XML 30 R19.htm IDEA: XBRL DOCUMENT v3.19.1
Investments (Tables)
 3 Months Ended
Mar. 31, 2019
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:
 
March 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
$
77,354

 
$
2,645

 
$
0

 
$
79,999

 
$
0

Obligations of U.S. states and their political subdivisions
608,071

 
31,553

 
18

 
639,606

 
0

Foreign government bonds
209,128

 
8,172

 
2,488

 
214,812

 
0

U.S. public corporate securities
1,926,382

 
96,244

 
17,364

 
2,005,262

 
0

U.S. private corporate securities
890,441

 
19,701

 
9,185

 
900,957

 
0

Foreign public corporate securities
289,697

 
10,112

 
3,953

 
295,856

 
0

Foreign private corporate securities
885,807

 
19,955

 
25,216

 
880,546

 
0

Asset-backed securities(1)
148,802

 
1,462

 
531

 
149,733

 
(85
)
Commercial mortgage-backed securities
345,909

 
7,239

 
1,379

 
351,769

 
0

Residential mortgage-backed securities(2)
86,570

 
1,482

 
383

 
87,669

 
(172
)
Total fixed maturities, available-for-sale
$
5,468,161

 
$
198,565

 
$
60,517

 
$
5,606,209

 
$
(257
)

(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 $0.2 million of net unrealized losses on impaired available-for-sale securities relating to changes in the value of such securities subsequent to the impairment measurement date.

 
December 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
$
75,049

 
$
2,427

 
$
6

 
$
77,470

 
$
0

Obligations of U.S. states and their political subdivisions
609,955

 
15,154

 
2,351

 
622,758

 
0

Foreign government bonds
208,009

 
2,137

 
8,199

 
201,947

 
0

U.S. public corporate securities
1,739,860

 
46,166

 
54,401

 
1,731,625

 
0

U.S. private corporate securities
890,748

 
11,181

 
18,591

 
883,338

 
0

Foreign public corporate securities
270,428

 
3,746

 
12,151

 
262,023

 
0

Foreign private corporate securities
857,604

 
9,797

 
40,022

 
827,379

 
0

Asset-backed securities(1)
156,818

 
1,528

 
750

 
157,596

 
(122
)
Commercial mortgage-backed securities
347,570

 
3,353

 
4,527

 
346,396

 
0

Residential mortgage-backed securities(2)
88,862

 
1,268

 
1,067

 
89,063

 
(177
)
Total fixed maturities, available-for-sale
$
5,244,903

 
$
96,757

 
$
142,065

 
$
5,199,595

 
$
(299
)

(1)
Includes credit-tranched securities collateralized by loan obligations, sub-prime mortgages, auto loans, credit cards, 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 $0.4 million of net unrealized losses 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 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, 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:
 
 
 
 
 
 
 
 
 
 
 
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

 
6,771

 
18

 
6,771

 
18

Foreign government bonds
4,181

 
28

 
71,392

 
2,460

 
75,573

 
2,488

U.S. public corporate securities
110,017

 
2,347

 
330,357

 
15,017

 
440,374

 
17,364

U.S. private corporate securities
54,835

 
4,183

 
194,614

 
5,002

 
249,449

 
9,185

Foreign public corporate securities
7,508

 
93

 
83,890

 
3,860

 
91,398

 
3,953

Foreign private corporate securities
114,485

 
3,592

 
228,928

 
21,624

 
343,413

 
25,216

Asset-backed securities
98,426

 
473

 
10,015

 
58

 
108,441

 
531

Commercial mortgage-backed securities
0

 
0

 
110,228

 
1,379

 
110,228

 
1,379

Residential mortgage-backed securities
186

 
1

 
28,181

 
382

 
28,367

 
383

Total fixed maturities, available-for-sale
$
389,638

 
$
10,717

 
$
1,064,376

 
$
49,800

 
$
1,454,014

 
$
60,517


 
December 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
$
0

 
$
0

 
$
630

 
$
6

 
$
630

 
$
6

Obligations of U.S. states and their political subdivisions
124,776

 
1,571

 
31,215

 
780

 
155,991

 
2,351

Foreign government bonds
77,055

 
3,184

 
59,700

 
5,015

 
136,755

 
8,199

U.S. public corporate securities
784,916

 
37,635

 
213,147

 
16,766

 
998,063

 
54,401

U.S. private corporate securities
263,934

 
9,159

 
287,031

 
9,432

 
550,965

 
18,591

Foreign public corporate securities
124,764

 
6,286

 
72,725

 
5,865

 
197,489

 
12,151

Foreign private corporate securities
424,921

 
22,605

 
127,201

 
17,417

 
552,122

 
40,022

Asset-backed securities
112,527

 
650

 
6,523

 
100

 
119,050

 
750

Commercial mortgage-backed securities
49,616

 
434

 
116,786

 
4,093

 
166,402

 
4,527

Residential mortgage-backed securities
34,249

 
240

 
32,432

 
827

 
66,681

 
1,067

Total fixed maturities, available-for-sale
$
1,996,758

 
$
81,764

 
$
947,390

 
$
60,301

 
$
2,944,148

 
$
142,065
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:

 
March 31, 2019
 
Amortized Cost
 
Fair Value
 
(in thousands)
Fixed maturities, available-for-sale:
 
 
 
Due in one year or less
$
206,941

 
$
208,192

Due after one year through five years
705,933

 
703,752

Due after five years through ten years
993,523

 
1,008,175

Due after ten years
2,980,483

 
3,096,919

Asset-backed securities
148,802

 
149,733

Commercial mortgage-backed securities
345,909

 
351,769

Residential mortgage-backed securities
86,570

 
87,669

Total fixed maturities, available-for-sale
$
5,468,161

 
$
5,606,209
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 impairments of fixed maturities, for the periods indicated:
 
Three Months Ended March 31,
 
2019
 
2018
 
(in thousands)
Fixed maturities, available-for-sale:
 
 
 
Proceeds from sales(1)
$
24,787

 
$
16,852

Proceeds from maturities/prepayments
52,875

 
54,310

Gross investment gains from sales and maturities
949

 
144

Gross investment losses from sales and maturities
(1,970
)
 
(359
)
OTTI recognized in earnings(2)
(3,163
)
 
(594
)

(1)
Includes $6.9 million and $1.8 million of non-cash related proceeds due to the timing of trade settlements for the three months ended March 31, 2019 and 2018, 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 March 31,
 
2019
 
2018
 
(in thousands)
Credit loss impairments:
 
 
 
Balance, beginning of period
$
1,291

 
$
4,374

New credit loss impairments
3,022

 
0

Increases due to the passage of time on previously recorded credit losses
10

 
37

Reductions for securities which matured, paid down, prepaid or were sold during the period
(593
)
 
(42
)
Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected
(120
)
 
(25
)
Balance, end of period
$
3,610

 
$
4,344
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, 2019
 
December 31, 2018
 
Amount
(in thousands)
 
% of
Total
 
Amount
(in thousands)
 
% of
Total
Commercial mortgage and agricultural property loans by property type:
 
 
 
 
 
 
 
Apartments/Multi-Family
$
356,454

 
29.3
%
 
$
362,811

 
29.9
%
Hospitality
15,969

 
1.3

 
16,083

 
1.3

Industrial
271,953

 
22.5

 
263,999

 
21.8

Office
191,236

 
15.7

 
187,450

 
15.5

Other
131,850

 
10.9

 
131,961

 
10.9

Retail
192,381

 
15.8

 
193,473

 
16.0

Total commercial mortgage loans
1,159,843

 
95.5

 
1,155,777

 
95.4

Agricultural property loans
54,833

 
4.5

 
55,438

 
4.6

Total commercial mortgage and agricultural property loans by property type
1,214,676

 
100.0
%
 
1,211,215

 
100.0
%
Allowance for credit losses
(2,058
)
 
 
 
(2,065
)
 
 
Total commercial mortgage and other loans
$
1,212,618

 
 
 
$
1,209,150

 
 
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, 2017
$
1,728

 
$
66

 
$
1,794

Addition to (release of) allowance for credit losses
298

 
(27
)
 
271

Charge-offs, net of recoveries
0

 
0

 
0

Balance at December 31, 2018
2,026

 
39

 
2,065

Addition to (release of) allowance for credit losses
(10
)
 
3

 
(7
)
Charge-offs, net of recoveries
0

 
0

 
0

Balance at March 31, 2019
$
2,016

 
$
42

 
$
2,058
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, 2019
 
Commercial Mortgage Loans
 
Agricultural Property Loans
 
Total
 
(in thousands)
Allowance for credit losses:
 
 
 
 
 
Individually evaluated for impairment
$
0

 
$
0

 
$
0

Collectively evaluated for impairment
2,016

 
42

 
2,058

Total ending balance(1)
$
2,016

 
$
42

 
$
2,058

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

 
$
0

 
$
0

Collectively evaluated for impairment
1,159,843

 
54,833

 
1,214,676

Total ending balance(1)
$
1,159,843

 
$
54,833

 
$
1,214,676


(1)
As of March 31, 2019, there were no loans acquired with deteriorated credit quality.
(2)
Recorded investment reflects the carrying value gross of related allowance.
 
