Fair Value of Assets and Liabilities

9 Months Ended

Sep. 30, 2019

Fair Value Disclosures [Abstract]

Fair Value Disclosures

Fair Value of Assets and Liabilities

Fair Value Measurement

General accounting principles for Fair Value Measurements and Disclosures define fair value as the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. These principles also establish a fair value hierarchy that requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value and describes three levels of inputs that may be used to measure fair value:

Level 1 - Unadjusted quoted prices in active markets for identical assets or liabilities. The Company’s Level 1 assets and liabilities are traded in active exchange markets.

Level 2 - Observable inputs other than Level 1 prices such as quoted prices for similar assets or liabilities; quoted prices in markets that are not active; or market standard valuation techniques and assumptions that use significant inputs that are observable or can be corroborated by observable market data for substantially the full term of the assets or liabilities.

Level 3 - Unobservable inputs that are supported by little or no market activity and that are significant to the fair value of the related assets or liabilities. Prices are determined using valuation methodologies such as discounted cash flow models and other similar techniques that require management’s judgment or estimation in developing inputs that are consistent with what other market participants would use when pricing similar assets and liabilities. Additionally, the Company’s embedded derivatives, all of which are associated with reinsurance treaties and longevity and mortality swaps, are classified in Level 3 since their values include significant unobservable inputs.

For a discussion of the Company’s valuation methodologies for assets and liabilities measured at fair value and the fair value hierarchy, see Note 6 in the Notes to Consolidated Financial Statements included in the Company’s 2018 Annual Report.

Assets and Liabilities by Hierarchy Level

Assets and liabilities measured at fair value on a recurring basis as of September 30, 2019 and December 31, 2018 are summarized below (dollars in thousands):

September 30, 2019:				Fair Value Measurements Using:
	Total			Level 1		Level 2			Level 3
Assets:
Fixed maturity securities – available-for-sale:
Corporate	$	30,353,219		$	—	$	28,547,959		$	1,805,260
Canadian government	4,633,219			—		3,942,376			690,843
RMBS	2,439,842			—		2,416,762			23,080
ABS	2,822,635			—		2,719,526			103,109
CMBS	1,782,218			—		1,752,250			29,968
U.S. government	1,668,505			1,541,294		110,070			17,141
State and political subdivisions	1,190,103			—		1,180,150			9,953
Other foreign government	4,591,526			—		4,575,383			16,143
Total fixed maturity securities – available-for-sale	49,481,267			1,541,294		45,244,476			2,695,497
Equity securities	134,453			86,968		—			47,485
Funds withheld at interest – embedded derivatives	121,275			—		—			121,275
Cash equivalents	927,175			922,291		4,884			—
Short-term investments	89,130			17,375		68,898			2,857
Other invested assets:
Derivatives:
Interest rate swaps	73,085			—		73,085			—
Foreign currency forwards	43,654			—		43,654			—
Credit default swaps	(7,174		)	—		(7,174		)	—
Equity options	6,150			—		6,150			—
Foreign currency swaps	26,384			—		26,384			—
FVO contractholder-directed unit-linked investments	252,277			197,195		55,082			—
Total other invested assets	394,376			197,195		197,181			—
Other assets - longevity swaps	51,620			—		—			51,620
Total	$	51,199,296		$	2,765,123	$	45,515,439		$	2,918,734
Liabilities:
Interest sensitive contract liabilities – embedded derivatives	$	989,170		$	—	$	—		$	989,170
Other liabilities:
Derivatives:
Interest rate swaps	26,024			—		26,024			—
Foreign currency swaps - non-hedged	12,454			—		12,454			—
Foreign currency forwards	(124		)	—		(124		)	—
CPI swaps	32,885			—		32,885			—
Credit default swaps	(12,923		)	—		(12,923		)	—
Equity options	(18,694		)	—		(18,694		)	—
Foreign currency swaps	7,615			—		7,615			—
Mortality swaps	853			—		—			853
Total	$	1,037,260		$	—	$	47,237		$	990,023

