Fair Value of Assets and Liabilities Fair Value of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2014

Schedule Of Fair Value Assets and Liabilities Measured on Recurring Basis Table Text Block

Assets and liabilities measured at fair value on a recurring basis as of March 31, 2014 and December 31, 2013 are summarized below (dollars in thousands):



March 31, 2014:				Fair Value Measurements Using:
	Total			Level 1		Level 2			Level 3
Assets:
Fixed maturity securities – available-for-sale:
Corporate securities	$	12,518,300		$	71,152	$	11,155,447		$	1,291,701
Canadian and Canadian provincial governments	3,450,164			—		3,450,164			—
Residential mortgage-backed securities	1,001,871			—		823,944			177,927
Asset-backed securities	944,579			—		441,904			502,675
Commercial mortgage-backed securities	1,450,503			—		1,360,130			90,373
U.S. government and agencies securities	462,262			360,017		64,214			38,031
State and political subdivision securities	390,632			—		346,799			43,833
Other foreign government supranational and foreign government-sponsored enterprises	1,938,871			298,309		1,629,405			11,157
Total fixed maturity securities – available-for-sale	22,157,182			729,478		19,272,007			2,155,697
Funds withheld at interest – embedded derivatives	(99,029		)	—		—			(99,029		)
Cash equivalents	532,957			532,957		—			—
Short-term investments	85,292			78,710		6,582			—
Other invested assets:
Non-redeemable preferred stock	88,767			87,382		1,385			—
Other equity securities	193,248			193,248		—			—
Derivatives:
Interest rate swaps	34,911			—		34,911			—
Financial futures	3,836			—		3,836			—
Foreign currency forwards	—			—		—			—
CPI swaps	(70		)	—		(70		)	—
Credit default swaps	7,421			—		7,421			—
Equity options	30,862			—		30,862			—
Foreign currency swaps	44,213			—		44,213			—
FVO contractholder-directed unit-linked investments	147,342			140,659		6,683			—
Collateral	—			—		—			—
Other	7,193			7,193		—			—
Total other invested assets	557,723			428,482		129,241			—
Total	$	23,234,125		$	1,769,627	$	19,407,830		$	2,056,668
Liabilities:
Interest sensitive contract liabilities – embedded derivatives	$	911,987		$	—	$	—		$	911,987
Other liabilities:
Derivatives:
Interest rate swaps	3,295			—		3,295			—
Foreign currency forwards	10,067			—		10,067			—
Credit default swaps	207			—		207			—
Equity options	(4		)	—		(4		)	—
Foreign currency swaps	—			—		—			—
Total	$	925,552		$	—	$	13,565		$	911,987



December 31, 2013:				Fair Value Measurements Using:
	Total			Level 1		Level 2			Level 3
Assets:
Fixed maturity securities – available-for-sale:
Corporate securities	$	12,110,755		$	68,934	$	10,696,532		$	1,345,289
Canadian and Canadian provincial governments	3,381,025			—		3,381,025			—
Residential mortgage-backed securities	989,643			—		836,138			153,505
Asset-backed securities	894,832			—		422,984			471,848
Commercial mortgage-backed securities	1,388,946			—		1,287,161			101,785
U.S. government and agencies securities	501,351			396,092		64,340			40,919
State and political subdivision securities	320,820			—		277,044			43,776
Other foreign government, supranational and foreign government-sponsored enterprises	1,886,764			304,487		1,544,280			37,997
Total fixed maturity securities – available-for-sale	21,474,136			769,513		18,509,504			2,195,119
Funds withheld at interest – embedded derivatives	(176,270		)	—		—			(176,270		)
Cash equivalents	371,345			371,345		—			—
Short-term investments	111,572			105,649		5,923			—
Other invested assets:
Non-redeemable preferred stock	81,854			74,220		2,672			4,962
Other equity securities	323,877			323,877		—			—
Derivatives:
Interest rate swaps	9,904			—		9,904			—
Foreign currency forwards	2,554			—		2,554			—
CPI swaps	(309		)	—		(309		)	—
Credit default swaps	7,926			—		7,926			—
Equity options	33,869			—		33,869			—
Collateral	21,283			—		21,283			—
FVO contractholder-directed unit-linked investments	138,892			132,643		6,249			—
Other	9,142			9,142		—			—
Total other invested assets	628,992			539,882		84,148			4,962
Total	$	22,409,775		$	1,786,389	$	18,599,575		$	2,023,811
Liabilities:
Interest sensitive contract liabilities – embedded derivatives	$	868,725		$	—	$	—		$	868,725
Other liabilities:
Derivatives:
Interest rate swaps	3,828			—		3,828			—
Foreign currency forwards	12,772			—		12,772			—
Credit default swaps	(356		)	—		(356		)	—
Foreign currency swaps	(33		)	—		(33		)	—
Total	$	884,936		$	—	$	16,211		$	868,725

