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”).



September 30, 2019:	Amortized Cost		Unrealized Gains		Unrealized Losses		Estimated Fair Value		% of Total		Other-than- temporary Impairments in AOCI
Available-for-sale:
Corporate	$	28,154,301	$	2,277,070	$	78,152	$	30,353,219	61.3	%	$	—
Canadian government	2,962,729		1,670,680		190		4,633,219		9.4		—
RMBS	2,360,691		81,367		2,216		2,439,842		4.9		—
ABS	2,809,008		27,621		13,994		2,822,635		5.7		275
CMBS	1,698,334		84,345		461		1,782,218		3.6		—
U.S. government	1,570,540		98,193		228		1,668,505		3.4		—
State and political subdivisions	1,078,019		113,684		1,600		1,190,103		2.4		—
Other foreign government	4,226,819		370,109		5,402		4,591,526		9.3		—
Total fixed maturity securities	$	44,860,441	$	4,723,069	$	102,243	$	49,481,267	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 September 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 September 30, 2019 and December 31, 2018 (dollars in thousands):



	September 30, 2019				December 31, 2018
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Fixed maturity securities pledged as collateral	$	95,387	$	99,393	$	80,891	$	83,950
Fixed maturity securities received as collateral	n/a		696,435		n/a		616,584
Assets in trust held to satisfy collateral requirements	26,332,915		28,368,125		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 September 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 September 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	$	1,538,152	$	1,547,966
Due after one year through five years	8,318,044		8,656,979
Due after five years through ten years	9,485,912		10,275,538
Due after ten years	18,650,300		21,956,089
Asset and mortgage-backed securities	6,868,033		7,044,695
Total	$	44,860,441	$	49,481,267



September 30, 2019:			Estimated
	Amortized Cost		Fair Value		% of Total
Finance	$	10,604,290	$	11,327,324	37.3	%
Industrial	14,099,496		15,213,256		50.1
Utility	3,450,515		3,812,639		12.6
Total	$	28,154,301	$	30,353,219	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 September 30, 2019 and 2018. There were no changes in these amounts from their respective prior-year ending balances.



	September 30, 2019				December 31, 2018
	Gross Unrealized Losses		% of Total		Gross Unrealized Losses		% of Total
Less than 20%	$	75,658	74.0	%	$	721,015	96.3	%
20% or more for less than six months	10,064		9.8		21,336		2.9
20% or more for six months or greater	16,521		16.2		6,139		0.8
Total	$	102,243	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 856 and 3,109 fixed maturity securities that have estimated fair values below amortized cost as of September 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
September 30, 2019:	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
Investment grade securities:
Corporate	$	1,570,113	$	25,598	$	410,462	$	11,576	$	1,980,575	$	37,174
Canadian government	867		10		17,509		180		18,376		190
RMBS	222,644		987		116,037		1,218		338,681		2,205
ABS	765,223		4,861		413,297		9,133		1,178,520		13,994
CMBS	48,699		218		32,638		232		81,337		450
U.S. government	2,758		7		65,220		221		67,978		228
State and political subdivisions	11,129		97		13,838		1,503		24,967		1,600
Other foreign government	198,170		3,474		45,430		761		243,600		4,235
Total investment grade securities	2,819,603		35,252		1,114,431		24,824		3,934,034		60,076
Below investment grade securities:
Corporate	206,108		24,561		122,670		16,417		328,778		40,978
RMBS	—		—		939		11		939		11
CMBS	1,042		11		—		—		1,042		11
Other foreign government	12,914		290		13,173		877		26,087		1,167
Total below investment grade securities	220,064		24,862		136,782		17,305		356,846		42,167
Total fixed maturity securities	$	3,039,667	$	60,114	$	1,251,213	$	42,129	$	4,290,880	$	102,243



	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 September 30,						Nine months ended September 30,
	2019			2018			2019			2018
Fixed maturity securities available-for-sale	$	464,431		$	378,669		$	1,307,359		$	1,121,496
Equity securities	1,709			1,319			3,600			3,710
Mortgage loans on real estate	67,071			54,424			187,142			155,083
Policy loans	14,580			14,730			43,083			44,285
Funds withheld at interest	81,862			108,232			209,568			270,094
Short-term investments and cash and cash equivalents	6,152			3,067			20,517			9,276
Other invested assets	66,611			35,594			140,757			80,207
Investment income	702,416			596,035			1,912,026			1,684,151
Investment expense	(23,611		)	(23,293		)	(69,266		)	(67,019		)
Investment income, net of related expenses	$	678,805		$	572,742		$	1,842,760		$	1,617,132



