XML 35 R24.htm IDEA: XBRL DOCUMENT v3.7.0.1
Investments (Tables)
 3 Months Ended
Mar. 31, 2017
Amortized Cost/Cost, Gross Unrealized Gains and Losses, Estimated Fair Values and ("OTTI") Reflected in ("AOCI") of Investments in Fixed Maturity and Equity Available-for-Sale Securities

The amortized cost/cost, gross unrealized gains and losses, estimated fair values and other-than-temporary impairments (“OTTI”) reflected in accumulated other comprehensive income (“AOCI”) of investments in fixed maturity and equity AFS securities at March 31, 2017 and December 31, 2016 were: 

 

 

 

 

March 31, 2017

 

 

 

 

 

 

 

 

 

Gross Unrealized

 

 

 

Estimated

 

 

 

 

 

 

 

 

 

Amortized

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair

 

 

 

OTTI

 

 

 

 

Cost/Cost

 

 

 

Gains

 

 

 

Losses

 

 

 

Value

 

 

 

in AOCI (a)

 

Fixed maturity AFS securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate securities

 

$

 

838,340

 

 

$

 

57,180

 

 

$

 

(2,725

)

 

$

 

892,795

 

 

$

 

-

 

Asset-backed securities

 

 

 

49,697

 

 

 

 

185

 

 

 

 

(496

)

 

 

 

49,386

 

 

 

 

-

 

Commercial mortgage-backed securities

 

 

 

73,398

 

 

 

 

1,642

 

 

 

 

(468

)

 

 

 

74,572

 

 

 

 

-

 

Residential mortgage-backed securities

 

 

 

64,241

 

 

 

 

4,361

 

 

 

 

(158

)

 

 

 

68,444

 

 

 

 

-

 

Municipals

 

 

 

908

 

 

 

 

-

 

 

 

 

(37

)

 

 

 

871

 

 

 

 

-

 

Government and government agencies

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States

 

 

 

303,618

 

 

 

 

48,063

 

 

 

 

(1

)

 

 

 

351,680

 

 

 

 

-

 

Foreign

 

 

 

24,195

 

 

 

 

1,532

 

 

 

 

(31

)

 

 

 

25,696

 

 

 

 

-

 

Total fixed maturity AFS securities

 

$

 

1,354,397

 

 

$

 

112,963

 

 

$

 

(3,916

)

 

$

 

1,463,444

 

 

$

 

-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity AFS securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Banking securities

 

$

 

25,473

 

 

$

 

2,053

 

 

$

 

(121

)

 

$

 

27,405

 

 

$

 

-

 

Industrial securities

 

 

 

5,791

 

 

 

 

9

 

 

 

 

-

 

 

 

 

5,800

 

 

 

 

-

 

Total equity AFS securities

 

$

 

31,264

 

 

$

 

2,062

 

 

$

 

(121

)

 

$

 

33,205

 

 

$

 

-

 

 

 

 

December 31, 2016

 

 

 

 

 

 

 

 

 

Gross Unrealized

 

 

 

Estimated

 

 

 

 

 

 

 

 

 

Amortized

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair

 

 

 

OTTI

 

 

 

 

Cost/Cost

 

 

 

Gains

 

 

 

Losses

 

 

 

Value

 

 

 

in AOCI (a)

 

Fixed maturity AFS securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate securities

 

$

 

859,028

 

 

$

 

56,387

 

 

$

 

(3,564

)

 

$

 

911,851

 

 

$

 

-

 

Asset-backed securities

 

 

 

53,421

 

 

 

 

15

 

 

 

 

(849

)

 

 

 

52,587

 

 

 

 

-

 

Commercial mortgage-backed securities

 

 

 

75,396

 

 

 

 

1,706

 

 

 

 

(589

)

 

 

 

76,513

 

 

 

 

-

 

Residential mortgage-backed securities

 

 

 

92,943

 

 

 

 

4,004

 

 

 

 

(770

)

 

 

 

96,177

 

 

 

 

(5

)

Municipals

 

 

 

909

 

 

 

 

-

 

 

 

 

(53

)

 

 

 

856

 

 

 

 

-

 

Government and government agencies

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States

 

 

 

