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Fair Value of Assets and Liabilities (Tables)
 12 Months Ended
Dec. 31, 2013
Fair Value of Assets and Liabilities [Abstract]  
Fair Value, Assets and Liabilities Measured on Recurring Basis
   As of December 31, 2013
   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$ -$ 6,384$ -$ -$ 6,384
 Obligations of U.S. states and their political subdivisions  -  68,566  -  -  68,566
 Foreign government bonds  -  31,154  -  -  31,154
 Corporate securities  -  2,325,846  96,796  -  2,422,642
 Asset-backed securities  -  124,103  63,789  -  187,892
 Commercial mortgage-backed securities  -  390,633  -  -  390,633
 Residential mortgage-backed securities  -  156,945  -  -  156,945
Sub-total  -  3,103,631  160,585  -  3,264,216
Trading account assets:          
  Equity securities  6,364  -  313  -  6,677
Sub-total  6,364  -  313  -  6,677
Equity securities, available-for-sale   -  16  192  -  208
Short-term investments   118,188  -  -  -  118,188
Other long-term investments  -  73,535  486  (73,535)  486
Reinsurance recoverables  -  -  748,005  -  748,005
Receivables from parent and affiliates  -  19,071  6,347  -  25,418
Sub-total excluding separate account assets   124,552  3,196,253  915,928  (73,535)  4,163,198
Separate account assets (1)   1,190,903  45,435,925  -  -  46,626,828
Total assets$ 1,315,455$ 48,632,178$ 915,928$ (73,535)$ 50,790,026
Future policy benefits (3)$ -$ -$ 778,226$ -$ 778,226
Other liabilities  -  94,580  -  (72,822)  21,758
Total liabilities$ -$ 94,580$ 778,226$ (72,822)$ 799,984
             
             

   As of December 31, 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$ -$ 4,686$ -$ -$ 4,686
 Obligations of U.S. states and their political subdivisions  -  102,116  -  -  102,116
 Foreign government securities  -  55,529  -  -  55,529
 Corporate securities  -  3,095,699  95,555  -  3,191,254
 Asset-backed securities  -  118,179  69,298  -  187,477
 Commercial mortgage-backed securities  -  394,902  -  -  394,902
 Residential mortgage-backed securities  -  267,486  -  -  267,486
Sub-total  -  4,038,597  164,853  -  4,203,450
Trading account assets:          
  Asset-backed securities  -  2,022  -  -  2,022
  Equity securities  5,687  -  207  -  5,894
Sub-total  5,687  2,022  207  -  7,916
Equity securities, available-for-sale   -  22  -  -  22
Short-term investments   103,761  -  -  -  103,761
Other long-term investments  -  173,348  1,054  (42,352)  132,050
Reinsurance recoverables  -  -  1,732,094  -  1,732,094
Receivables from parent and affiliates  -  20,632  1,995  -  22,627
Sub-total excluding separate account assets   109,448  4,234,621  1,900,203  (42,352)  6,201,920
Separate account assets (1)   122,142  44,479,578  -  -  44,601,720
Total assets$ 231,590$ 48,714,199$ 1,900,203$ (42,352)$ 50,803,640
Future policy benefits (3)$ -$ -$ 1,793,137$ -$ 1,793,137
Other liabilities  -  42,352  -  (42,352)  -
Total liabilities$ -$ 42,352$ 1,793,137$ (42,352)$ 1,793,137
             

  • 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 Statements of Financial Position.
  • “Netting” amounts represent swap variation margin of $0.7 million and $0 million as of December 31, 2013 and December 31, 2012, respectively, and the impact of offsetting asset and liability positions held with the same counterparty, subject to master netting arrangements.
  • For the year ended December 31, 2013, the net embedded derivative liability position of $778 million includes $245 million of embedded derivatives in an asset position and $1,023 million of embedded derivates in a liability position. For the year ended December 31, 2012, the net embedded derivative liability position of $1,793 million includes $84 million of embedded derivatives in an asset position and $1,877 million of embedded derivates in a liability position.

