XML 38 R25.htm IDEA: XBRL DOCUMENT v3.8.0.1
Investments (Tables)
 12 Months Ended
Dec. 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 OTTI reflected in AOCI of investments in fixed maturity and equity AFS securities at December 31, 2017 and 2016 were:

 

 

 

 

December 31, 2017

 

 

 

 

 

 

 

 

 

Gross Unrealized

 

 

 

Estimated

 

 

 

 

 

 

 

 

 

Amortized

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair

 

 

 

OTTI

 

 

 

 

Cost/Cost

 

 

 

Gains

 

 

 

Losses

 

 

 

Value

 

 

 

in AOCI (a)

 

Fixed maturity AFS securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate securities

 

$

 

885,440

 

 

$

 

58,766

 

 

$

 

(2,182

)

 

$

 

942,024

 

 

$

 

-

 

Asset-backed securities

 

 

 

56,852

 

 

 

 

241

 

 

 

 

(187

)

 

 

 

56,906

 

 

 

 

-

 

Commercial mortgage-backed securities

 

 

 

72,373

 

 

 

 

1,397

 

 

 

 

(449

)

 

 

 

73,321

 

 

 

 

-

 

Residential mortgage-backed securities

 

 

 

74,385

 

 

 

 

7,076

 

 

 

 

(44

)

 

 

 

81,417

 

 

 

 

-

 

Municipals

 

 

 

906

 

 

 

 

-

 

 

 

 

(25

)

 

 

 

881

 

 

 

 

-

 

Government and government agencies

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States

 

 

 

298,223

 

 

 

 

63,998

 

 

 

 

(102

)

 

 

 

362,119

 

 

 

 

-

 

Foreign

 

 

 

24,158

 

 

 

 

2,168

 

 

 

 

(46

)

 

 

 

26,280

 

 

 

 

-

 

Redeemable preferred stock

 

 

 

5,791

 

 

 

 

-

 

 

 

 

(101

)

 

 

 

5,690

 

 

 

 

-

 

Total fixed maturity AFS securities

 

$

 

1,418,128

 

 

$

 

133,646

 

 

$

 

(3,136

)

 

$

 

1,548,638

 

 

$

 

-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity AFS securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Banking securities

 

$

 

25,473

 

 

$

 

3,024

 

 

$

 

-

 

 

$

 

28,497

 

 

$

 

-

 

Total equity AFS securities

 

$

 

25,473

 

 

$

 

3,024

 

 

$

 

-

 

 

$

 

28,497

 

 

$

 

-

 

 

 

 

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 reflected in earnings. Amount excludes $3,364 and $2,446 of unrealized gains at December 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 December 31, 2017 and 2016 were:

 

 

 

December 31, 2017

 

 

December 31, 2016

 

 

 

 

 

 

Estimated

 

 

 

 

 

Estimated

 

 

 

Amortized

 

 

Fair

 

 

Amortized

 

 

Fair

 

 

 

Cost

 

 

Value

 

 

Cost

 

 

Value

 

Investment grade

 

$

 

1,337,738

 

 

$

 

1,460,708

 

 

$

 

1,294,978

 

 

$

 

1,393,503

 

Below investment grade

 

 

 

80,390

 

 

 

 

87,930

 

 

 

 

88,809

 

 

 

 

93,534

 

Total fixed maturity AFS securities

 

$

 

1,418,128

 

 

$

 

1,548,638

 

 

$

 

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 December 31, 2017 and 2016 by contractual maturities were:

 

 

 

 

December 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

 

$

 

73,570

 

 

$

 

74,686

 

 

$

 

56,748

 

 

$

 

57,489

 

Due after one year through five years

 

 

 

466,858

 

 

 

 

484,576

 

 

 

 

523,815

 

 

 

 

555,221

 

Due after five years through ten years

 

 

 

134,939

 

 

 

 

139,174

 

 

 

 

95,744

 

 

 

 

99,697

 

Due after ten years

 

 

 

539,151

 

 

 

 

638,558

 

 

 

 

485,720

 

 

 

 

549,354

 

 

 

$

 

1,214,518

 

 

$

 

1,336,994

 

 

$

 

1,162,027

 

 

$

 

1,261,761

 

Mortgage-backed securities and other asset-backed securities

 

$

 

203,610

 

 

$

 

211,644

 

 

$

 

221,760

 

 

$

 

225,276

 

Total fixed maturity AFS securities

 

$

 

1,418,128

 

 

$

 

1,548,638

 

 

$

 

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 December 31, 2017 and 2016 were as follows:

 

 

 

December 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

 

$

 

