Fair Value Measurements (Tables)
 3 Months Ended
Mar. 31, 2015
Fair Value Disclosures [Abstract]  
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis
The following tables present categories reported at fair value on a recurring basis.
 
 
March 31, 2015
 
Level 1
 
Level 2
 
Level 3
 
Total
Assets:
 
 
 
 
 
 
 
U.S. Treasury securities and
obligations of U.S. Government
$
11,903

 
$
154,494

 
$
—

 
$
166,397

Federal agencies 1
—

 
21,883

 
—

 
21,883

Federal agency issued residential
     mortgage-backed securities 1
—

 
46,531

 
—

 
46,531

Subtotal
11,903

 
222,908

 
—

 
234,811

Corporate obligations:
 
 
 
 
 
 
 
Industrial
—

 
581,020

 
—

 
581,020

Energy
—

 
238,009

 
—

 
238,009

Communications and technology
—

 
261,813

 
—

 
261,813

Financial
—

 
267,638

 
—

 
267,638

Consumer
—

 
555,093

 
—

 
555,093

Public utilities
—

 
255,924

 
—

 
255,924

Subtotal
—

 
2,159,497

 
—

 
2,159,497

Corporate private-labeled residential
mortgage-backed securities
—

 
89,879

 
—

 
89,879

Municipal securities
—

 
159,525

 
—

 
159,525

Other
—

 
103,206

 
872

 
104,078

Redeemable preferred stocks
—

 
17,820

 
—

 
17,820

Fixed maturity securities
11,903

 
2,752,835

 
872

 
2,765,610

Equity securities
5,411

 
19,836

 
—

 
25,247

Total
$
17,314

 
$
2,772,671

 
$
872

 
$
2,790,857

 
 
 
 
 
 
 
 
Percent of total
1
%
 
99
%
 
—
%
 
100
%
 
 
 
 
 
 
 
 
Liabilities:
 
 
 
 
 
 
 
Other policyholder funds
 
 
 
 
 
 
 
Guaranteed minimum withdrawal benefits
$
—

 
$
—

 
$
(2,843
)
 
$
(2,843
)
Total
$
—

 
$
—

 
$
(2,843
)
 
$
(2,843
)
1 Federal agency securities are not backed by the full faith and credit of the U.S. Government.
 
 
December 31, 2014
 
Level 1
 
Level 2
 
Level 3
 
Total
Assets:
 
 
 
 
 
 
 
U.S. Treasury securities and
     obligations of U.S. Government
$
12,247

 
$
152,546

 
$
—

 
$
164,793

Federal agencies 1
—

 
21,951

 
—

 
21,951

Federal agency issued residential
     mortgage-backed securities 1
—

 
48,742

 
—

 
48,742

Subtotal
12,247

 
223,239

 
—

 
235,486

Corporate obligations:
 
 
 
 
 
 
 
Industrial
—

 
559,377

 
—

 
559,377

Energy
—

 
230,090

 
—

 
230,090

Communications and technology
—

 
242,905

 
—

 
242,905

Financial
—

 
294,329

 
—

 
294,329

Consumer
—

 
544,079

 
—

 
544,079

Public utilities
—

 
250,079

 
—

 
250,079

Subtotal
—

 
2,120,859

 
—

 
2,120,859

Corporate private-labeled residential
mortgage-backed securities
—

 
95,282

 
—

 
95,282

Municipal securities
—

 
158,492

 
—

 
158,492

Other
—

 
98,714

 
759

 
99,473

Redeemable preferred stocks
—

 
17,139

 
—

 
17,139

Fixed maturity securities
12,247

 
2,713,725

 
759

 
2,726,731

Equity securities
5,347

 
19,534

 
—

 
24,881

Total
$
17,594

 
$
2,733,259

 
$
759

 
$
2,751,612

 
 
 
 
 
 
 
 
Percent of total
1
%
 
99
%
 
—
%
 
100
%
 
 
 
 
 
 
 
 
Liabilities:
 
 
 
 
 
 
 
Other policyholder funds
 
 
 
 
 
 
 
Guaranteed minimum withdrawal benefits
$
—

 
$
—

 
$
(1,094
)
 
$
(1,094
)
Total
$
—

 
$
—

 
$
(1,094
)
 
$
(1,094
)
1 Federal agency securities are not backed by the full faith and credit of the U.S. Government.
Schedule of Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis
The changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the first quarter ended March 31, 2015 and year ended December 31, 2014 are summarized below:
 
