Fair Value of Assets and Liabilities (Tables)

6 Months Ended

Jun. 30, 2015

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, 2015
	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	$	—	$	94,550	$	—	$	—		$	94,550
Obligations of U.S. states and their political subdivisions	—		515,466		—		—			515,466
Foreign government bonds	—		70,389		—		—			70,389
Corporate securities	—		4,634,938		80,482		—			4,715,420
Asset-backed securities	—		315,147		172,200		—			487,347
Commercial mortgage-backed securities	—		443,799		—		—			443,799
Residential mortgage-backed securities	—		129,304		—		—			129,304
Sub-total	—		6,203,593		252,682		—			6,456,275
Trading account assets:
Corporate securities	—		41,213		—		—			41,213
Asset-backed securities	—		1,994		—		—			1,994
Equity securities	—		—		18,369		—			18,369
Sub-total	—		43,207		18,369		—			61,576
Equity securities, available-for-sale	86		33,404		853		—			34,343
Short-term investments	57,912		21,062		—		—			78,974
Cash equivalents	—		17,000		—		—			17,000
Other long-term investments	—		225,774		2,327		(177,054		)	51,047
Reinsurance recoverables	—		—		3,023,119		—			3,023,119
Receivables from parent and affiliates			171,153		2,550		—			173,703
Sub-total excluding separate account assets	57,998		6,715,193		3,299,900		(177,054		)	9,896,037
Separate account assets (2)	—		111,401,464		337,406		—			111,738,870
Total assets	$	57,998	$	118,116,657	$	3,637,306	$	(177,054	)	$	121,634,907
Future policy benefits (3)	$	—	$	—	$	3,117,171	$	—		$	3,117,171
Payables to parent and affiliates			71,526				(71,526		)	—
Total liabilities	$	—	$	71,526	$	3,117,171	$	(71,526	)	$	3,117,171



	As of December 31, 2014
	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	$	—	$	92,082	$	—	$	—		$	92,082
Obligations of U.S. states and their political subdivisions	—		325,654		—		—			325,654
Foreign government bonds	—		38,498		—		—			38,498
Corporate securities	—		4,612,357		84,801		—			4,697,158
Asset-backed securities	—		302,034		100,217		—			402,251
Commercial mortgage-backed securities	—		498,879		—		—			498,879
Residential mortgage-backed securities	—		140,042		—		—			140,042
Sub-total	—		6,009,546		185,018		—			6,194,564
Trading account assets:
Corporate securities	—		42,131		—		—			42,131
Asset-backed securities	—		1,990		—		—			1,990
Equity securities	—		—		5,540		—			5,540
Sub-total	—		44,121		5,540		—			49,661
Equity securities, available-for-sale	107		28,643		750		—			29,500
Short-term investments	6,997		114,275		—		—			121,272
Cash equivalents	41,584		26,259		—		—			67,843
Other long-term investments	—		242,523		2,115		(215,066		)	29,572
Reinsurance recoverables	—		—		4,897,545		—			4,897,545
Receivables from parent and affiliates	—		158,469		19,203		—			177,672
Sub-total excluding separate account assets	48,688		6,623,836		5,110,171		(215,066		)	11,567,629
Separate account assets (2)	—		108,891,268		302,924		—			109,194,192
Total assets	$	48,688	$	115,515,104	$	5,413,095	$	(215,066	)	$	120,761,821
Future policy benefits (3)	$	—	$	—	$	4,993,611	$	—		$	4,993,611
Payables to parent and affiliates	—		58,687		—		(58,687		)	—
Total liabilities	$	—	$	58,687	$	4,993,611	$	(58,687	)	$	4,993,611


(1)	“Netting” amounts represent cash collateral of $106 million and $156 million as of June 30, 2015 and December 31, 2014, respectively, and the impact of offsetting asset and liability positions held with the same counterparty, subject to master netting arrangements.

(2)

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 assets classified as Level 3 consist primarily of real estate and real estate investment funds. 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 Consolidated Statements of Financial Position.

(3)

As of June 30, 2015, the net embedded derivative liability position of $3,117 million includes $712 million of embedded derivatives in an asset position and $3,829 million of embedded derivatives in a liability position. As of December 31, 2014, the net embedded derivative liability position of $4,994 million includes $577 million of embedded derivatives in an asset position and $5,571 million of embedded derivatives in a liability position.

