INVESTMENTS

Fixed Maturities and Equity Securities

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



	March 31, 2017
	Amortized Cost or 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	$	5,132,074	$	2,661	$	501,335	$	4,633,400	$	0
Obligations of U.S. states and their political subdivisions	91,978		625		2,768		89,835		0
Foreign government bonds	89,511		6,193		162		95,542		0
Public utilities	516,787		15,225		7,625		524,387		0
Redeemable preferred stock	29,562		1,254		168		30,648		0
All other U.S. public corporate securities	1,557,141		75,062		8,684		1,623,519		0
All other U.S. private corporate securities	975,332		29,271		8,535		996,068		(694		)
All other foreign public corporate securities	160,432		5,718		715		165,435		0
All other foreign private corporate securities	541,512		9,149		12,903		537,758		0
Asset-backed securities(1)	312,110		3,689		204		315,595		0
Commercial mortgage-backed securities	484,174		6,347		6,388		484,133		0
Residential mortgage-backed securities(2)	187,746		3,663		631		190,778		(5		)
Total fixed maturities, available-for-sale	$	10,078,359	$	158,857	$	550,118	$	9,687,098	$	(699	)
Equity securities, available-for-sale:
Common stocks:
Industrial, miscellaneous & other	$	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 gains on impaired available-for-sale securities relating to changes in the value of such securities subsequent to the impairment measurement date.



	December 31, 2016
	Amortized Cost or 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	$	4,998,652	$	2,487	$	536,114	$	4,465,025	$	0
Obligations of U.S. states and their political subdivisions	92,107		566		2,699		89,974		0
Foreign government bonds	64,352		5,404		370		69,386		0
Public utilities	448,349		13,155		10,348		451,156		0
Redeemable preferred stock	29,581		288		633		29,236		0
All other U.S. public corporate securities	1,619,814		73,819		10,153		1,683,480		(771		)
All other U.S. private corporate securities	951,324		27,234		13,810		964,748		(694		)
All other foreign public corporate securities	183,253		5,410		1,022		187,641		0
All other foreign private corporate securities	501,140		5,349		20,450		486,039		0
Asset-backed securities(1)	248,547		3,227		465		251,309		0
Commercial mortgage-backed securities	484,673		6,793		6,753		484,713		0
Residential mortgage-backed securities(2)	196,506		4,063		513		200,056		(5		)
Total fixed maturities, available-for-sale	$	9,818,298	$	147,795	$	603,330	$	9,362,763	$	(1,470	)
Equity securities, available-for-sale:
Common stocks:
Industrial, miscellaneous & other	$	351	$	0	$	351	$	0
Mutual funds	14		4		0		18
Total equity securities, available-for-sale	$	365	$	4	$	351	$	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 AOCI, which were not included in earnings. Amount excludes $0.2 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 set forth the fair value and gross unrealized losses aggregated by investment category and length of time that individual fixed maturity and equity securities had been in a continuous unrealized loss position, as of the dates indicated:



	March 31, 2017
	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	$	4,433,715	$	501,335	$	0	$	0	$	4,433,715	$	501,335
Obligations of U.S. states and their political subdivisions	73,724		2,768		0		0		73,724		2,768
Foreign government bonds	10,293		162		0		0		10,293		162
Public utilities	239,818		5,812		17,496		1,813		257,314		7,625
Redeemable preferred stock	13,393		168		0		0		13,393		168
All other U.S. public corporate securities	479,998		7,501		13,149		1,183		493,147		8,684
All other U.S. private corporate securities	354,270		7,295		4,538		1,240		358,808		8,535
All other foreign public corporate securities	60,542		715		0		0		60,542		715
All other foreign private corporate securities	212,580		7,417		53,735		5,486		266,315		12,903
Asset-backed securities	75,588		201		8,999		3		84,587		204
Commercial mortgage-backed securities	295,109		6,388		0		0		295,109		6,388
Residential mortgage-backed securities	90,906		631		0		0		90,906		631
Total fixed maturities, available-for-sale	$	6,339,936	$	540,393	$	97,917	$	9,725	$	6,437,853	$	550,118
Equity securities, available-for-sale	$	0	$	0	$	0	$	0	$	0	$	0



