Fair Value of Assets and Liabilities (Tables)

6 Months Ended

Jun. 30, 2020

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 June 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	$	16,052	$	0	$	0		$	16,052
Obligations of U.S. states and their political subdivisions	0		180,090		0		0			180,090
Foreign government bonds	0		78,794		0		0			78,794
U.S. corporate public securities	0		856,451		0		0			856,451
U.S. corporate private securities	0		240,303		303		0			240,606
Foreign corporate public securities	0		59,180		0		0			59,180
Foreign corporate private securities	0		142,358		19,929		0			162,287
Asset-backed securities(2)	0		18,437		0		0			18,437
Commercial mortgage-backed securities	0		155,374		0		0			155,374
Residential mortgage-backed securities	0		4,282		0		0			4,282
Subtotal	0		1,751,321		20,232		0			1,771,553
Fixed maturities, trading	0		12,727		0		0			12,727
Equity securities	0		124		7,187		0			7,311
Cash equivalents	0		35,939		0		0			35,939
Other invested assets(3)	0		42,714		0		(8,466		)	34,248
Reinsurance recoverables	0		0		1,741,924		0			1,741,924
Receivables from parent and affiliates	0		2,316		0		0			2,316
Subtotal excluding separate account assets	0		1,845,141		1,769,343		(8,466		)	3,606,018
Separate account assets(4)(5)	0		13,415,971		0		0			13,415,971
Total assets	$	0	$	15,261,112	$	1,769,343	$	(8,466	)	$	17,021,989
Future policy benefits(6)	$	0	$	0	$	1,741,924	$	0		$	1,741,924
Policyholders' account balances	0		0		143,242		0			143,242
Payables to parent and affiliates	0		8,457		0		(8,457		)	0
Total liabilities	$	0	$	8,457	$	1,885,166	$	(8,457	)	$	1,885,166

	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	$	16,015	$	0	$	0		$	16,015
Obligations of U.S. states and their political subdivisions	0		133,677		0		0			133,677
Foreign government bonds	0		77,280		0		0			77,280
U.S. corporate public securities	0		697,520		0		0			697,520
U.S. corporate private securities	0		232,903		312		0			233,215
Foreign corporate public securities	0		57,993		0		0			57,993
Foreign corporate private securities	0		163,026		866		0			163,892
Asset-backed securities(2)	0		18,542		0		0			18,542
Commercial mortgage-backed securities	0		147,389		0		0			147,389
Residential mortgage-backed securities	0		4,573		0		0			4,573
Subtotal	0		1,548,918		1,178		0			1,550,096
Fixed maturities, trading	0		13,700		0		0			13,700
Equity securities	0		207		7,305		0			7,512
Cash equivalents	0		55,896		0		0			55,896
Other invested assets(3)	0		34,413		0		(13,029		)	21,384
Reinsurance recoverables	0		0		760,558		0			760,558
Receivables from parent and affiliates	0		2,433		0		0			2,433
Subtotal excluding separate account assets	0		1,655,567		769,041		(13,029		)	2,411,579
Separate account assets(4)(5)	0		13,927,275		0		0			13,927,275
Total assets	$	0	$	15,582,842	$	769,041	$	(13,029	)	$	16,338,854
Future policy benefits(6)	$	0	$	0	$	760,558	$	0		$	760,558
Policyholders' account balances	0		0		133,793		0			133,793
Payables to parent and affiliates	0		13,043		0		(13,043		)	0
Total liabilities	$	0	$	13,043	$	894,351	$	(13,043	)	$	894,351

(1) “Netting” amounts represent cash collateral of $0.0 million as of both June 30, 2020 and December 31, 2019.

(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 June 30, 2020 and December 31, 2019, the fair values of such investments were $2.9 million and $3.3 million, respectively.

