XML 78 R26.htm IDEA: XBRL DOCUMENT v3.19.3
Investments (Tables)
 9 Months Ended
Sep. 30, 2019
Investments, Debt and Equity Securities [Abstract]  
Amortized Cost and Fair Values of Securities by Security Type
At September 30, 2019 and December 31, 2018, all fixed maturity securities were classified as available-for-sale. The amortized cost and fair values of securities by security type are shown as follows:
 
September 30, 2019
 
Amortized
Cost
 
Gross
Unrealized
Gain
 
Gross
Unrealized
Loss
 
Fair
Value
 
(in millions of dollars)
United States Government and Government Agencies and Authorities
$
1,652.7

 
$
195.1

 
$
0.3

 
$
1,847.5

States, Municipalities, and Political Subdivisions
2,415.7

 
534.3

 
1.3

 
2,948.7

Foreign Governments
812.4

 
239.8

 
0.4

 
1,051.8

Public Utilities
6,424.8

 
1,396.6

 
5.7

 
7,815.7

Mortgage/Asset-Backed Securities
1,406.7

 
106.7

 
0.2

 
1,513.2

All Other Corporate Bonds
28,038.4

 
4,290.1

 
110.4

 
32,218.1

Redeemable Preferred Stocks
39.0

 
1.0

 
—

 
40.0

Total Fixed Maturity Securities
$
40,789.7

 
$
6,763.6

 
$
118.3

 
$
47,435.0

 
December 31, 2018
 
Amortized
Cost
 
Gross
Unrealized
Gain
 
Gross
Unrealized
Loss
 
Fair
Value
 
(in millions of dollars)
United States Government and Government Agencies and Authorities
$
1,702.1

 
$
123.2

 
$
10.9

 
$
1,814.4

States, Municipalities, and Political Subdivisions
2,121.5

 
307.1

 
4.4

 
2,424.2

Foreign Governments
825.8

 
162.7

 
4.8

 
983.7

Public Utilities
6,626.2

 
850.0

 
63.4

 
7,412.8

Mortgage/Asset-Backed Securities
1,523.8

 
67.2

 
8.3

 
1,582.7

All Other Corporate Bonds
27,436.8

 
1,981.6

 
664.4

 
28,754.0

Redeemable Preferred Stocks
39.0

 
1.1

 
0.2

 
39.9

Total Fixed Maturity Securities
$
40,275.2

 
$
3,492.9

 
$
756.4

 
$
43,011.7
Length of Time Fixed Maturity Securities had been in a Gross Unrealized Loss Position
The following charts indicate the length of time our fixed maturity securities have been in a gross unrealized loss position.
 
September 30, 2019
 
Less Than 12 Months
 
12 Months or Greater
 
Fair
Value
 
Gross
Unrealized
Loss
 
Fair
Value
 
Gross
Unrealized
Loss
 
(in millions of dollars)
United States Government and Government Agencies and Authorities
$
89.7

 
$
0.3

 
$
—

 
$
—

States, Municipalities, and Political Subdivisions
134.4

 
1.3

 
—

 
—

Foreign Governments
3.8

 
0.4

 
—

 
—

Public Utilities
120.8

 
2.9

 
12.9

 
2.8

Mortgage/Asset-Backed Securities
12.4

 
0.2

 
3.1

 
—

All Other Corporate Bonds
499.3

 
34.3

 
471.0

 
76.1

Total Fixed Maturity Securities
$
860.4

 
$
39.4

 
$
487.0

 
$
78.9

 
December 31, 2018
 
Less Than 12 Months
 
12 Months or Greater
 
Fair
Value
 
Gross
Unrealized
Loss
 
Fair
Value
 
Gross
Unrealized
Loss
 
(in millions of dollars)
United States Government and Government Agencies and Authorities
$
68.8

 
$
1.7

 
$
212.5

 
$
9.2

States, Municipalities, and Political Subdivisions
183.2

 
2.1

 
65.0

 
2.3

Foreign Governments
58.4

 
3.8

 
12.0

 
1.0

Public Utilities
740.1

 
31.3

 
325.7

 
32.1

Mortgage/Asset-Backed Securities
81.5

 
1.2

 
201.6

 
7.1

All Other Corporate Bonds
9,240.2

 
462.2

 
1,704.9

 
202.2

Redeemable Preferred Stocks
18.8

 
0.2

 
—

 
—

Total Fixed Maturity Securities
$
10,391.0

 
$
502.5

 
$
2,521.7

 
$
253.9
Distribution of the Maturity Dates for Fixed Maturity Securities
The following is a distribution of the maturity dates for fixed maturity securities. The maturity dates have not been adjusted for possible calls or prepayments.
 
