Investments

Fixed Maturity and Equity Securities Available-for-Sale

The following tables provide information relating to investments in fixed maturity and equity securities by sector as of September 30, 2015 and December 31, 2014 (dollars in thousands):



September 30, 2015:	Amortized		Unrealized		Unrealized		Estimated Fair		% of		Other-than- temporary impairments
	Cost		Gains		Losses		Value		Total		in AOCI
Available-for-sale:
Corporate securities	$	15,801,362	$	702,697	$	330,612	$	16,173,447	59.1	%	$	—
Canadian and Canadian provincial governments	2,520,495		1,023,160		929		3,542,726		12.9		—
Residential mortgage-backed securities	1,234,158		55,711		6,409		1,283,460		4.7		(300		)
Asset-backed securities	1,055,760		16,971		11,359		1,061,372		3.9		354
Commercial mortgage-backed securities	1,441,845		58,555		8,449		1,491,951		5.4		(1,609		)
U.S. government and agencies	1,337,493		20,688		40,963		1,317,218		4.8		—
State and political subdivisions	466,685		42,564		7,746		501,503		1.8		—
Other foreign government, supranational and foreign government-sponsored enterprises	1,986,997		89,648		36,534		2,040,111		7.4		—
Total fixed maturity securities	$	25,844,795	$	2,009,994	$	443,001	$	27,411,788	100.0	%	$	(1,555	)
Non-redeemable preferred stock	$	89,726	$	2,737	$	7,754	$	84,709	76.7	%
Other equity securities	26,968		—		1,303		25,665		23.3
Total equity securities	$	116,694	$	2,737	$	9,057	$	110,374	100.0	%



December 31, 2014:	Amortized		Unrealized		Unrealized		Estimated Fair		% of		Other-than- temporary impairments
	Cost		Gains		Losses		Value		Total		in AOCI
Available-for-sale:
Corporate securities	$	14,010,604	$	965,523	$	90,544	$	14,885,583	58.4	%	$	—
Canadian and Canadian provincial governments	2,668,852		1,196,420		7		3,865,265		15.2		—
Residential mortgage-backed securities	991,867		52,640		6,611		1,037,896		4.1		(300		)
Asset-backed securities	1,059,660		20,301		10,375		1,069,586		4.2		354
Commercial mortgage-backed securities	1,453,657		87,593		8,659		1,532,591		6.0		(1,609		)
U.S. government and agencies	501,352		25,014		515		525,851		2.0		—
State and political subdivisions	378,457		51,117		3,498		426,076		1.7		—
Other foreign government, supranational and foreign government-sponsored enterprises	2,041,148		110,065		13,089		2,138,124		8.4		—
Total fixed maturity securities	$	23,105,597	$	2,508,673	$	133,298	$	25,480,972	100.0	%	$	(1,555	)
Non-redeemable preferred stock	$	93,540	$	7,350	$	1,527	$	99,363	78.3	%
Other equity securities	26,994		597		94		27,497		21.7
Total equity securities	$	120,534	$	7,947	$	1,621	$	126,860	100.0	%

The Company enters into various collateral arrangements that require both the pledging and acceptance of fixed maturity securities as collateral with derivative, repurchase agreement and reinsurance counterparties. 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 re-pledge collateral it receives; however, as of September 30, 2015 and December 31, 2014, none of the collateral received had been sold or re-pledged. The Company also holds securities in trust to satisfy collateral requirements under 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 certain third-party reinsurance treaties as of September 30, 2015 and December 31, 2014 (dollars in thousands):



	September 30, 2015				December 31, 2014
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Fixed maturity securities pledged as collateral	$	181,380	$	194,189	$	127,229	$	134,863
Fixed maturity securities received as collateral	n/a		243,212		n/a		117,227
Securities held in trust	10,106,789		10,619,581		10,197,489		10,922,947

The Company monitors its concentrations of financial instruments on an ongoing basis, and mitigates credit risk by maintaining a diversified investment portfolio which limits exposure to any one issuer. The Company’s exposure to concentrations of credit risk of single issuers greater than 10% of the Company’s stockholders’ equity included securities of the U.S. government and its agencies as of September 30, 2015, as well as the securities disclosed below as of September 30, 2015 and December 31, 2014 (dollars in thousands).



