XML 30 R19.htm IDEA: XBRL DOCUMENT

Investments (Tables)

6 Months Ended

Jun. 30, 2020

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, 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	$	124,521	$	3,921	$	0	$	0	$	128,442
Obligations of U.S. states and their political subdivisions	460,917		51,958		0		0		512,875
Foreign government bonds	190,655		32,670		42		0		223,283
U.S. public corporate securities	2,060,742		342,008		7,976		0		2,394,774
U.S. private corporate securities	898,457		70,998		4,803		1,899		962,753
Foreign public corporate securities	225,423		28,997		2,762		0		251,658
Foreign private corporate securities	969,193		40,731		32,418		2,673		974,833
Asset-backed securities(1)	122,786		658		2,554		0		120,890
Commercial mortgage-backed securities	437,874		34,650		0		0		472,524
Residential mortgage-backed securities(2)	59,732		4,558		0		0		64,290
Total fixed maturities, available-for-sale	$	5,550,300	$	611,149	$	50,555	$	4,572	$	6,106,322


(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:



	June 30, 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:
Foreign government bonds	$	2,119	$	42	$	0	$	0	$	2,119	$	42
U.S. public corporate securities	119,249		6,812		4,858		1,164		124,107		7,976
U.S. private corporate securities	85,321		4,514		3,772		287		89,093		4,801
Foreign public corporate securities	10,640		819		5,312		1,943		15,952		2,762
Foreign private corporate securities	148,434		5,474		192,258		26,330		340,692		31,804
Asset-backed securities	47,117		1,087		55,368		1,467		102,485		2,554
Commercial mortgage-backed securities	0		0		0		0		0		0
Residential mortgage-backed securities	83		0		0		0		83		0
Total fixed maturities, available-for-sale	$	412,963	$	18,748	$	261,568	$	31,191	$	674,531	$	49,939

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:
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:



	June 30, 2020
	Amortized Cost		Fair Value
	(in thousands)
Fixed maturities, available-for-sale:
Due in one year or less	$	238,403	$	240,471
Due after one year through five years	730,695		744,717
Due after five years through ten years	958,937		998,183
Due after ten years	3,001,873		3,465,247
Asset-backed securities	122,786		120,890
Commercial mortgage-backed securities	437,874		472,524
Residential mortgage-backed securities	59,732		64,290
Total fixed maturities, available-for-sale	$	5,550,300	$	6,106,322

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 June 30,						Six Months Ended June 30,
	2020			2019			2020			2019
	(in thousands)
Fixed maturities, available-for-sale:
Proceeds from sales(1)	$	5,223		$	28,231		$	12,941		$	53,018
Proceeds from maturities/prepayments	55,968			75,554			137,754			128,429
Gross investment gains from sales and maturities	39			(1,384		)	592			(435		)
Gross investment losses from sales and maturities	(1,663		)	(1,105		)	(1,736		)	(3,075		)
OTTI recognized in earnings(2)	N/A			0			N/A			(3,163		)
Write-downs recognized in earnings(3)	(77		)	N/A			(1,022		)	N/A
(Addition to) release of allowance for credit losses(4)	$	(2,362	)	N/A			(4,572		)	N/A


(1)	Includes $0.1 million and $2.1 million of non-cash related proceeds due to the timing of trade settlements for the six months ended June 30, 2020 and 2019, respectively.


(2)	For the three and six months ended June 30, 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 and six months ended June 30, 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:



	June 30, 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		4,891			0		0		0		4,891
Reductions for securities sold during the period	0		0		(9		)	0		0		0		(9		)
Addition (reductions) on securities with previous allowance	0		0		(310		)	0		0		0		(310		)
Balance, end of period	$	0	$	0	$	4,572		$	0	$	0	$	0	$	4,572

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, 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	$	356,713		29.7	%	$	355,175		28.6	%
Hospitality	33,673			2.8		31,449			2.5
Industrial	310,332			25.8		299,803			24.1
Office	189,770			15.8		205,498			16.6
Other	139,624			11.6		136,841			11.0
Retail	151,200			12.6		190,690			15.4
Total commercial mortgage loans	1,181,312			98.3		1,219,456			98.2
Agricultural property loans	20,879			1.7		22,197			1.8
Total commercial mortgage and agricultural property loans by property type	1,202,191			100.0	%	1,241,653			100.0	%
Allowance for credit losses	(4,559		)			(1,768		)
Total net commercial mortgage and agricultural property loans by property type	1,197,632					1,239,885
Other loans:
Other collateralized loans	927					0
Total other loans	927					0
Allowance for credit losses	0					0
Total net other loans	927					0
Total commercial mortgage and other loans	$	1,198,559				$	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	311			(7		)	0		304
Balance at June 30, 2020	$	4,549		$	10		$	0	$	4,559

