Investments

12 Months Ended

Dec. 31, 2015

Investments [Abstract]

Investments

INVESTMENTS

Fixed Maturity and Equity Securities Available-for-Sale

The following tables provide information relating to investments in fixed maturity and equity securities by sector as of December 31, 2015 and 2014 (dollars in thousands):

December 31, 2015:	Amortized Cost		Unrealized Gains		Unrealized Losses		Estimated Fair Value		% of Total		Other-than- temporary impairments in AOCI
Available-for-sale:
Corporate securities	$	17,575,507	$	599,718	$	467,069	$	17,708,156	59.7	%	$	—
Canadian and Canadian provincial governments	2,469,009		1,110,282		2,532		3,576,759		12.1		—
Residential mortgage-backed securities	1,277,998		45,152		11,673		1,311,477		4.4		(300		)
Asset-backed securities	1,219,000		12,052		18,376		1,212,676		4.1		354
Commercial mortgage-backed securities	1,456,848		37,407		11,168		1,483,087		5.0		(1,609		)
U.S. government and agencies	1,423,791		15,586		57,718		1,381,659		4.7		—
State and political subdivisions	480,067		40,014		9,067		511,014		1.7		—
Other foreign government, supranational and foreign government-sponsored enterprises	2,420,757		78,964		41,644		2,458,077		8.3		—
Total fixed maturity securities	$	28,322,977	$	1,939,175	$	619,247	$	29,642,905	100.0	%	$	(1,555	)
Non-redeemable preferred stock	$	85,645	$	7,837	$	5,962	$	87,520	69.5	%
Other equity securities	40,584		—		2,242		38,342		30.5
Total equity securities	$	126,229	$	7,837	$	8,204	$	125,862	100.0	%

December 31, 2014:	Amortized Cost		Unrealized Gains		Unrealized Losses		Estimated Fair Value		% of Total		Other-than- temporary impairments in AOCI
Available-for-sale:
Corporate securities	$	14,010,604	$	965,523	$	90,544	$	14,885,583	58.4	%	$	—
Canadian and Canadian provincial governments	2,668,852		1,196,420		7		3,865,265		15.2		—
Residential mortgage-backed securities	991,867		52,640		6,611		1,037,896		4.1		(300		)
Asset-backed securities	1,059,660		20,301		10,375		1,069,586		4.2		354
Commercial mortgage-backed securities	1,453,657		87,593		8,659		1,532,591		6.0		(1,609		)
U.S. government and agencies	501,352		25,014		515		525,851		2.0		—
State and political subdivisions	378,457		51,117		3,498		426,076		1.7		—
Other foreign government, supranational and foreign government-sponsored enterprises	2,041,148		110,065		13,089		2,138,124		8.4		—
Total fixed maturity securities	$	23,105,597	$	2,508,673	$	133,298	$	25,480,972	100.0	%	$	(1,555	)
Non-redeemable preferred stock	$	93,540	$	7,350	$	1,527	$	99,363	78.3	%
Other equity securities	26,994		597		94		27,497		21.7
Total equity securities	$	120,534	$	7,947	$	1,621	$	126,860	100.0	%

The Company enters into various collateral arrangements that require both the pledging and acceptance of fixed maturity securities as collateral with derivative, repurchase agreement and reinsurance counterparties. Pledged fixed maturity securities are included in fixed maturity securities, available-for-sale in the consolidated balance sheets. Fixed maturity securities received as collateral are held in separate custodial accounts and are not recorded on the Company’s consolidated balance sheets. Subject to certain constraints, the Company is permitted by contract to sell or re-pledge collateral it receives; however, as of December 31, 2015 and 2014, none of the collateral received had been sold or re-pledged. The Company also holds securities in trust to satisfy collateral requirements under certain third-party reinsurance treaties. The following table includes fixed maturity securities pledged and received as collateral, and assets in trust held to satisfy collateral requirements under certain third-party reinsurance treaties as of December 31, 2015 and 2014 (dollars in thousands):

	2015				2014
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Fixed maturity securities pledged as collateral	$	169,678	$	176,782	$	127,229	$	134,863
Fixed maturity securities received as collateral	n/a		242,914		n/a		117,227
Securities held in trust	10,535,729		10,928,393		10,197,489		10,922,947

The Company monitors its concentrations of financial instruments on an ongoing basis, and mitigates credit risk by maintaining a diversified investment portfolio which limits exposure to any one issuer. The Company’s exposure to concentrations of credit risk of single issuers greater than 10% of the Company’s stockholders’ equity included securities of the U.S. government and its agencies as of December 31, 2015, as well as the securities disclosed below as of December 31, 2015 and 2014 (dollars in thousands).

