| Investments | 20% < 20% > 20% < 20% > 20% December 31, 2015 Six months or less below amortized cost $ 3,980.3 $ 747.5 $ 141.7 $ 211.4 762 104 More than six months and twelve months or less below amortized cost 3,001.4 27.6 156.6 13.4 485 2 More than twelve months below amortized cost 382.5 17.3 26.9 4.2 144 2 Total $ 7,364.2 $ 792.4 $ 325.2 $ 229.0 1,391 108 December 31, 2014 Six months or less below amortized cost $ 1,690.4 $ 59.7 $ 50.5 $ 13.2 341 13 More than six months and twelve months or less below amortized cost 115.1 — 6.7 — 34 — More than twelve months below amortized cost 1,220.5 2.2 41.8 0.6 223 2 Total $ 3,026.0 $ 61.9 $ 99.0 $ 13.8 598 15 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% December 31, 2015 U.S. Treasuries $ 69.7 $ — $ 0.3 $ — 14 — U.S. Government, agencies and authorities — — — — — — State, municipalities and political subdivisions 349.5 — 7.9 — 117 — U.S. corporate public securities 3,565.2 373.5 153.5 103.3 651 58 U.S. corporate private securities 791.0 90.9 34.6 27.8 87 4 Foreign corporate public securities and foreign governments 1,211.9 291.1 63.6 87.9 254 40 Foreign corporate private securities 807.3 35.1 53.9 9.6 85 5 Residential mortgage-backed 294.1 — 6.9 — 130 — Commercial mortgage-backed 239.2 — 3.5 — 38 — Other asset-backed 36.3 1.8 1.0 0.4 15 1 Total $ 7,364.2 $ 792.4 $ 325.2 $ 229.0 1,391 108 December 31, 2014 U.S. Treasuries $ 12.4 $ — $ — * $ — 1 — U.S. Government, agencies and authorities 2.3 — — * — 1 — State, municipalities and political subdivisions 22.6 — 0.1 — 8 — U.S. corporate public securities 1,270.1 9.6 38.1 2.1 224 4 U.S. corporate private securities 273.6 15.5 5.3 3.6 30 1 Foreign corporate public securities and foreign governments 903.6 26.2 44.5 5.8 165 5 Foreign corporate private securities 148.7 8.4 4.0 1.7 20 1 Residential mortgage-backed 288.6 — * 5.8 — * 124 2 Commercial mortgage-backed 59.2 — 0.1 — 11 — Other asset-backed 44.9 2.2 1.1 0.6 14 2 Total $ 3,026.0 $ 61.9 $ 99.0 $ 13.8 598 15 * 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. As of December 31, 2015 and 2014 , the Company had no new troubled debt restructurings for private placement or commercial mortgage loans. As of December 31, 2015 the Company held 8 commercial mortgage troubled debt restructured loans with a carrying value of $5.9 . These 8 commercial mortgage loans were restructured in August 2013 with a pre-modification and post modification carrying value of $18.6 . These loans represent what remains of an initial portfolio of 20 restructures with a pre-modification and post modification carrying value of $39.4 . This portfolio of loans is comprised of cross-defaulted, cross-collateralized individual loans, which are owned by the same sponsor. Between the date of the troubled debt restructurings and December 31, 2015 , these loans have repaid $33.5 in principal. As of December 31, 2015 and 2014 , 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: December 31, 2015 December 31, 2014 Impaired Non Impaired Total Impaired Non Impaired Total Commercial mortgage loans $ 10.7 $ 3,719.6 $ 3,730.3 $ 32.4 $ 3,481.7 $ 3,514.1 Collective valuation allowance for losses N/A (1.2 ) (1.2 ) N/A (1.1 ) (1.1 ) Total net commercial mortgage loans $ 10.7 $ 3,718.4 $ 3,729.1 $ 32.4 $ 3,480.6 $ 3,513.0 N/A - Not Applicable There were no impairments taken on the mortgage loan portfolio for the years ended December 31, 2015 and 2014 . The following table summarizes the activity in the allowance for losses for commercial mortgage loans for the periods indicated: December 31, 2015 December 31, 2014 Collective valuation allowance for losses, balance at January 1 $ 1.1 $ 1.2 Addition to (reduction of) allowance for losses 0.1 (0.1 ) Collective valuation allowance for losses, end of period $ 1.2 $ 1.1 The carrying values and unpaid principal balances of impaired