Fair Value of Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 2019

Fair Value Disclosures [Abstract]

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 September 30, 2019
	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	$	48,207	$	36,239	$	0		$	84,446
Obligations of U.S. states and their political subdivisions	0		583,991		0		0			583,991
Foreign government bonds	0		224,600		164		0			224,764
U.S. corporate public securities	0		2,205,969		2,574		0			2,208,543
U.S. corporate private securities	0		897,271		42,496		0			939,767
Foreign corporate public securities	0		282,829		187		0			283,016
Foreign corporate private securities	0		908,005		13,600		0			921,605
Asset-backed securities(2)	0		123,089		2,372		0			125,461
Commercial mortgage-backed securities	0		415,992		0		0			415,992
Residential mortgage-backed securities	0		66,775		1,662		0			68,437
Subtotal	0		5,756,728		99,294		0			5,856,022
Fixed maturities, trading	0		56,591		593		0			57,184
Equity securities	131		561		17,371		0			18,063
Short-term investments	0		0		456		0			456
Cash equivalents	99,743		368,965		0		0			468,708
Other invested assets(3)	0		234,701		4		(202,935		)	31,770
Reinsurance recoverables	0		0		11,313,614		0			11,313,614
Receivables from parent and affiliates	0		121,087		4,682		0			125,769
Subtotal excluding separate account assets	99,874		6,538,633		11,436,014		(202,935		)	17,871,586
Separate account assets(4)(5)	0		128,566,376		0		0			128,566,376
Total assets	$	99,874	$	135,105,009	$	11,436,014	$	(202,935	)	$	146,437,962
Future policy benefits(6)	$	0	$	0	$	11,302,531	$	0		$	11,302,531
Policyholders' account balances	0		0		875,975		0			875,975
Payables to parent and affiliates	0		49,646		0		(49,646		)	0
Total liabilities	$	0	$	49,646	$	12,178,506	$	(49,646	)	$	12,178,506

	As of December 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	$	47,654	$	29,816	$	0		$	77,470
Obligations of U.S. states and their political subdivisions	0		622,758		0		0			622,758
Foreign government bonds	0		201,947		0		0			201,947
U.S. corporate public securities	0		1,731,623		2		0			1,731,625
U.S. corporate private securities	0		838,497		44,841		0			883,338
Foreign corporate public securities	0		262,023		0		0			262,023
Foreign corporate private securities	0		815,634		11,745		0			827,379
Asset-backed securities(2)	0		151,040		6,556		0			157,596
Commercial mortgage-backed securities	0		346,396		0		0			346,396
Residential mortgage-backed securities	0		89,063		0		0			89,063
Subtotal	0		5,106,635		92,960		0			5,199,595
Fixed maturities, trading	0		41,627		0		0			41,627
Equity securities	131		20,794		15,997		0			36,922
Short-term investments	0		0		0		0			0
Cash equivalents	69,903		147,043		0		0			216,946
Other invested assets(3)	0		77,886		4		(27,078		)	50,812
Reinsurance recoverables	0		0		5,600,008		0			5,600,008
Receivables from parent and affiliates	0		125,381		9,261		0			134,642
Subtotal excluding separate account assets	70,034		5,519,366		5,718,230		(27,078		)	11,280,552
Separate account assets(4)(5)	0		114,947,872		0		0			114,947,872
Total assets	$	70,034	$	120,467,238	$	5,718,230	$	(27,078	)	$	126,228,424
Future policy benefits(6)	$	0	$	0	$	5,588,840	$	0		$	5,588,840
Policyholders' account balances	0		0		13,015		0			13,015
Payables to parent and affiliates	0		26,862		0		(26,862		)	0
Total liabilities	$	0	$	26,862	$	5,601,855	$	(26,862	)	$	5,601,855

(1) “Netting” amounts represent cash collateral of $153.3 million and $0.2 million as of September 30, 2019 and December 31, 2018, respectively.

(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. As of September 30, 2019 and December 31, 2018, the fair values of such investments were $76 million and $70 million, respectively.

(4) 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, 2019 and December 31, 2018, the fair value of such investments was $4,609 million and $4,130 million, respectively.

(5) 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.

(6) As of September 30, 2019, the net embedded derivative liability position of $11,303 million includes $430 million of embedded derivatives in an asset position and $11,733 million of embedded derivatives in a liability position. As of December 31, 2018, the net embedded derivative liability position of $5,589 million includes $633 million of embedded derivatives in an asset position and $6,222 million of embedded derivatives in a liability position.