295,581

 

 

 

 

45,798

 

 

 

 

-

 

 

 

 

341,379

 

 

 

 

-

 

Foreign

 

 

 

6,509

 

 

 

 

1,165

 

 

 

 

-

 

 

 

 

7,674

 

 

 

 

-

 

Total fixed maturity AFS securities

 

$

 

1,383,787

 

 

$

 

109,075

 

 

$

 

(5,825

)

 

$

 

1,487,037

 

 

$

 

(5

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity AFS securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Banking securities

 

$

 

25,473

 

 

$

 

1,721

 

 

$

 

(468

)

 

$

 

26,726

 

 

$

 

-

 

Industrial securities

 

 

 

5,791

 

 

 

 

34

 

 

 

 

-

 

 

 

 

5,825

 

 

 

 

-

 

Total equity AFS securities

 

$

 

31,264

 

 

$

 

1,755

 

 

$

 

(468

)

 

$

 

32,551

 

 

$

 

-

 

 

(a)

Represents OTTI in AOCI, which were not included in earnings. Amount excludes $2,364 and $2,446 of unrealized gains at March 31, 2017 and December 31, 2016, 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 March 31, 2017 and December 31, 2016 were: 

 

 

 

March 31, 2017

 

 

December 31, 2016

 

 

 

 

 

 

Estimated

 

 

 

 

 

Estimated

 

 

 

Amortized

 

 

Fair

 

 

Amortized

 

 

Fair

 

 

 

Cost

 

 

Value

 

 

Cost

 

 

Value

 

Investment grade

 

$

 

1,272,922

 

 

$

 

1,375,025

 

 

$

 

1,294,978

 

 

$

 

1,393,503

 

Below investment grade

 

 

 

81,475

 

 

 

 

88,419

 

 

 

 

88,809

 

 

 

 

93,534

 

Total fixed maturity AFS securities

 

$

 

1,354,397

 

 

$

 

1,463,444

 

 

$

 

1,383,787

 

 

$

 

1,487,037

 

 
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 March 31, 2017 and December 31, 2016 by contractual maturities were: 

 

 

 

 

March 31, 2017

 

 

 

December 31, 2016

 

 

 

 

 

 

 

 

 

Estimated

 

 

 

 

 

 

 

 

Estimated

 

 

 

 

Amortized

 

 

 

Fair

 

 

 

Amortized

 

 

 

Fair

 

 

 

 

Cost

 

 

 

Value

 

 

 

Cost

 

 

 

Value

 

Fixed maturity AFS securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Due in one year or less

 

$

 

67,489

 

 

$

 

68,442

 

 

$

 

56,748

 

 

$

 

57,489

 

Due after one year through five years

 

 

 

491,767

 

 

 

 

522,564

 

 

 

 

523,815

 

 

 

 

555,221

 

Due after five years through ten years

 

 

 

105,991

 

 

 

 

110,682

 

 

 

 

95,744

 

 

 

 

99,697

 

Due after ten years

 

 

 

501,814

 

 

 

 

569,354

 

 

 

 

485,720

 

 

 

 

549,354

 

 

 

$

 

1,167,061

 

 

$

 

1,271,042

 

 

$

 

1,162,027

 

 

$

 

1,261,761

 

Mortgage-backed securities and other

   asset-backed securities

 

$

 

187,336

 

 

$

 

192,402

 

 

$

 

221,760

 

 

$

 

225,276

 

Total fixed maturity AFS securities

 

$

 

1,354,397

 

 

$

 

1,463,444

 

 

$

 

1,383,787

 

 

$

 

1,487,037

 

 
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 March 31, 2017 and December 31, 2016 were as follows: 

 

 

 

March 31, 2017

 

 

 

 

 

 

 

 

 

 

 

Gross

 

 

 

Estimated

 

 

 

 

 

Unrealized

 

 

 

Fair

 

 

Amortized

 

 

Losses and

 

 

 

Value

 

 

Cost/Cost

 

 

OTTI (a)

 

Less than or equal to six months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity AFS securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate securities

 

$

 

50,468

 

 

$

 

52,009

 

 

$

 

(1,541

)

Asset-backed securities

 

 

 

19,318

 

