INVESTMENTS

Fixed Maturities and Equity Securities

The following tables provide information relating to fixed maturities and equity securities (excluding investments classified as trading) as of the dates indicated:



	September 30, 2016
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		OTTI in AOCI(3)
	(in thousands)
Fixed maturities, available-for-sale
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	4,883,799	$	180,484	$	20,766	$	5,043,517	$	0
Obligations of U.S. states and their political subdivisions	92,584		4,085		0		96,669		0
Foreign government bonds	76,456		8,997		4		85,449		0
Public utilities	428,426		30,267		3,291		455,402		0
Redeemable preferred stock	29,599		1,754		19		31,334		0
All other U.S. public corporate securities	1,823,185		122,778		1,223		1,944,740		0
All other U.S. private corporate securities	967,725		50,013		7,865		1,009,873		(694		)
All other foreign public corporate securities	287,202		8,715		99		295,818		0
All other foreign private corporate securities	474,765		14,259		6,989		482,035		0
Asset-backed securities(1)	319,989		3,518		831		322,676		0
Commercial mortgage-backed securities	485,170		23,773		135		508,808		0
Residential mortgage-backed securities(2)	209,118		9,121		1		218,238		(5		)
Total fixed maturities, available-for-sale	$	10,078,018	$	457,764	$	41,223	$	10,494,559	$	(699	)
Equity securities, available-for-sale
Common stocks:
Public utilities	$	0	$	0	$	0	$	0
Mutual funds	14		4		0		18
Total equity securities, available-for-sale	$	14	$	4	$	0	$	18


(1)	Includes credit-tranched securities collateralized by sub-prime mortgages, auto loans, credit cards, education loans and other asset types.


(2)	Includes publicly-traded agency pass-through securities and collateralized mortgage obligations.


(3)	Represents the amount of OTTI losses in Accumulated Other Comprehensive Income ("AOCI"), which were not included in earnings. Amount excludes $0.0 million of net unrealized losses on impaired available-for-sale securities relating to changes in the value of such securities subsequent to the impairment measurement date.



	December 31, 2015
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		OTTI in AOCI(3)
	(in thousands)
Fixed maturities, available-for-sale
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	12,233	$	28	$	107	$	12,154	$	0
Obligations of U.S. states and their political subdivisions	20,116		474		378		20,212		0
Foreign government bonds	43,188		6,123		28		49,283		0
Public utilities	203,803		15,969		4,263		215,509		0
Redeemable preferred stock	0		0		0		0		0
All other U.S. public corporate securities	818,627		52,866		7,717		863,776		0
All other U.S. private corporate securities	494,640		30,996		4,407		521,229		0
All other foreign public corporate securities	132,414		3,781		608		135,587		0
All other foreign private corporate securities	219,009		2,487		15,842		205,654		0
Asset-backed securities(1)	149,196		2,786		692		151,290		(35		)
Commercial mortgage-backed securities	211,429		4,963		652		215,740		0
Residential mortgage-backed securities(2)	128,971		4,886		19		133,838		(7		)
Total fixed maturities, available-for-sale	$	2,433,626	$	125,359	$	34,713	$	2,524,272	$	(42	)
Equity securities, available-for-sale
Common stocks:
Public utilities	$	0	$	0	$	0	$	0
Mutual funds	14		3		0		17
Total equity securities, available-for-sale	$	14	$	3	$	0	$	17


(1)	Includes credit-tranched securities collateralized by sub-prime mortgages, auto loans, credit cards, education loans and other asset types.


(2)	Includes publicly-traded agency pass-through securities and collateralized mortgage obligations.


(3)	Represents the amount of OTTI losses in AOCI, which were not included in earnings. Amount excludes $0.1 million of net unrealized gains on impaired available-for-sale securities relating to changes in the value of such securities subsequent to the impairment measurement date.

