XML 25 R14.htm IDEA: XBRL DOCUMENT
v3.10.0.1

Fair Value of Assets and Liabilities | 9 Months Ended
--- | ---
Sep. 30, 2018
Fair Value Disclosures [Abstract] |
Fair Value Disclosures | Fair Value of Assets and Liabilities Fair Value Measurement General accounting principles for Fair Value Measurements and Disclosures define fair value as the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. These principles also establish a fair value hierarchy which requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value and describes three levels of inputs that may be used to measure fair value: Level 1 - Unadjusted quoted prices in active markets for identical assets or liabilities. The Company’s Level 1 assets and liabilities are traded in active exchange markets. Level 2 - Observable inputs other than Level 1 prices such as quoted prices for similar assets or liabilities; quoted prices in markets that are not active; or market standard valuation techniques and assumptions that use significant inputs that are observable or can be corroborated by observable market data for substantially the full term of the assets or liabilities. Level 3 - Unobservable inputs that are supported by little or no market activity and that are significant to the fair value of the related assets or liabilities. Prices are determined using valuation methodologies such as discounted cash flow models and other similar techniques that require management’s judgment or estimation in developing inputs that are consistent with those other market participants would use when pricing similar assets and liabilities. Additionally, the Company’s embedded derivatives, all of which are associated with reinsurance treaties and longevity and mortality swaps, are classified in Level 3 since their values include significant unobservable inputs. For a discussion of the Company’s valuation methodologies for assets and liabilities measured at fair value and the fair value hierarchy, see Note 6 in the Notes to Consolidated Financial Statements included in the Company’s 2017 Annual Report. Assets and Liabilities by Hierarchy Level Assets and liabilities measured at fair value on a recurring basis as of September 30, 2018 and December 31, 2017 are summarized below (dollars in thousands):
September 30, 2018: |  |  |  | Fair Value Measurements Using:
|  | Total |  | Level 1 |  | Level 2 |  | Level 3
Assets: |  |  |  |  |  |  |  |
Fixed maturity securities – available-for-sale: |  |  |  |  |  |  |  |
Corporate |  | $ | 24,449,498 |  |  | $ | — |  |  | $ | 23,193,563 |  |  | $ | 1,255,935 |
Canadian government |  | 4,036,750 |  |  | — |  |  | 3,488,008 |  |  | 548,742 |
RMBS |  | 1,780,762 |  |  | — |  |  | 1,780,762 |  |  | — |
ABS |  | 1,863,017 |  |  | — |  |  | 1,780,250 |  |  | 82,767 |
CMBS |  | 1,273,534 |  |  | — |  |  | 1,271,752 |  |  | 1,782 |
U.S. government |  | 1,412,409 |  |  | 1,284,932 |  |  | 107,225 |  |  | 20,252 |
State and political subdivisions |  | 911,991 |  |  | — |  |  | 898,346 |  |  | 13,645 |
Other foreign government |  | 3,277,251 |  |  | — |  |  | 3,272,239 |  |  | 5,012 |
Total fixed maturity securities – available-for-sale |  | 39,005,212 |  |  | 1,284,932 |  |  | 35,792,145 |  |  | 1,928,135 |
Equity securities |  | 101,069 |  |  | 57,584 |  |  | — |  |  | 43,485 |
Funds withheld at interest – embedded derivatives |  | 142,529 |  |  | — |  |  | — |  |  | 142,529 |
Cash equivalents |  | 657,280 |  |  | 657,280 |  |  | — |  |  | — |
Short-term investments |  | 186,051 |  |  | 5,957 |  |  | 177,891 |  |  | 2,203 |
Other invested assets: |  |  |  |  |  |  |  |
Derivatives: |  |  |  |  |  |  |  |
Interest rate swaps |  | 29,106 |  |  | — |  |  | 29,106 |  |  | — |
Foreign currency forwards |  | 6,881 |  |  | — |  |  | 6,881 |  |  | — |
CPI swaps |  | (13 | ) |  | — |  |  | (13 | ) |  | — |
Credit default swaps |  | 5,961 |  |  | — |  |  | 5,961 |  |  | — |
Equity options |  | 16,818 |  |  | — |  |  | 16,818 |  |  | — |
Foreign currency swaps |  | 42,371 |  |  | — |  |  | 42,371 |  |  | — |
FVO contractholder-directed unit-linked investments |  | 212,315 |  |  | 211,253 |  |  | 1,062 |  |  | — |
Total other invested assets |  | 313,439 |  |  | 211,253 |  |  | 102,186 |  |  | — |
Other assets - longevity swaps |  | 46,090 |  |  | — |  |  | — |  |  | 46,090 |
Total |  | $ | 40,451,670 |  |  | $ | 2,217,006 |  |  | $ | 36,072,222 |  |  | $ | 2,162,442 |
Liabilities: |  |  |  |  |  |  |  |
