Fair Value of Assets and Liabilities

3 Months Ended

Mar. 31, 2020

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, 2019.

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 March 31, 2020
	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	$	9,202,275	$	11,458	$	0		$	9,213,733
Obligations of U.S. states and their political subdivisions	0		237,643		0		0			237,643
Foreign government bonds	0		183,408		0		0			183,408
U.S. corporate public securities	0		1,879,387		8,284		0			1,887,671
U.S. corporate private securities	0		1,114,930		49,401		0			1,164,331
Foreign corporate public securities	0		265,160		211		0			265,371
Foreign corporate private securities	0		1,052,057		53,710		0			1,105,767
Asset-backed securities(2)	0		466,512		18,591		0			485,103
Commercial mortgage-backed securities	0		589,518		0		0			589,518
Residential mortgage-backed securities	0		74,295		5,636		0			79,931
Subtotal	0		15,065,185		147,291		0			15,212,476
Fixed maturities, trading	0		428,427		3,593		0			432,020
Equity securities	4,191		57,357		4,986		0			66,534
Short-term investments	437,156		1,103,598		0		0			1,540,754
Cash equivalents	681,478		11,138,431		0		0			11,819,909
Other invested assets(3)	21,405		21,787,574		0		(21,791,617		)	17,362
Other assets	0		3,514		12,242		0			15,756
Reinsurance recoverables	0		37,552		565,090		0			602,642
Receivables from parent and affiliates	0		52,453		0		0			52,453
Subtotal excluding separate account assets	1,144,230		49,674,091		733,202		(21,791,617		)	29,759,906
Separate account assets(4)	0		26,580,684		0		0			26,580,684
Total assets	$	1,144,230	$	76,254,775	$	733,202	$	(21,791,617	)	$	56,340,590
Future policy benefits(5)	$	0	$	0	$	25,302,654	$	0		$	25,302,654
Policyholders' account balances	0		0		158,920		0			158,920
Payables to parent and affiliates	0		8,143,486		0		(7,699,602		)	443,884
Other liabilities	32,429		0		0		(4,044		)	28,385
Total liabilities	$	32,429	$	8,143,486	$	25,461,574	$	(7,703,646	)	$	25,933,843

	As of December 31, 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	$	7,109,277	$	10,547	$	0		$	7,119,824
Obligations of U.S. states and their political subdivisions	0		259,682		0		0			259,682
Foreign government bonds	0		222,884		0		0			222,884
U.S. corporate public securities	0		1,732,632		8,044		0			1,740,676
U.S. corporate private securities	0		1,155,464		51,875		0			1,207,339
Foreign corporate public securities	0		337,800		187		0			337,987
Foreign corporate private securities	0		1,169,324		44,161		0			1,213,485
Asset-backed securities(2)	0		425,613		18,825		0			444,438
Commercial mortgage-backed securities	0		578,289		0		0			578,289
Residential mortgage-backed securities	0		77,761		0		0			77,761
Subtotal	0		13,068,726		133,639		0			13,202,365
Fixed maturities, trading	0		378,734		4,464		0			383,198
Equity securities	5,314		46,942		5,247		0			57,503
Short-term investments	0		260,354		0		0			260,354
Cash equivalents	150,631		1,654,974		0		0			1,805,605
Other invested assets(3)	639		7,323,412		0		(7,324,049		)	2
Other assets	0		0		8,059		0			8,059
Reinsurance recoverables	0		47,006		302,814		0			349,820
Receivables from parent and affiliates	0		2,573		0		0			2,573
Subtotal excluding separate account assets	156,584		22,782,721		454,223		(7,324,049		)	16,069,479
Separate account assets(4)	0		32,665,431		0		0			32,665,431
Total assets	$	156,584	$	55,448,152	$	454,223	$	(7,324,049	)	$	48,734,910
Future policy benefits(5)	$	0	$	0	$	11,822,998	$	0		$	11,822,998
Policyholders' account balances	0		0		196,892		0			196,892
Payables to parent and affiliates	0		3,198,440		0		(3,052,493		)	145,947
Other liabilities	8,509		260		0		(639		)	8,130
Total liabilities	$	8,509	$	3,198,700	$	12,019,890	$	(3,053,132	)	$	12,173,967

 

(1) “Netting” amounts represent cash collateral of $14,088 million and $4,271 million as of March 31, 2020 and December 31, 2019, 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. At March 31, 2020 and December 31, 2019, the fair values of such investments were $11.4 million and $10.5 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 March 31, 2020, the net embedded derivative liability position of $25,303 million includes $141 million of embedded derivatives in an asset position and $25,444 million of embedded derivatives in a liability position. As of December 31, 2019, the net embedded derivative liability position of $11,823 million includes $583 million of embedded derivatives in an asset position and $12,406 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 March 31, 2020
	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)	$	30,390	Discounted cash flow	Discount rate	1.90	%	25	%	7.98	%	Decrease
			Market Comparables	EBITDA multiples(3)	6.7X		6.7X		6.7X		Increase
Reinsurance recoverables	$	565,090	Fair values are determined using the same unobservable inputs as future policy benefits.
Liabilities:
Future policy benefits(4)	$	25,302,654	Discounted cash flow	Lapse rate(6)	1	%	18	%			Decrease
				Spread over LIBOR(7)	1.40	%	2.02	%			Decrease
				Utilization rate(8)	43	%	97	%			Increase
				Withdrawal rate	See table footnote (9) below.
				Mortality rate(10)	0	%	15	%			Decrease
				Equity volatility curve	18	%	33	%			Increase
Policyholders' account balances(5)	$	158,920	Discounted cash flow	Lapse rate(6)	1	%	42	%			Decrease
				Spread over LIBOR(7)	1.40	%	2.02	%			Decrease
				Equity volatility curve	6	%	53	%			Increase

