FAIR VALUE OF ASSETS AND LIABILITIES

Fair Value Measurement - Fair value represents the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The authoritative fair value guidance establishes a framework for measuring fair value that includes a hierarchy used to classify the inputs used in measuring fair value. The level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement. The levels of the fair value hierarchy are as follows:

Level 1 – Fair value is based on unadjusted quoted prices in active markets that are accessible to the Company for identical assets or liabilities.

Level 2 – Fair value is based on significant inputs, other than quoted prices included in Level 1, that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the asset or liability through corroboration with observable market data. Level 2 inputs include quoted market prices in active markets for similar assets and liabilities, quoted market prices in markets that are not active for identical or similar assets or liabilities, and other market observable inputs.

Level 3 – Fair value is based on at least one significant unobservable input for the asset or liability. The assets and liabilities in this category may require significant judgment or estimation in determining the fair value.

For a discussion of the Company's valuation methodologies for assets and liabilities measured at fair value and the fair value hierarchy, 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.

Assets and Liabilities by Hierarchy Level – 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 September 30, 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	$	47,290	$	25,346	$	0		$	72,636
Obligations of U.S. states and their political subdivisions	0		618,608		0		0			618,608
Foreign government bonds	0		202,859		159		0			203,018
U.S. corporate public securities	0		1,804,099		635		0			1,804,734
U.S. corporate private securities	0		859,118		30,938		0			890,056
Foreign corporate public securities	0		256,733		205		0			256,938
Foreign corporate private securities	0		831,980		11,689		0			843,669
Asset-backed securities(2)	0		157,383		6,632		0			164,015
Commercial mortgage-backed securities	0		269,610		20,048		0			289,658
Residential mortgage-backed securities	0		91,376		0		0			91,376
Subtotal	0		5,139,056		95,652		0			5,234,708
Fixed maturities, trading	0		36,688		0		0			36,688
Equity securities	124		27,094		16,327		0			43,545
Short-term investments	0		0		456		0			456
Cash equivalents	0		3,934		0		0			3,934
Other invested assets(3)	0		120,217		0		(112,098		)	8,119
Reinsurance recoverables	0		0		2,958,093		0			2,958,093
Receivables from parent and affiliates	0		127,181		0		0			127,181
Subtotal excluding separate account assets	124		5,454,170		3,070,528		(112,098		)	8,412,724
Separate account assets(4)(5)	0		126,230,592		0		0			126,230,592
Total assets	$	124	$	131,684,762	$	3,070,528	$	(112,098	)	$	134,643,316
Future policy benefits(6)	$	0	$	0	$	2,908,324	$	0		$	2,908,324
Policyholders' account balances	0		0		60,847		0			60,847
Payables to parent and affiliates	0		68,355		0		(68,355		)	0
Other liabilities	0		0		41,333		0			41,333
Total liabilities	$	0	$	68,355	$	3,010,504	$	(68,355	)	$	3,010,504



	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(4)(5)	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 $43.7 million and $45.4 million as of September 30, 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 September 30, 2018 and December 31, 2017, the fair values of such investments were $68 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 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 NAV per share (or its equivalent). As of September 30, 2018 and December 31, 2017, the fair value of such investments was $4,276 million and $4,113 million, respectively.

(6)

As of September 30, 2018, the net embedded derivative liability position of $2,908 million includes $1,097 million of embedded derivatives in an asset position and $4,005 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.

Transfers between Levels 1 and 2 – Transfers between levels are made to reflect changes in observability of inputs and market activity. 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. Periodically, there are transfers between Level 1 and Level 2 for assets held in the Company’s Separate account. The fair value of foreign common stock held in the Company's Separate account may reflect differences in market levels between the close of foreign trading markets and the close of U.S. trading markets for the respective day. Dependent on the existence of such a timing difference, the assets may move between Level 1 and Level 2. During both the three and nine months ended September 30, 2018 and 2017, there were no transfers between Level 1 and Level 2.

Quantitative Information Regarding Internally Priced Level 3 Assets and Liabilities – The tables below present quantitative information on significant internally-priced Level 3 assets and liabilities.



	As of September 30, 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)	$	20,938	Discounted cash flow	Discount rate	7.00	%	20.00	%	9.96	%	Decrease
			Liquidation	Liquidation value	6.00	%	54.00	%	51.00	%	Increase
Reinsurance recoverables	$	2,958,093	Fair values are determined in the same manner as future policy benefits
Liabilities:
Future policy benefits(3)	$	2,908,324	Discounted cash flow	Lapse rate(4)	1	%	13	%			Decrease
				Spread over LIBOR(5)	0.16	%	1.21	%			Decrease
				Utilization rate(6)	50	%	97	%			Increase
				Withdrawal rate	See table footnote (7) below
				Mortality rate(8)	0	%	15	%			Decrease
				Equity volatility curve	14	%	22	%			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	25.00	%	25.00	%	25.00	%	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 September 30, 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 50 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.

