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Fair Value of Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 2020

Fair Value, Assets and Liabilities Measured on Recurring Basis

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 September 30, 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	$	9,106,048	$	13,216	$	0	$	9,119,264
Obligations of U.S. states and their political subdivisions	0		276,205		0		0		276,205
Foreign government bonds	0		182,881		0		0		182,881
U.S. corporate public securities	0		2,954,347		8,018		0		2,962,365
U.S. corporate private securities	0		1,546,023		68,535		0		1,614,558
Foreign corporate public securities	0		346,837		185		0		347,022
Foreign corporate private securities	0		1,238,125		60,653		0		1,298,778
Asset-backed securities(2)	0		789,844		19,607		0		809,451
Commercial mortgage-backed securities	0		706,637		302		0		706,939
Residential mortgage-backed securities	0		81,453		0		0		81,453
Subtotal	0		17,228,400		170,516		0		17,398,916
Fixed maturities, trading	0		826,228		4,666		0		830,894
Equity securities	4,794		38,881		6,180		0		49,855
Short-term investments	539,918		852,067		0		0		1,391,985
Cash equivalents	1,489,884		3,034,241		0		0		4,524,125
Other invested assets(3)	11,858		16,956,055		0		(16,963,144)		4,769
Other assets	0		0		40,765		0		40,765
Reinsurance recoverables	0		57,746		488,335		0		546,081
Receivables from parent and affiliates	0		56,906		0		0		56,906
Subtotal excluding separate account assets	2,046,454		39,050,524		710,462		(16,963,144)		24,844,296
Separate account assets(4)	0		30,093,780		0		0		30,093,780
Total assets	$	2,046,454	$	69,144,304	$	710,462	$	(16,963,144)	$	54,938,076
Future policy benefits(5)	$	0	$	0	$	21,325,619	$	0	$	21,325,619
Policyholders' account balances	0		0		303,060		0		303,060
Payables to parent and affiliates	0		7,170,819		0		(6,828,288)		342,531

Other liabilities	40,639		17,888		0		(7,090)		51,437
Total liabilities	$	40,639	$	7,188,707	$	21,628,679	$	(6,835,378)	$	22,022,647


	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 $10,128 million and $4,271 million as of September 30, 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. As of both September 30, 2020 and December 31, 2019, the fair values of such investments were $10.5 million.

(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, 2020, the net embedded derivative liability position of $21,326 million includes $289 million of embedded derivatives in an asset position and $21,615 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.

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, 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)	$	54,937	Discounted cash flow	Discount rate	1.30	%	25	%	6.24	%	Decrease


Reinsurance recoverables	$	488,335	Fair values are determined using the same unobservable inputs as future policy benefits.
Liabilities:
Future policy benefits(4)	$	21,325,619	Discounted cash flow	Lapse rate(6)	1	%	20	%			Decrease
				Spread over LIBOR(7)	0.09	%	1.59	%			Decrease
				Utilization rate(8)	39	%	96	%			Increase
				Withdrawal rate	See table footnote (9) below.
				Mortality rate(10)	0	%	15	%			Decrease
				Equity volatility curve	18	%	26	%			Increase
Policyholders' account balances(5)	$	303,060	Discounted cash flow	Lapse rate(6)	1	%	42	%			Decrease
				Spread over LIBOR(7)	0.09	%	1.59	%			Decrease
				Equity volatility curve	6	%	38	%			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 September 30, 2020 and December 31, 2019, the minimum withdrawal rate assumption is 76% and 78% respectively. As of September 30, 2020 and December 31, 2019, 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.

