Note 3. Investments

Fixed Maturity and Equity Securities

The amortized cost/cost, gross unrealized gains and losses, estimated fair values and other-than-temporary impairments (“OTTI”) reflected in accumulated other comprehensive income (“AOCI”) of investments in fixed maturity and equity AFS securities at June 30, 2017 and December 31, 2016 were:

		June 30, 2017
					Gross Unrealized							Estimated
		Amortized										Fair			OTTI
		Cost/Cost			Gains			Losses				Value			in AOCI (a)
Fixed maturity AFS securities
Corporate securities	$		822,600	$		62,851	$		(1,492	)	$		883,959	$		-
Asset-backed securities			67,950			224			(255	)			67,919			-
Commercial mortgage-backed securities			72,989			1,865			(247	)			74,607			-
Residential mortgage-backed securities			61,834			5,922			(44	)			67,712			-
Municipals			907			-			(33	)			874			-
Government and government agencies
United States			297,444			56,453			(30	)			353,867			-
Foreign			24,194			1,716			(22	)			25,888			-
Total fixed maturity AFS securities	$		1,347,918	$		129,031	$		(2,123	)	$		1,474,826	$		-

Equity AFS securities
Banking securities	$		25,473	$		2,670	$		-		$		28,143	$		-
Industrial securities			5,791			-			(5	)			5,786			-
Total equity AFS securities	$		31,264	$		2,670	$		(5	)	$		33,929	$		-

	December 31, 2016
					Gross Unrealized							Estimated
		Amortized										Fair			OTTI
		Cost/Cost			Gains			Losses				Value			in AOCI (a)
Fixed maturity AFS securities
Corporate securities	$		859,028	$		56,387	$		(3,564	)	$		911,851	$		-
Asset-backed securities			53,421			15			(849	)			52,587			-
Commercial mortgage-backed securities			75,396			1,706			(589	)			76,513			-
Residential mortgage-backed securities			92,943			4,004			(770	)			96,177			(5	)
Municipals			909			-			(53	)			856			-
Government and government agencies
United States			295,581			45,798			-				341,379			-
Foreign			6,509			1,165			-				7,674			-
Total fixed maturity AFS securities	$		1,383,787	$		109,075	$		(5,825	)	$		1,487,037	$		(5	)

Equity AFS securities
Banking securities	$		25,473	$		1,721	$		(468	)	$		26,726	$		-
Industrial securities			5,791			34			-				5,825			-
Total equity AFS securities	$		31,264	$		1,755	$		(468	)	$		32,551	$		-

(a)	Represents OTTI in AOCI, which were not included in earnings. Amount excludes $3,110 and $2,446 of unrealized gains at June 30, 2017 and December 31, 2016, respectively.

Excluding investments in U.S. government and government agencies, the Company is not exposed to any significant concentration of credit risk in its fixed maturity securities portfolio.

The amortized cost and estimated fair value of fixed maturity AFS securities by investment grade at June 30, 2017 and December 31, 2016 were:

	June 30, 2017				December 31, 2016
			Estimated				Estimated
	Amortized		Fair		Amortized		Fair
	Cost		Value		Cost		Value
Investment grade	$	1,268,702	$	1,386,926	$	1,294,978	$	1,393,503
Below investment grade		79,216		87,900		88,809		93,534
Total fixed maturity AFS securities	$	1,347,918	$	1,474,826	$	1,383,787	$	1,487,037

At June 30, 2017 and December 31, 2016, the estimated fair value of fixed maturity securities rated BBB-, which is the lowest investment grade rating given by rating agencies, was $58,930 and $65,730, respectively. Below investment grade securities are speculative and are subject to significantly greater risks related to the creditworthiness of the issuers and the liquidity of the market for such securities. The Company closely monitors such investments to assess whether they are other-than-temporarily impaired.

