Fair Value (Tables)
|
12 Months Ended |
Dec. 31, 2016 |
|---|
| Summary of Assets and Liabilities Measured at Fair Value on a Recurring and Non-Recurring Basis |
There are no assets or liabilities measured at fair value on a
nonrecurring basis as of December 31, 2016 or 2015. The
following table summarizes the Company’s assets and
liabilities measured at fair value on a recurring basis as of
December 31, 2016 and 2015:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| December 31, 2016 |
|
|
|
|
|
|
|
|
|
|
|
|
|
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, available for sale
|
|
$ |
97,836 |
|
|
$ |
396,928 |
|
|
$ |
6,573 |
|
|
$ |
501,337 |
|
|
U.S. Treasury Securities and Obligations of U.S. Government
Authority and Agencies, at fair value option(1)
|
|
|
— |
|
|
|
14,615 |
|
|
|
— |
|
|
|
14,615 |
|
|
Obligations of U.S. States and Political Subdivisions
|
|
|
— |
|
|
|
709,737 |
|
|
|
— |
|
|
|
709,737 |
|
|
Foreign government
|
|
|
— |
|
|
|
28,055 |
|
|
|
— |
|
|
|
28,055 |
|
|
All other corporate securities
|
|
|
— |
|
|
|
5,867,475 |
|
|
|
19,351 |
|
|
|
5,886,826 |
|
|
ABS
|
|
|
— |
|
|
|
481,628 |
|
|
|
26,135 |
|
|
|
507,763 |
|
|
CMBS
|
|
|
— |
|
|
|
381,262 |
|
|
|
— |
|
|
|
381,262 |
|
|
RMBS
|
|
|
— |
|
|
|
183,145 |
|
|
|
— |
|
|
|
183,145 |
|
|
Equity securities
|
|
|
5,100 |
|
|
|
— |
|
|
|
— |
|
|
|
5,100 |
|
|
Short term investments
|
|
|
129,660 |
|
|
|
— |
|
|
|
— |
|
|
|
129,660 |
|
|
Other invested assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity options
|
|
|
19,090 |
|
|
|
— |
|
|
|
— |
|
|
|
19,090 |
|
|
Futures
|
|
|
(141 |
) |
|
|
— |
|
|
|
— |
|
|
|
(141 |
) |
|
Separate accounts assets
|
|
|
1,342,220 |
|
|
|
— |
|
|
|
— |
|
|
|
1,342,220 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets at fair value
|
|
$ |
1,593,765 |
|
|
$ |
8,062,845 |
|
|
$ |
52,059 |
|
|
$ |
9,708,669 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities at fair value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Policyholders’ account balances
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity indexed annuity contracts
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(55,871 |
) |
|
$ |
(55,871 |
) |
|
Equity indexed life contracts
|
|
|
— |
|
|
|
(23,803 |
) |
|
|
— |
|
|
|
(23,803 |
) |
|
Guaranteed minimum accumulation benefits
|
|
|
— |
|
|
|
— |
|
|
|
(6,724 |
) |
|
|
(6,724 |
) |
|
Guaranteed minimum withdrawal benefits
|
|
|
— |
|
|
|
— |
|
|
|
(111 |
) |
|
|
(111 |
) |
|
Separate accounts liabilities
|
|
|
(1,342,220 |
) |
|
|
— |
|
|
|
— |
|
|
|
(1,342,220 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities at fair value
|
|
$ |
(1,342,220 |
) |
|
$ |
(23,803 |
) |
|
$ |
(62,706 |
) |
|
$ |
(1,428,729 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (1) |
Embedded derivatives within fixed
maturity securities held at fair value option are reported with the
host investment. The change in fair value of embedded derivatives
are reported in Realized Investment Gains, net in the Consolidated
Statement of Operations and Comprehensive Income (Loss). |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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, 2016 and 2015.
