Fair Value of Assets and Liabilities

6 Months Ended

Jun. 30, 2018

Fair Value Disclosures [Abstract]

Fair Value Disclosures

Fair Value of Assets and Liabilities

Fair Value Measurement

General accounting principles for Fair Value Measurements and Disclosures define fair value as the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. These principles also establish a fair value hierarchy which requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value and describes three levels of inputs that may be used to measure fair value:

Level 1 - Unadjusted quoted prices in active markets for identical assets or liabilities. The Company’s Level 1 assets and liabilities are traded in active exchange markets.

Level 2 - Observable inputs other than Level 1 prices such as quoted prices for similar assets or liabilities; quoted prices in markets that are not active; or market standard valuation techniques and assumptions that use significant inputs that are observable or can be corroborated by observable market data for substantially the full term of the assets or liabilities.

Level 3 - Unobservable inputs that are supported by little or no market activity and that are significant to the fair value of the related assets or liabilities. Prices are determined using valuation methodologies such as discounted cash flow models and other similar techniques that require management’s judgment or estimation in developing inputs that are consistent with those other market participants would use when pricing similar assets and liabilities. Additionally, the Company’s embedded derivatives, all of which are associated with reinsurance treaties and longevity and mortality swaps, are classified in Level 3 since their values include significant unobservable inputs.

For a discussion of the Company’s valuation methodologies for assets and liabilities measured at fair value and the fair value hierarchy, see Note 6 in the Notes to Consolidated Financial Statements included in the Company’s 2017 Annual Report.

Assets and Liabilities by Hierarchy Level

Assets and liabilities measured at fair value on a recurring basis as of June 30, 2018 and December 31, 2017 are summarized below (dollars in thousands):

June 30, 2018:				Fair Value Measurements Using:
	Total			Level 1		Level 2			Level 3
Assets:
Fixed maturity securities – available-for-sale:
Corporate	$	22,503,507		$	—	$	21,136,353		$	1,367,154
Canadian government	4,062,843			—		3,490,145			572,698
RMBS	1,821,214			—		1,766,375			54,839
ABS	1,708,824			—		1,638,138			70,686
CMBS	1,242,509			—		1,240,642			1,867
U.S. government	1,525,150			1,405,485		98,930			20,735
State and political subdivisions	737,044			—		720,539			16,505
Other foreign government	3,183,863			—		3,178,819			5,044
Total fixed maturity securities – available-for-sale	36,784,954			1,405,485		33,269,941			2,109,528
Equity securities	108,070			65,133		—			42,937
Funds withheld at interest – embedded derivatives	144,610			—		—			144,610
Cash equivalents	424,601			409,242		15,359			—
Short-term investments	82,521			991		78,313			3,217
Other invested assets:
Derivatives:
Interest rate swaps	36,170			—		36,170			—
Foreign currency forwards	18,428			—		18,428			—
CPI swaps	(42		)	—		(42		)	—
Credit default swaps	5,927			—		5,927			—
Equity options	21,136			—		21,136			—
Foreign currency swaps	55,696			—		55,696			—
FVO contractholder-directed unit-linked investments	212,202			211,141		1,061			—
Total other invested assets	349,517			211,141		138,376			—
Other assets - longevity swaps	43,971			—		—			43,971
Total	$	37,938,244		$	2,091,992	$	33,501,989		$	2,344,263
Liabilities:
Interest sensitive contract liabilities – embedded derivatives	$	928,797		$	—	$	—		$	928,797
Other liabilities:
Derivatives:
Interest rate swaps	14,740			—		14,740			—
Foreign currency forwards	8			—		8			—
CPI swaps	(969		)	—		(969		)	—
Credit default swaps	(676		)	—		(676		)	—
Equity options	(4,814		)	—		(4,814		)	—
Mortality swaps	782			—		—			782
Total	$	937,868		$	—	$	8,289		$	929,579

