Fair Value of Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 2018

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 September 30, 2018
	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	$	4,201,271	$	6,913	$	0		$	4,208,184
Obligations of U.S. states and their political subdivisions	0		130,862		0		0			130,862
Foreign government bonds	0		224,365		0		0			224,365
U.S. corporate public securities	0		1,618,433		1,060		0			1,619,493
U.S. corporate private securities	0		998,383		54,457		0			1,052,840
Foreign corporate public securities	0		309,792		211		0			310,003
Foreign corporate private securities	0		733,928		29,136		0			763,064
Asset-backed securities(2)	0		502,704		9,407		0			512,111
Commercial mortgage-backed securities	0		436,180		545		0			436,725
Residential mortgage-backed securities	0		64,711		0		0			64,711
Subtotal	0		9,220,629		101,729		0			9,322,358
Fixed maturities, trading	0		261,226		0		0			261,226
Equity securities	5,473		12		7,679		0			13,164
Short-term investments	2,653		10,274		8		0			12,935
Cash equivalents	0		46,859		0		0			46,859
Other invested assets(3)	350		4,208,095		0		(4,208,445		)	0
Reinsurance recoverables	0		0		159,206		0			159,206
Receivables from parent and affiliates	0		37,719		0		0			37,719
Subtotal excluding separate account assets	8,476		13,784,814		268,622		(4,208,445		)	9,853,467
Separate account assets(4)	0		35,480,264		0		0			35,480,264
Total assets	$	8,476	$	49,265,078	$	268,622	$	(4,208,445	)	$	45,333,731
Future policy benefits(5)	$	0	$	0	$	4,995,305	$	0		$	4,995,305
Policyholders' account balances	0		0		34,069		0			34,069
Payables to parent and affiliates	0		3,822,772		0		(3,817,815		)	4,957
Other liabilities	2,508		0		0		(352		)	2,156
Total liabilities	$	2,508	$	3,822,772	$	5,029,374	$	(3,818,167	)	$	5,036,487



	As of December 31, 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	$	4,826,413	$	5,237	$	0		$	4,831,650
Obligations of U.S. states and their political subdivisions	0		104,640		0		0			104,640
Foreign government bonds	0		140,305		0		0			140,305
U.S. corporate public securities	0		1,806,888		1,562		0			1,808,450
U.S. corporate private securities	0		1,148,536		59,408		0			1,207,944
Foreign corporate public securities	0		229,006		215		0			229,221
Foreign corporate private securities	0		737,539		34,021		0			771,560
Asset-backed securities(2)	0		160,229		185,358		0			345,587
Commercial mortgage-backed securities	0		505,684		0		0			505,684
Residential mortgage-backed securities	0		165,745		0		0			165,745
Subtotal	0		9,824,985		285,801		0			10,110,786
Fixed maturities, trading(6)	0		166,360		0		0			166,360
Equity securities(6)	5,599		18		9,758		0			15,375
Short-term investments	448,712		262,272		87		0			711,071
Cash equivalents	0		1,146,466		0		0			1,146,466
Other invested assets(3)(6)	10,738		5,059,779		147		(4,919,486		)	151,178
Reinsurance recoverables	0		0		244,006		0			244,006
Receivables from parent and affiliates	0		38,145		0		0			38,145
Subtotal excluding separate account assets	465,049		16,498,025		539,799		(4,919,486		)	12,583,387
Separate account assets(4)	0		37,990,547		0		0			37,990,547
Total assets	$	465,049	$	54,488,572	$	539,799	$	(4,919,486	)	$	50,573,934
Future policy benefits(5)	$	0	$	0	$	8,151,902	$	0		$	8,151,902
Payables to parent and affiliates	0		1,941,403		0		(1,941,403		)	0
Other liabilities	0		0		0		0			0
Total liabilities	$	0	$	1,941,403	$	8,151,902	$	(1,941,403	)	$	8,151,902


(1)	“Netting” amounts represent cash collateral of $0.4 million and $2,978 million as of September 30, 2018 and December 31, 2017, respectively, and the impact of offsetting asset and liability positions held with the same counterparty, subject to master netting arrangements.


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


(3)	Other invested assets 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 September 30, 2018 and December 31, 2017, the fair values of such investments were $7.6 million and $0.3 million, respectively.

(4)

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.

(5)

As of September 30, 2018, the net embedded derivative liability position of $4,995 million includes $1,039 million of embedded derivatives in an asset position and $6,034 million of embedded derivatives in a liability position. As of December 31, 2017, the net embedded derivative liability position of $8,152 million includes $819 million of embedded derivatives in an asset position and $8,971 million of embedded derivatives in a liability position.