Fair Value Inputs, Assets and Liabilities, Quantitative Information

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

	As of September 30, 2019
	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)	$	25,493	Discounted cash flow	Discount rate	5.86	%	19.01	%	10.59	%	Decrease
			Market Comparables	EBITDA multiples(3)	5.7	X	5.7	X	5.7	X	Increase
Reinsurance recoverables	$	11,313,614	Fair values are determined using the same unobservable inputs as future policy benefits.
Liabilities:
Future policy benefits(4)	$	11,302,531	Discounted cash flow	Lapse rate(6)	1	%	18	%			Decrease
				Spread over LIBOR(7)	0.16	%	1.46	%			Decrease
				Utilization rate(8)	43	%	97	%			Increase
				Withdrawal rate	See table footnote (9) below.
				Mortality rate(10)	0	%	15	%			Decrease
				Equity volatility curve	14	%	23	%			Increase
Policyholders' account balances(5)	$	875,975	Discounted cash flow	Lapse rate(6)	1	%	6	%			Decrease
				Spread over LIBOR(7)	0.16	%	1.46	%			Decrease
				Mortality rate(10)	0	%	24	%			Decrease
				Equity volatility curve	11	%	24	%			Increase

	As of December 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)	$	31,503	Discounted cash flow	Discount rate	7	%	20	%	10.21	%	Decrease
			Liquidation	Liquidation value	40.71	%	40.71	%	40.71	%	Increase
Reinsurance recoverables	$	5,600,008	Fair values are determined using the same unobservable inputs as future policy benefits.
Liabilities:
Future policy benefits(4)	$	5,588,840	Discounted cash flow	Lapse rate(6)	1	%	13	%			Decrease
				Spread over LIBOR(7)	0.36	%	1.60	%			Decrease
				Utilization rate(8)	50	%	97	%			Increase
				Withdrawal rate	See table footnote (9) below.
				Mortality rate(10)	0	%	15	%			Decrease
				Equity volatility curve	18	%	22	%			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 and fixed maturities trading.

(3) 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.

(4) 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.

(5) Policyholders’ account balances primarily represent general account liabilities for the index-linked interest credited on certain of the Company’s life products that 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.

(6) Lapse rates for contracts with living benefit guarantees 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 for contracts with index-linked crediting guarantees may be adjusted at the contract level based on the applicability of any surrender charges, product type, and market related factors such as interest rates. Lapse rates are also generally assumed to be lower for the period where surrender charges apply. For any given contract, lapse rates vary throughout the period over which cash flows are projected for the purposes of valuing these embedded derivatives.

(7) 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 the Company's estimates of rates that a market participant would use to value the living benefits in both the accumulation and payout phases and index-linked interest crediting guarantees. 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 funding agreements, living benefit guarantees, and index-linked interest crediting guarantees are insurance liabilities and are therefore senior to debt.

(8) 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.

(9) 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, 2019 and December 31, 2018, 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%.

(10)

The range reflects the mortality rates for the vast majority of business with living benefits and other contracts, with policyholders ranging from 45 to 90 years old. While the majority of living benefits have a minimum age requirement, certain other contracts do not have an age restriction. This results in contractholders with mortality rates approaching 0% for certain benefits. Mortality rates may vary by product, age, and duration. A mortality improvement assumption is also incorporated into the overall mortality table.

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. 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.

	Three Months Ended September 30, 2019
	Fair Value, beginning of period			Total realized and unrealized gains (losses)(1)			Purchases		Sales			Issuances			Settlements			Other(2)		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period			Unrealized gains (losses) for assets still held(3)
	(in thousands)
Fixed maturities, available-for-sale:
U.S. government	$	34,392		$	0		$	1,847	$	0		$	0		$	0		$	0	$	0	$	0	$	36,239		$	0
Foreign government	165			(1		)	0		0			0			0			0		0		0		164			0
Corporate securities(4)	54,014			(14		)	796		(28		)	0			(1,158		)	0		5,247		0		58,857			(1,731		)
Structured securities(5)	4,297			16			0		(101		)	0			(178		)	0		0		0		4,034			0
Other assets:
Fixed maturities, trading	605			(12		)	0		0			0			0			0		0		0		593			(12		)
Equity securities	17,105			266			0		0			0			0			0		0		0		17,371			266
Other invested assets	4			0			0		0			0			0			0		0		0		4			0
Short-term investments	94			0			606		0			0			(244		)	0		0		0		456			0
Cash equivalents	0			0			0		0			0			0			0		0		0		0			0
Reinsurance recoverables	8,485,905			2,567,927			259,782		0			0			0			0		0		0		11,313,614			2,653,797
Receivables from parent and affiliates	6,295			(35		)	0		0			0			(1,578		)	0		0		0		4,682			0
Liabilities:
Future policy benefits	(8,476,541		)	(2,568,251		)	0		0			(257,739		)	0			0		0		0		(11,302,531		)	(2,655,925		)
Policyholders' account balances(6)	(786,969		)	26,006			0		0			(115,012		)	0			0		0		0		(875,975		)	35,117
Other liabilities	0			0			0		0			0			0			0		0		0		0			0

