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

|   |                                                                                              |
|---|----------------------------------------------------------------------------------------------|
| 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 May 5, 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 ended March 31, 2016 and 2015           | 3 |
| Consolidated Statements of Comprehensive Income — Three months ended March 31, 2016 and 2015 | 4 |
| Consolidated Balance Sheets — March 31, 2016 and December 31, 2015                           | 5 |
| Consolidated Statements of Shareholder's Equity — Three months ended March 31, 2016 and 2015 | 6 |
| Consolidated Statements of Cash Flows — Three months ended March 31, 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                                          | 13 |
| 5.  Fair Values of Assets and Liabilities                                                          | 15 |
| 6.  Offsetting Assets and Liabilities                                                              | 19 |
| 7.  Derivatives and Hedging Activities                                                             | 20 |
| 8.  Contingencies                                                                                  | 21 |
| 9.  Shareholder’s Equity                                                                     | 22 |
| 10.  Income Taxes                                                                                  | 22 |
| Item 2.  Management’s Narrative Analysis                                           | 23 |
| Item 4.  Controls and Procedures                                                         | 24 |
|                                                                                               |   |
| Part II.  Other Information                                                         | 25 |
| Item 1.  Legal Proceedings                                                               | 25 |
| Item 1A.  Risk Factors                                                                   | 25 |
| Item 6.  Exhibits                                                                        | 25 |
| Signatures                                                                                         | 26 |
| Exhibit Index                                                                                      | E-1 |

----

|                                                                                  |
|----------------------------------------------------------------------------------|
|                                                                                  |  |  |  |  |  |  |  |
|                                                                             | Three Months Ended March 31, |
|                                                                             | 2016 |   | 2015 |
|                                                                             | (in thousands) |
| Investment income                                                                | $ | 27,619 |  |   | $ | 21,832 |  |
| Investment expenses                                                              | 7,777 |  |   | 6,621 |  |
| Net investment income before provision for certificate reserves and income taxes | 19,842 |  |   | 15,211 |  |
| Net provision for certificate reserves                                           | 8,487 |  |   | 6,268 |  |
| Net investment income before income taxes                                        | 11,355 |  |   | 8,943 |  |
| Income tax expense                                                               | 4,165 |  |   | 1,779 |  |
| Net investment income, after-tax                                                 | 7,190 |  |   | 7,164 |  |
|                                                                             |   |   |   |
| Net realized loss on investments before income taxes                             | (1,202 | ) |   | (921 | ) |
| Income tax benefit                                                               | (421 | ) |   | (322 | ) |
| Net realized loss on investments, after-tax                                      | (781 | ) |   | (599 | ) |
| Net income                                                                       | $ | 6,409 |  |   | $ | 6,565 |  |
|                                                                             |   |   |   |
| Supplemental Disclosures:                                                        |   |  |   |   |  |
| Total other-than-temporary impairment losses on securities                       | $ | — |  |   | $ | — |  |
| Portion of loss recognized in other comprehensive 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 March 31, |
|                                                                  | 2016 |   | 2015 |
|                                                                  | (in thousands) |
| Net income                                                            | $ | 6,409 |  |   | $ | 6,565 |  |
| Other comprehensive income, net of tax:                               |   |  |   |   |  |
| Net unrealized gains on securities:                                   |   |  |   |   |  |
| Net unrealized securities gains arising during the period        | 6,890 |  |   | 5,284 |  |
| Reclassification of net securities losses included in net income | 781 |  |   | 599 |  |
| Total other comprehensive income, net of tax                          | 7,671 |  |   | 5,883 |  |
| Total comprehensive income                                            | $ | 14,080 |  |   | $ | 12,448 |  |
| See Notes to Consolidated Financial Statements.                       |