 
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
      Year Ended December 31, 2013 
      Fixed Maturities Available-For-Sale Trading Account Assets - Equity Securities  Equity Securities Available-for -Sale 
       Corporate Securities Asset- Backed Securities  Commercial Mortgage-Backed     
  (in thousands)
Fair Value, beginning of period assets/(liabilities) $ 95,555 $ 69,298 $ - $ 207 $ - 
 Total gains (losses) (realized/unrealized):                
  Included in earnings:                
   Realized investment gains (losses), net   49   -   -   -   - 
   Asset management fees and other income   -   -   -   106   - 
  Included in other comprehensive income (loss)   (4,179)   (470)   18   -   - 
 Net investment income   4,729   454   -   -   - 
 Purchases   4,817   40,868   17,169   -  192 
 Sales   -   -   -   -   - 
 Issuances   -   -   -   -   - 
 Settlements   (4,629)   (13,924)   -   -   - 
 Transfers into Level 3 (1)   4,976   -   -   -   - 
 Transfers out of Level 3 (1)   (4,522)   (29,441)   (17,187)   -   - 
 Other (3)   -   (2,996)   -   -   - 
Fair Value, end of period assets/(liabilities) $ 96,796 $ 63,789 $ - $ 313 $ 192 
                     
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 $ - $ - $ - $ - $ - 
   Asset management fees and other income $ - $ - $ - $ 107 $ - 
                     
      Year Ended December 31, 2013   
      Other Long-term Investments Reinsurance Recoverables Receivables from parent and affiliates  Future Policy Benefits   
  (in thousands)   
Fair Value, beginning of period assets/(liabilities) $ 1,054 $ 1,732,094 $ 1,995 $ (1,793,137)    
 Total gains (losses) (realized/unrealized):                
  Included in earnings:                
   Realized investment gains (losses), net   (739)   (1,220,073)   -   1,262,310    
   Asset management fees and other income   60   -   -   -    
  Included in other comprehensive income (loss)   -   -   99   -    
 Net investment income   -   -   -   -    
 Purchases   111   235,984   6,250   -    
 Sales   -   -   (2,996)   -    
 Issuances   -   -   -   (247,399)    
 Settlements   -   -   -   -    
 Transfers into Level 3 (1)   -   -   -   -    
 Transfers out of Level 3 (1)   -   -   (1,997)   -    
 Other (3)   -   -   2,996   -    
Fair Value, end of period assets/(liabilities) $ 486 $ 748,005 $ 6,347 $ (778,226)    
       .  .          
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 $ - $ (1,166,676) $ - $ 1,207,600    
   Asset management fees and other income $ 51 $ - $ - $ -    

      Year Ended December 31, 2012
      Fixed Maturities Available-For-Sale         
      Corporate Securities Asset Backed Securities Trading Account Assets - Equity 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 or (losses) (realized/unrealized):                
  Included in earnings:                
   Realized investment gains (losses), net   1,606   -   -   (2,326)   (244,519) 
   Asset management fees and other income   -   -   4   (3)   - 
  Included in other comprehensive income (loss)   2,271   1,109   -   -   - 
 Net investment income   4,634   649   -   -   - 
 Purchases   5,400   30,311   -   2,166   228,856 
 Sales   (29)   -   -   -   - 
 Issuances   -   -   -   -   - 
 Settlements   (8,286)   (11,334)   -   4   - 
 Transfers into Level 3 (1)   11,992   -   -   -   - 
 Transfers out of Level 3 (1)   (11,691)   -   -   -   - 
Fair Value, end of period assets/(liabilities) $ 95,555 $ 69,298 $ 207 $ 1,054 $ 1,732,094 
                     
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 $ - $ - $ - $ (1,349) $ (194,274) 
   Asset management fees and other income  $ - $ - $ 4 $ (3) $ - 
                     
     Year Ended December 31, 2012        
     Receivables from parent and affiliates Future Policy Benefits        
 (in thousands)        
Fair Value, beginning of period assets/(liabilities) $ - $ (1,783,595)      
 Total gains or (losses) (realized/unrealized):            
  Included in earnings:            
   Realized investment gains (losses), net   -   230,349      
   Asset management fees and other income    -   -      
   Included in other comprehensive income (loss)   (5)   -      
  Net investment income    -   -      
  Purchases   2,000   -      
  Sales   -   -      
  Issuances   -   (239,891)      
  Settlements   -   -      
  Transfers into Level 3 (1)   -   -      
  Transfers out of Level 3 (1)   -   -      
Fair Value, end of period assets/(liabilities) $ 1,995 $ (1,793,137)      
                     
