XML 16 R28.htm IDEA: XBRL DOCUMENT v3.20.1
Investments (Tables)
 3 Months Ended
Mar. 31, 2020
Investments  
Summary of gross unrealized gains and losses on fixed maturity securities included in assets

(a) The gross unrealized gains and losses on fixed maturity securities included in assets from continuing operations at March 31, 2020, are as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

Cost/

 

 

 

Gross

    

Gross

    

 

 

 

 

Amortized

 

Credit Loss

 

Unrealized

 

Unrealized

 

Fair

($ in thousands)

 

Cost

 

Allowance

 

Gains

 

Losses

 

Value

Fixed maturity securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury securities

 

$

40,679

 

$

 —

 

$

2,643

 

$

 —

 

$

43,322

Government agency securities

 

 

27,998

 

 

 —

 

 

591

 

 

 —

 

 

28,589

Corporate debt securities

 

 

1,317,091

 

 

(293)

 

 

22,167

 

 

(37,278)

 

 

1,301,687

Municipal debt obligations

 

 

103,271

 

 

 —

 

 

813

 

 

(3,443)

 

 

100,641

ABS

 

 

49,205

 

 

(1)

 

 

26

 

 

(3,210)

 

 

46,020

CLO

 

 

177,411

 

 

(6)

 

 

 —

 

 

(19,842)

 

 

157,563

CMBS

 

 

94,816

 

 

 —

 

 

1,603

 

 

(1,945)

 

 

94,474

RMBS - non-agency

 

 

92,189

 

 

(116)

 

 

3,411

 

 

(4,851)

 

 

90,633

RMBS - agency

 

 

135,809

 

 

 —

 

 

3,738

 

 

(56)

 

 

139,491

Total fixed maturity securities

 

$

2,038,469

 

$

(416)

 

$

34,992

 

$

(70,625)

 

$

2,002,420

 

The gross unrealized gains and losses on fixed maturity securities included in assets from continuing operations at December 31, 2019, are as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

Cost/

 

Gross

    

Gross

    

 

 

 

 

Amortized

 

Unrealized

 

Unrealized

 

Fair

($ in thousands)

 

Cost

 

Gains

 

Losses

 

Value

Fixed maturity securities:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury securities

 

$

49,161

 

$

838

 

$

(14)

 

$

49,985

Government agency securities

 

 

6,522

 

 

23

 

 

(14)

 

 

6,531

Corporate debt securities

 

 

1,308,094

 

 

33,743

 

 

(3,025)

 

 

1,338,812

Municipal debt obligations

 

 

80,338

 

 

243

 

 

(766)

 

 

79,815

ABS

 

 

73,068

 

 

854

 

 

(340)

 

 

73,582

CLO

 

 

181,704

 

 

125

 

 

(2,280)

 

 

179,549

CMBS

 

 

95,810

 

 

1,863

 

 

(147)

 

 

97,526

RMBS - non-agency

 

 

62,343

 

 

9,458

 

 

(191)

 

 

71,610

RMBS - agency

 

 

142,363

 

 

1,256

 

 

(347)

 

 

143,272

Total fixed maturity securities

 

$

1,999,403

 

$

48,403

 

$

(7,124)

 

$

2,040,682

 

Summary of all securities in an unrealized loss position, the fair value and gross unrealized loss by asset class and by length of time those securities have been in a loss position

(b) The following table summarizes the fair values and gross unrealized losses for fixed maturity securities in an unrealized loss position at March 31, 2020, grouped by asset class and by duration of time in a continuous unrealized loss position:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Less Than 12 Months

 

Greater Than 12 Months

 

Total

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

Total

 

 

Fair

 

Unrealized

 

Fair

 

Unrealized

 

Total

 

Unrealized

($ in thousands)

 

Value

 

Losses

 

Value

 

Losses

 

Fair Value

 

Losses

Corporate debt securities

 

$

495,656

 

$

(31,005)

 

$

83,577

 

$

(6,273)

 

$

579,233

 

$

(37,278)

Municipal debt obligations

 

 

66,579

 

 

(3,278)

 

 

5,584

 

 

(165)

 

 

72,163

 

 

(3,443)

ABS

 

 

33,474

 

 

(2,604)

 

 

8,425

 

 

(606)

 

 

41,899

 

 

(3,210)

CLO

 

 

59,491

 

 

(5,053)

 

 

98,072

 

 

(14,789)

 

 

157,563

 

 

(19,842)

CMBS

 

 

26,478

 

 

(1,935)

 

 

3,031

 

 

(10)

 

 

29,509

 

 

(1,945)

RMBS - non-agency

 

 

45,431

 

 

(3,042)

 

 

12,115

 

 

(1,809)

 

 

57,546

 

 

(4,851)

RMBS - agency

 

