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 June 30, 2017 and December 31, 2016 (dollars in thousands):



June 30, 2017:	Amortized Cost		Unrealized Gains		Unrealized Losses		Estimated Fair Value		% of Total		Other-than- temporary impairments in AOCI
Available-for-sale:
Corporate securities	$	21,252,180	$	1,189,750	$	100,269	$	22,341,661	61.5	%	$	—
Canadian and Canadian provincial governments	2,713,972		1,296,242		2,460		4,007,754		11.0		—
Residential mortgage-backed securities	1,505,474		42,619		8,794		1,539,299		4.2		—
Asset-backed securities	1,630,499		17,266		5,924		1,641,841		4.5		275
Commercial mortgage-backed securities	1,558,035		28,928		4,935		1,582,028		4.4		—
U.S. government and agencies	1,738,419		15,193		32,048		1,721,564		4.7		—
State and political subdivisions	599,622		47,564		8,216		638,970		1.8		—
Other foreign government, supranational and foreign government-sponsored enterprises	2,740,133		141,973		9,797		2,872,309		7.9		—
Total fixed maturity securities	$	33,738,334	$	2,779,535	$	172,443	$	36,345,426	100.0	%	$	275
Non-redeemable preferred stock	$	34,545	$	435	$	3,021	$	31,959	30.6	%
Other equity securities	75,413		522		3,617		72,318		69.4
Total equity securities	$	109,958	$	957	$	6,638	$	104,277	100.0	%



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	%

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 condensed consolidated balance sheets. Fixed maturity securities received as collateral are held in separate custodial accounts and are not recorded on the Company’s condensed consolidated balance sheets. Subject to certain constraints, the Company is permitted by contract to sell or repledge collateral it receives; however, as of June 30, 2017 and December 31, 2016, 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 June 30, 2017 and December 31, 2016 (dollars in thousands):



	June 30, 2017				December 31, 2016
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Fixed maturity securities pledged as collateral	$	69,849	$	74,441	$	207,066	$	210,676
Fixed maturity securities received as collateral	n/a		457,801		n/a		300,925
Assets in trust held to satisfy collateral requirements	14,706,225		15,723,178		12,135,258		12,874,370

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 June 30, 2017 and December 31, 2016 (dollars in thousands).



	June 30, 2017				December 31, 2016
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Fixed maturity securities guaranteed or issued by:
Canadian province of Quebec	$	1,060,922	$	1,785,573	$	1,004,261	$	1,612,957
Canadian province of Ontario	886,518		1,228,391		832,764		1,126,433

The amortized cost and estimated fair value of fixed maturity securities classified as available-for-sale at June 30, 2017 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	$	861,051	$	868,405
Due after one year through five years	7,421,897		7,696,337
Due after five years through ten years	9,514,341		10,016,984
Due after ten years	11,247,037		13,000,532
Asset and mortgage-backed securities	4,694,008		4,763,168
Total	$	33,738,334	$	36,345,426

Corporate Fixed Maturity Securities

The tables below show the major industry types of the Company’s corporate fixed maturity holdings as of June 30, 2017 and December 31, 2016 (dollars in thousands):



June 30, 2017:			Estimated
	Amortized Cost		Fair Value		% of Total
Finance	$	7,741,482	$	8,077,195	36.1	%
Industrial	11,215,292		11,792,664		52.9
Utility	2,295,406		2,471,802		11.0
Total	$	21,252,180	$	22,341,661	100.0	%

December 31, 2016:			Estimated
	Amortized Cost		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	%

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

As discussed in Note 2 – “Summary of Significant Accounting Policies” of the 2016 Annual Report, 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 condensed 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):



	Three months ended June 30,					Six months ended June 30,
	2017		2016			2017			2016
Balance, beginning of period	$	3,677	$	7,284		$	6,013		$	7,284
Credit loss OTTI previously recognized on securities which matured, paid down, prepaid or were sold during the period	—		(310		)	(2,336		)	(310		)
Balance, end of period	$	3,677	$	6,974		$	3,677		$	6,974

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

The following table presents the total gross unrealized losses for the 1,134 and 1,535 fixed maturity and equity securities as of June 30, 2017 and December 31, 2016, respectively, where the estimated fair value had declined and remained below amortized cost by the indicated amount (dollars in thousands):



