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Fair Value (Tables)
12 Months Ended
Dec. 31, 2014
Summary of Assets and Liabilities Measured at Fair Value on a Recurring and Non-Recurring Basis

The following table summarizes the Company’s assets and liabilities measured at fair value on a recurring basis as of December 31, 2014. There are no assets or liabilities measured at fair value on a nonrecurring basis as of December 31, 2014.

 

($ in thousands)                         

Description for Each Class of Asset or Liability

   Level 1     Level 2     Level 3     Total  

Assets at fair value

        

Fixed maturities

        

U.S Treasury Securities and Obligations of U.S. Government Authority and Agencies

   $ —        $ 857,326      $ —        $ 857,326   

Obligations of U.S. States and Political Subdivisions

     —          255,209        —          255,209   

All Other Corporate Securities

     —          7,370,409        7,336        7,377,745   

ABS

     —          371,753        5,250        377,003   

CMBS

     —          330,790        2,693        333,483   

RMBS

     —          189,881        —          189,881   

Short term investments

     191,979        145,676        23,713        361,368   

Other invested assets

        

Equity Options

     25,672        —          —          25,672   

Futures

     329        —          —          329   

Separate accounts assets

     1,573,865        —          —          1,573,865   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total assets at fair value

$ 1,791,845    $ 9,521,044    $ 38,992    $ 11,351,881   
  

 

 

   

 

 

   

 

 

   

 

 

 

Liabilities at fair value

Policyholders’ account balances

Equity indexed annuity contracts

$ —      $ —      $ (63,660 $ (63,660

Equity indexed life contracts

  —        (18,720   —        (18,720

Guaranteed minimum accumulation benefits

  —        —        (6,367   (6,367

Guaranteed minimum withdrawal benefits

  (366   (366

Separate accounts liabilities

  (1,573,865   —        —        (1,573,865
  

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilites at fair value

$ (1,573,865 $ (18,720 $ (70,393 $ (1,662,978
  

 

 

   

 

 

   

 

 

   

 

 

 
Summary of Quantitative Information About the Significant Unobservable Inputs Used in Level 3 Fair Value Measurements

The following table summarizes quantitative information about the significant unobservable inputs used in Level 3 fair value measurements.

 

($ in thousands)

   Fair
Value
   

Valuation
Technique

  

Unobservable
Input

   Range    Weighted
Average

Equity indexed annuity contracts

   $ (63,660   Option Pricing Technique    Projected option cost    1.40% - 1.93%    1.50%
Schedule of Rollforward of Level 3 Assets and Liabilities Held at Fair Value on a Recurring Basis

The following table presents the rollforward of Level 3 assets and liabilities held at fair value on a recurring basis from the period from April 1, 2014 through December 31, 2014:

 

($ in thousands)   Balance
as of
April 1,
2014
    Net
income
(loss)
    OCI     Transfers
to Level 3
    Transfers
out of
Level 3
    Purchases     Sales     Issues     Settlements     Balance,
December 31,
2014
 

Assets

                   

Fixed income securities

                   

All other corporate securities

  $ 400,527      $ 6,693      $ (7,841   $ —        $
(291,802

  $ 4,930      $ (97,228   $ —        $ —        $ 15,279   

Short-term investments

  $ 24,095      $ 29      $ —        $ —        $ —        $ —        $ (411   $ —        $ —        $ 23,713   

Liabilities

                   

Equity indexed annuity contracts

  $ (58,038   $ (5,622   $ —        $ —        $ —        $ —        $ —        $ —        $ —        $ (63,660

Equity indexed life contracts

  $ (15,691   $ (3,029   $ —        $ —        $ —        $ —        $ —        $ —        $ —        $ (18,720

Guaranteed minimium accumulation benefits and guaranteed minimum withdrawal benefits(1)

  $ (8,499   $ 1,766      $ —        $ —        $ —        $ —        $ —        $ —        $ —        $ (6,733

 

(1) These amount are 100% ceded in accordance with the Company’s reinsurance agreements.
Schedule of Carrying Value of Financial Instruments Presented in Consolidated Balance Sheet

The following table presents the carrying amount and fair value by fair value hierarchy level of certain financial instruments that are not reported at fair value. The financial instruments presented below are reported at carrying value on the Company’s Consolidated Balance Sheet; however, in some cases, as described below, the carrying amount equals or approximates fair value as of December 31, 2014.

