FAIR VALUE OF ASSETS AND LIABILITIES

Fair Value Measurement - Fair value represents the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The authoritative fair value guidance establishes a framework for measuring fair value that includes a hierarchy used to classify the inputs used in measuring fair value. The level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement. The levels of the fair value hierarchy are as follows:

Level 1 – Fair value is based on unadjusted quoted prices in active markets that are accessible to the Company for identical assets or liabilities.

Level 2 – Fair value is based on significant inputs, other than quoted prices included in Level 1, that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the asset or liability through corroboration with observable market data. Level 2 inputs include quoted market prices in active markets for similar assets and liabilities, quoted market prices in markets that are not active for identical or similar assets or liabilities, and other market observable inputs.

Level 3 – Fair value is based on at least one significant unobservable input for the asset or liability. The assets and liabilities in this category may require significant judgment or estimation in determining the fair value.

For a discussion of the Company's valuation methodologies for assets and liabilities measured at fair value and the fair value hierarchy, see Note 9 to the Consolidated Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2016.

Assets and Liabilities by Hierarchy Level – The tables below present the balances of assets and liabilities reported at fair value on a recurring basis, as of the dates indicated.



	As of June 30, 2017
	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	$	89,103	$	11,552	$	0		$	100,655
Obligations of U.S. states and their political subdivisions	0		712,243		0		0			712,243
Foreign government bonds	0		118,948		0		0			118,948
U.S. corporate public securities	0		2,500,391		1,255		0			2,501,646
U.S. corporate private securities	0		887,009		31,035		0			918,044
Foreign corporate public securities	0		211,097		0		0			211,097
Foreign corporate private securities	0		745,226		13,085		0			758,311
Asset-backed securities(4)	0		47,500		68,350		0			115,850
Commercial mortgage-backed securities	0		345,375		0		0			345,375
Residential mortgage-backed securities	0		79,381		0		0			79,381
Subtotal	0		5,736,273		125,277		0			5,861,550
Trading account assets:
Corporate securities	0		21,347		0		0			21,347
Asset-backed securities(4)	0		302		0		0			302
Equity securities	0		0		17,307		0			17,307
Subtotal	0		21,649		17,307		0			38,956
Equity securities, available-for-sale	58		22,342		43		0			22,443
Short-term investments	10,000		4,004		0		0			14,004
Cash equivalents	16,387		1,995		0		0			18,382
Other long-term investments(5)	0		88,167		0		(27,088		)	61,079
Reinsurance recoverables	0		0		7,192,057		0			7,192,057
Receivables from parent and affiliates	0		138,317		0		0			138,317
Subtotal excluding separate account assets	26,445		6,012,747		7,334,684		(27,088		)	13,346,788
Separate account assets(2)(6)	0		122,443,958		0		0			122,443,958
Total assets	$	26,445	$	128,456,705	$	7,334,684	$	(27,088	)	$	135,790,746
Future policy benefits(3)	$	0	$	0	$	6,424,559	$	0		$	6,424,559
Policyholders' account balances	0		0		31,978		0			31,978
Payables to parent and affiliates	0		26,967		0		(26,967		)	0
Total liabilities	$	0	$	26,967	$	6,456,537	$	(26,967	)	$	6,456,537



	As of December 31, 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	$	160,740	$	0	$	0		$	160,740
Obligations of U.S. states and their political subdivisions	0		626,486		0		0			626,486
Foreign government bonds	0		108,782		0		0			108,782
U.S. corporate public securities	0		2,306,409		55,109		0			2,361,518
U.S. corporate private securities	0		851,585		32,699		0			884,284
Foreign corporate public securities	0		221,848		0		0			221,848
Foreign corporate private securities	0		584,268		14,748		0			599,016
Asset-backed securities(4)	0		169,160		19,856		0			189,016
Commercial mortgage-backed securities	0		382,671		0		0			382,671
Residential mortgage-backed securities	0		83,188		0		0			83,188
Subtotal	0		5,495,137		122,412		0			5,617,549
Trading account assets:
Corporate securities	0		19,256		0		0			19,256
Asset-backed securities(4)	0		302		0		0			302
Equity securities	0		0		15,770		0			15,770
Subtotal	0		19,558		15,770		0			35,328
Equity securities, available-for-sale	41		16,640		75		0			16,756
Short-term investments	31,007		5,650		0		0			36,657
Cash equivalents	5,644		1,998		0		0			7,642
Other long-term investments(5)	0		90,884		0		(13,019		)	77,865
Reinsurance recoverables	0		0		5,474,263		0			5,474,263
Receivables from parent and affiliates	0		131,144		6,493		0			137,637
Subtotal excluding separate account assets	36,692		5,761,011		5,619,013		(13,019		)	11,403,697
Separate account assets(2)(6)	0		116,040,888		0		0			116,040,888
Total assets	$	36,692	$	121,801,899	$	5,619,013	$	(13,019	)	$	127,444,585
Future policy benefits(3)	$	0	$	0	$	5,041,007	$	0		$	5,041,007
Policyholders' account balances	0		0		20,337		0			20,337
Payables to parent and affiliates	0		12,854		0		(12,854		)	0
Total liabilities	$	0	$	12,854	$	5,061,344	$	(12,854	)	$	5,061,344