Fair Value Level Three Amounts By Pricing Source

The tables below present the balances of Level 3 assets and liabilities measured at fair value with their corresponding pricing sources.



	As of June 30, 2015
	Internal (1)		External (2)		Total
	(in thousands)
Corporate securities	$	24,797	$	55,685	$	80,482
Asset-backed securities	221		171,979		172,200
Equity securities	853		18,369		19,222
Other long-term investments	796		1,531		2,327
Reinsurance recoverables	3,023,119		—		3,023,119
Receivables from parent and affiliates	—		2,550		2,550
Subtotal excluding separate account assets	3,049,786		250,114		3,299,900
Separate account assets	84,891		252,515		337,406
Total assets	$	3,134,677	$	502,629	$	3,637,306
Future policy benefits	$	3,117,171	$	—	$	3,117,171
Total liabilities	$	3,117,171	$	—	$	3,117,171



	As of December 31, 2014
	Internal (1)		External (2)		Total
	(in thousands)
Corporate securities	$	23,712	$	61,089	$	84,801
Asset-backed securities	264		99,953		100,217
Equity securities	750		5,540		6,290
Other long-term investments	565		1,550		2,115
Reinsurance recoverables	4,897,545		—		4,897,545
Receivables from parent and affiliates	—		19,203		19,203
Subtotal excluding separate account assets	4,922,836		187,335		5,110,171
Separate account assets	84,111		218,813		302,924
Total assets	$	5,006,947	$	406,148	$	5,413,095
Future policy benefits	$	4,993,611	$	—	$	4,993,611
Total liabilities	$	4,993,611	$	—	$	4,993,611


(1)	Represents valuations which could incorporate internally-derived and market inputs, as well as third-party pricing information or quotes. See below for additional information related to internally developed valuation for significant items in the above table.


(2)	Represents unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available.

Fair Value Inputs Quantitative Information

The tables below present quantitative information on significant internally-priced Level 3 assets and liabilities (see narrative below for quantitative information for separate account assets).



	As of June 30, 2015
	Fair Value		Valuation Techniques	Unobservable Inputs	Minimum			Maximum			Weighted Average		Impact of Increase in Input on Fair Value (1)
	(in thousands)
Assets:
Corporate securities	$	24,797	Discounted cash flow	Discount rate	10.12%			15.05%			10.92%		Decrease
			Market comparables	EBITDA multiples (2)	5		X	6.5		X	6.4	X	Increase
Reinsurance recoverables - Living Benefits	$	2,778,497	Fair values are determined in the same manner as future policy benefits
Reinsurance recoverables - No Lapse Guarantee	$	244,622	Discounted cash flow	Lapse rate (3)	0	%		12	%				Decrease
				NPR spread (4)	0	%		1.68	%				Decrease
				Mortality rate (5)	0	%		20	%				Decrease
				Premium payment (6)	1		X	3.75		X			Decrease
Liabilities:
Future policy benefits (7)	$	3,117,171	Discounted cash flow	Lapse rate (8)	0	%		14	%				Decrease
				NPR spread (4)	0	%		1.68	%				Decrease
				Utilization rate (9)	56	%		96	%				Increase
				Withdrawal rate (10)	74	%		100	%				Increase
				Mortality rate (11)	0	%		14	%				Decrease
				Equity volatility curve	17	%		28	%				Increase



	As of December 31, 2014
	Fair Value		Valuation Techniques	Unobservable Inputs	Minimum			Maximum			Weighted Average			Impact of Increase in Input on Fair Value (1)
	(in thousands)
Assets:
Corporate securities	$	23,712	Discounted cash flow	Discount rate	10.00	%		11.75	%		10.52	%		Decrease
			Market comparables	EBITDA multiples (2)	6.1		X	6.1		X	6.1		X	Increase
Reinsurance recoverables - Living Benefits	$	4,521,928	Fair values are determined in the same manner as future policy benefits