mortgage loans were as follows as of the dates indicated: December 31, 2015 December 31, 2014 Impaired loans without allowances for losses $ 10.7 $ 32.4 Less: Allowances for losses on impaired loans — — Impaired loans, net $ 10.7 $ 32.4 Unpaid principal balance of impaired loans $ 12.2 $ 33.9 As of December 31, 2015 and 2014 the Company did not have any impaired loans with allowances for losses. The following table presents information on restructured loans as of the dates indicated: December 31, 2015 December 31, 2014 Troubled debt restructured loans $ 5.9 $ 27.3 There were no mortgage loans in the Company's portfolio in process of foreclosure as of December 31, 2015 and 2014 . There were two loans 30 days or less in arrears, with respect to principal and interest as of December 31, 2015 , with a total amortized cost of $1.0 . There were no loans in arrears, with respect to principal and interest as of December 31, 2014 . 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: Year Ended December 31, 2015 2014 2013 Impaired loans, average investment during the period (amortized cost) (1) $ 21.6 $ 37.6 $ 24.2 Interest income recognized on impaired loans, on an accrual basis (1) 1.2 2.2 1.4 Interest income recognized on impaired loans, on a cash basis (1) 1.3 2.1 1.4 Interest income recognized on troubled debt restructured loans, on an accrual basis 0.8 1.8 1.0 (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 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: December 31, 2015 (1) December 31, 2014 (1) Loan-to-Value Ratio: 0% - 50% $ 395.1 $ 411.0 >50% - 60% 969.4 824.1 >60% - 70% 2,158.2 2,107.9 >70% - 80% 204.8 159.7 >80% and above 2.8 11.4 Total Commercial mortgage loans $ 3,730.3 $ 3,514.1 (1) Balances do not include collective valuation allowance for losses. The following table presents the DSC ratios as of the dates indicated: December 31, 2015 (1) December 31, 2014 (1) Debt Service Coverage Ratio: Greater than 1.5x $ 2,957.7 $ 2,600.1 >1.25x - 1.5x 494.5 520.0 >1.0x - 1.25x 208.6 258.7 Less than 1.0x 38.6 131.3 Commercial mortgage loans secured by land or construction loans 30.9 4.0 Total Commercial mortgage loans $ 3,730.3 $ 3,514.1 (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: December 31, 2015 (1) December 31, 2014 (1) Gross Carrying Value % of Total Gross Carrying Value % of Total Commercial Mortgage Loans by U.S. Region: Pacific $ 867.5 23.3 % $ 802.6 22.8 % South Atlantic 857.3 23.0 % 746.5 21.2 % Middle Atlantic 556.1 14.9 % 505.8 14.4 % West South Central 414.8 11.1 % 448.4 12.8 % Mountain 304.1 8.2 % 274.0 7.8 % East North Central 380.8 10.2 % 355.3 10.1 % New England 81.4 2.2 % 74.8 2.1 % West North Central 208.6 5.6 % 219.6 6.3 % East South Central 59.7 1.5 % 87.1 2.5 % Total Commercial mortgage loans $ 3,730.3 100.0 % $ 3,514.1 100.0 % (1) Balances do not include collective valuation allowance for losses. December 31, 2015 (1) December 31, 2014 (1) Gross Carrying Value % of Total Gross Carrying Value % of Total Commercial Mortgage Loans by Property Type: Retail $ 1,330.8 35.7 % $ 1,236.4 35.2 % Industrial 741.3 19.9 % 796.8 22.7 % Apartments 630.4 16.9 % 550.6 15.7 % Office 586.3 15.7 % 443.1 12.6 % Hotel/Motel 177.6 4.7 % 149.7 4.2 % Mixed Use 47.1 1.3 % 142.8 4.1 % Other 216.8 5.8 % 194.7 5.5 % Total Commercial mortgage loans $ 3,730.3 100.0 % $ 3,514.1 100.0 % (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: December 31, 2015 (1) December 31, 2014 (1) Year of Origination: 2015 $ 745.3 $ — 2014 558.0 580.0 2013 709.2 758.8 2012 748.2 854.5 2011 553.2 674.4 2010 48.4 66.0 2009 and prior 368.0 580.4 Total Commercial mortgage loans $ 3,730.3 $ 3,514.1 (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 Consolidated Statements of Operations, excluding impairments included in Other comprehensive income (loss) by type for the periods indicated: Year Ended December 31, 2015 2014 2013 Impairment No. of Securities Impairment No. of Securities Impairment No. of Securities U.S. corporate public securities $ 8.5 8 $ 1.7 3 $ — — Foreign corporate public securities and foreign governments (1) 34.2 9 3.7 7 1.8 1 Foreign corporate private securities (1) 0.7 1 — — — — Residential mortgage-backed 2.4 26 1.6 26 3.4 35 Commercial mortgage-backed — — 0.1 2 0.3 3 Other asset-backed 0.1 1 — * 1 0.3 2 Equity securities — — — — 0.1 1 Total $ 45.9 45 $ 7.1 39 $ 5.9 42 * Less than $0.1. (1) Primarily U.S. dollar denominated. The above tables include $3.8 , $1.6 and $4.8 of write-downs related to credit impairments for the years ended December 31, 2015 , 2014 and 2013 , respectively, in Other-than-temporary impairments, which are recognized in the Consolidated Statements of Operations. The remaining $42.1 , $5.5 and $1.1 in write-downs for the years ended December 31, 2015 , 2014 and 2013 , respectively, are related to intent impairments. The following table summarizes these intent impairments, which are also recognized in earnings, by type for the periods indicated: Year Ended December 31, 2015 2014 2013 Impairment No. of Securities Impairment No. of Securities Impairment No. of Securities U.S. corporate public securities $ 8.5 7 $ 1.6 3 $ — — Foreign corporate public securities and foreign governments (1) 32.5 8 3.7 7 — — Foreign corporate private securities (1) — — — — — — Residential mortgage-backed 1.1 5 0.1 3 0.8 6 Commercial mortgage-backed — — 0.1 2 0.3 3 Other asset-backed — — — — — — Equity securities — — — — — — Total $ 42.1 20 $ 5.5 15 $ 1.1 9 (1) Primarily U.S. dollar denominated. The Company may sell securities during the period in which fair value has declined below amortized cost for fixed maturities or cost for equity securities. In certain situations, new factors, including changes in the business environment, can change the Company's previous intent to continue holding a security. Accordingly, these factors may lead the Company to record additional intent related capital losses. The following table identifies the amount of credit impairments on fixed maturities for which a portion of the OTTI loss was recognized in Other comprehensive income (loss) and the corresponding changes in such amounts for the periods indicated: Year Ended December 31, 2015 2014 2013 Balance at January 1 $ 22.4 $ 28.0 $ 28.4 Additional credit impairments: On securities not previously impaired — 0.7 1.1 On securities previously impaired 1.3 0.9 1.8 Reductions: Increase in cash flows 0.2 0.6 — Securities sold, matured, prepaid or paid down 4.2 6.6 3.3 Balance at December 31 $ 19.3 $ 22.4 $ 28.0 Net Investment Income The following table summarizes Net investment income for the periods indicated: Year Ended December 31, 2015 2014 2013 Fixed maturities $ 1,230.0 $ 1,216.3 $ 1,199.4 Equity securities, available-for-sale 4.2 7.1 2.8 Mortgage loans on real estate 194.6 172.7 157.1 Policy loans 12.0 13.3 13.1 Short-term investments and cash equivalents 0.6 0.5 0.9 Other 21.9 30.6 42.6 Gross investment income 1,463.3 1,440.5 1,415.9 Less: inves" id="sjs-B4">Investments Fixed Maturities and Equity Securities 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 $ 616.6 $ 105.1 $ 0.3 $ — $ 721.4 $ — U.S. Government agencies and authorities 4.3 — — — 4.3 — State, municipalities and political subdivisions 589.9 13.8 7.9 — 595.8 — U.S. corporate public securities 9,472.4 384.9 256.8 — 9,600.5 1.4 U.S. corporate private securities 2,336.0 86.3 62.4 — 2,359.9 — Foreign corporate public securities and foreign governments (1) 2,868.7 95.0 151.5 — 2,812.2 — Foreign corporate private securities (1) 2,678.8 96.1 63.5 — 2,711.4 — Residential mortgage-backed securities: Agency 1,579.5 105.3 4.8 12.8 1,692.8 — Non-Agency 181.6 46.3 2.1 10.6 236.4 6.4 Total Residential mortgage-backed