Fair Value of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2018

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 March 31, 2018
	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	$	74,322	$	21,569	$	0		$	95,891
Obligations of U.S. states and their political subdivisions	0		617,772		0		0			617,772
Foreign government bonds	0		176,554		166		0			176,720
U.S. corporate public securities	0		1,748,392		677		0			1,749,069
U.S. corporate private securities	0		871,184		57,706		0			928,890
Foreign corporate public securities	0		234,224		0		0			234,224
Foreign corporate private securities	0		880,942		14,232		0			895,174
Asset-backed securities(2)	0		87,126		94,484		0			181,610
Commercial mortgage-backed securities	0		311,159		193		0			311,352
Residential mortgage-backed securities	0		67,795		196		0			67,991
Subtotal	0		5,069,470		189,223		0			5,258,693
Fixed maturities, trading	0		39,650		0		0			39,650
Equity securities	101		27,279		17,039		0			44,419
Short-term investments	0		0		1,194		0			1,194
Other invested assets(3)	0		87,981		10		(87,981		)	10
Reinsurance recoverables	0		0		4,214,114		0			4,214,114
Receivables from parent and affiliates	0		122,827		6,531		0			129,358
Subtotal excluding separate account assets	101		5,347,207		4,428,111		(87,981		)	9,687,438
Separate account assets(4)(5)	0		123,324,538		0		0			123,324,538
Total assets	$	101	$	128,671,745	$	4,428,111	$	(87,981	)	$	133,011,976
Future policy benefits(6)	$	0	$	0	$	4,191,373	$	0		$	4,191,373
Policyholders' account balances	0		0		39,516		0			39,516
Payables to parent and affiliates	0		91,132		0		(87,763		)	3,369
Other liabilities	0		0		15,955		0			15,955
Total liabilities	$	0	$	91,132	$	4,246,844	$	(87,763	)	$	4,250,213



	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(2)	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
Fixed maturities, trading(7)	0		38,793		0		0			38,793
Equity securities(7)	94		22,991		17,525		0			40,610
Short-term investments	0		0		1,339		0			1,339
Cash equivalents	0		28,007		0		0			28,007
Other invested assets(3)(7)	0		115,094		0		(115,086		)	8
Reinsurance recoverables	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	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(6)	$	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
Other liabilities	0		0		0		0			0
Total liabilities	$	0	$	74,378	$	5,499,234	$	(69,718	)	$	5,503,894


(1)	“Netting” amounts represent cash collateral of $0.2 million and $45.4 million as of March 31, 2018 and December 31, 2017, respectively, and the impact of offsetting asset and liability positions held with the same counterparty, subject to master netting arrangements.


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


(3)	Other invested assets 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 March 31, 2018 and December 31, 2017, the fair values of such investments were $62.1 million and $0.7 million, respectively.

(4)

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.

(5)

Separate account assets included in the fair value hierarchy exclude investments in entities that calculate net asset value per share ("NAV") (or its equivalent) as a practical expedient. Such investments excluded from the fair value hierarchy include investments in real estate, for which fair value is measured at net asset value per share (or its equivalent). At March 31, 2018 and December 31, 2017, the fair values of such investments were $4,109 million and $4,113 million, respectively.

(6)

As of March 31, 2018, the net embedded derivative liability position of $4,191 million includes $931 million of embedded derivatives in an asset position and $5,122 million of embedded derivatives in a liability position. 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.


(7)	Prior period amounts have been reclassified to conform to current period presentation. See Note 2 for details.

Fair Value Inputs, Assets, Quantitative Information

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



	As of March 31, 2018
	Fair Value		Valuation Techniques	Unobservable Inputs	Minimum		Maximum		Weighted Average		Impact of Increase in Input on Fair Value(1)
	(in thousands)
Assets:
Corporate securities(2)	$	37,491	Discounted cash flow	Discount rate	5.75	%	20	%	8.14	%	Decrease
			Liquidation	Liquidation value	13	%	13	%	13	%	Increase
Reinsurance recoverables	$	4,214,114	Fair values are determined in the same manner as future policy benefits
Liabilities:
Future policy benefits(3)	$	4,191,373	Discounted cash flow	Lapse rate(4)	1	%	12	%			Decrease
				Spread over LIBOR(5)	0.24	%	1.21	%			Decrease
				Utilization rate(6)	52	%	97	%			Increase
				Withdrawal rate	See table footnote (7) below
				Mortality rate(8)	0	%	14	%			Decrease
				Equity volatility curve	16	%	24	%			Increase



