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Investments (Tables)
 6 Months Ended
Jun. 30, 2016
Amortized Cost/Cost, Gross Unrealized Gains and Losses, Estimated Fair Values and Impairments Reflected in Other Comprehensive Income of Investments in Fixed Maturity and Equity Available-for-Sale Securities

The amortized cost/cost, gross unrealized gains and losses, estimated fair values and impairments reflected in other comprehensive income of investments in fixed maturity and equity AFS securities at June 30, 2016 and December 31, 2015 were:

 

     June 30, 2016  
            Gross Unrealized     Estimated         

 

    Amortized
Cost/Cost		      Gains      Losses     Fair
Value		      OTTI
in AOCI (a)		  

Fixed maturity AFS securities

              

Corporate securities

    $ 943,739       $ 84,492       $ (5,679 )    $ 1,022,552       $ -       

Asset-backed securities

      82,028         2,780         (411 )      84,397         (11 ) 

Commercial mortgage-backed securities

      77,311         4,217         (11 )      81,517         -       

Residential mortgage-backed securities

      158,469         3,562         (492 )      161,539         (27 ) 

Municipals

      911         -             (104 )      807         -       

Government and government agencies

              

United States

      294,764         91,254         -            386,018         -       

Foreign

      6,551         1,691         -            8,242         -       
  

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

Total fixed maturity AFS securities

    $     1,563,773       $     187,996       $     (6,697)      $     1,745,072       $ (38 ) 
  

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

Equity AFS securities

              

Banking securities

    $ 26,757       $ 1,794       $ (613 )    $ 27,938       $ -       

Industrial securities

      5,791         98         -            5,889         -       
  

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

Total equity AFS securities

    $ 32,548       $ 1,892       $ (613 )    $ 33,827       $ -       
  

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

 

     December 31, 2015  
             Gross Unrealized     Estimated         

 

    Amortized
Cost/Cost		      Gains      Losses     Fair
Value		      OTTI
in AOCI (a)		  

Fixed maturity AFS securities

              

Corporate securities

      $ 977,900         $ 57,648         $ (18,756 )      $ 1,016,792         $ -       

Asset-backed securities

      118,993         4,140         (479 )      122,654         (42 ) 

Commercial mortgage-backed securities

      70,083         1,904         (304 )      71,683         -       

Residential mortgage-backed securities

      56,527         2,819         (81 )      59,265         -       

Municipals

      913         -             (106 )      807         -       

Government and government agencies

              

United States

      339,686         46,634         (32 )      386,288         -       

Foreign

      6,591         1,257         -            7,848             -       
  

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

Total fixed maturity AFS securities

      $   1,570,693         $   114,402         $   (19,758)        $ 1,665,337         $ (42 ) 
  

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

Equity AFS securities

              

Banking securities

      $ 27,986         $ 1,769         $ (1,082 )      $ 28,673         $ -       

Industrial securities

      5,791         203         -            5,994         -       
  

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

Total equity AFS securities

      $ 33,777         $ 1,972         $ (1,082)        $ 34,667         $ -       
  

 

 

     

 

 

     

 

 

    

 

 

     

 

 

  

(a) Represents other-than-temporary impairments (“OTTI”) in Accumulated Other Comprehensive Income (“AOCI”), which were not included in earnings. Amount excludes $1,837 and $2,515 of unrealized gains at June 30, 2016 and December 31, 2015, respectively.
Amortized Cost and Estimated Fair Value of Fixed Maturity Available-for-Sale Securities by Investment Grade

The amortized cost and estimated fair value of fixed maturity AFS securities by investment grade at June 30, 2016 and December 31, 2015 were:

 

    June 30, 2016     December 31, 2015  

 

   Amortized
Cost		     Estimated
Fair
Value		     Amortized
Cost		     Estimated
Fair
Value		  

Investment grade

     $ 1,461,611        $ 1,642,016        $ 1,467,677        $ 1,565,053   

Below investment grade

     102,162        103,056        103,016        100,284   
 

 

 

    

 

 

    

 

 

    

 

 

  

Total fixed maturity AFS securities

     $   1,563,773        $   1,745,072        $   1,570,693        $   1,665,337   
 

 

 

    