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 $ - $ 179,477        
   Asset management fees and other income  $ - $ -        

      Year Ended December 31, 2011 
      Fixed Maturities Available-For-Sale            
      Corporate Securities 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   46   -   -   (1,285)   1,348,271   - 
   Asset management fees and other income    -   -   -   (19)   -   (27) 
  Included in other comprehensive income (loss)   5,472   206   -   -   -   - 
 Net investment income   4,579   430   1   -   -   - 
 Purchases   8,702   -   -   262   212,751   - 
 Sales   -   -   (747)   -   -   - 
 Issuances   -   -   -   -   -   - 
 Settlements   (5,356)   (5,930)   -   -   -   - 
 Transfers into Level 3 (1)   51,135   -   976   2,255   -   - 
 Transfers out of Level 3 (1)   (49,175)   -   -   -   -   - 
 Other (3)   -   -   (230)   -   -   230 
Fair Value, end of period assets/(liabilities) $ 89,658 $ 48,563 $ - $ 1,213 $ 1,747,757 $ 203 
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 $ - $ - $ - $ (1,311) $ 1,356,358 $ - 
   Asset management fees and other income $ - $ - $ - $ (19) $ - $ (27) 
                        
     Year Ended December 31, 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   (1,396,276)                
   Asset management fees and other income    -                
   Included in other comprehensive income (loss)   -                
 Net investment income    -                
 Purchases   -                
 Sales   (223,036)                
 Issuances   -                
 Settlements   -                
 Transfers into Level 3 (1)   -                
 Transfers out of Level 3 (1)   -                
Fair Value, end of period assets/(liabilities) $ (1,783,595)                
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 $ (1,403,609)                

(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
    December 31, 2013  December 31, 2012 
    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$ -$ -$ 422,584$ 422,584$ 398,991 $ 473,964$ 426,981 
 Policy loans  -  -  12,454  12,454  12,454   11,957  11,957 
 Other long term investments  -  -  1,623  1,623  1,440   983  877 
 Cash  1,417  -  -  1,417  1,417   266  266 
 Accrued investment income  -  32,169  -  32,169  32,169   44,656  44,656 
 Receivables from parent and affiliates  -  10,177  -  10,177  10,177   199  199 
 Other assets  -  11,190  -  11,190  11,190   12,410  12,410 
  Total assets$ 1,417$ 53,536$ 436,661$ 491,614$ 467,838 $ 544,435$ 497,346 
                   
Liabilities:                
 Policyholders' Account Balances - Investment contracts$ -$ -$ 84,153$ 84,153$ 85,672 $ 78,159$ 75,242 
 Cash collateral for loaned securities  -  47,896  -  47,896  47,896   38,976  38,976 
 Short-term debt  -  218,488  -  218,488  205,000   -  - 
 Long-term debt  -  -  -  -  -   426,827  400,000 
 Payables to parent and affiliates  -  85,204  -  85,204  85,204   94,953  94,953 
 Other liabilities  -  101,656  -  101,656  101,656   99,094  99,094 
 Separate account liabilities - investment contracts  -  796  -  796  796   964  964 
  Total liabilities$ -$ 454,040$ 84,153$ 538,193$ 526,224 $ 738,973$ 709,229 

  • Carrying values presented herein differ from those in the Company's Statements 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 December 31, 2013 
  Fair Value Primary Valuation TechniquesUnobservable InputsMinimumMaximumWeighted AverageImpact of Increase in Input on Fair Value (1)
 (in thousands) 
Assets:         
Corporate securities$ 94,730 Discounted cash flowDiscount rate3.73%12.06%3.90%Decrease
          
Reinsurance recoverables$ 748,005 Fair values are determined in the same manner as future policy benefits 
          
Liabilities:         
Future policy benefits (2)$ 778,226 Discounted cash flowLapse rate (3)0%11% Decrease
     NPR spread (4)0.08%1.09% Decrease
     Utilization rate (5)70%94% Increase
     Withdrawal rate (6)86%100% Increase
     Mortality rate (7)0%13% Decrease
     Equity Volatility curve15%28% Increase
          
