INVESTMENTS

Fixed Maturities and Equity Securities

The following tables provide information relating to fixed maturities and equity securities (excluding investments classified as trading) as of the dates indicated:



	September 30, 2015
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		Other-than- temporary Impairments in AOCI (3)
	(in thousands)
Fixed maturities, available-for-sale
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	87,232	$	8,986	$	203	$	96,015	$	—
Obligations of U.S. states and their political subdivisions	576,012		15,789		3,537		588,264		—
Foreign government bonds	66,294		3,326		2,775		66,845		—
Public utilities	742,873		39,644		12,539		769,978		—
Redeemable preferred stock	5,299		1,552		145		6,706		—
All other corporate securities	4,031,690		158,470		85,583		4,104,577		(236		)
Asset-backed securities (1)	444,982		6,933		1,251		450,664		(3,084		)
Commercial mortgage-backed securities	386,436		16,989		401		403,024		—
Residential mortgage-backed securities (2)	119,548		9,179		9		128,718		(726		)
Total fixed maturities, available-for-sale	$	6,460,366	$	260,868	$	106,443	$	6,614,791	$	(4,046	)
Equity securities, available-for-sale
Common stocks:
Public utilities	$	66	$	3	$	19	$	50
Industrial, miscellaneous & other	1		174		1		174
Mutual funds	59,533		275		3,986		55,822
Non-redeemable preferred stocks	—		—		—		—
Total equity securities, available-for-sale	$	59,600	$	452	$	4,006	$	56,046


(1)	Includes credit-tranched securities collateralized by sub-prime mortgages, auto loans, credit cards, education loans, and other asset types.


(2)	Includes publicly-traded agency pass-through securities and collateralized mortgage obligations.


(3)	Represents the amount of other-than-temporary impairment losses in Accumulated Other Comprehensive Income ("AOCI"), which were not included in earnings. Amount excludes $9 million of net unrealized gains on impaired available-for-sale securities relating to changes in the value of such securities subsequent to the impairment measurement date.



	December 31, 2014
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		Other-than- temporary Impairments in AOCI (3)
	(in thousands)
Fixed maturities, available-for-sale
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	83,372	$	8,711	$	1	$	92,082	$	—
Obligations of U.S. states and their political subdivisions	310,518		15,323		187		325,654		—
Foreign government bonds	35,228		3,284		14		38,498		—
Public utilities	683,652		62,060		3,288		742,424		—
Redeemable preferred stock	3,185		763		137		3,811		—
All other corporate securities	3,743,804		227,939		20,820		3,950,923		(247		)
Asset-backed securities (1)	395,180		8,281		1,210		402,251		(3,531		)
Commercial mortgage-backed securities	482,769		17,978		1,868		498,879		—
Residential mortgage-backed securities (2)	129,165		10,902		25		140,042		(836		)
Total fixed maturities, available-for-sale	$	5,866,873	$	355,241	$	27,550	$	6,194,564	$	(4,614	)
Equity securities, available-for-sale
Common stocks:
Public utilities	$	66	$	23	$	—	$	89
Industrial, miscellaneous & other	5		173		—		178
Mutual funds	28,470		468		295		28,643
Non-redeemable preferred stocks	340		250		—		590
Total equity securities, available-for-sale	$	28,881	$	914	$	295	$	29,500


(1)	Includes credit-tranched securities collateralized by sub-prime mortgages, auto loans, credit cards, education loans, and other asset types.


(2)	Includes publicly-traded agency pass-through securities and collateralized mortgage obligations.


(3)	Represents the amount of other-than-temporary impairment losses in AOCI, which were not included in earnings. Amount excludes $10 million of net unrealized gains on impaired available-for-sale securities relating to changes in the value of such securities subsequent to the impairment measurement date.

The amortized cost and fair value of fixed maturities by contractual maturities at September 30, 2015, are as follows:



	Available-for-Sale
	Amortized Cost		Fair Value
	(in thousands)
Due in one year or less	$	300,027	$	301,636
Due after one year through five years	1,100,953		1,154,640
Due after five years through ten years	1,291,564		1,309,668
Due after ten years	2,816,856		2,866,441
Asset-backed securities	444,982		450,664
Commercial mortgage-backed securities	386,436		403,024
Residential mortgage-backed securities	119,548		128,718
Total	$	6,460,366	$	6,614,791

Actual maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations. Asset-backed, commercial mortgage-backed and residential mortgage-backed securities are shown separately in the table above, as they are not due at a single maturity date.

