|        |
|--------|
|        |
|   |

|   |                                                                                              |
|---|----------------------------------------------------------------------------------------------|
| x | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934 |

|   |                                                                                               |
|---|-----------------------------------------------------------------------------------------------|
| o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934 |

|                                                                |
|----------------------------------------------------------------|
|                                                                |  |  |
| Delaware                                                       |   | 41-6009975 |
| (State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
| 1099 Ameriprise Financial Center, Minneapolis, Minnesota       | 55474 |
| (Address of principal executive offices)                       | (Zip Code) |

|                                     |
|-------------------------------------|
|                                     |  |
| Large Accelerated Filer   o    | Accelerated Filer   o |
| Non-Accelerated Filer   x | Smaller reporting company   o |

|                                         |
|-----------------------------------------|
|                                         |  |  |
| Class                                   |   | Outstanding at August 1, 2016 |
| Common Shares (par value $10 per share) |   | 150,000 shares |

|        |
|--------|
|        |
|   |

----

|                                                                                                                  |
|------------------------------------------------------------------------------------------------------------------|
|                                                                                                                  |  |  |  |  |
| Part I.  Financial Information                                                                              |
| Item 1. Financial Statements (Unaudited)                                                                         |   |
| Consolidated Statements of Operations — Three months and six months ended June 30, 2016 and 2015           | 3 |
| Consolidated Statements of Comprehensive Income — Three months and six months ended June 30, 2016 and 2015 | 4 |
| Consolidated Balance Sheets — June 30, 2016 and December 31, 2015                                          | 5 |
| Consolidated Statements of Shareholder's Equity — Six months ended June 30, 2016 and 2015                  | 6 |
| Consolidated Statements of Cash Flows — Six months ended June 30, 2016 and 2015                            | 7 |
| Notes to Consolidated Financial Statements                                                                       | 8 |
| 1.  Basis of Presentation                                                                                        | 8 |
| 2.  Recent Accounting Pronouncements                                                                             | 8 |
| 3.  Investments                                                                                                  | 9 |
| 4.  Commercial Mortgage, Syndicated and Certificate Loans                                                        | 12 |
| 5.  Fair Values of Assets and Liabilities                                                                        | 14 |
| 6.  Offsetting Assets and Liabilities                                                                            | 20 |
| 7.  Derivatives and Hedging Activities                                                                           | 21 |
| 8.  Contingencies                                                                                                | 22 |
| 9.  Shareholder’s Equity                                                                                   | 22 |
| 10.  Income Taxes                                                                                                | 23 |
| Item 2.  Management’s Narrative Analysis                                                         | 24 |
| Item 4.  Controls and Procedures                                                                       | 25 |
|                                                                                                             |   |
| Part II.  Other Information                                                                       | 26 |
| Item 1.  Legal Proceedings                                                                             | 26 |
| Item 1A.  Risk Factors                                                                                 | 26 |
| Item 6.  Exhibits                                                                                      | 26 |
| Signatures                                                                                                       | 27 |
| Exhibit Index                                                                                                    | E-1 |

----

|                                                                                     |
|-------------------------------------------------------------------------------------|
|                                                                                     |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                                | Three Months Ended June 30, |   | Six Months Ended June 30, |
|                                                                                | 2016 |   | 2015 |   | 2016 |   | 2015 |
|                                                                                | (in thousands) |
| Investment income                                                                   | $ | 28,316 |  |   | $ | 21,835 |  |   | $ | 55,935 |  |   | $ | 43,667 |  |
| Investment expenses                                                                 | 8,058 |  |   | 6,749 |  |   | 15,835 |  |   | 13,370 |  |
| Net investment income before provision for certificate reserves and income taxes    | 20,258 |  |   | 15,086 |  |   | 40,100 |  |   | 30,297 |  |
| Net provision for certificate reserves                                              | 7,714 |  |   | 6,432 |  |   | 16,201 |  |   | 12,700 |  |
| Net investment income before income taxes                                           | 12,544 |  |   | 8,654 |  |   | 23,899 |  |   | 17,597 |  |
| Income tax expense                                                                  | 4,041 |  |   | 3,209 |  |   | 8,206 |  |   | 4,988 |  |
| Net investment income, after-tax                                                    | 8,503 |  |   | 5,445 |  |   | 15,693 |  |   | 12,609 |  |
|                                                                                |   |   |   |   |   |   |   |
| Net realized gain (loss) on investments before income taxes                         | 233 |  |   | (77 | ) |   | (969 | ) |   | (998 | ) |
| Income tax expense (benefit)                                                        | 82 |  |   | (27 | ) |   | (339 | ) |   | (349 | ) |
| Net realized gain (loss) on investments, after-tax                                  | 151 |  |   | (50 | ) |   | (630 | ) |   | (649 | ) |
| Net income                                                                          | $ | 8,654 |  |   | $ | 5,395 |  |   | $ | 15,063 |  |   | $ | 11,960 |  |
|                                                                                |   |   |   |   |   |   |   |
| Supplemental Disclosures:                                                           |   |  |   |   |  |   |   |  |   |   |  |
| Total other-than-temporary impairment losses on securities                          | $ | — |  |   | $ | — |  |   | $ | — |  |   | $ | — |  |
| Portion of loss recognized in other comprehensive income (loss) (before taxes) | — |  |   | — |  |   | (70 | ) |   | (923 | ) |
| Net impairment losses recognized in net realized loss on investments           | $ | — |  |   | $ | — |  |   | $ | (70 | ) |   | $ | (923 | ) |
|  See Notes to Consolidated Financial Statements.                               |

----

|                                                                               |
|-------------------------------------------------------------------------------|
|                                                                               |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                          | Three Months Ended June 30, |   | Six Months Ended June 30, |
|                                                                          | 2016 |   | 2015 |   | 2016 |   | 2015 |
|                                                                          | (in thousands) |
| Net income                                                                    | $ | 8,654 |  |   | $ | 5,395 |  |   | $ | 15,063 |  |   | $ | 11,960 |  |
| Other comprehensive income (loss), net of tax:                                |   |  |   |   |  |   |   |  |   |   |  |
| Net unrealized gains (losses) on securities:                                  |   |  |   |   |  |   |   |  |   |   |  |
| Net unrealized securities gains (losses) arising during the period       | 11,291 |  |   | (4,965 | ) |   | 18,181 |  |   | 319 |  |
| Reclassification of net securities losses (gains) included in net income | (151 | ) |   | 50 |  |   | 630 |  |   | 649 |  |
| Total other comprehensive income (loss), net of tax                           | 11,140 |  |   | (4,915 | ) |   | 18,811 |  |   | 968 |  |
| Total comprehensive income                                                    | $ | 19,794 |  |   | $ | 480 |  |   | $ | 33,874 |  |   | $ | 12,928 |  |
| See Notes to Consolidated Financial Statements.                               |