----

|                                                                     |
|---------------------------------------------------------------------|
|                                                                     |  |  |  |  |  |  |  |
|                                                                | March 31, 2016 |   | December 31, 2015 |
|                                                                     | (in thousands, except share amounts) |
| Assets                                                              |   |   |   |
| Qualified Assets                                                    |   |  |   |   |  |
| Cash and cash equivalents                                           | $ | 134,618 |  |   | $ | 137,557 |  |
| Investments in unaffiliated issuers                                 | 5,343,467 |  |   | 4,937,750 |  |
| Receivables                                                         | 27,222 |  |   | 22,122 |  |
| Derivative assets                                                   | 23,643 |  |   | 18,493 |  |
| Total qualified assets                                              | 5,528,950 |  |   | 5,115,922 |  |
| Current taxes receivable from parent                                | — |  |   | 2,803 |  |
| Deferred taxes, net                                                 | 1,606 |  |   | 1,947 |  |
| Total assets                                                        | $ | 5,530,556 |  |   | $ | 5,120,672 |  |
|                                                                |   |   |   |
| Liabilities and Shareholder's Equity                                |   |  |   |   |  |
| Liabilities                                                         |   |  |   |   |  |
| Certificate reserves                                                | $ | 5,187,952 |  |   | $ | 4,834,896 |  |
| Current taxes payable to parent                                     | 6,302 |  |   | — |  |
| Derivative liabilities                                              | 19,318 |  |   | 14,932 |  |
| Payable for investment securities purchased                         | 20,096 |  |   | 2,304 |  |
| Due to related party and other liabilities                          | 19,986 |  |   | 17,718 |  |
| Total liabilities                                                   | 5,253,654 |  |   | 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                                          | 226,517 |  |   | 214,517 |  |
| Total retained earnings                                             | 60,022 |  |   | 53,613 |  |
| Accumulated other comprehensive loss, net of tax                    | (11,137 | ) |   | (18,808 | ) |
| Total shareholder's equity                                          | 276,902 |  |   | 250,822 |  |
| Total liabilities and shareholder's equity                          | $ | 5,530,556 |  |   | $ | 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                                      | — |  |   | — |  |   | — |  |   | — |  |   | — |  |   | 6,565 |  |   | — |  |   | 6,565 |  |
| Other comprehensive income, net of tax          | — |  |   | — |  |   | — |  |   | — |  |   | — |  |   | — |  |   | 5,883 |  |   | 5,883 |  |
| Total comprehensive income                      |   |  |   |   |  |   |   |  |   |   |  |   |   |  |   |   |  |   |   |  |   | 12,448 |  |
| Transfer from appropriated to unappropriated    | — |  |   | — |  |   | — |  |   | (15 | ) |   | — |  |   | 15 |  |   | — |  |   | — |  |
| Dividend to parent                              | — |  |   | — |  |   | — |  |   | — |  |   | — |  |   | (5,000 | ) |   | — |  |   | (5,000 | ) |
| Balance at March 31, 2015                  | 150,000 |  |   | $ | 1,500 |  |   | $ | 201,517 |  |   | $ | 43 |  |   | $ | 15 |  |   | $ | 42,449 |  |   | $ | 1,855 |  |   | $ | 247,379 |  |
|                                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Balance at January 1, 2016                      | 150,000 |  |   | $ | 1,500 |  |   | $ | 214,517 |  |   | $ | 8 |  |   | $ | 15 |  |   | $ | 53,590 |  |   | $ | (18,808 | ) |   | $ | 250,822 |  |
| Comprehensive income:                           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net income                                      | — |  |   | — |  |   | — |  |   | — |  |   | — |  |   | 6,409 |  |   | — |  |   | 6,409 |  |
| Other comprehensive income, net of tax          | — |  |   | — |  |   | — |  |   | — |  |   | — |  |   | — |  |   | 7,671 |  |   | 7,671 |  |
| Total comprehensive income                      |   |  |   |   |  |   |   |  |   |   |  |   |   |  |   |   |  |   |   |  |   | 14,080 |  |
| Transfer from appropriated to unappropriated    | — |  |   | — |  |   | — |  |   | (7 | ) |   | — |  |   | 7 |  |   | — |  |   | — |  |
| Receipt of capital from parent                  | — |  |   | — |  |   | 12,000 |  |   | — |  |   | — |  |   | — |  |   | — |  |   | 12,000 |  |
| Balance at March 31, 2016                  | 150,000 |  |   | $ | 1,500 |  |   | $ | 226,517 |  |   | $ | 1 |  |   | $ | 15 |  |   | $ | 60,006 |  |   | $ | (11,137 | ) |   | $ | 276,902 |  |
| See Notes to Consolidated Financial Statements. |