	2015				2014
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Fixed maturity securities guaranteed or issued by:
Canadian province of Ontario	$	864,444	$	1,199,080	$	979,908	$	1,359,339
Canadian province of Quebec	943,484		1,525,903		1,006,315		1,599,673

The amortized cost and estimated fair value of fixed maturity securities available-for-sale at December 31, 2015 are shown by contractual maturity in the table below (dollars in thousands). Actual maturities can differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. Asset and mortgage-backed securities are shown separately in the table below, as they are not due at a single maturity date.

	Amortized Cost		Estimated Fair Value
Available-for-sale:
Due in one year or less	$	731,706	$	739,485
Due after one year through five years	5,615,811		5,763,489
Due after five years through ten years	8,290,362		8,408,708
Due after ten years	9,731,252		10,723,983
Asset and mortgage-backed securities	3,953,846		4,007,240
Total	$	28,322,977	$	29,642,905

Corporate Fixed Maturity Securities

The tables below show the major industry types of the Company’s corporate fixed maturity holdings as of December 31, 2015 and 2014 (dollars in thousands):

December 31, 2015:	Amortized Cost		Estimated Fair Value		% of Total
Finance	$	5,408,791	$	5,555,044	31.4	%
Industrial	10,211,426		10,129,917		57.2
Utility	1,955,290		2,023,195		11.4
Total	$	17,575,507	$	17,708,156	100.0	%
December 31, 2014:	Amortized Cost		Estimated Fair Value		% of Total
Finance	$	4,789,568	$	5,066,408	34.0	%
Industrial	7,639,330		8,086,067		54.3
Utility	1,581,706		1,733,108		11.7
Total	$	14,010,604	$	14,885,583	100.0	%

Other-Than-Temporary Impairments—Fixed Maturity and Equity Securities

As discussed in Note 2 – “Summary of Significant Accounting Policies,” a portion of certain other-than-temporary impairment (“OTTI”) losses on fixed maturity securities is recognized in AOCI. For these securities the net amount recognized in the consolidated statements of income (“credit loss impairments”) represents the difference between the amortized cost of the security and the net present value of its projected future cash flows discounted at the effective interest rate implicit in the debt security prior to impairment. Any remaining difference between the fair value and amortized cost is recognized in AOCI. The following table sets forth the amount of pre-tax credit loss impairments on fixed maturity securities held by the Company as of the dates indicated, for which a portion of the OTTI loss was recognized in AOCI, and the corresponding changes in such amounts (dollars in thousands):

	2015		2014			2013
Balance, beginning of period	$	7,284	$	11,696		$	16,675
Additional impairments - credit loss OTTI recognized on securities previously impaired	—		—			134
Credit loss OTTI previously recognized on securities impaired to fair value during the period	—		—			(1,449		)
Credit loss previously recognized on securities which matured, paid down, prepaid or were sold during the period	—		(4,412		)	(3,664		)
Balance, end of period	$	7,284	$	7,284		$	11,696

Purchased Credit Impaired Fixed Maturity Securities Available-for-Sale

Securities acquired with evidence of credit quality deterioration since origination and for which it is probable at the acquisition date that the Company will be unable to collect all contractually required payments are classified as purchased credit impaired securities. For each security, the excess of the cash flows expected to be collected as of the acquisition date over its acquisition date fair value is referred to as the accretable yield and is recognized as net investment income on an effective yield basis. At the date of acquisition, the timing and amount of the cash flows expected to be collected was determined based on a best estimate using key assumptions, such as interest rates, default rates and prepayment speeds. If subsequently, based on current information and events, it is probable that there is a significant increase in cash flows previously expected to be collected or if actual cash flows are significantly greater than cash flows previously expected to be collected, the accretable yield is adjusted prospectively. The excess of the contractually required payments (including interest) as of the acquisition date over the cash flows expected to be collected as of the acquisition date is referred to as the nonaccretable difference, and this amount is not expected to be realized as net investment income. Decreases in cash flows expected to be collected can result in OTTI.

