v2.4.0.6

Fair Value of Financial Instruments (Tables) | 9 Months Ended
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Sep. 30, 2012
Fair Value Disclosures [Abstract] |
Fair Value Measurement of Financial Assets and Financial Liabilities on Recurring Basis | The following table presents the level within the fair value hierarchy at which the Company’s financial assets and financial liabilities are measured on a recurring basis as of September 30, 2012:
(Amounts in Thousands) | Total |  | Level 1 |  | Level 2 |  | Level 3
Assets: |  |  |  |  |  |  |  |  |  |  |
U.S. treasury securities | $ | 48,341 |  |  | $ | 48,341 |  |  | $ | — |  |  | $ | — |
U.S. government agencies | 46,305 |  |  | — |  |  | 46,305 |  |  | — |
Municipal bonds | 265,011 |  |  | — |  |  | 265,011 |  |  | — |
Corporate bonds and other bonds: |  |  |  |  |  |  |  |  |  |  |
Finance | 773,474 |  |  | — |  |  | 773,474 |  |  | — |
Industrial | 330,269 |  |  | — |  |  | 330,269 |  |  | — |
Utilities | 35,228 |  |  | — |  |  | 35,228 |  |  | — |
Commercial mortgage backed securities | 10,209 |  |  | — |  |  | 10,209 |  |  | — |
Residential mortgage backed securities: |  |  |  |  |  |  |  |  |  |  |
Agency backed | 332,027 |  |  | — |  |  | 332,027 |  |  | — |
Non-agency backed | 6,759 |  |  | — |  |  | 6,759 |  |  | — |
Equity securities | 18,318 |  |  | 18,318 |  |  | — |  |  | — |
Short term investments | 485 |  |  | 485 |  |  | — |  |  | — |
Other investments | 14,324 |  |  | — |  |  | — |  |  | 14,324 |
Life settlement contracts | 171,476 |  |  | — |  |  | — |  |  | 171,476 |
| $ | 2,052,226 |  |  | $ | 67,144 |  |  | $ | 1,799,282 |  |  | $ | 185,800 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |
Equity securities sold but not yet purchased, market | $ | 43 |  |  | $ | 43 |  |  | $ | — |  |  | $ | — |
Fixed maturity securities sold but not yet purchased, market | 57,155 |  |  | 57,155 |  |  | — |  |  | — |
Securities sold under agreements to repurchase, at contract value | 226,098 |  |  | — |  |  | 226,098 |  |  | — |
Life settlement contract profit commission | 9,550 |  |  | — |  |  | — |  |  | 9,550 |
Derivatives | 4,973 |  |  | — |  |  | 4,973 |  |  | — |
| $ | 297,819 |  |  | $ | 57,198 |  |  | $ | 231,071 |  |  | $ | 9,550 |
Changes in Fair Value of Level 3 Financial Assets And Liabilities | The following table provides a summary of changes in fair value of the Company’s Level 3 financial assets and liabilities for the three and nine months ended September 30, 2012 and 2011:
(Amounts in Thousands) |  | Balance as of June 30, 2012 |  | Net income |  | Other comprehensive income |  | Purchases and issuances |  | Sales and settlements |  | Net transfers into (out of) Level 3 |  | Balance as of September 30, 2012
Other investments |  | $ | 15,103 |  |  | $ | 1,491 |  |  | $ | — |  |  | $ | 315 |  |  | $ | (2,585 | ) |  | $ | — |  |  | $ | 14,324 |
Life settlement contracts |  | 151,092 |  |  | 10,758 |  |  | — |  |  | 9,626 |  |  | — |  |  | — |  |  | 171,476 |
Life settlement contract profit commission |  | (11,465 | ) |  | 1,915 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (9,550 | )
Derivatives |  | (4,472 | ) |  | — |  |  | (501 | ) |  | — |  |  | — |  |  | 4,973 |  |  | — |
