Fair Value of Assets and Liabilities (Tables)

9 Months Ended

Sep. 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.



	September 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	$	—	$	96,015	$	—	$	—		$	96,015
Obligations of U.S. states and their political subdivisions	—		588,264		—		—			588,264
Foreign government bonds	—		66,845		—		—			66,845
Corporate securities	—		4,792,914		88,347		—			4,881,261
Asset-backed securities	—		295,383		155,281		—			450,664
Commercial mortgage-backed securities	—		403,024		—		—			403,024
Residential mortgage-backed securities	—		128,718		—		—			128,718
Sub-total	—		6,371,163		243,628		—			6,614,791
Trading account assets:
Corporate securities	—		45,574		—		—			45,574
Asset-backed securities	—		1,993		—		—			1,993
Equity securities	—		—		18,248		—			18,248
Sub-total	—		47,567		18,248		—			65,815
Equity securities, available-for-sale	49		55,823		174		—			56,046
Short-term investments	117,148		18,302		—		—			135,450
Cash equivalents	3,534		250,152		—		—			253,686
Other long-term investments	—		403,288		2,169		(377,506		)	27,951
Reinsurance recoverables	—		—		5,388,800		—			5,388,800
Receivables from parent and affiliates	—		172,302		3,030		—			175,332
Sub-total excluding separate account assets	120,731		7,318,597		5,656,049		(377,506		)	12,717,871
Separate account assets (2)	—		105,927,551		361,589		—			106,289,140
Total assets	$	120,731	$	113,246,148	$	6,017,638	$	(377,506	)	$	119,007,011
Future policy benefits (3)	$	—	$	—	$	5,661,265	$	—		$	5,661,265
Payables to parent and affiliates	—		41,949		—		(41,949		)	—
Total liabilities	$	—	$	41,949	$	5,661,265	$	(41,949	)	$	5,661,265



	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 $336 million and $156 million as of September 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 September 30, 2015, the net embedded derivative liability position of $5,661 million includes $560 million of embedded derivatives in an asset position and $6,221 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.



	September 30, 2015
	Internal (1)		External (2)		Total
	(in thousands)
Corporate securities	$	31,669	$	56,678	$	88,347
Asset-backed securities	193		155,088		155,281
Equity securities	174		18,248		18,422
Other long-term investments	731		1,438		2,169
Reinsurance recoverables	5,388,800		—		5,388,800
Receivables from parent and affiliates	—		3,030		3,030
Subtotal excluding separate account assets	5,421,567		234,482		5,656,049
Separate account assets	87,497		274,092		361,589
Total assets	$	5,509,064	$	508,574	$	6,017,638
Future policy benefits	$	5,661,265	$	—	$	5,661,265
Total liabilities	$	5,661,265	$	—	$	5,661,265



	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, Assets, 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).



	September 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	$	31,669	Discounted cash flow	Discount rate	7.04	%		14.99	%		9.33	%		Decrease
			Market comparables	EBITDA multiples (2)	4.9		X	5		X	4.9		X	Increase
Reinsurance recoverables - Living Benefits	$	5,067,922	Fair values are determined in the same manner as future policy benefits
Reinsurance recoverables - No Lapse Guarantee	$	320,878	Discounted cash flow	Lapse rate (3)	0	%		12	%					Decrease
				NPR spread (4)	0.03	%		1.85	%					Decrease
				Mortality rate (5)	0	%		20	%					Decrease
				Premium Payment (6)	1		X	3.75		X				Decrease
Liabilities:
Future policy benefits (7)	$	5,661,265	Discounted cash flow	Lapse rate (8)	0	%		14	%					Decrease
				NPR spread (4)	0.03	%		1.85	%					Decrease
				Utilization rate (9)	56	%		96	%					Increase
				Withdrawal rate (10)	74	%		100	%					Increase
				Mortality rate (11)	0	%		14	%					Decrease
				Equity Volatility curve	20	%		29	%					Increase



	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 Inputs, Liabilities, 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).



