FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)

6 Months Ended

Jun. 30, 2013

FAIR VALUE OF FINANCIAL INSTRUMENTS

Schedule of assets and liabilities measured at fair value on a recurring basis

The following table presents the Company’s hierarchy for its assets and liabilities measured at fair value on a recurring basis as of June 30, 2013:

	Level 1		Level 2		Level 3		Total
	(Dollars In Thousands)
Assets:
Fixed maturity securities - available-for-sale
Residential mortgage-backed securities	$	—	$	1,558,177	$	14,062	$	1,572,239
Commercial mortgage-backed securities	—		942,804		—		942,804
Other asset-backed securities	—		346,516		576,396		922,912
U.S. government-related securities	1,027,622		148,545		—		1,176,167
State, municipalities, and political subdivisions	—		1,333,415		4,275		1,337,690
Other government-related securities	—		45,685		20,000		65,685
Corporate bonds	206		19,839,745		194,895		20,034,846
Total fixed maturity securities - available-for-sale	1,027,828		24,214,887		809,628		26,052,343
Fixed maturity securities - trading
Residential mortgage-backed securities	—		333,246		1,582		334,828
Commercial mortgage-backed securities	—		171,011		—		171,011
Other asset-backed securities	—		89,622		168,851		258,473
U.S. government-related securities	204,785		1,581		—		206,366
State, municipalities, and political subdivisions	—		263,675		3,500		267,175
Other government-related securities	—		57,155		—		57,155
Corporate bonds	—		1,552,433		5,092		1,557,525
Total fixed maturity securities - trading	204,785		2,468,723		179,025		2,852,533
Total fixed maturity securities	1,232,613		26,683,610		988,653		28,904,876
Equity securities	305,309		35,019		65,527		405,855
Other long-term investments (1)	69,584		58,499		47,838		175,921
Short-term investments	161,989		9,021		—		171,010
Total investments	1,769,495		26,786,149		1,102,018		29,657,662
Cash	130,860		—		—		130,860
Assets related to separate accounts
Variable annuity	11,162,856		—		—		11,162,856
Variable universal life	620,429		—		—		620,429
Total assets measured at fair value on a recurring basis	$	13,683,640	$	26,786,149	$	1,102,018	$	41,571,807
Liabilities:
Annuity account balances(2)	$	—	$	—	$	114,614	$	114,614
Other liabilities (1)	5,482		182,450		256,776		444,708
Total liabilities measured at fair value on a recurring basis	$	5,482	$	182,450	$	371,390	$	559,322

(1) Includes certain freestanding and embedded derivatives.

(2) Represents liabilities related to fixed indexed annuities.

The following table presents the Company’s hierarchy for its assets and liabilities measured at fair value on a recurring basis as of December 31, 2012:

	Level 1		Level 2		Level 3		Total
	(Dollars In Thousands)
Assets:
Fixed maturity securities - available-for-sale
Residential mortgage-backed securities	$	—	$	1,839,326	$	4	$	1,839,330
Commercial mortgage-backed securities	—		869,823		—		869,823
Other asset-backed securities	—		378,870		596,143		975,013
U.S. government-related securities	909,988		258,458		—		1,168,446
State, municipalities, and political subdivisions	—		1,439,378		4,275		1,443,653
Other government-related securities	—		80,767		20,011		100,778
Corporate bonds	207		20,197,528		167,892		20,365,627
Total fixed maturity securities - available-for-sale	910,195		25,064,150		788,325		26,762,670
Fixed maturity securities - trading
Residential mortgage-backed securities	—		357,803		—		357,803
Commercial mortgage-backed securities	—		171,073		—		171,073
Other asset-backed securities	—		87,395		70,535		157,930
U.S. government-related securities	304,704		1,169		—		305,873
State, municipalities, and political subdivisions	—		278,898		—		278,898
Other government-related securities	—		63,444		—		63,444
Corporate bonds	—		1,672,172		115		1,672,287
Total fixed maturity securities - trading	304,704		2,631,954		70,650		3,007,308
Total fixed maturity securities	1,214,899		27,696,104		858,975		29,769,978
Equity securities	273,072		35,116		65,527		373,715
Other long-term investments (1)	23,639		58,134		48,655		130,428
Short-term investments	214,295		2,492		—		216,787
Total investments	1,725,905		27,791,846		973,157		30,490,908
Cash	269,582		—		—		269,582
Other assets	—		—		—		—
Assets related to separate accounts
Variable annuity	9,601,417		—		—		9,601,417
Variable universal life	562,817		—		—		562,817
Total assets measured at fair value on a recurring basis	$	12,159,721	$	27,791,846	$	973,157	$	40,924,724
Liabilities:
Annuity account balances (2)	$	—	$	—	$	129,468	$	129,468
Other liabilities (1)	19,187		27,250		611,437		657,874
Total liabilities measured at fair value on a recurring basis	$	19,187	$	27,250	$	740,905	$	787,342

(1) Includes certain freestanding and embedded derivatives.