Reinsurance recoverables - No Lapse Guarantee	$	375,617	Discounted cash flow	Lapse rate (3)	0	%		15	%					Decrease
				NPR spread (4)	0	%		1.30	%					Decrease
				Mortality rate (5)	0	%		18	%					Decrease
				Premium payment (6)	1		X	3.75		X				Decrease
Liabilities:
Future policy benefits (7)	$	4,993,611	Discounted cash flow	Lapse rate (8)	0	%		14	%					Decrease
				NPR spread (4)	0	%		1.30	%					Decrease
				Utilization rate (9)	63	%		96	%					Increase
				Withdrawal rate (10)	74	%		100	%					Increase
				Mortality rate (11)	0	%		14	%					Decrease
				Equity volatility curve	17	%		28	%					Increase


(1)	Conversely, the impact of a decrease in input would have the opposite impact for the fair value as that presented in the table.


(2)	EBITDA multiples represent multiples of earnings before interest, taxes, depreciation and amortization, and are amounts used when the reporting entity has determined that market participants would use such multiples when pricing the investments.


(3)	For universal life, lapse rates vary based on funding level and other factors. Rates are set to zero when the no lapse guarantee is fully funded and the cash value is zero.

(4)

To reflect NPR, the Company incorporates an additional spread over LIBOR into the discount rate used in the valuation of contracts in a liability position and generally not to those in a contra-liability position. The NPR spread reflects the financial strength ratings of the Company and its affiliates, as these are insurance liabilities and senior to debt. The additional spread over LIBOR is determined by utilizing the credit spreads associated with issuing funding agreements, adjusted for any illiquidity risk premium.


(5)	Universal life mortality rates are adjusted based on underwriting information. A mortality improvement assumption is also incorporated into the projection.


(6)	For universal life, premium payment assumptions vary by funding level. Some policies are assumed to pay the minimum premium required to maintain the no lapse guarantee. Other policies are assumed to pay a multiple of commissionable target premium levels (shown above and indicated as “X”). Policyholders are assumed to stop premium payments once the no lapse guarantee is fully funded.

(7)

Future policy benefits primarily represent general account liabilities for the living benefit features of the Company’s variable annuity contracts which are accounted for as embedded derivatives. Since the valuation methodology for these liabilities uses a range of inputs that vary at the contract level over the cash flow projection period, presenting a range, rather than weighted average, is a more meaningful representation of the unobservable inputs used in the valuation.


(8)	Lapse rates 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 are also generally assumed to be lower for the period where surrender charges apply.

(9)

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.


(10)	The withdrawal rate assumption estimates the magnitude of annual contractholder withdrawals relative to the maximum allowable amount under the contract. These assumptions may vary based on the product type, contractholder age, tax status and withdrawal timing. The fair value of the liability will generally increase the closer the withdrawal rate is to 100%.

(11)

Range reflects the mortality rate for the vast majority of business with living benefits, with policyholders ranging from 35 to 90 years old. While the majority of living benefits have a minimum age requirement, certain benefits do not have an age restriction. This results in contractholders for certain benefits with mortality rates approaching 0%. Based on historical experience, the Company applies a set of age and duration specific mortality rate adjustments compared to standard industry tables. A mortality improvement assumption is also incorporated into the overall mortality table.

Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables provide summaries of the 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:



	Three Months Ended June 30, 2015
	Fixed Maturities Available-For-Sale
	Corporate Securities			Asset-Backed Securities			Trading Account Assets- Equity Securities		Equity Securities, Available-for- Sale		Other Long-term Investments
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	86,915		$	201,051		$	18,369	$	747	$	2,141
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	(358		)	(3		)	—		—		(206		)
Asset management fees and other income	—			—			—		—		6
Included in other comprehensive income (loss)	720			179			—		106		—
Net investment income	12			(8		)	—		—		—
Purchases	56,669			38,129			—		—		386
Sales	(55,002		)	(37,131		)	—		—		—
Issuances	—			—			—		—		—
Settlements	(262		)	(54		)	—		—		—
Transfers into Level 3 (2)	—			2,710			—		—		—
Transfers out of Level 3 (2)	(8,212		)	(32,673		)	—		—		—
Fair Value, end of period assets/(liabilities)	$	80,482		$	172,200		$	18,369	$	853	$	2,327
Unrealized gains (losses) for the period relating to those
Level 3 assets that were still held at the end of the period (3):
Included in earnings:
Realized investment gains (losses), net	$	(357	)	$	—		$	—	$	—	$	(206	)
Asset management fees and other income	$	—		$	—		$	—	$	—	$	6



