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Investments (Tables)
 6 Months Ended
Jun. 30, 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:
 
June 30, 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
$
79,486

 
$
3,116

 
$
0

 
$
82,602

 
$
0

Obligations of U.S. states and their political subdivisions
607,413

 
46,606

 
0

 
654,019

 
0

Foreign government bonds
210,007

 
18,321

 
14

 
228,314

 
0

U.S. public corporate securities
2,046,091

 
188,116

 
5,626

 
2,228,581

 
0

U.S. private corporate securities
895,094

 
37,967

 
5,825

 
927,236

 
0

Foreign public corporate securities
290,982

 
20,330

 
1,955

 
309,357

 
0

Foreign private corporate securities
904,665

 
36,202

 
22,921

 
917,946

 
0

Asset-backed securities(1)
139,728

 
1,481

 
287

 
140,922

 
(79
)
Commercial mortgage-backed securities
366,856

 
14,736

 
10

 
381,582

 
0

Residential mortgage-backed securities(2)
83,371

 
2,531

 
70

 
85,832

 
(152
)
Total fixed maturities, available-for-sale
$
5,623,693

 
$
369,406

 
$
36,708

 
$
5,956,391

 
$
(231
)

(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 $0.7 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, 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:
 
June 30, 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

 
0

 
0

 
0

 
0

Foreign government bonds
0

 
0

 
8,511

 
14

 
8,511

 
14

U.S. public corporate securities
9,171

 
69

 
140,380

 
5,557

 
149,551

 
5,626

U.S. private corporate securities
24,292

 
3,547

 
54,624

 
2,278

 
78,916

 
5,825

Foreign public corporate securities
815

 
0

 
33,148

 
1,955

 
33,963

 
1,955

Foreign private corporate securities
80,817

 
1,041

 
184,542

 
21,880

 
265,359

 
22,921

Asset-backed securities
75,417

 
233

 
15,424

 
54

 
90,841

 
287

Commercial mortgage-backed securities
0

 
0

 
2,961

 
10

 
2,961

 
10

Residential mortgage-backed securities
0

 
0

 
7,947

 
70

 
7,947

 
70

Total fixed maturities, available-for-sale
$
190,512

 
$
4,890

 
$
447,537

 
$
31,818

 
$
638,049

 
$
36,708

 
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:
 
June 30, 2019
 
Amortized Cost
 
Fair Value
 
(in thousands)
Fixed maturities, available-for-sale:
 
 
 
Due in one year or less
$
162,744

 
$
164,151

Due after one year through five years
701,515

 
707,518

Due after five years through ten years
1,005,349

 
1,046,082

Due after ten years
3,164,130

 
3,430,304

Asset-backed securities
139,728

 
140,922

Commercial mortgage-backed securities
366,856

 
381,582

Residential mortgage-backed securities
83,371

 
85,832

Total fixed maturities, available-for-sale
$
5,623,693

 
$
5,956,391
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 June 30,
 
Six Months Ended June 30,
 
2019
 
2018
 
2019
 
2018
 
(in thousands)
Fixed maturities, available-for-sale:
 
 
 
 
 
 
 
Proceeds from sales(1)
$
28,231

 
$
117,235

 
$
53,018

 
$
134,087

Proceeds from maturities/prepayments
75,554

 
85,808

 
128,429

 
140,118

Gross investment gains from sales and maturities
(1,384
)
 
(30
)
 
(435
)
 
114

Gross investment losses from sales and maturities
(1,105
)
 
(3,231
)
 
(3,075
)
 
(3,590
)
OTTI recognized in earnings(2)
0

 
(57
)
 
(3,163
)
 
(651
)

(1)
Includes $2.1 million and $26.2 million of non-cash related proceeds due to the timing of trade settlements for the six months ended June 30, 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 June 30,
 
Six Months Ended June 30,
 
2019
 
2018
 
2019
 
2018
 
(in thousands)
Credit loss impairments:
 
 
 
 
 
 
 
Balance, beginning of period
$
3,610

 
$
4,344

 
$
1,291

 
$
4,374

New credit loss impairments
0

 
0

 
3,022

 
0

Increases due to the passage of time on previously recorded credit losses
20

 
10

 
30

 
47

Reductions for securities which matured, paid down, prepaid or were sold during the period
(33
)
 
(1,918
)
 
(626
)
 
(1,960
)
Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected
(11
)
 
(454
)
 
(131
)
 
(479
)
Balance, end of period
$
3,586

 
$
1,982

 
$
3,586

 
$
1,982
Commercial Mortgage and Other Loans
The following table sets forth the composition of “Commercial mortgage and other loans,” as of the dates indicated:
 
June 30, 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
$
355,719

 
29.0
%
 
$
362,811

 
29.9
%
Hospitality
15,853

 
1.3

 
16,083

 
1.3

Industrial
286,521

 
23.2

 
263,999

 
21.8

Office
197,159

 
16.1

 
187,450

 
15.5

Other
129,617

 
10.6

 
131,961

 
10.9

Retail
189,040

 
15.4

 
193,473

 
16.0

Total commercial mortgage loans
1,173,909

 
95.6

 
1,155,777

 
95.4

Agricultural property loans
53,718

 
4.4

 
55,438

 
4.6

Total commercial mortgage and agricultural property loans by property type
1,227,627

