FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)

3 Months Ended

Mar. 31, 2015

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, 2015 (Successor Company):

	Level 1		Level 2		Level 3		Total
	(Dollars In Thousands)
Assets:
Fixed maturity securities - available-for-sale
Residential mortgage-backed securities	$	—	$	1,561,264	$	3	$	1,561,267
Commercial mortgage-backed securities	—		1,194,840		—		1,194,840
Other asset-backed securities	—		216,032		600,132		816,164
U.S. government-related securities	1,117,268		519,768		—		1,637,036
State, municipalities, and political subdivisions	—		1,678,089		—		1,678,089
Preferred stocks	63,744		—		—		63,744
Other government-related securities	—		19,204		—		19,204
Corporate securities	132		26,525,902		1,283,142		27,809,176
Total fixed maturity securities - available-for-sale	1,181,144		31,715,099		1,883,277		34,779,520
Fixed maturity securities - trading
Residential mortgage-backed securities	—		302,108		—		302,108
Commercial mortgage-backed securities	—		157,632		—		157,632
Other asset-backed securities	—		109,199		170,500		279,699
U.S. government-related securities	253,335		4,906		—		258,241
State, municipalities, and political subdivisions	—		325,692		—		325,692
Preferred stocks	8,342		—		—		8,342
Other government-related securities	—		58,299		—		58,299
Corporate securities	—		1,453,460		19,614		1,473,074
Total fixed maturity securities - trading	261,677		2,411,296		190,114		2,863,087
Total fixed maturity securities	1,442,821		34,126,395		2,073,391		37,642,607
Equity securities	659,802		11,779		69,951		741,532
Other long-term investments(1)	119,861		154,358		122,894		397,113
Short-term investments	232,095		24,208		—		256,303
Total investments	2,454,579		34,316,740		2,266,236		39,037,555
Cash	454,773		—		—		454,773
Other assets	16,184		—		—		16,184
Assets related to separate accounts
Variable annuity	13,339,653		—		—		13,339,653
Variable universal life	857,167		—		—		857,167
Total assets measured at fair value on a recurring basis	$	17,122,356	$	34,316,740	$	2,266,236	$	53,705,332
Liabilities:
Annuity account balances(2)	$	—	$	—	$	97,108	$	97,108
Other liabilities (1)	40,030		6,705		627,515		674,250
Total liabilities measured at fair value on a recurring basis	$	40,030	$	6,705	$	724,623	$	771,358

(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, 2014 (Predecessor Company):

	Level 1		Level 2		Level 3		Total
	(Dollars In Thousands)
Assets:
Fixed maturity securities - available-for-sale
Residential mortgage-backed securities	$	—	$	1,418,255	$	3	$	1,418,258
Commercial mortgage-backed securities	—		1,177,252		—		1,177,252
Other asset-backed securities	—		275,415		563,961		839,376
U.S. government-related securities	1,165,188		263,707		—		1,428,895
State, municipalities, and political subdivisions	—		1,684,014		3,675		1,687,689
Other government-related securities	—		20,172		—		20,172
Corporate securities	132		26,059,712		1,325,683		27,385,527
Total fixed maturity securities - available-for-sale	1,165,320		30,898,527		1,893,322		33,957,169
Fixed maturity securities - trading
Residential mortgage-backed securities	—		288,114		—		288,114
Commercial mortgage-backed securities	—		151,111		—		151,111
Other asset-backed securities	—		105,118		169,461		274,579
U.S. government-related securities	245,563		4,898		—		250,461
State, municipalities, and political subdivisions	—		325,446		—		325,446
Other government-related securities	—		57,032		—		57,032
Corporate securities	—		1,447,333		24,744		1,472,077
Total fixed maturity securities - trading	245,563		2,379,052		194,205		2,818,820
Total fixed maturity securities	1,410,883		33,277,579		2,087,527		36,775,989
Equity securities	630,910		99,266		73,054		803,230
Other long-term investments (1)	119,997		106,079		67,894		293,970
Short-term investments	244,100		6,545		—		250,645
Total investments	2,405,890		33,489,469		2,228,475		38,123,834
Cash	379,411		—		—		379,411
Other assets	11,669		—		—		11,669
Assets related to separate accounts
Variable annuity	13,157,429		—		—		13,157,429
Variable universal life	834,940		—		—		834,940
Total assets measured at fair value on a recurring basis	$	16,789,339	$	33,489,469	$	2,228,475	$	52,507,283
Liabilities:
Annuity account balances (2)	$	—	$	—	$	97,825	$	97,825
Other liabilities (1)	62,146		3,741		754,852		820,739
Total liabilities measured at fair value on a recurring basis	$	62,146	$	3,741	$	852,677	$	918,564