(4) Separate account assets included in the fair value hierarchy exclude investments in entities that calculate NAV per share (or its equivalent) as a practical expedient. Such investments excluded from the fair value hierarchy include investments in real estate, hedge funds and a corporate owned life insurance fund, for which fair value is measured at NAV per share (or its equivalent). At June 30, 2020 and December 31, 2019, the fair value of such investments was $1,875 million and $1,977 million, respectively.

(5) 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.

(6) As of June 30, 2020, the net embedded derivative liability position of $1,742 million includes $24 million of embedded derivatives in an asset position and $1,766 million of embedded derivatives in a liability position. As of December 31, 2019, the net embedded derivative liability position of $761 million includes $60 million of embedded derivatives in an asset position and $821 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 June 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)	$	20,232	Discounted cash flow	Discount rate	2.28	%	2.58	%		2.45	%	Decrease
Reinsurance recoverables	$	1,741,924	Fair values are determined using the same unobservable inputs as future policy benefits.
Liabilities:
Future policy benefits(3)	$	1,741,924	Discounted cash flow	Lapse rate(5)	1	%	20	%				Decrease
				Spread over LIBOR(6)	0.17	%	1.69	%				Decrease
				Utilization rate(7)	39	%	96	%				Increase
				Withdrawal rate					See table footnote (8) below.
				Mortality rate (9)	0	%	15	%				Decrease
				Equity volatility curve	18	%	29	%				Increase
Policyholders' account balances(4)	$	143,242	Discounted cash flow	Lapse rate(5)	1	%	6	%				Decrease
				Spread over LIBOR(6)	0.17	%	1.69	%				Decrease
				Mortality rate (9)	0	%	24	%				Decrease
				Equity volatility curve	18	%	35	%				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:
Reinsurance recoverables	$	760,558	Fair values are determined using the same unobservable inputs as future policy benefits.
Liabilities:
Future policy benefits(3)	$	760,558	Discounted cash flow	Lapse rate(5)	1	%	18	%		Decrease
				Spread over LIBOR(6)	0.10	%	1.23	%		Decrease
				Utilization rate(7)	43	%	97	%		Increase
				Withdrawal rate	See table footnote(8) below.
				Mortality rate(9)	0	%	15	%		Decrease
				Equity volatility curve	13	%	23	%		Increase
Policyholders' account balances(4)	$	133,793	Discounted cash flow	Lapse rate(5)	1	%	6	%		Decrease
				Spread over LIBOR(6)	0.10	%	1.23	%		Decrease
				Mortality rate (9)	0	%	24	%		Decrease
				Equity volatility curve	10	%	23	%		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.

(3) 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.

(4) Policyholders’ account balances primarily represent general account liabilities for the index-linked interest credited on certain of the Company’s life 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.

(5) 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.

(6) 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.

(7) 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.

(8) The withdrawal rate assumption estimates the magnitude of annual contractholder withdrawals relative to the maximum allowable amount under the contract. These assumptions vary based on the age of the contractholder, the tax status of the contract and the duration since the contractholder began lifetime withdrawals. As of June 30, 2020 and December 31, 2019, the minimum withdrawal rate assumption is 76% and 78% respectively. As of June 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%.

(9) 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. 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 June 30, 2020
	Fair Value, beginning of period			Total realized and unrealized gains (losses)(1)			Purchases		Sales			Issuances			Settlements		Other		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period			Unrealized gains (losses) for assets still held(2)
	(in thousands)
Fixed maturities, available-for-sale:
Corporate securities(3)	$	18,274		$	1,959		$	0	$	(1	)	$	0		$	0	$	0	$	0	$	0	$	20,232		$	1,959
Structured securities(4)	0			0			0		0			0			0		0		0		0		0			0
Other assets:
Equity securities	6,840			347			0		0			0			0		0		0		0		7,187			348
Reinsurance recoverables	1,868,539			(153,382		)	26,767		0			0			0		0		0		0		1,741,924			(141,848		)
Liabilities:
Future policy benefits	(1,868,539		)	153,382			0		0			(26,767		)	0		0		0		0		(1,741,924		)	141,848
Policyholders' account balances(5)	(123,608		)	(11,691		)	0		0			(7,943		)	0		0		0		0		(143,242		)	(12,621		)

