Fair Value of Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 2019

Fair Value Disclosures [Abstract]

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, 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	$	7,473,555	$	9,883	$	0		$	7,483,438
Obligations of U.S. states and their political subdivisions	0		142,283		0		0			142,283
Foreign government bonds	0		222,541		0		0			222,541
U.S. corporate public securities	0		1,756,623		8,000		0			1,764,623
U.S. corporate private securities	0		1,056,417		34,560		0			1,090,977
Foreign corporate public securities	0		306,777		192		0			306,969
Foreign corporate private securities	0		1,020,459		30,282		0			1,050,741
Asset-backed securities(2)	0		425,773		19,683		0			445,456
Commercial mortgage-backed securities	0		584,181		0		0			584,181
Residential mortgage-backed securities	0		81,586		0		0			81,586
Subtotal	0		13,070,195		102,600		0			13,172,795
Fixed maturities, trading	0		388,789		3,960		0			392,749
Equity securities	4,962		51,912		5,109		0			61,983
Short-term investments	0		373,443		0		0			373,443
Cash equivalents	534,463		3,547,913		0		0			4,082,376
Other invested assets(3)	616		10,399,824		0		(10,400,438		)	2
Reinsurance recoverables	0		0		412,099		0			412,099
Receivables from parent and affiliates	0		3,167		0		0			3,167
Subtotal excluding separate account assets	540,041		27,835,243		523,768		(10,400,438		)	18,498,614
Separate account assets(4)	0		32,057,438		0		0			32,057,438
Total assets	$	540,041	$	59,892,681	$	523,768	$	(10,400,438	)	$	50,556,052
Future policy benefits(5)	$	0	$	0	$	15,086,125	$	0		$	15,086,125
Policyholders' account balances	0		0		153,935		0			153,935
Payables to parent and affiliates	0		3,819,216		0		(3,813,444		)	5,772
Other liabilities	6,508		0		0		(616		)	5,892
Total liabilities	$	6,508	$	3,819,216	$	15,240,060	$	(3,814,060	)	$	15,251,724

	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 $6,586 million and $2,671 million as of September 30, 2019 and December 31, 2018, respectively.

(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 September 30, 2019 and December 31, 2018, the fair values of such investments were $10.4 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 September 30, 2019, the net embedded derivative liability position of $15,086 million includes $408 million of embedded derivatives in an asset position and $15,494 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.

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, 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)	$	17,812	Discounted cash flow	Discount rate	7	%	20	%	10.06	%	Decrease
			Market Comparables	EBITDA multiples(3)	6.7X		6.7X		6.7X		Increase
Reinsurance recoverables	$	412,099	Fair values are determined using the same unobservable inputs as future policy benefits.
Liabilities:
Future policy benefits(4)	$	15,086,125	Discounted cash flow	Lapse rate(6)	1	%	18	%			Decrease
				Spread over LIBOR(7)	0.16	%	1.46	%			Decrease
				Utilization rate(8)	43	%	97	%			Increase
				Withdrawal rate	See table footnote (9) below.
				Mortality rate(10)	0	%	15	%			Decrease
				Equity volatility curve	14	%	23	%			Increase
Policyholders' account balances(5)	$	153,935	Discounted cash flow	Lapse rate(6)	1	%	42	%			Decrease
				Spread over LIBOR(7)	0.16	%	1.46	%			Decrease
				Equity volatility curve	13	%	25	%			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 September 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.

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.

