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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