	Three Months Ended September 30, 2019
	Total realized and unrealized gains (losses)											Unrealized gains (losses) for assets still held(3)
	Realized investment gains (losses), net(1)			Other income (loss)			Included in other comprehensive income (loss)		Net investment income			Realized investment gains (losses), net			Other income (loss)
	(in thousands)
Fixed maturities, available-for-sale	$	(1,549	)	$	0		$	1,406	$	144		$	(1,731	)	$	0
Other assets:
Fixed maturities, trading	0			(12		)	0		0			0			(12		)
Equity securities	0			266			0		0			0			266
Other invested assets	0			0			0		0			0			0
Short-term investments	0			0			0		0			0			0
Cash equivalents	0			0			0		0			0			0
Reinsurance recoverables	2,567,927			0			0		0			2,653,797			0
Receivables from parent and affiliates	0			0			0		(35		)	0			0
Liabilities:
Future policy benefits	(2,568,251		)	0			0		0			(2,655,925		)	0
Policyholders' account balances	26,006			0			0		0			35,117			0
Other liabilities	0			0			0		0			0			0

	Nine Months Ended September 30, 2019
	Fair Value, beginning of period			Total realized and unrealized gains (losses)(1)			Purchases		Sales			Issuances			Settlements			Other(2)		Transfers into Level 3		Transfers out of Level 3			Fair Value, end of period			Unrealized gains (losses) for assets still held(3)
	(in thousands)
Fixed maturities, available-for-sale:
U.S. government	$	29,816		$	0		$	6,423	$	0		$	0		$	0		$	0	$	0	$	0		$	36,239		$	0
Foreign government	0			5			0		0			0			0			0		159		0			164			0
Corporate securities(4)	56,588			(3,192		)	2,918		(81		)	0			(10,839		)	0		13,463		0			58,857			(4,893		)
Structured securities(5)	6,556			1,326			0		(103		)	0			(4,334		)	0		77,660		(77,071		)	4,034			0
Other assets:
Fixed maturities, trading	0			(158		)	0		0			0			0			0		751		0			593			(158		)
Equity securities	15,997			1,374			0		0			0			0			0		0		0			17,371			1,374
Other invested assets	4			0			0		0			0			0			0		0		0			4			0
Short-term investments	0			0			1,069		0			0			(613		)	0		0		0			456			0
Cash equivalents	0			0			0		0			0			0			0		0		0			0			0
Reinsurance recoverables	5,600,008			4,974,433			739,173		0			0			0			0		0		0			11,313,614			5,127,527
Receivables from parent and affiliates	9,261			158			0		0			0			(4,737		)	0		0		0			4,682			0
Liabilities:
Future policy benefits	(5,588,840		)	(4,980,450		)	0		0			(733,241		)	0			0		0		0			(11,302,531		)	(5,133,545		)
Policyholders' account balances(6)	(13,015		)	(699,535		)	0		0			(163,425		)	0			0		0		0			(875,975		)	(689,872		)
Other liabilities	0			0			0		0			0			0			0		0		0			0			0