(2) Represents liabilities related to fixed indexed annuities.

Schedule of valuation method for material financial instruments included in Level 3, as well as the unobservable inputs used in the valuation of those financial instruments

	Fair Value
	As of		Valuation	Unobservable	Range
	June 30, 2013		Technique	Input	(Weighted Average)
	(Dollars In Thousands)
Assets:
Other asset-backed securities	$	576,396	Discounted cash flow	Liquidity premium Paydown rate	0.43% - 1.46% (0.68%) 8.24% - 14.48% (12.41%)
Other government-related securities	20,000		Discounted cash flow	Spread over treasury	(0.22%)
Corporate bonds	199,987		Discounted cash flow	Spread over treasury	0.37% - 7.25% (2.94%)
Embedded derivatives - GMWB(1)	14,556		Actuarial cash flow model	Mortality Lapse Utilization Nonperformance risk	57% of 1994 MGDB table 0% - 24%, depending on product/duration/funded status of guarantee 93% - 100% 0.20% - 1.46%
Liabilities:
Annuity account balances(2)	$	114,614	Actuarial cash flow model	Asset earned rate Expenses Withdrawal rate Mortality Lapse Return on assets Nonperformance risk	5.81%  $88 - $108 per policy 2.20% 57% of 1994 MGDB table 2.2% - 45.0%, depending on duration/surrender charge period 1.50% - 1.85% depending on surrender charge period 0.20% - 1.46%
Embedded derivative - FIA	1,126		Actuarial cash flow model	Expenses Withdrawal rate Mortality	0.20%  1.1% - 4.5% depending on duration and tax qualification 51% - 80% of 1994 MGDB table
				Lapse	2.5% - 40.0%, depending on duration/surrender charge period
				Nonperformance risk	0.20% - 1.46%

(1) The fair value for the GMWB embedded derivative is presented as a net asset for the purposes of this chart. Excludes modified coinsurance agreements.

(2) Represents liabilities related to fixed indexed annuities.

	Fair Value
	As of		Valuation	Unobservable	Range
	December 31, 2012		Technique	Input	(Weighted Average)
	(Dollars In Thousands)
Assets:
Other asset-backed securities	$	596,143	Discounted cash flow	Liquidity premium Paydown rate	0.72% - 1.68% (1.29%) 8.51% - 18.10% (11.40%)
Other government-related securities	20,011		Discounted cash flow	Spread over treasury	(0.30%)
Corporate bonds	168,007		Discounted cash flow	Spread over treasury	0.92% - 7.75% (3.34%)
Liabilities:
Embedded derivatives - GMWB(1)	$	169,041	Actuarial cash flow model	Mortality  Lapse Utilization Nonperformance risk	57% of 1994 MGDB table 0% - 24%, depending on product/duration/funded status of guarantee 93% - 100% 0.09% - 1.34%
Annuity account balances(2)	129,468		Actuarial cash flow model	Asset earned rate Expenses Withdrawal rate Mortality Lapse Return on assets Nonperformance risk	5.81% $88 - $108 per policy 2.20% 57% of 1994 MGDB table 2.2% - 45.0%, depending on duration/surrender charge period 1.50% - 1.85% depending on surrender charge period 0.09% - 1.34%

(1) The fair value for the GMWB embedded derivative is presented as a net liability for the purposes of this chart. Excludes modified coinsurance agreements.

(2) Represents liabilities related to fixed indexed annuities.