----

|                                                                     |
|---------------------------------------------------------------------|
|                                                                     |  |  |  |  |  |  |  |
|                                                                | June 30, 2016 |   | December 31, 2015 |
|                                                                     | (in thousands, except share amounts) |
| Assets                                                              |   |   |   |
| Qualified Assets                                                    |   |  |   |   |  |
| Cash and cash equivalents                                           | $ | 234,596 |  |   | $ | 137,557 |  |
| Investments in unaffiliated issuers                                 | 5,478,053 |  |   | 4,937,750 |  |
| Receivables                                                         | 27,040 |  |   | 22,122 |  |
| Derivative assets                                                   | 31,829 |  |   | 18,493 |  |
| Total qualified assets                                              | 5,771,518 |  |   | 5,115,922 |  |
| Current taxes receivable from parent                                | — |  |   | 2,803 |  |
| Deferred taxes, net                                                 | 1,182 |  |   | 1,947 |  |
| Total assets                                                        | $ | 5,772,700 |  |   | $ | 5,120,672 |  |
|                                                                |   |   |   |
| Liabilities and Shareholder's Equity                                |   |  |   |   |  |
| Liabilities                                                         |   |  |   |   |  |
| Certificate reserves                                                | $ | 5,406,683 |  |   | $ | 4,834,896 |  |
| Current taxes payable to parent                                     | 7,419 |  |   | — |  |
| Derivative liabilities                                              | 26,101 |  |   | 14,932 |  |
| Payable for investment securities purchased                         | 9,095 |  |   | 2,304 |  |
| Due to related party and other liabilities                          | 19,706 |  |   | 17,718 |  |
| Total liabilities                                                   | 5,469,004 |  |   | 4,869,850 |  |
|                                                                |   |   |   |
| Shareholder's Equity                                                |   |  |   |   |  |
| Common shares ($10 par value, 150,000 shares authorized and issued) | 1,500 |  |   | 1,500 |  |
| Additional paid-in capital                                          | 233,517 |  |   | 214,517 |  |
| Total retained earnings                                             | 68,676 |  |   | 53,613 |  |
| Accumulated other comprehensive income (loss), net of tax           | 3 |  |   | (18,808 | ) |
| Total shareholder's equity                                          | 303,696 |  |   | 250,822 |  |
| Total liabilities and shareholder's equity                          | $ | 5,772,700 |  |   | $ | 5,120,672 |  |
| See Notes to Consolidated Financial Statements.                     |

----

|                                                 |
|-------------------------------------------------|
|                                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                            | Retained Earnings |   |
|                                            | Number of Outstanding Shares | Common Shares | Additional Paid-In Capital | Appropriated for Pre-Declared Additional Credits and Interest | Appropriated for Additional Interest on Advance Payments | Unappropriated | Accumulated Other Comprehensive Income (Loss), Net of Tax | Total |
|                                            | (in thousands, except share data) |
| Balance at January 1, 2015                      | 150,000 |   | $ | 1,500 |   | $ | 201,517 |   | $ | 58 |   | $ | 15 |   | $ | 40,869 |   | $ | (4,028 | ) | $ | 239,931 |  |
| Comprehensive income:                           |
| Net income                                      | — |   | — |   | — |   | — |   | — |   | 11,960 |   | — |   | 11,960 |  |
| Other comprehensive income, net of tax          | — |   | — |   | — |   | — |   | — |   | — |   | 968 |   | 968 |  |
| Total comprehensive income                      |   |   |   |   |   |   |   |   |   |   |   |   |   |   | 12,928 |  |
| Transfer from appropriated to unappropriated    | — |   | — |   | — |   | (28 | ) | — |   | 28 |   | — |   | — |  |
| Dividend to parent                              | — |   | — |   | — |   | — |   | — |   | (10,000 | ) | — |   | (10,000 | ) |
| Balance at June 30, 2015                   | 150,000 |   | $ | 1,500 |   | $ | 201,517 |   | $ | 30 |   | $ | 15 |   | $ | 42,857 |   | $ | (3,060 | ) | $ | 242,859 |  |
|                                            |
| Balance at January 1, 2016                      | 150,000 |   | $ | 1,500 |   | $ | 214,517 |   | $ | 8 |   | $ | 15 |   | $ | 53,590 |   | $ | (18,808 | ) | $ | 250,822 |  |
| Comprehensive income:                           |
| Net income                                      | — |   | — |   | — |   | — |   | — |   | 15,063 |   | — |   | 15,063 |  |
| Other comprehensive income, net of tax          | — |   | — |   | — |   | — |   | — |   | — |   | 18,811 |   | 18,811 |  |
| Total comprehensive income                      |   |   |   |   |   |   |   |   |   |   |   |   |   |   | 33,874 |  |
| Transfer from appropriated to unappropriated    | — |   | — |   | — |   | (8 | ) | — |   | 8 |   | — |   | — |  |
| Receipt of capital from parent                  | — |   | — |   | 19,000 |   | — |   | — |   | — |   | — |   | 19,000 |  |
| Balance at June 30, 2016                   | 150,000 |   | $ | 1,500 |   | $ | 233,517 |   | $ | — |   | $ | 15 |   | $ | 68,661 |   | $ | 3 |   | $ | 303,696 |  |
| See Notes to Consolidated Financial Statements. |

----

|                                                                                   |
|-----------------------------------------------------------------------------------|
|                                                                                   |  |  |  |  |  |  |  |
|                                                                              | Six Months Ended June 30, |
|                                                                              | 2016 |   | 2015 |
|                                                                              | (in thousands) |
| Cash Flows from Operating Activities                                              |   |   |   |
| Net income                                                                        | $ | 15,063 |  |   | $ | 11,960 |  |
| Adjustments to reconcile net income to net cash provided by operating activities: |   |   |   |
| Amortization of premiums, accretion of discounts, net                             | 12,232 |  |   | 13,878 |  |
| Deferred income tax benefit                                                       | (156 | ) |   | (156 | ) |
| Net realized loss on Available-for-Sale securities                                | 899 |  |   | 75 |  |
| Other-than-temporary impairments and provision for loan loss                      | 70 |  |   | 923 |  |
| Changes in operating assets and liabilities:                                      |   |   |   |
| Dividends and interest receivable                                                 | (306 | ) |   | 363 |  |
| Certificate reserves, net                                                         | 671 |  |   | (1,150 | ) |
| Deferred taxes, net                                                               | (10,129 | ) |   | (209 | ) |
| Current taxes payable to/receivable from parent, net                              | 10,222 |  |   | 4,714 |  |
| Derivatives, net of collateral                                                    | (577 | ) |   | 698 |  |
| Other liabilities                                                                 | 82 |  |   | 11,131 |  |
| Other, net                                                                        | (124 | ) |   | 5,579 |  |
| Net cash provided by operating activities                                         | 27,947 |  |   | 47,806 |  |
|                                                                              |
| Cash Flows from Investing Activities                                              |   |   |   |
| Available-for-Sale securities:                                                    |   |   |   |
| Sales                                                                             | 7,036 |  |   | 26 |  |
| Maturities, redemptions and calls                                                 | 743,185 |  |   | 577,596 |  |
| Purchases                                                                         | (1,275,077 | ) |   | (762,581 | ) |
| Syndicated loans, commercial mortgage loans and real estate owned:                |   |   |   |
| Sales, maturities and repayments                                                  | 16,676 |  |   | 12,154 |  |
| Purchases and fundings                                                            | (12,929 | ) |   | (12,490 | ) |
| Certificate loans, net                                                            | 85 |  |   | 47 |  |
| Net cash used in investing activities                                             | (521,024 | ) |   | (185,248 | ) |
|                                                                              |
| Cash Flows from Financing Activities                                              |   |   |   |
| Payments from certificate holders and other additions                             | 2,168,232 |  |   | 1,375,438 |  |
| Certificate maturities and cash surrenders                                        | (1,597,116 | ) |   | (1,227,442 | ) |
| Capital contribution from parent                                                  | 19,000 |  |   | — |  |
| Dividend to parent                                                                | — |  |   | (10,000 | ) |
| Net cash provided by financing activities                                         | 590,116 |  |   | 137,996 |  |
|                                                                              |
| Net increase in cash and cash equivalents                                         | 97,039 |  |   | 554 |  |
| Cash and cash equivalents at beginning of period                                  | 137,557 |  |   | 68,632 |  |
| Cash and cash equivalents at end of period                                        | $ | 234,596 |  |   | $ | 69,186 |  |
|                                                                              |
| Supplemental disclosures including non-cash transactions:                         |   |   |   |
| Cash paid for income taxes                                                        | $ | 10,557 |  |   | $ | 7,712 |  |
| Cash paid for interest                                                            | 15,524 |  |   | 14,879 |  |
| See Notes to Consolidated Financial Statements.                                   |