The following tables show the fair value and gross unrealized losses aggregated by investment category and length of time that individual fixed maturity securities and equity securities have been in a continuous unrealized loss position, as of the dates indicated:



	September 30, 2016
	Less than twelve months				Twelve months or more				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
	(in thousands)
Fixed maturities, available-for-sale
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	1,239,232	$	20,766	$	0	$	0	$	1,239,232	$	20,766
Obligations of U.S. states and their political subdivisions	0		0		0		0		0		0
Foreign government bonds	2,690		4		0		0		2,690		4
Public utilities	8,168		1,238		17,325		2,053		25,493		3,291
Redeemable preferred stock	2,950		19		0		0		2,950		19
All other U.S. public corporate securities	46,243		113		13,369		1,110		59,612		1,223
All other U.S. private corporate securities	50,013		2,142		20,556		5,723		70,569		7,865
All other foreign public corporate securities	14,402		8		9,909		91		24,311		99
All other foreign private corporate securities	58,036		1,611		64,374		5,378		122,410		6,989
Asset-backed securities	28,462		694		38,224		137		66,686		831
Commercial mortgage-backed securities	31,284		135		0		0		31,284		135
Residential mortgage-backed securities	87		1		0		0		87		1
Total	$	1,481,567	$	26,731	$	163,757	$	14,492	$	1,645,324	$	41,223
Equity securities, available-for-sale	$	0	$	0	$	0	$	0	$	0	$	0



	December 31, 2015
	Less than twelve months				Twelve months or more				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
	(in thousands)
Fixed maturities, available-for-sale
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	8,480	$	107	$	0	$	0	$	8,480	$	107
Obligations of U.S. states and their political subdivisions	6,887		378		0		0		6,887		378
Foreign government bonds	13,616		28		0		0		13,616		28
Public utilities	49,104		1,421		14,217		2,842		63,321		4,263
All other U.S. public corporate securities	207,578		6,297		29,828		1,420		237,406		7,717
All other U.S. private corporate securities	84,318		4,020		3,550		387		87,868		4,407
All other foreign public corporate securities	76,573		608		0		0		76,573		608
All other foreign private corporate securities	38,047		1,972		85,341		13,870		123,388		15,842
Asset-backed securities	50,195		430		26,359		262		76,554		692
Commercial mortgage-backed securities	55,065		642		833		10		55,898		652
Residential mortgage-backed securities	2,141		19		0		0		2,141		19
Total	$	592,004	$	15,922	$	160,128	$	18,791	$	752,132	$	34,713
Equity securities, available-for-sale	$	0	$	0	$	0	$	0	$	0	$	0

The gross unrealized losses on fixed maturity securities as of September 30, 2016 and December 31, 2015, are composed of $28.9 million and $22.6 million, respectively, related to high or highest quality securities based on the National Association of Insurance Commissioners (“NAIC”) or equivalent rating and $12.3 million and $12.1 million, respectively, related to other than high or highest quality securities based on NAIC or equivalent rating. As of September 30, 2016, the $14.5 million of gross unrealized losses of twelve months or more were concentrated in the transportation, consumer non-cyclical and utility sectors of the Company’s corporate securities. As of December 31, 2015, the $18.8 million of gross unrealized losses of twelve months or more were concentrated in the consumer non-cyclical, capital goods, utility and finance sectors of the Company’s corporate securities. In accordance with its policy described in Note 2 to the Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2015, the Company concluded that an adjustment to earnings for OTTI for these securities was not warranted at September 30, 2016 or December 31, 2015. These conclusions are based on a detailed analysis of the underlying credit and cash flows on each security. The gross unrealized losses are primarily attributable to general credit spread widening and foreign currency exchange rate movements. As of September 30, 2016, the Company does not intend to sell these securities and it is not more likely than not that the Company will be required to sell these securities before the anticipated recovery of the remaining amortized cost basis.

The amortized cost and fair value of fixed maturities by contractual maturities at September 30, 2016, are as follows:



	Available-for-Sale
	Amortized Cost		Fair Value
	(in thousands)
Due in one year or less	$	476,623	$	480,670
Due after one year through five years	1,403,762		1,447,830
Due after five years through ten years	1,383,206		1,460,019
Due after ten years	5,800,150		6,056,318
Asset-backed securities	319,989		322,676
Commercial mortgage-backed securities	485,170		508,808
Residential mortgage-backed securities	209,118		218,238
Total	$	10,078,018	$	10,494,559

Actual maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations. Asset-backed, commercial mortgage-backed and residential mortgage-backed securities are shown separately in the table above, as they are not due at a single maturity date.

