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, 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	$	1,502,617	$	49,176	$	8,333	$	1,543,460	$	—
Obligations of U.S. states and their subdivisions	1,884,136		228,301		1,619		2,110,818		—
Corporate debt securities ⁽²⁾	14,991,367		622,399		118,566		15,495,200		(1,088		)
Asset-backed securities	1,578,590		110,333		12,173		1,676,750		(65,696		)
Residential mortgage-backed securities	68,946		2,618		645		70,919		(141		)
Commercial mortgage-backed securities	1,375,325		22,547		10,920		1,386,952		—
Collateralized debt obligations	724,967		3,832		29		728,770		—
Total fixed maturities	$	22,125,948	$	1,039,206	$	152,285	$	23,012,869	$	(66,925	)

⁽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 $111,141.



	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.



	September 30, 2017
	Amortized cost		Estimated fair value
Maturing in one year or less	$	796,697	$	814,539
Maturing after one year through five years	3,998,273		4,166,545
Maturing after five years through ten years	7,432,248		7,650,580
Maturing after ten years	5,000,632		5,356,030
Mortgage-backed and asset-backed securities	4,898,098		5,025,175
Total fixed maturities	$	22,125,948	$	23,012,869

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,
	2017		2016		2017		2016
Proceeds from sales	$	339,051	$	421,245	$	2,810,599	$	3,777,445
Gross realized gains from sales	8,512		8,487		29,433		55,154
Gross realized losses from sales	2,993		24		24,330		170

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



	September 30, 2017			December 31, 2016
Principal	$	3,936,617		$	3,558,863
Unamortized premium (discount) and fees, net	4,244			5,541
Foreign exchange translation	3,000			(2,696		)
Mortgage provision allowance	(773		)	(2,882		)
Total mortgage loans	$	3,943,088		$	3,558,826

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



	September 30, 2017		December 31, 2016
Performing	$	3,943,861	$	3,560,243
Non-performing	—		1,465
Total	$	3,943,861	$	3,561,708

The following table summarizes activity in the mortgage provision allowance:



	Nine Months Ended September 30, 2017			Year Ended December 31, 2016
	Commercial mortgages			Commercial mortgages
Beginning balance	$	2,882		$	2,890
Provision increases	157			536
Charge-off	(663		)	—
Recovery	(30		)	—
Provision decreases	(1,573		)	(544		)
Ending balance	$	773		$	2,882

Allowance ending balance by basis of impairment method:
Individually evaluated for impairment	$	—		$	536
Collectively evaluated for impairment	773			2,346

Recorded investment balance in the mortgage loan portfolio, gross of allowance, by basis of impairment method:	$	3,943,861		$	3,561,708
Individually evaluated for impairment	—			1,465
Collectively evaluated for impairment	3,943,861			3,560,243

Limited partnership and other corporation interests — At September 30, 2017 and December 31, 2016, the Company had $45,117 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 $42,734 and $32,444 at September 30, 2017, and December 31, 2016, respectively.

Securities lending — Securities with a cost or amortized cost of $105,952 and estimated fair values of $103,921 were on loan under the program at September 30, 2017. There were no securities on loan at December 31, 2016. The Company received cash of $74,795 and securities with a fair value of $32,393 as collateral at September 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 cash collateral liability under the securities lending program is $74,795, and class of securities loaned consists entirely of Corporate debt securities.

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, 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	$	631,467	$	8,156	$	11,037	$	177	$	642,504	$	8,333
Obligations of U.S. states and their subdivisions	43,583		726		18,093		893		61,676		1,619
Corporate debt securities	2,401,845		35,750		1,360,880		82,816		3,762,725		118,566
Asset-backed securities	464,858		2,246		224,740		9,927		689,598		12,173
Residential mortgage-backed securities	—		—		12,383		645		12,383		645
Commercial mortgage-backed securities	488,610		5,851		102,235		5,069		590,845		10,920
Collateralized debt obligations	77,015		29		—		—		77,015		29
Total fixed maturities	$	4,107,378	$	52,758	$	1,729,368	$	99,527	$	5,836,746	$	152,285

Total number of securities in an unrealized loss position			397				169				566



	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 $237,944, or 61%, from December 31, 2016, to September 30, 2017. The majority, or $183,030, 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, 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 $54,914 from December 31, 2016, to September 30, 2017. Corporate debt securities account for 83%, or $82,816, of the unrealized losses and OTTI greater than twelve months at September 30, 2017. Non-investment grade corporate debt securities account for $5,693 of the unrealized losses and OTTI greater than twelve months. 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 September 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 September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Beginning balance	$	77,411		$	94,687		$	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	(5,273		)	(4,405		)	(11,527		)	(12,061		)
Ending balance	$	72,138		$	90,282		$	72,138		$	90,282