(6)	Prior period amounts have been reclassified to conform to current period presentation. See Note 2 for details.

Fair Value Inputs, Assets and Liabilities, Quantitative Information

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



	As of September 30, 2018
	Fair Value		Valuation Techniques	Unobservable Inputs	Minimum		Maximum		Weighted Average		Impact of Increase in Input on Fair Value(1)
	(in thousands)
Assets:
Corporate securities(2)	$	16,066	Discounted cash flow	Discount rate	7.00	%	20.00	%	11.15	%	Decrease
			Liquidation	Liquidation	6.00	%	54.00	%	50.00	%	Increase
Reinsurance recoverables	$	159,206	Fair values are determined in the same manner as future policy benefits
Liabilities:
Future policy benefits(3)	$	4,995,305	Discounted cash flow	Lapse rate(4)	1	%	13	%			Decrease
				Spread over LIBOR(5)	0.16	%	1.21	%			Decrease
				Utilization rate(6)	50	%	97	%			Increase
				Withdrawal rate	See table footnote (7) below.
				Mortality rate(8)	0	%	15	%			Decrease
				Equity volatility curve	14	%	22	%			Increase



	As of December 31, 2017
	Fair Value		Valuation Techniques	Unobservable Inputs	Minimum		Maximum		Weighted Average		Impact of Increase in Input on Fair Value(1)
	(in thousands)
Assets:
Corporate securities(2)	$	22,215	Discounted cash flow	Discount rate	5.06	%	22.23	%	8.57	%	Decrease
Reinsurance recoverables	$	244,006	Fair values are determined in the same manner as future policy benefits
Liabilities:
Future policy benefits(3)	$	8,151,902	Discounted cash flow	Lapse rate(4)	1	%	12	%			Decrease
				Spread over LIBOR(5)	0.12	%	1.10	%			Decrease
				Utilization rate(6)	52	%	97	%			Increase
				Withdrawal rate	See table footnote (7) below.
				Mortality rate(8)	0	%	14	%			Decrease
				Equity volatility curve	13	%	24	%			Increase


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


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

(3)

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.


(4)	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.

(5)

The spread over the London Inter-Bank Offered Rate ("LIBOR") swap curve represents the premium added to the proxy for the risk-free rate (LIBOR) to reflect our estimates of rates that a market participant would use to value the living benefit contracts in both the accumulation and payout phases. This spread includes an estimate of NPR, which is the risk that the obligation will not be fulfilled by the Company. NPR is primarily estimated by utilizing the credit spreads associated with issuing funding agreements, adjusted for any illiquidity risk premium. In order to reflect the financial strength ratings of the Company, credit spreads associated with funding agreements, as opposed to credit spread associated with debt, are utilized in developing this estimate because both funding agreements and living benefit contracts are insurance liabilities and are therefore senior to debt.

(6)

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.

(7)

The withdrawal rate assumption estimates the magnitude of annual contractholder withdrawals relative to the maximum allowable amount under the contract. These assumptions 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 September 30, 2018 and December 31, 2017, the minimum withdrawal rate assumption is 78% and the maximum withdrawal rate assumption 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%.

(8)

Range reflects the mortality rate for the vast majority of business with living benefits, with policyholders ranging from 50 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, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables describe 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 significance of the unobservable inputs in the overall fair value measurement. All transfers are based on changes in the observability of the valuation inputs, including the availability of pricing service information that the Company can validate. All transfers are generally reported at the value as of the beginning of the quarter in which transfers occur for any such assets still held at the end of the quarter. During the second quarter of 2018, $213 million of investments in collateralized loan obligations (“CLOs”) reported as “Asset-backed securities” were transferred from Level 3 to Level 2 as market activity, liquidity and overall observability of valuation inputs of CLOs have increased. For further information on valuation processes, see Note 10 to the Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2017.



