Investments

The amortized cost, gross unrealized gains and losses and fair value of the investment portfolio as of December 31, 2016 and 2015 are shown below:



December 31, 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	$	73,847	$	407	$	(724	)	$	73,530
Obligations of U.S. states and political subdivisions	2,147,458		20,983		(25,425		)	2,143,016
Corporate debt securities	1,756,461		6,059		(18,610		)	1,743,910
ABS	59,519		74		(28		)	59,565
RMBS	231,733		102		(7,626		)	224,209
CMBS	327,042		769		(7,994		)	319,817
CLOs	121,151		226		(202		)	121,175
Total debt securities	4,717,211		28,620		(60,609		)	4,685,222
Equity securities	7,144		8		(24		)	7,128
Total investment portfolio	$	4,724,355	$	28,628	$	(60,633	)	$	4,692,350



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
ABS	116,764		56		(203		)	116,617
RMBS	265,879		161		(8,392		)	257,648
CMBS	237,304		162		(3,975		)	233,491
CLOs	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⁾	There were no OTTI losses recorded in other comprehensive (loss) income as of December 31, 2016 and 2015.

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 December 31, 2016 we held no investments in foreign sovereign governments. As of December 31, 2015 our foreign investments primarily consisted of Australian government and semi government securities.

As discussed in Note 7 - "Debt" we are required to maintain collateral of at least 102% of the outstanding principal balance of the FHLB Advance. As of December 31, 2016 that collateral is included in our total investment portfolio amount shown above with a total fair value of $164.4 million.

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



December 31, 2016
(In thousands)	Amortized Cost		Fair Value
Due in one year or less	$	433,464	$	433,770
Due after one year through five years	1,211,034		1,212,650
Due after five years through ten years	1,157,091		1,139,552
Due after ten years	1,176,177		1,174,484
	3,977,766		3,960,456

ABS	59,519		59,565
RMBS	231,733		224,209
CMBS	327,042		319,817
CLOs	121,151		121,175
Total as of December 31, 2016	$	4,717,211	$	4,685,222

At December 31, 2016 and 2015, the investment portfolio had gross unrealized losses of $61 million and $68 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:



December 31, 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	$	48,642	$	(724	)	$	—	$	—		$	48,642	$	(724	)
Obligations of U.S. states and political subdivisions	1,136,676		(24,918		)	13,681		(507		)	1,150,357		(25,425		)
Corporate debt securities	915,777		(16,771		)	35,769		(1,839		)	951,546		(18,610		)
ABS	3,366		(28		)	656		—			4,022		(28		)
RMBS	46,493		(857		)	171,326		(6,769		)	217,819		(7,626		)
CMBS	205,545		(7,529		)	38,587		(465		)	244,132		(7,994		)
CLOs	13,278		(73		)	34,760		(129		)	48,038		(202		)
Equity securities	568		(15		)	137		(9		)	705		(24		)
Total investment portfolio	$	2,370,345	$	(50,915	)	$	294,916	$	(9,718	)	$	2,665,261	$	(60,633	)



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		)
ABS	86,604		(173		)	5,546		(30		)	92,150		(203		)
RMBS	35,064		(312		)	209,882		(8,080		)	244,946		(8,392		)
CMBS	134,488		(2,361		)	69,927		(1,614		)	204,415		(3,975		)
CLOs	—		—			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 investment portfolio	$	2,209,765	$	(49,346	)	$	491,195	$	(18,494	)	$	2,700,960	$	(67,840	)

The unrealized losses in all categories of our investments as of December 31, 2016 and 2015 were primarily caused by changes in interest rates between the time of purchase and the respective year end. There were 607 and 303 securities in an unrealized loss position as of December 31, 2016 and 2015, respectively. As of December 31, 2016, the fair value as a percent of amortized cost of the securities in an unrealized loss position was 98% and approximately 14% of the securities in an unrealized loss position were backed by the U.S. Government.

There were no OTTI losses in earnings during 2016 and 2015. We recognized OTTI losses of $0.1 million during 2014.

For the years ended December 31, 2016, 2015, and 2014, there were no credit losses recognized in earnings for which a portion of an OTTI loss was recognized in accumulated other comprehensive loss.

The source of net investment income is as follows:



(In thousands)	2016			2015			2014
Fixed income	$	112,513		$	105,882		$	89,437
Equity securities	182			208			227
Cash equivalents	754			191			179
Other	433			455			711
Investment income	113,882			106,736			90,554
Investment expenses	(3,216		)	(2,995		)	(2,907		)
Net investment income	$	110,666		$	103,741		$	87,647

The net realized investment gains, including impairment losses, and change in net unrealized gains (losses) of investments are as follows:



(In thousands)	2016			2015			2014
Net realized investment gains on investments:
Fixed income	$	5,310		$	28,335		$	1,000
Equity securities	3,622			26			356
Other	—			—			1
Total net realized investment gains	$	8,932		$	28,361		$	1,357

Change in net unrealized gains (losses):
Fixed income	$	(5,403	)	$	(33,687	)	$	91,718
Equity securities	(36		)	(32		)	66
Other	14			1			(4		)
Total (decrease) increase in net unrealized gains/losses	$	(5,425	)	$	(33,718	)	$	91,780

The gross realized gains, gross realized losses and impairment losses are as follows:



(In thousands)	2016			2015			2014
Gross realized gains	$	11,909		$	30,039		$	4,966
Gross realized losses	(2,977		)	(1,678		)	(3,465		)
Other-than-temporary-impairment losses	—			—			(144		)
Net realized gains on securities	$	8,932		$	28,361		$	1,357

We had $13.6 million and $18.9 million of investments at fair value on deposit with various states as of December 31, 2016 and 2015, respectively, due to regulatory requirements of those state insurance departments.