	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(2)	$	36,966	Discounted cash flow	Discount rate	5.06	%	22.23	%	7.33	%	Decrease
			Liquidation	Liquidation value	25	%	25	%	25	%	Increase
Reinsurance recoverables	$	5,457,649	Fair values are determined in the same manner as future policy benefits
Liabilities:
Future policy benefits(3)	$	5,452,583	Discounted cash flow	Lapse rate(4)	1	%	12	%			Decrease
				Spread over LIBOR(5)	0.12	%	1.10	%			Decrease
				Utilization rate(6)	52	%	97	%			Increase
				Withdrawal rate	See table footnote (7) below
				Mortality rate(8)	0	%	14	%			Decrease
				Equity volatility curve	13	%	24	%			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)	Includes assets classified as fixed maturities, available-for-sale.

(3)

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.


(4)	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.

(5)

The spread over the London Inter-Bank Offered Rate ("LIBOR") swap curve represents the premium added to the proxy for the risk-free rate (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.

(6)

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.

(7)

The withdrawal rate assumption estimates the magnitude of annual contractholder withdrawals relative to the maximum allowable amount under the contract. These assumptions 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 March 31, 2018 and December 31, 2017, the minimum withdrawal rate assumption is 78% and the maximum withdrawal rate assumption 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%.

(8)

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

Fair Value Inputs, Liabilities, Quantitative Information

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



	As of March 31, 2018
	Fair Value		Valuation Techniques	Unobservable Inputs	Minimum		Maximum		Weighted Average		Impact of Increase in Input on Fair Value(1)
	(in thousands)
Assets:
Corporate securities(2)	$	37,491	Discounted cash flow	Discount rate	5.75	%	20	%	8.14	%	Decrease
			Liquidation	Liquidation value	13	%	13	%	13	%	Increase
Reinsurance recoverables	$	4,214,114	Fair values are determined in the same manner as future policy benefits
Liabilities:
Future policy benefits(3)	$	4,191,373	Discounted cash flow	Lapse rate(4)	1	%	12	%			Decrease
				Spread over LIBOR(5)	0.24	%	1.21	%			Decrease
				Utilization rate(6)	52	%	97	%			Increase
				Withdrawal rate	See table footnote (7) below
				Mortality rate(8)	0	%	14	%			Decrease
				Equity volatility curve	16	%	24	%			Increase



	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(2)	$	36,966	Discounted cash flow	Discount rate	5.06	%	22.23	%	7.33	%	Decrease
			Liquidation	Liquidation value	25	%	25	%	25	%	Increase
Reinsurance recoverables	$	5,457,649	Fair values are determined in the same manner as future policy benefits
Liabilities:
Future policy benefits(3)	$	5,452,583	Discounted cash flow	Lapse rate(4)	1	%	12	%			Decrease
				Spread over LIBOR(5)	0.12	%	1.10	%			Decrease
				Utilization rate(6)	52	%	97	%			Increase
				Withdrawal rate	See table footnote (7) below
				Mortality rate(8)	0	%	14	%			Decrease
				Equity volatility curve	13	%	24	%			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)	Includes assets classified as fixed maturities, available-for-sale.

(3)


(4)	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.

(5)

(6)

(7)

(8)

Fair Value, Assets 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. When a determination is made to classify assets and liabilities within Level 3, the determination is based on significance of the unobservable inputs in the overall fair value measurement. Transfers into Level 3 are generally the result of unobservable inputs utilized within valuation methodologies or the use of indicative broker quotes for assets that were previously valued using observable inputs. Transfers out of Level 3 are generally due to the use of observable inputs in valuation methodologies as well as the availability of pricing service information for certain assets that the Company can validate. For further information on valuation processes, see Note 9 to the Consolidated Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2017.



	Three Months Ended March 31, 2018
	Fixed Maturities, Available-for-Sale
	U. S. Government		Foreign Government Bonds			Corporate Securities(1)			Structured Securities(2)
	(in thousands)
Fair Value, beginning of period	$	19,204	$	0		$	75,421		$	111,028
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		0			68			0
Asset administration fees and other income	0		0			0			0
Included in other comprehensive income (loss)	0		(8		)	817			105
Net investment income	0		0			51			26
Purchases	2,365		0			1,022			190
Sales	0		0			0			0
Issuances	0		0			0			0
Settlements	0		0			(4,570		)	(3,195		)
Transfers into Level 3(4)	0		0			0			13,513
Transfers out of Level 3(4)	0		0			(209		)	(26,794		)
Other(5)	0		174			15			0
Fair Value, end of period	$	21,569	$	166		$	72,615		$	94,873
Unrealized gains (losses) for assets still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0		$	(26	)	$	0
Asset administration fees and other income	$	0	$	0		$	0		$	0