	Three Months Ended September 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	$	9,380		$	0		$	503	$	0	$	0		$	0		$	0	$	0	$	0	$	9,883		$	0
Corporate Securities(4)	71,071			(361		)	10,340		0		0			(8,016		)	0		0		0		73,034			(769		)
Structured Securities(5)	19,725			296			0		0		0			(338		)	0		0		0		19,683			0
Other assets:
Fixed maturities, trading	4,044			(84		)	0		0		0			0			0		0		0		3,960			(79		)
Equity securities	5,363			(254		)	0		0		0			0			0		0		0		5,109			(254		)
Other invested assets	0			0			0		0		0			0			0		0		0		0			0
Short-term investments	0			0			0		0		0			0			0		0		0		0			0
Reinsurance recoverables	339,744			67,909			4,446		0		0			0			0		0		0		412,099			70,279
Receivables from parent and affiliates	0			0			0		0		0			0			0		0		0		0			0
Liabilities:
Future policy benefits	(11,738,480		)	(3,069,876		)	0		0		(277,769		)	0			0		0		0		(15,086,125		)	(3,187,867		)
Policyholders' account balances(6)	(121,102		)	274			0		0		(33,107		)	0			0		0		0		(153,935		)	2,610

	Three Months Ended September 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	$	(630	)	$	0		$	515	$	50		$	(769	)	$	0
Other assets:
Fixed maturities, trading	0			(79		)	0		(5		)	0			(79		)
Equity securities	0			(254		)	0		0			0			(254		)
Other invested assets	0			0			0		0			0			0
Short-term investments	0			0			0		0			0			0
Reinsurance recoverables	67,909			0			0		0			70,279			0
Receivables from parent and affiliates	0			0			0		0			0			0
Liabilities:
Future policy benefits	(3,069,876		)	0			0		0			(3,187,867		)	0
Policyholders' account balances	274			0			0		0			2,610			0

	Nine Months Ended September 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		$	1,751	$	0		$	0		$	0		$	0	$	0	$	0		$	9,883		$	0
Corporate Securities(4)	85,452			262			17,653		0			0			(30,105		)	0		1,790		(2,018		)	73,034			(2,765		)
Structured Securities(5)	9,336			825			44,273		0			0			(4,724		)	0		551		(30,578		)	19,683			(2		)
Other assets:
Fixed maturities, trading	0			(1,061		)	0		0			0			0			0		5,021		0			3,960			(1,051		)
Equity securities	5,705			333			0		(929		)	0			0			0		0		0			5,109			344
Other invested assets	0			0			0		0			0			0			0		0		0			0			0
Short-term investments	0			0			0		0			0			0			0		0		0			0			0
Reinsurance recoverables	239,911			136,770			13,523		0			0			0			21,895		0		0			412,099			142,329
Receivables from parent and affiliates	0			0			0		0			0			0			0		0		0			0			0
Liabilities:
Future policy benefits	(8,332,474		)	(5,954,076		)	0		0			(799,575		)	0			0		0		0			(15,086,125		)	(6,177,050		)
Policyholders' account balances(6)	(42,350		)	(12,804		)	0		0			(98,781		)	0			0		0		0			(153,935		)	(8,672		)

	Nine Months Ended September 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	$	(2,530	)	$	0		$	3,429	$	188		$	(2,767	)	$	0
Other assets:
Fixed maturities, trading	0			(1,051		)	0		(10		)	0			(1,051		)
Equity securities	0			333			0		0			0			344
Other invested assets	0			0			0		0			0			0
Short-term investments	0			0			0		0			0			0
Reinsurance recoverables	136,770			0			0		0			142,329			0
Receivables from parent and affiliates	0			0			0		0			0			0
Liabilities:
Future policy benefits	(5,954,076		)	0			0		0			(6,177,050		)	0
Policyholders' account balances	(12,804		)	0			0		0			(8,672		)	0

