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Investments (Tables)
 3 Months Ended
Mar. 31, 2018
Investments [Abstract]  
Fixed Maturities Securities, Available-for-sale Securities
The following tables set forth information relating to fixed maturity securities (excluding investments classified as trading), as of the dates indicated:
 
March 31, 2018
 
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
$
92,948

 
$
2,953

 
$
10

 
$
95,891

 
$
0

Obligations of U.S. states and their political subdivisions
597,016

 
21,248

 
492

 
617,772

 
0

Foreign government bonds
177,188

 
3,427

 
3,895

 
176,720

 
0

Public utilities
688,996

 
42,907

 
4,398

 
727,505

 
0

Redeemable preferred stock
4,074

 
773

 
0

 
4,847

 
0

All other U.S. public corporate securities
1,282,335

 
62,496

 
14,836

 
1,329,995

 
(215
)
All other U.S. private corporate securities
694,522

 
11,121

 
5,904

 
699,739

 
0

All other foreign public corporate securities
227,906

 
7,573

 
3,473

 
232,006

 
0

All other foreign private corporate securities
780,001

 
43,614

 
10,350

 
813,265

 
0

Asset-backed securities(1)
179,037

 
2,684

 
111

 
181,610

 
(132
)
Commercial mortgage-backed securities
316,110

 
2,339

 
7,097

 
311,352

 
0

Residential mortgage-backed securities(2)
66,882

 
2,020

 
911

 
67,991

 
(203
)
Total fixed maturities, available-for-sale
$
5,107,015

 
$
203,155

 
$
51,477

 
$
5,258,693

 
$
(550
)

(1)
Includes credit-tranched securities collateralized by loan obligations, sub-prime mortgages, auto loans, education loans and other asset types.
(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 $1.2 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.

 
December 31, 2017
 
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
$
95,851

 
$
3,964

 
$
0

 
$
99,815

 
$
0

Obligations of U.S. states and their political subdivisions
597,254

 
38,204

 
0

 
635,458

 
0

Foreign government bonds
128,058

 
7,536

 
496

 
135,098

 
0

Public utilities
677,702

 
61,588

 
1,058

 
738,232

 
0

Redeemable preferred stock
4,053

 
957

 
0

 
5,010

 
0

All other U.S. public corporate securities
1,254,140

 
105,524

 
2,580

 
1,357,084

 
(215
)
All other U.S. private corporate securities
710,424

 
18,306

 
1,644

 
727,086

 
0

All other foreign public corporate securities
168,399

 
12,522

 
732

 
180,189

 
0

All other foreign private corporate securities
737,037

 
41,405

 
9,598

 
768,844

 
0

Asset-backed securities(1)
179,935

 
2,519

 
26

 
182,428

 
(138
)
Commercial mortgage-backed securities
320,223

 
5,148

 
2,539

 
322,832

 
0

Residential mortgage-backed securities(2)
68,868

 
2,527

 
169

 
71,226

 
(220
)
Total fixed maturities, available-for-sale
$
4,941,944

 
$
300,200

 
$
18,842

 
$
5,223,302

 
$
(573
)

(1)
Includes credit-tranched securities collateralized by loan obligations, sub-prime mortgages, auto loans, education loans and other asset types.
(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 $2.2 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 Disclosures
The following tables set forth the fair value and gross unrealized 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 dates indicated:

 
March 31, 2018
 
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:
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury securities and obligations of U.S. government authorities and agencies
$
624

