XML 35 R24.htm IDEA: XBRL DOCUMENT v3.8.0.1
Investments (Tables)
 3 Months Ended
Mar. 31, 2018
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, 2018 and December 31, 2017 were: 

 

 

 

March 31, 2018

 

 

 

 

 

 

 

 

 

Gross Unrealized

 

 

 

Estimated

 

 

 

 

 

 

 

 

 

Amortized

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair

 

 

 

OTTI

 

 

 

 

Cost/Cost

 

 

 

Gains

 

 

 

Losses

 

 

 

Value

 

 

 

in AOCI (a)

 

Fixed maturity AFS securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate securities

 

$

 

821,572

 

 

$

 

38,678

 

 

$

 

(6,602

)

 

$

 

853,648

 

 

$

 

-

 

Asset-backed securities

 

 

 

50,647

 

 

 

 

19

 

 

 

 

(460

)

 

 

 

50,206

 

 

 

 

-

 

Commercial mortgage-backed securities

 

 

 

61,223

 

 

 

 

638

 

 

 

 

(1,208

)

 

 

 

60,653

 

 

 

 

-

 

Residential mortgage-backed securities

 

 

 

37,680

 

 

 

 

6,794

 

 

 

 

(903

)

 

 

 

43,571

 

 

 

 

-

 

Municipals

 

 

 

905

 

 

 

 

-

 

 

 

 

(21

)

 

 

 

884

 

 

 

 

-

 

Government and government agencies

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

United States

 

 

 

217,502

 

 

 

 

37,267

 

 

 

 

(300

)

 

 

 

254,469

 

 

 

 

-

 

Foreign

 

 

 

24,123

 

 

 

 

1,334

 

 

 

 

(167

)

 

 

 

25,290

 

 

 

 

-

 

Redeemable preferred stock

 

 

 

5,791

 

 

 

 

-

 

 

 

 

(191

)

 

 

 

5,600

 

 

 

 

-

 

Total fixed maturity AFS securities

 

$

 

1,219,443

 

 

$

 

84,730

 

 

$

 

(9,852

)

 

$

 

1,294,321

 

 

$

 

-

 

 

 

 

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

 

 

$

 

-

 

 

(a)

Represents OTTI in AOCI, which were not reflected in earnings. Amount excludes $3,358 and $3,364 of unrealized gains at March 31, 2018 and December 31, 2017, 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, 2018 and December 31, 2017 were: 

 

 

 

March 31, 2018

 

 

December 31, 2017

 

 

 

 

 

 

Estimated

 

 

 

 

 

Estimated

 

 

 

Amortized

 

 

Fair

 

 

Amortized

 

 

Fair

 

 

 

Cost

 

 

Value

 

 

Cost

 

 

Value

 

Investment grade

 

$

 

1,156,451

 

 

$

 

1,225,374

 

 

$

 

1,337,738

 

 

$

 

1,460,708

 

Below investment grade

 

 

 

62,992

 

 

 

 

68,947

 

 

 

 

80,390

 

 

 

 

87,930

 

Total fixed maturity AFS securities

 

$

 

1,219,443

 

 

$

 

1,294,321

 

 

$

 

1,418,128

 

 

$

 

1,548,638

 

 
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, 2018 and December 31, 2017 by contractual maturities were: 

 

 

 

 

March 31, 2018

 

 

 

December 31, 2017

 

 

 

 

 

 

 

 

 

Estimated

 

 

 

 

 

 

 

 

Estimated

 

 

 

 

Amortized

 

 

 

Fair

 

 

 

Amortized

 

 

 

Fair

 

 

 

 

Cost

 

 

 

Value

 

 

 

Cost

 

 

 

Value

 

Fixed maturity AFS securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Due in one year or less

 

$

 

78,457

 

 

$

 

79,445

 

 

$

 

73,570

 

 

$

 

74,686

 

Due after one year through five years

 

 

 

418,785

 

 

 

 

428,159

 

 

 

 

466,858

 

 

 

 

484,576

 

Due after five years through ten years

 

 

 

124,237

 

 

 

 

124,425

 

 

 

 

134,939

 

 

 

 

139,174

 

Due after ten years

 

 

 

448,414

 

 

 

 

507,862

 

 

 

 

539,151

 

 

 

 

638,558

 

 

 

$

 

1,069,893

 

 

$

 

1,139,891

 

 

$

 

1,214,518

 

 

$

 

1,336,994

 

Mortgage-backed securities and other asset-backed securities

 

$

 

149,550

 

 

$

 

154,430

 

 

$

 

203,610

 

 

$

 

211,644

 

Total fixed maturity AFS securities

 

