Investments (Tables)

3 Months Ended

Mar. 31, 2020

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, 2020
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses		Fair Value
	(in thousands)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	86,893	$	3,948	$	0	$	0	$	90,841
Obligations of U.S. states and their political subdivisions	457,869		38,967		133		0		496,703
Foreign government bonds	190,467		14,633		1,431		0		203,669
U.S. public corporate securities	2,023,128		189,922		57,630		0		2,155,420
U.S. private corporate securities	904,725		26,295		17,176		2,210		911,634
Foreign public corporate securities	239,199		14,039		8,922		0		244,316
Foreign private corporate securities	951,060		6,941		82,798		0		875,203
Asset-backed securities(1)	124,733		277		6,543		0		118,467
Commercial mortgage-backed securities	362,722		19,592		444		0		381,870
Residential mortgage-backed securities(2)	64,266		3,747		539		0		67,474
Total fixed maturities, available-for-sale	$	5,405,062	$	318,361	$	175,616	$	2,210	$	5,545,597

(1) Includes credit-tranched securities collateralized by loan obligations, credit cards, auto loans, education loans and home equity loans.

(2) Includes publicly-traded agency pass-through securities and collateralized mortgage obligations.

	December 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	$	83,622	$	2,846	$	0	$	86,468	$	0
Obligations of U.S. states and their political subdivisions	458,152		39,675		0		497,827		0
Foreign government bonds	196,034		26,793		1		222,826		0
U.S. public corporate securities	1,914,503		229,071		2,247		2,141,327		0
U.S. private corporate securities	886,281		44,497		1,006		929,772		0
Foreign public corporate securities	256,843		22,158		385		278,616		0
Foreign private corporate securities	939,603		38,426		19,551		958,478		0
Asset-backed securities(1)	119,602		800		466		119,936		(7		)
Commercial mortgage-backed securities	367,848		15,231		163		382,916		0
Residential mortgage-backed securities(2)	60,778		3,050		24		63,804		(131		)
Total fixed maturities, available-for-sale	$	5,283,266	$	422,547	$	23,843	$	5,681,970	$	(138	)

(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 $1.7 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.

Duration Of Gross Unrealized Losses On Fixed Maturity Securities

The following table sets forth the fair value and gross unrealized losses on available-for-sale fixed maturity securities without an allowance for credit 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 date indicated:

	March 31, 2020
	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	2,995		133		0		0		2,995		133
Foreign government bonds	28,153		1,431		0		0		28,153		1,431
U.S. public corporate securities	505,567		56,058		4,452		1,572		510,019		57,630
U.S. private corporate securities	257,998		16,596		6,503		580		264,501		17,176
Foreign public corporate securities	75,440		6,109		4,445		2,813		79,885		8,922
Foreign private corporate securities	533,303		38,880		174,865		43,918		708,168		82,798
Asset-backed securities	64,751		3,689		40,796		2,854		105,547		6,543
Commercial mortgage-backed securities	66,503		444		0		0		66,503		444
Residential mortgage-backed securities	5,878		539		0		0		5,878		539
Total fixed maturities, available-for-sale	$	1,540,588	$	123,879	$	231,061	$	51,737	$	1,771,649	$	175,616

The following table sets forth the fair value and gross unrealized losses on fixed maturity securities aggregated by investment category and length of time that individual fixed maturity securities had been in a continuous unrealized loss position, as of the date indicated:

	December 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		0		0		0		0
Foreign government bonds	2,152		1		400		0		2,552		1
U.S. public corporate securities	81,622		984		19,206		1,263		100,828		2,247
U.S. private corporate securities	33,264		780		22,143		226		55,407		1,006
Foreign public corporate securities	3,839		23		9,379		362		13,218		385
Foreign private corporate securities	32,800		921		186,693		18,630		219,493		19,551
Asset-backed securities	32,361		243		55,461		223		87,822		466
Commercial mortgage-backed securities	22,153		163		0		0		22,153		163
Residential mortgage-backed securities	3,049		16		692		8		3,741		24
Total fixed maturities, available-for-sale	$	211,240	$	3,131	$	293,974	$	20,712	$	505,214	$	23,843

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, 2020
	Amortized Cost		Fair Value
	(in thousands)
Fixed maturities, available-for-sale:
Due in one year or less	$	254,699	$	255,404
Due after one year through five years	740,281		715,070
Due after five years through ten years	943,894		912,317
Due after ten years	2,914,467		3,094,995
Asset-backed securities	124,733		118,467
Commercial mortgage-backed securities	362,722		381,870
Residential mortgage-backed securities	64,266		67,474
Total fixed maturities, available-for-sale	$	5,405,062	$	5,545,597

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 write-downs, impairments and the allowance for credit losses of fixed maturities, for the periods indicated:

	Three Months Ended March 31,
	2020			2019
	(in thousands)
Fixed maturities, available-for-sale:
Proceeds from sales(1)	$	7,718		$	24,787
Proceeds from maturities/prepayments	81,786			52,875
Gross investment gains from sales and maturities	553			949
Gross investment losses from sales and maturities	(73		)	(1,970		)
OTTI recognized in earnings(2)	N/A			(3,163		)
Write-downs recognized in earnings(3)	(945		)	N/A
(Addition to) release of allowance for credit losses(4)	(2,210		)	N/A

(1) Includes $3.0 million and $6.9 million of non-cash related proceeds due to the timing of trade settlements for the three months ended March 31, 2020 and 2019, respectively.

