Fair Value of Assets and Liabilities

6 Months Ended

Jun. 30, 2019

Fair Value Disclosures [Abstract]

Fair Value of Assets and Liabilities

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 5 to the Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2018.

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, 2019
	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	$	6,799,662	$	9,380	$	0		$	6,809,042
Obligations of U.S. states and their political subdivisions	0		137,679		0		0			137,679
Foreign government bonds	0		217,895		0		0			217,895
U.S. corporate public securities	0		1,669,791		0		0			1,669,791
U.S. corporate private securities	0		1,047,099		39,881		0			1,086,980
Foreign corporate public securities	0		318,127		228		0			318,355
Foreign corporate private securities	0		955,228		30,962		0			986,190
Asset-backed securities(2)	0		462,405		19,725		0			482,130
Commercial mortgage-backed securities	0		546,504		0		0			546,504
Residential mortgage-backed securities	0		84,418		0		0			84,418
Subtotal	0		12,238,808		100,176		0			12,338,984
Fixed maturities, trading	0		368,031		4,044		0			372,075
Equity securities	5,031		26,326		5,363		0			36,720
Short-term investments	0		6,252		0		0			6,252
Cash equivalents	99,812		2,594,928		0		0			2,694,740
Other invested assets(3)	276		6,644,749		0		(6,645,023		)	2
Reinsurance recoverables	0		0		339,744		0			339,744
Receivables from parent and affiliates	0		3,198		0		0			3,198
Subtotal excluding separate account assets	105,119		21,882,292		449,327		(6,645,023		)	15,791,715
Separate account assets(4)	0		33,045,792		0		0			33,045,792
Total assets	$	105,119	$	54,928,084	$	449,327	$	(6,645,023	)	$	48,837,507
Future policy benefits(5)	$	0	$	0	$	11,738,480	$	0		$	11,738,480
Policyholders' account balances	0		0		121,102		0			121,102
Payables to parent and affiliates	0		2,682,837		0		(2,524,050		)	158,787
Other liabilities	6,372		0		0		(276		)	6,096
Total liabilities	$	6,372	$	2,682,837	$	11,859,582	$	(2,524,326	)	$	12,024,465

	As of December 31, 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	$	4,875,959	$	8,132	$	0		$	4,884,091
Obligations of U.S. states and their political subdivisions	0		131,164		0		0			131,164
Foreign government bonds	0		199,636		0		0			199,636
U.S. corporate public securities	0		1,473,973		0		0			1,473,973
U.S. corporate private securities	0		1,008,632		54,321		0			1,062,953
Foreign corporate public securities	0		291,086		0		0			291,086
Foreign corporate private securities	0		781,101		31,131		0			812,232
Asset-backed securities(2)	0		495,908		9,336		0			505,244
Commercial mortgage-backed securities	0		361,880		0		0			361,880
Residential mortgage-backed securities	0		49,414		0		0			49,414
Subtotal	0		9,668,753		102,920		0			9,771,673
Fixed maturities, trading	0		289,752		0		0			289,752
Equity securities	4,896		12		5,705		0			10,613
Short-term investments	0		29,818		0		0			29,818
Cash equivalents	1,098,903		2,593,456		0		0			3,692,359
Other invested assets(3)	4,380		4,843,414		0		(4,804,816		)	42,978
Reinsurance recoverables	0		0		239,911		0			239,911
Receivables from parent and affiliates	0		37,193		0		0			37,193
Subtotal excluding separate account assets	1,108,179		17,462,398		348,536		(4,804,816		)	14,114,297
Separate account assets(4)	0		31,210,346		0		0			31,210,346
Total assets	$	1,108,179	$	48,672,744	$	348,536	$	(4,804,816	)	$	45,324,643
Future policy benefits(5)	$	0	$	0	$	8,332,474	$	0		$	8,332,474
Policyholders' account balances	0		0		42,350		0			42,350
Payables to parent and affiliates	0		2,133,496		0		(2,133,496		)	0
Other liabilities	7,293		0		0		(664		)	6,629
Total liabilities	$	7,293	$	2,133,496	$	8,374,824	$	(2,134,160	)	$	8,381,453

 

(1) “Netting” amounts represent cash collateral of $4,121 million and $2,671 million as of June 30, 2019 and December 31, 2018, 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. As of June 30, 2019 and December 31, 2018, the fair values of such investments were $9.7 million and $8.0 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 Statements of Financial Position.

