Summary of Investments

The following tables summarize fixed maturity investments classified as available-for-sale and the non-credit-related component of OTTI in AOCI:



	December 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	$	3,291,167	$	55,193	$	4,608	$	3,341,752	$	—
Obligations of U.S. states and their subdivisions	1,988,214		238,862		7,903		2,219,173		50
Foreign government securities	2,291		—		5		2,286		—
Corporate debt securities ⁽²⁾	12,388,886		437,207		320,381		12,505,712		(1,810		)
Asset-backed securities	1,196,326		128,406		13,362		1,311,370		(86,474		)
Residential mortgage-backed securities	122,146		4,734		1,508		125,372		(123		)
Commercial mortgage-backed securities	1,009,320		19,117		11,529		1,016,908		—
Collateralized debt obligations	9,112		—		58		9,054		—
Total fixed maturities	$	20,007,462	$	883,519	$	359,354	$	20,531,627	$	(88,357	)

⁽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 $149,062 and estimated fair value of $116,423.



	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.



	December 31, 2015
	Amortized cost		Estimated fair value
Maturing in one year or less	$	639,396	$	663,243
Maturing after one year through five years	3,585,421		3,779,455
Maturing after five years through ten years	5,394,204		5,439,202
Maturing after ten years	5,126,013		5,240,709
Mortgage-backed and asset-backed securities	5,262,428		5,409,018
Total fixed maturities	$	20,007,462	$	20,531,627

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:



	Year Ended December 31,
	2015		2014		2013
Proceeds from sales	$	4,187,547	$	2,705,999	$	2,518,568
Gross realized gains from sales	47,965		47,852		71,758
Gross realized losses from sales	6,476		1,229		27,792

Included in net investment income are unrealized gains (losses) of $(2,241), $3,119, and $(9,447) on held-for-trading fixed maturity investments still held at December 31, 2015, 2014, and 2013, respectively.

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



	December 31, 2015			December 31, 2014
Principal	$	3,242,627		$	3,356,374
Unamortized premium (discount) and fees, net	7,967			10,086
Mortgage provision allowance	(2,890		)	(2,890		)
Total mortgage loans	$	3,247,704		$	3,363,570

The following table summarizes the recorded investment of the mortgage loan portfolio by risk assessment category as of December 31, 2015, and 2014, respectively.



	December 31, 2015		December 31, 2014
Performing	$	3,249,129	$	3,366,460
Non-performing	1,465		—
Total	$	3,250,594	$	3,366,460

The following table summarizes activity in the mortgage provision allowance:



	Year Ended December 31,
	2015		2014		2013
	Commercial mortgages		Commercial mortgages		Commercial mortgages
Beginning balance	$	2,890	$	2,890	$	2,890
Provision increases	—		—		273
Charge-off	—		—		(273		)
Recovery	—		—		—
Provision decreases	—		—		—
Ending balance	$	2,890	$	2,890	$	2,890

Allowance ending balance by basis of impairment method:
Collectively evaluated for impairment	$	2,890	$	2,890	$	2,890

Recorded investment balance in the mortgage loan portfolio, gross of allowance, by basis of impairment method:	$	3,250,594	$	3,366,460	$	3,137,145
Individually evaluated for impairment	14,031		12,986		13,906
Collectively evaluated for impairment	3,236,563		3,353,474		3,123,239

Limited partnership and other corporation interests - At December 31, 2015, and 2014, the Company had $40,980 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 VIE but consolidation is 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 $2,728 and $7,464 at December 31, 2015, and 2014, respectively.

Special deposits - The Company had securities on deposit with government authorities as required by certain insurance laws with fair values of $14,000 and $14,612 at December 31, 2015, and 2014, respectively.

Securities lending - Securities with a cost or amortized cost of zero and $15,252 and estimated fair values of zero and $15,423 were on loan under the program at December 31, 2015, and 2014, respectively. The Company received cash of zero and $13,741 and securities with a fair value of zero and $2,131 as collateral at December 31, 2015, and 2014, respectively.

The following table summarizes the collateral pledged by the Company under the securities lending program, by class of investment. Under the securities lending program the collateral pledged is, by definition, the securities loaned against the assets borrowed.