(1)	“Netting” amounts represent cash collateral of $0.1 million and $0.2 million as of June 30, 2017 and December 31, 2016, 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, 2017, the net embedded derivative liability position of $6,425 million includes $467 million of embedded derivatives in an asset position and $6,892 million of embedded derivatives in a liability position. As of December 31, 2016, the net embedded derivative liability position of $5,041 million includes $1,157 million of embedded derivatives in an asset position and $6,198 million of embedded derivatives in a liability position.


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


(5)	Other long-term investments excluded from the fair value hierarchy include certain hedge funds, private equity funds and other funds for which fair value is measured at net asset value ("NAV") per share (or its equivalent) as a practical expedient. At June 30, 2017 and December 31, 2016, the fair values of such investments were $0.8 million and $0.9 million, respectively.


(6)	Separate account assets excluded from the fair value hierarchy, include investments in real estate and hedge funds, for which fair value is measured at NAV per share (or its equivalent) as a practical expedient. At June 30, 2017 and December 31, 2016, the fair values of such investments were $713 million and $566 million, respectively.

Transfers between Levels 1 and 2 – Transfers between levels are made to reflect changes in observability of inputs and market activity. Transfers into or out of any level are generally reported as the value as of the beginning of the quarter in which the transfers occur for any such assets still held at the end of the quarter. Periodically there are transfers between Level 1 and Level 2 for assets held in the Company’s Separate Account. During both the three and six months ended June 30, 2017 and 2016, there were no transfers between Level 1 and Level 2.

Quantitative Information Regarding Internally Priced Level 3 Assets and Liabilities – The tables below present quantitative information on significant internally-priced Level 3 assets and liabilities.



	As of June 30, 2017
	Fair Value		Primary Valuation Techniques	Unobservable Inputs	Minimum			Maximum			Weighted Average		Impact of Increase in Input on Fair Value(1)
	(in thousands)
Assets:
Corporate securities(12)	$	44,122	Discounted cash flow	Discount rate	1.35	%		14.77	%		7.51	%	Decrease
Reinsurance recoverables - Living Benefits	$	6,431,955	Fair values are determined in the same manner as future policy benefits
Reinsurance recoverables - No Lapse Guarantee	$	760,102	Discounted cash flow	Lapse rate (3)	0	%		7	%				Decrease
				NPR spread (4)	0.11	%		0.99	%				Decrease
				Mortality rate (5)	0	%		33	%				Decrease
				Premium payment (6)	0.58		X	0.90		X			Decrease
Liabilities:
Future policy benefits(7)	$	6,424,559	Discounted cash flow	Lapse rate (8)	1	%		12	%				Decrease
				NPR spread (4)	0.11	%		0.99	%				Decrease
				Utilization rate (9)	52	%		97	%				Increase
				Withdrawal rate	See table footnote (10) below
				Mortality rate (11)	0	%		14	%				Decrease
				Equity volatility curve	14	%		24	%				Increase