----

----

|                                                                                                                                                                       |
|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                                       |  |  |  |  |  |  |  |
|                                                                                                                                                                  | June 30, 2016 |   | December 31, 2015 |
|                                                                                                                                                                  | (in thousands) |
| Available-for-Sale securities:                                                                                                                                        |   |
| Fixed maturities, at fair value (amortized cost: 2016, $5,281,700; 2015, $4,768,263)                                                                                  | $ | 5,277,898 |  |   | $ | 4,734,442 |  |
| Common stocks, at fair value (cost: 2016, $2,273; 2015, $2,273)                                                                                                       | 6,078 |  |   | 6,237 |  |
| Commercial mortgage loans and syndicated loans, at cost (less allowance for loan losses: 2016, $3,964; 2015, $3,964; fair value: 2016, $196,287; 2015, $195,595) | 193,476 |  |   | 196,385 |  |
| Certificate loans — secured by certificate reserves, at cost, which approximates fair value                                                                     | 601 |  |   | 686 |  |
| Total                                                                                                                                                                 | $ | 5,478,053 |  |   | $ | 4,937,750 |  |

|                                          |
|------------------------------------------|
|                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Description of Securities      | June 30, 2016 |
| Amortized Cost                      | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | Noncredit OTTI (1) |
|                                     | (in thousands) |
| Residential mortgage backed securities   | $ | 2,871,503 |   | $ | 13,283 |   | $ | (29,700 | ) | $ | 2,855,086 |   | $ | (2,026 | ) |
| Corporate debt securities                | 1,429,271 |   | 11,574 |   | (764 | ) | 1,440,081 |   | 3 |  |
| Commercial mortgage backed securities    | 427,819 |   | 3,470 |   | (262 | ) | 431,027 |   | — |  |
| Asset backed securities                  | 496,980 |   | 2,061 |   | (4,291 | ) | 494,750 |   | — |  |
| State and municipal obligations          | 55,750 |   | 757 |   | — |   | 56,507 |   | — |  |
| U.S. government and agencies obligations | 377 |   | 70 |   | — |   | 447 |   | — |  |
| Common stocks                            | 2,273 |   | 3,953 |   | (148 | ) | 6,078 |   | 2,236 |  |
| Total                                    | $ | 5,283,973 |   | $ | 35,168 |   | $ | (35,165 | ) | $ | 5,283,976 |   | $ | 213 |  |

|                                          |
|------------------------------------------|
|                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Description of Securities      | December 31, 2015 |
| Amortized Cost                      | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | Noncredit OTTI (1) |
|                                     | (in thousands) |
| Residential mortgage backed securities   | $ | 2,543,904 |   | $ | 9,628 |   | $ | (29,686 | ) | $ | 2,523,846 |   | $ | (3,707 | ) |
| Corporate debt securities                | 1,426,967 |   | 842 |   | (11,344 | ) | 1,416,465 |   | 3 |  |
| Commercial mortgage backed securities    | 318,962 |   | 1,534 |   | (1,125 | ) | 319,371 |   | — |  |
| Asset backed securities                  | 428,694 |   | 1,509 |   | (5,161 | ) | 425,042 |   | — |  |
| State and municipal obligations          | 49,359 |   | 73 |   | (140 | ) | 49,292 |   | — |  |
| U.S. government and agencies obligations | 377 |   | 49 |   | — |   | 426 |   | — |  |
| Common stocks                            | 2,273 |   | 4,179 |   | (215 | ) | 6,237 |   | 2,185 |  |
| Total                                    | $ | 4,770,536 |   | $ | 17,814 |   | $ | (47,671 | ) | $ | 4,740,679 |   | $ | (1,519 | ) |

----

|                        |
|------------------------|
|                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Ratings                | June 30, 2016 |   | December 31, 2015 |
| Amortized Cost         | Fair Value | Percent of Total Fair Value |   | Amortized Cost | Fair Value | Percent of Total Fair Value |
|                   | (in thousands, except percentages) |
| AAA                    | $ | 2,494,962 |   | $ | 2,496,310 |   | 47 | % |   | $ | 1,909,817 |   | $ | 1,903,427 |   | 40 | % |
| AA                     | 327,260 |   | 324,931 |   | 6 |  |   | 328,041 |   | 326,326 |   | 7 |  |
| A                      | 632,495 |   | 630,272 |   | 12 |  |   | 705,780 |   | 700,629 |   | 15 |  |
| BBB                    | 1,675,295 |   | 1,679,882 |   | 32 |  |   | 1,647,627 |   | 1,633,796 |   | 35 |  |
| Below investment grade | 151,688 |   | 146,503 |   | 3 |  |   | 176,998 |   | 170,264 |   | 3 |  |
| Total fixed maturities | $ | 5,281,700 |   | $ | 5,277,898 |   | 100 | % |   | $ | 4,768,263 |   | $ | 4,734,442 |   | 100 | % |