(5) As of June 30, 2019, the net embedded derivative liability position of $11,738 million includes $500 million of embedded derivatives in an asset position and $12,238 million of embedded derivatives in a liability position. As of December 31, 2018, the net embedded derivative liability position of $8,332 million includes $625 million of embedded derivatives in an asset position and $8,957 million of embedded derivatives in a liability position.

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, 2019
	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)	$	18,239	Discounted cash flow	Discount rate	8.34	%	20	%	11.03	%	Decrease
			Market Comparables	EBITDA multiples(3)	6.7X		6.7X		6.7X		Increase
			Liquidation	Liquidation value	3.98	%	3.98	%	3.98	%	Increase
Reinsurance recoverables	$	339,744	Fair values are determined using the same unobservable inputs as future policy benefits.
Liabilities:
Future policy benefits(4)	$	11,738,480	Discounted cash flow	Lapse rate(6)	1	%	18	%			Decrease
				Spread over LIBOR(7)	0.16	%	1.24	%			Decrease
				Utilization rate(8)	43	%	97	%			Increase
				Withdrawal rate	See table footnote (9) below.
				Mortality rate(10)	0	%	15	%			Decrease
				Equity volatility curve	13	%	23	%			Increase
Policyholders' account balances(5)	$	121,102	Discounted cash flow	Lapse rate(6)	2	%	42	%			Decrease
				Spread over LIBOR(7)	0.16	%	1.24	%			Decrease
				Equity volatility curve	13	%	21	%			Increase

	As of December 31, 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)	$	18,609	Discounted cash flow	Discount rate	7	%	20	%	11.30	%	Decrease
			Market Comparables	EBITDA multiples(3)	6.7	X	6.7	X	6.7	X	Increase
			Liquidation	Liquidation value	41	%	41	%	41	%	Increase
Reinsurance recoverables	$	239,911	Fair values are determined using the same unobservable inputs as future policy benefits.
Liabilities:
Future policy benefits(4)	$	8,332,474	Discounted cash flow	Lapse rate(6)	1	%	13	%			Decrease
				Spread over LIBOR(7)	0.36	%	1.60	%			Decrease
				Utilization rate(8)	50	%	97	%			Increase
				Withdrawal rate	See table footnote (9) below.
				Mortality rate(10)	0	%	15	%			Decrease
				Equity volatility curve	18	%	22	%			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 and fixed maturities trading.

(3) Represents multiples of earnings before interest, taxes, depreciation and amortization ("EBITDA"), and are amounts used when the Company has determined that market participants would use such multiples when valuing the investments.

(4) 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.

(5) Policyholders’ account balances primarily represent general account liabilities for the index-linked interest credited on certain of the Company’s annuity products that 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.

(6) Lapse rates for contracts with living benefit guarantees 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 for contracts with index-linked crediting guarantees may be adjusted at the contract level based on the applicability of any surrender charges, product type, and market related factors such as interest rates. Lapse rates are also generally assumed to be lower for the period where surrender charges apply. For any given contract, lapse rates vary throughout the period over which cash flows are projected for the purposes of valuing these embedded derivatives.

(7) 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 the Company's estimates of rates that a market participant would use to value the living benefits in both the accumulation and payout phases and index-linked interest crediting guarantees. 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 funding agreements, living benefit guarantees, and index-linked interest crediting guarantees are insurance liabilities and are therefore senior to debt.

(8) 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.

(9) 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 June 30, 2019 and December 31, 2018, 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%.

(10) The range reflects the mortality rates for the vast majority of business with living benefits and other contracts, with policyholders ranging from 45 to 90 years old. While the majority of living benefits have a minimum age requirement, certain other contracts do not have an age restriction. This results in contractholders with mortality rates approaching 0% for certain benefits. Mortality rates may vary by product, age, and duration. A mortality improvement assumption is also incorporated into the overall mortality table.

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 the 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 5 to the Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2018.

Changes in Level 3 Assets and Liabilities – 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.