	Nine Months Ended September 30, 2019
	Total realized and unrealized gains (losses)										Unrealized gains (losses) for assets still held(3)
	Realized investment gains (losses), net(1)			Other income (loss)			Included in other comprehensive income (loss)		Net investment income		Realized investment gains (losses), net			Other income (loss)
	(in thousands)
Fixed maturities, available-for-sale	$	(4,616	)	$	0		$	2,248	$	507	$	(4,893	)	$	0
Other assets:
Fixed maturities, trading	0			(158		)	0		0		0			(158		)
Equity securities	0			1,374			0		0		0			1,374
Other invested assets	0			0			0		0		0			0
Short-term investments	0			0			0		0		0			0
Cash equivalents	0			0			0		0		0			0
Reinsurance recoverables	4,974,433			0			0		0		5,127,527			0
Receivables from parent and affiliates	0			0			0		158		0			0
Liabilities:
Future policy benefits	(4,980,450		)	0			0		0		(5,133,545		)	0
Policyholders' account balances	(699,535		)	0			0		0		(689,872		)	0
Other liabilities	0			0			0		0		0			0

	Three Months Ended September 30, 2018(7)
	Fair Value, beginning of period			Total realized and unrealized gains (losses)(1)			Purchases		Sales			Issuances			Settlements			Other(2)			Transfers into Level 3		Transfers out of Level 3			Fair Value, end of period			Unrealized gains (losses) for assets still held(3)
	(in thousands)
Fixed maturities, available-for-sale:
U.S. government	$	24,411		$	0		$	935	$	0		$	0		$	0		$	0		$	0	$	0		$	25,346		$	0
Foreign government	160			0			0		0			0			0			(1		)	0		0			159			0
Corporate securities(4)	62,418			(2,917		)	669		0			0			(12,767		)	0			0		(3,936		)	43,467			(1,310		)
Structured securities(5)	19,661			(424		)	20,229		(10,648		)	0			(2,138		)	0			0		0			26,680			0
Other assets:
Equity securities	16,625			(223		)	0		(75		)	0			0			0			0		0			16,327			(222		)
Other invested assets	5			4			0		0			0			0			0			0		(9		)	0			4
Short-term investments	333			0			5,440		0			0			(5,316		)	(1		)	0		0			456			(1		)
Cash equivalents	564			0			0		0			0			(564		)	0			0		0			0			0
Reinsurance recoverables	3,943,881			(1,210,408		)	224,620		0			0			0			0			0		0			2,958,093			(1,174,501		)
Receivables from parent and affiliates	0			0			0		0			0			0			0			0		0			0			0
Liabilities:
Future policy benefits	(3,916,973		)	1,240,116			0		0			(231,467		)	0			0			0		0			(2,908,324		)	1,204,459
Policyholders' account balances(6)	(41,946		)	(21,841		)	0		0			0			2,940			0			0		0			(60,847		)	(21,841		)
Other liabilities	(17,610		)	(32,501		)	8,778		0			0			0			0			0		0			(41,333		)	(32,750		)

	Three Months Ended September 30, 2018(7)
	Total realized and unrealized gains (losses)											Unrealized gains (losses) for assets still held(3)
	Realized investment gains (losses), net(1)			Other income (loss)			Included in other comprehensive income (loss)			Net investment income		Realized investment gains (losses), net			Other income (loss)
	(in thousands)
Fixed maturities, available-for-sale	$	(809	)	$	0		$	(2,675	)	$	143	$	(1,310	)	$	0
Other assets:
Equity securities	0			(223		)	0			0		0			(222		)
Other invested assets	4			0			0			0		4			0
Short-term investments	0			0			0			0		(1		)	0
Cash equivalents	0			0			0			0		0			0
Reinsurance recoverables	(1,210,408		)	0			0			0		(1,174,501		)	0
Receivables from parent and affiliates	0			0			0			0		0			0
Liabilities:
Future policy benefits	1,240,116			0			0			0		1,204,459			0
Policyholders' account balances	(21,841		)	0			0			0		(21,841		)	0
Other liabilities	(32,501		)	0			0			0		(32,750		)	0