	Three Months Ended June 30, 2015
	Reinsurance Recoverables			Receivables from Parent and Affiliates			Separate Account Assets (1)			Future Policy Benefits
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	5,822,107		$	21,169		$	320,397		$	(5,944,815	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	(2,966,250		)	—			1,141			3,005,834
Asset management fees and other income	—			—			—			—
Interest credited to policyholders’ account balances	—			—			3,253			—
Included in other comprehensive income (loss)	—			23			—			—
Net investment income	—			—			—			—
Purchases	167,262			—			59,372			—
Sales	—			—			(46,757		)	—
Issuances	—			—			—			(178,190		)
Settlements	—			—			—			—
Transfers into Level 3 (2)	—			—			—			—
Transfers out of Level 3 (2)	—			(18,642		)	—			—
Fair Value, end of period assets/(liabilities)	$	3,023,119		$	2,550		$	337,406		$	(3,117,171	)
Unrealized gains (losses) for the period relating to those
Level 3 assets that were still held at the end of the period (3):
Included in earnings:
Realized investment gains (losses), net	$	(2,917,452	)	$	—		$	—		$	2,974,092
Asset management fees and other income	$	—		$	—		$	—		$	—
Interest credited to policyholders’ account balances	$	—		$	—		$	3,253		$	—



	Six Months Ended June 30, 2015
	Fixed Maturities Available-For-Sale
	Corporate Securities			Asset-Backed Securities			Trading Account Assets- Equity Securities			Equity Securities, Available-for-Sale
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	84,801		$	100,217		$	5,540		$	750
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	(296		)	(1		)	—			—
Asset management fees and other income	—			—			2,328			—
Included in other comprehensive income (loss)	282			709			—			103
Net investment income	6			(16		)	—			—
Purchases	114,009			111,759			—			—
Sales	(110,035		)	(37,131		)	—			—
Issuances	—			—			—			—
Settlements	(1,603		)	(126		)	(1,500		)	—
Transfers into Level 3 (2)	1,530			47,508			—			—
Transfers out of Level 3 (2)	(8,212		)	(50,719		)	—			—
Other (4)	—			—			12,001			—
Fair Value, end of period assets/(liabilities)	$	80,482		$	172,200		$	18,369		$	853
Unrealized gains (losses) for the period relating to those
Level 3 assets that were still held at the end of the period (3):
Included in earnings:
Realized investment gains (losses), net	$	(357	)	$	—		$	—		$	—
Asset management fees and other income	$	—		$	—		$	2,283		$	—



	Six Months Ended June 30, 2015
	Other Long- term Investments			Reinsurance Recoverables			Receivables from Parent and Affiliates			Separate Account Assets (1)			Future Policy Benefits
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	2,115		$	4,897,545		$	19,203		$	302,924		$	(4,993,611	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	(155		)	(2,206,893		)	—			4,620			2,229,227
Asset management fees and other income	11			—			—			—			—
Interest credited to policyholders’ account balances	—			—			—			3,295			—
Included in other comprehensive income (loss)	—			—			2			—			—
Net investment income	16			—			—			—			—
Purchases	386			332,467			—			123,825			—
Sales	—			—			—			(97,258		)	—
Issuances	—			—			—			—			(352,787		)
Settlements	(16		)	—			—			—			—
Transfers into Level 3 (2)	—			—			1,986			—			—
Transfers out of Level 3 (2)	(30		)	—			(18,641		)	—			—
Other (4)	—			—			—			—			—
Fair Value, end of period assets/(liabilities)	$	2,327		$	3,023,119		$	2,550		$	337,406		$	(3,117,171	)
Unrealized gains (losses) for the period relating to those
Level 3 assets that were still held at the end of the period (3):
Included in earnings:
Realized investment gains (losses), net	$	(154	)	$	(2,128,845	)	$	—		$	—		$	2,165,005
Asset management fees and other income	$	11		$	—		$	—		$	—		$	—
Interest credited to policyholders’ account balances	$	—		$	—		$	—		$	3,295		$	—



