Fair Value of Assets and Liabilities (Tables)

6 Months Ended

Jun. 30, 2016

Fair Value, Assets and Liabilities Measured on Recurring Basis

The tables below present the balances of assets and liabilities reported at fair value on a recurring basis, as of the dates indicated.



	June 30, 2016
	Level 1		Level 2		Level 3		Netting(1)			Total
	(in thousands)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	0	$	106,442	$	0	$	0		$	106,442
Obligations of U.S. states and their political subdivisions	0		595,899		0		0			595,899
Foreign government bonds	0		88,954		0		0			88,954
U.S. corporate public securities	0		2,274,101		55,003		0			2,329,104
U.S. corporate private securities	0		826,245		32,900		0			859,145
Foreign corporate public securities	0		196,382		0		0			196,382
Foreign corporate private securities	0		582,971		10,369		0			593,340
Asset-backed securities	0		158,677		40,827		0			199,504
Commercial mortgage-backed securities	0		327,292		0		0			327,292
Residential mortgage-backed securities	0		91,000		0		0			91,000
Sub-total	0		5,247,963		139,099		0			5,387,062
Trading account assets:
Corporate securities	0		19,850		0		0			19,850
Asset-backed securities	0		301		0		0			301
Equity securities	0		0		16,882		0			16,882
Sub-total	0		20,151		16,882		0			37,033
Equity securities, available-for-sale	50		22,760		191		0			23,001
Short-term investments	24,658		12,554		0		0			37,212
Cash equivalents	12,104		182,156		0		0			194,260
Other long-term investments	0		86,623		2,479		(10,295		)	78,807
Reinsurance recoverables	0		0		9,141,712		0			9,141,712
Receivables from parent and affiliates	0		147,874		556		0			148,430
Sub-total excluding separate account assets	36,812		5,720,081		9,300,919		(10,295		)	15,047,517
Separate account assets(2)	0		112,476,330		0		0			112,476,330
Total assets	$	36,812	$	118,196,411	$	9,300,919	$	(10,295	)	$	127,523,847
Future policy benefits(3)	$	0	$	0	$	8,657,255	$	0		$	8,657,255
Payables to parent and affiliates	0		10,405		0		(10,405		)	0
Total liabilities	$	0	$	10,405	$	8,657,255	$	(10,405	)	$	8,657,255



	December 31, 2015
	Level 1		Level 2		Level 3		Netting(1)			Total
	(in thousands)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	0	$	94,049	$	0	$	0		$	94,049
Obligations of U.S. states and their political subdivisions	0		624,769		0		0			624,769
Foreign government bonds	0		70,410		0		0			70,410
U.S. corporate public securities	0		2,635,551		55,003		0			2,690,554
U.S. corporate private securities	0		1,322,213		22,716		0			1,344,929
Foreign corporate public securities	0		275,349		0		0			275,349
Foreign corporate private securities	0		760,869		17,773		0			778,642
Asset-backed securities	0		261,784		173,347		0			435,131
Commercial mortgage-backed securities	0		404,345		0		0			404,345
Residential mortgage-backed securities	0		122,754		0		0			122,754
Sub-total	0		6,572,093		268,839		0			6,840,932
Trading account assets:
Corporate securities	0		44,374		0		0			44,374
Asset-backed securities	0		1,990		0		0			1,990
Equity securities	0		0		18,248		0			18,248
Sub-total	0		46,364		18,248		0			64,612
Equity securities, available-for-sale	39		51,769		165		0			51,973
Short-term investments	18,713		36,093		0		0			54,806
Cash equivalents	50,998		143,927		0		0			194,925
Other long-term investments(4)	0		297,394		5,704		(230,554		)	72,544
Reinsurance recoverables	0		0		4,940,011		0			4,940,011
Receivables from parent and affiliates	0		157,625		5,000		0			162,625
Sub-total excluding separate account assets	69,750		7,305,265		5,237,967		(230,554		)	12,382,428
Separate account assets(2)(4)	0		108,967,162		0		0			108,967,162
Total assets	$	69,750	$	116,272,427	$	5,237,967	$	(230,554	)	$	121,349,590
Future policy benefits(3)	$	0	$	0	$	5,205,434	$	0		$	5,205,434
Payables to parent and affiliates	0		32,849		0		(32,849		)	0
Total liabilities	$	0	$	32,849	$	5,205,434	$	(32,849	)	$	5,205,434


(1)	“Netting” amounts represent cash collateral of $(0.1) million and $198 million as of June 30, 2016 and December 31, 2015, respectively, and the impact of offsetting asset and liability positions held with the same counterparty, subject to master netting arrangements.

(2)

Separate account assets represent segregated funds that are invested for certain customers. Investment risks associated with market value changes are borne by the customers, except to the extent of minimum guarantees made by the Company with respect to certain accounts. Separate account liabilities are not included in the above table as they are reported at contract value and not fair value in the Company’s Unaudited Interim Consolidated Statements of Financial Position.

(3)

As of June 30, 2016, the net embedded derivative liability position of $8,657 million includes $816 million of embedded derivatives in an asset position and $9,473 million of embedded derivatives in a liability position. As of December 31, 2015, the net embedded derivative liability position of $5,205 million includes $655 million of embedded derivatives in an asset position and $5,860 million of embedded derivatives in a liability position.