(2) For the three months ended March 31, 2019, amounts exclude 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 impairment.

(3) For the three months ended March 31, 2020, amounts represent write-downs on securities approaching maturity related to foreign exchange movements and securities actively marketed for sale.

(4) Effective January 1, 2020, credit losses on available-for-sale fixed maturity securities are recorded within the “allowance for credit losses.”

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 the activity in the allowance for credit losses for fixed maturity securities, as of the date indicated:

	March 31, 2020
	U.S. Treasury Securities and Obligations of U.S. States		Foreign Government Bonds		U.S. and Foreign Corporate Securities		Asset-Backed Securities		Commercial Mortgage-Backed Securities		Residential Mortgage-Backed Securities		Total
	(in thousands)
Fixed maturities, available-for-sale:
Balance, beginning of year	$	0	$	0	$	0	$	0	$	0	$	0	$	0
Additions to allowance for credit losses not previously recorded	0		0		2,210		0		0		0		2,210
Balance, end of period	$	0	$	0	$	2,210	$	0	$	0	$	0	$	2,210

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, 2020					December 31, 2019
	Amount (in thousands)			% of Total		Amount (in thousands)			% of Total
Commercial mortgage and agricultural property loans by property type:
Apartments/Multi-Family	$	360,045		29.8	%	$	355,175		28.6	%
Hospitality	33,797			2.8		31,449			2.5
Industrial	297,694			24.6		299,803			24.1
Office	183,946			15.2		205,498			16.6
Other	135,667			11.2		136,841			11.0
Retail	177,218			14.6		190,690			15.4
Total commercial mortgage loans	1,188,367			98.2		1,219,456			98.2
Agricultural property loans	21,921			1.8		22,197			1.8
Total commercial mortgage and agricultural property loans by property type	1,210,288			100.0	%	1,241,653			100.0	%
Allowance for credit losses	(4,514		)			(1,768		)
Total net commercial mortgage and agricultural property loans by property type	$	1,205,774				$	1,239,885
Other loans:
Other collateralized loans	933					0
Total other loans	933					0
Allowance for credit losses	0					0
Total net other loans	933					0
Total commercial mortgage and other loans	$	1,206,707				$	1,239,885

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			Other Collateralized Loans		Total
	(in thousands)
Balance at December 31, 2018	$	2,026		$	39		$	0	$	2,065
Addition to (release of) allowance for credit losses	(283		)	(14		)	0		(297		)
Balance at December 31, 2019	1,743			25			$	0	1,768
Cumulative effect of adoption of ASU 2016-13	2,495			(8		)	0		2,487
Addition to (release of) allowance for expected losses	265			(6		)	0		259
Balance at March 31, 2020	$	4,503		$	11		$	0	$	4,514

Financing Receivable Credit Quality Indicators

The following table sets forth certain key credit quality indicators based upon the recorded investment gross of allowance for credit losses, as of the date indicated:

	December 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%	$	676,517	$	18,418	$	1,912	$	696,847
60%-69.99%	354,828		12,799		0		367,627
70%-79.99%	149,448		27,506		0		176,954
80% or greater	0		225		0		225
Total commercial mortgage and agricultural property loans	$	1,180,793	$	58,948	$	1,912	$	1,241,653

The following table sets forth loan-to-value ratios based upon the recorded investment gross of allowance for credit losses, as of the date indicated:

	March 31, 2020
	Amortized Cost by Origination Year
	2020		2019		2018		2017		2016		Prior		Revolving Loans		Total
	(in thousands)
Loan-to-Value Ratio:
Commercial mortgage loans
0%-59.99%	$	0	$	56,749	$	34,785	$	90,588	$	167,373	$	283,170	$	0	$	632,665
60%-69.99%	20,013		64,589		70,332		42,202		84,963		96,041		0		378,140
70%-79.99%	777		44,508		88,437		32,999		9,690		927		0		177,338
80% or greater	0		0		0		0		0		224		0		224
Subtotal	20,790		165,846		193,554		165,789		262,026		380,362		0		1,188,367
Agricultural property loans
0%-59.99%	0		0		0		6,486		0		15,435		0		21,921
60%-69.99%	0		0		0		0		0		0		0		0
70%-79.99%	0		0		0		0		0		0		0		0
80% or greater	0		0		0		0		0		0		0		0
Subtotal	0		0		0		6,486		0		15,435		0		21,921
Total commercial mortgage and agricultural property loans
0%-59.99%	0		56,749		34,785		97,074		167,373		298,605		0		654,586
60%-69.99%	20,013		64,589		70,332		42,202		84,963		96,041		0		378,140
70%-79.99%	777		44,508		88,437		32,999		9,690		927		0		177,338
80% or greater	0		0		0		0		0		224		0		224
Total commercial mortgage and agricultural property loans	$	20,790	$	165,846	$	193,554	$	172,275	$	262,026	$	395,797	$	0	$	1,210,288

