Investments (Tables)

6 Months Ended

Jun. 30, 2020

Investments [Abstract]

Fixed Maturities, Available-for-sale Securities

The following tables set forth the composition of fixed maturity securities (excluding investments classified as trading), as of the dates indicated:

	June 30, 2020
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses		Fair Value
	(in thousands)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	14,775	$	1,277	$	0	$	0	$	16,052
Obligations of U.S. states and their political subdivisions	162,428		17,662		0		0		180,090
Foreign government bonds	69,664		9,164		34		0		78,794
U.S. public corporate securities	734,382		123,756		1,687		0		856,451
U.S. private corporate securities	225,446		16,527		1,367		0		240,606
Foreign public corporate securities	52,922		6,584		326		0		59,180
Foreign private corporate securities	162,044		5,135		4,892		0		162,287
Asset-backed securities(1)	18,020		545		128		0		18,437
Commercial mortgage-backed securities	143,676		11,698		0		0		155,374
Residential mortgage-backed securities(2)	3,647		635		0		0		4,282
Total fixed maturities, available-for-sale	$	1,587,004	$	192,983	$	8,434	$	0	$	1,771,553

(1) Includes credit-tranched securities collateralized by loan obligations and education loans.

(2) Includes publicly-traded agency pass-through securities and collateralized mortgage obligations.

	December 31, 2019
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		OTTI in AOCI(3)
	(in thousands)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	14,983	$	1,032	$	0	$	16,015	$	0
Obligations of U.S. states and their political subdivisions	123,505		10,172		0		133,677		0
Foreign government bonds	70,287		6,993		0		77,280		0
U.S. public corporate securities	627,880		70,167		527		697,520		0
U.S. private corporate securities	222,952		10,416		153		233,215		0
Foreign public corporate securities	53,115		4,958		80		57,993		0
Foreign private corporate securities	161,597		4,505		2,210		163,892		0
Asset-backed securities(1)	17,816		753		27		18,542		0
Commercial mortgage-backed securities	141,593		5,796		0		147,389		0
Residential mortgage-backed securities(2)	4,068		509		4		4,573		(50		)
Total fixed maturities, available-for-sale	$	1,437,796	$	115,301	$	3,001	$	1,550,096	$	(50	)

(1) Includes credit-tranched securities collateralized by loan obligations, sub-prime mortgages, and education loans.

(2) Includes publicly-traded agency pass-through securities and collateralized mortgage obligations.

(3)

Represents the amount of unrealized losses remaining in AOCI, from the impairment measurement date. Amount excludes $0.1 million of net unrealized gains on impaired available-for-sale securities relating to changes in the value of such securities subsequent to the impairment measurement date.

Duration Of Gross Unrealized Losses On Fixed Maturity Securities

The following table sets forth the fair value and gross unrealized losses on available-for-sale fixed maturity securities without an allowance for credit losses aggregated by investment category and length of time that individual fixed maturity securities had been in a continuous unrealized loss position, as of the date indicated:

	June 30, 2020
	Less Than Twelve Months				Twelve Months or More				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
	(in thousands)
Fixed maturities, available-for-sale:
Foreign government bonds	$	1,977	$	34	$	0	$	0	$	1,977	$	34
U.S. public corporate securities	34,409		1,687		0		0		34,409		1,687
U.S. private corporate securities	24,994		1,367		0		0		24,994		1,367
Foreign public corporate securities	4,989		326		0		0		4,989		326
Foreign private corporate securities	19,719		728		33,253		4,164		52,972		4,892
Asset-backed securities	2,955		42		3,407		86		6,362		128
Residential mortgage-backed securities	0		0		0		0		0		0
Total fixed maturities, available-for-sale	$	89,043	$	4,184	$	36,660	$	4,250	$	125,703	$	8,434

The following table sets forth the fair value and gross unrealized losses on fixed maturity securities aggregated by investment category and length of time that individual fixed maturity securities had been in a continuous unrealized loss position, as of the date indicated:

	December 31, 2019
	Less Than Twelve Months				Twelve Months or More				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
	(in thousands)
Fixed maturities, available-for-sale:
Foreign government bonds	$	0	$	0	$	400	$	0	$	400	$	0
U.S. public corporate securities	16,892		190		1,073		337		17,965		527
U.S. private corporate securities	7,350		140		4,757		13		12,107		153
Foreign public corporate securities	2,054		23		2,427		57		4,481		80
Foreign private corporate securities	10,659		281		27,048		1,929		37,707		2,210
Asset-backed securities	1,488		12		2,985		15		4,473		27
Residential mortgage-backed securities	91		4		0		0		91		4
Total fixed maturities, available-for-sale	$	38,534	$	650	$	38,690	$	2,351	$	77,224	$	3,001

Fixed Maturities Classified by Contractual Maturity Date

The following table sets forth the amortized cost and fair value of fixed maturities by contractual maturities, as of the date indicated:

	June 30, 2020
	Amortized Cost		Fair Value
	(in thousands)
Fixed maturities, available-for-sale:
Due in one year or less	$	48,076	$	48,656
Due after one year through five years	206,128		213,023
Due after five years through ten years	207,481		216,827
Due after ten years	959,976		1,114,954
Asset-backed securities	18,020		18,437
Commercial mortgage-backed securities	143,676		155,374
Residential mortgage-backed securities	3,647		4,282
Total fixed maturities, available-for-sale	$	1,587,004	$	1,771,553

Sources of Fixed Maturity Proceeds, Realized Investment Gains (Losses), and Losses on Impairments

The following table sets forth the sources of fixed maturity proceeds and related investment gains (losses), as well as losses on write-downs, impairments and the allowance for credit losses of fixed maturities, for the periods indicated:

	Three Months Ended June 30,						Six Months Ended June 30,
	2020			2019			2020			2019
	(in thousands)
Fixed maturities, available-for-sale:
Proceeds from sales(1)	$	885		$	8,383		$	2,295		$	11,639
Proceeds from maturities/prepayments	5,361			19,043			17,615			22,206
Gross investment gains from sales and maturities	2			40			26			143
Gross investment losses from sales and maturities	(44		)	(424		)	(44		)	(459		)
OTTI recognized in earnings(2)	N/A			0			N/A			(3,163		)
Write-downs recognized in earnings(3)	0			N/A			(625		)	N/A
(Addition to) release of allowance for credit losses(4)	0			N/A			0			N/A

(1) Includes $0.0 million and $0.7 million of non-cash related proceeds due to the timing of trade settlements for the six months ended June 30, 2020 and 2019, respectively.

(2) For the three and six months ended June 30, 2019, amounts exclude the portion of OTTI amounts remaining in OCI, representing any difference between the fair value of the impaired debt security and the net present value of its projected future cash flows at the time of impairment.

(3) For the three and six months ended June 30, 2020, amounts represent write-downs on securities approaching maturity related to foreign exchange movements and securities actively marketed for sale.

(4)

Effective January 1, 2020, credit losses on available-for-sale fixed maturity securities are recorded within the "allowance for credit losses."

Commercial Mortgage and Other Loans

The following table sets forth the composition of “Commercial mortgage and other loans,” as of the dates indicated:

	June 30, 2020					December 31, 2019
	Amount (in thousands)			% of Total		Amount (in thousands)			% of Total
Commercial mortgage and agricultural property loans by property type:
Apartments/Multi-Family	$	47,170		34.1	%	$	47,568		33.2	%
Hospitality	14,160			10.2		14,266			10.0
Industrial	16,479			11.9		18,907			13.2
Office	23,290			16.8		24,035			16.7
Other	18,775			13.6		18,853			13.2
Retail	16,025			11.6		16,174			11.3
Total commercial mortgage loans	135,899			98.2		139,803			97.6
Agricultural property loans	2,472			1.8		3,460			2.4
Total commercial mortgage and agricultural property loans by property type	138,371			100.0	%	143,263			100.0	%
Allowance for credit losses	(457		)			(165		)
Total commercial mortgage and other loans	$	137,914				$	143,098

Allowance for Credit Losses

The following table sets forth the activity in the allowance for credit losses for commercial mortgage and other loans, as of the dates indicated:

	Commercial Mortgage Loans		Agricultural Property Loans			Total
	(in thousands)
Balance at December 31, 2018	$	150	$	1		$	151
Addition to (release of) allowance for credit losses	14		0			14
Balance at December 31, 2019	164		1			165
Cumulative effect of adoption of ASU 2016-13	204		0			204
Addition to (release of) allowance for expected losses	89		(1		)	88
Balance at June 30, 2020	$	457	$	0		$	457

Financing Receivable Credit Quality Indicators

The following tables set forth key credit quality indicators based upon the recorded investment gross of allowance for credit losses, as of the date indicated:

	June 30, 2020
	Amortized Cost by Origination Year
	2020		2019		2018		2017		2016		Prior		Revolving Loans		Total
	(in thousands)
Loan-to-Value Ratio:
Commercial mortgage loans
0%-59.99%	$	0	$	10,307	$	0	$	8,804	$	9,771	$	58,521	$	0	$	87,403
60%-69.99%	2,198		20,727		1,498		3,946		3,192		13,886		0		45,447
70%-79.99%	0		3,049		0		0		0		0		0		3,049
80% or greater	0		0		0		0		0		0		0		0
Subtotal	2,198		34,083		1,498		12,750		12,963		72,407		0		135,899
Agricultural property loans
0%-59.99%	0		0		0		0		0		2,472		0		2,472
60%-69.99%	0		0		0		0		0		0		0		0
70%-79.99%	0		0		0		0		0		0		0		0
80% or greater	0		0		0		0		0		0		0		0
Subtotal	0		0		0		0		0		2,472		0		2,472
Total commercial mortgage and agricultural property loans
0%-59.99%	0		10,307		0		8,804		9,771		60,993		0		89,875
60%-69.99%	2,198		20,727		1,498		3,946		3,192		13,886		0		45,447
70%-79.99%	0		3,049		0		0		0		0		0		3,049
80% or greater	0		0		0		0		0		0		0		0
Total commercial mortgage and agricultural property loans	$	2,198	$	34,083	$	1,498	$	12,750	$	12,963	$	74,879	$	0	$	138,371

	June 30, 2020				December 31, 2019
	Commercial Mortgage Loans		Agricultural Property Loans		Commercial Mortgage Loans		Agricultural Property Loans
	(in thousands)
Debt Service Coverage Ratio:
Greater or equal to 1.2x	$	131,469	$	2,472	$	135,276	$	3,460
1.0 - 1.2x	4,430		0		4,527		0
Less than 1.0x	0		0		0		0
Total	$	135,899	$	2,472	$	139,803	$	3,460

Aging of Past Due Commercial Mortgage and Other Loans and Nonaccrual Status

The following tables set forth an aging of past due commercial mortgage and other loans based upon the recorded investment gross of allowance for credit losses, as well as the amount of commercial mortgage and other loans on non-accrual status, as of the dates indicated:

	June 30, 2020
	Current		30-59 Days Past Due		60-89 Days Past Due		90 Days or More Past Due(1)		Total Loans		Non-Accrual Status(2)
	(in thousands)
Commercial mortgage loans	$	135,899	$	0	$	0	$	0	$	135,899	$	0
Agricultural property loans	2,472		0		0		0		2,472		0
Total	$	138,371	$	0	$	0	$	0	$	138,371	$	0

(1) As of June 30, 2020, there were no loans in this category accruing interest.

(2) For additional information regarding the Company’s policies for accruing interest on loans, see Note 2 to the Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019.

	December 31, 2019
	Current		30-59 Days Past Due		60-89 Days Past Due		90 Days or More Past Due(1)		Total Loans		Non-Accrual Status(2)
	(in thousands)
Commercial mortgage loans	$	139,803	$	0	$	0	$	0	$	139,803	$	0
Agricultural property loans	3,460		0		0		0		3,460		0
Total	$	143,263	$	0	$	0	$	0	$	143,263	$	0

(1) As of December 31, 2019, there were no loans in this category accruing interest.

(2)

For additional information regarding the Company’s policies for accruing interest on loans, see Note 2 to the Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019.

