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