 

 

    

 

 

    

 

 

  
Amortized Cost and Estimated Fair Value of Fixed Maturity Available-for-Sale Securities by Contractual Maturities

The amortized cost and estimated fair value of fixed maturity AFS securities at June 30, 2016 and December 31, 2015 by contractual maturities were:

 

    June 30, 2016     December 31, 2015  

 

   Amortized
Cost		     Estimated
Fair
Value		     Amortized
Cost		     Estimated
Fair
Value		  

Fixed maturity AFS securities

        

Due in one year or less

     $ 72,334        $ 72,911        $ 64,114        $ 65,086   

Due after one year through five years

     535,068        577,160        564,707        599,965   

Due after five years through ten years

     151,972        163,110        230,858        230,815   

Due after ten years

     486,591        604,437        465,410        515,868   
 

 

 

    

 

 

    

 

 

    

 

 

  
    1,245,965        1,417,618        1,325,089        1,411,734   

Mortgage-backed securities and other asset-backed securities

     317,808        327,454        245,604        253,603   
 

 

 

    

 

 

    

 

 

    

 

 

  

Total fixed maturity AFS securities

     $   1,563,773        $   1,745,072        $   1,570,693        $   1,665,337   
 

 

 

    

 

 

    

 

 

    

 

 

  
Estimated Fair Value and Gross Unrealized Losses and Other-Than-Temporary Impairments of Fixed Maturity and Equity Available-for-Sale Securities in Continuous Unrealized Loss Position

The estimated fair value and gross unrealized losses and OTTI related to fixed maturity and equity AFS securities aggregated by length of time that individual securities have been in a continuous unrealized loss position at June 30, 2016 and December 31, 2015 were as follows:

 

     June 30, 2016  

 

    Estimated
Fair
Value		      Amortized
Cost/Cost		      Gross
Unrealized
Losses and
OTTI (a)		  

Less than or equal to six months

         

Fixed maturity AFS securities

         

Corporate securities

      $ 8,146         $ 8,604         $ (458 ) 

Asset-backed securities

      24,005         24,164         (159 ) 

Commercial mortgage-backed securities

      2,674         2,680         (6 ) 

Residential mortgage-backed securities

      14,465         14,793         (328 ) 
  

 

 

     

 

 

     

 

 

  

Total fixed maturity and equity AFS securities

      $ 49,290         $ 50,241         $ (951 ) 
  

 

 

     

 

 

     

 

 

  

Greater than six months but less than or equal to one year

         

Fixed maturity AFS securities

         

Corporate securities

      $ 24,978         $ 27,383         $ (2,405 ) 

Asset-backed securities

      6,734         6,887         (153 ) 

Commercial mortgage-backed securities

      481         486         (5 ) 

Residential mortgage-backed securities

      2,241         2,357         (116 ) 
  

 

 

     

 

 

     

 

 

  

Total fixed maturity and equity AFS securities

      $ 34,434         $ 37,113         $ (2,679 ) 
  

 

 

     

 

 

     

 

 

  

Greater than one year

         

Fixed maturity AFS securities

         

Corporate securities

      $ 26,157         $ 28,973         $ (2,816 ) 

Asset-backed securities

      5,269         5,368         (99 ) 

Residential mortgage-backed securities

      817         865         (48 ) 

Municipals

      807         911         (104 ) 

Equity AFS securities - banking securities

      9,683         10,296         (613 ) 
  

 

 

     

 

 

     

 

 

  

Total fixed maturity and equity AFS securities

      $ 42,733         $ 46,413         $ (3,680 ) 
  

 

 

     

 

 

     

 

 

  

Total fixed maturity and equity AFS securities

      $         126,457         $         133,767         $         (7,310)   
  

 

 

     

 

 

     

 

 

  

 

     December 31, 2015  

 

    Estimated
Fair
Value		      Amortized
Cost/Cost		      Gross
Unrealized
Losses and
OTTI (a)		  

Less than or equal to six months

         

Fixed maturity AFS securities

         

Corporate securities

      $ 130,718         $ 139,846         $ (9,128 ) 

Asset-backed securities

      59,051         59,312         (261 ) 

Commercial mortgage-backed securities

      17,185         17,450         (265 ) 