	December 31, 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	$	4,254,477	$	536,114	$	0	$	0	$	4,254,477	$	536,114
Obligations of U.S. states and their political subdivisions	73,885		2,699		0		0		73,885		2,699
Foreign government bonds	32,107		370		0		0		32,107		370
Public utilities	240,041		8,019		17,097		2,329		257,138		10,348
Redeemable preferred stock	12,948		633		0		0		12,948		633
All other U.S. public corporate securities	530,904		8,798		12,981		1,355		543,885		10,153
All other U.S. private corporate securities	453,976		13,632		12,304		178		466,280		13,810
All other foreign public corporate securities	89,962		1,016		9,994		6		99,956		1,022
All other foreign private corporate securities	247,111		11,661		58,214		8,789		305,325		20,450
Asset-backed securities	67,246		439		16,489		26		83,735		465
Commercial mortgage-backed securities	293,651		6,753		0		0		293,651		6,753
Residential mortgage-backed securities	68,283		513		0		0		68,283		513
Total fixed maturities, available-for-sale	$	6,364,591	$	590,647	$	127,079	$	12,683	$	6,491,670	$	603,330
Equity securities, available-for-sale	$	0	$	351	$	0	$	0	$	0	$	351

As of March 31, 2017 and December 31, 2016, the gross unrealized losses on fixed maturities were composed of $544.9 million and $594.9 million, respectively, related to high or highest quality securities based on the National Association of Insurance Commissioners (“NAIC”) or equivalent rating and $5.2 million and $8.4 million, respectively, related to other than high or highest quality securities based on NAIC or equivalent rating. As of March 31, 2017, the $9.7 million of gross unrealized losses of twelve months or more were concentrated in the consumer non-cyclical, utility and energy sectors of the Company’s corporate securities. As of December 31, 2016, the $12.7 million of gross unrealized losses of twelve months or more were concentrated in the consumer non-cyclical, finance and utility 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, 2016, the Company concluded that an adjustment to earnings for OTTI for these fixed maturities was not warranted at either March 31, 2017 or December 31, 2016. These conclusions are based on a detailed analysis of the underlying credit and cash flows on each security. Gross unrealized losses are primarily attributable to general credit spread widening, increases in interest rates and foreign currency exchange rate movements. As of March 31, 2017, the Company did not intend to sell these securities, and it was not more likely than not that the Company would be required to sell these securities before the anticipated recovery of the remaining amortized cost basis.

At December 31, 2016, all of the gross unrealized losses on equity securities represented declines in value of greater than 20%, all of which had been in that position for less than six months.

The following table sets forth the amortized cost and fair value of fixed maturities by contractual maturities, as of the date indicated:



	March 31, 2017
	Amortized Cost		Fair Value
	(in thousands)
Fixed maturities, available-for-sale:
Due in one year or less	$	628,670	$	635,530
Due after one year through five years	1,277,425		1,299,750
Due after five years through ten years	1,313,341		1,353,243
Due after ten years	5,874,893		5,408,069
Asset-backed securities	312,110		315,595
Commercial mortgage-backed securities	484,174		484,133
Residential mortgage-backed securities	187,746		190,778
Total fixed maturities, available-for-sale	$	10,078,359	$	9,687,098

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 do not have a single maturity date.