securities 1,761.1 151.6 6.9 23.4 1,929.2 6.4 Commercial mortgage-backed securities 1,228.9 49.5 3.5 — 1,274.9 6.7 Other asset-backed securities 240.7 9.9 1.4 — 249.2 2.4 Total fixed maturities, including securities pledged 21,797.4 992.2 554.2 23.4 22,258.8 16.9 Less: Securities pledged 252.3 16.0 19.1 — 249.2 — Total fixed maturities 21,545.1 976.2 535.1 23.4 22,009.6 16.9 Equity securities 116.7 14.6 — — 131.3 — Total fixed maturities and equity securities investments $ 21,661.8 $ 990.8 $ 535.1 $ 23.4 $ 22,140.9 $ 16.9 (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 Consolidated Statements of Operations. (3) Represents 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, 2014 : Amortized Cost Gross Unrealized Capital Gains Gross Unrealized Capital Losses Embedded Derivatives (2) Fair Value OTTI (3) Fixed maturities: U.S. Treasuries $ 649.0 $ 124.1 $ — $ — $ 773.1 $ — U.S. Government agencies and authorities 45.7 0.9 — — 46.6 — State, municipalities and political subdivisions 259.0 18.3 0.1 — 277.2 — U.S. corporate public securities 8,345.9 762.9 40.2 — 9,068.6 1.5 U.S. corporate private securities 2,020.8 139.5 8.9 — 2,151.4 — Foreign corporate public securities and foreign governments (1) 2,778.3 159.1 50.3 — 2,887.1 — Foreign corporate private securities (1) 2,707.1 189.4 5.7 — 2,890.8 — Residential mortgage-backed securities: Agency 1,613.5 125.4 3.6 15.7 1,751.0 0.2 Non-Agency 227.9 54.6 2.2 12.1 292.4 8.7 Total Residential mortgage-backed securities 1,841.4 180.0 5.8 27.8 2,043.4 8.9 Commercial mortgage-backed securities 998.9 79.2 0.1 — 1,078.0 6.7 Other asset-backed securities 389.0 13.1 1.7 — 400.4 2.6 Total fixed maturities, including securities pledged 20,035.1 1,666.5 112.8 27.8 21,616.6 19.7 Less: Securities pledged 224.4 17.8 6.9 — 235.3 — Total fixed maturities 19,810.7 1,648.7 105.9 27.8 21,381.3 19.7 Equity securities 107.4 14.5 — — 121.9 — Total fixed maturities and equity securities investments $ 19,918.1 $ 1,663.2 $ 105.9 $ 27.8 $ 21,503.2 $ 19.7 (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 Consolidated 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 December 31, 2015 , are shown below by contractual maturity. Actual maturities may differ from contractual maturities as securities may be restructured, called or prepaid. MBS and Other ABS are shown separately because they are not due at a single maturity date. Amortized Fair Due to mature: One year or less $ 517.8 $ 526.1 After one year through five years 4,368.7 4,505.6 After five years through ten years 6,569.5 6,598.3 After ten years 7,110.7 7,175.5 Mortgage-backed securities 2,990.0 3,204.1 Other asset-backed securities 240.7 249.2 Fixed maturities, including securities pledged $ 21,797.4 $ 22,258.8 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 December 31, 2015 and 2014 , 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 consolidated 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 December 31, 2015 Communications $ 1,218.8 $ 67.1 $ 28.6 $ 1,257.3 Financial 2,651.5 146.8 13.1 2,785.2 Industrial and other companies 7,778.2 267.7 180.7 7,865.2 Energy 2,655.2 26.1 261.8 2,419.5 Utilities 2,150.7 122.1 21.8 2,251.0 Transportation 560.6 14.0 13.8 560.8 Total $ 17,015.0 $ 643.8 $ 519.8 $ 17,139.0 December 31, 2014 Communications $ 1,226.1 $ 136.8 $ 2.4 $ 1,360.5 Financial 2,310.5 221.4 1.6 2,530.3 Industrial and other companies 6,943.6 483.5 43.3 7,383.8 Energy 2,685.1 152.1 48.2 2,789.0 Utilities 1,889.6 193.0 2.8 2,079.8 Transportation 450.7 40.3 1.3 489.7 Total $ 15,505.6 $ 1,227.1 $ 99.6 $ 16,633.1 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 AOCI and presented net of related changes in DAC, VOBA and Deferred income taxes. In addition, certain fixed maturities have embedded derivatives, which are reported with the host contract on the Consolidated 