v2.4.0.8

Fair Value of Financial Instruments | 9 Months Ended
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Sep. 30, 2013
Fair Value Disclosures [Abstract] |
Fair Value of Financial Instruments | Fair Value of Financial Instruments The following tables show the fair values and carrying values of the Company’s financial assets and liabilities measured on a recurring basis and the associated fair value hierarchy amounts as of September 30, 2013 and December 31, 2012. Included are balances associated with the consolidated CLOs:
|  |  | September 30, 2013 |  |
Assets: | Quoted Prices in active markets Level 1 |  | Other Significant Observable inputs Level 2 |  | Significant unobservable inputs Level 3 |  | Fair Value |  | Carrying Value
Trading securities: |  |  |  |  |  |  |  |  |
Privately held equity securities (1) | $ | — |  |  | $ | — |  |  | $ | 5,074 |  |  | $ | 5,074 |  |  | $ | 5,074 |
Tax exempt securities | — |  |  | 33,880 |  |  | 298 |  |  | 34,178 |  |  | 34,178 |
CDO | — |  |  | — |  |  | 820 |  |  | 820 |  |  | 820 |
CLO | — |  |  | — |  |  | 721 |  |  | 721 |  |  | 721 |
Corporate bonds (2) | — |  |  | — |  |  | 17,537 |  |  | 17,537 |  |  | 17,537 |
Total trading securities | — |  |  | 33,880 |  |  | 24,450 |  |  | 58,330 |  |  | 58,330 |
Corporate loans (3) | — |  |  | 1,462,777 |  |  | — |  |  | 1,462,777 |  |  | 1,462,777 |
Available for sale securities: |  |  |  |  |  |  |  |  |
U.S. Treasury securities | 7,872 |  |  | — |  |  | — |  |  | 7,872 |  |  | 7,872 |
Obligations of state and political subdivisions | — |  |  | 4,237 |  |  | — |  |  | 4,237 |  |  | 4,237 |
Certificates of deposit | — |  |  | 100 |  |  | — |  |  | 100 |  |  | 100 |
Corporate bonds | — |  |  | 5,424 |  |  | — |  |  | 5,424 |  |  | 5,424 |
Asset-backed securities | — |  |  | 88 |  |  | — |  |  | 88 |  |  | 88 |
Total available for sale securities | 7,872 |  |  | 9,849 |  |  | — |  |  | 17,721 |  |  | 17,721 |
Derivative Assets: |  |  |  |  |  |  |  |  |
CDS | — |  |  | — |  |  | 2 |  |  | 2 |  |  | 2 |
Total Derivative Assets | $ | — |  |  | $ | — |  |  | $ | 2 |  |  | $ | 2 |  |  | $ | 2 |
|  |  | September 30, 2013 |  |
| Quoted Prices in Active markets Level 1 |  | Other Significant Level 2 |  | Significant Unobservable inputs Level 3 |  | Fair Value |  | Carrying Value
Separate Account Assets: |  |  |  |  |  |  |  |  |
Cash | $ | 4,039 |  |  | $ | — |  |  | $ | — |  |  | $ | 4,039 |  |  | $ | 4,039 |
Short-term investments | 131,750 |  |  | — |  |  | — |  |  | 131,750 |  |  | 131,750 |
Debt Securities: |  |  |  |  |  |  |  |  |
U.S. Treasury securities | 13,706 |  |  | — |  |  | — |  |  | 13,706 |  |  | 13,706 |
U.S. government agencies | — |  |  | 569 |  |  | — |  |  | 569 |  |  | 569 |
Municipal bonds | — |  |  | 3,568 |  |  | — |  |  | 3,568 |  |  | 3,568 |
Asset-backed securities | — |  |  | 8,170 |  |  | — |  |  | 8,170 |  |  | 8,170 |
Corporate bonds | — |  |  | 13,230 |  |  | — |  |  | 13,230 |  |  | 13,230 |
Preferred stocks | 25 |  |  | — |  |  | — |  |  | 25 |  |  | 25 |
Common stocks | 107,587 |  |  | — |  |  | — |  |  | 107,587 |  |  | 107,587 |
Mutual funds | 163,627 |  |  | — |  |  | — |  |  | 163,627 |  |  | 163,627 |
Real estate funds | — |  |  | — |  |  | 2,593,508 |  |  | 2,593,508 |  |  | 2,593,508 |
Private equity | — |  |  | — |  |  | 244 |  |  | 244 |  |  | 244 |