(4)	Prior period amounts are presented on a basis consistent with the current period presentation, reflecting the adoption of ASU 2015-07

Fair Value Level Three Amounts By Pricing Source

The tables below present the balances of Level 3 assets and liabilities measured at fair value with their corresponding pricing sources.



	June 30, 2016
	Internal(1)		External(2)		Total
	(in thousands)
Corporate securities(3)	$	43,272	$	55,000	$	98,272
Asset-backed securities(4)	86		40,741		40,827
Equity securities	4,554		12,519		17,073
Other long-term investments	0		2,479		2,479
Reinsurance recoverables	9,141,712		0		9,141,712
Receivables from parent and affiliates	0		556		556
Total assets	$	9,189,624	$	111,295	$	9,300,919
Future policy benefits	$	8,657,255	$	0	$	8,657,255
Total liabilities	$	8,657,255	$	0	$	8,657,255



	December 31, 2015
	Internal(1)		External(2)		Total
	(in thousands)
Corporate securities(3)	$	40,492	$	55,000	$	95,492
Asset-backed securities(4)	158		173,189		173,347
Equity securities	165		18,248		18,413
Other long-term investments(5)	3,260		2,444		5,704
Reinsurance recoverables	4,940,011		0		4,940,011
Receivables from parent and affiliates	0		5,000		5,000
Total assets	$	4,984,086	$	253,881	$	5,237,967
Future policy benefits	$	5,205,434	$	0	$	5,205,434
Total liabilities	$	5,205,434	$	0	$	5,205,434


(1)	Represents valuations reflecting both internally-derived and market inputs, as well as third-party pricing information or quotes. See below for additional information related to internally-developed valuation for significant items in the above table.


(2)	Represents unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available.


(3)	Includes assets classified as fixed maturities available-for-sale.


(4)	Includes credit-tranched securities collateralized by sub-prime mortgages, auto loans, credit cards, education loans and other asset types.


(5)	Prior period amounts are presented on a basis consistent with the current period presentation, reflecting the adoption of ASU 2015-07.

Fair Value Inputs, Assets, Quantitative Information

The tables below present quantitative information on significant internally-priced Level 3 assets and liabilities (see narrative below for quantitative information for separate account assets).



	June 30, 2016
	Fair Value		Valuation Techniques	Unobservable Inputs	Minimum			Maximum			Weighted Average			Impact of Increase in Input on Fair Value(1)
	(in thousands)
Assets:
Corporate securities(12)	$	43,272	Discounted cash flow	Discount rate	2.85	%		13.96	%		7.78	%		Decrease
			Market comparables	EBITDA multiples(2)	5.0		X	5.0		X	5.0		X	Increase
Reinsurance recoverables - Living Benefits	$	8,656,240	Fair values are determined in the same manner as future policy benefits
Reinsurance recoverables - No Lapse Guarantee	$	485,472	Discounted cash flow	Lapse rate(3)	0	%		12	%					Decrease
				NPR spread(4)	0.41	%		1.76	%					Decrease
				Mortality rate(5)	0	%		31	%					Decrease
				Premium payment(6)	0.65		X	0.95		X				Decrease
Liabilities:
Future policy benefits(7)	$	8,657,255	Discounted cash flow	Lapse rate(8)	0	%		13	%					Decrease
				NPR spread(4)	0.41	%		1.76	%					Decrease
				Utilization rate(9)	52	%		96	%					Increase
				Withdrawal rate						See table footnote (10) below
				Mortality rate(11)	0	%		14	%					Decrease
				Equity volatility curve	17	%		25	%					Increase



	December 31, 2015
	Fair Value		Valuation Techniques	Unobservable Inputs	Minimum			Maximum			Weighted Average			Impact of Increase in Input on Fair Value(1)
	(in thousands)
Assets:
Corporate securities(12)	$	40,492	Discounted cash flow	Discount rate	5.76	%		17.95	%		8.35	%		Decrease
			Market comparables	EBITDA multiples(2)	5.0		X	5.0		X	5.0		X	Increase
Reinsurance recoverables - Living Benefits	$	4,600,193	Fair values are determined in the same manner as future policy benefits
Reinsurance recoverables - No Lapse Guarantee	$	339,818	Discounted cash flow	Lapse rate(3)	0	%		12	%					Decrease
				NPR spread(4)	0.06	%		1.76	%					Decrease
				Mortality rate(5)	0	%		20	%					Decrease
				Premium payment(13)	1.00		X	3.75		X				Decrease
Liabilities:
Future policy benefits(7)	$	5,205,434	Discounted cash flow	Lapse rate(8)	0	%		14	%					Decrease
				NPR spread(4)	0.06	%		1.76	%					Decrease
				Utilization rate(9)	56	%		96	%					Increase
				Withdrawal rate(10)	74	%		100	%					Increase
				Mortality rate(11)	0	%		14	%					Decrease
				Equity volatility curve	17	%		28	%					Increase


(1)	Conversely, the impact of a decrease in input would have the opposite impact for the fair value as that presented in the table.


(2)	EBITDA multiples represent multiples of earnings before interest, taxes, depreciation and amortization, and are amounts used when the reporting entity has determined that market participants would use such multiples when pricing the investments.


(3)	For universal life, lapse rates vary based on funding level and other factors. Rates are set to zero when the no lapse guarantee is fully funded and the cash value is zero.

