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, 2016
	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	$	2,306,623	$	89,965	$	741	$	2,395,847	$	—
Obligations of U.S. states and their subdivisions	1,942,741		290,203		1,166		2,231,778		—
Foreign government securities	2,250		—		3		2,247		—
Corporate debt securities ⁽²⁾	12,768,568		652,028		224,945		13,195,651		(1,733		)
Asset-backed securities	1,627,812		123,351		15,742		1,735,421		(81,066		)
Residential mortgage-backed securities	105,454		3,808		880		108,382		(43		)
Commercial mortgage-backed securities	1,122,101		41,831		4,068		1,159,864		—
Collateralized debt obligations	8,920		69		—		8,989		—
Total fixed maturities	$	19,884,469	$	1,201,255	$	247,545	$	20,838,179	$	(82,842	)

⁽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 $107,421.



	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	)

⁽²⁾ Includes perpetual debt investments with amortized cost of $149,062 and estimated fair value of $116,423.

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, 2016
	Amortized cost		Estimated fair value
Maturing in one year or less	$	691,217	$	716,630
Maturing after one year through five years	3,663,240		3,892,707
Maturing after five years through ten years	5,699,079		5,940,455
Maturing after ten years	5,023,933		5,288,230
Mortgage-backed and asset-backed securities	4,807,000		5,000,157
Total fixed maturities	$	19,884,469	$	20,838,179

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,
	2016		2015
Proceeds from sales	$	1,682,893	$	2,658,671
Gross realized gains from sales	19,857		23,351
Gross realized losses from sales	11		20

Included in net investment income are unrealized gains (losses) of $12,622 and $908 for the three months ended March 31, 2016, and 2015, respectively, on held-for-trading fixed maturity investments still held at period end.

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



	March 31, 2016			December 31, 2015
Principal	$	3,271,087		$	3,242,627
Unamortized premium (discount) and fees, net	7,107			7,967
Mortgage provision allowance	(2,882		)	(2,890		)
Total mortgage loans	$	3,275,312		$	3,247,704

The following table summarizes the recorded investment of the mortgage loan portfolio by risk assessment category as of March 31, 2016, and December 31, 2015, respectively.



	March 31, 2016		December 31, 2015
Performing	$	3,276,729	$	3,249,129
Non-performing	1,465		1,465
Total	$	3,278,194	$	3,250,594

The following table summarizes activity in the mortgage provision allowance:



	Three Months Ended March 31, 2016			Year Ended December 31, 2015
	Commercial mortgages			Commercial mortgages
Beginning balance	$	2,890		$	2,890
Provision increases	536			—
Provision decreases	(544		)	—
Ending balance	$	2,882		$	2,890

Allowance ending balance by basis of impairment method:
Individually evaluated for impairment	$	536		$	—
Collectively evaluated for impairment	2,346			2,890

Recorded investment balance in the mortgage loan portfolio, gross of allowance, by basis of impairment method:	$	3,278,194		$	3,250,594
Individually evaluated for impairment	13,922			14,031
Collectively evaluated for impairment	3,264,272			3,236,563

Limited partnership and other corporation interests — At March 31, 2016, and December 31, 2015, the Company had $37,077 and $40,980, respectively, invested in limited partnership and other corporation interests. Limited partnership interests represent the Company’s minority ownership interests in pooled investment funds that primarily make private equity investments across diverse industries and geographical focuses. The Company has determined its interest in each limited partnership to be considered a variable interest entity (“VIE”). Consolidation is not required as the Company is not deemed to be the primary beneficiary of the VIEs.

The carrying value and maximum exposure to loss in relation to the activities of the VIEs was $34,601 and $38,504 at March 31, 2016, and December 31, 2015, respectively.

Special deposits — The Company had securities on deposit with government authorities as required by certain insurance laws with fair values of $7,014 and $14,000 at March 31, 2016, and December 31, 2015, respectively.

Securities lending — Securities with a cost or amortized cost of $169,660 and zero, and estimated fair values of $167,578 and zero, were on loan under the program at March 31, 2016, and December 31, 2015, respectively. The Company received cash of $107,654 and zero, and securities with a fair value of $64,776 and zero, as collateral at March 31, 2016, and December 31, 2015, respectively. The Company bears the risk of any deficiency in the amount of collateral available for return to a borrower due to a loss in an approved investment.

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.



	March 31, 2016		December 31, 2015
Securities lending transactions
U.S. government direct obligations and U.S. agencies	$	7,091	$	—
Corporate debt securities	160,487		—
Total secured borrowings	$	167,578	$	—

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 condensed 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:



	March 31, 2016
	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	$	50,371	$	439	$	53,275	$	302	$	103,646	$	741
Obligations of U.S. states and their subdivisions	10,796		143		78,883		1,023		89,679		1,166
Foreign government securities	2,248		3		—		—		2,248		3
Corporate debt securities	2,052,304		74,189		865,541		150,756		2,917,845		224,945
Asset-backed securities	388,520		5,968		207,508		9,774		596,028		15,742
Residential mortgage-backed securities	4,858		9		18,107		871		22,965		880
Commercial mortgage-backed securities	143,070		2,254		61,814		1,814		204,884		4,068
Total fixed maturities	$	2,652,167	$	83,005	$	1,285,128	$	164,540	$	3,937,295	$	247,545

Total number of securities in an unrealized loss position			246				155				401



	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

Fixed maturity investments — Total unrealized losses and OTTI decreased by $111,809, or 31%, from December 31, 2015, to March 31, 2016. The overall decrease in unrealized losses was across most asset classes and reflects lower interest rates at March 31, 2016, compared to December 31, 2015, resulting in generally higher valuations of these fixed maturity securities.

Total unrealized losses greater than twelve months increased by $35,653 from December 31, 2015, to March 31, 2016. Corporate debt securities account for 92%, or $150,756, of the unrealized losses and OTTI greater than twelve months at March 31, 2016. Non-investment grade corporate debt securities account for $19,440 of the unrealized losses and OTTI greater than twelve months, and $13,166 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 6% of the unrealized losses and OTTI greater than twelve months at March 31, 2016. 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,
	2016			2015
Beginning balance	$	102,343		$	119,532
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	(3,927		)	(4,329		)
Ending balance	$	98,416		$	115,653