| Investments | 20% < 20% > 20% < 20% > 20% March 31, 2016 Six months or less below amortized cost $ 1,416.0 $ 195.2 $ 78.5 $ 52.8 266 42 More than six months and twelve months or less below amortized cost 1,564.6 66.0 54.2 20.3 271 17 More than twelve months below amortized cost 612.8 2.7 30.8 1.2 183 2 Total $ 3,593.4 $ 263.9 $ 163.5 $ 74.3 720 61 December 31, 2015 Six months or less below amortized cost $ 4,611.3 $ 468.6 $ 131.4 $ 131.5 758 93 More than six months and twelve months or less below amortized cost 3,445.1 — 171.2 — 524 — More than twelve months below amortized cost 450.4 16.4 32.4 4.3 158 3 Total $ 8,506.8 $ 485.0 $ 335.0 $ 135.8 1,440 96 Unrealized capital losses (including noncredit impairments) in fixed maturities, including securities pledged, by market sector for instances in which fair value declined below amortized cost by greater than or less than 20% were as follows as of the dates indicated: Amortized Cost Unrealized Capital Losses Number of Securities < 20% > 20% < 20% > 20% < 20% > 20% March 31, 2016 U.S. Treasuries $ — $ — $ — $ — — — U.S. Government agencies and authorities 50.8 — 0.4 — 1 — State, municipalities and political subdivisions 31.9 — 1.2 — 12 — U.S. corporate public securities 1,534.7 117.7 82.3 31.5 296 23 U.S. corporate private securities 315.4 30.2 16.3 9.5 33 4 Foreign corporate public securities and foreign governments 600.0 97.0 33.4 26.6 128 20 Foreign corporate private securities 396.9 9.1 16.9 3.5 43 3 Residential mortgage-backed 353.9 0.8 6.8 0.3 140 4 Commercial mortgage-backed 195.1 4.5 0.8 1.9 26 4 Other asset-backed 114.7 4.6 5.4 1.0 41 3 Total $ 3,593.4 $ 263.9 $ 163.5 $ 74.3 720 61 December 31, 2015 U.S. Treasuries $ 315.8 $ — $ 4.2 $ — 8 — U.S. Government agencies and authorities 49.6 — 0.3 — 1 — State, municipalities and political subdivisions 221.0 — 5.2 — 117 — U.S. corporate public securities 4,316.2 279.6 159.1 77.1 681 57 U.S. corporate private securities 769.5 41.2 33.3 11.6 90 4 Foreign corporate public securities and foreign governments 1,343.5 123.3 66.6 34.6 251 26 Foreign corporate private securities 734.2 38.0 50.4 11.5 81 5 Residential mortgage-backed 398.6 — * 7.9 — * 141 2 Commercial mortgage-backed 264.1 1.4 2.7 0.7 33 1 Other asset-backed 94.3 1.5 5.3 0.3 37 1 Total $ 8,506.8 $ 485.0 $ 335.0 $ 135.8 1,440 96 *Less than $0.1. Investments with fair values less than amortized cost are included in the Company’s other-than-temporary impairments analysis. Impairments were recognized as disclosed in the "Evaluating Securities for Other-Than-Temporary Impairments" section below. The Company evaluates non-agency RMBS and ABS for "other-than-temporary impairments" each quarter based on actual and projected cash flows, after considering the quality and updated loan-to-value ratios reflecting current home prices of underlying collateral, forecasted loss severity, the payment priority within the tranche structure of the security and amount of any credit enhancements. The Company's assessment of current levels of cash flows compared to estimated cash flows at the time the securities were acquired (typically pre-2008) indicates the amount and the pace of projected cash flows from the underlying collateral has generally been lower and slower, respectively. However, since cash flows are typically projected at a trust level, the impairment review incorporates the security's position within the trust structure as well as credit enhancement remaining in the trust to determine whether an impairment is warranted. Therefore, while lower and slower cash flows will impact the trust, the effect on the valuation of a particular security within the trust will also be dependent upon the trust structure. Where the assessment continues to project full recovery of principal and interest on schedule, the Company has not recorded an impairment. Based on this analysis, the Company determined that the remaining investments in an unrealized loss position were not other-than-temporarily impaired and therefore no further other-than-temporary impairment was necessary. Troubled Debt Restructuring The Company invests in high quality, well performing portfolios of commercial mortgage loans and private placements. Under certain circumstances, modifications are granted to these contracts. Each modification is evaluated as to whether a troubled debt restructuring has occurred. A modification is a troubled debt restructuring when the borrower is in financial difficulty and the creditor makes concessions. Generally, the types of concessions may include reducing the face amount or maturity amount of the debt as originally stated, reducing the contractual interest rate, extending the maturity date at an interest rate lower than current market interest rates and/or reducing accrued interest. The Company considers the amount, timing and extent of the concession granted in determining any impairment or changes in the specific valuation allowance recorded in connection with the troubled debt restructuring. A valuation allowance may have been recorded prior to the quarter when the loan is modified in a troubled debt restructuring. Accordingly, the carrying value (net of the specific valuation allowance) before and after modification through a troubled debt restructuring may not change significantly, or may increase if the expected recovery is higher than the pre-modification recovery assessment. For the three months ended March 31, 2016 and the year ended December 31, 2015 , the Company had no new troubled debt restructurings for private placement bonds or commercial mortgage loans. As of March 31, 2016 the Company held no commercial mortgage troubled debt restructured loans. During the three months ended March 31, 2016 , 8 commercial mortgage loans that were restructured in August 2013 with a pre and post modification carrying value of $11.6 were paid in full. These loans represent what remained of an initial portfolio of 