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:



	March 31, 2016
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		OTTI in AOCI(3)
	(in thousands)
Fixed maturities, available-for-sale
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	165,404	$	11,764	$	1	$	177,167	$	0
Obligations of U.S. states and their political subdivisions	631,330		39,057		184		670,203		0
Foreign government bonds	95,589		4,019		640		98,968		0
Public utilities	839,673		57,342		4,932		892,083		0
Redeemable preferred stock	17,345		2,079		156		19,268		0
All other U.S. public corporate securities	2,280,085		139,206		24,873		2,394,418		(191		)
All other U.S. private corporate securities	1,121,831		38,499		8,461		1,151,869		(224		)
All other foreign public corporate securities	268,944		12,143		3,353		277,734		0
All other foreign private corporate securities	784,955		18,316		23,873		779,398		0
Asset-backed securities(1)	350,399		5,866		2,679		353,586		(2,903		)
Commercial mortgage-backed securities	455,185		23,655		62		478,778		0
Residential mortgage-backed securities(2)	110,104		8,818		37		118,885		(657		)
Total fixed maturities, available-for-sale	$	7,120,844	$	360,764	$	69,251	$	7,412,357	$	(3,975	)
Equity securities, available-for-sale
Common stocks:
Public utilities	$	66	$	2	$	25	$	43
Industrial, miscellaneous & other	0		150		0		150
Mutual funds	59,533		688		2,836		57,385
Non-redeemable preferred stocks	0		0		0		0
Total equity securities, available-for-sale	$	59,599	$	840	$	2,861	$	57,578


(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 OTTI 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, 2015
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		OTTI in AOCI(3)
	(in thousands)
Fixed maturities, available-for-sale
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	87,107	$	7,170	$	228	$	94,049	$	0
Obligations of U.S. states and their political subdivisions	602,508		24,219		1,958		624,769		0
Foreign government bonds	70,107		3,094		2,791		70,410		0
Public utilities	790,038		30,862		18,402		802,498		0
Redeemable preferred stock	5,316		1,530		145		6,701		0
All other U.S. public corporate securities	2,138,358		81,905		61,142		2,159,121		(217		)
All other U.S. private corporate securities	1,085,345		26,299		13,963		1,097,681		0
All other foreign public corporate securities	270,063		8,230		6,508		271,785		0
All other foreign private corporate securities	784,283		9,933		42,528		751,688		0
Asset-backed securities(1)	431,578		6,203		2,650		435,131		(3,056		)
Commercial mortgage-backed securities	396,160		10,614		2,429		404,345		0
Residential mortgage-backed securities(2)	114,943		7,876		65		122,754		(690		)
Total fixed maturities, available-for-sale	$	6,775,806	$	217,935	$	152,809	$	6,840,932	$	(3,963	)
Equity securities, available-for-sale
Common stocks:
Public utilities	$	66	$	2	$	29	$	39
Industrial, miscellaneous & other	0		165		0		165
Mutual funds	54,543		256		3,030		51,769
Non-redeemable preferred stocks	0		0		0		0
Total equity securities, available-for-sale	$	54,609	$	423	$	3,059	$	51,973


(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 OTTI losses in 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.

The amortized cost and fair value of fixed maturities by contractual maturities at March 31, 2016, are as follows:



	Available-for-Sale
	Amortized Cost		Fair Value
	(in thousands)
Due in one year or less	$	477,002	$	481,347
Due after one year through five years	1,199,786		1,248,874
Due after five years through ten years	1,432,613		1,475,328
Due after ten years	3,095,755		3,255,559
Asset-backed securities	350,399		353,586
Commercial mortgage-backed securities	455,185		478,778
Residential mortgage-backed securities	110,104		118,885
Total	$	7,120,844	$	7,412,357

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 and equity security proceeds and related investment gains (losses), as well as losses on impairments of both fixed maturities and equity securities:



	Three Months Ended March 31,
	2016			2015
	(in thousands)
Fixed maturities, available-for-sale
Proceeds from sales	$	279,272		$	88,320
Proceeds from maturities/repayments	169,867			151,823
Gross investment gains from sales, prepayments and maturities	2,794			2,517
Gross investment losses from sales and maturities	(1,568		)	(391		)
Equity securities, available-for-sale
Proceeds from sales	$	10		$	0
Gross investment gains from sales	0			0
Gross investment losses from sales	0			0
Fixed maturity and equity security impairments
Net writedowns for OTTI losses on fixed maturities recognized in earnings(1)	$	(16,150	)	$	(12	)
Writedowns for impairments on equity securities	0			0


(1)	Excludes the portion of OTTI 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 Consolidated Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2015, 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 table sets 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 March 31,
	2016			2015
	(in thousands)
Balance, beginning of period	$	7,041		$	8,729
Credit loss impairments previously recognized on securities which matured, paid down, prepaid or were sold during the period	(907		)	(64		)
Credit loss impairments previously recognized on securities impaired to fair value during the period(1)	(670		)	0
Credit loss impairments recognized in the current period on securities not previously impaired	420			0
Additional credit loss impairments recognized in the current period on securities previously impaired	0			12
Increases due to the passage of time on previously recorded credit losses	53			37
Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected	(79		)	(86		)
Balance, end of period	$	5,858		$	8,628


(1)	Represents circumstances where the Company determined in the current period that it intends to sell the security or it is more likely than not that it will be required to sell the security before recovery of the security's amortized cost.

Trading Account Assets

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



	March 31, 2016				December 31, 2015
	Amortized Cost		Fair Value		Amortized Cost		Fair Value
	(in thousands)
Fixed maturities	$	50,585	$	45,663	$	50,565	$	46,364
Equity securities	15,831		22,199		14,761		18,248
Total trading account assets	$	66,416	$	67,862	$	65,326	$	64,612

The net change in unrealized gains (losses) from trading account assets still held at period end, recorded within “Other income,” was $2.2 million and $(0.6) million for the three months ended March 31, 2016 and 2015, respectively.

Commercial Mortgage and Other Loans

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



	March 31, 2016					December 31, 2015
	Amount (in thousands)			% of Total		Amount (in thousands)			% of Total
Commercial mortgage and agricultural property loans by property type:
Retail	$	387,326		23.7	%	$	440,767		26.7	%
Apartments/Multi-Family	467,242			28.6		445,379			27.0
Industrial	252,402			15.4		254,884			15.4
Office	252,435			15.4		226,332			13.6
Other	102,552			6.3		92,581			5.6
Hospitality	70,179			4.3		85,910			5.2
Total commercial mortgage loans	1,532,136			93.7		1,545,853			93.5
Agricultural property loans	103,486			6.3		106,623			6.5
Total commercial mortgage and agricultural property loans by property type	1,635,622			100.0	%	1,652,476			100.0	%
Valuation allowance	(2,090		)			(2,651		)
Total net commercial mortgage and agricultural property loans by property type	1,633,532					1,649,825
Other Loans
Uncollateralized loans	8,410					8,410
Valuation allowance	0					0
Total other loans	8,410					8,410
Total commercial mortgage and other loans	$	1,641,942				$	1,658,235

The commercial mortgage and agricultural property loans are geographically dispersed throughout the United States (with the largest concentrations in California (24%), Texas (12%) and New Jersey (9%)) and include loans secured by properties in Australia and Europe at March 31, 2016.

