Fair Value of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 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.



	As of March 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	$	18,406	$	0	$	0		$	18,406
Obligations of U.S. states and their political subdivisions	0		24,587		0		0			24,587
Foreign government bonds	0		49,647		0		0			49,647
U.S. corporate public securities	0		931,933		15,000		0			946,933
U.S. corporate private securities	0		527,850		116,844		0			644,694
Foreign corporate public securities	0		147,034		0		0			147,034
Foreign corporate private securities	0		235,364		8,989		0			244,353
Asset-backed securities	0		99,809		62,719		0			162,528
Commercial mortgage-backed securities	0		285,103		0		0			285,103
Residential mortgage-backed securities	0		130,423		0		0			130,423
Sub total	0		2,450,156		203,552		0			2,653,708
Trading account assets:
Equity securities	5,295		0		2,036		0			7,331
Sub total	5,295		0		2,036		0			7,331
Equity securities, available-for-sale			18		0		0			18
Short-term investments	0		314		450		0			764
Cash equivalents	12,604		73,896		375		0			86,875
Other long-term investments	0		191,853		0		(38,525		)	153,328
Reinsurance recoverables	0		0		3,693,262		0			3,693,262
Receivables from parent and affiliates	0		32,522		2,847		0			35,369
Sub total excluding separate account assets	17,899		2,748,759		3,902,522		(38,525		)	6,630,655
Separate account assets(2)	0		38,392,917		0		0			38,392,917
Total assets	$	17,899	$	41,141,676	$	3,902,522	$	(38,525	)	$	45,023,572
Future policy benefits(3)	$	0	$	0	$	3,842,607	$	0		$	3,842,607
Payables to parent and affiliates	0		52,818		0		(52,818		)	0
Total liabilities	$	0	$	52,818	$	3,842,607	$	(52,818	)	$	3,842,607



	As of 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	$	12,154	$	0	$	0		$	12,154
Obligations of U.S. states and their political subdivisions	0		20,212		0		0			20,212
Foreign government securities	0		49,283		0		0			49,283
U.S. corporate public securities	0		934,109		15,000		0			949,109
U.S. corporate private securities	0		523,298		107,777		0			631,075
Foreign corporate public securities	0		136,222		0		0			136,222
Foreign corporate private securities	0		220,818		4,531		0			225,349
Asset-backed securities	0		104,797		46,493		0			151,290
Commercial mortgage-backed securities	0		215,740		0		0			215,740
Residential mortgage-backed securities	0		133,838		0		0			133,838
Sub total	0		2,350,471		173,801		0			2,524,272
Trading account assets:
Equity securities	5,653		0		0		0			5,653
Sub total	5,653		0		0		0			5,653
Equity securities, available-for-sale	0		17		0		0			17
Short-term investments	157,257		520		450		0			158,227
Cash equivalents	0		0		225		0			225
Other long-term investments(4)	0		135,209		1,565		(21,508		)	115,266
Reinsurance recoverables	0		0		3,012,653		0			3,012,653
Receivables from parent and affiliates	0		29,676		7,664		0			37,340
Sub total excluding separate account assets	162,910		2,515,893		3,196,358		(21,508		)	5,853,653
Separate account assets(2)	0		39,250,159		0		0			39,250,159
Total assets	$	162,910	$	41,766,052	$	3,196,358	$	(21,508	)	$	45,103,812
Future policy benefits(3)	$	0	$	0	$	3,134,077	$	0		$	3,134,077
Payables to parent and affiliates	0		25,277		0		(25,277		)	0
Total liabilities	$	0	$	25,277	$	3,134,077	$	(25,277	)	$	3,134,077


(1)	“Netting” amounts represent cash collateral of $(14.3) million and $(3.8) million as of March 31, 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 Statements of Financial Position.

(3)

As of March 31, 2016, the net embedded derivative liability position of $3,843 million includes $19 million of embedded derivatives in an asset position and $3,862 million of embedded derivatives in a liability position. As of December 31, 2015, the net embedded derivative liability position of $3,134 million includes $34 million of embedded derivatives in an asset position and $3,168 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.