	Three Months Ended September 30, 2018
	Fixed Maturities, Available-For-Sale
	U.S. Government		Corporate Securities(1)			Structured Securities(2)
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	6,658	$	96,849		$	59,178
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		(2,424		)	(441		)
Asset administration fees and other income	0		0			0
Included in other comprehensive income (loss)	0		(4,437		)	284
Net investment income	0		45			2
Purchases	255		1,323			0
Sales	0		0			(13,850		)
Issuances	0		0			0
Settlements	0		(6,495		)	(14,052		)
Transfers into Level 3(4)	0		0			(194		)
Transfers out of Level 3(4)	0		0			(20,975		)
Other(5)	0		3			0
Fair Value, end of period assets/(liabilities)	$	6,913	$	84,864		$	9,952
Unrealized gains (losses) for assets/liabilities still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0	$	(2,771	)	$	0
Asset administration fees and other income	$	0	$	0		$	0



	Three Months Ended September 30, 2018
	Equity Securities			Short-Term Investments			Other Invested Assets
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	9,309		$	0		$	0
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0			0			0
Asset administration fees and other income	(46		)	0			0
Included in other comprehensive income (loss)	0			0			0
Net investment income	0			0			0
Purchases	0			0			0
Sales	(1,584		)	0			0
Issuances	0			0			0
Settlements	0			31			0
Transfers into Level 3(4)	0			0			0
Transfers out of Level 3(4)	0			0			0
Other(5)	0			(23		)	0
Fair Value, end of period assets/(liabilities)	$	7,679		$	8		$	0
Unrealized gains (losses) for assets/liabilities still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0		$	0		$	0
Asset administration fees and other income	$	(375	)	$	0		$	0



	Three Months Ended September 30, 2018
	Reinsurance Recoverables			Receivables from Parent and Affiliates		Future Policy Benefits			Policyholders' account balances
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	185,258		$	0	$	(6,222,612	)	$	(13,835	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(7)	(33,467		)	0		1,485,428			(1,093		)
Asset administration fees and other income	0			0		0			0
Included in other comprehensive income (loss)	0			0		0			0
Net investment income	0			0		0			0
Purchases	4,930			0		0			0
Sales	0			0		0			0
Issuances	0			0		(258,121		)	(19,141		)
Settlements	0			0		0			0
Transfers into Level 3(4)	0			0		0			0
Transfers out of Level 3(4)	0			0		0			0
Other(5)	2,485			0		0			0
Fair Value, end of period assets/(liabilities)	$	159,206		$	0	$	(4,995,305	)	$	(34,069	)
Unrealized gains (losses) for assets/liabilities still held(6):
Included in earnings:
Realized investment gains (losses), net	$	(47,218	)	$	0	$	1,428,629		$	(1,093	)
Asset administration fees and other income	$	0		$	0	$	0		$	0



	Nine Months Ended September 30, 2018
	Fixed Maturities, Available-For-Sale
	U.S. Government		Corporate Securities(1)			Structured Securities(2)
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	5,237	$	95,206		$	185,358
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		(2,656		)	(394		)
Asset administration fees and other income	0		0			0
Included in other comprehensive income (loss)	0		(5,805		)	(300		)
Net investment income	0		159			35
Purchases	1,676		6,348			84,810
Sales	0		(241		)	(14,043		)
Issuances	0		0			0
Settlements	0		(14,899		)	(37,665		)
Transfers into Level 3(4)	0		6,941			51,785
Transfers out of Level 3(4)	0		(215		)	(259,634		)
Other(5)	0		26			0
Fair Value, end of period assets/(liabilities)	$	6,913	$	84,864		$	9,952
Unrealized gains (losses) for assets/liabilities still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0	$	(2,992	)	$	0
Asset administration fees and other income	$	0	$	0		$	0



	Nine Months Ended September 30, 2018
	Equity Securities			Short-Term Investments			Other Invested Assets
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	9,758		$	87		$	147
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0			(55		)	0
Asset administration fees and other income	366			0			0
Included in other comprehensive income (loss)	0			0			0
Net investment income	0			0			0
Purchases	0			0			0
Sales	(2,592		)	0			0
Issuances	0			0			0
Settlements	0			0			0
Transfers into Level 3(4)	0			0			0
Transfers out of Level 3(4)	0			0			0
Other(5)	147			(24		)	(147		)
Fair Value, end of period assets/(liabilities)	$	7,679		$	8		$	0
Unrealized gains (losses) for assets/liabilities still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0		$	(55	)	$	0
Asset administration fees and other income	$	(125	)	$	0		$	0