	Three Months Ended June 30, 2019
	Fair Value, beginning of period			Total realized and unrealized gains (losses)(1)			Purchases		Sales			Issuances			Settlements			Other(2)			Transfers into Level 3		Transfers out of Level 3			Fair Value, end of period			Unrealized gains (losses) for assets still held(3)
	(in thousands)
Fixed maturities, available-for-sale:
U.S. Government	$	8,779		$	0		$	601	$	0		$	0		$	0		$	0		$	0	$	0		$	9,380		$	0
Corporate Securities(4)	84,800			13			4,087		0			0			(16,626		)	0			815		(2,018		)	71,071			0
Structured Securities(5)	50,258			384			0		0			0			(339		)	0			0		(30,578		)	19,725			0
Other assets:
Fixed maturities, trading	0			(977		)	0		0			0			0			0			5,021		0			4,044			(972		)
Equity securities	5,616			481			0		(734		)	0			0			0			0		0			5,363			480
Reinsurance recoverables	283,991			51,236			4,518		0			0			0			(1		)	0		0			339,744			53,335
Liabilities:
Future policy benefits	(9,316,905		)	(2,157,110		)	0		0			(264,465		)	0			0			0		0			(11,738,480		)	(2,240,816		)
Policyholders' account balances(6)	(80,579		)	(5,095		)	0		0			(35,428		)	0			0			0		0			(121,102		)	(3,299		)

	Three Months Ended June 30, 2019
	Total realized and unrealized gains (losses)											Unrealized gains (losses) for assets still held(3)
	Realized investment gains (losses), net(1)			Asset administration fees and other income			Included in other comprehensive income (losses)		Net investment income			Realized investment gains (losses), net			Asset administration fees and other income
	(in thousands)
Fixed maturities, available-for-sale	$	(1,175	)	$	0		$	1,473	$	99		$	0		$	0
Other assets:
Fixed maturities, trading	0			(972		)	0		(5		)	0			(972		)
Equity securities	0			481			0		0			0			480
Reinsurance recoverables	51,236			0			0		0			53,335			0
Liabilities:
Future policy benefits	(2,157,110		)	0			0		0			(2,240,816		)	0
Policyholders' account balances	(5,095		)	0			0		0			(3,299		)	0

	Six Months Ended June 30, 2019
	Fair Value, beginning of period			Total realized and unrealized gains (losses)(1)			Purchases		Sales			Issuances			Settlements			Other(2)		Transfers into Level 3		Transfers out of Level 3			Fair Value, end of period			Unrealized gains (losses) for assets still held(3)
	(in thousands)
Fixed maturities, available-for-sale:
U.S. Government	$	8,132		$	0		$	1,248	$	0		$	0		$	0		$	0	$	0	$	0		$	9,380		$	0
Corporate Securities(4)	85,452			623			7,313		0			0			(22,089		)	0		1,790		(2,018		)	71,071			(1,996		)
Structured Securities(5)	9,336			529			44,273		0			0			(4,386		)	0		551		(30,578		)	19,725			(2		)
Other assets:
Fixed maturities, trading	0			(977		)	0		0			0			0			0		5,021		0			4,044			(972		)
Equity securities	5,705			587			0		(929		)	0			0			0		0		0			5,363			598
Reinsurance recoverables	239,911			68,861			9,077		0			0			0			21,895		0		0			339,744			72,829
Liabilities:
Future policy benefits	(8,332,474		)	(2,884,200		)	0		0			(521,806		)	0			0		0		0			(11,738,480		)	(3,025,994		)
Policyholders' account balances(6)	(42,350		)	(13,078		)	0		0			(65,674		)	0			0		0		0			(121,102		)	(11,282		)

	Six Months Ended June 30, 2019
	Total realized and unrealized gains (losses)											Unrealized gains (losses) for assets still held(3)
	Realized investment gains (losses), net(1)			Asset administration fees and other income			Included in other comprehensive income (losses)		Net investment income			Realized investment gains (losses), net			Asset administration fees and other income
	(in thousands)
Fixed maturities, available-for-sale	$	(1,900	)	$	0		$	2,914	$	138		$	(1,998	)	$	0
Other assets:
Fixed maturities, trading	0			(972		)	0		(5		)	0			(972		)
Equity securities	0			587			0		0			0			598
Reinsurance recoverables	68,861			0			0		0			72,829			0
Liabilities:
Future policy benefits	(2,884,200		)	0			0		0			(3,025,994		)	0
Policyholders' account balances	(13,078		)	0			0		0			(11,282		)	0