	As of March 31, 2016
	Internal (1)		External (2)		Total
	(in thousands)
Corporate securities(3)	$	124,818	$	16,015	$	140,833
Asset-backed securities(4)	0		62,719		62,719
Trading account assets:
Equity securities	2,036		0		2,036
Short-term investments	450		0		450
Cash equivalents	375		0		375
Reinsurance recoverables	3,693,262		0		3,693,262
Receivables from parent and affiliates	0		2,847		2,847
Total assets	$	3,820,941	$	81,581	$	3,902,522
Future policy benefits	$	3,842,607	$	0	$	3,842,607
Total liabilities	$	3,842,607	$	0	$	3,842,607



	As of December 31, 2015
	Internal (1)		External (2)		Total
	(in thousands)
Corporate securities(3)	$	111,295	$	16,013	$	127,308
Asset-backed securities(4)	0		46,493		46,493
Short-term investments	450		0		450
Cash equivalents	225		0		225
Other long-term investments(5)	1,565		0		1,565
Reinsurance recoverables	3,012,653		0		3,012,653
Receivables from parent and affiliates	0		7,664		7,664
Total assets	$	3,126,188	$	70,170	$	3,196,358
Future policy benefits	$	3,134,077	$	0	$	3,134,077
Total liabilities	$	3,134,077	$	0	$	3,134,077


(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.



	As of March 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	$	124,818	Discounted cash flow	Discount rate	3.38	%	20.38	%	4.97	%	Decrease
Reinsurance recoverables	$	3,693,262	Fair values are determined in the same manner as future policy benefits
Liabilities:
Future policy benefits (2)	$	3,842,607	Discounted cash flow	Lapse rate (3)	0	%	14	%			Decrease
				NPR spread (4)	0.44	%	2.07	%			Decrease
				Utilization rate (5)	63	%	95	%			Increase
				Withdrawal rate (6)	74	%	100	%			Increase
				Mortality rate (7)	0	%	14	%			Decrease
				Equity volatility curve	16	%	28	%			Increase



	As of December 31, 2015
	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	$	111,295	Discounted cash flow	Discount rate	3.71	%	17.95	%	4.43	%	Decrease
Reinsurance recoverables	$	3,012,653	Fair values are determined in the same manner as future policy benefits
Liabilities:
Future policy benefits (2)	$	3,134,077	Discounted cash flow	Lapse rate (3)	0	%	14	%			Decrease
				NPR spread (4)	0.06	%	1.76	%			Decrease
				Utilization rate (5)	63	%	95	%			Increase
				Withdrawal rate (6)	74	%	100	%			Increase
				Mortality rate (7)	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)

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.


(3)	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.

(4)

To reflect NPR, the Company incorporates an additional spread over LIBOR into the discount rate used in the valuation of individual living benefit 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)

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.


(6)	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 product type, contractholder age, tax status and withdrawal timing. The fair value of the liability will generally increase the closer the withdrawal rate is to 100%.

(7)

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.

Fair Value Inputs, Liabilities, Quantitative Information

The tables below present quantitative information on significant internally-priced Level 3 assets and liabilities.



	As of March 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	$	124,818	Discounted cash flow	Discount rate	3.38	%	20.38	%	4.97	%	Decrease
Reinsurance recoverables	$	3,693,262	Fair values are determined in the same manner as future policy benefits
Liabilities:
Future policy benefits (2)	$	3,842,607	Discounted cash flow	Lapse rate (3)	0	%	14	%			Decrease
				NPR spread (4)	0.44	%	2.07	%			Decrease
				Utilization rate (5)	63	%	95	%			Increase
				Withdrawal rate (6)	74	%	100	%			Increase
				Mortality rate (7)	0	%	14	%			Decrease
				Equity volatility curve	16	%	28	%			Increase