Hedge funds |  |  |  |  |  |  |  |  | — |
Multi-strategy | — |  |  | 63,996 |  |  | 672,564 |  |  | 736,560 |  |  | 736,560 |
Long/short | — |  |  | 27,530 |  |  | 79,445 |  |  | 106,975 |  |  | 106,975 |
Fund of funds | — |  |  | 1,514 |  |  | 188,626 |  |  | 190,140 |  |  | 190,140 |
Event driven | — |  |  | 45,776 |  |  | 36,541 |  |  | 82,317 |  |  | 82,317 |
Long only | — |  |  | 33,960 |  |  | — |  |  | 33,960 |  |  | 33,960 |
Global Macro | — |  |  | 11,663 |  |  | 7,699 |  |  | 19,362 |  |  | 19,362 |
Fixed income arbitrage | — |  |  | — |  |  | 4,917 |  |  | 4,917 |  |  | 4,917 |
Master limited partnerships | — |  |  | — |  |  | 132,236 |  |  | 132,236 |  |  | 132,236 |
Fixed income (non-arbitrage) | — |  |  | 1,155 |  |  | 5,536 |  |  | 6,691 |  |  | 6,691 |
Other | — |  |  | — |  |  | 84 |  |  | 84 |  |  | 84 |
Other | — |  |  | 225 |  |  | — |  |  | 225 |  |  | 225 |
Subtotal - separate account assets | 420,734 |  |  | 211,356 |  |  | 3,721,400 |  |  | 4,353,490 |  |  | 4,353,490 |
Total assets | $ | 428,606 |  |  | $ | 1,717,862 |  |  | $ | 3,745,852 |  |  | $ | 5,892,320 |  |  | $ | 5,892,320 |
Liabilities: |  |  |  |  |  |  |  |  |
Debt Securities: |  |  |  |  |  |  |  |  |
U.S. Treasury securities | $ | 18,945 |  |  | $ | — |  |  | $ | — |  |  | $ | 18,945 |  |  | $ | 18,945 |
Derivative Liabilities: |  |  |  |  |  |  |  |  |
Total liabilities | $ | 18,945 |  |  | $ | — |  |  | $ | — |  |  | $ | 18,945 |  |  | $ | 18,945 |
(1) Includes $1,460 related to CLOs classified in Level 3. (2) Includes $17,537 related to CLOs classified in Level 3. (3) Includes $1,334,310 related to CLOs classified in Level 2.
|  |  | December 31, 2012 |  |
Assets: | Quoted Prices in active markets Level 1 |  | Other Significant Observable inputs Level 2 |  | Significant unobservable inputs Level 3 |  | Fair Value |  | Carrying Value
Trading Securities: |  |  |  |  |  |  |  |  |
Exchange-traded equity securities | $ | 2,434 |  |  | $ | — |  |  | $ | — |  |  | $ | 2,434 |  |  | $ | 2,434 |
Privately held equity securities (1) | — |  |  | — |  |  | 7,809 |  |  | 7,809 |  |  | 7,809 |
Tax exempt securities | — |  |  | 50,784 |  |  | 264 |  |  | 51,048 |  |  | 51,048 |
CDO | — |  |  | — |  |  | 650 |  |  | 650 |  |  | 650 |
CLO | — |  |  | — |  |  | 525 |  |  | 525 |  |  | 525 |
Corporate bonds (2) | — |  |  | — |  |  | 16,486 |  |  | 16,486 |  |  | 16,486 |
Total trading securities | 2,434 |  |  | 50,784 |  |  | 25,734 |  |  | 78,952 |  |  | 78,952 |
Corporate loans (3) | — |  |  | 756,311 |  |  | 5,855 |  |  | 762,166 |  |  | 762,166 |
Available for sale securities: |  |  |  |  |  |  |  |  |
U.S. government obligations | — |  |  | 3,851 |  |  | — |  |  | 3,851 |  |  | 3,851 |
U.S. Treasury securities | 5,290 |  |  | — |  |  | — |  |  | 5,290 |  |  | 5,290 |
Obligations of state and political subdivisions | — |  |  | 478 |  |  | — |  |  | 478 |  |  | 478 |
Certificates of deposit | — |  |  | 100 |  |  | — |  |  | 100 |  |  | 100 |
Corporate bonds | — |  |  | 6,277 |  |  | — |  |  | 6,277 |  |  | 6,277 |
Asset-backed securities | — |  |  | 307 |  |  | — |  |  | 307 |  |  | 307 |
Total available for sale securities | 5,290 |  |  | 11,013 |  |  | — |  |  | 16,303 |  |  | 16,303 |
Derivative Assets: | — |  |  | — |  |  | 834 |  |  | 834 |  |  | 834 |
CDS | $ | — |  |  | $ | — |  |  | $ | 834 |  |  | $ | 834 |  |  | $ | 834 |