	Nine Months Ended September 30, 2018
	Reinsurance Recoverables			Receivables from Parent and Affiliates			Future Policy Benefits			Policyholders' account balances
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	244,006		$	0		$	(8,151,902	)	$	0
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(7)	(90,205		)	0			3,925,867			(1,138		)
Asset administration fees and other income	0			0			0			0
Included in other comprehensive income (loss)	0			(106		)	0			0
Net investment income	0			0			0			0
Purchases	14,444			0			0			0
Sales	0			0			0			0
Issuances	0			0			(769,270		)	(32,931		)
Settlements	0			0			0			0
Transfers into Level 3(4)	0			34,269			0			0
Transfers out of Level 3(4)	0			(34,163		)	0			0
Other(5)	(9,039		)	0			0			0
Fair Value, end of period assets/(liabilities)	$	159,206		$	0		$	(4,995,305	)	$	(34,069	)
Unrealized gains (losses) for assets/liabilities still held(6):
Included in earnings:
Realized investment gains (losses), net	$	(95,836	)	$	0		$	3,677,070		$	(1,138	)
Asset administration fees and other income	$	0		$	0		$	0		$	0



	Three Months Ended September 30, 2017
	Fixed Maturities Available-For-Sale
	U.S. Government			Foreign Government		Corporate Securities(1)			Structured Securities(2)
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	3,151		$	0	$	133,567		$	215,503
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0			0		(945		)	527
Asset administration fees and other income	0			0		0			0
Included in other comprehensive income (loss)	0			0		(2,270		)	(306		)
Net investment income	0			0		1,526			111
Purchases	917			0		334			78,112
Sales	0			0		0			0
Issuances	0			0		0			0
Settlements	0			0		(1,670		)	(6,720		)
Transfers into Level 3(4)	0			0		8,290			2,513
Transfers out of Level 3(4)	0			0		(1,056		)	(12,502		)
Other(5)	(2		)	0		(3,028		)	0
Fair Value, end of period assets/(liabilities)	$	4,066		$	0	$	134,748		$	277,238
Unrealized gains (losses) for assets/(liabilities) still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0		$	0	$	0		$	0
Asset administration fees and other income	$	0		$	0	$	0		$	0



	Three Months Ended September 30, 2017
	Equity Securities(3)		Short-Term Investments			Cash Equivalents
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	5,854	$	450		$	375
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		0			0
Asset administration fees and other income	630		0			0
Included in other comprehensive income (loss)	0		0			0
Net investment income	0		0			0
Purchases	0		75			0
Sales	0		0			0
Issuances	0		0			0
Settlements	0		0			0
Transfers into Level 3(4)	0		0			0
Transfers out of Level 3(4)	0		0			0
Other	3,853		(450		)	(375		)
Fair Value, end of period assets/(liabilities)	$	10,337	$	75		$	0
Unrealized gains (losses) for assets/(liabilities) still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0		$	0
Asset administration fees and other income	$	630	$	0		$	0



	Three Months Ended September 30, 2017
	Reinsurance Recoverables			Receivables from Parent and Affiliates		Future Policy Benefits
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	268,337		$	0	$	(9,331,040	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(7)	(33,779		)	0		1,584,013
Asset administration fees and other income	0			0		0
Included in other comprehensive income (loss)	0			0		0
Net investment income	0			0		0
Purchases	4,875			0		0
Sales	0			0		0
Issuances	0			0		(252,024		)
Settlements	0			0		0
Transfers into Level 3(4)	0			0		0
Transfers out of Level 3(4)	0			0		0
Other(5)	2,948			0		0
Fair Value, end of period assets/(liabilities)	$	242,381		$	0	$	(7,999,051	)
Unrealized gains (losses) for assets/(liabilities) still held(6):
Included in earnings:
Realized investment gains (losses), net	$	(31,836	)	$	0	$	1,503,393
Asset administration fees and other income	$	0		$	0	$	0



	Nine Months Ended September 30, 2017
	Fixed Maturities Available-For-Sale
	U.S. Government		Foreign Government			Corporate Securities(1)			Structured Securities(2)
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	0	$	87		$	151,989		$	31,735
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		0			(3,060		)	535
Asset administration fees and other income	0		0			0			0
Included in other comprehensive income (loss)	0		0			(1,619		)	(35		)
Net investment income	0		0			6,383			163
Purchases	3,093		0			1,428			228,719
Sales	0		0			(14,367		)	(1,595		)
Issuances	0		0			0			0
Settlements	0		0			(7,963		)	(49,272		)
Transfers into Level 3(4)	0		0			10,640			94,979
Transfers out of Level 3(4)	0		(87		)	(4,681		)	(27,991		)
Other(5)	973		0			(4,002		)	0
Fair Value, end of period assets/(liabilities)	$	4,066	$	0		$	134,748		$	277,238
Unrealized gains (losses) for assets/(liabilities) still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0		$	(2,277	)	$	(1	)
Asset administration fees and other income	$	0	$	0		$	0		$	0