	Three Months Ended March 31, 2018
	Equity Securities			Short-term Investments			Other Invested Assets		Reinsurance Recoverable
	(in thousands)
Fair Value, beginning of period	$	17,525		$	1,339		$	0	$	5,457,649
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(7)	0			(18		)	1		(1,462,992		)
Asset administration fees and other income	(486		)	0			0		0
Included in other comprehensive income (loss)	0			0			0		0
Net investment income	0			0			0		0
Purchases	0			3,400			0		219,457
Sales	0			0			0		0
Issuances	0			0			0		0
Settlements	0			(3,513		)	0		0
Transfers into Level 3(4)	0			0			9		0
Transfers out of Level 3(4)	0			0			0		0
Other(5)	0			(14		)	0		0
Fair Value, end of period	$	17,039		$	1,194		$	10	$	4,214,114
Unrealized gains (losses) for assets still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0		$	(18	)	$	2	$	(1,409,320	)
Asset administration fees and other income	$	(486	)	$	0		$	0	$	0



	Three Months Ended March 31, 2018
	Receivables from parent and affiliates			Future Policy Benefits			Policyholders' Account Balances			Other Liabilities
	(in thousands)
Fair Value, beginning of period	$	0		$	(5,452,583	)	$	(46,651	)	$	0
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(7)	0			1,487,555			5,013			(24,780		)
Asset administration fees and other income	0			0			0			0
Included in other comprehensive income (loss)	(20		)	0			0			0
Net investment income	0			0			0			0
Purchases	0			0			0			8,825
Sales	0			0			0			0
Issuances	0			(226,345		)	0			0
Settlements	0			0			2,122			0
Transfers into Level 3(4)	6,551			0			0			0
Transfers out of Level 3(4)	0			0			0			0
Other	0			0			0			0
Fair Value, end of period	$	6,531		$	(4,191,373	)	$	(39,516	)	$	(15,955	)
Unrealized gains (losses) for assets/liabilities still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0		$	1,433,872		$	5,013		$	(24,780	)
Asset administration fees and other income	$	0		$	0		$	0		$	0



	Three Months Ended March 31, 2017
	Fixed Maturities, Available-for-Sale
	U. S. Government		Corporate Securities(1)			Structured Securities(2)(3)
	(in thousands)
Fair Value, beginning of period	$	0	$	102,556		$	19,856
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		352			0
Asset administration fees and other income	0		0			0
Included in other comprehensive income (loss)	0		453			73
Net investment income	0		3			36
Purchases	25		5,958			4,000
Sales	0		(51,430		)	0
Issuances	0		0			0
Settlements	0		(5,518		)	(129		)
Transfers into Level 3(4)	0		1,814			64,507
Transfers out of Level 3(4)	0		(1,802		)	0
Other(5)	3,570		(3,570		)	0
Fair Value, end of period	$	3,595	$	48,816		$	88,343
Unrealized gains (losses) for assets still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0	$	(62	)	$	0
Asset administration fees and other income	$	0	$	0		$	0



	Three Months Ended March 31, 2017
	Equity Securities(3)		Other Invested Assets(3)		Reinsurance Recoverable
	(in thousands)
Fair Value, beginning of period	$	15,845	$	0	$	5,474,263
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(7)	0		11		(610,479		)
Asset administration fees and other income	1,420		0		0
Included in other comprehensive income (loss)	7		0		0
Net investment income	0		0		0
Purchases	0		0		216,595
Sales	0		0		0
Issuances	0		0		0
Settlements	0		0		0
Transfers into Level 3(4)	0		8		0
Transfers out of Level 3(4)	0		0		0
Other	0		0		0
Fair Value, end of period	$	17,272	$	19	$	5,080,379
Unrealized gains (losses) for assets/liabilities still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0	$	(574,024	)
Asset administration fees and other income	$	1,420	$	0	$	0



	Three Months Ended March 31, 2017
	Receivables from parent and affiliates			Future Policy Benefits			Policyholders' Account Balances			Other Liabilities
	(in thousands)
Fair Value, beginning of period	$	6,493		$	(5,041,007	)	$	(20,337	)	$	0
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(7)	0			623,193			(6,007		)	0
Asset administration 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	0			0			0			0
Sales	0			0			0			0
Issuances	0			(214,741		)	0			0
Settlements	0			0			1,477			0
Transfers into Level 3(4)	0			0			0			0
Transfers out of Level 3(4)	(6,493		)	0			0			0
Other	0			0			0			0
Fair Value, end of period	$	0		$	(4,632,555	)	$	(24,867	)	$	0
Unrealized gains (losses) for assets/liabilities still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0		$	586,992		$	(6,007	)	$	0
Asset administration fees and other income	$	0		$	0		$	0		$	0


(1)	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.