Residential mortgage-backed securities

      3,896         3,966         (70 ) 

Government and government agencies - United States

      18,484         18,516         (32 ) 
  

 

 

     

 

 

     

 

 

  

Total fixed maturity and equity AFS securities

      $ 229,334         $ 239,090         $ (9,756 ) 
  

 

 

     

 

 

     

 

 

  

Greater than six months but less than or equal to one year

         

Fixed maturity AFS securities

         

Corporate securities

      $ 27,872         $ 30,597         $ (2,725 ) 

Asset-backed securities

      455         463         (8 ) 

Commercial mortgage-backed securities

      988         1,028         (40 ) 

Residential mortgage-backed securities

      1,020         1,030         (10 ) 
  

 

 

     

 

 

     

 

 

  

Total fixed maturity and equity AFS securities

      $ 30,335         $ 33,118         $ (2,783 ) 
  

 

 

     

 

 

     

 

 

  

Greater than one year

         

Fixed maturity AFS securities

         

Corporate securities

      $ 8,628         15,531       $ (6,903 ) 

Asset-backed securities

      4,788         4,999         (211 ) 

Residential mortgage-backed securities

      39         40         (1 ) 

Municipals

      808         912         (104 ) 

Equity AFS securities - banking securities

      9,214         10,296         (1,082 ) 
  

 

 

     

 

 

     

 

 

  

Total fixed maturity and equity AFS securities

      $ 23,477         $ 31,778         $ (8,301 ) 
  

 

 

     

 

 

     

 

 

  

Total fixed maturity and equity AFS securities

      $         283,146         $         303,986         $         (20,840)   
  

 

 

     

 

 

     

 

 

  

 

(a) Subsequent unrealized gains (losses) on OTTI securities are included in OCI-OTTI.
Components of Net Unrealized Gains (Losses) and Other-Than-Temporary Impairments Included in Accumulated Other Comprehensive Income, Net of Taxes

The components of net unrealized gains (losses) and OTTI included in AOCI, net of taxes, at June 30, 2016 and December 31, 2015 were as follows:

 

 

    June 30,
2016		     December 31,
2015		  

Assets

     

Fixed maturity AFS securities

      $       181,297        $ 94,644   

Equity AFS securities

      1,279        890   

Cash flow hedges

      4,660        4,202   

Value of business acquired

      (34,229 )      (21,812 ) 
  

 

 

    

 

 

  
     $ 153,007        $ 77,924   
  

 

 

    

 

 

  

Liabilities

     

Income taxes - deferred

      $ (21,333 )      $ (21,333 ) 
  

 

 

    

 

 

  
     $ (21,333 )      $ (21,333 ) 
  

 

 

    

 

 

  

Stockholder’s equity

     

Accumulated other comprehensive income, net of taxes

      $     131,674        $     56,591   
  

 

 

    

 

 

  
Change in Credit Loss Allowances on Mortgage Loans by Type of Property

The change in the credit loss allowances on mortgage loans by type of property at June 30, 2016 and December 31, 2015 was as follows:

 

     Six Months Ended
June 30,		     Twelve Months Ended
December 31,		  

Commercial

    2016     2015  

Balance at beginning of period

      $             78        $         36   

Provision

      (4 )      42   
  

 

 

    

 

 

  

Balance at end of period

      $ 74        $ 78   
  

 

 

    

 

 

  
Credit Quality of Mortgage Loans by Type of Property

The credit quality of mortgage loans by type of property at June 30, 2016 and December 31, 2015 was as follows:

 

Commercial

    June 30,
2016		     December 31,
2015		  

AAA - AA

      $           35,841        $         31,835   

A

      59,153        49,084   

BBB

      12,029        9,090   

BBB - BB

      -            2,983   
  

 

 

    

 

 

  

Total mortgage loans on real estate

      $ 107,023        $ 92,992   

Less: reserves

      (74 )      (78 ) 
  

 

 

    

 

 

  

Total mortgage loans on real estate, net

      $ 106,949        $     92,914   
  

 

 

    

 

 

  
Collateral Maturities of Reverse Repurchase Agreements and Securities Lending Transactions