Interest sensitive contract liabilities – embedded derivatives |  | $ | 906,199 |  |  | $ | — |  |  | $ | — |  |  | $ | 906,199 |
Other liabilities: |  |  |  |  |  |  |  |
Derivatives: |  |  |  |  |  |  |  |
Interest rate swaps |  | 14,166 |  |  | — |  |  | 14,166 |  |  | — |
CPI swaps |  | 2,696 |  |  | — |  |  | 2,696 |  |  | — |
Credit default swaps |  | (684 | ) |  | — |  |  | (684 | ) |  | — |
Equity options |  | (2,554 | ) |  | — |  |  | (2,554 | ) |  | — |
Mortality swaps |  | 308 |  |  | — |  |  | — |  |  | 308 |
Total |  | $ | 920,131 |  |  | $ | — |  |  | $ | 13,624 |  |  | $ | 906,507 |
December 31, 2017: |  |  |  | Fair Value Measurements Using:
|  | Total |  | Level 1 |  | Level 2 |  | Level 3
Assets: |  |  |  |  |  |  |  |
Fixed maturity securities – available-for-sale: |  |  |  |  |  |  |  |
Corporate |  | $ | 23,210,968 |  |  | $ | — |  |  | $ | 21,873,696 |  |  | $ | 1,337,272 |
Canadian government |  | 4,220,076 |  |  | — |  |  | 3,626,134 |  |  | 593,942 |
RMBS |  | 1,719,880 |  |  | — |  |  | 1,611,998 |  |  | 107,882 |
ABS |  | 1,648,362 |  |  | — |  |  | 1,524,888 |  |  | 123,474 |
CMBS |  | 1,303,387 |  |  | — |  |  | 1,300,153 |  |  | 3,234 |
U.S. government |  | 1,943,592 |  |  | 1,818,006 |  |  | 103,075 |  |  | 22,511 |
State and political subdivisions |  | 703,428 |  |  | — |  |  | 662,225 |  |  | 41,203 |
Other foreign government |  | 3,401,127 |  |  | — |  |  | 3,396,035 |  |  | 5,092 |
Total fixed maturity securities – available-for-sale |  | 38,150,820 |  |  | 1,818,006 |  |  | 34,098,204 |  |  | 2,234,610 |
Equity securities: |  |  |  |  |  |  |  |
Non-redeemable preferred stock |  | 39,806 |  |  | 39,806 |  |  | — |  |  | — |
Other equity securities |  | 60,346 |  |  | 60,346 |  |  | — |  |  | — |
Funds withheld at interest – embedded derivatives |  | 122,194 |  |  | — |  |  | — |  |  | 122,194 |
Cash equivalents |  | 356,788 |  |  | 354,071 |  |  | 2,717 |  |  | — |
Short-term investments |  | 50,746 |  |  | — |  |  | 47,650 |  |  | 3,096 |
Other invested assets: |  |  |  |  |  |  |  |
Derivatives: |  |  |  |  |  |  |  |
Interest rate swaps |  | 51,359 |  |  | — |  |  | 51,359 |  |  | — |
Foreign currency forwards |  | 730 |  |  | — |  |  | 730 |  |  | — |
CPI swaps |  | (221 | ) |  | — |  |  | (221 | ) |  | — |
Credit default swaps |  | 5,908 |  |  | — |  |  | 5,908 |  |  | — |
Equity options |  | 16,932 |  |  | — |  |  | 16,932 |  |  | — |
Foreign currency swaps |  | 62,905 |  |  | — |  |  | 62,905 |  |  | — |
FVO contractholder-directed unit-linked investments |  | 218,541 |  |  | 217,618 |  |  | 923 |  |  | — |
Total other invested assets |  | 356,154 |  |  | 217,618 |  |  | 138,536 |  |  | — |
Other assets - longevity swaps |  | 40,659 |  |  | — |  |  | — |  |  | 40,659 |
Total |  | $ | 39,177,513 |  |  | $ | 2,489,847 |  |  | $ | 34,287,107 |  |  | $ | 2,400,559 |
Liabilities: |  |  |  |  |  |  |  |
Interest sensitive contract liabilities – embedded derivatives |  | $ | 1,014,228 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,014,228 |
Other liabilities: |  |  |  |  |  |  |  |
Derivatives: |  |  |  |  |  |  |  |
Interest rate swaps |  | 14,311 |  |  | — |  |  | 14,311 |  |  | — |
Foreign currency forwards |  | 7,213 |  |  | — |  |  | 7,213 |  |  | — |
CPI swaps |  | 1,939 |  |  | — |  |  | 1,939 |  |  | — |
Credit default swaps |  | (760 | ) |  | — |  |  | (760 | ) |  | — |
Equity options |  | (6,339 | ) |  | — |  |  | (6,339 | ) |  | — |
Foreign currency swaps |  | 6,194 |  |  | — |  |  | 6,194 |  |  | — |
Mortality swaps |  | 1,683 |  |  | — |  |  | — |  |  | 1,683 |
Total |  | $ | 1,038,469 |  |  | $ | — |  |  | $ | 22,558 |  |  | $ | 1,015,911 |
Transfers between Levels 1 and 2 Transfers between Levels 1 and 2 are made to reflect changes in observability of inputs and market activity. There were no transfers between Level 1 and Level 2 for the nine months ended September 30, 2018. The Company recognizes transfers of assets and liabilities into and out of levels within the fair value hierarchy at the beginning of the quarter in which the actual event or change in circumstances that caused the transfer occurs. The following tables present the transfers between Level 1 and Level 2 during the three and nine months ended September 30, 2017 (dollars in thousands):
|  | 2017
|  | Transfers from Level 1 to Level 2 |  | Transfers from Level 2 to Level 1
Three months ended September 30: |  |  |  |
