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, 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	$	3,022,279	$	47,791	$	34,958	$	3,035,112	$	—
Obligations of U.S. states and their subdivisions	1,890,568		214,411		6,317		2,098,662		—
Corporate debt securities ⁽²⁾	13,811,597		477,316		309,164		13,979,749		(1,488		)
Asset-backed securities	1,226,493		104,274		18,388		1,312,379		(72,464		)
Residential mortgage-backed securities	138,292		3,867		1,167		140,992		23
Commercial mortgage-backed securities	1,222,257		23,207		20,182		1,225,282		—
Collateralized debt obligations	361,241		339		53		361,527		—
Total fixed maturities	$	21,672,727	$	871,205	$	390,229	$	22,153,703	$	(73,929	)

⁽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 $113,239.



	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.



	December 31, 2016
	Amortized cost		Estimated fair value
Maturing in one year or less	$	668,305	$	690,369
Maturing after one year through five years	3,741,043		3,917,479
Maturing after five years through ten years	6,570,148		6,650,854
Maturing after ten years	5,088,280		5,208,071
Mortgage-backed and asset-backed securities	5,604,951		5,686,930
Total fixed maturities	$	21,672,727	$	22,153,703

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,
	2016		2015		2014
Proceeds from sales	$	4,541,303	$	4,187,547	$	2,705,999
Gross realized gains from sales	84,305		47,965		47,852
Gross realized losses from sales	16,858		6,476		1,229

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



	December 31, 2016			December 31, 2015
Principal	$	3,558,863		$	3,242,627
Unamortized premium (discount) and fees, net	5,541			7,967
Foreign exchange translation	(2,696		)	—
Mortgage provision allowance	(2,882		)	(2,890		)
Total mortgage loans	$	3,558,826		$	3,247,704

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



	December 31, 2016		December 31, 2015
Performing	$	3,560,243	$	3,249,129
Non-performing	1,465		1,465
Total	$	3,561,708	$	3,250,594

The following table summarizes activity in the mortgage provision allowance:



	Year Ended December 31,
	2016			2015		2014
	Commercial mortgages			Commercial mortgages		Commercial mortgages
Beginning balance	$	2,890		$	2,890	$	2,890
Provision increases	536			—		—
Provision decreases	(544		)	—		—
Ending balance	$	2,882		$	2,890	$	2,890

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

Recorded investment balance in the mortgage loan portfolio, gross of allowance, by basis of impairment method:	$	3,561,708		$	3,250,594	$	3,366,460
Individually evaluated for impairment	1,465			14,031		12,986
Collectively evaluated for impairment	3,560,243			3,236,563		3,353,474

Limited partnership and other corporation interests - At December 31, 2016, and 2015, the Company had $34,895 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 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 $32,444 and $38,504 at December 31, 2016, and 2015, respectively.

Special deposits - The Company had securities on deposit with government authorities as required by certain insurance laws with fair values of $7,659 and $14,000 at December 31, 2016, and 2015, respectively.

Securities lending - The Company had no securities on loan under the program, and therefore no cash or securities held as collateral, at December 31, 2016, and 2015.

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, 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	$	2,006,588	$	34,752	$	10,526	$	206	$	2,017,114	$	34,958
Obligations of U.S. states and their subdivisions	216,154		5,922		10,498		395		226,652		6,317
Corporate debt securities	4,119,630		170,453		860,153		138,711		4,979,783		309,164
Asset-backed securities	316,065		6,971		230,331		11,417		546,396		18,388
Residential mortgage-backed securities	16,962		102		14,297		1,065		31,259		1,167
Commercial mortgage-backed securities	592,508		17,535		26,068		2,647		618,576		20,182
Collateralized debt obligations	160,612		53		—		—		160,612		53
Total fixed maturities	$	7,428,519	$	235,788	$	1,151,873	$	154,441	$	8,580,392	$	390,229
Total number of securities in an unrealized loss position			610				128				738



	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 increased by $30,875, or 9%, from December 31, 2015, to December 31, 2016. The overall increase in unrealized losses was across several asset classes and reflects higher interest rates at December 31, 2016, compared to December 31, 2015, resulting in generally lower valuations of these fixed maturity securities.

Total unrealized losses greater than twelve months increased by $25,554 from December 31, 2015, to December 31, 2016. Corporate debt securities account for 90%, or $138,711, of the unrealized losses and OTTI greater than twelve months at December 31, 2016. Non-investment grade corporate debt securities account for $13,285 of the unrealized losses and OTTI greater than twelve months, and $6,791 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, 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:



	Year Ended December 31,
	2016			2015			2014
Beginning balance	$	102,343		$	119,532		$	167,961
Initial impairments - credit loss on securities not previously impaired	—			759			—
Reductions:
Due to sales, maturities, or payoffs during the period	(1,785		)	(559		)	(646		)
Due to increases in cash flows expected to be collected that are recognized over the remaining life of the security	(16,893		)	(17,389		)	(47,783		)
Ending balance	$	83,665		$	102,343		$	119,532

Net Investment Income

The following table summarizes net investment income:



	Year Ended December 31,
	2016			2015			2014
Investment income:
Fixed maturity and short-term investments	$	819,047		$	796,133		$	816,907
Mortgage loans on real estate	142,478			150,284			149,497
Policy loans	199,737			206,081			207,013
Limited partnership interests	1,759			10,462			9,128
Net interest on funds withheld balances under reinsurance agreements, related party	22,045			22,165			21,295
Derivative instruments ⁽¹⁾	100,007			78,655			39,533
Other	10,468			9,228			5,008
	1,295,541			1,273,008			1,248,381
Investment expenses	(18,982		)	(18,578		)	(19,993		)
Net investment income	$	1,276,559		$	1,254,430		$	1,228,388

⁽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,
	2016			2015		2014
Realized investment gains (losses):
Fixed maturity and short-term investments	$	87,108		$	46,027	$	54,219
Derivative instruments	(5,318		)	5,840		90,504
Mortgage loans on real estate	10,972			31,841		6,857
Other	120			2		(4,209		)
Realized investment gains (losses)	$	92,882		$	83,710	$	147,371

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.