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, 2020
	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	$	1,188,367	$	0	$	0	$	0	$	1,188,367	$	0
Agricultural property loans	21,921		0		0		0		21,921		0
Other collateralized loans	933		0		0		0		933		0
Total	$	1,211,221	$	0	$	0	$	0	$	1,211,221	$	0

(1) As of March 31, 2020, 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, 2019.

	December 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	$	1,219,456	$	0	$	0	$	0	$	1,219,456	$	0
Agricultural property loans	22,197		0		0		0		22,197		0
Total	$	1,241,653	$	0	$	0	$	0	$	1,241,653	$	0

(1) As of December 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, 2019

Other Invested Assets

The following table sets forth the composition of “Other invested assets,” as of the dates indicated:

	March 31, 2020		December 31, 2019
	(in thousands)
Company’s investment in separate accounts	$	45,490	$	46,573
LPs/LLCs:
Equity method:
Private equity	200,106		189,095
Hedge funds	61,950		64,002
Real estate-related	44,171		42,432
Subtotal equity method	306,227		295,529
Fair value:
Private equity	66,644		62,639
Hedge funds	551		562
Real estate-related	12,324		11,707
Subtotal fair value	79,519		74,908
Total LPs/LLCs	385,746		370,437
Derivative instruments	31,021		12,548
Total other invested assets	$	462,257	$	429,558

Accrued Investment Income

The following table sets forth the composition of “Accrued investment income,” as of the date indicated:

	March 31, 2020
	(in thousands)
Fixed maturities	$	49,957
Equity securities	103
Commercial mortgage and other loans	3,604
Policy loans	35,600
Short-term investments and cash equivalents	228
Total accrued investment income	$	89,492

Net Investment Income

The following table sets forth “Net investment income” by investment type, for the periods indicated:

		Three Months Ended March 31,
		2020			2019
	(in thousands)
Fixed maturities, available-for-sale		$	54,566		$	56,266
Fixed maturities, trading		398			308
Equity securities		102			221
Commercial mortgage and other loans		13,776			12,491
Policy loans		17,311			16,199
Other invested assets		(3,909		)	9,911
Short-term investments and cash equivalents		2,032			2,311
Gross investment income		84,276			97,707
Less: investment expenses		(4,695		)	(4,457		)
Net investment income		$	79,581		$	93,250

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,
		2020			2019
	(in thousands)
Fixed maturities(1)		$	(2,675	)	$	(4,184	)
Commercial mortgage and other loans		(188		)	7
LPs/LLCs		(315		)	12
Derivatives		93,457			(44,477		)
Short-term investments and cash equivalents		(384		)	7
Realized investment gains (losses), net		$	89,895		$	(48,635	)

(1)

Includes fixed maturity securities classified as available-for-sale and excludes fixed maturity securities classified as trading.

Net Unrealized Gains and (Losses) on Investments

The following table sets forth net unrealized gains (losses) on investments, as of the dates indicated:

	March 31, 2020			December 31, 2019
	(in thousands)
Fixed maturity securities, available-for-sale — with OTTI(1)	$ N/A			$	1,568
Fixed maturity securities, available-for-sale — all other(1)	N/A			397,136
Fixed maturity securities, available-for-sale with an allowance	0			N/A
Fixed maturity securities, available-for-sale without an allowance	142,745			N/A
Derivatives designated as cash flow hedges(2)	124,196			26,126
Affiliated notes	(437		)	4,715
Other investments	(3,818		)	(4,365		)
Net unrealized gains (losses) on investments	$	262,686		$	425,180

(1) Effective January 1, 2020, per ASU 2016-13, fixed maturity securities, available-for-sale are no longer required to be disclosed “with OTTI” and “all other.”

(2)

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, 2020						December 31, 2019
	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. public corporate securities	$	0	$	0	$	0	$	5,048	$	0	$	5,048
Foreign public corporate securities	2,587		0		2,587		2,481		0		2,481
Total cash collateral for loaned securities(1)	$	2,587	$	0	$	2,587	$	7,529	$	0	$	7,529

(1)

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