v2.4.0.8

Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2013

Fair Value Disclosures [Abstract]

Schedule of fair values and carrying values of assets and liabilities and the fair value level(s) associated with them

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.

Schedule of additional information about assets that are measured at fair value on a recurring basis for which the company utilized Level 3 inputs to determine fair value

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

Schedule of quantitative information about significant observable inputs used in the valuation of privately held securities and credit default assets

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

Schedule of fair values and carrying values of financial assets and liabilities, and fair value hierarchy

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

X

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

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Tabular disclosure of quantitative information about the inputs used in the fair value measurement of assets. This disclosure may include, but is not limited to, the fair value of the asset, valuation technique used to measure fair value, the inputs used to measure fair value, the ranges of the inputs, and the weighted averages of the inputs.

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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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