The following table depicts the sources of fixed maturity and equity security proceeds and related investment gains (losses), as well as losses on impairments of both fixed maturities and equity securities:



	Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
	(in thousands)
Fixed maturities, available-for-sale
Proceeds from sales(1)	$	80,589		$	4,380		$	3,280,497		$	21,177
Proceeds from maturities/repayments(1)	100,931			96,304			295,769			371,310
Gross investment gains from sales, prepayments and maturities	10,238			168			98,157			5,124
Gross investment losses from sales and maturities	(257		)	(420		)	(1,303		)	(452		)
Equity securities, available-for-sale
Proceeds from sales	$	0		$	0		$	0		$	0
Gross investment gains from sales	0			0			0			0
Gross investment losses from sales	0			0			0			0
Fixed maturity and equity security impairments
Net writedowns for OTTI losses on fixed maturities recognized in earnings(2)	$	(82	)	$	0		$	(2,020	)	$	(20	)
Writedowns for impairments on equity securities	0			0			0			0


(1)	Includes $46.1 million and $0.5 million of non-cash related proceeds for the nine months ended September 30, 2016 and 2015, respectively.


(2)	Excludes the portion of OTTI recorded in “Other comprehensive income (loss),” representing any difference between the fair value of the impaired debt security and the net present value of its projected future cash flows at the time of the impairment.

As discussed in Note 2 to the Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2015, a portion of certain OTTI losses on fixed maturity securities is recognized in “Other comprehensive income (loss)" (“OCI”). For these securities, the net amount recognized in earnings (“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 OCI. The following tables set 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 OCI, and the corresponding changes in such amounts.



	Three Months Ended September 30, 2016			Nine Months Ended September 30, 2016
	(in thousands)
Balance, beginning of period	$	43		$	86
Credit loss impairments previously recognized on securities which matured, paid down, prepaid or were sold during the period	(128		)	(1,972		)
Credit loss impairments previously recognized on securities impaired to fair value during the period(1)	82			1,271
Increases due to the passage of time on previously recorded credit losses	18			24
Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected	(6		)	(7		)
Assets transferred to parent and affiliates	0			607
Balance, end of period	$	9		$	9



	Three Months Ended September 30, 2015			Nine Months Ended September 30, 2015
	(in thousands)
Balance, beginning of period	$	98		$	93
Credit loss impairments previously recognized on securities which matured, paid down, prepaid or were sold during the period	(5		)	(13		)
Additional credit loss impairments recognized in the current period on securities previously impaired	0			20
Increases due to the passage of time on previously recorded credit losses	0			0
Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected	(1		)	(8		)
Assets transferred to parent and affiliates	0			0
Balance, end of period	$	92		$	92


(1)	Represents circumstances where the Company determined in the current period that it intends to sell the security or it is more likely than not that it will be required to sell the security before recovery of the security's amortized cost.

Trading Account Assets

The following table sets forth the composition of “Trading account assets” as of the dates indicated:



	September 30, 2016				December 31, 2015
	Amortized Cost		Fair Value		Amortized Cost		Fair Value
	(in thousands)
Fixed maturities	$	147,032	$	159,030	$	0	$	0
Equity securities	7,385		10,939		5,618		5,653
Total trading account assets	$	154,417	$	169,969	$	5,618	$	5,653

The net change in unrealized gains (losses) from trading account assets still held at period end, recorded within “Asset administration fees and other income,” was $(0.1) million and $(0.4) million for the three months ended September 30, 2016 and 2015, respectively, and $15.5 million and $(0.5) million for the nine months ended September 30, 2016 and 2015, respectively.

Commercial Mortgage and Other Loans

The Company’s commercial mortgage and other loans are comprised as follows, as of the dates indicated:



	September 30, 2016					December 31, 2015
	Amount (in thousands)			% of Total		Amount (in thousands)			% of Total
Commercial mortgage and agricultural property loans by property type:
Apartments/Multi-Family	$	266,929		21.7	%	$	136,190		31.2	%
Industrial	247,198			20.0		58,621			13.5
Retail	223,302			18.1		67,358			15.5
Office	317,435			25.7		100,357			23.0
Other	89,882			7.3		18,660			4.3
Hospitality	10,417			0.8		4,963			1.1
Total commercial mortgage loans	1,155,163			93.6		386,149			88.6
Agricultural property loans	79,532			6.4		49,926			11.4
Total commercial mortgage and agricultural property loans by property type	1,234,695			100.0	%	436,075			100.0	%
Valuation allowance	(1,895		)			(643		)
Total net commercial mortgage and agricultural property loans by property type	1,232,800					435,432
Other Loans
Uncollateralized loans	0					2,740
Valuation allowance	0					0
Total net other loans	0					2,740
Total commercial mortgage and other loans	$	1,232,800				$	438,172

The commercial mortgage and agricultural property loans are geographically dispersed throughout the United States (with the largest concentrations in California (27%), Texas (13%) and New Jersey (7%)) and include loans secured by properties in Europe and Australia at September 30, 2016.

