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Investments | 9 Months Ended
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Sep. 30, 2016
Investments [Abstract] |
Investments | Investments The amortized cost, gross unrealized gains and losses and fair value of the investment portfolio at September 30, 2016 and December 31, 2015 are shown below.
September 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 |  | $ | 41,735 |  |  | $ | 562 |  |  | $ | (41 | ) |  | $ | 42,256 |
Obligations of U.S. states and political subdivisions |  | 2,046,199 |  |  | 87,592 |  |  | (1,122 | ) |  | 2,132,669 |
Corporate debt securities |  | 1,720,839 |  |  | 33,409 |  |  | (4,379 | ) |  | 1,749,869 |
Asset-backed securities |  | 79,032 |  |  | 182 |  |  | (32 | ) |  | 79,182 |
Residential mortgage-backed securities |  | 245,876 |  |  | 616 |  |  | (3,056 | ) |  | 243,436 |
Commercial mortgage-backed securities |  | 347,630 |  |  | 3,563 |  |  | (980 | ) |  | 350,213 |
Collateralized loan obligations |  | 121,146 |  |  | 203 |  |  | (349 | ) |  | 121,000 |
Total debt securities |  | 4,602,457 |  |  | 126,127 |  |  | (9,959 | ) |  | 4,718,625 |
Equity securities |  | 7,094 |  |  | 127 |  |  | (3 | ) |  | 7,218 |
Total investment portfolio |  | $ | 4,609,551 |  |  | $ | 126,254 |  |  | $ | (9,962 | ) |  | $ | 4,725,843 |
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 September 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 September 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 FHLB Advance. As of September 30, 2016 that collateral is included in our total investment portfolio amount shown above with a total fair value of $167.4 million. The amortized cost and fair values of debt securities at September 30, 2016, by contractual maturity, are shown in the following table. 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 in separate categories.
September 30, 2016 |  |  |  |
(In thousands) |  | Amortized Cost |  | Fair Value
Due in one year or less |  | $ | 350,683 |  |  | $ | 351,117 |
Due after one year through five years |  | 1,166,094 |  |  | 1,184,500 |
Due after five years through ten years |  | 1,148,505 |  |  | 1,177,837 |
Due after ten years |  | 1,143,491 |  |  | 1,211,340 |
|  | $ | 3,808,773 |  |  | $ | 3,924,794 |
Asset-backed securities |  | 79,032 |  |  | 79,182 |
Residential mortgage-backed securities |  | 245,876 |  |  | 243,436 |
Commercial mortgage-backed securities |  | 347,630 |  |  | 350,213 |
Collateralized loan obligations |  | 121,146 |  |  | 121,000 |
Total as of September 30, 2016 |  | $ | 4,602,457 |  |  | $ | 4,718,625 |
At September 30, 2016 and December 31, 2015, the investment portfolio had gross unrealized losses of $10.0 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:
September 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 |  | $ | 22,655 |  |  | $ | (41 | ) |  | $ | — |  |  | $ | — |  |  | $ | 22,655 |  |  | $ | (41 | )
Obligations of U.S. states and political subdivisions |  | 185,163 |  |  | (815 | ) |  | 13,942 |  |  | (307 | ) |  | 199,105 |  |  | (1,122 | )
Corporate debt securities |  | 200,500 |  |  | (2,843 | ) |  | 41,424 |  |  | (1,536 | ) |  | 241,924 |  |  | (4,379 | )
Asset-backed securities |  | 20 |  |  | (32 | ) |  | 4,102 |  |  | — |  |  | 4,122 |  |  | (32 | )
Residential mortgage-backed securities |  | 3,204 |  |  | (7 | ) |  | 186,494 |  |  | (3,049 | ) |  | 189,698 |  |  | (3,056 | )
Commercial mortgage-backed securities |  | 84,048 |  |  | (632 | ) |  | 38,992 |  |  | (348 | ) |  | 123,040 |  |  | (980 | )
Collateralized loan obligations |  | 18,868 |  |  | (186 | ) |  | 52,570 |  |  | (163 | ) |  | 71,438 |  |  | (349 | )
Equity securities |  | 32 |  |  | — |  |  | 144 |  |  | (3 | ) |  | 176 |  |  | (3 | )
Total |  | $ | 514,490 |  |  | $ | (4,556 | ) |  | $ | 337,668 |  |  | $ | (5,406 | ) |  | $ | 852,158 |  |  | $ | (9,962 | )
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 September 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 268 and 303 securities in an unrealized loss position at September 30, 2016 and December 31, 2015, respectively. During each of the three and nine months ended September 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 September 30, |  | Nine Months Ended September 30,
(In thousands) |  | 2016 |  | 2015 |  | 2016 |  | 2015
Realized investment gains (losses) on investments: |  |  |  |  |  |  |  |
Fixed maturities |  | $ | 1,511 |  |  | $ | 638 |  |  | $ | 5,397 |  |  | $ | 27,123 |
Equity securities |  | 3,581 |  |  | 2 |  |  | 3,587 |  |  | 10 |
Net realized investment gains |  | $ | 5,092 |  |  | $ | 640 |  |  | $ | 8,984 |  |  | $ | 27,133 |
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In thousands) |  | 2016 |  | 2015 |  | 2016 |  | 2015
Realized investment gains (losses) on investments: |  |  |  |  |  |  |  |
Gains on sales |  | $ | 6,168 |  |  | $ | 720 |  |  | $ | 11,677 |  |  | $ | 28,711 |
Losses on sales |  | (1,076 | ) |  | (80 | ) |  | (2,693 | ) |  | (1,578 | )
Net realized investment gains |  | $ | 5,092 |  |  | $ | 640 |  |  | $ | 8,984 |  |  | $ | 27,133 |

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