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”):



	March 31, 2018
	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	$	1,392,346	$	32,603	$	25,591	$	1,399,358	$	—
Obligations of U.S. states and their subdivisions	1,877,627		186,166		3,226		2,060,567		—
Corporate debt securities ⁽²⁾	15,555,511		380,876		246,981		15,689,406		(887		)
Asset-backed securities	1,592,351		76,838		18,172		1,651,017		(32,154		)
Residential mortgage-backed securities	137,413		2,278		1,109		138,582		(110		)
Commercial mortgage-backed securities	1,374,477		6,728		32,708		1,348,497		—
Collateralized debt obligations	891,546		4,785		1		896,330		—
Total fixed maturities	$	22,821,271	$	690,274	$	327,788	$	23,183,757	$	(33,151	)

⁽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 $88,877.



	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	)

⁽²⁾ Includes perpetual debt investments with amortized cost of $89,267 and estimated fair value of $87,348.

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.



	March 31, 2018
	Amortized cost		Estimated fair value
Maturing in one year or less	$	813,963	$	826,233
Maturing after one year through five years	3,808,805		3,869,012
Maturing after five years through ten years	8,164,513		8,147,763
Maturing after ten years	4,993,140		5,270,972
Mortgage-backed and asset-backed securities	5,040,850		5,069,777
Total fixed maturities	$	22,821,271	$	23,183,757

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 March 31,
	2018		2017
Proceeds from sales	$	966,420	$	1,580,522
Gross realized gains from sales	12,274		12,433
Gross realized losses from sales	6,283		15,257

Mortgage loans on real estate — The recorded investment of the mortgage loan portfolio categorized as performing was $4,152,533 and $4,005,960 as of March 31, 2018 and December 31, 2017, respectively.

The following table summarizes activity in the mortgage provision allowance:



	Three Months Ended March 31, 2018		Year Ended December 31, 2017
	Commercial mortgages		Commercial mortgages
Beginning balance	$	773	$	2,882
Provision increases	—		157
Charge-off	—		(663		)
Recovery	—		(30		)
Provision decreases	—		(1,573		)
Ending balance	$	773	$	773

Allowance ending balance by basis of impairment method:
Collectively evaluated for impairment	773		773

Recorded investment balance in the mortgage loan portfolio, gross of allowance, by basis of impairment method:	$	4,152,533	$	4,005,960
Individually evaluated for impairment	2,871		2,942
Collectively evaluated for impairment	4,149,662		4,003,018

Limited partnership 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 $53,120 and $45,540 at March 31, 2018 and December 31, 2017, respectively.

Securities lending — Securities with a cost or amortized cost of $128,151 and estimated fair values of $122,278 were on loan under the program at March 31, 2018. There were no securities on loan at December 31, 2017. The Company received cash of $95,024 and securities with a fair value of $31,424 as collateral at March 31, 2018. 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 $95,024, 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:



	March 31, 2018
	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	$	735,249	$	19,678	$	151,508	$	5,913	$	886,757	$	25,591
Obligations of U.S. states and their subdivisions	94,712		1,113		37,455		2,113		132,167		3,226
Corporate debt securities	6,254,337		140,152		1,667,376		106,829		7,921,713		246,981
Asset-backed securities	667,026		10,231		209,018		7,941		876,044		18,172
Residential mortgage-backed securities	81,291		411		10,464		698		91,755		1,109
Commercial mortgage-backed securities	778,597		15,656		287,246		17,052		1,065,843		32,708
Collateralized debt obligations	21,000		1		—		—		21,000		1
Total fixed maturities	$	8,632,212	$	187,242	$	2,363,067	$	140,546	$	10,995,279	$	327,788
Total number of securities in an unrealized loss position			808				271				1,079



	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

Fixed maturity investments — Total unrealized losses and OTTI increased by $184,024, or 128%, from December 31, 2017 to March 31, 2018. The majority, or $157,770, of the increase was in the less than twelve months category. The overall increase in unrealized losses was across most asset classes and reflects higher interest rates at March 31, 2018, compared to December 31, 2017, resulting in generally lower valuations of these fixed maturity securities.

Total unrealized losses greater than twelve months increased by $26,254 from December 31, 2017 to March 31, 2018. Corporate debt securities account for 76%, or $106,829, of the unrealized losses and OTTI greater than twelve months at March 31, 2018. Non-investment grade corporate debt securities account for $7,612 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-backed securities account for 18% of the unrealized losses and OTTI greater than twelve months at March 31, 2018. 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 investment (losses) gains is summarized as follows:



	Three Months Ended March 31,
	2018			2017
Beginning balance	$	62,231		$	83,665
Reductions:
Due to sales, maturities or payoffs during the period	(1,510		)	—
Due to increases in cash flows expected to be collected that are recognized over the remaining life of the security	(7,946		)	(3,306		)
Ending balance	$	52,775		$	80,359