	June 30, 2017				December 31, 2016
	Gross Unrealized Losses		% of Total		Gross Unrealized Losses		% of Total
Less than 20%	$	150,762	84.2	%	$	337,831	90.1	%
20% or more for less than six months	7,593		4.2		19,438		5.2
20% or more for six months or greater	20,726		11.6		17,588		4.7
Total	$	179,081	100.0	%	$	374,857	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 1,134 and 1,535 fixed maturity and equity securities that have estimated fair values below amortized cost as of June 30, 2017 and December 31, 2016, 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
			Gross				Gross				Gross
June 30, 2017:	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
Investment grade securities:
Corporate securities	$	2,895,605	$	46,389	$	399,546	$	23,252	$	3,295,151	$	69,641
Canadian and Canadian provincial governments	116,719		2,457		—		—		116,719		2,457
Residential mortgage-backed securities	471,933		6,872		100,785		1,918		572,718		8,790
Asset-backed securities	285,211		1,451		204,154		3,916		489,365		5,367
Commercial mortgage-backed securities	352,867		4,897		2,195		38		355,062		4,935
U.S. government and agencies	1,378,976		31,962		13,763		86		1,392,739		32,048
State and political subdivisions	125,465		5,098		13,558		3,118		139,023		8,216
Other foreign government, supranational and foreign government-sponsored enterprises	440,670		7,189		29,234		1,616		469,904		8,805
Total investment grade securities	6,067,446		106,315		763,235		33,944		6,830,681		140,259
Below investment grade securities:
Corporate securities	255,991		4,547		93,562		26,081		349,553		30,628
Canadian and Canadian provincial governments	1,247		3		—		—		1,247		3
Residential mortgage-backed securities	—		—		107		4		107		4
Asset-backed securities	—		—		7,295		557		7,295		557
Other foreign government, supranational and foreign government-sponsored enterprises	38,069		287		17,606		705		55,675		992
Total below investment grade securities	295,307		4,837		118,570		27,347		413,877		32,184
Total fixed maturity securities	$	6,362,753	$	111,152	$	881,805	$	61,291	$	7,244,558	$	172,443
Non-redeemable preferred stock	$	—	$	—	$	24,807	$	3,021	$	24,807	$	3,021
Other equity securities	64,990		3,617		—		—		64,990		3,617
Total equity securities	$	64,990	$	3,617	$	24,807	$	3,021	$	89,797	$	6,638



	Less than 12 months				12 months or greater				Total
			Gross				Gross				Gross
December 31, 2016:	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		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

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 June 30, 2017 are primarily related to high-yield corporate securities. Changes in unrealized losses are primarily being 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):



	Three months ended June 30,						Six months ended June 30,
	2017			2016			2017			2016
Fixed maturity securities available-for-sale	$	355,735		$	323,592		$	680,235		$	636,007
Mortgage loans on real estate	44,442			41,900			88,789			81,692
Policy loans	15,194			16,372			30,466			32,506
Funds withheld at interest	97,367			112,893			224,945			168,873
Short-term investments and cash and cash equivalents	1,779			2,322			3,289			4,513
Other invested assets	23,066			28,150			42,893			36,758
Investment income	537,583			525,229			1,070,617			960,349
Investment expense	(19,045		)	(17,563		)	(37,715		)	(35,417		)
Investment income, net of related expenses	$	518,538		$	507,666		$	1,032,902		$	924,932

Investment Related Gains (Losses), Net

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



	Three months ended June 30,						Six months ended June 30,
	2017			2016			2017			2016
Fixed maturity and equity securities available for sale:
Other-than-temporary impairment losses on fixed maturity securities recognized in earnings	$	(3,401	)	$	(846	)	$	(20,590	)	$	(34,663	)
Gain on investment activity	54,220			53,615			72,113			80,807
Loss on investment activity	(10,471		)	(22,556		)	(23,034		)	(34,343		)
Other impairment losses and change in mortgage loan provision	(6,675		)	211			(6,774		)	(1,849		)
Derivatives and other, net	22,622			87,840			95,103			(12,574		)
Total investment related gains (losses), net	$	56,295		$	118,264		$	116,818		$	(2,622	)

The fixed maturity impairments for the three and six months ended June 30, 2017 and 2016 were largely related to high-yield energy and emerging market corporate securities. The other impairment losses and change in mortgage loan provision for the three and six months ended June 30, 2017 and 2016 were primarily due to impairments on limited partnerships. The fluctuations in investment related gains (losses) for derivatives and other for the three and six months ended June 30, 2017, compared to the same periods in 2016, are primarily due to changes in the fair value of embedded derivatives and interest rate swaps.

During the three months ended June 30, 2017 and 2016, the Company sold fixed maturity and equity securities with fair values of $710.5 million and $343.3 million at losses of $10.5 million and $22.6 million, respectively. During the six months ended June 30, 2017 and 2016, the Company sold fixed maturity and equity securities with fair values of $1,286.7 million and $585.8 million at losses of $23.0 million and $34.3 million, respectively. The Company generally does not buy and sell securities on a short-term basis.

