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Investments (Tables)
 9 Months Ended
Sep. 30, 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:
 
September 30, 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
$
70,647

 
$
2,008

 
$
19

 
$
72,636

 
$
0

Obligations of U.S. states and their political subdivisions
610,471

 
12,030

 
3,893

 
618,608

 
0

Foreign government bonds
206,359

 
2,837

 
6,178

 
203,018

 
0

Public utilities
711,477

 
23,424

 
15,574

 
719,327

 
0

Redeemable preferred stock
4,118

 
665

 
20

 
4,763

 
0

All other U.S. public corporate securities
1,381,716

 
39,769

 
35,222

 
1,386,263

 
0

All other U.S. private corporate securities
675,995

 
4,597

 
14,848

 
665,744

 
0

All other foreign public corporate securities
258,377

 
4,486

 
8,094

 
254,769

 
0

All other foreign private corporate securities
777,245

 
13,807

 
26,521

 
764,531

 
0

Asset-backed securities(1)
162,353

 
1,885

 
223

 
164,015

 
(124
)
Commercial mortgage-backed securities
295,265

 
1,093

 
6,700

 
289,658

 
0

Residential mortgage-backed securities(2)
91,984

 
1,374

 
1,982

 
91,376

 
(188
)
Total fixed maturities, available-for-sale
$
5,246,007

 
$
107,975

 
$
119,274

 
$
5,234,708

 
$
(312
)

(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 $0.0 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:

 
September 30, 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
$
617

 
$
19

 
$
0

 
$
0

 
$
617

 
$
19

Obligations of U.S. states and their political subdivisions
219,185

 
3,893

 
0

 
0

 
219,185

 
3,893

Foreign government bonds
118,010

 
4,515

 
20,274

 
1,663

 
138,284

 
6,178

Public utilities
334,468

 
12,808

 
29,857

 
2,766

 
364,325

 
15,574

Redeemable preferred stock
1,789

 
20

 
0

 
0

 
1,789

 
20

All other U.S. public corporate securities
618,747

 
26,700

 
106,631

 
8,522

 
725,378

 
35,222

All other U.S. private corporate securities
383,595

 
10,490

 
81,864

 
4,358

 
465,459

 
14,848

All other foreign public corporate securities
169,812

 
6,447

 
15,813

 
1,647

 
185,625

 
8,094

All other foreign private corporate securities
378,179

 
14,147

 
75,531

 
12,374

 
453,710

 
26,521

Asset-backed securities
38,396

 
136

 
4,052

 
87

 
42,448

 
223

Commercial mortgage-backed securities
152,005

 
3,570

 
44,529

 
3,130

 
196,534

 
6,700

Residential mortgage-backed securities
56,256

 
1,309

 
12,212

 
673

 
68,468

 
1,982

Total fixed maturities, available-for-sale
$
2,471,059

 
$
84,054

 
$
390,763

 
$
35,220

 
$
2,861,822

 
$
119,274


 
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

Redeemable preferred stock
0

 
0

 
0

 
0

 
0

 
0

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:

 
September 30, 2018
 
Amortized Cost
 
Fair Value
 
(in thousands)
Fixed maturities, available-for-sale:
 
 
 
Due in one year or less
$
107,422

 
$
108,362

Due after one year through five years
714,425

 
706,440

Due after five years through ten years
1,034,940

 
1,026,399

Due after ten years
2,839,618

 
2,848,458

Asset-backed securities
162,353

 
164,015

Commercial mortgage-backed securities
295,265

 
289,658

Residential mortgage-backed securities
91,984

 
91,376

Total fixed maturities, available-for-sale
$
5,246,007

 
$
5,234,708
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 September 30,
 
Nine Months Ended September 30,
 
2018
 
2017
 
2018
 
2017
 
(in thousands)
Fixed maturities, available-for-sale:
 
 
 
 
 
 
 
Proceeds from sales(1)
$
4,478

 
$
56,312

 
$
138,565

 
$
483,151

Proceeds from maturities/prepayments
90,432

 
125,128

 
230,550

 
392,320

Gross investment gains from sales and maturities
394

 
34,996

 
508

 
44,016

Gross investment losses from sales and maturities
(216
)
 
(6,259
)
 
(3,806
)
 
(9,554
)
OTTI recognized in earnings(2)
(1,226
)
 
(143
)
 
(1,877
)
 
(5,668
)

(1)
Includes $0.2 million and $(0.1) million of non-cash related proceeds due to the timing of trade settlements for the nine months ended September 30, 2018 and 2017, respectively.
(2)
Excludes 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 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 September 30, 2018
 
Nine Months Ended September 30, 2018
 
Three Months Ended September 30, 2017
 
Nine Months Ended September 30, 2017
 
(in thousands)
Credit loss impairments:
 
 
 
 
 
 
 
Balance, beginning of period
$
1,982

 
$
4,374

 
$
3,724

 
$
5,520

New credit loss impairments
0

 
0

 
0

 
424

Additional credit loss impairments on securities previously impaired
0

 
0

 
0

 
0

Increases due to the passage of time on previously recorded credit losses
463

 
510

 
25

 
88

Reductions for securities which matured, paid down, prepaid or were sold during the period
(15
)
 
(1,975
)
 
(24
)
 
(1,894
)
Reductions for securities impaired to fair value during the period(1)
0

 
0

 
0

 
(327
)
Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected
(6
)
 
(485
)
 
(11
)
 
(97
)
Assets transferred to parent and affiliates
0

 
0

 
0

 
0

Balance, end of period
$
2,424

 
$
2,424

 
$
3,714

 
$
3,714


(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:
 