109,579

 

 

$

 

110,819

 

 

$

 

(1,240

)

Asset-backed securities

 

 

 

20,762

 

 

 

 

20,791

 

 

 

 

(29

)

Commercial mortgage-backed securities

 

 

 

28,994

 

 

 

 

29,409

 

 

 

 

(415

)

Residential mortgage-backed securities

 

 

 

2,054

 

 

 

 

2,098

 

 

 

 

(44

)

Government and government agencies

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States

 

 

 

7,533

 

 

 

 

7,635

 

 

 

 

(102

)

Total fixed maturity and equity AFS securities

 

$

 

168,922

 

 

$

 

170,752

 

 

$

 

(1,830

)

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity AFS securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commercial mortgage-backed securities

 

 

 

26

 

 

 

 

26

 

 

 

 

-

 

Government and government agencies

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign

 

 

 

3,767

 

 

 

 

3,813

 

 

 

 

(46

)

Redeemable preferred stock

 

 

 

5,690

 

 

 

 

5,791

 

 

 

 

(101

)

Total fixed maturity and equity AFS securities

 

$

 

9,483

 

 

$

 

9,630

 

 

$

 

(147

)

Greater than one year

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity AFS securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate securities

 

$

 

8,498

 

 

$

 

9,440

 

 

$

 

(942

)

Asset-backed securities

 

 

 

2,610

 

 

 

 

2,768

 

 

 

 

(158

)

Commercial mortgage-backed securities

 

 

 

986

 

 

 

 

1,020

 

 

 

 

(34

)

Residential mortgage-backed securities

 

 

 

6

 

 

 

 

6

 

 

 

 

-

 

Municipals

 

 

 

881

 

 

 

 

906

 

 

 

 

(25

)

Total fixed maturity and equity AFS securities

 

$

 

12,981

 

 

$

 

14,140

 

 

$

 

(1,159

)

Total fixed maturity and equity AFS securities

 

$

 

191,386

 

 

$

 

194,522

 

 

$

 

(3,136

)

 

 

 

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 AFS 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 and Number of Securities with Fair Value Declining Amortized Cost

The fair value, gross unrealized losses, the portion of OTTI recognized in OCI and the number of securities with fair value declining below amortized cost by between 20% and 40% by length of time that securities have been in a continuous unrealized loss position were as follows at December 31, 2017 and 2016:

 

 

 

December 31, 2017

 

 

December 31, 2016

 

 

 

Estimated

 

 

Gross Unrealized

 

 

Number of

 

 

Estimated

 

 

 

Gross Unrealized

 

 

Number of

 

 

 

Fair Value

 

 

Losses/OTTI (a)

 

 

Securities

 

 

Fair Value

 

 

 

Losses/OTTI (a)

 

 

Securities

 

Decline 20% - 40%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Held longer than one year

 

$

 

2,033

 

 

$

 

(908

)

 

 

 

2

 

 

$

 

1,375

 

 

$

 

(614

)

 

 

 

1

 

Total

 

$

 

2,033

 

 

$

 

(908

)

 

 

 

2

 

 

$

 

1,375

 

 

$

 

(614

)

 

 

 

1

 

 

(a)      Subsequent unrealized gains (losses) on OTTI securities are included in Net unrealized OTTI on securities in the Statements of Comprehensive Income (Loss).
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 December 31, 2017 and 2016 were as follows:

 

 

 

 

December 31,

 

 

 

2017

 

 

2016

 

Assets

 

 

 

 

 

 

 

 

 

 

Fixed maturity AFS securities

 

$

 

130,511

 

 

$

 

103,250

 

Cash equivalent securities

 

 

 

(2

)

 

 

 

-

 

Equity AFS securities

 

 

 

3,023

 

 

 

 

1,287

 

Cash flow hedges

 

 

 

(931

)

 

 

 

(1,224

)

Value of business acquired

 

 

 

(30,769

)

 

 

 

(26,630

)

 

 

$

 

101,832

 

 

$

 

76,683

 

Liabilities

 

 

 

 

 

 

 

 

 

 

Income taxes - deferred

 

$

 

(21,333

)

 

$

 

(21,333

)

Stockholder's Equity

 

 

 

 

 

 

 

 

 

 

Accumulated other comprehensive income, net of taxes

 

$

 

80,499

 

 

$

 

55,350

 

 
Credit Quality of Commercial Mortgage Loans

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

 

 

 

December 31,

 

Commercial

 

2017

 

 

2016

 

AAA - AA

 

$

 

11,723

 

 

$

 

43,047

 

A

 

 

 

13,246

 

