Summary of Investments

The following tables summarize fixed maturity investments classified as available-for-sale and the non-credit-related component of other-than-temporary impairments (“OTTI”) in accumulated other comprehensive income (loss) (“AOCI”):



	March 31, 2015
	Amortized		Gross unrealized		Gross unrealized		Estimated fair value		OTTI (gain) loss
Fixed maturities:	cost		gains		losses		and carrying value		included in AOCI ⁽¹⁾
U.S. government direct obligations and U.S. agencies	$	1,081,949	$	74,740	$	390	$	1,156,299	$	—
Obligations of U.S. states and their subdivisions	2,051,020		311,136		1,463		2,360,693		—
Foreign government securities	2,414		—		—		2,414		—
Corporate debt securities ⁽²⁾	11,536,443		873,106		79,718		12,329,831		(2,329		)
Asset-backed securities	1,284,772		151,734		11,461		1,425,045		(92,246		)
Residential mortgage-backed securities	157,318		6,637		1,509		162,446		(177		)
Commercial mortgage-backed securities	878,942		42,969		839		921,072		—
Collateralized debt obligations	9,850		17		—		9,867		—
Total fixed maturities	$	17,002,708	$	1,460,339	$	95,380	$	18,367,667	$	(94,752	)

⁽¹⁾ Indicates the amount of any OTTI (gain) loss included in AOCI that is included in gross unrealized gains and losses. OTTI (gain) loss included in AOCI, as presented above, includes both the initial recognition of non-credit losses and the effects of subsequent increases and decreases in estimated fair value for those fixed maturity securities with previous non-credit impairment. The non-credit loss component of OTTI (gain) loss was in an unrealized gain position due to increases in estimated fair value subsequent to initial recognition of non-credit losses on such securities.

⁽²⁾ Includes perpetual debt investments with amortized cost of $157,742 and estimated fair value of $129,358.



	December 31, 2014
	Amortized		Gross unrealized		Gross unrealized		Estimated fair value		OTTI (gain) loss
Fixed maturities:	cost		gains		losses		and carrying value		included in AOCI ⁽¹⁾
U.S. government direct obligations and U.S. agencies	$	3,478,153	$	70,597	$	1,494	$	3,547,256	$	—
Obligations of U.S. states and their subdivisions	1,885,715		287,668		899		2,172,484		—
Foreign government securities	2,455		—		4		2,451		—
Corporate debt securities ⁽²⁾	11,258,517		763,036		82,104		11,939,449		(2,228		)
Asset-backed securities	1,263,089		149,152		13,702		1,398,539		(96,603		)
Residential mortgage-backed securities	167,793		7,368		1,932		173,229		(185		)
Commercial mortgage-backed securities	886,748		32,556		1,099		918,205		—
Collateralized debt obligations	10,674		—		209		10,465		—
Total fixed maturities	$	18,953,144	$	1,310,377	$	101,443	$	20,162,078	$	(99,016	)

⁽²⁾ Includes perpetual debt investments with amortized cost of $157,742 and estimated fair value of $131,799.

See Note 8 for additional discussion regarding fair value measurements.

The amortized cost and estimated fair value of fixed maturity investments classified as available-for-sale, based on estimated cash flows, are shown in the table below. Actual maturities will likely differ from these projections because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.



	March 31, 2015
	Amortized cost		Estimated fair value
Maturing in one year or less	$	658,867	$	689,902
Maturing after one year through five years	3,603,240		3,922,438
Maturing after five years through ten years	4,427,116		4,729,717
Maturing after ten years	5,245,378		5,739,031
Mortgage-backed and asset-backed securities	3,068,107		3,286,579
Total fixed maturities	$	17,002,708	$	18,367,667

Mortgage-backed (commercial and residential) and asset-backed securities include those issued by the U.S. government and U.S. agencies.

The following table summarizes information regarding the sales of securities classified as available-for-sale:



	Three Months Ended March 31,
	2015		2014
Proceeds from sales	$	2,658,671	$	2,239,661
Gross realized gains from sales	23,351		19,773
Gross realized losses from sales	20		1,062

Mortgage loans on real estate — The following table summarizes the carrying value of the mortgage loan portfolio by component:



	March 31, 2015			December 31, 2014
Principal	$	3,433,510		$	3,356,374
Unamortized premium (discount) and fees, net	9,563			10,086
Mortgage provision allowance	(2,890		)	(2,890		)
Total mortgage loans	$	3,440,183		$	3,363,570

The recorded investment of the mortgage loan portfolio categorized as performing was $3,443,073 and $3,366,460 as of March 31, 2015 and December 31, 2014, respectively.



	Three Months Ended March 31, 2015		Year Ended December 31, 2014
	Commercial mortgages		Commercial mortgages
Allowance ending balance by basis of impairment method:
Collectively evaluated for impairment	$	2,890	$	2,890

Recorded investment balance in the mortgage loan portfolio, gross of allowance, by basis of impairment method:	$	3,443,073	$	3,366,460
Individually evaluated for impairment	12,878		12,986
Collectively evaluated for impairment	3,430,195		3,353,474

Limited partnership and other corporation interests — At March 31, 2015 and December 31, 2014, the Company had $47,481 and $49,421, respectively, invested in limited partnership and other corporation interests. Included in limited partnership interests are investments in low-income housing limited partnerships (“LIHLP”) that qualify for federal and state tax credits and ownership interests in pooled investment funds.

