

Available-For-Sale Fixed Maturity Securities by Investment Category

	December 31, 2019
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value		Non-credit losses on other-than-temporary impairments (1)
	(Dollars in thousands)
Fixed maturities:
Corporate	$	3,376,432	$	418,049	$	(15,531	)	$	3,778,950	$	—
Residential mortgage-backed	626,663		47,654		(1,929		)	672,388		1,997
Commercial mortgage-backed	969,453		77,433		(1,413		)	1,045,473		—
Other asset-backed	697,390		19,745		(2,614		)	714,521		502
United States Government and agencies	12,417		1,711		(5		)	14,123		—
States and political subdivisions	1,332,914		145,125		(866		)	1,477,173		—
Total fixed maturities	$	7,015,269	$	709,717	$	(22,358	)	$	7,702,628	$	2,499



	December 31, 2018
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value		Non-credit losses on other-than-temporary impairments (1)
	(Dollars in thousands)
Fixed maturities:
Corporate	$	3,231,846	$	138,972	$	(90,933	)	$	3,279,885	$	—
Residential mortgage-backed	584,133		29,969		(7,242		)	606,860		2,823
Commercial mortgage-backed	873,672		24,284		(19,390		)	878,566		—
Other asset-backed	697,332		15,567		(5,329		)	707,570		1,143
United States Government and agencies	19,673		996		(134		)	20,535		—
States and political subdivisions	1,449,621		95,921		(5,913		)	1,539,629		—
Total fixed maturities	$	6,856,277	$	305,709	$	(128,941	)	$	7,033,045	$	3,966



Available-For-Sale Fixed Maturities by Maturity Date

	December 31, 2019
	Amortized Cost		Fair Value
	(Dollars in thousands)
Due in one year or less	$	66,353	$	67,542
Due after one year through five years	546,639		575,142
Due after five years through ten years	731,902		805,484
Due after ten years	3,376,869		3,822,078
	4,721,763		5,270,246
Mortgage-backed and other asset-backed	2,293,506		2,432,382
Total fixed maturities	$	7,015,269	$	7,702,628

Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. Fixed maturities not due at a single maturity date have been included in the above table in the year of final contractual maturity.



Net Unrealized Gains on Investments in Accumulated Other Comprehensive Income

	December 31,
	2019			2018
	(Dollars in thousands)
Net unrealized appreciation on:
Fixed maturities - available for sale	$	687,359		$	176,768
Adjustments for assumed changes in amortization pattern of:
Deferred acquisition costs	(200,227		)	(46,732		)
Value of insurance in force acquired	(12,498		)	(6,878		)
Unearned revenue reserve	18,025			5,134
Adjustments for assumed changes in policyholder liabilities	(30,642		)	(1,642		)
Provision for deferred income taxes (see Note 5)	(97,023		)	(26,596		)
Net unrealized investment gains	$	364,994		$	100,054



Change in Unrealized Appreciation/Depreciation of Investments - Recorded in Accumulated Other Comprehensive Income

	Year ended December 31,
	2019		2018			2017
	(Dollars in thousands)
Fixed maturities - available for sale	$	510,591	$	(357,950	)	$	187,639
Equity securities	—		—			4,941
Change in unrealized appreciation/depreciation of investments	$	510,591	$	(357,950	)	$	192,580

The changes in net unrealized investment gains and losses are recorded net of deferred income taxes and other adjustments for assumed changes in deferred acquisition costs, value of insurance in force acquired, unearned revenue reserve and policyholder liabilities. Subsequent changes in the fair value of securities for which a previous non-credit OTTI loss was recognized in accumulated other comprehensive income are reported along with changes in fair value for which no OTTI losses were previously recognized.



Fixed Maturity Securities with Unrealized Losses by Length of Time

	December 31, 2019
	Less than one year					One year or more					Total
Description of Securities	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Percent of Total
	(Dollars in thousands)
Fixed maturities:
Corporate	$	114,520	$	(2,476	)	$	84,719	$	(13,055	)	$	199,239	$	(15,531	)	69.5	%
Residential mortgage-backed	68,743		(1,435		)	6,941		(494		)	75,684		(1,929		)	8.6	%
Commercial mortgage-backed	46,537		(1,266		)	2,610		(147		)	49,147		(1,413		)	6.3	%
Other asset-backed	112,462		(519		)	102,439		(2,095		)	214,901		(2,614		)	11.7	%
United States Government and agencies	—		—			2,494		(5		)	2,494		(5		)	—	%
States and political subdivisions	19,367		(379		)	5,936		(487		)	25,303		(866		)	3.9	%
Total fixed maturities	$	361,629	$	(6,075	)	$	205,139	$	(16,283	)	$	566,768	$	(22,358	)	100.0	%