 

($ in thousands)                            

Description for Each Class of Asset or Liability

   Level 1      Level 2      Level 3      Total  

Assets

           

Commercial mortgage loans

   $ —         $ —         $ 1,150,510       $ 1,150,510   

Policy loans

     —           —           194,385         194,385   

Cash

     49,730         —           —           49,730   

Vehicle note

     —           —           551,600         551,600   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total assets at fair value

$ 49,730    $ —      $ 1,896,495    $ 1,946,225   
  

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities at fair value

Policyholders’ account balances — investment contracts

$ —      $ —      $ 6,609,253    $ 6,609,253   

Other long-term debt

  —        —        551,600      551,600   
  

 

 

    

 

 

    

 

 

    

 

 

 
$ —      $ —      $ 7,160,853    $ 7,160,853   
  

 

 

    

 

 

    

 

 

    

 

 

 

Predecessor  
Summary of Assets and Liabilities Measured at Fair Value on a Recurring and Non-Recurring Basis

The following table summarizes the Company’s assets and liabilities measured at fair value on a recurring basis as of December 31, 2013. There were no assets or liabilities measured at fair value on a non-recurring basis as of December 31, 2013.

 

($ in thousands)

   Quoted
prices in
active
markets for
identical
assets

(Level 1)
    Significant
other
observable
inputs
(Level 2)
    Significant
unobservable
inputs

(Level 3)
    Balance as of
December 31,
2013
 

Assets:

        

Fixed maturities:

        

U.S. government and agencies

   $ 27,520      $ 46,326      $ —        $ 73,846   

Municipal

     —          2,769        —          2,769   

Corporate

     —          191,977        —          191,977   

Foreign government

     —          5,164        —          5,164   

RMBS

     —          14,450        —          14,450   

CMBS

     —          2,676        —          2,676   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total fixed maturities

  27,520      263,362      —        290,882   

Short-term investments

  20,764      35,195      —        55,959   

Separate account assets

  1,700,566      —        —        1,700,566   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total assets at fair value

$ 1,748,850    $ 298,557    $ —      $ 2,047,407   
  

 

 

   

 

 

   

 

 

   

 

 

 

% of total assets at fair value

  85.4   14.6   —     100.0

Liabilities:

Policyholders’ account balances: Derivatives embedded in life and annuity contracts

$ —      $ —      $ (267,859 $ (267,859
  

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities at fair value

$ —      $ —      $ (267,859 $ (267,859
  

 

 

   

 

 

   

 

 

   

 

 

 

% of total liabilities at fair value

  —     —     100.0   100.0

 

Summary of Quantitative Information About the Significant Unobservable Inputs Used in Level 3 Fair Value Measurements

The following table summarizes quantitative information about the significant unobservable inputs used in Level 3 fair value measurements as of December 31, 2013:

 

($ in thousands)

   Fair Value     Valuation
Technique
   Unobservable
Input
   Range    Weighted
Average

Derivatives embedded in life and annuity contracts — Equity-indexed and forward starting options

   $ (258,415   Stochastic cash
flow model
   Projected option
cost
   1.0 - 2.0%    1.91%
Schedule of Rollforward of Level 3 Assets and Liabilities Held at Fair Value on a Recurring Basis

The following table presents the rollforward of Level 3 assets and liabilities held at fair value on a recurring basis during the period from January 1, 2014 through March 31, 2014.

 

($ in thousands)

         Total gains (losses)
included in:
              
   Balance as
of December 31,
2013
    Net
income(1)
     OCI     Transfers
into
Level 3
     Transfers
out of
Level 3
 

Liabilities

       

Policyholders’ account balances:

            

Derivatives embedded in life and annuity contracts

   $ (267,859   $ 18,525       $ —        $ —         $ —     
  

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Total recurring Level 3 liabilities

$ (267,859 $ 18,525    $ —      $ —      $ —     
  

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 
     Purchases     Sales      Issues     Settlements      Balance as
of March 31,
2014
 

Liabilities

       

Policyholders’ account balances:

            

Derivatives embedded in life and annuity contracts

   $ —        $ —         $ (3,764   $ 2,612       $ (250,486
  

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

Total recurring Level 3 liabilities

$ —      $ —      $ (3,764 $ 2,612    $ (250,486
  

 

 

   

 

 

    

 

 

   

 

 

    

 

 

 

 

(1)  The amount attributable to derivatives embedded in life and annuity contracts was reported as follows: $17.6 million in interest credited to contractholder funds and $946 thousand in contract benefits. These amounts were ceded in accordance with the Company’s reinsurance agreements.