The amortized cost and estimated fair value of fixed maturity AFS securities at June 30, 2017 and December 31, 2016 by contractual maturities were:

		June 30, 2017						December 31, 2016
					Estimated						Estimated
		Amortized			Fair			Amortized			Fair
		Cost			Value			Cost			Value
Fixed maturity AFS securities
Due in one year or less	$		78,733	$		80,116	$		56,748	$		57,489
Due after one year through five years			450,657			477,698			523,815			555,221
Due after five years through ten years			118,259			124,484			95,744			99,697
Due after ten years			497,496			582,290			485,720			549,354
	$		1,145,145	$		1,264,588	$		1,162,027	$		1,261,761
Mortgage-backed securities and other asset-backed securities	$		202,773	$		210,238	$		221,760	$		225,276
Total fixed maturity AFS securities	$		1,347,918	$		1,474,826	$		1,383,787	$		1,487,037

In the preceding table, fixed maturity securities not due at a single maturity date have been included in the year of final maturity. Actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

Unrealized Losses on Fixed Maturity and Equity Securities

The Company’s investments in fixed maturity and equity securities classified as AFS are carried at estimated fair value with unrealized gains and losses included in stockholder’s equity as a component of AOCI, net of taxes.

The estimated fair value and gross unrealized losses and OTTI related to fixed maturity and equity AFS securities aggregated by length of time that individual securities have been in a continuous unrealized loss position at June 30, 2017 and December 31, 2016 were as follows:

	June 30, 2017
					Gross
	Estimated				Unrealized
	Fair		Amortized		Losses and
	Value		Cost/Cost		OTTI (a)
Less than or equal to six months
Fixed maturity AFS securities
Corporate securities	$	3,212	$	3,288	$	(76	)
Asset-backed securities		21,820		21,842		(22	)
Commercial mortgage-backed securities		10,578		10,678		(100	)
Residential mortgage-backed securities		2,880		2,924		(44	)
Government and government agencies
United States		6,593		6,623		(30	)
Foreign		3,789		3,811		(22	)
Equity securities		5,786		5,791		(5	)
Total fixed maturity and equity AFS securities	$	54,658	$	54,957	$	(299	)
Greater than six months but less than or equal to one year
Fixed maturity AFS securities
Corporate securities	$	19,522	$	19,832	$	(310	)
Asset-backed securities		6,948		7,051		(103	)
Commercial mortgage-backed securities		13,169		13,316		(147	)
Total fixed maturity and equity AFS securities	$	39,639	$	40,199	$	(560	)
Greater than one year
Fixed maturity AFS securities
Corporate securities	$	9,383	$	10,489	$	(1,106	)
Asset-backed securities		8,997		9,127		(130	)
Residential mortgage-backed securities		9		9		-
Municipals		874		907		(33	)
Total fixed maturity and equity AFS securities	$	19,263	$	20,532	$	(1,269	)
Total fixed maturity and equity AFS securities	$	113,560	$	115,688	$	(2,128	)

	December 31, 2016
					Gross
	Estimated				Unrealized
	Fair		Amortized		Losses and
	Value		Cost/Cost		OTTI (a)
Less than or equal to six months
Fixed maturity AFS securities
Corporate securities	$	64,992	$	66,625	$	(1,633	)
Asset-backed securities		30,729		31,253		(524	)
Commercial mortgage-backed securities		30,698		31,285		(587	)
Residential mortgage-backed securities		54,987		55,690		(703	)
Equity securities - banking securities		8,213		8,500		(287	)
Total fixed maturity and equity AFS securities	$	189,619	$	193,353	$	(3,734	)
Greater than six months but less than or equal to one year
Fixed maturity AFS securities
Corporate securities	$	4,522	$	4,863	$	(341	)
Asset-backed securities		879		1,000		(121	)
Commercial mortgage-backed securities		1,010		1,012		(2	)
Residential mortgage-backed securities		212		229		(17	)
Total fixed maturity and equity AFS securities	$	6,623	$	7,104	$	(481	)
Greater than one year
Fixed maturity AFS securities
Corporate securities	$	19,541	$	21,131	$	(1,590	)
Asset-backed securities		7,978		8,182		(204	)
Residential mortgage-backed securities		2,122		2,172		(50	)
Municipals		856		909		(53	)
Equity AFS securities - banking securities		1,615		1,796		(181	)
Total fixed maturity and equity AFS securities	$	32,112	$	34,190	$	(2,078	)
Total fixed maturity and equity AFS securities	$	228,354	$	234,647	$	(6,293	)

(a)	Subsequent unrealized gains (losses) on OTTI securities are included in Net unrealized OTTI on securities in the Statements of Comprehensive Income (Loss).