December 31, 2017:				Fair Value Measurements Using:
	Total			Level 1		Level 2			Level 3
Assets:
Fixed maturity securities – available-for-sale:
Corporate	$	23,210,968		$	—	$	21,873,696		$	1,337,272
Canadian government	4,220,076			—		3,626,134			593,942
RMBS	1,719,880			—		1,611,998			107,882
ABS	1,648,362			—		1,524,888			123,474
CMBS	1,303,387			—		1,300,153			3,234
U.S. government	1,943,592			1,818,006		103,075			22,511
State and political subdivisions	703,428			—		662,225			41,203
Other foreign government	3,401,127			—		3,396,035			5,092
Total fixed maturity securities – available-for-sale	38,150,820			1,818,006		34,098,204			2,234,610
Equity securities:
Non-redeemable preferred stock	39,806			39,806		—			—
Other equity securities	60,346			60,346		—			—
Funds withheld at interest – embedded derivatives	122,194			—		—			122,194
Cash equivalents	356,788			354,071		2,717			—
Short-term investments	50,746			—		47,650			3,096
Other invested assets:
Derivatives:
Interest rate swaps	51,359			—		51,359			—
Foreign currency forwards	730			—		730			—
CPI swaps	(221		)	—		(221		)	—
Credit default swaps	5,908			—		5,908			—
Equity options	16,932			—		16,932			—
Foreign currency swaps	62,905			—		62,905			—
FVO contractholder-directed unit-linked investments	218,541			217,618		923			—
Total other invested assets	356,154			217,618		138,536			—
Other assets - longevity swaps	40,659			—		—			40,659
Total	$	39,177,513		$	2,489,847	$	34,287,107		$	2,400,559
Liabilities:
Interest sensitive contract liabilities – embedded derivatives	$	1,014,228		$	—	$	—		$	1,014,228
Other liabilities:
Derivatives:
Interest rate swaps	14,311			—		14,311			—
Foreign currency forwards	7,213			—		7,213			—
CPI swaps	1,939			—		1,939			—
Credit default swaps	(760		)	—		(760		)	—
Equity options	(6,339		)	—		(6,339		)	—
Foreign currency swaps	6,194			—		6,194			—
Mortality swaps	1,683			—		—			1,683
Total	$	1,038,469		$	—	$	22,558		$	1,015,911

Transfers between Levels 1 and 2

Transfers between Levels 1 and 2 are made to reflect changes in observability of inputs and market activity. There were no transfers between Level 1 and Level 2 for the six months ended June 30, 2018. The Company recognizes transfers of assets and liabilities into and out of levels within the fair value hierarchy at the beginning of the quarter in which the actual event or change in circumstances that caused the transfer occurs. The following tables present the transfers between Level 1 and Level 2 during the three and six months ended June 30, 2017 (dollars in thousands):

	2017
	Transfers from     Level 1 to Level 2		Transfers from     Level 2 to Level 1
Three months ended June 30:
Fixed maturity securities - available-for-sale:
Corporate securities	$	—	$	49,999
Six months ended June 30:
Fixed maturity securities - available-for-sale:
Corporate securities	$	—	$	88,674

Quantitative Information Regarding Internally - Priced Level 3 Assets and Liabilities

The following table presents quantitative information about significant unobservable inputs used in Level 3 fair value measurements that are developed internally by the Company as of June 30, 2018 and December 31, 2017 (dollars in thousands):

	Estimated Fair Value				Valuation Technique	Unobservable Inputs	Range (Weighted Average)
	June 30, 2018		December 31, 2017				June 30, 2018		December 31, 2017
Assets:
Corporate	$	571,750	$	173,579	Market comparable securities	Liquidity premium	0-2% (1%)		0-2%  (1%)
						EBITDA Multiple	5.9x-7.5x (6.9x)		—
U.S. government	20,735		22,511		Market comparable securities	Liquidity premium	0-1% (1%)		0-1%  (1%)
State and political subdivisions	4,361		4,616		Market comparable securities	Liquidity premium	1	%	1	%
Other foreign government	5,044		—		Market comparable securities	Liquidity premium	1	%	—
Equity securities	23,856		—		Market comparable securities	Liquidity premium	1	%	—
						EBITDA Multiple	6.9x-13.1x (7.9x)		—
Funds withheld at interest- embedded derivatives	144,610		122,194		Total return swap	Mortality	0-100%  (2%)		0-100%  (2%)
						Lapse	0-35%  (9%)		0-35%  (9%)
						Withdrawal	0-5%  (3%)		0-5%  (3%)
						CVA	0-5%  (1%)		0-5%  (1%)
						Crediting rate	2-4%  (2%)		2-4%  (2%)
Longevity swaps	43,971		40,659		Discounted cash flow	Mortality	0-100%  (2%)		0-100%  (2%)
						Mortality improvement	(10%)-10%  (3%)		(10%)-10%   (3%)
Liabilities:
Interest sensitive contract liabilities- embedded derivatives- indexed annuities	806,436		861,758		Discounted cash flow	Mortality	0-100% (2%)		0-100% (2%)
						Lapse	0-35% (9%)		0-35% (9%)
						Withdrawal	0-5% (3%)		0-5% (3%)
						Option budget projection	2-4% (2%)		2-4% (2%)
Interest sensitive contract liabilities- embedded derivatives- variable annuities	122,361		152,470		Discounted cash  flow	Mortality	0-100% (1%)		0-100% (1%)
						Lapse	0-25% (5%)		0-25% (5%)
						Withdrawal	0-7% (4%)		0-7% (3%)
						CVA	0-5% (1%)		0-5% (1%)
						Long-term volatility	0-27% (14%)		0-27% (8%)
Mortality swaps	782		1,683		Discounted cash flow	Mortality	0-100%  (1%)		0-100%  (1%)

