Fair Value (Tables)
|
12 Months Ended |
Dec. 31, 2018 |
|---|
| Summary of Assets and Liabilities Measured at Fair Value on a Recurring and Non-Recurring Basis |
December 31, 2018
Description for Each Class of Asset or Liability
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
($ in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets at fair value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed maturities, available for sale
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Securities and Obligations of U.S. Government
Authority and Agencies
|
|
$ |
94,902 |
|
|
$ |
206,690 |
|
|
$ |
334 |
|
|
$ |
301,926 |
|
|
Obligations of U.S. States and Political Subdivisions
|
|
|
— |
|
|
|
762,465 |
|
|
|
— |
|
|
|
762,465 |
|
|
Foreign government
|
|
|
— |
|
|
|
19,977 |
|
|
|
— |
|
|
|
19,977 |
|
|
All other corporate securities
|
|
|
— |
|
|
|
5,511,797 |
|
|
|
12,609 |
|
|
|
5,524,406 |
|
|
ABS
|
|
|
— |
|
|
|
391,260 |
|
|
|
785 |
|
|
|
392,045 |
|
|
CMBS
|
|
|
— |
|
|
|
300,967 |
|
|
|
— |
|
|
|
300,967 |
|
|
RMBS
|
|
|
— |
|
|
|
87,688 |
|
|
|
— |
|
|
|
87,688 |
|
|
Redeemable preferred stock
|
|
|
— |
|
|
|
14,800 |
|
|
|
— |
|
|
|
14,800 |
|
|
Fixed maturities, trading
|
|
|
— |
|
|
|
197,651 |
|
|
|
— |
|
|
|
197,651 |
|
|
Fixed maturities, fair value option
|
|
|
— |
|
|
|
10,028 |
|
|
|
— |
|
|
|
10,028 |
|
|
Common stock
|
|
|
— |
|
|
|
— |
|
|
|
6,988 |
|
|
|
6,988 |
|
|
Short-term investments
|
|
|
269,016 |
|
|
|
— |
|
|
|
— |
|
|
|
269,016 |
|
|
Other invested assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity options
|
|
|
3,515 |
|
|
|
— |
|
|
|
— |
|
|
|
3,515 |
|
|
Futures
|
|
|
(539 |
) |
|
|
— |
|
|
|
— |
|
|
|
(539 |
) |
|
Separate accounts assets
|
|
|
1,266,912 |
|
|
|
— |
|
|
|
— |
|
|
|
1,266,912 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets at fair value
|
|
$ |
1,633,806 |
|
|
$ |
7,503,323 |
|
|
$ |
20,716 |
|
|
$ |
9,157,845 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities at fair value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Policyholders’ account balances
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity indexed annuity contracts
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(44,947 |
) |
|
$ |
(44,947 |
) |
|
Equity indexed life contracts
|
|
|
— |
|
|
|
(8,624 |
) |
|
|
— |
|
|
|
(8,624 |
) |
|
Guaranteed minimum accumulation benefits
|
|
|
— |
|
|
|
— |
|
|
|
(5,203 |
) |
|
|
(5,203 |
) |
|
Guaranteed minimum withdrawal benefits
|
|
|
— |
|
|
|
— |
|
|
|
(113 |
) |
|
|
(113 |
) |
|
Separate accounts liabilities
|
|
|
(1,266,912 |
) |
|
|
— |
|
|
|
— |
|
|
|
(1,266,912 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities at fair value
|
|
$ |
(1,266,912 |
) |
|
$ |
(8,624 |
) |
|
$ |
(50,263 |
) |
|
$ |
(1,325,799 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2017
Description for Each Class of Asset or Liability
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
($ in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets at fair value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed maturities, available for sale
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Securities and Obligations of U.S. Government
Authority and Agencies
|
|
$ |
156,959 |
|
|
$ |
247,739 |
|
|
$ |
4,897 |
|
|
$ |
409,595 |
|
|
Obligations of U.S. States and Political Subdivisions
|
|
|
— |
|
|
|
776,531 |
|
|
|
— |
|
|
|
776,531 |
|
|
Foreign government
|
|
|
— |
|
|
|
22,791 |
|
|
|
— |
|
|
|
22,791 |
|
|
All other corporate securities
|
|
|
— |
|
|
|
6,371,395 |
|
|
|
18,351 |
|
|
|
6,389,746 |
|
|
ABS
|
|
|
— |
|
|
|
462,290 |
|
|
|
17,933 |
|
|
|
480,223 |
|
|
CMBS
|
|
|
— |
|
|
|
187,825 |
|
|
|
— |
|
|
|
187,825 |
|
|
RMBS
|
|
|
— |
|
|
|
133,450 |
|
|
|
— |
|
|
|
133,450 |
|
|
Redeemable preferred stock
|
|
|
— |
|
|
|
14,800 |
|
|
|
— |
|
|
|
14,800 |
|
|
Fixed maturities, trading
|
|
|
|
|
|
|
97,819 |
|
|
|
|
|
|
|
97,819 |
|
|
Fixed maturities, fair value option
|
|
|
— |
|
|
|
12,095 |
|
|
|
— |
|
|
|
12,095 |
|
|
Common stock
|
|
|
— |
|
|
|
— |
|
|
|
8,152 |
|
|
|
8,152 |
|
|