Activity in the allowance for credit losses for all commercial mortgage and other loans, as of the dates indicated, is as follows:



	September 30, 2016
	Commercial Mortgage Loans		Agricultural Property Loans			Uncollateralized Loans		Total
	(in thousands)
Allowance for credit losses, beginning of year	$	622	$	21		$	0	$	643
Addition to (release of) allowance for losses	1,253		(1		)	0		1,252
Charge-offs, net of recoveries	0		0			0		0
Total ending balance	$	1,875	$	20		$	0	$	1,895



	December 31, 2015
	Commercial Mortgage Loans		Agricultural Property Loans			Uncollateralized Loans		Total
	(in thousands)
Allowance for credit losses, beginning of year	$	455	$	27		$	0	$	482
Addition to (release of) allowance for losses	167		(6		)	0		161
Charge-offs, net of recoveries	0		0			0		0
Total ending balance	$	622	$	21		$	0	$	643

The following tables set forth the allowance for credit losses and the recorded investment in commercial mortgage and other loans as of the dates indicated:



	September 30, 2016
	Commercial Mortgage Loans		Agricultural Property Loans		Uncollateralized Loans		Total
	(in thousands)
Allowance for Credit Losses:
Individually evaluated for impairment	$	0	$	0	$	0	$	0
Collectively evaluated for impairment	1,875		20		0		1,895
Loans acquired with deteriorated credit quality	0		0		0		0
Total ending balance	$	1,875	$	20	$	0	$	1,895



Recorded Investment(1):
Gross of reserves: individually evaluated for impairment	$	1,750	$	0	$	0	$	1,750
Gross of reserves: collectively evaluated for impairment	1,153,413		79,532		0		1,232,945
Gross of reserves: loans acquired with deteriorated credit quality	0		0		0		0
Total ending balance, gross of reserves	$	1,155,163	$	79,532	$	0	$	1,234,695


(1)	Recorded investment reflects the carrying value gross of related allowance.



	December 31, 2015
	Commercial Mortgage Loans		Agricultural Property Loans		Uncollateralized Loans		Total
	(in thousands)
Allowance for Credit Losses:
Individually evaluated for impairment	$	0	$	0	$	0	$	0
Collectively evaluated for impairment	622		21		0		643
Loans acquired with deteriorated credit quality	0		0		0		0
Total ending balance	$	622	$	21	$	0	$	643



Recorded Investment(1):
Gross of reserves: individually evaluated for impairment	$	0	$	0	$	0	$	0
Gross of reserves: collectively evaluated for impairment	386,149		49,926		2,740		438,815
Gross of reserves: loans acquired with deteriorated credit quality	0		0		0		0
Total ending balance, gross of reserves	$	386,149	$	49,926	$	2,740	$	438,815


(1)	Recorded investment reflects the carrying value gross of related allowance.

Impaired loans include those loans for which it is probable that all amounts due will not be collected according to the contractual terms of the loan agreement. Impaired commercial mortgage and other loans identified in management's specific review of probable loan losses and the related allowance for losses, as of the dates indicated, are as follows:



	September 30, 2016
	Recorded Investment(1)		Unpaid Principal Balance		Related Allowance		Average Recorded Investment Before Allowance(2)		Interest Income Recognized(3)
	(in thousands)
With no related allowance recorded	$	0	$	0	$	0	$	0	$	0
With an allowance recorded	0		0		0		0		0
Total	$	0	$	0	$	0	$	0	$	0


(1)	Recorded investment reflects the carrying value gross of related allowance.


(2)	Average recorded investment represents the average of the beginning-of-period and all subsequent quarterly end-of-period balances.


(3)	The interest income recognized is for the year-to-date income regardless of when the impairments occurred.