September 30, 2019
 
Total
Amortized Cost
 
Unrealized Gain Position
 
Unrealized Loss Position
 
 
Gross Gain
 
Fair Value
 
Gross Loss
 
Fair Value
 
(in millions of dollars)
1 year or less
$
1,286.5

 
$
17.7

 
$
1,294.0

 
$
1.2

 
$
9.0

Over 1 year through 5 years
5,942.5

 
445.8

 
6,081.9

 
47.3

 
259.1

Over 5 years through 10 years
13,503.9

 
1,716.1

 
14,727.8

 
25.3

 
466.9

Over 10 years
18,650.1

 
4,477.3

 
22,486.2

 
44.3

 
596.9

 
39,383.0

 
6,656.9

 
44,589.9

 
118.1

 
1,331.9

Mortgage/Asset-Backed Securities
1,406.7

 
106.7

 
1,497.7

 
0.2

 
15.5

Total Fixed Maturity Securities
$
40,789.7

 
$
6,763.6

 
$
46,087.6

 
$
118.3

 
$
1,347.4

 
December 31, 2018
 
Total
Amortized Cost
 
Unrealized Gain Position
 
Unrealized Loss Position
 
 
Gross Gain
 
Fair Value
 
Gross Loss
 
Fair Value
 
(in millions of dollars)
1 year or less
$
1,073.3

 
$
14.5

 
$
1,020.1

 
$
8.4

 
$
59.3

Over 1 year through 5 years
6,267.5

 
300.6

 
5,186.9

 
80.2

 
1,301.0

Over 5 years through 10 years
12,573.4

 
795.0

 
6,812.7

 
303.9

 
6,251.8

Over 10 years
18,837.2

 
2,315.6

 
15,779.7

 
355.6

 
5,017.5

 
38,751.4

 
3,425.7

 
28,799.4

 
748.1

 
12,629.6

Mortgage/Asset-Backed Securities
1,523.8

 
67.2

 
1,299.6

 
8.3

 
283.1

Total Fixed Maturity Securities
$
40,275.2

 
$
3,492.9

 
$
30,099.0

 
$
756.4

 
$
12,912.7
Available for Sale Debt Securities by External Credit Rating
The following chart depicts an analysis of our fixed maturity security portfolio between investment-grade and below-investment-grade categories as of September 30, 2019:
 
 
 
 
 
Gross Unrealized Loss
 
Fair Value
 
Gross Unrealized Gain
 
Amount
 
Percent of Total Gross Unrealized Loss
 
(in millions of dollars)
 
 
Investment-Grade
$
44,372.4

 
$
6,609.3

 
$
17.7

 
15.0
%
Below-Investment-Grade
3,062.6

 
154.3

 
100.6

 
85.0

Total Fixed Maturity Securities
$
47,435.0

 
$
6,763.6

 
$
118.3

 
100.0
%
Low Income Housing Tax Credits
The Company invests in tax credit partnerships primarily for the receipt of income tax credits and tax benefits derived from passive losses on the investments. Amounts recognized in the consolidated statements of operations are as follows:
 
Three Months Ended September 30
 
Nine Months Ended September 30
 
2019
 
2018
 
2019
 
2018
 
(in millions of dollars)
Income Tax Credits
$
9.5

 
$
10.4

 
$
28.3

 
$
31.1

Amortization, net of tax
(6.1
)
 
(7.1
)
 
(19.0
)
 
(21.1
)
Income Tax Benefit
$
3.4

 
$
3.3

 
$
9.3

 
$
10.0
Mortgage Loans by Property Type and Geographic Region Mortgage loans by property type and geographic region are presented below.
 
September 30, 2019
 
December 31, 2018
 
(in millions of dollars)
 
Carrying
 
Percent of
 
Carrying
 
Percent of
 
Amount
 
Total
 
Amount
 
Total
Property Type
 
 
 
 
 
 
 
     Apartment
$
535.4

 
23.1
%
 
$
491.0

 
21.4
%
     Industrial
608.1

 
26.2

 
635.6

 
27.7

     Office
561.5

 
24.2

 
604.2

 
26.3

     Retail
568.7

 
24.5

 
519.5

 
22.6

     Other
48.0

 
2.0

 
44.7

 
2.0

Total
$
2,321.7

 
100.0
%
 
$
2,295.0

 
100.0
%
Region
 
 
 
 
 
 
 
     New England
$
40.7

 
1.8
%
 
$
45.9

 
2.0
%
     Mid-Atlantic
170.0

 
7.3

 
160.6

 
7.0

     East North Central
290.1

 
12.5

 
354.4

 
15.4

     West North Central
217.3

 
9.3

 
190.3

 
8.3

     South Atlantic
527.2

 
22.7

 
485.2

 
21.1

     East South Central
115.2

 
5.0

 
105.5

 
4.6

     West South Central
222.3

 
9.6

 
240.6

 
10.5

     Mountain
262.9

 
11.3

 
242.7

 
10.6

     Pacific
476.0

 
20.5

 
469.8

 
20.5

Total
$
2,321.7

 
100.0
%
 
$
2,295.0

 
100.0
%
Mortgage Loans by Credit Quality Indicators
Mortgage loans, sorted by the applicable credit quality indicators, are as follows:
 