Interrelationships Between Unobservable Inputs – In addition to the sensitivities of fair value measurements to changes in each unobservable input in isolation, as reflected in the table above, interrelationships between these inputs may also exist, such that a change in one unobservable input may give rise to a change in another, or multiple, inputs. For the discussion of the relationships between unobservable inputs as well as market factors that may affect the range of inputs used in the valuation of Level 3 assets and liabilities, 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.

Changes in Level 3 Assets and Liabilities – 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. All transfers are based on changes in the observability of the valuation inputs, including the availability of pricing service information that the Company can validate. All transfers are generally reported at the value as of the beginning of the quarter in which transfers occur for any such assets still held at the end of the quarter. During the second quarter of 2018, $81 million of investments in collateralized loan obligations (“CLOs”) reported as “Asset-backed securities” were transferred from Level 3 to Level 2 as market activity, liquidity and overall observability of valuation inputs of CLOs have increased. 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 September 30, 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	$	24,411	$	160		$	62,418		$	19,661
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		0			(822		)	13
Asset administration fees and other income	0		0			0			0
Included in other comprehensive income (loss)	0		0			(2,249		)	(426		)
Net investment income	0		0			154			(11		)
Purchases	935		0			669			20,229
Sales	0		0			0			(10,648		)
Issuances	0		0			0			0
Settlements	0		0			(12,767		)	(2,138		)
Transfers into Level 3(4)	0		0			0			0
Transfers out of Level 3(4)	0		0			(3,936		)	0
Other(5)	0		(1		)	0			0
Fair Value, end of period	$	25,346	$	159		$	43,467		$	26,680
Unrealized gains (losses) for assets still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0		$	(1,310	)	$	0
Asset administration fees and other income	$	0	$	0		$	0		$	0



	Three Months Ended September 30, 2018
	Equity Securities			Short-term Investments			Cash Equivalents			Other Invested Assets			Reinsurance Recoverables
	(in thousands)
Fair Value, beginning of period	$	16,625		$	333		$	564		$	5		$	3,943,881
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(7)	0			0			0			4			(1,210,408		)
Asset administration fees and other income	(223		)	0			0			0			0
Included in other comprehensive income (loss)	0			0			0			0			0
Net investment income	0			0			0			0			0
Purchases	0			5,440			0			0			224,620
Sales	(75		)	0			0			0			0
Issuances	0			0			0			0			0
Settlements	0			(5,316		)	(564		)	0			0
Transfers into Level 3(4)	0			0			0			0			0
Transfers out of Level 3(4)	0			0			0			(9		)	0
Other(5)	0			(1		)	0			0			0
Fair Value, end of period	$	16,327		$	456		$	0		$	0		$	2,958,093
Unrealized gains (losses) for assets still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0		$	(1	)	$	0		$	4		$	(1,174,501	)
Asset administration fees and other income	$	(222	)	$	0		$	0		$	0		$	0



	Three Months Ended September 30, 2018
	Receivables from parent and affiliates		Future Policy Benefits			Policyholders' Account Balances			Other Liabilities
	(in thousands)
Fair Value, beginning of period	$	0	$	(3,916,973	)	$	(41,946	)	$	(17,610	)
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(7)	0		1,240,116			(21,841		)	(32,501		)
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			8,778
Sales	0		0			0			0
Issuances	0		(231,467		)	0			0
Settlements	0		0			2,940			0
Transfers into Level 3(4)	0		0			0			0
Transfers out of Level 3(4)	0		0			0			0
Other	0		0			0			0
Fair Value, end of period	$	0	$	(2,908,324	)	$	(60,847	)	$	(41,333	)
Unrealized gains (losses) for assets/liabilities still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0	$	1,204,459		$	(21,841	)	$	(32,750	)
Asset administration fees and other income	$	0	$	0		$	0		$	0



	Nine Months Ended September 30, 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			(1,078		)	34
Asset administration fees and other income	0		0			0			0
Included in other comprehensive income (loss)	0		(15		)	(2,839		)	(528		)
Net investment income	0		1			289			17
Purchases	6,142		0			4,816			31,067
Sales	0		0			(201		)	(10,844		)
Issuances	0		0			0			0
Settlements	0		0			(32,838		)	(10,204		)
Transfers into Level 3(4)	0		0			4,028			13,513
Transfers out of Level 3(4)	0		0			(4,145		)	(107,403		)
Other(5)	0		173			14			0
Fair Value, end of period	$	25,346	$	159		$	43,467		$	26,680
Unrealized gains (losses) for assets still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0	$	0		$	(1,385	)	$	0
Asset administration fees and other income	$	0	$	0		$	0		$	0