 

 

 

19,615

 

 

 

 

(297

)

Commercial mortgage-backed securities

 

 

 

27,320

 

 

 

 

27,788

 

 

 

 

(468

)

Residential mortgage-backed securities

 

 

 

19,905

 

 

 

 

20,009

 

 

 

 

(104

)

Government and government agencies

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States

 

 

 

10,610

 

 

 

 

10,611

 

 

 

 

(1

)

Foreign

 

 

 

3,780

 

 

 

 

3,811

 

 

 

 

(31

)

Total fixed maturity and equity AFS securities

 

$

 

131,401

 

 

$

 

133,843

 

 

$

 

(2,442

)

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity AFS securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-backed securities

 

$

 

2,879

 

 

$

 

3,000

 

 

$

 

(121

)

Commercial mortgage-backed securities

 

 

 

751

 

 

 

 

751

 

 

 

 

(0

)

Total fixed maturity and equity AFS securities

 

$

 

3,630

 

 

$

 

3,751

 

 

$

 

(121

)

Greater than one year

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity AFS securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate securities

 

$

 

17,183

 

 

$

 

18,367

 

 

$

 

(1,184

)

Asset-backed securities

 

 

 

8,076

 

 

 

 

8,154

 

 

 

 

(78

)

Residential mortgage-backed securities

 

 

 

2,221

 

 

 

 

2,275

 

 

 

 

(54

)

Municipals

 

 

 

871

 

 

 

 

908

 

 

 

 

(37

)

Equity AFS securities-banking securities

 

 

 

1,675

 

 

 

 

1,796

 

 

 

 

(121

)

Total fixed maturity and equity AFS securities

 

$

 

30,026

 

 

$

 

31,500

 

 

$

 

(1,474

)

Total fixed maturity and equity AFS securities

 

$

 

165,057

 

 

$

 

169,094

 

 

$

 

(4,037

)

 

 

 

December 31, 2016

 

 

 

 

 

 

 

 

 

Gross

 

 

 

Estimated

 

 

 

 

 

Unrealized

 

 

 

Fair

 

 

Amortized

 

 

Losses and

 

 

 

Value

 

 

Cost/Cost

 

 

OTTI (a)

 

Less than or equal to six months

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity AFS securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate securities

 

$

 

64,992

 

 

$

 

66,625

 

 

$

 

(1,633

)

Asset-backed securities

 

 

 

30,729

 

 

 

 

31,253

 

 

 

 

(524

)

Commercial mortgage-backed securities

 

 

 

30,698

 

 

 

 

31,285

 

 

 

 

(587

)

Residential mortgage-backed securities

 

 

 

54,987

 

 

 

 

55,690

 

 

 

 

(703

)

Equity securities - banking securities

 

 

 

8,213

 

 

 

 

8,500

 

 

 

 

(287

)

Total fixed maturity and equity AFS securities

 

$

 

189,619

 

 

$

 

193,353

 

 

$

 

(3,734

)

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity AFS securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate securities

 

$

 

4,522

 

 

$

 

4,863

 

 

$

 

(341

)

Asset-backed securities

 

 

 

879

 

 

 

 

1,000

 

 

 

 

(121

)

Commercial mortgage-backed securities

 

 

 

1,010

 

 

 

 

1,012

 

 

 

 

(2

)

Residential mortgage-backed securities

 

 

 

212

 

 

 

 

229

 

 

 

 

(17

)

Total fixed maturity and equity AFS securities

 

$

 

6,623

 

 

$

 

7,104

 

 

$

 

(481

)

Greater than one year

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity AFS securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate securities

 

$

 

19,541

 

 

$

 

21,131

 

 

$

 

(1,590

)

Asset-backed securities

 

 

 

7,978

 

 

 

 

8,182

 

 

 

 

(204

)

Residential mortgage-backed securities

 

 

 

2,122

 

 

 

 

2,172

 

 

 

 

(50

)

Municipals

 

 

 

856

 

 

 

 

909

 

 

 

 

(53

)

Equity AFS securities-banking securities

 

 

 

1,615

 

 

 

 

1,796

 

 

 

 

(181

)

Total fixed maturity and equity AFS securities

 