----

|                                                                                   |
|-----------------------------------------------------------------------------------|
|                                                                                   |  |  |  |  |  |  |  |
|                                                                              | Three Months Ended March 31, |
|                                                                              | 2016 |   | 2015 |
|                                                                              | (in thousands) |
| Cash Flows from Operating Activities                                              |   |   |   |
| Net income                                                                        | $ | 6,409 |  |   | $ | 6,565 |  |
| Adjustments to reconcile net income to net cash provided by operating activities: |   |   |   |
| Amortization of premiums, accretion of discounts, net                             | 6,378 |  |   | 6,572 |  |
| Deferred income tax provision (benefit)                                           | (35 | ) |   | 228 |  |
| Net realized loss (gain) on Available-for-Sale securities                         | 1,132 |  |   | (2 | ) |
| Other-than-temporary impairments and provision for loan loss                      | 70 |  |   | 923 |  |
| Changes in operating assets and liabilities:                                      |   |   |   |
| Dividends and interest receivable                                                 | (5,004 | ) |   | (2,234 | ) |
| Certificate reserves, net                                                         | 841 |  |   | (430 | ) |
| Deferred taxes, net                                                               | (4,131 | ) |   | (3,623 | ) |
| Current taxes payable to/receivable from parent, net                              | 9,105 |  |   | 1,310 |  |
| Derivatives, net of collateral                                                    | (164 | ) |   | 566 |  |
| Other liabilities                                                                 | 1,428 |  |   | 3,347 |  |
| Other, net                                                                        | 146 |  |   | (1,593 | ) |
| Net cash provided by operating activities                                         | 16,175 |  |   | 11,629 |  |
|                                                                              |   |   |   |
| Cash Flows from Investing Activities                                              |   |   |   |
| Available-for-Sale securities:                                                    |   |   |   |
| Sales                                                                             | 7,036 |  |   | — |  |
| Maturities, redemptions and calls                                                 | 314,522 |  |   | 274,082 |  |
| Purchases                                                                         | (702,990 | ) |   | (349,148 | ) |
| Syndicated loans, commercial mortgage loans and real estate owned:                |   |   |   |
| Sales, maturities and repayments                                                  | 5,674 |  |   | 4,766 |  |
| Purchases and fundings                                                            | (7,625 | ) |   | (3,951 | ) |
| Certificate loans, net                                                            | 54 |  |   | (5 | ) |
| Net cash used in investing activities                                             | (383,329 | ) |   | (74,256 | ) |
|                                                                              |   |   |   |
| Cash Flows from Financing Activities                                              |   |   |   |
| Payments from certificate holders and other additions                             | 1,159,077 |  |   | 662,011 |  |
| Certificate maturities and cash surrenders                                        | (806,862 | ) |   | (558,866 | ) |
| Capital contribution from parent                                                  | 12,000 |  |   | — |  |
| Dividend to parent                                                                | — |  |   | (5,000 | ) |
| Net cash provided by financing activities                                         | 364,215 |  |   | 98,145 |  |
|                                                                              |   |   |   |
| Net increase (decrease) in cash and cash equivalents                              | (2,939 | ) |   | 35,518 |  |
| Cash and cash equivalents at beginning of period                                  | 137,557 |  |   | 68,632 |  |
| Cash and cash equivalents at end of period                                        | $ | 134,618 |  |   | $ | 104,150 |  |
|                                                                              |   |   |   |
| Supplemental disclosures including non-cash transactions:                         |   |   |   |
| Cash paid for income taxes                                                        | $ | 132 |  |   | $ | 4,774 |  |
| Cash paid for interest                                                            | 7,300 |  |   | 7,325 |  |
| See Notes to Consolidated Financial Statements.                                   |

----

----

|                                                                                                                                                                       |
|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                                       |  |  |  |  |  |  |  |
|                                                                                                                                                                  | March 31, 2016 |   | December 31, 2015 |
|                                                                                                                                                                  | (in thousands) |
| Available-for-Sale securities:                                                                                                                                        |   |
| Fixed maturities, at fair value (amortized cost: 2016, $5,161,136; 2015, $4,768,263)                                                                                  | $ | 5,139,839 |  |   | $ | 4,734,442 |  |
| Common stocks, at fair value (cost: 2016, $2,273; 2015, $2,273)                                                                                                       | 5,891 |  |   | 6,237 |  |
| Commercial mortgage loans and syndicated loans, at cost (less allowance for loan losses: 2016, $3,964; 2015, $3,964; fair value: 2016, $197,928; 2015, $195,595) | 197,105 |  |   | 196,385 |  |
| Certificate loans — secured by certificate reserves, at cost, which approximates fair value                                                                     | 632 |  |   | 686 |  |
| Total                                                                                                                                                                 | $ | 5,343,467 |  |   | $ | 4,937,750 |  |

