Fair Value of Financial Instruments

The following tables show the fair values and carrying values of the Company’s financial assets and liabilities measured on a recurring basis and the associated fair value hierarchy amounts as of March 31, 2014 and December 31, 2013. Included are balances associated with the consolidated CLOs:



			March 31, 2014
Assets:	Quoted Prices in active markets Level 1		Other Significant Observable inputs Level 2		Significant unobservable inputs Level 3		Fair Value		Carrying Value
Trading investments:
Privately held equity securities ⁽¹⁾	$	—	$	—	$	5,713	$	5,713	$	5,713
Tax exempt securities	—		23,701		3,456		27,157		27,157
CDO	—		—		440		440		440
CLO	—		—		840		840		840
Corporate bonds⁽²⁾	—		—		18,205		18,205		18,205
Total trading investments	—		23,701		28,654		52,355		52,355
Derivative assets:
IRLC	—		514		—		514		514
CDS	—		131		—		131		131
Total derivative assets	—		645		—		645		645
Total trading securities	—		24,346		28,654		53,000		53,000
Corporate loans⁽³⁾	—		1,052,127		387,410		1,439,537		1,439,537
Available for sale securities:
U.S. Treasury securities	7,420		—		—		7,420		7,420
Obligations of state and political subdivisions	—		3,682		—		3,682		3,682
Certificates of deposit	—		100		—		100		100
Corporate bonds	—		6,389		—		6,389		6,389
Asset-backed securities	—		71		—		71		71
Total available for sale securities	7,420		10,242		—		17,662		17,662



			March 31, 2014
	Quoted Prices in Active markets Level 1		Other Significant Level 2		Significant Unobservable inputs Level 3		Fair Value		Carrying Value

Separate Account Assets:
Cash	$	4,570	$	—	$	—	$	4,570	$	4,570
Short-term investments	180,876		—		—		180,876		180,876
Debt Securities:
U.S. Treasury securities	18,084		—		—		18,084		18,084
U.S. government agencies	—		1,283		—		1,283		1,283
Municipal bonds	—		6,882		—		6,882		6,882
Asset-backed securities	—		7,648		—		7,648		7,648
Corporate bonds	—		15,911		—		15,911		15,911
Preferred stocks	1,163		—		—		1,163		1,163
Common stocks	107,400		—		—		107,400		107,400
Mutual funds	95,115		98,454		—		193,569		193,569
Real estate funds	—		—		2,738,934		2,738,934		2,738,934
Private equity	—		—		110		110		110
Hedge funds:
Multi-strategy	—		67,208		695,545		762,753		762,753
Long/short	—		18,922		82,170		101,092		101,092
Fund of funds	—		3,277		169,983		173,260		173,260
Event driven	—		—		85,551		85,551		85,551
Long only	—		34,948		20,532		55,480		55,480
Global Macro	—		13,440		6,851		20,291		20,291
Fixed income arbitrage	—		—		6,882		6,882		6,882
Master limited partnerships	—		134,630		51,583		186,213		186,213
Fixed income (non-arbitrage)	—		4,173		2,628		6,801		6,801
Other	—		—		69		69		69
Other	—		276		—		276		276
Subtotal - separate account assets	407,208		407,052		3,860,838		4,675,098		4,675,098
Total	$	414,628	$	1,493,767	$	4,276,902	$	6,185,297	$	6,185,297
Liabilities:
Debt Securities:
U.S. Treasury securities	$	18,875	$	—	$	—	$	18,875	$	18,875
Derivative Liabilities:
IRS	—		257		—		257		257



Credit Derivatives	—		721		—		721		721
Total derivative liabilities	—		978		—		978		978
Total	$	18,875	$	978	$	—	$	19,853	$	19,853

(1) Includes $1,961 related to consolidated CLOs classified in Level 3.

(2) Includes $18,205 related to consolidated CLOs classified in Level 3.

(3) Includes $894,650 and $346,155 classified in Level 2 and Level 3, respectively, related to consolidated CLOs.



