Fair Value of Assets and Liabilities (Tables)

12 Months Ended

Dec. 31, 2017

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, 2017
	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	$	80,611	$	19,204	$	0		$	99,815
Obligations of U.S. states and their political subdivisions	0		635,458		0		0			635,458
Foreign government bonds	0		134,924		174		0			135,098
U.S. corporate public securities	0		1,779,935		1,154		0			1,781,089
U.S. corporate private securities	0		901,080		60,158		0			961,238
Foreign corporate public securities	0		182,243		209		0			182,452
Foreign corporate private securities	0		837,766		13,900		0			851,666
Asset-backed securities(4)	0		71,400		111,028		0			182,428
Commercial mortgage-backed securities	0		322,832		0		0			322,832
Residential mortgage-backed securities	0		71,226		0		0			71,226
Subtotal	0		5,017,475		205,827		0			5,223,302
Trading account assets:
Corporate securities	0		38,793		0		0			38,793
Asset-backed securities(4)	0		0		0		0			0
Equity securities	0		0		17,488		0			17,488
Subtotal	0		38,793		17,488		0			56,281
Equity securities, available-for-sale	94		22,991		37		0			23,122
Short-term investments	0		0		1,339		0			1,339
Cash equivalents	0		28,007		0		0			28,007
Other long-term investments(6)	0		115,094		0		(115,086		)	8
Reinsurance recoverables(5)	0		0		5,457,649		0			5,457,649
Receivables from parent and affiliates	0		132,571		0		0			132,571
Subtotal excluding separate account assets	94		5,354,931		5,682,340		(115,086		)	10,922,279
Separate account assets(2)(7)	0		125,543,035		0		0			125,543,035
Total assets	$	94	$	130,897,966	$	5,682,340	$	(115,086	)	$	136,465,314
Future policy benefits(3)	$	0	$	0	$	5,452,583	$	0		$	5,452,583
Policyholders' account balances	0		0		46,651		0			46,651
Payables to parent and affiliates	0		74,378		0		(69,718		)	4,660
Total liabilities	$	0	$	74,378	$	5,499,234	$	(69,718	)	$	5,503,894



	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(4)	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(4)	0		302		0		0			302
Commercial mortgage-backed securities	0		0		0		0			—
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(6)	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)(7)	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


(1)	“Netting” amounts represent cash collateral of $45.4 million and $0.2 million as of December 31, 2017 and 2016, 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, 2017, the net embedded derivative liability position of $5,453 million includes $823 million of embedded derivatives in an asset position and $6,276 million of embedded derivatives in a liability position. 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.


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


(5)	Effective July 1, 2017, the Company recaptured the risks related to the no-lapse guarantees that were previously reinsured to UPARC and discontinued the embedded derivative accounting.

(6)

Other long-term investments excluded from the fair value hierarchy include certain hedge funds, private equity funds and other funds for which fair value is measured at net asset value ("NAV") per share (or its equivalent) as a practical expedient. At December 31, 2017 and December 31, 2016, the fair values of these investments, which include certain hedge funds, private equity funds and other funds were $0.7 million and $0.9 million, respectively.

(7)

Separate account assets included in the fair value hierarchy exclude investments in entities that calculate NAV per share (or its equivalent) as a practical expedient. Such investments excluded from the fair value hierarchy include investments in real estate, hedge funds and a corporate owned life insurance fund, for which fair value is measured at net asset value per share (or its equivalent). At December 31, 2017 and December 31, 2016, the fair values of separate account assets excluded from the fair value hierarchy were $4,113 million and $566 million, respectively.

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, 2017
	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)	$	36,966	Discounted cash flow	Discount rate	5.06	%	22.23	%	7.33	%	Decrease
			Liquidation	Liquidation value	25	%	25	%	25	%	Increase
Reinsurance recoverables(13)	$	5,457,649	Fair values are determined in the same manner as future policy benefits
Liabilities:
Future policy benefits(7)	$	5,452,583	Discounted cash flow	Lapse rate(8)	1	%	12	%			Decrease
				Spread over LIBOR(4)	0.12	%	1.10	%			Decrease
				Utilization rate(9)	52	%	97	%			Increase
				Withdrawal rate	See table footnote (10) below
				Mortality rate(11)	0	%	14	%			Decrease
				Equity volatility curve	13	%	24	%			Increase



