The Company holds various types of fixed maturity securities available-for-sale and classifies them as corporate securities (“Corporate”), Canadian and Canadian provincial government securities (“Canadian government”), residential mortgage-backed securities (“RMBS”), asset-backed securities (“ABS”), commercial mortgage-backed securities (“CMBS”), U.S. government and agencies (“U.S. government”), state and political subdivisions, and other foreign government, supranational and foreign government-sponsored enterprises (“Other foreign government”).



June 30, 2019:	Amortized Cost		Unrealized Gains		Unrealized Losses		Estimated Fair Value		% of Total		Other-than- temporary Impairments in AOCI
Available-for-sale:
Corporate	$	26,055,078	$	1,651,141	$	70,788	$	27,635,431	59.8	%	$	—
Canadian government	2,960,943		1,613,153		133		4,573,963		9.9		—
RMBS	2,214,963		64,629		3,077		2,276,515		4.9		—
ABS	2,482,012		25,714		13,062		2,494,664		5.4		275
CMBS	1,687,024		60,775		514		1,747,285		3.8		—
U.S. government	1,738,348		40,202		370		1,778,180		3.8		—
State and political subdivisions	1,221,461		83,621		1,508		1,303,574		2.9		—
Other foreign government	4,097,789		288,833		6,929		4,379,693		9.5		—
Total fixed maturity securities	$	42,457,618	$	3,828,068	$	96,381	$	46,189,305	100.0	%	$	275



December 31, 2018:	Amortized Cost		Unrealized Gains		Unrealized Losses		Estimated Fair Value		% of Total		Other-than- temporary Impairments in AOCI
Available-for-sale:
Corporate	$	24,006,407	$	530,804	$	555,092	$	23,982,119	59.9	%	$	—
Canadian government	2,768,466		1,126,227		2,308		3,892,385		9.7		—
RMBS	1,872,236		22,267		25,282		1,869,221		4.7		—
ABS	2,171,254		10,779		32,829		2,149,204		5.4		275
CMBS	1,428,115		9,153		18,234		1,419,034		3.5		—
U.S. government	2,233,537		10,204		57,867		2,185,874		5.5		—
State and political subdivisions	721,290		39,914		9,010		752,194		1.9		—
Other foreign government	3,680,863		109,320		47,868		3,742,315		9.4		—
Total fixed maturity securities	$	38,882,168	$	1,858,668	$	748,490	$	39,992,346	100.0	%	$	275

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, 2019 and December 31, 2018, none of the collateral received had been sold or repledged. The Company also holds assets in trust to satisfy collateral requirements under derivative transactions and 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, 2019 and December 31, 2018 (dollars in thousands):



	June 30, 2019				December 31, 2018
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Fixed maturity securities pledged as collateral	$	85,651	$	89,295	$	80,891	$	83,950
Fixed maturity securities received as collateral	n/a		687,071		n/a		616,584
Assets in trust held to satisfy collateral requirements	23,697,506		25,212,508		20,072,735		20,366,170

The Company monitors its concentrations of financial instruments on an ongoing basis and mitigates credit risk by maintaining a diversified investment portfolio that 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, 2019 and December 31, 2018 (dollars in thousands).

The amortized cost and estimated fair value of fixed maturity securities classified as available-for-sale at June 30, 2019 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	$	1,305,265	$	1,314,533
Due after one year through five years	8,823,728		9,130,980
Due after five years through ten years	9,519,138		10,171,840
Due after ten years	16,425,488		19,053,488
Asset and mortgage-backed securities	6,383,999		6,518,464
Total	$	42,457,618	$	46,189,305



June 30, 2019:			Estimated
	Amortized Cost		Fair Value		% of Total
Finance	$	9,865,739	$	10,385,443	37.6	%
Industrial	13,063,121		13,878,056		50.2
Utility	3,126,218		3,371,932		12.2
Total	$	26,055,078	$	27,635,431	100.0	%

December 31, 2018:			Estimated
	Amortized Cost		Fair Value		% of Total
Finance	$	8,793,742	$	8,730,568	36.3	%
Industrial	12,336,857		12,342,111		51.6
Utility	2,875,808		2,909,440		12.1
Total	$	24,006,407	$	23,982,119	100.0	%

As discussed in Note 2 – “Significant Accounting Policies and Pronouncements” of the 2018 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 amount of pre-tax credit loss impairments on fixed maturity securities held by the Company, for which a portion of the OTTI loss was recognized in AOCI, was $3.7 million as of June 30, 2019 and 2018. There were no changes in these amounts from their respective prior-year ending balances.



