains (losses), net   (1,543,017)                
   Purchases   -                
   Sales   -                
   Issuances   (167,227)                
   Settlements   -                
   Transfers into Level 3 (1)   -                
   Transfers out of Level 3 (1)   -                
Fair Value, end of period assets/(liabilities) $ (1,874,527)                
Unrealized gains (losses) for the period relating to                   
 Level 3 assets that were still held                   
 at the end of the period (2):                   
  Included in earnings:                   
   Realized investment gains (losses), net $ (1,549,569)                
   Interest credited to policyholders' account balances $ -                

(1) Transfers into or out of level 3 are generally reported as the value as of the beginning of the quarter in which the transfer occurs.

(2) Unrealized gains or losses related to assets still held at the end of the period do not include amortization or accretion of premiums and discounts.

(3) Other primarily represents reclasses of certain assets between reporting categories.

 

 
Fair Value Disclosure Financial Instruments Not Carried at Fair Value
    September 30, 2012  December 31, 2011 
    Fair Value Carrying Amount (1)  Fair Value Carrying Amount 
    Level 1 Level 2 Level 3 Total Total  Total Total 
                   
 (in thousands)      
Assets:                
 Commercial mortgage and other loans$ -$ -$ 511,077$ 511,077$ 461,186 $ 490,151$ 449,359 
 Policy loans  -  -  12,065  12,065  12,065   14,316  14,316 
 Cash  438  -  -  438  438   749  749 
 Accrued investment income  -  52,574  -  52,574  52,574   59,033  59,033 
 Other assets  -  13,352  -  13,352  13,352   12,237  12,237 
  Total assets$ 438$ 65,926$ 523,142$ 589,506$ 539,615 $ 576,486$ 535,694 
                   
Liabilities:                
 Policyholders' Account Balances - Investment contracts$ -$ -$ 74,331$ 74,331$ 71,895 $ 66,659$ 66,176 
 Cash collateral for loaned securities  -  48,371  -  48,371  48,371   125,884  125,884 
 Short-term debt  -  83,502  -  83,502  83,502   27,803  27,803 
 Long-term debt  -  642,557  -  642,557  600,000   627,415  600,000 
 Other liabilities  -  137,693  -  137,693  137,693   169,139  169,139 
 Separate account liabilities - investment contracts  -  1,030  -  1,030  1,030   1,192  1,192 
  Total liabilities$ -$ 913,153$ 74,331$ 987,484$ 942,491 $ 1,018,092$ 990,194 
                   
  (1) Carrying values presented herein differ from those in the Company’s Unaudited Interim Statement of Financial Position because certain items within the respective financial statement captions are not considered financial instruments or out of scope under authoritative guidance relating to disclosures of the fair value of financial instruments. Financial statement captions excluded from the above table are not considered financial instruments. 
Fair Value Inputs Quantitative Information [Table Text Block]
 As of September 30, 2012
  Fair Value Valuation Techniques Unobservable Inputs Range (Weighted Average)
 (in thousands)
Assets:        
Corporate securities$ 92,063 Discounted cash flow Discount rate 3.20 - 17.50% (3.75%)
    Cap at call price Call price 100% (100%)
Reinsurance recoverables$ 1,822,323 Fair values are determined in the same manner as future policy benefits
         
Liabilities:        
Future policy benefits $ 1,886,648 Discounted cash flow Lapse rate 0% - 14%
      NPR spread 0.24% - 1.82%
      Utilization rate 70% - 94%
      Withdrawal rate 85% - 100%
      Mortality rate (1) 0% - 13%
      Equity Volatility curve 19% - 34%

  • Range reflects the mortality rate for the vast majority of business with living benefits, with policyholders ranging from 35 to 90 years old. While the majority of living benefits have a minimum age requirement, certain benefits do not have an age restriction. This results in contractholders for certain benefits with mortality rates approaching 0%.
Fair Value Level Three Amounts By Pricing Source [Table Text Block]
 As of September 30, 2012
  Internal (1) External (2) Total
 (in thousands)
Corporate securities$ 92,063$ 3,327$ 95,390
Asset-backed securities  -  57,703  57,703
Equity securities  -  195  195
Other long-term Investments  1,442  315  1,757
Reinsurance recoverables  1,822,323  -  1,822,323
Total assets$ 1,915,828$ 61,540$ 1,977,368
       
Future policy benefits  1,886,648  -  1,886,648
Total liabilities $ 1,886,648$ -$ 1,886,648

  • Represents valuations reflecting both internally-derived and market inputs, as well as third-party pricing information or quotes. See below for additional information related to internally-developed valuation for significant items in the above table.
  • Represents unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available.