	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
				Spread over LIBOR(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
				Spread over LIBOR(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


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


(2)	Represents multiples of earnings before interest, taxes, depreciation and amortization, ("EBITDA"), and are amounts used when the Company has determined that market participants would use such multiples when valuing 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)

The spread over LIBOR swap curve represents the premium added to the risk-free discount rate (i.e., LIBOR) to reflect our estimates of rates that a market participant would use to value the living benefit contracts in both the accumulation and payout phases. This spread includes an estimate of NPR, which is the risk that the obligation will not be fulfilled by the Company. NPR is primarily estimated by utilizing the credit spreads associated with issuing funding agreements, adjusted for any illiquidity risk premium. In order to reflect the financial strength ratings of the Company, credit spreads associated with funding agreements, as opposed to credit spread associated with debt, are utilized in developing this estimate because both funding agreements and living benefit contracts are insurance liabilities and are therefore senior to debt.


(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 include first duration multiples.

(7)

Future policy benefits primarily represent general account liabilities for the living benefit guarantees 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, 2017 and 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)	Effective July 1, 2017, the Company recaptured the risks related to the no-lapse guarantees that were previously reinsured to UPARC and discontinued the embedded derivative accounting.

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, 2017
	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)	$	36,966	Discounted cash flow	Discount rate	5.06	%	22.23	%	7.33	%	Decrease
			Liquidation	Liquidation value	25	%	25	%	25	%	Increase
Reinsurance recoverables(13)	$	5,457,649	Fair values are determined in the same manner as future policy benefits
Liabilities:
Future policy benefits(7)	$	5,452,583	Discounted cash flow	Lapse rate(8)	1	%	12	%			Decrease
				Spread over LIBOR(4)	0.12	%	1.10	%			Decrease
				Utilization rate(9)	52	%	97	%			Increase
				Withdrawal rate	See table footnote (10) below
				Mortality rate(11)	0	%	14	%			Decrease
				Equity volatility curve	13	%	24	%			Increase



	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
				Spread over LIBOR(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
				Spread over LIBOR(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


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


(2)	Represents multiples of earnings before interest, taxes, depreciation and amortization, ("EBITDA"), and are amounts used when the Company has determined that market participants would use such multiples when valuing 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)	Effective July 1, 2017, the Company recaptured the risks related to the no-lapse guarantees that were previously reinsured to UPARC and discontinued the embedded derivative accounting.

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

The following tables describe changes in fair values of Level 3 assets and liabilities as of the dates indicated, as well as the portion of gains or losses included in income attributable to unrealized gains or losses related to those assets and liabilities still held at the end of their respective periods.



	Year Ended December 31, 2017
	Fixed Maturities Available-For-Sale
	U.S. Government		Corporate Securities (5)			Asset-Backed Securities (6)			Commercial Mortgage-Backed Securities
	(in thousands)
Fair value, beginning of period	$	0	$	102,556		$	19,856		$	0
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		(2,198		)	4,199			0
Asset management fees and other income	0		0			0			0
Included in other comprehensive income (loss)	0		1,590			(3,178		)	0
Net investment income	0		158			112			0
Purchases	15,634		18,022			108,731			1,493
Sales	0		(52,287		)	(7,471		)	0
Issuances	0		0			0			0
Settlements	0		(24,770		)	(55,372		)	0
Transfers into Level 3(1)	0		42,125			78,159			0
Transfers out of Level 3(1)	0		(6,193		)	(34,008		)	(1,493		)
Other(3)	3,570		(3,582		)	0			0
Fair value, end of period	$	19,204	$	75,421		$	111,028		$	0
Unrealized gains (losses) for assets still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	(2,736	)	$	0		$	0
Asset management fees and other income	$	0	$	0		$	0		$	0