The following table depicts the sources of fixed maturity proceeds and related investment gains (losses), as well as losses on impairments of both fixed maturities and equity securities:



	Three Months Ended September 30,						Nine Months Ended September 30,
	2015			2014			2015			2014
	(in thousands)
Fixed maturities, available-for-sale
Proceeds from sales	$	20,079		$	8,665		$	155,013		$	127,142
Proceeds from maturities/repayments	186,612			158,912			488,780			506,694
Gross investment gains from sales, prepayments and maturities	6,226			6,815			11,289			13,641
Gross investment losses from sales and maturities	(420		)	(301		)	(1,054		)	(1,225		)
Equity securities, available-for-sale
Proceeds from sales	$	687		$	—		$	687		$	5,210
Gross investment gains from sales	345			—			345			145
Gross investment losses from sales	—			—			—			—
Fixed maturity and equity security impairments
Net writedowns for other-than-temporary impairment losses on fixed maturities recognized in earnings (1)	$	(1,080	)	$	—		$	(1,463	)	$	(127	)
Writedowns for impairments on equity securities	—			—			(2		)	—


(1)	Excludes the portion of other-than-temporary impairments recorded in “Other comprehensive income (loss),” representing any difference between the fair value of the impaired debt security and the net present value of its projected future cash flows at the time of the impairment.

As discussed in Note 2 to the Company’s Consolidated Financial Statements included in the Annual Report on Form 10-K for the year ended December 31, 2014, a portion of certain OTTI losses on fixed maturity securities is recognized in “Other comprehensive income (loss)” (“OCI”). For these securities, the net amount recognized in earnings (“credit loss impairments”) represents the difference between the amortized cost of the security and the net present value of its projected future cash flows discounted at the effective interest rate implicit in the debt security prior to impairment. Any remaining difference between the fair value and amortized cost is recognized in OCI. The following tables set forth the amount of pre-tax credit loss impairments on fixed maturity securities held by the Company as of the dates indicated, for which a portion of the OTTI loss was recognized in OCI, and the corresponding changes in such amounts.



	Three Months Ended			Nine Months Ended
	September 30, 2015			September 30, 2015
	(in thousands)
Balance, beginning of period	$	8,556		$	8,729
Credit loss impairments previously recognized on securities which matured, paid down, prepaid or were sold during the period	(1,022		)	(1,155		)
Credit loss impairment recognized in the current period on securities not previously impaired	—			—
Additional credit loss impairments recognized in the current period on securities previously impaired	44			71
Increases due to the passage of time on previously recorded credit losses	78			155
Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected	(60		)	(204		)
Balance, end of period	$	7,596		$	7,596



	Three Months Ended			Nine Months Ended
	September 30, 2014			September 30, 2014
	(in thousands)
Balance, beginning of period	$	8,547		$	14,661
Credit loss impairments previously recognized on securities which matured, paid down, prepaid or were sold during the period	(61		)	(5,979		)
Credit loss impairment recognized in the current period on securities not previously impaired	—			—
Additional credit loss impairments recognized in the current period on securities previously impaired	—			—
Increases due to the passage of time on previously recorded credit losses	78			280
Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected	(42		)	(440		)
Balance, end of period	$	8,522		$	8,522

Trading Account Assets

The following table sets forth the composition of “Trading account assets” as of the dates indicated:



	September 30, 2015				December 31, 2014
	Amortized Cost		Fair Value		Amortized Cost		Fair Value
	(in thousands)
Fixed maturities	$	50,547	$	47,567	$	43,490	$	44,121
Equity securities	14,761		18,248		3,447		5,540
Total trading account assets	$	65,308	$	65,815	$	46,937	$	49,661

The net change in unrealized gains (losses) from trading account assets still held at period end, recorded within “Other income,” was $(2.8) million and $(1.1) million for the three months ended September 30, 2015 and 2014, respectively, and $(2.2) million and $(0.4) million during the nine months ended September 30, 2015 and 2014, respectively.