	Three Months Ended September 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	$	6,658		$	0		$	255	$	0		$	0		$	0		$	0		$	0		$	0		$	6,913		$	0
Corporate Securities(4)	96,849			(6,816		)	1,323		0			0			(6,495		)	3			0			0			84,864			(2,771		)
Structured Securities(5)	59,178			(155		)	0		(13,850		)	0			(14,052		)	0			(194		)	(20,975		)	9,952			0
Other assets:
Equity securities	9,309			(46		)	0		(1,584		)	0			0			0			0			0			7,679			(375		)
Other invested assets	0			0			0		0			0			0			0			0			0			0			0
Short-term investments	0			0			0		0			0			31			(23		)	0			0			8			0
Reinsurance recoverables	185,258			(33,467		)	4,930		0			0			0			2,485			0			0			159,206			(47,218		)
Receivables from parent and affiliates	0			0			0		0			0			0			0			0			0			0			0
Liabilities:
Future policy benefits	(6,222,612		)	1,485,428			0		0			(258,121		)	0			0			0			0			(4,995,305		)	1,428,629
Policyholders' account balances(6)	(13,835		)	(1,093		)	0		0			(19,141		)	0			0			0			0			(34,069		)	(1,093		)

	Three Months Ended September 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	$	(2,865	)	$	0		$	(4,153	)	$	47	$	(2,771	)	$	0
Other assets:
Equity securities	0			(46		)	0			0		0			(375		)
Other invested assets	0			0			0			0		0			0
Short-term investments	0			0			0			0		0			0
Reinsurance recoverables	(33,467		)	0			0			0		(47,218		)	0
Receivables from parent and affiliates	0			0			0			0		0			0
Liabilities:
Future policy benefits	1,485,428			0			0			0		1,428,629			0
Policyholders' account balances	(1,093		)	0			0			0		(1,093		)	0

	Nine Months Ended September 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		$	1,676	$	0		$	0		$	0		$	0		$	0	$	0		$	6,913		$	0
Corporate Securities(4)	95,206			(8,302		)	6,348		(241		)	0			(14,899		)	26			6,941		(215		)	84,864			(2,992		)
Structured Securities(5)	185,358			(659		)	84,810		(14,043		)	0			(37,665		)	0			51,785		(259,634		)	9,952			0
Other assets:
Equity securities	9,758			366			0		(2,592		)	0			0			147			0		0			7,679			(125		)
Other invested assets	147			0			0		0			0			0			(147		)	0		0			0			0
Short-term investments	87			(55		)	0		0			0			0			(24		)	0		0			8			(55		)
Reinsurance recoverables	244,006			(90,205		)	14,444		0			0			0			(9,039		)	0		0			159,206			(95,836		)
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		)	3,925,867			0		0			(769,270		)	0			0			0		0			(4,995,305		)	3,677,070
Policyholders' account balances(6)	0			(1,138		)	0		0			(32,931		)	0			0			0		0			(34,069		)	(1,138		)

	Nine Months Ended September 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	$	(3,050	)	$	0	$	(6,105	)	$	194	$	(2,992	)	$	0
Other assets:
Equity securities	0			366		0			0		0			(125		)
Other invested assets	0			0		0			0		0			0
Short-term investments	(55		)	0		0			0		(55		)	0
Reinsurance recoverables	(90,205		)	0		0			0		(95,836		)	0
Receivables from parent and affiliates	0			0		(106		)	0		0			0
Liabilities:
Future policy benefits	3,925,867			0		0			0		3,677,070			0
Policyholders' account balances	(1,138		)	0		0			0		(1,138		)	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, Liabilities 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.

	Three Months Ended September 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	$	9,380		$	0		$	503	$	0	$	0		$	0		$	0	$	0	$	0	$	9,883		$	0
Corporate Securities(4)	71,071			(361		)	10,340		0		0			(8,016		)	0		0		0		73,034			(769		)
Structured Securities(5)	19,725			296			0		0		0			(338		)	0		0		0		19,683			0
Other assets:
Fixed maturities, trading	4,044			(84		)	0		0		0			0			0		0		0		3,960			(79		)
Equity securities	5,363			(254		)	0		0		0			0			0		0		0		5,109			(254		)
Other invested assets	0			0			0		0		0			0			0		0		0		0			0
Short-term investments	0			0			0		0		0			0			0		0		0		0			0
Reinsurance recoverables	339,744			67,909			4,446		0		0			0			0		0		0		412,099			70,279
Receivables from parent and affiliates	0			0			0		0		0			0			0		0		0		0			0
Liabilities:
Future policy benefits	(11,738,480		)	(3,069,876		)	0		0		(277,769		)	0			0		0		0		(15,086,125		)	(3,187,867		)
Policyholders' account balances(6)	(121,102		)	274			0		0		(33,107		)	0			0		0		0		(153,935		)	2,610