 
$
10

 
$
0

 
$
0

 
$
624

 
$
10

Obligations of U.S. states and their political subdivisions
60,950

 
492

 
0

 
0

 
60,950

 
492

Foreign government bonds
108,388

 
3,083

 
11,398

 
812

 
119,786

 
3,895

Public utilities
135,788

 
3,081

 
17,852

 
1,317

 
153,640

 
4,398

All other U.S. public corporate securities
382,978

 
9,187

 
90,933

 
5,649

 
473,911

 
14,836

All other U.S. private corporate securities
332,751

 
4,299

 
31,181

 
1,605

 
363,932

 
5,904

All other foreign public corporate securities
101,487

 
2,748

 
6,782

 
725

 
108,269

 
3,473

All other foreign private corporate securities
151,956

 
2,372

 
64,751

 
7,978

 
216,707

 
10,350

Asset-backed securities
13,376

 
107

 
308

 
4

 
13,684

 
111

Commercial mortgage-backed securities
101,300

 
2,114

 
90,648

 
4,983

 
191,948

 
7,097

Residential mortgage-backed securities
29,802

 
643

 
5,811

 
268

 
35,613

 
911

Total fixed maturities, available-for-sale
$
1,419,400

 
$
28,136

 
$
319,664

 
$
23,341

 
$
1,739,064

 
$
51,477


 
December 31, 2017
 
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:
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury securities and obligations of
U.S. government authorities and agencies
$
0

 
$
0

 
$
0

 
$
0

 
$
0

 
$
0

Obligations of U.S. states and their political subdivisions
0

 
0

 
0

 
0

 
0

 
0

Foreign government bonds
16,522

 
210

 
11,959

 
286

 
28,481

 
496

Public utilities
26,466

 
380

 
27,354

 
678

 
53,820

 
1,058

All other U.S. public corporate securities
36,100

 
304

 
102,490

 
2,276

 
138,590

 
2,580

All other U.S. private corporate securities
79,495

 
781

 
36,642

 
863

 
116,137

 
1,644

All other foreign public corporate securities
27,078

 
190

 
8,390

 
542

 
35,468

 
732

All other foreign private corporate securities
48,109

 
472

 
133,055

 
9,126

 
181,164

 
9,598

Asset-backed securities
6,351

 
22

 
317

 
4

 
6,668

 
26

Commercial mortgage-backed securities
49,823

 
285

 
93,403

 
2,254

 
143,226

 
2,539

Residential mortgage-backed securities
8,030

 
28

 
6,160

 
141

 
14,190

 
169

Total fixed maturities, available-for-sale
$
297,974

 
$
2,672

 
$
419,770

 
$
16,170

 
$
717,744

 
$
18,842
Investments 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:

 
March 31, 2018
 
Amortized Cost
 
Fair Value
 
(in thousands)
Fixed maturities, available-for-sale:
 
 
 
Due in one year or less
$
188,789

 
$
191,560

Due after one year through five years
738,939

 
747,181

Due after five years through ten years
1,035,613

 
1,064,058

Due after ten years
2,581,645

 
2,694,941

Asset-backed securities
179,037

 
181,610

Commercial mortgage-backed securities
316,110

 
311,352

Residential mortgage-backed securities
66,882

 
67,991

Total fixed maturities, available-for-sale
$
5,107,015

 
$
5,258,693
Sources of Fixed Maturity Proceeds and Related Investment Gains (Losses) as well as Losses on Impairments
The following table sets forth the sources of fixed maturity proceeds and related investment gains (losses), as well as losses on impairments of fixed maturities, for the periods indicated:
 
Three Months Ended March 31,
 
2018
 
2017
 
(in thousands)
Fixed maturities, available-for-sale:
 
 
 
Proceeds from sales(1)
$
16,852

 
$
287,708

Proceeds from maturities/prepayments
54,310

 
114,846

Gross investment gains from sales and maturities
144

 
3,197

Gross investment losses from sales and maturities
(359
)
 
(2,823
)
OTTI recognized in earnings(2)
(594
)
 
(4,404
)

(1)
Includes $1.8 million and $37.9 million of non-cash related proceeds due to the timing of trade settlements for the three months ended March 31, 2018 and 2017, respectively.
(2)
Excludes the portion of OTTI amounts remaining in “Other comprehensive income (loss)” ("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 the impairment.
Credit Losses Recognized in Earnings on Fixed Maturity Securities Held by the Company for which a Portion of the OTTI Loss was Recognized in OCI
The following table sets forth a rollforward of pre-tax amounts remaining in OCI related to fixed maturity securities with credit loss impairments recognized in earnings, for the periods indicated:
 
