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Investments | 3 Months Ended
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Mar. 31, 2017
Investments [Abstract] |
Investments | 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 March 31, 2017 and December 31, 2016 (dollars in thousands):
March 31, 2017: |  | Amortized |  | Unrealized |  | Unrealized |  | Estimated Fair |  | % of |  | Other-than- temporary impairments
|  | Cost |  | Gains |  | Losses |  | Value |  | Total |  | in AOCI
Available-for-sale: |  |  |  |  |  |  |  |  |  |  |  |
Corporate securities |  | $ | 19,281,539 |  |  | $ | 1,037,337 |  |  | $ | 157,423 |  |  | $ | 20,161,453 |  |  | 61.8 | % |  | $ | — |
Canadian and Canadian provincial governments |  | 2,601,403 |  |  | 1,122,418 |  |  | 3,457 |  |  | 3,720,364 |  |  | 11.4 |  |  | — |
Residential mortgage-backed securities |  | 1,281,171 |  |  | 34,382 |  |  | 11,676 |  |  | 1,303,877 |  |  | 4.0 |  |  | — |
Asset-backed securities |  | 1,379,251 |  |  | 14,480 |  |  | 13,141 |  |  | 1,380,590 |  |  | 4.2 |  |  | 275 |
Commercial mortgage-backed securities |  | 1,272,020 |  |  | 24,353 |  |  | 7,035 |  |  | 1,289,338 |  |  | 3.9 |  |  | — |
U.S. government and agencies |  | 1,522,651 |  |  | 15,135 |  |  | 55,334 |  |  | 1,482,452 |  |  | 4.5 |  |  | — |
State and political subdivisions |  | 566,553 |  |  | 40,471 |  |  | 11,567 |  |  | 595,457 |  |  | 1.8 |  |  | — |
Other foreign government, supranational and foreign government-sponsored enterprises |  | 2,635,979 |  |  | 136,850 |  |  | 11,567 |  |  | 2,761,262 |  |  | 8.4 |  |  | — |
Total fixed maturity securities |  | $ | 30,540,567 |  |  | $ | 2,425,426 |  |  | $ | 271,200 |  |  | $ | 32,694,793 |  |  | 100.0 | % |  | $ | 275 |
Non-redeemable preferred stock |  | $ | 33,656 |  |  | $ | 360 |  |  | $ | 2,801 |  |  | $ | 31,215 |  |  | 28.0 | % |  |
Other equity securities |  | 83,473 |  |  | 532 |  |  | 3,604 |  |  | 80,401 |  |  | 72.0 |  |  |
Total equity securities |  | $ | 117,129 |  |  | $ | 892 |  |  | $ | 6,405 |  |  | $ | 111,616 |  |  | 100.0 | % |  |
December 31, 2016: |  | Amortized |  | Unrealized |  | Unrealized |  | Estimated Fair |  | % of |  | Other-than- temporary impairments
|  | Cost |  | Gains |  | Losses |  | Value |  | Total |  | in AOCI
Available-for-sale: |  |  |  |  |  |  |  |  |  |  |  |
Corporate securities |  | $ | 18,924,711 |  |  | $ | 911,618 |  |  | $ | 217,245 |  |  | $ | 19,619,084 |  |  | 61.1 | % |  | $ | — |
Canadian and Canadian provincial governments |  | 2,561,605 |  |  | 1,085,982 |  |  | 3,541 |  |  | 3,644,046 |  |  | 11.4 |  |  | — |
Residential mortgage-backed securities |  | 1,258,039 |  |  | 33,917 |  |  | 13,380 |  |  | 1,278,576 |  |  | 4.0 |  |  | (375 | )
Asset-backed securities |  | 1,443,822 |  |  | 9,350 |  |  | 23,828 |  |  | 1,429,344 |  |  | 4.5 |  |  | 275 |
Commercial mortgage-backed securities |  | 1,342,440 |  |  | 28,973 |  |  | 7,759 |  |  | 1,363,654 |  |  | 4.2 |  |  | — |
U.S. government and agencies |  | 1,518,702 |  |  | 12,644 |  |  | 63,044 |  |  | 1,468,302 |  |  | 4.6 |  |  | — |
State and political subdivisions |  | 566,761 |  |  | 37,499 |  |  | 12,464 |  |  | 591,796 |  |  | 1.8 |  |  | — |
Other foreign government, supranational and foreign government-sponsored enterprises |  | 2,595,707 |  |  | 123,054 |  |  | 19,938 |  |  | 2,698,823 |  |  | 8.4 |  |  | — |
Total fixed maturity securities |  | $ | 30,211,787 |  |  | $ | 2,243,037 |  |  | $ | 361,199 |  |  | $ | 32,093,625 |  |  | 100.0 | % |  | $ | (100 | )
Non-redeemable preferred stock |  | $ | 55,812 |  |  | $ | 1,648 |  |  | $ | 6,337 |  |  | $ | 51,123 |  |  | 18.6 | % |  |
Other equity securities |  | 229,767 |  |  | 1,792 |  |  | 7,321 |  |  | 224,238 |  |  | 81.4 |  |  |