Changes in Level 3 Assets and Liabilities

Assets and liabilities transferred into Level 3 are due to a lack of observable market transactions and price information. Assets and liabilities are transferred out of Level 3 when circumstances change such that significant inputs can be corroborated with market observable data. This may be due to a significant increase in market activity for the asset or liability, a specific event, one or more significant input(s) becoming observable. Transfers out of Level 3 were primarily the result of the Company obtaining observable pricing information or a third party pricing quotation that appropriately reflects the fair value of those assets and liabilities. In addition, certain transfers out of Level 3 were also due to ratings upgrades on mortgage-backed securities that had previously had below investment-grade ratings. The Company also transferred equity securities with a fair value of approximately $38.9 million into Level 3 as a result of the adoption of the new accounting guidance for the recognition and measurement of equity securities.

For further information on the Company’s valuation processes, see Note 6 in the Notes to Consolidated Financial Statements included in the Company’s 2017 Annual Report.

The reconciliations for all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) are as follows (dollars in thousands):

For the three months ended June 30, 2018:	Fixed maturity securities - available-for-sale
	Corporate			Canadian government			RMBS			ABS
Fair value, beginning of period	$	1,299,264		$	572,747		$	120,614		$	130,706
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment income, net of related expenses	(305		)	3,468			(43		)	76
Investment related gains (losses), net	(3,141		)	—			312			1,282
Included in other comprehensive income	2,178			(3,517		)	(671		)	(1,544		)
Purchases(1)	155,498			—			24,412			—
Sales(1)	(11,089		)	—			(4,961		)	—
Settlements(1)	(68,328		)	—			(1,572		)	(19,544		)
Transfers into Level 3	—			—			3,031			4,968
Transfers out of Level 3	(6,923		)	—			(86,283		)	(45,258		)
Fair value, end of period	$	1,367,154		$	572,698		$	54,839		$	70,686
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment income, net of related expenses	$	(304	)	$	3,468		$	(13	)	$	68
Investment related gains (losses), net	(3,141		)	—			—			—

For the three months ended June 30, 2018 (continued):	Fixed maturity securities available-for-sale
	CMBS			U.S. government			State and political subdivisions			Other foreign government
Fair value, beginning of period	$	1,884		$	21,053		$	41,876		$	5,004
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment income, net of related expenses	—			(107		)	(10		)	—
Included in other comprehensive income	(16		)	(173		)	(110		)	40
Purchases(1)	—			118			—			—
Settlements(1)	(2		)	(156		)	(86		)	—
Transfers out of Level 3	1			—			(25,165		)	—
Fair value, end of period	$	1,867		$	20,735		$	16,505		$	5,044
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment income, net of related expenses	$	—		$	(108	)	$	(11	)	$	—

For the three months ended June 30, 2018 (continued):	Equity securities			Funds withheld at interest- embedded derivatives		Short-term Investments			Other assets - longevity swaps			Interest sensitive contract liabilities embedded derivatives			Other liabilities - mortality swaps
Fair value, beginning of period	$	36,152		$	135,805	$	3,217		$	44,011		$	(964,794	)	$	(1,683	)
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment income, net of related expenses	—			—		—			—			—			—
Investment related gains (losses), net	(4,922		)	8,805		—			—			15,324			—
Claims & other policy benefits	—			—		—			—			—			—
Interest credited	—			—		—			—			6,519			—
Policy acquisition costs and other insurance expenses	—			—		—			—			—			—
Included in other comprehensive income	—			—		(21		)	(2,329		)	—			—
Other revenues	—			—		—			2,289			—			(799		)
Purchases(1)	12,248			—		335			—			(4,205		)	—
Sales(1)	(541		)	—		—			—			—			—
Settlements(1)	—			—		(314		)	—			18,359			1,700
Transfers into Level 3	—			—		—			—			—			—
Transfers out of Level 3	—			—		—			—			—			—
Fair value, end of period	$	42,937		$	144,610	$	3,217		$	43,971		$	(928,797	)	$	(782	)
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment related gains (losses), net	$	(5,000	)	$	8,805	$	—		$	—		$	13,474		$	—
Other revenues	—			—		—			2,289			—			(799		)
Interest credited	—			—		—			—			(11,839		)	—

