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FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)
 3 Months Ended
Mar. 31, 2014
FAIR VALUE OF FINANCIAL INSTRUMENTS  
Assets and liabilities measured at fair value on a recurring basis

The following table presents the Company’s hierarchy for its assets and liabilities measured at fair value on a recurring basis as of March 31, 2014:

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

 

 

(Dollars In Thousands)

 

Assets:

 

 

 

 

 

 

 

 

 

Fixed maturity securities - available-for-sale

 

 

 

 

 

 

 

 

 

Residential mortgage-backed securities

 

$

—

 

$

1,438,756

 

$

17

 

$

1,438,773

 

Commercial mortgage-backed securities

 

—

 

1,023,366

 

—

 

1,023,366

 

Other asset-backed securities

 

—

 

311,940

 

548,805

 

860,745

 

U.S. government-related securities

 

1,214,490

 

296,751

 

—

 

1,511,241

 

State, municipalities, and political subdivisions

 

—

 

1,520,265

 

3,675

 

1,523,940

 

Other government-related securities

 

—

 

51,678

 

—

 

51,678

 

Corporate bonds

 

132

 

25,255,255

 

1,573,710

 

26,829,097

 

Total fixed maturity securities - available-for-sale

 

1,214,622

 

29,898,011

 

2,126,207

 

33,238,840

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity securities - trading

 

 

 

 

 

 

 

 

 

Residential mortgage-backed securities

 

—

 

303,729

 

—

 

303,729

 

Commercial mortgage-backed securities

 

—

 

160,096

 

—

 

160,096

 

Other asset-backed securities

 

—

 

90,708

 

194,664

 

285,372

 

U.S. government-related securities

 

203,417

 

4,973

 

—

 

208,390

 

State, municipalities, and political subdivisions

 

—

 

274,605

 

—

 

274,605

 

Other government-related securities

 

—

 

55,044

 

—

 

55,044

 

Corporate bonds

 

—

 

1,519,622

 

30,946

 

1,550,568

 

Total fixed maturity securities - trading

 

203,417

 

2,408,777

 

225,610

 

2,837,804

 

Total fixed maturity securities

 

1,418,039

 

32,306,788

 

2,351,817

 

36,076,644

 

Equity securities

 

549,684

 

85,808

 

81,493

 

716,985

 

Other long-term investments(1)

 

71,677

 

62,239

 

143,808

 

277,724

 

Short-term investments

 

182,472

 

11,827

 

—

 

194,299

 

Total investments

 

2,221,872

 

32,466,662

 

2,577,118

 

37,265,652

 

Cash

 

407,532

 

—

 

—

 

407,532

 

Other assets

 

11,252

 

—

 

—

 

11,252

 

Assets related to separate accounts

 

 

 

 

 

 

 

 

 

Variable annuity

 

12,946,329

 

—

 

—

 

12,946,329

 

Variable universal life

 

792,200

 

—

 

—

 

792,200

 

Total assets measured at fair value on a recurring basis

 

$

16,379,185

 

$

32,466,662

 

$

2,577,118

 

$

51,422,965

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

Annuity account balances(2)

 

$

—

 

$

—

 

$

105,593

 

$

105,593

 

Other liabilities (1)

 

24,586

 

102,249

 

371,365

 

498,200

 

Total liabilities measured at fair value on a recurring basis

 

$

24,586

 

$

102,249

 

$

476,958

 

$

603,793

 

 

(1)Includes certain freestanding and embedded derivatives.

(2)Represents liabilities related to fixed indexed annuities.