(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

	Successor
	Company
	Fair Value
	As of		Valuation	Unobservable	Range
	March 31, 2015		Technique	Input	(Weighted Average)
	(Dollars In Thousands)
Assets:
Other asset-backed securities	$	600,073	Discounted cash flow	Liquidity premium	0.52% - 1.50% (0.91%)
				Paydown rate	9.70% - 16.93% (12.22%)
Corporate securities	1,238,548		Discounted cash flow	Spread over treasury	0.53% - 14.07% (2.45%)
Liabilities:
Embedded derivatives - GMWB(1)	$	72,770	Actuarial cash flow model	Mortality	1994 MGDB table with
					company experience
				Lapse	0.29% - 17%, depending on
					product/duration/funded
					status of guarantee
				Utilization	99%. 10% of policies have a
					one-time over-utilization of
					400%
				Nonperformance risk	0.14% - 0.99%
Annuity account balances(2)	97,108		Actuarial cash flow model	Asset earned rate	3.71% - 5.77%
				Expenses	$80 per policy
				Withdrawal rate	2.20%
				Mortality	1994 MGDB table with
					company experience
				Lapse	2.2% - 33.0%, depending
					on duration/surrender
					charge period
				Return on assets	1.50% - 1.85% depending on
					duration/surrender
					charge period
				Nonperformance risk	0.14% - 0.99%
Embedded derivative - FIA	83,119		Actuarial cash flow model	Expenses	$80 per policy
				Withdrawal rate	1.1% - 4.5% depending on
					duration and tax qualification
				Mortality	1994 MGDB table with
					company experience
				Lapse	2.5% - 40.0%, depending on
					on duration/surrender
					charge period
				Nonperformance risk	0.14% - 0.99%
Embedded derivative - IUL	8,599		Actuarial cash flow model	Mortality	44% - 137% of 2014
					VBT Primary Tables
				Lapse	0.5% - 10.0%, depending on
					duration/distribution channel
					and smoking class
				Nonperformance risk	0.14% - 0.99%

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

(2) Represents liabilities related to fixed indexed annuities.

	Predecessor
	Company
	Fair Value
	As of	Valuation	Unobservable	Range
	December 31, 2014	Technique	Input	(Weighted Average)
	(Dollars In Thousands)
Assets:
Other asset-backed securities	$  563,752	Discounted cash flow	Liquidity premium	0.39% - 1.49% (0.69%)
			Paydown rate	9.70% - 15.80% (12.08%)
Corporate securities	1,282,864	Discounted cash flow	Spread over	0.33% - 7.50% (2.19%)
			treasury
Liabilities:
Embedded derivatives - GMWB(1)	$ 245,090	Actuarial cash flow model	Mortality	44.5% to 100% of 1994
				MGDB table
			Lapse	0.25% - 17%, depending on
				product/duration/funded
				status of guarantee
			Utilization	97% - 101%
			Nonperformance risk	0.12% - 0.96%
Annuity account balances(2)	97,825	Actuarial cash flow model	Asset earned rate	3.86% - 5.92%
			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% - 0.96%
Embedded derivative - FIA	124,465	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% - 0.96%
Embedded derivative - IUL	6,691	Actuarial cash flow model	Mortality	37% - 74% of 2008
				VBT Primary Tables
			Lapse	0.5% - 10.0%, depending
				on duration/distribution
				channel and smoking class
			Nonperformance risk	0.12% - 0.96%

(1) The fair value for the GMWB embedded derivative is presented as a net liability.  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 period of February 1, 2015 to March 31, 2015 (Successor Company), for which the Company has used significant unobservable inputs (Level 3):