September 30, 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
$
363,801

 
30.8
%
 
$
356,694

 
32.9
%
Hospitality
16,196

 
1.4

 
16,529

 
1.5

Industrial
254,148

 
21.5

 
180,619

 
16.7

Office
172,576

 
14.6

 
159,646

 
14.7

Other
125,652

 
10.7

 
99,119

 
9.1

Retail
190,568

 
16.2

 
205,367

 
18.9

Total commercial mortgage loans
1,122,941

 
95.2

 
1,017,974

 
93.8

Agricultural property loans
56,226

 
4.8

 
67,239

 
6.2

Total commercial mortgage and agricultural property loans by property type
1,179,167

 
100.0
%
 
1,085,213

 
100.0
%
Valuation allowance
(1,772
)
 
 
 
(1,794
)
 
 
Total commercial mortgage and other loans
$
1,177,395

 
 
 
$
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:
 
September 30, 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
4

 
(26
)
 
(22
)
Charge-offs, net of recoveries
0

 
0

 
0

Total ending balance
$
1,732

 
$
40

 
$
1,772

 
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:
 
September 30, 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
1,732

 
40

 
1,772

Total ending balance(1)
$
1,732

 
$
40

 
$
1,772

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

 
$
815

 
$
815

Collectively evaluated for impairment
1,122,941

 
55,411

 
1,178,352

Total ending balance(1)
$
1,122,941

 
$
56,226

 
$
1,179,167


(1)
As of September 30, 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:

 
September 30, 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%
$
665,897

 
$
13,001

 
$
0

 
$
678,898

60%-69.99%
320,308

 
20,449

 
0

 
340,757

70%-79.99%
99,433

 
32,849

 
0

 
132,282

80% or greater
27,000

 
230

 
0

 
27,230

Total loans
$
1,112,638

 
$
66,529

 
$
0

 
$
1,179,167

 
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:
 
September 30, 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
$
1,122,941

 
$
0

 
$
0

 
$
0

 
$
1,122,941

 
$
0

Agricultural property loans
56,226

 
0

 
0

 
0

 
56,226

 
0

Total
$
1,179,167

 
$
0

 
$
0

 
$
0

 
$
1,179,167

 
$
0


(1)
As of September 30, 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:
 
September 30, 2018
 
December 31, 2017
 
(in thousands)
Company’s investment in separate accounts
$
42,317

 
$
37,404

LPs/LLCs:
 
 
 
Equity method:
 
 
 
Private equity
147,660

 
123,957

Hedge funds
58,329

 
53,066

Real estate-related
8,909

 
7,040

Subtotal equity method
214,898

 
184,063

Fair value:
 
 
 
Private equity
59,230

 
35,686

Hedge funds
774

 
726

Real estate-related
8,044

 
5,186

Subtotal fair value(1)
68,048

 
41,598

Total LPs/LLCs
282,946

 
225,661

Derivative instruments
8,119

 
9

Total other invested assets(2)
$
333,382

 
$
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 September 30,
 
Nine Months Ended September 30,
 
2018
 
2017
 
2018
 
2017
 
(in thousands)
Fixed maturities, available-for-sale
$
55,109

 
$
59,264

 
$
163,564

 
$
177,512

Fixed maturities, trading
271

 
126

 
809

 
486

Equity securities, at fair value
222

 
316

 
664

 
758

Commercial mortgage and other loans
12,462

 
13,534

 
37,170

 
39,800

Policy loans
16,628

 
16,110

 
48,861

 
47,572

Short-term investments and cash equivalents
952

 
282

 
1,389

 
674

Other invested assets
5,169

 
1,865

 
7,027

 
15,514

Gross investment income
90,813

 
91,497

 
259,484

 
282,316

Less: investment expenses
(4,627
)
 
(4,975
)
 
(13,734
)
 
(15,138
)
Net investment income(1)
$
86,186

 
$
86,522

 
$
245,750

 
$
267,178


(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 September 30,
 
Nine Months Ended September 30,
 
2018
 
2017
 
2018
 
2017
 
(in thousands)
Fixed maturities(1)
$
(1,048
)
 
$
28,594

 
$
(5,175
)
 
$
28,794

Equity securities(2)
0

 
0

 
0

 
(125
)
Commercial mortgage and other loans
16

 
74

 
22

 
(414
)
LPs/LLCs
0

 
5

 
849

 
(96
)
Derivatives(3)
(48,393
)
 
(303,850
)
 
(131,034
)
 
(59,319
)
Short-term investments and cash equivalents
2

 
(9
)
 
(17
)
 
(15
)
Realized investment gains (losses), net
$
(49,423
)
 
$
(275,186
)
 
$
(135,355
)
 
$
(31,175
)

 
(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:
 
September 30, 2018
 
December 31, 2017
 
(in thousands)
Fixed maturity securities, available-for-sale—with OTTI
$
(308
)
 
$
1,609

Fixed maturity securities, available-for-sale—all other
(10,991
)
 
279,749

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

 
2,368

Derivatives designated as cash flow hedges(2)
(7,567
)
 
(17,678
)
Affiliated notes
408

 
4,782

Other investments
5,043

 
3,588

Net unrealized gains (losses) on investments
$
(13,415
)
 
$
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:
 
September 30, 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
$
5,131

 
$
0

 
$
5,131

 
$
0

 
$
22,460

 
$
22,460

Foreign government bonds
0

 
0

 
0

 
6,157

 
0

 
6,157

U.S. public corporate securities
2,454

 
0

 
2,454

 
4,074

 
0

 
4,074

Foreign public corporate securities
0

 
0

 
0

 
478

 
0

 
478

Total cash collateral for loaned securities(1)
$
7,585

 
$
0

 
$
7,585

 
$
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.