	Nine Months Ended September 30, 2018(7)
	Fair Value, beginning of period			Total realized and unrealized gains (losses)(1)			Purchases		Sales			Issuances			Settlements			Other(2)			Transfers into Level 3		Transfers out of Level 3			Fair Value, end of period			Unrealized gains (losses) for assets still held(3)
	(in thousands)
Fixed maturities, available-for-sale:
U.S. government	$	19,204		$	0		$	6,142	$	0		$	0		$	0		$	0		$	0	$	0		$	25,346		$	0
Foreign government	0			(14		)	0		0			0			0			173			0		0			159			0
Corporate securities(4)	75,421			(3,628		)	4,816		(201		)	0			(32,838		)	14			4,028		(4,145		)	43,467			(1,385		)
Structured securities(5)	111,028			(477		)	31,067		(10,844		)	0			(10,204		)	0			13,513		(107,403		)	26,680			0
Other assets:
Equity securities	17,525			(1,123		)	0		(75		)	0			0			0			0		0			16,327			(1,123		)
Other invested assets	0			0			0		0			0			0			0			9		(9		)	0			0
Short-term investments	1,339			(18		)	10,710		0			0			(11,560		)	(15		)	0		0			456			(19		)
Cash equivalents	0			0			2,550		0			0			(2,550		)	0			0		0			0			0
Reinsurance recoverables	5,457,649			(3,164,957		)	665,401		0			0			0			0			0		0			2,958,093			(3,000,498		)
Receivables from parent and affiliates	0			(20		)	0		0			0			0			0			6,551		(6,531		)	0			0
Liabilities:
Future policy benefits	(5,452,583		)	3,230,314			0		0			(686,055		)	0			0			0		0			(2,908,324		)	3,065,835
Policyholders' account balances(6)	(46,651		)	(24,687		)	0		0			0			10,491			0			0		0			(60,847		)	(24,688		)
Other liabilities	0			(67,816		)	26,483		0			0			0			0			0		0			(41,333		)	(67,796		)

	Nine Months Ended September 30, 2018(7)
	Total realized and unrealized gains (losses)											Unrealized gains (losses) for assets still held(3)
	Realized investment gains (losses), net(1)			Other income (loss)			Included in other comprehensive income (loss)			Net investment income		Realized investment gains (losses), net			Other income (loss)
	(in thousands)
Fixed maturities, available-for-sale	$	(1,044	)	$	0		$	(3,382	)	$	307	$	(1,385	)	$	0
Other assets:
Equity securities	0			(1,123		)	0			0		0			(1,123		)
Other invested assets	0			0			0			0		0			0
Short-term investments	(18		)	0			0			0		(19		)	0
Cash equivalents	0			0			0			0		0			0
Reinsurance recoverables	(3,164,957		)	0			0			0		(3,000,498		)	0
Receivables from parent and affiliates	0			(20		)	0			0		0			0
Liabilities:
Future policy benefits	3,230,314			0			0			0		3,065,835			0
Policyholders' account balances	(24,687		)	0			0			0		(24,688		)	0
Other liabilities	(67,816		)	0			0			0		(67,796		)	0

(1) 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.

(2) Other includes reclassifications of certain assets and liabilities between reporting categories.

(3) 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.

(4) Includes U.S. corporate public, U.S. corporate private, foreign corporate public and foreign corporate private securities.

(5) Includes asset-backed, commercial mortgage-backed and residential mortgage-backed securities.

(6) Issuances and settlements for Policyholders' account balances are presented net in the rollforward.

(7)

Prior period amounts have been updated to conform to current period presentation.

Fair Value, 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. 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.

	Three Months Ended September 30, 2019
	Fair Value, beginning of period			Total realized and unrealized gains (losses)(1)			Purchases		Sales			Issuances			Settlements			Other(2)		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period			Unrealized gains (losses) for assets still held(3)
	(in thousands)
Fixed maturities, available-for-sale:
U.S. government	$	34,392		$	0		$	1,847	$	0		$	0		$	0		$	0	$	0	$	0	$	36,239		$	0
Foreign government	165			(1		)	0		0			0			0			0		0		0		164			0
Corporate securities(4)	54,014			(14		)	796		(28		)	0			(1,158		)	0		5,247		0		58,857			(1,731		)
Structured securities(5)	4,297			16			0		(101		)	0			(178		)	0		0		0		4,034			0
Other assets:
Fixed maturities, trading	605			(12		)	0		0			0			0			0		0		0		593			(12		)
Equity securities	17,105			266			0		0			0			0			0		0		0		17,371			266
Other invested assets	4			0			0		0			0			0			0		0		0		4			0
Short-term investments	94			0			606		0			0			(244		)	0		0		0		456			0
Cash equivalents	0			0			0		0			0			0			0		0		0		0			0
Reinsurance recoverables	8,485,905			2,567,927			259,782		0			0			0			0		0		0		11,313,614			2,653,797
Receivables from parent and affiliates	6,295			(35		)	0		0			0			(1,578		)	0		0		0		4,682			0
Liabilities:
Future policy benefits	(8,476,541		)	(2,568,251		)	0		0			(257,739		)	0			0		0		0		(11,302,531		)	(2,655,925		)
Policyholders' account balances(6)	(786,969		)	26,006			0		0			(115,012		)	0			0		0		0		(875,975		)	35,117
Other liabilities	0			0			0		0			0			0			0		0		0		0			0

