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Investments
 12 Months Ended
Dec. 31, 2017
Investments [Abstract]  
Investments
Investments
The amortized cost, gross unrealized gains and losses and fair value of the investment portfolio as of December 31, 2017 and 2016 are shown below:
 
Table
5.1a
 
 
 
 
 
 
 
 
Details of investments by category - current year
 
 
December 31, 2017
(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
 
$
179,850

 
$
274

 
$
(1,278
)
 
$
178,846

 
Obligations of U.S. states and political subdivisions
 
2,105,063

 
56,210

 
(8,749
)
 
2,152,524

 
Corporate debt securities
 
2,065,475

 
10,532

 
(9,169
)
 
2,066,838

 
ABS
 
4,925

 
—

 
(2
)
 
4,923

 
RMBS
 
189,153

 
60

 
(7,364
)
 
181,849

 
CMBS
 
301,014

 
1,204

 
(4,906
)
 
297,312

 
CLOs
 
100,798

 
304

 
(79
)
 
101,023

 
Total debt securities
 
4,946,278

 
68,584

 
(31,547
)
 
4,983,315

 
Equity securities
 
7,223

 
39

 
(16
)
 
7,246

 
Total investment portfolio
 
$
4,953,501

 
$
68,623

 
$
(31,563
)
 
$
4,990,561


 
Table
5.1b
 
 
 
 
 
 
 
 
Details of investments by category - prior year
 
 
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

(1) 
There were no OTTI losses recorded in other comprehensive (loss) income as of December 31, 2017 and 2016.
As discussed in Note 7 - "Debt" we are required to pledge collateral of at least 102% of the outstanding principal balance of the FHLB Advance. As of December 31, 2017, that collateral is included in our total investment portfolio amount shown above with a total fair value of $166.9 million.

We had $13.6 million of investments at fair value on deposit with various states as of December 31, 2017 and 2016, respectively, due to regulatory requirements of those state insurance departments.

Table 5.2 compares the amortized cost and fair values of debt securities, by contractual maturity, as of December 31, 2017.
 
Table
5.2
 
 
 
 
Debt securities maturity schedule
 
 
December 31, 2017
(In thousands)
 
Amortized Cost
 
Fair Value
 
Due in one year or less
 
$
541,755

 
$
541,695

 
Due after one year through five years
 
1,547,712

 
1,544,943

 
Due after five years through ten years
 
925,751

 
929,883

 
Due after ten years
 
1,335,170

 
1,381,687

 
 
 
4,350,388

 
4,398,208

 
 
 
 
 
 
 
ABS
 
4,925

 
4,923

 
RMBS
 
189,153

 
181,849

 
CMBS
 
301,014

 
297,312

 
CLOs
 
100,798

 
101,023

 
Total as of December 31, 2017
 
$
4,946,278

 
$
4,983,315



The analysis in table 5.2 is based upon contractual maturity. Actual maturities may differ from contractual maturities because certain borrowers have the right to call or prepay certain obligations with or without call or prepayment penalties. Because most mortgage and asset-backed securities provide for periodic payments throughout their lives, they are listed separately in the table.

Tables 5.3a and 5.3b show the components of our unrealized losses on our investment portfolio in the amount of $32 million and $61 million as of December 31, 2017 and 2016, respectively.
 
Table
5.3a
 
 
 
 
 
 
 
 
 
 
 
 
Investments unrealized losses - current year
December 31, 2017
 
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
 
$
144,042

 
$
(796
)
 
$
31,196

 
$
(482
)
 
$
175,238

 
$
(1,278
)
 
Obligations of U.S. states and political subdivisions
 
505,311

 
(3,624
)
 
211,684

 
(5,125
)
 
716,995

 
(8,749
)
 
Corporate debt securities
 
932,350

 
(4,288
)
 
200,716

 
(4,881
)
 
1,133,066

 
(9,169
)
 
ABS
 
4,923

 
(2
)
 
—

 
—

 
4,923

 
(2
)
 
RMBS
 
14,979

 
(280
)
 
166,329

 
(7,084
)
 
181,308

 
(7,364
)
 
CMBS
 
51,096

 
(358
)
 
138,769

 
(4,548
)
 
189,865

 
(4,906
)
 
CLOs
 
14,243

 
(7
)
 
3,568

 
(72
)
 
17,811

 
(79
)
 
Equity securities
 
226

 
(2
)
 
431

 
(14
)
 
657

 
(16
)
 
Total investment portfolio
 
$
1,667,170

 
$
(9,357
)
 
$
752,693

 
$
(22,206
)
 
$
2,419,863

 
$
(31,563
)
 
Table
5.3b
 
 
 
 
 
 
 
 
 
 
 
 
Investments unrealized losses - prior year
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
)

For those securities in an unrealized loss position, the length of time the securities were in such a position, is measured by their month-end fair values. The unrealized losses in all categories of our investments as of December 31, 2017 and 2016 were primarily caused by changes in interest rates between the time of purchase and the respective year end. There were 586 and 607 securities in an unrealized loss position as of December 31, 2017 and 2016, respectively. As of December 31, 2017, the fair value as a percent of amortized cost of the securities in an unrealized loss position was 99% and approximately 27% of the securities in an unrealized loss position were backed by the U.S. Government.

The source of net investment income is shown in Table 5.4 below.
 
Table
5.4
 
 
 
 
 
 
Investment income by source
(In thousands)
 
2017
 
2016
 
2015
Fixed income
 
$
122,105

 
$
112,513

 
$
105,882

 
Equity securities
 
206

 
182

 
208

 
Cash equivalents
 
1,447

 
754

 
191

 
Other
 
620

 
433

 
455

 
Investment income
 
124,378

 
113,882

 
106,736

 
Investment expenses
 
(3,507
)
 
(3,216
)
 
(2,995
)
 
Net investment income
 
$
120,871

 
$
110,666

 
$
103,741



For the years ended December 31, 2017, 2016, and 2015, there were no OTTI losses in earnings.

The net realized investment gains (table 5.5) and the change in unrealized gains (losses) of investments (table 5.6) are shown below.
 
Table
5.5
 
 
 
 
 
 
Net realized investment gains
(In thousands)
 
2017
 
2016
 
2015
Fixed income
 
$
228

 
$
5,310

 
$
28,335

 
Equity securities
 
21

 
3,622

 
26

 
Other
 
—

 
—

 
—

 
Total net realized investment gains
 
$
249

 
$
8,932

 
$
28,361



 
Table
5.6
 
 
 
 
 
 
Change in unrealized gains (losses)
(In thousands)
 
2017
 
2016
 
2015
Fixed income
 
$
69,026

 
$
(5,403
)
 
$
(33,687
)
Equity securities
 
39

 
(36
)
 
(32
)
 
Other
 
(13
)
 
14

 
1

 
Total increase (decrease) in unrealized gains/losses
 
$
69,052

 
$
(5,425
)
 
$
(33,718
)


Gross realized gains and losses on investments are shown in Table 5.7 below.
 
Table
5.7
 
 
 
 
 
 
Gross realized investment gains
(In thousands)
 
2017
 
2016
 
2015
Gross realized gains
 
$
1,599

 
$
11,909

 
$
30,039

 
Gross realized losses
 
(1,350
)
 
(2,977
)
 
(1,678
)
 
Net realized gains on securities
 
$
249

 
$
8,932

 
$
28,361