Fair Value of Assets and Liabilities (Tables)

12 Months Ended

Dec. 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.



	As of December 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	$	160,740	$	0	$	0		$	160,740
Obligations of U.S. states and their political subdivisions	0		626,486		0		0			626,486
Foreign government bonds	0		108,782		0		0			108,782
U.S. corporate public securities	0		2,306,409		55,109		0			2,361,518
U.S. corporate private securities	0		851,585		32,699		0			884,284
Foreign corporate public securities	0		221,848		0		0			221,848
Foreign corporate private securities	0		584,268		14,748		0			599,016
Asset-backed securities(5)	0		169,160		19,856		0			189,016
Commercial mortgage-backed securities	0		382,671		0		0			382,671
Residential mortgage-backed securities	0		83,188		0		0			83,188
Subtotal	0		5,495,137		122,412		0			5,617,549
Trading account assets:
Corporate securities	0		19,256		0		0			19,256
Asset-backed securities(5)	0		302		0		0			302
Equity securities	0		0		15,770		0			15,770
Subtotal	0		19,558		15,770		0			35,328
Equity securities, available-for-sale	41		16,640		75		0			16,756
Short-term investments	31,007		5,650		0		0			36,657
Cash equivalents	5,644		1,998		0		0			7,642
Other long-term investments	0		90,884		0		(13,019		)	77,865
Reinsurance recoverables	0		0		5,474,263		0			5,474,263
Receivables from parent and affiliates	0		131,144		6,493		0			137,637
Subtotal excluding separate account assets	36,692		5,761,011		5,619,013		(13,019		)	11,403,697
Separate account assets(2)	0		116,040,888		0		0			116,040,888
Total assets	$	36,692	$	121,801,899	$	5,619,013	$	(13,019	)	$	127,444,585
Future policy benefits(3)	$	0	$	0	$	5,041,007	$	0		$	5,041,007
Policyholders' account balances	0		0		20,337		0			20,337
Payables to parent and affiliates	0		12,854		0		(12,854		)	0
Total liabilities	$	0	$	12,854	$	5,061,344	$	(12,854	)	$	5,061,344



	As of 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(5)	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
Subtotal	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(5)	0		1,990		0		0			1,990
Equity securities	0		0		18,248		0			18,248
Subtotal	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
Subtotal 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
Policyholders' account balances	0		0		0		0			0
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 $0.2 million and $198 million as of December 31, 2016 and 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 Consolidated Statements of Financial Position.

(3)

As of December 31, 2016, the net embedded derivative liability position of $5,041 million includes $1,157 million of embedded derivatives in an asset position and $6,198 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.


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

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 December 31, 2016
	Internal(1)		External(2)		Total
	(in thousands)
Corporate securities(3)	$	45,715	$	56,841	$	102,556
Asset-backed securities(4)	55		19,801		19,856
Equity securities	3,014		12,831		15,845
Other long-term investments	0		0		0
Reinsurance recoverables	5,474,263		0		5,474,263
Receivables from parent and affiliates	0		6,493		6,493
Total assets	$	5,523,047	$	95,966	$	5,619,013
Future policy benefits	$	5,041,007	$	0	$	5,041,007
Policyholders' account balances	20,337		0		20,337
Total liabilities	$	5,061,344	$	0	$	5,061,344



	As of December 31, 2015(5)
	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	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
Policyholders' account balances	0		0		0
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.



	As of December 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)	$	45,715	Discounted cash flow	Discount rate	4.54	%		15.00	%		8.06	%		Decrease
			Market comparables	EBITDA multiples(2)	4.0		X	4.0		X	4.0		X	Increase
			Liquidation	Liquidation value	98.21	%		98.21	%		98.21	%		Increase
Reinsurance recoverables - Living Benefits	$	5,041,262	Fair values are determined in the same manner as future policy benefits
Reinsurance recoverables - No Lapse Guarantee	$	433,001	Discounted cash flow	Lapse rate(3)	0	%		12	%					Decrease
				NPR spread(4)	0.25	%		1.50	%					Decrease
				Mortality rate(5)	0	%		31	%					Decrease
				Premium payment(6)	0.65		X	0.95		X				Decrease
Liabilities:
Future policy benefits(7)	$	5,041,007	Discounted cash flow	Lapse rate(8)	0	%		13	%					Decrease
				NPR spread(4)	0.25	%		1.50	%					Decrease
				Utilization rate(9)	52	%		96	%					Increase
				Withdrawal rate	See table footnote (10) below
				Mortality rate(11)	0	%		14	%					Decrease
				Equity volatility curve	16	%		25	%					Increase



	As of 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(13)	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, policyholders are assumed to pay a multiple of commissionable target premium levels (shown above and indicated as "X"). The multiples vary by funding level and policy duration. If the resulting premium in any duration is smaller than the minimum annual premium required to maintain the no-lapse guarantee, policyholders are assumed to pay the minimum annual premium. Policyholders are assumed to stop premium payments once the no-lapse guarantee is fully funded. The range shown as of December 31, 2016 excludes multiples for the first duration since all contracts are beyond the first duration. Assumption ranges for prior periods included first duration multiples.