Fixed Maturity Securities with Unrealized Losses by Length of Time

	December 31, 2018
	Less than one year					One year or more					Total
Description of Securities	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Percent of Total
	(Dollars in thousands)
Fixed maturities:
Corporate	$	1,035,176	$	(60,299	)	$	207,381	$	(30,634	)	$	1,242,557	$	(90,933	)	70.5	%
Residential mortgage-backed	191,365		(4,482		)	74,113		(2,760		)	265,478		(7,242		)	5.6	%
Commercial mortgage-backed	302,159		(9,947		)	148,855		(9,443		)	451,014		(19,390		)	15.0	%
Other asset-backed	250,119		(3,397		)	149,997		(1,932		)	400,116		(5,329		)	4.1	%
United States Government and agencies	—		—			6,474		(134		)	6,474		(134		)	0.1	%
States and political subdivisions	144,681		(3,885		)	16,943		(2,028		)	161,624		(5,913		)	4.7	%
Total fixed maturities	$	1,923,500	$	(82,010	)	$	603,763	$	(46,931	)	$	2,527,263	$	(128,941	)	100.0	%

Unrealized losses decreased during 2019 primarily due to lower market interest rates. We do not consider securities to be OTTI when the market decline is attributable to factors such as interest rate movements, market volatility, liquidity, spread widening and credit quality when recovery of all amounts due under the contractual terms of the security is anticipated. Based on our intent not to sell or our belief that we will not be required to sell these securities before recovery of their amortized cost basis, we do not consider these investments to be OTTI at December 31, 2019.

Our mortgage loan portfolio consists of commercial mortgage loans that we have originated. Our lending policies require that the loans be collateralized by the value of the related property, establish limits on the amount that can be loaned to one borrower and require diversification by geographic location and collateral type. We originate loans with an initial loan-to-value ratio that provides sufficient collateral to absorb losses should we be required to foreclose and take possession of the collateral. In order to identify impairment losses, management maintains and regularly reviews a watch list of mortgage loans that have heightened risk. These loans may include those with borrowers delinquent on contractual payments, borrowers experiencing financial difficulty, increases in rental real estate vacancies and significant declines in collateral value. We evaluate each of our mortgage loans individually and establish an estimated loss, if needed, for each impaired loan identified. An estimated loss is needed for loans for which we do not believe we will collect all amounts due according to the contractual terms of the respective loan agreements.

Any loan delinquent on contractual payments is considered non-performing. Mortgage loans are placed on non-accrual status if we have concerns regarding the collectability of future payments. Interest income on non-performing loans is generally recognized on a cash basis. Once mortgage loans are classified as non-accrual loans, the resumption of the interest accrual would commence only after all past due interest has been collected or the mortgage loan has been restructured such that the collection of interest is considered likely. At December 31, 2019 and December 31, 2018, there were no non-performing loans over 90 days past due on contractual payments. At December 31, 2019, we had not committed to provide additional funding for any mortgage loans.



Mortgage Loans by Collateral Type

	December 31, 2019				December 31, 2018
Collateral Type	Carrying Value		Percent of Total		Carrying Value		Percent of Total
	(Dollars in thousands)
Office	$	417,746	41.3	%	$	454,694	43.7	%
Retail	345,870		34.2		332,579		32.0
Industrial	235,274		23.2		234,453		22.6
Other	12,788		1.3		18,103		1.7
Total	$	1,011,678	100.0	%	$	1,039,829	100.0	%



Mortgage Loans by Geographic Location within the United States

	December 31, 2019				December 31, 2018
Region of the United States	Carrying Value		Percent of Total		Carrying Value		Percent of Total
	(Dollars in thousands)
South Atlantic	$	288,299	28.5	%	$	301,206	29.0	%
Pacific	164,996		16.3		162,824		15.7
East North Central	117,053		11.6		117,768		11.3
West North Central	108,942		10.8		126,320		12.1
Mountain	96,857		9.6		101,335		9.7
East South Central	81,275		8.0		76,098		7.3
West South Central	76,650		7.6		85,919		8.3
Middle Atlantic	45,687		4.5		34,843		3.4
New England	31,919		3.1		33,516		3.2
Total	$	1,011,678	100.0	%	$	1,039,829	100.0	%



Mortgage Loans by Loan-to-Value Ratio

	December 31, 2019				December 31, 2018
Loan-to-Value Ratio	Carrying Value		Percent of Total		Carrying Value		Percent of Total
	(Dollars in thousands)
0% - 50%	$	412,973	40.8	%	$	409,089	39.3	%
51% - 60%	310,869		30.7		314,038		30.2
61% - 70%	256,280		25.4		264,973		25.5
71% - 80%	31,556		3.1		37,418		3.6
81% - 90%	—		—		14,311		1.4
Total	$	1,011,678	100.0	%	$	1,039,829	100.0	%