	Three Months Ended September 30, 2019
	Total realized and unrealized gains (losses)											Unrealized gains (losses) for assets still held(3)
	Realized investment gains (losses), net(1)			Other income (loss)			Included in other comprehensive income (loss)		Net investment income			Realized investment gains (losses), net			Other income (loss)
	(in thousands)
Fixed maturities, available-for-sale	$	(1,549	)	$	0		$	1,406	$	144		$	(1,731	)	$	0
Other assets:
Fixed maturities, trading	0			(12		)	0		0			0			(12		)
Equity securities	0			266			0		0			0			266
Other invested assets	0			0			0		0			0			0
Short-term investments	0			0			0		0			0			0
Cash equivalents	0			0			0		0			0			0
Reinsurance recoverables	2,567,927			0			0		0			2,653,797			0
Receivables from parent and affiliates	0			0			0		(35		)	0			0
Liabilities:
Future policy benefits	(2,568,251		)	0			0		0			(2,655,925		)	0
Policyholders' account balances	26,006			0			0		0			35,117			0
Other liabilities	0			0			0		0			0			0

	Nine Months Ended September 30, 2019
	Fair Value, beginning of period			Total realized and unrealized gains (losses)(1)			Purchases		Sales			Issuances			Settlements			Other(2)		Transfers into Level 3		Transfers out of Level 3			Fair Value, end of period			Unrealized gains (losses) for assets still held(3)
	(in thousands)
Fixed maturities, available-for-sale:
U.S. government	$	29,816		$	0		$	6,423	$	0		$	0		$	0		$	0	$	0	$	0		$	36,239		$	0
Foreign government	0			5			0		0			0			0			0		159		0			164			0
Corporate securities(4)	56,588			(3,192		)	2,918		(81		)	0			(10,839		)	0		13,463		0			58,857			(4,893		)
Structured securities(5)	6,556			1,326			0		(103		)	0			(4,334		)	0		77,660		(77,071		)	4,034			0
Other assets:
Fixed maturities, trading	0			(158		)	0		0			0			0			0		751		0			593			(158		)
Equity securities	15,997			1,374			0		0			0			0			0		0		0			17,371			1,374
Other invested assets	4			0			0		0			0			0			0		0		0			4			0
Short-term investments	0			0			1,069		0			0			(613		)	0		0		0			456			0
Cash equivalents	0			0			0		0			0			0			0		0		0			0			0
Reinsurance recoverables	5,600,008			4,974,433			739,173		0			0			0			0		0		0			11,313,614			5,127,527
Receivables from parent and affiliates	9,261			158			0		0			0			(4,737		)	0		0		0			4,682			0
Liabilities:
Future policy benefits	(5,588,840		)	(4,980,450		)	0		0			(733,241		)	0			0		0		0			(11,302,531		)	(5,133,545		)
Policyholders' account balances(6)	(13,015		)	(699,535		)	0		0			(163,425		)	0			0		0		0			(875,975		)	(689,872		)
Other liabilities	0			0			0		0			0			0			0		0		0			0			0

	Nine Months Ended September 30, 2019
	Total realized and unrealized gains (losses)										Unrealized gains (losses) for assets still held(3)
	Realized investment gains (losses), net(1)			Other income (loss)			Included in other comprehensive income (loss)		Net investment income		Realized investment gains (losses), net			Other income (loss)
	(in thousands)
Fixed maturities, available-for-sale	$	(4,616	)	$	0		$	2,248	$	507	$	(4,893	)	$	0
Other assets:
Fixed maturities, trading	0			(158		)	0		0		0			(158		)
Equity securities	0			1,374			0		0		0			1,374
Other invested assets	0			0			0		0		0			0
Short-term investments	0			0			0		0		0			0
Cash equivalents	0			0			0		0		0			0
Reinsurance recoverables	4,974,433			0			0		0		5,127,527			0
Receivables from parent and affiliates	0			0			0		158		0			0
Liabilities:
Future policy benefits	(4,980,450		)	0			0		0		(5,133,545		)	0
Policyholders' account balances	(699,535		)	0			0		0		(689,872		)	0
Other liabilities	0			0			0		0		0			0