Fixed maturity securities - available-for-sale: |  |  |  |
Corporate securities |  | $ | — |  |  | $ | — |
Nine months ended September 30: |  |  |  |
Fixed maturity securities - available-for-sale: |  |  |  |
Corporate securities |  | $ | — |  |  | $ | 88,674 |
Quantitative Information Regarding Internally - Priced Level 3 Assets and Liabilities The following table presents quantitative information about significant unobservable inputs used in Level 3 fair value measurements that are developed internally by the Company as of September 30, 2018 and December 31, 2017 (dollars in thousands):
| Estimated Fair Value |  | Valuation Technique |  | Unobservable Inputs |  | Range (Weighted Average)
September 30, 2018 |  | December 31, 2017 |  |  |  | September 30, 2018 |  | December 31, 2017
Assets: |  |  |  |  |  |  |  |  |  |  |
Corporate | $ | 630,328 |  |  | $ | 173,579 |  |  | Market comparable securities |  | Liquidity premium |  | 0-5% (1%) |  |  | 0-2% (1%) |
|  |  |  |  |  |  | EBITDA Multiple |  | 5.9x-7.5x (6.9x) |  |  | — |
ABS | 64,475 |  |  | — |  |  | Market comparable securities |  | Liquidity premium |  | 0-1% (1%) |  |  | — |
U.S. government | 20,252 |  |  | 22,511 |  |  | Market comparable securities |  | Liquidity premium |  | 0-1% (1%) |  |  | 0-1% (1%) |
State and political subdivisions | — |  |  | 4,616 |  |  | Market comparable securities |  | Liquidity premium |  | — |  |  | 1 | %
Other foreign government | 5,012 |  |  | — |  |  | Market comparable securities |  | Liquidity premium |  | 1 | % |  | — |
Equity securities | 33,074 |  |  | — |  |  | Market comparable securities |  | Liquidity premium |  | 4 | % |  | — |
|  |  |  |  |  |  | EBITDA Multiple |  | 6.9x-12.3x (7.9x) |  |  | — |
|  |  |  |  | Discounted cash flow |  | Discount rate |  | 20 | % |  |
Funds withheld at interest- embedded derivatives | 142,529 |  |  | 122,194 |  |  | Total return swap |  | Mortality |  | 0-100% (2%) |  |  | 0-100% (2%) |
|  |  |  |  |  |  | Lapse |  | 0-35% (9%) |  |  | 0-35% (9%) |
|  |  |  |  |  |  | Withdrawal |  | 0-5% (3%) |  |  | 0-5% (3%) |
|  |  |  |  |  |  | CVA |  | 0-5% (1%) |  |  | 0-5% (1%) |
|  |  |  |  |  |  | Crediting rate |  | 2-4% (2%) |  |  | 2-4% (2%) |
Longevity swaps | 46,090 |  |  | 40,659 |  |  | Discounted cash flow |  | Mortality |  | 0-100% (2%) |  |  | 0-100% (2%) |
|  |  |  |  |  |  | Mortality improvement |  | (10%)-10% (3%) |  |  | (10%)-10% (3%) |
Liabilities: |  |  |  |  |  |  |  |  |  |  |
Interest sensitive contract liabilities- embedded derivatives- indexed annuities | 815,970 |  |  | 861,758 |  |  | Discounted cash flow |  | Mortality |  | 0-100% (2%) |  |  | 0-100% (2%) |
|  |  |  |  |  |  | Lapse |  | 0-35% (9%) |  |  | 0-35% (9%) |
|  |  |  |  |  |  | Withdrawal |  | 0-5% (3%) |  |  | 0-5% (3%) |
|  |  |  |  |  |  | Option budget projection |  | 2-4% (2%) |  |  | 2-4% (2%) |
Interest sensitive contract liabilities- embedded derivatives- variable annuities | 90,229 |  |  | 152,470 |  |  | Discounted cash flow |  | Mortality |  | 0-100% (1%) |  |  | 0-100% (1%) |
|  |  |  |  |  |  | Lapse |  | 0-25% (5%) |  |  | 0-25% (5%) |
|  |  |  |  |  |  | Withdrawal |  | 0-7% (4%) |  |  | 0-7% (3%) |
|  |  |  |  |  |  | CVA |  | 0-5% (1%) |  |  | 0-5% (1%) |
|  |  |  |  |  |  | Long-term volatility |  | 0-27% (13%) |  |  | 0-27% (8%) |
Mortality swaps | 308 |  |  | 1,683 |  |  | Discounted cash flow |  | Mortality |  | 0-100% (1%) |  |  | 0-100% (1%) |
Changes in Level 3 Assets and Liabilities Assets and liabilities transferred into Level 3 are due to a lack of observable market transactions and price information. Assets and liabilities are transferred out of Level 3 when circumstances change such that significant inputs can be corroborated with market observable data. This may be due to a significant increase in market activity for the asset or liability, a specific event, one or more significant input(s) becoming observable. Transfers out of Level 3 were primarily the result of the Company obtaining observable pricing information or a third party pricing quotation that appropriately reflects the fair value of those assets and liabilities. The Company also transferred equity securities with a fair value of approximately $38.9 million into Level 3 as a result of the adoption of the new accounting guidance for the recognition and measurement of equity securities. For further information on the Company’s valuation processes, see Note 6 in the Notes to Consolidated Financial Statements included in the Company’s 2017 Annual Report. The reconciliations for all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) are as follows (dollars in thousands):