(2)	Includes asset-backed, commercial mortgage-backed and residential mortgage-backed securities. Prior period amounts were aggregated to conform to current period presentation.


(3)	Prior period amounts have been reclassified to conform to current period presentation. See Note 2 for details.


(4)	Transfers into or out of any level are generally reported at the value as of the beginning of the quarter in which the transfers occur for any such assets still held at the end of the quarter.


(5)	Other, primarily represents reclassifications of certain assets and liabilities between reporting categories.


(6)	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.


(7)	Realized investment gains (losses) on Future Policy Benefits and Reinsurance Recoverables primarily represent the change in the fair value of the Company's living benefit guarantees on certain of its variable annuity contracts.

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



	Three Months Ended March 31, 2018
	Fixed Maturities, Available-for-Sale
	U. S. Government		Foreign Government Bonds			Corporate Securities(1)			Structured Securities(2)
	(in thousands)
Fair Value, beginning of period	$	19,204	$	0		$	75,421		$	111,028
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		0			68			0
Asset administration fees and other income	0		0			0			0
Included in other comprehensive income (loss)	0		(8		)	817			105
Net investment income	0		0			51			26
Purchases	2,365		0			1,022			190
Sales	0		0			0			0
Issuances	0		0			0			0
Settlements	0		0			(4,570		)	(3,195		)
Transfers into Level 3(4)	0		0			0			13,513
Transfers out of Level 3(4)	0		0			(209		)	(26,794		)
Other(5)	0		174			15			0
Fair Value, end of period	$	21,569	$	166		$	72,615		$	94,873
Unrealized gains (losses) for assets still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0		$	(26	)	$	0
Asset administration fees and other income	$	0	$	0		$	0		$	0



	Three Months Ended March 31, 2018
	Equity Securities			Short-term Investments			Other Invested Assets		Reinsurance Recoverable
	(in thousands)
Fair Value, beginning of period	$	17,525		$	1,339		$	0	$	5,457,649
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(7)	0			(18		)	1		(1,462,992		)
Asset administration fees and other income	(486		)	0			0		0
Included in other comprehensive income (loss)	0			0			0		0
Net investment income	0			0			0		0
Purchases	0			3,400			0		219,457
Sales	0			0			0		0
Issuances	0			0			0		0
Settlements	0			(3,513		)	0		0
Transfers into Level 3(4)	0			0			9		0
Transfers out of Level 3(4)	0			0			0		0
Other(5)	0			(14		)	0		0
Fair Value, end of period	$	17,039		$	1,194		$	10	$	4,214,114
Unrealized gains (losses) for assets still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0		$	(18	)	$	2	$	(1,409,320	)
Asset administration fees and other income	$	(486	)	$	0		$	0	$	0



	Three Months Ended March 31, 2018
	Receivables from parent and affiliates			Future Policy Benefits			Policyholders' Account Balances			Other Liabilities
	(in thousands)
Fair Value, beginning of period	$	0		$	(5,452,583	)	$	(46,651	)	$	0
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(7)	0			1,487,555			5,013			(24,780		)
Asset administration fees and other income	0			0			0			0
Included in other comprehensive income (loss)	(20		)	0			0			0
Net investment income	0			0			0			0
Purchases	0			0			0			8,825
Sales	0			0			0			0
Issuances	0			(226,345		)	0			0
Settlements	0			0			2,122			0
Transfers into Level 3(4)	6,551			0			0			0
Transfers out of Level 3(4)	0			0			0			0
Other	0			0			0			0
Fair Value, end of period	$	6,531		$	(4,191,373	)	$	(39,516	)	$	(15,955	)
Unrealized gains (losses) for assets/liabilities still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0		$	1,433,872		$	5,013		$	(24,780	)
Asset administration fees and other income	$	0		$	0		$	0		$	0



	Three Months Ended March 31, 2017
	Fixed Maturities, Available-for-Sale
	U. S. Government		Corporate Securities(1)			Structured Securities(2)(3)
	(in thousands)
Fair Value, beginning of period	$	0	$	102,556		$	19,856
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		352			0
Asset administration fees and other income	0		0			0
Included in other comprehensive income (loss)	0		453			73
Net investment income	0		3			36
Purchases	25		5,958			4,000
Sales	0		(51,430		)	0
Issuances	0		0			0
Settlements	0		(5,518		)	(129		)
Transfers into Level 3(4)	0		1,814			64,507
Transfers out of Level 3(4)	0		(1,802		)	0
Other(5)	3,570		(3,570		)	0
Fair Value, end of period	$	3,595	$	48,816		$	88,343
Unrealized gains (losses) for assets still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0	$	(62	)	$	0
Asset administration fees and other income	$	0	$	0		$	0