December 31, 2018:				Fair Value Measurements Using:
	Total			Level 1		Level 2			Level 3
Assets:
Fixed maturity securities – available-for-sale:
Corporate	$	23,982,119		$	—	$	22,651,194		$	1,330,925
Canadian government	3,892,385			—		3,364,261			528,124
RMBS	1,869,221			—		1,862,366			6,855
ABS	2,149,204			—		2,053,632			95,572
CMBS	1,419,034			—		1,419,012			22
U.S. government	2,185,874			2,067,529		100,320			18,025
State and political subdivisions	752,194			—		741,992			10,202
Other foreign government	3,742,315			—		3,737,309			5,006
Total fixed maturity securities – available-for-sale	39,992,346			2,067,529		35,930,086			1,994,731
Equity securities	82,197			48,737		—			33,460
Funds withheld at interest – embedded derivatives	109,597			—		—			109,597
Cash equivalents	485,167			473,509		11,658			—
Short-term investments	105,991			4,989		98,774			2,228
Other invested assets:
Derivatives:
Interest rate swaps	37,976			—		37,976			—
Foreign currency forwards	50,740			—		50,740			—
Credit default swaps	4,466			—		4,466			—
Equity options	36,206			—		36,206			—
Foreign currency swaps	51,311			—		51,311			—
FVO contractholder-directed unit-linked investments	197,770			196,781		989			—
Total other invested assets	378,469			196,781		181,688			—
Other assets - longevity swaps	47,789			—		—			47,789
Total	$	41,201,556		$	2,791,545	$	36,222,206		$	2,187,805
Liabilities:
Interest sensitive contract liabilities – embedded derivatives	$	944,865		$	—	$	—		$	944,865
Other liabilities:
Derivatives:
Interest rate swaps	18,542			—		18,542			—
Foreign currency swaps - non-hedged	4,155			—		4,155			—
CPI swaps	11,384			—		11,384			—
Credit default swaps	(371		)	—		(371		)	—
Equity options	(6,630		)	—		(6,630		)	—
Mortality swaps	369			—		—			369
Total	$	972,314		$	—	$	27,080		$	945,234

Transfers between Levels 1 and 2

Transfers between Levels 1 and 2 are made to reflect changes in observability of inputs and market activity. The Company recognizes transfers of assets and liabilities into and out of levels within the fair value hierarchy at the beginning of the quarter in which the actual event or change in circumstances that caused the transfer occurs. There were no transfers between Level 1 and Level 2 during the nine months ended September 30, 2019 or 2018.

Quantitative Information Regarding Internally - Priced Assets and Liabilities

The following table presents quantitative information about significant unobservable inputs used in Level 3 fair value measurements that are developed internally by the Company as of September 30, 2019 and December 31, 2018 (dollars in thousands):

	Estimated Fair Value				Valuation Technique	Unobservable Inputs	Range (Weighted Average)
	September 30, 2019		December 31, 2018				September 30, 2019		December 31, 2018
Assets:
Corporate	$	888,946	$	642,647	Market comparable securities	Liquidity premium	0-5% (1%)		0-5%  (1%)
						EBITDA Multiple	5.2x-6.1x (5.8x)		5.9x-7.5x (6.5x)
ABS	102,027		77,842		Market comparable securities	Liquidity premium	0-4% (1%)		0-1%  (1%)
U.S. government	17,141		18,025		Market comparable securities	Liquidity premium	0-1% (1%)		0-1%  (1%)
Other foreign government	16,143		5,006		Market comparable securities	Liquidity premium	0-1% (1%)		1	%
Equity securities	30,681		25,007		Market comparable securities	Liquidity premium	4	%	4	%
						EBITDA Multiple	6.9x-9.3x (7.9x)		6.9x-12.3x (7.9x)
Funds withheld at interest- embedded derivatives	121,275		109,597		Total return swap	Mortality	0-100%  (2%)		0-100%  (2%)
						Lapse	0-35%  (12%)		0-35%  (10%)
						Withdrawal	0-5%  (3%)		0-5%  (3%)
						CVA	0-5%  (1%)		0-5%  (1%)
						Crediting rate	2-4%  (2%)		2-4%  (2%)
Longevity swaps	51,620		47,789		Discounted cash flow	Mortality	0-100%  (2%)		0-100%  (2%)
						Mortality improvement	(10%)-10%  (3%)		(10%)-10%  (3%)
Liabilities:
Interest sensitive contract liabilities- embedded derivatives- indexed annuities	779,128		776,940		Discounted cash flow	Mortality	0-100% (2%)		0-100% (2%)
						Lapse	0-35% (12%)		0-35% (10%)
						Withdrawal	0-5% (3%)		0-5% (3%)
						Option budget projection	2-4% (2%)		2-4% (2%)
Interest sensitive contract liabilities- embedded derivatives- variable annuities	210,041		167,925		Discounted cash flow	Mortality	0-100% (1%)		0-100% (1%)
						Lapse	0-25% (5%)		0-25% (5%)
						Withdrawal	0-7% (5%)		0-7% (5%)
						CVA	0-5% (1%)		0-5% (1%)
						Long-term volatility	0-27% (12%)		0-27% (13%)
Mortality swaps	853		369		Discounted cash flow	Mortality	0-100%  (1%)		0-100%  (1%)