 

 

 

55,269

 

BBB

 

 

 

-

 

 

 

 

17,970

 

Total mortgage loans on real estate

 

$

 

24,969

 

 

$

 

116,286

 

Less: allowance for credit losses

 

 

 

(7

)

 

 

 

(78

)

 

 

 

 

 

 

 

 

 

 

 

Total mortgage loans on real estate, net

 

$

 

24,962

 

 

$

 

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 December 31, 2017 and 2016:

 

 

 

December 31, 2017

 

 

 

Overnight and

Continuous

 

 

Up to 30 days

 

 

Total

 

Reverse repurchase agreements

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Residential mortgage-backed securities

 

$

 

-

 

 

$

 

36,337

 

 

$

 

36,337

 

Total

 

$

 

-

 

 

$

 

36,337

 

 

$

 

36,337

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Securities lending transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury and agency securities

 

$

 

169,011

 

 

$

 

-

 

 

$

 

169,011

 

Corporate securities

 

 

 

34,493

 

 

 

 

-

 

 

 

 

34,493

 

Equity securities-banking

 

 

 

405

 

 

 

 

-

 

 

 

 

405

 

Total

 

$

 

203,909

 

 

$

 

-

 

 

$

 

203,909

 

Total Borrowings

 

$

 

203,909

 

 

$

 

36,337

 

 

$

 

240,246

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross amount of recognized liabilities for reverse repurchase agreements and securities lending included on the Balance Sheets

$

 

246,417

 

 

 

 

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 December 31, 2017 and 2016:

 

 

 

Notional

 

 

Fair Value

 

 

 

December 31,

 

 

December 31,

 

Derivative Type

 

2017

 

 

2016

 

 

2017

 

 

2016

 

Non-qualifying hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short futures

 

$

 

5,462

 

 

$

 

25,157

 

 

$

 

-

 

 

$

 

-

 

Long futures

 

 

 

60,697

 

 

 

 

55,071

 

 

 

 

-

 

 

 

 

-

 

Interest rate swaps

 

 

 

221,000

 

 

 

 

251,000

 

 

 

 

(2,599

)

 

 

 

(2,799

)

Variance swaps

 

 

 

398

 

 

 

 

540

 

 

 

 

(1,847

)

 

 

 

(1,835

)

Total return swaps

 

 

 

248,326

 

 

 

 

1,405,253

 

 

 

 

(4,791

)

 

 

 

(16,487

)

Options

 

 

 

1,043,001

 

 

 

 

2,002,850

 

 

 

 

26,023

 

 

 

 

24,525

 

Credit default swaps

 

 

 

185,000

 

 

 

 

210,000

 

 

 

 

7,350

 

 

 

 

1,311

 

Total non-qualifying hedges

 

$

 

1,763,884

 

 

$

 

3,949,871

 

 

$

 

24,136

 

 

$

 

4,715

 

Cash flow hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

$

 

49,883

 

 

$

 

49,883

 

 

$

 

(3,808

)

 

$

 

(3,002

)

Total cash flow hedges

 

$

 

49,883

 

 

$

 

49,883

 

 

$

 

(3,808

)

 

$

 

(3,002

)

Derivative Total

 

$

 

1,813,767

 

 

$

 

3,999,754

 

 

$

 

20,328

 

 

$

 

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):

 

 

 

Net Derivative Gains (Losses) Recognized In Income

 

 

 

December 31,

 

Derivative Type

 

2017

 

 

2016

 

 

2015

 

Short futures

 

$

 

(1,413

)

 

$

 

(4,578

)

 

$

 

(2,002

)

Long futures

 

 

 

2,566

 

 

 

 

(1,411

)

 

 

 

(1,029

)

Variance swaps

 

 

 

(3,334

)

 

 

 

(3,659

)

 

 

 

(2,838

)

Total return swaps

 

 

 

(16,235

)

 

 

 

(79,142

)

 

 

 

(36,481

)

Options (puts and calls)

 

 

 

(33,624

)

 

 

 

(3,571

)

 

 

 

7,650

 

Interest rate swaps

 

 

 

206

 

 

 

 

(566

)

 

 

 

(2,222

)

Credit default swaps

 

 

 

2,749

 

 

 

 

2,689

 

 

 

 

(535

)

Total

 

$

 

(49,085

)

 

$

 

(90,238

)

 

$

 

(37,457

)

 
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 December 31, 2017 and 2016:

 

 

 

Maximum Potential Amount

 

 

 

 

 

 

 

 

 

of Future Payments

 

 

Credit Rating

 

Maturity Date Range

Derivative Type

 