For the three months ended September 30, 2018: |  | Fixed maturity securities - available-for-sale
|  | Corporate |  | Canadian government |  | RMBS |  | ABS
Fair value, beginning of period |  | $ | 1,367,154 |  |  | $ | 572,698 |  |  | $ | 54,839 |  |  | $ | 70,686 |
Total gains/losses (realized/unrealized) |  |  |  |  |  |  |  |
Included in earnings, net: |  |  |  |  |  |  |  |
Investment income, net of related expenses |  | (156 | ) |  | 3,520 |  |  | 3 |  |  | 20 |
Investment related gains (losses), net |  | 239 |  |  | — |  |  | — |  |  | 626 |
Included in other comprehensive income |  | (4,858 | ) |  | (27,476 | ) |  | (1 | ) |  | (130 | )
Purchases(1) |  | 123,808 |  |  | — |  |  | — |  |  | 11,099 |
Sales(1) |  | (62,047 | ) |  | — |  |  | — |  |  | (462 | )
Settlements(1) |  | (101,868 | ) |  | — |  |  | (3 | ) |  | (24,166 | )
Transfers into Level 3 |  | 2,782 |  |  | — |  |  | — |  |  | 64,009 |
Transfers out of Level 3 |  | (69,119 | ) |  | — |  |  | (54,838 | ) |  | (38,915 | )
Fair value, end of period |  | $ | 1,255,935 |  |  | $ | 548,742 |  |  | $ | — |  |  | $ | 82,767 |
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 |  | $ | (180 | ) |  | $ | 3,520 |  |  | $ | — |  |  | $ | 13 |
Investment related gains (losses), net |  | (1,430 | ) |  | — |  |  | — |  |  | — |
For the three months ended September 30, 2018 (continued): |  | Fixed maturity securities available-for-sale
|  | CMBS |  | U.S. government |  | State and political subdivisions |  | Other foreign government
Fair value, beginning of period |  | $ | 1,867 |  |  | $ | 20,735 |  |  | $ | 16,505 |  |  | $ | 5,044 |
Total gains/losses (realized/unrealized) |  |  |  |  |  |  |  |
Included in earnings, net: |  |  |  |  |  |  |  |
Investment income, net of related expenses |  | — |  |  | (107 | ) |  | 6 |  |  | — |
Included in other comprehensive income |  | 7 |  |  | (122 | ) |  | (544 | ) |  | (32 | )
Purchases(1) |  | — |  |  | 120 |  |  | — |  |  | — |
Settlements(1) |  | (1 | ) |  | (374 | ) |  | (37 | ) |  | — |
Transfers into Level 3 |  | 1,752 |  |  | — |  |  | 9,859 |  |  | — |
Transfers out of Level 3 |  | (1,843 | ) |  | — |  |  | (12,144 | ) |  | — |
Fair value, end of period |  | $ | 1,782 |  |  | $ | 20,252 |  |  | $ | 13,645 |  |  | $ | 5,012 |
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 |  | $ | — |  |  | $ | (107 | ) |  | $ | 6 |  |  | $ | — |
For the three months ended September 30, 2018 (continued): |  | Equity securities |  | Funds withheld at interest- embedded derivatives |  | Short-term Investments |  | Other assets - longevity swaps |  | Interest sensitive contract liabilities embedded derivatives |  | Other liabilities - mortality swaps
Fair value, beginning of period |  | $ | 42,937 |  |  | $ | 144,610 |  |  | $ | 3,217 |  |  | $ | 43,971 |  |  | $ | (928,797 | ) |  | $ | (782 | )
Total gains/losses (realized/unrealized) |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings, net: |  |  |  |  |  |  |  |  |  |  |  |
Investment related gains (losses), net |  | 5,532 |  |  | (2,081 | ) |  | — |  |  | — |  |  | 32,133 |  |  | — |
Interest credited |  | — |  |  | — |  |  | — |  |  | — |  |  | (25,348 | ) |  | — |
Included in other comprehensive income |  | — |  |  | — |  |  | 47 |  |  | (307 | ) |  | — |  |  | 1 |
Other revenues |  | — |  |  | — |  |  | — |  |  | 2,426 |  |  | — |  |  | 473 |
Purchases(1) |  | 863 |  |  | — |  |  | 1,721 |  |  | — |  |  | (4,231 | ) |  | — |
Sales(1) |  | (5,847 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements(1) |  | — |  |  | — |  |  | — |  |  | — |  |  | 20,044 |  |  | — |
Transfers out of Level 3 |  | — |  |  | — |  |  | (2,782 | ) |  | — |  |  | — |  |  | — |
Fair value, end of period |  | $ | 43,485 |  |  | $ | 142,529 |  |  | $ | 2,203 |  |  | $ | 46,090 |  |  | $ | (906,199 | ) |  | $ | (308 | )
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 related gains (losses), net |  | $ | 2,178 |  |  | $ | (2,081 | ) |  | $ | — |  |  | $ | — |  |  | $ | 30,433 |  |  | $ | — |
Other revenues |  | — |  |  | — |  |  | — |  |  | 2,426 |  |  | — |  |  | 473 |
Interest credited |  | — |  |  | — |  |  | — |  |  | — |  |  | (45,393 | ) |  | — |