|                                          |
|------------------------------------------|
|                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                     |   | March 31, 2016 |
| Description of Securities      |   | Amortized Cost |   | Gross Unrealized Gains |   | Gross Unrealized Losses |   | Fair Value |   | Noncredit OTTI (1) |
|                                     | (in thousands) |
| Residential mortgage backed securities   | $ | 2,725,748 |  |   | $ | 11,909 |  |   | $ | (34,665 | ) |   | $ | 2,702,992 |  |   | $ | (4,019 | ) |
| Corporate debt securities                | 1,483,028 |  |   | 6,079 |  |   | (3,503 | ) |   | 1,485,604 |  |   | 3 |  |
| Commercial mortgage backed securities    | 398,238 |  |   | 2,783 |  |   | (388 | ) |   | 400,633 |  |   | — |  |
| Asset backed securities                  | 497,998 |  |   | 1,657 |  |   | (5,830 | ) |   | 493,825 |  |   | — |  |
| State and municipal obligations          | 55,747 |  |   | 599 |  |   | — |  |   | 56,346 |  |   | — |  |
| U.S. government and agencies obligations | 377 |  |   | 62 |  |   | — |  |   | 439 |  |   | — |  |
| Common stocks                            | 2,273 |  |   | 3,812 |  |   | (194 | ) |   | 5,891 |  |   | 1,962 |  |
| Total                                    | $ | 5,163,409 |  |   | $ | 26,901 |  |   | $ | (44,580 | ) |   | $ | 5,145,730 |  |   | $ | (2,054 | ) |

|                                          |
|------------------------------------------|
|                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                     |   | December 31, 2015 |
| Description of Securities      |   | 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 | ) |

----

|                        |
|------------------------|
|                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                   |   | March 31, 2016 |   | December 31, 2015 |
| Ratings                |   | Amortized Cost |   | Fair Value |   | Percent of Total Fair Value |   | Amortized Cost |   | Fair Value |   | Percent of Total Fair Value |
|                   |   | (in thousands, except percentages) |
| AAA                    |   | $ | 2,224,423 |  |   | $ | 2,223,327 |  |   | 43 | % |   | $ | 1,909,817 |  |   | $ | 1,903,427 |  |   | 40 | % |
| AA                     |   | 344,940 |  |   | 342,270 |  |   | 7 |  |   | 328,041 |  |   | 326,326 |  |   | 7 |  |
| A                      |   | 669,995 |  |   | 665,861 |  |   | 13 |  |   | 705,780 |  |   | 700,629 |  |   | 15 |  |
| BBB                    |   | 1,744,619 |  |   | 1,739,698 |  |   | 34 |  |   | 1,647,627 |  |   | 1,633,796 |  |   | 35 |  |
| Below investment grade |   | 177,159 |  |   | 168,683 |  |   | 3 |  |   | 176,998 |  |   | 170,264 |  |   | 3 |  |
| Total fixed maturities |   | $ | 5,161,136 |  |   | $ | 5,139,839 |  |   | 100 | % |   | $ | 4,768,263 |  |   | $ | 4,734,442 |  |   | 100 | % |

|                                        |
|----------------------------------------|
|                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Description of Securities         |   | March 31, 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 | 93 |  |   | $ | 1,167,456 |  |   | $ | (11,087 | ) |   | 119 |  |   | $ | 822,485 |  |   | $ | (23,578 | ) |   | 212 |  |   | $ | 1,989,941 |  |   | $ | (34,665 | ) |
| Corporate debt securities              | 37 |  |   | 389,985 |  |   | (1,703 | ) |   | 14 |  |   | 107,900 |  |   | (1,800 | ) |   | 51 |  |   | 497,885 |  |   | (3,503 | ) |
| Commercial mortgage backed securities  | 8 |  |   | 42,062 |  |   | (249 | ) |   | 2 |  |   | 20,763 |  |   | (139 | ) |   | 10 |  |   | 62,825 |  |   | (388 | ) |
| Asset backed securities                | 24 |  |   | 142,265 |  |   | (2,212 | ) |   | 14 |  |   | 246,461 |  |   | (3,618 | ) |   | 38 |  |   | 388,726 |  |   | (5,830 | ) |
| Common stocks                          | 2 |  |   | 543 |  |   | (92 | ) |   | 2 |  |   | 150 |  |   | (102 | ) |   | 4 |  |   | 693 |  |   | (194 | ) |
| Total                                  | 164 |  |   | $ | 1,742,311 |  |   | $ | (15,343 | ) |   | 151 |  |   | $ | 1,197,759 |  |   | $ | (29,237 | ) |   | 315 |  |   | $ | 2,940,070 |  |   | $ | (44,580 | ) |