Securities Borrowing, Lending and Other

The Company participates in securities borrowing programs whereby securities, which are not reflected on the Company’s condensed 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 condensed 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 condensed consolidated balance sheets.

The Company also participates in repurchase/reverse repurchase programs in which securities, reflected as investments on the Company’s condensed 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 condensed consolidated balance sheets.

The Company also participates in a repurchase program in which securities, reflected as investments on the Company’s condensed 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 the third party and included in other liabilities on the condensed 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 and repurchased/reverse repurchased securities pledged and received as of June 30, 2017 and December 31, 2016 (dollars in thousands).



	June 30, 2017				December 31, 2016
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Borrowed securities	$	269,280	$	284,083	$	263,820	$	279,186
Securities lending:
Securities loaned	117,217		121,064		74,389		73,625
Securities received	n/a		109,000		n/a		80,000
Repurchase program/reverse repurchase program:
Securities pledged	486,700		509,579		476,531		499,891
Securities received	n/a		517,871		n/a		515,200

The Company also held cash collateral for securities lending and the repurchase program/reverse repurchase programs of $47.9 million and $28.8 million at June 30, 2017 and December 31, 2016, respectively.

The following table presents information on the Company’s securities lending and repurchase transactions as of June 30, 2017 and December 31, 2016 (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.



	June 30, 2017
	Remaining Contractual Maturity of the Agreements
	Overnight and Continuous		Up to 30 Days		30-90 Days		Greater than 90 Days		Total
Securities lending transactions:
Corporate securities	$	—	$	—	$	—	$	121,064	$	121,064
Total	—		—		—		121,064		121,064
Repurchase transactions:
Corporate securities	—		—		1,311		177,555		178,866
Residential mortgage-backed securities	—		—		—		89,333		89,333
U.S. government and agencies	—		—		—		219,522		219,522
Foreign government	—		—		—		20,953		20,953
Other	905		—		—		—		905
Total	905		—		1,311		507,363		509,579
Total transactions	$	905	$	—	$	1,311	$	628,427	$	630,643

Gross amount of recognized liabilities for securities lending and repurchase transactions in preceding table									$	674,817
Amounts related to agreements not included in offsetting disclosure									$	44,174



	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 transactions:
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 borrowings	$	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

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 $5.1 million and $5.5 million of June 30, 2017 and December 31, 2016, respectively. As of June 30, 2017 and December 31, 2016, the Company recognized payables resulting from cash received as collateral associated with a repurchase agreement as discussed above. 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 8.3% and 8.4% of the Company’s total investments as of June 30, 2017 and December 31, 2016. The Company makes mortgage loans on income producing properties that are geographically diversified throughout the U.S. with the largest concentration being in the state of California, which represented 22.0% and 22.1% of mortgage loans on real estate as of June 30, 2017 and December 31, 2016, respectively. The recorded investment in mortgage loans on real estate presented below is gross of unamortized deferred loan origination fees and expenses, and valuation allowances.

The distribution of mortgage loans by property type is as follows as of June 30, 2017 and December 31, 2016 (dollars in thousands):



	June 30, 2017					December 31, 2016
Property type:	Carrying Value			% of Total		Carrying Value			% of Total
Office building	$	1,402,369		34.1	%	$	1,270,113		33.6	%
Retail	1,248,238			30.3		1,179,936			31.2
Industrial	809,309			19.7		713,461			18.8
Apartment	483,811			11.8		447,088			11.8
Other commercial	170,305			4.1		172,609			4.6
Recorded investment	4,114,032			100.0	%	$	3,783,207		100.0	%
Unamortized balance of loan origination fees and expenses	(1,389		)			—
Valuation allowances	(8,156		)			(7,685		)
Total mortgage loans on real estate	$	4,104,487				$	3,775,522

The maturities of the mortgage loans as of June 30, 2017 and December 31, 2016 are as follows (dollars in thousands):



	June 30, 2017				December 31, 2016
	Recorded Investment		% of Total		Recorded Investment		% of Total
Due within five years	$	1,037,000	25.2	%	$	822,073	21.7	%
Due after five years through ten years	2,236,805		54.4		2,099,559		55.5
Due after ten years	840,227		20.4		861,575		22.8
Total	$	4,114,032	100.0	%	$	3,783,207	100.0	%

The following tables set forth certain key credit quality indicators of the Company’s recorded investment in mortgage loans as of June 30, 2017 and December 31, 2016 (dollars in thousands):



	Recorded Investment
	Debt Service Ratios
	>1.20x		1.00x - 1.20x		<1.00x		Total		% of Total
June 30, 2017:
Loan-to-Value Ratio
0% - 59.99%	$	2,009,905	$	60,110	$	4,060	$	2,074,075	50.4	%
60% - 69.99%	1,453,061		57,332		7,684		1,518,077		36.9
70% - 79.99%	377,744		20,575		37,091		435,410		10.6
Greater than 80%	61,704		—		24,766		86,470		2.1
Total	$	3,902,414	$	138,017	$	73,601	$	4,114,032	100.0	%



	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	%

The age analysis of the Company’s past due recorded investments in mortgage loans as of June 30, 2017 and December 31, 2016.



