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”):



	June 30, 2017
	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	$	1,389,029	$	51,604	$	8,998	$	1,431,635	$	—
Obligations of U.S. states and their subdivisions	1,879,906		230,856		2,195		2,108,567		—
Corporate debt securities ⁽²⁾	14,559,716		617,225		150,546		15,026,395		(1,167		)
Asset-backed securities	1,624,832		112,104		14,758		1,722,178		(69,573		)
Residential mortgage-backed securities	73,038		2,849		797		75,090		(135		)
Commercial mortgage-backed securities	1,286,766		22,924		12,003		1,297,687		—
Collateralized debt obligations	579,217		1,780		31		580,966		—
Total fixed maturities	$	21,392,504	$	1,039,342	$	189,328	$	22,242,518	$	(70,875	)

⁽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 $115,037 and estimated fair value of $108,631.



	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	)

⁽²⁾ Includes perpetual debt investments with amortized cost of $135,187 and estimated fair value of $113,239.

See Note 7 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.



	June 30, 2017
	Amortized cost		Estimated fair value
Maturing in one year or less	$	820,721	$	836,028
Maturing after one year through five years	3,782,417		3,958,581
Maturing after five years through ten years	7,151,808		7,354,724
Maturing after ten years	5,035,008		5,366,623
Mortgage-backed and asset-backed securities	4,602,550		4,726,562
Total fixed maturities	$	21,392,504	$	22,242,518

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 June 30,				Six Months Ended June 30,
	2017		2016		2017		2016
Proceeds from sales	$	891,026	$	1,673,307	$	2,471,548	$	3,356,200
Gross realized gains from sales	8,488		26,810		20,921		46,667
Gross realized losses from sales	6,080		135		21,337		146

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



	June 30, 2017			December 31, 2016
Principal	$	3,920,498		$	3,558,863
Unamortized premium (discount) and fees, net	4,615			5,541
Foreign exchange translation	952			(2,696		)
Mortgage provision allowance	(1,467		)	(2,882		)
Total mortgage loans	$	3,924,598		$	3,558,826

The following table summarizes the recorded investment of the mortgage loan portfolio by risk assessment category as of June 30, 2017, and December 31, 2016, respectively:



	June 30, 2017		December 31, 2016
Performing	$	3,924,600	$	3,560,243
Non-performing	1,465		1,465
Total	$	3,926,065	$	3,561,708

The following table summarizes activity in the mortgage provision allowance:



	Six Months Ended June 30, 2017			Year Ended December 31, 2016
	Commercial mortgages			Commercial mortgages
Beginning balance	$	2,882		$	2,890
Provision increases	158			536
Provision decreases	(1,573		)	(544		)
Ending balance	$	1,467		$	2,882

Allowance ending balance by basis of impairment method:
Individually evaluated for impairment	$	693		$	536
Collectively evaluated for impairment	774			2,346

Recorded investment balance in the mortgage loan portfolio, gross of allowance, by basis of impairment method:	$	3,926,065		$	3,561,708
Individually evaluated for impairment	1,465			1,465
Collectively evaluated for impairment	3,924,600			3,560,243

Limited partnership and other corporation interests — At June 30, 2017 and December 31, 2016, the Company had $37,876 and $34,895, 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 $35,492 and $32,444 at June 30, 2017, and December 31, 2016, respectively.

Securities lending — Securities with a cost or amortized cost of $124,185 and estimated fair values of $121,582 were on loan under the program at June 30, 2017. There were no securities on loan at December 31, 2016. The Company received cash of $77,614 and securities with a fair value of $48,214 as collateral at June 30, 2017. 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 securities loaned:



	June 30, 2017		December 31, 2016
Cash collateral liability by class of loaned security
U.S. government direct obligations and U.S. agencies	$	1,541	$	—
Corporate debt securities	76,073		—
Total	$	77,614	$	—

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:



	June 30, 2017
	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	$	688,677	$	8,806	$	9,694	$	192	$	698,371	$	8,998
Obligations of U.S. states and their subdivisions	59,432		1,633		10,316		562		69,748		2,195
Corporate debt securities	2,622,456		64,428		973,238		86,118		3,595,694		150,546
Asset-backed securities	480,642		4,383		261,342		10,375		741,984		14,758
Residential mortgage-backed securities	—		—		12,991		797		12,991		797
Commercial mortgage-backed securities	469,738		10,026		35,901		1,977		505,639		12,003
Collateralized debt obligations	65,205		31		—		—		65,205		31
Total fixed maturities	$	4,386,150	$	89,307	$	1,303,482	$	100,021	$	5,689,632	$	189,328

Total number of securities in an unrealized loss position			419				128				547



	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

Fixed maturity investments — Total unrealized losses and OTTI decreased by $200,901, or 52%, from December 31, 2016, to June 30, 2017. The majority, or $146,481, 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 June 30, 2017, compared to December 31, 2016, resulting in generally higher valuations of these fixed maturity securities.

Total unrealized losses greater than twelve months decreased by $54,420 from December 31, 2016, to June 30, 2017. Corporate debt securities account for 86%, or $86,118, of the unrealized losses and OTTI greater than twelve months at June 30, 2017. Non-investment grade corporate debt securities account for $7,871 of the unrealized losses and OTTI greater than twelve months, and $1,504 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 10% of the unrealized losses and OTTI greater than twelve months at June 30, 2017. 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 June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Beginning balance	$	80,359		$	98,416		$	83,665		$	102,343
Reductions due to increases in cash flows expected to be collected that are recognized over the remaining life of the security	(2,948		)	(3,729		)	(6,254		)	(7,656		)
Ending balance	$	77,411		$	94,687		$	77,411		$	94,687