	Three Months Ended June 30, 2014
	Fixed Maturities Available-For-Sale
	Corporate Securities			Asset-Backed Securities			Commercial Mortgage- Backed Securities			Trading Account Assets- Equity Securities			Equity Securities, Available-for-Sale			Short-Term Investments
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	23,231		$	106,081		$	28,076		$	2,802		$	590		$	18
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	258			113			—			—			—			—
Asset management fees and other income	—			—			—			36			—			—
Included in other comprehensive income (loss)	48			(28		)	—			—			20			—
Net investment income	21			66			—			—			—			—
Purchases	4,615			—			—			—			—			—
Sales	(3,800		)	—			—			—			(64		)	—
Settlements	(1,033		)	(30,305		)	—			(1,375		)	—			—
Transfers into Level 3 (2)	2,231			1,746			—			—			—			—
Transfers out of Level 3 (2)	(3,474		)	(11,494		)	(28,076		)	—			—			—
Fair Value, end of period assets/(liabilities)	$	22,097		$	66,179		$	—		$	1,463		$	546		$	18
Unrealized gains (losses) for the period relating to those
Level 3 assets that were still held at the end of the period (3):
Included in earnings:
Realized investment gains (losses), net	$	(101	)	$	—		$	—		$	—		$	—		$	—
Asset management fees and other income	$	—		$	—		$	—		$	38		$	—		$	—



	Three Months Ended June 30, 2014
	Other Long- term Investments			Reinsurance Recoverables		Receivables from Parent and Affiliates		Separate Account Assets (1)			Future Policy Benefits
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	1,247		$	1,018,443	$	5,124	$	278,638		$	(1,014,755	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	91			548,605		—		(284		)	(525,399		)
Asset management fees and other income	17			—		—		—			—
Interest credited to policyholders’ account balances	—			—		—		4,046			—
Included in other comprehensive income (loss)	—			—		3		—			—
Net investment income	—			—		41		—			—
Purchases	35			146,084		18,649		5,191			—
Sales	—			—		—		(1,780		)	—
Issuances	—			—		—		—			(160,593		)
Settlements	(12		)	—		—		—			—
Transfers into Level 3 (2)	427			—		—		—			—
Transfers out of Level 3 (2)	—			—		—		—			—
Fair Value, end of period assets/(liabilities)	$	1,805		$	1,713,132	$	23,817	$	285,811		$	(1,700,747	)
Unrealized gains (losses) for the period relating to those
Level 3 assets that were still held at the end of the period (3):
Included in earnings:
Realized investment gains (losses), net	$	91		$	552,449	$	—	$	—		$	(529,822	)
Asset management fees and other income	$	—		$	—	$	—	$	—		$	—
Interest credited to policyholders’ account balances	$	—		$	—	$	—	$	4,046		$	—



	Six Months Ended June 30, 2014
	Fixed Maturities Available-for-Sale
	Corporate Securities			Asset-Backed Securities			Commercial Mortgage- Backed Securities			Trading Account Assets- Equity Securities			Equity Securities, Available-for-Sale			Short-Term Investments
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	18,293		$	80,934		$	—		$	2,731		$	569		$	18
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	256			113			—			—			—			—
Asset management fees and other income	—			—			—			107			—			—
Included in other comprehensive income (loss)	385			107			(2		)	—			41			—
Net investment income	31			122			—			—			—			—
Purchases	12,586			—			28,078			—			—			—
Sales	(5,191		)	—			—			—			(64		)	—
Settlements	(1,836		)	(33,442		)	—			(1,375		)	—			—
Transfers into Level 3 (2)	2,231			31,153			—			—			—			—
Transfers out of Level 3 (2)	(4,658		)	(12,808		)	(28,076		)	—			—			—
Fair Value, end of period assets/(liabilities)	$	22,097		$	66,179		$	—		$	1,463		$	546		$	18
Unrealized gains (losses) for the period relating to those
Level 3 assets that were still held at the end of the period (3):
Included in earnings:
Realized investment gains (losses), net	$	(101	)	$	—		$	—		$	—		$	—		$	—
Asset management fees and other income	$	—		$	—		$	—		$	109		$	—		$	—