The following table sets forth 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, for the periods indicated:



	Three Months Ended March 31,
	2017			2016
	(in thousands)
Fixed maturities, available-for-sale:
Proceeds from sales(1)	$	166,834		$	30,474
Proceeds from maturities/prepayments	121,865			45,601
Gross investment gains from sales and maturities	75			86
Gross investment losses from sales and maturities	(433		)	(295		)
OTTI recognized in earnings(2)	(2,655		)	(1,937		)
Equity securities, available-for-sale:
Proceeds from sales	$	0		$	0
Gross investment gains from sales	0			0
Gross investment losses from sales	0			0
OTTI recognized in earnings	0			0


(1)	Includes $(0.6) million and $1.4 million of non-cash related proceeds for the three months ended March 31, 2017 and 2016, respectively.


(2)	Excludes the portion of OTTI recorded in “Other comprehensive income (loss)” ("OCI"), 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.

The following tables set forth the amount of pre-tax credit loss impairments on fixed maturities held by the Company for which a portion of the OTTI loss was recognized in OCI and the corresponding changes in such amounts, for the periods indicated:



	Three Months Ended March 31,
	2017			2016
	(in thousands)
Credit loss impairments:
Balance, beginning of period	$	1,325		$	86
New credit loss impairments	0			1,189
Increases due to the passage of time on previously recorded credit losses	3			0
Reductions for securities which matured, paid down, prepaid or were sold during the period	0			(3		)
Reductions for securities impaired to fair value during the period(1)	(520		)	0
Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected	(2		)	(1		)
Balance, end of period	$	806		$	1,271


(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:



	March 31, 2017				December 31, 2016
	Amortized Cost or Cost		Fair Value		Amortized Cost or Cost		Fair Value
	(in thousands)
Fixed maturities	$	147,082	$	141,218	$	147,057	$	139,513
Equity securities	7,586		10,802		7,551		10,358
Total trading account assets	$	154,668	$	152,020	$	154,608	$	149,871

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 $2.1 million and $1.8 million for the three months ended March 31, 2017 and 2016, respectively.

Commercial Mortgage and Other Loans

The following table sets forth the composition of the Company’s commercial mortgage and other loans, as of the dates indicated:



	March 31, 2017					December 31, 2016
	Amount (in thousands)			% of Total		Amount (in thousands)			% of Total
Commercial mortgage and agricultural property loans by property type:
Apartments/Multi-Family	$	294,356		23.1	%	$	277,296		22.5	%
Industrial	281,966			22.1		263,705			21.4
Hospitality	3,890			0.3		3,925			0.3
Office	295,671			23.1		294,304			23.8
Other	92,147			7.2		87,465			7.1
Retail	221,400			17.3		223,252			18.1
Total commercial mortgage loans	1,189,430			93.1		1,149,947			93.2
Agricultural property loans	87,932			6.9		84,235			6.8
Total commercial mortgage and agricultural property loans by property type	1,277,362			100.0	%	1,234,182			100.0	%
Valuation allowance	(2,278		)			(2,289		)
Total commercial mortgage and other loans	$	1,275,084				$	1,231,893

As of March 31, 2017, the commercial mortgage and agricultural property loans were geographically dispersed throughout the United States (with the largest concentrations in California (27%), Texas (13%) and New Jersey (6%)) and included loans secured by properties in Europe and Australia.

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



	March 31, 2017
	Commercial Mortgage Loans			Agricultural Property Loans		Total
	(in thousands)
Allowance for credit losses:
Balance, beginning of year	$	2,267		$	22	$	2,289
Addition to (release of) allowance for losses	(24		)	13		(11		)
Charge-offs, net of recoveries	0			0		0
Total ending balance	$	2,243		$	35	$	2,278



	December 31, 2016
	Commercial Mortgage Loans		Agricultural Property Loans		Total
	(in thousands)
Allowance for credit losses:
Balance, beginning of year	$	622	$	21	$	643
Addition to (release of) allowance for losses	1,645		1		1,646
Charge-offs, net of recoveries	0		0		0
Total ending balance	$	2,267	$	22	$	2,289

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:



	March 31, 2017
	Commercial Mortgage Loans		Agricultural Property Loans		Total
	(in thousands)
Allowance for credit losses:
Individually evaluated for impairment	$	0	$	0	$	0
Collectively evaluated for impairment	2,243		35		2,278
Total ending balance(1)	$	2,243	$	35	$	2,278
Recorded investment(2):
Individually evaluated for impairment	$	1,680	$	0	$	1,680
Collectively evaluated for impairment	1,187,750		87,932		1,275,682
Total ending balance(1)	$	1,189,430	$	87,932	$	1,277,362


(1)	As of March 31, 2017, there were no loans acquired with deteriorated credit quality.


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



	December 31, 2016
	Commercial Mortgage Loans		Agricultural Property Loans		Total
	(in thousands)
Allowance for credit losses:
Individually evaluated for impairment	$	0	$	0	$	0
Collectively evaluated for impairment	2,267		22		2,289
Total ending balance(1)	$	2,267	$	22	$	2,289
Recorded investment(2):
Individually evaluated for impairment	$	1,715	$	0	$	1,715
Collectively evaluated for impairment	1,148,232		84,235		1,232,467
Total ending balance(1)	$	1,149,947	$	84,235	$	1,234,182


(1)	As of December 31, 2016, there were no loans acquired with deteriorated credit quality.


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

The following tables set forth certain key credit quality indicators for commercial mortgage and agricultural property loans based upon the recorded investment gross of allowance for credit losses, as of the dates indicated:



	Debt Service Coverage Ratio - March 31, 2017
	≥ 1.2X		1.0X to <1.2X		< 1.0X		Total
	(in thousands)
Loan-to-Value Ratio:
0%-59.99%	$	679,334	$	15,735	$	550	$	695,619
60%-69.99%	449,992		3,760		0		453,752
70%-79.99%	101,832		15,372		0		117,204
80% or greater	9,726		1,061		0		10,787
Total loans	$	1,240,884	$	35,928	$	550	$	1,277,362



	Debt Service Coverage Ratio - December 31, 2016
	≥ 1.2X		1.0X to <1.2X		< 1.0X		Total
	(in thousands)
Loan-to-Value Ratio:
0%-59.99%	$	667,051	$	16,921	$	4,610	$	688,582
60%-69.99%	406,728		0		3,817		410,545
70%-79.99%	108,770		15,493		0		124,263
80% or greater	9,725		0		1,067		10,792
Total loans	$	1,192,274	$	32,414	$	9,494	$	1,234,182

The following tables set forth the aging of past due commercial mortgage and other loans based upon the recorded investment gross of allowance for credit losses, as well as the amount of commercial mortgage and other loans on non-accrual status, as of the dates indicated:



	March 31, 2017
	Current		30-59 Days Past Due		60-89 Days Past Due		90 Days or More Past Due(1)		Total Loans		Non-Accrual Status(2)
	(in thousands)
Commercial mortgage loans	$	1,189,430	$	0	$	0	$	0	$	1,189,430	$	0
Agricultural property loans	87,932		0		0		0		87,932		0
Total	$	1,277,362	$	0	$	0	$	0	$	1,277,362	$	0


(1)	As of March 31, 2017, there were no loans in this category accruing interest.


(2)	For additional information regarding our policies for accruing interest on loans, see Note 2 to the Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2016.



	December 31, 2016
	Current		30-59 Days Past Due		60-89 Days Past Due		90 Days or More Past Due(1)		Total Loans		Non-Accrual Status(2)
	(in thousands)
Commercial mortgage loans	$	1,149,947	$	0	$	0	$	0	$	1,149,947	$	0
Agricultural property loans	84,235		0		0		0		84,235		0
Total	$	1,234,182	$	0	$	0	$	0	$	1,234,182	$	0


(1)	As of December 31, 2016, there were no loans in this category accruing interest.


(2)	For additional information regarding our policies for accruing interest on loans, see Note 2 to the Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2016.