	Three Months Ended June 30, 2020
	Total realized and unrealized gains (losses)									Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net(1)			Other income (loss)		Included in other comprehensive income (loss)		Net investment income		Realized investment gains (losses), net			Other income (loss)		Included in other comprehensive income (loss)(6)
	(in thousands)
Fixed maturities, available-for-sale	$	0		$	0	$	1,959	$	0	$	0		$	0	$	1,959
Other assets:
Equity securities	0			347		0		0		0			348		0
Reinsurance recoverables	(153,382		)	0		0		0		(141,848		)	0		0
Liabilities:
Future policy benefits	153,382			0		0		0		141,848			0		0
Policyholders' account balances	(11,691		)	0		0		0		(12,621		)	0		0

	Six Months Ended June 30, 2020
	Fair Value, beginning of period			Total realized and unrealized gains (losses)(1)			Purchases		Sales			Issuances			Settlements		Other		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period			Unrealized gains (losses) for assets still held(2)
	(in thousands)
Fixed maturities, available-for-sale:
Corporate securities(3)	$	1,178		$	185		$	0	$	(861	)	$	0		$	0	$	0	$	19,730	$	0	$	20,232		$	190
Structured securities(4)	0			0			0		0			0			0		0		0		0		0			0
Other assets:
Equity securities	7,305			(118		)	0		0			0			0		0		0		0		7,187			(118		)
Reinsurance recoverables	760,558			928,281			53,085		0			0			0		0		0		0		1,741,924			940,465
Liabilities:
Future policy benefits	(760,558		)	(928,281		)	0		0			(53,085		)	0		0		0		0		(1,741,924		)	(940,465		)
Policyholders' account balances(5)	(133,793		)	5,249			0		0			(14,698		)	0		0		0		0		(143,242		)	5,039

	Six Months Ended June 30, 2020
	Total realized and unrealized gains (losses)										Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net(1)			Other income (loss)			Included in other comprehensive income (loss)		Net investment income		Realized investment gains (losses), net			Other income (loss)			Included in other comprehensive income (loss)(6)
	(in thousands)
Fixed maturities, available-for-sale	$	32		$	0		$	145	$	8	$	0		$	0		$	190
Other assets:
Equity securities	0			(118		)	0		0		0			(118		)	0
Reinsurance recoverables	928,281			0			0		0		940,465			0			0
Liabilities:
Future policy benefits	(928,281		)	0			0		0		(940,465		)	0			0
Policyholders' account balances	5,249			0			0		0		5,039			0			0

	Three Months Ended June 30, 2019
	Fair Value, beginning of period			Total realized and unrealized gains (losses)(1)			Purchases		Sales		Issuances			Settlements			Other		Transfers into Level 3		Transfers out of Level 3			Fair Value, end of period			Unrealized gains (losses) for assets still held(2)
	(in thousands)
Fixed maturities, available-for-sale:
Corporate securities(3)	$	2,344		$	(310	)	$	0	$	0	$	0		$	(638	)	$	0	$	639	$	0		$	2,035		$	0
Structured securities(4)	25,324			0			0		0		0			0			0		0		(25,324		)	0			0
Other assets:
Equity securities	6,576			630			0		0		0			0			0		0		0			7,206			630
Reinsurance recoverables	571,117			162,593			23,526		0		0			0			0		0		0			757,236			167,330
Liabilities:
Future policy benefits	(571,117		)	(162,593		)	0		0		(23,526		)	0			0		0		0			(757,236		)	(167,330		)
Policyholders' account balances(5)	(7,529		)	(98,831		)	0		0		(6,057		)	0			0		0		0			(112,417		)	(98,831		)