|  |  | December 31, 2012 |  |
| Quoted Prices in Active markets Level 1 |  | Other Significant Level 2 |  | Significant Unobservable inputs Level 3 |  | Fair Value |  | Carrying Value
Separate Account Assets: |  |  |  |  |  |  |  |  |
Cash | $ | 3,771 |  |  | $ | — |  |  | $ | — |  |  | $ | 3,771 |  |  | $ | 3,771 |
Short-term investments | 87,409 |  |  | — |  |  | — |  |  | 87,409 |  |  | 87,409 |
Debt Securities: |  |  |  |  |  |  |  |  | — |
U.S. Treasury securities | 19,230 |  |  | — |  |  | — |  |  | 19,230 |  |  | 19,230 |
U.S. government agencies | — |  |  | 1,625 |  |  | — |  |  | 1,625 |  |  | 1,625 |
Municipal bonds | — |  |  | 3,034 |  |  | — |  |  | 3,034 |  |  | 3,034 |
Asset-backed securities | — |  |  | 2,843 |  |  | — |  |  | 2,843 |  |  | 2,843 |
Corporate bonds | — |  |  | 18,373 |  |  | — |  |  | 18,373 |  |  | 18,373 |
Preferred stocks | 25 |  |  | — |  |  | — |  |  | 25 |  |  | 25 |
Common stocks | 97,600 |  |  | — |  |  | — |  |  | 97,600 |  |  | 97,600 |
Mutual funds | 146,860 |  |  | — |  |  | — |  |  | 146,860 |  |  | 146,860 |
Real estate funds | — |  |  | — |  |  | 2,563,992 |  |  | 2,563,992 |  |  | 2,563,992 |
Private equity | — |  |  | — |  |  | 251 |  |  | 251 |  |  | 251 |
Hedge funds |  |  |  |  |  |  |  |  |  |
Multi-Strategy | — |  |  | 58,580 |  |  | 617,979 |  |  | 676,559 |  |  | 676,559 |
Long/Short | — |  |  | 32,665 |  |  | 75,640 |  |  | 108,305 |  |  | 108,305 |
Fund of Funds | — |  |  | 1,347 |  |  | 123,793 |  |  | 125,140 |  |  | 125,140 |
Event Driven | — |  |  | 40,907 |  |  | 29,230 |  |  | 70,137 |  |  | 70,137 |
Long only | — |  |  | 31,825 |  |  | — |  |  | 31,825 |  |  | 31,825 |
Global Macro | — |  |  | 11,562 |  |  | 7,374 |  |  | 18,936 |  |  | 18,936 |
Fixed Income Arbitrage | — |  |  | — |  |  | 4,994 |  |  | 4,994 |  |  | 4,994 |
Master limited partnerships | — |  |  | — |  |  | 42,501 |  |  | 42,501 |  |  | 42,501 |
Fixed Income (Non-Arbitrage) | — |  |  | 5,013 |  |  | 4,700 |  |  | 9,713 |  |  | 9,713 |
Other | — |  |  | — |  |  | 1,746 |  |  | 1,746 |  |  | 1,746 |
Other | — |  |  | 184 |  |  | — |  |  | 184 |  |  | 184 |
Subtotal - separate account assets | 354,895 |  |  | 207,958 |  |  | 3,472,200 |  |  | 4,035,053 |  |  | 4,035,053 |
Total assets | $ | 362,619 |  |  | $ | 1,026,066 |  |  | $ | 3,504,623 |  |  | $ | 4,893,308 |  |  | $ | 4,893,308 |
Liabilities: |  |  |  |  |  |  |  |  |
Debt Securities: |  |  |  |  |  |  |  |  |
U.S. Treasury securities | $ | 20,175 |  |  | $ | — |  |  | $ | — |  |  | $ | 20,175 |  |  | $ | 20,175 |
Derivative Liabilities: |  |  |  |  |  |  |  |  |
IRS | — |  |  | 3,172 |  |  | — |  |  | 3,172 |  |  | 3,172 |
Total liabilities | $ | 20,175 |  |  | $ | 3,172 |  |  | $ | — |  |  | $ | 23,347 |  |  | $ | 23,347 |
(1) Includes $2,484 related to CLOs classified in Level 3. (2) Includes $16,486 related to CLOs classified in Level 3. (3) Includes $735,888 and $5,855 classified in Level 2 and Level 3, respectively, related to CLOs. The following table represents additional information about assets that are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value for the periods ending September 30, 2013 and September 30, 2012:
| Fair value measurement for the three and nine months ended September 30, 2013 using significant unobservable inputs Level 3 |  | Fair value measurement for the three and nine months ended September 30, 2012 using significant unobservable inputs Level 3