	As of December 31, 2016
	Fair Value		Primary Valuation Techniques	Unobservable Inputs	Minimum			Maximum			Weighted Average			Impact of Increase in Input on Fair Value(1)
	(in thousands)
Assets:
Corporate securities(12)	$	45,715	Discounted cash flow	Discount rate	4.54	%		15.00	%		8.06	%		Decrease
			Market comparables	EBITDA multiples(2)	4.0		X	4.0		X	4.0		X	Increase
			Liquidation	Liquidation value	98.21	%		98.21	%		98.21	%		Increase
Reinsurance recoverables - Living Benefits	$	5,041,262	Fair values are determined in the same manner as future policy benefits
Reinsurance recoverables - No Lapse Guarantee	$	433,001	Discounted cash flow	Lapse rate(3)	0	%		12	%					Decrease
				NPR spread(4)	0.25	%		1.50	%					Decrease
				Mortality rate(5)	0	%		31	%					Decrease
				Premium payment(6)	0.65		X	0.95		X				Decrease
Liabilities:
Future policy benefits(7)	$	5,041,007	Discounted cash flow	Lapse rate(8)	0	%		13	%					Decrease
				NPR spread(4)	0.25	%		1.50	%					Decrease
				Utilization rate(9)	52	%		96	%					Increase
				Withdrawal rate	See table footnote (10) below.
				Mortality rate(11)	0	%		14	%					Decrease
				Equity volatility curve	16	%		25	%					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, 2017 excludes multiples for the first duration since all contracts are beyond the first duration. Assumption ranges for prior periods include first duration multiples.

(7)

Future policy benefits primarily represent general account liabilities for the living benefit guarantees 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, 2017 and December 31, 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.

Interrelationships Between Unobservable Inputs – In addition to the sensitivities of fair value measurements to changes in each unobservable input in isolation, as reflected in the table above, interrelationships between these inputs may also exist, such that a change in one unobservable input may give rise to a change in another, or multiple, inputs. For discussion of the relationships between unobservable inputs as well as market factors that may affect the range of inputs used in the valuation of Level 3 assets and liabilities, see Note 9 to the Consolidated Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2016.

Changes in Level 3 assets and liabilities – 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. When a determination is made to classify assets and liabilities within Level 3, the determination is based on the significance of the unobservable inputs in the overall fair value measurement. Transfers into Level 3 are generally the result of unobservable inputs utilized within the valuation methodologies and the use of indicative broker quotes for assets that were previously valued using observable inputs. Transfers out of Level 3 are generally due to the use of observable inputs in valuation methodologies as well as the availability of pricing service information for certain assets that the Company can validate. For further information on valuation processes, see Note 9 to the Consolidated Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2016.



	Three Months Ended June 30, 2017
	Fixed Maturities, Available-for-Sale
	U.S. Treasury Securities and obligations of U.S. government authorities and agencies		U.S. Corporate Public Securities			U.S. Corporate Private Securities			Foreign Corporate Private Securities			Asset-Backed Securities(4)			Trading Account Assets-Equity Securities
	(in thousands)
Fair value, beginning of period	$	3,595	$	1,160		$	32,507		$	15,149		$	88,343		$	17,190
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		1			(844		)	(41		)	4,048			0
Asset management fees and other income	0		0			0			0			0			117
Included in other comprehensive income (loss)	0		(19		)	328			736			(3,715		)	0
Net investment income	0		0			78			(22		)	52			0
Purchases	7,957		0			5,813			54			24,642			0
Sales	0		0			(767		)	0			(7,471		)	0
Issuances	0		0			0			0			0			0
Settlements	0		(54		)	(6,080		)	(1,001		)	(42,671		)	0
Transfers into Level 3(1)	0		167			0			0			7,869			0
Transfers out of Level 3(1)	0		0			0			(1,790		)	(2,747		)	0
Other(3)	0		0			0			0			0			0
Fair value, end of period	$	11,552	$	1,255		$	31,035		$	13,085		$	68,350		$	17,307
Unrealized gains (losses) for assets still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0		$	(1,046	)	$	0		$	0		$	0
Asset management fees and other income	$	0	$	0		$	0		$	0		$	0		$	755



	Three Months Ended June 30, 2017
	Equity Securities, Available-for-Sale			Other Long-term Investments			Reinsurance Recoverables		Receivables from Parent and Affiliates		Future Policy Benefits			Policyholders' Account Balances
	(in thousands)
Fair value, beginning of period	$	82		$	19		$	5,080,379	$	0	$	(4,632,555	)	$	(24,867	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(5)	0			(11		)	1,882,119		0		(1,574,107		)	(6,129		)
Asset management fees and other income	0			0			0		0		0			0
Included in other comprehensive income (loss)	(39		)	0			0		0		0			0
Net investment income	0			0			0		0		0			0
Purchases	0			0			229,559		0		0			0
Sales	0			0			0		0		0			0
Issuances	0			0			0		0		(217,897		)	0
Settlements	0			0			0		0		0			(982		)
Transfers into Level 3(1)	0			0			0		0		0			0
Transfers out of Level 3(1)	0			(8		)	0		0		0			0
Other	0			0			0		0		0			0
Fair value, end of period	$	43		$	0		$	7,192,057	$	0	$	(6,424,559	)	$	(31,978	)
Unrealized gains (losses) for assets/liabilities still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0		$	0		$	1,910,290	$	0	$	(1,612,030	)	$	(6,129	)
Asset management fees and other income	$	0		$	0		$	0	$	0	$	0		$	0