	As of December 31, 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)	$	17,149	Discounted cash flow	Discount rate	4.79	%	20	%	8.66	%	Decrease
			Market Comparables	EBITDA multiples(3)	6.7	X	6.7	X	6.7	X	Increase
Reinsurance recoverables	$	302,814	Fair values are determined using the same unobservable inputs as future policy benefits.
Liabilities:
Future policy benefits(4)	$	11,822,998	Discounted cash flow	Lapse rate(6)	1	%	18	%			Decrease
				Spread over LIBOR(7)	0.10	%	1.23	%			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)	$	196,892	Discounted cash flow	Lapse rate(6)	1	%	42	%			Decrease
				Spread over LIBOR(7)	0.10	%	1.23	%			Decrease
				Equity volatility curve	6	%	25	%			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 a 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 a 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 both March 31, 2020 and December 31, 2019, 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, 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. Examples of such interrelationships for significant internally-priced Level 3 assets and liabilities are as follows:

Corporate Securities – The rate used to discount future cash flows reflects current risk-free rates plus credit and liquidity spread requirements that market participants would use to value an asset. The discount rate may be influenced by many factors, including market cycles, expectations of default, collateral, term and asset complexity. Each of these factors can influence discount rates, either in isolation, or in response to other factors. During weaker economic cycles, as the expectations of default increases, credit spreads widen, which results in a decrease in fair value.

Future Policy Benefits – The Company expects efficient benefit utilization and withdrawal rates to generally be correlated with lapse rates. However, behavior is highly dependent on the facts and circumstances surrounding the individual contractholder, such as their liquidity needs or tax situation, which could drive lapse behavior independent of other contractholder behavior assumptions. To the extent more efficient contractholder behavior results in greater in-the-moneyness at the contract level, lapse rates may decline for those contracts. Similarly, to the extent that increases in equity volatility are correlated with overall declines in the capital markets, lapse rates may decline as contracts become more in-the-money.

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. Transfers into Level 3 are generally the result of unobservable inputs utilized within valuation methodologies and the use of indicative broker quotes for assets that were previously valued using observable inputs. Transfers out of Level 3 are generally due to the use of observable inputs in valuation methodologies as well as the availability of pricing service information for certain assets that the Company can validate.

	Three Months Ended March 31, 2020
	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	$	10,547		$	0		$	911	$	0		$	0		$	0		$	0	$	0	$	0	$	11,458		$	0
Corporate Securities(4)	104,267			(14,767		)	11,277		(1,155		)	0			(2,365		)	0		14,349		0		111,606			(15,781		)
Structured Securities(5)	18,825			(288		)	6,145		0			0			(455		)	0		0		0		24,227			(286		)
Other assets:
Fixed maturities, trading	4,464			(871		)	0		0			0			0			0		0		0		3,593			(866		)
Equity securities	5,247			(261		)	0		0			0			0			0		0		0		4,986			(261		)
Other invested assets	0			0			0		0			0			0			0		0		0		0			0
Other assets	8,059			(3,613		)	7,796		0			0			0			0		0		0		12,242			(3,613		)
Reinsurance recoverables	302,814			257,953			4,323		0			0			0			0		0		0		565,090			260,722
Liabilities:
Future policy benefits	(11,822,998		)	(13,197,472		)	0		0			(282,184		)	0			0		0		0		(25,302,654		)	(13,329,640		)
Policyholders' account balances(6)	(196,892		)	60,429			0		0			(22,457		)	0			0		0		0		(158,920		)	53,957

	Three Months Ended March 31, 2020
	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 (loss)			Net investment income			Realized investment gains (losses), net			Asset administration fees and other income			Included in other comprehensive income (loss)(7)
	(in thousands)
Fixed maturities, available-for-sale	$	(110	)	$	0		$	(14,924	)	$	(21	)	$	0		$	0		$	(16,067	)
Other assets:
Fixed maturities, trading	0			(866		)	0			(5		)	0			(866		)	0
Equity securities	0			(261		)	0			0			0			(261		)	0
Other invested assets	0			0			0			0			0			0			0
Other assets	(3,613		)	0			0			0			(3,613		)	0			0
Reinsurance recoverables	257,953			0			0			0			260,722			0			0
Liabilities:
Future policy benefits	(13,197,472		)	0			0			0			(13,329,640		)	0			0
Policyholders' account balances	60,429			0			0			0			53,957			0			0

