The Company’s consolidated funds withheld receivables are summarized as follows:



	December 31, 2016
	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value		Carrying Value
Funds withheld receivables with FGL
Corporates	$	676.5	$	9.7	$	(32.8	)	$	653.4	$	653.4
Asset/Mortgage-backed securities	197.9		0.5		(7.3		)	191.1		191.1
Municipals	12.1		—		(0.4		)	11.7		11.7
Government bonds	1.1		—		(0.1		)	1.0		1.0
Preferred stock	12.5		0.1		(0.5		)	12.1		12.1
Total funds withheld receivables with FGL	900.1		10.3		(41.1		)	869.3		869.3
Funds withheld receivables with third parties
Corporates	397.5		5.9		(8.8		)	394.6		394.6
Asset/Mortgage-backed securities	133.9		1.7		(1.8		)	133.8		133.8
Municipals	49.4		1.0		(0.6		)	49.8		49.8
Government bonds	82.5		—		(3.9		)	78.6		78.6
Agency bonds	6.7		—		—			6.7		6.7
Total funds withheld receivables with third parties	670.0		8.6		(15.1		)	663.5		663.5
Total fixed maturity and equity securities included in funds withheld receivables	1,570.1		18.9		(56.2		)	1,532.8		1,532.8

Call option receivable from FGL included in funds withheld receivables	9.3		2.9		—			12.2		12.2
Accrued interest	16.6		—		—			16.6		16.6
Net receivables	39.1		—		—			39.1		39.1
Policy loans and other	8.3		—		—			8.3		8.3
Total funds withheld receivables	$	1,643.4	$	21.8	$	(56.2	)	$	1,609.0	$	1,609.0



	September 30, 2016
	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value		Carrying Value
Funds withheld receivables with FGL
Corporates	$	638.5	$	18.2	$	(29.5	)	$	627.2	$	627.2
Asset/Mortgage-backed securities	238.8		0.6		(7.9		)	231.5		231.5
Municipals	12.1		0.7		—			12.8		12.8
Government bonds	1.1		—		—			1.1		1.1
Preferred stock	8.8		0.3		(0.9		)	8.2		8.2
Total funds withheld receivables with FGL	899.3		19.8		(38.3		)	880.8		880.8
Funds withheld receivables with third parties
Corporates	390.0		18.8		(2.7		)	406.1		406.1
Asset/Mortgage-backed securities	118.7		1.9		(1.7		)	118.9		118.9
Municipals	49.5		4.1		—			53.6		53.6
Government bonds	67.7		1.3		(0.2		)	68.8		68.8
Agency bonds	6.6		0.3		—			6.9		6.9
Total funds withheld receivables with third parties	632.5		26.4		(4.6		)	654.3		654.3
Total fixed maturity and equity securities included in funds withheld receivables	1,531.8		46.2		(42.9		)	1,535.1		1,535.1

Call option receivable from FGL included in funds withheld receivables	9.8		1.5		—			11.3		11.3
Accrued interest	17.8		—		—			17.8		17.8
Net receivables	77.7		—		—			77.7		77.7
Policy loans and other	8.5		—		—			8.5		8.5
Total funds withheld receivables	$	1,645.6	$	47.7	$	(42.9	)	$	1,650.4	$	1,650.4

Maturities of Funds Withheld Receivables

The amortized cost and fair value of fixed maturity and equity securities included in funds withheld receivables by contractual maturities, as applicable, are shown below. Actual maturities may differ from contractual maturities because issuers may have the right to call or pre-pay obligations.



	December 31, 2016
	Amortized Cost		Fair Value
Corporate, Non-structured Hybrids, Municipal and Preferred stock:
Due in one year or less	$	24.9	$	24.9
Due after one year through five years	265.2		261.1
Due after five years through ten years	428.9		423.8
Due after ten years	497.1		477.0
Subtotal	1,216.1		1,186.8
Other securities which provide for periodic payments:
Asset/Mortgage-backed securities	331.8		324.9
Structured hybrids	22.2		21.1
Total fixed maturity and equity securities included in funds withheld receivables	$	1,570.1	$	1,532.8

Securities in Funds Withheld Receivables with FGL in an Unrealized Loss Position

The Company has concluded that the fair value of the securities presented in the table below were not other-than-temporarily impaired as of December 31, 2016. The fair value and gross unrealized losses of securities in the funds withheld receivables with FGL, aggregated by investment category, were as follows:



	December 31, 2016
	Less than 12 months					12 months or longer					Total
	Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses
Funds withheld receivables with FGL
Corporates	$	202.7	$	(7.9	)	$	162.4	$	(24.9	)	$	365.1	$	(32.8	)
Asset/Mortgage-backed securities	44.3		(0.2		)	120.2		(7.1		)	164.5		(7.3		)
Municipals	6.8		(0.4		)	—		—			6.8		(0.4		)
Government bonds	1.0		(0.1		)	—		—			1.0		(0.1		)
Preferred stock	0.9		(0.1		)	5.2		(0.4		)	6.1		(0.5		)
Total funds withheld receivables with FGL	$	255.7	$	(8.7	)	$	287.8	$	(32.4	)	$	543.5	$	(41.1	)
Total number of securities in an unrealized loss position			198					137					335



	September 30, 2016
	Less than 12 months					12 months or longer					Total
	Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses
Funds withheld receivables with FGL
Corporates	$	137.8	$	(12.6	)	$	91.7	$	(16.9	)	$	229.5	$	(29.5	)
Asset/Mortgage-backed securities	73.3		(2.2		)	99.0		(5.7		)	172.3		(7.9		)
Municipals	1.0		—			—		—			1.0		—
Government bonds	0.2		—			—		—			0.2		—
Preferred stock	3.7		(0.9		)	—		—			3.7		(0.9		)
Total funds withheld receivables with FGL	$	216.0	$	(15.7	)	$	190.7	$	(22.6	)	$	406.7	$	(38.3	)
Total number of securities in an unrealized loss position			146					76					222

At December 31, 2016 and September 30, 2016, securities in the funds withheld receivables with FGL in an unrealized loss position were primarily concentrated in investment grade corporate debt instruments.

At December 31, 2016 and September 30, 2016, securities with a fair value of $29.5 and $39.6, respectively, had an unrealized loss greater than 20% of amortized cost, which represented less than 5% of the carrying value of all funds withheld receivables.

For the three months ended December 31, 2016 and 2015, the Company recognized other-than-temporary impairment (“OTTI”) losses in operations totaling $1.0 and $1.4, respectively, related to funds withheld receivables with FGL with an amortized cost of $12.0 and $2.5 and a fair value of $11.0 and $1.1 at December 31, 2016 and 2015, respectively.

Details underlying write-downs taken as a result of OTTI that were recognized in “Net income” and included in “Net investment losses” were as follows:



	Three months ended December 31,
	2016		2015
OTTI recognized in net income:
Corporates	$	1.0	$	1.4
Total	$	1.0	$	1.4

Net investment income

The major sources of “Net investment income” reported in the accompanying Condensed Consolidated Statements of Operations were as follows:



	Three months ended December 31,
	2016		2015
Fixed maturity securities included in funds withheld receivables with FGL	$	10.2	$	15.5
Equity securities included in funds withheld receivables with FGL	0.2		0.6
Asset-based loans	0.3		2.0
Other investments	—		2.2
Net investment income	$	10.7	$	20.3

Net investment losses

The major sources of “Net investment losses” reported in the accompanying Condensed Consolidated Statements of Operations were as follows:



	Three months ended December 31,
	2016			2015
Net realized (losses) gains on fixed maturity securities included in funds withheld receivables with FGL	$	(2.2	)	$	3.3
Realized (losses) gains on equity securities included in funds withheld receivables with FGL	(0.1		)	1.8
Realized gains on certain derivative instruments	3.1			1.9
Change in fair value of embedded derivatives in funds withheld receivables with FGL	(12.2		)	(26.5		)
Realized losses on funds withheld receivables with third parties and other	(22.4		)	(12.5		)
Net investment losses	$	(33.8	)	$	(32.0	)

The modified coinsurance arrangement between FGL Insurance and Front Street created an obligation for the parties to settle a payable or receivable at a later date, which resulted in an embedded derivative. This embedded derivative is considered a total return swap with contractual returns that are attributable to the assets and liabilities associated with this reinsurance arrangement. The fair value of the total return swap is based on the change in fair value of the underlying assets held in the funds withheld portfolio. Investment results for the assets that support the coinsurance with funds withheld reinsurance arrangement, including gains and losses from sales, are passed directly to the reinsurer pursuant to contractual terms of the reinsurance arrangement. The reinsurance related embedded derivative is expected to continue to exist after the disposal of FGL and is therefore not eliminated to appropriately reflect the continuing operations and balances held for sale. It is embedded in the funds withheld receivables with a corresponding asset in business held for sale on the accompanying Condensed Consolidated Balance Sheets and the related gains or losses are reported in net investment gains (losses) with a corresponding income (loss) from discontinued operations on the accompanying Condensed Consolidated Statements of Operations.