Financing Receivable Credit Quality Indicators

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



	June 30, 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	$	57,680	$	35,787	$	90,979	$	164,124	$	256,759	$	0	$	605,329
60%-69.99%	16,864		65,000		80,324		53,111		90,127		91,606		0		397,032
70%-79.99%	7,627		45,957		81,130		32,826		9,628		1,561		0		178,729
80% or greater	0		0		0		0		0		222		0		222
Subtotal	24,491		168,637		197,241		176,916		263,879		350,148		0		1,181,312
Agricultural property loans
0%-59.99%	0		0		0		6,486		0		14,393		0		20,879
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		14,393		0		20,879
Total commercial mortgage and agricultural property loans
0%-59.99%	0		57,680		35,787		97,465		164,124		271,152		0		626,208
60%-69.99%	16,864		65,000		80,324		53,111		90,127		91,606		0		397,032
70%-79.99%	7,627		45,957		81,130		32,826		9,628		1,561		0		178,729
80% or greater	0		0		0		0		0		222		0		222
Total commercial mortgage and agricultural property loans	$	24,491	$	168,637	$	197,241	$	183,402	$	263,879	$	364,541	$	0	$	1,202,191



	June 30, 2020				December 31, 2019
	Commercial Mortgage Loans		Agricultural Property Loans		Commercial Mortgage Loans		Agricultural Property Loans
	(in thousands)
Debt Service Coverage Ratio:
Greater or equal to 1.2x	$	1,117,808	$	20,064	$	1,159,411	$	21,382
1.0 - 1.2x	62,866		0		58,948		0
Less than 1.0x	638		815		1,097		815
Total	$	1,181,312	$	20,879	$	1,219,456	$	22,197

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, 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	$	1,181,312	$	0	$	0	$	0	$	1,181,312	$	0
Agricultural property loans	20,879		0		0		0		20,879		0
Other collateralized loans	927		0		0		0		927		0
Total	$	1,203,118	$	0	$	0	$	0	$	1,203,118	$	0


(1)	As of June 30, 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:



	June 30, 2020		December 31, 2019
	(in thousands)
Company’s investment in separate accounts	$	44,685	$	46,573
LPs/LLCs:
Equity method:
Private equity	203,599		189,095
Hedge funds	68,132		64,002
Real estate-related	45,039		42,432
Subtotal equity method	316,770		295,529
Fair value:
Private equity	58,562		62,639
Hedge funds	503		562
Real estate-related	11,813		11,707
Subtotal fair value	70,878		74,908
Total LPs/LLCs	387,648		370,437
Derivative instruments	35,672		12,548
Total other invested assets	$	468,005	$	429,558

Accrued Investment Income

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



	June 30, 2020
	(in thousands)

Fixed maturities	$	50,396
Equity securities	1
Commercial mortgage and other loans	3,563
Policy loans	35,388
Short-term investments and cash equivalents	91
Total accrued investment income	$	89,439

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,
	2020			2019			2020			2019
	(in thousands)
Fixed maturities, available-for-sale	$	54,897		$	59,370		$	109,463		$	115,636
Fixed maturities, trading	395			326			793			634
Equity securities	103			221			205			442
Commercial mortgage and other loans	12,322			13,435			26,098			25,926
Policy loans	17,615			16,766			34,926			32,965
Other invested assets	2,165			18,060			(1,744		)	27,971
Short-term investments and cash equivalents	580			1,839			2,612			4,150
Gross investment income	88,077			110,017			172,353			207,724
Less: investment expenses	(4,615		)	(4,455		)	(9,310		)	(8,912		)
Net investment income	$	83,462		$	105,562		$	163,043		$	198,812

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,
	2020			2019			2020			2019
	(in thousands)
Fixed maturities(1)	$	(4,063	)	$	(2,489	)	$	(6,738	)	$	(6,673	)
Commercial mortgage and other loans	(44		)	99			(232		)	106
Other invested assets	5			0			(310		)	12
Derivatives	(76,353		)	(49,846		)	17,104			(94,323		)
Short-term investments and cash equivalents	224			(14		)	(160		)	(7		)
Realized investment gains (losses), net	$	(80,231	)	$	(52,250	)	$	9,664		$	(100,885	)


(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:



	June 30, 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	(874		)	N/A
Fixed maturity securities, available-for-sale without an allowance	561,468			N/A
Derivatives designated as cash flow hedges(2)	93,867			26,126
Affiliated notes	6,029			4,715
Other investments	(4,391		)	(4,365		)
Net unrealized gains (losses) on investments	$	656,099		$	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:



	June 30, 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	2,700		0		2,700		2,481		0		2,481
Total cash collateral for loaned securities(1)	$	2,700	$	0	$	2,700	$	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.