	June 30, 2017		December 31, 2016
31-60 days past due	$	—	$	—
61-90 days past due	3,729		—
Greater than 90 days	—		—
Total past due	$	3,729	$	—
Current	4,110,303		3,783,207
Total	$	4,114,032	$	3,783,207

The following table presents the recorded investment in mortgage loans, by method of measuring impairment, and the related valuation allowances as of June 30, 2017 and December 31, 2016 (dollars in thousands):



	June 30, 2017		December 31, 2016
Mortgage loans:
Individually measured for impairment	$	2,077	$	2,216
Collectively measured for impairment	4,111,955		3,780,991
Recorded investment	$	4,114,032	$	3,783,207
Valuation allowances:
Individually measured for impairment	$	—	$	—
Collectively measured for impairment	8,156		7,685
Total valuation allowances	$	8,156	$	7,685

Information regarding the Company’s loan valuation allowances for mortgage loans for the three and six months ended June 30, 2017 and 2016 is as follows (dollars in thousands):



	Three months ended June 30,					Six months ended June 30,
	2017		2016			2017		2016
Balance, beginning of period	$	7,786	$	6,824		$	7,685	$	6,813
Provision (release)	366		(325		)	467		(314		)
Translation adjustment	4		—			4		—
Balance, end of period	$	8,156	$	6,499		$	8,156	$	6,499

Information regarding the portion of the Company’s mortgage loans that were impaired as of June 30, 2017 and December 31, 2016 is as follows (dollars in thousands):



	Unpaid Principal Balance		Recorded Investment		Related Allowance		Carrying Value
June 30, 2017:
Impaired mortgage loans with no valuation allowance recorded	$	2,620	$	2,077	$	—	$	2,077
Impaired mortgage loans with valuation allowance recorded	—		—		—		—
Total impaired mortgage loans	$	2,620	$	2,077	$	—	$	2,077
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

The Company’s average investment in impaired mortgage loans and the related interest income are reflected in the table below for the periods indicated (dollars in thousands):
	Three months ended June 30,
	2017				2016
	Average Recorded Investment⁽¹⁾		Interest Income		Average Recorded Investment⁽¹⁾		Interest Income
Impaired mortgage loans with no valuation allowance recorded	$	2,088	$	33	$	3,901	$	107
Impaired mortgage loans with valuation allowance recorded	—		—		4,724		—
Total impaired mortgage loans	$	2,088	$	33	$	8,625	$	107

	Six months ended June 30,
	2017				2016
	Average Recorded Investment⁽¹⁾		Interest Income		Average Recorded Investment⁽¹⁾		Interest Income
Impaired mortgage loans with no valuation allowance recorded	$	2,131	$	67	$	3,945	$	216
Impaired mortgage loans with valuation allowance recorded	—		—		7,279		—
Total impaired mortgage loans	$	2,131	$	67	$	11,224	$	216

(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 six months ended June 30, 2017 and 2016. The Company had no mortgage loans that were on a nonaccrual status at June 30, 2017 and December 31, 2016.

Policy Loans

Policy loans comprised approximately 2.8% and 3.2% of the Company’s total investments as of June 30, 2017 and December 31, 2016, 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 12.1% and 13.1% of the Company’s total investments as of June 30, 2017 and December 31, 2016, respectively. Of the $6.0 billion funds withheld at interest balance, net of embedded derivatives, as of June 30, 2017, $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 condensed 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 fair value option (“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. 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 3.0% and 3.6% of the Company’s total investments as of June 30, 2017 and December 31, 2016, respectively. Carrying values of these assets as of June 30, 2017 and December 31, 2016 are as follows (dollars in thousands):



	June 30, 2017		December 31, 2016
Equity securities	$	104,277	$	275,361
Limited partnership interests and real estate joint ventures	746,573		687,522
Derivatives	158,048		229,108
FVO contractholder-directed unit-linked investments	204,630		190,120
Other	284,842		209,829
Total other invested assets	$	1,498,370	$	1,591,940