Changes in Level 3 Assets and Liabilities

Assets and liabilities transferred into Level 3 are due to a lack of observable market transactions and price information. Transfers out of Level 3 are primarily the result of the Company obtaining observable pricing information or a third party pricing quotation that appropriately reflects the fair value of those assets and liabilities. In 2018, the Company transferred equity securities with a fair value of approximately $38.9 million into Level 3 as a result of the adoption of the new accounting guidance for the recognition and measurement of equity securities (see “New Accounting Pronouncements - Financial Instruments - Recognition and Measurement” in Note 2 - “Significant Accounting Policies and Pronouncements” in the Notes to Consolidated Financial Statements included in the Company’s 2018 Annual Report).

For further information on the Company’s valuation processes, see Note 6 in the Notes to Consolidated Financial Statements included in the Company’s 2018 Annual Report.

The reconciliations for all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) are as follows (dollars in thousands):

For the three months ended September 30, 2019:	Fixed maturity securities - available-for-sale
	Corporate			Canadian government		RMBS			ABS
Fair value, beginning of period	$	1,644,364		$	671,027	$	16,032		$	110,322
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment income, net of related expenses	318			3,713		(113		)	3
Included in other comprehensive income	17,090			16,103		150			(51		)
Purchases(1)	214,025			—		—			10,764
Sales(1)	(34,363		)	—		—			—
Settlements(1)	(63,216		)	—		(2,370		)	(17,929		)
Transfers into Level 3	27,042			—		15,421			—
Transfers out of Level 3	—			—		(6,040		)	—
Fair value, end of period	$	1,805,260		$	690,843	$	23,080		$	103,109
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment income, net of related expenses	$	344		$	3,713	$	(113	)	$	3

For the three months ended September 30, 2019 (continued):	Fixed maturity securities available-for-sale
	CMBS			U.S. government			State and political subdivisions			Other foreign government		Equity securities
Fair value, beginning of period	$	19		$	17,406		$	9,855		$	15,686	$	44,807
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment income, net of related expenses	—			(90		)	6			—		—
Investment related gains (losses), net	—			—			—			—		2,737
Included in other comprehensive income	(975		)	79			132			457		—
Purchases(1)	1,155			104			—			—		821
Sales(1)	—			—			—			—		(880		)
Settlements(1)	(3		)	(358		)	(40		)	—		—
Transfers into Level 3	29,772			—			—			—		—
Fair value, end of period	$	29,968		$	17,141		$	9,953		$	16,143	$	47,485
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment income, net of related expenses	$	—		$	(90	)	$	6		$	—	$	—
Investment related gains (losses), net	—			—			—			—		2,638

For the three months ended September 30, 2019 (continued):	Funds withheld at interest- embedded derivatives		Short-term Investments			Other assets - longevity swaps			Interest sensitive contract liabilities embedded derivatives			Other liabilities - mortality swaps
Fair value, beginning of period	$	112,767	$	28,387		$	51,755		$	(908,491	)	$	(853	)
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment income, net of related expenses	—		133			—			—			—
Investment related gains (losses), net	8,508		—			—			(42,233		)	—
Interest credited	—		—			—			(44,972		)	—
Included in other comprehensive income	—		(266		)	(2,198		)	—			—
Other revenues	—		—			2,063			—			—
Purchases(1)	—		1,656			—			(16,887		)	—
Sales(1)	—		—			—			—			—
Settlements(1)	—		(11		)	—			23,413			—
Transfers out of Level 3	—		(27,042		)	—			—			—
Fair value, end of period	$	121,275	$	2,857		$	51,620		$	(989,170	)	$	(853	)
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment income, net of related expenses	$	—	$	133		$	—		$	—		$	—
Investment related gains (losses), net	8,508		—			—			(44,965		)	—
Other revenues	—		—			2,063			—			—
Interest credited	—		—			—			(68,385		)	—