																														Total
																														Gains
																														(losses)
																														included in
			Total				Total																							Earnings
			Realized and Unrealized				Realized and Unrealized																							related to
			Gains				Losses																							Instruments
					Included in					Included in																				still held at
					Other					Other												Transfers								the
	Beginning		Included in		Comprehensive		Included in			Comprehensive												in/out of						Ending		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	$	3	$	—	$	—	$	—		$	—		$	—	$	—		$	—	$	—	$	—		$	—		$	3	$	—
Commercial mortgage-backed securities	—		—		—		—			—			—		—			—		—		—			—			—		—
Other asset-backed securities	603,646		—		—		—			(3,568		)	—		(40		)	—		—		—			94			600,132		—
U.S. government-related securities	—		—		—		—			—			—		—			—		—		—			—			—		—
States, municipals, and political subdivisions	3,675		—		—		—			—			—		(3,675		)	—		—		—			—			—		—
Other government-related securities	—		—		—		—			—			—		—			—		—		—			—			—		—
Corporate securities	1,307,259		635		11,618		—			—			22,000		(35,787		)	—		—		(20,050		)	(2,533		)	1,283,142		—
Total fixed maturity securities - available-for-sale	1,914,583		635		11,618		—			(3,568		)	22,000		(39,502		)	—		—		(20,050		)	(2,439		)	1,883,277		—
Fixed maturity securities - trading
Residential mortgage-backed securities	—		—		—		—			—			—		—			—		—		—			—			—		—
Commercial mortgage-backed securities	—		—		—		—			—			—		—			—		—		—			—			—		—
Other asset-backed securities	169,473		3,360		—		—			—			—		(2,408		)	—		—		—			75			170,500		(1,242		)
U.S. government-related securities	—		—		—		—			—			—		—			—		—		—			—			—		—
States, municipals and political subdivisions	—		—		—		—			—			—		—			—		—		—			—			—		—
Other government-related securities	—		—		—		—			—			—		—			—		—		—			—			—		—
Corporate securities	25,130		34		—		(66		)	—			—		(5,423		)	—		—		—			(61		)	19,614		(1,087		)
Total fixed maturity securities - trading	194,603		3,394		—		(66		)	—			—		(7,831		)	—		—		—			14			190,114		(2,329		)
Total fixed maturity securities	2,109,186		4,029		11,618		(66		)	(3,568		)	22,000		(47,333		)	—		—		(20,050		)	(2,425		)	2,073,391		(2,329		)
Equity securities	73,044		—		—		—			—			—		—			—		—		—			(3,093		)	69,951		—
Other long-term investments(1)	93,274		29,640		—		(20		)	—			—		—			—		—		—			—			122,894		29,620
Short-term investments	—		—		—		—			—			—		—			—		—		—			—			—		—
Total investments	2,275,504		33,669		11,618		(86		)	(3,568		)	22,000		(47,333		)	—		—		(20,050		)	(5,518		)	2,266,236		27,291
Total assets measured at fair value on a recurring basis	$	2,275,504	$	33,669	$	11,618	$	(86	)	$	(3,568	)	$	22,000	$	(47,333	)	$	—	$	—	$	(20,050	)	$	(5,518	)	$	2,266,236	$	27,291
Liabilities:
Annuity account balances(2)	$	98,279	$	—	$		$	(632	)	$	—		$	—	$	—		$	14	$	1,817	$	—		$	—		$	97,108	$	—
Other liabilities(1)	742,130		134,617		—		(20,002		)	—			—		—			—		—		—			—			627,515		114,615
Total liabilities measured at fair value on a recurring basis	$	840,409	$	134,617	$	—	$	(20,634	)	$	—		$	—	$	—		$	14	$	1,817	$	—		$	—		$	724,623	$	114,615

(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 period of January 1, 2015 to January 31, 2015 (Predecessor Company), for which the Company has used significant unobservable inputs (Level 3):