----

|                                        |
|----------------------------------------|
|                                        |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| 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 March 31, |
|                                                                                 | 2016 |   | 2015 |
|                                                                                 | (in thousands) |
| Beginning balance                                                                    | $ | 51,966 |  |   | $ | 64,913 |  |
| Reductions for securities sold during the period (realized)                          | (5,550 | ) |   | — |  |
| Credit losses for which an other-than-temporary impairment was previously recognized | 70 |  |   | 923 |  |
| Ending balance                                                                       | $ | 46,486 |  |   | $ | 65,836 |  |

----

|                                                                    |
|--------------------------------------------------------------------|
|                                                                    |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                               | 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)      | 8,396 |  |   | (3,112 | ) |   | 5,284 |  |   |
| Reclassification of losses included in net income                  | 921 |  |   | (322 | ) |   | 599 |  |   |
| Balance at March 31, 2015                                     | $ | 2,937 |  |   | $ | (1,082 | ) |   | $ | 1,855 |  | (2)  |
|                                                               |   |   |   |   |   |   |
| Balance at January 1, 2016                                         | $ | (29,858 | ) |   | $ | 11,050 |  |   | $ | (18,808 | ) |   |
| Net unrealized securities gains arising during the period (1) | 10,977 |  |   | (4,087 | ) |   | 6,890 |  |   |
| Reclassification of losses included in net income                  | 1,202 |  |   | (421 | ) |   | 781 |  |   |
| Balance at March 31, 2016                                     | $ | (17,679 | ) |   | $ | 6,542 |  |   | $ | (11,137 | ) | (2)  |

|                                  |
|----------------------------------|
|                                  |  |  |  |  |  |  |  |
|                             | Three Months Ended March 31, |
|                             | 2016 |   | 2015 |
|                             | (in thousands) |
| Gross realized gains             | $ | 25 |  |   | $ | 2 |  |
| Gross realized losses            | (1,157 | ) |   | — |  |
| Other-than-temporary impairments | (70 | ) |   | (923 | ) |
| Total                            | $ | (1,202 | ) |   | $ | (921 | ) |

|                                        |
|----------------------------------------|
|                                        |  |  |  |  |  |  |  |
|                                   | Amortized Cost |   | Fair Value |
|                                   | (in thousands) |
| Due within one year                    | $ | 302,647 |  |   | $ | 302,418 |  |
| Due after one year through five years  | 1,227,655 |  |   | 1,230,951 |  |
| Due after five years through 10 years  | 8,638 |  |   | 8,746 |  |
| Due after 10 years                     | 212 |  |   | 274 |  |
|                                   | 1,539,152 |  |   | 1,542,389 |  |
| Residential mortgage backed securities | 2,725,748 |  |   | 2,702,992 |  |
| Commercial mortgage backed securities  | 398,238 |  |   | 400,633 |  |
| Asset backed securities                | 497,998 |  |   | 493,825 |  |
| Common stocks                          | 2,273 |  |   | 5,891 |  |
| Total                                  | $ | 5,163,409 |  |   | $ | 5,145,730 |  |

----

|                                       |
|---------------------------------------|
|                                       |  |  |  |  |  |  |  |
|                                  | March 31, |
|                                  | 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 |  |

|                                       |
|---------------------------------------|
|                                       |  |  |  |  |  |  |  |
|                                  | March 31, 2016 |   | December 31, 2015 |
|                                  | (in thousands) |
| Individually evaluated for impairment | $ | 3,866 |  |   | $ | 4,173 |  |
| Collectively evaluated for impairment | 197,203 |  |   | 196,176 |  |
| Total                                 | $ | 201,069 |  |   | $ | 200,349 |  |