For the six months ended June 30, 2018:	Fixed maturity securities - available-for-sale
	Corporate			Canadian government			RMBS			ABS
Fair value, beginning of period	$	1,337,272		$	593,942		$	107,882		$	123,474
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment income, net of related expenses	(666		)	6,912			(135		)	182
Investment related gains (losses), net	(3,141		)	—			312			1,284
Included in other comprehensive income	(30,674		)	(28,156		)	(1,781		)	(691		)
Purchases(1)	255,668			—			45,328			11,000
Sales(1)	(17,269		)	—			(4,961		)	—
Settlements(1)	(143,474		)	—			(4,535		)	(22,283		)
Transfers into Level 3	7,166			—			3,031			4,968
Transfers out of Level 3	(37,728		)	—			(90,302		)	(47,248		)
Fair value, end of period	$	1,367,154		$	572,698		$	54,839		$	70,686
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment income, net of related expenses	$	(665	)	$	6,912		$	(105	)	$	174
Investment related gains (losses), net	(3,141		)	—			—			—

For the six months ended June 30, 2018 (continued):	Fixed maturity securities available-for-sale
	CMBS			U.S. government			State and political subdivisions			Other foreign government
Fair value, beginning of period	$	3,234		$	22,511		$	41,203		$	5,092
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment income, net of related expenses	—			(217		)	(2		)	—
Included in other comprehensive income	(63		)	(513		)	590			(48		)
Purchases(1)	—			214			—			—
Settlements(1)	(3		)	(1,260		)	(121		)	—
Transfers out of Level 3	(1,301		)	—			(25,165		)	—
Fair value, end of period	$	1,867		$	20,735		$	16,505		$	5,044
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment income, net of related expenses	$	—		$	(218	)	$	(3	)	$	—

For the six months ended June 30, 2018 (continued):	Equity securities			Funds withheld at interest- embedded derivatives		Short-term Investments			Other assets - longevity swaps			Interest sensitive contract liabilities embedded derivatives			Other liabilities - mortality swaps
Fair value, beginning of period	$	—		$	122,194	$	3,096		$	40,659		$	(1,014,228	)	$	(1,683	)
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment related gains (losses), net	(7,599		)	22,416		—			—			30,109			—
Interest credited	—			—		—			—			31,870			—
Included in other comprehensive income	—			—		(46		)	(1,245		)	—			—
Other revenues	—			—		—			4,557			—			(799		)
Purchases(1)	12,248			—		481			—			(12,713		)	—
Sales(1)	(569		)	—		—			—			—			—
Settlements(1)	(48		)	—		(314		)	—			36,165			1,700
Transfers into Level 3	38,905			—		—			—			—			—
Fair value, end of period	$	42,937		$	144,610	$	3,217		$	43,971		$	(928,797	)	$	(782	)
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment related gains (losses), net	$	(7,705	)	$	22,416	$	—		$	—		$	26,375		$	—
Other revenues	—			—		—			4,557			—			(799		)
Interest credited	—			—		—			—			(4,295		)	—

For the three months ended June 30, 2017:	Fixed maturity securities - available-for-sale
	Corporate			Canadian government		RMBS			ABS
Fair value, beginning of period	$	1,263,925		$	483,560	$	143,430		$	208,436
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment income, net of related expenses	(396		)	3,201		(29		)	511
Investment related gains (losses), net	8,427			—		115			—
Included in other comprehensive income	(4,548		)	46,509		1,962			1,136
Purchases(1)	104,087			—		29,318			34,366
Sales(1)	(23,174		)	—		(4,467		)	—
Settlements(1)	(74,531		)	—		(4,655		)	(27,569		)
Transfers into Level 3	17,264			—		5,423			3,500
Transfers out of Level 3	—			—		(22,412		)	(18,791		)
Fair value, end of period	$	1,291,054		$	533,270	$	148,685		$	201,589
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment income, net of related expenses	$	(396	)	$	3,201	$	(37	)	$	239
Investment related gains (losses), net	(1,495		)	—		—			—