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



	March 31, 2016
	Commercial Mortgage Loans			Agricultural Property Loans			Uncollateralized Loans		Total
	(in thousands)
Allowance for credit losses, beginning of year	$	2,587		$	64		$	0	$	2,651
Addition to (release of) allowance for losses	(556		)	(5		)	0		(561		)
Charge-offs, net of recoveries	0			0			0		0
Total ending balance	$	2,031		$	59		$	0	$	2,090



	December 31, 2015
	Commercial Mortgage Loans			Agricultural Property Loans			Uncollateralized Loans		Total
	(in thousands)
Allowance for credit losses, beginning of year	$	4,071		$	83		$	0	$	4,154
Addition to (release of) allowance for losses	(1,484		)	(19		)	0		(1,503		)
Charge-offs, net of recoveries	0			0			0		0
Total ending balance	$	2,587		$	64		$	0	$	2,651

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:



	March 31, 2016
	Commercial Mortgage Loans		Agricultural Property Loans		Uncollateralized Loans		Total
	(in thousands)
Allowance for Credit Losses:
Individually evaluated for impairment	$	0	$	0	$	0	$	0
Collectively evaluated for impairment	2,031		59		0		2,090
Loans acquired with deteriorated credit quality	0		0		0		0
Total ending balance	$	2,031	$	59	$	0	$	2,090



Recorded Investment(1):
Gross of reserves: individually evaluated for impairment	$	0	$	287	$	0	$	287
Gross of reserves: collectively evaluated for impairment	1,532,136		103,199		8,410		1,643,745
Gross of reserves: loans acquired with deteriorated credit quality	0		0		0		0
Total ending balance, gross of reserves	$	1,532,136	$	103,486	$	8,410	$	1,644,032


(1)	Recorded investment reflects the carrying value gross of related allowance.



	December 31, 2015
	Commercial Mortgage Loans		Agricultural Property Loans		Uncollateralized Loans		Total
	(in thousands)
Allowance for Credit Losses:
Individually evaluated for impairment	$	0	$	0	$	0	$	0
Collectively evaluated for impairment	2,587		64		0		2,651
Loans acquired with deteriorated credit quality	0		0		0		0
Total ending balance	$	2,587	$	64	$	0	$	2,651



Recorded Investment(1):
Gross of reserves: individually evaluated for impairment	$	0	$	287	$	0	$	287
Gross of reserves: collectively evaluated for impairment	1,545,853		106,336		8,410		1,660,599
Gross of reserves: loans acquired with deteriorated credit quality	0		0		0		0
Total ending balance, gross of reserves	$	1,545,853	$	106,623	$	8,410	$	1,660,886


(1)	Recorded investment reflects the 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 and the related allowance for losses, as of the dates indicated, are as follows:



	March 31, 2016
	Recorded Investment(1)		Unpaid Principal Balance		Related Allowance		Average Recorded Investment Before Allowance(2)		Interest Income Recognized(3)
	(in thousands)
With no related allowance recorded	$	0	$	0	$	0	$	0	$	0
With an allowance recorded	0		0		0		0		0
Total	$	0	$	0	$	0	$	0	$	0


(1)	Recorded investment reflects the carrying value gross of related allowance.


(2)	Average recorded investment represents the average of the beginning-of-period and end-of-period balances.


(3)	The interest income recognized is for the year-to-date income regardless of when the impairments occurred.



	December 31, 2015
	Recorded Investment(1)		Unpaid Principal Balance		Related Allowance		Average Recorded Investment Before Allowance(2)		Interest Income Recognized(3)
	(in thousands)
With no related allowance recorded	$	0	$	0	$	0	$	0	$	0
With an allowance recorded	0		0		0		12,700		769
Total	$	0	$	0	$	0	$	12,700	$	769


(1)	Recorded investment reflects the carrying value gross of related allowance.


(2)	Average recorded investment represents the average of the beginning-of-period and all subsequent quarterly end-of-period balances.


(3)	The interest income recognized is for the year-to-date income regardless of when the impairments occurred.