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. 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 September 30, 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	$	12,216	$	0	$	1,000	$	0	$	0	$	0	$	0	$	0	$	0	$	13,216	$	0

Corporate Securities(4)	123,389		1,827		13,775		7,775		0		(8,624)		(7,775)		7,819		(795)		137,391		1,689
Structured Securities(5)	18,128		169		1,899		0		0		(599)		0		312		0		19,909		157
Other assets:
Fixed maturities, trading	4,301		365		0		0		0		0		0		0		0		4,666		371
Equity securities	5,242		938		0		0		0		0		0		0		0		6,180		939



Other assets	27,136		2,844		10,789		0		0		(4)		0		0		0		40,765		2,840
Reinsurance recoverables	539,123		(55,075)		4,287		0		0		0		0		0		0		488,335		(51,944)

Liabilities:
Future policy benefits	(23,998,671)		2,964,808		0		0		(291,756)		0		0		0		0		(21,325,619)		2,776,482
Policyholders' account balances(6)	(226,072)		(34,565)		0		0		(42,423)		0		0		0		0		(303,060)		(22,855)


	Three Months Ended September 30, 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	$	254	$	0	$	1,683	$	59		$	414	$	0	$	1,432
Other assets:
Fixed maturities, trading	0		371		0		(6)			0		371		0
Equity securities	0		938		0		0			0		939		0



Other assets	2,844		0		0		0			2,840		0		0
Reinsurance recoverables	(55,075)		0		0		0			(51,944)		0		0

Liabilities:
Future policy benefits	2,964,808		0		0		0			2,776,482		0		0
Policyholders' account balances	(34,565)		0		0		0			(22,855)		0		0


	Nine Months Ended September 30, 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	$	2,669	$	0	$	0	$	0	$	0	$	0	$	0	$	13,216	$	0

Corporate Securities(4)	104,267		(4,337)		28,948		(1,190)		0		(14,434)		(7,775)		32,951		(1,039)		137,391		(6,353)
Structured Securities(5)	18,825		38		8,044		0		0		(1,674)		0		312		(5,636)		19,909		26
Other assets:
Fixed maturities, trading	4,464		202		0		0		0		0		0		0		0		4,666		218
Equity securities	5,247		933		0		0		0		0		0		0		0		6,180		934



Other assets	8,059		3,789		28,923		0		0		(6)		0		0		0		40,765		3,784
Reinsurance recoverables	302,814		172,671		12,850		0		0		0		0		0		0		488,335		178,844

Liabilities:
Future policy benefits	(11,822,998)		(8,644,255)		0		0		(858,366)		0		0		0		0		(21,325,619)		(8,923,218)
Policyholders' account balances(6)	(196,892)		(13,231)		0		0		(92,937)		0		0		0		0		(303,060)		9,727


	Nine Months Ended September 30, 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	$	87	$	0	$	(4,442)	$	56		$	(567)	$	0	$	(5,760)
Other assets:
Fixed maturities, trading	0		218		0		(16)			0		218		0
Equity securities	0		933		0		0			0		934		0



Other assets	3,789		0		0		0			3,784		0		0
Reinsurance recoverables	172,671		0		0		0			178,844		0		0

Liabilities:
Future policy benefits	(8,644,255)		0		0		0			(8,923,218)		0		0
Policyholders' account balances	(13,231)		0		0		0			9,727		0		0


	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 assets	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

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 (loss)		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 assets	0		0		0		0			0		0
Reinsurance recoverables	67,909		0		0		0			70,279		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 assets	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

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 (loss)		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 assets	0		0		0		0			0		0
Reinsurance recoverables	136,770		0		0		0			142,329		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

(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, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation


	Three Months Ended September 30, 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	$	12,216	$	0	$	1,000	$	0	$	0	$	0	$	0	$	0	$	0	$	13,216	$	0

Corporate Securities(4)	123,389		1,827		13,775		7,775		0		(8,624)		(7,775)		7,819		(795)		137,391		1,689
Structured Securities(5)	18,128		169		1,899		0		0		(599)		0		312		0		19,909		157
Other assets:
Fixed maturities, trading	4,301		365		0		0		0		0		0		0		0		4,666		371
Equity securities	5,242		938		0		0		0		0		0		0		0		6,180		939



Other assets	27,136		2,844		10,789		0		0		(4)		0		0		0		40,765		2,840
Reinsurance recoverables	539,123		(55,075)		4,287		0		0		0		0		0		0		488,335		(51,944)