|                                        |
|----------------------------------------|
|                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Description of Securities         | June 30, 2016 |
| Less than 12 months     | 12 months or more | Total |
| Number of Securities                   | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses |
|                                   | (in thousands, except number of securities) |
| Residential mortgage backed securities | 86 |   | $ | 1,094,525 |   | $ | (9,021 | ) | 125 |   | $ | 805,234 |   | $ | (20,679 | ) | 211 |   | $ | 1,899,759 |   | $ | (29,700 | ) |
| Corporate debt securities              | 8 |   | 91,446 |   | (255 | ) | 9 |   | 63,261 |   | (509 | ) | 17 |   | 154,707 |   | (764 | ) |
| Commercial mortgage backed securities  | 11 |   | 68,785 |   | (168 | ) | 3 |   | 20,470 |   | (94 | ) | 14 |   | 89,255 |   | (262 | ) |
| Asset backed securities                | 15 |   | 75,129 |   | (1,383 | ) | 15 |   | 247,413 |   | (2,908 | ) | 30 |   | 322,542 |   | (4,291 | ) |
| Common stocks                          | 2 |   | 561 |   | (74 | ) | 2 |   | 178 |   | (74 | ) | 4 |   | 739 |   | (148 | ) |
| Total                                  | 122 |   | $ | 1,330,446 |   | $ | (10,901 | ) | 154 |   | $ | 1,136,556 |   | $ | (24,264 | ) | 276 |   | $ | 2,467,002 |   | $ | (35,165 | ) |

|                                        |
|----------------------------------------|
|                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Description of Securities         | December 31, 2015 |
| Less than 12 months     | 12 months or more | Total |
| Number of Securities                   | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses |
|                                   | (in thousands, except number of securities) |
| Residential mortgage backed securities | 91 |   | $ | 1,147,485 |   | $ | (8,645 | ) | 112 |   | $ | 778,481 |   | $ | (21,041 | ) | 203 |   | $ | 1,925,966 |   | $ | (29,686 | ) |
| Corporate debt securities              | 81 |   | 1,055,464 |   | (9,109 | ) | 13 |   | 116,913 |   | (2,235 | ) | 94 |   | 1,172,377 |   | (11,344 | ) |
| Commercial mortgage backed securities  | 16 |   | 127,376 |   | (922 | ) | 1 |   | 15,776 |   | (203 | ) | 17 |   | 143,152 |   | (1,125 | ) |
| Asset backed securities                | 23 |   | 127,431 |   | (1,156 | ) | 13 |   | 243,721 |   | (4,005 | ) | 36 |   | 371,152 |   | (5,161 | ) |
| State and municipal obligations        | 13 |   | 34,829 |   | (140 | ) | — |   | — |   | — |   | 13 |   | 34,829 |   | (140 | ) |
| Common stocks                          | 2 |   | 522 |   | (166 | ) | 2 |   | 91 |   | (49 | ) | 4 |   | 613 |   | (215 | ) |
| Total                                  | 226 |   | $ | 2,493,107 |   | $ | (20,138 | ) | 141 |   | $ | 1,154,982 |   | $ | (27,533 | ) | 367 |   | $ | 3,648,089 |   | $ | (47,671 | ) |

----

|                                                                                      |
|--------------------------------------------------------------------------------------|
|                                                                                      |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                                 | Three Months Ended June 30, |   | Six Months Ended June 30, |
|                                                                                 | 2016 |   | 2015 |   | 2016 |   | 2015 |
|                                                                                 | (in thousands) |
| Beginning balance                                                                    | $ | 46,486 |  |   | $ | 65,836 |  |   | $ | 51,966 |  |   | $ | 64,913 |  |
| Reductions for securities sold during the period (realized)                          | — |  |   | (14,502 | ) |   | (5,550 | ) |   | (14,502 | ) |
| Credit losses for which an other-than-temporary impairment was previously recognized | — |  |   | — |  |   | 70 |  |   | 923 |  |
| Ending balance                                                                       | $ | 46,486 |  |   | $ | 51,334 |  |   | $ | 46,486 |  |   | $ | 51,334 |  |

|                                                                    |
|--------------------------------------------------------------------|
|                                                                    |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                               | Net Unrealized Investment Gains (Losses) |   | Deferred Income Tax |   | Accumulated Other Comprehensive Income (Loss) Related to Net Unrealized Investment Gains (Losses) |
|                                                               | (in thousands) |
| Balance at January 1, 2015                                         | $ | (6,380 | ) |   | $ | 2,352 |  |   | $ | (4,028 | ) |   |
| Net unrealized securities gains arising during the period (1)      | 535 |  |   | (216 | ) |   | 319 |  |   |
| Reclassification of losses included in net income                  | 998 |  |   | (349 | ) |   | 649 |  |   |
| Balance at June 30, 2015                                      | $ | (4,847 | ) |   | $ | 1,787 |  |   | $ | (3,060 | ) | (2)  |
|                                                               |
| Balance at January 1, 2016                                         | $ | (29,858 | ) |   | $ | 11,050 |  |   | $ | (18,808 | ) |   |
| Net unrealized securities gains arising during the period (1) | 28,892 |  |   | (10,711 | ) |   | 18,181 |  |   |
| Reclassification of losses included in net income                  | 969 |  |   | (339 | ) |   | 630 |  |   |
| Balance at June 30, 2016                                      | $ | 3 |  |   | $ | — |  |   | $ | 3 |  | (2)  |

|                                  |
|----------------------------------|
|                                  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                             | Three Months Ended June 30, |   | Six Months Ended June 30, |
|                             | 2016 |   | 2015 |   | 2016 |   | 2015 |
|                             | (in thousands) |
| Gross realized gains             | $ | 233 |  |   | $ | 24 |  |   | $ | 258 |  |   | $ | 26 |  |
| Gross realized losses            | — |  |   | (101 | ) |   | (1,157 | ) |   | (101 | ) |
| Other-than-temporary impairments | — |  |   | — |  |   | (70 | ) |   | (923 | ) |
| Total                            | $ | 233 |  |   | $ | (77 | ) |   | $ | (969 | ) |   | $ | (998 | ) |

----

|                                        |
|----------------------------------------|
|                                        |  |  |  |  |  |  |  |
|                                   | Amortized Cost |   | Fair Value |
|                                   | (in thousands) |
| Due within one year                    | $ | 372,662 |  |   | $ | 372,948 |  |
| Due after one year through five years  | 1,098,906 |  |   | 1,109,873 |  |
| Due after five years through 10 years  | 13,618 |  |   | 13,932 |  |
| Due after 10 years                     | 212 |  |   | 282 |  |
|                                   | 1,485,398 |  |   | 1,497,035 |  |
| Residential mortgage backed securities | 2,871,503 |  |   | 2,855,086 |  |
| Commercial mortgage backed securities  | 427,819 |  |   | 431,027 |  |
| Asset backed securities                | 496,980 |  |   | 494,750 |  |
| Common stocks                          | 2,273 |  |   | 6,078 |  |
| Total                                  | $ | 5,283,973 |  |   | $ | 5,283,976 |  |

|                                       |
|---------------------------------------|
|                                       |  |  |  |  |  |  |  |
|                                  | June 30, |
|                                  | 2016 |   | 2015 |
|                                  | (in thousands) |
| Beginning balance                     | $ | 3,964 |  |   | $ | 3,464 |  |
| Charge-offs                           | — |  |   | — |  |
| Provisions                            | — |  |   | — |  |
| Ending balance                        | $ | 3,964 |  |   | $ | 3,464 |  |
|                                  |
| Individually evaluated for impairment | $ | — |  |   | $ | — |  |
| Collectively evaluated for impairment | 3,964 |  |   | 3,464 |  |

|                                       |
|---------------------------------------|
|                                       |  |  |  |  |  |  |  |
|                                  | June 30, 2016 |   | December 31, 2015 |
|                                  | (in thousands) |
| Individually evaluated for impairment | $ | 3,843 |  |   | $ | 4,173 |  |
| Collectively evaluated for impairment | 193,597 |  |   | 196,176 |  |
| Total                                 | $ | 197,440 |  |   | $ | 200,349 |  |