Schedule of reconciliation of the beginning and ending balances for fair value measurements, for which the Company has used significant unobservable inputs (Level 3)

The following table presents a reconciliation of the beginning and ending balances for fair value measurements for the three months ended June 30, 2013, for which the Company has used significant unobservable inputs (Level 3):

																													Total
																													Gains (losses)
			Total				Total																						included in
			Realized and Unrealized				Realized and Unrealized																						Earnings
			Gains				Losses																						related to
					Included in					Included in																			Instruments
					Other					Other												Transfers							still held at
	Beginning		Included in		Comprehensive		Included in			Comprehensive												in/out of					Ending		the Reporting
	Balance		Earnings		Income		Earnings			Income			Purchases		Sales			Issuances		Settlements		Level 3		Other			Balance		Date
	(Dollars In Thousands)
Assets:
Fixed maturity securities available-for-sale
Residential mortgage-backed securities	$	4	$	—	$	—	$	—		$	(337	)	$	14,349	$	—		$	—	$	—	$	46	$	—		$	14,062	$	—
Commercial mortgage-backed securities	—		—		—		—			—			—		—			—		—		—		—			—		—
Other asset-backed securities	560,668		—		43,744		—			—			13,162		(41,377		)	—		—		—		199			576,396		—
U.S. government-related securities	—		—		—		—			—			—		—			—		—		—		—			—		—
States, municipals, and political subdivisions	4,275		—		—		—			—			—		—			—		—		—		—			4,275		—
Other government-related securities	20,003		—		1		—			—			—		—			—		—		—		(4		)	20,000		—
Corporate bonds	124,555		116		81		—			(7,682		)	18,275		(3,113		)	—		—		62,330		333			194,895		—
Total fixed maturity securities - available-for-sale	709,505		116		43,826		—			(8,019		)	45,786		(44,490		)	—		—		62,376		528			809,628		—
Fixed maturity securities - trading
Residential mortgage-backed securities	—		—		—		—			—			1,582		—			—		—		—		—			1,582		—
Commercial mortgage-backed securities	—		—		—		—			—			—		—			—		—		—		—			—		—
Other asset-backed securities	71,383		1,389		—		(2,610		)	—			105,830		(9,953		)	—		—		2,210		602			168,851		511
U.S. government-related securities	—		—		—		—			—			—		—			—		—		—		—			—		—
States, municipals and political subdivisions	—		—		—		—			—			3,500		—			—		—		—		—			3,500		—
Other government-related securities	—		—		—		—			—			—		—			—		—		—		—			—		—
Corporate bonds	5,112		—		—		(23		)	—			—		—			—		—		—		3			5,092		(23		)
Total fixed maturity securities - trading	76,495		1,389		—		(2,633		)	—			110,912		(9,953		)	—		—		2,210		605			179,025		488
Total fixed maturity securities	786,000		1,505		43,826		(2,633		)	(8,019		)	156,698		(54,443		)	—		—		64,586		1,133			988,653		488
Equity securities	65,527		—		—		—			—			—		—			—		—		—		—			65,527		—
Other long-term investments(1)	70,404		21,641		—		(10,114		)	—			—		—			—		—		—		(34,093		)	47,838		11,527
Short-term investments	—		—		—		—			—			—		—			—		—		—		—			—		—
Total investments	921,931		23,146		43,826		(12,747		)	(8,019		)	156,698		(54,443		)	—		—		64,586		(32,960		)	1,102,018		12,015
Total assets measured at fair value on a recurring basis	$	921,931	$	23,146	$	43,826	$	(12,747	)	$	(8,019	)	$	156,698	$	(54,443	)	$	—	$	—	$	64,586	$	(32,960	)	$	1,102,018	$	12,015
Liabilities:
Annuity account balances(2)	$	123,681	$	—	$	—	$	(1,686	)	$	—		$	—	$	—		$	65	$	10,818	$	—	$	—		$	114,614	$	—
Other liabilities(1)	539,814		153,664		—		(5,131		)	—			—		—			—		—		—		134,505			256,776		148,533
Total liabilities measured at fair value on a recurring basis	$	663,495	$	153,664	$	—	$	(6,817	)	$	—		$	—	$	—		$	65	$	10,818	$	—	$	134,505		$	371,390	$	148,533

(1) Represents certain freestanding and embedded derivatives.

(2) Represents liabilities related to fixed indexed annuities.