The following tables present information on the Company’s purchased credit impaired securities, which are included in fixed maturity securities available-for-sale as of December 31, 2015 and 2014 (dollars in thousands):

	2015		2014
Outstanding principal and interest balance(1)	$	343,640	$	226,121
Carrying value, including accrued interest(2)	$	287,663	$	185,842

(1) Represents the contractually required payments which is the sum of contractual principal, whether or not currently due, and accrued interest.

(2) Estimated fair value plus accrued interest.

The following table presents information about purchased credit impaired investments acquired during the periods ended December 31, 2015 and 2014, as of the acquisition dates (dollars in thousands).

	2015		2014
Contractually required payments (including interest)	$	217,187	$	96,617
Cash flows expected to be collected(1)	$	179,025	$	76,551
Fair value of investments acquired	$	137,399	$	53,950

(1) Represents undiscounted principal and interest cash flow expectations at the date of acquisition.

The following table presents activity for the accretable yield on purchased credit impaired securities for the years ended December 31, 2015 and 2014 (dollars in thousands):

	2015			2014
Balance, beginning of period	$	67,171		$	69,469
Investments purchased	41,626			22,601
Accretion	(11,402		)	(9,339		)
Disposals	(1,109		)	(379		)
Reclassification from nonaccretable difference	(8,270		)	(15,181		)
Balance, end of period	$	88,016		$	67,171

Unrealized Losses for Fixed Maturity and Equity Securities Available-for-Sale

The following table presents the total gross unrealized losses for the 2,080 and 932 fixed maturity and equity securities at December 31, 2015 and 2014, respectively, where the estimated fair value had declined and remained below amortized cost by the indicated amount (dollars in thousands):

	2015				2014
	Gross Unrealized Losses		% of Total		Gross Unrealized Losses		% of Total
Less than 20%	$	463,109	73.8	%	$	111,965	83.0	%
20% or more for less than six months	142,495		22.7		13,698		10.1
20% or more for six months or greater	21,847		3.5		9,256		6.9
Total	$	627,451	100.0	%	$	134,919	100.0	%

The Company’s determination of whether a decline in value is other-than-temporary includes analysis of the underlying credit and the extent and duration of a decline in value. The Company’s credit analysis of an investment includes determining whether the issuer is current on its contractual payments, evaluating whether it is probable that the Company will be able to collect all amounts due according to the contractual terms of the security and analyzing the overall ability of the Company to recover the amortized cost of the investment. In the Company’s impairment review process, the duration and severity of an unrealized loss position for equity securities are given greater weight and consideration given the lack of contractual cash flows or deferability features.

The following tables present the estimated fair values and gross unrealized losses, including other-than-temporary impairment losses reported in AOCI, for 2,080 and 932 fixed maturity and equity securities that have estimated fair values below amortized cost as of December 31, 2015 and 2014, respectively (dollars in thousands). These investments are presented by class and grade of security, as well as the length of time the related fair value has remained below amortized cost.