$

 

32,112

 

 

$

 

34,190

 

 

$

 

(2,078

)

Total fixed maturity and equity AFS securities

 

$

 

228,354

 

 

$

 

234,647

 

 

$

 

(6,293

)

 

(a)

Subsequent unrealized gains (losses) on OTTI securities are included in Net unrealized OTTI on securities in the Statements of Comprehensive Income (Loss).
Fair Value, Gross Unrealized Losses, Other-Than-Temporary Impairments Recognized in Other Comprehensive Income ("OCI") and Number of Securities with Fair Value Declining Amortized Cost

The fair value, gross unrealized losses, the portion of OTTI recognized in other comprehensive income (“OCI”) and the number of securities with fair value declining below amortized cost by greater than 20% and 40% (continuous unrealized loss position) were as follows at March 31, 2017 and December 31, 2016: 

 

 

March 31, 2017

 

 

December 31, 2016

 

 

 

Estimated

 

 

Gross

 

 

 

 

 

Estimated

 

 

 

Gross

 

 

 

 

 

 

Fair

 

 

Unrealized

 

 

Number of

 

 

Fair

 

 

 

Unrealized

 

 

Number of

 

 

 

Value

 

 

Losses/OTTI (a)

 

 

Securities

 

 

Value

 

 

 

Losses/OTTI (a)

 

 

Securities

 

Decline 20% - 40%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Greater than one year

 

$

 

1,423

 

 

$

 

(566

)

 

 

 

1

 

 

$

 

1,375

 

 

$

 

(614

)

 

 

 

1

 

Total

 

$

 

1,423

 

 

$

 

(566

)

 

 

 

1

 

 

$

 

1,375

 

 

$

 

(614

)

 

 

 

1

 

 
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 March 31, 2017 and December 31, 2016 were as follows: 

 

 

March 31,

 

 

December 31,

 

 

 

2017

 

 

2016

 

Assets

 

 

 

 

 

 

 

 

 

 

Fixed maturity AFS securities

 

$

 

109,047

 

 

$

 

103,250

 

Equity AFS securities

 

 

 

1,941

 

 

 

 

1,287

 

Cash flow hedges

 

 

 

(816

)

 

 

 

(1,224

)

Value of business acquired

 

 

 

(27,501

)

 

 

 

(26,630

)

 

 

$

 

82,671

 

 

$

 

76,683

 

Liabilities

 

 

 

 

 

 

 

 

 

 

Income taxes - deferred

 

$

 

(21,333

)

 

$

 

(21,333

)

Stockholder's Equity

 

 

 

 

 

 

 

 

 

 

Accumulated other comprehensive income, net of taxes

 

$

 

61,338

 

 

$

 

55,350

 

 
Credit Quality of Commercial Mortgage Loans

The credit quality of commercial mortgage loans at March 31, 2017 and December 31, 2016, was as follows:

 

 

 

March 31,

 

 

 

December 31,

 

Commercial

 

2017

 

 

2016

 

AAA - AA

 

$

 

35,970

 

 

$

 

43,047

 

A

 

 

 

71,482

 

 

 

 

55,269

 

BBB

 

 

 

14,934

 

 

 

 

17,970

 

Total mortgage loans on real estate

 

$

 

122,386

 

 

$

 

116,286

 

Less: allowance for credit losses

 

 

 

(81

)

 

 

 

(78

)

 

 

 

 

 

 

 

 

 

 

 

Total mortgage loans on real estate, net

 

$

 

122,305

 

 

$

 

116,208

 

 
Maturities of Collateral Underlying Reverse Repurchase Agreements and Securities Lending Transactions

The following tables provide a summary of maturities of collateral underlying reverse repurchase agreements and securities lending transactions at March 31, 2017 and December 31, 2016: 

 

 

March 31, 2017

 

 

 

Overnight and

Continuous

 

 

Up to 30 days

 

 

Total

 

Reverse repurchase agreements

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Residential mortgage-backed securities

 

$

 

-

 

 

$

 

19,905

 

 

$

 

19,905

 

Total

 

$

 

-

 

 

$

 

19,905

 

 

$

 

19,905

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Securities lending transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury and agency securities

 

