Fair Value of Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 2014

Fair Value of Assets and Liabilities [Abstract]

Fair Value, Assets and Liabilities Measured on Recurring Basis

		As of September 30, 2014
		Level 1		Level 2		Level 3			Netting (1)	Total
		(in thousands)
Fixed maturities, available-for-sale:
	U.S Treasury securities and obligations of U.S. government authorities and agencies	$	-	$	6,309	$	-	$	-	$	6,309
	Obligations of U.S. states and their political subdivisions		-		70,306		-		-		70,306
	Foreign government bonds		-		32,071		-		-		32,071
	Corporate securities		-		2,024,379		103,946		-		2,128,325
	Asset-backed securities		-		88,230		62,900		-		151,130
	Commercial mortgage-backed securities		-		306,323		7,070		-		313,393
	Residential mortgage-backed securities		-		138,536		-		-		138,536
Sub-total			-		2,666,154		173,916		-		2,840,070
Trading account assets:
	Equity securities		6,022		-		-		-		6,022
Sub-total			6,022		-		-		-		6,022
Equity securities, available-for-sale			-		17		-		-		17
Short-term investments			174,415		-		-		-		174,415
Cash equivalents			-		-		400		-		400
Other long-term investments			-		98,495		628		(53,827)		45,296
Reinsurance recoverables			-		-		2,231,480		-		2,231,480
Receivables from parent and affiliates			-		21,459		22,526		-		43,985
Sub-total excluding separate account assets			180,437		2,786,125		2,428,950		(53,827)		5,341,685
Separate account assets (2)			945,742		43,523,499		-		-		44,469,241
Total assets		$	1,126,179	$	46,309,624	$	2,428,950	$	(53,827)	$	49,810,926
Future policy benefits (3)		$	-	$	-	$	2,316,741	$	-	$	2,316,741
Payables to parent and affiliates			-		45,712		-		(45,712)		0
Total liabilities		$	-	$	45,712	$	2,316,741	$	(45,712)	$	2,316,741

		As of December 31, 2013
		Level 1		Level 2		Level 3			Netting (1)	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 securities		-		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 (2)			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
Payables to parent and affiliates			-		94,580		-		(72,822)		21,758
Total liabilities		$	-	$	94,580	$	778,226	$	(72,822)	$	799,984

• “Netting” amounts represent cash collateral of $8.1 million and $0.7 million as of September 30, 2014 and December 31, 2013, respectively, and the impact of offsetting asset and liability positions held with the same counterparty, subject to master netting arrangements.
• 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'sUnaudited Interim Statements of Financial Position.
• As of September 30, 2014, the net embedded derivative liability position of $2,317million includes $94 millionof embedded derivatives in an asset position and $2,411million of embedded derivatives in a liability position. As of December 31, 2013, the net embedded derivative liability position of $778 million includes $245million of embedded derivatives in an asset position and $1,023million of embedded derivatives in a liability position.

Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation

				Three Months Ended September 30, 2014
				Fixed Maturities Available-For-Sale							Cash Equivalents		Other Long-term Investments
				Corporate Securities		Asset- Backed Securities			Commercial Mortgage-Backed Securities
				(in thousands)
Fair Value, beginning of period assets/(liabilities)				$	102,008	$	74,301	$	-	$	400	$	536
	Total gains (losses) (realized/unrealized):
		Included in earnings:
			Realized investment gains (losses), net		149		-		-		-		-
			Asset management fees and other income		-		-		-		-		(17)
		Included in other comprehensive income (loss)			(996)		94		-		-		-
	Net investment income				1,265		28		-		-		-
	Purchases				2,122		-		7,070		-		109
	Sales				(202)		-		-		-		-
	Issuances				-		-		-		-		-
	Settlements				(400)		(10,260)		-		-		-
	Transfers into Level 3 (1)				-		-		-		-		-
	Transfers out of Level 3 (1)				-		(1,263)		-		-		-
Fair Value, end of period assets/(liabilities)				$	103,946	$	62,900	$	7,070	$	400	$	628
											.		.
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	$	-	$	-	$	-	$	-	$	(17)
				Three Months Ended September 30, 2014
				Reinsurance Recoverables		Receivables from parent and affiliates		Future Policy Benefits
				(in thousands)
Fair Value, beginning of period assets/(liabilities)				$	1,594,311	$	27,762		(1,662,957)
	Total gains (losses) (realized/unrealized):
		Included in earnings:
			Realized investment gains (losses), net		578,588		(1)		(592,334)
			Asset management fees and other income		-		-		-
		Included in other comprehensive income (loss)			-		(292)		-
	Net investment income				-		-		-
	Purchases				58,581		-		-
	Sales				-		-		-
	Issuances				-		-		(61,450)
	Settlements				-		-		-
	Transfers into Level 3 (1)				-		-		-
	Transfers out of Level 3 (1)				-		(4,943)		-
Fair Value, end of period assets/(liabilities)				$	2,231,480	$	22,526	$	(2,316,741)
					.
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	$	592,438	$	-		(606,724)
			Asset management fees and other income	$	-	$	-		-

