Investments

12 Months Ended

Dec. 31, 2016

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, 2016 and 2015 (dollars in thousands):

December 31, 2016:	Amortized Cost		Unrealized Gains		Unrealized Losses		Estimated Fair Value		% of Total		Other-than- temporary impairments in AOCI
Available-for-sale:
Corporate securities	$	18,924,711	$	911,618	$	217,245	$	19,619,084	61.1	%	$	—
Canadian and Canadian provincial governments	2,561,605		1,085,982		3,541		3,644,046		11.4		—
Residential mortgage-backed securities	1,258,039		33,917		13,380		1,278,576		4.0		(375		)
Asset-backed securities	1,443,822		9,350		23,828		1,429,344		4.5		275
Commercial mortgage-backed securities	1,342,440		28,973		7,759		1,363,654		4.2		—
U.S. government and agencies	1,518,702		12,644		63,044		1,468,302		4.6		—
State and political subdivisions	566,761		37,499		12,464		591,796		1.8		—
Other foreign government, supranational and foreign government-sponsored enterprises	2,595,707		123,054		19,938		2,698,823		8.4		—
Total fixed maturity securities	$	30,211,787	$	2,243,037	$	361,199	$	32,093,625	100.0	%	$	(100	)
Non-redeemable preferred stock	$	55,812	$	1,648	$	6,337	$	51,123	18.6	%
Other equity securities	229,767		1,792		7,321		224,238		81.4
Total equity securities	$	285,579	$	3,440	$	13,658	$	275,361	100.0	%

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	%

The Company enters into various collateral arrangements with counterparties that require both the pledging and acceptance of fixed maturity securities as collateral. 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 repledge collateral it receives; however, as of December 31, 2016 and 2015, none of the collateral received had been sold or repledged. The Company also holds assets 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 derivative transactions and certain third-party reinsurance treaties as of December 31, 2016 and 2015 (dollars in thousands):

	2016				2015
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Fixed maturity securities pledged as collateral	$	207,066	$	210,676	$	169,678	$	176,782
Fixed maturity securities received as collateral	n/a		300,925		n/a		242,914
Assets in trust held to satisfy collateral requirements	12,135,258		12,874,370		10,535,729		10,928,393

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 from single issuers greater than 10% of the Company’s stockholders’ equity included securities of the U.S. government and its agencies, as well as the securities disclosed below, as of December 31, 2016 and 2015 (dollars in thousands).

	2016				2015
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Fixed maturity securities guaranteed or issued by:
Canadian province of Quebec	$	1,004,261	$	1,612,957	$	943,484	$	1,525,903
Canadian province of Ontario	832,764		1,126,433		864,444		1,199,080

The amortized cost and estimated fair value of fixed maturity securities available-for-sale at December 31, 2016 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	$	791,302	$	800,010
Due after one year through five years	6,665,056		6,897,024
Due after five years through ten years	9,042,167		9,390,938
Due after ten years	9,668,961		10,934,079
Asset and mortgage-backed securities	4,044,301		4,071,574
Total	$	30,211,787	$	32,093,625

Corporate Fixed Maturity Securities

The tables below show the major industry types of the Company’s corporate fixed maturity holdings as of December 31, 2016 and 2015 (dollars in thousands):

December 31, 2016:	Amortized Cost		Estimated Fair Value		% of Total
Finance	$	6,725,199	$	6,888,968	35.2	%
Industrial	10,228,813		10,639,613		54.2
Utility	1,970,699		2,090,503		10.6
Total	$	18,924,711	$	19,619,084	100.0	%
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	%

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):

	2016			2015		2014
Balance, beginning of period	$	7,284		$	7,284	$	11,696
Additional impairments - credit loss OTTI recognized on securities previously impaired	231			—		—
Credit loss previously recognized on securities which matured, paid down, prepaid or were sold during the period	(1,502		)	—		(4,412		)
Balance, end of period	$	6,013		$	7,284	$	7,284