----

|                                 |
|---------------------------------|
|                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                            | Loans |   | Percentage |
|                            | March 31, 2016 |   | December 31, 2015 |   | March 31, 2016 |   | December 31, 2015 |
|                            | (in thousands) |   |   |   |   |
| East North Central              | $ | 3,257 |  |   | $ | 3,327 |  |   | 3 | % |   | 3 | % |
| East South Central              | 5,959 |  |   | 6,107 |  |   | 6 |  |   | 6 |  |
| Middle Atlantic                 | 9,725 |  |   | 6,477 |  |   | 9 |  |   | 6 |  |
| Mountain                        | 6,225 |  |   | 6,347 |  |   | 6 |  |   | 6 |  |
| New England                     | 7,468 |  |   | 7,544 |  |   | 7 |  |   | 8 |  |
| Pacific                         | 24,331 |  |   | 24,715 |  |   | 24 |  |   | 25 |  |
| South Atlantic                  | 29,569 |  |   | 29,971 |  |   | 29 |  |   | 31 |  |
| West North Central              | 9,150 |  |   | 9,385 |  |   | 9 |  |   | 9 |  |
| West South Central              | 7,766 |  |   | 6,378 |  |   | 7 |  |   | 6 |  |
|                            | 103,450 |  |   | 100,251 |  |   | 100 | % |   | 100 | % |
| Less: allowance for loan losses | 2,341 |  |   | 2,341 |  |   |   |
| Total                           | $ | 101,109 |  |   | $ | 97,910 |  |

|                                 |
|---------------------------------|
|                                 |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                            | Loans |   | Percentage |
|                            | March 31, 2016 |   | December 31, 2015 |   | March 31, 2016 |   | December 31, 2015 |
|                            | (in thousands) |   |   |   |   |
| Apartments                      | $ | 31,246 |  |   | $ | 28,576 |  |   | 30 | % |   | 29 | % |
| Industrial                      | 17,266 |  |   | 15,510 |  |   | 17 |  |   | 15 |  |
| Office                          | 8,863 |  |   | 8,955 |  |   | 9 |  |   | 9 |  |
| Retail                          | 33,623 |  |   | 34,384 |  |   | 32 |  |   | 34 |  |
| Hotel                           | 1,061 |  |   | 1,100 |  |   | 1 |  |   | 1 |  |
| Other                           | 11,391 |  |   | 11,726 |  |   | 11 |  |   | 12 |  |
|                            | 103,450 |  |   | 100,251 |  |   | 100 | % |   | 100 | % |
| Less: allowance for loan losses | 2,341 |  |   | 2,341 |  |   |   |
| Total                           | $ | 101,109 |  |   | $ | 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. |

|                                          |
|------------------------------------------|
|                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                     | March 31, 2016 |
|                                     | Level 1 |   | Level 2 |   | Level 3 |   | Total |
|                                     | (in thousands) |
| Assets                                   |   |  |   |   |  |   |   |  |   |   |  |
| Cash equivalents                         | $ | — |  |   | $ | 133,399 |  |   | $ | — |  |   | $ | 133,399 |  |
| Available-for-Sale securities:           |   |  |   |   |  |   |   |  |   |   |  |
| Residential mortgage backed securities   | — |  |   | 2,547,982 |  |   | 155,010 |  |   | 2,702,992 |  |
| Corporate debt securities                | — |  |   | 1,317,914 |  |   | 167,690 |  |   | 1,485,604 |  |
| Commercial mortgage backed securities    | — |  |   | 400,633 |  |   | — |  |   | 400,633 |  |
| Asset backed securities                  | — |  |   | 473,505 |  |   | 20,320 |  |   | 493,825 |  |
| State and municipal obligations          | — |  |   | 56,346 |  |   | — |  |   | 56,346 |  |
| U.S. government and agencies obligations | 439 |  |   | — |  |   | — |  |   | 439 |  |
| Common stocks                            | 1,971 |  |   | 3,846 |  |   | 74 |  |   | 5,891 |  |
| Total Available-for-Sale securities      | 2,410 |  |   | 4,800,226 |  |   | 343,094 |  |   | 5,145,730 |  |
| Equity derivative contracts              | — |  |   | 23,643 |  |   | — |  |   | 23,643 |  |
| Total assets at fair value               | $ | 2,410 |  |   | $ | 4,957,268 |  |   | $ | 343,094 |  |   | $ | 5,302,772 |  |
|                                     |   |   |   |   |   |   |   |
| Liabilities                              |   |  |   |   |  |   |   |  |   |   |  |
| Certificate reserves                     | $ | — |  |   | $ | 5,048 |  |   | $ | — |  |   | $ | 5,048 |  |
| Equity derivative contracts              | 3 |  |   | 19,315 |  |   | — |  |   | 19,318 |  |
| Total liabilities at fair value          | $ | 3 |  |   | $ | 24,363 |  |   | $ | — |  |   | $ | 24,366 |  |