				Nine Months Ended September 30, 2014
				Fixed Maturities Available-For-Sale							Trading Account Assets - Equity Securities		Equity Securities Available-for -Sale
				Corporate Securities		Asset- Backed Securities			Commercial Mortgage-Backed Securities
				(in thousands)
Fair Value, beginning of period assets/(liabilities)				$	96,796	$	63,789	$	-	$	313	$	192
	Total gains (losses) (realized/unrealized):
		Included in earnings:
			Realized investment gains (losses), net		149		-		-		-		-
			Asset management fees and other income		-		-		-		15		-
		Included in other comprehensive income (loss)			(513)		394		(83)		-		-
	Net investment income				3,738		110		-		-		-
	Purchases				5,362		14,933		52,518		-		-
	Sales				(202)		-		-		-		(192)
	Issuances				-		-		-		-		-
	Settlements				(1,384)		(39,600)		-		(328)		-
	Transfers into Level 3 (1)				-		28,152		-		-		-
	Transfers out of Level 3 (1)				-		(4,878)		(45,365)		-		-
Fair Value, end of period assets/(liabilities)				$	103,946	$	62,900	$	7,070	$	-	$	-
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	$	-	$	-	$	-	$	15	$	-
				Nine Months Ended September 30, 2014
				Cash Equivalents		Other Long-term Investments		Reinsurance Recoverables			Receivables from parent and affiliates		Future Policy Benefits
				(in thousands)
Fair Value, beginning of period assets/(liabilities)				$	-	$	486	$	748,005	$	6,347		(778,226)
	Total gains (losses) (realized/unrealized):
		Included in earnings:
			Realized investment gains (losses), net		-		-		1,307,462		-		(1,353,916)
			Asset management fees and other income		-		(19)		-		-		-
		Included in other comprehensive income (loss)			-		-		-		(213)		-
	Net investment income				-		-		-		-		-
	Purchases				400		166		176,013		19,350		-
	Sales				-		-		-		-		-
	Issuances				-		-		-		-		(184,599)
	Settlements				-		(5)		-		-		-
	Transfers into Level 3 (1)				-		-		-		1,985		-
	Transfers out of Level 3 (1)				-		-		-		(4,943)		-
Fair Value, end of period assets/(liabilities)				$	400	$	628	$	2,231,480	$	22,526		(2,316,741)
					.		.		.
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	$	-	$	-	$	1,327,516	$	-		(1,374,751)
			Asset management fees and other income	$	-	$	(19)	$	-	$	-		-