	Year Ended December 31, 2017
	Trading Account Assets
	Asset-Backed Securities (6)		Equity Securities		Equity Securities, Available-for-Sale			Short term Investments			Other Long- term Investments
	(in thousands)
Fair value, beginning of period	$	0	$	15,770	$	75		$	0		$	0
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		0		0			0			0
Asset management fees and other income	0		1,707		0			0			0
Included in other comprehensive income (loss)	0		0		(38		)	0			0
Net investment income	0		0		0			0			0
Purchases	0		0		0			8,425			0
Sales	0		0		0			(1		)	0
Issuances	0		0		0			0			0
Settlements	0		0		0			(7,085		)	0
Transfers into Level 3(1)	0		0		0			0			16
Transfers out of Level 3(1)	0		0		0			0			(16		)
Other(3)	0		11		0			0			0
Fair value, end of period	$	0	$	17,488	$	37		$	1,339		$	0
Unrealized gains (losses) for assets still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0	$	0		$	0		$	0
Asset management fees and other income	$	0	$	2,345	$	0		$	0		$	0



	Year Ended December 31, 2017
	Reinsurance Recoverables			Receivables from Parent and Affiliates			Future Policy Benefits			Policyholders' Account Balances
	(in thousands)
Fair value, beginning of period	$	5,474,263		$	6,493		$	(5,041,007	)	$	(20,337	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(4)	(158,623		)	0			463,432			(30,991		)
Asset management fees and other income	0			0			0			0
Included in other comprehensive income (loss)	0			0			0			0
Net investment income	0			0			0			0
Purchases	902,110			0			0			0
Sales	0			0			0			0
Issuances	0			0			(875,008		)	0
Settlements	0			0			0			4,677
Transfers into Level 3(1)	0			0			0			0
Transfers out of Level 3(1)	0			(6,493		)	0			0
Other(3)	(760,101		)	0			0			0
Fair value, end of period	$	5,457,649		$	0		$	(5,452,583	)	$	(46,651	)
Unrealized gains (losses) for assets/liabilities still held(2):
Included in earnings:
Realized investment gains (losses), net	$	(315,998	)	$	0		$	313,532		$	(30,991	)
Asset management fees and other income	$	0		$	0		$	0		$	0



	Year Ended December 31, 2016
	Fixed Maturities, Available-for-Sale
		Corporate Securities (5)			Asset-Backed Securities (6)			Commercial Mortgage-Backed Securities
	(in thousands)
Fair value, beginning of period		$	95,492		$	173,347		$	0
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net		(277		)	(891		)	0
Asset management fees and other income		0			0			0
Included in other comprehensive income (loss)		(1,018		)	158			0
Net investment income		54			149			0
Purchases		5,459			21,473			0
Sales		(9,928		)	(44,486		)	0
Issuances		0			0			0
Settlements		(10,728		)	(1,071		)	0
Transfers into Level 3(1)		29,881			48,957			0
Transfers out of Level 3(1)		(6,379		)	(177,780		)	0
Other(3)		0			0			0
Fair value, end of period		$	102,556		$	19,856		$	0
Unrealized gains (losses) for assets still held(2):
Included in earnings:
Realized investment gains (losses), net		$	(560	)	$	(1,378	)	$	0
Asset management fees and other income		$	0		$	0		$	0



	Year Ended December 31, 2016
	Trading Account Assets
	Asset-Backed Securities (6)			Equity Securities			Equity Securities Available-For-Sale			Other Long-term Investments
	(in thousands)
Fair value, beginning of period	$	0		$	18,248		$	165		$	5,704
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(4)	0			0			0			0
Asset management fees and other income	(32		)	192			0			0
Included in other comprehensive income (loss)	0			0			(90		)	0
Net investment income	0			0			0			(67		)
Purchases	0			0			0			102
Sales	0			(5,930		)	0			0
Issuances	0			0			0			0
Settlements	(527		)	0			0			0
Transfers into Level 3(1)	0			0			0			0
Transfers out of Level 3(1)	0			0			0			(2,479		)
Other	559			3,260			0			(3,260		)
Fair value, end of period	$	0		$	15,770		$	75		$	0
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		$	(769	)	$	0		$	0



	Year Ended December 31, 2016
	Reinsurance Recoverables			Receivables from Parent and Affiliates			Future Policy Benefits			Policyholders' Account Balances
	(in thousands)
Fair value, beginning of period	$	4,940,011		$	5,000		$	(5,205,434	)	$	0
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(4)	(281,009		)	(13		)	975,823			(8,463		)
Asset management fees and other income	0			0			0			0
Included in other comprehensive income (loss)	0			16			0			0
Net investment income	0			0			0			0
Purchases	815,261			6,500			0			0
Sales	0			(1,987		)	0			0
Issuances	0			0			(811,396		)	0
Settlements	0			0			0			(5,972		)
Transfers into Level 3(1)	0			0			0			0
Transfers out of Level 3(1)	0			(2,464		)	0			0
Other	0			(559		)	0			(5,902		)
Fair value, end of period	$	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	$	4,326,977		$	0		$	866,386		$	(8,463	)
Asset management fees and other income	$	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, 2015, 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, 2015.