Total equity securities |  | $ | 285,579 |  |  | $ | 3,440 |  |  | $ | 13,658 |  |  | $ | 275,361 |  |  | 100.0 | % |  |
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 March 31, 2017 and December 31, 2016, none of the collateral received had been sold or repledged. The Company also holds assets 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 derivative transactions and certain third-party reinsurance treaties as of March 31, 2017 and December 31, 2016 (dollars in thousands):
| March 31, 2017 |  | December 31, 2016
| Amortized Cost |  | Estimated Fair Value |  | Amortized Cost |  | Estimated Fair Value
Fixed maturity securities pledged as collateral | $ | 183,860 |  |  | $ | 189,387 |  |  | $ | 207,066 |  |  | $ | 210,676 |
Fixed maturity securities received as collateral | n/a |  |  | 414,893 |  |  | n/a |  |  | 300,925 |
Assets in trust held to satisfy collateral requirements | 12,157,811 |  |  | 13,015,274 |  |  | 12,135,258 |  |  | 12,874,370 |
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 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 March 31, 2017 and December 31, 2016 (dollars in thousands).
| March 31, 2017 |  | December 31, 2016
| Amortized Cost |  | Estimated Fair Value |  | Amortized Cost |  | Estimated Fair Value
Fixed maturity securities guaranteed or issued by: |  |  |  |  |  |  |
Canadian province of Quebec | $ | 1,020,682 |  |  | $ | 1,644,422 |  |  | $ | 1,004,261 |  |  | $ | 1,612,957 |
Canadian province of Ontario | 852,739 |  |  | 1,157,169 |  |  | 832,764 |  |  | 1,126,433 |
The amortized cost and estimated fair value of fixed maturity securities classified as available-for-sale at March 31, 2017 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 |  | $ | 837,801 |  |  | $ | 849,530 |
Due after one year through five years |  | 6,853,278 |  |  | 7,132,145 |
Due after five years through ten years |  | 9,113,078 |  |  | 9,548,835 |
Due after ten years |  | 9,803,968 |  |  | 11,190,478 |
Asset and mortgage-backed securities |  | 3,932,442 |  |  | 3,973,805 |
Total |  | $ | 30,540,567 |  |  | $ | 32,694,793 |
Corporate Fixed Maturity Securities The tables below show the major industry types of the Company’s corporate fixed maturity holdings as of March 31, 2017 and December 31, 2016 (dollars in thousands):
March 31, 2017: |  |  |  | Estimated |  |
|  | Amortized Cost |  | Fair Value |  | % of Total
Finance |  | $ | 6,862,721 |  |  | $ | 7,103,865 |  |  | 35.2 | %
Industrial |  | 10,398,548 |  |  | 10,889,185 |  |  | 54.0 |
Utility |  | 2,020,270 |  |  | 2,168,403 |  |  | 10.8 |
Total |  | $ | 19,281,539 |  |  | $ | 20,161,453 |  |  | 100.0 | %
December 31, 2016: |  |  |  | Estimated |  |
|  | Amortized Cost |  | Fair Value |  | % of Total
Finance |  | $ | 6,725,199 |  |  | $ | 6,888,968 |  |  | 35.2 | %
Industrial |  | 10,228,813 |  |  | 10,639,613 |  |  | 54.2 |
Utility |  | 1,970,699 |  |  | 2,090,503 |  |  | 10.6 |
Total |  | $ | 18,924,711 |  |  | $ | 19,619,084 |  |  | 100.0 | %
Other-Than-Temporary Impairments - Fixed Maturity and Equity Securities As discussed in Note 2 – “Summary of Significant Accounting Policies” of the 2016 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 March 31,
|  | 2017 |  | 2016
Balance, beginning of period |  | $ | 6,013 |  |  | $ | 7,284 |
Credit loss OTTI previously recognized on securities impaired to fair value during the period |  | (2,336 | ) |  | — |
Balance, end of period |  | $ | 3,677 |  |  | $ | 7,284 |
Unrealized Losses for Fixed Maturity and Equity Securities Available-for-Sale The following table presents the total gross unrealized losses for the 1,308 and 1,535 fixed maturity and equity securities as of March 31, 2017 and December 31, 2016, respectively, where the estimated fair value had declined and remained below amortized cost by the indicated amount (dollars in thousands):