20 restructures with a pre and post modification carrying value of $24.6 . As of March 31, 2016 and December 31, 2015 , the Company did no t have any commercial mortgage loans or private placements modified in a troubled debt restructuring with a subsequent payment default. Mortgage Loans on Real Estate The Company's mortgage loans on real estate are all commercial mortgage loans held for investment, which are reported at amortized cost, less impairment write-downs and allowance for losses. The Company diversifies its commercial mortgage loan portfolio by geographic region and property type to reduce concentration risk. The Company manages risk when originating commercial mortgage loans by generally lending only up to 75% of the estimated fair value of the underlying real estate. Subsequently, the Company continuously evaluates mortgage loans based on relevant current information including a review of loan-specific credit quality, property characteristics and market trends. Loan performance is monitored on a loan specific basis through the review of submitted appraisals, operating statements, rent revenues and annual inspection reports, among other items. This review ensures properties are performing at a consistent and acceptable level to secure the debt. The components to evaluate debt service coverage are received and reviewed at least annually to determine the level of risk. The following table summarizes the Company’s investment in mortgage loans as of the dates indicated: March 31, 2016 December 31, 2015 Impaired Non Impaired Total Impaired Non Impaired Total Commercial mortgage loans $ — $ 3,591.1 $ 3,591.1 $ 3.7 $ 3,308.2 $ 3,311.9 Collective valuation allowance for losses N/A (1.1 ) (1.1 ) N/A (1.0 ) (1.0 ) Total net commercial mortgage loans $ — $ 3,590.0 $ 3,590.0 $ 3.7 $ 3,307.2 $ 3,310.9 N/A - Not Applicable There were no impairments taken on the mortgage loan portfolio for the three months ended March 31, 2016 and 2015 . The following table summarizes the activity in the allowance for losses for commercial mortgage loans for the periods indicated: March 31, 2016 December 31, 2015 Collective valuation allowance for losses, balance at January 1 $ 1.0 $ 0.8 Addition to (reduction of) allowance for losses 0.1 0.2 Collective valuation allowance for losses, end of period $ 1.1 $ 1.0 The carrying values and unpaid principal balances of impaired mortgage loans were as follows as of the dates indicated: March 31, 2016 December 31, 2015 Impaired loans without allowances for losses $ — $ 3.7 Less: Allowances for losses on impaired loans — — Impaired loans, net $ — $ 3.7 Unpaid principal balance of impaired loans $ — $ 3.7 The following table presents information on restructured loans as of the dates indicated: March 31, 2016 December 31, 2015 Troubled debt restructured loans $ — $ 3.7 The Company defines delinquent mortgage loans consistent with industry practice as 60 days past due. The Company's policy is to recognize interest income until a loan becomes 90 days delinquent or foreclosure proceedings are commenced, at which point interest accrual is discontinued. Interest accrual is not resumed until the loan is brought current. There were no mortgage loans in the Company's portfolio in process of foreclosure as of March 31, 2016 and December 31, 2015 . There were one and two loans 30 days or less in arrears, with respect to principal and interest as of March 31, 2016 and December 31, 2015 , with a total amortized cost of $1.0 and $2.1 , respectively. Commercial loans are placed on non-accrual status when 90 days in arrears if the Company has concerns regarding the collectability of future payments, or if a loan has matured without being paid off or extended. Factors considered may include conversations with the borrower, loss of major tenant, bankruptcy of borrower or major tenant, decreased property cash flow, number of days past due, or various other circumstances. Based on an assessment as to the collectability of the principal, a determination is made to either apply against the book value or apply according to the contractual terms of the loan. Funds recovered in excess of book value would then be applied to recover expenses, impairments, and then interest. Accrual of interest resumes after factors resulting in doubts about collectability have improved. The following table presents information on the average investment during the period in impaired loans and interest income recognized on impaired and troubled debt restructured loans for the periods indicated: Three Months Ended March 31, 2016 2015 Impaired loans, average investment during the period (amortized cost) (1) $ 1.8 $ 13.4 Interest income recognized on impaired loans, on an accrual basis (1) — 0.2 Interest income recognized on impaired loans, on a cash basis (1) — 0.2 Interest income recognized on troubled debt restructured loans, on an accrual basis — 0.2 (1) Includes amounts for Troubled debt restructured loans. Loan-to-value ("LTV") and debt service coverage ("DSC") ratios are measures commonly used to assess the risk and quality of mortgage loans. The LTV ratio, calculated at time of origination, is expressed as a percentage of the amount of the loan relative to the value of the underlying property. A LTV ratio in excess of 100% indicates the unpaid loan amount exceeds the underlying collateral. The DSC ratio, based upon the most recently received financial statements, is expressed as a percentage of the amount of a property’s net income to its debt service payments. A DSC ratio of less than 1.0 indicates that a property’s operations do not generate sufficient income to cover debt payments. These ratios are utilized as part of the review process described above. The following table presents the LTV ratios as of the dates indicated: March 31, 2016 (1) December 31, 2015 (1) Loan-to-Value Ratio: 0% - 50% $ 386.7 $ 399.9 > 50% - 60% 1,067.1 927.9 > 60% - 70% 1,888.6 1,772.0 > 70% - 80% 242.5 207.0 > 80% and above 6.2 5.1 Total Commercial mortgage loans $ 3,591.1 $ 3,311.9 (1) Balances do not include collective valuation allowance for losses. The following table presents the DSC ratios as of the dates indicated: March 31, 2016 (1) December 31, 2015 (1) Debt Service Coverage Ratio: Greater than 1.5x $ 2,852.5 $ 2,569.3 > 1.25x - 1.5x 497.1 505.3 > 1.0x - 1.25x 172.2 145.6 Less than 1.0x 35.1 40.4 Commercial mortgage loans secured by land or construction loans 34.2 51.3 Total Commercial mortgage loans $ 3,591.1 $ 3,311.9 (1) Balances do not include collective valuation allowance for losses. Properties collateralizing mortgage loans are geographically dispersed throughout the United States, as well as diversified by property type, as reflected in the following tables as of the dates indicated: March 31, 2016 (1) December 31, 2015 (1) Gross % of Total Gross % of Total Commercial Mortgage Loans by U.S. Region: Pacific $ 780.0 21.7 % $ 763.0 23.0 % South Atlantic 894.1 24.9 % 792.5 23.9 % Middle Atlantic 468.8 13.1 % 467.2 14.1 % West South Central 421.8 11.7 % 388.8 11.7 % Mountain 399.4 11.1 % 334.1 10.1 % East North Central 366.5 10.2 % 324.2 9.8 % New England 57.3 1.6 % 58.2 1.8 % West North Central 134.7 3.8 % 117.6 3.6 % East South Central 68.5 1.9 % 66.3 2.0 % Total Commercial mortgage loans $ 3,591.1 100.0 % $ 3,311.9 100.0 % (1) Balances do not include collective valuation allowance for losses. March 31, 2016 (1) December 31, 2015 (1) Gross % of Total Gross % of Total Commercial Mortgage Loans by Property Type: Retail $ 1,154.3 32.2 % $ 1,125.1 33.9 % Industrial 887.9 24.7 % 788.3 23.8 % Apartments 701.9 19.5 % 615.2 18.6 % Office 599.1 16.7 % 535.6 16.2 % Hotel/Motel 82.7 2.3 % 83.3 2.5 % Mixed Use 31.5 0.9 % 29.9 0.9 % Other 133.7 3.7 % 134.5 4.1 % Total Commercial mortgage loans $ 3,591.1 100.0 % $ 3,311.9 100.0 % (1) Balances do not include collective valuation allowance for losses. The following table sets forth the breakdown of mortgages by year of origination as of the dates indicated: March 31, 2016 (1) December 31, 2015 (1) Year of Origination: 2016 $ 391.9 $ — 2015 807.9 810.1 2014 557.2 557.9 2013 616.1 624.7 2012 231.2 232.8 2011 445.8 460.4 2010 and prior 541.0 626.0 Total Commercial mortgage loans $ 3,591.1 $ 3,311.9 (1) Balances do not include collective valuation allowance for losses. Evaluating Securities for Other-Than-Temporary Impairments The Company performs a regular evaluation, on a security-by-security basis, of its available-for-sale securities holdings, including fixed maturity securities and equity securities in accordance with its impairment policy in order to evaluate whether such investments are other-than-temporarily impaired. The following table identifies the Company’s credit-related and intent-related impairments included in the Condensed Statements of Operations, excluding impairments included in Other comprehensive income (loss) by type" id="sjs-B4">Investments Fixed Maturities and Equity Securities Available-for-sale and fair value option ("FVO") fixed maturities and equity securities were as follows as of March 31, 2016 : Amortized Cost Gross Unrealized Capital Gains Gross Unrealized Capital Losses Embedded Derivatives (2) Fair Value OTTI (3) Fixed maturities: U.S. Treasuries $ 1,132.7 $ 92.9 $ — $ — $ 1,225.6 $ — U.S. Government agencies and authorities 80.4 4.7 0.4 — 84.7 — State, municipalities and political subdivisions 384.6 18.2 1.2 — 401.6 — U.S. corporate public securities 10,740.1 672.6 113.8 — 11,298.9 4.1 U.S. corporate private securities 2,345.2 110.0 25.8 — 2,429.4 — Foreign corporate public securities and foreign governments (1) 2,784.5 109.0 60.0 — 2,833.5 — Foreign corporate private securities (1) 2,645.4 138.5 20.4 — 2,763.5 — Residential mortgage-backed securities: Agency 1,696.1 89.4 3.6 15.4 1,797.3 — Non-Agency 271.1 44.2 3.5 6.5 318.3 18.6 Total Residential mortgage-backed securities 1,967.2 133.6 7.1 21.9 2,115.6 18.6 Commercial mortgage-backed securities 1,304.8 46.9 2.7 — 1,349.0 — Other asset-backed securities 252.0 10.3 6.4 — 255.9 0.3 Total fixed maturities, including securities pledged 23,636.9 1,336.7 237.8 21.9 24,757.7 23.0 Less: Securities pledged 661.6 74.1 4.9 — 730.8 — Total fixed maturities 22,975.3 1,262.6 232.9 21.9 24,026.9 23.0 Equity securities 15.4 3.4 — — 18.8 — Total fixed maturities and equity securities investments $ 22,990.7 $ 1,266.0 $ 232.9 $ 21.9 $ 24,045.7 $ 23.0 (1) Primarily U.S. dollar denominated. (2) Embedded derivatives within fixed maturity securities are reported with the host investment. The changes in fair value of embedded derivatives are reported in Other net realized capital gains (losses) in the Condensed Statements of Operations. (3) Represents Other-than-Temporary Impairments ("OTTI") reported as a component of Other comprehensive income (loss). Available-for-sale and FVO fixed maturities and equity securities were as follows as of December 31, 2015 : Amortized Cost Gross Unrealized Capital Gains Gross Unrealized Capital Losses Embedded Derivatives (2) Fair Value OTTI (3) Fixed maturities: U.S. Treasuries $ 992.7 $ 70.2 $ 4.2 $ — $ 1,058.7 $ — U.S. Government agencies and authorities 79.4 2.8 0.3 — 81.9 — State, municipalities and political subdivisions 359.1 6.6 5.2 — 360.5 — U.S. corporate public securities 10,718.9 389.2 236.2 — 10,871.9 4.5 U.S. corporate private securities 2,365.0 74.3 44.9 — 2,394.4 — Foreign corporate public securities and foreign governments (1) 2,826.9 67.3 101.2 — 2,793.0 — Foreign corporate private securities (1) 2,592.9 95.0 61.9 — 2,626.0 — Residential mortgage-backed securities Agency 1,525.4 81.2 5.8 14.9 1,615.7 — Non-Agency 221.4 43.9 2.1 6.2 269.4 19.5 Total Residential mortgage-backed securities 1,746.8 125.1 7.9 21.1 1,885.1 19.5 Commercial mortgage-backed securities 1,311.0 35.8 3.4 — 1,343.4 — Other asset-backed securities 257.6 11.3 5.6 — 263.3 0.3 Total fixed