 

The following table presents the Company’s hierarchy for its assets and liabilities measured at fair value on a recurring basis as of December 31, 2013:

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

 

 

(Dollars In Thousands)

 

Assets:

 

 

 

 

 

 

 

 

 

Fixed maturity securities - available-for-sale

 

 

 

 

 

 

 

 

 

Residential mortgage-backed securities

 

$

—

 

$

1,445,040

 

$

28

 

$

1,445,068

 

Commercial mortgage-backed securities

 

—

 

970,656

 

—

 

970,656

 

Other asset-backed securities

 

—

 

326,175

 

545,808

 

871,983

 

U.S. government-related securities

 

1,211,141

 

296,749

 

—

 

1,507,890

 

State, municipalities, and political subdivisions

 

—

 

1,407,154

 

3,675

 

1,410,829

 

Other government-related securities

 

—

 

51,427

 

—

 

51,427

 

Corporate bonds

 

107

 

24,209,541

 

1,549,940

 

25,759,588

 

Total fixed maturity securities - available-for-sale

 

1,211,248

 

28,706,742

 

2,099,451

 

32,017,441

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity securities - trading

 

 

 

 

 

 

 

 

 

Residential mortgage-backed securities

 

—

 

310,877

 

—

 

310,877

 

Commercial mortgage-backed securities

 

—

 

158,570

 

—

 

158,570

 

Other asset-backed securities

 

—

 

93,278

 

194,977

 

288,255

 

U.S. government-related securities

 

191,332

 

4,906

 

—

 

196,238

 

State, municipalities, and political subdivisions

 

—

 

260,892

 

—

 

260,892

 

Other government-related securities

 

—

 

57,097

 

—

 

57,097

 

Corporate bonds

 

—

 

1,497,362

 

29,199

 

1,526,561

 

Total fixed maturity securities - trading

 

191,332

 

2,382,982

 

224,176

 

2,798,490

 

Total fixed maturity securities

 

1,402,580

 

31,089,724

 

2,323,627

 

34,815,931

 

Equity securities

 

523,219

 

50,927

 

71,881

 

646,027

 

Other long-term investments (1)

 

56,469

 

54,965

 

196,133

 

307,567

 

Short-term investments

 

132,543

 

1,603

 

—

 

134,146

 

Total investments

 

2,114,811

 

31,197,219

 

2,591,641

 

35,903,671

 

Cash

 

466,542

 

—

 

—

 

466,542

 

Other assets

 

10,979

 

—

 

—

 

10,979

 

Assets related to separate accounts

 

 

 

 

 

 

 

 

 

Variable annuity

 

12,791,438

 

—

 

—

 

12,791,438

 

Variable universal life

 

783,618

 

—

 

—

 

783,618

 

Total assets measured at fair value on a recurring basis

 

$

16,167,388

 

$

31,197,219

 

$

2,591,641

 

$

49,956,248

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

Annuity account balances (2)

 

$

—

 

$

—

 

$

107,000

 

$

107,000

 

Other liabilities (1)

 

30,241

 

156,931

 

270,630

 

457,802

 

Total liabilities measured at fair value on a recurring basis

 

$

30,241

 

$

156,931

 

$

377,630

 

$

564,802

 

 

(1)Includes certain freestanding and embedded derivatives.

(2)Represents liabilities related to fixed indexed annuities.
Schedule of the valuation method for material financial instruments included in Level 3, as well as the unobservable inputs used in the valuation of the financial instruments

 

 

 

Fair Value

 

 

 

 

 

 

 

 

As of

 

Valuation

 

Unobservable

 

Range

 

 

March 31, 2014

 

Technique

 

Input

 

(Weighted Average)

 

 

(Dollars In Thousands)

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Other asset-backed securities

 

$

 548,805

 

Discounted cash flow

 

Liquidity premium

 

1.00% - 1.57% (1.13%)

 

 

 

 

 

 

Paydown rate

 

8.57% - 17.42% (12.37%)

Corporate bonds

 

1,535,409

 

Discounted cash flow

 

Spread over treasury

 

0.70% - 6.75% (2.10%)

Embedded derivatives - GMWB(1)

 

73,983

 

Actuarial cash flow model

 

Mortality

 

49% to 80% of 1994 MGDB

 

 

 

 

 

 

 

 

table

 

 

 

 

 

 

Lapse

 

0% - 24%, depending on product/duration/fundedness status of guarantee

 