|  | March 31, 2017 |  | December 31, 2016
|  | Gross Unrealized Losses |  | % of Total |  | Gross Unrealized Losses |  | % of Total
Less than 20% |  | $ | 251,640 |  |  | 90.7 | % |  | $ | 337,831 |  |  | 90.1 | %
20% or more for less than six months |  | 4,113 |  |  | 1.5 |  |  | 19,438 |  |  | 5.2 |
20% or more for six months or greater |  | 21,852 |  |  | 7.8 |  |  | 17,588 |  |  | 4.7 |
Total |  | $ | 277,605 |  |  | 100.0 | % |  | $ | 374,857 |  |  | 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 1,308 and 1,535 fixed maturity and equity securities that have estimated fair values below amortized cost as of March 31, 2017 and December 31, 2016, 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
March 31, 2017: |  | Estimated |  | Unrealized |  | Estimated |  | Unrealized |  | Estimated |  | Unrealized
|  | Fair Value |  | Losses |  | Fair Value |  | Losses |  | Fair Value |  | Losses
Investment grade securities: |  |  |  |  |  |  |  |  |  |  |  |
Corporate securities |  | $ | 3,658,776 |  |  | $ | 89,271 |  |  | $ | 412,413 |  |  | $ | 33,285 |  |  | $ | 4,071,189 |  |  | $ | 122,556 |
Canadian and Canadian provincial governments |  | 137,014 |  |  | 3,457 |  |  | — |  |  | — |  |  | 137,014 |  |  | 3,457 |
Residential mortgage-backed securities |  | 467,812 |  |  | 9,394 |  |  | 101,886 |  |  | 2,277 |  |  | 569,698 |  |  | 11,671 |
Asset-backed securities |  | 381,219 |  |  | 4,213 |  |  | 270,456 |  |  | 8,248 |  |  | 651,675 |  |  | 12,461 |
Commercial mortgage-backed securities |  | 370,152 |  |  | 6,816 |  |  | 7,398 |  |  | 111 |  |  | 377,550 |  |  | 6,927 |
U.S. government and agencies |  | 1,122,884 |  |  | 55,334 |  |  | — |  |  | — |  |  | 1,122,884 |  |  | 55,334 |
State and political subdivisions |  | 155,720 |  |  | 7,963 |  |  | 13,086 |  |  | 3,604 |  |  | 168,806 |  |  | 11,567 |
Other foreign government, supranational and foreign government-sponsored enterprises |  | 432,726 |  |  | 9,041 |  |  | 40,431 |  |  | 1,985 |  |  | 473,157 |  |  | 11,026 |
Total investment grade securities |  | 6,726,303 |  |  | 185,489 |  |  | 845,670 |  |  | 49,510 |  |  | 7,571,973 |  |  | 234,999 |
Below investment grade securities: |  |  |  |  |  |  |  |  |  |  |  |
Corporate securities |  | 195,427 |  |  | 3,023 |  |  | 110,909 |  |  | 31,844 |  |  | 306,336 |  |  | 34,867 |
Residential mortgage-backed securities |  | — |  |  | — |  |  | 122 |  |  | 5 |  |  | 122 |  |  | 5 |
Asset-backed securities |  | — |  |  | — |  |  | 11,463 |  |  | 680 |  |  | 11,463 |  |  | 680 |
Commercial mortgage-backed securities |  | 1,891 |  |  | 108 |  |  | — |  |  | — |  |  | 1,891 |  |  | 108 |
Other foreign government, supranational and foreign government-sponsored enterprises |  | 9,704 |  |  | 84 |  |  | 14,163 |  |  | 457 |  |  | 23,867 |  |  | 541 |
Total below investment grade securities |  | 207,022 |  |  | 3,215 |  |  | 136,657 |  |  | 32,986 |  |  | 343,679 |  |  | 36,201 |
Total fixed maturity securities |  | $ | 6,933,325 |  |  | $ | 188,704 |  |  | $ | 982,327 |  |  | $ | 82,496 |  |  | $ | 7,915,652 |  |  | $ | 271,200 |
Non-redeemable preferred stock |  | $ | — |  |  | $ | — |  |  | $ | 24,289 |  |  | $ | 2,801 |  |  | $ | 24,289 |  |  | $ | 2,801 |
Other equity securities |  | 70,591 |  |  | 3,604 |  |  | — |  |  | — |  |  | 70,591 |  |  | 3,604 |
Total equity securities |  | $ | 70,591 |  |  | $ | 3,604 |  |  | $ | 24,289 |  |  | $ | 2,801 |  |  | $ | 94,880 |  |  | $ | 6,405 |
|  | Less than 12 months |  | 12 months or greater |  | Total
|  |  |  | Gross |  |  |  | Gross |  |  |  | Gross