(4)

To reflect NPR, the Company incorporates an additional spread over LIBOR into the discount rate used in the valuation of contracts in a liability position and generally not to those in a contra-liability position. The NPR spread reflects the financial strength ratings of the Company and its affiliates, as these are insurance liabilities and senior to debt. The additional spread over LIBOR is determined by utilizing the credit spreads associated with issuing funding agreements, adjusted for any illiquidity risk premium.


(5)	Universal life mortality rates are adjusted based on underwriting information. A mortality improvement assumption is also incorporated into the projection.

(6)

For universal life, policyholders are assumed to pay a multiple of commissionable target premium levels (shown above and indicated as “X”). The multiples vary by funding level and policy duration. If the resulting premium in any duration is smaller than the minimum annual premium required to maintain the no-lapse guarantee, policyholders are assumed to pay the minimum annual premium. Policyholders are assumed to stop premium payments once the no-lapse guarantee is fully funded. The range shown as of June 30, 2016 excludes multiples for the first duration since all contracts are beyond the first duration. Assumption ranges for prior periods included first duration multiples.

(7)

Future policy benefits primarily represent general account liabilities for the living benefit features of the Company’s variable annuity contracts which are accounted for as embedded derivatives. Since the valuation methodology for these liabilities uses a range of inputs that vary at the contract level over the cash flow projection period, presenting a range, rather than weighted average, is a more meaningful representation of the unobservable inputs used in the valuation.


(8)	Lapse rates are adjusted at the contract level based on the in-the-moneyness of the living benefit and reflect other factors, such as the applicability of any surrender charges. Lapse rates are reduced when contracts are more in-the-money. Lapse rates are also generally assumed to be lower for the period where surrender charges apply.

(9)

The utilization rate assumption estimates the percentage of contracts that will utilize the benefit during the contract duration, and begin lifetime withdrawals at various time intervals from contract inception. The remaining contractholders are assumed to either begin lifetime withdrawals immediately or never utilize the benefit. Utilization assumptions may vary by product type, tax status and age. The impact of changes in these assumptions is highly dependent on the product type, the age of the contractholder at the time of the sale, and the timing of the first lifetime income withdrawal. Range reflects the utilization rate for the vast majority of business with living benefits.

(10)

The withdrawal rate assumption estimates the magnitude of annual contractholder withdrawals relative to the maximum allowable amount under the contract. These assumptions may vary based on the age of the contractholder, the tax status of the contract and the duration since the contractholder began lifetime withdrawals. As of June 30, 2016, the minimum withdrawal assumption rate is 78% and the maximum withdrawal assumption rate may be greater than 100%. The fair value of the liability will generally increase the closer the withdrawal rate is to 100% and decrease as the withdrawal rate moves further away from 100%.

(11)

Range reflects the mortality rate for the vast majority of business with living benefits, with policyholders ranging from 35 to 90 years old. While the majority of living benefits have a minimum age requirement, certain benefits do not have an age restriction. This results in contractholders for certain benefits with mortality rates approaching 0%. Based on historical experience, the Company applies a set of age and duration specific mortality rate adjustments compared to standard industry tables. A mortality improvement assumption is also incorporated into the overall mortality table.


(12)	Includes assets classified as fixed maturities available-for-sale and other trading account assets.


(13)	For universal life, premium payment assumptions vary by funding level. Some policies are assumed to pay the minimum premium required to maintain the no lapse guarantee. Other policies are assumed to pay a multiple of commissionable target premium levels (shown above and indicated as “X”). Policyholders are assumed to stop premium payments once the no lapse guarantee is fully funded.

Fair Value Inputs, Liabilities, Quantitative Information

The tables below present quantitative information on significant internally-priced Level 3 assets and liabilities (see narrative below for quantitative information for separate account assets).



	June 30, 2016
	Fair Value		Valuation Techniques	Unobservable Inputs	Minimum			Maximum			Weighted Average			Impact of Increase in Input on Fair Value(1)
	(in thousands)
Assets:
Corporate securities(12)	$	43,272	Discounted cash flow	Discount rate	2.85	%		13.96	%		7.78	%		Decrease
			Market comparables	EBITDA multiples(2)	5.0		X	5.0		X	5.0		X	Increase
Reinsurance recoverables - Living Benefits	$	8,656,240	Fair values are determined in the same manner as future policy benefits
Reinsurance recoverables - No Lapse Guarantee	$	485,472	Discounted cash flow	Lapse rate(3)	0	%		12	%					Decrease
				NPR spread(4)	0.41	%		1.76	%					Decrease
				Mortality rate(5)	0	%		31	%					Decrease
				Premium payment(6)	0.65		X	0.95		X				Decrease
Liabilities:
Future policy benefits(7)	$	8,657,255	Discounted cash flow	Lapse rate(8)	0	%		13	%					Decrease
				NPR spread(4)	0.41	%		1.76	%					Decrease
				Utilization rate(9)	52	%		96	%					Increase
				Withdrawal rate						See table footnote (10) below
				Mortality rate(11)	0	%		14	%					Decrease
				Equity volatility curve	17	%		25	%					Increase