Balance at December 31, | $ | 3,504,625 |  |  | $ | 3,116,455 |
Net realized gains/(losses) | (1,570 | ) |  | — |
Net unrealized gains/(losses) | 2,722 |  |  | 5,709 |
Purchases | 180,124 |  |  | 331,983 |
Sales | (90,024 | ) |  | (122,370 | )
Issuances | — |  |  | — |
Settlements | (1,195 | ) |  | — |
Transfers into/(out of) Level 3, net | 7,983 |  |  | 4,043 |
Attributable to policyowner | 121,437 |  |  | 45,112 |
Balance at June 30, | $ | 3,724,102 |  |  | $ | 3,380,932 |
Net realized gains/(losses) | (228 | ) |  | 811 |
Net unrealized gains/(losses) | (2,326 | ) |  | 4,205 |
Purchases | 36,116 |  |  | 48,078 |
Sales | (64,356 | ) |  | (108,081 | )
Issuances | 214 |  |  | — |
Settlements | — |  |  | 386 |
Transfers into/(out of) Level 3, net | (9,632 | ) |  | (14,681 | )
Attributable to policyowner | 61,961 |  |  | 92,447 |
Balance at September 30, | $ | 3,745,851 |  |  | $ | 3,404,097 |
ASC Topic 820, as amended by ASU 2011-04, requires disclosure of quantitative information about the significant unobservable inputs used in the valuation of assets and liabilities classified as Level 3 within the fair value hierarchy. Disclosure of this information is not required in circumstances where a valuation (unadjusted) is obtained from a third-party pricing service and the information regarding the unobservable inputs is not reasonably available to the Company. As such, the disclosure provided below provides quantitative information only about the significant observable inputs used in the valuation of certain privately held securities, credit default assets and tax-exempt municipal securities.
Assets | Fair Value at September 30, 2013 |  | Fair Value at December 31, 2012 |  | Valuation Technique |  | Unobservable input(s) |  | September 30, 2013 Range (Weighted average) |  | December 31, 2012 Range (Weighted average)
Trading Securities: |  |  |  |  |  |  |  |  |  |  |
Privately held equity securities | $ | — |  |  | $ | 1,224 |  |  | Discounted cash flow |  | Swap rate |  | — |  |  | 0.239%-0.300& (0.270%)
|  |  |  |  |  |  | CMBS spread |  | — |  |  | 34.50 | %
|  |  |  |  |  |  | Expected term |  | — |  |  | 1.00-4.79 years (2.90 years)
|  |  |  |  |  |  | Expected quarterly cash flow streams |  | — |  |  | $52-$1,574 ($147)
Tax-exempt municipal | 298 |  |  | 264 |  |  | Discounted cash flow |  | Short and long term cash flows |  | .6294% - 33.73% |  | .8435%-37.469%
Derivative Assets: |  |  |  |  |  |  |  |  |  |  |
CDS | — |  |  | 834 |  |  | Market comparable approach |  | Offered quote |  | — |  |  | 88.28%-96.66% (93.71%)
Total | $ | 298 |  |  | $ | 2,322 |  |  |  |  |  |  |  |  |
The following tables show the fair values and carrying values of the Company's financial assets and liabilities and the fair value hierarchy level(s) associated with these assets and liabilities as of September 30, 2013 and December 31, 2012 :
| September 30, 2013
| Level within Fair Value Hierarchy |  | Fair Value |  | Carrying Value
Assets: |  |  |  |  |
Cash and cash equivalents-unrestricted | 1 |  | $ | 123,721 |  |  | $ | 123,721 |
Cash and cash equivalents-restricted | 1 |  | 34,210 |  |  | 34,210 |
Trading securities | 1,2,3 |  | 39,333 |  |  | 39,333 |