	June 30, 2019				December 31, 2018
	Gross Unrealized Losses		% of Total		Gross Unrealized Losses		% of Total
Less than 20%	$	73,351	76.1	%	$	721,015	96.3	%
20% or more for less than six months	21,995		22.8		21,336		2.9
20% or more for six months or greater	1,035		1.1		6,139		0.8
Total	$	96,381	100.0	%	$	748,490	100.0	%

The Company’s determination of whether a decline in value is other-than-temporary includes an 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.

The following tables present the estimated fair values and gross unrealized losses, including other-than-temporary impairment losses reported in AOCI, for 921 and 3,109 fixed maturity securities that have estimated fair values below amortized cost as of June 30, 2019 and December 31, 2018, 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, 2019:	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
Investment grade securities:
Corporate	$	780,802	$	8,757	$	1,276,130	$	28,924	$	2,056,932	$	37,681
Canadian government	2,535		2		17,555		131		20,090		133
RMBS	57,572		489		240,046		2,577		297,618		3,066
ABS	753,026		5,383		399,818		7,679		1,152,844		13,062
CMBS	79,372		240		37,442		274		116,814		514
U.S. government	257,328		36		76,098		334		333,426		370
State and political subdivisions	42,876		11		13,856		1,497		56,732		1,508
Other foreign government	90,066		2,565		110,341		2,697		200,407		5,262
Total investment grade securities	2,063,577		17,483		2,171,286		44,113		4,234,863		61,596
Below investment grade securities:
Corporate	216,611		22,148		139,318		10,959		355,929		33,107
RMBS	—		—		976		11		976		11
Other foreign government	6,337		77		18,664		1,590		25,001		1,667
Total below investment grade securities	222,948		22,225		158,958		12,560		381,906		34,785
Total fixed maturity securities	$	2,286,525	$	39,708	$	2,330,244	$	56,673	$	4,616,769	$	96,381



	Less than 12 months				12 months or greater				Total
			Gross				Gross				Gross
December 31, 2018:	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
Investment grade securities:
Corporate	$	8,505,371	$	302,604	$	3,611,266	$	195,082	$	12,116,637	$	497,686
Canadian government	25,169		419		131,806		1,612		156,975		2,031
RMBS	269,558		2,488		836,741		22,760		1,106,299		25,248
ABS	1,102,677		24,271		381,609		8,523		1,484,286		32,794
CMBS	384,259		4,304		414,719		13,930		798,978		18,234
U.S. government	8,616		80		1,086,694		57,787		1,095,310		57,867
State and political subdivisions	103,504		1,538		157,330		7,472		260,834		9,010
Other foreign government	789,859		24,509		472,934		17,446		1,262,793		41,955
Total investment grade securities	11,189,013		360,213		7,093,099		324,612		18,282,112		684,825
Below investment grade securities:
Corporate	755,679		42,760		122,559		14,646		878,238		57,406
Canadian government	443		34		1,770		243		2,213		277
RMBS	—		—		1,026		34		1,026		34
ABS	—		—		1,063		35		1,063		35
Other foreign government	128,725		5,574		7,479		339		136,204		5,913
Total below investment grade securities	884,847		48,368		133,897		15,297		1,018,744		63,665
Total fixed maturity securities	$	12,073,860	$	408,581	$	7,226,996	$	339,909	$	19,300,856	$	748,490

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 securities in the ordinary course of managing its portfolio to meet certain diversification, credit quality and liquidity guidelines. Changes in unrealized losses are primarily driven by changes in interest rates.



	Three months ended June 30,						Six months ended June 30,
	2019			2018			2019			2018
Fixed maturity securities available-for-sale	$	427,841		$	373,624		$	842,928		$	742,827
Equity securities	645			709			1,891			2,391
Mortgage loans on real estate	60,509			50,460			120,071			100,659
Policy loans	14,394			14,775			28,503			29,555
Funds withheld at interest	65,972			86,417			127,706			161,862
Short-term investments and cash and cash equivalents	7,465			2,964			14,365			6,209
Other invested assets	31,910			20,785			74,146			44,613
Investment income	608,736			549,734			1,209,610			1,088,116
Investment expense	(24,658		)	(21,673		)	(45,655		)	(43,726		)
Investment income, net of related expenses	$	584,078		$	528,061		$	1,163,955		$	1,044,390



	Three months ended June 30,						Six months ended June 30,
	2019			2018			2019			2018
Fixed maturity securities available-for-sale:
Other-than-temporary impairment losses	$	—		$	(3,350	)	$	(9,453	)	$	(3,350	)
Gain on investment activity	20,384			21,140			48,429			32,106
Loss on investment activity	(6,870		)	(35,934		)	(25,593		)	(56,314		)
Equity securities:
Gain on investment activity	—			469			74			497
Loss on investment activity	—			—			(1		)	(950		)
Change in unrealized gains (losses) recognized in earnings	2,673			(6,966		)	6,417			(11,103		)
Other impairment losses and change in mortgage loan provision	(5,609		)	(1,357		)	(7,468		)	(1,669		)
Derivatives and other, net	1,894			15,426			7,855			29,741
Total investment related gains (losses), net	$	12,472		$	(10,572	)	$	20,260		$	(11,042	)