	Nine Months Ended September 30, 2017
	Equity Securities(3)		Short-Term Investments			Cash Equivalents
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	4,864	$	450		$	375
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		0			0
Asset administration fees and other income	1,268		0			0
Included in other comprehensive income (loss)	351		0			0
Net investment income	0		0			0
Purchases	0		75			0
Sales	0		0			0
Issuances	0		0			0
Settlements	0		0			0
Transfers into Level 3(4)	0		0			0
Transfers out of Level 3(4)	0		0			0
Other	3,854		(450		)	(375		)
Fair Value, end of period assets/(liabilities)	$	10,337	$	75		$	0
Unrealized gains (losses) for assets/(liabilities) still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0		$	0
Asset administration fees and other income	$	917	$	0		$	0



	Nine Months Ended September 30, 2017
	Reinsurance Recoverables			Receivables from Parent and Affiliates			Future Policy Benefits
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	240,091		$	33,962		$	(7,707,333	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(7)	(12,834		)	0			455,564
Asset administration fees and other income	0			0			0
Included in other comprehensive income (loss)	0			0			0
Net investment income	0			0			0
Purchases	14,659			0			0
Sales	0			0			0
Issuances	0			0			(747,282		)
Settlements	0			0			0
Transfers into Level 3(4)	0			0			0
Transfers out of Level 3(4)	0			(33,962		)	0
Other(5)	465			0			0
Fair Value, end of period assets/(liabilities)	$	242,381		$	0		$	(7,999,051	)
Unrealized gains (losses) for assets/(liabilities) still held(6):
Included in earnings:
Realized investment gains (losses), net	$	(7,021	)	$	0		$	274,784
Asset administration fees and other income	$	0		$	0		$	0


(1)	Includes U.S. corporate public, U.S. corporate private, foreign corporate public and foreign corporate private securities. Prior period amounts were aggregated to conform to current period presentation.


(2)	Includes asset-backed, commercial mortgage-backed and residential mortgage-backed securities. Prior period amounts were aggregated to conform to current period presentation.


(3)	Prior period amounts have been reclassified to conform to current period presentation. See Note 2 for details.


(4)	Transfers into or out of any level are generally reported at 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.


(5)	Other, primarily represents reclassifications of certain assets and liabilities between reporting categories.


(6)	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.


(7)	Realized investment gains (losses) on future policy benefits and reinsurance recoverables primarily represent the change in the fair value of the Company's living benefit guarantees on certain of its variable annuity contracts.

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



	Three Months Ended September 30, 2018
	Fixed Maturities, Available-For-Sale
	U.S. Government		Corporate Securities(1)			Structured Securities(2)
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	6,658	$	96,849		$	59,178
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		(2,424		)	(441		)
Asset administration fees and other income	0		0			0
Included in other comprehensive income (loss)	0		(4,437		)	284
Net investment income	0		45			2
Purchases	255		1,323			0
Sales	0		0			(13,850		)
Issuances	0		0			0
Settlements	0		(6,495		)	(14,052		)
Transfers into Level 3(4)	0		0			(194		)
Transfers out of Level 3(4)	0		0			(20,975		)
Other(5)	0		3			0
Fair Value, end of period assets/(liabilities)	$	6,913	$	84,864		$	9,952
Unrealized gains (losses) for assets/liabilities still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0	$	(2,771	)	$	0
Asset administration fees and other income	$	0	$	0		$	0



	Three Months Ended September 30, 2018
	Equity Securities			Short-Term Investments			Other Invested Assets
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	9,309		$	0		$	0
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0			0			0
Asset administration fees and other income	(46		)	0			0
Included in other comprehensive income (loss)	0			0			0
Net investment income	0			0			0
Purchases	0			0			0
Sales	(1,584		)	0			0
Issuances	0			0			0
Settlements	0			31			0
Transfers into Level 3(4)	0			0			0
Transfers out of Level 3(4)	0			0			0
Other(5)	0			(23		)	0
Fair Value, end of period assets/(liabilities)	$	7,679		$	8		$	0
Unrealized gains (losses) for assets/liabilities still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0		$	0		$	0
Asset administration fees and other income	$	(375	)	$	0		$	0