	Less than 12 months				12 months or greater				Total
December 31, 2015:	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
Investment grade securities:
Corporate securities	$	6,388,148	$	323,961	$	294,755	$	40,861	$	6,682,903	$	364,822
Canadian and Canadian provincial governments	122,746		2,532		—		—		122,746		2,532
Residential mortgage-backed securities	452,297		7,036		82,314		4,057		534,611		11,093
Asset-backed securities	581,701		9,825		199,298		7,100		780,999		16,925
Commercial mortgage-backed securities	514,877		9,806		31,177		997		546,054		10,803
U.S. government and agencies	1,010,387		57,718		—		—		1,010,387		57,718
State and political subdivisions	157,837		5,349		13,016		3,718		170,853		9,067
Other foreign government, supranational and foreign government-sponsored enterprises	702,962		18,279		38,379		4,206		741,341		22,485
Total investment grade securities	9,930,955		434,506		658,939		60,939		10,589,894		495,445
Below investment grade securities:
Corporate securities	554,688		71,171		114,427		31,076		669,115		102,247
Residential mortgage-backed securities	22,646		282		7,679		298		30,325		580
Asset-backed securities	6,772		201		9,335		1,250		16,107		1,451
Commercial mortgage-backed securities	3,253		248		767		117		4,020		365
Other foreign government, supranational and foreign government-sponsored enterprises	60,668		7,356		31,693		11,803		92,361		19,159
Total below investment grade securities	648,027		79,258		163,901		44,544		811,928		123,802
Total fixed maturity securities	$	10,578,982	$	513,764	$	822,840	$	105,483	$	11,401,822	$	619,247
Non-redeemable preferred stock	$	12,331	$	2,175	$	12,191	$	3,787	$	24,522	$	5,962
Other equity securities	38,327		2,242		—		—		38,327		2,242
Total equity securities	$	50,658	$	4,417	$	12,191	$	3,787	$	62,849	$	8,204

	Less than 12 months				12 months or greater				Total
December 31, 2014:	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
Investment grade securities:
Corporate securities	$	1,225,767	$	27,784	$	614,294	$	30,040	$	1,840,061	$	57,824
Canadian and Canadian provincial governments	—		—		1,235		7		1,235		7
Residential mortgage-backed securities	78,864		846		135,414		5,247		214,278		6,093
Asset-backed securities	332,785		4,021		109,411		4,289		442,196		8,310
Commercial mortgage-backed securities	78,632		564		28,375		2,461		107,007		3,025
U.S. government and agencies	81,317		89		32,959		426		114,276		515
State and political subdivisions	13,780		17		18,998		3,438		32,778		3,455
Other foreign government, supranational and foreign government-sponsored enterprises	156,725		7,007		76,111		2,946		232,836		9,953
Total investment grade securities	1,967,870		40,328		1,016,797		48,854		2,984,667		89,182
Below investment grade securities:
Corporate securities	415,886		29,316		32,567		3,404		448,453		32,720
Residential mortgage-backed securities	22,836		293		6,284		225		29,120		518
Asset-backed securities	12,448		274		7,108		1,791		19,556		2,065
Commercial mortgage-backed securities	3,288		249		5,580		5,385		8,868		5,634
State and political subdivisions	964		43		—		—		964		43
Other foreign government, supranational and foreign government-sponsored enterprises	13,986		3,136		—		—		13,986		3,136
Total below investment grade securities	469,408		33,311		51,539		10,805		520,947		44,116
Total fixed maturity securities	$	2,437,278	$	73,639	$	1,068,336	$	59,659	$	3,505,614	$	133,298
Non-redeemable preferred stock	$	11,619	$	235	$	19,100	$	1,292	$	30,719	$	1,527
Other equity securities	—		—		3,545		94		3,545		94
Total equity securities	$	11,619	$	235	$	22,645	$	1,386	$	34,264	$	1,621

The Company neither has an intention to sell nor does it expect to be required to sell the securities outlined in the table above, as of the dates indicated. However, unforeseen facts and circumstances may cause the Company to sell fixed maturity and equity securities in the ordinary course of managing its portfolio to meet certain diversification, credit quality and liquidity guidelines.

Unrealized losses on below investment grade securities as of December 31, 2015 are primarily related to high-yield corporate and other foreign government, supranational and foreign government-sponsored enterprise securities. Unrealized losses increased across most security types as credit spreads widened during 2015.