maturities, including securities pledged 23,250.3 877.6 470.8 21.1 23,678.2 24.3 Less: Securities pledged 633.3 52.2 13.1 — 672.4 — Total fixed maturities 22,617.0 825.4 457.7 21.1 23,005.8 24.3 Equity securities 15.4 3.8 — — 19.2 — Total fixed maturities and equity securities investments $ 22,632.4 $ 829.2 $ 457.7 $ 21.1 $ 23,025.0 $ 24.3 (1) Primarily U.S. dollar denominated. (2) Embedded derivatives within fixed maturity securities are reported with the host investment. The changes in fair value of embedded derivatives are reported in Other net realized capital gains (losses) in the Condensed Statements of Operations. (3) Represents OTTI reported as a component of Other comprehensive income (loss). The amortized cost and fair value of fixed maturities, including securities pledged, as of March 31, 2016 , are shown below by contractual maturity. Actual maturities may differ from contractual maturities as securities may be restructured, called or prepaid. Mortgage-backed securities ("MBS") and Other asset-backed securities ("ABS") are shown separately because they are not due at a single maturity date. Amortized Cost Fair Value Due to mature: One year or less $ 430.8 $ 435.4 After one year through five years 5,398.5 5,634.7 After five years through ten years 8,723.6 8,996.5 After ten years 5,560.0 5,970.6 Mortgage-backed securities 3,272.0 3,464.6 Other asset-backed securities 252.0 255.9 Fixed maturities, including securities pledged $ 23,636.9 $ 24,757.7 The investment portfolio is monitored to maintain a diversified portfolio on an ongoing basis. Credit risk is mitigated by monitoring concentrations by issuer, sector and geographic stratification and limiting exposure to any one issuer. As of March 31, 2016 and December 31, 2015 , the Company did no t have any investments in a single issuer, other than obligations of the U.S. Government and government agencies, with a carrying value in excess of 10% of the Company’s condensed Shareholder’s equity. The following tables set forth the composition of the U.S. and foreign corporate securities within the fixed maturity portfolio by industry category as of the dates indicated: Amortized Cost Gross Unrealized Capital Gains Gross Unrealized Capital Losses Fair Value March 31, 2016 Communications $ 1,157.2 $ 96.9 $ 7.2 $ 1,246.9 Financial 2,851.8 151.3 21.8 2,981.3 Industrial and other companies 8,882.6 506.8 56.2 9,333.2 Energy 2,105.4 52.8 107.9 2,050.3 Utilities 2,560.7 176.9 16.2 2,721.4 Transportation 602.1 34.4 2.9 633.6 Total $ 18,159.8 $ 1,019.1 $ 212.2 $ 18,966.7 December 31, 2015 Communications $ 1,147.2 $ 64.9 $ 17.9 $ 1,194.2 Financial 2,798.2 108.8 22.1 2,884.9 Industrial and other companies 8,778.0 282.1 165.9 8,894.2 Energy 2,357.3 32.2 175.9 2,213.6 Utilities 2,500.6 113.6 31.2 2,583.0 Transportation 571.8 17.0 13.8 575.0 Total $ 18,153.1 $ 618.6 $ 426.8 $ 18,344.9 Fixed Maturities and Equity Securities The Company's fixed maturities and equity securities are currently designated as available-for-sale, except those accounted for using the FVO. Available-for-sale securities are reported at fair value and unrealized capital gains (losses) on these securities are recorded directly in Accumulated other comprehensive income (loss) ("AOCI") and presented net of related changes in Deferred policy acquisition costs ("DAC"), Value of business acquired ("VOBA") and Deferred income taxes. In addition, certain fixed maturities have embedded derivatives, which are reported with the host contract on the Condensed Balance Sheets. The Company has elected the FVO for certain of its fixed maturities to better match the measurement of assets and liabilities in the Condensed Statements of Operations. Certain collateralized mortgage obligations ("CMOs"), primarily interest-only and principal-only strips, are accounted for as hybrid instruments and valued at fair value with changes in the fair value recorded in Other net realized capital gains (losses) in the Condensed Statements of Operations. The Company invests in various categories of CMOs, including CMOs that are not agency-backed, that are subject to different degrees of risk from changes in interest rates and defaults. The principal risks inherent in holding CMOs are prepayment and extension risks related to significant decreases and increases in interest rates resulting in the prepayment of principal from the underlying mortgages, either earlier or later than originally anticipated. As of March 31, 2016 and December 31, 2015 , approximately 46.1% and 46.6% , respectively, of the Company’s CMO holdings, were invested in the above mentioned types of CMOs such as interest-only or principal-only strips, that are subject to more prepayment and extension risk than traditional CMOs. Public corporate fixed maturity securities are distinguished from private corporate fixed maturity securities based upon the manner in which they are transacted. Public corporate fixed maturity securities are issued initially through market intermediaries on a registered basis or pursuant to Rule 144A under the Securities Act of 1933 (the "Securities Act") and are traded on the secondary market through brokers acting as principal. Private corporate fixed maturity securities are originally issued by borrowers directly to investors pursuant to Section 4(a)(2) of the Securities Act, and are traded in the secondary market directly with counterparties, either without the participation of a broker or in agency transactions. Securities Lending The Company engages in securities lending whereby certain securities from its portfolio are loaned to other institutions through a lending agent for short periods of time. The Company has the right to approve any institution with whom the lending agent transacts on its behalf. Initial collateral is required at a rate of 102% of the market value of the loaned securities. The lending agent retains the collateral and invests it in high quality liquid assets