Commercial Mortgage and Other Loans

The Company’s commercial mortgage and other loans are comprised as follows, as of the dates indicated:



	September 30, 2015					December 31, 2014
	Amount (in thousands)			% of Total		Amount (in thousands)			% of Total
Commercial mortgage and agricultural property loans by property type:
Retail	$	443,527		26.0	%	$	439,679		26.2	%
Apartments/Multi-Family	421,133			24.7		401,568			23.9
Industrial	275,163			16.1		286,104			17.1
Office	274,751			16.1		244,072			14.6
Other	92,842			5.4		99,083			5.9
Hospitality	86,459			5.2		92,126			5.5
Total commercial mortgage loans	1,593,875			93.5		1,562,632			93.2
Agricultural property loans	110,991			6.5		114,665			6.8
Total commercial mortgage and agricultural property loans by property type	1,704,866			100.0	%	1,677,297			100.0	%
Valuation allowance	(3,799		)			(4,154		)
Total net commercial mortgage and agricultural property loans by property type	1,701,067					1,673,143
Other Loans
Uncollateralized loans	8,410					8,410
Valuation allowance	—					—
Total other loans	8,410					8,410
Total commercial mortgage and other loans	$	1,709,477				$	1,681,553

The commercial mortgage and agricultural property loans are geographically dispersed throughout the United States with the largest concentrations in California (23%), Texas (11%), and New Jersey (9%) at September 30, 2015.

Activity in the allowance for credit losses for all commercial mortgage and other loans, as of the dates indicated, is as follows:



	September 30, 2015			December 31, 2014
	(in thousands)
Allowance for credit losses, beginning of year	$	4,154		$	8,904
Addition to (release of) allowance for losses	(355		)	(1,832		)
Charge-offs, net of recoveries	—			(2,918		)
Total ending balance (1)	$	3,799		$	4,154


(1)	Agricultural loans represent $0.1 million of the ending allowance as of both September 30, 2015 and December 31, 2014.

The following tables set forth the allowance for credit losses and the recorded investment in commercial mortgage and other loans as of the dates indicated:



	September 30, 2015		December 31, 2014
	(in thousands)
Allowance for Credit Losses:
Individually evaluated for impairment (1)	$	761	$	940
Collectively evaluated for impairment (2)	3,038		3,214
Total ending balance	$	3,799	$	4,154
Recorded Investment: (3)
Gross of reserves: individually evaluated for impairment (1)	$	22,654	$	15,875
Gross of reserves: collectively evaluated for impairment (2)	1,690,622		1,669,832
Total ending balance, gross of reserves	$	1,713,276	$	1,685,707


(1)	There were $0.3 million of agricultural loans individually evaluated for impairment as of September 30, 2015 and no agricultural loans individually evaluated for impairment as of December 31, 2014 . There were no uncollateralized loans individually evaluated for impairment as of both September 30, 2015 and December 31, 2014.

(2)

Agricultural loans collectively evaluated for impairment had a recorded investment of $111 million and $115 million at September 30, 2015 and December 31, 2014, respectively, and a related allowance of $0.1 million for both periods. Uncollateralized loans collectively evaluated for impairment had a recorded investment of $8 million as of both September 30, 2015 and December 31, 2014 and no related allowance for both periods.


(3)	Recorded investment reflects the balance sheet carrying value gross of related allowance.

Impaired loans include those loans for which it is probable that all amounts due will not be collected according to the contractual terms of the loan agreement. Impaired commercial mortgage and other loans identified in management’s specific review of probable loan losses, as of September 30, 2015, had a recorded investment and unpaid principal balance of $15.9 million and related allowance of $0.8 million primarily related to office property types. Impaired commercial mortgage and other loans identified in management’s specific review of probable loan losses, as of December 31, 2014, had a recorded investment and unpaid principal balance of $15.9 million and related allowance of $0.9 million primarily related to office property types. As of both September 30, 2015 and December 31, 2014, the Company held no impaired agricultural or uncollateralized loans. Net investment income recognized on impaired commercial mortgage loans totaled $0.6 million for the nine months ended September 30, 2015 and $0.8 million for the year ended December 31, 2014. Impaired commercial mortgage and other loans with no allowance for losses are loans in which the fair value of the collateral or the net present value of the loans’ expected future cash flows equals or exceeds the recorded investment. See Note 2 to the Company’s Consolidated Financial Statements included in the Annual Report on Form 10-K for the year ended December 31, 2014, for information regarding the Company’s accounting policies for non-performing loans.