	December 31, 2015
	Recorded Investment(1)		Unpaid Principal Balance		Related Allowance		Average Recorded Investment Before Allowance(2)		Interest Income Recognized(3)
	(in thousands)
With no related allowance recorded	$	0	$	0	$	0	$	0	$	0
With an allowance recorded	0		0		0		0		0
Total	$	0	$	0	$	0	$	0	$	0


(1)	Recorded investment reflects the carrying value gross of related allowance.


(2)	Average recorded investment represents the average of the beginning-of-period and all subsequent quarterly end-of-period balances.


(3)	The interest income recognized is for the year-to-date income regardless of when the impairments occurred.

The following tables set forth certain key credit quality indicators based upon the recorded investment gross of allowance for credit losses as of the dates indicated:



	Debt Service Coverage Ratio - September 30, 2016
	Greater than 1.2X		1.0X to <1.2X		Less than 1.0X		Total
	(in thousands)
Loan-to-Value Ratio
0%-59.99%	$	629,041	$	9,984	$	4,750	$	643,775
60%-69.99%	423,553		1,785		0		425,338
70%-79.99%	151,575		12,935		0		164,510
Greater than 80%	0		0		1,072		1,072
Total commercial mortgage and agricultural property loans	$	1,204,169	$	24,704	$	5,822	$	1,234,695



	Debt Service Coverage Ratio - December 31, 2015
	Greater than 1.2X		1.0X to <1.2X		Less than 1.0X		Total
	(in thousands)
Loan-to-Value Ratio
0%-59.99%	$	303,215	$	9,073	$	992	$	313,280
60%-69.99%	95,977		0		0		95,977
70%-79.99%	25,401		1,417		0		26,818
Greater than 80%	0		0		0		0
Total commercial mortgage and agricultural property loans	$	424,593	$	10,490	$	992	$	436,075

The following tables provide an aging of past due commercial mortgage and other loans as of the dates indicated, based upon the recorded investment gross of allowance for credit losses, as well as the amount of commercial mortgage loans on nonaccrual status as of the dates indicated.



	September 30, 2016
	Current		30-59 Days Past Due		60-89 Days Past Due		Greater Than 90 Days		Total Commercial Mortgage and Other Loans		NonAccrual Status
	(in thousands)
Commercial mortgage loans	$	1,155,163	$	0	$	0	$	0	$	1,155,163	$	0
Agricultural property loans	79,532		0		0		0		79,532		0
Uncollateralized loans	0		0		0		0		0		0
Total	$	1,234,695	$	0	$	0	$	0	$	1,234,695	$	0



	December 31, 2015
	Current		30-59 Days Past Due		60-89 Days Past Due		Greater Than 90 Days		Total Commercial Mortgage and Other Loans		NonAccrual Status
	(in thousands)
Commercial mortgage loans	$	386,149	$	0	$	0	$	0	$	386,149	$	0
Agricultural property loans	49,926		0		0		0		49,926		0
Uncollateralized loans	2,740		0		0		0		2,740		0
Total	$	438,815	$	0	$	0	$	0	$	438,815	$	0

See Note 2 to the Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2015 for further discussion regarding nonaccrual status loans.

For the three and nine months ended September 30, 2016 and 2015, there were no commercial mortgage and other loans acquired, other than those through direct origination, nor were there any commercial mortgage and other loans sold. For the three months ended September 30, 2016, there were no transfers of commercial mortgage and other loans from related parties. For the nine months ended September 30, 2016, the Company received $580 million of commercial mortgage and other loans from related parties. See Note 1 for additional information.

The Company’s commercial mortgage and other loans may occasionally be involved in a troubled debt restructuring. As of both September 30, 2016 and December 31, 2015, the Company had no significant commitments to borrowers that have been involved in a troubled debt restructuring. For the three and nine months ended September 30, 2016 and 2015, there were no new troubled debt restructurings related to commercial mortgage and other loans and no payment defaults on commercial mortgage and other loans that were modified as a troubled debt restructuring within the twelve months preceding. For additional information relating to the accounting for troubled debt restructurings, see Note 2 to the Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2015.

As of both September 30, 2016 and December 31, 2015, the Company did not have any foreclosed residential real estate property.