on behalf of the Company. The market value of the loaned securities is monitored on a daily basis with additional collateral obtained or refunded as the market value of the loaned securities fluctuates. The lending agent indemnifies the Company against losses resulting from the failure of a counterparty to return securities pledged where collateral is insufficient to cover the loss. As of March 31, 2016 and December 31, 2015 , the fair value of loaned securities was $242.7 and $147.9 , respectively, and is included in Securities pledged on the Condensed Balance Sheets. If cash is received as collateral, the lending agent retains the cash collateral and invests it in short-term liquid assets on behalf of the Company. As of March 31, 2016 and December 31, 2015 , cash collateral retained by the lending agent and invested in short-term liquid assets on the Company's behalf was $171.7 and $153.6 , respectively, and is recorded in Short-term investments under securities loan agreements, including collateral delivered on the Condensed Balance Sheets. As of March 31, 2016 and December 31, 2015 , liabilities to return collateral of $171.7 and $153.6 , respectively, are included in Payables under securities loan agreements, including collateral held on the Condensed Balance Sheets. During the first quarter of 2016 under an amendment to the securities lending program, the Company began accepting non-cash collateral in the form of securities. The securities retained as collateral by the lending agent may not be sold or re-pledged, except in the event of default, and are not reflected in the Company’s Condensed Consolidated Balance Sheets. This collateral generally consists of U.S. Treasury, U.S. Government agency securities and MBS pools. As of March 31, 2016 , the fair value of securities retained as collateral by the lending agent on the Company’s behalf was $78.9 . As of December 31, 2015 , the Company did no t retain any securities as collateral. The following table sets forth borrowings under securities lending transactions by class of collateral pledged for the dates indicated: March 31, 2016 (1) December 31, 2015 U.S. Treasuries $ 35.7 $ — U.S. corporate public securities 122.3 73.5 Foreign corporate public securities and foreign governments 92.6 80.1 Payables under securities loan agreements $ 250.6 $ 153.6 (1) Borrowings under securities lending transactions include both cash and non-cash collateral of $171.7 and $78.9 , respectively. The Company's securities lending activities are conducted on an overnight basis, and all securities loaned can be recalled at any time. The Company does not offset assets and liabilities associated with its securities lending program. Variable Interest Entities ("VIEs") The Company holds certain VIEs for investment purposes. VIEs may be in the form of private placement securities, structured securities, securitization transactions or limited partnerships. The Company has reviewed each of its holdings and determined that consolidation of these investments in the Company’s financial statements is not required, as the Company is not the primary beneficiary, because the Company does not have both the power to direct the activities that most significantly impact the entity’s economic performance and the obligation or right to potentially significant losses or benefits for any of its investments in VIEs. The Company did not provide any non-contractual financial support and its carrying value represents the Company's exposure to loss. The carrying value of the investments in VIEs was $191.7 and $1.2 as of March 31, 2016 and December 31, 2015 , respectively; these investments are included in Limited partnerships/corporations on the Condensed Balance Sheets. Income and losses recognized on these investments are reported in Net investment income in the Condensed Statements of Operations. Securitizations The Company invests in various tranches of securitization entities, including Residential mortgage-backed securities ("RMBS"), Commercial mortgage-backed securities ("CMBS") and asset-backed securities ("ABS"). Through its investments, the Company is not obligated to provide any financial or other support to these entities. Each of the RMBS, CMBS and ABS entities are thinly capitalized by design and considered VIEs. The Company's involvement with these entities is limited to that of a passive investor. The Company has no unilateral right to appoint or remove the servicer, special servicer or investment manager, which are generally viewed to have the power to direct the activities that most significantly impact the securitization entities' economic performance, in any of these entities, nor does the Company function in any of these roles. The Company, through its investments or other arrangements, does not have the obligation to absorb losses or the right to receive benefits from the entity that could potentially be significant to the entity. Therefore, the Company is not the primary beneficiary and will not consolidate any of the RMBS, CMBS and ABS entities in which it holds investments. These investments are accounted for as investments available-for-sale as described in the Fair Value Measurements Note to these Condensed Financial Statements and unrealized capital gains (losses) on these securities are recorded directly in AOCI, except for certain RMBS, which are accounted for under the FVO, for which changes in fair value are reflected in Other net realized gains (losses) in the Condensed Statements of Operations. The Company's maximum exposure to loss on these structured investments is limited to the amount of its investment. Unrealized Capital Losses Unrealized capital losses (including noncredit impairments), along with the fair value of fixed maturity securities, including securities pledged, by market sector and duration were as follows as of March 31, 2016 : Six Months or Less Below Amortized Cost More Than Six Months