	Three Months Ended March 31, 2017
	Equity Securities(3)		Other Invested Assets(3)		Reinsurance Recoverable
	(in thousands)
Fair Value, beginning of period	$	15,845	$	0	$	5,474,263
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(7)	0		11		(610,479		)
Asset administration fees and other income	1,420		0		0
Included in other comprehensive income (loss)	7		0		0
Net investment income	0		0		0
Purchases	0		0		216,595
Sales	0		0		0
Issuances	0		0		0
Settlements	0		0		0
Transfers into Level 3(4)	0		8		0
Transfers out of Level 3(4)	0		0		0
Other	0		0		0
Fair Value, end of period	$	17,272	$	19	$	5,080,379
Unrealized gains (losses) for assets/liabilities still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0	$	(574,024	)
Asset administration fees and other income	$	1,420	$	0	$	0



	Three Months Ended March 31, 2017
	Receivables from parent and affiliates			Future Policy Benefits			Policyholders' Account Balances			Other Liabilities
	(in thousands)
Fair Value, beginning of period	$	6,493		$	(5,041,007	)	$	(20,337	)	$	0
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(7)	0			623,193			(6,007		)	0
Asset administration 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	0			0			0			0
Sales	0			0			0			0
Issuances	0			(214,741		)	0			0
Settlements	0			0			1,477			0
Transfers into Level 3(4)	0			0			0			0
Transfers out of Level 3(4)	(6,493		)	0			0			0
Other	0			0			0			0
Fair Value, end of period	$	0		$	(4,632,555	)	$	(24,867	)	$	0
Unrealized gains (losses) for assets/liabilities still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0		$	586,992		$	(6,007	)	$	0
Asset administration fees and other income	$	0		$	0		$	0		$	0


(1)	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.


(2)	Includes asset-backed, commercial mortgage-backed and residential mortgage-backed securities. Prior period amounts were aggregated to conform to current period presentation.


(3)	Prior period amounts have been reclassified to conform to current period presentation. See Note 2 for details.


(4)	Transfers into or out of any level are generally reported at the value as of the beginning of the quarter in which the transfers occur for any such assets still held at the end of the quarter.


(5)	Other, primarily represents reclassifications of certain assets and liabilities between reporting categories.


(6)	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.


(7)	Realized investment gains (losses) on Future Policy Benefits and Reinsurance Recoverables primarily represent the change in the fair value of the Company's living benefit guarantees on certain of its variable annuity contracts.

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. In some cases, as described below, the carrying amount equals or approximates fair value.



	March 31, 2018
	Fair Value								Carrying Amount(2)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	0	$	1,150,210	$	1,150,210	$	1,137,366
Policy loans	0		0		1,169,847		1,169,847		1,169,847
Cash and cash equivalents	52,686		28,500		0		81,186		81,186
Accrued investment income	0		83,878		0		83,878		83,878
Receivables from parent and affiliates	0		150,760		0		150,760		150,760
Other assets	0		43,638		0		43,638		43,638
Total assets	$	52,686	$	306,776	$	2,320,057	$	2,679,519	$	2,666,675
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	1,198,114	$	275,384	$	1,473,498	$	1,480,611
Cash collateral for loaned securities	0		13,576		0		13,576		13,576
Short-term debt to affiliates	0		80		0		80		80
Payables to parent and affiliates	0		236,760		0		236,760		236,760
Other liabilities	0		353,291		0		353,291		353,291
Total liabilities	$	0	$	1,801,821	$	275,384	$	2,077,205	$	2,084,318



	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
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

(1)

The information presented as of December 31, 2017, excludes certain hedge funds, private equity funds and other funds that were accounted for using the cost method and for which the fair value was measured at NAV per share (or its equivalent) as a practical expedient. The fair value and the carrying value of these cost method investments were $49 million and $41 million, respectively. Due to the adoption of ASU 2016-01 effective January 1, 2018, these assets are carried at fair value at each reporting date with changes in fair value reported in “Other income.” Therefore, as of March 31, 2018, these assets are excluded from this table but are reported in the fair value recurring measurement table.

(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 are out of scope under authoritative guidance relating to disclosures of the fair value of financial instruments.