	Three months ended September 30,						Nine months ended September 30,
	2019			2018			2019			2018
Fixed maturity securities available-for-sale:
Other-than-temporary impairment losses	$	(8,539	)	$	(10,705	)	$	(17,992	)	$	(14,055	)
Gain on investment activity	67,980			20,040			116,409			52,146
Loss on investment activity	(12,996		)	(37,880		)	(38,589		)	(94,194		)
Equity securities:
Gain on investment activity	432			3,932			506			4,429
Loss on investment activity	—			(174		)	(1		)	(1,124		)
Change in unrealized gains (losses) recognized in earnings	3,396			3,539			9,813			(7,564		)
Other impairment losses and change in mortgage loan provision	(4,030		)	(6,566		)	(11,498		)	(8,235		)
Derivatives and other, net	2,541			7,797			10,396			37,538
Total investment related gains (losses), net	$	48,784		$	(20,017	)	$	69,044		$	(31,059	)

The fixed maturity impairments for the three months ended September 30, 2019 and 2018 are primarily related to high-yield securities. The fixed maturity impairments for the nine months ended September 30, 2019 were primarily related to a U.S. utility company and high-yield securities. The fixed maturity impairments for the nine months ended September 30, 2018 were primarily related to high-yield securities. The other impairment losses and change in mortgage loan provision for the three months ended September 30, 2019 includes impairments on limited partnerships. The other impairment losses and change in mortgage loan provision for the three months ended September 30, 2018 includes impairments on real estate joint ventures and limited partnerships. The other impairment losses and change in mortgage loan provision for the nine months ended September 30, 2019 and 2018 includes impairments on real estate joint ventures and limited partnerships. The fluctuations in investment related gains (losses) for derivatives and other for the three and nine months ended September 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 September 30, 2019 and 2018, the Company sold fixed maturity securities with fair values of $1,313.7 million and $1,345.3 million at losses of $13.0 million and $37.9 million, respectively. During the nine months ended September 30, 2019 and 2018, the Company sold fixed maturity securities with fair values of $3,026.5 million and $3,783.3 million at losses of $38.6 million and $94.2 million, respectively. The Company did not sell any equity securities at losses during the three months ended September 30, 2019. During the three months ended September 30, 2018, the Company sold equity securities with fair values of $3.1 million at losses of $0.2 million. During the nine months ended September 30, 2019, the Company sold equity securities for immaterial losses. During the nine months ended September 30, 2018, the Company sold equity securities with fair values $31.5 million at losses of $1.1 million. The Company generally does not buy and sell securities on a short-term basis.



	September 30, 2019				December 31, 2018
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Borrowed securities	$	335,408	$	372,617	$	335,781	$	366,663
Securities lending:
Securities loaned	97,606		104,191		101,981		102,618
Securities received	n/a		107,000		n/a		112,000
Repurchase program/reverse repurchase program:
Securities pledged	610,701		644,471		554,806		554,589
Securities received	n/a		624,348		n/a		530,932

The Company also held cash collateral for repurchase/reverse repurchase programs of $27.5 million and $28.6 million as of September 30, 2019 and December 31, 2018, respectively. No cash or securities have been pledged by the Company for its securities borrowing program as of September 30, 2019 and December 31, 2018.

The following tables present information on the Company’s securities lending and repurchase transactions as of September 30, 2019 and December 31, 2018, respectively (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.



	September 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	$	—	$	—	$	—	$	104,191	$	104,191
Total	—		—		—		104,191		104,191
Repurchase transactions:
Corporate	—		—		—		324,033		324,033
U.S. government	—		—		66,264		142,124		208,388
Foreign government	—		—		—		112,050		112,050
Other	—		—		—		—		—
Total	—		—		66,264		578,207		644,471
Total borrowings	$	—	$	—	$	66,264	$	682,398	$	748,662

Gross amount of recognized liabilities for securities lending and repurchase transactions in preceding table									$	758,883
Amounts related to agreements not included in offsetting disclosure									$	10,221



	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 September 30, 2019 and December 31, 2018, respectively. As of September 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 8.8% and 9.1% of the Company’s total investments as of September 30, 2019 and December 31, 2018. As of September 30, 2019, mortgage loans were geographically dispersed throughout the U.S. with the largest concentrations in California (17.0%), Texas (12.9%) and Washington (7.4%). In addition, the Company held mortgage 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.