Three Months Ended March 31,
 
2018
 
2017
 
(in thousands)
Credit loss impairments:
 
 
 
Balance, beginning of period
$
4,374

 
$
5,520

New credit loss impairments
0

 
0

Additional credit loss impairments on securities previously impaired
0

 
0

Increases due to the passage of time on previously recorded credit losses
37

 
27

Reductions for securities which matured, paid down, prepaid or were sold during the period
(42
)
 
(118
)
Reductions for securities impaired to fair value during the period(1)
0

 
0

Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected
(25
)
 
(72
)
Assets transferred to parent and affiliates
0

 
0

Balance, end of period
$
4,344

 
$
5,357


(1)
Represents circumstances where the Company determined in the current period that it intends to sell the security or it is more likely than not that it will be required to sell the security before recovery of the security's amortized cost.
Commercial Mortgage and Other Loans
The following table sets forth the composition of "Commercial mortgage and other loans," as of the dates indicated:
 
March 31, 2018
 
December 31, 2017
 
Amount
(in thousands)
 
% of
Total
 
Amount
(in thousands)
 
% of
Total
Commercial mortgage and agricultural property loans by property type:
 
 
 
 
 
 
 
Apartments/Multi-Family
$
358,405

 
31.5
%
 
$
356,694

 
32.9
%
Hospitality
16,419

 
1.4

 
16,529

 
1.5

Industrial
230,050

 
20.2

 
180,619

 
16.7

Office
169,762

 
14.9

 
159,646

 
14.7

Other
93,195

 
8.2

 
99,119

 
9.1

Retail
204,271

 
17.9

 
205,367

 
18.9

Total commercial mortgage loans
1,072,102

 
94.1

 
1,017,974

 
93.8

Agricultural property loans
66,927

 
5.9

 
67,239

 
6.2

Total commercial mortgage and agricultural property loans by property type
1,139,029

 
100.0
%
 
1,085,213

 
100.0
%
Valuation allowance
(1,663
)
 
 
 
(1,794
)
 
 
Total commercial mortgage and other loans
$
1,137,366

 
 
 
$
1,083,419

 
 
Allowance for Losses
The following tables set forth the activity in the allowance for credit losses for commercial mortgage and other loans, as of the dates indicated:
 
March 31, 2018
 
Commercial Mortgage Loans
 
Agricultural Property Loans
 
Total
 
(in thousands)
Allowance for credit losses:
 
 
 
 
 
Balance, beginning of year
$
1,728

 
$
66

 
$
1,794

Addition to (release of) allowance for losses
(131
)
 
0

 
(131
)
Charge-offs, net of recoveries
0

 
0

 
0

Total ending balance
$
1,597

 
$
66

 
$
1,663

 
December 31, 2017
 
Commercial Mortgage Loans
 
Agricultural Property Loans
 
Total
 
(in thousands)
Allowance for credit losses:
 
 
 
 
 
Balance, beginning of year
$
1,513

 
$
45

 
$
1,558

Addition to (release of) allowance for losses
215

 
21

 
236

Charge-offs, net of recoveries
0

 
0

 
0

Total ending balance
$
1,728

 
$
66

 
$
1,794
Allowance for Credit Losses and Recorded Investment in Commercial Mortgage and Other Loans
The following tables set forth the allowance for credit losses and the recorded investment in commercial mortgage and other loans, as of the dates indicated:
 
March 31, 2018
 
Commercial Mortgage Loans
 
Agricultural Property Loans
 
Total
 
(in thousands)
Allowance for credit losses:
 
 
 
 
 
Individually evaluated for impairment
$
0

 
$
0

 
$
0

Collectively evaluated for impairment
1,597

 
66

 
1,663

Total ending balance(1)
$
1,597

 
$
66

 
$
1,663

Recorded investment(2):
 
 
 
 
 
Individually evaluated for impairment
$
0

 
$
842

 
$
842

Collectively evaluated for impairment
1,072,102

 
66,085

 
1,138,187

Total ending balance(1)
$
1,072,102

 
$
66,927

 
$
1,139,029


(1)
As of March 31, 2018, there were no loans acquired with deteriorated credit quality.
(2)
Recorded investment reflects the carrying value gross of related allowance.
 