 
100.0
%
 
1,211,215

 
100.0
%
Allowance for credit losses
(1,959
)
 
 
 
(2,065
)
 
 
Total commercial mortgage and other loans
$
1,225,668

 
 
 
$
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
(107
)
 
1

 
(106
)
Charge-offs, net of recoveries
0

 
0

 
0

Balance at June 30, 2019
$
1,919

 
$
40

 
$
1,959
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:
 
June 30, 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
1,919

 
40

 
1,959

Total ending balance(1)
$
1,919

 
$
40

 
$
1,959

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

 
$
0

 
$
0

Collectively evaluated for impairment
1,173,909

 
53,718

 
1,227,627

Total ending balance(1)
$
1,173,909

 
$
53,718

 
$
1,227,627


(1)
As of June 30, 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:

 
June 30, 2019
 
Debt Service Coverage Ratio
 
 
 
≥ 1.2X
 
1.0X to < 1.2X
 
< 1.0X
 
Total
 
(in thousands)
Loan-to-Value Ratio:
 
 
 
 
 
 
 
0%-59.99%
$
714,155

 
$
13,715

 
$
815

 
$
728,685

60%-69.99%
324,198

 
17,070

 
0

 
341,268

70%-79.99%
134,531

 
22,916

 
0

 
157,447

80% or greater
0

 
0

 
227

 
227

Total commercial mortgage and agricultural property loans
$
1,172,884

 
$
53,701

 
$
1,042

 
$
1,227,627

 
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:
 
June 30, 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
$
1,173,909

 
$
0

 
$
0

 
$
0

 
$
1,173,909

 
$
0

Agricultural property loans
53,718

 
0

 
0

 
0

 
53,718

 
0

Total
$
1,227,627

 
$
0

 
$
0

 
$
0

 
$
1,227,627

 
$
0


(1)
As of June 30, 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:
 
June 30, 2019
 
December 31, 2018
 
(in thousands)
Company’s investment in separate accounts
$
43,497

 
$
40,126

LPs/LLCs:
 
 
 
Equity method:
 
 
 
Private equity
183,095

 
149,164

Hedge funds
61,090

 
57,171

Real estate-related
19,753

 
10,251

Subtotal equity method
263,938

 
216,586

Fair value:
 
 
 
Private equity
57,156

 
60,118

Hedge funds
778

 
762

Real estate-related
11,290

 
9,024

Subtotal fair value
69,224

 
69,904

Total LPs/LLCs
333,162

 
286,490

Derivative instruments
18,292

 
50,813

Total other invested assets
$
394,951

 
$
377,429
Net Investment Income
The following table sets forth “Net investment income” by investment type, for the periods indicated:
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
2019
 
2018
 
2019
 
2018
 
(in thousands)
Fixed maturities, available-for-sale
$
59,370

 
$
55,195

 
$
115,636

 
$
108,455

Fixed maturities, trading
326

 
272

 
634

 
538

Equity securities, at fair value
221

 
221

 
442

 
442

Commercial mortgage and other loans
13,435

 
12,303

 
25,926

 
24,708

Policy loans
16,766

 
16,329

 
32,965

 
32,233

Short-term investments and cash equivalents
1,839

 
114

 
4,150

 
437

Other invested assets
18,060

 
1,743

 
27,971

 
1,858

Gross investment income
110,017

 
86,177

 
207,724

 
168,671

Less: investment expenses
(4,455
)
 
(4,528
)
 
(8,912
)
 
(9,107
)
Net investment income
$
105,562

 
$
81,649

 
$
198,812

 
$
159,564
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 June 30,
 
Six Months Ended June 30,
 
2019
 
2018
 
2019
 
2018
 
(in thousands)
Fixed maturities(1)
$
(2,489
)
 
$
(3,318
)
 
$
(6,673
)
 
$
(4,127
)
Commercial mortgage and other loans
99

 
(125
)
 
106

 
6

LPs/LLCs
0

 
2

 
12

 
849

Derivatives
(49,846
)
 
(33,448
)
 
(94,323
)
 
(82,641
)
Short-term investments and cash equivalents
(14
)
 
(1
)
 
(7
)
 
(19
)
Realized investment gains (losses), net
$
(52,250
)
 
$
(36,890
)
 
$
(100,885
)
 
$
(85,932
)

 
(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:
 
June 30, 2019
 
December 31, 2018
 
(in thousands)
Fixed maturity securities, available-for-sale—with OTTI
$
535

 
$
(689
)
Fixed maturity securities, available-for-sale—all other
332,163

 
(44,619
)
Derivatives designated as cash flow hedges(1)
28,757

 
22,122

Affiliated notes
4,025

 
810

Other investments
5,067

 
5,055

Net unrealized gains (losses) on investments
$
370,547

 
$
(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:
 
June 30, 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
$
0

 
$
0

 
$
0

 
$
8,169

 
$
0

 
$
8,169

U.S. public corporate securities
4,636

 
0

 
4,636

 
628

 
0

 
628

Foreign public corporate securities
2,447

 
0

 
2,447

 
2,266

 
0

 
2,266

Total cash collateral for loaned securities(1)
$
7,083

 
$
0

 
$
7,083

 
$
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.