Total |  | $ | 150,258 |  |  | $ | 14,164 |  |  | $ | (501 | ) |  | $ | 9,941 |  |  | $ | (2,585 | ) |  | $ | 4,973 |  |  | $ | 176,250 |
(Amounts in Thousands) |  | Balance as of December 31, 2011 |  | Net income |  | Other comprehensive income |  | Purchases and issuances |  | Sales and settlements |  | Net transfers into (out of) Level 3 |  | Balance as of September 30, 2012
Other investments |  | $ | 14,588 |  |  | $ | (2,861 | ) |  | $ | 4,535 |  |  | $ | 1,062 |  |  | $ | (3,000 | ) |  | $ | — |  |  | $ | 14,324 |
Life settlement contracts |  | 131,387 |  |  | 26,174 |  |  | — |  |  | 23,989 |  |  | (10,074 | ) |  | — |  |  | 171,476 |
Life settlement contract profit commission |  | (12,022 | ) |  | 2,472 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (9,550 | )
Derivatives |  | (3,508 | ) |  | — |  |  | (1,465 | ) |  | — |  |  | — |  |  | 4,973 |  |  | — |
Total |  | $ | 130,445 |  |  | $ | 25,785 |  |  | $ | 3,070 |  |  | $ | 25,051 |  |  | $ | (13,074 | ) |  | $ | 4,973 |  |  | $ | 176,250 |
(Amounts in Thousands) |  | Balance as of June 30, 2011 |  | Net income |  | Other comprehensive income |  | Purchases and issuances |  | Sales and settlements |  | Net transfers into (out of) Level 3 |  | Balance as of September 30, 2011
Other investments |  | $ | 22,008 |  |  | $ | — |  |  | $ | (1,348 | ) |  | $ | 5,672 |  |  | $ | (5,128 | ) |  | $ | — |  |  | $ | 21,204 |
Life settlement contracts |  | 108,710 |  |  | 17,188 |  |  | — |  |  | 6,298 |  |  | (10,530 | ) |  | — |  |  | 121,666 |
Life settlement contract profit commission |  | (9,267 | ) |  | (3,369 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | (12,636 | )
Total |  | $ | 121,451 |  |  | $ | 13,819 |  |  | $ | (1,348 | ) |  | $ | 11,970 |  |  | $ | (15,658 | ) |  | $ | — |  |  | $ | 130,234 |
(Amounts in Thousands) |  | Balance as of December 31, 2010 |  | Net income |  | Other comprehensive income |  | Purchases and issuances |  | Sales and settlements |  | Net transfers into (out of) Level 3 |  | Balance as of September 30, 2011
Other investments |  | $ | 21,514 |  |  | $ | 661 |  |  | $ | (1,725 | ) |  | $ | 6,538 |  |  | $ | (5,784 | ) |  | $ | — |  |  | $ | 21,204 |
Life settlement contracts |  | 22,155 |  |  | 75,209 |  |  | — |  |  | 34,832 |  |  | (10,530 | ) |  | — |  |  | 121,666 |
Life settlement contract profit commission |  | (4,711 | ) |  | (7,925 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | (12,636 | )
Total |  | $ | 38,958 |  |  | $ | 67,945 |  |  | $ | (1,725 | ) |  | $ | 41,370 |  |  | $ | (16,314 | ) |  | $ | — |  |  | $ | 130,234 |
Fair Value of Portfolio of Life Insurance Policies | The following summarizes data utilized in estimating the fair value of the portfolio of life insurance policies as of September 30, 2012 and December 31, 2011 and, as described in Note 5, only includes data for policies to which the Company assigned value at those dates:
| September 30, 2012 |  | December 31, 2011
Average age of insured | 79 years |  |  | 77 years |
Average life expectancy, months (1) | 143 months |  |  | 155 months |
Average face amount per policy (Amounts in Thousands) | $ | 6,818 |  |  | $ | 6,703 |
Fair value discount rate | 7.5 | % |  | 7.5 | %
Internal rate of return (2) | 15.9 | % |  | 14.1 | %
(1) | Standard life expectancy as adjusted for insured’s specific circumstances.