	Three Months Ended June 30, 2018(7)
	Fair Value, beginning of period			Total realized and unrealized gains (losses)(1)			Purchases		Sales			Issuances			Settlements			Other (2)		Transfers into Level 3		Transfers out of Level 3			Fair Value, end of period			Unrealized gains (losses) for assets still held(3)
	(in thousands)
Fixed maturities, available-for-sale:
U.S. Government	$	5,882		$	0		$	776	$	0		$	0		$	0		$	0	$	0	$	0		$	6,658		$	0
Corporate Securities(4)	90,273			(2,665		)	4,874		(205		)	0			(2,369		)	0		6,941		0			96,849			(144		)
Structured Securities(5)	256,244			(404		)	21,000		(193		)	0			(14,714		)	0		10,025		(212,780		)	59,178			0
Other assets:
Equity securities	10,617			(300		)	0		(1,008		)	0			0			0		0		0			9,309			(462		)
Other invested assets	0			0			0		0			0			0			0		0		0			0			0
Short-term investments	11			(2		)	0		0			0			(9		)	0		0		0			0			(2		)
Reinsurance recoverables	195,497			(15,696		)	4,662		0			0			0			795		0		0			185,258			(14,217		)
Receivables from parent and affiliates	34,163			0			0		0			0			0			0		0		(34,163		)	0			0
Liabilities:
Future policy benefits	(6,578,210		)	611,827			0		0			(256,229		)	0			0		0		0			(6,222,612		)	537,900
Policyholders' account balances(6)	0			(45		)	0		0			(13,790		)	0			0		0		0			(13,835		)	(45		)
Reinsurance payable	(129		)	0			0		0			0			0			129		0		0			0			0

	Three Months Ended June 30, 2018(7)
	Total realized and unrealized gains (losses)											Unrealized gains (losses) for assets still held(3)
	Realized investment gains (losses), net(1)			Asset administration fees and other income			Included in other comprehensive income (losses)			Net investment income		Realized investment gains (losses), net			Asset administration fees and other income
	(in thousands)
Fixed maturities, available-for-sale	$	(119	)	$	0		$	(3,002	)	$	52	$	(144	)	$	0
Other assets:
Equity securities	0			(300		)	0			0		0			(462		)
Other invested assets	0			0			0			0		0			0
Short-term investments	(2		)	0			0			0		(2		)	0
Reinsurance recoverables	(15,696		)	0			0			0		(14,217		)	0
Receivables from parent and affiliates	0			0			0			0		0			0
Liabilities:
Future policy benefits	611,827			0			0			0		537,900			0
Policyholders' account balances	(45		)	0			0			0		(45		)	0
Reinsurance payable	0			0			0			0		0			0

	Six Months Ended June 30, 2018(7)
	Fair Value, beginning of period			Total realized and unrealized gains (losses)(1)			Purchases		Sales			Issuances			Settlements			Other (2)			Transfers into Level 3		Transfers out of Level 3			Fair Value, end of period			Unrealized gains (losses) for assets still held(3)
	(in thousands)
Fixed maturities, available-for-sale:
U.S. Government	$	5,237		$	0		$	1,421	$	0		$	0		$	0		$	0		$	0	$	0		$	6,658		$	0
Corporate Securities(4)	95,206			(1,486		)	5,025		(241		)	0			(8,404		)	23			6,941		(215		)	96,849			(221		)
Structured Securities(5)	185,358			(504		)	84,810		(193		)	0			(23,613		)	0			51,979		(238,659		)	59,178			0
Other assets:
Equity securities	9,758			412			0		(1,008		)	0			0			147			0		0			9,309			250
Other invested assets	147			0			0		0			0			0			(147		)	0		0			0			0
Short-term investments	87			(55		)	0		0			0			(31		)	(1		)	0		0			0			(55		)
Reinsurance recoverables	244,006			(56,738		)	9,513		0			0			0			(11,523		)	0		0			185,258			(52,511		)
Receivables from parent and affiliates	0			(106		)	0		0			0			0			0			34,269		(34,163		)	0			0
Liabilities:
Future policy benefits	(8,151,902		)	2,440,439			0		0			(511,149		)	0			0			0		0			(6,222,612		)	2,272,290
Policyholders' account balances(6)	0			(45		)	0		0			(13,790		)	0			0			0		0			(13,835		)	(45		)