and Twelve Months or Less Below Amortized Cost More Than Twelve Months Below Amortized Cost Total Fair Value Unrealized Capital Losses Fair Value Unrealized Capital Losses Fair Value Unrealized Capital Losses Fair Value Unrealized Capital Losses U.S. Treasuries $ — $ — $ — $ — $ — $ — $ — $ — U.S. Government agencies and authorities — — 50.4 0.4 — — 50.4 0.4 State, municipalities and political subdivisions 3.0 — * 26.1 0.9 1.6 0.3 30.7 1.2 U.S. corporate public securities 367.6 13.0 937.7 67.8 233.3 33.0 1,538.6 113.8 U.S. corporate private securities 96.8 2.1 137.1 12.8 85.9 10.9 319.8 25.8 Foreign corporate public securities and foreign governments 129.5 5.1 326.7 23.5 180.8 31.4 637.0 60.0 Foreign corporate private securities 95.9 3.5 243.5 10.0 46.2 6.9 385.6 20.4 Residential mortgage-backed 133.9 1.4 44.6 0.6 169.1 5.1 347.6 7.1 Commercial mortgage-backed 145.6 0.8 50.9 1.1 0.4 0.8 196.9 2.7 Other asset-backed 27.0 0.1 12.3 0.2 73.6 6.1 112.9 6.4 Total $ 999.3 $ 26.0 $ 1,829.3 $ 117.3 $ 790.9 $ 94.5 $ 3,619.5 $ 237.8 * Less than $0.1. Unrealized capital losses (including noncredit impairments), along with the fair value of fixed maturity securities, including securities pledged, by market sector and duration were as follows as of December 31, 2015 : Six Months or Less Below Amortized Cost More Than Six Months and Twelve Months or Less Below Amortized Cost More Than Twelve Months Below Amortized Cost Total Fair Value Unrealized Capital Losses Fair Value Unrealized Capital Losses Fair Value Unrealized Capital Losses Fair Value Unrealized Capital Losses U.S. Treasuries $ 311.6 $ 4.2 $ — $ — $ — $ — $ 311.6 $ 4.2 U.S. Government agencies and authorities 49.3 0.3 — — — — 49.3 0.3 State, municipalities and political subdivisions 116.9 1.3 98.9 3.9 — — 215.8 5.2 U.S. corporate public securities 1,973.2 63.0 2,250.3 140.7 136.1 32.5 4,359.6 236.2 U.S. corporate private securities 362.0 9.7 369.5 28.2 34.3 7.0 765.8 44.9 Foreign corporate public securities and foreign governments 815.3 28.0 416.3 45.7 134.0 27.5 1,365.6 101.2 Foreign corporate private securities 492.8 40.6 194.5 14.3 23.0 7.0 710.3 61.9 Residential mortgage-backed 145.8 1.0 94.1 1.7 150.8 5.2 390.7 7.9 Commercial mortgage-backed 236.2 1.9 25.2 0.8 0.7 0.7 262.1 3.4 Other asset-backed 13.5 — * — — 76.7 5.6 90.2 5.6 Total $ 4,516.6 $ 150.0 $ 3,448.8 $ 235.3 $ 555.6 $ 85.5 $ 8,521.0 $ 470.8 *Less than $0.1. Of the unrealized capital losses aged more than twelve months, the average market value of the related fixed maturities was 89.3% and 86.6% of the average book value as of March 31, 2016 and December 31, 2015 , respectively. Unrealized capital losses (including noncredit impairments) in fixed maturities, including securities pledged, for instances in which fair value declined below amortized cost by greater than or less than 20% for consecutive months as indicated in the tables below, were as follows as of the dates indicated: Amortized Cost Unrealized Capital Losses Number of Securities < 20% > 20% < 20% > 20% < 20% > 20% March 31, 2016 Six months or less below amortized cost $ 1,416.0 $ 195.2 $ 78.5 $ 52.8 266 42 More than six months and twelve months or less below amortized cost 1,564.6 66.0 54.2 20.3 271 17 More than twelve months below amortized cost 612.8 2.7 30.8 1.2 183 2 Total $ 3,593.4 $ 263.9 $ 163.5 $ 74.3 720 61 December 31, 2015 Six months or less below amortized cost $ 4,611.3 $ 468.6 $ 131.4 $ 131.5 758 93 More than six months and twelve months or less below amortized cost 3,445.1 — 171.2 — 524 — More than twelve months below amortized cost 450.4 16.4 32.4 4.3 158 3 Total $ 8,506.8 $ 485.0 $ 335.0 $ 135.8 1,440 96 Unrealized capital losses (including noncredit impairments) in fixed maturities, including securities pledged, by market sector for instances in which fair value declined below amortized cost by greater than or less than 20% were as follows as of the dates indicated: Amortized Cost Unrealized Capital Losses Number of Securities < 20% > 20% < 20% > 20% < 20% > 20% March 31, 2016 U.S. Treasuries $ — $ — $ — $ — — — U.S. Government agencies and authorities 50.8 — 0.4 — 1 — State, municipalities and political subdivisions 31.9 — 1.2 — 12 — U.S. corporate public securities 1,534.7 117.7 82.3 31.5 296 23 U.S. corporate private securities 315.4 30.2 16.3 9.5 33 4 Foreign corporate public securities and foreign governments 600.0 97.0 33.4 26.6 128 20 Foreign corporate private securities 396.9 9.1 16.9 3.5 43 3 Residential mortgage-backed 353.9 0.8 6.8 0.3 140 4 Commercial mortgage-backed 195.1 4.5 0.8 1.9 26 4 Other asset-backed 114.7 4.6 5.4 1.0 41 3 Total $ 3,593.4 $ 263.9 $ 163.5 $ 74.3 720 61 December 31, 2015 U.S. Treasuries $ 315.8 $ — $ 4.2 $ — 8 — U.S. Government agencies and authorities 49.6 — 0.3 — 1 — State, municipalities and political subdivisions 221.0 — 5.2 — 117 — U.S. corporate public securities 4,316.2 279.6 159.1 77.1 681 57 U.S. corporate private securities 769.5 41.2 33.3 11.6 90 4 Foreign corporate public securities and foreign governments 1,343.5 123.3 66.6 34.6 251 26 Foreign corporate private securities 734.2 38.0 50.4 11.5 81 5 Residential mortgage-backed 398.6 — * 7.9 — * 141 2 Commercial mortgage-backed 264.1 1.4 2.7 0.7 33 1 Other asset-backed 94.3 1.5 5.3 0.3 37 1 Total $ 8,506.8 $ 485.0 $ 335.0 $ 135.8 1,440 96 *Less than $0.1. Investments with fair values less than amortized cost are included in the Company’s other-than-temporary impairments analysis. Impairments were recognized as disclosed in the "Evaluating Securities for Other-Than-Temporary Impairments" section below. The Company evaluates non-agency RMBS and ABS for "other-than-temporary impairments" each quarter based on actual and projected cash flows, after considering the quality and updated loan-to-value ratios reflecting current home prices of underlying collateral, forecasted loss severity, the payment priority within the tranche structure of the security and amount of