	Three Months Ended September 30, 2018(7)
	Fair Value, beginning of period			Total realized and unrealized gains (losses)(1)			Purchases		Sales			Issuances			Settlements			Other(2)			Transfers into Level 3		Transfers out of Level 3			Fair Value, end of period			Unrealized gains (losses) for assets still held(3)
	(in thousands)
Fixed maturities, available-for-sale:
U.S. government	$	24,411		$	0		$	935	$	0		$	0		$	0		$	0		$	0	$	0		$	25,346		$	0
Foreign government	160			0			0		0			0			0			(1		)	0		0			159			0
Corporate securities(4)	62,418			(2,917		)	669		0			0			(12,767		)	0			0		(3,936		)	43,467			(1,310		)
Structured securities(5)	19,661			(424		)	20,229		(10,648		)	0			(2,138		)	0			0		0			26,680			0
Other assets:
Equity securities	16,625			(223		)	0		(75		)	0			0			0			0		0			16,327			(222		)
Other invested assets	5			4			0		0			0			0			0			0		(9		)	0			4
Short-term investments	333			0			5,440		0			0			(5,316		)	(1		)	0		0			456			(1		)
Cash equivalents	564			0			0		0			0			(564		)	0			0		0			0			0
Reinsurance recoverables	3,943,881			(1,210,408		)	224,620		0			0			0			0			0		0			2,958,093			(1,174,501		)
Receivables from parent and affiliates	0			0			0		0			0			0			0			0		0			0			0
Liabilities:
Future policy benefits	(3,916,973		)	1,240,116			0		0			(231,467		)	0			0			0		0			(2,908,324		)	1,204,459
Policyholders' account balances(6)	(41,946		)	(21,841		)	0		0			0			2,940			0			0		0			(60,847		)	(21,841		)
Other liabilities	(17,610		)	(32,501		)	8,778		0			0			0			0			0		0			(41,333		)	(32,750		)

	Three Months Ended September 30, 2018(7)
	Total realized and unrealized gains (losses)											Unrealized gains (losses) for assets still held(3)
	Realized investment gains (losses), net(1)			Other income (loss)			Included in other comprehensive income (loss)			Net investment income		Realized investment gains (losses), net			Other income (loss)
	(in thousands)
Fixed maturities, available-for-sale	$	(809	)	$	0		$	(2,675	)	$	143	$	(1,310	)	$	0
Other assets:
Equity securities	0			(223		)	0			0		0			(222		)
Other invested assets	4			0			0			0		4			0
Short-term investments	0			0			0			0		(1		)	0
Cash equivalents	0			0			0			0		0			0
Reinsurance recoverables	(1,210,408		)	0			0			0		(1,174,501		)	0
Receivables from parent and affiliates	0			0			0			0		0			0
Liabilities:
Future policy benefits	1,240,116			0			0			0		1,204,459			0
Policyholders' account balances	(21,841		)	0			0			0		(21,841		)	0
Other liabilities	(32,501		)	0			0			0		(32,750		)	0

	Nine Months Ended September 30, 2018(7)
	Fair Value, beginning of period			Total realized and unrealized gains (losses)(1)			Purchases		Sales			Issuances			Settlements			Other(2)			Transfers into Level 3		Transfers out of Level 3			Fair Value, end of period			Unrealized gains (losses) for assets still held(3)
	(in thousands)
Fixed maturities, available-for-sale:
U.S. government	$	19,204		$	0		$	6,142	$	0		$	0		$	0		$	0		$	0	$	0		$	25,346		$	0
Foreign government	0			(14		)	0		0			0			0			173			0		0			159			0
Corporate securities(4)	75,421			(3,628		)	4,816		(201		)	0			(32,838		)	14			4,028		(4,145		)	43,467			(1,385		)
Structured securities(5)	111,028			(477		)	31,067		(10,844		)	0			(10,204		)	0			13,513		(107,403		)	26,680			0
Other assets:
Equity securities	17,525			(1,123		)	0		(75		)	0			0			0			0		0			16,327			(1,123		)
Other invested assets	0			0			0		0			0			0			0			9		(9		)	0			0
Short-term investments	1,339			(18		)	10,710		0			0			(11,560		)	(15		)	0		0			456			(19		)
Cash equivalents	0			0			2,550		0			0			(2,550		)	0			0		0			0			0
Reinsurance recoverables	5,457,649			(3,164,957		)	665,401		0			0			0			0			0		0			2,958,093			(3,000,498		)
Receivables from parent and affiliates	0			(20		)	0		0			0			0			0			6,551		(6,531		)	0			0
Liabilities:
Future policy benefits	(5,452,583		)	3,230,314			0		0			(686,055		)	0			0			0		0			(2,908,324		)	3,065,835
Policyholders' account balances(6)	(46,651		)	(24,687		)	0		0			0			10,491			0			0		0			(60,847		)	(24,688		)
Other liabilities	0			(67,816		)	26,483		0			0			0			0			0		0			(41,333		)	(67,796		)