For the three months ended June 30, 2017 (continued):	Fixed maturity securities available-for-sale
	CMBS			U.S. government			State and political subdivisions			Other foreign government
Fair value, beginning of period	$	1,923		$	23,474		$	33,858		$	12,344
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment income, net of related expenses	—			(115		)	(6		)	—
Included in other comprehensive income	21			211			823			(12		)
Purchases(1)	—			132			—			—
Settlements(1)	(1		)	(135		)	(241		)	(338		)
Fair value, end of period	$	1,943		$	23,567		$	34,434		$	11,994
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment income, net of related expenses	$	—		$	(115	)	$	(6	)	$	—

For the three months ended June 30, 2017 (continued):	Short-term Investments			Funds withheld at interest- embedded derivatives		Other assets - longevity swaps		Interest sensitive contract liabilities embedded derivatives			Other liabilities - mortality swaps
Fair value, beginning of period	$	3,276		$	46,173	$	29,170	$	(972,930	)	$	(2,857	)
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment related gains (losses), net	—			15,108		—		360			—
Interest credited	—			—		—		(5,955		)	—
Included in other comprehensive income	(29		)	—		2,198		—			—
Other revenues	—			—		1,981		—			(395		)
Purchases(1)	324			—		—		(19,533		)	—
Settlements(1)	(23		)	—		—		23,427			1,700
Fair value, end of period	$	3,548		$	61,281	$	33,349	$	(974,631	)	$	(1,552	)
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment related gains (losses), net	$	—		$	15,108	$	—	$	(1,794	)	$	—
Other revenues	—			—		1,981		—			(395		)
Interest credited	—			—		—		(29,382		)	—

For the six months ended June 30, 2017:	Fixed maturity securities - available-for-sale
	Corporate			Canadian government		RMBS			ABS
Fair value, beginning of period	$	1,272,253		$	475,965	$	160,291		$	219,280
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment income, net of related expenses	(819		)	6,271		(274		)	1,529
Investment related gains (losses), net	7,196			—		480			—
Included in other comprehensive income	400			51,034		2,612			6,903
Purchases(1)	150,001			—		45,817			45,215
Sales(1)	(23,174		)	—		(15,071		)	—
Settlements(1)	(146,001		)	—		(11,439		)	(45,723		)
Transfers into Level 3	31,198			—		5,500			38,758
Transfers out of Level 3	—			—		(39,231		)	(64,373		)
Fair value, end of period	$	1,291,054		$	533,270	$	148,685		$	201,589
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment income, net of related expenses	$	(819	)	$	6,271	$	(128	)	$	400
Investment related gains (losses), net	(2,788		)	—		(346		)	—

For the six months ended June 30, 2017 (continued):	Fixed maturity securities available-for-sale
	CMBS			U.S. government			State and political subdivisions			Other foreign government
Fair value, beginning of period	$	21,145		$	24,488		$	41,666		$	12,869
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment income, net of related expenses	709			(232		)	(94		)	—
Investment related gains (losses), net	(595		)	—			—			—
Included in other comprehensive income	(62		)	263			(20		)	(203		)
Purchases(1)	—			236			—			—
Sales(1)	(3,720		)	—			—			—
Settlements(1)	(5,402		)	(1,188		)	(274		)	(672		)
Transfers out of Level 3	(10,132		)	—			(6,844		)	—
Fair value, end of period	$	1,943		$	23,567		$	34,434		$	11,994
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment income, net of related expenses	$	—		$	(232	)	$	(94	)	$	—

For the six months ended June 30, 2017 (continued):	Short-term Investments			Funds withheld at interest- embedded derivatives			Other assets - longevity swaps		Interest sensitive contract liabilities embedded derivatives			Other liabilities - mortality swaps
Fair value, beginning of period	$	3,346		$	(22,529	)	$	26,958	$	(990,308	)	$	(2,462	)
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment related gains (losses), net	—			83,810			—		22,723			—
Interest credited	—			—			—		(22,357		)	—
Included in other comprehensive income	4			—			2,545		—			—
Other revenues	—			—			3,846		—			(790		)
Purchases(1)	356			—			—		(25,927		)	—
Settlements(1)	(158		)	—			—		41,238			1,700
Fair value, end of period	$	3,548		$	61,281		$	33,349	$	(974,631	)	$	(1,552	)
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment related gains (losses), net	$	—		$	83,810		$	—	$	18,505		$	—
Other revenues	—			—			3,846		—			(790		)
Interest credited	—			—			—		(63,596		)	—

(1) The amount reported within purchases, sales and settlements is the purchase price (for purchases) and the sales/settlement proceeds (for sales and settlements) based upon the actual date purchased or sold/settled. Items purchased and sold/settled in the same period are excluded from the rollforward. The Company had no issuances during the period.