The total number of securities in an unrealized loss position was 49 and 81 at June 30, 2017 and December 31, 2016, respectively. The Company held 354 and 360 total securities at June 30, 2017 and December 31, 2016, respectively.

The fair value, gross unrealized losses/the portion of OTTI recognized in OCI and the number of securities with fair value declining below amortized cost by greater than 20% and 40% by length of time that securities have been in a continuous unrealized loss position were as follows at June 30, 2017 and December 31, 2016:

	June 30, 2017							December 31, 2016
	Estimated		Gross Unrealized			Number of		Estimated			Gross Unrealized			Number of
	Fair Value		Losses/OTTI (a)			Securities		Fair Value			Losses/OTTI (a)			Securities
Decline 20% - 40%
Held greater than one year	$	1,195	$	(794	)		1	$	1,375	$		(614	)		1
Total	$	1,195	$	(794	)		1	$	1,375	$		(614	)		1

(a) Subsequent unrealized gains (losses) on OTTI securities are included in Net unrealized OTTI on securities in the Statements of Comprehensive Income (Loss).

Unrealized gains (losses) incurred during the first six months of 2017 and twelve months of 2016 were primarily due to price fluctuations resulting from changes in interest rates and credit spreads. If the Company has the intent to sell or it is more likely than not that the Company will be required to sell these securities prior to the anticipated recovery of the amortized cost, securities are written down to fair value. If cash flow models indicate a credit event will impact future cash flows, the security is impaired to discounted cash flows. For fixed maturity AFS securities, the Company does not intend to sell them, nor is it more likely than not that the Company will be required to sell them before the recovery of its amortized cost basis, and the Company expects to recover the entire cost basis of the debt securities. In making the other-than-temporary impairment assessment, the Company also considered all available information relevant to the collectability of the security, including information about past events, current conditions, and reasonable and supportable forecasts, when developing the estimate of cash flows expected to be collected. Therefore, the Company determined that these fixed maturity AFS securities were not other-than-temporarily impaired.

The components of net unrealized gains (losses) and OTTI included in AOCI, net of taxes, at June 30, 2017 and December 31, 2016 were as follows:

	June 30,			December 31,
	2017			2016
Assets
Fixed maturity AFS securities	$	126,908		$	103,250
Equity AFS securities		2,665			1,287
Cash flow hedges		2,088			(1,224	)
Value of business acquired		(30,589	)		(26,630	)
	$	101,072		$	76,683
Liabilities
Income taxes - deferred	$	(21,333	)	$	(21,333	)
Stockholder's Equity
Accumulated other comprehensive income, net of taxes	$	79,739		$	55,350

Mortgage Loans on Real Estate

Mortgage loans on real estate consist entirely of mortgages on commercial real estate. Prepayment premiums are collected when borrowers elect to prepay their debt prior to the stated maturity. There were $1,121 and $1,183 in prepayment premiums collected during the three and six months ended June 30, 2017. There were no prepayment premiums collected for the twelve months ended December 31, 2016. Prepayment premiums are included in net realized investment gains (losses), excluding OTTI losses on securities, in the Statements of Income (Loss). The Company does not accrue interest on loans ninety days past due. At June 30, 2017 and December 31, 2016, there were no commercial mortgage loans that had two or more payments delinquent.

The fair values of mortgage loans on real estate are estimated by discounting the future cash flows using the current rates at which similar loans would be made to borrowers with similar credit ratings and/or similar remaining maturities. The estimated fair value of the mortgages on commercial real estate at June 30, 2017 and December 31, 2016 was $126,881 and $115,020, respectively.

