Investments

The amortized cost, gross unrealized gains and losses and fair value of the investment portfolio at June 30, 2016 and December 31, 2015 are shown below.



June 30, 2016
(In thousands)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses ⁽¹⁾			Fair Value
U.S. Treasury securities and obligations of U.S. government corporations and agencies	$	59,860	$	2,276	$	(806	)	$	61,330
Obligations of U.S. states and political subdivisions	1,968,194		109,789		(531		)	2,077,452
Corporate debt securities	1,704,917		31,769		(6,721		)	1,729,965
Asset-backed securities	104,221		236		(50		)	104,407
Residential mortgage-backed securities	241,314		600		(3,574		)	238,340
Commercial mortgage-backed securities	281,502		3,547		(891		)	284,158
Collateralized loan obligations	61,355		44		(849		)	60,550
Total debt securities	4,421,363		148,261		(13,422		)	4,556,202
Equity securities	6,228		3,651		(3		)	9,876
Total investment portfolio	$	4,427,591	$	151,912	$	(13,425	)	$	4,566,078



December 31, 2015
(In thousands)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses ⁽¹⁾			Fair Value
U.S. Treasury securities and obligations of U.S. government corporations and agencies	$	160,393	$	2,133	$	(1,942	)	$	160,584
Obligations of U.S. states and political subdivisions	1,766,407		33,410		(7,290		)	1,792,527
Corporate debt securities	2,046,697		2,836		(44,770		)	2,004,763
Asset-backed securities	116,764		56		(203		)	116,617
Residential mortgage-backed securities	265,879		161		(8,392		)	257,648
Commercial mortgage-backed securities	237,304		162		(3,975		)	233,491
Collateralized loan obligations	61,345		3		(1,148		)	60,200
Debt securities issued by foreign sovereign governments	29,359		2,474		(102		)	31,731
Total debt securities	4,684,148		41,235		(67,822		)	4,657,561
Equity securities	5,625		38		(18		)	5,645
Total investment portfolio	$	4,689,773	$	41,273	$	(67,840	)	$	4,663,206


⁽¹⁾	At June 30, 2016 and December 31, 2015, there were no other-than-temporary impairment losses recorded in other comprehensive income.

During the first quarter of 2016, we substantially liquidated our Australian entities and repatriated most assets, including proceeds from the monetization of our Australian investment portfolio. As of June 30, 2016 we held no investments in foreign sovereign governments.

As discussed in Note 3 - “Debt” we are required to maintain collateral of at least 102% of the outstanding principal balance of the Advance. As of June 30, 2016 we pledged eligible collateral with a total fair value of $166.6 million.

The amortized cost and fair values of debt securities at June 30, 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 asset-backed and mortgage-backed securities and collateralized loan obligations provide for periodic payments throughout their lives, they are listed below in separate categories.



June 30, 2016
(In thousands)	Amortized Cost		Fair Value
Due in one year or less	$	272,706	$	273,365
Due after one year through five years	1,143,174		1,163,590
Due after five years through ten years	1,128,998		1,156,648
Due after ten years	1,188,093		1,275,144
	$	3,732,971	$	3,868,747

Asset-backed securities	104,221		104,407
Residential mortgage-backed securities	241,314		238,340
Commercial mortgage-backed securities	281,502		284,158
Collateralized loan obligations	61,355		60,550
Total as of June 30, 2016	$	4,421,363	$	4,556,202

At June 30, 2016 and December 31, 2015, the investment portfolio had gross unrealized losses of $13.4 million and $67.8 million, respectively. For those securities in an unrealized loss position, the length of time the securities were in such a position, as measured by their month-end fair values, is as follows:



June 30, 2016	Less Than 12 Months					12 Months or Greater					Total
(In thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
U.S. Treasury securities and obligations of U.S. government corporations and agencies	$	8,996	$	(806	)	$	—	$	—		$	8,996	$	(806	)
Obligations of U.S. states and political subdivisions	30,347		(303		)	15,842		(228		)	46,189		(531		)
Corporate debt securities	110,610		(2,341		)	167,209		(4,381		)	277,819		(6,722		)
Asset-backed securities	13,440		(45		)	8,047		(5		)	21,487		(50		)
Residential mortgage-backed securities	2,383		(68		)	203,939		(3,505		)	206,322		(3,573		)
Commercial mortgage-backed securities	33,169		(553		)	38,382		(338		)	71,551		(891		)
Collateralized loan obligations	—		—			52,050		(849		)	52,050		(849		)
Equity securities	—		—			154		(3		)	154		(3		)
Total	$	198,945	$	(4,116	)	$	485,623	$	(9,309	)	$	684,568	$	(13,425	)



December 31, 2015	Less Than 12 Months					12 Months or Greater					Total
(In thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
U.S. Treasury securities and obligations of U.S. government corporations and agencies	$	60,548	$	(1,467	)	$	1,923	$	(475	)	$	62,471	$	(1,942	)
Obligations of U.S. states and political subdivisions	417,615		(6,404		)	37,014		(886		)	454,629		(7,290		)
Corporate debt securities	1,470,628		(38,519		)	114,982		(6,251		)	1,585,610		(44,770		)
Asset-backed securities	86,604		(173		)	5,546		(30		)	92,150		(203		)
Residential mortgage-backed securities	35,064		(312		)	209,882		(8,080		)	244,946		(8,392		)
Commercial mortgage-backed securities	134,488		(2,361		)	69,927		(1,614		)	204,415		(3,975		)
Collateralized loan obligations	—		—			51,750		(1,148		)	51,750		(1,148		)
Debt securities issued by foreign sovereign governments	4,463		(102		)	—		—			4,463		(102		)
Equity securities	355		(8		)	171		(10		)	526		(18		)
Total	$	2,209,765	$	(49,346	)	$	491,195	$	(18,494	)	$	2,700,960	$	(67,840	)

The unrealized losses in all categories of our investments at June 30, 2016 and December 31, 2015 were primarily caused by the difference in interest rates at each respective period, compared to interest rates at the time of purchase. There were 211 and 303 securities in an unrealized loss position at June 30, 2016 and December 31, 2015, respectively.

During each of the three and six months ended June 30, 2016 and 2015 there were no other-than-temporary impairments (“OTTI”) recognized. The net realized investment gains on the investment portfolio are as follows:



	Three Months Ended June 30,				Six Months Ended June 30,
(In thousands)	2016		2015		2016		2015
Realized investment gains (losses) on investments:
Fixed maturities	$	831	$	161	$	3,886	$	26,485
Equity securities	5		5		6		8
Net realized investment gains	$	836	$	166	$	3,892	$	26,493



	Three Months Ended June 30,						Six Months Ended June 30,
(In thousands)	2016			2015			2016			2015
Realized investment gains (losses) on investments:
Gains on sales	$	1,404		$	785		$	5,509		$	27,991
Losses on sales	(568		)	(619		)	(1,617		)	(1,498		)
Net realized investment gains	$	836		$	166		$	3,892		$	26,493