	Six Months Ended June 30, 2017
	Fixed Maturities, Available-for-Sale
	U.S. Treasury Securities and obligations of U.S. government authorities and agencies		U.S. Corporate Public Securities			U.S. Corporate Private Securities			Foreign Corporate Private Securities			Asset-Backed Securities(4)			Trading Account Assets- Equity Securities
	(in thousands)
Fair value, beginning of period	$	0	$	55,109		$	32,699		$	14,748		$	19,856		$	15,770
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		1			(430		)	(103		)	4,048			0
Asset management fees and other income	0		0			0			0			0			1,537
Included in other comprehensive income (loss)	0		(11		)	351			1,158			(3,642		)	0
Net investment income	0		0			102			(43		)	88			0
Purchases	7,982		0			11,709			116			28,642			0
Sales	0		(51,430		)	(767		)	0			(7,471		)	0
Issuances	0		0			0			0			0			0
Settlements	0		(416		)	(11,236		)	(1,001		)	(42,800		)	0
Transfers into Level 3(1)	0		1,639			342			0			72,376			0
Transfers out of Level 3(1)	0		(67		)	(1,735		)	(1,790		)	(2,747		)	0
Other(3)	3,570		(3,570		)	0			0			0			0
Fair value, end of period	$	11,552	$	1,255		$	31,035		$	13,085		$	68,350		$	17,307
Unrealized gains (losses) for assets still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0		$	(1,046	)	$	(62	)	$	0		$	0
Asset management fees and other income	$	0	$	0		$	0		$	0		$	0		$	2,175



	Six Months Ended June 30, 2017
	Equity Securities, Available-for-Sale			Other Long-term Investments			Reinsurance Recoverables		Receivables from Parent and Affiliates			Future Policy Benefits			Policyholders' Account Balances
	(in thousands)
Fair value, beginning of period	$	75		$	0		$	5,474,263	$	6,493		$	(5,041,007	)	$	(20,337	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(5)	0			0			1,261,888		0			(950,914		)	(12,136		)
Asset management fees and other income	0			0			0		0			0			0
Included in other comprehensive income (loss)	(32		)	0			0		0			0			0
Net investment income	0			0			0		0			0			0
Purchases	0			0			455,906		0			0			0
Sales	0			0			0		0			0			0
Issuances	0			0			0		0			(432,638		)	0
Settlements	0			0			0		0			0			495
Transfers into Level 3(1)	0			8			0		0			0			0
Transfers out of Level 3(1)	0			(8		)	0		(6,493		)	0			0
Other	0			0			0		0			0			0
Fair value, end of period	$	43		$	0		$	7,192,057	$	0		$	(6,424,559	)	$	(31,978	)
Unrealized gains (losses) for assets/liabilities still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0		$	0		$	1,336,267	$	0		$	(1,025,038	)	$	(12,136	)
Asset management fees and other income	$	0		$	0		$	0	$	0		$	0		$	0