Investment Income, Net of Related Expenses

Major categories of investment income, net of related expenses consist of the following (dollars in thousands):

	2015			2014			2013
Fixed maturity securities available-for-sale	$	1,177,706		$	1,052,715		$	966,759
Mortgage loans on real estate	149,564			148,417			121,476
Policy loans	62,955			55,248			57,099
Funds withheld at interest	343,031			447,364			545,550
Short-term investments	2,567			2,118			2,236
Other invested assets	66,716			70,149			58,771
Investment income	1,802,539			1,776,011			1,751,891
Investment expense	(68,044		)	(62,320		)	(52,026		)
Investment income, net of related expenses	$	1,734,495		$	1,713,691		$	1,699,865

Investment Related Gains (Losses), Net

Investment related gains (losses), net, consist of the following (dollars in thousands):

	2015			2014			2013
Fixed maturity and equity securities available for sale:
Other-than-temporary impairment losses on fixed maturity securities recognized in earnings	$	(57,380	)	$	(7,766	)	$	(12,901	)
Gain on investment activity	73,079			65,435			82,744
Loss on investment activity	(71,893		)	(31,295		)	(60,575		)
Other impairment losses and change in mortgage loan provision	(6,953		)	(5,315		)	(6,933		)
Derivatives and other, net	(101,603		)	165,134			61,655
Total investment related gains (losses), net	$	(164,750	)	$	186,193		$	63,990

The other-than-temporary impairment losses on fixed maturity securities for 2015 are primarily due to emerging market and high-yield debt exposures. The fluctuations in investment related gains (losses) for derivatives and other for 2015, compared to 2014, is primarily due to changes in the fair value of embedded derivatives related to modified coinsurance and funds withheld treaties, as a result of changes in interest rates, driven primarily by credit spreads.

At December 31, 2015 and 2014 the Company held non-income producing securities with amortized costs of $116.0 million and $42.7 million, and estimated fair values of $123.0 million and $52.8 million, respectively. Generally, securities are non-income producing when principal or interest is not paid primarily as a result of bankruptcies or credit defaults, but also include securities where amortization has been discontinued. During 2015, 2014 and 2013 the Company sold fixed maturity and equity securities with fair values of $1,523.6 million, $1,016.5 million, and $1,104.0 million, which were below amortized cost, at gross realized losses of $71.9 million, $31.3 million and $60.6 million, respectively. The Company generally does not engage in short-term buying and selling of securities.

Securities Borrowing and Other

The Company participates in securities borrowing programs whereby securities, which are not reflected on the Company’s consolidated balance sheets, are borrowed from third parties. The borrowed securities are used to provide collateral under affiliated reinsurance transactions. The Company is required to maintain a minimum of 100% of the fair value, or par value under certain programs, of the borrowed securities as collateral. The collateral consists of rights to reinsurance treaty cash flows. If cash flows from the reinsurance treaties are insufficient to maintain the minimum collateral requirement, the Company may substitute cash or securities to meet the requirement. No cash or securities have been pledged by the Company for this purpose.

During the year, the Company participated in a repurchase program in which securities, reflected as investments on the Company’s consolidated balance sheets, were pledged to a third party. In return, the Company received cash from the third party, reflected as a payable to the third party, included in other liabilities on the consolidated balance sheets. The Company was required to maintain a minimum collateral balance with a fair value of 105% of the cash received. The Company terminated the program and all cash was returned prior to December 31, 2015. The gross balance of the repurchase agreement payable as of December 31, 2014 was $101.4 million, which was fully collateralized by securities with a fair value of $107.2 million.

Additionally, the Company participates in a repurchase/reverse repurchase program in which securities, reflected as investments on the Company’s consolidated balance sheets, are pledged to a third party. In return, the Company receives securities from the third party with an estimated fair value equal to a minimum of 100% of the securities pledged. The securities received are not reflected on the Company’s consolidated balance sheets.

The following table includes the amount of borrowed securities, repurchased securities pledged and repurchased/reverse repurchased securities pledged and received as of December 31, 2015 and 2014 (dollars in thousands).

	2015				2014
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Borrowed securities	$	259,540	$	266,297	$	201,050	$	212,946
Repurchase program securities pledged	—		—		92,446		107,158
Repurchase program/reverse repurchase program:
Securities pledged	443,435		465,889		298,466		314,160
Securities received	n/a		481,197		n/a		338,929

The following table presents information on the securities pledged as collateral by the Company related to its repurchase/reverse repurchase program as of December 31, 2015 (dollars in thousands). Collateral associated with certain borrowed securities is not included within the table as the collateral pledged to each counterparty is the right to reinsurance treaty cash flows.