December 31, 2016: |  | Estimated |  | Unrealized |  | Estimated |  | Unrealized |  | Estimated |  | Unrealized
|  | Fair Value |  | Losses |  | Fair Value |  | Losses |  | Fair Value |  | Losses
Investment grade securities: |  |  |  |  |  |  |  |  |  |  |  |
Corporate securities |  | $ | 4,661,706 |  |  | $ | 124,444 |  |  | $ | 549,273 |  |  | $ | 43,282 |  |  | $ | 5,210,979 |  |  | $ | 167,726 |
Canadian and Canadian provincial governments |  | 101,578 |  |  | 3,541 |  |  | — |  |  | — |  |  | 101,578 |  |  | 3,541 |
Residential mortgage-backed securities |  | 490,473 |  |  | 9,733 |  |  | 112,216 |  |  | 3,635 |  |  | 602,689 |  |  | 13,368 |
Asset-backed securities |  | 563,259 |  |  | 12,010 |  |  | 257,166 |  |  | 9,653 |  |  | 820,425 |  |  | 21,663 |
Commercial mortgage-backed securities |  | 368,465 |  |  | 6,858 |  |  | 10,853 |  |  | 166 |  |  | 379,318 |  |  | 7,024 |
U.S. government and agencies |  | 1,056,101 |  |  | 63,044 |  |  | — |  |  | — |  |  | 1,056,101 |  |  | 63,044 |
State and political subdivisions |  | 187,194 |  |  | 9,396 |  |  | 13,635 |  |  | 3,068 |  |  | 200,829 |  |  | 12,464 |
Other foreign government, supranational and foreign government-sponsored enterprises |  | 524,236 |  |  | 13,372 |  |  | 51,097 |  |  | 2,981 |  |  | 575,333 |  |  | 16,353 |
Total investment grade securities |  | 7,953,012 |  |  | 242,398 |  |  | 994,240 |  |  | 62,785 |  |  | 8,947,252 |  |  | 305,183 |
Below investment grade securities: |  |  |  |  |  |  |  |  |  |  |  |
Corporate securities |  | 330,757 |  |  | 7,914 |  |  | 163,152 |  |  | 41,605 |  |  | 493,909 |  |  | 49,519 |
Residential mortgage-backed securities |  | — |  |  | — |  |  | 412 |  |  | 12 |  |  | 412 |  |  | 12 |
Asset-backed securities |  | 5,904 |  |  | 700 |  |  | 12,581 |  |  | 1,465 |  |  | 18,485 |  |  | 2,165 |
Commercial mortgage-backed securities |  | 5,815 |  |  | 735 |  |  | — |  |  | — |  |  | 5,815 |  |  | 735 |
Other foreign government, supranational and foreign government-sponsored enterprises |  | 32,355 |  |  | 1,258 |  |  | 39,763 |  |  | 2,327 |  |  | 72,118 |  |  | 3,585 |
Total below investment grade securities |  | 374,831 |  |  | 10,607 |  |  | 215,908 |  |  | 45,409 |  |  | 590,739 |  |  | 56,016 |
Total fixed maturity securities |  | $ | 8,327,843 |  |  | $ | 253,005 |  |  | $ | 1,210,148 |  |  | $ | 108,194 |  |  | $ | 9,537,991 |  |  | $ | 361,199 |
Non-redeemable preferred stock |  | $ | 10,831 |  |  | $ | 831 |  |  | $ | 21,879 |  |  | $ | 5,506 |  |  | $ | 32,710 |  |  | $ | 6,337 |
Other equity securities |  | 202,068 |  |  | 7,020 |  |  | 6,751 |  |  | 301 |  |  | 208,819 |  |  | 7,321 |
Total equity securities |  | $ | 212,899 |  |  | $ | 7,851 |  |  | $ | 28,630 |  |  | $ | 5,807 |  |  | $ | 241,529 |  |  | $ | 13,658 |
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 March 31, 2017 are primarily related to high-yield corporate securities. Changes in unrealized losses are primarily being driven by changes in credit spreads and interest rates. 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 March 31,
| 2017 |  | 2016
Fixed maturity securities available-for-sale | $ | 324,500 |  |  | $ | 312,414 |
Mortgage loans on real estate | 44,347 |  |  | 39,792 |
Policy loans | 15,272 |  |  | 16,134 |
Funds withheld at interest | 127,578 |  |  | 55,980 |
Short-term investments and cash and cash equivalents | 1,510 |  |  | 2,191 |
Other | 19,827 |  |  | 8,608 |
Investment income | 533,034 |  |  | 435,119 |
Investment expense | (18,670 | ) |  | (17,853 | )
Investment income, net of related expenses | $ | 514,364 |  |  | $ | 417,266 |
Investment Related Gains (Losses), Net Investment related gains (losses), net consist of the following (dollars in thousands):
| Three months ended March 31,
| 2017 |  | 2016