any credit enhancements. The Company's assessment of current levels of cash flows compared to estimated cash flows at the time the securities were acquired (typically pre-2008) indicates the amount and the pace of projected cash flows from the underlying collateral has generally been lower and slower, respectively. However, since cash flows are typically projected at a trust level, the impairment review incorporates the security's position within the trust structure as well as credit enhancement remaining in the trust to determine whether an impairment is warranted. Therefore, while lower and slower cash flows will impact the trust, the effect on the valuation of a particular security within the trust will also be dependent upon the trust structure. Where the assessment continues to project full recovery of principal and interest on schedule, the Company has not recorded an impairment. Based on this analysis, the Company determined that the remaining investments in an unrealized loss position were not other-than-temporarily impaired and therefore no further other-than-temporary impairment was necessary. Troubled Debt Restructuring The Company invests in high quality, well performing portfolios of commercial mortgage loans and private placements. Under certain circumstances, modifications are granted to these contracts. Each modification is evaluated as to whether a troubled debt restructuring has occurred. A modification is a troubled debt restructuring when the borrower is in financial difficulty and the creditor makes concessions. Generally, the types of concessions may include reducing the face amount or maturity amount of the debt as originally stated, reducing the contractual interest rate, extending the maturity date at an interest rate lower than current market interest rates and/or reducing accrued interest. The Company considers the amount, timing and extent of the concession granted in determining any impairment or changes in the specific valuation allowance recorded in connection with the troubled debt restructuring. A valuation allowance may have been recorded prior to the quarter when the loan is modified in a troubled debt restructuring. Accordingly, the carrying value (net of the specific valuation allowance) before and after modification through a troubled debt restructuring may not change significantly, or may increase if the expected recovery is higher than the pre-modification recovery assessment. For the three months ended March 31, 2016 and the year ended December 31, 2015 , the Company had no new troubled debt restructurings for private placement bonds or commercial mortgage loans. As of March 31, 2016 the Company held no commercial mortgage troubled debt restructured loans. During the three months ended March 31, 2016 , 8 commercial mortgage loans that were restructured in August 2013 with a pre and post modification carrying value of $11.6 were paid in full. These loans represent what remained of an initial portfolio of 20 restructures with a pre and post modification carrying value of $24.6 . As of March 31, 2016 and December 31, 2015 , the Company did no t have any commercial mortgage loans or private placements modified in a troubled debt restructuring with a subsequent payment default. Mortgage Loans on Real Estate The Company's mortgage loans on real estate are all commercial mortgage loans held for investment, which are reported at amortized cost, less impairment write-downs and allowance for losses. The Company diversifies its commercial mortgage loan portfolio by geographic region and property type to reduce concentration risk. The Company manages risk when originating commercial mortgage loans by generally lending only up to 75% of the estimated fair value of the underlying real estate. Subsequently, the Company continuously evaluates mortgage loans based on relevant current information including a review of loan-specific credit quality, property characteristics and market trends. Loan performance is monitored on a loan specific basis through the review of submitted appraisals, operating statements, rent revenues and annual inspection reports, among other items. This review ensures properties are performing at a consistent and acceptable level to secure the debt. The components to evaluate debt service coverage are received and reviewed at least annually to determine the level of risk. The following table summarizes the Company’s investment in mortgage loans as of the dates indicated: March 31, 2016 December 31, 2015 Impaired Non Impaired Total Impaired Non Impaired Total Commercial mortgage loans $ — $ 3,591.1 $ 3,591.1 $ 3.7 $ 3,308.2 $ 3,311.9 Collective valuation allowance for losses N/A (1.1 ) (1.1 ) N/A (1.0 ) (1.0 ) Total net commercial mortgage loans $ — $ 3,590.0 $ 3,590.0 $ 3.7 $ 3,307.2 $ 3,310.9 N/A - Not Applicable There were no impairments taken on the mortgage loan portfolio for the three months ended March 31, 2016 and 2015 . The following table summarizes the activity in the allowance for losses for commercial mortgage loans for the periods indicated: March 31, 2016 December 31, 2015 Collective valuation allowance for losses, balance at January 1 $ 1.0 $ 0.8 Addition to (reduction of) allowance for losses 0.1 0.2 Collective valuation allowance for losses, end of period $ 1.1 $ 1.0 The carrying values and unpaid principal balances of impaired mortgage loans were as follows as of the dates indicated: March 31, 2016 December 31, 2015 Impaired loans without allowances for losses $ — $ 3.7 Less: Allowances for losses on impaired loans — — Impaired loans, net $ — $ 3.7 Unpaid principal balance of impaired loans $ — $ 3.7 The following table presents information on restructured loans as of the dates indicated: March 31, 2016 December 31, 2015 Troubled debt restructured loans $ — $ 3.7 The Company defines delinquent mortgage loans consistent with industry practice as 60 days past due. The Company's policy