 

 

 

 

 

Utilization

 

97% - 103%

 

 

 

 

 

 

Nonperformance risk

 

0.12% - 1.00%

Liabilities:

 

 

 

 

 

 

 

 

Annuity account balances(2)

 

$

 105,593

 

Actuarial cash flow model

 

Asset earned rate

 

5.37%

 

 

 

 

 

 

Expenses

 

$88 - $102 per policy

 

 

 

 

 

 

Withdrawal rate

 

2.20%

 

 

 

 

 

 

Mortality

 

49% to 80% of 1994 MGDB table

 

 

 

 

 

 

Lapse

 

2.2% - 33.0%, depending on duration/surrender charge period

 

 

 

 

 

 

Return on assets

 

1.50% - 1.85% depending on surrender charge period

 

 

 

 

 

 

Nonperformance risk

 

0.12% - 1.00%

Embedded derivative - FIA

 

35,894

 

Actuarial cash flow model

 

Expenses

 

$83 - $97 per policy

 

 

 

 

 

 

Withdrawal rate

 

1.1% - 4.5% depending on duration and tax qualification

 

 

 

 

 

 

Mortality

 

49% to 80% of 1994 MGDB table

 

 

 

 

 

 

Lapse

 

2.5% - 40.0%, depending on

 

 

 

 

 

 

 

 

duration/surrender charge period

 

 

 

 

 

 

Nonperformance risk

 

0.12% - 1.00%

 

(1)The fair value for the GMWB embedded derivative is presented as a net asset. Excludes modified coinsurance arrangements.

(2)Represents liabilities related to fixed indexed annuities.

 

 

 

 

Fair Value

 

 

 

 

 

 

 

 

As of

 

Valuation

 

Unobservable

 

Range

 

 

December 31, 2013

 

Technique

 

Input

 

(Weighted Average)

 

 

(Dollars In Thousands)

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Other asset-backed securities

 

$

 545,808

 

Discounted cash flow

 

Liquidity premium

 

1.00% - 1.68% (1.08%)

 

 

 

 

 

 

Paydown rate

 

8.57% - 16.87% (12.05%)

Corporate bonds

 

1,555,898

 

Discounted cash flow

 

Spread over treasury

 

0.11% - 6.75% (2.06%)

Embedded derivatives - GMWB(1)

 

156,287

 

Actuarial cash flow model

 

Mortality

 

49% to 80% of 1994 MGDB table

 

 

 

 

 

 

Lapse

 

0% - 24%, depending on product/duration/funded status of guarantee

 

 

 

 

 

 

Utilization

 

97% - 103%

 

 

 

 

 

 

Nonperformance risk

 

0.15% - 1.06%

Liabilities:

 

 

 

 

 

 

 

 

Annuity account balances(2)

 

$

 107,000

 

Actuarial cash flow model

 

Asset earned rate

 

5.37%

 

 

 

 

 

 

Expenses

 

$88 - $102 per policy

 

 

 

 

 

 

Withdrawal rate

 

2.20%

 

 

 

 

 

 

Mortality

 

49% to 80% of 1994 MGDB table

 

 

 

 

 

 

Lapse

 

2.2% - 33.0%, depending on duration/surrender charge period

 

 

 

 

 

 

Return on assets

 

1.50% - 1.85% depending on surrender charge period

 

 

 

 

 

 

Nonperformance risk

 

0.15% - 1.06%

Embedded derivative - FIA

 

25,324

 

Actuarial cash flow model

 

Expenses

 

$83 - $97 per policy

 

 

 

 

 

 

Withdrawal rate

 

1.1% - 4.5% depending on duration and tax qualification

 

 

 

 

 

 

Mortality

 

49% to 80% of 1994 MGDB table

 

 

 

 

 

 

Lapse

 

2.5% - 40.0%, depending on duration/surrender charge period

 

 

 

 

 

 

Nonperformance risk

 

0.15% - 1.06%

 

(1)The fair value for the GMWB embedded derivative is presented as a net asset. Excludes modified coinsurance arrangements.