The following tables set forth certain key credit quality indicators based upon the recorded investment gross of allowance for credit losses as of the dates indicated:

Total commercial mortgage and agricultural property loans



	Debt Service Coverage Ratio - September 30, 2015
	Greater than 1.2X		1.0X to <1.2X		Less than 1.0X		Total
	(in thousands)
Loan-to-Value Ratio
0%-59.99%	$	981,593	$	16,345	$	16,715	$	1,014,653
60%-69.99%	416,953		25,060		4,057		446,070
70%-79.99%	209,576		10,715		—		220,291
Greater than 80%	—		18,826		5,026		23,852
Total commercial mortgage and agricultural property loans	$	1,608,122	$	70,946	$	25,798	$	1,704,866



	Debt Service Coverage Ratio - December 31, 2014
	Greater than 1.2X		1.0X to <1.2X		Less than 1.0X		Total
	(in thousands)
Loan-to-Value Ratio
0%-59.99%	$	997,610	$	24,491	$	9,393	$	1,031,494
60%-69.99%	372,958		15,741		13,981		402,680
70%-79.99%	177,956		31,463		3,493		212,912
Greater than 80%	2,991		22,068		5,152		30,211
Total commercial mortgage and agricultural property loans	$	1,551,515	$	93,763	$	32,019	$	1,677,297

As of both September 30, 2015 and December 31, 2014, $1.7 billion of commercial mortgage and other loans were in current status, and no loans were classified as past due. The Company defines current in its aging of past due commercial mortgage and other loans as less than 30 days past due.

As of both September 30, 2015 and December 31, 2014, $15.9 million of commercial mortgage and other loans were in nonaccrual status based upon the recorded investment gross of allowance for credit losses. Nonaccrual loans are those on which the accrual of interest has been suspended after the loans become 90 days delinquent as to principal or interest payments, or earlier when the Company has doubts about collectability and loans for which a loan specific reserve has been established. See Note 2 to the Company’s Consolidated Financial Statements included in the Annual Report on Form 10-K for the year ended December 31, 2014 for further discussion regarding nonaccrual status loans.

For the three and nine months ended September 30, 2015 and 2014, there were no commercial mortgage and other loans acquired, other than those through direct origination, nor were there any commercial mortgage and other loans sold.

The Company’s commercial mortgage and other loans may occasionally be involved in a troubled debt restructuring. As of both September 30, 2015 and December 31, 2014, the Company had no significant commitments to fund to borrowers that have been involved in a troubled debt restructuring. During the three and nine months ended September 30, 2015 and 2014, there were no new troubled debt restructurings related to commercial mortgage and other loans, and no payment defaults on commercial mortgage and other loans that were modified as a troubled debt restructuring within the 12 months preceding each respective period. For additional information relating to the accounting for troubled debt restructurings, see Note 2 to the Company’s Consolidated Financial Statements included in the Annual Report on Form 10-K for the year ended December 31, 2014.

As of both September 30, 2015 and December 31, 2014, the Company did not have any foreclosed residential real estate property.

Net Investment Income

Net investment income for the three and nine months ended September 30, 2015 and 2014, was from the following sources:



	Three Months Ended September 30,						Nine Months Ended September 30,
	2015			2014			2015			2014
	(in thousands)
Fixed maturities, available-for-sale	$	68,428		$	65,656		$	198,912		$	197,684
Equity securities, available-for-sale	—			—			1			1
Trading account assets	774			206			2,021			603
Commercial mortgage and other loans	21,891			20,963			64,427			61,684
Policy loans	16,155			15,634			46,641			45,432
Short-term investments and cash equivalents	203			89			662			349
Other long-term investments	578			3,467			11,332			11,486
Gross investment income	108,029			106,015			323,996			317,239
Less: investment expenses	(5,814		)	(5,061		)	(16,875		)	(14,588		)
Net investment income	$	102,215		$	100,954		$	307,121		$	302,651

The Company had $0.6 million and $0.8 million of investments in low-income housing tax credit limited partnerships and has committed to fund less than $0.1 million as of both September 30, 2015 and December 31, 2014.