Fixed maturity and equity securities available for sale: |  |  |
Other-than-temporary impairment losses on fixed maturity securities recognized in earnings | $ | (17,189 | ) |  | $ | (33,817 | )
Gain on investment activity | 17,893 |  |  | 27,192 |
Loss on investment activity | (12,563 | ) |  | (11,787 | )
Other impairment losses and change in mortgage loan provision | (99 | ) |  | (2,060 | )
Derivatives and other, net | 72,481 |  |  | (100,414 | )
Total investment related gains (losses), net | $ | 60,523 |  |  | $ | (120,886 | )
The fixed maturity impairments for the three months ended March 31, 2017 and 2016 were largely related to high-yield energy and emerging market corporate securities. The fluctuations in investment related gains (losses) for derivatives and other for the three months ended March 31, 2017, compared to the same period in 2016, are primarily due to changes in the fair value of embedded derivatives and interest rate swaps. During the three months ended March 31, 2017 and 2016, the Company sold fixed maturity and equity securities with fair values of $576.2 million and $242.6 million at losses of $12.6 million and $11.8 million, respectively. The Company generally does not buy and sell securities on a short-term basis. Securities Borrowing, Lending 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. The Company also participates in a securities lending program whereby securities, reflected as investments on the Company’s consolidated balance sheets, are loaned to a third party. The Company receives securities as collateral, in an amount equal to a minimum of 105% of the fair value of the securities lent. The securities received are not reflected on the Company’s condensed consolidated balance sheets. The Company also participates in repurchase/reverse repurchase programs in which securities, reflected as investments on the Company’s condensed consolidated balance sheets, are pledged to third parties. In return, the Company receives securities from the third parties 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 Company also participates in a 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 cash from the third party, which is reflected as a payable to the third party and included in other liabilities on the condensed consolidated balance sheets. The Company is required to maintain a minimum collateral balance with a fair value of 102% of the cash received. The following table includes the amount of borrowed securities, securities lent and securities collateral received as part of the securities lending program and repurchased/reverse repurchased securities pledged and received as of March 31, 2017 and December 31, 2016 (dollars in thousands).
| March 31, 2017 |  | December 31, 2016
| Amortized Cost |  | Estimated Fair Value |  | Amortized Cost |  | Estimated Fair Value
Borrowed securities | $ | 265,180 |  |  | $ | 279,637 |  |  | $ | 263,820 |  |  | $ | 279,186 |
Securities lending: |  |  |  |  |  |  |
Securities loaned | 87,865 |  |  | 88,486 |  |  | 74,389 |  |  | 73,625 |
Securities received | n/a |  |  | 94,000 |  |  | n/a |  |  | 80,000 |
Repurchase program/reverse repurchase program: |  |  |  |  |  |  |
Securities pledged | 480,965 |  |  | 504,645 |  |  | 476,531 |  |  | 499,891 |
Securities received | n/a |  |  | 518,358 |  |  | n/a |  |  | 515,200 |
The Company also held cash collateral for repurchase program/reverse repurchase programs of $30.5 million and $28.8 million at March 31, 2017 and December 31, 2016, respectively. The following table presents information on the Company’s securities lending and repurchase transactions as of March 31, 2017 and December 31, 2016 (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.