For the nine months ended September 30, 2018: |  | Fixed maturity securities - available-for-sale
|  | Corporate |  |  | Canadian government |  | RMBS |  | ABS
Fair value, beginning of period |  | $ | 1,337,272 |  |  | $ | 593,942 |  |  | $ | 107,882 |  |  | $ | 123,474 |
Total gains/losses (realized/unrealized) |  |  |  |  |  |  |  |
Included in earnings, net: |  |  |  |  |  |  |  |
Investment income, net of related expenses |  | (822 | ) |  | 10,432 |  |  | (132 | ) |  | 202 |
Investment related gains (losses), net |  | (2,902 | ) |  | — |  |  | 312 |  |  | 1,910 |
Included in other comprehensive income |  | (35,532 | ) |  | (55,632 | ) |  | (1,782 | ) |  | (821 | )
Purchases(1) |  | 379,476 |  |  | — |  |  | 45,328 |  |  | 22,099 |
Sales(1) |  | (79,316 | ) |  | — |  |  | (4,961 | ) |  | (462 | )
Settlements(1) |  | (245,342 | ) |  | — |  |  | (4,538 | ) |  | (46,449 | )
Transfers into Level 3 |  | 9,948 |  |  | — |  |  | 3,031 |  |  | 68,977 |
Transfers out of Level 3 |  | (106,847 | ) |  | — |  |  | (145,140 | ) |  | (86,163 | )
Fair value, end of period |  | $ | 1,255,935 |  |  | $ | 548,742 |  |  | $ | — |  |  | $ | 82,767 |
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 |  | $ | (845 | ) |  | $ | 10,432 |  |  | $ | — |  |  | $ | 187 |
Investment related gains (losses), net |  | (4,571 | ) |  | — |  |  | — |  |  | — |
For the nine months ended September 30, 2018 (continued): |  | Fixed maturity securities available-for-sale
|  | CMBS |  | U.S. government |  | State and political subdivisions |  | Other foreign government
Fair value, beginning of period |  | $ | 3,234 |  |  | $ | 22,511 |  |  | $ | 41,203 |  |  | $ | 5,092 |
Total gains/losses (realized/unrealized) |  |  |  |  |  |  |  |
Included in earnings, net: |  |  |  |  |  |  |  |
Investment income, net of related expenses |  | — |  |  | (324 | ) |  | 4 |  |  | — |
Included in other comprehensive income |  | (56 | ) |  | (635 | ) |  | 46 |  |  | (80 | )
Purchases(1) |  | — |  |  | 334 |  |  | — |  |  | — |
Settlements(1) |  | (4 | ) |  | (1,634 | ) |  | (158 | ) |  | — |
Transfers into Level 3 |  | 1,752 |  |  | — |  |  | 9,859 |  |  | — |
Transfers out of Level 3 |  | (3,144 | ) |  | — |  |  | (37,309 | ) |  | — |
Fair value, end of period |  | $ | 1,782 |  |  | $ | 20,252 |  |  | $ | 13,645 |  |  | $ | 5,012 |
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 |  | $ | — |  |  | $ | (325 | ) |  | $ | 3 |  |  | $ | — |
For the nine months ended September 30, 2018 (continued): |  | Equity securities |  | Funds withheld at interest- embedded derivatives |  | Short-term Investments |  | Other assets - longevity swaps |  | Interest sensitive contract liabilities embedded derivatives |  | Other liabilities - mortality swaps
Fair value, beginning of period |  | $ | — |  |  | $ | 122,194 |  |  | $ | 3,096 |  |  | $ | 40,659 |  |  | $ | (1,014,228 | ) |  | $ | (1,683 | )
Total gains/losses (realized/unrealized) |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings, net: |  |  |  |  |  |  |  |  |  |  |  |
Investment related gains (losses), net |  | (2,067 | ) |  | 20,335 |  |  | — |  |  | — |  |  | 62,242 |  |  | — |
Interest credited |  | — |  |  | — |  |  | — |  |  | — |  |  | 6,523 |  |  | — |
Included in other comprehensive income |  | — |  |  | — |  |  | 1 |  |  | (1,552 | ) |  | — |  |  | 1 |
Other revenues |  | — |  |  | — |  |  | — |  |  | 6,983 |  |  | — |  |  | (326 | )
Purchases(1) |  | 13,111 |  |  | — |  |  | 2,202 |  |  | — |  |  | (16,946 | ) |  | — |
Sales(1) |  | (6,416 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements(1) |  | (48 | ) |  | — |  |  | (314 | ) |  | — |  |  | 56,210 |  |  | 1,700 |
Transfers into Level 3 |  | 38,905 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Transfers out of Level 3 |  | — |  |  | — |  |  | (2,782 | ) |  | — |  |  | — |  |  | — |
Fair value, end of period |  | $ | 43,485 |  |  | $ | 142,529 |  |  | $ | 2,203 |  |  | $ | 46,090 |  |  | $ | (906,199 | ) |  | $ | (308 | )
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 related gains (losses), net |  | $ | (5,527 | ) |  | $ | 20,335 |  |  | $ | — |  |  | $ | — |  |  | $ | 56,808 |  |  | $ | — |
Other revenues |  | — |  |  | — |  |  | — |  |  | 6,983 |  |  | — |  |  | (326 | )
Interest credited |  | — |  |  | — |  |  | — |  |  | — |  |  | (49,688 | ) |  | — |
For the three months ended September 30, 2017: |  | Fixed maturity securities - available-for-sale
|  | Corporate |  | Canadian government |  | RMBS |  | ABS