	December 31, 2013
Assets:	Quoted Prices in active markets Level 1		Other Significant Observable inputs Level 2		Significant unobservable inputs Level 3		Fair Value		Carrying Value
Trading investments:
Privately held equity securities⁽¹⁾	$	—	$	—	$	5,306	$	5,306	$	5,306
Tax exempt securities	—		30,707		273		30,980		30,980
CDO	—		—		520		520		520
CLO	—		—		825		825		825
Corporate bonds ⁽²⁾	—		—		17,674		17,674		17,674
Total trading investments	—		30,707		24,598		55,305		55,305
Derivative assets:
IRS	—		52		—		52		52
Total derivative assets	—		52		—		52		52
Total trading securities	—		30,759		24,598		55,357		55,357
Corporate loans⁽³⁾	—		1,438,699		30,543		1,469,242		1,469,242
Available for sale securities:
U.S. Treasury securities	7,751		—		—		7,751		7,751
Obligations of state and political subdivisions	—		4,238		—		4,238		4,238
Certificates of deposit	—		100		—		100		100
Corporate bonds	—		5,596		—		5,596		5,596
Asset-backed securities	—		78		—		78		78
Total available for sale securities	7,751		10,012		—		17,763		17,763



	December 31, 2013
	Quoted Prices in Active markets Level 1		Other Significant Level 2		Significant Unobservable inputs Level 3		Fair Value		Carrying Value

Separate Account Assets:
Cash	$	26,129	$	—	$	—	$	26,129	$	26,129
Short-term investments	171,927		—		—		171,927		171,927
Debt Securities:
U.S. Treasury securities	17,634		—		—		17,634		17,634
U.S. government agencies	—		1,436		—		1,436		1,436
Municipal bonds	—		8,014		—		8,014		8,014
Asset-backed securities	—		8,113		—		8,113		8,113
Corporate bonds	—		18,116		—		18,116		18,116
Preferred stocks	1,018		—		—		1,018		1,018
Common stocks	100,630		—		—		100,630		100,630
Mutual funds	195,736		—		—		195,736		195,736
Real estate funds	—		—		2,719,387		2,719,387		2,719,387
Private equity	—		—		138		138		138
Hedge funds
Multi-strategy	—		66,615		682,751		749,366		749,366
Long/short	—		19,115		84,315		103,430		103,430
Fund of funds	—		2,509		191,423		193,932		193,932
Event driven	—		—		86,724		86,724		86,724
Long only	—		34,787		20,305		55,092		55,092
Global Macro	—		13,157		8,245		21,402		21,402
Fixed income arbitrage	—		—		8,669		8,669		8,669
Master limited partnerships	—		102,394		28,814		131,208		131,208
Fixed income (non-arbitrage)	—		4,117		2,557		6,674		6,674
Other	—		—		73		73		73
Other	—		251		—		251		251
Subtotal - separate account assets	513,074		278,624		3,833,401		4,625,099		4,625,099
Total	$	520,825	$	1,758,094	$	3,888,542	$	6,167,461	$	6,167,461
Liabilities:
Debt Securities:
U.S. Treasury securities	$	18,493	$	—	$	—	$	18,493	$	18,493
Derivative Liabilities:



Credit Derivatives	—		598		—		598		598
Total	$	18,493	$	598	$	—	$	19,091	$	19,091

(1) Includes $1,692 related to CLOs classified in Level 3.

(2) Includes $17,674 related to CLOs classified in Level 3.

(3) Includes $1,267,612 and $30,543 classified in Level 2 and Level 3, respectively, related to CLOs.

The following table represents additional information about assets that are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value for the period ending March 31, 2014 and 2013:



	Fair value measurement for the three months ended March 31, 2014 using significant unobservable inputs Level 3			Fair value measurement for the three months ended March 31, 2013 using significant unobservable inputs Level 3
Balance at December 31,	$	3,888,542		$	3,504,623
Net realized gains/(losses)	880			3
Net unrealized gains/(losses)	149			4,209
Purchases	41,308			152,549
Sales	(68,691		)	(45,589		)
Issuances	531			—
Settlements	—			8
Transfers into/(out of) Level 3, net	370,433			5,177
Attributable to policyowner	43,750			130,110
Balance at March 31,	$	4,276,902		$	3,751,090

For the period ended March 31, 2014, $370,433 was transferred between Level 2 and Level 3 primarily due to the corporate bonds held by the consolidated CLOs, due to the limited depth of market price supporting the price on these instruments. For the period ended March 31 2013, $5,177 was transferred from Level 2 into Level 3, with the majority from corporate bonds held by the consolidated CLOs also due to limited depth of market price.