	Three Months Ended September 30, 2018
	Reinsurance Recoverables			Receivables from Parent and Affiliates		Future Policy Benefits			Policyholders' account balances
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	185,258		$	0	$	(6,222,612	)	$	(13,835	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(7)	(33,467		)	0		1,485,428			(1,093		)
Asset administration fees and other income	0			0		0			0
Included in other comprehensive income (loss)	0			0		0			0
Net investment income	0			0		0			0
Purchases	4,930			0		0			0
Sales	0			0		0			0
Issuances	0			0		(258,121		)	(19,141		)
Settlements	0			0		0			0
Transfers into Level 3(4)	0			0		0			0
Transfers out of Level 3(4)	0			0		0			0
Other(5)	2,485			0		0			0
Fair Value, end of period assets/(liabilities)	$	159,206		$	0	$	(4,995,305	)	$	(34,069	)
Unrealized gains (losses) for assets/liabilities still held(6):
Included in earnings:
Realized investment gains (losses), net	$	(47,218	)	$	0	$	1,428,629		$	(1,093	)
Asset administration fees and other income	$	0		$	0	$	0		$	0



	Nine Months Ended September 30, 2018
	Fixed Maturities, Available-For-Sale
	U.S. Government		Corporate Securities(1)			Structured Securities(2)
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	5,237	$	95,206		$	185,358
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		(2,656		)	(394		)
Asset administration fees and other income	0		0			0
Included in other comprehensive income (loss)	0		(5,805		)	(300		)
Net investment income	0		159			35
Purchases	1,676		6,348			84,810
Sales	0		(241		)	(14,043		)
Issuances	0		0			0
Settlements	0		(14,899		)	(37,665		)
Transfers into Level 3(4)	0		6,941			51,785
Transfers out of Level 3(4)	0		(215		)	(259,634		)
Other(5)	0		26			0
Fair Value, end of period assets/(liabilities)	$	6,913	$	84,864		$	9,952
Unrealized gains (losses) for assets/liabilities still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0	$	(2,992	)	$	0
Asset administration fees and other income	$	0	$	0		$	0



	Nine Months Ended September 30, 2018
	Equity Securities			Short-Term Investments			Other Invested Assets
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	9,758		$	87		$	147
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0			(55		)	0
Asset administration fees and other income	366			0			0
Included in other comprehensive income (loss)	0			0			0
Net investment income	0			0			0
Purchases	0			0			0
Sales	(2,592		)	0			0
Issuances	0			0			0
Settlements	0			0			0
Transfers into Level 3(4)	0			0			0
Transfers out of Level 3(4)	0			0			0
Other(5)	147			(24		)	(147		)
Fair Value, end of period assets/(liabilities)	$	7,679		$	8		$	0
Unrealized gains (losses) for assets/liabilities still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0		$	(55	)	$	0
Asset administration fees and other income	$	(125	)	$	0		$	0



	Nine Months Ended September 30, 2018
	Reinsurance Recoverables			Receivables from Parent and Affiliates			Future Policy Benefits			Policyholders' account balances
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	244,006		$	0		$	(8,151,902	)	$	0
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(7)	(90,205		)	0			3,925,867			(1,138		)
Asset administration fees and other income	0			0			0			0
Included in other comprehensive income (loss)	0			(106		)	0			0
Net investment income	0			0			0			0
Purchases	14,444			0			0			0
Sales	0			0			0			0
Issuances	0			0			(769,270		)	(32,931		)
Settlements	0			0			0			0
Transfers into Level 3(4)	0			34,269			0			0
Transfers out of Level 3(4)	0			(34,163		)	0			0
Other(5)	(9,039		)	0			0			0
Fair Value, end of period assets/(liabilities)	$	159,206		$	0		$	(4,995,305	)	$	(34,069	)
Unrealized gains (losses) for assets/liabilities still held(6):
Included in earnings:
Realized investment gains (losses), net	$	(95,836	)	$	0		$	3,677,070		$	(1,138	)
Asset administration fees and other income	$	0		$	0		$	0		$	0



	Three Months Ended September 30, 2017
	Fixed Maturities Available-For-Sale
	U.S. Government			Foreign Government		Corporate Securities(1)			Structured Securities(2)
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	3,151		$	0	$	133,567		$	215,503
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0			0		(945		)	527
Asset administration fees and other income	0			0		0			0
Included in other comprehensive income (loss)	0			0		(2,270		)	(306		)
Net investment income	0			0		1,526			111
Purchases	917			0		334			78,112
Sales	0			0		0			0
Issuances	0			0		0			0
Settlements	0			0		(1,670		)	(6,720		)
Transfers into Level 3(4)	0			0		8,290			2,513
Transfers out of Level 3(4)	0			0		(1,056		)	(12,502		)
Other(5)	(2		)	0		(3,028		)	0
Fair Value, end of period assets/(liabilities)	$	4,066		$	0	$	134,748		$	277,238
Unrealized gains (losses) for assets/(liabilities) still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0		$	0	$	0		$	0
Asset administration fees and other income	$	0		$	0	$	0		$	0