	September 30, 2015				December 31, 2014
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Fixed maturity securities guaranteed or issued by:
Canadian province of Ontario	$	876,694	$	1,209,125	$	979,908	$	1,359,339
Canadian province of Quebec	966,171		1,464,067		1,006,315		1,599,673

The amortized cost and estimated fair value of fixed maturity securities available-for-sale at September 30, 2015 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	$	649,473	$	657,750
Due after one year through five years	4,976,774		5,182,233
Due after five years through ten years	7,762,616		7,980,594
Due after ten years	8,724,169		9,754,428
Asset and mortgage-backed securities	3,731,763		3,836,783
Total	$	25,844,795	$	27,411,788

Corporate Fixed Maturity Securities

The tables below show the major industry types of the Company’s corporate fixed maturity holdings as of September 30, 2015 and December 31, 2014 (dollars in thousands):



September 30, 2015:			Estimated
	Amortized Cost		Fair Value		% of Total
Finance	$	5,092,474	$	5,279,879	32.7	%
Industrial	9,004,544		9,099,228		56.2
Utility	1,704,344		1,794,340		11.1
Total	$	15,801,362	$	16,173,447	100.0	%

December 31, 2014:			Estimated
	Amortized Cost		Fair Value		% of Total
Finance	$	4,789,568	$	5,066,408	34.0	%
Industrial	7,639,330		8,086,067		54.3
Utility	1,581,706		1,733,108		11.7
Total	$	14,010,604	$	14,885,583	100.0	%

Other-Than-Temporary Impairments - Fixed Maturity and Equity Securities

As discussed in Note 2 – “Summary of Significant Accounting Policies” of the 2014 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 following table sets 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 AOCI, and the corresponding changes in such amounts (dollars in thousands):



	Three months ended September 30,				Nine months ended September 30,
	2015		2014		2015		2014
Balance, beginning of period	$	7,284	$	7,284	$	7,284	$	11,696
Credit loss OTTI previously recognized on securities which matured, paid down, prepaid or were sold during the period	—		—		—		(4,412		)
Balance, end of period	$	7,284	$	7,284	$	7,284	$	7,284

Unrealized Losses for Fixed Maturity and Equity Securities Available-for-Sale

The following table presents the total gross unrealized losses for the 1,640 and 932 fixed maturity and equity securities as of September 30, 2015 and December 31, 2014, respectively, where the estimated fair value had declined and remained below amortized cost by the indicated amount (dollars in thousands):



	September 30, 2015				December 31, 2014
	Gross Unrealized Losses		% of Total		Gross Unrealized Losses		% of Total
Less than 20%	$	363,451	80.4	%	$	111,965	83.0	%
20% or more for less than six months	72,884		16.1		13,698		10.1
20% or more for six months or greater	15,723		3.5		9,256		6.9
Total	$	452,058	100.0	%	$	134,919	100.0	%

The Company’s determination of whether a decline in value is other-than-temporary includes 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. In the Company’s impairment review process, the duration and severity of an unrealized loss position for equity securities are given greater weight and consideration given the lack of contractual cash flows or deferability features.