Generally, the Company uses the equity method of accounting for these investments. The Company recognized less than $0.1 million of equity method gains and utilized $0.1 million of tax credits associated with these investments for the three months ended September 30, 2015 and 2014, respectively. The Company recognized $0.1 million of equity method gains and utilized $0.2 million of tax credits associated with these investments for the nine months ended September 30, 2015 and 2014. There were no impairment losses from forfeiture or ineligibility of tax credits.

Realized Investment Gains (Losses), Net

Realized investment gains (losses), net, for the three and nine months ended September 30, 2015 and 2014, were from the following sources:



	Three Months Ended September 30,						Nine Months Ended September 30,
	2015			2014			2015			2014
	(in thousands)
Fixed maturities	$	4,726		$	10,313		$	8,772		$	16,088
Equity securities	345			—			343			145
Commercial mortgage and other loans	76			5,217			355			4,913
Joint ventures and limited partnerships	23			—			188			—
Derivatives	(8,156		)	(53,489		)	(124,318		)	58,076
Other	2			1			45			19
Realized investment gains (losses), net	$	(2,984	)	$	(37,958	)	$	(114,615	)	$	79,241

Accumulated Other Comprehensive Income (Loss)

The balance of and changes in each component of “Accumulated other comprehensive income (loss)” for the nine months ended September 30, 2015 and 2014, are as follows:



	Accumulated Other Comprehensive Income (Loss)
	Foreign Currency Translation Adjustment			Net Unrealized Investment Gains (Losses) (1)			Total Accumulated Other Comprehensive Income (Loss)
	(in thousands)
Balance, December 31, 2014	$	(67	)	$	178,758		$	178,691
Change in other comprehensive income (loss) before reclassifications	(391		)	(97,212		)	(97,603		)
Amounts reclassified from AOCI	—			(9,115		)	(9,115		)
Income tax benefit (expense)	137			37,214			37,351
Balance, September 30, 2015	$	(321	)	$	109,645		$	109,324



	Accumulated Other Comprehensive Income (Loss)
	Foreign Currency Translation Adjustment			Net Unrealized Investment Gains (Losses) (1)			Total Accumulated Other Comprehensive Income (Loss)
	(in thousands)
Balance, December 31, 2013	$	403		$	56,243		$	56,646
Change in other comprehensive income (loss) before reclassifications	(482		)	134,399			133,917
Amounts reclassified from AOCI	—			(16,233		)	(16,233		)
Income tax benefit (expense)	169			(41,358		)	(41,189		)
Balance, September 30, 2014	$	90		$	133,051		$	133,141


(1)	Includes cash flow hedges of $40 million and $12 million as of September 30, 2015 and December 31, 2014, respectively, and $(6) million and $(5) million as of September 30, 2014 and December 31, 2013, respectively.

Reclassifications out of Accumulated Other Comprehensive Income (Loss)



	Three Months Ended September 30, 2015		Nine Months Ended September 30, 2015
	(in thousands)
Amounts reclassified from AOCI (1)(2):
Net unrealized investment gains (losses):
Cash flow hedges - Currency/Interest rate (3)	$	2,981	$	4,259
Net unrealized investment gains (losses) on available-for-sale securities (4)	2,090		4,856
Total net unrealized investment gains (losses)	5,071		9,115
Total reclassifications for the period	$	5,071	$	9,115


(1)	All amounts are shown before tax.


(2)	Positive amounts indicate gains/benefits reclassified out of AOCI. Negative amounts indicate losses/costs reclassified out of AOCI.


(3)	See Note 5 for additional information on cash flow hedges.


(4)	See table below for additional information on unrealized investment gains (losses), including the impact on deferred policy acquisition and other costs, future policy benefits and policyholders’ account balances.

