Investments Available for Sale

Investments available for sale consist of the following:



March 31, 2016 (In thousands)	Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value
U.S. Treasury securities	$	208,462	$	3,329	$	(11	)	$	211,780
U.S. agency securities	14,548		109		—			14,657
U.S. agency mortgage-backed securities	176,000		2,085		(82		)	178,003
Municipal debt securities(1)	293,448		10,853		(190		)	304,111
Corporate debt securities(2)	411,527		6,276		(1,115		)	416,688
Mortgage-backed securities	53,171		633		(758		)	53,046
Asset-backed securities	123,123		203		(1,597		)	121,729
Money market funds	68,488		—		—			68,488
Total investments available for sale	$	1,348,767	$	23,488	$	(3,753	)	$	1,368,502



December 31, 2015 (In thousands)	Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value
U.S. Treasury securities	$	178,460	$	235	$	(1,088	)	$	177,607
U.S. agency securities	13,955		5		(178		)	13,782
U.S. agency mortgage-backed securities	160,181		474		(1,053		)	159,602
Municipal debt securities(1)	272,733		7,357		(262		)	279,828
Corporate debt securities(2)	399,246		1,338		(3,852		)	396,732
Mortgage-backed securities	56,380		97		(1,121		)	55,356
Asset-backed securities	127,919		29		(1,319		)	126,629
Money market funds	67,098		—		—			67,098
Total investments available for sale	$	1,275,972	$	9,535	$	(8,873	)	$	1,276,634



	March 31,		December 31,
(1) The following table summarizes municipal debt securities as of :	2016		2015
Special revenue bonds	67.8	%	70.4	%
General obligation bonds	27.5		24.5
Certificate of participation bonds	3.7		4.0
Tax allocation bonds	1.0		1.1
Total	100.0	%	100.0	%



	March 31,		December 31,
(2) The following table summarizes corporate debt securities as of :	2016		2015
Financial	42.2	%	44.9	%
Consumer, non-cyclical	17.4		14.8
Energy	7.9		9.0
Communications	6.9		7.1
Industrial	6.4		5.2
Consumer, cyclical	6.0		6.2
Utilities	6.0		5.0
Basic materials	3.8		4.0
Technology	3.4		3.8
Total	100.0	%	100.0	%

The amortized cost and fair value of investments available for sale at March 31, 2016, by contractual maturity, are shown below. Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. Because most mortgage-backed securities and asset-backed securities provide for periodic payments throughout their lives, they are listed below in separate categories.



(In thousands)	Amortized Cost		Fair Value
U.S. Treasury securities:
Due in 1 year	$	38,647	$	38,656
Due after 1 but within 5 years	66,474		67,147
Due after 5 but within 10 years	88,230		90,652
Due after 10 years	15,111		15,325
Subtotal	208,462		211,780
U.S. agency securities:
Due in 1 year	2,408		2,413
Due after 1 but within 5 years	12,140		12,244
Subtotal	14,548		14,657
Municipal debt securities:
Due in 1 year	2,043		2,044
Due after 1 but within 5 years	86,093		87,061
Due after 5 but within 10 years	106,907		112,055
Due after 10 years	98,405		102,951
Subtotal	293,448		304,111
Corporate debt securities:
Due in 1 year	20,135		20,124
Due after 1 but within 5 years	265,999		267,539
Due after 5 but within 10 years	124,875		128,491
Due after 10 years	518		534
Subtotal	411,527		416,688
U.S. agency mortgage-backed securities	176,000		178,003
Mortgage-backed securities	53,171		53,046
Asset-backed securities	123,123		121,729
Money market funds	68,488		68,488
Total investments available for sale	$	1,348,767	$	1,368,502

Gross gains and losses realized on the sale of investments available for sale were as follows:



	Three Months Ended March 31,
(In thousands)	2016		2015
Realized gross gains	$	1,148	$	788
Realized gross losses	670		139

The fair value of investments in an unrealized loss position and the related unrealized losses were as follows:



	Less than 12 months					12 months or more					Total
March 31, 2016 (In thousands)	Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses
U.S. Treasury securities	$	3,819	$	(11	)	$	—	$	—		$	3,819	$	(11	)
U.S. agency mortgage-backed securities	17,479		(27		)	5,046		(55		)	22,525		(82		)
Municipal debt securities	21,414		(140		)	4,616		(50		)	26,030		(190		)
Corporate debt securities	68,697		(930		)	20,307		(185		)	89,004		(1,115		)
Mortgage-backed securities	9,984		(282		)	23,319		(476		)	33,303		(758		)
Asset-backed securities	67,435		(1,059		)	24,703		(538		)	92,138		(1,597		)
Total	$	188,828	$	(2,449	)	$	77,991	$	(1,304	)	$	266,819	$	(3,753	)



	Less than 12 months					12 months or more					Total
December 31, 2015 (In thousands)	Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses
U.S. Treasury securities	$	110,699	$	(1,088	)	$	—	$	—		$	110,699	$	(1,088	)
U.S. agency securities	11,362		(178		)	—		—			11,362		(178		)
U.S. agency mortgage-backed securities	101,465		(915		)	3,683		(138		)	105,148		(1,053		)
Municipal debt securities	47,850		(255		)	1,254		(7		)	49,104		(262		)
Corporate debt securities	252,792		(3,447		)	9,404		(405		)	262,196		(3,852		)
Mortgage-backed securities	23,360		(458		)	26,075		(663		)	49,435		(1,121		)
Asset-backed securities	86,431		(871		)	26,364		(448		)	112,795		(1,319		)
Total	$	633,959	$	(7,212	)	$	66,780	$	(1,661	)	$	700,739	$	(8,873	)

The gross unrealized losses on these investment securities are principally associated with the changes in the interest rate environment subsequent to their purchase. Each issuer is current on its scheduled interest and principal payments. We assess our intent to sell these securities and whether we will be required to sell these securities before the recovery of their amortized cost basis when determining whether an impairment is other-than-temporary. We recorded an other-than-temporary impairment of $7 thousand in the three months ended March 31, 2016 for one security in an unrealized loss position that we intend to sell. There were no other-than-temporary impairments of investments in the three months ended March 31, 2015.

The fair value of investments deposited with insurance regulatory authorities to meet statutory requirements was $8.6 million as of March 31, 2016 and $8.5 million as of December 31, 2015. In connection with its insurance and reinsurance activities, Essent Re is required to maintain assets in trusts for the benefit of its contractual counterparties. The fair value of the investments required to be on deposit in these trusts was $203.8 million at March 31, 2016 and $171.5 million at December 31, 2015.

Net investment income consists of:



	Three Months Ended March 31,
(In thousands)	2016			2015
Fixed maturities	$	6,655		$	4,653
Short-term investments	33			12
Gross investment income	6,688			4,665
Investment expenses	(505		)	(385		)
Net investment income	$	6,183		$	4,280