XML 36 R25.htm IDEA: XBRL DOCUMENT v3.10.0.1
Investments (Tables)
 9 Months Ended
Sep. 30, 2018
Investments Debt And Equity Securities [Abstract]  
Schedule of Available-for-sale Securities Reconciliation

The amortized cost and fair value of available-for-sale fixed maturity securities were as follows:

 

 

 

September 30, 2018

 

 

 

 

 

 

 

Gross

 

 

Gross

 

 

 

 

 

 

OTTI

 

 

 

Amortized

 

 

Unrealized

 

 

Unrealized

 

 

 

 

 

 

Unrealized

 

(in millions)

 

Cost

 

 

Gains

 

 

Losses

 

 

Fair Value

 

 

Losses

 

U.S. Treasury and government agencies

 

$

415.8

 

 

$

1.2

 

 

$

14.8

 

 

$

402.2

 

 

$

—

 

Foreign government

 

 

7.3

 

 

 

0.1

 

 

 

—

 

 

 

7.4

 

 

 

—

 

Municipal

 

 

888.2

 

 

 

13.7

 

 

 

15.6

 

 

 

886.3

 

 

 

—

 

Corporate

 

 

3,429.6

 

 

 

30.6

 

 

 

86.4

 

 

 

3,373.8

 

 

 

6.4

 

Residential mortgage-backed

 

 

731.8

 

 

 

1.0

 

 

 

25.7

 

 

 

707.1

 

 

 

—

 

Commercial mortgage-backed

 

 

645.1

 

 

 

0.6

 

 

 

15.2

 

 

 

630.5

 

 

 

—

 

Asset-backed

 

 

86.5

 

 

 

—

 

 

 

1.2

 

 

 

85.3

 

 

 

—

 

Fixed maturities, excluding held-for-sale (Chaucer)

 

 

6,204.3

 

 

 

47.2

 

 

 

158.9

 

 

 

6,092.6

 

 

 

6.4

 

Fixed maturities, held-for-sale

 

 

1,841.7

 

 

 

6.7

 

 

 

41.5

 

 

 

1,806.9

 

 

 

0.4

 

Total fixed maturities

 

$

8,046.0

 

 

$

53.9

 

 

$

200.4

 

 

$

7,899.5

 

 

$

6.8

 

 

 

 

December 31, 2017

 

 

 

 

 

 

 

Gross

 

 

Gross

 

 

 

 

 

 

OTTI

 

 

 

Amortized

 

 

Unrealized

 

 

Unrealized

 

 

 

 

 

 

Unrealized

 

(in millions)

 

Cost

 

 

Gains

 

 

Losses

 

 

Fair Value

 

 

Losses

 

U.S. Treasury and government agencies

 

$

322.1

 

 

$

3.4

 

 

$

3.2

 

 

$

322.3

 

 

$

—

 

Foreign government

 

 

8.2

 

 

 

0.3

 

 

 

—

 

 

 

8.5

 

 

 

—

 

Municipal

 

 

910.1

 

 

 

29.7

 

 

 

5.8

 

 

 

934.0

 

 

 

—

 

Corporate

 

 

3,134.2

 

 

 

84.1

 

 

 

21.7

 

 

 

3,196.6

 

 

 

6.5

 

Residential mortgage-backed

 

 

632.3

 

 

 

5.8

 

 

 

4.9

 

 

 

633.2

 

 

 

—

 

Commercial mortgage-backed

 

 

590.3

 

 

 

7.2

 

 

 

2.5

 

 

 

595.0

 

 

 

—

 

Asset-backed

 

 

59.9

 

 

 

0.1

 

 

 

0.3

 

 

 

59.7

 

 

 

—

 

Fixed maturities, excluding held-for-sale (Chaucer)

 

 

5,657.1

 

 

 

130.6

 

 

 

38.4

 

 

 

5,749.3

 

 

 

6.5

 

Fixed maturities, held-for-sale

 

 

2,031.7

 

 

 

14.6

 

 

 

15.9

 

 

 

2,030.4

 

 

 

0.4

 

Total fixed maturities

 

$

7,688.8

 

 

$

145.2

 

 

$

54.3

 

 

$

7,779.7

 

 

$

6.9

 

 
Investments Classified by Contractual Maturity Date

The amortized cost and fair value by maturity periods for fixed maturities are shown below. Actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties, or the Company may have the right to put or sell the obligations back to the issuers.