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, 2016 and 2015 (dollars in thousands):

	2016		2015
Outstanding principal and interest balance(1)	$	85,078	$	343,640
Carrying value, including accrued interest(2)	$	69,717	$	287,663

(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, 2016 and 2015, as of the acquisition dates (dollars in thousands):

	2016		2015
Contractually required payments (including interest)	$	7,310	$	217,187
Cash flows expected to be collected(1)	$	5,748	$	179,025
Fair value of investments acquired	$	4,139	$	137,399

(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, 2016 and 2015 (dollars in thousands):

	2016			2015
Balance, beginning of period	$	88,016		$	67,171
Investments purchased	1,609			41,626
Accretion	(9,004		)	(11,402		)
Disposals	(59,078		)	(1,109		)
Reclassification from nonaccretable difference	(2,105		)	(8,270		)
Balance, end of period	$	19,438		$	88,016

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

The following table presents the total gross unrealized losses for the 1,535 and 2,080 fixed maturity and equity securities at December 31, 2016 and 2015, respectively, where the estimated fair value had declined and remained below amortized cost by the indicated amount (dollars in thousands):

	2016				2015
	Gross Unrealized Losses		% of Total		Gross Unrealized Losses		% of Total
Less than 20%	$	337,831	90.1	%	$	463,109	73.8	%
20% or more for less than six months	19,438		5.2		142,495		22.7
20% or more for six months or greater	17,588		4.7		21,847		3.5
Total	$	374,857	100.0	%	$	627,451	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 1,535 and 2,080 fixed maturity and equity securities that have estimated fair values below amortized cost as of December 31, 2016 and 2015, 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, 2016:	Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
Investment grade securities:
Corporate securities	$	4,661,706	$	124,444	$	549,273	$	43,282	$	5,210,979	$	167,726
Canadian and Canadian provincial governments	101,578		3,541		—		—		101,578		3,541
Residential mortgage-backed securities	490,473		9,733		112,216		3,635		602,689		13,368
Asset-backed securities	563,259		12,010		257,166		9,653		820,425		21,663
Commercial mortgage-backed securities	368,465		6,858		10,853		166		379,318		7,024
U.S. government and agencies	1,056,101		63,044		—		—		1,056,101		63,044
State and political subdivisions	187,194		9,396		13,635		3,068		200,829		12,464
Other foreign government, supranational and foreign government-sponsored enterprises	524,236		13,372		51,097		2,981		575,333		16,353
Total investment grade securities	7,953,012		242,398		994,240		62,785		8,947,252		305,183
Below investment grade securities:
Corporate securities	330,757		7,914		163,152		41,605		493,909		49,519
Residential mortgage-backed securities	—		—		412		12		412		12
Asset-backed securities	5,904		700		12,581		1,465		18,485		2,165
Commercial mortgage-backed securities	5,815		735		—		—		5,815		735
Other foreign government, supranational and foreign government-sponsored enterprises	32,355		1,258		39,763		2,327		72,118		3,585
Total below investment grade securities	374,831		10,607		215,908		45,409		590,739		56,016
Total fixed maturity securities	$	8,327,843	$	253,005	$	1,210,148	$	108,194	$	9,537,991	$	361,199
Non-redeemable preferred stock	$	10,831	$	831	$	21,879	$	5,506	$	32,710	$	6,337
Other equity securities	202,068		7,020		6,751		301		208,819		7,321
Total equity securities	$	212,899	$	7,851	$	28,630	$	5,807	$	241,529	$	13,658

	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

The Company has no 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, 2016 are primarily related to high-yield corporate and other foreign government, supranational and foreign government-sponsored enterprise securities. Changes in unrealized losses are primarily driven by changes in credit spreads and interest rates.