There were no fixed maturity impairments for the three months ended June 30, 2019. The fixed maturity impairments for the six months ended June 30, 2019 were primarily related to a U.S. utility company. The fixed maturity impairments for the three and six months ended June 30, 2018 were primarily related to high-yield corporate securities. The other impairment losses and change in mortgage loan provision for the three months ended June 30, 2019 includes impairments on limited partnerships. The other impairment losses and change in mortgage loan provision for the six months ended June 30, 2019 includes impairments on real estate joint ventures and limited partnerships. The other impairment losses and change in mortgage loan provision for the three months and six months ended June 30, 2018 includes impairments on real estate joint ventures. The fluctuations in investment related gains (losses) for derivatives and other for the three and six months ended June 30, 2019, compared to the same periods in 2018, are primarily due to changes in the fair value of embedded derivatives and interest rate swaps.

During the three months ended June 30, 2019 and 2018, the Company sold fixed maturity securities with fair values of $466.1 million and $1,174.4 million at losses of $6.9 million and $35.9 million, respectively. During the six months ended June 30, 2019 and 2018, the Company sold fixed maturity securities with fair values of $1,712.7 million and $2,438.0 million at losses of $25.6 million and $56.3 million, respectively. The Company did not sell any equity securities at losses during the three months ended June 30, 2019 and 2018. During the six months ended June 30, 2019, the Company sold equity securities for immaterial losses. During the six months ended June 30, 2018, the Company sold equity securities with fair values $28.4 million at losses of $1.0 million. The Company generally does not buy and sell securities on a short-term basis.



	June 30, 2019				December 31, 2018
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Borrowed securities	$	343,093	$	376,665	$	335,781	$	366,663
Securities lending:
Securities loaned	97,596		103,009		101,981		102,618
Securities received	n/a		107,000		n/a		112,000
Repurchase program/reverse repurchase program:
Securities pledged	576,381		596,412		554,806		554,589
Securities received	n/a		578,112		n/a		530,932

The following tables present information on the Company’s securities lending and repurchase transactions as of June 30, 2019 and December 31, 2018 (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, 2019
	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	$	—	$	—	$	—	$	103,009	$	103,009
Total	—		—		—		103,009		103,009
Repurchase transactions:
Corporate	—		—		—		289,659		289,659
U.S. government	—		—		—		209,581		209,581
Foreign government	—		—		—		97,172		97,172
Other	—		—		—		—		—
Total	—		—		—		596,412		596,412
Total borrowings	$	—	$	—	$	—	$	699,421	$	699,421

Gross amount of recognized liabilities for securities lending and repurchase transactions in preceding table									$	713,727
Amounts related to agreements not included in offsetting disclosure									$	14,306



	December 31, 2018
	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	$	—	$	—	$	—	$	102,618	$	102,618
Total	$	—	$	—	$	—	$	102,618	$	102,618
Repurchase transactions:
Corporate	$	—	$	—	$	—	$	254,151	$	254,151
U.S. government	—		—		—		221,572		221,572
Foreign government	—		—		—		78,866		78,866
Total	—		—		—		554,589		554,589
Total borrowings	$	—	$	—	$	—	$	657,207	$	657,207

Gross amount of recognized liabilities for securities lending and repurchase transactions in preceding table									$	671,492
Amounts related to agreements not included in offsetting disclosure									$	14,285

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 condensed consolidated balance sheets was a liability of $0.5 million and $0.4 million as of June 30, 2019 and December 31, 2018, respectively. As of June 30, 2019 and December 31, 2018, 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 represented approximately 8.9% and 9.1% of the Company’s total investments as of June 30, 2019 and December 31, 2018. As of June 30, 2019, mortgage loans were geographically dispersed throughout the U.S. with the largest concentrations in California (16.8%), Texas (13.4%) and Washington (7.1%) and include loans secured by properties in Canada (2.9%) and United Kingdom (0.5%). The recorded investment in mortgage loans on real estate presented below is gross of unamortized deferred loan origination fees and expenses, and valuation allowances.