ASC Topic 820, as amended by ASU 2011-04, requires disclosure of quantitative information about the significant unobservable inputs used in the valuation of assets and liabilities classified as Level 3 within the fair value hierarchy. Disclosure of this information is not required in circumstances where a valuation (unadjusted) is obtained from a third-party pricing service and the information regarding the unobservable inputs is not reasonably available to the Company. As such, the disclosure provided below provides quantitative information only about the significant unobservable inputs used in the valuation of certain privately held securities, credit default assets and tax-exempt municipal securities.



Assets	Fair Value at March 31, 2014		Fair Value at December 31, 2013		Valuation Technique	Unobservable input(s)	March 31, 2014 Range (Weighted average)	December 31, 2013 Range (Weighted average)
Tax-exempt municipal	179		274		Discounted cash flow	Short and long term cash flows	.56% - 33.68%	.58% - 33.68%
Total	$	179	$	274

The following tables show the fair values and carrying values of the Company’s financial assets and liabilities and the fair value hierarchy level(s) associated with these assets and liabilities as of March 31, 2014 and December 31, 2013:



	March 31, 2014
	Level within Fair Value Hierarchy	Fair Value		Carrying Value
Assets:
Cash and cash equivalents-unrestricted	1	$	124,824	$	124,824
Cash and cash equivalents-restricted	1	36,230		36,230
Trading securities	2,3	32,834		32,834
Due from brokers, dealers, and trustees⁽¹⁾	1	8,812		8,812
Due from separate accounts⁽¹⁾	1	1,792		1,792
Loans held for sale	2	15,776		15,776
Investments in loans	2	198,887		198,887
Loans owned	2	49,310		42,105
Policy loans	3	99,339		99,339
Available for sale securities	1,2,3	17,662		17,662
Separate account assets	1,2,3	4,675,098		4,675,098
Assets of consolidated CLOs	2,3	1,390,599		1,390,599

Total Assets		$	6,651,163	$	6,643,958

Liabilities:
Debt securities-U.S. Treasury securities	1	18,875		18,875
Debt	3	379,218		381,266
Separate account liabilities	1,2,3	4,675,098		4,675,098
Due to brokers, dealers and trustees ⁽²⁾	1	24,797		24,797
Derivative liabilities	2	978		978
Liabilities of consolidated CLOs	2,3	1,167,325		1,167,325

Total Liabilities		$	6,266,291	$	6,268,339

(1) Included as a component of other assets on the Company’s consolidated balance sheets.

(2) Included as a component of other liabilities on the Company’s consolidated balance sheets.



	December 31, 2013
	Level within Fair Value Hierarchy	Fair Value		Carrying Value
Assets:
Cash and cash equivalents-unrestricted	1	$	120,557	$	120,557
Cash and cash equivalents-restricted	1	26,395		26,395
Trading securities	2,3	35,991
Due from brokers, dealers, and trustees	1	6,956		6,956
Due from separate accounts	1	1,963		1,963
Investment in loans	2	171,087		171,087
Loans owned	2	48,212		40,260
Policy loans	3	102,147		102,147
Available for sale securities	1,2,3	17,763		17,763
Separate account assets	1,2,3	4,625,099		4,625,099
Assets of consolidated CLOs	2,3	1,414,616		1,414,616

Total Assets		$	6,570,786	$	6,526,843

Liabilities:
Debt securities-U.S. Treasury securities	1	$	18,493	$	18,493
Derivative liabilities	2	598		598
Debt	3	376,250		360,609
Due to brokers, dealer and trustees	1	8,193		8,193
Separate account liabilities	1,2,3	4,625,099		4,625,099
Liabilities of consolidated CLOs	2,3	1,175,606		1,175,606

Total Liabilities		$	6,204,239	$	6,188,598