 As of December 31, 2012 
  Fair Value Primary Valuation TechniquesUnobservable InputsMinimumMaximumWeighted AverageImpact of Increase in Input on Fair Value (1)
 (in thousands) 
Assets:         
Corporate securities$ 92,263 Discounted cash flowDiscount rate3.27%17.50%3.74%Decrease
    Cap at call priceCall price100.00%100.00% Increase
Reinsurance recoverables$ 1,732,094 Fair values are determined in the same manner as future policy benefits 
          
Liabilities:         
Future policy benefits (2)$ 1,793,137 Discounted cash flowLapse rate (3)0%14% Decrease
     NPR spread (4)0.20%1.60% Decrease
     Utilization rate (5)70%94% Increase
     Withdrawal rate (6)85%100% Increase
     Mortality rate (7)0%13% Decrease
     Equity Volatility curve19%34% Increase

 

  • Conversely, the impact of a decrease in input would have the opposite impact for the fair value as that presented in the table.
  • Future policy benefits primarily represent general account liabilities for the optional living benefit features of the Company's variable annuity contracts which are accounted for as embedded derivatives. Since the valuation methodology for these liabilities uses a range of inputs that vary at the contract level over the cash flow projection period, presenting a range, rather than weighted average, is a more meaningful representation of the unobservable inputs used in the valuation.
  • Base lapse rates are adjusted at the contract level based on a comparison of the benefit amount and the policyholder account value and reflect other factors, such as the applicability of any surrender charges. A dynamic lapse adjustment reduces the base lapse rate when the benefit amount is greater than the account value, as in-the-money contracts are less likely to lapse. Lapse rates are also generally assumed to be lower for the period where surrender charges apply.
  • To reflect NPR, the Company incorporates an additional spread over LIBOR into the discount rate used in the valuation of individual living benefit contracts in a liability position and generally not to those in a contra-liability position. In determining the NPR spread, the Company reflects the financial strength ratings of the Company and its affiliates as these are insurance liabilities and senior to debt. The additional spread over LIBOR is determined by utilizing the credit spreads associated with issuing funding agreements adjusted for any illiquidity risk premium.
  • The utilization rate assumption estimates the percentage of contracts that will utilize the benefit during the contract duration, and begin lifetime withdrawals at various time intervals from contract inception. The remaining contractholders are assumed to either begin lifetime withdrawals immediately or never utilize the benefit. These assumptions vary based on the product type, the age of the contractholder, and the age of the contract. The impact of changes in these assumptions is highly dependent on the contract type and age of the contractholder at the time of the sale and the timing of the first lifetime income withdrawal.
  • The withdrawal rate assumption estimates the magnitude of annual contractholder withdrawals relative to the maximum allowable amount under the contract. The fair value of the liability will generally increase the closer the withdrawal rate is to 100%.
  • 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%. Based on historical experience, the Company applies a set of age and duration specific mortality rate adjustments compared to standard industry tables. A mortality improvement assumption is also incorporated into the overall mortality table.
Fair Value Level Three Amounts By Pricing Source [Table Text Block]
 As of December 31, 2013
  Internal (1) External (2) Total
  (in thousands)
Corporate securities$ 94,730$ 2,066$ 96,796
Asset-backed securities  -  63,789  63,789
Equity securities  192  313  505
Other long-term Investments  -  486  486
Reinsurance recoverables  748,005  -  748,005
Receivables from parent and affiliates  -  6,347  6,347
Total assets$ 842,927$ 73,001$ 915,928
       
Future policy benefits  778,226  -  778,226
Total liabilities $ 778,226$ -$ 778,226
       
 As of December 31, 2012
  Internal (1) External (2) Total
  (in thousands)
Corporate securities$ 92,263$ 3,292$ 95,555
Asset-backed securities  -  69,298  69,298
Equity securities  -  207  207
Other long-term Investments  739  315  1,054
Reinsurance recoverables  1,732,094  -  1,732,094
Receivables from parent and affiliates  -  1,995  1,995
Total assets$ 1,825,096$ 75,107$ 1,900,203
       
Future policy benefits  1,793,137  -  1,793,137
Total liabilities $ 1,793,137$ -$ 1,793,137

  • Represents valuations which could incorporate internally-derived and market inputs. 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 non-binding broker quotes where pricing inputs are not readily available.