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, 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	$	1,837,748	$	41,777	$	7,883	$	1,871,642	$	—
Obligations of U.S. states and their subdivisions	1,872,120		220,507		1,655		2,090,972		—
Corporate debt securities ⁽²⁾	15,234,473		581,991		110,377		15,706,087		(1,018		)
Asset-backed securities	1,622,806		105,301		10,131		1,717,976		(56,735		)
Residential mortgage-backed securities	63,187		2,446		649		64,984		(140		)
Commercial mortgage-backed securities	1,352,906		17,692		12,989		1,357,609		—
Collateralized debt obligations	779,722		4,227		80		783,869		—
Total fixed maturities	$	22,762,962	$	973,941	$	143,764	$	23,593,139	$	(57,893	)

⁽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 $89,267 and estimated fair value of $87,348.



	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 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, 2017
	Amortized cost		Estimated fair value
Maturing in one year or less	$	721,952	$	735,235
Maturing after one year through five years	3,775,332		3,895,328
Maturing after five years through ten years	7,894,918		8,085,972
Maturing after ten years	5,064,983		5,455,996
Mortgage-backed and asset-backed securities	5,305,777		5,420,608
Total fixed maturities	$	22,762,962	$	23,593,139

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,
	2017		2016		2015
Proceeds from sales	$	3,933,887	$	4,541,303	$	4,187,547
Gross realized gains from sales	64,885		84,305		47,965
Gross realized losses from sales	30,991		16,858		6,476

Mortgage loans on real estate - The following table summarizes the recorded investment of the mortgage loan portfolio by risk assessment category as of December 31, 2017, and 2016, respectively.



	December 31, 2017		December 31, 2016
Performing	$	4,005,960	$	3,560,243
Non-performing	—		1,465
Total	$	4,005,960	$	3,561,708

The following table summarizes activity in the mortgage provision allowance:



	Year Ended December 31,
	2017			2016			2015
	Commercial mortgages			Commercial mortgages			Commercial mortgages
Beginning balance	$	2,882		$	2,890		$	2,890
Provision increases	157			536			—
Charge-off	(663		)	—			—
Recovery	(30		)	—			—
Provision decreases	(1,573		)	(544		)	—
Ending balance	$	773		$	2,882		$	2,890

Allowance ending balance by basis of impairment method:
Individually evaluated for impairment	$	—		$	536		$	—
Collectively evaluated for impairment	773			2,346			2,890

Recorded investment balance in the mortgage loan portfolio, gross of allowance, by basis of impairment method:	$	4,005,960		$	3,561,708		$	3,250,594
Individually evaluated for impairment	2,942			1,465			14,031
Collectively evaluated for impairment	4,003,018			3,560,243			3,236,563

Limited partnership and other corporation interests - At December 31, 2017, and 2016, the Company had $45,540 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 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 $45,540 and $32,444 at December 31, 2017 and 2016, 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, 2017, and 2016.

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, 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	$	755,861	$	4,159	$	230,447	$	3,724	$	986,308	$	7,883
Obligations of U.S. states and their subdivisions	24,908		180		37,012		1,475		61,920		1,655
Corporate debt securities	2,229,585		19,568		2,036,323		90,809		4,265,908		110,377
Asset-backed securities	544,778		3,011		245,341		7,120		790,119		10,131
Residential mortgage-backed securities	4,405		23		11,416		626		15,821		649
Commercial mortgage-backed securities	342,820		2,451		295,164		10,538		637,984		12,989
Collateralized debt obligations	7,277		80		—		—		7,277		80
Total fixed maturities	$	3,909,634	$	29,472	$	2,855,703	$	114,292	$	6,765,337	$	143,764
Total number of securities in an unrealized loss position			368				293				661



	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 $246,465, or 63%, from December 31, 2016, to December 31, 2017. The majority, or $206,316, of the decrease was in the less than twelve months category. The overall decrease in unrealized losses was across several asset classes and reflects lower interest rates at December 31, 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 $40,149 from December 31, 2016, to December 31, 2017. Corporate debt securities account for 80%, or $90,809, of the unrealized losses and OTTI greater than twelve months at December 31, 2017. Non-investment grade corporate debt securities account for $6,244 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 and commercial mortgage-backed securities account for 15% of the unrealized losses and OTTI greater than twelve months at December 31, 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:



	Year Ended December 31,
	2017			2016			2015
Beginning balance	$	83,665		$	102,343		$	119,532
Initial impairments - credit loss on securities not previously impaired	—			—			759
Reductions:
Due to sales, maturities, or payoffs during the period	—			(1,785		)	(559		)
Due to increases in cash flows expected to be collected that are recognized over the remaining life of the security	(21,434		)	(16,893		)	(17,389		)
Ending balance	$	62,231		$	83,665		$	102,343

Net Investment Income

The following table summarizes net investment income:



	Year Ended December 31,
	2017			2016			2015
Investment income:
Fixed maturity and short-term investments	$	890,593		$	819,047		$	796,133
Mortgage loans on real estate	163,361			142,478			150,284
Policy loans	199,383			199,737			206,081
Limited partnership and other corporation interests	1,812			1,759			10,462
Net interest on funds withheld balances under reinsurance agreements, related party	21,813			22,045			22,165
Derivative instruments ⁽¹⁾	(48,684		)	100,007			78,655
Other	11,176			10,468			9,228
	1,239,454			1,295,541			1,273,008
Investment expenses	(19,401		)	(18,982		)	(18,578		)
Net investment income	$	1,220,053		$	1,276,559		$	1,254,430

⁽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,
	2017		2016			2015
Realized investment gains (losses):
Fixed maturity and short-term investments	$	13,443	$	87,108		$	46,027
Derivative instruments	8,969		(5,318		)	5,840
Mortgage loans on real estate	13,583		10,972			31,841
Limited partnership and other corporation interests	10,383		—			—
Other	25		120			2
Realized investment gains (losses)	$	46,403	$	92,882		$	83,710

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.