For the nine months ended September 30, 2019:	Fixed maturity securities - available-for-sale
	Corporate			Canadian government		RMBS			ABS
Fair value, beginning of period	$	1,330,925		$	528,124	$	6,855		$	95,572
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment income, net of related expenses	478			10,775		(132		)	25
Investment related gains (losses), net	15			—		—			110
Included in other comprehensive income	53,222			151,944		221			1,972
Purchases(1)	604,897			—		3,018			50,511
Sales(1)	(59,000		)	—		—			—
Settlements(1)	(166,865		)	—		(3,945		)	(45,081		)
Transfers into Level 3	43,083			—		23,103			—
Transfers out of Level 3	(1,495		)	—		(6,040		)	—
Fair value, end of period	$	1,805,260		$	690,843	$	23,080		$	103,109
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment income, net of related expenses	$	580		$	10,775	$	(132	)	$	24

For the nine months ended September 30, 2019 (continued):	Fixed maturity securities available-for-sale
	CMBS			U.S. government			State and political subdivisions			Other foreign government		Equity securities
Fair value, beginning of period	$	22		$	18,025		$	10,202		$	5,006	$	33,460
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment income, net of related expenses	—			(265		)	16			—		—
Investment related gains (losses), net	—			—			—			—		8,284
Included in other comprehensive income	(975		)	668			164			1,137		—
Purchases(1)	1,155			290			—			10,000		6,621
Sales(1)	—			—			—			—		(880		)
Settlements(1)	(6		)	(1,577		)	(429		)	—		—
Transfers into Level 3	29,772			—			—			—		—
Fair value, end of period	$	29,968		$	17,141		$	9,953		$	16,143	$	47,485
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment income, net of related expenses	$	—		$	(265	)	$	16		$	—	$	—
Investment related gains (losses), net	—			—			—			—		8,185

For the nine months ended September 30, 2019 (continued):	Funds withheld at interest- embedded derivatives		Cash equivalents			Short-term Investments			Other assets - longevity swaps			Interest sensitive contract liabilities embedded derivatives			Other liabilities - mortality swaps
Fair value, beginning of period	$	109,597	$	—		$	2,228		$	47,789		$	(944,865	)	$	(369	)
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment income, net of related expenses	—		—			221			—			—			—
Investment related gains (losses), net	11,678		—			17			—			(42,116		)	—
Interest credited	—		—			—			—			(50,361		)	—
Included in other comprehensive income	—		—			(134		)	(2,559		)	—			—
Other revenues	—		—			—			6,390			—			(484		)
Purchases(1)	—		19			29,664			—			(12,904		)	—
Sales(1)	—		—			(1,517		)	—			—			—
Settlements(1)	—		—			(558		)	—			61,076			—
Transfers out of Level 3	—		(19		)	(27,064		)	—			—			—
Fair value, end of period	$	121,275	$	—		$	2,857		$	51,620		$	(989,170	)	$	(853	)
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment income, net of related expenses	$	—	$	—		$	221		$	—		$	—		$	—
Investment related gains (losses), net	11,678		—			—			—			(48,041		)	—
Other revenues	—		—			—			6,390			—			(484		)
Interest credited	—		—			—			—			(111,436		)	—

For the three months ended September 30, 2018:	Fixed maturity securities - available-for-sale
	Corporate			Canadian government			RMBS			ABS
Fair value, beginning of period	$	1,367,154		$	572,698		$	54,839		$	70,686
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment income, net of related expenses	(156		)	3,520			3			20
Investment related gains (losses), net	239			—			—			626
Included in other comprehensive income	(4,858		)	(27,476		)	(1		)	(130		)
Purchases(1)	123,808			—			—			11,099
Sales(1)	(62,047		)	—			—			(462		)
Settlements(1)	(101,868		)	—			(3		)	(24,166		)
Transfers into Level 3	2,782			—			—			64,009
Transfers out of Level 3	(69,119		)	—			(54,838		)	(38,915		)
Fair value, end of period	$	1,255,935		$	548,742		$	—		$	82,767
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment income, net of related expenses	$	(180	)	$	3,520		$	—		$	13
Investment related gains (losses), net	(1,430		)	—			—			—

For the three months ended September 30, 2018 (continued):	Fixed maturity securities available-for-sale
	CMBS			U.S. government			State and political subdivisions			Other foreign government
Fair value, beginning of period	$	1,867		$	20,735		$	16,505		$	5,044
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment income, net of related expenses	—			(107		)	6			—
Included in other comprehensive income	7			(122		)	(544		)	(32		)
Purchases(1)	—			120			—			—
Settlements(1)	(1		)	(374		)	(37		)	—
Transfers into Level 3	1,752			—			9,859			—
Transfers out of Level 3	(1,843		)	—			(12,144		)	—
Fair value, end of period	$	1,782		$	20,252		$	13,645		$	5,012
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment income, net of related expenses	$	—		$	(107	)	$	6		$	—