The following table presents a reconciliation of the beginning and ending balances for fair value measurements for the three months ended June 30, 2012, for which the Company has used significant unobservable inputs (Level 3):

																													Total
																													Gains (losses)
			Total				Total																						included in
			Realized and Unrealized				Realized and Unrealized																						Earnings
			Gains				Losses																						related to
					Included in					Included in																			Instruments
					Other					Other												Transfers							still held at
	Beginning		Included in		Comprehensive		Included in			Comprehensive												in/out of					Ending		the Reporting
	Balance		Earnings		Income		Earnings			Income			Purchases		Sales			Issuances		Settlements		Level 3		Other			Balance		Date
	(Dollars In Thousands)
Assets:
Fixed maturity securities available-for-sale
Residential mortgage-backed securities	$	4	$	—	$	—	$	—		$	—		$	—	$	—		$	—	$	—	$	—	$	—		$	4	$	—
Commercial mortgage-backed securities	—		—		—		—			—			—		—			—		—		—		—			—		—
Other asset-backed securities	587,613		—		4,026		—			(6,969		)	—		—			—		—		—		(29		)	584,641		—
U.S. government-related securities	—		—		—		—			—			—		—			—		—		—		—			—		—
States, municipals, and political subdivisions	4,275		—		—		—			—			—		—			—		—		—		—			4,275		—
Other government-related securities	20,006		—		18		—			—			—		—			—		—		—		(4		)	20,020		—
Corporate bonds	137,940		—		1,666		—			(683		)	—		(1,956		)	—		—		35,058		120			172,145		—
Total fixed maturity securities - available-for-sale	749,838		—		5,710		—			(7,652		)	—		(1,956		)	—		—		35,058		87			781,085		—
Fixed maturity securities - trading
Residential mortgage-backed securities	—		—		—		—			—			—		—			—		—		—		—			—		—
Commercial mortgage-backed securities	—		—		—		—			—			—		—			—		—		—		—			—		—
Other asset-backed securities	54,961		32		—		(588		)	—			13,342		(3,266		)	—		—		—		578			65,059		(555		)
U.S. government-related securities	—		—		—		—			—			—		—			—		—		—		—			—		—
States, municipals and political subdivisions	—		—		—		—			—			—		—			—		—		—		—			—		—
Other government-related securities	—		—		—		—			—			—		—			—		—		—		—			—		—
Corporate bonds	1		—		—		—			—			—		—			—		—		113		—			114		—
Total fixed maturity securities - trading	54,962		32		—		(588		)	—			13,342		(3,266		)	—		—		113		578			65,173		(555		)
Total fixed maturity securities	804,800		32		5,710		(588		)	(7,652		)	13,342		(5,222		)	—		—		35,171		665			846,258		(555		)
Equity securities	70,719		—		25		—			(949		)	—		—			—		—		—		—			69,795		—
Other long-term investments(1)	32,176		600		—		(7,461		)	—			—		—			—		—		—		—			25,315		(6,861		)
Short-term investments	—		—		—		—			—			—		—			—		—		—		—			—		—
Total investments	907,695		632		5,735		(8,049		)	(8,601		)	13,342		(5,222		)	—		—		35,171		665			941,368		(7,416		)
Total assets measured at fair value on a recurring basis	$	907,695	$	632	$	5,735	$	(8,049	)	$	(8,601	)	$	13,342	$	(5,222	)	$	—	$	—	$	35,171	$	665		$	941,368	$	(7,416	)
Liabilities:
Annuity account balances(2)	$	137,238	$	—	$	—	$	(1,143	)	$	—		$	—	$	—		$	103	$	3,887	$	—	$	—		$	134,597	$	—
Other liabilities(1)	389,812		8,748		—		(135,523		)	—			—		—			—		—		—		—			516,587		(126,775		)
Total liabilities measured at fair value on a recurring basis	$	527,050	$	8,748	$	—	$	(136,666	)	$	—		$	—	$	—		$	103	$	3,887	$	—	$	—		$	651,184	$	(126,775	)

(1) Represents certain freestanding and embedded derivatives.

(2) Represents liabilities related to fixed indexed annuities.

The following table presents a reconciliation of the beginning and ending balances for fair value measurements for the six months ended June 30, 2013, for which the Company has used significant unobservable inputs (Level 3):