|
|
|
|
|
|
|
|
|
|
|
|
|
| December 31, 2016 |
|
|
|
|
|
|
|
|
|
|
|
|
($ in thousands)
|
|
Fair
Value |
|
|
Valuation
Technique
|
|
Unobservable
Input
|
|
Range |
|
Weighted
Average |
|
Equity indexed annuity contracts
|
|
$ |
(55,871 |
) |
|
Option Pricing
Technique |
|
Projected Option Cost |
|
1.40% - 1.84% |
|
1.45% |
|
|
|
|
|
|
| December 31, 2015 |
|
|
|
|
|
|
|
|
|
|
|
|
($ 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
years ended December 31, 2016 and 2015 and the period from
April 1, 2014 through December 31, 2014:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ($ in thousands) |
|
Balance,
January 1,
2016 |
|
|
Net
income
(loss) |
|
|
OCI |
|
|
Transfers
to Level 3 |
|
|
Transfers
out of
Level 3 |
|
|
Purchases |
|
|
Sales |
|
|
Issues |
|
|
Settlements |
|
|
Balance,
December 31,
2016 |
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed income maturities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S Treasury Securities and Obligations of U.S. Government
Authority and Agencies, available for sale
|
|
$ |
— |
|
|
$ |
(491 |
) |
|
$ |
187 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
6,877 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
6,573 |
|
|
All other corporate securities
|
|
|
11,520 |
|
|
|
(123 |
) |
|
|
(246 |
) |
|
|
15,370 |
|
|
|
(4,483 |
) |
|
|
— |
|
|
|
(955 |
) |
|
|
— |
|
|
|
(1,732 |
) |
|
|
19,351 |
|
|
ABS
|
|
|
14,260 |
|
|
|
(53 |
) |
|
|
347 |
|
|
|
3,093 |
|
|
|
— |
|
|
|
11,165 |
|
|
|
— |
|
|
|
— |
|
|
|
(2,677 |
) |
|
|
26,135 |
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity indexed annuity contracts
|
|
|
(64,138 |
) |
|
|
8,267 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(55,871 |
) |
|
Guaranteed minimum accumulation benefits and guaranteed minimum
withdrawal benefits(1)
|
|
|
(7,814 |
) |
|
|
979 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(6,835 |
) |
|
|
|
|
|
|
|
|
|
|
|
| ($ in thousands) |
|
Balance,
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 maturities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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,
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 maturities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 amounts 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 fair value by fair value hierarchy
level of certain financial instruments that are not reported at
fair value. However, in some cases, as described below, the
carrying amount equals or approximates fair value as of
December 31, 2016 and 2015:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2016
($ in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial mortgage loans
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,465,113 |
|
|
$ |
1,465,113 |
|
|
Policy loans
|
|
|
— |
|
|
|
— |
|
|
|
178,890 |
|
|
|
178,890 |
|
|
Cash
|
|
|
648 |
|
|
|
— |
|
|
|
— |
|
|
|
648 |
|
|
Vehicle note
|
|
|
— |
|
|
|
— |
|
|
|
684,855 |
|
|
|
684,855 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets at fair value
|
|
$ |
648 |
|
|
$ |
— |
|
|
$ |
2,328,858 |
|
|
$ |
2,329,506 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities at fair value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Policyholders’ account balances — investment
contracts
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
5,418,188 |
|
|
$ |
5,418,188 |
|
|
Other long-term debt
|
|
|
— |
|
|
|
— |
|
|
|
684,855 |
|
|
|
684,855 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
6,103,043 |
|
|
$ |
6,103,043 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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: |
|
|
|
|
|
|
|
| |
Balance as
of January 1,
2014 |
|
|
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 $946 thousand in contract benefits. These amounts
were ceded in accordance with the Company’s reinsurance
agreements. |
|
| Schedule of Change in Unrealized Gains and Losses Included in Net Income for Level 3 Assets and Liabilities Held |
The following table provides the change in unrealized gains and
losses included in net income for Level 3 assets and
liabilities.
|
|
|
|
|
|
($ in thousands)
|
|
Period from
January 1,
2014 through
March 31,
2014 |
|
|
Liabilities
|
|
|
|
|
|
Policyholders’ account balances:
|
|
|
|
|
|
Derivatives embedded in life and annuity contracts
|
|
$ |
18,525 |
|
|
|
|
|
|
|
Total recurring Level 3 liabilities
|
|
$ |
18,525 |
|
|
|
|
|
|
|