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:



	Debt Service Coverage Ratio - March 31, 2016
	Greater than 1.2X		1.0X to <1.2X		Less than 1.0X		Total
	(in thousands)
Loan-to-Value Ratio
0%-59.99%	$	978,771	$	22,821	$	287	$	1,001,879
60%-69.99%	396,369		16,769		0		413,138
70%-79.99%	204,064		13,617		0		217,681
Greater than 80%	0		2,924		0		2,924
Total commercial mortgage and agricultural property loans	$	1,579,204	$	56,131	$	287	$	1,635,622



	Debt Service Coverage Ratio - December 31, 2015
	Greater than 1.2X		1.0X to <1.2X		Less than 1.0X		Total
	(in thousands)
Loan-to-Value Ratio
0%-59.99%	$	1,004,751	$	35,579	$	6,762	$	1,047,092
60%-69.99%	378,799		4,969		4,016		387,784
70%-79.99%	197,208		12,471		0		209,679
Greater than 80%	0		2,938		4,983		7,921
Total commercial mortgage and agricultural property loans	$	1,580,758	$	55,957	$	15,761	$	1,652,476

The following tables provide an aging of past due commercial mortgage and other loans as of the dates indicated, based upon the recorded investment gross of allowance for credit losses, as well as the amount of commercial mortgage loans on non-accrual status as of the dates indicated.



	March 31, 2016
	Current		30-59 Days Past Due		60-89 Days Past Due		Greater than 90 Days		Total Commercial Mortgage and Other Loans		Non-Accrual Status
	(in thousands)
Commercial mortgage loans	$	1,532,136	$	0	$	0	$	0	1,532,136		$	0
Agricultural property loans	103,199		0		0		287		103,486		287
Uncollateralized loans	8,410		0		0		0		8,410		0
Total	$	1,643,745	$	0	$	0	$	287	$	1,644,032	$	287



	December 31, 2015
	Current		30-59 Days Past Due		60-89 Days Past Due		Greater than 90 Days		Total Commercial Mortgage and Other Loans		Non-Accrual Status
	(in thousands)
Commercial mortgage loans	$	1,545,853	$	0	$	0	$	0	1,545,853		$	0
Agricultural property loans	106,336		287		0		0		106,623		0
Uncollateralized loans	8,410		0		0		0		8,410		0
Total	$	1,660,599	$	287	$	0	$	0	$	1,660,886	$	0

See Note 2 to the Consolidated Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2015 for further discussion regarding non-accrual status loans.

For the three months ended March 31, 2016 and 2015, 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 March 31, 2016 and December 31, 2015, the Company had no significant commitments to borrowers that have been involved in a troubled debt restructuring. For the three months ended March 31, 2016 and 2015, 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 twelve months preceding. For additional information relating to the accounting for troubled debt restructurings, see Note 2 to the Consolidated Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2015.

As of both March 31, 2016 and December 31, 2015, the Company did not have any foreclosed residential real estate property.

Net Investment Income

Net investment income for the three months ended March 31, 2016 and 2015, was from the following sources:



	Three Months Ended March 31,
	2016			2015
	(in thousands)
Fixed maturities, available-for-sale	$	75,710		$	63,938
Equity securities, available-for-sale	0			1
Trading account assets	759			512
Commercial mortgage and other loans	19,773			20,897
Policy loans	15,498			15,115
Short-term investments and cash equivalents	737			275
Other long-term investments	(880		)	8,070
Gross investment income	111,597			108,808
Less: investment expenses	(6,145		)	(5,388		)
Net investment income	$	105,452		$	103,420

Realized Investment Gains (Losses), Net

Realized investment gains (losses), net, for the three months ended March 31, 2016 and 2015, were from the following sources:



	Three Months Ended March 31,
	2016			2015
	(in thousands)
Fixed maturities	$	(14,924	)	$	2,114
Equity securities	0			0
Commercial mortgage and other loans	562			151
Joint ventures and limited partnerships	(148		)	38
Derivatives	69,647			56,720
Other	14			2
Realized investment gains (losses), net	$	55,151		$	59,025

Accumulated Other Comprehensive Income (Loss)

The balance of and changes in each component of “Accumulated other comprehensive income (loss)” for the three months ended March 31, 2016 and 2015, 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, 2015	$	(397	)	$	65,202		$	64,805
Change in OCI before reclassifications	219			162,282			162,501
Amounts reclassified from AOCI	0			14,924			14,924
Income tax benefit (expense)	(76		)	(62,022		)	(62,098		)
Balance, March 31, 2016	$	(254	)	$	180,386		$	180,132