(7)

Future policy benefits primarily represent general account liabilities for the optional 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 age of the contractholder, the tax status of the contract and the duration since the contractholder began lifetime withdrawals. As of December 31, 2016, the minimum withdrawal assumption rate is 78% and the maximum withdrawal assumption rate may be greater than 100%. The fair value of the liability will generally increase the closer the withdrawal rate is to 100% and decrease as the withdrawal rate moves further away from 100%.

(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.


(13)	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.

Fair Value Inputs, Liabilities, Quantitative Information

The tables below present quantitative information on significant internally-priced Level 3 assets and liabilities.



	As of December 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)	$	45,715	Discounted cash flow	Discount rate	4.54	%		15.00	%		8.06	%		Decrease
			Market comparables	EBITDA multiples(2)	4.0		X	4.0		X	4.0		X	Increase
			Liquidation	Liquidation value	98.21	%		98.21	%		98.21	%		Increase
Reinsurance recoverables - Living Benefits	$	5,041,262	Fair values are determined in the same manner as future policy benefits
Reinsurance recoverables - No Lapse Guarantee	$	433,001	Discounted cash flow	Lapse rate(3)	0	%		12	%					Decrease
				NPR spread(4)	0.25	%		1.50	%					Decrease
				Mortality rate(5)	0	%		31	%					Decrease
				Premium payment(6)	0.65		X	0.95		X				Decrease
Liabilities:
Future policy benefits(7)	$	5,041,007	Discounted cash flow	Lapse rate(8)	0	%		13	%					Decrease
				NPR spread(4)	0.25	%		1.50	%					Decrease
				Utilization rate(9)	52	%		96	%					Increase
				Withdrawal rate	See table footnote (10) below
				Mortality rate(11)	0	%		14	%					Decrease
				Equity volatility curve	16	%		25	%					Increase



	As of 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(13)	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)

(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)

(11)


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


(13)	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.

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.



	Year Ended December 31, 2016
	Fixed Maturities Available-For-Sale
	U.S. Corporate Public Securities			U.S. Corporate Private Securities			Foreign Corporate Public Securities		Foreign Corporate Private Securities			Asset- Backed Securities(6)			Commercial Mortgage-Backed Securities		Trading Account Assets - Asset Backed Securities			Trading Account Assets - Equity Securities
	(in thousands)
Fair value, beginning of period	$	55,003		$	22,716		$	0	$	17,773		$	173,347		$	0	$	0		$	18,248
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(5)	0			58			0		(335		)	(891		)	0		0			0
Asset management fees and other income	0			0			0		0			0			0		(32		)	192
Included in other comprehensive income (loss)	88			237			0		(1,343		)	158			0		0			0
Net investment income	1			77			0		(24		)	149			0		0			0
Purchases	0			5,239			0		220			21,473			0		0			0
Sales	0			(7,979		)	0		(1,949		)	(44,486		)	0		0			(5,930		)
Issuances	0			0			0		0			0			0		0			0
Settlements	(19		)	(2,984		)	0		(7,725		)	(1,071		)	0		(527		)	0
Transfers into Level 3(1)	2,643			19,034			0		8,204			48,957			0		0			0
Transfers out of Level 3(1)	(2,607		)	(3,699		)	0		(73		)	(177,780		)	0		0			0
Other(3)	0			0			0		0			0			0		559			3,260
Fair value, end of period	$	55,109		$	32,699		$	0	$	14,748		$	19,856		$	0	$	0		$	15,770
Unrealized gains (losses) for assets still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0		$	(510	)	$	0	$	(50	)	$	(1,378	)	$	0	$	0		$	0
Asset management fees and other income	$	0		$	0		$	0	$	0		$	0		$	0	$	0		$	(769	)