September 30, 2019
 
December 31, 2018
 
(in millions of dollars)
Internal Rating
 
 
 
     A
$
386.5

 
$
477.5

     BBB
1,935.2

 
1,814.1

     BB
—

 
3.4

Total
$
2,321.7

 
$
2,295.0

Loan-to-Value Ratio
 
 
 
     <= 65%
$
1,118.7

 
$
1,204.8

     > 65% <= 75%
1,163.9

 
1,049.1

     > 75% <= 85%
—

 
11.8

     > 85%
39.1

 
29.3

Total
$
2,321.7

 
$
2,295.0
Allowance for Credit Losses The activity in the allowance for credit losses is as follows:
 
Three Months Ended September 30
 
Nine Months Ended September 30
 
2019
 
2018
 
2019
 
2018
 
(in millions of dollars)
Balance at Beginning of Period
$
—

 
$
—

 
$
0.2

 
$
—

Provision
—

 
0.2

 
0.1

 
0.2

Charge-offs, Net of Recoveries
—

 
—

 
(0.3
)
 
—

Balance at End of Period
$
—

 
$
0.2

 
$
—

 
$
0.2
Remaining Contractual Maturity of Securities Lending Agreements
The remaining contractual maturities of our securities lending agreements disaggregated by class of collateral pledged are as follows:
 
 
September 30, 2019
 
December 31, 2018
 
 
Overnight and Continuous
 
 
(in millions of dollars)
Public Utilities
 
$
0.1

 
$
—

All Other Corporate Bonds
 
1.7

 
0.1

Total Borrowings
 
1.8

 
0.1

Gross Amount of Recognized Liability for Securities Lending Transactions
 
1.8

 
0.1

Amounts Related to Agreements Not Included in Offsetting Disclosure Contained Herein
 
$
—

 
$
—
Federal Home Loan Bank Common Stock Carrying Amounts, Amounts Posted, and Advances Received The carrying value of common stock owned, collateral posted, and advances received are as follows:
 
 
September 30, 2019
 
December 31, 2018
 
 
(in millions of dollars)
Carrying Value of FHLB Common Stock
 
$
18.5

 
$
24.1

Advances from FHLB
 
$
—

 
$
104.0

 
 
 
 
 
Carrying Value of Collateral Posted to FHLB
 
 
 
 
Fixed Maturity Securities
 
$
185.5

 
$
219.8

Commercial Mortgage Loans
 
175.2

 
179.9

Total Carrying Value of Collateral Posted to FHLB
 
$
360.7

 
$
399.7
Schedule of Financial Instrument and Derivative Offsetting
Shown below are our financial instruments that either meet the accounting requirements that allow them to be offset in our balance sheets or that are subject to an enforceable master netting arrangement or similar agreement. Our accounting policy is to not offset these financial instruments in our balance sheets. Net amounts disclosed below have been reduced by the amount of collateral pledged to or received from our counterparties.
 
 
September 30, 2019
 
 
Gross Amount
 
 
 
 
 
Gross Amount Not
 
 
 
 
of Recognized
 
Gross Amount
 
Net Amount
 
Offset in Balance Sheet
 
 
 
 
Financial
 
Offset in
 
Presented in
 
Financial
 
Cash
 
Net
 
 
Instruments
 
Balance Sheet
 
Balance Sheet
 
Instruments
 
Collateral
 
Amount
 
 
(in millions of dollars)
Financial Assets:
 

Derivatives
 
$
34.9

 
$
—

 
$
34.9

 
$
(6.1
)
 
$
(28.8
)
 
$
—

Securities Lending
 
153.6

 
—

 
153.6

 
(151.8
)
 
(1.8
)
 
—

Total
 
$
188.5

 
$
—

 
$
188.5

 
$
(157.9
)
 
$
(30.6
)
 
$
—

 
 
 
 
 
 
 
 
 
 
 
 
 
Financial Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
Derivatives
 
$
33.9

 
$
—

 
$
33.9

 
$
(32.4
)
 
$
—

 
$
1.5

Securities Lending
 
1.8

 
—

 
1.8

 
(1.8
)
 
—

 
—

Total
 
$
35.7

 
$
—

 
$
35.7

 
$
(34.2
)
 
$
—

 
$
1.5


 
 
December 31, 2018
 
 
Gross Amount
 
 
 
 
 