December 31, 2017
 
Commercial Mortgage Loans
 
Agricultural Property Loans
 
Total
 
(in thousands)
Allowance for credit losses:
 
 
 
 
 
Individually evaluated for impairment
$
0

 
$
0

 
$
0

Collectively evaluated for impairment
1,728

 
66

 
1,794

Total ending balance(1)
$
1,728

 
$
66

 
$
1,794

Recorded investment(2):
 
 
 
 
 
Individually evaluated for impairment
$
2,316

 
$
1,153

 
$
3,469

Collectively evaluated for impairment
1,015,658

 
66,086

 
1,081,744

Total ending balance(1)
$
1,017,974

 
$
67,239

 
$
1,085,213


(1)
As of December 31, 2017, there were no loans acquired with deteriorated credit quality.
(2)
Recorded investment reflects the carrying value gross of related allowance.
Financing Receivable Credit Quality Indicators
The following tables set forth certain key credit quality indicators for commercial mortgage and agricultural property loans based upon the recorded investment gross of allowance for credit losses, as of the dates indicated:

 
March 31, 2018
 
Debt Service Coverage Ratio
 
 
 
≥ 1.2X
 
1.0X to < 1.2X
 
< 1.0X
 
Total Loans
 
(in thousands)
Loan-to-Value Ratio:
 
 
 
 
 
 
 
0%-59.99%
$
593,048

 
$
22,787

 
$
692

 
$
616,527

60%-69.99%
347,468

 
21,689

 
1,993

 
371,150

70%-79.99%
123,607

 
27,513

 
0

 
151,120

80% or greater
0

 
232

 
0

 
232

Total loans
$
1,064,123

 
$
72,221

 
$
2,685

 
$
1,139,029

 
December 31, 2017
 
Debt Service Coverage Ratio
 
 
 
≥ 1.2X
 
1.0X to < 1.2X
 
< 1.0X
 
Total Loans
 
(in thousands)
Loan-to-Value Ratio:
 
 
 
 
 
 
 
0%-59.99%
$
606,846

 
$
21,709

 
$
705

 
$
629,260

60%-69.99%
333,185

 
9,594

 
2,010

 
344,789

70%-79.99%
84,492

 
26,439

 
0

 
110,931

80% or greater
0

 
0

 
233

 
233

Total loans
$
1,024,523

 
$
57,742

 
$
2,948

 
$
1,085,213
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:
 
March 31, 2018
 
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
$
1,072,102

 
$
0

 
$
0

 
$
0

 
$
1,072,102

 
$
0

Agricultural property loans
66,927

 
0

 
0

 
0

 
66,927

 
0

Total
$
1,139,029

 
$
0

 
$
0

 
$
0

 
$
1,139,029

 
$
0


(1)
As of March 31, 2018, 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 Consolidated Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2017.
 
December 31, 2017
 
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
$
1,017,974

 
$
0

 
$
0

 
$
0

 
$
1,017,974

 
$
0

Agricultural property loans
67,239

 
0

 
0

 
0

 
67,239

 
0

Total
$
1,085,213

 
$
0

 
$
0

 
$
0

 
$
1,085,213

 
$
0



(1)
As of December 31, 2017, 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 Consolidated Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2017.
Other Invested Assets
The following table sets forth the composition of “Other invested assets,” as of the dates indicated:
 
March 31, 2018
 
December 31, 2017
 
(in thousands)
Company's investment in separate accounts
$
38,918

 
$
37,404

LPs/LLCs:
 