For the three months ended September 30, 2018 (continued):	Equity securities			Funds withheld at interest- embedded derivatives			Short-term Investments			Other assets - longevity swaps			Interest sensitive contract liabilities embedded derivatives			Other liabilities - mortality swaps
Fair value, beginning of period	$	42,937		$	144,610		$	3,217		$	43,971		$	(928,797	)	$	(782	)
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment related gains (losses), net	5,532			(2,081		)	—			—			32,133			—
Interest credited	—			—			—			—			(25,348		)	—
Included in other comprehensive income	—			—			47			(307		)	—			1
Other revenues	—			—			—			2,426			—			473
Purchases(1)	863			—			1,721			—			(4,231		)	—
Sales(1)	(5,847		)	—			—			—			—			—
Settlements(1)	—			—			—			—			20,044			—
Transfers out of Level 3	—			—			(2,782		)	—			—			—
Fair value, end of period	$	43,485		$	142,529		$	2,203		$	46,090		$	(906,199	)	$	(308	)
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment related gains (losses), net	$	2,178		$	(2,081	)	$	—		$	—		$	30,433		$	—
Other revenues	—			—			—			2,426			—			473
Interest credited	—			—			—			—			(45,393		)	—

For the nine months ended September 30, 2018:	Fixed maturity securities - available-for-sale
	Corporate			Canadian government			RMBS			ABS
Fair value, beginning of period	$	1,337,272		$	593,942		$	107,882		$	123,474
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment income, net of related expenses	(822		)	10,432			(132		)	202
Investment related gains (losses), net	(2,902		)	—			312			1,910
Included in other comprehensive income	(35,532		)	(55,632		)	(1,782		)	(821		)
Purchases(1)	379,476			—			45,328			22,099
Sales(1)	(79,316		)	—			(4,961		)	(462		)
Settlements(1)	(245,342		)	—			(4,538		)	(46,449		)
Transfers into Level 3	9,948			—			3,031			68,977
Transfers out of Level 3	(106,847		)	—			(145,140		)	(86,163		)
Fair value, end of period	$	1,255,935		$	548,742		$	—		$	82,767
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment income, net of related expenses	$	(845	)	$	10,432		$	—		$	187
Investment related gains (losses), net	(4,571		)	—			—			—

For the nine months ended September 30, 2018 (continued):	Fixed maturity securities available-for-sale
	CMBS			U.S. government			State and political subdivisions			Other foreign government
Fair value, beginning of period	$	3,234		$	22,511		$	41,203		$	5,092
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment income, net of related expenses	—			(324		)	4			—
Included in other comprehensive income	(56		)	(635		)	46			(80		)
Purchases(1)	—			334			—			—
Settlements(1)	(4		)	(1,634		)	(158		)	—
Transfers into Level 3	1,752			—			9,859			—
Transfers out of Level 3	(3,144		)	—			(37,309		)	—
Fair value, end of period	$	1,782		$	20,252		$	13,645		$	5,012
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment income, net of related expenses	$	—		$	(325	)	$	3		$	—

For the nine months ended September 30, 2018 (continued):	Equity securities			Funds withheld at interest- embedded derivatives		Short-term Investments			Other assets - longevity swaps			Interest sensitive contract liabilities embedded derivatives			Other liabilities - mortality swaps
Fair value, beginning of period	$	—		$	122,194	$	3,096		$	40,659		$	(1,014,228	)	$	(1,683	)
Total gains/losses (realized/unrealized)
Included in earnings, net:
Investment related gains (losses), net	(2,067		)	20,335		—			—			62,242			—
Interest credited	—			—		—			—			6,523			—
Included in other comprehensive income	—			—		1			(1,552		)	—			1
Other revenues	—			—		—			6,983			—			(326		)
Purchases(1)	13,111			—		2,202			—			(16,946		)	—
Sales(1)	(6,416		)	—		—			—			—			—
Settlements(1)	(48		)	—		(314		)	—			56,210			1,700
Transfers into Level 3	38,905			—		—			—			—			—
Transfers out of Level 3	—			—		(2,782		)	—			—			—
Fair value, end of period	$	43,485		$	142,529	$	2,203		$	46,090		$	(906,199	)	$	(308	)
Unrealized gains and losses recorded in earnings for the period relating to those Level 3 assets and liabilities that were still held at the end of the period
Included in earnings, net:
Investment related gains (losses), net	$	(5,527	)	$	20,335	$	—		$	—		$	56,808		$	—
Other revenues	—			—		—			6,983			—			(326		)
Interest credited	—			—		—			—			(49,688		)	—