Loans are considered impaired when it is probable that, based upon current information and events, the Company will be unable to collect all amounts due under the contractual terms of the loan agreement. A valuation allowance is established when a loan is determined to be impaired for the excess carrying value of the loan over its estimated collateral value. There were no impaired mortgage loans at June 30, 2017 and December 31, 2016. For the portion of the mortgage loan portfolio without specific reserves, an allowance for credit losses is established. The change in the allowance for credit losses is reflected in net realized investment gains (losses), excluding OTTI losses on securities, in the Statements of Income (Loss).

The commercial mortgages are geographically diversified throughout the United States with the largest concentrations in Texas, Pennsylvania, Wisconsin, Florida, California, Missouri, Washington, Georgia, Virginia, Utah, Minnesota and Tennessee, which account for approximately 86% of mortgage loans at June 30, 2017.

The credit quality of commercial mortgage loans at June 30, 2017 and December 31, 2016, was as follows:

	June 30,			December 31,
Commercial	2017			2016
AAA - AA	$	43,289		$	43,047
A		58,022			55,269
BBB		22,599			17,970
Total mortgage loans on real estate	$	123,910		$	116,286
Less: allowance for credit losses		(90	)		(78	)

Total mortgage loans on real estate, net	$	123,820		$	116,208

The credit quality of the commercial mortgage loans was determined based on an internal credit rating model that assigns a letter rating to each mortgage loan in the portfolio as an indicator of the quality of the mortgage loan. The internal credit rating model was designed based on a rating agency methodology, then modified for credit risk associated with the Company’s mortgage lending process, taking into account such factors as projected future cash flows, net operating income, and collateral value. The model produces a rating score and an associated letter rating that is intended to align with S&P Global Rating Services (“S&P GRS”) ratings as closely as possible. Information supporting the risk rating process is updated at least annually. While mortgage loans with a lower rating carry a higher risk of loss, an adequate allowance for credit losses has been established to cover those risks.

Securities Lending

The following table provides a summary of the securities lending program at June 30, 2017 and December 31, 2016:

	June 30,		December 31,
	2017		2016
Payables for collateral under securities loaned	$	208,377	$	199,412
Amortized cost of securities out on loan		171,800		166,942
Estimated fair value of securities out on loan		201,685		194,996

Reverse Repurchase Agreements

The following table provides a summary of the dollar roll reverse repurchase agreements at June 30, 2017 and December 31, 2016:


	June 30,		December 31,
	2017		2016
Payables for reverse repurchase agreements	$	20,238	$	46,637
Amortized cost of securities pledged		20,009		47,021
Estimated fair value of securities pledged		20,043		46,401

Collateral Maturities of Reverse Repurchase Agreements and Securities Lending Transactions

The following tables provide a summary of maturities of collateral underlying reverse repurchase agreements and securities lending transactions at June 30, 2017 and December 31, 2016:

	June 30, 2017
	Overnight and Continuous		Up to 30 days		Total
Reverse repurchase agreements
Residential mortgage-backed securities	$	-	$	20,043	$	20,043
Total	$	-	$	20,043	$	20,043

Securities lending transactions
U.S. Treasury and agency securities	$	147,480	$	-	$	147,480
Corporate securities		47,588		-		47,588
Equity securities-banking		6,617		-		6,617
Total	$	201,685	$	-	$	201,685
Total Borrowings	$	201,685	$	20,043	$	221,728

Gross amount of recognized liabilities for reverse repurchase agreements and securities lending included on the Balance Sheets					$	228,615

	December 31, 2016
	Overnight and Continuous		Up to 30 days		Total
Reverse repurchase agreements
Residential mortgage-backed securities		-	$	46,401	$	46,401
Total	$	-	$	46,401	$	46,401

Securities lending transactions
U.S. Treasury and agency securities	$	144,705	$	-	$	144,705
Corporate securities		40,774		-		40,774
Equity securities-banking		9,517		-		9,517
Total	$	194,996	$	-	$	194,996
Total Borrowings	$	194,996	$	46,401	$	241,397

Gross amount of recognized liabilities for reverse repurchase agreements and securities lending included on the Balance Sheets					$	246,049

Derivatives and Hedge Accounting

The following table presents the notional and fair value amounts of non-qualifying hedging instruments and cash flow hedges at June 30, 2017 and December 31, 2016:

	Notional						Fair Value
		June 30,			December 31,			June 30,				December 31,
Derivative Type	2017			2016			2017				2016
Non-qualifying hedges
Short futures	$		10,972	$		25,157	$		-		$		-
Long futures			51,422			55,071			-				-
Interest rate swaps			251,000			251,000			(1,591	)			(2,799	)
Variance swaps			575			540			(3,087	)			(1,835	)
Total return swaps			247,183			1,405,253			(3,596	)			(16,487	)
Options			962,636			2,002,850			6,476				24,525
Credit default swaps			185,000			210,000			6,525				1,311
Total non-qualifying hedges	$		1,708,788	$		3,949,871	$		4,727		$		4,715
Cash flow hedges
Interest rate swaps	$		49,884	$		49,883	$		(311	)	$		(3,002	)
Total cash flow hedges	$		49,884	$		49,883	$		(311	)	$		(3,002	)
Derivative Total	$		1,758,672	$		3,999,754	$		4,416		$		1,713

The following table presents the net derivative gains (losses) recognized in the Statements of Income (Loss) for the three and six months ended June 30, 2017 and 2016:

	Net Derivative Gains (Losses) Recognized In Income
	Three Months Ended								Six Months Ended
	June 30,								June 30,
Derivative Type	2017				2016				2017				2016
Short futures	$	(3	)	$		(1,154	)	$		(727	)	$		(2,459	)
Long futures		1,497				3,138				1,752				6,991
Variance swaps		(711	)			(1,033	)			(2,340	)			(1,670	)
Total return swaps		(3,487	)			(10,996	)			(8,389	)			(17,039	)
Options		(6,879	)			(1,784	)			(23,788	)			(3,235	)
Interest rate swaps		1,840				5,079				1,211				13,771
Credit default swaps		1,203				85				1,513				347
Total	$	(6,540	)	$		(6,665	)	$		(30,768	)	$		(3,294	)

The following tables present the maximum potential amount of future payments, credit rating, and maturity dates for the credit default swaps at June 30, 2017 and December 31, 2016:

	Maximum Potential Amount
	of Future Payments		Credit Rating		Maturity Date Range
Derivative Type	June 30, 2017
Credit default swaps
Corporate debt	$	95,000		AA-A		March 2020-December 2021
Sovereign debt		90,000		AA-A		March 2018-June 2022
Credit default swaps total	$	185,000

	Maximum Potential Amount
	of Future Payments		Credit Rating		Maturity Date Range
Derivative Type	December 31, 2016
Credit default swaps
Corporate debt	$	120,000		A	June 2017-December 2020
Sovereign debt		90,000		AA-A	June 2017-December 2021
Credit default swaps total	$	210,000

The following tables present the components of the gains (losses) on derivatives that qualify as cash flow hedges for the three and six months ended June 30, 2017 and 2016:

	Gains (Losses) Recognized in				Gains (Losses) Recognized in
	OCI on Derivatives (Effective Portion)				OCI on Derivatives (Effective Portion)
	Three Months Ended				Six Months Ended
	June 30,				June 30,
	2017		2016		2017		2016
Interest rate swaps	$	2,903	$	1,803	$	3,311	$	456
Total	$	2,903	$	1,803	$	3,311	$	456

	Net Realized Gains (Losses)				Net Realized Gains (Losses)
	Recognized in Income on Derivatives (Ineffective Portion)				Recognized in Income on Derivatives (Ineffective Portion)
	Three Months Ended				Six Months Ended
	June 30,				June 30,
	2017		2016		2017		2016
Interest rate swaps	$	1	$	1	$	3	$	3
Total	$	1	$	1	$	3	$	3

	Gains (Losses) Reclassified from						Gains (Losses) Reclassified from
	AOCI into Net Investment Income (Effective Portion)						AOCI into Net Investment Income (Effective Portion)
	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2017			2016			2017			2016
Interest rate swaps	$	(373	)	$	(513	)	$	(620	)	$	(316	)
Total	$	(373	)	$	(513	)	$	(620	)	$	(316	)

All components of each derivative’s gain or loss were included in the assessment of hedge effectiveness.