 

 

 

September 30, 2018

 

 

 

Amortized

 

 

Fair

 

(in millions)

 

Cost

 

 

Value

 

Due in one year or less

 

$

184.8

 

 

$

186.5

 

Due after one year through five years

 

 

1,797.6

 

 

 

1,798.9

 

Due after five years through ten years

 

 

2,464.5

 

 

 

2,389.7

 

Due after ten years

 

 

294.0

 

 

 

294.6

 

 

 

 

4,740.9

 

 

 

4,669.7

 

Mortgage-backed and asset-backed securities

 

 

1,463.4

 

 

 

1,422.9

 

Fixed maturities, excluding held-for-sale (Chaucer)

 

 

6,204.3

 

 

 

6,092.6

 

Fixed maturities, held-for-sale

 

 

1,841.7

 

 

 

1,806.9

 

Total fixed maturities

 

$

8,046.0

 

 

$

7,899.5

 

 
Schedule of Unrealized Loss on Investments

The following tables provide information about the Company’s available-for-sale fixed maturity securities that were in an unrealized loss position at September 30, 2018 and December 31, 2017 including the length of time the securities have been in an unrealized loss position:

 

 

 

September 30, 2018

 

 

 

12 months or less

 

 

Greater than 12 months

 

 

Total

 

 

 

Gross

 

 

 

 

 

 

Gross

 

 

 

 

 

 

Gross

 

 

 

 

 

 

 

Unrealized

 

 

Fair

 

 

Unrealized

 

 

Fair

 

 

Unrealized

 

 

Fair

 

(in millions)

 

Losses

 

 

Value

 

 

Losses

 

 

Value

 

 

Losses

 

 

Value

 

Investment grade:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury and government agencies

 

$

6.9

 

 

$

243.2

 

 

$

7.9

 

 

$

124.1

 

 

$

14.8

 

 

$

367.3

 

Foreign governments

 

 

—

 

 

 

2.8

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

2.8

 

Municipal

 

 

5.8

 

 

 

251.8

 

 

 

9.8

 

 

 

161.8

 

 

 

15.6

 

 

 

413.6

 

Corporate

 

 

36.0

 

 

 

1,589.5

 

 

 

41.6

 

 

 

633.8

 

 

 

77.6

 

 

 

2,223.3

 

Residential mortgage-backed

 

 

10.4

 

 

 

419.0

 

 

 

15.3

 

 

 

241.6

 

 

 

25.7

 

 

 

660.6

 

Commercial mortgage-backed

 

 

10.5

 

 

 

476.3

 

 

 

4.7

 

 

 

99.6

 

 

 

15.2

 

 

 

575.9

 

Asset-backed

 

 

1.1

 

 

 

69.7

 

 

 

0.1

 

 

 

5.6

 

 

 

1.2

 

 

 

75.3

 

Total investment grade

 

 

70.7

 

 

 

3,052.3

 

 

 

79.4

 

 

 

1,266.5

 

 

 

150.1

 

 

 

4,318.8

 

Below investment grade:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Municipal

 

 

—

 

 

 

0.9

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

0.9

 

Corporate

 

 

2.5

 

 

 

87.8

 

 

 

6.3

 

 

 

42.4

 

 

 

8.8

 

 

 

130.2

 

Total below investment grade

 

 

2.5

 

 

 

88.7

 

 

 

6.3

 

 

 

42.4

 

 

 

8.8

 

 

 

131.1

 

Fixed maturities, excluding held-for-sale (Chaucer)

 

 

73.2

 

 

 

3,141.0

 

 

 

85.7

 

 

 

1,308.9

 

 

 

158.9

 

 

 

4,449.9

 

Fixed maturities, held-for-sale

 

 

15.7

 

 

 

974.4

 

 

 

25.8

 

 

 

612.4

 

 

 

41.5

 

 

 

1,586.8

 

Total fixed maturities

 

$

88.9

 