Fair Value Unobservable Input Measurements [Table Text Block]

The following table presents quantitative information about significant unobservable inputs used in Level 3 fair value measurements that are developed by the Company, which does not include unobservable Level 3 asset and liability measurements provided by third parties, as of March 31, 2014 and December 31, 2013 (dollars in thousands):



March 31, 2014:				Valuation Technique(s)	Unobservable Input	Range (Weighted Average)
March 31, 2014:	Fair Value			Valuation Technique(s)	Unobservable Input	Range (Weighted Average)
Assets:
State and political subdivision securities	$	21,689		Market comparable securities	Liquidity premium	1	%
Corporate securities	267,015			Market comparable securities	Liquidity premium	0-2% (1%)
U.S. government and agencies	34,693			Market comparable securities	Liquidity premium	0-1% (1%)
Funds withheld at interest- embedded derivatives	(99,029		)	Total return swap	Mortality	0-100% (2%)
					Lapse	0-35% (7%)
					Withdrawal	0-5% (3%)
					Own Credit	0-1% (1%)
					Crediting rate	2-4% (3%)
Liabilities:
Interest sensitive contract liabilities- embedded derivatives- indexed annuities	858,270			Discounted cash flow	Mortality	0-100% (2%)
					Lapse	0-35% (7%)
					Withdrawal	0-5% (3%)
					Option budget projection	2-4% (3%)

Interest sensitive contract liabilities- embedded derivatives- variable annuities	53,717			Discounted cash flow	Mortality	0-100% (2%)
					Lapse	0-25% (7%)
					Withdrawal	0-7% (3%)
					Own Credit	0-1% (1%)
					Long-term volatility	0-27% (10%)

December 31, 2013:

Fair Value

Valuation Technique(s)

Unobservable Input

Range (Weighted Average)

Assets:

State and political subdivision securities

29,024

Market comparable securities

Liquidity premium

Corporate securities

312,887

Market comparable securities

Liquidity premium

0-2% (1%)

Short-term investments

37,539

Market comparable securities

Liquidity premium

0-1% (1%)

Funds withheld at interest- embedded derivatives

(176,270

)

Total return swap

Mortality

0-100% (2%)

Lapse

0-35% (7%)

Withdrawal

0-5% (3%)

Own Credit

0-1% (1%)

Crediting Rate

2-4% (3%)

Liabilities:

Interest sensitive contract liabilities- embedded derivatives- indexed annuities

838,670

Discounted cash flow

Mortality

0-100% (2%)

Lapse

0-35% (7%)

Withdrawal

0-5% (3%)

Option budget projection

2-4% (3%)

Interest sensitive contract liabilities- embedded derivatives- variable annuities

30,055

Discounted cash flow

Mortality

0-100% (2%)

Lapse

0-25% (6%)

Withdrawal

0-7% (3%)

Own Credit

0-1% (1%)

Long-term volatility

0-27% (10%)

Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Level Transfers [Table Text Block]

The following tables present the transfers between Level 1 and Level 2 during the three months ended March 31, 2014 and 2013 (dollars in thousands):



	Three months ended March 31,
	2014				2013
	Transfers from Level 1 to Level 2		Transfers from Level 2 to Level 1		Transfers from Level 1 to Level 2		Transfers from Level 2 to Level 1
Fixed maturity securities - available-for-sale:
Corporate securities	$	—	$	—	$	—	$	14,012
Total fixed maturity securities	$	—	$	—	$	—	$	14,012

Fair Value Assets And Liabilities Measured On Recurring Basis Unobservable Input Reconciliation [Text Block]



For the three months ended March 31, 2013:	Fixed maturity securities - available-for-sale
	Corporate securities			Residential mortgage-backed securities			Asset-backed securities			Commercial mortgage-backed securities			U.S. Government and agencies securities			State and political subdivision securities
Fair value, beginning of period	$	1,668,563		$	93,931		$	232,391		$	167,006		$	4,538		$	43,212
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment income, net of related expenses	(2,027		)	105			878			502			—			9
Investment related gains (losses), net	(1,262		)	(173		)	(1,747		)	(870		)	—			(4		)
Claims & other policy benefits	—			—			—			—			—			—
Interest credited	—			—			—			—			—			—
Policy acquisition costs and other insurance expenses	—			—			—			—			—			—
Included in other comprehensive income	963			2,514			12,036			12,500			—			(553		)
Purchases ⁽¹⁾	74,671			40,538			55,881			—			—			—
Sales⁽¹⁾	(16,278		)	(1,599		)	(8,297		)	(1,604		)	—			—
Settlements⁽¹⁾	(65,366		)	(4,923		)	(5,877		)	(2,240		)	—			(25		)
Transfers into Level 3	3,773			10,324			2,966			—			—			—
Transfers out of Level 3	(16,134		)	—			—			—			(4,538		)	—
Fair value, end of period	$	1,646,903		$	140,717		$	288,231		$	175,294		$	—		$	42,639
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment income, net of related expenses	$	(2,027	)	$	105		$	882		$	501		$	—		$	9
Investment related gains (losses), net	(202		)	—			—			—			—			—
Claims & other policy benefits	—			—			—			—			—			—
Interest credited	—			—			—			—			—			—
Policy acquisition costs and other insurance expenses	—			—			—			—			—			—