| March 31, 2017
| 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 securities | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 88,486 |  |  | $ | 88,486 |
Total | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 88,486 |  |  | $ | 88,486 |
Repurchase transactions: |  |  |  |  |  |  |  |  |
Corporate securities | $ | — |  |  | $ | — |  |  | $ | 2,531 |  |  | $ | 172,119 |  |  | $ | 174,650 |
Residential mortgage-backed securities | — |  |  | — |  |  | — |  |  | 90,422 |  |  | 90,422 |
U.S. government and agencies | — |  |  | — |  |  | 30,006 |  |  | 185,811 |  |  | 215,817 |
Foreign government | — |  |  | — |  |  | — |  |  | 20,411 |  |  | 20,411 |
Other | 3,345 |  |  | — |  |  | — |  |  | — |  |  | 3,345 |
Total | 3,345 |  |  | — |  |  | 32,537 |  |  | 468,763 |  |  | 504,645 |
Total borrowings | $ | 3,345 |  |  | $ | — |  |  | $ | 32,537 |  |  | $ | 557,249 |  |  | $ | 593,131 |
Gross amount of recognized liabilities for securities lending and repurchase transactions in preceding table |  | $ | 642,874 |
Amounts related to agreements not included in offsetting disclosure |  | $ | 49,743 |
| December 31, 2016
| 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 securities | $ | — |  |  | $ | — |  |  | $ | 4,017 |  |  | $ | 69,608 |  |  | $ | 73,625 |
Total | $ | — |  |  | $ | — |  |  | $ | 4,017 |  |  | $ | 69,608 |  |  | $ | 73,625 |
Repurchase transactions: |  |  |  |  |  |  |  |  |
Corporate securities | $ | — |  |  | $ | — |  |  | $ | 3,220 |  |  | $ | 166,979 |  |  | $ | 170,199 |
Residential mortgage-backed securities | — |  |  | — |  |  | — |  |  | 92,546 |  |  | 92,546 |
U.S. government and agencies | — |  |  | — |  |  | — |  |  | 216,000 |  |  | 216,000 |
Foreign government | — |  |  | — |  |  | — |  |  | 19,900 |  |  | 19,900 |
Other | 1,246 |  |  | — |  |  | — |  |  | — |  |  | 1,246 |
Total | 1,246 |  |  | — |  |  | 3,220 |  |  | 495,425 |  |  | 499,891 |
Total borrowings | $ | 1,246 |  |  | $ | — |  |  | $ | 7,237 |  |  | $ | 565,033 |  |  | $ | 573,516 |
Gross amount of recognized liabilities for securities lending and repurchase transactions in preceding table |  | $ | 624,032 |
Amounts related to agreements not included in offsetting disclosure |  | $ | 50,516 |
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 consolidated balance sheets was a liability of $2.5 million and $5.5 million as of March 31, 2017 and December 31, 2016, respectively. As of March 31, 2017 and December 31, 2016, 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 on Real Estate Mortgage loans represented approximately 8.5% and 8.4% of the Company’s total investments as of March 31, 2017 and December 31, 2016. The Company makes mortgage loans on income producing properties that are geographically diversified throughout the U.S. with the largest concentration being in the state of California, which represented 23.5% and 22.1% of mortgage loans on real estate as of March 31, 2017 and December 31, 2016, respectively. The recorded investment in mortgage loans on real estate presented below is gross of unamortized deferred loan origination fees and expenses, and valuation allowances. The distribution of mortgage loans by property type is as follows as of March 31, 2017 and December 31, 2016 (dollars in thousands):
|  | March 31, 2017 |  | December 31, 2016
Property type: |  | Carrying Value |  | % of Total |  | Carrying Value |  | % of Total
Office building |  | $ | 1,329,399 |  |  | 34.2 | % |  | $ | 1,270,113 |  |  | 33.6 | %
Retail |  | 1,202,317 |  |  | 31.0 |  |  | 1,179,936 |  |  | 31.2 |