At June 30, 2017, the before-tax deferred net gains (losses) on derivatives recorded in AOCI that are expected to be reclassified to the Statements of Income (Loss) during the next twelve months are ($1,241). This expectation is based on the anticipated interest payments on the hedged investments in Treasury Inflation Protection Securities that will occur over the next twelve months, at which time the Company will recognize the deferred gains (losses) as an adjustment to interest income over the term of the investment cash flows.

In addition, in order to trade futures, the Company is required to post collateral to an exchange (sometimes referred to as margin). The fair value of collateral posted in relation to the futures margin was $5,630 and $5,276 at June 30, 2017 and December 31, 2016, respectively.

Offsetting of Derivative Instruments

The Company has derivative instruments that are subject to master netting agreements. These agreements include provisions to setoff positions with the same counterparties in the event of default by one of the parties.

The following table presents the offsetting of derivative assets and liabilities at June 30, 2017 and December 31, 2016:

	June 30, 2017						December 31, 2016
Derivatives Subject to a Master Netting Arrangement or a Similar Right to Offset	Assets			Liabilities			Assets			Liabilities
Gross estimated fair value of derivatives:
OTC - Bilateral	$	14,046		$	8,040		$	37,344		$	32,832
OTC - Cleared		1,446			3,036			1,678			4,477
Total gross estimated fair value of derivatives	$	15,492		$	11,076		$	39,022		$	37,309
Amounts offset on the Balance Sheets
Gross estimated fair value of derivatives: (1)
OTC - Bilateral	$	(5,797	)	$	(5,797	)	$	(18,014	)	$	(18,014	)
OTC - Cleared		(1,446	)		(1,446	)		(1,678	)		(1,678	)
Cash collateral: (2), (3)
OTC - Bilateral		(1,805	)		-			(2,804	)		-
OTC - Cleared		-			(130	)		-			(2,452	)
Estimated fair value of derivatives presented on the Balance Sheets	$	6,444		$	3,703		$	16,526		$	15,165
Gross amounts not offset on the Balance Sheets:
Securities collateral: (4)
OTC - Bilateral	$	(5,913	)	$	(1,336	)	$	(15,222	)	$	(14,249	)
Net amount after application of master netting agreements and collateral	$	531		$	2,367		$	1,304		$	916

(1)	Estimated fair value of derivatives is limited to the amount that is subject to set-off.

(2)

The amount of cash collateral offset in the table above is limited to the net estimated fair value of derivatives after application of netting agreements. Cash collateral received for over-the-counter ("OTC") OTC-Bilateral and OTC-Cleared derivatives is included in cash and cash equivalents, short-term investments, or fixed maturity securities, and the obligation to return it, beyond what is already being setoff, is included in payables for collateral under securities loaned, reverse repurchase agreements and derivatives. At June 30, 2017, the Company received $9 of excess cash collateral. The Company had no excess cash collateral received from counterparties at December 31, 2016

(3)

The receivable for the return of cash collateral provided to the counterparty, beyond what is being setoff, is included in other assets. The amount reported in the table above does not include initial margin on exchange-traded and OTC-Cleared derivatives. At June 30, 2017 and December 31, 2016, the Company had no excess cash collateral provided to counterparties that was excluded from the table due to the foregoing limitation.

(4)

Securities collateral received or pledged by the Company is held in separate custodial accounts and is not recorded on the Balance Sheets. The amount of securities collateral offset in the table above is limited to the net estimated fair value of derivatives after application of netting agreements and cash collateral. At June 30, 2017 and December 31, 2016, the Company received excess securities collateral with an estimated fair value of $5,041 and $395, respectively, for its OTC-Bilateral derivatives, which are not included in the table above due to the foregoing limitation. At June 30, 2017 and December 31, 2016, the Company provided excess securities collateral with an estimated fair value of $1,956 and $1,878, respectively, for its OTC-Bilateral derivatives, which are not included in the table above due to the foregoing limitation. At June 30, 2017 and December 31, 2016, the Company also provided securities initial margin with an estimated fair value of $11,405 and $11,291, respectively, for its OTC-Cleared derivatives, which are not included in the table above.