	December 31, 2015
	Fair Value		Valuation Techniques	Unobservable Inputs	Minimum			Maximum			Weighted Average			Impact of Increase in Input on Fair Value(1)
	(in thousands)
Assets:
Corporate securities(12)	$	40,492	Discounted cash flow	Discount rate	5.76	%		17.95	%		8.35	%		Decrease
			Market comparables	EBITDA multiples(2)	5.0		X	5.0		X	5.0		X	Increase
Reinsurance recoverables - Living Benefits	$	4,600,193	Fair values are determined in the same manner as future policy benefits
Reinsurance recoverables - No Lapse Guarantee	$	339,818	Discounted cash flow	Lapse rate(3)	0	%		12	%					Decrease
				NPR spread(4)	0.06	%		1.76	%					Decrease
				Mortality rate(5)	0	%		20	%					Decrease
				Premium payment(13)	1.00		X	3.75		X				Decrease
Liabilities:
Future policy benefits(7)	$	5,205,434	Discounted cash flow	Lapse rate(8)	0	%		14	%					Decrease
				NPR spread(4)	0.06	%		1.76	%					Decrease
				Utilization rate(9)	56	%		96	%					Increase
				Withdrawal rate(10)	74	%		100	%					Increase
				Mortality rate(11)	0	%		14	%					Decrease
				Equity volatility curve	17	%		28	%					Increase


(1)	Conversely, the impact of a decrease in input would have the opposite impact for the fair value as that presented in the table.


(2)	EBITDA multiples represent multiples of earnings before interest, taxes, depreciation and amortization, and are amounts used when the reporting entity has determined that market participants would use such multiples when pricing the investments.


(3)	For universal life, lapse rates vary based on funding level and other factors. Rates are set to zero when the no lapse guarantee is fully funded and the cash value is zero.

(4)


(5)	Universal life mortality rates are adjusted based on underwriting information. A mortality improvement assumption is also incorporated into the projection.

(6)

(7)


(8)	Lapse rates are adjusted at the contract level based on the in-the-moneyness of the living benefit and reflect other factors, such as the applicability of any surrender charges. Lapse rates are reduced when contracts are more in-the-money. Lapse rates are also generally assumed to be lower for the period where surrender charges apply.

(9)

(10)

(11)


(12)	Includes assets classified as fixed maturities available-for-sale and other trading account assets.


(13)	For universal life, premium payment assumptions vary by funding level. Some policies are assumed to pay the minimum premium required to maintain the no lapse guarantee. Other policies are assumed to pay a multiple of commissionable target premium levels (shown above and indicated as “X”). Policyholders are assumed to stop premium payments once the no lapse guarantee is fully funded.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables provide summaries of the changes in fair values of Level 3 assets and liabilities as of the dates indicated, as well as the portion of gains or losses included in income attributable to unrealized gains or losses related to those assets and liabilities still held at the end of their respective periods:



	Three Months Ended June 30, 2016
	Fixed Maturities Available-for-Sale
	U.S. Corporate Public Securities		U.S. Corporate Private Securities			Foreign Corporate Private Securities			Asset-Backed Securities			Trading Account Assets- Equity Securities
	(in thousands)
Fair value, beginning of period	$	55,003	$	29,248		$	14,198		$	124,391		$	22,199
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		483			35			(25		)	0
Asset management fees and other income	0		0			0			0			(455		)
Included in other comprehensive income (loss)	0		800			(255		)	161			0
Net investment income	0		26			9			28			0
Purchases	0		198			54			7,184			0
Sales	0		(7,943		)	(1,950		)	(39,139		)	(4,862		)
Issuances	0		0			0			0			0
Settlements	0		(193		)	(1,722		)	(261		)	0
Transfers into Level 3(1)	0		10,281			0			24,727			0
Transfers out of Level 3(1)	0		0			0			(76,239		)	0
Fair value, end of period	$	55,003	$	32,900		$	10,369		$	40,827		$	16,882
Unrealized gains (losses) for assets still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0		$	0		$	(6	)	$	0
Asset management fees and other income	$	0	$	0		$	0		$	0		$	(1,534	)



	Three Months Ended June 30, 2016
	Equity Securities, Available-for-Sale		Other Long-term Investments			Reinsurance Recoverables		Receivables from Parent and Affiliates			Future Policy Benefits
	(in thousands)
Fair value, beginning of period	$	150	$	2,444		$	6,741,737	$	569		$	(7,098,647	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(6)	0		0			2,190,814		0			(1,360,590		)
Asset management fees and other income	0		0			0		0			0
Included in other comprehensive income (loss)	41		0			0		(14		)	0
Net investment income	0		(67		)	0		0			0
Purchases	0		102			209,161		0			0
Sales	0		0			0		1			0
Issuances	0		0			0		0			(198,018		)
Settlements	0		0			0		0			0
Transfers into Level 3(1)	0		0			0		0			0
Transfers out of Level 3(1)	0		0			0		(2,464		)	0
Other(3)	0		0			0		2,464			0
Fair value, end of period	$	191	$	2,479		$	9,141,712	$	556		$	(8,657,255	)
Unrealized gains (losses) for assets/liabilities still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0		$	7,274,811	$	0		$	(1,558,608	)
Asset management fees and other income	$	0	$	0		$	0	$	0		$	0