	Nine Months Ended September 30, 2018
	Equity Securities			Short-term Investments			Cash Equivalents			Other Invested Assets			Reinsurance Recoverables
	(in thousands)
Fair Value, beginning of period	$	17,525		$	1,339		$	0		$	0		$	5,457,649
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(7)	0			(18		)	0			0			(3,164,957		)
Asset administration fees and other income	(1,123		)	0			0			0			0
Included in other comprehensive income (loss)	0			0			0			0			0
Net investment income	0			0			0			0			0
Purchases	0			10,710			2,550			0			665,401
Sales	(75		)	0			0			0			0
Issuances	0			0			0			0			0
Settlements	0			(11,560		)	(2,550		)	0			0
Transfers into Level 3(4)	0			0			0			9			0
Transfers out of Level 3(4)	0			0			0			(9		)	0
Other(5)	0			(15		)	0			0			0
Fair Value, end of period	$	16,327		$	456		$	0		$	0		$	2,958,093
Unrealized gains (losses) for assets still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0		$	(19	)	$	0		$	0		$	(3,000,498	)
Asset administration fees and other income	$	(1,123	)	$	0		$	0		$	0		$	0



	Nine Months Ended September 30, 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			3,230,314			(24,687		)	(67,816		)
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			26,483
Sales	0			0			0			0
Issuances	0			(686,055		)	0			0
Settlements	0			0			10,491			0
Transfers into Level 3(4)	6,551			0			0			0
Transfers out of Level 3(4)	(6,531		)	0			0			0
Other	0			0			0			0
Fair Value, end of period	$	0		$	(2,908,324	)	$	(60,847	)	$	(41,333	)
Unrealized gains (losses) for assets/liabilities still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0		$	3,065,835		$	(24,688	)	$	(67,796	)
Asset administration fees and other income	$	0		$	0		$	0		$	0



	Three Months Ended September 30, 2017
	Fixed Maturities, Available-for-Sale
	U. S. Government		Corporate Securities(1)			Structured Securities(2)(3)
	(in thousands)
Fair Value, beginning of period	$	11,552	$	45,375		$	68,350
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net	0		(138		)	13
Asset administration fees and other income	0		0			0
Included in other comprehensive income (loss)	0		115			187
Net investment income	0		30			9
Purchases	3,358		1,841			37,532
Sales	0		0			0
Issuances	0		0			0
Settlements	0		(2,396		)	(3,317		)
Transfers into Level 3(4)	0		3,223			2,767
Transfers out of Level 3(4)	0		(1,099		)	(1,506		)
Other(5)	0		(12		)	0
Fair Value, end of period	$	14,910	$	46,939		$	104,035
Unrealized gains (losses) for assets still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0	$	(157	)	$	0
Asset administration fees and other income	$	0	$	0		$	0



	Three Months Ended September 30, 2017
	Equity Securities(3)			Short-term Investments			Other Invested Assets(3)		Reinsurance Recoverables
	(in thousands)
Fair Value, beginning of period	$	17,350		$	0		$	0	$	7,192,057
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(7)	0			0			0		(1,377,548		)
Asset administration fees and other income	(198		)	0			0		0
Included in other comprehensive income (loss)	(1		)	0			0		0
Net investment income	0			0			0		0
Purchases	0			3,319			0		223,330
Sales	0			0			0		0
Issuances	0			0			0		0
Settlements	0			(2,607		)	0		0
Transfers into Level 3(4)	0			0			0		0
Transfers out of Level 3(4)	0			0			0		0
Other(5)	11			0			0		(760,102		)
Fair Value, end of period	$	17,162		$	712		$	0	$	5,277,737
Unrealized gains (losses) for assets/liabilities still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0		$	0		$	0	$	(1,320,981	)
Asset administration fees and other income	$	(198	)	$	0		$	0	$	0