				Year Ended December 31, 2016
	Equity Securities, Available-for-Sale			Other Long- term Investments			Reinsurance Recoverables			Receivables from Parent and Affiliates			Future Policy Benefits			Policyholders' Account Balances
				(in thousands)
Fair value, beginning of period	$	165		$	5,704		$	4,940,011		$	5,000		$	(5,205,434	)	$	0
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(5)	0			0			(281,009		)	(13		)	975,823			(8,463		)
Asset management fees and other income	0			0			0			0			0			0
Included in other comprehensive income (loss)	(90		)	0			0			16			0			0
Net investment income	0			(67		)	0			0			0			0
Purchases	0			102			815,261			6,500			0			0
Sales	0			0			0			(1,987		)	0			0
Issuances	0			0			0			0			(811,396		)	0
Settlements	0			0			0			0			0			(5,972		)
Transfers into Level 3(1)	0			0			0			0			0			0
Transfers out of Level 3(1)	0			(2,479		)	0			(2,464		)	0			0
Other(3)	0			(3,260		)	0			(559		)	0			(5,902		)
Fair value, end of period	$	75		$	0		$	5,474,263		$	6,493		$	(5,041,007	)	$	(20,337	)
Unrealized gains (losses) for assets/liabilities still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0		$	0		$	4,326,977		$	0		$	866,386		$	(8,463	)
Asset management fees and other income	$	0		$	0		$	0		$	0		$	0		$	0



	Year Ended December 31, 2015(4)
	Fixed Maturities, Available-for-Sale
	U.S. Corporate Public Securities			U.S. Corporate Private Securities			Foreign Corporate Public Securities			Foreign Corporate Private Securities			Asset- Backed Securities (6)			Commercial Mortgage - Backed Securities		Trading Account Assets - Asset Backed Securities		Trading Account Assets- Equity Securities
	(in thousands)
Fair value, beginning of period	$	61,092		$	14,539		$	0		$	9,170		$	100,217		$	0	$	0	$	5,540
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0			(448		)	0			(1,085		)	42			0		0		0
Asset management fees and other income	0			0			0			0			0			0		0		2,207
Included in other comprehensive income (loss)	(46		)	(590		)	14			884			(939		)	0		0		0
Net investment income	(2		)	26			0			6			52			0		0		0
Purchases	1,901			19,363			973			5,685			112,250			0		0		0
Sales	0			(6,038		)	0			(69		)	(40,130		)	0		0		0
Issuances	0			0			0			0			0			0		0		0
Settlements	(160		)	(7,812		)	0			(8,667		)	(2,362		)	0		0		(1,500		)
Transfers into Level 3(1)	704			4,092			0			11,849			90,687			0		0		0
Transfers out of Level 3(1)	(8,486		)	(416		)	(987		)	0			(86,470		)	0		0		0
Other(3)	0			0			0			0			0			0		0		12,001
Fair value, end of period	$	55,003		$	22,716		$	0		$	17,773		$	173,347		$	0	$	0	$	18,248
Unrealized gains (losses) for assets still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0		$	(357	)	$	0		$	(1,035	)	$	0		$	0	$	0	$	0
Asset management fees and other income	$	0		$	0		$	0		$	0		$	0		$	0	$	0	$	2,162



				Year Ended December 31, 2015(4)
	Equity Securities, Available-for-Sale			Other Long-term Investments			Reinsurance Recoverables			Receivables from Parent and Affiliates			Future Policy Benefits			Policyholders' Account Balances
				(in thousands)
Fair value, beginning of period	$	750		$	595		$	4,897,545		$	19,203		$	(4,993,611	)	$	0
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	337			1,912			(635,006		)	0			505,416			0
Asset management fees and other income	0			0			0			0			0			0
Included in other comprehensive income (loss)	(245		)	0			0			(17		)	0			0
Net investment income	0			0			0			0			0			0
Purchases	0			3,395			677,472			0			0			0
Sales	0			(168		)	0			0			0			0
Issuances	0			0			0			0			(717,239		)	0
Settlements	(677		)	0			0			0			0			0
Transfers into Level 3(1)	0			0			0			6,448			0			0
Transfers out of Level 3(1)	0			(30		)	0			(20,634		)	0			0
Other	0			0			0			0			0			0
Fair value, end of period	$	165		$	5,704		$	4,940,011		$	5,000		$	(5,205,434	)	$	0
Unrealized gains (losses) for assets/liabilities still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0		$	1,744		$	(482,828	)	$	0		$	381,057		$	0
Asset management fees and other income	$	0		$	0		$	0		$	0		$	0		$	0

The following tables summarize the portion of changes in fair values of Level 3 assets and liabilities included in earnings and other comprehensive income for the year ended December 31, 2014, 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 as of December 31, 2014.