	September 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	$	31,669	Discounted cash flow	Discount rate	7.04	%		14.99	%		9.33	%		Decrease
			Market comparables	EBITDA multiples (2)	4.9		X	5		X	4.9		X	Increase
Reinsurance recoverables - Living Benefits	$	5,067,922	Fair values are determined in the same manner as future policy benefits
Reinsurance recoverables - No Lapse Guarantee	$	320,878	Discounted cash flow	Lapse rate (3)	0	%		12	%					Decrease
				NPR spread (4)	0.03	%		1.85	%					Decrease
				Mortality rate (5)	0	%		20	%					Decrease
				Premium Payment (6)	1		X	3.75		X				Decrease
Liabilities:
Future policy benefits (7)	$	5,661,265	Discounted cash flow	Lapse rate (8)	0	%		14	%					Decrease
				NPR spread (4)	0.03	%		1.85	%					Decrease
				Utilization rate (9)	56	%		96	%					Increase
				Withdrawal rate (10)	74	%		100	%					Increase
				Mortality rate (11)	0	%		14	%					Decrease
				Equity Volatility curve	20	%		29	%					Increase



	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)


(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)


(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)


(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)

Fair Value, Assets 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 September 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)	$	80,482		$	172,200		$	18,369		$	853		$	2,327
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	(1,245		)	24			—			337			(630		)
Asset management fees and other income	—			—			(121		)	—			(21		)
Included in other comprehensive income (loss)	(1		)	(529		)	—			(339		)	—
Net investment income	(13		)	141			—			—			(16		)
Purchases	72,343			1			—			—			611
Sales	(54,841		)	(2,500		)	—			—			—
Issuances	—			—			—			—			—
Settlements	(8,379		)	(1,949		)	—			(677		)	(102		)
Transfers into Level 3 (2)	—			11,502			—			—			—
Transfers out of Level 3 (2)	1			(23,609		)	—			—			—
Fair Value, end of period assets/(liabilities)	$	88,347		$	155,281		$	18,248		$	174		$	2,169
Unrealized gains (losses) for assets still held (3):
Included in earnings:
Realized investment gains (losses), net	$	(1,035	)	$	—		$	—		$	—		$	(631	)
Asset management fees and other income	$	—		$	—		$	(122	)	$	—		$	(2	)



	Three Months Ended September 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)	$	3,023,119	$	2,550		$	337,406		$	(3,117,171	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	2,194,352		—			1,243			(2,365,205		)
Asset management fees and other income	—		—			—			—
Interest credited to policyholders’ account balances	—		—			(6,285		)	—
Included in other comprehensive income (loss)	—		4			—			—
Net investment income	—		—			—			—
Purchases	171,329		—			123,150			—
Sales	—		—			(93,925		)	—
Issuances	—		—			—			(178,889		)
Settlements	—		—			—			—
Transfers into Level 3 (2)	—		2,468			—			—
Transfers out of Level 3 (2)	—		(1,992		)	—			—
Fair Value, end of period assets/(liabilities)	$	5,388,800	$	3,030		$	361,589		$	(5,661,265	)
Unrealized gains (losses) for assets/liabilities still held (3):
Included in earnings:
Realized investment gains (losses), net	$	2,215,567	$	—		$	—		$	(2,388,177	)
Asset management fees and other income	$	—	$	—		$	—		$	—
Interest credited to policyholders’ account balances	$	—	$	—		$	(6,284	)	$	—



	Nine Months Ended September 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	(1,541		)	23			—			337
Asset management fees and other income	—			—			2,207			—
Included in other comprehensive income (loss)	281			180			—			(236		)
Net investment income	(7		)	125			—			—
Purchases	186,352			111,760			—			—
Sales	(164,876		)	(39,631		)	—			—
Issuances	—			—			—			—
Settlements	(9,982		)	(2,075		)	(1,500		)	(677		)
Transfers into Level 3 (2)	1,530			59,010			—			—
Transfers out of Level 3 (2)	(8,211		)	(74,328		)	—			—
Other (4)	—			—			12,001			—
Fair Value, end of period assets/(liabilities)	$	88,347		$	155,281		$	18,248		$	174
Unrealized gains (losses) for assets still held (3):
Included in earnings:
Realized investment gains (losses), net	$	(1,392	)	$	—		$	—		$	—
Asset management fees and other income	$	—		$	—		$	2,162		$	—



	Nine Months Ended September 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	(785		)	(12,541		)	—			5,863			(135,978		)
Asset management fees and other income	(10		)	—			—			—			—
Interest credited to policyholders’ account balances	—			—			—			(2,990		)	—
Included in other comprehensive income (loss)	—			—			6			—			—
Net investment income	—			—			—			—			—
Purchases	997			503,796			—			246,975			—
Sales	—			—			—			(191,183		)	—
Issuances	—			—						—			(531,676		)
Settlements	(118		)	—						—			—
Transfers into Level 3 (2)	—			—			4,454			—			—
Transfers out of Level 3 (2)	(30		)	—			(20,633		)	—			—
Fair Value, end of period assets/(liabilities)	$	2,169		$	5,388,800		$	3,030		$	361,589		$	(5,661,265	)
Unrealized gains (losses) for assets/liabilities still held (3):
Included in earnings:
Realized investment gains (losses), net	$	(785	)	$	105,211		$	—		$	—		$	(235,170	)
Asset management fees and other income	$	10		$	—		$	—		$	—		$	—
Interest credited to policyholders’ account balances	$	—		$	—		$	—		$	(2,990	)	$	—



	Three Months Ended September 30, 2014
	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)	$	22,097		$	66,179		$	1,463	$	546
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	531			—			—		—
Asset management fees and other income	—			—			—		—
Included in other comprehensive income (loss)	406			89			—		65
Net investment income	18			(34		)	—		—
Purchases	12,840			83,866			—		—
Sales	(1,844		)	—			—		(1		)
Settlements	(5,101		)	(15,202		)	—		—
Transfers into Level 3 (2)	538			709			—		—
Transfers out of Level 3 (2)	—			(3,319		)	—		—
Fair Value, end of period assets/(liabilities)	$	29,485		$	132,288		$	1,463	$	610
Unrealized gains (losses) for assets still held (3):
Included in earnings:
Realized investment gains (losses), net	$	—		$	—		$	—	$	—
Asset management fees and other income	$	—		$	—		$	—	$	—



	Three Months Ended September 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)	$	1,805		$	1,713,132	$	23,817		$	285,811		$	(1,700,747	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	100			1,061,086		—			721			(1,080,155		)
Asset management fees and other income	(42		)	—		—			—			—
Interest credited to policyholders’ account balances	—			—		—			3,450			—
Included in other comprehensive income (loss)	—			—		(41		)	—			—
Net investment income	—			—		(25		)	—			—
Purchases	262			149,405		(1		)	13,763			—
Sales	—			—		—			(17,316		)	—
Issuances	—			—		—			—			(165,606		)
Settlements	—			—		—			—			—
Transfers into Level 3 (2)	—			—		—			—			—
Transfers out of Level 3 (2)	—			—		(4,451		)	—			—
Fair Value, end of period assets/(liabilities)	$	2,125		$	2,923,623	$	19,299		$	286,429		$	(2,946,508	)
Unrealized gains (losses) for assets/liabilities still held (3):
Included in earnings:
Realized investment gains (losses), net	$	100		$	1,071,165	$	—		$	—		$	(1,087,120	)
Asset management fees and other income	$	(42	)	$	—	$	—		$	—		$	—
Interest credited to policyholders’ account balances	$	—		$	—	$	—		$	3,449		$	—



	Nine Months Ended September 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	787			113			—			—			—			—
Asset management fees and other income	—			—			—			107			—			—
Included in other comprehensive income (loss)	791			196			(2		)	—			106			—
Net investment income	49			88			—			—			—			—
Purchases	25,426			83,866			28,077			—			—			—
Sales	(7,035		)	—			—			—			(65		)	—
Settlements	(6,937		)	(48,644		)	—			(1,375		)	—			—
Transfers into Level 3 (2)	2,769			31,862			—			—			—			—
Transfers out of Level 3 (2)	(4,658		)	(16,127		)	(28,075		)	—			—			—
Fair Value, end of period assets/(liabilities)	$	29,485		$	132,288		$	—		$	1,463		$	610		$	18
Unrealized gains (losses) for assets still held (3):
Included in earnings:
Realized investment gains (losses), net	$	(101	)	$	—		$	—		$	—		$	—		$	—
Asset management fees and other income	$	—		$	—		$	—		$	109		$	—		$	—



	Nine Months Ended September 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	191			2,862,059			—			2,706			(2,812,836		)
Asset management fees and other income	(47		)	—			—			—			—
Interest credited to policyholders’ account balances	—			—			—			10,172			—
Included in other comprehensive income (loss)	—			—			(25		)	—			—
Net investment income	—			—			—			—			—
Purchases	398			438,432			18,648			53,532			—
Sales	—			—			—			(59,823		)	—
Issuances	—			—			—			—			(482,071		)
Settlements	(12		)	—			—			—			—
Transfers into Level 3 (2)	427			—			1,985			—			—
Transfers out of Level 3 (2)	—			—			(5,430		)	—			—
Fair Value, end of period assets/(liabilities)	$	2,125		$	2,923,623		$	19,299		$	286,429		$	(2,946,508	)
Unrealized gains (losses) for assets/liabilities still held (3):
Included in earnings:
Realized investment gains (losses), net	$	191		$	2,858,981		$	—		$	—		$	(2,806,201	)
Asset management fees and other income	$	(47	)	$	—		$	—		$	—		$	—
Interest credited to policyholders’ account balances	$	—		$	—		$	—		$	10,172		$	—

(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 any level are generally reported as the value as of the beginning of the quarter in which the transfer occurs for any such assets still held at the end of the quarter.


(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, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation



	Three Months Ended September 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)	$	80,482		$	172,200		$	18,369		$	853		$	2,327
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	(1,245		)	24			—			337			(630		)
Asset management fees and other income	—			—			(121		)	—			(21		)
Included in other comprehensive income (loss)	(1		)	(529		)	—			(339		)	—
Net investment income	(13		)	141			—			—			(16		)
Purchases	72,343			1			—			—			611
Sales	(54,841		)	(2,500		)	—			—			—
Issuances	—			—			—			—			—
Settlements	(8,379		)	(1,949		)	—			(677		)	(102		)
Transfers into Level 3 (2)	—			11,502			—			—			—
Transfers out of Level 3 (2)	1			(23,609		)	—			—			—
Fair Value, end of period assets/(liabilities)	$	88,347		$	155,281		$	18,248		$	174		$	2,169
Unrealized gains (losses) for assets still held (3):
Included in earnings:
Realized investment gains (losses), net	$	(1,035	)	$	—		$	—		$	—		$	(631	)
Asset management fees and other income	$	—		$	—		$	(122	)	$	—		$	(2	)



	Three Months Ended September 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)	$	3,023,119	$	2,550		$	337,406		$	(3,117,171	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	2,194,352		—			1,243			(2,365,205		)
Asset management fees and other income	—		—			—			—
Interest credited to policyholders’ account balances	—		—			(6,285		)	—
Included in other comprehensive income (loss)	—		4			—			—
Net investment income	—		—			—			—
Purchases	171,329		—			123,150			—
Sales	—		—			(93,925		)	—
Issuances	—		—			—			(178,889		)
Settlements	—		—			—			—
Transfers into Level 3 (2)	—		2,468			—			—
Transfers out of Level 3 (2)	—		(1,992		)	—			—
Fair Value, end of period assets/(liabilities)	$	5,388,800	$	3,030		$	361,589		$	(5,661,265	)
Unrealized gains (losses) for assets/liabilities still held (3):
Included in earnings:
Realized investment gains (losses), net	$	2,215,567	$	—		$	—		$	(2,388,177	)
Asset management fees and other income	$	—	$	—		$	—		$	—
Interest credited to policyholders’ account balances	$	—	$	—		$	(6,284	)	$	—



	Nine Months Ended September 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	(1,541		)	23			—			337
Asset management fees and other income	—			—			2,207			—
Included in other comprehensive income (loss)	281			180			—			(236		)
Net investment income	(7		)	125			—			—
Purchases	186,352			111,760			—			—
Sales	(164,876		)	(39,631		)	—			—
Issuances	—			—			—			—
Settlements	(9,982		)	(2,075		)	(1,500		)	(677		)
Transfers into Level 3 (2)	1,530			59,010			—			—
Transfers out of Level 3 (2)	(8,211		)	(74,328		)	—			—
Other (4)	—			—			12,001			—
Fair Value, end of period assets/(liabilities)	$	88,347		$	155,281		$	18,248		$	174
Unrealized gains (losses) for assets still held (3):
Included in earnings:
Realized investment gains (losses), net	$	(1,392	)	$	—		$	—		$	—
Asset management fees and other income	$	—		$	—		$	2,162		$	—



	Nine Months Ended September 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	(785		)	(12,541		)	—			5,863			(135,978		)
Asset management fees and other income	(10		)	—			—			—			—
Interest credited to policyholders’ account balances	—			—			—			(2,990		)	—
Included in other comprehensive income (loss)	—			—			6			—			—
Net investment income	—			—			—			—			—
Purchases	997			503,796			—			246,975			—
Sales	—			—			—			(191,183		)	—
Issuances	—			—						—			(531,676		)
Settlements	(118		)	—						—			—
Transfers into Level 3 (2)	—			—			4,454			—			—
Transfers out of Level 3 (2)	(30		)	—			(20,633		)	—			—
Fair Value, end of period assets/(liabilities)	$	2,169		$	5,388,800		$	3,030		$	361,589		$	(5,661,265	)
Unrealized gains (losses) for assets/liabilities still held (3):
Included in earnings:
Realized investment gains (losses), net	$	(785	)	$	105,211		$	—		$	—		$	(235,170	)
Asset management fees and other income	$	10		$	—		$	—		$	—		$	—
Interest credited to policyholders’ account balances	$	—		$	—		$	—		$	(2,990	)	$	—



	Three Months Ended September 30, 2014
	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)	$	22,097		$	66,179		$	1,463	$	546
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	531			—			—		—
Asset management fees and other income	—			—			—		—
Included in other comprehensive income (loss)	406			89			—		65
Net investment income	18			(34		)	—		—
Purchases	12,840			83,866			—		—
Sales	(1,844		)	—			—		(1		)
Settlements	(5,101		)	(15,202		)	—		—
Transfers into Level 3 (2)	538			709			—		—
Transfers out of Level 3 (2)	—			(3,319		)	—		—
Fair Value, end of period assets/(liabilities)	$	29,485		$	132,288		$	1,463	$	610
Unrealized gains (losses) for assets still held (3):
Included in earnings:
Realized investment gains (losses), net	$	—		$	—		$	—	$	—
Asset management fees and other income	$	—		$	—		$	—	$	—



	Three Months Ended September 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)	$	1,805		$	1,713,132	$	23,817		$	285,811		$	(1,700,747	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	100			1,061,086		—			721			(1,080,155		)
Asset management fees and other income	(42		)	—		—			—			—
Interest credited to policyholders’ account balances	—			—		—			3,450			—
Included in other comprehensive income (loss)	—			—		(41		)	—			—
Net investment income	—			—		(25		)	—			—
Purchases	262			149,405		(1		)	13,763			—
Sales	—			—		—			(17,316		)	—
Issuances	—			—		—			—			(165,606		)
Settlements	—			—		—			—			—
Transfers into Level 3 (2)	—			—		—			—			—
Transfers out of Level 3 (2)	—			—		(4,451		)	—			—
Fair Value, end of period assets/(liabilities)	$	2,125		$	2,923,623	$	19,299		$	286,429		$	(2,946,508	)
Unrealized gains (losses) for assets/liabilities still held (3):
Included in earnings:
Realized investment gains (losses), net	$	100		$	1,071,165	$	—		$	—		$	(1,087,120	)
Asset management fees and other income	$	(42	)	$	—	$	—		$	—		$	—
Interest credited to policyholders’ account balances	$	—		$	—	$	—		$	3,449		$	—



	Nine Months Ended September 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	787			113			—			—			—			—
Asset management fees and other income	—			—			—			107			—			—
Included in other comprehensive income (loss)	791			196			(2		)	—			106			—
Net investment income	49			88			—			—			—			—
Purchases	25,426			83,866			28,077			—			—			—
Sales	(7,035		)	—			—			—			(65		)	—
Settlements	(6,937		)	(48,644		)	—			(1,375		)	—			—
Transfers into Level 3 (2)	2,769			31,862			—			—			—			—
Transfers out of Level 3 (2)	(4,658		)	(16,127		)	(28,075		)	—			—			—
Fair Value, end of period assets/(liabilities)	$	29,485		$	132,288		$	—		$	1,463		$	610		$	18
Unrealized gains (losses) for assets still held (3):
Included in earnings:
Realized investment gains (losses), net	$	(101	)	$	—		$	—		$	—		$	—		$	—
Asset management fees and other income	$	—		$	—		$	—		$	109		$	—		$	—



	Nine Months Ended September 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	191			2,862,059			—			2,706			(2,812,836		)
Asset management fees and other income	(47		)	—			—			—			—
Interest credited to policyholders’ account balances	—			—			—			10,172			—
Included in other comprehensive income (loss)	—			—			(25		)	—			—
Net investment income	—			—			—			—			—
Purchases	398			438,432			18,648			53,532			—
Sales	—			—			—			(59,823		)	—
Issuances	—			—			—			—			(482,071		)
Settlements	(12		)	—			—			—			—
Transfers into Level 3 (2)	427			—			1,985			—			—
Transfers out of Level 3 (2)	—			—			(5,430		)	—			—
Fair Value, end of period assets/(liabilities)	$	2,125		$	2,923,623		$	19,299		$	286,429		$	(2,946,508	)
Unrealized gains (losses) for assets/liabilities still held (3):
Included in earnings:
Realized investment gains (losses), net	$	191		$	2,858,981		$	—		$	—		$	(2,806,201	)
Asset management fees and other income	$	(47	)	$	—		$	—		$	—		$	—
Interest credited to policyholders’ account balances	$	—		$	—		$	—		$	10,172		$	—

(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 any level are generally reported as the value as of the beginning of the quarter in which the transfer occurs for any such assets still held at the end of the quarter.


(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.



	September 30, 2015
	Fair Value								Carrying Amount (1)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	—	$	8,647	$	1,767,340	$	1,775,987	$	1,709,477
Policy loans	—		—		1,140,736		1,140,736		1,140,736
Other long-term investments	—		—		20,802		20,802		20,016
Cash and cash equivalents	19,543		307,872		—		327,415		327,415
Accrued investment income	—		96,356		—		96,356		96,356
Receivables from parent and affiliates	—		110,833		—		110,833		110,833
Other assets	—		27,651		—		27,651		27,651
Total assets	$	19,543	$	551,359	$	2,928,878	$	3,499,780	$	3,432,484
Liabilities:
Policyholders’ account balances - investment contracts	$	—	$	916,013	$	239,597	$	1,155,610	$	1,161,766
Cash collateral for loaned securities	—		69,296		—		69,296		69,296
Short-term debt	—		296,278		—		296,278		294,000
Long-term debt	—		1,512,547		—		1,512,547		1,281,000
Payables to parent and affiliates	—		62,937		—		62,937		62,937
Other liabilities	—		326,316		—		326,316		326,316
Total liabilities	$	—	$	3,183,387	$	239,597	$	3,422,984	$	3,195,315



	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.