	Fixed maturity securities - available-for-sale
For the three months ended March 31, 2013 (continued):	Other foreign government securities			Funds withheld at interest- embedded derivatives			Short-term investments			Interest sensitive contract liabilities embedded derivatives
Fair value, beginning of period	$	28,280		$	(243,177	)	$	22,031		$	(912,361	)
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment income, net of related expenses	(75		)	—			(3		)	—
Investment related gains (losses), net	—			86,988			—			51,314
Claims & other policy benefits	—			—			—			—
Interest credited	—			—			—			(32,996		)
Policy acquisition costs and other insurance expenses	—			—			—			—
Included in other comprehensive income	(340		)	—			(27		)	—
Purchases⁽¹⁾	—			—			—			(13,860		)
Sales⁽¹⁾	—			—			—			—
Settlements⁽¹⁾	—			—			—			17,427
Transfers into Level 3	—			—			—			—
Transfers out of Level 3	—			—			—			—
Fair value, end of period	$	27,865		$	(156,189	)	$	22,001		$	(890,476	)
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment income, net of related expenses	$	(75	)	$	—		$	(4	)	$	—
Investment related gains (losses), net	—			86,988			—			50,123
Claims & other policy benefits	—			—			—			—
Interest credited	—			—			—			(50,424		)
Policy acquisition costs and other insurance expenses	—			—			—			—


(1)	The amount reported within purchases, sales and settlements is the purchase price (for purchases) and the sales/settlement proceeds (for sales and settlements) based upon the actual date purchased or sold/settled. Items purchased and sold/settled in the same period are excluded from the rollforward. The Company had no issuances during the period.

The tables below provide a summary of the changes in fair value of Level 3 assets and liabilities for the three months ended March 31, 2014, as well as the portion of gains or losses included in income for the three months ended March 31, 2014 attributable to unrealized gains or losses related to those assets and liabilities still held at March 31, 2014 (dollars in thousands):



For the three months ended March 31, 2014:	Fixed maturity securities - available-for-sale
	Corporate securities			Residential mortgage- backed securities			Asset-backed securities			Commercial mortgage- backed securities			U.S. Government and agencies securities
Fair value, beginning of period	$	1,345,289		$	153,505		$	471,848		$	101,785		$	40,919
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment income, net of related expenses	(1,111		)	56			2,057			372			(97		)
Investment related gains (losses), net	(161		)	106			304			86			(195		)
Claims & other policy benefits	—			—			—			—			—
Interest credited	—			—			—			—			—
Policy acquisition costs and other insurance expenses	—			—			—			—			—
Included in other comprehensive income	2,450			2,887			5,501			3,035			305
Purchases⁽¹⁾	79,512			18,750			59,224			—			128
Sales⁽¹⁾	(38,747		)	(744		)	(6,612		)	(14,626		)	—
Settlements⁽¹⁾	(51,944		)	(6,172		)	(6,315		)	(279		)	(3,029		)
Transfers into Level 3	6,930			10,563			5,948			—			—
Transfers out of Level 3	(50,517		)	(1,024		)	(29,280		)	—			—
Fair value, end of period	$	1,291,701		$	177,927		$	502,675		$	90,373		$	38,031
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment income, net of related expenses	$	(1,062	)	$	52		$	2,050		$	428		$	(97	)
Investment related gains (losses), net	—			—			—			—			—
Claims & other policy benefits	—			—			—			—			—
Interest credited	—			—			—			—			—
Policy acquisition costs and other insurance expenses	—			—			—			—			—