December 31, 2017

Credit default swaps

 

 

 

 

 

 

 

 

 

 

 

Corporate debt

 

$

 

95,000

 

 

 

AA-BBB

 

 

March 2020-December 2021

Sovereign debt

 

 

 

90,000

 

 

 

AA-A

 

 

March 2018-June 2022

Credit default swaps total

 

$

 

185,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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 or losses on derivatives that qualify as cash flow hedges:

 

 

 

Gains (Losses) Recognized in

 

 

Net Realized Gains (Losses) Recognized in

 

 

 

OCI on Derivatives (Effective Portion)

 

 

Income on Derivatives (Ineffective Portion)

 

 

 

December 31,

 

 

December 31,

 

 

 

2017

 

 

2016

 

 

2015

 

 

2017

 

 

 

2016

 

 

 

2015

 

Interest rate swaps

 

$

 

294

 

 

$

 

(5,427

)

 

$

 

1,906

 

 

$

 

6

 

 

 

$

 

6

 

 

 

$

 

5

 

Total

 

$

 

294

 

 

$

 

(5,427

)

 

$

 

1,906

 

 

$

 

6

 

 

 

$

 

6

 

 

 

$

 

5

 

 

 

 

Gains (Losses) Reclassified from

 

 

 

AOCI into Net investment Income (Effective Portion)

 

 

 

December 31,

 

 

 

2017

 

 

2016

 

 

2015

 

Interest rate swaps

 

$

 

(1,100

)

 

$

 

(861

)

 

$

 

(99

)

Total

 

$

 

(1,100

)

 

$

 

(861

)

 

$

 

(99

)

 
Offsetting of Derivative Assets and Liabilities

The following table provides details relating to the effect, or potential effect, of netting and collateral arrangements, including the right to offset, associated with the Company’s recognized financial assets and recognized financial liabilities at December 31, 2017 and 2016:

 

 

 

December 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

 

$

34,487

 

 

$

11,560

 

 

$

37,344

 

 

$

32,832

 

OTC - Cleared

 

 

1,590

 

 

 

4,188

 

 

 

1,678

 

 

 

4,477

 

Total gross estimated fair value of derivatives

 

$

36,077

 

 

$

15,748

 

 

$

39,022

 

 

$

37,309

 

Amounts offset on the Balance Sheets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross estimated fair value of derivatives: (1)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

OTC - Bilateral

 

$

(9,878

)

 

$

(9,878

)

 

$

(18,014

)

 

$

(18,014

)

OTC - Cleared

 

 

(1,590

)

 

 

(1,590

)

 

 

(1,678

)

 

 

(1,678

)

Cash collateral: (2), (3)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

OTC - Bilateral

 

 

(16,397

)

 

 

-

 

 

 

(2,804

)

 

 

-

 

OTC - Cleared

 

 

-

 

 

 

(2,054

)

 

 

-

 

 

 

(2,452

)

Estimated fair value of derivatives presented on the Balance Sheets

 

$

8,212

 

 

$

2,226

 

 

$

16,526

 

 

$

15,165

 

Gross amounts not offset on the Balance Sheets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Securities collateral: (4)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

OTC - Bilateral

 

$

(8,083

)

 

$

(1,516

)

 

$

(15,222

)

 

$

(14,249

)

Net amount after application of master netting agreements and collateral

 

$

129

 

 

$

710

 

 

$

1,304

 

 

$

916

 

(1)

Estimated fair value of derivatives is limited to the amount that is subject to offset.

(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 in fixed maturity securities, and the obligation to return it, beyond what is being offset, is included in payables for collateral under securities loaned, reverse repurchase agreements and derivatives. At December 31, 2017, the Company received excess cash collateral of $2,213. 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 offset, is included in other assets. At December 31, 2017 and 2016, the Company had no excess cash collateral provided to counterparties that was excluded from the table above due to the foregoing limitation. The amount reported in the table above does not include initial margin on Exchange-Traded and OTC-Cleared derivatives.