					Three Months Ended September 30, 2013
					Fixed Maturities Available-For-Sale							Trading Account Assets - Equity Securities		Other Long Term Investments
					Corporate Securities		Asset Backed Securities		Commercial Mortgage-Backed
					(in thousands)
Fair Value, beginning of period assets/(liabilities)					$	96,192	$	86,086	$	-	$	279	$	407
	Total gains or (losses) (realized/unrealized):
		Included in earnings:
			Realized investment gains (losses), net			-		-		-		-		(19)
			Asset management fees and other income			-		-		-		6		14
		Included in other comprehensive income (loss)				1,243		(226)		1		-		-
	Net investment income					1,188		88		-		-		-
	Purchases					-		-		-				75
	Sales					-		-		8,079		-		-
	Issuances					-		-		-		-		-
	Settlements					(266)		(2,310)		-		-		-
	Transfers into Level 3 (1)					-		-		-		-		-
	Transfers out of Level 3 (1)					(4,522)		-		-		-		-
	Other (3)					-		(2,996)		-		-		-
Fair Value, end of period assets/(liabilities)					$	93,835	$	80,642	$	8,080	$	285	$	477
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		$	-	$	-	$	-	$	-	$	721
			Asset management fees and other income		$	-	$	-	$	-	$	7	$	14
					Three Months Ended September 30, 2013
					Reinsurance Recoverables		Receivables from parent and affiliates		Future Policy Benefits
				(in thousands)
Fair Value, beginning of period assets/(liabilities)					$	654,058	$	5,250	$	(669,989)
	Total gains or (losses) (realized/unrealized):
		Included in earnings:
			Realized investment gains (losses), net			539,919		-		(572,570)
			Asset management fees and other income			-		-		-
			Included in other comprehensive income (loss)			-		39		-
		Net investment income				-		-		-
		Purchases				58,928		2,996		-
		Sales				-		(2,996)		-
		Issuances				-		-		(61,788)
		Settlements				-		-		-
		Transfers into Level 3 (1)				-		-		-
		Transfers out of Level 3 (1)				-		-		-
		Other (3)				-		2,996		-
Fair Value, end of period assets/(liabilities)					$	1,252,905	$	8,285	$	(1,304,347)
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		$	545,040	$	-	$	(577,920)

				Nine Months Ended September 30, 2013
				Fixed Maturities Available-For-Sale							Trading Account Assets - Equity Securities		Other Long Term Investments
				Corporate Securities		Asset Backed Securities		Commercial Mortgage-Backed Securities
				(in thousands)
Fair Value, beginning of period assets/(liabilities)				$	95,555	$	69,298	$	-	$	207	$	1,054
	Total gains or (losses) (realized/unrealized):
		Included in earnings:
			Realized investment gains (losses), net		49		-		-		-		(740)
			Asset management fees and other income		-		-		-		78		51
		Included in other comprehensive income (loss)			(2,817)		(215)		18		-		-
	Net investment income				3,518		404		-		-		-
	Purchases				1,243		25,980		17,169		-		112
	Sales				-		-		-		-		-
	Issuances				-		-		-		-		-
	Settlements				(4,167)		(11,829)		-		-		-
	Transfers into Level 3 (1)				4,976		-		-		-		-
	Transfers out of Level 3 (1)				(4,522)		-		(9,107)		-		-
	Other (3)				-		(2,996)		-		-		-
Fair Value, end of period assets/(liabilities)				$	93,835	$	80,642	$	8,080	$	285	$	477
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	$	-	$	-	$	-	$	79	$	51
					Nine Months Ended September 30, 2013
					Reinsurance Recoverables		Other Assets		Future Policy Benefits
					(in thousands)
Fair Value, beginning of period assets/(liabilities)				$	1,732,094	$	1,995	$	(1,793,136)
	Total gains or (losses) (realized/unrealized):
		Included in earnings:
			Realized investment gains (losses), net		(655,869)		-		674,014
			Asset management fees and other income		-		-		-
			Included in other comprehensive income (loss)		-		40		-
		Net investment income			-		-		-
		Purchases			176,680		6,250		-
		Sales			-		(2,996)		-
		Issuances			-		-		(185,225)
		Settlements			-		-		-
		Transfers into Level 3 (1)			-		-		-
		Transfers out of Level 3 (1)			-		-		-
		Other (3)			-		2,996		-
Fair Value, end of period assets/(liabilities)				$	1,252,905	$	8,285	$	(1,304,347)
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	$	(618,782)	$	-	$	636,071
			Asset management fees and other income	$	-	$	-	$	-

(1)Transfers into or out of Level 3 are 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, 2014
				Fair Value								Carrying Amount (1)
				Level 1		Level 2		Level 3		Total		Total
			(in thousands)
Assets:
	Commercial mortgage and other loans		$	-	$	2,678	$	437,098	$	439,776	$	413,330
	Policy loans			-		-		12,911		12,911		12,911
	Other long term investments			-		-		2,433		2,433		2,041
	Cash and cash equivalents			300		-		-		300		300
	Accrued investment income			-		29,481		-		29,481		29,481
	Receivables from parent and affiliates			-		12,270		-		12,270		12,270
	Other assets			-		2,546		-		2,546		2,546
		Total assets	$	300	$	46,975	$	452,442	$	499,717	$	472,879
Liabilities:
	Policyholders' account balances - investment contracts		$	-	$	-	$	89,008	$	89,008	$	90,560
	Cash collateral for loaned securities			-		22,273		-		22,273		22,273
	Short-term debt			-		201,891		-		201,891		200,000
	Payables to parent and affiliates			-		35,823		-		35,823		35,823
	Other liabilities			-		81,937		-		81,937		81,937
	Separate account liabilities - investment contracts			-		534		-		534		534
		Total liabilities	$	-	$	342,458	$	89,008	$	431,466	$	431,127