The following tables present the estimated fair values and gross unrealized losses, including other-than-temporary impairment losses reported in AOCI, for 1,640 and 932 fixed maturity and equity securities that have estimated fair values below amortized cost as of September 30, 2015 and December 31, 2014, 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, 2015:	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
Investment grade securities:
Corporate securities	$	4,647,733	$	216,291	$	302,808	$	30,784	$	4,950,541	$	247,075
Canadian and Canadian provincial governments	81,615		929		—		—		81,615		929
Residential mortgage-backed securities	231,621		2,363		66,339		3,247		297,960		5,610
Asset-backed securities	289,210		3,234		182,478		6,193		471,688		9,427
Commercial mortgage-backed securities	222,799		3,499		24,236		1,122		247,035		4,621
U.S. government and agencies	909,226		40,963		—		—		909,226		40,963
State and political subdivisions	128,633		4,204		13,206		3,542		141,839		7,746
Other foreign government, supranational and foreign government-sponsored enterprises	293,121		9,368		37,900		3,353		331,021		12,721
Total investment grade securities	6,803,958		280,851		626,967		48,241		7,430,925		329,092
Below investment grade securities:
Corporate securities	659,513		60,972		112,210		22,565		771,723		83,537
Residential mortgage-backed securities	42,309		445		8,797		354		51,106		799
Asset-backed securities	6,905		85		13,677		1,847		20,582		1,932
Commercial mortgage-backed securities	3,238		262		7,280		3,566		10,518		3,828
Other foreign government, supranational and foreign government-sponsored enterprises	87,340		16,297		20,541		7,516		107,881		23,813
Total below investment grade securities	799,305		78,061		162,505		35,848		961,810		113,909
Total fixed maturity securities	$	7,603,263	$	358,912	$	789,472	$	84,089	$	8,392,735	$	443,001
Non-redeemable preferred stock	$	38,857	$	5,481	$	6,411	$	2,273	$	45,268	$	7,754
Other equity securities	25,619		1,303		—		—		25,619		1,303
Total equity securities	$	64,476	$	6,784	$	6,411	$	2,273	$	70,887	$	9,057



	Less than 12 months				12 months or greater				Total
			Gross				Gross				Gross
December 31, 2014:	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
Investment grade securities:
Corporate securities	$	1,225,767	$	27,784	$	614,294	$	30,040	$	1,840,061	$	57,824
Canadian and Canadian provincial governments	—		—		1,235		7		1,235		7
Residential mortgage-backed securities	78,864		846		135,414		5,247		214,278		6,093
Asset-backed securities	332,785		4,021		109,411		4,289		442,196		8,310
Commercial mortgage-backed securities	78,632		564		28,375		2,461		107,007		3,025
U.S. government and agencies	81,317		89		32,959		426		114,276		515
State and political subdivisions	13,780		17		18,998		3,438		32,778		3,455
Other foreign government, supranational and foreign government-sponsored enterprises	156,725		7,007		76,111		2,946		232,836		9,953
Total investment grade securities	1,967,870		40,328		1,016,797		48,854		2,984,667		89,182
Below investment grade securities:
Corporate securities	415,886		29,316		32,567		3,404		448,453		32,720
Residential mortgage-backed securities	22,836		293		6,284		225		29,120		518
Asset-backed securities	12,448		274		7,108		1,791		19,556		2,065
Commercial mortgage-backed securities	3,288		249		5,580		5,385		8,868		5,634
State and political subdivisions	964		43		—		—		964		43
Other foreign government, supranational and foreign government-sponsored enterprises	13,986		3,136		—		—		13,986		3,136
Total below investment grade securities	469,408		33,311		51,539		10,805		520,947		44,116
Total fixed maturity securities	$	2,437,278	$	73,639	$	1,068,336	$	59,659	$	3,505,614	$	133,298
Non-redeemable preferred stock	$	11,619	$	235	$	19,100	$	1,292	$	30,719	$	1,527
Other equity securities	—		—		3,545		94		3,545		94
Total equity securities	$	11,619	$	235	$	22,645	$	1,386	$	34,264	$	1,621

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 and equity securities in the ordinary course of managing its portfolio to meet certain diversification, credit quality and liquidity guidelines.

Unrealized losses on below investment grade securities as of September 30, 2015 are primarily related to high-yield corporate and other foreign government, supranational and foreign government-sponsored enterprise securities. Unrealized losses increased across most security types as spreads widened during the first nine months of 2015.