	Three Months Ended September 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	$	(630	)	$	0		$	515	$	50		$	(769	)	$	0
Other assets:
Fixed maturities, trading	0			(79		)	0		(5		)	0			(79		)
Equity securities	0			(254		)	0		0			0			(254		)
Other invested assets	0			0			0		0			0			0
Short-term investments	0			0			0		0			0			0
Reinsurance recoverables	67,909			0			0		0			70,279			0
Receivables from parent and affiliates	0			0			0		0			0			0
Liabilities:
Future policy benefits	(3,069,876		)	0			0		0			(3,187,867		)	0
Policyholders' account balances	274			0			0		0			2,610			0

	Nine Months Ended September 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		$	1,751	$	0		$	0		$	0		$	0	$	0	$	0		$	9,883		$	0
Corporate Securities(4)	85,452			262			17,653		0			0			(30,105		)	0		1,790		(2,018		)	73,034			(2,765		)
Structured Securities(5)	9,336			825			44,273		0			0			(4,724		)	0		551		(30,578		)	19,683			(2		)
Other assets:
Fixed maturities, trading	0			(1,061		)	0		0			0			0			0		5,021		0			3,960			(1,051		)
Equity securities	5,705			333			0		(929		)	0			0			0		0		0			5,109			344
Other invested assets	0			0			0		0			0			0			0		0		0			0			0
Short-term investments	0			0			0		0			0			0			0		0		0			0			0
Reinsurance recoverables	239,911			136,770			13,523		0			0			0			21,895		0		0			412,099			142,329
Receivables from parent and affiliates	0			0			0		0			0			0			0		0		0			0			0
Liabilities:
Future policy benefits	(8,332,474		)	(5,954,076		)	0		0			(799,575		)	0			0		0		0			(15,086,125		)	(6,177,050		)
Policyholders' account balances(6)	(42,350		)	(12,804		)	0		0			(98,781		)	0			0		0		0			(153,935		)	(8,672		)

	Nine Months Ended September 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	$	(2,530	)	$	0		$	3,429	$	188		$	(2,767	)	$	0
Other assets:
Fixed maturities, trading	0			(1,051		)	0		(10		)	0			(1,051		)
Equity securities	0			333			0		0			0			344
Other invested assets	0			0			0		0			0			0
Short-term investments	0			0			0		0			0			0
Reinsurance recoverables	136,770			0			0		0			142,329			0
Receivables from parent and affiliates	0			0			0		0			0			0
Liabilities:
Future policy benefits	(5,954,076		)	0			0		0			(6,177,050		)	0
Policyholders' account balances	(12,804		)	0			0		0			(8,672		)	0

	Three Months Ended September 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	$	6,658		$	0		$	255	$	0		$	0		$	0		$	0		$	0		$	0		$	6,913		$	0
Corporate Securities(4)	96,849			(6,816		)	1,323		0			0			(6,495		)	3			0			0			84,864			(2,771		)
Structured Securities(5)	59,178			(155		)	0		(13,850		)	0			(14,052		)	0			(194		)	(20,975		)	9,952			0
Other assets:
Equity securities	9,309			(46		)	0		(1,584		)	0			0			0			0			0			7,679			(375		)
Other invested assets	0			0			0		0			0			0			0			0			0			0			0
Short-term investments	0			0			0		0			0			31			(23		)	0			0			8			0
Reinsurance recoverables	185,258			(33,467		)	4,930		0			0			0			2,485			0			0			159,206			(47,218		)
Receivables from parent and affiliates	0			0			0		0			0			0			0			0			0			0			0
Liabilities:
Future policy benefits	(6,222,612		)	1,485,428			0		0			(258,121		)	0			0			0			0			(4,995,305		)	1,428,629
Policyholders' account balances(6)	(13,835		)	(1,093		)	0		0			(19,141		)	0			0			0			0			(34,069		)	(1,093		)