 
 
Equity method:
 
 
 
Private equity
138,775

 
123,957

Hedge funds
53,480

 
53,066

Real estate-related
10,679

 
7,040

Subtotal equity method
202,934

 
184,063

Fair value:
 
 
 
Private equity
54,836

 
35,686

Hedge funds
778

 
726

Real estate-related
6,503

 
5,186

Subtotal fair value(1)
62,117

 
41,598

Total LPs/LLCs
265,051

 
225,661

Derivative instruments
448

 
9

Total other invested assets(2)
$
304,417

 
$
263,074



(1)
As of December 31, 2017, $40.9 million was accounted for under the cost method.
(2)
Prior period amounts have been reclassified to conform to current period presentation. For additional information, see Note 2.
Net Investment Income
The following table sets forth "Net investment income" by investment type, for the periods indicated:
 
Three Months Ended March 31,
 
2018
 
2017
 
(in thousands)
Fixed maturities, available-for-sale
$
53,260

 
$
59,067

Fixed maturities, trading
266

 
179

Equity securities, at fair value
221

 
221

Commercial mortgage and other loans
12,405

 
13,116

Policy loans
15,904

 
15,628

Short-term investments and cash equivalents
323

 
187

Other invested assets
115

 
6,379

Gross investment income
82,494

 
94,777

Less: investment expenses
(4,579
)
 
(5,162
)
Net investment income(1)
$
77,915

 
$
89,615


(1)
Prior period amounts have been reclassified to conform to current period presentation.
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 March 31,
 
2018
 
2017
 
(in thousands)
Fixed maturities(1)
$
(809
)
 
$
(4,030
)
Equity securities(2)
0

 
(114
)
Commercial mortgage and other loans
131

 
(139
)
LPs/LLCs
847

 
(73
)
Derivatives(3)
(49,193
)
 
(28,217
)
Short-term investments and cash equivalents
(18
)
 
(6
)
Realized investment gains (losses), net
$
(49,042
)
 
$
(32,579
)

 
(1)
Includes fixed maturity securities classified as available-for-sale and excludes fixed maturity securities classified as trading.
(2)
Effective January 1, 2018, realized gains (losses) on equity securities are recorded within "Other income".
(3)
Includes the hedged items offset in qualifying fair value hedge accounting relationships.
Unrealized Gains and (Losses) on Investments
The following table sets forth net unrealized gains (losses) on investments, as of the dates indicated:
 
March 31, 2018
 
December 31, 2017
 
(in thousands)
Fixed maturity securities, available-for-sale—with OTTI
$
697

 
$
1,609

Fixed maturity securities, available-for-sale—all other
150,981

 
279,749

Equity securities, available-for-sale(1)
0

 
2,368

Derivatives designated as cash flow hedges(2)
(40,540
)
 
(17,678
)
Affiliated notes
1,844

 
4,782

Other investments
2,738

 
3,588

Net unrealized gains (losses) on investments
$
115,720

 
$
274,418


(1)
Effective January 1, 2018, unrealized gains (losses) on equity securities are recorded within "Other income."
(2)
For more information on cash flow hedges, see Note 4.
Schedule of Securities Financing Transactions

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:
 
March 31, 2018
 
December 31, 2017
 
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)
U.S. Treasury securities and obligations of U.S. government authorities and agencies
$
4,887

 
$
0

 
$
4,887

 
$
0

 
$
22,460

 
$
22,460

Foreign government bonds
3,003

 
0

 
3,003

 
6,157

 
0

 
6,157

U.S. public corporate securities
5,237

 
0

 
5,237

 
4,074

 
0

 
4,074

U.S. private corporate securities
0

 
0

 
0

 
0

 
0

 
0

Foreign public corporate securities
449

 
0

 
449

 
478

 
0

 
478

Total cash collateral for loaned securities(1)
$
13,576

 
$
0

 
$
13,576

 
$
10,709

 
$
22,460

 
$
33,169



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