$

 

16,413

 

 

$

 

-

 

 

$

 

16,413

 

Corporate securities

 

 

 

28,853

 

 

 

 

-

 

 

 

 

28,853

 

Equity securities-banking

 

 

 

34

 

 

 

 

-

 

 

 

 

34

 

Total

 

$

 

45,300

 

 

$

 

-

 

 

$

 

45,300

 

Total Borrowings

 

$

 

45,300

 

 

$

 

19,905

 

 

$

 

65,205

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross amount of recognized liabilities for reverse repurchase agreements and securities

   lending included on the Balance Sheets

$

 

66,388

 

 

 

 

December 31, 2016

 

 

 

Overnight and

Continuous

 

 

Up to 30 days

 

 

Total

 

Reverse repurchase agreements

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Residential mortgage-backed securities

 

 

 

-

 

 

$

 

46,401

 

 

$

 

46,401

 

Total

 

$

 

-

 

 

$

 

46,401

 

 

$

 

46,401

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Securities lending transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury and agency securities

 

$

 

144,705

 

 

$

 

-

 

 

$

 

144,705

 

Corporate securities

 

 

 

40,774

 

 

 

 

-

 

 

 

 

40,774

 

Equity securities-banking

 

 

 

9,517

 

 

 

 

-

 

 

 

 

9,517

 

Total

 

$

 

194,996

 

 

$

 

-

 

 

$

 

194,996

 

Total Borrowings

 

$

 

194,996

 

 

$

 

46,401

 

 

$

 

241,397

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross amount of recognized liabilities for reverse repurchase agreements and securities

   lending included on the Balance Sheets

$

 

246,049

 

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

The following table presents the notional and fair value amounts of non-qualifying hedging instruments and cash flow hedges at March 31, 2017 and December 31, 2016:

 

 

 

Notional

 

 

Fair Value

 

 

 

 

March 31,

 

 

 

December 31,

 

 

 

March 31,

 

 

 

December 31,

 

Derivative Type

 

2017

 

 

2016

 

 

2017

 

 

2016

 

Non-qualifying hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short futures

 

$

 

5,423

 

 

$

 

25,157

 

 

$

 

-

 

 

$

 

-

 

Long futures

 

 

 

52,168

 

 

 

 

55,071

 

 

 

 

-

 

 

 

 

-

 

Interest rate swaps

 

 

 

251,000

 

 

 

 

251,000

 

 

 

 

(3,429

)

 

 

 

(2,799

)

Variance swaps

 

 

 

540

 

 

 

 

540

 

 

 

 

(3,464

)

 

 

 

(1,835

)

Total return swaps

 

 

 

800,910

 

 

 

 

1,405,253

 

 

 

 

(8,154

)

 

 

 

(16,487

)

Options

 

 

 

2,002,850

 

 

 

 

2,002,850

 

 

 

 

7,616

 

 

 

 

24,525

 

Credit default swaps

 

 

 

230,000

 

 

 

 

210,000

 

 

 

 

5,783

 

 

 

 

1,311

 

Total non-qualifying hedges

 

$

 

3,342,891

 

 

$

 

3,949,871

 

 

$

 

(1,648

)

 

$

 

4,715

 

Cash flow hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

$

 

49,883

 

 

$

 

49,883

 

 

$

 

(2,840

)

 

$

 

(3,002

)

Total cash flow hedges

 

$

 

49,883

 

 

$

 

49,883

 

 

$

 

(2,840

)

 

$

 

(3,002

)

Derivative Total

 

$

 

3,392,774

 

 

$

 

3,999,755

 

 

$

 

(4,488

)

 

$

 

1,713

 

 
Net Derivative Gains (Losses) Recognized in Statements of Income (Loss)

The following table presents the net derivative gains (losses) recognized in the Statements of Income (Loss) for the three months ended March 31, 2017 and 2016:

 

 

 

Net Derivative Gains (Losses) Recognized In Income

 

 

 

Three Months Ended

 

 

 

March 31,

 

Derivative Type

 

2017

 

 

 

2016

 

Short futures

 

$

 

(724

)

 

$

 

(1,304

)

Long futures

 

 

 

255

 

 

 

 

3,853

 