Investment Income, Net of Related Expenses

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

	2016			2015			2014
Fixed maturity securities available-for-sale	$	1,285,406		$	1,177,706		$	1,052,715
Mortgage loans on real estate	168,582			149,564			148,417
Policy loans	63,837			62,955			55,248
Funds withheld at interest	368,728			343,031			447,364
Short-term investments and cash and cash equivalents	8,051			7,574			8,955
Other	89,371			61,709			63,312
Investment income	1,983,975			1,802,539			1,776,011
Investment expense	(72,089		)	(68,044		)	(62,320		)
Investment income, net of related expenses	$	1,911,886		$	1,734,495		$	1,713,691

Investment Related Gains (Losses), Net

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

	2016			2015			2014
Fixed maturity and equity securities available for sale:
Other-than-temporary impairment losses on fixed maturities	$	(38,805	)	$	(57,380	)	$	(7,766	)
Portion of loss recognized in accumulated other comprehensive income	74			—			—
Net other-than-temporary impairment losses on fixed maturity securities recognized in earnings	$	(38,731	)	$	(57,380	)	$	(7,766	)
Gain on investment activity	154,370			73,079			65,435
Loss on investment activity	(49,965		)	(71,893		)	(31,295		)
Other impairment losses and change in mortgage loan provision	(11,006		)	(6,953		)	(5,315		)
Derivatives and other, net	39,527			(101,603		)	165,134
Total investment related gains (losses), net	$	94,195		$	(164,750	)	$	186,193

The other-than-temporary impairment losses on fixed maturity securities for 2016, 2015 and 2014 are primarily due to emerging market and high-yield debt exposures. The fluctuations in investment related gains (losses) for derivatives and other are 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, 2016 and 2015 the Company held non-income producing securities with amortized costs of $35.4 million and $116.0 million, and estimated fair values of $47.3 million and $123.0 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 2016, 2015 and 2014 the Company sold fixed maturity and equity securities with fair values of $1,181.6 million, $1,523.6 million, and $1,016.5 million, which were below amortized cost, at gross realized losses of $50.0 million, $71.9 million and $31.3 million, respectively. The Company generally does not engage in short-term buying and selling of securities.

Securities Borrowing, Lending 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.

The Company also participates in a securities lending program whereby securities, reflected as investments on the Company’s consolidated balance sheets, are loaned to a third party. The Company receives securities as collateral, in an amount equal to a minimum of 105% of the fair value of the securities lent. The securities received are not reflected on the Company’s consolidated balance sheets.

The Company also participates in repurchase/reverse repurchase programs in which securities, reflected as investments on the Company’s consolidated balance sheets, are pledged to third parties. In return, the Company receives securities from the third parties 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 Company also participates in a 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 cash from the third party, which is reflected as a payable to a third party, included in other liabilities on the consolidated balance sheets. The Company is required to maintain a minimum collateral balance with a fair value of 102% of the cash received.

The following table includes the amount of borrowed securities, securities lent and securities collateral received as part of the securities lending program, repurchased/reverse repurchased securities pledged and received and cash received as of December 31, 2016 and 2015 (dollars in thousands).

	2016				2015
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Borrowed securities	$	263,820	$	279,186	$	259,540	$	266,297
Securities lending:
Securities loaned	74,389		73,625		—		—
Securities received	n/a		80,000		n/a		—
Repurchase program/reverse repurchase program:
Securities pledged	476,531		499,891		443,435		465,889
Securities received	n/a		515,200		n/a		481,197
Cash received	—		28,832		—		—

The following tables present information on the Company’s securities lending and repurchase transactions as of December 31, 2016 and 2015, respectively (dollars in thousands). Collateral associated with certain borrowed securities is not included within the tables as the collateral pledged to each counterparty is the right to reinsurance treaty cash flows.