	June 30, 2019					December 31, 2018
Property type:	Carrying Value			% of Total		Carrying Value			% of Total
Office building	$	1,718,595		31.7	%	$	1,725,748		34.6	%
Retail	1,526,267			28.1		1,432,394			28.7
Industrial	1,112,460			20.5		961,924			19.3
Apartment	730,452			13.5		571,291			11.5
Other commercial	336,371			6.2		291,997			5.9
Recorded investment	5,424,145			100.0	%	4,983,354			100.0	%
Unamortized balance of loan origination fees and expenses	(7,031		)			(5,770		)
Valuation allowances	(11,692		)			(11,286		)
Total mortgage loans on real estate	$	5,405,422				$	4,966,298



	June 30, 2019				December 31, 2018
	Recorded Investment		% of Total		Recorded Investment		% of Total
Due within five years	$	1,624,003	29.9	%	$	1,425,598	28.6	%
Due after five years through ten years	2,921,184		53.9		2,686,264		53.9
Due after ten years	878,958		16.2		871,492		17.5
Total	$	5,424,145	100.0	%	$	4,983,354	100.0	%



	Recorded Investment
	Debt Service Ratios						Construction Loans
	>1.20x		1.00x - 1.20x		<1.00x		Construction Loans		Total		% of Total
June 30, 2019:
Loan-to-Value Ratio
0% - 59.99%	$	2,570,786	$	99,194	$	64,707	$	—	$	2,734,687	50.4	%
60% - 69.99%	1,786,531		108,392		41,680		39,432		1,976,035		36.4
70% - 79.99%	447,382		39,170		22,766		—		509,318		9.4
Greater than 80%	106,070		49,306		48,729		—		204,105		3.8
Total	$	4,910,769	$	296,062	$	177,882	$	39,432	$	5,424,145	100.0	%



	Recorded Investment
	Debt Service Ratios						Construction Loans
	>1.20x		1.00x - 1.20x		<1.00x		Construction Loans		Total		% of Total
December 31, 2018:
Loan-to-Value Ratio
0% - 59.99%	$	2,410,556	$	61,246	$	38,177	$	13,691	$	2,523,670	50.6	%
60% - 69.99%	1,618,374		73,908		38,120		18,929		1,749,331		35.1
70% - 79.99%	414,269		48,438		54,440		—		517,147		10.4
Greater than 80%	117,978		49,668		25,560		—		193,206		3.9
Total	$	4,561,177	$	233,260	$	156,297	$	32,620	$	4,983,354	100.0	%



	June 30, 2019		December 31, 2018
Mortgage loans:
Individually measured for impairment	$	17,014	$	30,635
Collectively measured for impairment	5,407,131		4,952,719
Recorded investment	$	5,424,145	$	4,983,354
Valuation allowances:
Individually measured for impairment	$	—	$	—
Collectively measured for impairment	11,692		11,286
Total valuation allowances	$	11,692	$	11,286



	Unpaid Principal Balance		Recorded Investment		Related Allowance		Carrying Value
June 30, 2019:
Impaired mortgage loans with no valuation allowance recorded	$	17,017	$	17,014	$	—	$	17,014
Impaired mortgage loans with valuation allowance recorded	—		—		—		—
Total impaired mortgage loans	$	17,017	$	17,014	$	—	$	17,014
December 31, 2018:
Impaired mortgage loans with no valuation allowance recorded	$	30,660	$	30,635	$	—	$	30,635
Impaired mortgage loans with valuation allowance recorded	—		—		—		—
Total impaired mortgage loans	$	30,660	$	30,635	$	—	$	30,635

The Company’s average investment balance of 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,
	2019				2018
	Average Recorded Investment⁽¹⁾		Interest Income		Average Recorded Investment⁽¹⁾		Interest Income
Impaired mortgage loans with no valuation allowance recorded	$	17,047	$	171	$	27,038	$	247
Impaired mortgage loans with valuation allowance recorded	—		—		—		—
Total impaired mortgage loans	$	17,047	$	171	$	27,038	$	247

	Six months ended June 30,
	2019				2018
	Average Recorded Investment⁽¹⁾		Interest Income		Average Recorded Investment⁽¹⁾		Interest Income
Impaired mortgage loans with no valuation allowance recorded	$	21,576	$	499	$	19,978	$	304
Impaired mortgage loans with valuation allowance recorded	—		—		—		—
Total impaired mortgage loans	$	21,576	$	499	$	19,978	$	304

Policy loans comprised approximately 2.2% and 2.5% of the Company’s total investments as of June 30, 2019 and December 31, 2018, 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 comprised approximately 9.3% and 10.6% of the Company’s total investments as of June 30, 2019 and December 31, 2018, respectively. Of the $5.7 billion funds withheld at interest balance, net of embedded derivatives, as of June 30, 2019, $3.6 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.



	June 30, 2019		December 31, 2018
Limited partnership interests and real estate joint ventures	$	1,008,571	$	965,094
Equity release mortgages	641,611		475,905
Derivatives	122,484		180,699
FVO contractholder-directed unit-linked investments	255,174		197,770
Other	93,566		95,829
Total other invested assets	$	2,121,406	$	1,915,297