Variance swaps

 

 

 

(1,629

)

 

 

 

(637

)

Total return swaps

 

 

 

(4,902

)

 

 

 

(6,043

)

Options

 

 

 

(16,909

)

 

 

 

(1,451

)

Interest rate swaps

 

 

 

(629

)

 

 

 

8,692

 

Credit default swaps

 

 

 

310

 

 

 

 

261

 

Total

 

$

 

(24,228

)

 

$

 

3,371

 

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

The following tables present the maximum potential amount of future payments, credit rating, and maturity dates for the credit default swaps at March 31, 2017 and December 31, 2016:

 

 

 

Maximum Potential Amount

 

 

 

 

 

 

 

 

 

of Future Payments

 

 

Credit Rating

 

Maturity Date Range

Derivative Type

 

March 31, 2017

Credit default swaps

 

 

 

 

 

 

 

 

 

 

 

Corporate debt

 

$

 

120,000

 

 

 

AA-A

 

 

June 2017-December 2021

Sovereign debt

 

 

 

110,000

 

 

 

AA-A

 

 

June 2017-December 2021

Credit default swaps total

 

$

 

230,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Maximum Potential Amount

 

 

 

 

 

 

 

 

 

of Future Payments

 

 

Credit Rating

 

Maturity Date Range

Derivative Type

 

December 31, 2016

Credit default swaps

 

 

 

 

 

 

 

 

 

 

 

Corporate debt

 

$

 

120,000

 

 

 

A

 

June 2017-December 2020

Sovereign debt

 

 

 

90,000

 

 

 

AA-A

 

June 2017-December 2021

Credit default swaps total

 

$

 

210,000

 

 

 

 

 

 

 

 
Components of Gains or Losses on Derivatives that Qualify as Cash Flow Hedges

The following tables present the components of the gains (losses) on derivatives that qualify as cash flow hedges for the three months ended March 31, 2017 and 2016:

 

 

 

Gains (Losses) Recognized in

 

 

 

OCI on Derivatives (Effective Portion)

 

 

 

Three Months Ended

 

 

 

March 31,

 

 

 

2017

 

 

2016

 

Interest rate swaps

 

$

 

408

 

 

$

 

(1,347

)

Total

 

$

 

408

 

 

$

 

(1,347

)

 

 

 

Net Realized Gains (Losses) Recognized

 

 

 

in Income on Derivatives (Ineffective Portion)

 

 

 

Three Months Ended

 

 

 

March 31,

 

 

 

2017

 

 

2016

 

Interest rate swaps

 

$

 

1

 

 

$

 

1

 

Total

 

$

 

1

 

 

$

 

1

 

 

 

 

Gains (Losses) Reclassified from

 

 

 

AOCI into Net Investment Income (Effective Portion)

 

 

 

Three Months Ended

 

 

 

March 31,

 

 

 

2017

 

 

2016

 

Interest rate swaps

 

$

 

(247

)

 

$

 

197

 

Total

 

$

 

(247

)

 

$

 

197

 

 
Offsetting of Derivative Assets and Liabilities

The following table presents the offsetting of derivative assets and liabilities at March 31, 2017 and December 31, 2016:

 

 

 

March 31, 2017

 

 

December 31, 2016

 

Derivatives Subject to a Master Netting Arrangement or a Similar Right to Offset

 

Assets

 

 

Liabilities

 

 

Assets

 

 

Liabilities

 

Gross estimated fair value of derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

OTC - Bilateral

 

$

19,735

 

 

$

20,794

 

 

$

37,344

 

 

$

32,832

 

OTC - Cleared

 

 

1,808

 

 

 

5,237

 

 

 

1,678

 

 

 

4,477

 

Total gross estimated fair value of derivatives

 

$

21,543

 

 

$

26,031

 

 

$

39,022

 

 

$

37,309

 

Amounts offset on the Balance Sheets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross estimated fair value of derivatives: (1)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

OTC - Bilateral

 

$

(13,743

)

 

$

(13,743

)

 

$

(18,014

)

 

$

(18,014

)

OTC - Cleared

 

 

(1,808

)

 

 

(1,808

)

 

 

(1,678

)

 

 

(1,678

)