	Three Months Ended June 30, 2019
	Total realized and unrealized gains (losses)										Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net(1)			Other income (loss)		Included in other comprehensive income (loss)			Net investment income		Realized investment gains (losses), net			Other income (loss)
	(in thousands)
Fixed maturities, available-for-sale	$	0		$	0	$	(447	)	$	137	$	0		$	0
Other assets:
Equity securities	0			630		0			0		0			630
Reinsurance recoverables	162,593			0		0			0		167,330			0
Liabilities:
Future policy benefits	(162,593		)	0		0			0		(167,330		)	0
Policyholders' account balances	(98,831		)	0		0			0		(98,831		)	0

	Six Months Ended June 30, 2019
	Fair Value, beginning of period			Total realized and unrealized gains (losses)(1)			Purchases		Sales		Issuances			Settlements			Other		Transfers into Level 3		Transfers out of Level 3			Fair Value, end of period			Unrealized gains (losses) for assets still held(2)
	(in thousands)
Fixed maturities, available-for-sale:
Corporate securities(3)	$	2,882		$	(1,096	)	$	248	$	0	$	0		$	(638	)	$	0	$	639	$	0		$	2,035		$	(3,163	)
Structured securities(4)	0			432			0		0		0			(68		)	0		24,960		(25,324		)	0			0
Other assets:
Equity securities	6,622			584			0		0		0			0			0		0		0			7,206			584
Reinsurance recoverables	488,825			222,383			46,028		0		0			0			0		0		0			757,236			229,926
Liabilities:
Future policy benefits	(488,825		)	(222,383		)	0		0		(46,028		)	0			0		0		0			(757,236		)	(229,926		)
Policyholders' account balances(5)	(1,949		)	(103,508		)	0		0		(6,960		)	0			0		0		0			(112,417		)	(103,504		)

	Six Months Ended June 30, 2019
	Total realized and unrealized gains (losses)									Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net(1)			Other income (loss)		Included in other comprehensive income (loss)		Net investment income		Realized investment gains (losses), net			Other income (loss)
	(in thousands)
Fixed maturities, available-for-sale	$	(3,163	)	$	0	$	2,353	$	146	$	(3,163	)	$	0
Other assets:
Equity securities	0			584		0		0		0			584
Reinsurance recoverables	222,383			0		0		0		229,926			0
Liabilities:
Future policy benefits	(222,383		)	0		0		0		(229,926		)	0
Policyholders' account balances	(103,508		)	0		0		0		(103,504		)	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) 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.

(3) Includes U.S. corporate private and foreign corporate private securities.

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

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

(6)

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

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 June 30, 2020
	Fair Value, beginning of period			Total realized and unrealized gains (losses)(1)			Purchases		Sales			Issuances			Settlements		Other		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period			Unrealized gains (losses) for assets still held(2)
	(in thousands)
Fixed maturities, available-for-sale:
Corporate securities(3)	$	18,274		$	1,959		$	0	$	(1	)	$	0		$	0	$	0	$	0	$	0	$	20,232		$	1,959
Structured securities(4)	0			0			0		0			0			0		0		0		0		0			0
Other assets:
Equity securities	6,840			347			0		0			0			0		0		0		0		7,187			348
Reinsurance recoverables	1,868,539			(153,382		)	26,767		0			0			0		0		0		0		1,741,924			(141,848		)
Liabilities:
Future policy benefits	(1,868,539		)	153,382			0		0			(26,767		)	0		0		0		0		(1,741,924		)	141,848
Policyholders' account balances(5)	(123,608		)	(11,691		)	0		0			(7,943		)	0		0		0		0		(143,242		)	(12,621		)