Mortgage Loans by Year of Origination

	December 31, 2019				December 31, 2018
	Carrying Value		Percent of Total		Carrying Value		Percent of Total
	(Dollars in thousands)
2019	$	69,319	6.8	%	$	—	—	%
2018	128,334		12.7		137,519		13.2
2017	200,283		19.8		207,540		20.0
2016	144,311		14.3		149,437		14.4
2015	119,724		11.8		128,877		12.4
2014 and prior	349,707		34.6		416,456		40.0
Total	$	1,011,678	100.0	%	$	1,039,829	100.0	%

Our commercial mortgage loan portfolio can include loans that have been modified. We assess loan modifications on a loan-by-loan basis to evaluate whether a troubled-debt restructuring has occurred. Generally, the types of concessions include reduction of the contractual interest rate to a below-market rate, extension of the maturity date and/or a reduction of accrued interest. The amount, timing and extent of the concession granted is considered in determining if an impairment loss is needed for the restructuring. There were no loan modifications during 2019 or 2018.



Components of Net Investment Income
	Year ended December 31,
	2019			2018			2017
	(Dollars in thousands)
Fixed maturities - available for sale	$	334,557		$	340,498		$	344,302
Equity securities	8,718			8,488			6,502
Mortgage loans	46,182			45,294			42,185
Policy loans	9,416			9,210			9,014
Short-term investments, cash and cash equivalents	1,043			772			506
Derivative income (loss)	25,282			(10,405		)	7,687
Prepayment fee income and other	7,332			9,208			12,470
	432,530			403,065			422,666
Less investment expenses	(7,532		)	(8,447		)	(7,467		)
Net investment income	$	424,998		$	394,618		$	415,199



Realized Gains (Losses) - Recorded in Income
	Year ended December 31,
	2019			2018			2017
	(Dollars in thousands)
Realized gains (losses) on investments
Fixed maturities:
Gross gains	$	3,779		$	2,195		$	1,426
Gross losses	(3,777		)	(363		)	(1,081		)
Equity securities	—			—			(90		)
Mortgage loans	2,778			—			—
Real estate	54			—			304
Other	(4		)	(19		)	40
	2,830			1,813			599
Net gains and (losses) recognized during the period on equity securities held at the end of the period (1)	5,666			(8,137		)	—
Net gains and (losses) recognized during the period on equity securities sold during the period	27			(952		)	—
Net gains (losses) recognized during the period on equity securities	5,693			(9,089		)	—
Net realized gains (losses)	8,523			(7,276		)	599

Impairment losses recognized in earnings:
Credit-related portion of fixed maturity losses (2)	—			(32		)	—
Other credit-related (3)	(919		)	(4,966		)	(1,553		)
Net realized gains (losses) on investments recorded in income	$	7,604		$	(12,274	)	$	(954	)



Credit Loss Component of Other-Than-Temporary Impairments on Fixed Maturities

	Year ended December 31,
	2019			2018
	(Dollars in thousands)
Balance at beginning of period	$	(5,963	)	$	(12,392	)
Increases to previously impaired investments	—			(32		)
Reductions due to investments sold	1,147			3,932
Reduction for credit loss that no longer has a portion of the OTTI loss recognized in other comprehensive income	—			2,529
Balance at end of period	$	(4,816	)	$	(5,963	)

This table sets forth the amount of credit loss impairments on fixed maturities held by the Company for which the non-credit portion of the OTTI was recognized in other comprehensive income (loss) and corresponding changes in such amounts. Credit loss impairments with no portion of the loss recognized in other comprehensive income, such as securities for which OTTI were measured at fair value, are excluded from the table.

We evaluate our variable interest entity (VIE) investees to determine whether the level of our direct ownership interest, our rights to manage operations or our obligation to provide ongoing financial support are such that we are the primary beneficiary of the entity, and would therefore be required to consolidate it for financial reporting purposes. After determining that we have a variable interest, we review our involvement in the VIE to determine whether we have both the power to direct activities that most significantly impact the economic performance of the VIE, and the obligation to absorb losses or the rights to receive benefits that could be potentially significant to the VIE. This analysis includes a review of the purpose and design of the VIE, as well as the role that we played in the formation of the entity and how that role could impact our ability to control the VIE. We also review the activities and decisions considered significant to the economic performance of the VIE and assess what power we have in directing those activities and decisions. Finally, we review the agreements in place to determine if there are any guarantees that would affect our maximum exposure to loss.