 

$

4,115.4

 

 

$

111.5

 

 

$

1,921.3

 

 

$

200.4

 

 

$

6,036.7

 

 
Schedule of Realized Gain (Loss)

The proceeds from sales of available-for-sale securities and gross realized gains and gross realized losses on those sales were as follows:

 

 

 

Three Months Ended September 30,

 

 

 

2018

 

 

2017

 

 

 

Proceeds from

 

 

Gross

 

 

Gross

 

 

Proceeds from

 

 

Gross

 

 

Gross

 

(in millions)

 

Sales

 

 

Gains

 

 

Losses

 

 

Sales

 

 

Gains

 

 

Losses

 

Fixed maturities, excluding held-for-sale (Chaucer)

 

$

83.8

 

 

$

0.8

 

 

$

1.5

 

 

$

47.0

 

 

$

2.4

 

 

$

0.3

 

Fixed maturities, held-for-sale

 

 

21.4

 

 

 

0.2

 

 

 

0.1

 

 

 

45.6

 

 

 

0.6

 

 

 

0.2

 

Total fixed maturities

 

$

105.2

 

 

$

1.0

 

 

$

1.6

 

 

$

92.6

 

 

$

3.0

 

 

$

0.5

 

 

 

 

Nine Months Ended September 30,

 

 

 

2018

 

 

2017

 

 

 

Proceeds from

 

 

Gross

 

 

Gross

 

 

Proceeds from

 

 

Gross

 

 

Gross

 

(in millions)

 

Sales

 

 

Gains

 

 

Losses

 

 

Sales

 

 

Gains

 

 

Losses

 

Fixed maturities, excluding held-for-sale (Chaucer)

 

$

225.1

 

 

$

2.0

 

 

$

5.3

 

 

$

176.9

 

 

$

6.4

 

 

$

1.7

 

Fixed maturities, held-for-sale

 

 

172.5

 

 

 

1.3

 

 

 

1.1

 

 

 

145.8

 

 

 

1.8

 

 

 

0.2

 

Total fixed maturities

 

$

397.6

 

 

$

3.3

 

 

$

6.4

 

 

$

322.7

 

 

$

8.2

 

 

$

1.9

 

 
Rollforward of Cumulative Amounts Related to Credit Loss Portion of OTTI Losses

The following table provides rollforwards of the cumulative amounts related to the credit loss portion of the OTTI losses on fixed maturity securities from continuing operations for which the non-credit portion of the loss is included in other comprehensive income. 

 

 

Three Months Ended September 30,

 

 

Nine Months Ended September 30,

 

(in millions)

2018

 

 

2017

 

 

2018

 

 

2017

 

Credit losses at beginning of period, excluding held-for-sale (Chaucer)

$

3.7

 

 

$

9.2

 

 

$

3.6

 

 

$

9.6

 

Credit losses for which an OTTI was not previously recognized

 

0.2

 

 

 

0.2

 

 

 

1.0

 

 

 

0.4

 

Additional credit losses on securities for which an OTTI was

   previously recognized

 

—

 

 

 

—

 

 

 

0.1

 

 

 

0.1

 

Reductions for securities sold, matured or called

 

—

 

 

 

(1.9

)

 

 

(0.8

)

 

 

(2.6

)

Reductions for securities reclassified as intended to sell

 

—

 

 

 

(0.4

)

 

 

—

 

 

 

(0.4

)

Credit losses at end of period, excluding held-for-sale (Chaucer)

$

3.9

 

 

$

7.1

 

 

$

3.9

 

 

$

7.1

 

 
Schedule of Pre-tax Realized and Unrealized Gains and Losses on Equity Securities Recognized in Net Income

 

The following table provides pre-tax realized and unrealized gains (losses) on equity securities recognized in net income from continuing operations during the three and nine months ended September 30, 2018:

 

(in millions)

Three Months Ended

 

 

Nine Months Ended

 

Net gains recognized during the period

$

23.6

 

 

$

6.7

 

Less: net losses recognized on equity securities sold during the period

 

(0.2

)

 

 

(1.0

)

Net unrealized gains recognized during the period on equity securities still held

$

23.8

 

 

$

7.7