	September 30, 2019					December 31, 2018
Property type:	Carrying Value			% of Total		Carrying Value			% of Total
Office building	$	1,787,871		31.6	%	$	1,725,748		34.6	%
Retail	1,645,521			29.0		1,432,394			28.7
Industrial	1,137,598			20.1		961,924			19.3
Apartment	748,392			13.2		571,291			11.5
Other commercial	347,972			6.1		291,997			5.9
Recorded investment	5,667,354			100.0	%	4,983,354			100.0	%
Unamortized balance of loan origination fees and expenses	(8,314		)			(5,770		)
Valuation allowances	(11,775		)			(11,286		)
Total mortgage loans on real estate	$	5,647,265				$	4,966,298



	September 30, 2019				December 31, 2018
	Recorded Investment		% of Total		Recorded Investment		% of Total
Due within five years	$	1,750,771	30.9	%	$	1,425,598	28.6	%
Due after five years through ten years	3,001,527		53.0		2,686,264		53.9
Due after ten years	915,056		16.1		871,492		17.5
Total	$	5,667,354	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
September 30, 2019:
Loan-to-Value Ratio
0% - 59.99%	$	2,912,673	$	91,954	$	12,932	$	21,434	$	3,038,993	53.6	%
60% - 69.99%	1,889,981		83,814		37,321		—		2,011,116		35.5
70% - 79.99%	395,599		—		32,586		—		428,185		7.6
Greater than 80%	116,605		49,087		23,368		—		189,060		3.3
Total	$	5,314,858	$	224,855	$	106,207	$	21,434	$	5,667,354	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	%



	September 30, 2019		December 31, 2018
Mortgage loans:
Individually measured for impairment	$	17,016	$	30,635
Collectively measured for impairment	5,650,338		4,952,719
Recorded investment	$	5,667,354	$	4,983,354
Valuation allowances:
Individually measured for impairment	$	—	$	—
Collectively measured for impairment	11,775		11,286
Total valuation allowances	$	11,775	$	11,286



	Unpaid Principal Balance		Recorded Investment		Related Allowance		Carrying Value
September 30, 2019:
Impaired mortgage loans with no valuation allowance recorded	$	17,017	$	17,016	$	—	$	17,016
Impaired mortgage loans with valuation allowance recorded	—		—		—		—
Total impaired mortgage loans	$	17,017	$	17,016	$	—	$	17,016
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 September 30,
	2019				2018
	Average Recorded Investment⁽¹⁾		Interest Income		Average Recorded Investment⁽¹⁾		Interest Income
Impaired mortgage loans with no valuation allowance recorded	$	17,015	$	170	$	30,641	$	346
Impaired mortgage loans with valuation allowance recorded	—		—		—		—
Total impaired mortgage loans	$	17,015	$	170	$	30,641	$	346

	Nine months ended September 30,
	2019				2018
	Average Recorded Investment⁽¹⁾		Interest Income		Average Recorded Investment⁽¹⁾		Interest Income
Impaired mortgage loans with no valuation allowance recorded	$	20,436	$	669	$	22,641	$	650
Impaired mortgage loans with valuation allowance recorded	—		—		—		—
Total impaired mortgage loans	$	20,436	$	669	$	22,641	$	650

Policy loans comprised approximately 2.0% and 2.5% of the Company’s total investments as of September 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 8.7% and 10.6% of the Company’s total investments as of September 30, 2019 and December 31, 2018, respectively. Of the $5.6 billion funds withheld at interest balance, net of embedded derivatives, as of September 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.



	September 30, 2019		December 31, 2018
Limited partnership interests and real estate joint ventures	$	1,059,025	$	965,094
Lifetime mortgages	669,981		475,905
Derivatives	142,099		180,699
FVO contractholder-directed unit-linked investments	252,277		197,770
Other	91,893		95,829
Total other invested assets	$	2,215,275	$	1,915,297