			Three Months Ended June 30, 2016
			Fixed Maturities, Available-for-Sale
	U.S. Treasury Securities and obligations of U.S. government authorities and agencies		U.S. Corporate Public Securities		U.S. Corporate Private Securities			Foreign Corporate Private Securities			Asset-Backed Securities(4)			Trading Account Assets - Equity Securities
			(in thousands)
Fair value, beginning of period	$	0	$	55,003	$	29,248		$	14,198		$	124,391		$	22,199
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		0		483			35			(25		)	0
Asset management fees and other income	0		0		0			0			0			(455		)
Included in other comprehensive income (loss)	0		0		800			(255		)	161			0
Net investment income	0		0		26			9			28			0
Purchases	0		0		198			54			7,184			0
Sales	0		0		(7,943		)	(1,950		)	(39,139		)	(4,862		)
Issuances	0		0		0			0			0			0
Settlements	0		0		(193		)	(1,722		)	(261		)	0
Transfers into Level 3(1)	0		0		10,281			0			24,727			0
Transfers out of Level 3(1)	0		0		0			0			(76,239		)	0
Other(3)	0		0		0			0			0			0
Fair value, end of period	$	0	$	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		$	0		$	(6	)	$	0
Asset management fees and other income	$	0	$	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(5)	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. Treasury Securities and obligations of U.S. government authorities and agencies		U.S. Corporate Public Securities		U.S. Corporate Private Securities			Foreign Corporate Private Securities			Asset-Backed Securities(4)			Trading Account Assets - Equity Securities
	(in thousands)
Fair value, beginning of period	$	0	$	55,003	$	22,716		$	17,773		$	173,347		$	18,248
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		0		(25		)	(159		)	(16		)	0
Asset management fees and other income	0		0		0			0			0			236
Included in other comprehensive income (loss)	0		0		(176		)	(470		)	(741		)	0
Net investment income	0		0		30			14			126			0
Purchases	0		0		407			119			7,184			0
Sales	0		0		(7,943		)	(1,950		)	(39,139		)	(4,862		)
Issuances	0		0		0			0			0			0
Settlements	0		0		(1,143		)	(6,545		)	(604		)	0
Transfers into Level 3(1)	0		0		19,034			1,587			35,643			0
Transfers out of Level 3(1)	0		0		0			0			(134,973		)	0
Other(3)			0		0			0			0			3,260
Fair value, end of period	$	0	$	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	$	(508	)	$	0		$	(6	)	$	0
Asset management fees and other income	$	0	$	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(5)	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(3)	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


(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 and liabilities between reporting categories.


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


(5)	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 investment gains (losses) related to the Variable Annuities Recapture for the three and six months ended June 30, 2016.

Fair Value of Financial Instruments

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. For additional information regarding the methods and significant assumptions used to estimate their fair value, see Note 9 to the Consolidated Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2016.



	June 30, 2017(1)
	Fair Value								Carrying Amount(2)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	0	$	1,254,809	$	1,254,809	$	1,211,936
Policy loans	0		0		1,173,325		1,173,325		1,173,325
Cash and cash equivalents	38,440		0		50,000		88,440		88,440
Accrued investment income	0		88,418		0		88,418		88,418
Receivables from parent and affiliates	0		153,862		0		153,862		153,862
Other assets	0		35,121		0		35,121		35,121
Total assets	$	38,440	$	277,401	$	2,478,134	$	2,793,975	$	2,751,102
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	1,147,613	$	269,001	$	1,416,614	$	1,417,407
Securities sold under agreements to repurchase	0		0		0		0		0
Cash collateral for loaned securities	0		51,489		0		51,489		51,489
Short-term debt to affiliates	0		35,951		0		35,951		35,951
Payables to parent and affiliates	0		119,628		0		119,628		119,628
Other liabilities	0		217,274		0		217,274		217,274
Total liabilities	$	0	$	1,571,955	$	269,001	$	1,840,956	$	1,841,749



	December 31, 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	$	1,181,582	$	1,181,582	$	1,150,381
Policy loans	0		0		1,166,456		1,166,456		1,166,456
Cash and cash equivalents	30,149		58,366		0		88,515		88,515
Accrued investment income	0		87,322		0		87,322		87,322
Receivables from parent and affiliates	0		76,315		0		76,315		76,315
Other assets	0		37,969		0		37,969		37,969
Total assets	$	30,149	$	259,972	$	2,348,038	$	2,638,159	$	2,606,958
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	1,129,378	$	253,007	$	1,382,385	$	1,386,099
Securities sold under agreements to repurchase	0		68,904		0		68,904		68,904
Cash collateral for loaned securities	0		74,976		0		74,976		74,976
Short-term debt to affiliates	0		0		0		0		0
Payables to parent and affiliates	0		73,628		0		73,628		73,628
Other liabilities	0		305,969		0		305,969		305,969
Total liabilities	$	0	$	1,652,855	$	253,007	$	1,905,862	$	1,909,576

(1)

Other long-term investments excluded from the fair value hierarchy include certain hedge funds, private equity funds and other funds for which fair value is measured at NAV per share (or its equivalent) as a practical expedient. At June 30, 2017 and December 31, 2016, the fair values of these cost method investments were $45 million and $35 million, respectively. The carrying value of these investments were $39 million and $32 million as of June 30, 2017 and December 31, 2016, 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.