	As of December 31, 2015
	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	$	111,295	Discounted cash flow	Discount rate	3.71	%	17.95	%	4.43	%	Decrease
Reinsurance recoverables	$	3,012,653	Fair values are determined in the same manner as future policy benefits
Liabilities:
Future policy benefits (2)	$	3,134,077	Discounted cash flow	Lapse rate (3)	0	%	14	%			Decrease
				NPR spread (4)	0.06	%	1.76	%			Decrease
				Utilization rate (5)	63	%	95	%			Increase
				Withdrawal rate (6)	74	%	100	%			Increase
				Mortality rate (7)	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)


(3)	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.

(4)

(5)


(6)	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 product type, contractholder age, tax status and withdrawal timing. The fair value of the liability will generally increase the closer the withdrawal rate is to 100%.

(7)

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 March 31, 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		Short-Term Investments
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	15,000	$	107,777		$	4,531		$	46,493		$	0	$	450
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		(962		)	0			0			0		0
Asset management fees and other income	0		0			0			0			471		0
Included in other comprehensive income (loss)	0		(1,437		)	(2,538		)	(225		)	0		0
Net investment income	0		1,381			50			54			0		0
Purchases	0		119			0			0			0		0
Sales	0		0			0			0			0		0
Issuances	0		0			0			0			0		0
Settlements	0		(210		)	(1,740		)	(440		)	0		0
Transfers into Level 3(1)	0		10,176			8,686			17,824			0		0
Transfers out of Level 3(1)	0		0			0			(987		)	0		0
Other(3)	0		0			0			0			1,565		0
Fair Value, end of period assets/(liabilities)	$	15,000	$	116,844		$	8,989		$	62,719		$	2,036	$	450
Unrealized gains (losses) for assets/(liabilities) still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	(962	)	$	0		$	0		$	0	$	0
Asset management fees and other income	$	0	$	0		$	0		$	0		$	470	$	0



	Three Months Ended March 31, 2016
	Cash Equivalents		Other Long-term Investments			Reinsurance Recoverables		Receivables from Parent and Affiliates			Future Policy Benefits
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	225	$	1,565		$	3,012,653	$	7,664		$	(3,134,077	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		0			624,974		(13		)	(650,030		)
Asset management fees and other income	0		0			0		0			0
Included in other comprehensive income (loss)	0		0			0		141			0
Net investment income	0		0			0		0			0
Purchases	150		0			55,635		0			0
Sales	0		0			0		(1,988		)	0
Issuances	0		0			0		0			(58,500		)
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		(2,957		)	0
Other(3)	0		(1,565		)	0		0			0
Fair Value, end of period assets/(liabilities)	$	375	$	0		$	3,693,262	$	2,847		$	(3,842,607	)
Unrealized gains (losses) for assets/(liabilities) still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0		$	643,330	$	0		$	(669,159	)
Asset management fees and other income	$	0	$	0		$	0	$	0		$	0



	Three Months Ended March 31, 2015
	Fixed Maturities Available-For-Sale(4)
	U.S. Corporate Public Securities			U.S. Corporate Private Securities			Foreign Corporate Private Securities			Asset-Backed Securities(5)
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	16,860		$	98,544		$	666		$	40,524
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0			0			62			0
Asset management fees and other income	0			0			0			0
Included in other comprehensive income (loss)	(23		)	(145		)	(51		)	81
Net investment income	9			1,267			1			12
Purchases	15,000			2,270			0			0
Sales	(15,000		)	(212		)	0			0
Issuances	0			0			0			0
Settlements	(119		)	(129		)	(678		)	(579		)
Transfers into Level 3(1)	0			0			0			9,783
Transfers out of Level 3(1)	0			0			0			(983		)
Fair Value, end of period assets/(liabilities)	$	16,727		$	101,595		$	0		$	48,838
Unrealized gains (losses) for assets still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0		$	0		$	0		$	0
Asset management fees and other income	$	0		$	0		$	0		$	0