Net Unrealized Investment Gains (Losses)

Net unrealized investment gains and losses on securities classified as available-for-sale and certain other long-term investments and other assets are included in the Company’s Unaudited Interim Consolidated Statements of Financial Position as a component of AOCI. Changes in these amounts include reclassification adjustments to exclude from “Other comprehensive income (loss)” those items that are included as part of “Net income” for a period that had been part of “Other comprehensive income (loss)” in earlier periods. The amounts for the periods indicated below, split between amounts related to fixed maturity securities on which an OTTI loss has been recognized, and all other net unrealized investment gains and losses, are as follows:

Net Unrealized Investment Gains and Losses on Fixed Maturity Securities on which an OTTI loss has been recognized



	Net Unrealized Gains (Losses) on Investments			Deferred Policy Acquisition Costs and Other Costs			Future Policy Benefits and Policyholders’ Account Balances (2)			Deferred Income Tax (Liability) Benefit			Accumulated Other Comprehensive Income (Loss) Related To Net Unrealized Investment Gains (Losses)
	(in thousands)
Balance, December 31, 2014	$	5,333		$	(2,538	)	$	1,228		$	(1,440	)	$	2,583
Net investment gains (losses) on investments arising during the period	121			—			—			(42		)	79
Reclassification adjustment for (gains) losses included in net income	(224		)	—			—			78			(146		)
Reclassification adjustment for OTTI losses excluded from net income (1)	7			—			—			(2		)	5
Impact of net unrealized investment (gains) losses on deferred policy acquisition costs and other costs	—			1,192			—			(417		)	775
Impact of net unrealized investment (gains) losses on future policy benefits and policyholders’ account balances	—			—			(109		)	38			(71		)
Balance, September 30, 2015	$	5,237		$	(1,346	)	$	1,119		$	(1,785	)	$	3,225


(1)	Represents "transfers in" related to the portion of OTTI losses recognized during the period that were not recognized in earnings for securities with no prior OTTI loss.


(2)	Balances are net of reinsurance.

All Other Net Unrealized Investment Gains and Losses in AOCI



	Net Unrealized Gains (Losses) on Investments (2)			Deferred Policy Acquisition Costs and Other Costs			Future Policy Benefits and Policyholders’ Account Balances (3)			Deferred Income Tax (Liability) Benefit			Accumulated Other Comprehensive Income (Loss) Related To Net Unrealized Investment Gains (Losses)
	(in thousands)
Balance, December 31, 2014	$	344,577		$	(112,829	)	$	39,122		$	(94,695	)	$	176,175
Net investment gains (losses) on investments arising during the period	(141,204		)	—			—			49,421			(91,783		)
Reclassification adjustment for (gains) losses included in net income	(8,890		)	—			—			3,112			(5,779		)
Reclassification adjustment for OTTI losses excluded from net income (1)	(7		)	—			—			2			(5		)
Impact of net unrealized investment (gains) losses on deferred policy acquisition costs and other costs	—			68,943			—			(24,130		)	44,813
Impact of net unrealized investment (gains) losses on future policy benefits and policyholders’ account balances	—			—			(26,156		)	9,155			(17,001		)
Balance, September 30, 2015	$	194,476		$	(43,886	)	$	12,966		$	(57,135	)	$	106,420


(1)	Represents "transfers out" related to the portion of OTTI losses recognized during the period that were not recognized in earnings for securities with no prior OTTI loss.


(2)	Includes cash flow hedges. See Note 5 for information on cash flow hedges.


(3)	Balances are net of reinsurance.

Net Unrealized Gains (Losses) on Investments by Asset Class

The table below presents net unrealized gains (losses) on investments by asset class as of the dates indicated:



	September 30, 2015			December 31, 2014
	(in thousands)
Fixed maturity securities on which an OTTI loss has been recognized	$	5,237		$	5,333
Fixed maturity securities, available-for-sale - all other	149,188			322,358
Equity securities, available-for-sale	(3,554		)	619
Derivatives designated as cash flow hedges (1)	40,260			11,585
Other investments	8,581			10,015
Net unrealized gains (losses) on investments	$	199,712		$	349,910


(1)	See Note 5 for more information on cash flow hedges.