We have reviewed the circumstances surrounding our investments in VIEs, which consist of (i) limited partnerships or limited liability companies accounted for under the equity method included in securities and indebtedness of related parties and (ii) non-guaranteed federal LIHTC investments included in other assets. In addition, we have reviewed the ownership interests in our VIEs and determined that we do not hold direct majority ownership or have other contractual rights (such as kick out rights) that give us effective control over these entities resulting in us having both the power to direct activities that most significantly impact the economic performance of the VIE and the obligation to absorb losses or the right to receive benefits that could be potentially significant to the VIE. The maximum loss exposure relative to our VIEs is limited to the carrying value and any unfunded commitments that exist for each particular VIE. We also have not provided additional support or other guarantees that were not previously contractually required (financial or otherwise) to any of the VIEs as of December 31, 2019 or December 31, 2018. Based on this analysis, none of our VIEs were required to be consolidated at December 31, 2019 or December 31, 2018.

LIHTC investments take the form of limited partnerships or limited liability companies, which in turn invest in a number of low income housing projects. We use the proportional amortization method of accounting for these investments. The proportional amortization method amortizes the cost of the investment over the period in which the investor expects to receive tax credits and other tax benefits, and the resulting amortization is recognized along with the tax benefit as a component of federal income tax expense on our consolidated statements of operations.



VIE Investments by Category

	December 31, 2019				December 31, 2018
	Carrying Value		Maximum Exposure to Loss		Carrying Value		Maximum Exposure to Loss
	(Dollars in thousands)
LIHTC investments	$	42,907	$	43,834	$	54,037	$	55,597
Investment companies	53,388		103,125		40,236		79,578
Real estate limited partnerships	9,565		15,527		8,945		15,673
Other	492		492		483		493
Total	$	106,352	$	162,978	$	103,701	$	151,341

In addition, we make passive investments in the normal course of business in structured securities issued by VIEs for which we are not the investment manager. These structured securities include all of the residential mortgage-backed securities, commercial mortgage-backed securities and other asset-backed securities included in our fixed maturity securities. Our maximum exposure to loss on these securities is limited to our carrying value of the investment. We have determined that we are not the primary beneficiary of these structured securities because we do not have the power to direct the activities that most significantly impact the entities’ economic performance.

Our primary derivative exposure relates to purchased call options, which provide an economic hedge against the embedded derivatives in our indexed products. We also have embedded derivatives within our modified coinsurance agreements as well as an interest-only fixed maturity investment. We do not apply hedge accounting to any of our derivative positions, and they are held at fair value.



Derivatives Instruments by Type
	December 31, 2019		December 31, 2018
	(Dollars in thousands)
Assets
Freestanding derivatives:
Call options (reported in other investments)	$	31,469	$	4,745
Embedded derivatives:
Modified coinsurance (reported in reinsurance recoverable)	2,327		157
Interest-only security (reported in fixed maturities)	385		855
Total assets	$	34,181	$	5,757

Liabilities
Embedded derivatives:
Indexed products (reported in liability for future policy benefits)	$	76,346	$	40,028
Modified coinsurance (reported in other liabilities)	254		780
Total liabilities	$	76,600	$	40,808



Derivative Income (Loss)
	Year ended December 31,
	2019			2018			2017
	(Dollars in thousands)
Freestanding derivatives:
Call options	$	22,497		$	(7,749	)	$	9,372
Embedded derivatives:
Modified coinsurance	2,695			(2,480		)	(1,440		)
Interest-only security	90			(176		)	(246		)
Indexed products	(23,050		)	3,243			321
Total income (loss) from derivatives	$	2,232		$	(7,162	)	$	8,007

We are exposed to credit losses in the event of nonperformance of the derivative counterparties. This credit risk is minimized by purchasing such agreements from financial institutions with high credit ratings (currently rated A or better by nationally recognized statistical rating organizations). We have also entered into credit support agreements with the counterparties requiring them to post collateral when net exposures exceed pre-determined thresholds that vary by counterparty. The net amount of such exposure is essentially the market value less collateral held for such agreements with each counterparty. The call options are supported by securities collateral received of $25.6 million at December 31, 2019, which is held in a separate custodial account. Subject to certain constraints, we are permitted to sell or re-pledge this collateral, but do not have legal rights to the collateral; accordingly, it has not been recorded on our balance sheet. At December 31, 2019, none of the collateral had been sold or re-pledged. As of December 31, 2019, our net derivative exposure was $7.0 million.

At December 31, 2019, affidavits of deposits covering investments with a carrying value totaling $8,452.0 million were on deposit with state agencies to meet regulatory requirements. Fixed maturities with a carrying value of $535.7 million were on deposit with the FHLB as collateral for funding agreements.