The Company has determined each investment in LIHLP to be considered a variable interest entity (“VIE”) but consolidation was not required because the Company has no power through voting rights or similar rights to direct the activities that most significantly impact the entities’ economic performance. As a 99% limited partner in various upper-tier LIHLPs, the Company expects to receive the tax credits allocated to the partnership and operating losses from depreciation and interest expense. The general partner is most closely involved in the development and management of the LIHLP project and has a small ownership percentage of the partnership.

The carrying value and maximum exposure to loss in relation to the activities of the VIEs was $6,308 and $7,464 at March 31, 2015 and December 31, 2014, respectively.

Special deposits and securities lending — The Company had securities on deposit with government authorities as required by certain insurance laws with fair values of $14,785 and $14,612 at March 31, 2015 and December 31, 2014, respectively.

The Company participates in a securities lending program whereby securities are loaned to third parties. Securities with a cost or amortized cost of $169,739 and $15,252 and estimated fair values of $170,659 and $15,423 were on loan under the program at March 31, 2015 and December 31, 2014, respectively. The Company received cash of $89,906 and $13,741 and securities with a fair value of $85,137 and $2,131 as collateral at March 31, 2015 and December 31, 2014, respectively.

Unrealized losses on fixed maturity investments classified as available-for-sale — The following tables summarize unrealized investment losses, including the non-credit-related portion of OTTI losses reported in AOCI, by class of investment:



	March 31, 2015
	Less than twelve months				Twelve months or longer				Total
	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
Fixed maturities:	fair value		loss and OTTI		fair value		loss and OTTI		fair value		loss and OTTI
U.S. government direct obligations and U.S. agencies	$	46,293	$	65	$	26,592	$	325	$	72,885	$	390
Obligations of U.S. states and their subdivisions	162,763		1,214		807		249		163,570		1,463
Corporate debt securities	773,294		23,499		381,146		56,219		1,154,440		79,718
Asset-backed securities	78,682		415		195,402		11,046		274,084		11,461
Residential mortgage-backed securities	3,945		10		22,622		1,499		26,567		1,509
Commercial mortgage-backed securities	60,370		699		24,939		140		85,309		839
Total fixed maturities	$	1,125,347	$	25,902	$	651,508	$	69,478	$	1,776,855	$	95,380

Total number of securities in an unrealized loss position			122				89				211



	December 31, 2014
	Less than twelve months				Twelve months or longer				Total
	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
Fixed maturities:	fair value		loss and OTTI		fair value		loss and OTTI		fair value		loss and OTTI
U.S. government direct obligations and U.S. agencies	$	566,335	$	503	$	74,322	$	991	$	640,657	$	1,494
Obligations of U.S. states and their subdivisions	18,280		218		41,064		681		59,344		899
Foreign government securities	2,451		4		—		—		2,451		4
Corporate debt securities	836,263		16,775		764,528		65,329		1,600,791		82,104
Asset-backed securities	88,312		849		200,072		12,853		288,384		13,702
Residential mortgage-backed securities	4,663		11		24,052		1,921		28,715		1,932
Commercial mortgage-backed securities	35,015		127		57,333		972		92,348		1,099
Collateralized debt obligations	10,465		209		—		—		10,465		209
Total fixed maturities	$	1,561,784	$	18,696	$	1,161,371	$	82,747	$	2,723,155	$	101,443

Total number of securities in an unrealized loss position			134				153				287

Fixed maturity investments — Total unrealized losses and OTTI decreased by $6,063, or 6%, from December 31, 2014 to March 31, 2015. The overall decrease in unrealized losses was across most asset classes and reflects lower interest rates at March 31, 2015 compared to December 31, 2014 resulting in generally higher valuations of these fixed maturity securities.

Total unrealized losses greater than twelve months decreased by $13,269 from December 31, 2014 to March 31, 2015. Corporate debt securities account for 81%, or $56,219, of the unrealized losses and OTTI greater than twelve months at March 31, 2015. Non-investment grade corporate debt securities account for $10,420 of the unrealized losses and OTTI greater than twelve months and $9,731 of the losses are on perpetual debt investments issued by investment grade rated banks in the United Kingdom. Management does not have the intent to sell these assets; therefore, an OTTI was not recognized in earnings.

Asset-backed securities account for 16% of the unrealized losses and OTTI greater than twelve months at March 31, 2015. The present value of the cash flows expected to be collected is not less than amortized cost and management does not have the intent to sell these assets; therefore, an OTTI was not recognized in earnings.

Other-than-temporary impairment recognition — The OTTI on fixed maturity securities where the loss portion is bifurcated and the credit related component is recognized in realized investment gains (losses) is summarized as follows:



	Three Months Ended March 31,
	2015			2014
Beginning balance	$	119,532		$	167,961
Initial impairments - credit loss on securities not previously impaired	450			—
Reductions due to increases in cash flows expected to be collected that are recognized over the remaining life of the security	(4,329		)	—
Ending balance	$	115,653		$	167,961