	December 31, 2015		December 31, 2014
Securities lending transactions
U.S. government direct obligations and U.S. agencies	$	—	$	11,148
Corporate debt securities	—		4,275
Total secured borrowings	$	—	$	15,423

The Company’s securities lending agreements are open agreements, meaning the borrower can return and the Company can recall the loaned securities at any time. The assets and liabilities associated with securities lending program are not subject to master netting arrangements and are not offset in the consolidated balance sheets.

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:



	December 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	$	1,357,822	$	4,101	$	23,604	$	507	$	1,381,426	$	4,608
Obligations of U.S. states and their subdivisions	267,581		7,903		—		—		267,581		7,903
Foreign government securities	2,286		5		—		—		2,286		5
Corporate debt securities	4,412,965		202,874		552,791		117,507		4,965,756		320,381
Asset-backed securities	247,082		4,372		182,404		8,990		429,486		13,362
Residential mortgage-backed securities	—		—		18,625		1,508		18,625		1,508
Commercial mortgage-backed securities	429,175		11,154		44,498		375		473,673		11,529
Collateralized debt obligations	9,054		58		—		—		9,054		58
Total fixed maturities	$	6,725,965	$	230,467	$	821,922	$	128,887	$	7,547,887	$	359,354
Total number of securities in an unrealized loss position			558				106				664



	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 increased by $257,911, or 254%, from December 31, 2014, to December 31, 2015. The increase in unrealized losses was within corporate debt securities which have been influenced by market conditions with widening credit spreads resulting in generally lower valuations of these fixed maturity securities.

Total unrealized losses greater than twelve months increased by $46,140 from December 31, 2014, to December 31, 2015. Corporate debt securities account for 91%, or $117,507, of the unrealized losses and OTTI greater than twelve months at December 31, 2015. Non-investment grade corporate debt securities account for $14,096 of the unrealized losses and OTTI greater than twelve months, and $10,222 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 7% of the unrealized losses and OTTI greater than twelve months at December 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:



	Year Ended December 31,
	2015			2014			2013
Beginning balance	$	119,532		$	167,961		$	167,788
Additions:
Initial impairments - credit loss on securities not previously impaired	759			—			—
Credit loss recognized on securities previously impaired	—			—			173
Reductions:
Due to sales, maturities, or payoffs during the period	(559		)	(646		)	—
Due to increases in cash flows expected to be collected that are recognized over the remaining life of the security	(17,389		)	(47,783		)	—
Ending balance	$	102,343		$	119,532		$	167,961

Net Investment Income

The following table summarizes net investment income:



	Year Ended December 31,
	2015			2014			2013
Investment income:
Fixed maturity and short-term investments	$	796,133		$	816,907		$	766,367
Mortgage loans on real estate	150,284			149,497			147,944
Policy loans	206,081			207,013			206,718
Limited partnership interests	10,462			9,128			9,131
Net interest on funds withheld balances under reinsurance agreements, related party	22,165			21,295			20,876
Derivative instruments ⁽¹⁾	78,655			39,533			(44,610		)
Other	9,228			5,008			3,321
	1,273,008			1,248,381			1,109,747
Investment expenses	(18,578		)	(19,993		)	(18,358		)
Net investment income	$	1,254,430		$	1,228,388		$	1,091,389

⁽¹⁾ Includes gains (losses) on the hedged asset for fair value hedges.

Realized Investment Gains (Losses)

The following table summarizes realized investment gains (losses):



	Year Ended December 31,
	2015		2014			2013
Realized investment gains (losses):
Fixed maturity and short-term investments	$	46,027	$	54,219		$	37,312
Derivative instruments	5,840		90,504			(62,077		)
Mortgage loans on real estate	31,841		6,857			10,895
Other	2		(4,209		)	(266		)
Realized investment gains (losses)	$	83,710	$	147,371		$	(14,136	)

Included in net investment income and realized investment gains (losses) are amounts allocable to the participating fund account. This allocation is based upon the activity in a specific block of investments that are segmented for the benefit of the participating fund account.