Fair value, beginning of period |  | $ | 1,291,054 |  |  | $ | 533,270 |  |  | $ | 148,685 |  |  | $ | 201,589 |
Total gains/losses (realized/unrealized) |  |  |  |  |  |  |  |
Included in earnings, net: |  |  |  |  |  |  |  |
Investment income, net of related expenses |  | (383 | ) |  | 3,460 |  |  | (30 | ) |  | 160 |
Investment related gains (losses), net |  | 396 |  |  | — |  |  | 44 |  |  | — |
Included in other comprehensive income |  | (2,700 | ) |  | (11,365 | ) |  | 104 |  |  | (101 | )
Purchases(1) |  | 107,670 |  |  | — |  |  | 26,765 |  |  | — |
Sales(1) |  | (26,337 | ) |  | — |  |  | (3,553 | ) |  | — |
Settlements(1) |  | (88,551 | ) |  | — |  |  | (3,645 | ) |  | (15,243 | )
Transfers into Level 3 |  | 3,844 |  |  | — |  |  | 15 |  |  | 36,994 |
Transfers out of Level 3 |  | (12,973 | ) |  | — |  |  | (50,390 | ) |  | (78,202 | )
Fair value, end of period |  | $ | 1,272,020 |  |  | $ | 525,365 |  |  | $ | 117,995 |  |  | $ | 145,197 |
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 |  | $ | (394 | ) |  | $ | 3,460 |  |  | $ | (27 | ) |  | $ | 156 |
For the three months ended September 30, 2017 (continued): |  | Fixed maturity securities available-for-sale
|  | CMBS |  | U.S. government |  | State and political subdivisions |  | Other foreign government
Fair value, beginning of period |  | $ | 1,943 |  |  | $ | 23,567 |  |  | $ | 34,434 |  |  | $ | 11,994 |
Total gains/losses (realized/unrealized) |  |  |  |  |  |  |  |
Included in earnings, net: |  |  |  |  |  |  |  |
Investment income, net of related expenses |  | — |  |  | (116 | ) |  | 26 |  |  | (1 | )
Included in other comprehensive income |  | 5 |  |  | 6 |  |  | (208 | ) |  | (7 | )
Purchases(1) |  | — |  |  | 134 |  |  | — |  |  | 495 |
Settlements(1) |  | (1 | ) |  | (340 | ) |  | (35 | ) |  | — |
Transfers into Level 3 |  | — |  |  | — |  |  | 7,295 |  |  | — |
Transfers out of Level 3 |  | — |  |  | — |  |  | — |  |  | (6,853 | )
Fair value, end of period |  | $ | 1,947 |  |  | $ | 23,251 |  |  | $ | 41,512 |  |  | $ | 5,628 |
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 |  | $ | — |  |  | $ | (116 | ) |  | $ | 26 |  |  | $ | (1 | )
For the three months ended September 30, 2017 (continued): |  | Short-term Investments |  | Funds withheld at interest- embedded derivatives |  | Other assets - longevity swaps |  | Interest sensitive contract liabilities embedded derivatives |  | Other liabilities - mortality swaps
Fair value, beginning of period |  | $ | 3,548 |  |  | $ | 61,281 |  |  | $ | 33,349 |  |  | $ | (974,631 | ) |  | $ | (1,552 | )
Total gains/losses (realized/unrealized) |  |  |  |  |  |  |  |  |  |
Included in earnings, net: |  |  |  |  |  |  |  |  |  |
Investment related gains (losses), net |  | — |  |  | 23,044 |  |  | — |  |  | (10,047 | ) |  | — |
Interest credited |  | — |  |  | — |  |  | — |  |  | (8,335 | ) |  | — |
Included in other comprehensive income |  | (3 | ) |  | — |  |  | 1,144 |  |  | — |  |  | 1 |
Other revenues |  | — |  |  | — |  |  | 3,334 |  |  | — |  |  | (132 | )
Purchases(1) |  | 3,164 |  |  | — |  |  | — |  |  | (18,736 | ) |  | — |
Settlements(1) |  | (114 | ) |  | — |  |  | — |  |  | 21,809 |  |  | — |
Transfers out of Level 3 |  | (3,236 | ) |  | — |  |  | — |  |  | — |  |  | — |
Fair value, end of period |  | $ | 3,359 |  |  | $ | 84,325 |  |  | $ | 37,827 |  |  | $ | (989,940 | ) |  | $ | (1,683 | )
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 related gains (losses), net |  | $ | — |  |  | $ | 23,044 |  |  | $ | — |  |  | $ | (11,900 | ) |  | $ | — |
Other revenues |  | — |  |  | — |  |  | 3,334 |  |  | — |  |  | (132 | )
Interest credited |  | — |  |  | — |  |  | — |  |  | (30,145 | ) |  | — |
For the nine months ended September 30, 2017: |  | Fixed maturity securities - available-for-sale
|  | Corporate |  | Canadian government |  | RMBS |  | ABS
Fair value, beginning of period |  | $ | 1,272,253 |  |  | $ | 475,965 |  |  | $ | 160,291 |  |  | $ | 219,280 |
Total gains/losses (realized/unrealized) |  |  |  |  |  |  |  |
Included in earnings, net: |  |  |  |  |  |  |  |
Investment income, net of related expenses |  | (1,202 | ) |  | 9,731 |  |  | (304 | ) |  | 1,689 |
Investment related gains (losses), net |  | 7,592 |  |  | — |  |  | 524 |  |  | — |
Included in other comprehensive income |  | (2,300 | ) |  | 39,669 |  |  | 2,716 |  |  | 6,802 |
Purchases(1) |  | 257,671 |  |  | — |  |  | 72,582 |  |  | 45,215 |