----

|                                 |
|---------------------------------|
|                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                            | Loans |   | Percentage |
|                            | June 30, 2016 |   | December 31, 2015 |   | June 30, 2016 |   | December 31, 2015 |
|                            | (in thousands) |   |   |   |   |
| East North Central              | $ | 3,186 |  |   | $ | 3,327 |  |   | 3 | % |   | 3 | % |
| East South Central              | 5,810 |  |   | 6,107 |  |   | 6 |  |   | 6 |  |
| Middle Atlantic                 | 9,501 |  |   | 6,477 |  |   | 9 |  |   | 6 |  |
| Mountain                        | 6,101 |  |   | 6,347 |  |   | 6 |  |   | 6 |  |
| New England                     | 7,391 |  |   | 7,544 |  |   | 7 |  |   | 8 |  |
| Pacific                         | 23,934 |  |   | 24,715 |  |   | 24 |  |   | 25 |  |
| South Atlantic                  | 31,140 |  |   | 29,971 |  |   | 31 |  |   | 31 |  |
| West North Central              | 7,515 |  |   | 9,385 |  |   | 7 |  |   | 9 |  |
| West South Central              | 7,573 |  |   | 6,378 |  |   | 7 |  |   | 6 |  |
|                            | 102,151 |  |   | 100,251 |  |   | 100 | % |   | 100 | % |
| Less: allowance for loan losses | 2,341 |  |   | 2,341 |  |   |   |
| Total                           | $ | 99,810 |  |   | $ | 97,910 |  |

|                                 |
|---------------------------------|
|                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                            | Loans |   | Percentage |
|                            | June 30, 2016 |   | December 31, 2015 |   | June 30, 2016 |   | December 31, 2015 |
|                            | (in thousands) |   |   |   |   |
| Apartments                      | $ | 29,477 |  |   | $ | 28,576 |  |   | 29 | % |   | 29 | % |
| Industrial                      | 17,003 |  |   | 15,510 |  |   | 17 |  |   | 15 |  |
| Office                          | 10,709 |  |   | 8,955 |  |   | 10 |  |   | 9 |  |
| Retail                          | 32,887 |  |   | 34,384 |  |   | 32 |  |   | 34 |  |
| Hotel                           | 1,022 |  |   | 1,100 |  |   | 1 |  |   | 1 |  |
| Other                           | 11,053 |  |   | 11,726 |  |   | 11 |  |   | 12 |  |
|                            | 102,151 |  |   | 100,251 |  |   | 100 | % |   | 100 | % |
| Less: allowance for loan losses | 2,341 |  |   | 2,341 |  |   |   |
| Total                           | $ | 99,810 |  |   | $ | 97,910 |  |

----

|         |                                                                                                                                  |
|---------|----------------------------------------------------------------------------------------------------------------------------------|
| Level 1 | Unadjusted quoted prices for identical assets or liabilities in active markets that are accessible at the measurement date. |

|         |                                                                                                                                  |
|---------|----------------------------------------------------------------------------------------------------------------------------------|
| Level 2 | Prices or valuations based on observable inputs other than quoted prices in active markets for identical assets and liabilities. |

|         |                                                                                                                    |
|---------|--------------------------------------------------------------------------------------------------------------------|
| Level 3 | Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable. |

|                                          |
|------------------------------------------|
|                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                     | June 30, 2016 |
|                                     | Level 1 |   | Level 2 |   | Level 3 |   | Total |
|                                     | (in thousands) |
| Assets                                   |   |  |   |   |  |   |   |  |   |   |  |
| Cash equivalents                         | $ | — |  |   | $ | 221,555 |  |   | $ | — |  |   | $ | 221,555 |  |
| Available-for-Sale securities:           |   |  |   |   |  |   |   |  |   |   |  |
| Residential mortgage backed securities   | — |  |   | 2,717,977 |  |   | 137,109 |  |   | 2,855,086 |  |
| Corporate debt securities                | — |  |   | 1,286,914 |  |   | 153,167 |  |   | 1,440,081 |  |
| Commercial mortgage backed securities    | — |  |   | 431,027 |  |   | — |  |   | 431,027 |  |
| Asset backed securities                  | — |  |   | 459,451 |  |   | 35,299 |  |   | 494,750 |  |
| State and municipal obligations          | — |  |   | 56,507 |  |   | — |  |   | 56,507 |  |
| U.S. government and agencies obligations | 447 |  |   | — |  |   | — |  |   | 447 |  |
| Common stocks                            | 1,804 |  |   | 4,200 |  |   | 74 |  |   | 6,078 |  |
| Total Available-for-Sale securities      | 2,251 |  |   | 4,956,076 |  |   | 325,649 |  |   | 5,283,976 |  |
| Equity derivative contracts              | 16 |  |   | 31,813 |  |   | — |  |   | 31,829 |  |
| Total assets at fair value               | $ | 2,267 |  |   | $ | 5,209,444 |  |   | $ | 325,649 |  |   | $ | 5,537,360 |  |
|                                     |
| Liabilities                              |   |  |   |   |  |   |   |  |   |   |  |
| Certificate reserves                     | $ | — |  |   | $ | 6,702 |  |   | $ | — |  |   | $ | 6,702 |  |
| Equity derivative contracts              | — |  |   | 26,101 |  |   | — |  |   | 26,101 |  |
| Total liabilities at fair value          | $ | — |  |   | $ | 32,803 |  |   | $ | — |  |   | $ | 32,803 |  |