	Three Months Ended June 30, 2020
	Total realized and unrealized gains (losses)									Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net(1)			Other income (loss)		Included in other comprehensive income (loss)		Net investment income		Realized investment gains (losses), net			Other income (loss)		Included in other comprehensive income (loss)(6)
	(in thousands)
Fixed maturities, available-for-sale	$	0		$	0	$	1,959	$	0	$	0		$	0	$	1,959
Other assets:
Equity securities	0			347		0		0		0			348		0
Reinsurance recoverables	(153,382		)	0		0		0		(141,848		)	0		0
Liabilities:
Future policy benefits	153,382			0		0		0		141,848			0		0
Policyholders' account balances	(11,691		)	0		0		0		(12,621		)	0		0

	Six Months Ended June 30, 2020
	Fair Value, beginning of period			Total realized and unrealized gains (losses)(1)			Purchases		Sales			Issuances			Settlements		Other		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period			Unrealized gains (losses) for assets still held(2)
	(in thousands)
Fixed maturities, available-for-sale:
Corporate securities(3)	$	1,178		$	185		$	0	$	(861	)	$	0		$	0	$	0	$	19,730	$	0	$	20,232		$	190
Structured securities(4)	0			0			0		0			0			0		0		0		0		0			0
Other assets:
Equity securities	7,305			(118		)	0		0			0			0		0		0		0		7,187			(118		)
Reinsurance recoverables	760,558			928,281			53,085		0			0			0		0		0		0		1,741,924			940,465
Liabilities:
Future policy benefits	(760,558		)	(928,281		)	0		0			(53,085		)	0		0		0		0		(1,741,924		)	(940,465		)
Policyholders' account balances(5)	(133,793		)	5,249			0		0			(14,698		)	0		0		0		0		(143,242		)	5,039

	Six Months Ended June 30, 2020
	Total realized and unrealized gains (losses)										Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net(1)			Other income (loss)			Included in other comprehensive income (loss)		Net investment income		Realized investment gains (losses), net			Other income (loss)			Included in other comprehensive income (loss)(6)
	(in thousands)
Fixed maturities, available-for-sale	$	32		$	0		$	145	$	8	$	0		$	0		$	190
Other assets:
Equity securities	0			(118		)	0		0		0			(118		)	0
Reinsurance recoverables	928,281			0			0		0		940,465			0			0
Liabilities:
Future policy benefits	(928,281		)	0			0		0		(940,465		)	0			0
Policyholders' account balances	5,249			0			0		0		5,039			0			0

	Three Months Ended June 30, 2019
	Fair Value, beginning of period			Total realized and unrealized gains (losses)(1)			Purchases		Sales		Issuances			Settlements			Other		Transfers into Level 3		Transfers out of Level 3			Fair Value, end of period			Unrealized gains (losses) for assets still held(2)
	(in thousands)
Fixed maturities, available-for-sale:
Corporate securities(3)	$	2,344		$	(310	)	$	0	$	0	$	0		$	(638	)	$	0	$	639	$	0		$	2,035		$	0
Structured securities(4)	25,324			0			0		0		0			0			0		0		(25,324		)	0			0
Other assets:
Equity securities	6,576			630			0		0		0			0			0		0		0			7,206			630
Reinsurance recoverables	571,117			162,593			23,526		0		0			0			0		0		0			757,236			167,330
Liabilities:
Future policy benefits	(571,117		)	(162,593		)	0		0		(23,526		)	0			0		0		0			(757,236		)	(167,330		)
Policyholders' account balances(5)	(7,529		)	(98,831		)	0		0		(6,057		)	0			0		0		0			(112,417		)	(98,831		)

	Three Months Ended June 30, 2019
	Total realized and unrealized gains (losses)										Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net(1)			Other income (loss)		Included in other comprehensive income (loss)			Net investment income		Realized investment gains (losses), net			Other income (loss)
	(in thousands)
Fixed maturities, available-for-sale	$	0		$	0	$	(447	)	$	137	$	0		$	0
Other assets:
Equity securities	0			630		0			0		0			630
Reinsurance recoverables	162,593			0		0			0		167,330			0
Liabilities:
Future policy benefits	(162,593		)	0		0			0		(167,330		)	0
Policyholders' account balances	(98,831		)	0		0			0		(98,831		)	0