(2)Represents liabilities related to fixed indexed annuities.
Schedule of reconciliation of the beginning and ending balances for fair value measurements, for which the Company has used significant unobservable inputs (Level 3)

 

The following table presents a reconciliation of the beginning and ending balances for fair value measurements for the three months ended March 31, 2014, for which the Company has used significant unobservable inputs (Level 3):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gains (losses)

 

 

 

 

 

Total

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

included in

 

 

 

 

 

Realized and Unrealized

 

Realized and Unrealized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earnings

 

 

 

 

 

Gains

 

Losses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

related to

 

 

 

 

 

 

 

Included in

 

 

 

Included in

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Instruments

 

 

 

 

 

 

 

Other

 

 

 

Other

 

 

 

 

 

 

 

 

 

Transfers

 

 

 

 

 

still held at

 

 

 

Beginning

 

Included in

 

Comprehensive

 

Included in

 

Comprehensive

 

 

 

 

 

 

 

 

 

in/out of

 

 

 

Ending

 

the Reporting

 

 

 

Balance

 

Earnings

 

Income

 

Earnings

 

Income

 

Purchases

 

Sales

 

Issuances

 

Settlements

 

Level 3

 

Other

 

Balance

 

Date

 

 

 

(Dollars In Thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity securities available-for-sale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Residential mortgage-backed securities

 

$

28

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

(11

)

$

—

 

$

—

 

$

—

 

$

—

 

$

17

 

$

—

 

Commercial mortgage-backed securities

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

Other asset-backed securities

 

545,808

 

—

 

4,137

 

—

 

(1,129

)

—

 

(260

)

—

 

—

 

—

 

249

 

548,805

 

—

 

U.S. government-related securities

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

States, municipals, and political subdivisions

 

3,675

 

—

 

—

 

—

 

—

 

—

 

— —

 

—

 

—

 

—

 

—

 

3,675

 

—

 

Other government-related securities

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

Corporate bonds

 

1,549,940

 

895

 

27,017

 

—

 

(5,015

)

29,387

 

(37,867

)

—

 

—

 

12,185

 

(2,832

)

1,573,710

 

—

 

Total fixed maturity securities - available-for-sale

 

2,099,451

 

895

 

31,154

 

—

 

(6,144

)

29,387

 

(38,138

)

—

 

—

 

12,185

 

(2,583

)

2,126,207

 

—

 

Fixed maturity securities - trading

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Residential mortgage-backed securities

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

Commercial mortgage-backed securities

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

Other asset-backed securities

 

194,977

 

727

 

—

 

(428

)

—

 

—

 

(812

)

—

 

—

 

—

 

200

 

194,664

 

468

 

U.S. government-related securities

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

States, municipals and political subdivisions

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

Other government-related securities

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

Corporate bonds

 

29,199

 

538

 

—

 

(13

)

—

 

—

 

(63

)

—

 

—

 

1,272

 

13

 

30,946

 

(4

)

Total fixed maturity securities - trading

 

224,176

 

1,265

 

—

 

(441

)

—

 

—

 

(875

)

—

 

—

 

1,272

 

213

 

225,610

 

464

 

Total fixed maturity securities

 

2,323,627

 

2,160

 

31,154

 

(441

)

(6,144

)

29,387

 

(39,013

)

—

 

—

 

13,457

 

(2,370

)

2,351,817

 

464

 

Equity securities

 

71,881

 

—

 

227

 

—

 

(166

)

9,551

 

—

 

—

 

—

 

—

 

—

 

81,493

 

—

 

Other long-term investments(1)

 

196,133

 

5

 

—

 

(52,330

)

—

 

—

 

—

 

—

 

—

 

—

 

—

 

143,808

 

(52,325

)

Short-term investments

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

Total investments

 

2,591,641

 

2,165

 

31,381

 

(52,771

)

(6,310

)

38,938

 

(39,013

)

—

 

—

 

13,457

 