																													Total
																													Gains (losses)
			Total				Total																						included in
			Realized and Unrealized				Realized and Unrealized																						Earnings
			Gains				Losses																						related to
					Included in					Included in																			Instruments
					Other					Other												Transfers							still held at
	Beginning		Included in		Comprehensive		Included in			Comprehensive												in/out of					Ending		the Reporting
	Balance		Earnings		Income		Earnings			Income			Purchases		Sales			Issuances		Settlements		Level 3		Other			Balance		Date
	(Dollars In Thousands)
Assets:
Fixed maturity securities available-for-sale
Residential mortgage-backed securities	$	4	$	—	$	—	$	—		$	(337	)	$	14,349	$	—		$	—	$	—	$	46	$	—		$	14,062	$	—
Commercial mortgage-backed securities	—		—		—		—			—			—		—			—		—		—		—			—		—
Other asset-backed securities	596,143		—		43,756		—			(27,548		)	13,162		(50,386		)	—		—		1,227		42			576,396		—
U.S. government-related securities	—		—		—		—			—			—		—			—		—		—		—			—		—
States, municipals, and political subdivisions	4,275		—		—		—			—			—		—			—		—		—		—			4,275		—
Other government-related securities	20,011		—		1		—			(3		)	—		—			—		—		—		(9		)	20,000		—
Corporate bonds	167,892		116		1,011		—			(10,046		)	18,275		(45,184		)	—		—		62,330		501			194,895		—
Total fixed maturity securities - available-for-sale	788,325		116		44,768		—			(37,934		)	45,786		(95,570		)	—		—		63,603		534			809,628		—
Fixed maturity securities - trading
Residential mortgage-backed securities	—		—		—		—			—			1,582		—			—		—		—		—			1,582		—
Commercial mortgage-backed securities	—		—		—		—			—			—		—			—		—		—		—			—		—
Other asset-backed securities	70,535		4,797		—		(2,869		)	—			105,830		(12,776		)	—		—		2,210		1,124			168,851		3,779
U.S. government-related securities	—		—		—		—			—			—		—			—		—		—		—			—		—
States, municipals and political subdivisions	—		—		—		—			—			3,500		—			—		—		—		—			3,500		—
Other government-related securities	—		—		—		—			—			—		—			—		—		—		—			—		—
Corporate bonds	115		1		—		(23		)	—			—		(17		)	—		—		5,013		3			5,092		6
Total fixed maturity securities - trading	70,650		4,798		—		(2,892		)	—			110,912		(12,793		)	—		—		7,223		1,127			179,025		3,785
Total fixed maturity securities	858,975		4,914		44,768		(2,892		)	(37,934		)	156,698		(108,363		)	—		—		70,826		1,661			988,653		3,785
Equity securities	65,527		—		—		—			—			—		—			—		—		—		—			65,527		—
Other long-term investments(1)	48,655		47,259		—		(13,983		)	—			—		—			—		—		—		(34,093		)	47,838		33,276
Short-term investments	—		—		—		—			—			—		—			—		—		—		—			—		—
Total investments	973,157		52,173		44,768		(16,875		)	(37,934		)	156,698		(108,363		)	—		—		70,826		(32,432		)	1,102,018		37,061
Total assets measured at fair value on a recurring basis	$	973,157	$	52,173	$	44,768	$	(16,875	)	$	(37,934	)	$	156,698	$	(108,363	)	$	—	$	—	$	70,826	$	(32,432	)	$	1,102,018	$	37,061
Liabilities:
Annuity account balances(2)	$	129,468	$	—	$	—	$	(3,686	)	$	—		$	—	$	—		$	201	$	18,741	$	—	$	—		$	114,614	$	—
Other liabilities(1)	611,437		238,210		—		(18,054		)	—			—		—			—		—		—		134,505			256,776		220,156
Total liabilities measured at fair value on a recurring basis	$	740,905	$	238,210	$	—	$	(21,740	)	$	—		$	—	$	—		$	201	$	18,741	$	—	$	134,505		$	371,390	$	220,156

(1) Represents certain freestanding and embedded derivatives.

(2) Represents liabilities related to fixed indexed annuities.

The following table presents a reconciliation of the beginning and ending balances for fair value measurements for the six months ended June 30, 2012, for which the Company has used significant unobservable inputs (Level 3):