Sales(1) |  | (49,511 | ) |  | — |  |  | (18,624 | ) |  | — |
Settlements(1) |  | (234,552 | ) |  | — |  |  | (15,084 | ) |  | (60,966 | )
Transfers into Level 3 |  | 35,042 |  |  | — |  |  | 5,515 |  |  | 75,752 |
Transfers out of Level 3 |  | (12,973 | ) |  | — |  |  | (89,621 | ) |  | (142,575 | )
Fair value, end of period |  | $ | 1,272,020 |  |  | $ | 525,365 |  |  | $ | 117,995 |  |  | $ | 145,197 |
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 |  | $ | (1,213 | ) |  | $ | 9,731 |  |  | $ | (155 | ) |  | $ | 556 |
Investment related gains (losses), net |  | (2,788 | ) |  | — |  |  | (346 | ) |  | — |
For the nine months ended September 30, 2017 (continued): |  | Fixed maturity securities available-for-sale
|  | CMBS |  | U.S. government |  | State and political subdivisions |  | Other foreign government
Fair value, beginning of period |  | $ | 21,145 |  |  | $ | 24,488 |  |  | $ | 41,666 |  |  | $ | 12,869 |
Total gains/losses (realized/unrealized) |  |  |  |  |  |  |  |
Included in earnings, net: |  |  |  |  |  |  |  |
Investment income, net of related expenses |  | 709 |  |  | (348 | ) |  | (68 | ) |  | (1 | )
Investment related gains (losses), net |  | (595 | ) |  | — |  |  | — |  |  | — |
Included in other comprehensive income |  | (57 | ) |  | 269 |  |  | (228 | ) |  | (210 | )
Purchases(1) |  | — |  |  | 370 |  |  | — |  |  | 495 |
Sales(1) |  | (3,720 | ) |  | — |  |  | — |  |  | — |
Settlements(1) |  | (5,403 | ) |  | (1,528 | ) |  | (309 | ) |  | (672 | )
Transfers into Level 3 |  | — |  |  | — |  |  | 7,295 |  |  | — |
Transfers out of Level 3 |  | (10,132 | ) |  | — |  |  | (6,844 | ) |  | (6,853 | )
Fair value, end of period |  | $ | 1,947 |  |  | $ | 23,251 |  |  | $ | 41,512 |  |  | $ | 5,628 |
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 |  | $ | — |  |  | $ | (348 | ) |  | $ | (68 | ) |  | $ | (1 | )
For the nine months ended September 30, 2017 (continued): |  | Short-term Investments |  | Funds withheld at interest- embedded derivatives |  | Other assets - longevity swaps |  | Interest sensitive contract liabilities embedded derivatives |  | Other liabilities - mortality swaps
Fair value, beginning of period |  | $ | 3,346 |  |  | $ | (22,529 | ) |  | $ | 26,958 |  |  | $ | (990,308 | ) |  | $ | (2,462 | )
Total gains/losses (realized/unrealized) |  |  |  |  |  |  |  |  |  |
Included in earnings, net: |  |  |  |  |  |  |  |  |  |
Investment related gains (losses), net |  | — |  |  | 106,854 |  |  | — |  |  | 9,005 |  |  | — |
Interest credited |  | — |  |  | — |  |  | — |  |  | (20,408 | ) |  | — |
Included in other comprehensive income |  | 1 |  |  | — |  |  | 3,689 |  |  | — |  |  | 1 |
Other revenues |  | — |  |  | — |  |  | 7,180 |  |  | — |  |  | (922 | )
Purchases(1) |  | 3,520 |  |  | — |  |  | — |  |  | (51,276 | ) |  | — |
Settlements(1) |  | (272 | ) |  | — |  |  | — |  |  | 63,047 |  |  | 1,700 |
Transfers out of Level 3 |  | (3,236 | ) |  | — |  |  | — |  |  | — |  |  | — |
Fair value, end of period |  | $ | 3,359 |  |  | $ | 84,325 |  |  | $ | 37,827 |  |  | $ | (989,940 | ) |  | $ | (1,683 | )
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 related gains (losses), net |  | $ | — |  |  | $ | 106,854 |  |  | $ | — |  |  | $ | 2,934 |  |  | $ | — |
Other revenues |  | — |  |  | — |  |  | 7,180 |  |  | — |  |  | (922 | )
Interest credited |  | — |  |  | — |  |  | — |  |  | (83,456 | ) |  | — |
(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.
Nonrecurring Fair Value Measurements The following table presents information for assets measured at an estimated fair value on a nonrecurring basis during the periods presented and and still held at the reporting date (for example, when there is evidence of impairment). The estimated fair values for these assets were determined using significant unobservable inputs (Level 3).
|  | Carrying Value After Measurement |  | Net Investment Gains (Losses)
|  | At September 30, |  | Three months ended September 30, |  | Nine months ended September 30,
(dollars in thousands) |  | 2018 |  | 2017 |  | 2018 |  | 2017 |  | 2018 |  | 2017
Limited partnership interests(1) |  | $ | 2,246 |  |  | $ | 4,656 |  |  | $ | (1,860 | ) |  | $ | (896 | ) |  | $ | (1,860 | ) |  | $ | (7,204 | )
Private equities(2) |  | — |  |  | 106 |  |  | — |  |  | (531 | ) |  | — |  |  | (531 | )
(1) | 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.