December 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
2,026

 
39

 
2,065

Total ending balance(1)
$
2,026

 
$
39

 
$
2,065

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

 
$
816

 
$
816

Collectively evaluated for impairment
1,155,777

 
54,622

 
1,210,399

Total ending balance(1)
$
1,155,777

 
$
55,438

 
$
1,211,215


(1)
As of December 31, 2018, 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, 2019
 
Debt Service Coverage Ratio
 
 
 
≥ 1.2X
 
1.0X to < 1.2X
 
< 1.0X
 
Total
 
(in thousands)
Loan-to-Value Ratio:
 
 
 
 
 
 
 
0%-59.99%
$
698,110

 
$
14,468

 
$
0

 
$
712,578

60%-69.99%
316,532

 
16,469

 
0

 
333,001

70%-79.99%
114,257

 
27,612

 
0

 
141,869

80% or greater
27,000

 
0

 
228

 
27,228

Total commercial mortgage and agricultural property loans
$
1,155,899

 
$
58,549

 
$
228

 
$
1,214,676

 
December 31, 2018
 
Debt Service Coverage Ratio
 
 
 
≥ 1.2X
 
1.0X to < 1.2X
 
< 1.0X
 
Total
 
(in thousands)
Loan-to-Value Ratio:
 
 
 
 
 
 
 
0%-59.99%
$
696,507

 
$
12,771

 
$
80

 
$
709,358

60%-69.99%
321,586

 
18,525

 
0

 
340,111

70%-79.99%
105,727

 
27,790

 
0

 
133,517

80% or greater
28,000

 
229

 
0

 
28,229

Total commercial mortgage and agricultural property loans
$
1,151,820

 
$
59,315

 
$
80

 
$
1,211,215
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, 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
$
1,159,843

 
$
0

 
$
0

 
$
0

 
$
1,159,843

 
$
0

Agricultural property loans
54,833

 
0

 
0

 
0

 
54,833

 
0

Total
$
1,214,676

 
$
0

 
$
0

 
$
0

 
$
1,214,676

 
$
0


(1)
As of March 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 Consolidated Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2018.
 
December 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
$
1,155,777

 
$
0

 
$
0

 
$
0

 
$
1,155,777

 
$
0

Agricultural property loans
55,438

 
0

 
0

 
0

 
55,438

 
0

Total
$
1,211,215

 
$
0

 
$
0

 
$
0

 
$
1,211,215

 
$
0



(1)
As of December 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, 2018.
Other Invested Assets The following table sets forth the composition of “Other invested assets,” as of the dates indicated:
 
March 31, 2019
 
December 31, 2018
 
(in thousands)
Company’s investment in separate accounts
$
41,577

 
$
40,126

LPs/LLCs:
 
 
 
Equity method:
 
 
 
Private equity
158,754

 
149,164

Hedge funds
59,513

 
57,171

Real estate-related
10,335

 
10,251

Subtotal equity method
228,602

 
216,586

Fair value:
 
 
 
Private equity
61,817

 
60,118

Hedge funds
769

 
762

Real estate-related
10,055

 
9,024

Subtotal fair value
72,641

 
69,904

Total LPs/LLCs
301,243

 
286,490

Derivative instruments
15,468

 
50,813

Total other invested assets
$
358,288

 
$
377,429
Net Investment Income The following table sets forth “Net investment income” by investment type, for the periods indicated:
 
Three Months Ended March 31,
 
2019
 
2018
 
(in thousands)
Fixed maturities, available-for-sale
$
56,266

 
$
53,260

Fixed maturities, trading
308

 
266

Equity securities, at fair value
221

 
221

Commercial mortgage and other loans
12,491

 
12,405

Policy loans
16,199

 
15,904

Short-term investments and cash equivalents
2,311

 
323

Other invested assets
9,911

 
115

Gross investment income
97,707

 
82,494

Less: investment expenses
(4,457
)
 
(4,579
)
Net investment income
$
93,250

 
$
77,915
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,
 
2019
 
2018
 
(in thousands)
Fixed maturities(1)
$
(4,184
)
 
$
(809
)
Commercial mortgage and other loans
7

 
131

LPs/LLCs
12

 
847

Derivatives
(44,477
)
 
(49,193
)
Short-term investments and cash equivalents
7

 
(18
)
Realized investment gains (losses), net
$
(48,635
)
 
$
(49,042
)

 
(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:
 
March 31, 2019
 
December 31, 2018
 
(in thousands)
Fixed maturity securities, available-for-sale—with OTTI
$
(408
)
 
$
(689
)
Fixed maturity securities, available-for-sale—all other
138,456

 
(44,619
)
Derivatives designated as cash flow hedges(1)
15,441

 
22,122

Affiliated notes
2,899

 
810

Other investments
4,942

 
5,055

Net unrealized gains (losses) on investments
$
161,330

 
$
(17,321
)

(1)
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:
 
March 31, 2019
 
December 31, 2018
 
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
$
3,109

 
$
0

 
$
3,109

 
$
8,169

 
$
0

 
$
8,169

Foreign government bonds
2,121

 
0

 
2,121

 
0

 
0

 
0

U.S. public corporate securities
2,745

 
0

 
2,745

 
628

 
0

 
628

Foreign public corporate securities
2,359

 
0

 
2,359

 
2,266

 
0

 
2,266

Total cash collateral for loaned securities(1)
$
10,334

 
$
0

 
$
10,334

 
$
11,063

 
$
0

 
$
11,063



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