----

|                                          |
|------------------------------------------|
|                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                     | December 31, 2015 |
|                                     | Level 1 |   | Level 2 |   | Level 3 |   | Total |
|                                     | (in thousands) |
| Assets                                   |   |  |   |   |  |   |   |  |   |   |  |
| Cash equivalents                         | $ | — |  |   | $ | 134,537 |  |   | $ | — |  |   | $ | 134,537 |  |
| Available-for-Sale securities:           |   |  |   |   |  |   |   |  |   |   |  |
| Residential mortgage backed securities   | — |  |   | 2,327,512 |  |   | 196,334 |  |   | 2,523,846 |  |
| Corporate debt securities                | — |  |   | 1,226,161 |  |   | 190,304 |  |   | 1,416,465 |  |
| Commercial mortgage backed securities    | — |  |   | 319,371 |  |   | — |  |   | 319,371 |  |
| Asset backed securities                  | — |  |   | 395,527 |  |   | 29,515 |  |   | 425,042 |  |
| State and municipal obligations          | — |  |   | 49,292 |  |   | — |  |   | 49,292 |  |
| U.S. government and agencies obligations | 426 |  |   | — |  |   | — |  |   | 426 |  |
| Common stocks                            | 1,941 |  |   | 4,067 |  |   | 229 |  |   | 6,237 |  |
| Total Available-for-Sale securities      | 2,367 |  |   | 4,321,930 |  |   | 416,382 |  |   | 4,740,679 |  |
| Equity derivative contracts              | — |  |   | 18,493 |  |   | — |  |   | 18,493 |  |
| Total assets at fair value               | $ | 2,367 |  |   | $ | 4,474,960 |  |   | $ | 416,382 |  |   | $ | 4,893,709 |  |
|                                     |
| Liabilities                              |   |  |   |   |  |   |   |  |   |   |  |
| Certificate reserves                     | $ | — |  |   | $ | 4,130 |  |   | $ | — |  |   | $ | 4,130 |  |
| Equity derivative contracts              | 4 |  |   | 14,928 |  |   | — |  |   | 14,932 |  |
| Total liabilities at fair value          | $ | 4 |  |   | $ | 19,058 |  |   | $ | — |  |   | $ | 19,062 |  |

|                                                                                                   |
|---------------------------------------------------------------------------------------------------|
|                                                                                                   |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                                              | Available-for-Sale Securities |   | Total |   |
| Residential Mortgage Backed Securities                                                            |   | Corporate Debt Securities |   | Asset Backed Securities |   | Common Stocks |
|                                                                                              | (in thousands) |   |
| Balance, April 1, 2016                                                                       | $ | 155,010 |  |   | $ | 167,690 |  |   | $ | 20,320 |  |   | $ | 74 |  |   | $ | 343,094 |  |   |
| Total gains (losses) included in:                                                                 |
| Net income                                                                                        | 181 |  |   | (177 | ) |   | 42 |  |   | — |  |   | 46 |  | (1)  |
| Other comprehensive income                                                                        | 1,682 |  |   | 654 |  |   | (63 | ) |   | — |  |   | 2,273 |  |   |
| Purchases                                                                                         | — |  |   | — |  |   | 15,000 |  |   | — |  |   | 15,000 |  |   |
| Settlements                                                                                       | (19,764 | ) |   | (15,000 | ) |   | — |  |   | — |  |   | (34,764 | ) |   |
| Transfers into Level 3                                                                            | — |  |   | — |  |   | — |  |   | — |  |   | — |  |   |
| Transfers out of Level 3                                                                          | — |  |   | — |  |   | — |  |   | — |  |   | — |  |   |
| Balance, June 30, 2016                                                                       | $ | 137,109 |  |   | $ | 153,167 |  |   | $ | 35,299 |  |   | $ | 74 |  |   | $ | 325,649 |  |   |
|                                                                                              |
| Change in unrealized gains (losses) relating to Level 3 assets held at June 30, 2016 included in: |
| Investment income                                                                                 | $ | 181 |  |   | $ | (143 | ) |   | $ | 42 |  |   | — |  |   | $ | 80 |  |   |

----

|                                                                                                   |
|---------------------------------------------------------------------------------------------------|
|                                                                                                   |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                                              | Available-for-Sale Securities |   | Total |   |
| Residential Mortgage Backed Securities                                                            |   | Corporate Debt Securities |   | Commercial Mortgage BackedSecurities |   | Asset Backed Securities |   | Common Stocks |
|                                                                                              | (in thousands) |   |
| Balance, April 1, 2015                                                                       | $ | 241,301 |  |   | $ | 166,552 |  |   | $ | — |  |   | $ | 16,186 |  |   | $ | 861 |  |   | $ | 424,900 |  |   |
| Total gains (losses) included in:                                                                 |
| Net income                                                                                        | (30 | ) |   | (163 | ) |   | — |  |   | 46 |  |   | — |  |   | (147 | ) | (1)  |
| Other comprehensive income                                                                        | 10 |  |   | (627 | ) |   | — |  |   | (182 | ) |   | (13 | ) |   | (812 | ) |   |
| Purchases                                                                                         | 100,548 |  |   | 4,182 |  |   | 9,992 |  |   | 7,500 |  |   | — |  |   | 122,222 |  |   |
| Settlements                                                                                       | (11,963 | ) |   | — |  |   | — |  |   | (7,000 | ) |   | — |  |   | (18,963 | ) |   |
| Transfers into Level 3                                                                            | — |  |   | — |  |   | — |  |   | — |  |   | — |  |   | — |  |   |
| Transfers out of Level 3                                                                          | (61,181 | ) |   | — |  |   | — |  |   | — |  |   | (483 | ) |   | (61,664 | ) |   |
| Balance, June 30, 2015                                                                       | $ | 268,685 |  |   | $ | 169,944 |  |   | $ | 9,992 |  |   | $ | 16,550 |  |   | $ | 365 |  |   | $ | 465,536 |  |   |
|                                                                                              |
| Change in unrealized gains (losses) relating to Level 3 assets held at June 30, 2015 included in: |
| Investment income                                                                                 | $ | (30 | ) |   | $ | (163 | ) |   | $ | — |  |   | $ | 46 |  |   | $ | — |  |   | $ | (147 | ) |   |

|                                                                                                   |
|---------------------------------------------------------------------------------------------------|
|                                                                                                   |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                                              | Available-for-Sale Securities |   | Total |   |
| Residential Mortgage Backed Securities                                                            |   | Corporate Debt Securities |   | Asset Backed Securities |   | Common Stocks |
|                                                                                              | (in thousands) |   |
| Balance, January 1, 2016                                                                          | $ | 196,334 |  |   | $ | 190,304 |  |   | $ | 29,515 |  |   | $ | 229 |  |   | $ | 416,382 |  |   |
| Total gains (losses) included in:                                                                 |
| Net income                                                                                        | 346 |  | (1)  | (1,519 | ) | (2)  | 56 |  | (1)  | — |  |   | (1,117 | ) |   |
| Other comprehensive income                                                                        | (1,370 | ) |   | 2,382 |  |   | (62 | ) |   | — |  |   | 950 |  |   |
| Purchases                                                                                         | — |  |   | — |  |   | 15,789 |  |   | — |  |   | 15,789 |  |   |
| Settlements                                                                                       | (33,602 | ) |   | (38,000 | ) |   | — |  |   | — |  |   | (71,602 | ) |   |
| Transfers into Level 3                                                                            | — |  |   | — |  |   | — |  |   | — |  |   | — |  |   |
| Transfers out of Level 3                                                                          | (24,599 | ) |   | — |  |   | (9,999 | ) |   | (155 | ) |   | (34,753 | ) |   |
| Balance, June 30, 2016                                                                            | $ | 137,109 |  |   | $ | 153,167 |  |   | $ | 35,299 |  |   | $ | 74 |  |   | $ | 325,649 |  |   |
|                                                                                              |
| Change in unrealized gains (losses) relating to Level 3 assets held at June 30, 2016 included in: |
| Investment income                                                                                 | $ | 346 |  |   | $ | (285 | ) |   | $ | 56 |  |   | $ | — |  |   | $ | 117 |  |   |