 

6,585

 

 

(55)

 

 

 1

 

 

(1)

 

 

6,586

 

 

(56)

Total fixed maturity securities

 

$

733,694

 

$

(46,972)

 

$

210,805

 

$

(23,653)

 

$

944,499

 

$

(70,625)

 

The following table summarizes the fair values and gross unrealized losses for fixed maturity securities in an unrealized loss position at December 31, 2019, grouped by asset class and by duration of time in a continuous unrealized loss position:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Less Than 12 Months

 

Greater Than 12 Months

 

Total

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

Total

 

 

Fair

 

Unrealized

 

Fair

 

Unrealized

 

Total

 

Unrealized

($ in thousands)

 

Value

 

Losses

 

Value

 

Losses

 

Fair Value

 

Losses

U.S. Treasury securities

 

$

 —

 

$

 —

 

$

7,469

 

$

(14)

 

$

7,469

 

$

(14)

Government agency securities

 

 

3,192

 

 

(14)

 

 

 —

 

 

 —

 

 

3,192

 

 

(14)

Corporate debt securities

 

 

133,341

 

 

(2,509)

 

 

50,695

 

 

(516)

 

 

184,036

 

 

(3,025)

Municipal debt obligations

 

 

66,355

 

 

(766)

 

 

 —

 

 

 —

 

 

66,355

 

 

(766)

ABS

 

 

27,884

 

 

(175)

 

 

11,165

 

 

(165)

 

 

39,049

 

 

(340)

CLO

 

 

28,485

 

 

(338)

 

 

110,825

 

 

(1,942)

 

 

139,310

 

 

(2,280)

CMBS

 

 

18,307

 

 

(102)

 

 

6,053

 

 

(45)

 

 

24,360

 

 

(147)

RMBS - non-agency

 

 

2,173

 

 

(14)

 

 

2,418

 

 

(177)

 

 

4,591

 

 

(191)

RMBS - agency

 

 

10,450

 

 

(12)

 

 

12,367

 

 

(335)

 

 

22,817

 

 

(347)

Total fixed maturity securities

 

$

290,187

 

$

(3,930)

 

$

200,992

 

$

(3,194)

 

$

491,179

 

$

(7,124)

 

Rollforward of the credit losses allowance for fixed maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Beginning

 

Additions

 

Reduction

 

Reduction

 

Change in Securities

 

Ending

($ in thousands)

 

Balance

 

New Securities

 

Sales

 

Intent to Sell

 

with Previous Allowance

 

Balance

Fixed maturity securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 Corporate debt securities

 

$

 —

 

$

293

 

$

 —

 

$

 —

 

$

 —

 

$

293

 ABS

 

 

 —

 

 

 1

 

 

 —

 

 

 —

 

 

 —

 

 

 1

 CLO

 

 

 —

 

 

 6

 

 

 —

 

 

 —

 

 

 —

 

 

 6

 RMBS - non-agency

 

 

 —

 

 

116

 

 

 —

 

 

 —

 

 

 —

 

 

116

Total fixed maturity securities allowance

 

$

 —

 

$

416

 

$

 —

 

$

 —

 

$

 —

 

$

416

 

Summary of amortized cost and fair value of fixed maturity securities

 

 

 

 

 

 

 

 

 

March 31, 2020

 

 

Amortized

 

Fair

($ in thousands)

    

Cost

    

Value

Due in one year or less

 

$

103,407

 

$

103,498

Due after one through five years

 

 

659,203

 

 

657,184

Due after five through ten years

 

 

449,535

 

 

445,004

Due after ten years

 

 

248,896

 

 

239,964

 

 

 

1,461,041

 

 

1,445,650

Structured securities:

 

 

 

 

 

 

Government agency securities

 

 

27,998

 

 

28,589

ABS

 

 

49,205

 

 

46,020

CLO

 

 

177,411

 

 

157,563

CMBS

 

 

94,816

 

 

94,474

RMBS - non-agency

 

 

92,189

 

 

90,633

RMBS - agency

 

 

135,809

 

 

139,491

Total fixed maturity securities

 

$

2,038,469

 

$

2,002,420

 

Summary of net investment income included in net income from continuing operations

 

 

 

 

 

 

 

 

    

Three Months Ended March 31 

($ in thousands)

 

2020

    

2019

Fixed maturity securities

 

$

16,282

 

$

16,119

Commercial levered loans

 

 

95

 

 

219

Net limited partnerships (losses) gains

 

 

(6,877)

 

 

1,251

Other

 

 

(10)

 

 

89

Gross investment income

 

 

9,490

 

 

17,678

Less: investment income attributable to funds withheld liabilities

 

 

136

 

 

142

Less: expenses

 

 

539

 

 

378

Net investment income

 

$

8,815

 

$

17,158