Other Invested Assets

The following table sets forth the composition of “Other invested assets,” as of the dates indicated:

	June 30, 2020		December 31, 2019
	(in thousands)
Company’s investment in separate accounts	$	3,320	$	3,418
LPs/LLCs:
Equity method:
Private equity	31,380		26,609
Hedge funds	31,169		30,629
Real estate-related	4,466		4,154
Subtotal equity method	67,015		61,392
Fair value:
Private equity	567		774
Hedge funds	69		78
Real estate-related	2,305		2,490
Subtotal fair value	2,941		3,342
Total LPs/LLCs	69,956		64,734
Derivative instruments	34,248		21,384
Total other invested assets	$	107,524	$	89,536

Accrued Investment Income

The following table sets forth the composition of “Accrued investment income,” as of the date indicated:

	June 30, 2020
	(in thousands)
Fixed maturities	$	14,881
Equity securities	1
Commercial mortgage and other loans	384
Policy loans	5,702
Short-term investments and cash equivalents	16
Total accrued investment income	$	20,984

Net Investment Income

The following table sets forth “Net investment income” by investment type, for the periods indicated:

	Three Months Ended June 30,						Six Months Ended June 30,
	2020			2019			2020			2019
	(in thousands)
Fixed maturities, available-for-sale	$	15,681		$	14,248		$	29,843		$	27,806
Fixed maturities, trading	121			86			242			163
Equity securities	91			91			182			182
Commercial mortgage and other loans	1,442			1,324			2,844			2,501
Policy loans	2,885			2,846			5,761			5,580
Other invested assets	1,370			1,414			325			3,096
Short-term investments and cash equivalents	56			322			359			602
Gross investment income	21,646			20,331			39,556			39,930
Less: investment expenses	(963		)	(859		)	(1,908		)	(1,717		)
Net investment income	$	20,683		$	19,472		$	37,648		$	38,213

Realized Investment Gains (Losses), Net

The following table sets forth “Realized investment gains (losses), net” by investment type, for the periods indicated:

	Three Months Ended June 30,						Six Months Ended June 30,
	2020			2019			2020			2019
	(in thousands)
Fixed maturities(1)	$	(42	)	$	(384	)	$	(643	)	$	(3,479	)
Commercial mortgage and other loans	(15		)	21			(88		)	33
Other invested assets	1			0			(59		)	11
Derivatives	(7,493		)	(4,689		)	6,378			(7,733		)
Short term investments and cash equivalents	37			(4		)	(35		)	2
Realized investment gains (losses), net	$	(7,512	)	$	(5,056	)	$	5,553		$	(11,166	)

(1) Includes fixed maturity securities classified as available-for-sale and excludes fixed maturity securities classified as trading.

Unrealized Gains and (Losses) on Investments

The following table sets forth net unrealized gains (losses) on investments, as of the dates indicated:

	June 30, 2020		December 31, 2019
	(in thousands)
Fixed maturity securities, available-for-sale — with OTTI(1)	$ N/A		$	51
Fixed maturity securities, available-for-sale — all other(1)	N/A		112,249
Fixed maturity securities, available-for-sale with an allowance	0		N/A
Fixed maturity securities, available-for-sale without an allowance	184,549		N/A
Derivatives designated as cash flow hedges(2)	13,596		3,193
Affiliated notes	508		480
Other investments	39		66
Net unrealized gains (losses) on investments	$	198,692	$	116,039

(1) Effective January 1, 2020, per ASU 2016-13, fixed maturity securities, available-for-sale are no longer required to be disclosed “with OTTI” and “all other.”

(2) For more information on cash flow hedges, see Note 4.

Repurchase Agreements and Securities Lending

The following table sets forth the composition of “Cash collateral for loaned securities,” which represents the liability to return cash collateral received for the following types of securities loaned, as of the dates indicated:

	June 30, 2020						December 31, 2019
	Remaining Contractual Maturities of the Agreements						Remaining Contractual Maturities of the Agreements
	Overnight & Continuous		Up to 30 Days		Total		Overnight & Continuous		Up to 30 Days		Total
	(in thousands)
Foreign public corporate securities	$	2,700	$	0	$	2,700	$	2,481	$	0	$	2,481
Total cash collateral for loaned securities(1)	$	2,700	$	0	$	2,700	$	2,481	$	0	$	2,481

(1) The Company did not have any agreements with remaining contractual maturities greater than thirty days, as of the dates indicated.