	Six Months Ended June 30, 2019
	Fair Value, beginning of period			Total realized and unrealized gains (losses)(1)			Purchases		Sales		Issuances			Settlements			Other		Transfers into Level 3		Transfers out of Level 3			Fair Value, end of period			Unrealized gains (losses) for assets still held(2)
	(in thousands)
Fixed maturities, available-for-sale:
Corporate securities(3)	$	2,882		$	(1,096	)	$	248	$	0	$	0		$	(638	)	$	0	$	639	$	0		$	2,035		$	(3,163	)
Structured securities(4)	0			432			0		0		0			(68		)	0		24,960		(25,324		)	0			0
Other assets:
Equity securities	6,622			584			0		0		0			0			0		0		0			7,206			584
Reinsurance recoverables	488,825			222,383			46,028		0		0			0			0		0		0			757,236			229,926
Liabilities:
Future policy benefits	(488,825		)	(222,383		)	0		0		(46,028		)	0			0		0		0			(757,236		)	(229,926		)
Policyholders' account balances(5)	(1,949		)	(103,508		)	0		0		(6,960		)	0			0		0		0			(112,417		)	(103,504		)

	Six Months Ended June 30, 2019
	Total realized and unrealized gains (losses)									Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net(1)			Other income (loss)		Included in other comprehensive income (loss)		Net investment income		Realized investment gains (losses), net			Other income (loss)
	(in thousands)
Fixed maturities, available-for-sale	$	(3,163	)	$	0	$	2,353	$	146	$	(3,163	)	$	0
Other assets:
Equity securities	0			584		0		0		0			584
Reinsurance recoverables	222,383			0		0		0		229,926			0
Liabilities:
Future policy benefits	(222,383		)	0		0		0		(229,926		)	0
Policyholders' account balances	(103,508		)	0		0		0		(103,504		)	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) 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.

(3) Includes U.S. corporate private and foreign corporate private securities.

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

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

(6)

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 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.

	June 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	$	145,067	$	145,067	$	137,914
Policy loans	0		0		213,467		213,467		213,467
Cash and cash equivalents	5,181		0		0		5,181		5,181
Accrued investment income	0		20,984		0		20,984		20,984
Reinsurance recoverables	0		0		28,020		28,020		27,465
Receivables from parent and affiliates	0		37,532		0		37,532		37,532
Other assets	0		4,725		0		4,725		4,725
Total assets	$	5,181	$	63,241	$	386,554	$	454,976	$	447,268
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	209,012	$	41,192	$	250,204	$	249,648
Cash collateral for loaned securities	0		2,700		0		2,700		2,700
Short-term debt to affiliates	0		0		0		0		0
Payables to parent and affiliates	0		26,632		0		26,632		26,632
Other liabilities	0		38,502		0		38,502		38,502
Total liabilities	$	0	$	276,846	$	41,192	$	318,038	$	317,482

	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	$	148,855	$	148,855	$	143,098
Policy loans	0		0		211,986		211,986		211,986
Cash and cash equivalents	28		0		0		28		28
Accrued investment income	0		19,539		0		19,539		19,539
Reinsurance recoverables	0		0		26,400		26,400		26,286
Receivables from parent and affiliates	0		30,387		0		30,387		30,387
Other assets	0		3,071		0		3,071		3,071
Total assets	$	28	$	52,997	$	387,241	$	440,266	$	434,395
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	192,239	$	40,475	$	232,714	$	232,600
Cash collateral for loaned securities	0		2,481		0		2,481		2,481
Short-term debt to affiliates	0		89		0		89		89
Payables to parent and affiliates	0		24,958		0		24,958		24,958
Other liabilities	0		41,310		0		41,310		41,310
Total liabilities	$	0	$	261,077	$	40,475	$	301,552	$	301,438

(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.