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 Consolidated Statements of Operations. Certain 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 Consolidated 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 December 31, 2015 and 2014 , approximately 63.8% and 57.3% , 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. Repurchase Agreements As of December 31, 2015 and 2014 , the Company did no t have any securities pledged in dollar rolls, repurchase agreement transactions or reverse repurchase agreements. Securities Lending As of December 31, 2015 and 2014 , the fair value of loaned securities was $178.9 and $174.9 , respectively, and is included in Securities pledged on the Consolidated Balance Sheets. As of December 31, 2015 and 2014 , collateral retained by the lending agent and invested in short-term liquid assets on the Company's behalf was $185.9 and $182.0 , respectively, and is recorded in Short-term investments under securities loan agreements, including collateral delivered on the Consolidated Balance Sheets. As of December 31, 2015 and 2014 , liabilities to return collateral of $185.9 and $182.0 , respectively, is included in Payables under securities loan agreements, including collateral held, on the Consolidated Balance Sheets. The following table sets forth borrowings under securities lending transactions by class of collateral pledged for the dates indicated: December 31, 2015 December 31, 2014 U.S. Treasuries $ — $ 55.7 U.S. corporate public securities 111.7 68.8 Foreign corporate public securities and foreign governments 74.2 57.5 Payables under securities loan agreements $ 185.9 $ 182.0 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 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 equity tranches of the Collateralized loan obligations ("CLOs") of $0.4 and $0.7 as of December 31, 2015 and 2014 , respectively, is included in Limited partnerships/corporations on the Consolidated Balance Sheets. Income and losses recognized on these investments are reported in Net investment income in the Consolidated Statements of Operations. Securitizations The Company invests in various tranches of securitization entities, including RMBS, CMBS and 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 Business, Basis of Presentation and Significant Accounting Policies Note to these Consolidated 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 Consolidated 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 December 31, 2015 : Six Months or Less More Than Six More Than Twelve Total Fair Unrealized Fair Unrealized Fair Unrealized Fair Unrealized U.S. Treasuries $ 69.4 $ 0.3 $ — $ — $ — $ — $ 69.4 $ 0.3 U.S. Government, agencies and authorities — — — — — — — — State, municipalities and political subdivisions 191.3 2.2 150.3 5.7 — — 341.6 7.9 U.S. corporate public securities 1,764.0 67.6 1,708.3 136.4 209.6 52.8 3,681.9 256.8 U.S. corporate private securities 373.2 10.9 410.5 43.8 35.8 7.7 819.5 62.4 Foreign corporate public securities and foreign governments 670.0 33.8 485.8 55.8 195.7 61.9 1,351.5 151.5 Foreign corporate private securities 546.0 42.1 213.3 16.5 19.6 4.9 778.9 63.5 Residential mortgage-backed 116.5 1.7 42.3 0.9 128.4 4.3 287.2 6.9 Commercial mortgage-backed 156.9 1.4 78.8 2.1 — — 235.7 3.5 Other asset-backed 22.6 0.1 0.4 — * 13.7 1.3 36.7 1.4 Total $ 3,909.9 $ 160.1 $ 3,089.7 $ 261.2 $ 602.8 $ 132.9 $ 7,602.4 $ 554.2 *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, 2014 : Six Months or Less More Than Six More Than Twelve Total Fair Unrealized Fair Unrealized Fair Unrealized Fair Unrealized U.S. Treasuries $ 12.4 $ — * $ — $ — $ — $ — $ 12.4 $ — * U.S. Government, agencies and authorities 2.3 — * — — — — 2.3 — * State, municipalities and political subdivisions 22.5 0.1 — — — — 22.5 0.1 U.S. corporate public securities 611.8 18.0 14.9 1.4 612.8 