Cash collateral: (2), (3)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

OTC - Bilateral

 

 

(3,383

)

 

 

-

 

 

 

(2,804

)

 

 

-

 

OTC - Cleared

 

 

-

 

 

 

(3,429

)

 

 

-

 

 

 

(2,452

)

Estimated fair value of derivatives presented on the Balance Sheets

 

$

2,609

 

 

$

7,051

 

 

$

16,526

 

 

$

15,165

 

Gross amounts not offset on the Balance Sheets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Securities collateral: (4)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

OTC - Bilateral

 

$

(2,557

)

 

$

(5,092

)

 

$

(15,222

)

 

$

(14,249

)

Net amount after application of master netting agreements and collateral

 

$

52

 

 

$

1,959

 

 

$

1,304

 

 

$

916

 

 

(1)

Estimated fair value of derivatives is limited to the amount that is subject to set-off.

(2)

The amount of cash collateral offset in the table above is limited to the net estimated fair value of derivatives after application of netting agreements. Cash collateral received for over-the-counter ("OTC") OTC-Bilateral and OTC-Cleared derivatives is included in cash and cash equivalents, short-term investments, or fixed maturity securities, and the obligation to return it, beyond what is already being setoff, is included in payables for collateral under securities loaned, reverse repurchase agreements and derivatives. At March 31, 2017, the Company received $537 of excess cash collateral. The Company had no excess cash collateral received from counterparties at December 31, 2016

(3)

The receivable for the return of cash collateral provided to the counterparty, beyond what is being setoff, is included in other assets. The amount reported in the table above does not include initial margin on Exchange-Traded and OTC-Cleared derivatives. At March 31, 2017, the Company provided excess cash collateral of $178, which is not included in the table above due to the foregoing limitation. At December 31, 2016, the Company had no excess cash collateral provided to counterparties.

(4)

Securities collateral received or pledged by the Company is held in separate custodial accounts and is not recorded on the Balance Sheets. The amount of securities collateral offset in the table above is limited to the net estimated fair value of derivatives after application of netting agreements and cash collateral. At March 31, 2017 and December 31, 2016, the Company received excess securities collateral with an estimated fair value of $2,320 and $395, respectively, for its OTC-Bilateral derivatives, which are not included in the table above due to the foregoing limitation. At March 31, 2017 and December 31, 2016, the Company provided excess securities collateral with an estimated fair value of $1,730 and $1,878, respectively, for its OTC-Bilateral derivatives, which are not included in the table above due to the foregoing limitation. At March 31, 2017 and December 31, 2016, the Company also provided securities initial margin with an estimated fair value of $11,324 and $11,291, respectively, for its OTC-Cleared derivatives, which are not included in the table above.
Net Investment Income (Loss) by Source

Net investment income (loss) by source for the three months ended March 31, 2017 and 2016 was as follows:

 

 

 

Three Months Ended

 

 

 

March 31,

 

Net investment income (loss)

 

2017

 

 

2016

 

Fixed maturity AFS securities

 

$

 

15,464

 

 

$

 

17,366

 

Equity AFS securities

 

 

 

418

 

 

 

 

465

 

Limited partnerships

 

 

 

1,664

 

 

 

 

(2,540

)

Mortgage loans on real estate

 

 

 

1,463

 

 

 

 

1,203

 

Policy loans on insurance contracts

 

 

 

8,220

 

 

 

 

8,608

 

Derivatives

 

 

 

1,590

 

 

 

 

1,912

 

Cash and cash equivalents

 

 

 

274

 

 

 

 

451

 

Other

 

 

 

73

 

 

 

 

107

 

Gross investment income

 

$

 

29,166

 

 

$

 

27,572

 

Less investment expenses

 

 

 

(1,222

)

 

 

 

(1,120

)

Net investment income (loss)

 

$

 

27,944

 

 

$

 

26,452

 

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

The Company considers fair value at the date of sale to be equal to the proceeds received. Proceeds and gross realized investment gains (losses) from the sale of AFS securities for the three months ended March 31, 2017 and 2016 were as follows:

 

 

 

Three Months Ended

 

 

 

March 31,

 

 

 

2017

 

 

2016

 

Proceeds

 

$

 