$

 

1,219,443

 

 

$

 

1,294,321

 

 

$

 

1,418,128

 

 

$

 

1,548,638

 

 
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, 2018 and December 31, 2017 were as follows: 

 

 

March 31, 2018

 

 

 

 

 

 

 

 

 

 

 

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

 

$

 

189,755

 

 

$

 

194,764

 

 

$

 

(5,009

)

Asset-backed securities

 

 

 

28,429

 

 

 

 

28,683

 

 

 

 

(254

)

Commercial mortgage-backed securities

 

 

 

41,667

 

 

 

 

42,654

 

 

 

 

(987

)

Residential mortgage-backed securities

 

 

 

(1,938

)

 

 

 

(1,127

)

 

 

 

(811

)

Government and government agencies

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   United States

 

 

 

16,468

 

 

 

 

16,768

 

 

 

 

(300

)

   Foreign

 

 

 

2,529

 

 

 

 

2,532

 

 

 

 

(3

)

Total fixed maturity AFS securities

 

$

 

276,910

 

 

$

 

284,274

 

 

$

 

(7,364

)

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity AFS securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate securities

 

$

 

3,397

 

 

$

 

3,681

 

 

$

 

(284

)

Commercial mortgage-backed securities

 

 

 

2,798

 

 

 

 

2,969

 

 

 

 

(171

)

Residential mortgage-backed securities

 

 

 

2,029

 

 

 

 

2,121

 

 

 

 

(92

)

Redeemable preferred stock

 

 

 

5,600

 

 

 

 

5,791

 

 

 

 

(191

)

Total fixed maturity AFS securities

 

$

 

13,824

 

 

$

 

14,562

 

 

$

 

(738

)

Greater than one year

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity AFS securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate securities

 

$

 

8,132

 

 

$

 

9,441

 

 

$

 

(1,309

)

Asset-backed securities

 

 

 

2,344

 

 

 

 

2,550

 

 

 

 

(206

)

Commercial mortgage-backed securities

 

 

 

969

 

 

 

 

1,019

 

 

 

 

(50

)

Residential mortgage-backed securities

 

 

 

5

 

 

 

 

5

 

 

 

 

-

 

Municipals

 

 

 

884

 

 

 

 

905

 

 

 

 

(21

)

     Government and government agencies

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

           Foreign

 

 

 

3,650

 

 

 

 

3,814

 

 

 

 

(164

)

Total fixed maturity AFS securities

 

$

 

15,984

 

 

$

 

17,734

 

 

$

 

(1,750

)

Total fixed maturity AFS securities

 

$

 

306,718

 

 

$

 

316,570

 

 

$

 

(9,852

)

 

 

 

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

)

(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 those securities have been in a continuous unrealized loss position were as follows at March 31, 2018 and December 31, 2017: 

 

 

 

March 31, 2018

 

 

December 31, 2017

 

 

 

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

 

$

 

1,922

 

 

$

 

(1,018

)

 

 

 

2

 

 

$

 

2,033

 

 

$

 

(908

)

 

 

 

2

 

Total

 

$

 

1,922

 

 

$

 

(1,018

)

 

 

 

2

 

 

$

 

2,033

 

 

$

 

(908

)

 

 

 

2

 

(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 March 31, 2018 and December 31, 2017 were as follows: 

 

 

March 31,

 

 

December 31,

 

 

 

2018

 

 

2017

 

Assets

 

 

 

 

 

 

 

 

 

 

Fixed maturity AFS securities

 

$

 

74,880

 

 

$

 

130,511

 

Cash equivalent securities

 

 

 

(20

)

 

 

 

(2

)

Equity AFS securities

 

 

 

-

 

 

 

 

3,023

 

Cash flow hedges

 

 

 

(442

)

 

 

 

(931

)

VOBA

 

 

 

(21,985

)

 

 

 

(30,769

)

 

 

$

 

52,433

 

 

$

 

101,832

 

Liabilities

 

 

 

 

 

 

 

 

 

 

Income taxes - deferred

 

$

 

(21,333

)

 

$

 

(21,333

)

Stockholder’s Equity

 

 

 

 

 

 

 

 

 

 

Accumulated other comprehensive income, net of taxes

 

$

 

31,100

 

 

$

 

80,499

 

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

The amortized cost/cost, estimated fair value and gross unrealized gains (losses) recorded in net investment income (loss) of investments in equity securities at March 31, 2018 were:

 

 

March 31, 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross Unrealized

 

 

 

 

 

 

 

 

Estimated

 

 

Gains (Losses) Recorded

 

 

 

 

Amortized

 

 

Fair

 

 

in Net Investment

 