	Three Months Ended September 30, 2017
	Receivables from parent and affiliates		Future Policy Benefits			Policyholders' Account Balances			Other Liabilities
	(in thousands)
Fair Value, beginning of period	$	0	$	(6,424,559	)	$	(31,978	)	$	0
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(7)	0		1,373,736			(6,209		)	0
Asset administration fees and other income	0		0			0			0
Interest credited to policyholders' account balances	0		0			18,688			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		(221,503		)	0			0
Settlements	0		0			(17,026		)	0
Transfers into Level 3(4)	0		0			0			0
Transfers out of Level 3(4)	0		0			0			0
Other	0		0			0			0
Fair Value, end of period	$	0	$	(5,272,326	)	$	(36,525	)	$	0
Unrealized gains (losses) for assets/liabilities still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0	$	1,327,927		$	(6,209	)	$	0
Asset administration fees and other income	$	0	$	0		$	0		$	0
Interest credited to policyholders' account balances	$	0	$	0		$	7,017		$	0



	Nine Months Ended September 30, 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		(670		)	4,061
Asset administration fees and other income	0		0			0
Included in other comprehensive income (loss)	0		1,613			(3,455		)
Net investment income	0		89			97
Purchases	11,340		13,666			66,174
Sales	0		(52,197		)	(7,471		)
Issuances	0		0			0
Settlements	0		(15,049		)	(46,117		)
Transfers into Level 3(4)	0		5,204			75,143
Transfers out of Level 3(4)	0		(4,691		)	(4,253		)
Other(5)	3,570		(3,582		)	0
Fair Value, end of period	$	14,910	$	46,939		$	104,035
Unrealized gains (losses) for assets still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0	$	(1,265	)	$	0
Asset administration fees and other income	$	0	$	0		$	0



	Nine Months Ended September 30, 2017
	Equity Securities(3)			Short-term Investments			Other Invested Assets(3)			Reinsurance Recoverables
	(in thousands)
Fair Value, beginning of period	$	15,845		$	0		$	0		$	5,474,263
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net(7)	0			0			0			(115,660		)
Asset administration fees and other income	1,339			0			0			0
Included in other comprehensive income (loss)	(33		)	0			0			0
Net investment income	0			0			0			0
Purchases	0			3,319			0			679,236
Sales	0			0			0			0
Issuances	0			0			0			0
Settlements	0			(2,607		)	0			0
Transfers into Level 3(4)	0			0			8			0
Transfers out of Level 3(4)	0			0			(8		)	0
Other(5)	11			0			0			(760,102		)
Fair Value, end of period	$	17,162		$	712		$	0		$	5,277,737
Unrealized gains (losses) for assets/liabilities still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0		$	0		$	0		$	(308,066	)
Asset administration fees and other income	$	1,977		$	0		$	0		$	0



	Nine Months Ended September 30, 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			422,822			(18,345		)	0
Asset administration fees and other income	0			0			0			0
Interest credited to policyholders' account balances	0			0			18,688			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			(654,141		)	0			0
Settlements	0			0			(16,531		)	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		$	(5,272,326	)	$	(36,525	)	$	0
Unrealized gains (losses) for assets/liabilities still held(6):
Included in earnings:
Realized investment gains (losses), net	$	0		$	311,314		$	(18,345	)	$	0
Asset administration fees and other income	$	0		$	0		$	0		$	0
Interest credited to policyholders' account balances	$	0		$	0		$	18,688		$	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, except for Reinsurance Recoverables, primarily represents reclassifications of certain assets and liabilities between reporting categories. Other for Reinsurance Recoverables for the three and nine months ended September 30, 2017, represents the Company's recapture of the risks related to the no-lapse guarantees that were previously reinsured to Universal Prudential Arizona Reinsurance Company ("UPARC") and the discontinuation of embedded derivative accounting, effective July 1, 2017.


(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 of Financial Instruments

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.



	September 30, 2018(1)
	Fair Value								Carrying Amount(2)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	0	$	1,170,760	$	1,170,760	$	1,177,395
Policy loans	0		0		1,217,608		1,217,608		1,217,608
Cash and cash equivalents	46,322		205,000		0		251,322		251,322
Accrued investment income	0		87,362		0		87,362		87,362
Receivables from parent and affiliates	0		185,075		0		185,075		185,075
Other assets	0		47,029		0		47,029		47,029
Total assets	$	46,322	$	524,466	$	2,388,368	$	2,959,156	$	2,965,791
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	1,194,005	$	271,720	$	1,465,725	$	1,474,604
Cash collateral for loaned securities	0		7,585		0		7,585		7,585
Short-term debt to affiliates	0		1,744		0		1,744		1,744
Payables to parent and affiliates	0		166,136		0		166,136		166,136
Other liabilities	0		377,230		0		377,230		377,230
Total liabilities	$	0	$	1,746,700	$	271,720	$	2,018,420	$	2,027,299



	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
Short-term debt to affiliates	0		0		0		0		0
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 September 30, 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.