	Three Months Ended September 30, 2017
	Equity Securities(3)		Short-Term Investments			Cash Equivalents
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	5,854	$	450		$	375
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		0			0
Asset administration fees and other income	630		0			0
Included in other comprehensive income (loss)	0		0			0
Net investment income	0		0			0
Purchases	0		75			0
Sales	0		0			0
Issuances	0		0			0
Settlements	0		0			0
Transfers into Level 3(4)	0		0			0
Transfers out of Level 3(4)	0		0			0
Other	3,853		(450		)	(375		)
Fair Value, end of period assets/(liabilities)	$	10,337	$	75		$	0
Unrealized gains (losses) for assets/(liabilities) still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0		$	0
Asset administration fees and other income	$	630	$	0		$	0



	Three Months Ended September 30, 2017
	Reinsurance Recoverables			Receivables from Parent and Affiliates		Future Policy Benefits
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	268,337		$	0	$	(9,331,040	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(7)	(33,779		)	0		1,584,013
Asset administration fees and other income	0			0		0
Included in other comprehensive income (loss)	0			0		0
Net investment income	0			0		0
Purchases	4,875			0		0
Sales	0			0		0
Issuances	0			0		(252,024		)
Settlements	0			0		0
Transfers into Level 3(4)	0			0		0
Transfers out of Level 3(4)	0			0		0
Other(5)	2,948			0		0
Fair Value, end of period assets/(liabilities)	$	242,381		$	0	$	(7,999,051	)
Unrealized gains (losses) for assets/(liabilities) still held(6):
Included in earnings:
Realized investment gains (losses), net	$	(31,836	)	$	0	$	1,503,393
Asset administration fees and other income	$	0		$	0	$	0



	Nine Months Ended September 30, 2017
	Fixed Maturities Available-For-Sale
	U.S. Government		Foreign Government			Corporate Securities(1)			Structured Securities(2)
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	0	$	87		$	151,989		$	31,735
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		0			(3,060		)	535
Asset administration fees and other income	0		0			0			0
Included in other comprehensive income (loss)	0		0			(1,619		)	(35		)
Net investment income	0		0			6,383			163
Purchases	3,093		0			1,428			228,719
Sales	0		0			(14,367		)	(1,595		)
Issuances	0		0			0			0
Settlements	0		0			(7,963		)	(49,272		)
Transfers into Level 3(4)	0		0			10,640			94,979
Transfers out of Level 3(4)	0		(87		)	(4,681		)	(27,991		)
Other(5)	973		0			(4,002		)	0
Fair Value, end of period assets/(liabilities)	$	4,066	$	0		$	134,748		$	277,238
Unrealized gains (losses) for assets/(liabilities) still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0		$	(2,277	)	$	(1	)
Asset administration fees and other income	$	0	$	0		$	0		$	0



	Nine Months Ended September 30, 2017
	Equity Securities(3)		Short-Term Investments			Cash Equivalents
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	4,864	$	450		$	375
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		0			0
Asset administration fees and other income	1,268		0			0
Included in other comprehensive income (loss)	351		0			0
Net investment income	0		0			0
Purchases	0		75			0
Sales	0		0			0
Issuances	0		0			0
Settlements	0		0			0
Transfers into Level 3(4)	0		0			0
Transfers out of Level 3(4)	0		0			0
Other	3,854		(450		)	(375		)
Fair Value, end of period assets/(liabilities)	$	10,337	$	75		$	0
Unrealized gains (losses) for assets/(liabilities) still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0		$	0
Asset administration fees and other income	$	917	$	0		$	0