----

|                                                                                                   |
|---------------------------------------------------------------------------------------------------|
|                                                                                                   |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                                              | Available-for-Sale Securities |   | Total |   |
| Residential Mortgage Backed Securities                                                            |   | Corporate Debt Securities |   | Commercial Mortgage BackedSecurities |   | Asset Backed Securities |   | Common Stocks |
|                                                                                              | (in thousands) |   |
| Balance, January 1, 2015                                                                          | $ | 196,558 |  |   | $ | 165,501 |  |   | $ | — |  |   | $ | 18,188 |  |   | $ | 908 |  |   | $ | 381,155 |  |   |
| Total gains (losses) included in:                                                                 |
| Net income                                                                                        | (148 | ) |   | (327 | ) |   | — |  |   | 64 |  |   | — |  |   | (411 | ) | (1)  |
| Other comprehensive income                                                                        | 311 |  |   | 588 |  |   | — |  |   | (199 | ) |   | (60 | ) |   | 640 |  |   |
| Purchases                                                                                         | 185,817 |  |   | 4,182 |  |   | 9,992 |  |   | 7,500 |  |   | — |  |   | 207,491 |  |   |
| Settlements                                                                                       | (20,629 | ) |   | — |  |   | — |  |   | (9,003 | ) |   | — |  |   | (29,632 | ) |   |
| Transfers into Level 3                                                                            | — |  |   | — |  |   | — |  |   | — |  |   | — |  |   | — |  |   |
| Transfers out of Level 3                                                                          | (93,224 | ) |   | — |  |   | — |  |   | — |  |   | (483 | ) |   | (93,707 | ) |   |
| Balance, June 30, 2015                                                                            | $ | 268,685 |  |   | $ | 169,944 |  |   | $ | 9,992 |  |   | $ | 16,550 |  |   | $ | 365 |  |   | $ | 465,536 |  |   |
|                                                                                              |
| Change in unrealized gains (losses) relating to Level 3 assets held at June 30, 2015 included in: |
| Investment income                                                                                 | $ | (111 | ) |   | $ | (327 | ) |   | $ | — |  |   | $ | 64 |  |   | $ | — |  |   | $ | (374 | ) |   |

|                                                                  |
|------------------------------------------------------------------|
|                                                                  |  |  |  |  |  |  |  |  |  |
|                                                             | June 30, 2016 |
|                                                             | Fair Value |   | Valuation Technique |   | Unobservable Input |   | Range (Weighted Average) |
|                                                             | (in thousands) |   |   |   |   |   |   |
| Corporate debt securities    (private placements) | $ | 153,164 |  |   | Discounted cash flow | Yield/spread to U.S. Treasuries | 1.2% - 2.1% (1.4%) |

|                                                                  |
|------------------------------------------------------------------|
|                                                                  |  |  |  |  |  |  |  |  |  |
|                                                             | December 31, 2015 |
|                                                             | Fair Value |   | Valuation Technique |   | Unobservable Input |   | Range (Weighted Average) |
|                                                             | (in thousands) |   |   |   |   |   |   |
| Corporate debt securities    (private placements) | $ | 190,301 |  |   | Discounted cash flow |   | Yield/spread to U.S. Treasuries |   | 1.2% - 1.9% (1.4%) |

----

----

|                           |
|---------------------------|
|                           |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                      | June 30, 2016 |
| Carrying Value       |   | Fair Value |
| Level 1              |   | Level 2 |   | Level 3 |   | Total |
| (in thousands)       |
| Financial Assets          |   |  |   |   |  |   |   |  |   |   |  |   |   |  |
| Syndicated loans          | $ | 93,666 |  |   | $ | — |  |   | $ | 88,061 |  |   | $ | 4,758 |  |   | $ | 92,819 |  |
| Commercial mortgage loans | 99,810 |  |   | — |  |   | — |  |   | 103,468 |  |   | 103,468 |  |
| Certificate loans         | 601 |  |   | — |  |   | 601 |  |   | — |  |   | 601 |  |
| Financial Liabilities     |   |  |   |   |  |   |   |  |   |   |  |   |   |  |
| Certificate reserves      | $ | 5,399,981 |  |   | $ | — |  |   | $ | — |  |   | $ | 5,390,768 |  |   | $ | 5,390,768 |  |

|                           |
|---------------------------|
|                           |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                      | December 31, 2015 |
| Carrying Value       |   | Fair Value |
| Level 1              |   | Level 2 |   | Level 3 |   | Total |
| (in thousands)       |
| Financial Assets          |   |  |   |   |  |   |   |  |   |   |  |   |   |  |
| Syndicated loans          | $ | 98,475 |  |   | $ | — |  |   | $ | 93,224 |  |   | $ | 2,947 |  |   | $ | 96,171 |  |
| Commercial mortgage loans | 97,910 |  |   | — |  |   | — |  |   | 99,424 |  |   | 99,424 |  |
| Certificate loans         | 686 |  |   | — |  |   | 686 |  |   | — |  |   | 686 |  |
| Financial Liabilities     |   |  |   |   |  |   |   |  |   |   |  |   |   |  |
| Certificate reserves      | $ | 4,830,766 |  |   | $ | — |  |   | $ | — |  |   | $ | 4,822,541 |  |   | $ | 4,822,541 |  |

----

|                                    |
|------------------------------------|
|                                    |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                               | June 30, 2016 |
| Gross Amounts of Recognized Assets |   | Gross Amounts Offset in the Consolidated Balance Sheets |   | Amounts of Assets Presented in the Consolidated Balance Sheets |   | Gross Amounts Not Offset in the Consolidated Balance Sheets |   | Net Amount |
| Financial Instruments (1)     |   | Cash Collateral |
| (in thousands)                |
| Derivatives:                       |
| OTC                                | $ | 31,813 |  |   | $ | — |  |   | $ | 31,813 |  |   | $ | (26,101 | ) |   | $ | (3,720 | ) |   | $ | 1,992 |  |
| Exchange-traded                    | 16 |  |   | — |  |   | 16 |  |   | — |  |   | — |  |   | 16 |  |
| Total                              | $ | 31,829 |  |   | $ | — |  |   | $ | 31,829 |  |   | $ | (26,101 | ) |   | $ | (3,720 | ) |   | $ | 2,008 |  |

|                                         |
|-----------------------------------------|
|                                         |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                    | December 31, 2015 |
| Gross Amounts of Recognized Assets |   | Gross Amounts Offset in the Consolidated Balance Sheets |   | Amounts of Assets Presented in the Consolidated Balance Sheets |   | Gross Amounts Not Offset in the Consolidated Balance Sheets |   | Net Amount |
| Financial Instruments (1)          |   | Cash Collateral |
| (in thousands)                     |
| Derivatives:                            |
| OTC                                     | $ | 18,493 |  |   | $ | — |  |   | $ | 18,493 |  |   | $ | (14,928 | ) |   | $ | (1,950 | ) |   | $ | 1,615 |  |
| Total                                   | $ | 18,493 |  |   | $ | — |  |   | $ | 18,493 |  |   | $ | (14,928 | ) |   | $ | (1,950 | ) |   | $ | 1,615 |  |