	Three Months Ended March 31, 2015
	Cash Equivalents		Other Long- Term Investments (4)		Reinsurance Recoverables		Receivables from Parent and Affiliates			Future Policy Benefits
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	225	$	0	$	2,996,154	$	22,320		$	(3,112,411	)
Total gains or (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		0		246,814		1			(257,315		)
Asset management fees and other income	0		0		0		0			0
Included in other comprehensive income (loss)	0		0		0		(292		)	0
Net investment income	0		0		0		0			0
Purchases	0		0		57,644		0			0
Sales	0		0		0		0			0
Issuances	0		0		0		0			(60,523		)
Settlements	0		0		0		0			0
Transfers into Level 3(1)	0		0		0		1,986			0
Transfers out of Level 3(1)	0		0		0		0			0
Other(3)	0		0		0		0			0
Fair Value, end of period assets/(liabilities)	$	225	$	0	$	3,300,612	$	24,015		$	(3,430,249	)
Unrealized gains (losses) for assets/(liabilities) still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0	$	272,379	$	0		$	(283,739	)
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)	Primarily related to private warrants reclassified from derivatives to trading securities.


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


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

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



	Three Months Ended March 31, 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		Short-Term Investments
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	15,000	$	107,777		$	4,531		$	46,493		$	0	$	450
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		(962		)	0			0			0		0
Asset management fees and other income	0		0			0			0			471		0
Included in other comprehensive income (loss)	0		(1,437		)	(2,538		)	(225		)	0		0
Net investment income	0		1,381			50			54			0		0
Purchases	0		119			0			0			0		0
Sales	0		0			0			0			0		0
Issuances	0		0			0			0			0		0
Settlements	0		(210		)	(1,740		)	(440		)	0		0
Transfers into Level 3(1)	0		10,176			8,686			17,824			0		0
Transfers out of Level 3(1)	0		0			0			(987		)	0		0
Other(3)	0		0			0			0			1,565		0
Fair Value, end of period assets/(liabilities)	$	15,000	$	116,844		$	8,989		$	62,719		$	2,036	$	450
Unrealized gains (losses) for assets/(liabilities) still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	(962	)	$	0		$	0		$	0	$	0
Asset management fees and other income	$	0	$	0		$	0		$	0		$	470	$	0



	Three Months Ended March 31, 2016
	Cash Equivalents		Other Long-term Investments			Reinsurance Recoverables		Receivables from Parent and Affiliates			Future Policy Benefits
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	225	$	1,565		$	3,012,653	$	7,664		$	(3,134,077	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		0			624,974		(13		)	(650,030		)
Asset management fees and other income	0		0			0		0			0
Included in other comprehensive income (loss)	0		0			0		141			0
Net investment income	0		0			0		0			0
Purchases	150		0			55,635		0			0
Sales	0		0			0		(1,988		)	0
Issuances	0		0			0		0			(58,500		)
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		(2,957		)	0
Other(3)	0		(1,565		)	0		0			0
Fair Value, end of period assets/(liabilities)	$	375	$	0		$	3,693,262	$	2,847		$	(3,842,607	)
Unrealized gains (losses) for assets/(liabilities) still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0		$	643,330	$	0		$	(669,159	)
Asset management fees and other income	$	0	$	0		$	0	$	0		$	0



	Three Months Ended March 31, 2015
	Fixed Maturities Available-For-Sale(4)
	U.S. Corporate Public Securities			U.S. Corporate Private Securities			Foreign Corporate Private Securities			Asset-Backed Securities(5)
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	16,860		$	98,544		$	666		$	40,524
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0			0			62			0
Asset management fees and other income	0			0			0			0
Included in other comprehensive income (loss)	(23		)	(145		)	(51		)	81
Net investment income	9			1,267			1			12
Purchases	15,000			2,270			0			0
Sales	(15,000		)	(212		)	0			0
Issuances	0			0			0			0
Settlements	(119		)	(129		)	(678		)	(579		)
Transfers into Level 3(1)	0			0			0			9,783
Transfers out of Level 3(1)	0			0			0			(983		)
Fair Value, end of period assets/(liabilities)	$	16,727		$	101,595		$	0		$	48,838
Unrealized gains (losses) for assets still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0		$	0		$	0		$	0
Asset management fees and other income	$	0		$	0		$	0		$	0



