3.	Investments

The amortized cost, gross unrealized gains and losses and fair value for fixed maturities as of December 31, 2015 and 2014 were as follows:


December 31, 2015 — Successor ($ in thousands)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Fixed maturities
U.S. Treasury Securities and Obligations of U.S. Government Authority and Agencies	$	163,096	$	5,563	$	(81	)	$	168,578
Obligations of U.S. States and Political Subdivisions		712,948		14,827		(7,018	)		720,757
Foreign government		72,042		202		(10,601	)		61,643
Corporate securities		6,060,561		31,263		(353,149	)		5,738,675
ABS		542,503		2,517		(8,229	)		536,791
CMBS		513,316		627		(7,244	)		506,699
RMBS		209,728		4,600		(1,529	)		212,799

Total fixed maturities	$	8,274,194	$	59,599	$	(387,851	)	$	7,945,942


December 31, 2014 — Successor ($ in thousands)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Fixed maturities
U.S. Treasury Securities and Obligations of U.S. Government Authority and Agencies	$	287,077	$	20,933	$	(58	)	$	307,952
Obligations of U.S. States and Political Subdivisions		517,378		26,888		(531	)		543,735
Foreign government		250,008		5,637		(437	)		255,208
Corporate securities		7,279,391		132,481		(34,127	)		7,377,745
ABS		378,906		6,145		(2,408	)		382,643
CMBS		331,041		3,507		(1,065	)		333,483
RMBS		188,055		2,849		(1,023	)		189,881

Total fixed maturities	$	9,231,856	$	198,440	$	(39,649	)	$	9,390,647

Scheduled Maturities — Successor

The scheduled maturities for fixed maturities are as follows as of December 31, 2015:


($ in thousands)	Amortized Cost		Fair Value
Due in one year or less	$	190,261	$	189,547
Due after one year through five years		1,461,237		1,459,059
Due after five years through ten years		2,148,851		2,092,046
Due after ten years		3,208,298		2,949,002

Total before asset and mortgage-backed securities		7,008,647		6,689,654
Asset and mortgage-backed securities		1,265,547		1,256,288

Total fixed maturities	$	8,274,194	$	7,945,942

Actual maturities may differ from those scheduled as a result of calls and make-whole payments by the issuers. Asset and mortgage-backed securities are shown separately because of the potential for prepayment of principal prior to contractual maturity dates.

Commercial Mortgage Loans — Successor

The Company diversifies its commercial mortgage loan portfolio by geographical region to reduce concentration risk. The following table presents the Company’s commercial mortgage loan portfolio by geographical region as of December 31, 2015 and December 31, 2014:


($ in thousands)	December 31, 2015		December 31, 2014
Alabama	$	1,508	$	1,720
Arizona		34,911		35,481
California		336,310		255,563
Colorado		57,207		22,381
Connecticut		25,374		—
Florida		86,698		20,779
Georgia		67,213		27,502
Hawaii		7,134		8,125
Illinois		92,813		53,174
Iowa		1,266		1,490
Kansas		9,200		—
Kentucky		7,696		8,260
Maine		3,905		4,114
Maryland		33,844		35,536
Massachusetts		90,897		92,963
Minnesota		148,346		52,496
Missouri		—		9,324
Nevada		14,262		14,705
New Jersey		68,720		84,007
New York		94,985		72,625
North Carolina		58,078		31,111
Ohio		36,954		38,400
Oklahoma		10,803		10,835
Pennsylvania		41,975		37,688
South Carolina		2,532		3,130
Tennessee		5,278		5,719
Texas		107,279		103,778
Utah		44,366		45,914
Virginia		2,353		18,572
Washington		11,550		13,138
Wisconsin		5,675		6,637
General allowance for loan loss		—		—

Total commercial mortgage loans	$	1,509,132	$	1,115,167

Credit Quality of Commercial Mortgage Loans

The credit quality of commercial mortgage loans held-for-investment were as follows at December 31, 2015 and December 31, 2014:


	Recorded Investment
	Debt Service Coverage Ratios
December 31, 2015 ($ in thousands)	> 1.20x		1.00x - 1.20x		< 1.00x		Total		% of Total			Estimated Fair Value		% of Total
	(In thousands)											(In thousands)
Loan-to-value ratios:
Less than 65%	$	869,470	$	85,869	$	19,862	$	975,201		64.6	%	$	1,000,948		65.1	%
65% to 75%		508,557		25,374		—		533,931		35.4			535,690		34.9
76% to 80%		—		—		—		—		0.0			—		0.0
Greater than 80%		—		—		—		—		0.0			—		0.0

Total	$	1,378,027	$	111,243	$	19,862	$	1,509,132		100.0	%	$	1,536,638		100.0	%


	Recorded Investment
	Debt Service Coverage Ratios
December 31, 2014 ($ in thousands)	> 1.20x		1.00x - 1.20x		< 1.00x		Total		% of Total			Estimated Fair Value		% of Total
	(In thousands)											(In thousands)
Loan-to-value ratios:
Less than 65%	$	930,592	$	151,700	$	29,460	$	1,111,752		97.6	%	$	1,146,030		97.6	%
65% to 75%		16,591		10,537		—		27,128		2.4			28,275		2.4
76% to 80%		—		—		—		—		0.0			—		0.0
Greater than 80%		—		—		—		—		0.0			—		0.0

Total	$	947,183	$	162,237	$	29,460	$	1,138,880		100.0	%	$	1,174,305		100.0	%

As of December 31, 2015 and December 31, 2014, the Company had no allowance for credit losses for commercial mortgage loans. As of December 31, 2015 and December 31, 2014, $1,509 million and $1,139 million, respectively, of commercial mortgage loans were in current status with no commercial mortgage or other loans classified as past due. The Company defines current in its aging of past due commercial mortgage and other loans as less than 30 days past due.

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. As of December 31, 2015 and December 31, 2014, the Company held no impaired commercial mortgage loans.

The Company’s commercial mortgage may occasionally be involved in a troubled debt restructuring. As of December 31, 2015, the Company had no commitments to fund to borrowers that have been involved in a troubled debt restructuring. As of December 31, 2015 and December 31, 2014, the Company had no new troubled debt restructurings related to commercial mortgage and no payment defaults on commercial mortgages.

Other Invested Assets — Successor

The following table sets forth the composition of “Other invested assets” as of December 31, 2015 and December 31, 2014:

Amortized Cost


	Successor		Successor
($ in thousands)	December 31, 2015		December 31, 2014
Low income housing tax credit properties	$	677	$	896
Derivatives		17,735		26,001

	$	18,412	$	26,897

Net Investment Income

Net investment income for Successor Periods for the year ended December 31, 2015 and the period from April 1, 2014 through December 31, 2014 and Predecessor Periods for the period from January 1, 2014 through March 31, 2014 and year ended December 31, 2013 were as follows:


	Successor				Predecessor
($ in thousands)	For the Year Ended December 31, 2015		For the Period from April 1, 2014 through December 31, 2014		For the Period from January 1, 2014 through March 31, 2014		For the Year Ended December 31, 2013
Fixed maturities	$	334,931	$	231,972	$	2,461	$	11,545
Commercial mortgage loans		63,028		49,417		—		—
Cash, cash equivalents and short-term investments		511		4,786		16		23
Other investment (loss) income		9,543		7,353		—		—

Gross investment income		408,013		293,528		2,477		11,568
Investment expenses		9,082		4,957		127		633

Net investment income	$	398,931	$	288,571	$	2,350	$	10,935

Realized Investment Gains and Losses

Realized investment gains and losses for Successor Periods for the year ended December 31, 2015 and for the period from April 1, 2014 through December 31, 2014 and Predecessor Periods for the period from January 1, 2014 through March 31, 2014 and year ended December 31, 2013 were as follows:


	Successor					Predecessor
($ in thousands)	For the Year Ended December 31, 2015			For the Period from April 1, 2014 through December 31, 2014		For the Period from January 1, 2014 through March 31, 2014		For the Year Ended December 31, 2013
Realized investment gains, net
Fixed maturities	$	120,421		$	25,795	$	285	$	—
Commercial mortgage loans		2,325			2,880		—		—
Derivatives		(9,208	)		17,417		—		—

Net realized gains	$	113,538		$	46,092	$	285	$	—

There were no other-than-temporary impairment losses recorded in the Successor Periods for the year ended December 31, 2015 and for the period from April 1, 2014 through December 31, 2014.