(1) The amount reported within purchases, sales and settlements is the purchase price (for purchases) and the sales/settlement proceeds (for sales and settlements) based upon the actual date purchased or sold/settled. Items purchased and sold/settled in the same period are excluded from the rollforward. The Company had no issuances during the period.

Nonrecurring Fair Value Measurements

The following table (dollars in thousands) presents information for assets measured at an estimated fair value on a nonrecurring basis during the 2019 and 2018 periods presented and still held at the reporting date (for example, when there is evidence of impairment). The estimated fair values for these assets were determined using significant unobservable inputs (Level 3).

	Carrying Value After Measurement				Investment Related Gains (Losses), Net
	At September 30,				Three months ended September 30,						Nine months ended September 30,
	2019		2018		2019			2018			2019			2018
Limited partnership interests (1)	$	17,785	$	2,246	$	(3,537	)	$	(1,860	)	$	(8,586	)	$	(1,860	)

(1) The impaired limited partnership interests presented above were accounted for using the cost method. Impairments on these cost method investments were recognized at estimated fair value determined using the net asset values of the Company’s ownership interest as provided in the financial statements of the investees. The market for these investments has limited activity and price transparency.

Fair Value of Financial Instruments

The following table presents the carrying amounts and estimated fair values of the Company’s financial instruments, which were not measured at fair value on a recurring basis, as of September 30, 2019 and December 31, 2018 (dollars in thousands). For additional information regarding the methods and significant assumptions used by the Company to estimate these fair values, see Note 6 in the Notes to Consolidated Financial Statements included in the Company’s 2018 Annual Report. This table excludes any payables or receivables for collateral under repurchase agreements and other transactions. The estimated fair value of the excluded amount approximates carrying value as they equal the amount of cash collateral received/paid.

September 30, 2019:	Carrying Value (1)		Estimated  Fair Value		Fair Value Measurement Using:
					Level 1		Level 2		Level 3		NAV
Assets:
Mortgage loans on real estate	$	5,647,265	$	5,936,051	$	—	$	—	$	5,936,051	$	—
Policy loans	1,289,868		1,289,868		—		1,289,868		—		—
Funds withheld at interest	5,476,148		5,873,575		—		—		5,873,575		—
Cash and cash equivalents	1,708,421		1,708,421		1,708,421		—		—		—
Short-term investments	18,373		18,373		18,373		—		—		—
Other invested assets	1,147,167		1,205,284		5,208		82,360		737,064		380,652
Accrued investment income	520,301		520,301		—		520,301		—		—
Liabilities:
Interest-sensitive contract liabilities	$	18,747,630	$	20,446,240	$	—	$	—	$	20,446,240	$	—
Long-term debt	3,381,406		3,564,595		—		—		3,564,595		—
Collateral finance and securitization notes	610,246		561,011		—		—		561,011		—
December 31, 2018:	Carrying Value (1)		Estimated Fair Value		Fair Value Measurement Using:
					Level 1		Level 2		Level 3		NAV
Assets:
Mortgage loans on real estate	$	4,966,298	$	4,917,416	$	—	$	—	$	4,917,416	$	—
Policy loans	1,344,980		1,344,980		—		1,344,980		—		—
Funds withheld at interest	5,655,055		5,802,518		—		—		5,802,518		—
Cash and cash equivalents	1,404,566		1,404,566		1,404,566		—		—		—
Short-term investments	36,607		36,607		36,607		—		—		—
Other invested assets	945,731		941,449		4,640		83,203		477,214		376,392
Accrued investment income	427,893		427,893		—		427,893		—		—
Liabilities:
Interest-sensitive contract liabilities	$	14,547,436	$	14,611,011	$	—	$	—	$	14,611,011	$	—
Long-term debt	2,787,873		2,752,047		—		—		2,752,047		—
Collateral finance and securitization notes	681,961		626,731		—		—		626,731		—

(1)

Carrying values presented herein may differ from those in the Company’s condensed consolidated balance sheets because certain items within the respective financial statement captions may be measured at fair value on a recurring basis.