 

 

 

Cost/Cost

 

 

Value

 

 

Income (Loss)

 

Equity securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Banking securities

 

$

 

25,473

 

 

$

 

28,126

 

 

$

 

2,653

 

Total equity securities

 

$

 

25,473

 

 

$

 

28,126

 

 

$

 

2,653

 

 
Credit Quality of Commercial Mortgage Loans

 


The credit quality of commercial mortgage loans at March 31, 2018 and December 31, 2017 was as follows:

 

 

 

March 31,

 

 

December 31,

 

Commercial

 

2018

 

 

2017

 

AAA - AA

 

$

 

8,175

 

 

$

 

11,723

 

A

 

 

 

13,177

 

 

 

 

13,246

 

Total mortgage loans on real estate

 

$

 

21,352

 

 

$

 

24,969

 

Less: allowance for credit losses

 

 

 

(8

)

 

 

 

(7

)

 

 

 

 

 

 

 

 

 

 

 

Total mortgage loans on real estate, net

 

$

 

21,344

 

 

$

 

24,962

 

 
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, 2018 and December 31, 2017: 

 

 

March 31, 2018

 

 

 

Overnight and

Continuous

 

 

Up to 30 days

 

 

Total

 

Reverse repurchase agreements

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Residential mortgage-backed securities

 

$

 

-

 

 

$

 

35,454

 

 

$

 

35,454

 

Total

 

$

 

-

 

 

$

 

35,454

 

 

$

 

35,454

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Securities lending transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury and agency securities

 

$

 

93,799

 

 

$

 

-

 

 

$

 

93,799

 

Corporate securities

 

 

 

44,264

 

 

 

 

-

 

 

 

 

44,264

 

Equity securities - banking

 

 

 

3,508

 

 

 

 

-

 

 

 

 

3,508

 

Total

 

$

 

141,571

 

 

$

 

-

 

 

$

 

141,571

 

Total Borrowings

 

$

 

141,571

 

 

$

 

35,454

 

 

$

 

177,025

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

$

 

176,767

 

 

 

 

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

 

 
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, 2018 and December 31, 2017:

 

 

Notional

 

 

Fair Value

 

 

 

March 31,

 

 

December 31,

 

 

March 31,

 

 

December 31,

 

Derivative Type

 

2018

 

 

2017

 

 

2018

 

 

2017

 

Non-qualifying hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short futures

 

$

 

8,435

 

 

$

 

5,462

 

 

$

 

(80

)

 

$

 

-

 

Long futures

 

 

 

47,993

 

 

 

 

60,697

 

 

 

 

216

 

 

 

 

-

 

Interest rate swaps

 

 

 

221,000

 

 

 

 

221,000

 

 

 

 

(7,475

)

 

 

 

(2,599

)

Variance swaps

 

 

 

318

 

 

 

 

398

 

 

 

 

106

 

 

 

 

(1,847

)

Total return swaps

 

 

 

241,325

 

 

 

 

248,326

 

 

 

 

(3,566

)

 

 

 

(4,791

)

Options

 

 

 

1,013,890

 

 

 

 

1,043,001

 

 

 

 

39,790

 

 

 

 

26,023

 

Credit default swaps

 

 

 

175,000

 

 

 

 

185,000

 

 

 

 

6,525

 

 

 

 

7,350

 

Total non-qualifying hedges

 

$

 

1,707,961

 

 

$

 

1,763,884

 

 

$

 

35,516

 

 

$

 

24,136

 

Cash flow hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

$

 

24,997

 

 

$

 

49,883

 

 

$

 

(2,016

)

 

$

 

(3,808

)

Total cash flow hedges

 

$

 

24,997

 

 

$

 

49,883

 

 

$

 

(2,016

)

 

$

 

(3,808

)

Derivative Total

 

$

 

1,732,958

 

 

$

 

1,813,767

 

 

$

 

33,500

 

 

$

 

20,328

 

 
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, 2018 and 2017:

 

 

Net Derivative Gains (Losses) Recognized In Income

 

 

 

Three Months Ended

 

 

 

March 31,

 

Derivative Type

 

2018

 

 

 

2017

 

Short futures

 

$

 

(2,541

)

 

$

 

(724

)

Long futures

 

 

 

(1,375

)

 

 

 

255

 

Variance swaps

 

 

 

935

 

 

 

 

(1,629

)

Total return swaps

 

 

 

(122

)

 

 

 

(4,902

)

Options

 

 

 

64

 

 

 

 

(16,909

)

Interest rate swaps

 

 

 

(7,203

)

 

 

 

(629

)

Credit default swaps

 

 

 

(624

)