	December 31, 2015
	Remaining Contractual Maturity of the Agreements
	Overnight and Continuous		Up to 30 Days		30-90 Days		Greater than 90 Days		Total
Collateral on repurchase program
Corporate securities	$	—	$	2,951	$	—	$	147,324	$	150,275
Residential mortgage-backed securities	—		—		—		97,639		97,639
U.S. government and agencies	—		—		—		199,431		199,431
Foreign government	—		—		—		3,358		3,358
Other	15,186		—		—		—		15,186
Total borrowings	$	15,186	$	2,951	$	—	$	447,752	$	465,889
Gross amount of recognized liabilities for repurchase agreement in preceding table									$	481,197
Amounts related to agreements not included in offsetting disclosure									$	15,308

Mortgage Loans on Real Estate

Mortgage loans represented approximately 7.5% and 7.4% of the Company’s total investments as of December 31, 2015 and 2014, respectively. The Company makes mortgage loans on income producing properties that are geographically diversified throughout the U.S. with the largest concentration being in California, which represented 22.3% and 18.7% of mortgage loans on real estate as of December 31, 2015 and 2014, respectively. Loan-to-value ratios at the time of loan approval are 75% or less. The distribution of mortgage loans, gross of valuation allowances, by property type is as follows as of December 31, 2015 and 2014 (dollars in thousands):

	2015				2014
	Recorded Investment		Percentage of Total		Recorded Investment		Percentage of Total
Property type:
Office building	$	980,858	31.3	%	$	851,749	31.3	%
Retail	1,026,018		32.7		802,466		29.6
Industrial	527,485		16.8		466,583		17.2
Apartment	420,014		13.4		376,430		13.8
Other commercial	182,389		5.8		221,481		8.1
Total	$	3,136,764	100.0	%	$	2,718,709	100.0	%

The maturities of the mortgage loans, gross of valuation allowances, as of December 31, 2015 and 2014 are as follows (dollars in thousands):

	2015				2014
	Recorded Investment		% of Total		Recorded Investment		% of Total
Due within five years	$	873,280	27.8	%	$	860,362	31.6	%
Due after five years through ten years	1,561,535		49.8		1,165,530		42.9
Due after ten years	701,949		22.4		692,817		25.5
Total	$	3,136,764	100.0	%	$	2,718,709	100.0	%

Information regarding the Company’s credit quality indicators, as determined by the Company's internal evaluation methodology for its recorded investment in mortgage loans, gross of valuation allowances, as of December 31, 2015 and 2014 are as follows (dollars in thousands):

	2015				2014
Internal credit quality grade:	Recorded Investment		% of Total		Recorded Investment		% of Total
High investment grade	$	1,621,601	51.7	%	$	1,326,199	48.8	%
Investment grade	1,397,996		44.6		1,235,046		45.4
Average	87,196		2.8		118,152		4.4
Watch list	13,550		0.4		22,285		0.8
In or near default	16,421		0.5		17,027		0.6
Total	$	3,136,764	100.0	%	$	2,718,709	100.0	%

None of the payments due to the Company on its recorded investment in mortgage loans were delinquent as of December 31, 2015 and 2014.

The following table presents the recorded investment in mortgage loans, by method of measuring impairment, and the related valuation allowances, as of December 31, 2015 and 2014 (dollars in thousands):

	2015		2014
Mortgage loans:
Individually measured for impairment	$	16,421	$	17,027
Collectively measured for impairment	3,120,343		2,701,682
Mortgage loans, gross of valuation allowances	3,136,764		2,718,709
Valuation allowances:
Individually measured for impairment	588		816
Collectively measured for impairment	6,225		5,655
Total valuation allowances	6,813		6,471
Mortgage loans, net of valuation allowances	$	3,129,951	$	2,712,238

Information regarding the Company’s loan valuation allowances for mortgage loans as of December 31, 2015, 2014 and 2013 are as follows (dollars in thousands):

	2015		2014			2013
Balance, beginning of period	$	6,471	$	10,106		$	11,580
Charge-offs, net of recoveries	—		(2,731		)	(3,431		)
Provision	342		(904		)	1,957
Balance, end of period	$	6,813	$	6,471		$	10,106