	December 31, 2016
	Remaining Contractual Maturity of the Agreements
	Overnight and Continuous		Up to 30 Days		30-90 Days		Greater than 90 Days		Total
Securities lending transaction:
Corporate securities	$	—	$	—	$	4,017	$	69,608	$	73,625
Total	—		—		4,017		69,608		73,625
Repurchase transactions:
Corporate securities	—		—		3,220		166,979		170,199
Residential mortgage-backed securities	—		—		—		92,546		92,546
U.S. government and agencies	—		—		—		216,000		216,000
Foreign government	—		—		—		19,900		19,900
Other	1,246		—		—		—		1,246
Total	1,246		—		3,220		495,425		499,891
Total transactions	$	1,246	$	—	$	7,237	$	565,033	$	573,516
Gross amount of recognized liabilities for securities lending and repurchase transactions in preceding table									$	624,032
Amounts related to agreements not included in offsetting disclosure									$	50,516

	December 31, 2015
	Remaining Contractual Maturity of the Agreements
	Overnight and Continuous		Up to 30 Days		30-90 Days		Greater than 90 Days		Total
Repurchase transactions:
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 transactions	$	15,186	$	2,951	$	—	$	447,752	$	465,889
Gross amount of recognized liabilities for repurchase transactions in preceding table									$	481,197
Amounts related to agreements not included in offsetting disclosure									$	15,308

The Company has elected to offset amounts recognized as receivables and payables resulting from the repurchase/reverse repurchase programs. After the effect of offsetting, the net amount presented on the consolidated balance sheets was a liability of $5.5 million and $8.8 million as of December 31, 2016 and 2015, respectively. The Company also has a payable resulting from cash received associated with a repurchase agreement of $28.8 million as of December 31, 2016. There were no repurchase agreement payables as of December 31, 2015. Amounts owed to and due from the counterparties may be settled in cash or offset, in accordance with the agreements.

Mortgage Loans on Real Estate

Mortgage loans represented approximately 8.4% and 7.5% of the Company’s total investments as of December 31, 2016 and 2015, respectively. The Company makes mortgage loans on income producing properties that are geographically diversified, with the largest concentration being in the state of California, which represented 22.1% and 22.3% of mortgage loans on real estate as of December 31, 2016 and 2015, respectively. The distribution of mortgage loans by property type, gross of valuation allowances is as follows as of December 31, 2016 and 2015 (dollars in thousands):

	2016				2015
	Recorded Investment		Percentage of Total		Recorded Investment		Percentage of Total
Property type:
Office building	$	1,270,113	33.6	%	$	980,858	31.3	%
Retail	1,179,936		31.2		1,026,018		32.7
Industrial	713,461		18.8		527,485		16.8
Apartment	447,088		11.8		420,014		13.4
Other commercial	172,609		4.6		182,389		5.8
Total	$	3,783,207	100.0	%	$	3,136,764	100.0	%

The maturities of the mortgage loans, gross of valuation allowances, as of December 31, 2016 and 2015 are as follows (dollars in thousands):

	2016				2015
	Recorded Investment		% of Total		Recorded Investment		% of Total
Due within five years	$	822,073	21.7	%	$	873,280	27.8	%
Due after five years through ten years	2,099,559		55.5		1,561,535		49.8
Due after ten years	861,575		22.8		701,949		22.4
Total	$	3,783,207	100.0	%	$	3,136,764	100.0	%

The following tables set forth certain key credit quality indicators of the Company’s recorded investment in mortgage loans, gross of valuation allowances, as of December 31, 2016 and 2015 (dollars in thousands):

	Recorded Investment
	Debt Service Ratios
	>1.20x		1.00x - 1.20x		<1.00x		Total		% of Total
December 31, 2016:
Loan-to-Value Ratio
0% - 59.99%	$	1,859,640	$	64,749	$	1,366	$	1,925,755	50.8	%
60% - 69.99%	1,257,788		34,678		—		1,292,466		34.2
70% - 79.99%	370,092		20,869		24,369		415,330		11.0
Greater than 80%	114,297		—		35,359		149,656		4.0
Total	$	3,601,817	$	120,296	$	61,094	$	3,783,207	100.0	%