Net Investment Income

Net investment income for the three and nine months ended September 30, 2016 and 2015, was from the following sources:



	Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
	(in thousands)
Fixed maturities, available-for-sale	$	75,271		$	28,233		$	168,655		$	87,876
Trading account assets	1,128			3			2,193			34
Commercial mortgage and other loans	11,730			6,120			28,106			16,364
Policy loans	185			175			517			563
Short-term investments	10,615			126			18,312			227
Other long-term investments	20,176			(257		)	23,162			3,773
Gross investment income	119,105			34,400			240,945			108,837
Less: investment expenses	(3,787		)	(1,290		)	(7,798		)	(4,082		)
Net investment income	$	115,318		$	33,110		$	233,147		$	104,755

Realized Investment Gains (Losses), Net

Realized investment gains (losses), net, for the three and nine months ended September 30, 2016 and 2015, were from the following sources:



	Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
	(in thousands)
Fixed maturities	$	9,899		$	(252	)	$	94,834		$	4,652
Equity securities	0			0			0			0
Commercial mortgage and other loans	(422		)	(75		)	(1,823		)	12
Derivatives	(45,139		)	6,014			(2,590,550		)	5,342
Short-term investments and cash equivalents	104			0			527			0
Other investments	(167		)	0			(649		)	0
Realized investment gains (losses), net	$	(35,725	)	$	5,687		$	(2,497,661	)	$	10,006

Accumulated Other Comprehensive Income (Loss)

The balance of and changes in each component of “Accumulated other comprehensive income (loss)” for the nine months ended September 30, 2016 and 2015 are as follows:



	Accumulated Other Comprehensive Income (Loss)
	Foreign Currency Translation Adjustment			Net Unrealized Investment Gains (Losses)(1)			Total Accumulated Other Comprehensive Income (Loss)
	(in thousands)
Balance, December 31, 2015	$	(65	)	$	46,231		$	46,166
Change in OCI before reclassifications	20			371,299			371,319
Amounts reclassified from AOCI	0			(94,834		)	(94,834		)
Income tax benefit (expense)	(7		)	(96,762		)	(96,769		)
Balance, September 30, 2016	$	(52	)	$	225,934		$	225,882



	Accumulated Other Comprehensive Income (Loss)
	Foreign Currency Translation Adjustment			Net Unrealized Investment Gains (Losses)(1)			Total Accumulated Other Comprehensive Income (Loss)
	(in thousands)
Balance, December 31, 2014	$	(30	)	$	84,652		$	84,622
Change in OCI before reclassifications	(39		)	(29,267		)	(29,306		)
Amounts reclassified from AOCI	0			(4,652		)	(4,652		)
Income tax benefit (expense)	14			11,872			11,886
Balance, September 30, 2015	$	(55	)	$	62,605		$	62,550


(1)	Includes cash flow hedges of $7.7 million and $14.8 million as of September 30, 2016 and December 31, 2015, respectively, and $13.4 million and $5.0 million as of September 30, 2015 and December 31, 2014, respectively.

Reclassifications out of Accumulated Other Comprehensive Income (Loss)



	Three Months Ended September 30,					Nine Months Ended September 30,
	2016		2015			2016		2015
	(in thousands)
Amounts reclassified from AOCI(1)(2):
Net unrealized investment gains (losses):
Cash flow hedges—Currency/ Interest rate(3)	$	1,342	$	606		$	6,989	$	1,540
Net unrealized investment gains (losses) on available-for-sale securities	8,555		(858		)	87,845		3,112
Total net unrealized investment gains (losses)(4)	9,897		(252		)	94,834		4,652
Total reclassifications for the period	$	9,897	$	(252	)	$	94,834	$	4,652


(1)	All amounts are shown before tax.


(2)	Positive amounts indicate gains/benefits reclassified out of AOCI. Negative amounts indicate losses/costs reclassified out of AOCI.


(3)	See Note 5 for additional information on cash flow hedges.


(4)	See table below for additional information on unrealized investment gains (losses), including the impact on deferred policy acquisition costs and other costs and future policy benefits.