(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 December 31, 2017 and 2016, the Company received excess securities collateral with an estimated fair value of $4,214 and $395, respectively, for its OTC-bilateral derivatives, which are not included in the table above due to the foregoing limitation. At December 31, 2017 and 2016, the Company provided excess securities collateral with an estimated fair value of $146 and $1,878, respectively, for its OTC-Bilateral derivatives, which is not included in the table above due to the foregoing limitation. At December 31, 2017 and 2016, the Company also provided securities initial margin with an estimated fair value of $11,310 and $11,291, respectively, for its OTC-Cleared derivatives, which is not included in the table above.
Net Investment Income by Source

Net Investment Income (Loss)

Net investment income by source for the years ended December 31, 2017, 2016, and 2015 was as follows:

 

Net investment income (loss)

 

2017

 

 

2016

 

 

2015

 

Fixed maturity AFS securities

 

$

 

62,606

 

 

$

 

67,573

 

 

$

 

70,495

 

Equity AFS securities

 

 

 

1,303

 

 

 

 

1,962

 

 

 

 

2,061

 

Limited partnerships

 

 

 

3,274

 

 

 

 

(106

)

 

 

 

(778

)

Mortgage loans on real estate

 

 

 

4,665

 

 

 

 

5,135

 

 

 

 

4,111

 

Policy loans on insurance contracts

 

 

 

32,909

 

 

 

 

34,037

 

 

 

 

35,435

 

Derivatives

 

 

 

6,445

 

 

 

 

6,818

 

 

 

 

4,631

 

Cash and cash equivalents

 

 

 

3,067

 

 

 

 

2,373

 

 

 

 

649

 

Other

 

 

 

301

 

 

 

 

375

 

 

 

 

234

 

Gross investment income

 

$

 

114,570

 

 

$

 

118,167

 

 

$

 

116,838

 

Less investment expenses

 

 

 

(7,043

)

 

 

 

(7,018

)

 

 

 

(4,654

)

Net investment income (loss)

 

$

 

107,527

 

 

$

 

111,149

 

 

$

 

112,184

 

 
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 years ended years ended December 31, 2017, 2016, and 2015 were as follows:

 

 

 

2017

 

 

2016

 

 

2015

 

Proceeds

 

$

 

211,613

 

 

$

 

494,524

 

 

$

 

226,843

 

Gross realized investment gains

 

 

 

4,666

 

 

 

 

8,865

 

 

 

 

6,722

 

Gross realized investment losses

 

 

 

(657

)

 

 

 

(3,300

)

 

 

 

(3,119

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Proceeds on AFS securities sold at a realized loss

 

 

 

47,193

 

 

 

 

128,407

 

 

 

 

74,724

 

 
Net Realized Investment Gains (Losses)

Net realized investment gains (losses) for the years ended years ended December 31, 2017, 2016, and 2015 were as follows:

 

 

 

2017

 

 

2016

 

 

2015

 

Fixed maturity AFS securities

 

$

 

4,009

 

 

$

 

(231

)

 

$

 

1,380

 

Equity AFS securities

 

 

 

-

 

 

 

 

585

 

 

 

 

350

 

Mortgage loans on real estate

 

 

 

5,337

 

 

 

 

(1

)

 

 

 

313

 

Adjustment related to VOBA

 

 

 

(942

)

 

 

 

105

 

 

 

 

(353

)

Net realized investment gains

 

$

 

8,404

 

 

$

 

458

 

 

$

 

1,690

 

 
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 December 31, 2017 and 2016:

 

 

 

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

 

 

 

(1,071

)

 

 

 

(1,226

)

Balance at end of period

 

$

 

(3,111

)

 

$

 

(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 years ended years ended December 31, 2017, 2016, and 2015 were as follows:

 

 

 

2017

 

 

2016

 

 

2015

 

Gross OTTI losses on securities

 

$

 

-

 

 

$

 

5,213

 

 

$

 

1,873

 

Net OTTI loss recognized in OCI

 

 

 

-

 

 

 

 

-

 

 

 

 

-

 

Net OTTI losses

 

$

 

-

 

 

$

 

5,213

 

 

$

 

1,873

 

Value of business acquired amortization

 

 

 

-

 

 

 

 

(529

)

 

 

 

-

 

Net OTTI losses recognized in income

 

$

 

-

 

 

$

 

4,684

 

 

$

 

1,873

 

 
Securities lending agreements  
Summary of Securities

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

 

 

 

December 31,

 

 

 

2017

 

 

2016

 

Payables for collateral under securities loaned

 

$

 

209,923

 

 

$

 

199,412

 

Amortized cost of securities out on loan

 

 

 

167,195

 

 

 

 

166,942

 

Estimated fair value of securities out on loan

 

 

 

203,909

 

 

 

 

194,996

 

 
Reverse repurchase agreements  
Summary of Securities

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

 

 

 

December 31,

 

 

 

2017

 

 

2016

 

Payables for reverse repurchase agreements

 

$

 

36,494

 

 

$

 

46,637

 

Amortized cost of securities pledged

 

 

 

36,249

 

 

 

 

47,021

 

Estimated fair value of securities pledged

 

 

 

36,337

 

 

 

 

46,401