Liabilities:
Future policy benefits	(23,998,671)		2,964,808		0		0		(291,756)		0		0		0		0		(21,325,619)		2,776,482
Policyholders' account balances(6)	(226,072)		(34,565)		0		0		(42,423)		0		0		0		0		(303,060)		(22,855)


	Three Months Ended September 30, 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	$	254	$	0	$	1,683	$	59		$	414	$	0	$	1,432
Other assets:
Fixed maturities, trading	0		371		0		(6)			0		371		0
Equity securities	0		938		0		0			0		939		0



Other assets	2,844		0		0		0			2,840		0		0
Reinsurance recoverables	(55,075)		0		0		0			(51,944)		0		0

Liabilities:
Future policy benefits	2,964,808		0		0		0			2,776,482		0		0
Policyholders' account balances	(34,565)		0		0		0			(22,855)		0		0


	Nine Months Ended September 30, 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	$	2,669	$	0	$	0	$	0	$	0	$	0	$	0	$	13,216	$	0

Corporate Securities(4)	104,267		(4,337)		28,948		(1,190)		0		(14,434)		(7,775)		32,951		(1,039)		137,391		(6,353)
Structured Securities(5)	18,825		38		8,044		0		0		(1,674)		0		312		(5,636)		19,909		26
Other assets:
Fixed maturities, trading	4,464		202		0		0		0		0		0		0		0		4,666		218
Equity securities	5,247		933		0		0		0		0		0		0		0		6,180		934



Other assets	8,059		3,789		28,923		0		0		(6)		0		0		0		40,765		3,784
Reinsurance recoverables	302,814		172,671		12,850		0		0		0		0		0		0		488,335		178,844

Liabilities:
Future policy benefits	(11,822,998)		(8,644,255)		0		0		(858,366)		0		0		0		0		(21,325,619)		(8,923,218)
Policyholders' account balances(6)	(196,892)		(13,231)		0		0		(92,937)		0		0		0		0		(303,060)		9,727


	Nine Months Ended September 30, 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	$	87	$	0	$	(4,442)	$	56		$	(567)	$	0	$	(5,760)
Other assets:
Fixed maturities, trading	0		218		0		(16)			0		218		0
Equity securities	0		933		0		0			0		934		0



Other assets	3,789		0		0		0			3,784		0		0
Reinsurance recoverables	172,671		0		0		0			178,844		0		0

Liabilities:
Future policy benefits	(8,644,255)		0		0		0			(8,923,218)		0		0
Policyholders' account balances	(13,231)		0		0		0			9,727		0		0


	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 assets	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

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 (loss)		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 assets	0		0		0		0			0		0
Reinsurance recoverables	67,909		0		0		0			70,279		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 assets	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

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 (loss)		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 assets	0		0		0		0			0		0
Reinsurance recoverables	136,770		0		0		0			142,329		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

(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.

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, 2020
	Fair Value								Carrying Amount(1)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	0	$	1,745,034	$	1,745,034	$	1,677,951
Policy loans	0		0		11,916		11,916		11,916

Short-term investments	423,500		0		0		423,500		423,500
Cash and cash equivalents	977,811		0		0		977,811		977,811
Accrued investment income	0		117,166		0		117,166		117,166
Reinsurance recoverables	0		0		52,422		52,422		51,665
Receivables from parent and affiliates	0		30,863		0		30,863		30,863
Other assets	0		2,143		340,274		342,417		342,417
Total assets	$	1,401,311	$	150,172	$	2,149,646	$	3,701,129	$	3,633,289
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	0	$	2,226,866	$	2,226,866	$	2,208,818
Cash collateral for loaned securities	0		0		0		0		0
Short-term debt	0		379,137		0		379,137		373,086
Long-term debt	0		335,225		0		335,225		299,747
Reinsurance payables	0		0		45,400		45,400		45,400
Payables to parent and affiliates	0		42,184		0		42,184		42,184
Other liabilities	0		437,817		0		437,817		437,817
Separate account liabilities - investment contracts	0		33		0		33		33
Total liabilities	$	0	$	1,194,396	$	2,272,266	$	3,466,662	$	3,407,085


	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.