(2) | Internal rate of return includes a risk premium which represents risk adjustments applied to the estimated present value of cash flows based on the following factors: (i) the volatility in life expectancy of insureds and the associated level of future premium payments and (ii) the projected risk of non-payment, including the financial health of the insurance carrier, the possibility of legal challenges from the insurance carrier or others and the possibility of regulatory changes that may affect payment.
These assumptions are, by their nature
Increase or (Decrease) in Carrying Value of Investment in Life Insurance Policies | These assumptions are, by their nature, inherently uncertain and the effect of changes in estimates may be significant. The fair value measurements used in estimating the present value calculation are derived from valuation techniques generally used in the industry that include inputs for the asset that are not based on observable market data. The extent to which the fair value could reasonable vary in the near term has been quantified by evaluating the effect of changes in significant underlying assumptions used to estimate the fair value amount. If the life expectancies were increased or decreased by 4 months and the discount factors were increased or decreased by 1% while all other variables are held constant, the carrying value of the investment in life insurance policies would increase or (decrease) by the unaudited amounts summarized below as of September 30, 2012 and December 31, 2011:
| Change in life expectancy
(Amounts in Thousands) | Plus 4 Months |  | Minus 4 Months
Investment in life policies: |  |  |  |  |
September 30, 2012 | $ | (25,386 | ) |  | $ | 28,250 |
December 31, 2011 | $ | (18,778 | ) |  | $ | 20,785 |
| Change in discount rate
(Amounts in Thousands) | Plus 1% |  | Minus 1%
Investment in life policies: |  |  |  |  |
September 30, 2012 | $ | (17,167 | ) |  | $ | 20,030 |
December 31, 2011 | $ | (13,802 | ) |  | $ | 15,804 |

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- Definition Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation + References No definition available. + Details
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- Definition Life Insurance Premiums and Related Investment Income + References No definition available. + Details
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- Definition Tabular disclosure of the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments, assets, and liabilities. Such certain disclosures about the financial instruments, assets, and liabilities include: (1) the fair value of the required items together with their carrying amounts (as appropriate) and (2) the methodology and assumptions used in developing such estimates of fair value. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 107 -Paragraph 14 -Subparagraph a -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 159 -Paragraph 18 -Subparagraph c(2), d, e, f -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 10 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=7491637&loc=d3e13433-108611 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 107 -Paragraph 15 -Subparagraph b-d -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 11 -URI http://asc.fasb.org/extlink&oid=7491637&loc=d3e13467-108611 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 159 -Paragraph 19 -Subparagraph a, b, c(1), d(1) -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 7: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=7578670&loc=d3e19207-110258 Reference 8: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 45 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=6447952&loc=d3e13220-108610 Reference 9: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 157 -Paragraph 32 -Subparagraph a, c(1), c(2), c(3), d -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 10: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 107 -Paragraph 10 -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 11: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 12 -URI http://asc.fasb.org/extlink&oid=7491637&loc=d3e13476-108611 Reference 12: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 30 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14172-108612 + Details
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- Definition Tabular disclosure of life settlement contracts based on the remaining life expectancy for each of the first five succeeding years from the date of the statement of financial position and thereafter, as well as in the aggregate including: (a) the number of life settlement contracts, (b) the carrying value of the life settlement contracts, and (c) the face value (death benefits) of the life insurance policies underlying the contracts. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Glossary Life Settlement Contract -URI http://asc.fasb.org/extlink&oid=6516907 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 325 -SubTopic 30 -Section 50 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=6385267&loc=d3e42732-111610 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name FASB Staff Position (FSP) -Number FTB85-4-1 -Paragraph 12, 16, 17, 18, 19 -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. + Details
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