Short-term investments
|
|
|
190,376 |
|
|
|
— |
|
|
|
— |
|
|
|
190,376 |
|
|
Other invested assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity options
|
|
|
21,045 |
|
|
|
— |
|
|
|
— |
|
|
|
21,045 |
|
|
Separate accounts assets
|
|
|
1,460,380 |
|
|
|
— |
|
|
|
— |
|
|
|
1,460,380 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets at fair value
|
|
$ |
1,828,760 |
|
|
$ |
8,326,735 |
|
|
$ |
49,333 |
|
|
$ |
10,204,828 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities at fair value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Policyholders’ account balances
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity indexed annuity contracts
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(57,531 |
) |
|
$ |
(57,531 |
) |
|
Equity indexed life contracts
|
|
|
— |
|
|
|
(29,911 |
) |
|
|
— |
|
|
|
(29,911 |
) |
|
Guaranteed minimum accumulation benefits
|
|
|
— |
|
|
|
— |
|
|
|
(4,557 |
) |
|
|
(4,557 |
) |
|
Guaranteed minimum withdrawal benefits
|
|
|
— |
|
|
|
— |
|
|
|
(113 |
) |
|
|
(113 |
) |
|
Separate accounts liabilities
|
|
|
(1,460,380 |
) |
|
|
— |
|
|
|
— |
|
|
|
(1,460,380 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities at fair value
|
|
$ |
(1,460,380 |
) |
|
$ |
(29,911 |
) |
|
$ |
(62,201 |
) |
|
$ |
(1,552,492 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Summary of Quantitative Information About the Significant Unobservable Inputs Used in Level 3 Fair Value Measurements |
Quantitative information about the significant unobservable inputs
used in Level 3 fair value measurements was as follows as of
December 31, 2018 and 2017:
December 31, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ($ in thousands) |
|
Fair Value |
|
|
Valuation Technique |
|
Unobservable
Input |
|
Range |
|
Weighted
Average |
|
|
Equity indexed annuity contracts
|
|
$ |
(44,947 |
) |
|
Option Pricing
Technique |
|
Projected Option
Cost |
|
1.40% - 1.63% |
|
|
1.48 |
% |
December 31, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ($ in thousands) |
|
Fair Value |
|
|
Valuation Technique |
|
|
Unobservable
Input |
|
Range |
|
Weighted
Average |
|
|
Equity indexed annuity contracts
|
|
$ |
(57,531 |
) |
|
|
Option Pricing
Technique |
|
|
Projected Option
Cost |
|
1.40% - 1.64% |
|
|
1.42 |
% |
|
| Schedule of Rollforward of Level 3 Assets and Liabilities Held at Fair Value on a Recurring Basis |
The rollforward of Level 3 assets and liabilities held at fair
value on a recurring basis for the years ended December 31,
2018, 2017 and 2016 was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ($ in thousands) |
|
Balance,
January 1,
2018 |
|
|
Net income
(loss) |
|
|
OCI |
|
|
Transfers
to
Level 3 |
|
|
Transfers
out of
Level 3 |
|
|
Purchases |
|
|
Sales |
|
|
Issues |
|
|
Settlements |
|
|
Balance,
December 31,
2018 |
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed income maturities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S Treasury Securities and Obligations of U.S. Government
Authority and Agencies, available for sale
|
|
$ |
4,897 |
|
|
$ |
(1,297 |
) |
|
$ |
211 |
|
|
$ |
— |
|
|
$ |
(3,477 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
334 |
|
|
All other corporate securities
|
|
|
18,351 |
|
|
|
(27 |
) |
|
|
(26 |
) |
|
|
— |
|
|
|
(965 |
) |
|
|
— |
|
|
|
(2,077 |
) |
|
|
— |
|
|
|
(2,647 |
) |
|
|
12,609 |
|
|
ABS
|
|
|
17,933 |
|
|
|
81 |
|
|
|
(632 |
) |
|
|
1,931 |
|
|
|
(16,157 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(2,371 |
) |
|
|
785 |
|
|
Common stock
|
|
|
8,152 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
110 |
|
|
|
(1,274 |
) |
|
|
— |
|
|
|
— |
|
|
|
6,988 |
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity indexed annuity contracts
|
|
|
(57,531 |
) |
|
|
12,584 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(44,947 |
) |
|
Guaranteed minimum accumulation benefits and guaranteed minimum
withdrawal benefits (1)
|
|
|
(4,670 |
) |
|
|
(646 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(5,316 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ($ in thousands) |