Investment Income, Net of Related Expenses

Major categories of investment income, net of related expenses, consist of the following (dollars in thousands):



	Three months ended September 30,						Nine months ended September 30,
	2015			2014			2015			2014
Fixed maturity securities available-for-sale	$	298,376		$	269,346		$	871,936		$	766,764
Mortgage loans on real estate	36,547			39,070			108,440			102,535
Policy loans	16,475			13,825			46,763			41,014
Funds withheld at interest	40,382			124,685			239,967			345,484
Short-term investments	576			462			2,085			1,507
Other invested assets	13,696			15,416			48,141			48,937
Investment income	406,052			462,804			1,317,332			1,306,241
Investment expense	(16,455		)	(15,698		)	(50,305		)	(44,153		)
Investment income, net of related expenses	$	389,597		$	447,106		$	1,267,027		$	1,262,088

Investment Related Gains (Losses), Net

Investment related gains (losses), net consist of the following (dollars in thousands):



	Three months ended September 30,						Nine months ended September 30,
	2015			2014			2015			2014
Fixed maturity and equity securities available for sale:
Other-than-temporary impairment losses on fixed maturity securities recognized in earnings	$	(23,111	)	$	(246	)	$	(29,775	)	$	(1,419	)
Gain on investment activity	13,792			8,819			53,002			51,773
Loss on investment activity	(22,186		)	(6,355		)	(50,257		)	(19,815		)
Other impairment losses and change in mortgage loan provision	(636		)	(2,041		)	(4,661		)	(5,686		)
Derivatives and other, net	(79,205		)	22,141			(88,250		)	200,563
Total investment related gains (losses), net	$	(111,346	)	$	22,318		$	(119,941	)	$	225,416

The other-than-temporary impairment losses on fixed maturity securities for the three and nine months ended September 30, 2015 are primarily due to emerging market and high-yield debt exposures. The fluctuations in investment related gains (losses) for derivatives and other for the three and nine months ended September 30, 2015, compared to the same periods in 2014, are primarily due to changes in the fair value of embedded derivatives related to modified coinsurance and funds withheld treaties, as a result of changes in interest rates, driven primarily by credit spreads.

During the three months ended September 30, 2015 and 2014, the Company sold fixed maturity and equity securities with fair values of $404.1 million and $225.6 million at losses of $22.2 million and $6.4 million, respectively. During the nine months ended September 30, 2015 and 2014, the Company sold fixed maturity and equity securities with fair values of $1,255.0 million and $683.5 million at losses of $50.3 million and $19.8 million, respectively. The Company generally does not engage in short-term buying and selling of securities.

Securities Borrowing and Other

The Company participates in securities borrowing programs whereby securities, which are not reflected on the Company’s condensed consolidated balance sheets, are borrowed from third parties. The borrowed securities are used to provide collateral under affiliated reinsurance transactions. The Company is required to maintain a minimum of 100% of the fair value, or par value under certain programs, of the borrowed securities as collateral. The collateral consists of rights to reinsurance treaty cash flows. If cash flows from the reinsurance treaties are insufficient to maintain the minimum collateral requirement, the Company may substitute cash or securities to meet the requirement. No cash or securities have been pledged by the Company for this purpose.

During the year, the Company participated in a repurchase program in which securities, reflected as investments on the Company’s condensed consolidated balance sheets, were pledged to a third party. In return, the Company received cash from the third party, reflected as a payable to the third party, included in other liabilities on the condensed consolidated balance sheets. The Company was required to maintain a minimum collateral balance with a fair value of 105% of the cash received. The Company terminated the program and all cash was returned prior to September 30, 2015. The gross balance of the repurchase agreement payable was $101.4 million as of December 31, 2014. This was fully collateralized by securities with a fair value of $107.2 million as of December 31, 2014.

Additionally, the Company participates in a repurchase/reverse repurchase program in which securities, reflected as investments on the Company’s condensed consolidated balance sheets, are pledged to a third party. In return, the Company receives securities from the third party with an estimated fair value equal to a minimum of 100% of the securities pledged. The securities received are not reflected on the Company’s condensed consolidated balance sheets.

The following table includes the amount of borrowed securities, repurchased securities pledged and repurchased/reverse repurchased securities pledged and received as of September 30, 2015 and December 31, 2014 (dollars in thousands).