Net Unrealized Investment Gains (Losses)

Net unrealized investment gains and losses on securities classified as available-for-sale and certain other long-term investments and other assets are included in the Company’s Unaudited Interim Statements of Financial Position as a component of AOCI. Changes in these amounts include reclassification adjustments to exclude from OCI those items that are included as part of “Net income” for a period that had been part of OCI in earlier periods. The amounts for the periods indicated below, split between amounts related to fixed maturity securities on which an OTTI loss has been recognized, and all other net unrealized investment gains and losses, are as follows:

Net Unrealized Investment Gains and Losses on Fixed Maturity Securities on which an OTTI loss has been recognized



	Net Unrealized Gains (Losses) on Investments			Deferred Policy Acquisition Costs and Other Costs			Future Policy Benefits			Deferred Income Tax (Liability) Benefit			Accumulated Other Comprehensive Income (Loss) Related to Net Unrealized Investment Gains (Losses)
	(in thousands)
Balance, December 31, 2015	$	9		$	(3	)	$	0		$	14		$	20
Net investment gains (losses) on investments arising during the period	171			0			0			(60		)	111
Reclassification adjustment for (gains) losses included in net income	539			0			0			(189		)	350
Reclassification adjustment for (gains) losses excluded from net income(1)	(1,412		)	0			0			494			(918		)
Impact of net unrealized investment (gains) losses on deferred policy acquisition costs and other costs	0			(171		)	0			60			(111		)
Impact of net unrealized investment (gains) losses on future policy benefits	0			0			(42		)	15			(27		)
Balance, September 30, 2016	$	(693	)	$	(174	)	$	(42	)	$	334		$	(575	)


(1)	Represents "transfers in" related to the portion of OTTI losses recognized during the period that were not recognized in earnings for securities with no prior OTTI loss.

All Other Net Unrealized Investment Gains and Losses in AOCI



	Net Unrealized Gains (Losses) on Investments(2)			Deferred Policy Acquisition Costs and Other Costs			Future Policy Benefits			Deferred Income Tax (Liability) Benefit			Accumulated Other Comprehensive Income (Loss) Related to Net Unrealized Investment Gains (Losses)
	(in thousands)
Balance, December 31, 2015	$	107,451		$	(30,465	)	$	(4,596	)	$	(26,179	)	$	46,211
Net investment gains (losses) on investments arising during the period	412,615			0			0			(144,415		)	268,200
Reclassification adjustment for (gains) losses included in net income	(95,373		)	0			0			33,381			(61,992		)
Reclassification adjustment for (gains) losses excluded from net income(1)	1,412			0			0			(494		)	918
Impact of net unrealized investment (gains) losses on deferred policy acquisition costs and other costs	0			(33,353		)	0			11,674			(21,679		)
Impact of net unrealized investment (gains) losses on future policy benefits	0			0			(7,921		)	2,772			(5,149		)
Balance, September 30, 2016	$	426,105		$	(63,818	)	$	(12,517	)	$	(123,261	)	$	226,509


(1)	Represents "transfers out" related to the portion of OTTI losses recognized during the period that were not recognized in earnings for securities with no prior OTTI loss.


(2)	Includes cash flow hedges. See Note 5 for information on cash flow hedges.

Net Unrealized Gains (Losses) on Investments by Asset Class

The table below presents net unrealized gains (losses) on investments by asset class as of the dates indicated:



	September 30, 2016			December 31, 2015
	(in thousands)
Fixed maturity securities on which an OTTI loss has been recognized	$	(693	)	$	9
Fixed maturity securities, available-for-sale—all other	417,234			90,637
Equity securities, available-for-sale	4			3
Affiliated notes	1,453			1,660
Derivatives designated as cash flow hedges(1)	7,739			14,847
Other investments	(325		)	304
Net unrealized gains (losses) on investments	$	425,412		$	107,460


(1)	See Note 5 for more information on cash flow hedges.

Securities Lending and Repurchase Agreements

In the normal course of business, the Company sells securities under agreements to repurchase and enters into securities lending transactions. As of September 30, 2016, the Company had $21.1 million of securities lending transactions recorded as "Cash collateral for loaned securities," comprised of $15.6 million in corporate securities and $5.5 million in foreign government bonds. As of December 31, 2015, the Company had $10.6 million of securities lending transactions recorded as "Cash collateral for loaned securities," all of which were corporate securities. The remaining contractual maturity of all securities lending transactions was overnight and continuous. As of both September 30, 2016 and December 31, 2015, the Company had no repurchase agreement transactions.