For the three months ended March 31, 2017 and 2016, 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.

The Company’s commercial mortgage and other loans may occasionally be involved in a troubled debt restructuring. For the three months ended March 31, 2017 and 2016, 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. As of both March 31, 2017 and December 31, 2016, the Company had no significant commitments to provide additional funds to borrowers that had been involved in a troubled debt restructuring. 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, 2016.

Other Long-Term Investments

The following table sets forth the composition of “Other long-term investments,” as of the dates indicated:



	March 31, 2017		December 31, 2016
	(in thousands)
Joint ventures and limited partnerships:
Private equity	$	30,731	$	30,513
Hedge funds	101,784		98,554
Real estate-related	45,519		109,043
Total joint ventures and limited partnerships	178,034		238,110
Derivatives	73,154		313,821
Total other long-term investments	$	251,188	$	551,931

Net Investment Income

The following table sets forth net investment income by investment type, for the periods indicated:



	Three Months Ended March 31,
	2017			2016
	(in thousands)
Fixed maturities, available-for-sale	$	81,642		$	29,070
Trading account assets	1,105			2
Commercial mortgage and other loans	11,408			4,896
Policy loans	(44		)	110
Short-term investments	5,165			204
Other long-term investments	6,771			114
Gross investment income	106,047			34,396
Less: investment expenses	(3,798		)	(1,386		)
Net investment income	$	102,249		$	33,010

Realized Investment Gains (Losses), Net

The following table sets forth realized investment gains (losses), net, by investment type, for the periods indicated:



	Three Months Ended March 31,
	2017			2016
	(in thousands)
Fixed maturities	$	(3,013	)	$	(2,146	)
Commercial mortgage and other loans	11			(6		)
Joint ventures and limited partnerships	(23		)	(480		)
Derivatives(1)	12,481			(11,610		)
Short term investments and cash	29			0
Realized investment gains (losses), net	$	9,485		$	(14,242	)


(1)	Includes the hedged item offset in qualifying fair value hedge accounting relationships.

Net Unrealized Gains (Losses) on Investments

The following table sets forth net unrealized gains (losses) on investments, as of the dates indicated:



	March 31, 2017			December 31, 2016
	(in thousands)
Fixed maturity securities, available-for-sale — with OTTI	$	(667	)	$	(1,261	)
Fixed maturity securities, available-for-sale — all other	(390,594		)	(454,274		)
Equity securities, available-for-sale	4			(347		)
Affiliated notes	1,114			1,181
Derivatives designated as cash flow hedges(1)	5,926			11,745
Other investments	(560		)	(619		)
Net unrealized gains (losses) on investments	$	(384,777	)	$	(443,575	)


(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.

The following tables set forth the composition of "Cash collateral for loaned securities," as of the dates indicated:



	March 31, 2017
	Remaining Contractual Maturities of the Agreements
	Overnight & Continuous		Up to 30 Days		30 to 90 Days		Greater than 90 Days		Total
	(in thousands)
Foreign government bonds	$	10,647	$	0	$	0	$	0	$	10,647
U.S. public corporate securities	22,590		0		0		0		22,590
Foreign public corporate securities	2,060		0		0		0		2,060
Total cash collateral for loaned securities	$	35,297	$	0	$	0	$	0	$	35,297



	December 31, 2016
	Remaining Contractual Maturities of the Agreements
	Overnight & Continuous		Up to 30 Days		30 to 90 Days		Greater than 90 Days		Total
	(in thousands)
Foreign government bonds	$	10,712	$	0	$	0	$	0	$	10,712
U.S. public corporate securities	12,638		0		0		0		12,638
Foreign public corporate securities	0		0		0		0		0
Total cash collateral for loaned securities	$	23,350	$	0	$	0	$	0	$	23,350

As of March 31, 2017 and December 31, 2016, the Company had no "Securities sold under agreements to repurchase."