Industrial |  | 750,978 |  |  | 19.4 |  |  | 713,461 |  |  | 18.8 |
Apartment |  | 425,614 |  |  | 11.0 |  |  | 447,088 |  |  | 11.8 |
Other commercial |  | 171,461 |  |  | 4.4 |  |  | 172,609 |  |  | 4.6 |
Recorded investment |  | 3,879,769 |  |  | 100.0 | % |  | $ | 3,783,207 |  |  | 100.0 | %
Unamortized balance of loan origination fees and expenses |  | (674 | ) |  |  |  | — |  |  |
Valuation allowances |  | (7,786 | ) |  |  |  | (7,685 | ) |  |
Total mortgage loans on real estate |  | $ | 3,871,309 |  |  |  |  | $ | 3,775,522 |  |  |
The maturities of the mortgage loans as of March 31, 2017 and December 31, 2016 are as follows (dollars in thousands):
|  | March 31, 2017 |  | December 31, 2016
|  | Recorded Investment |  | % of Total |  | Recorded Investment |  | % of Total
Due within five years |  | $ | 907,453 |  |  | 23.4 | % |  | $ | 822,073 |  |  | 21.7 | %
Due after five years through ten years |  | 2,144,303 |  |  | 55.3 |  |  | 2,099,559 |  |  | 55.5 |
Due after ten years |  | 828,013 |  |  | 21.3 |  |  | 861,575 |  |  | 22.8 |
Total |  | $ | 3,879,769 |  |  | 100.0 | % |  | $ | 3,783,207 |  |  | 100.0 | %
The following tables set forth certain key credit quality indicators of the Company’s recorded investment in mortgage loans as of March 31, 2017 and December 31, 2016 (dollars in thousands):
| Recorded Investment
| Debt Service Ratios |  |  |  |
| >1.20x |  | 1.00x - 1.20x |  | <1.00x |  | Total |  | % of Total
March 31, 2017: |  |  |  |  |  |  |  |  |
Loan-to-Value Ratio |  |  |  |  |  |  |  |  |
0% - 59.99% | $ | 1,967,449 |  |  | $ | 64,541 |  |  | $ | 1,183 |  |  | $ | 2,033,173 |  |  | 52.3 | %
60% - 69.99% | 1,259,650 |  |  | 34,584 |  |  | — |  |  | 1,294,234 |  |  | 33.4 |
70% - 79.99% | 368,504 |  |  | 20,734 |  |  | 24,207 |  |  | 413,445 |  |  | 10.7 |
Greater than 80% | 103,896 |  |  | — |  |  | 35,021 |  |  | 138,917 |  |  | 3.6 |
Total | $ | 3,699,499 |  |  | $ | 119,859 |  |  | $ | 60,411 |  |  | $ | 3,879,769 |  |  | 100.0 | %
| Recorded Investment
| Debt Service Ratios |  |  |  |
| >1.20x |  | 1.00x - 1.20x |  | <1.00x |  | Total |  | % of Total
December 31, 2016: |  |  |  |  |  |  |  |  |
Loan-to-Value Ratio |  |  |  |  |  |  |  |  |
0% - 59.99% | $ | 1,859,640 |  |  | $ | 64,749 |  |  | $ | 1,366 |  |  | $ | 1,925,755 |  |  | 50.8 | %
60% - 69.99% | 1,257,788 |  |  | 34,678 |  |  | — |  |  | 1,292,466 |  |  | 34.2 |
70% - 79.99% | 370,092 |  |  | 20,869 |  |  | 24,369 |  |  | 415,330 |  |  | 11.0 |
Greater than 80% | 114,297 |  |  | — |  |  | 35,359 |  |  | 149,656 |  |  | 4.0 |
Total | $ | 3,601,817 |  |  | $ | 120,296 |  |  | $ | 61,094 |  |  | $ | 3,783,207 |  |  | 100.0 | %
None of the payments due to the Company on its recorded investment in mortgage loans were delinquent as of March 31, 2017 and December 31, 2016. The following table presents the recorded investment in mortgage loans, by method of measuring impairment, and the related valuation allowances as of March 31, 2017 and December 31, 2016 (dollars in thousands):
|  | March 31, 2017 |  | December 31, 2016
Mortgage loans: |  |  |  |
Individually measured for impairment |  | $ | 2,099 |  |  | $ | 2,216 |
Collectively measured for impairment |  | 3,877,670 |  |  | 3,780,991 |
Recorded investment |  | $ | 3,879,769 |  |  | $ | 3,783,207 |
Valuation allowances: |  |  |  |
Individually measured for impairment |  | $ | — |  |  | $ | — |
Collectively measured for impairment |  | 7,786 |  |  | 7,685 |
Total valuation allowances |  | $ | 7,786 |  |  | $ | 7,685 |