	Six Months Ended June 30, 2016
	Fixed Maturities Available-for-Sale
	U.S. Corporate Public Securities		U.S. Corporate Private Securities			Foreign Corporate Private Securities			Asset-Backed Securities			Trading Account Assets- Equity Securities
	(in thousands)
Fair value, beginning of period	$	55,003	$	22,716		$	17,773		$	173,347		$	18,248
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		(25		)	(159		)	(16		)	0
Asset management fees and other income	0		0			0			0			236
Included in other comprehensive income (loss)	0		(176		)	(470		)	(741		)	0
Net investment income	0		30			14			126			0
Purchases	0		407			119			7,184			0
Sales	0		(7,943		)	(1,950		)	(39,139		)	(4,862		)
Issuances	0		0			0			0			0
Settlements	0		(1,143		)	(6,545		)	(604		)	0
Transfers into Level 3(1)	0		19,034			1,587			35,643			0
Transfers out of Level 3(1)	0		0			0			(134,973		)	0
Other(5)	0		0			0			0			3,260
Fair value, end of period	$	55,003	$	32,900		$	10,369		$	40,827		$	16,882
Unrealized gains (losses) for assets still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	(508	)	$	0		$	(6	)	$	0
Asset management fees and other income	$	0	$	0		$	0		$	0		$	(842	)



	Six Months Ended June 30, 2016
	Equity Securities, Available-for-Sale		Other Long-term Investments			Reinsurance Recoverables		Receivables from Parent and Affiliates			Future Policy Benefits
	(in thousands)
Fair value, beginning of period	$	165	$	5,704		$	4,940,011	$	5,000		$	(5,205,434	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(6)	0		0			3,816,701		(13		)	(3,060,821		)
Asset management fees and other income	0		0			0		0			0
Included in other comprehensive income (loss)	26		0			0		20			0
Net investment income	0		(67		)	0		0			0
Purchases	0		102			385,000		0			0
Sales	0		0			0		(1,987		)	0
Issuances	0		0			0		0			(391,000		)
Settlements	0		0			0		0			0
Transfers into Level 3(1)	0		0			0		0			0
Transfers out of Level 3(1)	0		0			0		(2,464		)	0
Other(5)	0		(3,260		)	0		0			0
Fair value, end of period	$	191	$	2,479		$	9,141,712	$	556		$	(8,657,255	)
Unrealized gains (losses) for assets/liabilities still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0		$	8,136,702	$	0		$	(3,451,821	)
Asset management fees and other income	$	0	$	0		$	0	$	0		$	0



	Three Months Ended June 30, 2015(4)
	Fixed Maturities Available-for-Sale
	U.S. Corporate Public Securities			U.S. Corporate Private Securities			Foreign Corporate Private Securities		Asset-Backed Securities			Trading Account Assets- Equity Securities
	(in thousands)
Fair value, beginning of period	$	63,501		$	14,812		$	8,602	$	201,051		$	18,369
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0			(358		)	0		(3		)	0
Asset management fees and other income	0			0			0		0			0
Included in other comprehensive income (loss)	(8		)	337			391		179			0
Net investment income	0			5			7		(8		)	0
Purchases	54,999			209			1,461		38,129			0
Sales	(55,000		)	(2		)	0		(37,131		)	0
Issuances	0			0			0		0			0
Settlements	(8		)	(254		)	0		(54		)	0
Transfers into Level 3(1)	0			0			0		2,710			0
Transfers out of Level 3(1)	(7,796		)	(416		)	0		(32,673		)	0
Fair value, end of period	$	55,688		$	14,333		$	10,461	$	172,200		$	18,369
Unrealized gains (losses) for assets still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0		$	(357	)	$	0	$	0		$	0
Asset management fees and other income	$	0		$	0		$	0	$	0		$	0



	Three Months Ended June 30, 2015(4)
	Equity Securities, Available-for-Sale		Other Long- term Investments			Reinsurance Recoverables			Receivables from Parent and Affiliates			Future Policy Benefits
	(in thousands)
Fair value, beginning of period	$	747	$	617		$	5,822,107		$	21,169		$	(5,944,815	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		(206		)	(2,966,250		)	0			3,005,834
Asset management fees and other income	0		0			0			0			0
Included in other comprehensive income (loss)	106		0			0			23			0
Net investment income	0		0			0			0			0
Purchases	0		386			167,262			0			0
Sales	0		0			0			0			0
Issuances	0		0			0			0			(178,190		)
Settlements	0		0			0			0			0
Transfers into Level 3(1)	0		0			0			0			0
Transfers out of Level 3(1)	0		0			0			(18,642		)	0
Fair value, end of period	$	853	$	797		$	3,023,119		$	2,550		$	(3,117,171	)
Unrealized gains (losses) for assets/liabilities still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	(206	)	$	(2,917,452	)	$	0		$	2,974,092
Asset management fees and other income	$	0	$	0		$	0		$	0		$	0



	Six Months Ended June 30, 2015(4)
	Fixed Maturities Available-for-Sale
	U.S. Corporate Public Securities			U.S. Corporate Private Securities			Foreign Corporate Private Securities			Asset-Backed Securities			Trading Account Assets- Equity Securities
	(in thousands)
Fair value, beginning of period	$	61,092		$	14,539		$	9,170		$	100,217		$	5,540
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0			(358		)	62			(1		)	0
Asset management fees and other income	0			0			0			0			2,328
Included in other comprehensive income (loss)	(52		)	60			274			709			0
Net investment income	(2		)	(7		)	15			(16		)	0
Purchases	111,902			458			1,649			111,759			0
Sales	(110,000		)	(4		)	(31		)	(37,131		)	0
Issuances	0			0			0			0			0
Settlements	(160		)	(765		)	(678		)	(126		)	(1,500		)
Transfers into Level 3(1)	704			826			0			47,508			0
Transfers out of Level 3(1)	(7,796		)	(416		)	0			(50,719		)	0
Other(3)	0			0			0			0			12,001
Fair value, end of period	$	55,688		$	14,333		$	10,461		$	172,200		$	18,369
Unrealized gains (losses) for assets still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0		$	(357	)	$	0		$	0		$	0
Asset management fees and other income	$	0		$	0		$	0		$	0		$	2,283