(2,370

)

2,577,118

 

(51,861

)

Total assets measured at fair value on a recurring basis

 

$

2,591,641

 

$

2,165

 

$

31,381

 

$

(52,771

)

$

(6,310

)

$

38,938

 

$

(39,013

)

$

—

 

$

—

 

$

13,457

 

$

(2,370

)

$

2,577,118

 

$

(51,861

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Annuity account balances(2)

 

$

107,000

 

$

—

 

$

—

 

$

(1,409

)

$

—

 

$

—

 

$

—

 

$

112

 

$

2,928

 

$

—

 

$

—

 

$

105,593

 

$

—

 

Other liabilities(1)

 

270,630

 

12

 

—

 

(100,747

)

—

 

—

 

—

 

—

 

—

 

—

 

—

 

371,365

 

(100,735

)

Total liabilities measured at fair value on a recurring basis

 

$

377,630

 

$

12

 

$

—

 

$

(102,156

)

$

—

 

$

—

 

$

—

 

$

112

 

$

2,928

 

$

—

 

$

—

 

$

476,958

 

$

(100,735

)

 

(1)Represents certain freestanding and embedded derivatives.

(2)Represents liabilities related to fixed indexed annuities.

 

The following table presents a reconciliation of the beginning and ending balances for fair value measurements for the three months ended March 31, 2013, for which the Company has used significant unobservable inputs (Level 3):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gains (losses)

 

 

 

 

 

Total

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

included in

 

 

 

 

 

Realized and Unrealized

 

Realized and Unrealized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Earnings

 

 

 

 

 

Gains

 

Losses

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

related to

 

 

 

 

 

 

 

Included in

 

 

 

Included in

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Instruments

 

 

 

 

 

 

 

Other

 

 

 

Other

 

 

 

 

 

 

 

 

 

Transfers

 

 

 

 

 

still held at

 

 

 

Beginning

 

Included in

 

Comprehensive

 

Included in

 

Comprehensive

 

 

 

 

 

 

 

 

 

in/out of

 

 

 

Ending

 

the Reporting

 

 

 

Balance

 

Earnings

 

Income

 

Earnings

 

Income

 

Purchases

 

Sales

 

Issuances

 

Settlements

 

Level 3

 

Other

 

Balance

 

Date

 

 

 

(Dollars In Thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity securities available-for-sale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Residential mortgage-backed securities

 

$

4

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

4

 

$

—

 

Commercial mortgage-backed securities

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

Other asset-backed securities

 

596,143

 

—

 

12

 

—

 

(27,548

)

—

 

(9,009

)

—

 

—

 

1,227

 

(157

)

560,668

 

—

 

U.S. government-related securities

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

States, municipals, and political subdivisions

 

4,335

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

4,335

 

—

 

Other government-related securities

 

20,011

 

—

 

—

 

—

 

(3

)

—

 

—

 

—

 

—

 

—

 

(5

)

20,003

 

—

 

Corporate bonds

 

167,892

 

—

 

930

 

—

 

(2,364

)

—

 

(42,071

)

—

 

—

 

—

 

168

 

124,555

 

—

 

Total fixed maturity securities - available-for-sale

 

788,385

 

—

 

942

 

—

 

(29,915

)

—

 

(51,080

)

—

 

—

 

1,227

 

6

 

709,565

 

—

 

Fixed maturity securities - trading

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Residential mortgage-backed securities

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

Commercial mortgage-backed securities

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

Other asset-backed securities

 

70,535

 

3,408

 

—

 

(259

)

—

 

—

 

(2,823

)

—

 

—

 

—

 

522

 

71,383

 

3,255

 

U.S. government-related securities

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

 

 

—

 

—

 

States, municipals and political subdivisions

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

Other government-related securities

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

Corporate bonds

 

115

 

1

 

—

 

—

 

—

 

—

 

(17

)

—

 

—

 

5,013

 

—

 

5,112

 

29

 

Total fixed maturity securities - trading

 

70,650

 