	Year Ended December 31, 2015
	Fixed Maturities, Available-for-Sale
	Corporate Securities (5)			Asset-Backed Securities (6)			Commercial Mortgage-Backed Securities
	(in thousands)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	$	(1,533	)	$	42		$	0
Asset management fees and other income	$	0		$	0		$	0
Included in other comprehensive income (loss)	$	262		$	(939	)	$	0
Net investment income	$	30		$	52		$	0
Unrealized gains (losses) for assets still held(2):
Included in earnings:
Realized investment gains (losses), net	$	(1,392	)	$	0		$	0
Asset management fees and other income	$	0		$	0		$	0



	Year Ended December 31, 2015
	Trading Account Assets
	Asset-Backed Securities (6)		Equity Securities		Equity Securities, Available-for-Sale			Other Long- term Investments
	(in thousands)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0	$	337		$	1,912
Asset management fees and other income	$	0	$	2,207	$	0		$	0
Included in other comprehensive income (loss)	$	0	$	0	$	(245	)	$	0
Net investment income	$	0	$	0	$	0		$	0
Unrealized gains (losses) for assets/liabilities still held(2):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0	$	0		$	1,744
Asset management fees and other income	$	0	$	2,162	$	0		$	0



	Year Ended December 31, 2015
	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 (4)	$	(635,006	)	$	0		$	505,416	$	0
Asset management fees and other income	$	0		$	0		$	0	$	0
Included in other comprehensive income (loss)	$	0		$	(17	)	$	0	$	0
Net investment income	$	0		$	0		$	0	$	0
Unrealized gains (losses) for assets/liabilities still held(2):
Included in earnings:
Realized investment gains (losses), net	$	(482,828	)	$	0		$	381,057	$	0
Asset management fees and other income	$	0		$	0		$	0	$	0


(1)	Transfers into or out of any level are generally reported at 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, except for Reinsurance recoverables, primarily represents reclassifications of certain assets and liabilities between reporting categories. Other for Reinsurance Recoverables for the year ended December 31, 2017, represents the Company's recapture of the risks related to the no-lapse guarantees that were previously reinsured to UPARC and the discontinuation of embedded derivative accounting, effective July 1, 2017.


(4)	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.


(5)	Includes U.S. corporate public, U.S. corporate private, foreign corporate public and foreign corporate private securities. Prior period amounts were aggregated to conform to current period presentation.


(6)	Includes credit-tranched securities collateralized by syndicated bank loans, 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. In some cases, as described below, the carrying amount equals or approximates fair value.



	December 31, 2017(1)
	Fair Value								Carrying Amount(2)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	0	$	1,111,625	$	1,111,625	$	1,083,419
Policy loans	0		0		1,161,101		1,161,101		1,161,101
Cash and cash equivalents	36,562		148,000		0		184,562		184,562
Accrued investment income	0		82,341		0		82,341		82,341
Receivables from parent and affiliates	0		167,545		0		167,545		167,545
Other assets	0		50,407		0		50,407		50,407
Total assets	$	36,562	$	448,293	$	2,272,726	$	2,757,581	$	2,729,375
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	1,178,583	$	276,435	$	1,455,018	$	1,458,599
Securities sold under agreements to repurchase	0		0		0		0		0
Cash collateral for loaned securities	0		33,169		0		33,169		33,169
Payables to parent and affiliates	0		223,550		0		223,550		223,550
Other liabilities	0		362,592		0		362,592		362,592
Total liabilities	$	0	$	1,797,894	$	276,435	$	2,074,329	$	2,077,910



	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
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

(1)

Other long-term investments excluded from the fair value hierarchy include certain hedge funds, private equity funds and other funds for which fair value is measured at NAV per share (or its equivalent) as a practical expedient. At December 31, 2017 and 2016, the fair values of these cost method investments were $49 million and $35 million, respectively. The carrying values of these investments were $41 million and $32 million as of December 31, 2017 and 2016, 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.