 

 

 

310

 

Total

 

$

 

(10,866

)

 

$

 

(24,228

)

 
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, 2018 and December 31, 2017:

 

 

 

Maximum Potential Amount

 

 

 

 

 

 

 

 

 

of Future Payments

 

 

Credit Rating

 

Maturity Date Range

Derivative Type

 

March 31, 2018

Credit default swaps

 

 

 

 

 

 

 

 

 

 

 

Corporate debt

 

$

 

95,000

 

 

 

AA-BBB

 

 

March 2020-December 2021

Sovereign debt

 

 

 

80,000

 

 

 

AA-A

 

 

December 2019-June 2022

Credit default swaps total

 

$

 

175,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 
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, 2018 and 2017:

 

 

Gains (Losses) Recognized in

 

 

 

OCI on Derivatives (Effective Portion)

 

 

 

Three Months Ended

 

 

 

March 31,

 

 

 

2018

 

 

2017

 

Interest rate swaps

 

$

 

489

 

 

$

 

408

 

Total

 

$

 

489

 

 

$

 

408

 

 

 

 

Net Realized Gains (Losses)

 

 

 

Recognized in Income on Derivatives

(Ineffective Portion)

 

 

 

Three Months Ended

 

 

 

March 31,

 

 

 

2018

 

 

2017

 

Interest rate swaps

 

$

 

73

 

 

$

 

1

 

Total

 

$

 

73

 

 

$

 

1

 

 

 

 

Gains (Losses) Reclassified from

 

 

 

AOCI into Net Investment Income (Effective Portion)

 

 

 

Three Months Ended

 

 

 

March 31,

 

 

 

2018

 

 

2017

 

Interest rate swaps

 

$

 

1,303

 

 

$

 

(247

)

Total

 

$

 

1,303

 

 

$

 

(247

)

 
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 March 31, 2018 and December 31, 2017: 

 

 

March 31, 2018

 

 

December 31, 2017

 

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

 

$

48,057

 

 

$

7,218

 

 

$

34,487

 

 

$

11,560

 

OTC - Cleared

 

 

2,799

 

 

 

10,274

 

 

 

1,590

 

 

 

4,188

 

Exchange-traded

 

 

254

 

 

 

118

 

 

 

-

 

 

 

-

 

Total gross estimated fair value of derivatives

 

$

51,110

 

 

$

17,610

 

 

$

36,077

 

 

$

15,748

 

Amounts offset on the Balance Sheets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross estimated fair value of derivatives: (1)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

OTC - Bilateral

 

$

(5,502

)

 

$

(5,502

)

 

$

(9,878

)

 

$

(9,878

)

OTC - Cleared

 

 

(2,799

)

 

 

(2,799

)

 

 

(1,590

)

 

 

(1,590

)

Exchange-traded

 

 

(117

)

 

 

(117

)

 

 

-

 

 

 

-

 

Cash collateral: (2), (3)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

OTC - Bilateral

 

 

(37,340

)

 

 

-

 

 

 

(16,397

)

 

 

-

 

OTC - Cleared

 

 

-

 

 

 

(7,476

)

 

 

-

 

 

 

(2,054

)

Estimated fair value of derivatives presented on the Balance Sheets

 

$

5,352

 

 

$

1,716

 

 

$

8,212

 

 

$

2,226

 

Gross amounts not offset on the Balance Sheets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Securities collateral: (4)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

OTC - Bilateral

 

$

(5,089

)

 

$

(1,716

)

 

$

(8,083

)

 

$

(1,516

)

Net amount after application of master netting agreements and collateral

 

$

263

 

 

$

0

 

 

$

129

 

 

$

710

 

 

(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 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 offset, is included in payables for collateral under securities loaned, reverse repurchase agreements and derivatives. At March 31, 2018 and December 31, 2017, the Company received excess cash collateral of $2,004 and $2,213, respectively.

(3)

The receivable for the return of cash collateral provided to the counterparty, beyond what is being offset, 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, 2018, the Company provided excess cash collateral of $294. The Company had no excess cash collateral provided to counterparties at December 31, 2017.