	Nine Months Ended September 30, 2017
	Reinsurance Recoverables			Receivables from Parent and Affiliates			Future Policy Benefits
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	240,091		$	33,962		$	(7,707,333	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(7)	(12,834		)	0			455,564
Asset administration fees and other income	0			0			0
Included in other comprehensive income (loss)	0			0			0
Net investment income	0			0			0
Purchases	14,659			0			0
Sales	0			0			0
Issuances	0			0			(747,282		)
Settlements	0			0			0
Transfers into Level 3(4)	0			0			0
Transfers out of Level 3(4)	0			(33,962		)	0
Other(5)	465			0			0
Fair Value, end of period assets/(liabilities)	$	242,381		$	0		$	(7,999,051	)
Unrealized gains (losses) for assets/(liabilities) still held(6):
Included in earnings:
Realized investment gains (losses), net	$	(7,021	)	$	0		$	274,784
Asset administration fees and other income	$	0		$	0		$	0


(1)	Includes U.S. corporate public, U.S. corporate private, foreign corporate public and foreign corporate private securities. Prior period amounts were aggregated to conform to current period presentation.


(2)	Includes asset-backed, commercial mortgage-backed and residential mortgage-backed securities. Prior period amounts were aggregated to conform to current period presentation.


(3)	Prior period amounts have been reclassified to conform to current period presentation. See Note 2 for details.


(4)	Transfers into or out of any level are generally reported at 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.


(5)	Other, primarily represents reclassifications of certain assets and liabilities between reporting categories.


(6)	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.


(7)	Realized investment gains (losses) on future policy benefits and reinsurance recoverables primarily represent the change in the fair value of the Company's living benefit guarantees on certain of its variable annuity contracts.

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. In some cases, as described below, the carrying amount equals or approximates fair value.



	September 30, 2018(1)
	Fair Value								Carrying Amount(2)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	0	$	1,324,292	$	1,324,292	$	1,352,403
Policy loans	0		0		12,656		12,656		12,656
Short-term investments	7,750		0		0		7,750		7,750
Cash and cash equivalents	20,403		327,000		0		347,403		347,403
Accrued investment income	0		76,228		0		76,228		76,228
Reinsurance recoverables	0		0		56,348		56,348		56,348
Receivables from parent and affiliates	0		18,649		0		18,649		18,649
Other assets	0		15,047		0		15,047		15,047
Total assets	$	28,153	$	436,924	$	1,393,296	$	1,858,373	$	1,886,484
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	0	$	431,293	$	431,293	$	438,448
Cash collateral for loaned securities	0		7,147		0		7,147		7,147
Short-term debt	0		183,673		0		183,673		184,303
Long-term debt	0		789,881		0		789,881		787,596
Reinsurance payables	0		0		56,348		56,348		56,348
Payables to parent and affiliates	0		46,010		0		46,010		46,010
Other liabilities	0		138,859		0		138,859		138,859
Separate account liabilities - investment contracts	0		86		0		86		86
Total liabilities	$	0	$	1,165,656	$	487,641	$	1,653,297	$	1,658,797



	December 31, 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	$	1,396,167	$	1,396,167	$	1,387,012
Policy loans	0		0		12,558		12,558		12,558
Cash and cash equivalents	493,473		0		0		493,473		493,473
Accrued investment income	0		88,331		0		88,331		88,331
Reinsurance recoverables	0		0		59,588		59,588		59,588
Receivables from parent and affiliates	0		11,206		0		11,206		11,206
Other assets	0		13,802		0		13,802		13,802
Total assets	$	493,473	$	113,339	$	1,468,313	$	2,075,125	$	2,065,970
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	0	$	281,582	$	281,582	$	281,051
Cash collateral for loaned securities	0		17,383		0		17,383		17,383
Short-term debt	0		43,734		0		43,734		43,734
Long-term debt	0		1,003,251		0		1,003,251		928,165
Reinsurance payables	0		0		59,588		59,588		59,588
Payables to parent and affiliates	0		36,026		0		36,026		36,026
Other liabilities	0		135,556		0		135,556		135,556
Separate account liabilities - investment contracts	0		102		0		102		102
Total liabilities	$	0	$	1,236,052	$	341,170	$	1,577,222	$	1,501,605

(1)

The information presented as of December 31, 2017, excludes certain hedge funds, private equity funds and other funds that were accounted for using the cost method and for which the fair value was measured at NAV per share (or its equivalent) as a practical expedient. The fair value and the carrying value of these cost method investments were $6.4 million and $6.0 million, respectively. Due to the adoption of ASU 2016-01 effective January 1, 2018, these assets are carried at fair value at each reporting date with changes in fair value reported in “Asset administration fees and other income.” Therefore, as of September 30, 2018, these assets are excluded from this table but are reported in the fair value recurring measurement table.


(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 are out of scope under authoritative guidance relating to disclosures of the fair value of financial instruments.