----

|                                          |
|------------------------------------------|
|                                          |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                     | 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, January 1, 2016                                                                      | $ | 196,334 |  |   | $ | 190,304 |  |   | $ | 29,515 |  |   | $ | 229 |  |   | $ | 416,382 |  |   |
| Total gains (losses) included in:                                                                  |   |   |   |   |   |   |   |   |   |   |
| Net income                                                                                         | 166 |  | (1)  | (1,342 | ) | (2)  | 14 |  | (1)  | — |  |   | (1,162 | ) |   |
| Other comprehensive income                                                                         | (3,052 | ) |   | 1,728 |  |   | 1 |  |   | — |  |   | (1,323 | ) |   |
| Purchases                                                                                          | — |  |   | — |  |   | 789 |  |   | — |  |   | 789 |  |   |
| Settlements                                                                                        | (13,839 | ) |   | (23,000 | ) |   | — |  |   | — |  |   | (36,839 | ) |   |
| Transfers into Level 3                                                                             | — |  |   | — |  |   | — |  |   | — |  |   | — |  |   |
| Transfers out of Level 3                                                                           | (24,599 | ) |   | — |  |   | (9,999 | ) |   | (155 | ) |   | (34,753 | ) |   |
| Balance, March 31, 2016                                                                       | $ | 155,010 |  |   | $ | 167,690 |  |   | $ | 20,320 |  |   | $ | 74 |  |   | $ | 343,094 |  |   |
| Change in unrealized gains (losses) relating to Level 3 assets held at March 31, 2016 included in: |
| Investment income                                                                                  | $ | 166 |  |   | $ | (195 | ) |   | $ | 14 |  |   | — |  |   | $ | (15 | ) |   |

----

|                                                                                                    |
|----------------------------------------------------------------------------------------------------|
|                                                                                                    |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                                                               | Available-for-Sale Securities |   | Total |   |
| Residential Mortgage Backed Securities                                                             |   | Corporate Debt Securities |   | 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                                                                                         | (118 | ) |   | (163 | ) |   | 18 |  |   | — |  |   | (263 | ) | (1)  |
| Other comprehensive income                                                                         | 302 |  |   | 1,214 |  |   | (18 | ) |   | (47 | ) |   | 1,451 |  |   |
| Purchases                                                                                          | 85,268 |  |   | — |  |   | — |  |   | — |  |   | 85,268 |  |   |
| Settlements                                                                                        | (8,666 | ) |   | — |  |   | (2,002 | ) |   | — |  |   | (10,668 | ) |   |
| Transfers into Level 3                                                                             | — |  |   | — |  |   | — |  |   | — |  |   | — |  |   |
| Transfers out of Level 3                                                                           | (32,043 | ) |   | — |  |   | — |  |   | — |  |   | (32,043 | ) |   |
| Balance, March 31, 2015                                                                       | $ | 241,301 |  |   | $ | 166,552 |  |   | $ | 16,186 |  |   | $ | 861 |  |   | $ | 424,900 |  |   |
| Change in unrealized gains (losses) relating to Level 3 assets held at March 31, 2015 included in: |
| Investment income                                                                                  | $ | (118 | ) |   | $ | (163 | ) |   | $ | 18 |  |   | $ | — |  |   | $ | (263 | ) |   |

|                                                |
|------------------------------------------------|
|                                                |  |  |  |  |  |  |  |  |  |
|                                           | March 31, 2016 |
|                                           | Fair Value |   | Valuation Technique |   | Unobservable Input |   | Range (Weighted Average) |
|                                           | (in thousands) |   |   |   |   |   |
| Corporate debt securities (private placements) | $ | 167,687 |  |   | Discounted cash flow |   | Yield/spread to U.S. Treasuries |   | 1.3% - 2.0% (1.5%) |

|                                                |
|------------------------------------------------|
|                                                |  |  |  |  |  |  |  |  |  |
|                                           | 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%) |