There were no other-than-temporary impairment losses recorded in the Predecessor Period from January 1, 2014 through March 31, 2014. Realized capital gains and losses in the Predecessor year ended December 31, 2013 included $2 thousand of other-than-temporary impairment losses related to RMBS, none of which were included in other comprehensive income. No other-than-temporary impairment losses were included in accumulated other comprehensive income as of December 31, 2015 or as of December 31, 2014.

Proceeds from sales of fixed maturities and gross realized investment gains and losses for Successor Periods for the year ended December 31, 2015 and for the period from April 1, 2014 through December 31, 2014 and Predecessor Periods for the period from January 1, 2014 through March 31, 2014 and year ended December 31, 2013 were as follows:


	Successor						Predecessor
($ in thousands)	For the Year Ended December 31, 2015			For the Period from April 1, 2014 through December 31, 2014			For the Period from January 1, 2014 through March 31, 2014			For the Year Ended December 31, 2013
Fixed maturities, available-for-sale
Proceeds from sales	$	3,864,356		$	1,429,177		$	5,277		$	9,170
Gross investment gains from sales		147,287			30,403			317			3
Gross investment losses from sales		(26,829	)		(4,608	)		(32	)		(1	)

Proceeds from sales excludes taxable exchanges of $72.4 million and $3.0 million for the year ended December 31, 2015 and for the period from April 1, 2014 through December 31, 2014, respectively.

Unrealized Investment Gains and Losses — Successor

The following table summarizes the gross unrealized losses and fair value of fixed maturities by the length of time that individual securities have been in a continuous unrealized loss position as of December 31, 2015 and December 31, 2014:


	Less than 12 months					Greater than 12 months
December 31, 2015 ($ in thousands)	Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses
U.S. Treasury Securities and Obligations of U.S. Government Authority and Agencies	$	18,639	$	(77	)	$	98	$	(4	)	$	18,737	$	(81	)
Obligations of U.S. States and Political Subdivisions		207,889		(6,983	)		4,030		(35	)		211,919		(7,018	)
Foreign government		41,507		(8,665	)		5,965		(1,936	)		47,472		(10,601	)
All other corporate securities		3,523,371		(293,131	)		209,474		(60,018	)		3,732,845		(353,149	)
ABS		397,884		(7,031	)		15,040		(1,198	)		412,924		(8,229	)
CMBS		437,244		(7,164	)		8,419		(80	)		445,663		(7,244	)
RMBS		65,470		(776	)		29,659		(753	)		95,129		(1,529	)

Total fixed income securities	$	4,692,004	$	(323,827	)	$	272,685	$	(64,024	)	$	4,964,689	$	(387,851	)


	Less than 12 months					Greater than 12 months
December 31, 2014 ($ in thousands)	Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses
U.S. Treasury Securities and Obligations of U.S. Government Authority and Agencies	$	14,160	$	(58	)	$	—	$	—		$	14,160	$	(58	)
Obligations of U.S. States and Political Subdivisions		57,605		(531	)		—		—			57,605		(531	)
Foreign government		37,543		(437	)		—		—			37,543		(437	)
All other corporate securities		1,683,186		(34,127	)		—		—			1,683,186		(34,127	)
ABS		115,568		(2,408	)		—		—			115,568		(2,408	)
CMBS		135,203		(1,065	)		—		—			135,203		(1,065	)
RMBS		92,804		(1,023	)		—		—			92,804		(1,023	)

Total fixed income securities	$	2,136,069	$	(39,649	)	$	—	$	—		$	2,136,069	$	(39,649	)

Portfolio Monitoring

The Company has a comprehensive portfolio monitoring process to identify and evaluate each fixed maturity security whose carrying value may be other-than-temporarily impaired.