20.8 1,239.5 40.2 U.S. corporate private securities 160.3 2.0 19.9 0.1 100.0 6.8 280.2 8.9 Foreign corporate public securities and foreign governments 545.4 33.5 9.7 0.2 324.4 16.6 879.5 50.3 Foreign corporate private securities 125.6 2.2 — — 25.8 3.5 151.4 5.7 Residential mortgage-backed 94.5 0.7 25.2 0.6 163.1 4.5 282.8 5.8 Commercial mortgage-backed 59.1 0.1 — — — — 59.1 0.1 Other asset-backed 27.0 0.1 — — 18.4 1.6 45.4 1.7 Total $ 1,660.9 $ 56.7 $ 69.7 $ 2.3 $ 1,244.5 $ 53.8 $ 2,975.1 $ 112.8 *Less than $0.1 Of the unrealized capital losses aged more than twelve months, the average market value of the related fixed maturities was 81.9% and 95.9% of the average book value as of December 31, 2015 and 2014 , 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% December 31, 2015 Six months or less below amortized cost $ 3,980.3 $ 747.5 $ 141.7 $ 211.4 762 104 More than six months and twelve months or less below amortized cost 3,001.4 27.6 156.6 13.4 485 2 More than twelve months below amortized cost 382.5 17.3 26.9 4.2 144 2 Total $ 7,364.2 $ 792.4 $ 325.2 $ 229.0 1,391 108 December 31, 2014 Six months or less below amortized cost $ 1,690.4 $ 59.7 $ 50.5 $ 13.2 341 13 More than six months and twelve months or less below amortized cost 115.1 — 6.7 — 34 — More than twelve months below amortized cost 1,220.5 2.2 41.8 0.6 223 2 Total $ 3,026.0 $ 61.9 $ 99.0 $ 13.8 598 15 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% December 31, 2015 U.S. Treasuries $ 69.7 $ — $ 0.3 $ — 14 — U.S. Government, agencies and authorities — — — — — — State, municipalities and political subdivisions 349.5 — 7.9 — 117 — U.S. corporate public securities 3,565.2 373.5 153.5 103.3 651 58 U.S. corporate private securities 791.0 90.9 34.6 27.8 87 4 Foreign corporate public securities and foreign governments 1,211.9 291.1 63.6 87.9 254 40 Foreign corporate private securities 807.3 35.1 53.9 9.6 85 5 Residential mortgage-backed 294.1 — 6.9 — 130 — Commercial mortgage-backed 239.2 — 3.5 — 38 — Other asset-backed 36.3 1.8 1.0 0.4 15 1 Total $ 7,364.2 $ 792.4 $ 325.2 $ 229.0 1,391 108 December 31, 2014 U.S. Treasuries $ 12.4 $ — $ — * $ — 1 — U.S. Government, agencies and authorities 2.3 — — * — 1 — State, municipalities and political subdivisions 22.6 — 0.1 — 8 — U.S. corporate public securities 1,270.1 9.6 38.1 2.1 224 4 U.S. corporate private securities 273.6 15.5 5.3 3.6 30 1 Foreign corporate public securities and foreign governments 903.6 26.2 44.5 5.8 165 5 Foreign corporate private securities 148.7 8.4 4.0 1.7 20 1 Residential mortgage-backed 288.6 — * 5.8 — * 124 2 Commercial mortgage-backed 59.2 — 0.1 — 11 — Other asset-backed 44.9 2.2 1.1 0.6 14 2 Total $ 3,026.0 $ 61.9 $ 99.0 $ 13.8 598 15 * 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. As of December 31, 2015 and 2014 , the Company had no new troubled debt restructurings for private placement or commercial mortgage loans. As of December 31, 2015 the Company held 8 commercial mortgage troubled debt restructured loans with a carrying value of $5.9 . These 8 commercial mortgage loans were restructured in August 2013 with a pre-modification and post modification carrying value of $18.6 . These loans represent what remains of an initial portfolio of 20 restructures with a pre-modification and post modification carrying value of $39.4 . This portfolio of loans is comprised of cross-defaulted, cross-collateralized individual loans, which are owned by the same sponsor. Between the date of the troubled debt restructurings and December 31, 2015 , these loans have repaid $33.5 in principal. As of December 31, 2015 and 2014 , 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: December 31, 2015 December 31, 2014 Impaired Non Impaired Total Impaired Non Impaired Total Commercial mortgage loans $ 10.7 $ 3,719.6 $ 3,730.3 $ 32.4 $ 3,481.7 $ 3,514.1 