|
Balance,
January 1,
2017 |
|
|
Net
income
(loss) |
|
|
OCI |
|
|
Transfers
to Level 3 |
|
|
Transfers
out of
Level 3 |
|
|
Purchases |
|
|
Sales |
|
|
Issues |
|
|
Settlements |
|
|
Balance,
December 31,
2017 |
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed income maturities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S Treasury Securities and Obligations of U.S. Government
Authority and Agencies, available for sale
|
|
$ |
6,573 |
|
|
$ |
(1,308 |
) |
|
$ |
(368 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
4,897 |
|
|
All other corporate securities
|
|
|
19,351 |
|
|
|
(8 |
) |
|
|
121 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(1,113 |
) |
|
|
18,351 |
|
|
ABS
|
|
|
26,135 |
|
|
|
1,509 |
|
|
|
873 |
|
|
|
— |
|
|
|
(8,828 |
) |
|
|
16,817 |
|
|
|
— |
|
|
|
— |
|
|
|
(18,573 |
) |
|
|
17,933 |
|
|
Common stock
|
|
|
5,100 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
3,052 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
8,152 |
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity indexed annuity contracts
|
|
|
(55,871 |
) |
|
|
(1,660 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(57,531 |
) |
|
Guaranteed minimum accumulation benefits and guaranteed minimum
withdrawal benefits (1)
|
|
|
(6,835 |
) |
|
|
2,165 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(4,670 |
) |
|
|
|
|
|
|
|
|
|
|
|
| ($ 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 |
|
|
Common stock
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
5,100 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
5,100 |
|
|
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 |
) |
| (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 carrying amount and fair value by fair value hierarchy level
of certain financial instruments not reported at fair value as of
December 31, 2018 and 2017 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| December 31, 2018 |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| ($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial mortgage loans
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
852,034 |
|
|
$ |
852,034 |
|
|
Policy loans
|
|
|
— |
|
|
|
— |
|
|
|
176,782 |
|
|
|
176,782 |
|
|
Cash and cash equivalents
|
|
|
6,177 |
|
|
|
— |
|
|
|
— |
|
|
|
6,177 |
|
|
Vehicle note
|
|
|
— |
|
|
|
— |
|
|
|
763,570 |
|
|
|
763,570 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets at fair value
|
|
$ |
6,177 |
|
|
$ |
— |
|
|
$ |
1,792,386 |
|
|
$ |
1,798,563 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities at fair value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Policyholders’ account balances — investment
contracts
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
4,824,055 |
|
|
$ |
4,824,055 |
|
|
Other long-term debt
|
|
|
— |
|
|
|
— |
|
|
|
763,570 |
|
|
|
763,570 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
5,587,625 |
|
|
$ |
5,587,625 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| December 31, 2017 |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| ($ in thousands) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial mortgage loans
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,044,531 |
|
|
$ |
1,044,531 |
|
|
Policy loans
|
|
|
— |
|
|
|
— |
|
|
|
178,437 |
|
|
|
178,437 |
|
|
Cash and cash equivalents
|
|
|
78,801 |
|
|
|
— |
|
|
|
— |
|
|
|
78,801 |
|
|
Vehicle note
|
|
|
— |
|
|
|
— |
|
|
|
736,925 |
|
|
|
736,925 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets at fair value
|
|
$ |
78,801 |
|
|
$ |
— |
|
|
$ |
1,959,893 |
|
|
$ |
2,038,694 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities at fair value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Policyholders’ account balances — investment
contracts
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
5,439,621 |
|
|
$ |
5,439,621 |
|
|
Other long-term debt
|
|
|
— |
|
|
|
— |
|
|
|
736,925 |
|
|
|
736,925 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
6,176,546 |
|
|
$ |
6,176,546 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|