 

The following table presents the rollforward of Level 3 assets and liabilities held at fair value on a recurring basis during the year ended December 31, 2013.

 

($ in thousands)

         Total gains (losses)
included in:
               
   Balance as
of December 31,
2012
    Net
income(1)
     OCI      Transfers
into

Level 3
     Transfers
out of
Level 3
 

Assets

             

Fixed maturities:

             

Corporate

   $ 312     $ —         $ —         $ —         $ —     
  

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Total recurring Level 3 assets

$ 312   $ —      $ —      $ —      $ —     
  

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities

Policyholders’ account balances:

Derivatives embedded in life and annuity contracts

$ (314,926 $ 43,244    $ —      $ —      $ —     
  

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

Total recurring Level 3 liabilities

$ (314,926 $ 43,244    $ —      $ —      $ —     
  

 

 

   

 

 

    

 

 

    

 

 

    

 

 

 

 

     Purchases      Sales      Issues     Settlements     Balance as
of December 31,
2013
 

Assets

            

Fixed maturities:

            

Corporate

   $ —         $ —         $ —        $ (312   $ —     
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

 

Total recurring Level 3 assets

$ —      $ —      $ —      $ (312 $ —     
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

 

Liabilities

Policyholders’ account balances:

Derivatives embedded in life and annuity contracts

$ —      $ —      $ (6,621 $ 10,444    $ (267,859
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

 

Total recurring Level 3 liabilities

$ —      $ —      $ (6,621 $ 10,444    $ (267,859
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

 

 

(1)  The amount attributable to derivatives embedded in life and annuity contracts was reported as follows: $33.0 million in interest credited to contractholder funds and $10.2 million in contract benefits. These amounts were ceded in accordance with the Company’s reinsurance agreements.

 

The following table presents the rollforward of Level 3 assets and liabilities held at fair value on a recurring basis during the year ended December 31, 2012.

 

($ in thousands)

         Total gains (losses)
included in:
             
   Balance as
of December 31,
2011
    Net
income(1)
     OCI     Transfers
into
Level 3
    Transfers
out of
Level 3
 

Assets

           

Fixed maturities:

           

Corporate

   $ 598     $ —        $ —       $ —       $ —    

RMBS

     2,321       —          —         —         (2,321
  

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

Total recurring Level 3 assets

$ 2,919   $ —     $ —     $ —     $ (2,321
  

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

Liabilities

Policyholders’ account balances:

Derivatives embedded in life and annuity contracts

$ (506,678 $ 131,054   $ —     $ —     $ —    
  

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

Total recurring Level 3 liabilities

$ (506,678 $ 131,054   $ —     $ —     $ —    
  

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 
     Purchases     Sales      Issues     Settlements     Balance as
of December 31,
2012
 

Assets

           

Fixed maturities:

           

Corporate

   $ —       $ —        $ —       $ (286   $ 312  

RMBS

     —         —          —         —         —    
  

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

Total recurring Level 3 assets

$ —     $ —     $ —     $ (286 $ 312  
  

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

Liabilities

Policyholders’ account balances:

Derivatives embedded in life and annuity contracts

$ —     $ —     $ (11,024 $ 71,722   $ (314,926
  

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

Total recurring Level 3 liabilities

$ —     $ —     $ (11,024 $ 71,722   $ (314,926
  

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

 

(1)  The amount attributable to derivatives embedded in life and annuity contracts was reported as follows: $125.9 million in interest credited to contractholder funds and $5.1 million in contract benefits. These amounts were ceded in accordance with the Company’s reinsurance agreements.
Schedule of Change in Unrealized Gains and Losses Included in Net Income for Level 3 Assets and Liabilities Held

The following table provides the change in unrealized gains and losses included in net income for Level 3 assets and liabilities.

 

($ in thousands)

   Period from
January 1,
2014 through
March 31,
2014
     As of
December 31, 2013
     As of
December 31, 2012
 

Liabilities

        

Policyholders’ account balances:

        

Derivatives embedded in life and annuity contracts

   $ 18,525       $ 43,244       $ 131,054   
  

 

 

    

 

 

    

 

 

 

Total recurring Level 3 liabilities

$ 18,525    $ 43,244    $ 131,054