	Six Months Ended June 30, 2015(4)
	Equity Securities, Available-for-Sale		Other Long- term Investments			Reinsurance Recoverables			Receivables from Parent and Affiliates			Future Policy Benefits
	(in thousands)
Fair value, beginning of period	$	750	$	596		$	4,897,545		$	19,203		$	(4,993,611	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		(155		)	(2,206,893		)	0			2,229,227
Asset management fees and other income	0		0			0			0			0
Included in other comprehensive income (loss)	103		0			0			2			0
Net investment income	0		0			0			0			0
Purchases	0		386			332,467			0			0
Sales	0		0			0			0			0
Issuances	0		0			0			0			(352,787		)
Settlements	0		0			0			0			0
Transfers into Level 3(1)	0		0			0			1,986			0
Transfers out of Level 3(1)	0		(30		)	0			(18,641		)	0
Fair value, end of period	$	853	$	797		$	3,023,119		$	2,550		$	(3,117,171	)
Unrealized gains (losses) for assets/liabilities still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	(154	)	$	(2,128,845	)	$	0		$	2,165,005
Asset management fees and other income	$	0	$	0		$	0		$	0		$	0


(1)	Transfers into or out of any level are generally reported as the value as of the beginning of the quarter in which the transfer occurs for any such assets still held at the end of the quarter.


(2)	Unrealized gains or losses related to assets still held at the end of the period do not include amortization or accretion of premiums and discounts.


(3)	Other primarily represents reclassifications of certain assets between reporting categories.


(4)	Prior period amounts have been reclassified to conform to current period presentation, including the adoption of ASU 2015-07.


(5)	Primarily related to private warrants reclassified from derivatives to trading securities.


(6)	Realized investment gains (losses) on Future Policy Benefits and Reinsurance Recoverables primarily represents the change in the fair value of the Company's living benefit guarantees on certain of its variable annuity contracts. Refer to Note 1 for impacts to Realized investments gains (losses) related to the Variable Annuities Recapture.

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation



	Three Months Ended June 30, 2016
	Fixed Maturities Available-for-Sale
	U.S. Corporate Public Securities		U.S. Corporate Private Securities			Foreign Corporate Private Securities			Asset-Backed Securities			Trading Account Assets- Equity Securities
	(in thousands)
Fair value, beginning of period	$	55,003	$	29,248		$	14,198		$	124,391		$	22,199
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		483			35			(25		)	0
Asset management fees and other income	0		0			0			0			(455		)
Included in other comprehensive income (loss)	0		800			(255		)	161			0
Net investment income	0		26			9			28			0
Purchases	0		198			54			7,184			0
Sales	0		(7,943		)	(1,950		)	(39,139		)	(4,862		)
Issuances	0		0			0			0			0
Settlements	0		(193		)	(1,722		)	(261		)	0
Transfers into Level 3(1)	0		10,281			0			24,727			0
Transfers out of Level 3(1)	0		0			0			(76,239		)	0
Fair value, end of period	$	55,003	$	32,900		$	10,369		$	40,827		$	16,882
Unrealized gains (losses) for assets still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0		$	0		$	(6	)	$	0
Asset management fees and other income	$	0	$	0		$	0		$	0		$	(1,534	)



	Three Months Ended June 30, 2016
	Equity Securities, Available-for-Sale		Other Long-term Investments			Reinsurance Recoverables		Receivables from Parent and Affiliates			Future Policy Benefits
	(in thousands)
Fair value, beginning of period	$	150	$	2,444		$	6,741,737	$	569		$	(7,098,647	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(6)	0		0			2,190,814		0			(1,360,590		)
Asset management fees and other income	0		0			0		0			0
Included in other comprehensive income (loss)	41		0			0		(14		)	0
Net investment income	0		(67		)	0		0			0
Purchases	0		102			209,161		0			0
Sales	0		0			0		1			0
Issuances	0		0			0		0			(198,018		)
Settlements	0		0			0		0			0
Transfers into Level 3(1)	0		0			0		0			0
Transfers out of Level 3(1)	0		0			0		(2,464		)	0
Other(3)	0		0			0		2,464			0
Fair value, end of period	$	191	$	2,479		$	9,141,712	$	556		$	(8,657,255	)
Unrealized gains (losses) for assets/liabilities still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0		$	7,274,811	$	0		$	(1,558,608	)
Asset management fees and other income	$	0	$	0		$	0	$	0		$	0



	Six Months Ended June 30, 2016
	Fixed Maturities Available-for-Sale
	U.S. Corporate Public Securities		U.S. Corporate Private Securities			Foreign Corporate Private Securities			Asset-Backed Securities			Trading Account Assets- Equity Securities
	(in thousands)
Fair value, beginning of period	$	55,003	$	22,716		$	17,773		$	173,347		$	18,248
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		(25		)	(159		)	(16		)	0
Asset management fees and other income	0		0			0			0			236
Included in other comprehensive income (loss)	0		(176		)	(470		)	(741		)	0
Net investment income	0		30			14			126			0
Purchases	0		407			119			7,184			0
Sales	0		(7,943		)	(1,950		)	(39,139		)	(4,862		)
Issuances	0		0			0			0			0
Settlements	0		(1,143		)	(6,545		)	(604		)	0
Transfers into Level 3(1)	0		19,034			1,587			35,643			0
Transfers out of Level 3(1)	0		0			0			(134,973		)	0
Other(5)	0		0			0			0			3,260
Fair value, end of period	$	55,003	$	32,900		$	10,369		$	40,827		$	16,882
Unrealized gains (losses) for assets still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	(508	)	$	0		$	(6	)	$	0
Asset management fees and other income	$	0	$	0		$	0		$	0		$	(842	)