is to recognize interest income until a loan becomes 90 days delinquent or foreclosure proceedings are commenced, at which point interest accrual is discontinued. Interest accrual is not resumed until the loan is brought current. There were no mortgage loans in the Company's portfolio in process of foreclosure as of March 31, 2016 and December 31, 2015 . There were one and two loans 30 days or less in arrears, with respect to principal and interest as of March 31, 2016 and December 31, 2015 , with a total amortized cost of $1.0 and $2.1 , respectively. Commercial loans are placed on non-accrual status when 90 days in arrears if the Company has concerns regarding the collectability of future payments, or if a loan has matured without being paid off or extended. Factors considered may include conversations with the borrower, loss of major tenant, bankruptcy of borrower or major tenant, decreased property cash flow, number of days past due, or various other circumstances. Based on an assessment as to the collectability of the principal, a determination is made to either apply against the book value or apply according to the contractual terms of the loan. Funds recovered in excess of book value would then be applied to recover expenses, impairments, and then interest. Accrual of interest resumes after factors resulting in doubts about collectability have improved. The following table presents information on the average investment during the period in impaired loans and interest income recognized on impaired and troubled debt restructured loans for the periods indicated: Three Months Ended March 31, 2016 2015 Impaired loans, average investment during the period (amortized cost) (1) $ 1.8 $ 13.4 Interest income recognized on impaired loans, on an accrual basis (1) — 0.2 Interest income recognized on impaired loans, on a cash basis (1) — 0.2 Interest income recognized on troubled debt restructured loans, on an accrual basis — 0.2 (1) Includes amounts for Troubled debt restructured loans. Loan-to-value ("LTV") and debt service coverage ("DSC") ratios are measures commonly used to assess the risk and quality of mortgage loans. The LTV ratio, calculated at time of origination, is expressed as a percentage of the amount of the loan relative to the value of the underlying property. A LTV ratio in excess of 100% indicates the unpaid loan amount exceeds the underlying collateral. The DSC ratio, based upon the most recently received financial statements, is expressed as a percentage of the amount of a property’s net income to its debt service payments. A DSC ratio of less than 1.0 indicates that a property’s operations do not generate sufficient income to cover debt payments. These ratios are utilized as part of the review process described above. The following table presents the LTV ratios as of the dates indicated: March 31, 2016 (1) December 31, 2015 (1) Loan-to-Value Ratio: 0% - 50% $ 386.7 $ 399.9 > 50% - 60% 1,067.1 927.9 > 60% - 70% 1,888.6 1,772.0 > 70% - 80% 242.5 207.0 > 80% and above 6.2 5.1 Total Commercial mortgage loans $ 3,591.1 $ 3,311.9 (1) Balances do not include collective valuation allowance for losses. The following table presents the DSC ratios as of the dates indicated: March 31, 2016 (1) December 31, 2015 (1) Debt Service Coverage Ratio: Greater than 1.5x $ 2,852.5 $ 2,569.3 > 1.25x - 1.5x 497.1 505.3 > 1.0x - 1.25x 172.2 145.6 Less than 1.0x 35.1 40.4 Commercial mortgage loans secured by land or construction loans 34.2 51.3 Total Commercial mortgage loans $ 3,591.1 $ 3,311.9 (1) Balances do not include collective valuation allowance for losses. Properties collateralizing mortgage loans are geographically dispersed throughout the United States, as well as diversified by property type, as reflected in the following tables as of the dates indicated: March 31, 2016 (1) December 31, 2015 (1) Gross % of Total Gross % of Total Commercial Mortgage Loans by U.S. Region: Pacific $ 780.0 21.7 % $ 763.0 23.0 % South Atlantic 894.1 24.9 % 792.5 23.9 % Middle Atlantic 468.8 13.1 % 467.2 14.1 % West South Central 421.8 11.7 % 388.8 11.7 % Mountain 399.4 11.1 % 334.1 10.1 % East North Central 366.5 10.2 % 324.2 9.8 % New England 57.3 1.6 % 58.2 1.8 % West North Central 134.7 3.8 % 117.6 3.6 % East South Central 68.5 1.9 % 66.3 2.0 % Total Commercial mortgage loans $ 3,591.1 100.0 % $ 3,311.9 100.0 % (1) Balances do not include collective valuation allowance for losses. March 31, 2016 (1) December 31, 2015 (1) Gross % of Total Gross % of Total Commercial Mortgage Loans by Property Type: Retail $ 1,154.3 32.2 % $ 1,125.1 33.9 % Industrial 887.9 24.7 % 788.3 23.8 % Apartments 701.9 19.5 % 615.2 18.6 % Office 599.1 16.7 % 535.6 16.2 % Hotel/Motel 82.7 2.3 % 83.3 2.5 % Mixed Use 31.5 0.9 % 29.9 0.9 % Other 133.7 3.7 % 134.5 4.1 % Total Commercial mortgage loans $ 3,591.1 100.0 % $ 3,311.9 100.0 % (1) Balances do not include collective valuation allowance for losses. The following table sets forth the breakdown of mortgages by year of origination as of the dates indicated: March 31, 2016 (1) December 31, 2015 (1) Year of Origination: 2016 $ 391.9 $ — 2015 807.9 810.1 2014 557.2 557.9 2013 616.1 624.7 2012 231.2 232.8 2011 445.8 460.4 2010 and prior 541.0 626.0 Total Commercial mortgage loans $ 3,591.1 $ 3,311.9 (1) Balances do not include collective valuation allowance for losses. Evaluating Securities for Other-Than-Temporary Impairments The Company performs a regular evaluation, on a security-by-security basis, of its available-for-sale securities holdings, including fixed maturity securities and equity securities in accordance with its impairment policy in order to evaluate whether such investments are other-than-temporarily impaired. The following table identifies the Company’s credit-related and intent-related impairments included in the Condensed Statements of Operations, excluding impairments included in Other comprehensive income (loss) by type |