The following tables provide a summary of collateral maturities of reverse repurchase agreements and securities lending transactions for the periods ended at June 30, 2016 and December 31, 2015:

 

     June 30, 2016  
     Overnight  and
Continuous		      Up to 30 days      Total  

Reverse repurchase agreements

         

Residential mortgage-backed securities

      $ -             $ 66,846         $ 66,846   
  

 

 

     

 

 

     

 

 

  

Total

      -             66,846         66,846   

Securities lending transactions

         

U.S. Treasury and agency securities

      $ 169,279         $ -             $ 169,279   

Corporate securities

      35,169         -             35,169   

Equity securities - banking

      756         -             756   
  

 

 

     

 

 

     

 

 

  

Total

      $ 205,204         $ -             $ 205,204   
  

 

 

     

 

 

     

 

 

  

Total Borrowings

      $         205,204         $ 66,846         $         272,050   
  

 

 

     

 

 

     

 

 

  

Gross amount of recognized liabilities for reverse repurchase agreements and securities lending in balance sheets

   

      $ 279,183   
  

 

 

  
     December 31, 2015  
     Overnight  and
Continuous		      Up to 30 days      Total  

Securities lending transactions

         

U.S. Treasury and agency securities

    $ 155,586       $ -           $ 155,586   

Corporate securities

      19,786         -             19,786   

Equity securities - banking

      13,317         -             13,317   
  

 

 

     

 

 

     

 

 

  

Total Borrowings

    $ 188,689       $ -           $ 188,689   
  

 

 

     

 

 

     

 

 

  

Gross amount of recognized liabilities for securities lending in balance sheets

  

    $ 194,537   
  

 

 

  
Notional and Fair Value of Non-Qualifying Hedging Instruments and Cash Flow Hedges

The following table presents the notional and fair value of non-qualifying hedging instruments and cash flow hedges at June 30, 2016 and December 31, 2015:

 

     Notional      Fair Value  
     June 30,      December 31,      June 30,      December 31,  

Derivative Type

    2016      2015      2016      2015  

Non-qualifying hedges

            

Short futures

      $ 27,173       $ 47,221       $ -             $ -       

Long futures

      63,722         51,573         -             -       

Interest rate swaps

      244,000         192,000         11,541          (2,228 ) 

Variance swaps

      580         675         (1,233)         (1,525 ) 

Total return swaps

      686,440         1,315,900         585          (1,429 ) 

Options

      145,727         587,046         836          11,055   

Credit default swaps

      210,000         210,000         (230)         65   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total non-qualifying hedges

      $ 1,377,642         $ 2,404,415         $ 11,499          $ 5,938   
  

 

 

     

 

 

     

 

 

     

 

 

  

Cash flow hedges

            

Interest rate swaps

      $ 49,884         $ 49,884         $ 3,427          $ 3,285   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total cash flow hedges

      $ 49,884         $ 49,884         $ 3,427          $ 3,285   
  

 

 

     

 

 

     

 

 

     

 

 

  

Derivative Total

      $     1,427,526         $     2,454,299         $     14,926         $     9,223   
  

 

 

     

 

 

     

 

 

     

 

 

  
Net Derivative Gains (Losses) Recognized in Statements of Income

The following table presents the net derivative gains (losses) recognized in the Statements of Income:

 

     Net Derivative Gains (Losses)
Recognized In Income		  
     Three Months Ended
June 30,		      Six Months Ended
June 30,		  

Derivative Type

    2016      2015      2016      2015  

Short futures

      $ (1,154)         $     (42)         $ (2,459)       $ (1,359)   

Long futures

      3,138          -             6,991          -       

Variance swaps

      (1,033)         (973)         (1,670)         (2,215)   

Total return swaps

      (10,996)         (15,173)         (17,039)         (34,425)   

Options

      (1,784)         2,455          (3,235)         2,455    

Interest rate swaps

      5,079          2          13,771          3    

Credit default swaps

      85          440          347          1,328    
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

      $         (6,665)         $     (13,291)         $         (3,294)         $         (34,213)   
  

 

 

     

 

 

     

 

 

     

 

 

  
Maximum Potential Amount of Future Payments, Credit Rating and Maturity Dates for Credit Default Swaps