																													Total
																													Gains (losses)
			Total				Total																						included in
			Realized and Unrealized				Realized and Unrealized																						Earnings
			Gains				Losses																						related to
					Included in					Included in																			Instruments
					Other					Other												Transfers							still held at
	Beginning		Included in		Comprehensive		Included in			Comprehensive												in/out of					Ending		the Reporting
	Balance		Earnings		Income		Earnings			Income			Purchases		Sales			Issuances		Settlements		Level 3		Other			Balance		Date
	(Dollars In Thousands)
Assets:
Fixed maturity securities available-for-sale
Residential mortgage-backed securities	$	7	$	—	$	—	$	—		$	—		$	—	$	(3	)	$	—	$	—	$	—	$	—		$	4	$	—
Commercial mortgage-backed
securities	—		—		—		—			—			—		—			—		—		—		—			—		—
Other asset-backed securities	614,813		294		4,519		—			(20,898		)	—		(13,850		)	—		—		—		(237		)	584,641		—
U.S. government-related securities	15,000		—		—		—			(1		)	—		(15,000		)	—		—		—		1			—		—
States, municipals, and political subdivisions	—		—		—		—			—			4,275		—			—		—		—		—			4,275		—
Other government-related securities	—		—		18		—			(16		)	20,023		—			—		—		—		(5		)	20,020		—
Corporate bonds	119,565		—		1,849		—			(1,910		)	4		(2,095		)	—		—		54,612		120			172,145		—
Total fixed maturity securities - available-for-sale	749,385		294		6,386		—			(22,825		)	24,302		(30,948		)	—		—		54,612		(121		)	781,085		—
Fixed maturity securities - trading
Residential mortgage-backed securities	—		—		—		—			—			—		—			—		—		—		—			—		—
Commercial mortgage-backed securities	—		—		—		—			—			—		—			—		—		—		—			—		—
Other asset-backed securities	28,343		478		—		(757		)	—			41,047		(5,074		)	—		—		—		1,022			65,059		(278		)
U.S. government-related securities	—		—		—		—			—			—		—			—		—		—		—			—		—
States, municipals and political subdivisions	—		—		—		—			—			—		—			—		—		—		—			—		—
Other government-related securities	—		—		—		—			—			—		—			—		—		—		—			—		—
Corporate bonds	—		—		—		—			—			1		—			—		—		113		—			114		—
Total fixed maturity securities - trading	28,343		478		—		(757		)	—			41,048		(5,074		)	—		—		113		1,022			65,173		(278		)
Total fixed maturity securities	777,728		772		6,386		(757		)	(22,825		)	65,350		(36,022		)	—		—		54,725		901			846,258		(278		)
Equity securities	70,080		—		661		—			(950		)	4		—			—		—		—		—			69,795		—
Other long-term investments(1)	19,103		13,673		—		(7,461		)	—			—		—			—		—		—		—			25,315		6,212
Short-term investments	—		—		—		—			—			—		—			—		—		—		—			—		—
Total investments	866,911		14,445		7,047		(8,218		)	(23,775		)	65,354		(36,022		)	—		—		54,725		901			941,368		5,934
Total assets measured at fair value on a recurring basis	$	866,911	$	14,445	$	7,047	$	(8,218	)	$	(23,775	)	$	65,354	$	(36,022	)	$	—	$	—	$	54,725	$	901		$	941,368	$	5,934
Liabilities:
Annuity account balances(2)	$	136,462	$	—	$	—	$	(4,217	)	$	—		$	—	$	—		$	428	$	6,510	$	—	$	—		$	134,597	$	—
Other liabilities(1)	437,613		56,549		—		(135,523		)	—			—		—			—		—		—		—			516,587		(78,974		)
Total liabilities measured at fair value on a recurring basis	$	574,075	$	56,549	$	—	$	(139,740	)	$	—		$	—	$	—		$	428	$	6,510	$	—	$	—		$	651,184	$	(78,974	)

(1) Represents certain freestanding and embedded derivatives.

(2) Represents liabilities related to fixed indexed annuities.

Schedule of the carrying amounts and estimated fair value of the Company's financial instruments

		As of
		June 30, 2013				December 31, 2012
	Fair Value	Carrying				Carrying
	Level	Amounts		Fair Values		Amounts		Fair Values
	(Dollars In Thousands)
Assets:
Mortgage loans on real estate	3	$	4,772,134	$	5,308,677	$	4,948,625	$	5,723,579
Policy loans	3	855,780		855,780		865,391		865,391
Fixed maturities, held-to-maturity(1)	3	335,000		333,772		300,000		319,163
Liabilities:
Stable value product account balances	3	$	2,579,172	$	2,579,483	$	2,510,559	$	2,534,094
Annuity account balances	3	10,509,829		10,137,230		10,658,463		10,525,702
Debt:
Non-recourse funding obligations(2)	3	$	1,476,900	$	1,418,178	$	1,446,900	$	1,357,290

Except as noted below, fair values were estimated using quoted market prices.

(1) Security purchased from unconsolidated subsidiary, Red Mountain LLC.

(2) Of this carrying amount $335.0 million, fair value of $297.9 million, as of June 30, 2013, and $300 million, fair value of $297.6 million, as of December 31, 2012,  relates to non-recourse funding obligations issued by Golden Gate V.