	Nine Months Ended September 30, 2018(7)
	Total realized and unrealized gains (losses)											Unrealized gains (losses) for assets still held(3)
	Realized investment gains (losses), net(1)			Other income (loss)			Included in other comprehensive income (loss)			Net investment income		Realized investment gains (losses), net			Other income (loss)
	(in thousands)
Fixed maturities, available-for-sale	$	(1,044	)	$	0		$	(3,382	)	$	307	$	(1,385	)	$	0
Other assets:
Equity securities	0			(1,123		)	0			0		0			(1,123		)
Other invested assets	0			0			0			0		0			0
Short-term investments	(18		)	0			0			0		(19		)	0
Cash equivalents	0			0			0			0		0			0
Reinsurance recoverables	(3,164,957		)	0			0			0		(3,000,498		)	0
Receivables from parent and affiliates	0			(20		)	0			0		0			0
Liabilities:
Future policy benefits	3,230,314			0			0			0		3,065,835			0
Policyholders' account balances	(24,687		)	0			0			0		(24,688		)	0
Other liabilities	(67,816		)	0			0			0		(67,796		)	0

(1) 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.

(2) Other includes reclassifications of certain assets and liabilities between reporting categories.

(3) 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.

(4) Includes U.S. corporate public, U.S. corporate private, foreign corporate public and foreign corporate private securities.

(5) Includes asset-backed, commercial mortgage-backed and residential mortgage-backed securities.

(6) Issuances and settlements for Policyholders' account balances are presented net in the rollforward.

(7)

Prior period amounts have been updated to conform to current period presentation.

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.

	September 30, 2019
	Fair Value								Carrying Amount(1)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	0	$	1,288,280	$	1,288,280	$	1,230,059
Policy loans	0		0		1,283,214		1,283,214		1,283,214
Cash and cash equivalents	79,880		0		0		79,880		79,880
Accrued investment income	0		89,822		0		89,822		89,822
Reinsurance recoverables	0		0		210,484		210,484		209,265
Receivables from parent and affiliates	0		160,926		0		160,926		160,925
Other assets	0		31,912		0		31,912		31,912
Total assets	$	79,880	$	282,660	$	2,781,978	$	3,144,518	$	3,085,077
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	1,242,610	$	278,115	$	1,520,725	$	1,519,506
Cash collateral for loaned securities	0		7,759		0		7,759		7,759
Payables to parent and affiliates	0		180,261		0		180,261		180,261
Other liabilities	0		368,759		0		368,759		368,759
Total liabilities	$	0	$	1,799,389	$	278,115	$	2,077,504	$	2,076,285

	December 31, 2018
	Fair Value								Carrying Amount(1)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	0	$	1,214,350	$	1,214,350	$	1,209,150
Policy loans	0		0		1,236,077		1,236,077		1,236,077
Cash and cash equivalents	56,894		143,000		0		199,894		199,894
Accrued investment income	0		88,278		0		88,278		88,278
Reinsurance recoverables	0		0		0		0		0
Receivables from parent and affiliates	0		154,938		0		154,938		154,938
Other assets	0		28,950		0		28,950		28,950
Total assets	$	56,894	$	415,166	$	2,450,427	$	2,922,487	$	2,917,287
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	1,206,747	$	272,322	$	1,479,069	$	1,486,929
Cash collateral for loaned securities	0		11,063		0		11,063		11,063
Payables to parent and affiliates	0		229,345		0		229,345		229,345
Other liabilities	0		372,997		0		372,997		372,997
Total liabilities	$	0	$	1,820,152	$	272,322	$	2,092,474	$	2,100,334

(1) 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.