Information regarding the portion of the Company’s mortgage loans that were impaired as of December 31, 2015 and 2014 is as follows (dollars in thousands):

	Unpaid Principal Balance		Recorded Investment		Related Allowance		Carrying Value
December 31, 2015:
Impaired mortgage loans with no valuation allowance recorded	$	4,033	$	4,033	$	—	$	4,033
Impaired mortgage loans with valuation allowance recorded	12,898		12,388		588		11,800
Total impaired mortgage loans	$	16,931	$	16,421	$	588	$	15,833
December 31, 2014:
Impaired mortgage loans with no valuation allowance recorded	$	7,314	$	6,711	$	—	$	6,711
Impaired mortgage loans with valuation allowance recorded	10,279		10,316		816		9,500
Total impaired mortgage loans	$	17,593	$	17,027	$	816	$	16,211

The Company’s average investment balance of impaired mortgage loans and the related interest income are reflected in the table below for the years ended December 31, 2015, 2014 and 2013 (dollars in thousands):

	2015				2014				2013
	Average Investment(1)		Interest Income		Average Investment(1)		Interest Income		Average Investment(1)		Interest Income
Impaired mortgage loans with no valuation allowance recorded	$	6,033	$	330	$	13,227	$	647	$	15,023	$	852
Impaired mortgage loans with valuation allowance recorded	11,592		770		13,827		637		22,818		951
Total	$	17,625	$	1,100	$	27,054	$	1,284	$	37,841	$	1,803

(1) Average recorded investment represents the average loan balances as of the beginning of period and all subsequent quarterly end of period balances.

The Company did not acquire any impaired mortgage loans during the years ended December 31, 2015 and 2014. The Company had no mortgage loans that were on a nonaccrual status at December 31, 2015 and 2014.

Policy Loans

Policy loans comprised approximately 3.5% and 3.5% of the Company’s total investments as of December 31, 2015 and 2014, respectively, substantially all of which are associated with one client. These policy loans present no credit risk because the amount of the loan cannot exceed the obligation due to the ceding company upon the death of the insured or surrender of the underlying policy. The provisions of the treaties in force and the underlying policies determine the policy loan interest rates. The Company earns a spread between the interest rate earned on policy loans and the interest rate credited to corresponding liabilities.

Funds Withheld at Interest

Funds withheld at interest comprised approximately 14.0% and 16.1% of the Company’s total investments as of December 31, 2015 and 2014, respectively. Of the $5.9 billion funds withheld at interest balance, net of embedded derivatives, as of December 31, 2015, $4.1 billion of the balance is associated with one client. For reinsurance agreements written on a modified coinsurance basis and certain agreements written on a coinsurance funds withheld basis, assets equal to the net statutory reserves are withheld and legally owned and managed by the ceding company and are reflected as funds withheld at interest on the Company’s consolidated balance sheets. In the event of a ceding company’s insolvency, the Company would need to assert a claim on the assets supporting its reserve liabilities. However, the risk of loss to the Company is mitigated by its ability to offset amounts it owes the ceding company for claims or allowances against amounts owed to the Company from the ceding company.

Other Invested Assets

Other invested assets include equity securities, limited partnership interests, joint ventures (other than operating joint ventures), structured loans, derivative contracts, FVO contractholder-directed unit-linked investments, Federal Home Loan Bank of Des Moines ("FHLB") common stock (included in other), real estate held-for-investment (included in other) and equity release mortgages (included in other). The fair value option was elected for contractholder-directed investments supporting unit-linked variable annuity type liabilities which do not qualify for presentation and reporting as separate accounts. Other invested assets represented approximately 3.1% and 3.3% of the Company’s total investments as of December 31, 2015 and 2014, respectively. Carrying values of these assets as of December 31, 2015 and 2014 are as follows (dollars in thousands):

	2015		2014
Equity securities	$	125,862	$	126,860
Limited partnerships and real estate joint ventures	567,697		446,604
Structured loans	45,422		164,309
Derivatives	256,178		216,966
FVO contractholder-directed unit-linked investments	197,547		140,344
Other	105,414		103,236
Total other invested assets	$	1,298,120	$	1,198,319