	Three Months Ended March 31, 2015
	Cash Equivalents		Other Long- Term Investments (4)		Reinsurance Recoverables		Receivables from Parent and Affiliates			Future Policy Benefits
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	225	$	0	$	2,996,154	$	22,320		$	(3,112,411	)
Total gains or (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		0		246,814		1			(257,315		)
Asset management fees and other income	0		0		0		0			0
Included in other comprehensive income (loss)	0		0		0		(292		)	0
Net investment income	0		0		0		0			0
Purchases	0		0		57,644		0			0
Sales	0		0		0		0			0
Issuances	0		0		0		0			(60,523		)
Settlements	0		0		0		0			0
Transfers into Level 3(1)	0		0		0		1,986			0
Transfers out of Level 3(1)	0		0		0		0			0
Other(3)	0		0		0		0			0
Fair Value, end of period assets/(liabilities)	$	225	$	0	$	3,300,612	$	24,015		$	(3,430,249	)
Unrealized gains (losses) for assets/(liabilities) still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0	$	272,379	$	0		$	(283,739	)
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)	Primarily related to private warrants reclassified from derivatives to trading securities.


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


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

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 Statements of Financial Position; however, in some cases, as described below, the carrying amount equals or approximates fair value.



	March 31, 2016
	Fair Value								Carrying Amount (1)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	2,746	$	466,942	$	469,688	$	446,620
Policy loans	0		0		13,094		13,094		13,094
Cash and cash equivalents	19,603		0		0		19,603		19,603
Accrued investment income	0		27,028		0		27,028		27,028
Receivables from parent and affiliates	0		13,718		0		13,718		13,718
Other assets	0		1,477		0		1,477		1,477
Total assets	$	19,603	$	44,969	$	480,036	$	544,608	$	521,540
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	0	$	100,507	$	100,507	$	100,368
Cash collateral for loaned securities	0		3,683		0		3,683		3,683
Payables to parent and affiliates	0		25,868		0		25,868		25,868
Other liabilities	0		98,097		0		98,097		98,097
Separate account liabilities - investment contracts	0		263		0		263		263
Total liabilities	$	0	$	127,911	$	100,507	$	228,418	$	228,279



	December 31, 2015(2)
	Fair Value								Carrying Amount(1)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	2,793	$	448,349	$	451,142	$	438,172
Policy loans	0		0		13,054		13,054		13,054
Cash and cash equivalents	311		0		0		311		311
Accrued investment income	0		22,615		0		22,615		22,615
Receivables from parent and affiliates	0		14,868		0		14,868		14,868
Other assets	0		1,085		0		1,085		1,085
Total assets	$	311	$	41,361	$	461,403	$	503,075	$	490,105
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	0	$	102,438	$	102,438	$	103,003
Cash collateral for loaned securities	0		10,568		0		10,568		10,568
Short-term debt	0		1,000		0		1,000		1,000
Payables to parent and affiliates	0		25,678		0		25,678		25,678
Other liabilities	0		83,464		0		83,464		83,464
Separate account liabilities - investment contracts	0		293		0		293		293
Total liabilities	$	0	$	121,003	$	102,438	$	223,441	$	224,006

(1)

Carrying values presented herein differ from those in the Company’s Unaudited Interim 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.

(2)

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 March 31, 2016 and December 31, 2015, the fair values of these cost method investments were $3.2 million and $3.3 million, respectively, which had been previously classified in level 3 at December 31, 2015. The carrying values of these investments were $3.2 million and $3.1 million as of March 31, 2016 and December 31, 2015, respectively.