The following table presents the maximum potential amount of future payments, credit rating, and maturity dates for the credit default swaps at June 30, 2016 and December 31, 2015:

 

     Maximum Potential
Amount of
Future Payments		     

Credit Rating

   

Maturity Date Range

Derivative Type

    June 30, 2016

Credit default swaps

         

Corporate debt

      $ 120,000       A    June 2017 - December 2020

Sovereign debt

      90,000       AA-A    June 2017 - March 2020
  

 

 

        

Credit default swaps total

      $             210,000         
  

 

 

        
     Maximum Potential
Amount of
Future Payments		     

Credit Rating

   

Maturity Date Range

Derivative Type

    December 31, 2015

Credit default swaps

         

Corporate debt

    $ 120,000       A    June 2017 - December 2020

Sovereign debt

      90,000       AA-A    June 2017 - March 2020
  

 

 

        

Credit default swaps total

    $ 210,000         
  

 

 

        
Components of Gain or Loss on Derivatives that Qualify as Cash Flow Hedges

The following tables present the components of the gain or loss on derivatives that qualify as cash flow hedges:

 

     Gain (Loss) Recognized  in
OCI on Derivative (Effective Portion)		      Gain (Loss) Recognized in
OCI on Derivative (Effective Portion)		  
     Three Months Ended
June 30,		      Six Months Ended
June 30,		  

 

    2016      2015      2016      2015  

Interest rate swaps

      $ 1,803         $ 264         $ 456         $ 552   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

      $ 1,803         $     264         $ 456         $ 552   
  

 

 

     

 

 

     

 

 

     

 

 

  

 

     Net Realized Gains (Losses) Recognized in
Income on Derivative (Ineffective Portion)		      Net Realized Gains (Losses) Recognized in
Income on Derivative  (Ineffective Portion)		  
     Three Months Ended
June 30,		      Six Months Ended
June 30,		  

 

    2016      2015      2016      2015  

Interest rate swaps

      $                       1         $ 2         $                       3         $                       3   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

      $ 1         $                       2         $ 3         $ 3   
  

 

 

     

 

 

     

 

 

     

 

 

  

 

            Gain (Loss) Reclassified from
AOCI into Income (Effective  Portion)		     Gain (Loss) Reclassified from
AOCI into Income (Effective Portion)		  
            Three Months Ended
June 30,		     Six Months Ended
June 30,		  

 

    Location      2016     2015     2016     2015  

Interest rate swaps

      Net investment income         $ (513 )      $               (626 )      $ (316 )      $               174   
     

 

 

    

 

 

    

 

 

    

 

 

  

Total

         $              (513 )      $ (626 )      $              (316 )      $ 174   
     

 

 

    

 

 

    

 

 

    

 

 

  
Offsetting Derivatives Assets

The following tables present the offsetting of derivative assets at June 30, 2016 and December 31, 2015:

 

     June 30, 2016  
                                  Gross Amounts Not Offset in the
Balance Sheet		               

Description

    Gross
  Amounts of  
Recognized
Assets		      Gross
Amounts of
Recognized
Financial
Liabilities
Set Off in
the Balance
Sheet		      Derivative
cash
Collateral
Held,
Obligation to
Return Cash		      Net Amounts
of Assets
Presented
in the
Balance Sheet		          Financial    
Instruments		      Cash
Collateral
Received
(excluding)
Surplus
Collateral)		       Net Amount      Fair Value
of Financial
Instruments
Received as
Collateral
Not Set Off
in the
Balance
Sheet		  

Derivatives

    $ 25,776       $ 8,380       $ 16,273       $ 1,123       $ 1,123       $ —         $ (0 )    $ 8,177   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ 25,776       $ 8,380       $ 16,273       $ 1,123       $ 1,123       $ —         $ (0 )    $ 8,177   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  
     December 31, 2015  
                                  Gross Amounts Not Offset in the
Balance Sheet		               

Description

    Gross
Amounts of
Recognized
Assets		      Gross
Amounts of
Recognized
Financial
Liabilities
Set Off in
the Balance
Sheet		      Derivative
cash
Collateral
Held,
Obligation to
Return Cash		      Net Amounts
of Assets
Presented
in the
Balance Sheet		      Financial
Instruments		      Cash
Collateral
Received
(excluding)
Surplus
Collateral)		      Net Amount     Fair Value
of Financial
Instruments
Received as
Collateral
Not Set Off
in the
Balance
Sheet		  