				December 31, 2013
				Fair Value								Carrying Amount (1)
				Level 1		Level 2		Level 3		Total		Total
			(in thousands)
Assets:
	Commercial mortgage and other loans		$	-	$	-	$	422,584	$	422,584	$	398,991
	Policy loans			-		-		12,454		12,454		12,454
	Other long term investments			-		-		1,623		1,623		1,440
	Cash and cash equivalents			1,417		-		-		1,417		1,417
	Accrued investment income			-		32,169		-		32,169		32,169
	Receivables from parent and affiliates			-		10,177		-		10,177		10,177
	Other assets			-		11,190		-		11,190		11,190
		Total assets	$	1,417	$	53,536	$	436,661	$	491,614	$	467,838
Liabilities:
	Policyholders' account balances - investment contracts		$	-	$	-	$	84,153	$	84,153	$	85,672
	Cash collateral for loaned securities			-		47,896		-		47,896		47,896
	Short-term debt			-		218,488		-		218,488		205,000
	Payables to parent and affiliates			-		85,204		-		85,204		85,204
	Other liabilities			-		101,656		-		101,656		101,656
	Separate account liabilities - investment contracts			-		796		-		796		796
		Total liabilities	$	-	$	454,040	$	84,153	$	538,193	$	526,224

• Carrying values presented herein differ from those in the Company's Unaudited Interim 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 September 30, 2014
		Fair Value	Primary Valuation Techniques	Unobservable Inputs	Minimum	Maximum	Weighted Average	Impact of Increase in Input on Fair Value (1)
	(in thousands)
Assets:
Corporate securities	$	102,067	Discounted cash flow	Discount rate	3.59%	11.35%	3.99%	Decrease
Reinsurance recoverables	$	2,231,480	Fair values are determined in the same manner as future policy benefits
Liabilities:
Future policy benefits (2)	$	2,316,741	Discounted cash flow	Lapse rate (3)	0%	14%		Decrease
				NPR spread (4)	0.04%	1.14%		Decrease
				Utilization rate (5)	63%	95%		Increase
				Withdrawal rate (6)	74%	100%		Increase
				Mortality rate (7)	0%	14%		Decrease
				Equity Volatility curve	16%	28%		Increase
	As of December 31, 2013
		Fair Value	Primary Valuation Techniques	Unobservable Inputs	Minimum	Maximum	Weighted Average	Impact of Increase in Input on Fair Value (1)
	(in thousands)
Assets:
Corporate securities	$	94,730	Discounted cash flow	Discount rate	3.73%	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 flow	Lapse 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 curve	15%	28%		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 cashflow projection period, presenting a range, rather than weighted average, is a more meaningful representation of the unobservable inputs used in the valuation.
• Lapse rates are adjusted at the contract level based on a the in-the-moneyness of the livingbenefit, and reflect other factors, such as the applicability of any surrender charges. Lapse rates are reduced when contracts are more in-the-money. 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. The NPR spread reflects the financial strength ratings of the Company, 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. Utilization assumptions may vary by product type, tax status, and age. The impact of changes in these assumptions is highly dependent on the product type, the 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. These assumptions may vary based on the product type,contractholder, age, tax status, and withdrawal timing. 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 September 30, 2014
		Internal (1)		External (2)		Total
	(in thousands)
Corporate securities	$	102,067	$	1,879	$	103,946
Asset-backed securities		-		62,900		62,900
Commercial mortgage-backed securities		-		7,070		7,070
Cash equivalents		400		-		400
Other long-term investments		-		628		628
Reinsurance recoverables		2,231,480		-		2,231,480
Receivables from parent and affiliates		-		22,526		22,526
Total assets	$	2,333,947	$	95,003	$	2,428,950
Future policy benefits		2,316,741		-		2,316,741
Total liabilities	$	2,316,741	$	-	$	2,316,741
	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

• Represents valuations reflecting both 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 indicative broker quotes where pricing inputs are not readily available.