	September 30, 2015				December 31, 2014
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Borrowed securities	$	265,240	$	281,225	$	201,050	$	212,946
Repurchase program securities pledged	—		—		92,446		107,158
Repurchase program/reverse repurchase program:
Securities pledged	442,679		468,008		298,466		314,160
Securities received	n/a		484,751		n/a		338,929

The following table presents information on the securities pledged as collateral by the Company related to its repurchase/reverse repurchase program as of September 30, 2015 (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, 2015
	Remaining Contractual Maturity of the Agreements
	Overnight and Continuous		Up to 30 Days		30-90 Days		Greater than 90 Days		Total
Collateral on repurchase program
U.S. government and agencies	$	—	$	—	$	—	$	201,681	$	201,681
Residential mortgage-backed securities	—		—		—		101,888		101,888
Corporate securities	—		—		3,042		145,434		148,476
Foreign government	—		—		—		3,484		3,484
Other	12,479		—		—		—		12,479
Total borrowings	$	12,479	$	—	$	3,042	$	452,487	$	468,008

Gross amount of recognized liabilities for repurchase agreement in preceding table									$	484,751
Amounts related to agreements not included in offsetting disclosure									$	16,743

Mortgage Loans on Real Estate

Mortgage loans represented approximately 8.1% and 7.4% of the Company’s total investments as of September 30, 2015 and December 31, 2014. The Company makes mortgage loans on income producing properties that are geographically diversified throughout the U.S., with the largest concentration being in California, which represented 21.5% and 18.7% of mortgage loans on real estate as of September 30, 2015 and December 31, 2014, respectively. Loan-to-value ratios at the time of loan approval are 75% or less. The distribution of mortgage loans, gross of valuation allowances, by property type is as follows as of September 30, 2015 and December 31, 2014 (dollars in thousands):



	September 30, 2015				December 31, 2014
Property type:	Recorded Investment		% of Total		Recorded Investment		% of Total
Office building	$	959,181	30.2	%	$	851,749	31.3	%
Retail	1,007,083		31.7		802,466		29.6
Industrial	571,346		18.0		466,583		17.2
Apartment	423,509		13.3		376,430		13.8
Other commercial	214,535		6.8		221,481		8.1
Total	$	3,175,654	100.0	%	$	2,718,709	100.0	%

The maturities of the mortgage loans, gross of valuation allowances, as of September 30, 2015 and December 31, 2014 are as follows (dollars in thousands):



	September 30, 2015				December 31, 2014
	Recorded Investment		% of Total		Recorded Investment		% of Total
Due within five years	$	932,955	29.4	%	$	860,362	31.6	%
Due after five years through ten years	1,511,275		47.6		1,165,530		42.9
Due after ten years	731,424		23.0		692,817		25.5
Total	$	3,175,654	100.0	%	$	2,718,709	100.0	%

Information regarding the Company’s credit quality indicators, as determined by the Company's internal evaluation methodology for its recorded investment in mortgage loans, gross of valuation allowances, as of September 30, 2015 and December 31, 2014 is as follows (dollars in thousands):



	September 30, 2015				December 31, 2014
Internal credit quality grade:	Recorded Investment		% of Total		Recorded Investment		% of Total
High investment grade	$	1,681,552	52.9	%	$	1,326,199	48.8	%
Investment grade	1,378,194		43.4		1,235,046		45.4
Average	77,217		2.4		118,152		4.4
Watch list	17,857		0.6		22,285		0.8
In or near default	20,834		0.7		17,027		0.6
Total	$	3,175,654	100.0	%	$	2,718,709	100.0	%

None of the payments due to the Company on its recorded investment in mortgage loans were delinquent as of September 30, 2015 and December 31, 2014.

The following table presents the recorded investment in mortgage loans, by method of measuring impairment, and the related valuation allowances as of September 30, 2015 and December 31, 2014 (dollars in thousands):



	September 30, 2015		December 31, 2014
Mortgage loans:
Individually measured for impairment	$	20,834	$	17,027
Collectively measured for impairment	3,154,820		2,701,682
Mortgage loans, gross of valuation allowances	3,175,654		2,718,709
Valuation allowances:
Individually measured for impairment	710		816
Collectively measured for impairment	4,942		5,655
Total valuation allowances	5,652		6,471
Mortgage loans, net of valuation allowances	$	3,170,002	$	2,712,238

Information regarding the Company’s loan valuation allowances for mortgage loans for the three and nine months ended September 30, 2015 and 2014 is as follows (dollars in thousands):