Nonrecurring Fair Value Measurements

During the six months ended June 30, 2018, the Company did not have any adjustments to its assets or liabilities measured at fair value on a nonrecurring basis that are still held at the reporting date. The following table presents information for assets measured at estimated fair value on a nonrecurring basis during the 2017 periods presented and still held at the reporting date (for example, when there is evidence of impairment). The estimated fair values for these assets were determined using significant unobservable inputs (Level 3).

	Carrying Value After Measurement		Net Investment Gains (Losses)
(dollars in thousands)	At June 30, 2017		Three months ended June 30, 2017			Six months ended June 30, 2017
Limited partnership interests(1)	$	3,690	$	(6,308	)	$	(6,308	)

(1) The impaired limited partnership interests presented above were accounted for using the cost method. Impairments on these cost method investments were recognized at estimated fair value determined using the net asset values of the Company’s ownership interest as provided in the financial statements of the investees. The market for these investments has limited activity and price transparency.

Fair Value of Financial Instruments

The Company is required by general accounting principles for Fair Value Measurements and Disclosures to disclose the fair value of certain financial instruments including those that are not carried at fair value. The following table presents the carrying amounts and estimated fair values of the Company’s financial instruments, which were not measured at fair value on a recurring basis, as of June 30, 2018 and December 31, 2017 (dollars in thousands). For additional information regarding the methods and significant assumptions used by the Company to estimate these fair values, see Note 6 in the Notes to Consolidated Financial Statements included in the Company’s 2017 Annual Report. This table excludes any payables or receivables for collateral under repurchase agreements and other transactions. The estimated fair value of the excluded amount approximates carrying value as they equal the amount of cash collateral received/paid.

June 30, 2018:	Carrying Value (1)		Estimated  Fair Value		Fair Value Measurement Using:
					Level 1		Level 2		Level 3		NAV
Assets:
Mortgage loans on real estate	$	4,558,669	$	4,461,317	$	—	$	—	$	4,461,317	$	—
Policy loans	1,339,252		1,339,252		—		1,339,252		—		—
Funds withheld at interest	5,836,373		6,057,217		—		—		6,057,217		—
Cash and cash equivalents	973,078		973,078		973,078		—		—		—
Short-term investments	40,507		40,507		40,507		—		—		—
Other invested assets	757,264		775,322		5,565		71,797		323,142		374,818
Accrued investment income	400,160		400,160		—		400,160		—		—
Liabilities:
Interest-sensitive contract liabilities	$	13,072,239	$	12,972,203	$	—	$	—	$	12,972,203	$	—
Long-term debt	2,788,111		2,868,837		—		—		2,868,837		—
Collateral finance and securitization notes	724,998		666,356		—		—		666,356		—
December 31, 2017:	Carrying Value (1)		Estimated Fair Value		Fair Value Measurement Using:
					Level 1		Level 2		Level 3		NAV
Assets:
Mortgage loans on real estate	$	4,400,533	$	4,477,654	$	—	$	—	$	4,477,654	$	—
Policy loans	1,357,624		1,357,624		—		1,357,624		—		—
Funds withheld at interest	5,955,092		6,275,623		—		—		6,275,623		—
Cash and cash equivalents	946,736		946,736		946,736		—		—		—
Short-term investments	42,558		42,558		42,558		—		—		—
Other invested assets	651,792		679,377		28,540		67,778		247,934		335,125
Accrued investment income	392,721		392,721		—		392,721		—		—
Liabilities:
Interest-sensitive contract liabilities	$	12,683,872	$	12,917,243	$	—	$	—	$	12,917,243	$	—
Long-term debt	2,788,365		2,959,912		—		—		2,959,912		—
Collateral finance and securitization notes	783,938		722,145		—		—		722,145		—

(1) Carrying values presented herein may differ from those in the Company’s condensed consolidated balance sheets because certain items within the respective financial statement captions may be measured at fair value on a recurring basis.