	Six Months Ended June 30, 2016
	Equity Securities, Available-for-Sale		Other Long-term Investments			Reinsurance Recoverables		Receivables from Parent and Affiliates			Future Policy Benefits
	(in thousands)
Fair value, beginning of period	$	165	$	5,704		$	4,940,011	$	5,000		$	(5,205,434	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(6)	0		0			3,816,701		(13		)	(3,060,821		)
Asset management fees and other income	0		0			0		0			0
Included in other comprehensive income (loss)	26		0			0		20			0
Net investment income	0		(67		)	0		0			0
Purchases	0		102			385,000		0			0
Sales	0		0			0		(1,987		)	0
Issuances	0		0			0		0			(391,000		)
Settlements	0		0			0		0			0
Transfers into Level 3(1)	0		0			0		0			0
Transfers out of Level 3(1)	0		0			0		(2,464		)	0
Other(5)	0		(3,260		)	0		0			0
Fair value, end of period	$	191	$	2,479		$	9,141,712	$	556		$	(8,657,255	)
Unrealized gains (losses) for assets/liabilities still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0		$	8,136,702	$	0		$	(3,451,821	)
Asset management fees and other income	$	0	$	0		$	0	$	0		$	0



	Three Months Ended June 30, 2015(4)
	Fixed Maturities Available-for-Sale
	U.S. Corporate Public Securities			U.S. Corporate Private Securities			Foreign Corporate Private Securities		Asset-Backed Securities			Trading Account Assets- Equity Securities
	(in thousands)
Fair value, beginning of period	$	63,501		$	14,812		$	8,602	$	201,051		$	18,369
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0			(358		)	0		(3		)	0
Asset management fees and other income	0			0			0		0			0
Included in other comprehensive income (loss)	(8		)	337			391		179			0
Net investment income	0			5			7		(8		)	0
Purchases	54,999			209			1,461		38,129			0
Sales	(55,000		)	(2		)	0		(37,131		)	0
Issuances	0			0			0		0			0
Settlements	(8		)	(254		)	0		(54		)	0
Transfers into Level 3(1)	0			0			0		2,710			0
Transfers out of Level 3(1)	(7,796		)	(416		)	0		(32,673		)	0
Fair value, end of period	$	55,688		$	14,333		$	10,461	$	172,200		$	18,369
Unrealized gains (losses) for assets still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0		$	(357	)	$	0	$	0		$	0
Asset management fees and other income	$	0		$	0		$	0	$	0		$	0



	Three Months Ended June 30, 2015(4)
	Equity Securities, Available-for-Sale		Other Long- term Investments			Reinsurance Recoverables			Receivables from Parent and Affiliates			Future Policy Benefits
	(in thousands)
Fair value, beginning of period	$	747	$	617		$	5,822,107		$	21,169		$	(5,944,815	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		(206		)	(2,966,250		)	0			3,005,834
Asset management fees and other income	0		0			0			0			0
Included in other comprehensive income (loss)	106		0			0			23			0
Net investment income	0		0			0			0			0
Purchases	0		386			167,262			0			0
Sales	0		0			0			0			0
Issuances	0		0			0			0			(178,190		)
Settlements	0		0			0			0			0
Transfers into Level 3(1)	0		0			0			0			0
Transfers out of Level 3(1)	0		0			0			(18,642		)	0
Fair value, end of period	$	853	$	797		$	3,023,119		$	2,550		$	(3,117,171	)
Unrealized gains (losses) for assets/liabilities still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	(206	)	$	(2,917,452	)	$	0		$	2,974,092
Asset management fees and other income	$	0	$	0		$	0		$	0		$	0



	Six Months Ended June 30, 2015(4)
	Fixed Maturities Available-for-Sale
	U.S. Corporate Public Securities			U.S. Corporate Private Securities			Foreign Corporate Private Securities			Asset-Backed Securities			Trading Account Assets- Equity Securities
	(in thousands)
Fair value, beginning of period	$	61,092		$	14,539		$	9,170		$	100,217		$	5,540
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0			(358		)	62			(1		)	0
Asset management fees and other income	0			0			0			0			2,328
Included in other comprehensive income (loss)	(52		)	60			274			709			0
Net investment income	(2		)	(7		)	15			(16		)	0
Purchases	111,902			458			1,649			111,759			0
Sales	(110,000		)	(4		)	(31		)	(37,131		)	0
Issuances	0			0			0			0			0
Settlements	(160		)	(765		)	(678		)	(126		)	(1,500		)
Transfers into Level 3(1)	704			826			0			47,508			0
Transfers out of Level 3(1)	(7,796		)	(416		)	0			(50,719		)	0
Other(3)	0			0			0			0			12,001
Fair value, end of period	$	55,688		$	14,333		$	10,461		$	172,200		$	18,369
Unrealized gains (losses) for assets still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0		$	(357	)	$	0		$	0		$	0
Asset management fees and other income	$	0		$	0		$	0		$	0		$	2,283



