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”):



	September 30, 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	$	1,046,224	$	81,922	$	144	$	1,128,002	$	—
Obligations of U.S. states and their subdivisions	1,928,679		322,860		329		2,251,210		—
Foreign government securities	2,167		—		3		2,164		—
Corporate debt securities ⁽²⁾	13,618,838		913,997		128,748		14,404,087		(1,650		)
Asset-backed securities	1,473,550		133,681		10,569		1,596,662		(77,118		)
Residential mortgage-backed securities	93,656		3,389		328		96,717		(33		)
Commercial mortgage-backed securities	1,162,680		56,854		2,456		1,217,078		—
Collateralized debt obligations	130,093		166		38		130,221		—
Total fixed maturities	$	19,455,887	$	1,512,869	$	142,615	$	20,826,141	$	(78,801	)

⁽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 $135,187 and estimated fair value of $111,978.



	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.



	September 30, 2016
	Amortized cost		Estimated fair value
Maturing in one year or less	$	654,368	$	680,991
Maturing after one year through five years	3,780,675		4,030,915
Maturing after five years through ten years	6,312,627		6,719,852
Maturing after ten years	5,138,873		5,613,359
Mortgage-backed and asset-backed securities	3,569,344		3,781,024
Total fixed maturities	$	19,455,887	$	20,826,141

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 September 30,				Nine Months Ended September 30,
	2016		2015		2016		2015
Proceeds from sales	$	421,245	$	192,100	$	3,777,445	$	3,187,977
Gross realized gains from sales	8,487		6,632		55,154		38,567
Gross realized losses from sales	24		478		170		802

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



	September 30, 2016			December 31, 2015
Principal	$	3,565,454		$	3,242,627
Unamortized premium (discount) and fees, net	6,530			7,967
Foreign exchange translation	(988		)	—
Mortgage provision allowance	(2,882		)	(2,890		)
Total mortgage loans	$	3,568,114		$	3,247,704

The following table summarizes the recorded investment of the mortgage loan portfolio by risk assessment category as of September 30, 2016, and December 31, 2015, respectively.



	September 30, 2016		December 31, 2015
Performing	$	3,569,531	$	3,249,129
Non-performing	1,465		1,465
Total	$	3,570,996	$	3,250,594

The following table summarizes activity in the mortgage provision allowance:



	Nine Months Ended September 30, 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:	$	3,570,996		$	3,250,594
Individually evaluated for impairment	4,039			14,031
Collectively evaluated for impairment	3,566,957			3,236,563

Limited partnership and other corporation interests — At September 30, 2016, and December 31, 2015, the Company had $35,935 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 $33,484 and $38,504 at September 30, 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 $8,146 and $14,000 at September 30, 2016, and December 31, 2015, respectively.

Securities lending — Securities with a cost or amortized cost of $156,098 and estimated fair values of $160,351 were on loan under the program at September 30, 2016. There were no securities on loan at December 31, 2015. The Company received cash of $99,404 and securities with a fair value of $66,259 as collateral at September 30, 2016. 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.

Under the securities lending program the collateral pledged is, by definition, the securities loaned against the cash borrowed. The following table summarizes the cash collateral liability under the securities lending program, by class of collateral pledged:



	September 30, 2016		December 31, 2015
Cash collateral liability by class of loaned security
U.S. government direct obligations and U.S. agencies	$	6,220	$	—
Foreign government securities	1,063		—
Corporate debt securities	92,121		—
Total	$	99,404	$	—

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:



	September 30, 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	$	15,444	$	21	$	11,155	$	123	$	26,599	$	144
Obligations of U.S. states and their subdivisions	8,841		110		10,656		219		19,497		329
Foreign government securities	2,164		3		—		—		2,164		3
Corporate debt securities	835,440		26,089		876,692		102,659		1,712,132		128,748
Asset-backed securities	338,576		3,289		208,678		7,280		547,254		10,569
Residential mortgage-backed securities	7,145		4		16,106		324		23,251		328
Commercial mortgage-backed securities	113,741		889		27,563		1,567		141,304		2,456
Collateralized debt obligations	45,552		38		—		—		45,552		38
Total fixed maturities	$	1,366,903	$	30,443	$	1,150,850	$	112,172	$	2,517,753	$	142,615

Total number of securities in an unrealized loss position			136				124				260



	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 $216,739, or 60%, from December 31, 2015, to September 30, 2016. The majority, or $200,024, of the decrease was in the less than twelve months category. The overall decrease in unrealized losses was across all asset classes and reflects lower interest rates at September 30, 2016, compared to December 31, 2015, resulting in generally higher valuations of these fixed maturity securities.

Total unrealized losses greater than twelve months decreased by $16,715 from December 31, 2015, to September 30, 2016. Corporate debt securities account for 92%, or $102,659, of the unrealized losses and OTTI greater than twelve months at September 30, 2016. Non-investment grade corporate debt securities account for $13,441 of the unrealized losses and OTTI greater than twelve months, and $7,572 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 September 30, 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 September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
Beginning balance	$	94,687		$	106,913		$	102,343		$	119,532
Initial impairments - credit loss on securities not previously impaired	—			—			—			450
Reductions:
Due to sales, maturities or payoffs during the period	—			(521		)	—			(521		)
Due to increases in cash flows expected to be collected that are recognized over the remaining life of the security	(4,405		)	(13,057		)	(12,061		)	(26,126		)
Ending balance	$	90,282		$	93,335		$	90,282		$	93,335