(2) | The fair value of the Company’s private equity investments is based on external valuation models.
Fair Value of Financial Instruments The Company is required by general accounting principles for Fair Value Measurements and Disclosures to disclose the fair value of certain financial instruments including those that are not carried at fair value. The following table presents the carrying amounts and estimated fair values of the Company’s financial instruments, which were not measured at fair value on a recurring basis, as of September 30, 2018 and December 31, 2017 (dollars in thousands). For additional information regarding the methods and significant assumptions used by the Company to estimate these fair values, see Note 6 in the Notes to Consolidated Financial Statements included in the Company’s 2017 Annual Report. This table excludes any payables or receivables for collateral under repurchase agreements and other transactions. The estimated fair value of the excluded amount approximates carrying value as they equal the amount of cash collateral received/paid.
September 30, 2018: |  | Carrying Value (1) |  | Estimated Fair Value |  | Fair Value Measurement Using:
Level 1 |  | Level 2 |  | Level 3 |  | NAV
Assets: |  |  |  |  |  |  |  |  |  |  |  |
Mortgage loans on real estate |  | $ | 4,779,074 |  |  | $ | 4,652,481 |  |  | $ | — |  |  | $ | — |  |  | $ | 4,652,481 |  |  | $ | — |
Policy loans |  | 1,320,050 |  |  | 1,320,050 |  |  | — |  |  | 1,320,050 |  |  | — |  |  | — |
Funds withheld at interest |  | 5,833,925 |  |  | 6,040,671 |  |  | — |  |  | — |  |  | 6,040,671 |  |  | — |
Cash and cash equivalents |  | 1,073,209 |  |  | 1,073,209 |  |  | 1,073,209 |  |  | — |  |  | — |  |  | — |
Short-term investments |  | 43,877 |  |  | 43,877 |  |  | 43,877 |  |  | — |  |  | — |  |  | — |
Other invested assets |  | 842,626 |  |  | 839,280 |  |  | 5,618 |  |  | 71,401 |  |  | 382,284 |  |  | 379,977 |
Accrued investment income |  | 455,296 |  |  | 455,296 |  |  | — |  |  | 455,296 |  |  | — |  |  | — |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Interest-sensitive contract liabilities |  | $ | 13,319,348 |  |  | $ | 13,113,427 |  |  | $ | — |  |  | $ | — |  |  | $ | 13,113,427 |  |  | $ | — |
Long-term debt |  | 2,787,975 |  |  | 2,850,344 |  |  | — |  |  | — |  |  | 2,850,344 |  |  | — |
Collateral finance and securitization notes |  | 710,792 |  |  | 652,380 |  |  | — |  |  | — |  |  | 652,380 |  |  | — |
December 31, 2017: |  | Carrying Value (1) |  | Estimated Fair Value |  | Fair Value Measurement Using:
Level 1 |  | Level 2 |  | Level 3 |  | NAV
Assets: |  |  |  |  |  |  |  |  |  |  |  |
Mortgage loans on real estate |  | $ | 4,400,533 |  |  | $ | 4,477,654 |  |  | $ | — |  |  | $ | — |  |  | $ | 4,477,654 |  |  | $ | — |
Policy loans |  | 1,357,624 |  |  | 1,357,624 |  |  | — |  |  | 1,357,624 |  |  | — |  |  | — |
Funds withheld at interest |  | 5,955,092 |  |  | 6,275,623 |  |  | — |  |  | — |  |  | 6,275,623 |  |  | — |
Cash and cash equivalents |  | 946,736 |  |  | 946,736 |  |  | 946,736 |  |  | — |  |  | — |  |  | — |
Short-term investments |  | 42,558 |  |  | 42,558 |  |  | 42,558 |  |  | — |  |  | — |  |  | — |
Other invested assets |  | 651,792 |  |  | 679,377 |  |  | 28,540 |  |  | 67,778 |  |  | 247,934 |  |  | 335,125 |
Accrued investment income |  | 392,721 |  |  | 392,721 |  |  | — |  |  | 392,721 |  |  | — |  |  | — |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Interest-sensitive contract liabilities |  | $ | 12,683,872 |  |  | $ | 12,917,243 |  |  | $ | — |  |  | $ | — |  |  | $ | 12,917,243 |  |  | $ | — |
Long-term debt |  | 2,788,365 |  |  | 2,959,912 |  |  | — |  |  | — |  |  | 2,959,912 |  |  | — |
Collateral finance and securitization notes |  | 783,938 |  |  | 722,145 |  |  | — |  |  | — |  |  | 722,145 |  |  | — |
(1) | Carrying values presented herein may differ from those in the Company’s condensed consolidated balance sheets because certain items within the respective financial statement captions may be measured at fair value on a recurring basis.

X
- References No definition available. + Details
Name: | us-gaap_FairValueDisclosuresAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -URI http://asc.fasb.org/topic&trid=2155941 + Details
Name: | us-gaap_FairValueDisclosuresTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration