Fair Value of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2016

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.



	March 31, 2016
	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	$	177,167	$	0	$	0		$	177,167
Obligations of U.S. states and their political subdivisions	0		670,203		0		0			670,203
Foreign government bonds	0		98,968		0		0			98,968
U.S. corporate public securities	0		2,961,999		55,003		0			3,017,002
U.S. corporate private securities	0		1,354,510		29,248		0			1,383,758
Foreign corporate public securities	0		293,841		0		0			293,841
Foreign corporate private securities	0		805,971		14,198		0			820,169
Asset-backed securities	0		229,195		124,391		0			353,586
Commercial mortgage-backed securities	0		478,778		0		0			478,778
Residential mortgage-backed securities	0		118,885		0		0			118,885
Sub-total	0		7,189,517		222,840		0			7,412,357
Trading account assets:
Corporate securities	0		43,668		0		0			43,668
Asset-backed securities	0		1,995		0		0			1,995
Equity securities	0		0		22,199		0			22,199
Sub-total	0		45,663		22,199		0			67,862
Equity securities, available-for-sale	43		57,385		150		0			57,578
Short-term investments	7		46,607		0		0			46,614
Cash equivalents	5,317		200,964		0		0			206,281
Other long-term investments	0		458,035		2,444		(444,724		)	15,755
Reinsurance recoverables	0		0		6,741,737		0			6,741,737
Receivables from parent and affiliates	0		161,396		569		0			161,965
Sub-total excluding separate account assets	5,367		8,159,567		6,989,939		(444,724		)	14,710,149
Separate account assets(2)	0		109,912,778		0		0			109,912,778
Total assets	$	5,367	$	118,072,345	$	6,989,939	$	(444,724	)	$	124,622,927
Future policy benefits(3)	$	0	$	0	$	7,098,647	$	0		$	7,098,647
Payables to parent and affiliates	0		45,035		0		(45,035		)	0
Total liabilities	$	0	$	45,035	$	7,098,647	$	(45,035	)	$	7,098,647



	December 31, 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	$	0	$	94,049	$	0	$	0		$	94,049
Obligations of U.S. states and their political subdivisions	0		624,769		0		0			624,769
Foreign government bonds	0		70,410		0		0			70,410
U.S. corporate public securities	0		2,635,551		55,003		0			2,690,554
U.S. corporate private securities	0		1,322,213		22,716		0			1,344,929
Foreign corporate public securities	0		275,349		0		0			275,349
Foreign corporate private securities	0		760,869		17,773		0			778,642
Asset-backed securities	0		261,784		173,347		0			435,131
Commercial mortgage-backed securities	0		404,345		0		0			404,345
Residential mortgage-backed securities	0		122,754		0		0			122,754
Sub-total	0		6,572,093		268,839		0			6,840,932
Trading account assets:
Corporate securities	0		44,374		0		0			44,374
Asset-backed securities	0		1,990		0		0			1,990
Equity securities	0		0		18,248		0			18,248
Sub-total	0		46,364		18,248		0			64,612
Equity securities, available-for-sale	39		51,769		165		0			51,973
Short-term investments	18,713		36,093		0		0			54,806
Cash equivalents	50,998		143,927		0		0			194,925
Other long-term investments(4)	0		297,394		5,704		(230,554		)	72,544
Reinsurance recoverables	0		0		4,940,011		0			4,940,011
Receivables from parent and affiliates	0		157,625		5,000		0			162,625
Sub-total excluding separate account assets	69,750		7,305,265		5,237,967		(230,554		)	12,382,428
Separate account assets(2)(4)	0		108,967,162		0		0			108,967,162
Total assets	$	69,750	$	116,272,427	$	5,237,967	$	(230,554	)	$	121,349,590
Future policy benefits(3)	$	0	$	0	$	5,205,434	$	0		$	5,205,434
Payables to parent and affiliates	0		32,849		0		(32,849		)	0
Total liabilities	$	0	$	32,849	$	5,205,434	$	(32,849	)	$	5,205,434


(1)	“Netting” amounts represent cash collateral of $400 million and $198 million as of March 31, 2016 and December 31, 2015, 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 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 March 31, 2016, the net embedded derivative liability position of $7,099 million includes $653 million of embedded derivatives in an asset position and $7,752 million of embedded derivatives in a liability position. As of December 31, 2015, the net embedded derivative liability position of $5,205 million includes $655 million of embedded derivatives in an asset position and $5,860 million of embedded derivatives in a liability position.


(4)	Prior period amounts are presented on a basis consistent with the current period presentation, reflecting the adoption of ASU 2015-07

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.



	March 31, 2016
	Internal(1)		External(2)		Total
	(in thousands)
Corporate securities(3)	$	43,449	$	55,000	$	98,449
Asset-backed securities(4)	136		124,255		124,391
Equity securities	4,589		17,760		22,349
Other long-term investments	0		2,444		2,444
Reinsurance recoverables	6,741,737		0		6,741,737
Receivables from parent and affiliates	0		569		569
Total assets	$	6,789,911	$	200,028	$	6,989,939
Future policy benefits	$	7,098,647	$	0	$	7,098,647
Total liabilities	$	7,098,647	$	0	$	7,098,647



	December 31, 2015
	Internal(1)		External(2)		Total
	(in thousands)
Corporate securities(3)	$	40,492	$	55,000	$	95,492
Asset-backed securities(4)	158		173,189		173,347
Equity securities	165		18,248		18,413
Other long-term investments(5)	3,260		2,444		5,704
Reinsurance recoverables	4,940,011		0		4,940,011
Receivables from parent and affiliates	0		5,000		5,000
Total assets	$	4,984,086	$	253,881	$	5,237,967
Future policy benefits	$	5,205,434	$	0	$	5,205,434
Total liabilities	$	5,205,434	$	0	$	5,205,434


(1)	Represents valuations reflecting both 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.


(3)	Includes assets classified as fixed maturities available-for-sale.


(4)	Includes credit-tranched securities collateralized by sub-prime mortgages, auto loans, credit cards, education loans and other asset types.


(5)	Prior period amounts are presented on a basis consistent with the current period presentation, reflecting the adoption of ASU 2015-07.

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).



	March 31, 2016
	Fair Value		Valuation Techniques	Unobservable Inputs	Minimum			Maximum			Weighted Average			Impact of Increase in Input on Fair Value(1)
	(in thousands)
Assets:
Corporate securities(12)	$	43,449	Discounted cash flow	Discount rate	5.29	%		20.38	%		9.90	%		Decrease
			Market comparables	EBITDA multiples(2)	5.0		X	5.0		X	5.0		X	Increase
Reinsurance recoverables - Living Benefits	$	6,348,158	Fair values are determined in the same manner as future policy benefits
Reinsurance recoverables - No Lapse Guarantee	$	393,579	Discounted cash flow	Lapse rate(3)	0	%		12	%					Decrease
				NPR spread(4)	0.44	%		2.07	%					Decrease
				Mortality rate(5)	0	%		20	%					Decrease
				Premium payment(6)	1.00		X	3.75		X				Decrease
Liabilities:
Future policy benefits(7)	$	7,098,647	Discounted cash flow	Lapse rate(8)	0	%		14	%					Decrease
				NPR spread(4)	0.44	%		2.07	%					Decrease
				Utilization rate(9)	56	%		96	%					Increase
				Withdrawal rate(10)	74	%		100	%					Increase
				Mortality rate(11)	0	%		14	%					Decrease
				Equity volatility curve	16	%		28	%					Increase



	December 31, 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(12)	$	40,492	Discounted cash flow	Discount rate	5.76	%		17.95	%		8.35	%		Decrease
			Market comparables	EBITDA multiples(2)	5.0		X	5.0		X	5.0		X	Increase
Reinsurance recoverables - Living Benefits	$	4,600,193	Fair values are determined in the same manner as future policy benefits

Reinsurance recoverables - No Lapse Guarantee	$	339,818	Discounted cash flow	Lapse rate(3)	0	%		12	%					Decrease
				NPR spread(4)	0.06	%		1.76	%					Decrease
				Mortality rate(5)	0	%		20	%					Decrease
				Premium payment(6)	1.00		X	3.75		X				Decrease
Liabilities:
Future policy benefits(7)	$	5,205,434	Discounted cash flow	Lapse rate(8)	0	%		14	%					Decrease
				NPR spread(4)	0.06	%		1.76	%					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


(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.


(12)	Includes assets classified as fixed maturities available-for-sale and other trading account assets.

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).



	March 31, 2016
	Fair Value		Valuation Techniques	Unobservable Inputs	Minimum			Maximum			Weighted Average			Impact of Increase in Input on Fair Value(1)
	(in thousands)
Assets:
Corporate securities(12)	$	43,449	Discounted cash flow	Discount rate	5.29	%		20.38	%		9.90	%		Decrease
			Market comparables	EBITDA multiples(2)	5.0		X	5.0		X	5.0		X	Increase
Reinsurance recoverables - Living Benefits	$	6,348,158	Fair values are determined in the same manner as future policy benefits
Reinsurance recoverables - No Lapse Guarantee	$	393,579	Discounted cash flow	Lapse rate(3)	0	%		12	%					Decrease
				NPR spread(4)	0.44	%		2.07	%					Decrease
				Mortality rate(5)	0	%		20	%					Decrease
				Premium payment(6)	1.00		X	3.75		X				Decrease
Liabilities:
Future policy benefits(7)	$	7,098,647	Discounted cash flow	Lapse rate(8)	0	%		14	%					Decrease
				NPR spread(4)	0.44	%		2.07	%					Decrease
				Utilization rate(9)	56	%		96	%					Increase
				Withdrawal rate(10)	74	%		100	%					Increase
				Mortality rate(11)	0	%		14	%					Decrease
				Equity volatility curve	16	%		28	%					Increase



	December 31, 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(12)	$	40,492	Discounted cash flow	Discount rate	5.76	%		17.95	%		8.35	%		Decrease
			Market comparables	EBITDA multiples(2)	5.0		X	5.0		X	5.0		X	Increase
Reinsurance recoverables - Living Benefits	$	4,600,193	Fair values are determined in the same manner as future policy benefits

Reinsurance recoverables - No Lapse Guarantee	$	339,818	Discounted cash flow	Lapse rate(3)	0	%		12	%					Decrease
				NPR spread(4)	0.06	%		1.76	%					Decrease
				Mortality rate(5)	0	%		20	%					Decrease
				Premium payment(6)	1.00		X	3.75		X				Decrease
Liabilities:
Future policy benefits(7)	$	5,205,434	Discounted cash flow	Lapse rate(8)	0	%		14	%					Decrease
				NPR spread(4)	0.06	%		1.76	%					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


(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)


(12)	Includes assets classified as fixed maturities available-for-sale and other trading account assets.

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 March 31, 2016
	Fixed Maturities Available-for-Sale
	U.S. Corporate Public Securities		U.S. Corporate Private Securities			Foreign Corporate Private Securities			Asset-Backed Securities			Trading Account Assets- Equity Securities
	(in thousands)
Fair value, beginning of period	$	55,003	$	22,716		$	17,773		$	173,347		$	18,248
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		(508		)	(194		)	9			0
Asset management fees and other income	0		0			0			0			691
Included in other comprehensive income (loss)	0		(976		)	(215		)	(902		)	0
Net investment income	0		4			5			98			0
Purchases	0		209			65			0			0
Sales	0		0			0			0			0
Issuances	0		0			0			0			0
Settlements	0		(950		)	(4,823		)	(343		)	0
Transfers into Level 3(1)	0		8,753			1,587			10,916			0
Transfers out of Level 3(1)	0		0			0			(58,734		)	0
Other(5)	0		0			0			0			3,260
Fair value, end of period	$	55,003	$	29,248		$	14,198		$	124,391		$	22,199
Unrealized gains (losses) for assets still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	(508	)	$	0		$	0		$	0
Asset management fees and other income	$	0	$	0		$	0		$	0		$	691



	Three Months Ended March 31, 2016
	Equity Securities, Available-for-Sale			Other Long-term Investments			Reinsurance Recoverables		Receivables from Parent and Affiliates			Future Policy Benefits
	(in thousands)
Fair value, beginning of period	$	165		$	5,704		$	4,940,011	$	5,000		$	(5,205,434	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0			0			1,625,887		(13		)	(1,700,231		)
Asset management fees and other income	0			0			0		0			0
Included in other comprehensive income (loss)	(15		)	0			0		34			0
Net investment income	0			0			0		0			0
Purchases	0			0			175,839		0			0
Sales	0			0			0		(1,988		)	0
Issuances	0			0			0		0			(192,982		)
Settlements	0			0			0		0			0
Transfers into Level 3(1)	0			0			0		0			0
Transfers out of Level 3(1)	0			0			0		(2,464		)	0
Other(5)	0			(3,260		)	0		0			0
Fair value, end of period	$	150		$	2,444		$	6,741,737	$	569		$	(7,098,647	)
Unrealized gains (losses) for assets/liabilities still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0		$	0		$	1,655,557	$	0		$	(1,727,547	)
Asset management fees and other income	$	0		$	0		$	0	$	0		$	0



	Three Months Ended March 31, 2015(4)
	Fixed Maturities Available-for-Sale
	U.S. Corporate Public Securities			U.S. Corporate Private Securities			Foreign Corporate Private Securities			Asset-Backed Securities
	(in thousands)
Fair value, beginning of period	$	61,092		$	14,539		$	9,170		$	100,217
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0			0			62			2
Asset management fees and other income	0			0			0			0
Included in other comprehensive income (loss)	(44		)	(277		)	(117		)	530
Net investment income	(2		)	(12		)	8			(8		)
Purchases	56,903			249			188			73,630
Sales	(55,000		)	(2		)	(31		)	0
Settlements	(152		)	(511		)	(678		)	(72		)
Transfers into Level 3(1)	704			826			0			44,798
Transfers out of Level 3(1)	0			0			0			(18,046		)
Fair value, end of period	$	63,501		$	14,812		$	8,602		$	201,051
Unrealized gains (losses) for assets still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0		$	0		$	0		$	0
Asset management fees and other income	$	0		$	0		$	0		$	0



	Three Months Ended March 31, 2015(4)
	Trading Account Assets- Equity Securities			Equity Securities, Available-for-Sale			Other Long- term Investments			Reinsurance Recoverables		Receivables from Parent and Affiliates			Future Policy Benefits
	(in thousands)
Fair value, beginning of period	$	5,540		$	750		$	596		$	4,897,545	$	19,203		$	(4,993,611	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0			0			51			759,357		0			(776,607		)
Asset management fees and other income	2,328			0			0			0		0			0
Included in other comprehensive income (loss)	0			(3		)	0			0		(20		)	0
Net investment income	0			0			0			0		0			0
Purchases	0			0			0			165,205		0			0
Sales	0			0			0			0		0			0
Issuances	0			0			0			0		0			(174,597		)
Settlements	(1,500		)	0			0			0		0			0
Transfers into Level 3(1)	0			0			0			0		1,986			0
Transfers out of Level 3(1)	0			0			(30		)	0		0			0
Other(3)	12,001			0			0			0		0			0
Fair value, end of period	$	18,369		$	747		$	617		$	5,822,107	$	21,169		$	(5,944,815	)
Unrealized gains (losses) for assets/liabilities still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0		$	0		$	52		$	788,607	$	0		$	(809,087	)
Asset management fees and other income	$	2,283		$	0		$	0		$	0	$	0		$	0


(1)	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.


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


(4)	Prior period amounts have been reclassified to conform to current period presentation, including the adoption of ASU 2015-07.


(5)	Primarily related to private warrants reclassified from derivatives to trading securities.

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



	Three Months Ended March 31, 2016
	Fixed Maturities Available-for-Sale
	U.S. Corporate Public Securities		U.S. Corporate Private Securities			Foreign Corporate Private Securities			Asset-Backed Securities			Trading Account Assets- Equity Securities
	(in thousands)
Fair value, beginning of period	$	55,003	$	22,716		$	17,773		$	173,347		$	18,248
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		(508		)	(194		)	9			0
Asset management fees and other income	0		0			0			0			691
Included in other comprehensive income (loss)	0		(976		)	(215		)	(902		)	0
Net investment income	0		4			5			98			0
Purchases	0		209			65			0			0
Sales	0		0			0			0			0
Issuances	0		0			0			0			0
Settlements	0		(950		)	(4,823		)	(343		)	0
Transfers into Level 3(1)	0		8,753			1,587			10,916			0
Transfers out of Level 3(1)	0		0			0			(58,734		)	0
Other(5)	0		0			0			0			3,260
Fair value, end of period	$	55,003	$	29,248		$	14,198		$	124,391		$	22,199
Unrealized gains (losses) for assets still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	(508	)	$	0		$	0		$	0
Asset management fees and other income	$	0	$	0		$	0		$	0		$	691



	Three Months Ended March 31, 2016
	Equity Securities, Available-for-Sale			Other Long-term Investments			Reinsurance Recoverables		Receivables from Parent and Affiliates			Future Policy Benefits
	(in thousands)
Fair value, beginning of period	$	165		$	5,704		$	4,940,011	$	5,000		$	(5,205,434	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0			0			1,625,887		(13		)	(1,700,231		)
Asset management fees and other income	0			0			0		0			0
Included in other comprehensive income (loss)	(15		)	0			0		34			0
Net investment income	0			0			0		0			0
Purchases	0			0			175,839		0			0
Sales	0			0			0		(1,988		)	0
Issuances	0			0			0		0			(192,982		)
Settlements	0			0			0		0			0
Transfers into Level 3(1)	0			0			0		0			0
Transfers out of Level 3(1)	0			0			0		(2,464		)	0
Other(5)	0			(3,260		)	0		0			0
Fair value, end of period	$	150		$	2,444		$	6,741,737	$	569		$	(7,098,647	)
Unrealized gains (losses) for assets/liabilities still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0		$	0		$	1,655,557	$	0		$	(1,727,547	)
Asset management fees and other income	$	0		$	0		$	0	$	0		$	0



	Three Months Ended March 31, 2015(4)
	Fixed Maturities Available-for-Sale
	U.S. Corporate Public Securities			U.S. Corporate Private Securities			Foreign Corporate Private Securities			Asset-Backed Securities
	(in thousands)
Fair value, beginning of period	$	61,092		$	14,539		$	9,170		$	100,217
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0			0			62			2
Asset management fees and other income	0			0			0			0
Included in other comprehensive income (loss)	(44		)	(277		)	(117		)	530
Net investment income	(2		)	(12		)	8			(8		)
Purchases	56,903			249			188			73,630
Sales	(55,000		)	(2		)	(31		)	0
Settlements	(152		)	(511		)	(678		)	(72		)
Transfers into Level 3(1)	704			826			0			44,798
Transfers out of Level 3(1)	0			0			0			(18,046		)
Fair value, end of period	$	63,501		$	14,812		$	8,602		$	201,051
Unrealized gains (losses) for assets still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0		$	0		$	0		$	0
Asset management fees and other income	$	0		$	0		$	0		$	0



	Three Months Ended March 31, 2015(4)
	Trading Account Assets- Equity Securities			Equity Securities, Available-for-Sale			Other Long- term Investments			Reinsurance Recoverables		Receivables from Parent and Affiliates			Future Policy Benefits
	(in thousands)
Fair value, beginning of period	$	5,540		$	750		$	596		$	4,897,545	$	19,203		$	(4,993,611	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0			0			51			759,357		0			(776,607		)
Asset management fees and other income	2,328			0			0			0		0			0
Included in other comprehensive income (loss)	0			(3		)	0			0		(20		)	0
Net investment income	0			0			0			0		0			0
Purchases	0			0			0			165,205		0			0
Sales	0			0			0			0		0			0
Issuances	0			0			0			0		0			(174,597		)
Settlements	(1,500		)	0			0			0		0			0
Transfers into Level 3(1)	0			0			0			0		1,986			0
Transfers out of Level 3(1)	0			0			(30		)	0		0			0
Other(3)	12,001			0			0			0		0			0
Fair value, end of period	$	18,369		$	747		$	617		$	5,822,107	$	21,169		$	(5,944,815	)
Unrealized gains (losses) for assets/liabilities still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0		$	0		$	52		$	788,607	$	0		$	(809,087	)
Asset management fees and other income	$	2,283		$	0		$	0		$	0	$	0		$	0


(1)	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.


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


(4)	Prior period amounts have been reclassified to conform to current period presentation, including the adoption of ASU 2015-07.


(5)	Primarily related to private warrants reclassified from derivatives to trading securities.

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.



	March 31, 2016(1)
	Fair Value								Carrying Amount(2)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	8,394	$	1,720,581	$	1,728,975	$	1,641,942
Policy loans	0		0		1,141,331		1,141,331		1,141,331
Cash and cash equivalents	26,937		262,622		0		289,559		289,559
Accrued investment income	0		104,075		0		104,075		104,075
Receivables from parent and affiliates	0		68,009		0		68,009		68,009
Other assets	0		36,060		0		36,060		36,060
Total assets	$	26,937	$	479,160	$	2,861,912	$	3,368,009	$	3,280,976
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	994,880	$	240,957	$	1,235,837	$	1,240,597
Cash collateral for loaned securities	0		5,317		0		5,317		5,317
Short-term debt	0		180,335		0		180,335		180,500
Long-term debt	0		1,237,111		0		1,237,111		1,204,000
Payables to parent and affiliates	0		70,195		0		70,195		70,195
Other liabilities	0		291,029		0		291,029		291,029
Total liabilities	$	0	$	2,778,867	$	240,957	$	3,019,824	$	2,991,638



	December 31, 2015(1)
	Fair Value								Carrying Amount(2)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	8,540	$	1,701,951	$	1,710,491	$	1,658,235
Policy loans	0		0		1,143,303		1,143,303		1,143,303
Cash and cash equivalents	19,297		156,064		0		175,361		175,361
Accrued investment income	0		100,031		0		100,031		100,031
Receivables from parent and affiliates	0		65,628		0		65,628		65,628
Other assets	0		6,162		0		6,162		6,162
Total assets	$	19,297	$	336,425	$	2,845,254	$	3,200,976	$	3,148,720
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	947,853	$	236,891	$	1,184,744	$	1,190,596
Cash collateral for loaned securities	0		40,416		0		40,416		40,416
Short-term debt	0		180,105		0		180,105		180,000
Long-term debt	0		1,227,110		0		1,227,110		1,204,000
Payables to parent and affiliates	0		72,791		0		72,791		72,791
Other liabilities	0		343,089		0		343,089		343,089
Total liabilities	$	0	$	2,811,364	$	236,891	$	3,048,255	$	3,030,892

(1)

As discussed in Note 2, the Company adopted ASU 2015-07, effective January 1, 2016, which resulted in the exclusion of certain other long-term investments from the fair value hierarchy. The guidance was required to be applied retrospectively, and therefore, prior period amounts have been revised to conform to the current period presentation. At March 31, 2016 and December 31, 2015, the fair values of these cost method investments were $31 million and $27 million, respectively, which had been previously classified in Level 3 at December 31, 2015. The carrying values of these investments were $29 million and $26 million as of March 31, 2016 and December 31, 2015, respectively.

(2)

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.