	Six Months Ended June 30, 2018(7)
	Total realized and unrealized gains (losses)										Unrealized gains (losses) for assets still held(3)
	Realized investment gains (losses), net(1)			Asset administration fees and other income		Included in other comprehensive income (losses)			Net investment income		Realized investment gains (losses), net			Asset administration fees and other income
	(in thousands)
Fixed maturities, available-for-sale	$	(185	)	$	0	$	(1,952	)	$	147	$	(221	)	$	0
Other assets:
Equity securities	0			412		0			0		0			250
Other invested assets	0			0		0			0		0			0
Short-term investments	(55		)	0		0			0		(55		)	0
Reinsurance recoverables	(56,738		)	0		0			0		(52,511		)	0
Receivables from parent and affiliates	0			0		(106		)	0		0			0
Liabilities:
Future policy benefits	2,440,439			0		0			0		2,272,290			0
Policyholders' account balances	(45		)	0		0			0		(45		)	0
Reinsurance payable	0			0		0			0		0			0

(1) 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.

(2) Other includes reclassifications of certain assets and liabilities between reporting categories.

(3) 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.

(4) Includes U.S. corporate public, U.S. corporate private, foreign corporate public and foreign corporate private securities.

(5) Includes asset-backed, commercial mortgage-backed and residential mortgage-backed securities.

(6) Issuances and settlements for Policyholders' account balances are presented net in the rollforward.

(7) Prior period amounts have been updated to conform to current period presentation.

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

	June 30, 2019
	Fair Value								Carrying Amount(1)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	0	$	1,358,041	$	1,358,041	$	1,316,611
Policy loans	0		0		12,239		12,239		12,239
Short-term investments	0		0		0		0		0
Cash and cash equivalents	468,660		835,000		0		1,303,660		1,303,660
Accrued investment income	0		98,149		0		98,149		98,149
Reinsurance recoverables	0		0		53,251		53,251		53,251
Receivables from parent and affiliates	0		11,974		0		11,974		11,974
Other assets	0		5,633		0		5,633		5,633
Total assets	$	468,660	$	950,756	$	1,423,531	$	2,842,947	$	2,801,517
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	0	$	1,003,487	$	1,003,487	$	997,938
Cash collateral for loaned securities	0		0		0		0		0
Short-term debt	0		0		0		0		0
Long-term debt	0		682,141		0		682,141		653,596
Reinsurance payables	0		0		53,251		53,251		53,251
Payables to parent and affiliates	0		35,557		0		35,557		35,557
Other liabilities	0		155,474		0		155,474		155,474
Separate account liabilities - investment contracts	0		65		0		65		65
Total liabilities	$	0	$	873,237	$	1,056,738	$	1,929,975	$	1,895,881

	December 31, 2018
	Fair Value								Carrying Amount(1)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	0	$	1,339,707	$	1,339,707	$	1,353,478
Policy loans	0		0		12,805		12,805		12,805
Short-term investments	7,750		0		0		7,750		7,750
Cash and cash equivalents	136,175		675,000		0		811,175		811,175
Accrued investment income	0		90,895		0		90,895		90,895
Reinsurance recoverables	0		0		55,236		55,236		55,236
Receivables from parent and affiliates	0		9,188		0		9,188		9,188
Other assets	0		3,735		0		3,735		3,735
Total assets	$	143,925	$	778,818	$	1,407,748	$	2,330,491	$	2,344,262
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	0	$	560,548	$	560,548	$	565,903
Cash collateral for loaned securities	0		384		0		384		384
Short-term debt	0		139,843		0		139,843		140,569
Long-term debt	0		791,670		0		791,670		787,596
Reinsurance payables	0		0		55,236		55,236		55,236
Payables to parent and affiliates	0		30,846		0		30,846		30,846
Other liabilities	0		554,162		0		554,162		554,162
Separate account liabilities - investment contracts	0		71		0		71		71
Total liabilities	$	0	$	1,516,976	$	615,784	$	2,132,760	$	2,134,767

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