For the three months ended March 31, 2014 (continued):	Fixed maturity securities available-for-sale
	State and political subdivision securities			Other foreign government, supranational and foreign government-sponsored enterprises			Funds withheld at interest- embedded derivative			Other invested assets- non-redeemable preferred stock			Interest sensitive contract liabilities embedded derivatives
Fair value, beginning of period	$	43,776		$	37,997		$	(176,270	)	$	4,962		$	(868,725	)
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment income, net of related expenses	12			—			—			—			—
Investment related gains (losses), net	(4		)	—			77,241			—			(23,661		)
Claims & other policy benefits	—			—			—			—			—
Interest credited	—			—			—			—			(23,840		)
Policy acquisition costs and other insurance expenses	—			—			—			—			—
Included in other comprehensive income	113			—			—			—			—
Purchases⁽¹⁾	—			—			—			—			(15,193		)
Sales⁽¹⁾	—			—			—			—			—
Settlements⁽¹⁾	(64		)	(298		)	—			—			19,432
Transfers into Level 3	—			—			—			—			—
Transfers out of Level 3	—			(26,542		)	—			(4,962		)	—
Fair value, end of period	$	43,833		$	11,157		$	(99,029	)	$	—		$	(911,987	)
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment income, net of related expenses	$	12		$	—		$	—		$	—		$	—
Investment related gains (losses), net	—			—			77,241			—			(24,211		)
Claims & other policy benefits	—			—			—			—			—
Interest credited	—			—			—			—			(43,273		)
Policy acquisition costs and other insurance expenses	—			—			—			—			—


(1)	The amount reported within purchases, sales and settlements is the purchase price (for purchases) and the sales/settlement proceeds (for sales and settlements) based upon the actual date purchased or sold/settled. Items purchased and sold/settled in the same period are excluded from the rollforward. The Company had no issuances during the period.

Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Table Text Block]



	Three months ended March 31,
(dollars in thousands)	2014						2013
	Carrying Value Prior to Measurement		Estimated Fair Value After Measurement		Net Investment Gains (Losses)		Carrying Value Prior to Measurement		Estimated Fair Value After Measurement		Net Investment Gains (Losses)
Mortgage loans⁽¹⁾	$	10,280	$	10,660	$	380	$	13,581	$	13,700	$	119
Limited partnership interests⁽²⁾	—		—		—		11,590		9,161		(2,429		)

(1)

Mortgage loans — The impaired mortgage loans presented above were written down to their estimated fair values at the date the impairments were recognized and are reported as losses above. Subsequent improvements in estimated fair value on previously impaired loans recorded through a reduction in the previously established valuation allowance are reported as gains above. Nonrecurring fair value adjustments on mortgage loans are based on the fair value of underlying collateral or discounted cash flows.

(2)

Limited partnership interests — The impaired limited partnership interests presented above were accounted for using the cost method. Impairments on these cost method investments were recognized at estimated fair value determined using the net asset values of the Company’s ownership interest as provided in the financial statements of the investees. The market for these investments has limited activity and price transparency.

Financial Instruments Carrying Amounts And Estimated Fair Value [Text Block]



March 31, 2014:	Carrying Value		Estimated Fair Value		Fair Value Measurement Using:
March 31, 2014:	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3
Assets:
Mortgage loans on real estate	$	2,526,228	$	2,576,966	$	—	$	—	$	2,576,966
Policy loans	1,296,897		1,296,897		—		1,296,897		—
Funds withheld at interest⁽¹⁾	5,912,727		6,236,412		—		—		6,236,412
Cash and cash equivalents⁽²⁾	594,175		594,175		594,175		—		—
Short-term investments⁽²⁾	33,497		33,497		33,497		—		—
Other invested assets⁽²⁾	476,249		519,548		5,108		36,046		478,394
Accrued investment income	233,816		233,816		—		233,816		—
Liabilities:
Interest-sensitive contract liabilities⁽¹⁾	$	10,065,850	$	9,812,347	$	—	$	—	$	9,812,347
Short-term debt	50,000		50,000		—		50,000		—
Long-term debt	2,214,526		2,407,939		—		—		2,407,939
Collateral finance facility	484,747		376,193		—		—		376,193

December 31, 2013:	Carrying Value		Estimated Fair Value		Fair Value Measurement Using:
December 31, 2013:	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3
Assets:
Mortgage loans on real estate	$	2,486,680	$	2,489,721	$	—	$	—	$	2,489,721
Policy loans	1,244,469		1,244,469		—		1,244,469		—
Funds withheld at interest⁽¹⁾	5,948,374		6,207,342		—		—		6,207,342
Cash and cash equivalents⁽²⁾	552,302		552,302		552,302		—		—
Short-term investments⁽²⁾	27,823		27,823		27,823		—		—
Other invested assets⁽²⁾	491,545		534,442		5,070		33,886		495,486
Accrued investment income	267,908		267,908		—		267,908		—
Liabilities:
Interest-sensitive contract liabilities⁽¹⁾	$	10,228,120	$	9,989,514	$	—	$	—	$	9,989,514
Long-term debt	2,214,350		2,333,023		—		—		2,333,023
Collateral finance facility	484,752		374,984		—		—		374,984


(1)	Carrying values presented herein differ from those presented in the condensed consolidated balance sheets because certain items within the respective financial statement caption are embedded derivatives and are measured at fair value on a recurring basis.


(2)	Carrying values presented herein differ from those presented in the condensed consolidated balance sheets because certain items within the respective financial statement caption are measured at fair value on a recurring basis.