Derivatives

    $ 38,125       $ 15,827       $ 11,405       $ 10,893       $ 8,158       $ —         $ 2,735      $ 9,260   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  

Total

    $ 38,125       $ 15,827       $ 11,405       $ 10,893       $ 8,158       $ —         $ 2,735      $ 9,260   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

    

 

 

  
Offsetting Derivative Liabilities

The following tables present the offsetting of derivative liabilities at June 30, 2016 and December 31, 2015.

 

     June 30, 2016  
                                  Gross Amounts Not Offset in the
Balance Sheet		                

Description

    Gross
  Amounts of  
Recognized
Liabilities		      Gross
Amounts of
Recognized
Financial
Assets
Set Off in
the Balance
Sheet		      Derivative
cash
Collateral
Pledged,
Right to
Receive
Cash		      Net Amounts
of Liabilities
Presented
in the
Balance Sheet		          Financial    
Instruments		      Cash
   Collateral   
Pledged		       Net Amount       Fair Value
of Financial
Instruments
Pledged as
Collateral
Not Set Off
in the
Balance
Sheet		  

Derivatives

    $ 10,850       $ 8,380       $ 0       $ 2,470       $ 521         $ -           $ 1,949       $ 1,417   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 10,850       $ 8,380       $ 0       $ 2,470       $ 521         $ -           $ 1,949       $ 1,417   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
     December 31, 2015  
                                  Gross Amounts Not Offset in the
Balance Sheet		                

Description

    Gross
Amounts of
Recognized
Liabilities		      Gross
Amounts of
Recognized
Financial
Assets Set
Off in the
Balance
Sheet		      Derivative
cash
Collateral
Pledged,
Right to
Receive
Cash		      Net Amounts
of Liabilities
Presented
in the
Balance Sheet		          Financial    
Instruments		      Cash
   Collateral   
Pledged		       Net Amount       Fair Value
of Financial
Instruments
Pledged as
Collateral
Not Set Off
in the
Balance
Sheet		  

Derivatives

    $ 28,902       $ 15,827       $ 0       $ 13,075       $ 10,847         $ -           $ 2,228       $ 16,440   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 28,902       $ 15,827       $ 0       $ 13,075       $ 10,847         $ -           $ 2,228       $ 16,440   
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  
Net Investment Income by Source

Net investment income by source for the three and six months ended June 30 was as follows:

 

     Three Months Ended
June 30,		     Six Months Ended
June 30,		  

Net investment income

    2016     2015     2016     2015  

Fixed maturity AFS securities

      $ 16,863        $ 17,863        $ 34,230        $ 35,924   

Equity AFS securities

      538        561        1,003        1,031   

Limited partnerships

      (90 )      429        (2,631 )      1,557   

Mortgage loans on real estate

      1,264        937        2,467        1,860   

Policy loans on insurance contracts

      8,382        8,808        16,991        17,610   

Derivatives

      1,857        929        3,769        1,830   

Cash and cash equivalents

      564        162        1,015        308   

Other

      106        (66 )      213        13   
  

 

 

    

 

 

    

 

 

    

 

 

  

Gross investment income

      29,484        29,623        57,057        60,133   

Less investment expenses

      (1,870 )      (1,207 )      (2,991 )      (2,190 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income

      $       27,614        $       28,416        $       54,066        $       57,943   
  

 

 

    

 

 

    

 

 

    

 

 

  

Proceeds and Gross Realized Investment Gains (Losses) from Sale of Available-for-Sale Securities

Proceeds and gross realized investment gains (losses) from the sale of AFS securities for the three and six months ended June 30 were as follows:

 

     Three Months Ended
June 30,		     Six Months Ended
June 30,		  

 

    2016     2015     2016     2015  

Proceeds

      $       97,888        $       26,696        $       199,431        $       92,215   

Gross realized investment gains

      1,064        1,057        4,943        2,952   

Gross realized investment losses

      (1 )      (403 )      (277 )      (2,151 ) 