Gross Amount Not
 
 
 
 
of Recognized
 
Gross Amount
 
Net Amount
 
Offset in Balance Sheet
 
 
 
 
Financial
 
Offset in
 
Presented in
 
Financial
 
Cash
 
Net
 
 
Instruments
 
Balance Sheet
 
Balance Sheet
 
Instruments
 
Collateral
 
Amount
 
 
(in millions of dollars)
Financial Assets:
 
 
Derivatives
 
$
30.9

 
$
—

 
$
30.9

 
$
(6.9
)
 
$
(24.0
)
 
$
—

Securities Lending
 
164.1

 
—

 
164.1

 
(164.0
)
 
(0.1
)
 
—

Total
 
$
195.0

 
$
—

 
$
195.0

 
$
(170.9
)
 
$
(24.1
)
 
$
—

 
 
 
 
 
 
 
 
 
 
 
 
 
Financial Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
Derivatives
 
$
38.0

 
$
—

 
$
38.0

 
$
(33.2
)
 
$
—

 
$
4.8

Securities Lending
 
0.1

 
—

 
0.1

 
(0.1
)
 
—

 
—

Total
 
$
38.1

 
$
—

 
$
38.1

 
$
(33.3
)
 
$
—

 
$
4.8
Net Investment Income
Net investment income reported in our consolidated statements of operations is as follows:
 
Three Months Ended September 30
 
Nine Months Ended September 30
 
2019
 
2018
 
2019
 
2018
 
(in millions of dollars)
Fixed Maturity Securities
$
546.7

 
$
560.4

 
$
1,656.3

 
$
1,682.7

Derivatives
19.1

 
16.5

 
55.0

 
48.1

Mortgage Loans
25.4

 
27.9

 
77.0

 
84.3

Policy Loans
5.0

 
4.7

 
14.5

 
13.7

Other Long-term Investments
 
 
 
 
 
 
 
Equity Securities1
0.1

 
1.7

 
4.8

 
2.0

Private Equity Partnerships2
4.7

 
10.5

 
19.5

 
28.8

Other
0.2

 
1.4

 
2.8

 
5.0

Short-term Investments
8.7

 
7.9

 
22.4

 
17.5

Gross Investment Income
609.9

 
631.0

 
1,852.3

 
1,882.1

Less Investment Expenses
7.3

 
8.4

 
23.6

 
26.8

Less Investment Income on Participation Fund Account Assets
3.2

 
3.4

 
9.7

 
10.2

Net Investment Income
$
599.4

 
$
619.2

 
$
1,819.0

 
$
1,845.1


1 The net unrealized gain recognized in net investment income for the three and nine months ended September 30, 2019 related to equity securities still held at September 30, 2019 was $0.3 million and $3.3 million, respectively. The net unrealized gain recognized in net investment income for the three and nine months ended September 30, 2018 related to equity securities still held at September 30, 2018 was $0.3 million and $0.6 million, respectively.

2 The net unrealized gain (loss) recognized in net investment income for the three and nine months ended September 30, 2019 related to private equity partnerships still held at September 30, 2019 was $(1.1) million and $2.6 million, respectively. The net unrealized gain recognized in net investment income for the three and nine months ended September 30, 2018 related to private equity partnerships still held at September 30, 2018 was $2.7 million and $8.2 million, respectively.
Realized Investment Gains and Losses Reported in Consolidated Statements of Operations
Realized investment gains and losses are as follows:
 
Three Months Ended September 30
 
Nine Months Ended September 30
 
2019
 
2018
 
2019
 
2018
 
(in millions of dollars)
Fixed Maturity Securities
 
 
 
 
 
 
 
Gross Gains on Sales
$
11.3

 
$
4.8

 
$
22.5

 
$
9.4

Gross Losses on Sales
(5.7
)
 
(3.8
)
 
(30.5
)
 
(8.3
)
Other-Than-Temporary Impairment Loss
(20.8
)
 
—

 
(20.8
)
 
(1.0
)
Mortgage Loans and Other Invested Assets
 
 
 
 
 
 
 
Gross Gains on Sales
0.6

 
0.1

 
4.5

 
0.2

Gross Losses on Sales
—

 
—

 
(0.1
)
 
—

Impairment Loss
—

 
(0.6
)
 
—

 
(0.8
)
Embedded Derivative in Modified Coinsurance Arrangement
(11.1
)
 
6.1

 
(6.4
)
 
2.1

All Other Derivatives
(0.1
)
 
0.2

 
(0.7
)
 
0.9

Foreign Currency Transactions
(0.4
)
 
(0.1
)
 
(0.9
)
 
(0.6
)
Net Realized Investment Gain (Loss)
$
(26.2
)
 
$
6.7

 
$
(32.4
)
 
$
1.9