Due from brokers, dealers, and trustees | 1 |  | 247 |  |  | 247 |
Due from separate accounts | 1 |  | 2,467 |  |  | 2,467 |
Investments in loans | 2 |  | 128,467 |  |  | 128,467 |
Loans owned | 2 |  | 41,397 |  |  | 32,443 |
Policy loans | 3 |  | 104,875 |  |  | 104,875 |
Available for sale securities | 1,2,3 |  | 17,721 |  |  | 17,721 |
Derivative assets-CDS | 3 |  | 2 |  |  | 2 |
Separate account assets | 1,2,3 |  | 4,353,490 |  |  | 4,353,490 |
Assets of consolidated CLOs | 2,3 |  | 1,477,716 |  |  | 1,477,716 |
Total Assets |  |  | $ | 6,323,646 |  |  | $ | 6,314,692 |
Liabilities: |  |  |  |  |
Debt securities-U.S. Treasury securities | 1 |  | 18,945 |  |  | 18,945 |
Mortgage notes payable | 3 |  | 32,685 |  |  | 33,254 |
Loans payable | 3 |  | 58,749 |  |  | 58,749 |
Notes payable | 3 |  | 162,681 |  |  | 146,500 |
Separate account liabilities | 1,2,3 |  | 4,353,490 |  |  | 4,353,490 |
Due to brokers, dealers and trustees | 1 |  | 47,120 |  |  | 47,120 |
Liabilities of consolidated CLOs | 2,3 |  | 1,393,604 |  |  | 1,250,931 |
Total Liabilities |  |  | $ | 6,067,274 |  |  | $ | 5,908,989 |
| December 31, 2012
| Level within Fair Value Hierarchy |  | Fair Value |  | Carrying Value
Assets: |  |  |  |  |
Cash and cash equivalents-unrestricted | 1 |  | $ | 88,563 |  |  | $ | 88,563 |
Cash and cash equivalents-restricted | 1 |  | 20,748 |  |  | 20,748 |
Trading securities | 1,2,3 |  | 59,982 |  |  | 59,982 |
Due from brokers, dealers, and trustees | 1 |  | 8,539 |  |  | 8,539 |
Due from separate accounts | 1 |  | 2,128 |  |  | 2,128 |
Corporate loans | 2 |  | 20,423 |  |  | 20,423 |
Loans owned | 2 |  | 8,104 |  |  | 5,467 |
Policy loans | 3 |  | 99,123 |  |  | 99,123 |
Available for sale securities | 1,2,3 |  | 16,303 |  |  | 16,303 |
Derivative assets-CDS | 3 |  | 834 |  |  | 834 |
Separate account assets | 1,2,3 |  | 4,035,053 |  |  | 4,035,053 |
Assets of consolidated CLOs | 2,3 |  | 844,852 |  |  | 844,852 |
Total Assets |  |  | $ | 5,204,652 |  |  | $ | 5,202,015 |
Liabilities: |  |  |  |  |
Debt securities-U.S. Treasury securities | 1 |  | $ | 20,175 |  |  | $ | 20,175 |
Derivative liabilities-IRS | 2 |  | 3,172 |  |  | 3,172 |
Mortgage notes payable | 3 |  | 82,578 |  |  | 95,232 |
Notes payable | 3 |  | 100,416 |  |  | 100,416 |
Separate account liabilities | 1,2,3 |  | 4,035,053 |  |  | 4,035,053 |
Liabilities of consolidated CLOs | 2,3 |  | 778,925 |  |  | 620,310 |
Total Liabilities |  |  | $ | 5,020,319 |  |  | $ | 4,874,358 |

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- 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://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 21 -URI http://asc.fasb.org/extlink&oid=28364263&loc=d3e13537-108611 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 10 -URI http://asc.fasb.org/extlink&oid=28364263&loc=d3e13433-108611 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 28 -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14064-108612 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=25499696&loc=d3e19207-110258 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 30 -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14172-108612 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 16 -URI http://asc.fasb.org/extlink&oid=28364263&loc=d3e13504-108611 + Details
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