Proceeds on AFS securities sold at a realized loss

      16,830        10,993        24,745        27,695   

 
Net Realized Investment Gains (Losses)

Net realized investment gains (losses) for the three and six months ended June 30 were as follows:

 

     Three Months Ended
June 30,		     Six Months Ended
June 30,		  
     2016      2015     2016     2015  

Fixed maturity AFS securities

      $       (481)         $       (1,387)        $       (754)        $       (1,240)   

Equity AFS securities

      -             175        207        175   

Mortgages

      12         4        3        7   

Adjustment related to VOBA

      526         62        467        55   
  

 

 

     

 

 

    

 

 

    

 

 

  

Net realized investment gains

      $ 57         $ (1,146 )      $ (77 )      $ (1,003 ) 
  

 

 

     

 

 

    

 

 

    

 

 

  
Credit Loss Impairments on Fixed Maturity Securities, Other-Than-Temporary Impairment Loss Recognized in Other Comprehensive Income, and Corresponding Changes

The following table sets forth the amount of credit loss impairments on fixed maturity securities held by the Company at the dates indicated, for which a portion of the OTTI loss was recognized in OCI, and the corresponding changes in such amounts at June 30, 2016 and December 31, 2015:

 

 

    June 30,
2016		     December 31,
2015		  

Balance at beginning of period

      $ (935 )      $ (185 ) 

Additional credit loss impairments recognized in the current period on securities previously impaired through other comprehensive income

      121        109   

Accretion of credit loss impairments previously recognized

      (502 )      (859 ) 
  

 

 

    

 

 

  

Balance at end of period

      $   (1,316 )      $ (935 ) 
  

 

 

    

 

 

  
Components of Other-Than-Temporary Impairments Reflected in Statements of Income

The components of OTTI reflected in the Statements of Income for the three and six months ended June 30 were as follows:

 

     Three Months Ended June 30, 2016     Six Months Ended June 30, 2016  

 

    OTTI
Losses on
Securities		     Net
OTTI Losses
  Recognized  
in OCI		      Net
OTTI Losses
  Recognized  
in Income		     OTTI
Losses on
Securities		     Net
OTTI Loss
  Recognized  
in OCI		      Net
OTTI Losses
  Recognized  
in Income		  

Gross OTTI losses

      $ 1,544        $ -             $ 1,544        $ 5,213        $ -             $ 5,213   

Value of business acquired amortization

      (529 )      -             (529 )      (529 )      -             (529 ) 
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

     

 

 

  

Net OTTI losses

      $ 1,015        $ -             $ 1,015        $ 4,684        $ -             $ 4,684   
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

     

 

 

  
     Three Months Ended June 30, 2015     Six Months Ended June 30, 2015  

 

    OTTI
Losses on
Securities		     Net
OTTI Losses
  Recognized  
in OCI		      Net
OTTI Losses
  Recognized  
in Income		     OTTI
Losses on
Securities		     Net
OTTI Loss
  Recognized  
in OCI		      Net
OTTI Losses
  Recognized  
in Income		  

Gross OTTI losses

      $ 1,866        $ -             $ 1,866        $ 1,866        $ -             $ 1,866   
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

     

 

 

  

Net OTTI losses

      $ 1,866        $ -             $ 1,866        $ 1,866        $ -             $ 1,866   
  

 

 

    

 

 

     

 

 

    

 

 

    

 

 

     

 

 

  
Securities lending agreements  
Summary of Securities

The following table provides a summary of the securities under securities lending agreements at June 30, 2016 and December 31, 2015:

 

 

    June 30,
2016		      December 31,
2015		  

Payables for collateral under securities loaned

      $           212,793         $         194,537   

Amortized cost of securities out on loan

      159,906         162,698   

Estimated fair value of securities out on loan

      205,204         188,689   
Reverse purchase agreement  
Summary of Securities

The following table provides a summary of the securities under reverse repurchase agreements at June 30, 2016 and December 31, 2015:

 

 

    June 30,
2016		      December 31,
2015		  

Payable for reverse repurchase agreements

      $           66,390       $         -       

Amortized cost of securities pledged

      65,832         -       

Estimated fair value of securities pledged

      66,846         -