(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, 2018 and December 31, 2017, the Company received excess securities collateral with an estimated fair value of $2,995 and $4,214, respectively, for its OTC-Bilateral derivatives, which are not included in the table above due to the foregoing limitation. At March 31, 2018 and December 31, 2017, the Company provided excess securities collateral with an estimated fair value of $1,052 and $146, respectively, for its OTC-Bilateral derivatives, which is not included in the table above due to the foregoing limitation. At March 31, 2018 and December 31, 2017, the Company also provided securities for initial margin with an estimated fair value of $10,846 and $11,310, respectively, for its OTC-Cleared derivatives, which is not included in the table above.
Net Investment Income (Loss) by Source

Net Investment Income (Loss)

Net investment income (loss) by source for the three months ended March 31, 2018 and 2017 was as follows:

 

 

 

Three Months Ended

 

 

 

March 31,

 

Net investment income (loss)

 

2018

 

 

2017

 

Fixed maturity AFS securities

 

$

 

15,408

 

 

$

 

15,464

 

Equity AFS securities

 

 

 

-

 

 

 

 

418

 

Equity securities

 

 

 

57

 

 

 

 

-

 

Limited partnerships

 

 

 

(173

)

 

 

 

1,664

 

Mortgage loans on real estate

 

 

 

276

 

 

 

 

1,463

 

Policy loans on insurance contracts

 

 

 

7,778

 

 

 

 

8,220

 

Derivatives

 

 

 

1,437

 

 

 

 

1,590

 

Cash and cash equivalents

 

 

 

1,166

 

 

 

 

274

 

Other

 

 

 

91

 

 

 

 

73

 

Gross investment income

 

$

 

26,040

 

 

$

 

29,166

 

Less investment expenses

 

 

 

(2,043

)

 

 

 

(1,222

)

Net investment income (loss)

 

$

 

23,997

 

 

$

 

27,944

 

 
Summary of Unrealized Gains (Losses) Related to Equity Securities

In accordance with the adoption of ASU 2016-01, effective January 1, 2018, the unrealized gains (losses) for the period related to equity securities reported as a component of net investment income were as follows:

 

 

 

Three Months Ended

 

 

March 31, 2018

Net gains (losses) recognized during the period on

     equity securities

 

$

(371)

Less: Net gains (losses) recognized during the

     period on equity securities sold during the

     period

 

 

-

Unrealized gains (losses) recognized during the

     reporting period on equity securities still held at

     the reporting date

 

$

(371)

 
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, 2018 and 2017 were as follows:

 

 

 

Three Months Ended

 

 

 

March 31,

 

 

 

2018

 

 

2017

 

Proceeds

 

$

 

124,733

 

 

$

 

53,703

 

Gross realized investment gains

 

 

 

12,547

 

 

 

 

593

 

Gross realized investment losses

 

 

 

(1,043

)

 

 

 

(516

)

 

 

 

 

 

 

 

 

 

 

 

Proceeds on AFS securities sold at a realized loss

 

 

 

27,439

 

 

 

 

53,703

 

 
Net Realized Investment Gains (Losses)

Net realized investment gains (losses) for the three months ended March 31, 2018 and 2017 were as follows:

 

 

 

Three Months Ended

 

 

 

March 31,

 

 

 

2018

 

 

2017

 

Fixed maturity AFS securities

 

$

 

11,504

 

 

$

 

77

 

Mortgage loans on real estate

 

 

 

343

 

 

 

 

58

 

Adjustment related to VOBA

 

 

 

(73

)

 

 

 

(104

)

Net realized investment gains (losses)

 

$

 

11,774

 

 

$

 

31

 

 
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, for which the non-credit portion of the OTTI loss was recognized in OCI, and the corresponding changes in such amounts at March 31, 2018 and December 31, 2017:

 

 

March 31, 2018

 

 

December 31, 2017

 

Balance at beginning of period

 

$

 

(3,111

)

 

$

 

(2,040

)

Accretion of credit loss impairments previously recognized

 

 

 

(313

)

 

 

 

(1,071

)

Balance at end of period

 

$

 

(3,424

)

 

$

 

(3,111

)

 
Securities lending agreements  
Summary of Securities

The following table provides a summary of the securities lending program at March 31, 2018 and December 31, 2017: 

 

 

 

March 31,

 

 

December 31,

 

 

 

2018

 

 

2017

 

Payables for collateral under securities loaned

 

$

 

141,545

 

 

$

 

209,923

 

Amortized cost of securities out on loan

 

 

 

123,596

 

 

 

 

167,195

 

Estimated fair value of securities out on loan

 

 

 

141,571

 

 

 

 

203,909

 

 
Reverse repurchase agreements  
Summary of Securities

The following table provides a summary of the dollar roll reverse repurchase agreements at March 31, 2018 and December 31, 2017:

 

 

March 31,

 

 

December 31,

 

 

 

2018

 

 

2017

 

Payables for reverse repurchase agreements

 

$

 

35,222

 

 

$

 

36,494

 

Amortized cost of securities pledged

 

 

 

36,249

 

 

 

 

36,249

 

Estimated fair value of securities pledged

 

 

 

35,454

 

 

 

 

36,337