	Recorded Investment
	Debt Service Ratios
	>1.20x		1.00x - 1.20x		<1.00x		Total		% of Total
December 31, 2015:
Loan-to-Value Ratio
0% - 59.99%	$	1,621,056	$	77,118	$	2,367	$	1,700,541	54.2	%
60% - 69.99%	881,611		14,332		19,805		915,748		29.2	%
70% - 79.99%	446,565		7,947		34,539		489,051		15.6	%
Greater than 80%	3,948		13,550		13,926		31,424		1.0	%
Total	$	2,953,180	$	112,947	$	70,637	$	3,136,764	100.0	%

None of the payments due to the Company on its recorded investment in mortgage loans were delinquent as of December 31, 2016 and 2015.

The following table presents the recorded investment in mortgage loans, by method of measuring impairment, and the related valuation allowances, as of December 31, 2016 and 2015 (dollars in thousands):

	2016		2015
Mortgage loans:
Individually measured for impairment	$	2,216	$	16,421
Collectively measured for impairment	3,780,991		3,120,343
Mortgage loans, gross of valuation allowances	3,783,207		3,136,764
Valuation allowances:
Individually measured for impairment	—		588
Collectively measured for impairment	7,685		6,225
Total valuation allowances	7,685		6,813
Mortgage loans, net of valuation allowances	$	3,775,522	$	3,129,951

Information regarding the Company’s loan valuation allowances for mortgage loans as of December 31, 2016, 2015 and 2014 are as follows (dollars in thousands):

	2016		2015		2014
Balance, beginning of period	$	6,813	$	6,471	$	10,106
Charge-offs, net of recoveries	—		—		(2,731		)
Provision (release)	872		342		(904		)
Balance, end of period	$	7,685	$	6,813	$	6,471

Information regarding the portion of the Company’s mortgage loans that were impaired as of December 31, 2016 and 2015 is as follows (dollars in thousands):

	Unpaid Principal Balance		Recorded Investment		Related Allowance		Carrying Value
December 31, 2016:
Impaired mortgage loans with no valuation allowance recorded	$	2,758	$	2,216	$	—	$	2,216
Impaired mortgage loans with valuation allowance recorded	—		—		—		—
Total impaired mortgage loans	$	2,758	$	2,216	$	—	$	2,216
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

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, 2016, 2015 and 2014 (dollars in thousands):

	2016				2015				2014
	Average Investment(1)		Interest Income		Average Investment(1)		Interest Income		Average Investment(1)		Interest Income
Impaired mortgage loans with no valuation allowance recorded	$	2,249	$	142	$	6,033	$	330	$	13,227	$	647
Impaired mortgage loans with valuation allowance recorded	—		—		11,592		770		13,827		637
Total	$	2,249	$	142	$	17,625	$	1,100	$	27,054	$	1,284

(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, 2016 and 2015. The Company had no mortgage loans that were on a nonaccrual status at December 31, 2016 and 2015.

Policy Loans

Policy loans comprised approximately 3.2% and 3.5% of the Company’s total investments as of December 31, 2016 and 2015, respectively, the majority 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 13.1% and 14.0% of the Company’s total investments as of December 31, 2016 and 2015, respectively. Of the $5.9 billion funds withheld at interest balance, net of embedded derivatives, as of December 31, 2016, $4.0 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), derivative contracts, and FVO contractholder-directed unit-linked investments. Other invested assets also include Federal Home Loan Bank of Des Moines (“FHLB”) common stock, equity release mortgages and structured loans, all of which are included in other in the table below. Other invested assets represented approximately 3.6% and 3.1% of the Company’s total investments as of December 31, 2016 and 2015, respectively. Carrying values of these assets as of December 31, 2016 and 2015 are as follows (dollars in thousands):

	2016		2015
Equity securities	$	275,361	$	125,862
Limited partnerships and real estate joint ventures	687,522		567,697
Derivatives	229,108		256,178
FVO contractholder-directed unit-linked investments	190,120		197,547
Other	209,829		150,836
Total other invested assets	$	1,591,940	$	1,298,120