For each fixed maturity security in an unrealized loss position, the Company assesses whether management with the appropriate authority has made the decision to sell or whether it is more likely than not the Company will be required to sell the security before recovery of the amortized cost basis for reasons such as liquidity, contractual or regulatory purposes. If a security meets either of these criteria, the security’s decline in fair value is considered other-than-temporary and is recorded in earnings.

If the Company has not made the decision to sell the fixed maturity security and it is not more likely than not the Company will be required to sell the fixed maturity security before recovery of its amortized cost basis, the Company evaluates whether it expects to receive cash flows sufficient to recover the entire amortized cost basis of the security. The Company calculates the estimated recovery value by discounting the best estimate of future cash flows at the security’s original or current effective rate, as appropriate, and compares this to the amortized cost of the security. If the Company does not expect to receive cash flows sufficient to recover the entire amortized cost basis of the fixed maturity security, the credit loss component of the impairment is recorded in earnings, with the remaining amount of the unrealized loss related to other factors recognized in other comprehensive income.

The Company’s portfolio monitoring process includes a quarterly review of all securities to identify instances where the fair value of a security compared to its amortized cost is below established thresholds. The process also includes the monitoring of other impairment indicators such as ratings, ratings downgrades and payment defaults. The securities identified, in addition to other securities for which the Company may have a concern, are evaluated for potential other-than-temporary impairment using all reasonably available information relevant to the collectability or recovery of the security. Inherent in the Company’s evaluation of other-than-temporary impairment for these fixed maturity securities are assumptions and estimates about the financial condition and future earnings potential of the issue or issuer. Some of the factors that may be considered in evaluating whether a decline in fair value is other than temporary are: 1) the financial condition, near-term and long-term prospects of the issue or issuer, including relevant industry specific market conditions and trends, geographic location and implications of rating agency actions and offering prices; 2) the specific reasons that a security is in an unrealized loss position, including overall market conditions which could affect liquidity; and 3) the length of time and extent to which the fair value has been less than amortized cost.

Net Unrealized Investment Gains and Losses in AOCI


($ in thousands) Predecessor	Net Unrealized Gain (Losses) on Investments			VOBA			Future Policy Benefits and Policyholders’ Account Balances			Deferred Income Tax (Liability) Benefit			Accumulated Other Comprehensive Income (Loss) Related to Net Unrealized Investment Gains (Losses)
Balance, December 31, 2012	$	21,236		$	—		$	—		$	(7,433	)	$	13,803
Net investment gains and losses on investments arising during the period		(15,281	)		—			—			5,349			(9,932	)
Reclassification adjustment for gains and losses included in net income		1			—			—			—			1

Balance, December 31, 2013	$	5,954		$	—		$	—		$	(2,084	)	$	3,870
Net investment gains and losses on investments arising during the period		2,364			—			—			(828	)		1,536
Reclassification adjustment for gains and losses included in net income		285			—			—			(100	)		185

Balance, March 31, 2014	$	8,033		$	—		$	—		$	(2,812	)	$	5,221



Successor
Balance, April 1, 2014	$	—		$	—		$	—		$	—		$	—
Net investment gains and losses on investments arising during the period		159,261			—			—			(55,675	)		103,586
Reclassification adjustment for gains and losses included in net income		—			—			—			—			—
Impact of net unrealized investment gains and losses on VOBA		—			(20,287	)		—			7,100			(13,187	)
Impact of net unrealized investment gains and losses on future policy benefits and policyholders’ account balances		—			—			(7,541	)		2,640			(4,901	)

Balance, December 31, 2014	$	159,261		$	(20,287	)	$	(7,541	)	$	(45,935	)	$	85,498
Net investment gains and losses on investments arising during the period		(408,019	)		—			—			142,807			(265,212	)
Reclassification adjustment for gains and losses included in net income		79,023			—			—			(27,658	)		51,365
Impact of net unrealized investment gains and losses on VOBA		—			57,061			—			(19,971	)		37,090
Impact of net unrealized investment gains and losses on future policy benefits and policyholders’ account balances		—			—			60,447			(21,157	)		39,290

Balance, December 31, 2015	$	(327,781	)	$	36,774		$	52,906		$	83,402		$	(154,699	)