Information regarding the Company’s loan valuation allowances for mortgage loans for the three months ended March 31, 2017 and 2016 is as follows (dollars in thousands):
| Three months ended March 31,
| 2017 |  | 2016
Balance, beginning of period | $ | 7,685 |  |  | $ | 6,813 |
Provision (release) | 101 |  |  | 11 |
Balance, end of period | $ | 7,786 |  |  | $ | 6,824 |
Information regarding the portion of the Company’s mortgage loans that were impaired as of March 31, 2017 and December 31, 2016 is as follows (dollars in thousands):
|  | Unpaid Principal Balance |  | Recorded Investment |  | Related Allowance |  | Carrying Value
March 31, 2017: |  |  |  |  |  |  |  |
Impaired mortgage loans with no valuation allowance recorded |  | $ | 2,641 |  |  | $ | 2,099 |  |  | $ | — |  |  | $ | 2,099 |
Impaired mortgage loans with valuation allowance recorded |  | — |  |  | — |  |  | — |  |  | — |
Total impaired mortgage loans |  | $ | 2,641 |  |  | $ | 2,099 |  |  | $ | — |  |  | $ | 2,099 |
December 31, 2016: |  |  |  |  |  |  |  |
Impaired mortgage loans with no valuation allowance recorded |  | $ | 2,758 |  |  | $ | 2,216 |  |  | $ | — |  |  | $ | 2,216 |
Impaired mortgage loans with valuation allowance recorded |  | — |  |  | — |  |  | — |  |  | — |
Total impaired mortgage loans |  | $ | 2,758 |  |  | $ | 2,216 |  |  | $ | — |  |  | $ | 2,216 |
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 March 31,
|  | 2017 |  | 2016
|  | Average Recorded Investment(1) |  | Interest Income |  | Average Recorded Investment(1) |  | Interest Income
Impaired mortgage loans with no valuation allowance recorded |  | $ | 2,157 |  |  | $ | 33 |  |  | $ | 2,421 |  |  | $ | 12 |
Impaired mortgage loans with valuation allowance recorded |  | — |  |  | — |  |  | 10,918 |  |  | 144 |
Total impaired mortgage loans |  | $ | 2,157 |  |  | $ | 33 |  |  | $ | 13,339 |  |  | $ | 156 |
(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 three months ended March 31, 2017 and 2016. The Company had no mortgage loans that were on a nonaccrual status at March 31, 2017 and December 31, 2016. Policy Loans Policy loans comprised approximately 3.1% and 3.2% of the Company’s total investments as of March 31, 2017 and December 31, 2016, 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 Funds withheld at interest comprised approximately 13.1% of the Company’s total investments for both March 31, 2017 and December 31, 2016. Of the $5.9 billion funds withheld at interest balance, net of embedded derivatives, as of March 31, 2017, $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), derivative contracts and fair value option (“FVO”) contractholder-directed unit-linked investments. Other invested assets also include Federal Home Loan Bank of Des Moines (“FHLB”) common stock, real estate held-for-investment, equity release mortgages and structured loans, all of which are 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 3.1% and 3.6% of the Company’s total investments as of March 31, 2017 and December 31, 2016, respectively. Carrying values of these assets as of March 31, 2017 and December 31, 2016 are as follows (dollars in thousands):
|  | March 31, 2017 |  | December 31, 2016
Equity securities |  | $ | 111,616 |  |  | $ | 275,361 |
Limited partnership interests and real estate joint ventures |  | 706,143 |  |  | 687,522 |
Derivatives |  | 170,183 |  |  | 229,108 |
FVO contractholder-directed unit-linked investments |  | 193,600 |  |  | 190,120 |
Other |  | 247,633 |  |  | 209,829 |
Total other invested assets |  | $ | 1,429,175 |  |  | $ | 1,591,940 |

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