----

|                           |
|---------------------------|
|                           |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                      | March 31, 2016 |
| Carrying Value       |   | Fair Value |
| Level 1              |   | Level 2 |   | Level 3 |   | Total |
| (in thousands)       |
| Financial Assets          |   |  |   |   |  |   |   |  |   |   |  |   |   |  |
| Syndicated loans          | $ | 95,996 |  |   | $ | — |  |   | $ | 91,688 |  |   | $ | 2,525 |  |   | $ | 94,213 |  |
| Commercial mortgage loans | 101,109 |  |   | — |  |   | — |  |   | 103,715 |  |   | 103,715 |  |
| Certificate loans         | 632 |  |   | — |  |   | 632 |  |   | — |  |   | 632 |  |
| Financial Liabilities     |   |  |   |   |  |   |   |  |   |   |  |   |   |  |
| Certificate reserves      | $ | 5,182,904 |  |   | $ | — |  |   | $ | — |  |   | $ | 5,173,492 |  |   | $ | 5,173,492 |  |

----

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

|              |
|--------------|
|              |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|         | March 31, 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          | $ | 23,643 |  |   | $ | — |  |   | $ | 23,643 |  |   | $ | (19,315 | ) |   | $ | (2,730 | ) |   | $ | 1,598 |  |
| Total        | $ | 23,643 |  |   | $ | — |  |   | $ | 23,643 |  |   | $ | (19,315 | ) |   | $ | (2,730 | ) |   | $ | 1,598 |  |

----

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

|                 |
|-----------------|
|                 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|            | March 31, 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             | $ | 19,315 |  |   | $ | — |  |   | $ | 19,315 |  |   | $ | (19,315 | ) |   | $ | — |  |   | $ | — |  |
| Exchange-traded | 3 |  |   | — |  |   | 3 |  |   | — |  |   | — |  |   | 3 |  |
| Total           | $ | 19,318 |  |   | $ | — |  |   | $ | 19,318 |  |   | $ | (19,315 | ) |   | $ | — |  |   | $ | 3 |  |

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

----

|                                                                  |
|------------------------------------------------------------------|
|                                                                  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|                                                             | March 31, 2016 |   | December 31, 2015 |
|                                                             |   |   | Gross Fair Value |   |   | Gross Fair Value |
|                                                             | Notional |   | Assets |   | Liabilities |   | Notional |   | Assets |   | Liabilities |
| Derivatives not designated as hedging instruments |   |   |   | (in thousands) |   |   |   |   |
|   Equity contracts(1)                                  | $ | 938,261 |  |   | $ | 23,643 |  |   | $ | 19,318 |  |   | $ | 935,957 |  |   | $ | 18,493 |  |   | $ | 14,932 |  |
| Embedded derivatives                                             |
|   Stock market certificates(2)                         | N/A |  |   | — |  |   | 5,048 |  |   | N/A |  |   | — |  |   | 4,130 |  |
| Total derivatives                                                | $ | 938,261 |  |   | $ | 23,643 |  |   | $ | 24,366 |  |   | $ | 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 March 31, |
|   | 2016 |   | 2015 |
|   | Equity contracts |   | (in thousands) |
|   |
|   | Stock market certificates |   | Net provision for certificate reserves | $ | (534 | ) |   | $ | 497 |  |
|   | Stock market certificates embedded derivatives |   | Net provision for certificate reserves | 490 |  |   | (292 | ) |
|   | Total | $ | (44 | ) |   | $ | 205 |  |

----

|                                                        |
|--------------------------------------------------------|
|                                                        |  |  |  |  |  |  |  |  |  |  |
| AOCI Reclassification                             |   | Location of (Gain) Loss Recognized in Income |   | Three Months Ended March 31, |
| 2016                                                   |   | 2015 |
|                                                        |   |   |   | (in thousands) |
| Unrealized net losses on Available-for-Sale securities | Net realized loss on investments |   | $ | 1,202 |  |   | $ | 921 |  |
| Tax benefit                                            | Income tax benefit | (421 | ) |   | (322 | ) |
| Net of tax                                             |   | $ | 781 |  |   | $ | 599 |  |

----

----

----

----

|        |
|--------|
|        |  |  |  |  |
|   |   |   | AMERIPRISE CERTIFICATE COMPANY |   |
|   |   |   | (Registrant) |   |
|   |   |   |   |   |
| Date:  | May 5, 2016 | By | /s/ Abu M. Arif |   |
|   |   |   | Abu M. Arif |   |
|   |   |   | Chief Executive Officer |   |
|   |   |   |   |   |
|   |   |   |   |   |
| Date:  | May 5, 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. |

|       |                                                                                                                                                                                    |
|-------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 32.1* | 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. |