	Three months ended September 30,						Nine months ended September 30,
	2015			2014			2015			2014
Balance, beginning of period	$	5,942		$	9,692		$	6,471		$	10,106
Charge-offs, net of recoveries	—			(2,757		)	—			(2,733		)
Provision (release)	(290		)	(93		)	(819		)	(531		)
Balance, end of period	$	5,652		$	6,842		$	5,652		$	6,842

Information regarding the portion of the Company’s mortgage loans that were impaired as of September 30, 2015 and December 31, 2014 is as follows (dollars in thousands):



	Unpaid Principal Balance		Recorded Investment		Related Allowance		Carrying Value
September 30, 2015:
Impaired mortgage loans with no valuation allowance recorded	$	8,434	$	8,374	$	—	$	8,374
Impaired mortgage loans with valuation allowance recorded	12,969		12,460		710		11,750
Total impaired mortgage loans	$	21,403	$	20,834	$	710	$	20,124
December 31, 2014:
Impaired mortgage loans with no valuation allowance recorded	$	7,314	$	6,711	$	—	$	6,711
Impaired mortgage loans with valuation allowance recorded	10,279		10,316		816		9,500
Total impaired mortgage loans	$	17,593	$	17,027	$	816	$	16,211

The Company’s average investment in 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,
	2015				2014
	Average Recorded Investment⁽¹⁾		Interest Income		Average Recorded Investment⁽¹⁾		Interest Income
Impaired mortgage loans with no valuation allowance recorded	$	6,364	$	71	$	9,159	$	225
Impaired mortgage loans with valuation allowance recorded	12,495		194		14,870		26
Total impaired mortgage loans	$	18,859	$	265	$	24,029	$	251

	Nine months ended September 30,
	2015				2014
	Average Recorded Investment⁽¹⁾		Interest Income		Average Recorded Investment⁽¹⁾		Interest Income
Impaired mortgage loans with no valuation allowance recorded	$	6,533	$	212	$	14,856	$	614
Impaired mortgage loans with valuation allowance recorded	11,392		578		14,705		478
Total impaired mortgage loans	$	17,925	$	790	$	29,561	$	1,092

(1) Average recorded investment represents the average loan balances as of the beginning of period and all subsequent quarterly end of period balances.

The Company did not acquire any impaired mortgage loans during the nine months ended September 30, 2015 and 2014. The Company had no mortgage loans that were on a nonaccrual status at September 30, 2015 and December 31, 2014.

Policy Loans

Policy loans comprised approximately 3.7% and 3.5% of the Company’s total investments as of September 30, 2015 and December 31, 2014, 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. As policy loans represent premature distributions of policy liabilities, they have the effect of reducing future disintermediation risk. In addition, 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

Funds withheld at interest comprised approximately 14.6% and 16.1% of the Company’s total investments as of September 30, 2015 and December 31, 2014, respectively. Of the $5.7 billion funds withheld at interest balance, net of embedded derivatives, as of September 30, 2015, $4.1 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.

Other Invested Assets

Other invested assets include equity securities, limited partnership interests, joint ventures (other than operating joint ventures), structured loans, derivative contracts, fair value option ("FVO") contractholder-directed unit-linked investments, Federal Home Loan Bank of Des Moines ("FHLB") common stock (included in other in the table below), real estate held-for-investment (included in other in the table below), and equity release mortgages (included in other in the table below). The fair value option was elected for contractholder-directed investments supporting unit-linked variable annuity type liabilities which do not qualify for presentation and reporting as separate accounts. Other invested assets represented approximately 3.0% and 3.3% of the Company’s total investments as of September 30, 2015 and December 31, 2014, respectively. Carrying values of these assets as of September 30, 2015 and December 31, 2014 are as follows (dollars in thousands):



	September 30, 2015		December 31, 2014
Equity securities	$	110,374	$	126,860
Limited partnerships and real estate joint ventures	507,628		446,604
Structured loans	53,030		164,309
Derivatives	275,518		216,966
FVO contractholder-directed unit-linked investments	129,511		140,344
Other	111,443		103,236
Total other invested assets	$	1,187,504	$	1,198,319