	Six Months Ended June 30, 2015(4)
	Equity Securities, Available-for-Sale		Other Long- term Investments			Reinsurance Recoverables			Receivables from Parent and Affiliates			Future Policy Benefits
	(in thousands)
Fair value, beginning of period	$	750	$	596		$	4,897,545		$	19,203		$	(4,993,611	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		(155		)	(2,206,893		)	0			2,229,227
Asset management fees and other income	0		0			0			0			0
Included in other comprehensive income (loss)	103		0			0			2			0
Net investment income	0		0			0			0			0
Purchases	0		386			332,467			0			0
Sales	0		0			0			0			0
Issuances	0		0			0			0			(352,787		)
Settlements	0		0			0			0			0
Transfers into Level 3(1)	0		0			0			1,986			0
Transfers out of Level 3(1)	0		(30		)	0			(18,641		)	0
Fair value, end of period	$	853	$	797		$	3,023,119		$	2,550		$	(3,117,171	)
Unrealized gains (losses) for assets/liabilities still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	(154	)	$	(2,128,845	)	$	0		$	2,165,005
Asset management fees and other income	$	0	$	0		$	0		$	0		$	0


(1)	Transfers into or out of any level are generally reported as the value as of the beginning of the quarter in which the transfer occurs for any such assets still held at the end of the quarter.


(2)	Unrealized gains or losses related to assets still held at the end of the period do not include amortization or accretion of premiums and discounts.


(3)	Other primarily represents reclassifications of certain assets between reporting categories.


(4)	Prior period amounts have been reclassified to conform to current period presentation, including the adoption of ASU 2015-07.


(5)	Primarily related to private warrants reclassified from derivatives to trading securities.


(6)	Realized investment gains (losses) on Future Policy Benefits and Reinsurance Recoverables primarily represents the change in the fair value of the Company's living benefit guarantees on certain of its variable annuity contracts. Refer to Note 1 for impacts to Realized investments gains (losses) related to the Variable Annuities Recapture.

Fair Value Disclosure Financial Instruments Not Carried at Fair Value

The table below presents the carrying amount and fair value by fair value hierarchy level of certain financial instruments that are not reported at fair value. The financial instruments presented below are reported at carrying value on the Company’s Unaudited Interim Consolidated Statements of Financial Position; however, in some cases, as described below, the carrying amount equals or approximates fair value.



	June 30, 2016(1)
	Fair Value								Carrying Amount(2)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	0	$	1,088,880	$	1,088,880	$	1,023,427
Policy loans	0		0		1,153,528		1,153,528		1,153,528
Short-term investments	0		5,000		0		5,000		5,000
Cash and cash equivalents	26,552		106,000		0		132,552		132,552
Accrued investment income	0		81,079		0		81,079		81,079
Receivables from parent and affiliates	0		82,157		0		82,157		82,157
Other assets	0		28,108		0		28,108		28,108
Total assets	$	26,552	$	302,344	$	2,242,408	$	2,571,304	$	2,505,851
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	1,019,421	$	249,799	$	1,269,220	$	1,270,490
Cash collateral for loaned securities	0		156,688		0		156,688		156,688
Payables to parent and affiliates	0		55,568		0		55,568		55,568
Other liabilities	0		252,619		0		252,619		252,619
Total liabilities	$	0	$	1,484,296	$	249,799	$	1,734,095	$	1,735,365



	December 31, 2015(1)
	Fair Value								Carrying Amount(2)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	8,540	$	1,701,951	$	1,710,491	$	1,658,235
Policy loans	0		0		1,143,303		1,143,303		1,143,303
Cash and cash equivalents	19,297		156,064		0		175,361		175,361
Accrued investment income	0		100,031		0		100,031		100,031
Receivables from parent and affiliates	0		65,628		0		65,628		65,628
Other assets	0		6,162		0		6,162		6,162
Total assets	$	19,297	$	336,425	$	2,845,254	$	3,200,976	$	3,148,720
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	947,853	$	236,891	$	1,184,744	$	1,190,596
Cash collateral for loaned securities	0		40,416		0		40,416		40,416
Short-term debt	0		180,105		0		180,105		180,000
Long-term debt	0		1,227,110		0		1,227,110		1,204,000
Payables to parent and affiliates	0		72,791		0		72,791		72,791
Other liabilities	0		343,089		0		343,089		343,089
Total liabilities	$	0	$	2,811,364	$	236,891	$	3,048,255	$	3,030,892

(1)

As discussed in Note 2, the Company adopted ASU 2015-07, effective January 1, 2016, which resulted in the exclusion of certain other long-term investments from the fair value hierarchy. The guidance was required to be applied retrospectively, and therefore, prior period amounts have been revised to conform to the current period presentation. At June 30, 2016 and December 31, 2015, the fair values of these cost method investments were $32 million and $27 million, respectively, which had been previously classified in Level 3 at December 31, 2015. The carrying values of these investments were $30 million and $26 million as of June 30, 2016 and December 31, 2015, respectively.

(2)

Carrying values presented herein differ from those in the Company’s Unaudited Interim Consolidated Statements of Financial Position because certain items within the respective financial statement captions are not considered financial instruments or out of scope under authoritative guidance relating to disclosures of the fair value of financial instruments. Financial statement captions excluded from the above table are not considered financial instruments.