	Six Months Ended June 30, 2014
	Other Long- term Investments			Reinsurance Recoverables			Receivables from Parent and Affiliates			Separate Account Assets (1)			Future Policy Benefits
	(in thousands)
Fair Value, beginning of period assets/(liabilities)	$	1,168		$	(376,868	)	$	4,121		$	279,842		$	348,399
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	91			1,800,973			—			1,985			(1,732,681		)
Asset management fees and other income	(5		)	—			—			—			—
Interest credited to policyholders’ account balances	—			—			—			6,722			—
Included in other comprehensive income (loss)	—			—			41			—			—
Net investment income	—			—			—			—			—
Purchases	136			289,027			18,649			39,769			—
Sales	—			—			—			(42,507		)	—
Issuances	—			—			—			—			(316,465		)
Settlements	(12		)	—			—			—			—
Transfers into Level 3 (2)	427			—			1,985			—			—
Transfers out of Level 3 (2)	—			—			(979		)	—			—
Fair Value, end of period assets/(liabilities)	$	1,805		$	1,713,132		$	23,817		$	285,811		$	(1,700,747	)
Unrealized gains (losses) for the period relating to those
Level 3 assets that were still held at the end of the period (3):
Included in earnings:
Realized investment gains (losses), net	$	91		$	1,803,209		$	—		$	—		$	(1,735,757	)
Asset management fees and other income	$	—		$	—		$	—		$	—		$	—
Interest credited to policyholders’ account balances	$	—		$	—		$	—		$	6,722		$	—

(1)

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 contracts. 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 Consolidated Statements of Financial Position.


(2)	Transfers into or out of Level 3 are generally reported as the value as of the beginning of the quarter in which the transfer occurs.


(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)	Other primarily represents reclassifications of certain assets between reporting categories.

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 Consolidated Statements of Financial Position; however, in some cases, as described below, the carrying amount equals or approximates fair value.



	June 30, 2015
	Fair Value								Carrying Amount (1)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	—	$	8,448	$	1,818,732	$	1,827,180	$	1,747,153
Policy loans	—		—		1,137,735		1,137,735		1,137,735
Other long-term investments					15,660		15,660		14,830
Cash and cash equivalents	51,278		103,223		—		154,501		154,501
Accrued investment income			93,591				93,591		93,591
Receivables from parent and affiliates			80,110				80,110		80,110
Other assets			28,384				28,384		28,384
Total assets	$	51,278	$	313,756	$	2,972,127	$	3,337,161	$	3,256,304
Liabilities:
Policyholders’ account balances - investment contracts	$	—	$	885,644	$	230,070	$	1,115,714	$	1,123,260
Cash collateral for loaned securities			109,798				109,798		109,798
Short-term debt			377,016				377,016		373,000
Long-term debt			1,311,375				1,311,375		1,281,000
Payables to parent and affiliates			55,039				55,039		55,039
Other liabilities			305,340				305,340		305,340
Total liabilities	$	—	$	3,044,212	$	230,070	$	3,274,282	$	3,247,437



	December 31, 2014
	Fair Value								Carrying Amount (1)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	—	$	8,486	$	1,775,949	$	1,784,435	$	1,681,553
Policy loans	—		—		1,123,912		1,123,912		1,123,912
Other long-term investments	—		—		11,085		11,085		10,168
Cash and cash equivalents	53,476		93,633		—		147,109		147,109
Accrued investment income	—		90,506		—		90,506		90,506
Receivables from parent and affiliates	—		70,668		—		70,668		70,689
Other assets	—		24,126		—		24,126		24,126
Total assets	$	53,476	$	287,419	$	2,910,946	$	3,251,841	$	3,148,063
Liabilities:
Policyholders’ account balances - investment contracts	$	—	$	929,694	$	40,063	$	969,757	$	976,190
Cash collateral for loaned securities	—		65,418		—		65,418		65,418
Short-term debt	—		429,903		—		429,903		423,000
Long-term debt	—		1,321,501		—		1,321,501		1,288,000
Payables to parent and affiliates	—		53,027		—		53,027		53,027
Other liabilities	—		315,736		—		315,736		315,736
Total liabilities	$	—	$	3,115,279	$	40,063	$	3,155,342	$	3,121,371

(1)

Carrying values presented herein differ from those in the Company’s Unaudited Interim Consolidated 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. Financial statement captions excluded from the above table are not considered financial instruments.