53,703

 

 

$

 

101,543

 

Gross realized investment gains

 

 

 

593

 

 

 

 

3,879

 

Gross realized investment losses

 

 

 

(516

)

 

 

 

(276

)

 

 

 

 

 

 

 

 

 

 

 

Proceeds on AFS securities sold at a realized loss

 

 

 

53,703

 

 

 

 

7,915

 

 
Net Realized Investment Gains (Losses)

Net realized investment gains (losses) for the three months ended March 31, 2017 and 2016 were as follows:

 

 

 

Three Months Ended

 

 

 

March 31,

 

 

 

2017

 

 

2016

 

Fixed maturity AFS securities

 

$

 

77

 

 

$

 

(273

)

Equity AFS securities

 

 

 

-

 

 

 

 

207

 

Mortgage loans on real estate

 

 

 

58

 

 

 

 

(9

)

Adjustment related to value of business acquired

 

 

 

(104

)

 

 

 

(59

)

Net realized investment gains (losses)

 

$

 

31

 

 

$

 

(134

)

 
Credit Loss Impairments on Fixed Maturity Securities, Non-Credit Portion of 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 the non-credit portion of the OTTI loss was recognized in OCI, and the corresponding changes in such amounts at March 31, 2017 and December 31, 2016:

 

 

March 31,

 

 

December 31,

 

 

 

2017

 

 

2016

 

Balance at beginning of period

 

$

 

(2,040

)

 

$

 

(935

)

  Additional credit loss impairments recognized in the

   current period on securities previously impaired through OCI

 

 

 

-

 

 

 

 

121

 

Accretion of credit loss impairments previously recognized

 

 

 

(366

)

 

 

 

(1,226

)

Balance at end of period

 

$

 

(2,406

)

 

$

 

(2,040

)

 
Components of Other-Than-Temporary Impairments Reflected in Statements of Income (Loss)

The components of OTTI reflected in the Statements of Income (Loss) for the three months ended March 31, 2017 and 2016 were as follows:

 

 

 

Three Months Ended March 31, 2017

 

 

 

 

 

 

Net

 

 

Net OTTI

 

 

 

OTTI

 

 

OTTI Losses

 

 

Losses

 

 

 

Losses on

 

 

Recognized

 

 

Recognized

 

 

 

Securities

 

 

in OCI

 

 

in Income

 

Gross OTTI losses

 

$

 

-

 

 

$

 

-

 

 

$

 

-

 

Net OTTI losses

 

$

 

-

 

 

$

 

-

 

 

$

 

-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Three Months Ended March 31, 2016

 

 

 

 

 

 

Net

 

 

Net OTTI

 

 

 

OTTI

 

 

OTTI Losses

 

 

Losses

 

 

 

Losses on

 

 

Recognized

 

 

Recognized

 

 

 

Securities

 

 

in OCI

 

 

in Income

 

Gross OTTI losses

 

$

 

3,669

 

 

$

 

-

 

 

$

 

3,669

 

Net OTTI losses

 

$

 

3,669

 

 

$

 

-

 

 

$

 

3,669

 

 
Securities lending agreements  
Summary of Securities

The following table provides a summary of the securities lending program at March 31, 2017 and December 31, 2016: 

 

 

 

March 31,

 

 

December 31,

 

 

 

2017

 

 

2016

 

Payables for collateral under securities loaned

 

$

 

46,597

 

 

$

 

199,412

 

Amortized cost of securities out on loan

 

 

 

41,375

 

 

 

 

166,942

 

Estimated fair value of securities out on loan

 

 

 

45,300

 

 

 

 

194,996

 

 
Reverse repurchase agreements  
Summary of Securities

The following table provides a summary of the dollar roll reverse repurchase agreements at March 31, 2017 and December 31, 2016:

 

 

 

 

 

 

 

 

 

 

 

 

 

March 31,

 

 

December 31,

 

 

 

2017

 

 

2016

 

Payables for reverse repurchase agreements

 

$

 

19,791

 

 

$

 

46,637

 

Amortized cost of securities pledged

 

 

 

20,009

 

 

 

 

47,021

 

Estimated fair value of securities pledged

 

 

 

19,905

 

 

 

 

46,401