	Year Ended December 31, 2014(4)
	Fixed Maturities, Available-for-Sale
	U.S. Corporate Public Securities			U.S. Corporate Private Securities			Foreign Corporate Public Securities		Foreign Corporate Private Securities			Asset- Backed Securities (6)			Commercial Mortgage- Backed Securities			Trading Account Assets - Asset Backed Securities		Trading Account Assets- Equity Securities
	(in thousands)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	$	2		$	798		$	0	$	592		$	142		$	0		$	0	$	0
Asset management fees and other income	$	0		$	0		$	0	$	0		$	0		$	0		$	0	$	1,424
Included in other comprehensive income (loss)	$	227		$	757		$	0	$	(1,129	)	$	(348	)	$	(2	)	$	0	$	0
Net investment income	$	(4	)	$	18		$	0	$	58		$	80		$	0		$	0	$	0
Unrealized gains (losses) for assets still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0		$	(101	)	$	0	$	0		$	0		$	0		$	0	$	0
Asset management fees and other income	$	0		$	0		$	0	$	0		$	0		$	0		$	0	$	1,426



			Year Ended December 31, 2014(4)
	Equity Securities, Available-for-Sale		Other Long- term Investments		Reinsurance Recoverables		Receivables from Parent and Affiliates			Future Policy Benefits			Policyholders' Account Balances
			(in thousands)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	$	0	$	168	$	4,683,691	$	0		$	(4,690,021	)	$	0
Asset management fees and other income	$	0	$	0	$	0	$	0		$	0		$	0
Included in other comprehensive income (loss)	$	246	$	0	$	0	$	(121	)	$	0		$	0
Net investment income	$	0	$	0	$	0	$	0		$	0		$	0
Unrealized gains (losses) for assets/liabilities still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	168	$	4,672,815	$	0		$	(4,679,851	)	$	0
Asset management fees and other income	$	0	$	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 and liabilities between reporting categories.


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


(5)	Realized investment gains (losses) on Future Policy Benefits and Reinsurance Recoverables primarily represents the change in the fair value of the Company's living benefit guarantees on certain of its variable annuity contracts. Refer to Note 1 for impacts to Realized investment gains (losses) related to the Variable Annuities Recapture.


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

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



	December 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	$	0	$	1,181,582	$	1,181,582	$	1,150,381
Policy loans	0		0		1,166,456		1,166,456		1,166,456
Cash and cash equivalents	30,149		58,366		0		88,515		88,515
Accrued investment income	0		87,322		0		87,322		87,322
Receivables from parent and affiliates	0		76,315		0		76,315		76,315
Other assets	0		37,969		0		37,969		37,969
Total assets	$	30,149	$	259,972	$	2,348,038	$	2,638,159	$	2,606,958
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	1,129,378	$	253,007	$	1,382,385	$	1,386,099
Securities sold under agreements to repurchase	0		68,904		0		68,904		68,904
Cash collateral for loaned securities	0		74,976		0		74,976		74,976
Short-term debt to affiliates	0		0		0		0		0
Long-term debt to affiliates	0		0		0		0		0
Payables to parent and affiliates	0		73,628		0		73,628		73,628
Other liabilities	0		305,969		0		305,969		305,969
Total liabilities	$	0	$	1,652,855	$	253,007	$	1,905,862	$	1,909,576



	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
Securities sold under agreements to repurchase	0		0		0		0		0
Cash collateral for loaned securities	0		40,416		0		40,416		40,416
Short-term debt to affiliates	0		180,105		0		180,105		180,000
Long-term debt to affiliates	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)

Effective January 1, 2016, the Company adopted new accounting guidance (ASU 2015-07, Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share or Its Equivalent (Topic 820)), which removes the requirement to categorize within the fair value hierarchy all investments measured at net asset value per share (or its equivalent) as a practical expedient. As a result of the adoption of this new guidance, certain other long-term investments are no longer classified in the fair value hierarchy. The guidance was required to be applied retrospectively, and therefore, prior period amounts have been conformed to the current period presentation. At December 31, 2016 and December 31, 2015, the fair values of these cost method investments were $35 million and $27 million, respectively, which had been previously classified in Level 3 at December 31, 2015. The carrying values of these investments were $32 million and $26 million as of December 31, 2016 and December 31, 2015, respectively.

(2)

Carrying values presented herein differ from those in the Company’s 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.