There were no other derivative assets or liabilities at June 30, 2017 and December 31, 2016 that were subject to offsetting.

Net Investment Income (Loss)

Net investment income (loss) by source for the three and six months ended June 30, 2017 and 2016 was as follows:

	Three Months Ended						Six Months Ended
	June 30,						June 30,
Net investment income (loss)	2017			2016			2017			2016
Fixed maturity AFS securities	$	15,204		$	16,863		$	30,668		$	34,230
Equity AFS securities		422			538			840			1,003
Limited partnerships		279			(90	)		1,943			(2,631	)
Mortgage loans on real estate		1,400			1,264			2,863			2,467
Policy loans on insurance contracts		8,234			8,382			16,454			16,991
Derivatives		1,684			1,857			3,274			3,769
Cash and cash equivalents		633			564			907			1,015
Other		70			106			143			213
Gross investment income	$	27,926		$	29,484		$	57,092		$	57,057
Less investment expenses		(1,509	)		(1,870	)		(2,731	)		(2,991	)
Net investment income (loss)	$	26,417		$	27,614		$	54,361		$	54,066

Realized Investment Gains (Losses)

The Company considers fair value at the date of sale to be equal to the proceeds received. Proceeds and gross realized investment gains (losses) from the sale of AFS securities for the three and six months ended June 30, 2017 and 2016 were as follows:

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2017			2016			2017			2016
Proceeds	$	12,264		$	97,888		$	65,967		$	199,431
Gross realized investment gains		1,241			1,064			1,834			4,943
Gross realized investment losses		(41	)		(1	)		(557	)		(277	)

Proceeds on AFS securities sold at a realized loss		768			16,830			27,458			24,745

Net realized investment gains (losses) for the three and six months ended June 30, 2017 and 2016 were as follows:

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2017			2016			2017			2016
Fixed maturity AFS securities	$	1,200		$	(481	)	$	1,277		$	(754	)
Equity AFS securities		-			-			-			207
Mortgage loans on real estate		1,113			12			1,171			3
Adjustment related to value of business acquired		(129	)		526			(233	)		467
Net realized investment gains (losses)	$	2,184		$	57		$	2,215		$	(77	)

OTTI

The following table sets forth the amount of credit loss impairments on fixed maturity securities held by the Company, for which the non-credit portion of the OTTI loss was recognized in OCI, and the corresponding changes in such amounts at June 30, 2017 and December 31, 2016:

	June 30,			December 31,
	2017			2016
Balance at beginning of period	$	(2,040	)	$	(935	)

Additional credit loss impairments recognized in the current period on securities previously impaired through OCI		-			121
Accretion of credit loss impairments previously recognized		(564	)		(1,226	)
Balance at end of period	$	(2,604	)	$	(2,040	)

The components of OTTI reflected in the Statements of Income (Loss) for the three and six months ended June 30, 2017 and 2016 were as follows:

	Three Months Ended June 30, 2017								Six Months Ended June 30, 2017
				Net		Net OTTI						Net		Net OTTI
	OTTI			OTTI Losses		Losses			OTTI			OTTI Losses		Losses
	Losses on			Recognized		Recognized			Losses on			Recognized		Recognized
	Securities			in OCI		in Income			Securities			in OCI		in Income
Gross OTTI losses	$	-		$	-	$	-		$	-		$	-	$	-
Value of business acquired amortization		-			-		-			-			-		-
Net OTTI losses	$	-		$	-	$	-		$	-		$	-	$	-

	Three Months Ended June 30, 2016								Six Months Ended June 30, 2016
				Net		Net OTTI						Net		Net OTTI
	OTTI			OTTI Losses		Losses			OTTI			OTTI Losses		Losses
	Losses on			Recognized		Recognized			Losses on			Recognized		Recognized
	Securities			in OCI		in Income			Securities			in OCI		in Income
Gross OTTI losses	$	1,544		$	-	$	1,544		$	5,213		$	-	$	5,213
Value of business acquired amortization		(529	)		-		(529	)		(529	)		-		(529	)
Net OTTI losses	$	1,015		$	-	$	1,015		$	4,684		$	-	$	4,684