	Three Months Ended March 31, 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		$	647	$	0		$	0		$	0		$	0	$	0	$	0	$	8,779		$	0
Corporate Securities(4)	85,452			610			3,226		0			0			(5,463		)	0		975		0		84,800			(1,996		)
Structured Securities(5)	9,336			145			44,273		0			0			(4,047		)	0		551		0		50,258			(2		)
Other assets:
Fixed maturities, trading	0			0			0		0			0			0			0		0		0		0			0
Equity securities	5,705			106			0		(195		)	0			0			0		0		0		5,616			118
Other invested assets	0			0			0		0			0			0			0		0		0		0			0
Other assets	0			0			0		0			0			0			0		0		0		0			0
Reinsurance recoverables	239,911			17,625			4,559		0			0			0			21,896		0		0		283,991			17,625
Liabilities:
Future policy benefits	(8,332,474		)	(727,090		)	0		0			(257,341		)	0			0		0		0		(9,316,905		)	(790,926		)
Policyholders' account balances(6)	(42,350		)	(7,983		)	0		0			(30,246		)	0			0		0		0		(80,579		)	(7,983		)

	Three Months Ended March 31, 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 (loss)		Net investment income		Realized investment gains (losses), net			Asset administration fees and other income
	(in thousands)
Fixed maturities, available-for-sale	$	(725	)	$	0	$	1,441	$	39	$	(1,998	)	$	0
Other assets:
Fixed maturities, trading	0			0		0		0		0			0
Equity securities	0			106		0		0		0			118
Other invested assets	0			0		0		0		0			0
Other assets	0			0		0		0		0			0
Reinsurance recoverables	17,625			0		0		0		17,625			0
Liabilities:
Future policy benefits	(727,090		)	0		0		0		(790,926		)	0
Policyholders' account balances	(7,983		)	0		0		0		(7,983		)	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) Effective January 1, 2020, the changes in unrealized gains and losses for the period included in other comprehensive income for recurring Level 3 fair value measurements held at the end of the reporting period were added prospectively due to adoption of ASU 2018-13. Fair Value Measurement (Topic 820): Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement.

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.

	March 31, 2020
	Fair Value								Carrying Amount(1)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	0	$	1,517,044	$	1,517,044	$	1,502,846
Policy loans	0		0		12,251		12,251		12,251
Short-term investments	480,000		0		0		480,000		480,000
Cash and cash equivalents	2,025,451		100,000		0		2,125,451		2,125,451
Accrued investment income	0		107,400		0		107,400		107,400
Reinsurance recoverables	0		0		55,626		55,626		55,137
Receivables from parent and affiliates	0		11,128		0		11,128		11,128
Other assets	0		7,274		129,595		136,869		136,869
Total assets	$	2,505,451	$	225,802	$	1,714,516	$	4,445,769	$	4,431,082
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	0	$	1,622,012	$	1,622,012	$	1,615,833
Cash collateral for loaned securities	0		0		0		0		0
Short-term debt	0		235,228		0		235,228		234,178
Long-term debt	0		428,943		0		428,943		419,418
Reinsurance payables	0		0		48,544		48,544		48,544
Payables to parent and affiliates	0		49,200		0		49,200		49,200
Other liabilities	0		624,319		0		624,319		624,319
Separate account liabilities - investment contracts	0		39		0		39		39
Total liabilities	$	0	$	1,337,729	$	1,670,556	$	3,008,285	$	2,991,531

	December 31, 2019
	Fair Value								Carrying Amount(1)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	0	$	1,512,283	$	1,512,283	$	1,471,522
Policy loans	0		0		12,366		12,366		12,366
Short-term investments	75,004		0		0		75,004		75,004
Cash and cash equivalents	687,558		302,000		0		989,558		989,558
Accrued investment income	0		102,724		0		102,724		102,724
Reinsurance recoverables	0		0		56,171		56,171		55,796
Receivables from parent and affiliates	0		10,192		50,587		60,779		60,192
Other assets	0		1,893		63,106		64,999		64,999
Total assets	$	762,562	$	416,809	$	1,694,513	$	2,873,884	$	2,832,161
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	0	$	1,445,486	$	1,445,486	$	1,438,742
Cash collateral for loaned securities	0		0		0		0		0
Short-term debt	0		245,617		0		245,617		242,094
Long-term debt	0		446,105		0		446,105		419,418
Reinsurance payables	0		0		50,035		50,035		50,035
Payables to parent and affiliates	0		39,209		0		39,209		39,209
Other liabilities	0		205,988		0		205,988		205,988
Separate account liabilities - investment contracts	0		54		0		54		54
Total liabilities	$	0	$	936,973	$	1,495,521	$	2,432,494	$	2,395,540

(1)

Carrying values presented herein differ from those in the Company’s Unaudited Interim Statements of Financial Position because certain items within the respective financial statement captions are not considered financial instruments or out of scope under authoritative guidance relating to disclosures of the fair value of financial instruments.