|                                              |
|----------------------------------------------|
|                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                         | June 30, 2016 |
| Gross Amounts of Recognized Liabilities |   | Gross Amounts Offset in the Consolidated Balance Sheets |   | Amounts of Liabilities Presented in the Consolidated Balance Sheets |   | Gross Amounts Not Offset in the Consolidated Balance Sheets |   | Net Amount |
| Financial Instruments (1)               |   | Cash Collateral |
| (in thousands)                          |
| Derivatives:                                 |
| OTC                                          | $ | 26,101 |  |   | $ | — |  |   | $ | 26,101 |  |   | $ | (26,101 | ) |   | $ | — |  |   | $ | — |  |
| Total                                        | $ | 26,101 |  |   | $ | — |  |   | $ | 26,101 |  |   | $ | (26,101 | ) |   | $ | — |  |   | $ | — |  |

|                                              |
|----------------------------------------------|
|                                              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                         | December 31, 2015 |
| Gross Amounts of Recognized Liabilities |   | Gross Amounts Offset in the Consolidated Balance Sheets |   | Amounts of Liabilities Presented in the Consolidated Balance Sheets |   | Gross Amounts Not Offset in the Consolidated Balance Sheets |   | Net Amount |
| Financial Instruments (1)               |   | Cash Collateral |
| (in thousands)                          |
| Derivatives:                                 |
| OTC                                          | $ | 14,928 |  |   | $ | — |  |   | $ | 14,928 |  |   | $ | (14,928 | ) |   | $ | — |  |   | $ | — |  |
| Exchange-traded                              | 4 |  |   | — |  |   | 4 |  |   | — |  |   | — |  |   | 4 |  |
| Total                                        | $ | 14,932 |  |   | $ | — |  |   | $ | 14,932 |  |   | $ | (14,928 | ) |   | $ | — |  |   | $ | 4 |  |

----

|                                                                  |
|------------------------------------------------------------------|
|                                                                  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                             | June 30, 2016 |   | December 31, 2015 |
|                                                             |   |   | Gross Fair Value |   |   | Gross Fair Value |
|                                                             | Notional |   | Assets |   | Liabilities |   | Notional |   | Assets |   | Liabilities |
|                                                             | (in thousands) |
| Derivatives not designated as hedging instruments |
|   Equity contracts(1)                                  | $ | 928,095 |  |   | $ | 31,829 |  |   | $ | 26,101 |  |   | $ | 935,957 |  |   | $ | 18,493 |  |   | $ | 14,932 |  |
| Embedded derivatives                                             |
|   Stock market certificates(2)                         | N/A |  |   | — |  |   | 6,702 |  |   | N/A |  |   | — |  |   | 4,130 |  |
| Total derivatives                                                | $ | 928,095 |  |   | $ | 31,829 |  |   | $ | 32,803 |  |   | $ | 935,957 |  |   | $ | 18,493 |  |   | $ | 19,062 |  |

|                                                                       |
|-----------------------------------------------------------------------|
|                                                                       |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Derivatives not designated as hedging instruments |   | Location of Gain (Loss) on Derivatives Recognized in Income |   | Amount of Gain (Loss) on Derivatives Recognized in Income |
| Three Months Ended June 30,                                           |   | Six Months Ended June 30, |
| 2016                                                                  |   | 2015 |   | 2016 |   | 2015 |
|                                                                  | (in thousands) |
| Equity contracts                                                      |
| Stock market certificates                                             |   | Net provision for certificate reserves |   | $ | 103 |  |   | $ | 178 |  |   | $ | (431 | ) |   | $ | 675 |  |
| Stock market certificates embedded derivatives                        |   | Net provision for certificate reserves |   | (486 | ) |   | (56 | ) |   | 4 |  |   | (348 | ) |
| Total                                                                 |   | $ | (383 | ) |   | $ | 122 |  |   | $ | (427 | ) |   | $ | 327 |  |

----

|                                                                |
|----------------------------------------------------------------|
|                                                                |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| AOCI Reclassification                                     |   | Location of (Gain) Loss Recognized in Income |   | Three Months Ended June 30, |   | Six Months Ended June 30, |
| 2016                                                           |   | 2015 |   | 2016 |   | 2015 |
|                                                                |   |   |   | (in thousands) |
| Unrealized net losses (gains) on Available-for-Sale securities |   | Net realized loss (gain) on investments |   | $ | (233 | ) |   | $ | 77 |  |   | $ | 969 |  |   | $ | 998 |  |
| Tax expense (benefit)                                          |   | Income tax expense (benefit) |   | 82 |  |   | (27 | ) |   | (339 | ) |   | (349 | ) |
| Net of tax                                                     |   |   |   | $ | (151 | ) |   | $ | 50 |  |   | $ | 630 |  |   | $ | 649 |  |

----

----

----

----

----

|        |
|--------|
|        |  |  |  |  |
|   |   |   | AMERIPRISE CERTIFICATE COMPANY |   |
|   |   |   | (Registrant) |   |
|   |   |   |   |   |
| Date:  | August 1, 2016 | By | /s/ Abu M. Arif |   |
|   |   |   | Abu M. Arif |   |
|   |   |   | Chief Executive Officer |   |
|   |   |   |   |   |
|   |   |   |   |   |
| Date:  | August 1, 2016 | By | /s/ Janet C. Langner |   |
|   |   |   | Janet C. Langner |   |
|   |   |   | Chief Financial Officer |   |

----

|         |             |
|---------|-------------|
| Exhibit | Description |

----

|      |                                                                                                                                                                                                                                                                                        |
|------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 3(a) | Amended and Restated Certificate of Incorporation of American Express Certificate Company, dated August 1, 2005, filed electronically on or about March 10, 2006 as Exhibit 3(a) to Registrant’s Form 10-K is incorporated by reference. |

|      |                                                                                                                                                                                                               |
|------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 3(b) | By-Laws of Ameriprise Certificate Company, filed electronically on or about November 5, 2010 as Exhibit 3 (b) to Registrant’s Form 10-Q, are incorporated herein by reference. |

|       |                                                                                                                                               |
|-------|-----------------------------------------------------------------------------------------------------------------------------------------------|
| 31.1* | Certification of Abu M. Arif pursuant to Rule 13a-14(a) promulgated under the Securities Exchange Act of 1934, as amended. |

|       |                                                                                                                                                    |
|-------|----------------------------------------------------------------------------------------------------------------------------------------------------|
| 31.2* | Certification of Janet C. Langner pursuant to Rule 13a-14(a) promulgated under the Securities Exchange Act of 1934, as amended. |

|     |                                                                                                                                                                                    |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 32* | Certification of Abu M. Arif and Janet C. Langner pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. |