Duration of Gross Unrealized Loss Positions for Fixed Maturities and Equity Securities

The following table shows the fair value and gross unrealized losses aggregated by investment category and length of time that individual fixed maturity securities and equity securities have been in a continuous unrealized loss position, as of the dates indicated:



	September 30, 2015
	Less than twelve months				Twelve months or more				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
	(in thousands)
Fixed maturities, available-for-sale
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	4,020	$	203	$	—	$	—	$	4,020	$	203
Obligations of U.S. states and their political subdivisions	169,219		3,537		—		—		169,219		3,537
Foreign government bonds	31,954		2,775		—		—		31,954		2,775
Public utilities	218,305		8,681		22,509		3,858		240,814		12,539
All other corporate securities	1,219,946		65,658		127,647		20,070		1,347,593		85,728
Asset-backed securities	183,766		713		91,226		538		274,992		1,251
Commercial mortgage-backed securities	66,998		309		4,398		92		71,396		401
Residential mortgage-backed securities	—		—		1,633		9		1,633		9
Total	$	1,894,208	$	81,876	$	247,413	$	24,567	$	2,141,621	$	106,443
Equity securities, available-for-sale	$	42,753	$	3,611	$	4,606	$	395	$	47,359	$	4,006



	December 31, 2014
	Less than twelve months				Twelve months or more				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
	(in thousands)
Fixed maturities, available-for-sale
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	994	$	1	$	—	$	—	$	994	$	1
Obligations of U.S. states and their political subdivisions	9,852		125		2,886		62		12,738		187
Foreign government bonds	2,246		14		—		—		2,246		14
Public utilities	30,974		1,618		45,756		1,670		76,730		3,288
All other corporate securities	356,348		13,194		260,985		7,763		617,333		20,957
Asset-backed securities	209,774		737		54,711		473		264,485		1,210
Commercial mortgage-backed securities	15,824		155		87,606		1,713		103,430		1,868
Residential mortgage-backed securities	776		11		3,878		14		4,654		25
Total	$	626,788	$	15,855	$	455,822	$	11,695	$	1,082,610	$	27,550
Equity securities, available-for-sale	$	14,706	$	295	$	—	$	—	$	14,706	$	295

The gross unrealized losses on fixed maturity securities at September 30, 2015 and December 31, 2014, were composed of $89.9 million and $21.3 million related to high or highest quality securities based on the National Association of Insurance Commissioners (“NAIC”) or equivalent rating and $16.5 million and $6.3 million related to other than high or highest quality securities based on NAIC or equivalent rating, respectively. At September 30, 2015, the $24.6 million of gross unrealized losses of twelve months or more were concentrated in the energy, utility, finance and consumer non-cyclical sectors of the Company's corporate securities. At December 31, 2014, the $12 million of gross unrealized losses of twelve months or more were concentrated in the energy, consumer non-cyclical, consumer cyclical and utility sectors of the Company's corporate securities and commercial mortgage-backed securities. In accordance with its policy described in Note 2 to the Company’s Consolidated Financial Statements included in the Annual Report on Form 10-K for the year ended December 31, 2014, the Company concluded that an adjustment to earnings for other-than-temporary impairments for these securities was not warranted as of September 30, 2015 or December 31, 2014. These conclusions are based on a detailed analysis of the underlying credit and cash flows on each security. The gross unrealized losses are primarily attributable to general credit spread widening and foreign currency exchange rate movements. As of September 30, 2015, the Company does not intend to sell these securities and it is not more likely than not that the Company will be required to sell these securities before the anticipated recovery of its remaining amortized cost basis.

As of September 30, 2015, less than $0.1 million of the gross unrealized losses related to equity securities represented declines in value of greater than 20%, all of which had been in that position for less than six months. As of December 31, 2014, none of the gross unrealized losses related to equity securities represented declines in value of greater than 20%. In accordance with our policy described in Note 2 to the Company’s Consolidated Financial Statements included in the Annual Report on Form 10-K for the year ended December 31, 2014, the Company concluded that an adjustment for other-than-temporary impairments for these equity securities was not warranted as of September 30, 2015 or December 31, 2014.

Securities Lending and Repurchase Agreements

In the normal course of business, the Company sells securities under agreements to repurchase and enters into securities lending transactions. As of September 30, 2015, the Company had $69 million of securities lending transactions recorded as "Cash collateral loaned for securities," comprised of $57 million in corporate securities, $7 million in foreign government bonds and $5 million in U.S treasuries and government obligations. Of the $69 million of securities lending transactions, $68 million have a remaining contractual maturity that is overnight and continuous, while the other $1 million have a remaining contractual maturity of up to thirty days. As of September 30, 2015, the Company had no repurchase transactions.