			Total Realized and Unrealized Gains				Total Realized and Unrealized Losses																						Total Gains (losses) included in Earnings related to Instruments
	Beginning Balance		Included in Earnings		Included in Other Comprehensive Income		Included in Earnings			Included in Other Comprehensive Income			Purchases		Sales			Issuances		Settlements		Transfers in/out of Level 3		Other			Ending Balance		still held at the Reporting Date
	(Dollars In Thousands)
Assets:
Fixed maturity securities available-for-sale
Residential mortgage-backed securities	$	3	$	—	$	—	$	—		$	—		$	—	$	—		$	—	$	—	$	—	$	—		$	3	$	—
Commercial mortgage-backed securities	—		—		—		—			—			—		—			—		—		—		—			—		—
Other asset-backed securities	563,961		—		—		—			(3,867		)	—		(32		)	—		—		43,205		379			603,646		—
U.S. government-related securities	—		—		—		—			—			—		—			—		—		—		—			—		—
States, municipals, and political subdivisions	3,675		—		—		—			—			—		— —			—		—		—		—			3,675		—
Other government-related securities	—		—		—		—			—			—		—			—		—		—		—			—		—
Corporate securities	1,325,683		—		12,282		—			(23,029		)	—		(7,062		)	—		—		—		(615		)	1,307,259		—
Total fixed maturity securities - available-for-sale	1,893,322		—		12,282		—			(26,896		)	—		(7,094		)	—		—		43,205		(236		)	1,914,583		—
Fixed maturity securities - trading
Residential mortgage-backed securities	—		—		—		—			—			—		—			—		—		—		—			—		—
Commercial mortgage-backed securities	—		—		—		—			—			—		—			—		—		—		—			—		—
Other asset-backed securities	169,461		586		—		(139		)	—			—		(472		)	—		—		—		37			169,473		447
U.S. government-related securities	—		—		—		—			—			—		—			—		—		—		—			—		—
States, municipals and political subdivisions	—		—		—		—			—			—		—			—		—		—		—			—		—
Other government-related securities	—		—		—		—			—			—		—			—		—		—		—			—		—
Corporate securities	24,744		602		—		(196		)	—			—		(20		)	—		—		—		—			25,130		406
Total fixed maturity securities - trading	194,205		1,188		—		(335		)	—			—		(492		)	—		—		—		37			194,603		853
Total fixed maturity securities	2,087,527		1,188		12,282		(335		)	(26,896		)	—		(7,586		)	—		—		43,205		(199		)	2,109,186		853
Equity securities	73,054		—		—		—			(10		)	—		—			—		—		—		—			73,044		—
Other long-term investments(1)	67,894		753		—		(25,902		)	—			—		—			—		—		—		—			42,745		(25,149		)
Short-term investments	—		—		—		—			—			—		—			—		—		—		—			—		—
Total investments	2,228,475		1,941		12,282		(26,237		)	(26,906		)	—		(7,586		)	—		—		43,205		(199		)	2,224,975		(24,296		)
Total assets measured at fair value on a recurring basis	$	2,228,475	$	1,941	$	12,282	$	(26,237	)	$	(26,906	)	$	—	$	(7,586	)	$	—	$	—	$	43,205	$	(199	)	$	2,224,975	$	(24,296	)
Liabilities:
Annuity account balances(2)	$	97,825	$	—	$	—	$	(536	)	$	—		$	—	$	—		$	7	$	419	$	—	$	—		$	97,949	$	—
Other liabilities(1)	754,852		61		—		(253,773		)	—			—		—			—		—		—		—			1,008,564		(253,712		)
Total liabilities measured at fair value on a recurring basis	$	852,677	$	61	$	—	$	(254,309	)	$	—		$	—	$	—		$	7	$	419	$	—	$	—		$	1,106,513	$	(253,712	)

(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, 2014 (Predecessor Company), for which the Company has used significant unobservable inputs (Level 3):

			Total Realized and Unrealized Gains				Total Realized and Unrealized Losses																						Total Gains (losses) included in Earnings related to Instruments
	Beginning Balance		Included in Earnings		Included in Other Comprehensive Income		Included in Earnings			Included in Other Comprehensive Income			Purchases		Sales			Issuances		Settlements		Transfers in/out of Level 3		Other			Ending Balance		still heldat the Reporting 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 securities	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 securities	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.

Schedule of the carrying amounts and estimated fair value of the Company's financial instruments

		Successor				Predecessor
		Company				Company
		As of				As of
		March 31, 2015				December 31, 2014
	Fair Value	Carrying				Carrying
	Level	Amounts		Fair Values		Amounts		Fair Values
		(Dollars In Thousands)				(Dollars In Thousands)
Assets:
Mortgage loans on real estate	3	$	5,589,795	$	5,594,230	$	5,133,780	$	5,524,059
Policy loans	3	1,735,370		1,735,370		1,758,237		1,758,237
Fixed maturities, held-to-maturity(1)	3	551,320		528,828		435,000		458,422
Liabilities:
Stable value product account balances	3	$	1,923,684	$	1,924,552	$	1,959,488	$	1,973,624
Annuity account balances	3	10,846,606		10,285,821		10,950,729		10,491,775
Debt:
Bank borrowings	3	$	545,000	$	545,000	$	450,000	$	450,000
Senior Notes	2	1,124,637		1,105,764		850,000		1,100,380
Subordinated debt securities	2	454,225		461,949		540,593		552,098
Non-recourse funding obligations(2)	3	641,600		621,867		582,404		578,212

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, $455.0 million, fair value of $502.1 million, as of March 31, 2015 (Successor Company), and $435.0 million, fair value of $461.4 million, as of December 31, 2014 (Predecessor Company), relates to non-recourse funding obligations issued by Golden Gate V.