	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 OCI before reclassifications	(520		)	81,731			81,211
Amounts reclassified from AOCI	0			(2,114		)	(2,114		)
Income tax benefit (expense)	182			(27,866		)	(27,684		)
Balance, March 31, 2015	$	(405	)	$	230,509		$	230,104


(1)	Includes cash flow hedges of $31 million and $48 million as of March 31, 2016 and December 31, 2015, respectively, and $36 million and $12 million as of March 31, 2015 and December 31, 2014, respectively.

Reclassifications out of Accumulated Other Comprehensive Income (Loss)



	Three Months Ended March 31, 2016			Three Months Ended March 31, 2015
	(in thousands)
Amounts reclassified from AOCI (1)(2):
Net unrealized investment gains (losses):
Cash flow hedges - Currency/Interest rate(3)	$	(827	)	$	1,801
Net unrealized investment gains (losses) on available-for-sale securities(4)	(14,097		)	313
Total net unrealized investment gains (losses)	(14,924		)	2,114
Total reclassifications for the period	$	(14,924	)	$	2,114


(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 costs 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 OCI those items that are included as part of “Net income” for a period that had been part of OCI 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			DAC 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, 2015	$	5,196		$	(1,350	)	$	1,114		$	(1,767	)	$	3,193
Net investment gains (losses) on investments arising during the period	96			0			0			(34		)	62
Reclassification adjustment for (gains) losses included in net income	(111		)	0			0			39			(72		)
Reclassification adjustment for OTTI losses excluded from net income(1)	(485		)	0			0			170			(315		)
Impact of net unrealized investment (gains) losses on DAC and other costs	0			118			0			(41		)	77
Impact of net unrealized investment (gains) losses on future policy benefits and policyholders’ account balances	0			0			(147		)	51			(96		)
Balance, March 31, 2016	$	4,696		$	(1,232	)	$	967		$	(1,582	)	$	2,849


(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)		DAC 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, 2015	$	111,837	$	(19,252	)	$	2,647	$	(33,223	)	$	62,009
Net investment gains (losses) on investments arising during the period	196,014		0			0		(68,604		)	127,410
Reclassification adjustment for (gains) losses included in net income	15,035		0			0		(5,262		)	9,773
Reclassification adjustment for OTTI losses excluded from net income(1)	485		0			0		(170		)	315
Impact of net unrealized investment (gains) losses on DAC and other costs	0		(59,669		)	0		20,884			(38,785		)
Impact of net unrealized investment (gains) losses on future policy benefits and policyholders’ account balances	0		0			25,870		(9,055		)	16,815
Balance, March 31, 2016	$	323,371	$	(78,921	)	$	28,517	$	(95,430	)	$	177,537


(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:



	March 31, 2016			December 31, 2015
	(in thousands)
Fixed maturity securities on which an OTTI loss has been recognized	$	4,696		$	5,196
Fixed maturity securities, available-for-sale - all other	286,817			59,930
Equity securities, available-for-sale	(2,021		)	(2,636		)
Derivatives designated as cash flow hedges(1)	31,172			48,271
Other investments	7,403			6,272
Net unrealized gains (losses) on investments	$	328,067		$	117,033


(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:



	March 31, 2016
	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	$	24,999	$	1	$	0	$	0	$	24,999	$	1
Obligations of U.S. states and their political subdivisions	2,912		10		12,747		174		15,659		184
Foreign government bonds	8,708		85		4,708		555		13,416		640
Public utilities	61,981		1,272		51,984		3,660		113,965		4,932
Redeemable preferred stock	0		156		0		0		0		156
All other U.S. public corporate securities	241,672		11,310		158,461		13,563		400,133		24,873
All other U.S. private corporate securities	162,658		7,223		16,168		1,238		178,826		8,461
All other foreign public corporate securities	29,403		2,424		6,827		929		36,230		3,353
All other foreign private corporate securities	112,218		4,206		179,934		19,667		292,152		23,873
Asset-backed securities	118,032		1,962		43,545		717		161,577		2,679
Commercial mortgage-backed securities	522		0		3,828		62		4,350		62
Residential mortgage-backed securities	888		27		1,406		10		2,294		37
Total	$	763,993	$	28,676	$	479,608	$	40,575	$	1,243,601	$	69,251
Equity securities, available-for-sale	$	32,679	$	2,471	$	4,611	$	390	$	37,290	$	2,861



	December 31, 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	$	5,985	$	228	$	0	$	0	$	5,985	$	228
Obligations of U.S. states and their political subdivisions	77,756		1,958		0		0		77,756		1,958
Foreign government bonds	44,854		1,940		1,813		851		46,667		2,791
Public utilities	323,086		13,151		26,094		5,251		349,180		18,402
All other U.S. public corporate securities	802,158		49,343		61,110		11,799		863,268		61,142
All other U.S. private corporate securities	323,218		12,476		17,103		1,487		340,321		13,963
All other foreign public corporate securities	121,662		5,098		6,079		1,410		127,741		6,508
All other foreign private corporate securities	284,191		14,234		154,791		28,439		438,982		42,673
Asset-backed securities	249,084		1,565		93,675		1,085		342,759		2,650
Commercial mortgage-backed securities	129,765		2,350		4,221		79		133,986		2,429
Residential mortgage-backed securities	18,435		59		1,519		6		19,954		65
Total	$	2,380,194	$	102,402	$	366,405	$	50,407	$	2,746,599	$	152,809
Equity securities, available-for-sale	$	35,869	$	2,339	$	9,281	$	720	$	45,150	$	3,059

The gross unrealized losses on fixed maturity securities as of March 31, 2016 and December 31, 2015, were composed of $53.3 million and $133.6 million, respectively, related to high or highest quality securities based on the National Association of Insurance Commissioners (“NAIC”) or equivalent rating and $15.9 million and $19.2 million, respectively, related to other than high or highest quality securities based on NAIC or equivalent rating. As of March 31, 2016, the $40.6 million of gross unrealized losses of twelve months or more were concentrated in the energy, consumer non-cyclical, utility and basic industry sectors of the Company's corporate securities. As of December 31, 2015, the $50.4 million of gross unrealized losses of twelve months or more were concentrated in the energy, consumer non-cyclical, utility and finance sectors of the Company's corporate securities. In accordance with its policy described in Note 2 to the Consolidated Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2015, the Company concluded that an adjustment to earnings for OTTI for these securities was not warranted at March 31, 2016 or December 31, 2015. 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 a decrease in interest rates, general credit spread tightening and foreign currency exchange rate movements. As of March 31, 2016, 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 the remaining amortized cost basis.

As of both March 31, 2016 and December 31, 2015, none of the gross unrealized losses related to equity securities represented declines in value of greater than 20%. In accordance with its policy described in Note 2 to the Consolidated Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2015, the Company concluded that an adjustment for OTTI for these equity securities was not warranted at March 31, 2016 or December 31, 2015.

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 March 31, 2016, the Company had $5 million of securities lending transactions recorded as "Cash collateral for loaned securities," comprised of $2 million in corporate securities, and $3 million in foreign government bonds. All of the $5 million of securities lending transactions have a remaining contractual maturity that is overnight and continuous. As of December 31, 2015, the Company had $40 million of securities lending transactions recorded as "Cash collateral for loaned securities," comprised of $33 million in corporate securities and $7 million in foreign government bonds. Of the $40 million of securities lending transactions, $38 million had a remaining contractual maturity that was overnight and continuous, while the other $2 million had a remaining contractual maturity of up to thirty days. As of both March 31, 2016 and December 31, 2015, the Company had no repurchase transactions.