	Three Months Ended September 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	$	(2,865	)	$	0		$	(4,153	)	$	47	$	(2,771	)	$	0
Other assets:
Equity securities	0			(46		)	0			0		0			(375		)
Other invested assets	0			0			0			0		0			0
Short-term investments	0			0			0			0		0			0
Reinsurance recoverables	(33,467		)	0			0			0		(47,218		)	0
Receivables from parent and affiliates	0			0			0			0		0			0
Liabilities:
Future policy benefits	1,485,428			0			0			0		1,428,629			0
Policyholders' account balances	(1,093		)	0			0			0		(1,093		)	0

	Nine Months Ended September 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		$	1,676	$	0		$	0		$	0		$	0		$	0	$	0		$	6,913		$	0
Corporate Securities(4)	95,206			(8,302		)	6,348		(241		)	0			(14,899		)	26			6,941		(215		)	84,864			(2,992		)
Structured Securities(5)	185,358			(659		)	84,810		(14,043		)	0			(37,665		)	0			51,785		(259,634		)	9,952			0
Other assets:
Equity securities	9,758			366			0		(2,592		)	0			0			147			0		0			7,679			(125		)
Other invested assets	147			0			0		0			0			0			(147		)	0		0			0			0
Short-term investments	87			(55		)	0		0			0			0			(24		)	0		0			8			(55		)
Reinsurance recoverables	244,006			(90,205		)	14,444		0			0			0			(9,039		)	0		0			159,206			(95,836		)
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		)	3,925,867			0		0			(769,270		)	0			0			0		0			(4,995,305		)	3,677,070
Policyholders' account balances(6)	0			(1,138		)	0		0			(32,931		)	0			0			0		0			(34,069		)	(1,138		)

	Nine Months Ended September 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	$	(3,050	)	$	0	$	(6,105	)	$	194	$	(2,992	)	$	0
Other assets:
Equity securities	0			366		0			0		0			(125		)
Other invested assets	0			0		0			0		0			0
Short-term investments	(55		)	0		0			0		(55		)	0
Reinsurance recoverables	(90,205		)	0		0			0		(95,836		)	0
Receivables from parent and affiliates	0			0		(106		)	0		0			0
Liabilities:
Future policy benefits	3,925,867			0		0			0		3,677,070			0
Policyholders' account balances	(1,138		)	0		0			0		(1,138		)	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 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. In some cases, as described below, the carrying amount equals or approximates fair value.

	September 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	$	1,381,743	$	1,381,743	$	1,335,206
Policy loans	0		0		12,352		12,352		12,352
Short-term investments	245,000		0		0		245,000		245,000
Cash and cash equivalents	585,944		1,255,000		0		1,840,944		1,840,944
Accrued investment income	0		98,662		0		98,662		98,662
Reinsurance recoverables	0		0		57,595		57,595		57,191
Receivables from parent and affiliates	0		11,934		0		11,934		11,934
Other assets	0		14,845		0		14,845		14,845
Total assets	$	830,944	$	1,380,441	$	1,451,690	$	3,663,075	$	3,616,134
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	0	$	1,259,338	$	1,259,338	$	1,251,639
Cash collateral for loaned securities	0		0		0		0		0
Short-term debt	0		0		0		0		0
Long-term debt	0		683,860		0		683,860		653,596
Reinsurance payables	0		0		51,267		51,267		51,267
Payables to parent and affiliates	0		48,380		0		48,380		48,380
Other liabilities	0		413,737		0		413,737		413,737
Separate account liabilities - investment contracts	0		58		0		58		58
Total liabilities	$	0	$	1,146,035	$	1,310,605	$	2,456,640	$	2,418,677

	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.