Collective valuation allowance for losses N/A (1.2 ) (1.2 ) N/A (1.1 ) (1.1 ) Total net commercial mortgage loans $ 10.7 $ 3,718.4 $ 3,729.1 $ 32.4 $ 3,480.6 $ 3,513.0 N/A - Not Applicable There were no impairments taken on the mortgage loan portfolio for the years ended December 31, 2015 and 2014 . The following table summarizes the activity in the allowance for losses for commercial mortgage loans for the periods indicated: December 31, 2015 December 31, 2014 Collective valuation allowance for losses, balance at January 1 $ 1.1 $ 1.2 Addition to (reduction of) allowance for losses 0.1 (0.1 ) Collective valuation allowance for losses, end of period $ 1.2 $ 1.1 The carrying values and unpaid principal balances of impaired mortgage loans were as follows as of the dates indicated: December 31, 2015 December 31, 2014 Impaired loans without allowances for losses $ 10.7 $ 32.4 Less: Allowances for losses on impaired loans — — Impaired loans, net $ 10.7 $ 32.4 Unpaid principal balance of impaired loans $ 12.2 $ 33.9 As of December 31, 2015 and 2014 the Company did not have any impaired loans with allowances for losses. The following table presents information on restructured loans as of the dates indicated: December 31, 2015 December 31, 2014 Troubled debt restructured loans $ 5.9 $ 27.3 There were no mortgage loans in the Company's portfolio in process of foreclosure as of December 31, 2015 and 2014 . There were two loans 30 days or less in arrears, with respect to principal and interest as of December 31, 2015 , with a total amortized cost of $1.0 . There were no loans in arrears, with respect to principal and interest as of December 31, 2014 . 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: Year Ended December 31, 2015 2014 2013 Impaired loans, average investment during the period (amortized cost) (1) $ 21.6 $ 37.6 $ 24.2 Interest income recognized on impaired loans, on an accrual basis (1) 1.2 2.2 1.4 Interest income recognized on impaired loans, on a cash basis (1) 1.3 2.1 1.4 Interest income recognized on troubled debt restructured loans, on an accrual basis 0.8 1.8 1.0 (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 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: December 31, 2015 (1) December 31, 2014 (1) Loan-to-Value Ratio: 0% - 50% $ 395.1 $ 411.0 >50% - 60% 969.4 824.1 >60% - 70% 2,158.2 2,107.9 >70% - 80% 204.8 159.7 >80% and above 2.8 11.4 Total Commercial mortgage loans $ 3,730.3 $ 3,514.1 (1) Balances do not include collective valuation allowance for losses. The following table presents the DSC ratios as of the dates indicated: December 31, 2015 (1) December 31, 2014 (1) Debt Service Coverage Ratio: Greater than 1.5x $ 2,957.7 $ 2,600.1 >1.25x - 1.5x 494.5 520.0 >1.0x - 1.25x 208.6 258.7 Less than 1.0x 38.6 131.3 Commercial mortgage loans secured by land or construction loans 30.9 4.0 Total Commercial mortgage loans $ 3,730.3 $ 3,514.1 (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: December 31, 2015 (1) December 31, 2014 (1) Gross Carrying Value % of Total Gross Carrying Value % of Total Commercial Mortgage Loans by U.S. Region: Pacific $ 867.5 23.3 % $ 802.6 22.8 % South Atlantic 857.3 23.0 % 746.5 21.2 % Middle Atlantic 556.1 14.9 % 505.8 14.4 % West South Central 414.8 11.1 % 448.4 12.8 % Mountain 304.1 8.2 % 274.0 7.8 % East North Central 380.8 10.2 % 355.3 10.1 % New England 81.4 2.2 % 74.8 2.1 % West North Central 208.6 5.6 % 219.6 6.3 % East South Central 59.7 1.5 % 87.1 2.5 % Total Commercial mortgage loans $ 3,730.3 100.0 % $ 3,514.1 100.0 % (1) Balances do not include collective valuation allowance for losses. December 31, 2015 (1) December 31, 2014 (1) Gross Carrying Value % of Total Gross Carrying Value % of Total Commercial Mortgage Loans by Property Type: Retail $ 1,330.8 35.7 % $ 1,236.4 35.2 % Industrial 741.3 19.9 % 796.8 22.7 % Apartments 630.4 16.9 % 550.6 15.7 % Office 586.3 15.7 % 443.1 12.6 % Hotel/Motel 177.6 4.7 % 149.7 4.2 % Mixed Use 47.1 1.3 % 142.8 4.1 % Other 216.8 5.8 % 194.7 5.5 % Total Commercial mortgage loans $ 3,730.3 100.0 % $ 3,514.1 100.0 % (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: December 31, 2015 (1) December 31, 2014 (1) Year of Origination: 2015 $ 745.3 $ — 2014 558.0 580.0 2013 709.2 758.8 2012 748.2 854.5 2011 553.2 674.4 2010 48.4 66.0 2009 and prior 368.0 580.4 Total Commercial mortgage loans $ 3,730.3 $ 3,514.1 (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 Consolidated Statements of Operations, excluding impairments included in Other comprehensive income (loss) by type for the periods indicated: Year Ended December 31, 2015 2014 2013 Impairment No. of Securities Impairment No. of Securities Impairment No. of Securities U.S. corporate public securities $ 8.5 8 $ 1.7 3 $ — — Foreign corporate public securities and foreign governments (1) 34.2 9 3.7 7 1.8 1 Foreign corporate private securities (1) 0.7 1 — — — — Residential mortgage-backed 2.4 26 1.6 26 3.4 35 Commercial mortgage-backed — — 0.1 2 0.3 3 Other asset-backed 0.1 1 — * 1 0.3 2 Equity securities — — — — 0.1 1 Total $ 45.9 45 $ 7.1 39 $ 5.9 42 * Less than $0.1. (1) Primarily U.S. dollar denominated. The above tables include $3.8 , $1.6 and $4.8 of write-downs related to credit impairments for the years ended December 31, 2015 , 2014 and 2013 , respectively, in Other-than-temporary impairments, which are recognized in the Consolidated Statements of Operations. The remaining $42.1 , $5.5 and $1.1 in write-downs for the years ended December 31, 2015 , 2014 and 2013 , respectively, are related to intent impairments. The following table summarizes these intent impairments, which are also recognized in earnings, by type for the periods indicated: Year Ended December 31, 2015 2014 2013 Impairment No. of Securities Impairment No. of Securities Impairment No. of Securities U.S. corporate public securities $ 8.5 7 $ 1.6 3 $ — — Foreign corporate public securities and foreign governments (1) 32.5 8 3.7 7 — — Foreign corporate private securities (1) — — — — — — Residential mortgage-backed 1.1 5 0.1 3 0.8 6 Commercial mortgage-backed — — 0.1 2 0.3 3 Other asset-backed — — — — — — Equity securities — — — — — — Total $ 42.1 20 $ 5.5 15 $ 1.1 9 (1) Primarily U.S. dollar denominated. The Company may sell securities during the period in which fair value has declined below amortized cost for fixed maturities or cost for equity securities. In certain situations, new factors, including changes in the business environment, can change the Company's previous intent to continue holding a security. Accordingly, these factors may lead the Company to record additional intent related capital losses. The following table identifies the amount of credit impairments on fixed maturities for which a portion of the OTTI loss was recognized in Other comprehensive income (loss) and the corresponding changes in such amounts for the periods indicated: Year Ended December 31, 2015 2014 2013 Balance at January 1 $ 22.4 $ 28.0 $ 28.4 Additional credit impairments: On securities not previously impaired — 0.7 1.1 On securities previously impaired 1.3 0.9 1.8 Reductions: Increase in cash flows 0.2 0.6 — Securities sold, matured, prepaid or paid down 4.2 6.6 3.3 Balance at December 31 $ 19.3 $ 22.4 $ 28.0 Net Investment Income The following table summarizes Net investment income for the periods indicated: Year Ended December 31, 2015 2014 2013 Fixed maturities $ 1,230.0 $ 1,216.3 $ 1,199.4 Equity securities, available-for-sale 4.2 7.1 2.8 Mortgage loans on real estate 194.6 172.7 157.1 Policy loans 12.0 13.3 13.1 Short-term investments and cash equivalents 0.6 0.5 0.9 Other 21.9 30.6 42.6 Gross investment income 1,463.3 1,440.5 1,415.9 Less: inves |
