Fair Value (Tables)

12 Months Ended

Dec. 31, 2015

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, 2015 and December 31, 2014.


December 31, 2015
Description for Each Class of Asset or Liability ($ in thousands)	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	$	10,621		$	157,957		$	—		$	168,578
Obligations of U.S. States and Political Subdivisions		—			720,757			—			720,757
Foreign government		—			61,643			—			61,643
All Other Corporate Securities		—			5,727,155			11,520			5,738,675
ABS		—			522,531			14,260			536,791
CMBS		—			506,699			—			506,699
RMBS		—			212,799			—			212,799
Short term investments		166,358			18,462			—			184,820
Other invested assets
Equity Options		17,627			—			—			17,627
Futures		108			—			—			108
Separate accounts assets		1,395,141			—			—			1,395,141

Total assets at fair value	$	1,589,855		$	7,928,003		$	25,780		$	9,543,638

Liabilities at fair value
Policyholders’ account balances
Equity indexed annuity contracts	$	—		$	—		$	(64,138	)	$	(64,138	)
Equity indexed life contracts		—			(11,701	)		—			(11,701	)
Guaranteed minimum accumulation benefits		—			—			(7,499	)		(7,499	)
Guaranteed minimum withdrawal benefits		—			—			(315	)		(315	)
Separate accounts liabilities		(1,395,141	)		—			—			(1,395,141	)

Total liabilities at fair value	$	(1,395,141	)	$	(11,701	)	$	(71,952	)	$	(1,478,794	)


December 31, 2014
Description for Each Class of Asset or Liability ($ in thousands)	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	$	12,408		$	295,544		$	—		$	307,952
Obligations of U.S. States and Political Subdivisions		—			543,735			—			543,735
Foreign government		—			255,208			—			255,208
All Other Corporate Securities		—			7,370,409			7,336			7,377,745
ABS		—			377,393			5,250			382,643
CMBS		—			330,790			2,693			333,483
RMBS		—			189,881			—			189,881
Short term investments		191,979			145,677			23,713			361,369
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	$	1,804,253		$	9,508,637		$	38,992		$	11,351,882

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 liabilities 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

(64,138

)

Option Pricing Technique

Projected Option Cost

1.40% - 2.11%

1.70%

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 for the year ended December 31, 2015 and for the period from April 1, 2014 through December 31, 2014:


($ in thousands)	Balance as of January 1, 2015			Net income (loss)			OCI			Transfers to Level 3		Transfers out of Level 3			Purchases		Sales			Issues		Settlements			Balance, December 31, 2015
Assets
Fixed income securities
All other corporate securities	$	7,336		$	(282	)	$	30		$	13,255	$	(2,386	)	$	—	$	—		$	—	$	(6,433	)	$	11,520
ABS		5,250			134			(2,338	)		17,191		—			—		(5,000	)		—		(977	)		14,260
CMBS		2,693			23,506			314			—		—			—		(20,192	)		—		(6,321	)		—
Short-term investments		23,713			14			—			—		—			—		—			—		(23,727	)		—
Liabilities
Equity indexed annuity contracts		(63,660	)		(478	)		—			—		—			—		—			—		—			(64,138	)
Guaranteed minimum accumulation benefits and guaranteed minimum withdrawal benefits⁽¹⁾		(6,733	)		(1,081	)		—			—		—			—		—			—		—			(7,814	)

($ 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	$	396,694		$	4,514		$	(7,472	)	$	—	$	(289,172	)	$	—	$	(97,228	)	$	—	$	—		$	7,336
ABS		436			—			(55	)		—		—			4,930		—			—		(61	)		5,250
CMBS		3,397			2,179			(314	)		—		—			—		—			—		(2,569	)		2,693
Short-term investments		24,095			29			—			—		—			—		(411	)		—		—			23,713
Liabilities
Equity indexed annuity contracts		(58,038	)		(5,622	)		—			—		—			—		—			—		—			(63,660	)
Guaranteed minimum 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, 2015 and December 31, 2014:


December 31, 2015 ($ in thousands)
December 31, 2015 ($ in thousands)	Level 1		Level 2		Level 3		Total
Assets
Commercial mortgage loans	$	—	$	—	$	1,536,638	$	1,536,638
Policy loans		—		—		186,827		186,827
Cash		49,121		—		—		49,121
Vehicle note		—		—		638,270		638,270

Total assets at fair value	$	49,121	$	—	$	2,361,735	$	2,410,856

Liabilities at fair value
Policyholders’ account balances — investment contracts	$	—	$	—	$	5,967,973	$	5,967,973
Other long-term debt		—		—		638,270		638,270

	$	—	$	—	$	6,606,243	$	6,606,243

December 31, 2014 ($ in thousands)
December 31, 2014 ($ in thousands)	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

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:
($ in thousands)	Balance as of December 31, 2013			Net income⁽¹⁾		OCI			Transfers into Level 3		Transfers out of Level 3
Liabilities
Contractholder funds:
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
Contractholder funds:
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:
($ in thousands)	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.

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
Liabilities
Policyholders’ account balances:
Derivatives embedded in life and annuity contracts	$	18,525	$	43,244

Total recurring Level 3 liabilities	$	18,525	$	43,244