 
Quarter Ended March 31, 2015
 
Assets
 
Liabilities
 
Fixed maturity
securities available
for sale
 
GMWB
Beginning balance
$
759

 
$
(1,094
)
Included in earnings
—

 
(1,549
)
Included in other comprehensive income
113

 
—

Purchases, issuances, sales and other
dispositions:
 
 
 
Purchases
—

 
—

Issuances
—

 
82

Sales
—

 
—

Other dispositions
—

 
(282
)
Transfers into Level 3
—

 
—

Transfers out of Level 3
—

 
—

Ending balance
$
872

 
$
(2,843
)
 
 
Year Ended December 31, 2014
 
Assets
 
Liabilities
 
Fixed maturity
securities available
for sale
 
GMWB
Beginning balance
$
1,433

 
$
(4,703
)
Included in earnings
(12
)
 
3,145

Included in other comprehensive income
(421
)
 
—

Purchases, issuances, sales and other
dispositions:
 
 
 
Purchases
—

 
—

Issuances
—

 
592

Sales
—

 
—

Other dispositions
(241
)
 
(128
)
Transfers into Level 3
—

 
—

Transfers out of Level 3
—

 
—

Ending balance
$
759

 
$
(1,094
)
Schedule of Valuation Method for Material Financial Instruments
The following table presents the valuation method for material financial instruments included in Level 3, as well as the unobservable inputs used in the valuation of those financial instruments at March 31, 2015.
 
Fair Value
 
Valuation Technique
 
Unobservable Inputs
 
Range
Embedded Derivative - GMWB
$
(2,843
)
 
Actuarial cash flow model
 
Mortality
 
80% of US Annuity Basic Table (2000)
 
 
 
 
 
Lapse
 
0%-16% depending on product/duration/funded status of guarantee
 
 
 
 
 
Benefit Utilization
 
0%-80% depending on age/duration/funded status of guarantee
 
 
 
 
 
Nonperformance Risk
 
0.75%-1.37%
The following table presents the valuation method for material financial instruments included in Level 3, as well as the unobservable inputs used in the valuation of those financial instruments at December 31, 2014.
 
Fair Value
 
Valuation Technique
 
Unobservable Inputs
 
Range
Embedded Derivative - GMWB
$
(1,094
)
 
Actuarial cash flow model
 
Mortality
 
80% of US Annuity Basic Table (2000)
 
 
 
 
 
Lapse
 
0%-16% depending on product/duration/funded status of guarantee
 
 
 
 
 
Benefit Utilization
 
0%-80% depending on age/duration/funded status of guarantee
 
 
 
 
 
Nonperformance Risk
 
0.73%-1.35%
Summary of Fair Value Estimates for Financial Instruments
The following tables present a summary of fair value estimates at March 31, 2015 and December 31, 2014 for financial instruments. The Company has not included assets and liabilities that are not financial instruments in this disclosure. The total of the fair value calculations presented below may not be indicative of the value that can be obtained.
 
March 31, 2015
 
Carrying
Value
 
Fair Value
Assets:
 
 
 
Investments:
 
 
 
Fixed maturity securities available for sale
$
2,765,610

 
$
2,765,610

Equity securities
25,247

 
25,247

Mortgage loans
544,940

 
575,140

Policy loans
82,843

 
82,843

Cash and short-term investments
33,161

 
33,161

Separate account assets
412,357

 
412,357

 
 
 
 
Liabilities:
 
 
 
Individual and group annuities
$
1,075,311

 
$
1,056,455

Supplementary contracts and annuities
without life contingencies
54,603

 
53,594

Separate account liabilities
412,357

 
412,357

Other policyholder funds - GMWB
(2,843
)
 
(2,843
)

 
December 31, 2014
 
Carrying
Value
 
Fair Value
Assets:
 
 
 
Investments:
 
 
 
Fixed maturity securities available for sale
$
2,726,731

 
$
2,726,731

Equity securities
24,881

 
24,881

Mortgage loans
541,180

 
567,435

Policy loans
83,553

 
83,553

Cash and short-term financial assets
50,118

 
50,118

Separate account assets
406,501

 
406,501

 
 
 
 
Liabilities:
 
 
 
Individual and group annuities
$
1,080,322

 
$
1,061,067

Supplementary contracts and annuities
without life contingencies
54,949

 
53,744

Separate account liabilities
406,501

 
406,501

Other policyholder funds - GMWB
(1,094
)
 
(1,094
)