3,409

 

—

 

(259

)

—

 

—

 

(2,840

)

—

 

—

 

5,013

 

522

 

76,495

 

3,284

 

Total fixed maturity securities

 

859,035

 

3,409

 

942

 

(259

)

(29,915

)

—

 

(53,920

)

—

 

—

 

6,240

 

528

 

786,060

 

3,284

 

Equity securities

 

69,418

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

69,418

 

—

 

Other long-term investments(1)

 

31,591

 

25,535

 

—

 

(9

)

—

 

—

 

—

 

—

 

—

 

—

 

—

 

57,117

 

25,526

 

Short-term investments

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

—

 

Total investments

 

960,044

 

28,944

 

942

 

(268

)

(29,915

)

—

 

(53,920

)

—

 

—

 

6,240

 

528

 

912,595

 

28,810

 

Total assets measured at fair value on a recurring basis

 

$

960,044

 

$

28,944

 

$

942

 

$

(268

)

$

(29,915

)

$

—

 

$

(53,920

)

$

—

 

$

—

 

$

6,240

 

$

528

 

$

912,595

 

$

28,810

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Annuity account balances(2)

 

$

129,468

 

$

—

 

$

—

 

$

(2,000

)

$

—

 

$

—

 

$

—

 

$

136

 

$

7,923

 

$

—

 

$

—

 

$

123,681

 

$

—

 

Other liabilities(1)

 

611,437

 

84,546

 

—

 

(12,923

)

—

 

—

 

—

 

—

 

—

 

—

 

—

 

539,814

 

71,623

 

Total liabilities measured at fair value on a recurring basis

 

$

740,905

 

$

84,546

 

$

—

 

$

(14,923

)

$

—

 

$

—

 

$

—

 

$

136

 

$

7,923

 

$

—

 

$

—

 

$

663,495

 

$

71,623

 

 

(1)Represents certain freestanding and embedded derivatives.

(2)Represents liabilities related to fixed indexed annuities.
Schedule of the carrying amounts and estimated fair value of the Company's financial instruments

 

 

 

 

 

As of

 

 

 

 

 

March 31, 2014

 

December 31, 2013

 

 

 

Fair Value

 

Carrying

 

 

 

Carrying

 

 

 

 

 

Level

 

Amounts

 

Fair Values

 

Amounts

 

Fair Values

 

 

 

 

 

(Dollars In Thousands)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

Mortgage loans on real estate

 

3

 

$

5,390,844

 

$

5,909,438

 

$

5,486,417

 

$

5,949,058

 

Policy loans

 

3

 

1,793,110

 

1,793,110

 

1,815,744

 

1,815,744

 

Fixed maturities, held-to-maturity(1)

 

3

 

385,000

 

420,747

 

365,000

 

335,676

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

Stable value product account balances

 

3

 

$

2,537,504

 

$

2,556,791

 

$

2,559,552

 

$

2,566,209

 

Annuity account balances

 

3

 

11,113,637

 

10,663,008

 

11,125,253

 

10,639,637

 

 

 

 

 

 

 

 

 

 

 

 

 

Debt:

 

 

 

 

 

 

 

 

 

 

 

Bank borrowings

 

3

 

$

410,000

 

$

410,000

 

$

485,000

 

$

485,000

 

Senior Notes

 

2

 

1,100,000

 

1,323,919

 

1,100,000

 

1,294,675

 

Subordinated debt securities

 

2

 

540,593

 

522,553

 

540,593

 

473,503

 

Non-recourse funding obligations(2)

 

3

 

582,437

 

548,508

 

562,448

 

470,709

 

 

Except as noted below, fair values were estimated using quoted market prices.

(1)             Security purchased from unconsolidated subsidiary, Red Mountain LLC.

(2)             Of this carrying amount, $385.0 million, fair value of $398.3 million, as of March 31, 2014, and $365.0 million, fair value of $321.5 million, as of December 31, 2013, relates to non-recourse funding obligations issued by Golden Gate V.