XML 39 R25.htm IDEA: XBRL DOCUMENT v3.5.0.2
Investments (Tables)
 6 Months Ended
Jun. 30, 2016
Investments  
Fixed Maturities and Equity Securities Available-for-Sale (Table)

 

 

 

 

 

 

 

 

 

 

 

Other-than-

 

 

 

 

Gross

 

Gross

 

 

 

temporary

 

 

Amortized

 

unrealized

 

unrealized

 

 

 

impairments in

 

 

cost

 

gains

 

losses

 

Fair value

 

AOCI (1)

 

 

(in millions)

June 30, 2016

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

U.S. government and agencies

 

$
1,479.2

 

$
91.2

 

$

—

 

$
1,570.4

 

$

—

Non-U.S. governments

 
738.4

 
164.4

 
1.0

 
901.8

 

—

States and political subdivisions

 
5,000.4

 
472.2

 
0.4

 
5,472.2

 

—

Corporate

 
32,179.8

 
2,552.9

 
320.4

 
34,412.3

 
16.0

Residential mortgage-backed pass-through securities

 
2,689.4

 
130.6

 
0.3

 
2,819.7

 

—

Commercial mortgage-backed securities

 
4,302.5

 
93.4

 
65.3

 
4,330.6

 
76.5

Collateralized debt obligations

 
898.8

 
0.9

 
27.9

 
871.8

 
1.0

Other debt obligations

 
4,838.8

 
88.4

 
24.7

 
4,902.5

 
53.5

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 

$
52,127.3

 

$
3,594.0

 

$
440.0

 

$
55,281.3

 

$
147.0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total equity securities, available-for-sale

 

$
109.9

 

$
9.1

 

$
13.8

 

$
105.2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2015

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

U.S. government and agencies

 

$
1,488.4

 

$
23.4

 

$
8.3

 

$
1,503.5

 

$

—

Non-U.S. governments

 
669.8

 
128.5

 
5.0

 
793.3

 

—

States and political subdivisions

 
4,501.8

 
234.7

 
19.4

 
4,717.1

 

—

Corporate

 
30,245.5

 
1,532.9

 
638.2

 
31,140.2

 
5.9

Residential mortgage-backed pass-through securities

 
2,549.4

 
90.0

 
11.9

 
2,627.5

 

—

Commercial mortgage-backed securities

 
3,932.5

 
65.3

 
78.0

 
3,919.8

 
80.7

Collateralized debt obligations

 
692.7

 
1.4

 
26.6

 
667.5

 
1.3

Other debt obligations

 
4,594.2

 
39.2

 
35.8

 
4,597.6

 
58.2

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 

$
48,674.3

 

$
2,115.4

 

$
823.2

 

$
49,966.5

 

$
146.1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total equity securities, available-for-sale

 

$
111.2

 

$
7.5

 

$
14.2

 

$
104.5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1)

Excludes $122.3 million and $131.5 million as of June 30, 2016 and December 31, 2015, respectively, of net unrealized gains on impaired fixed maturities, available-for-sale related to changes in fair value subsequent to the impairment date, which are included in gross unrealized gains and gross unrealized losses.
Fixed Maturities Available-for-Sale by Contractual Maturity (Table)

 

 

 

Amortized cost

 

Fair value

 

 

(in millions)

Due in one year or less

 

$
2,792.5

 

$
2,815.4

Due after one year through five years

 
13,079.7

 
13,632.2

Due after five years through ten years

 
8,901.7

 
9,443.1

Due after ten years

 
14,623.9

 
16,466.0

 

 

 

 

 

Subtotal

 
39,397.8

 
42,356.7

Mortgage-backed and other asset-backed securities

 
12,729.5

 
12,924.6

 

 

 

 

 

Total

 

$
52,127.3

 

$
55,281.3

 

 

 

 

 

 

 

 

Net Realized Capital Gains and Losses (Table)

 

 

 

For the three months ended

 

For the six months ended

 

 

June 30,

 

June 30,

 

 

2016

 

2015

 

2016

 

2015

 

 

(in millions)

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

Gross gains

 

$
46.9

 

$
3.4

 

$
50.1

 

$
13.2

Gross losses

 
(1.0)

 
(1.8)

 
(3.5)

 
(3.3)

Net impairment losses

 
(8.6)

 
(6.3)

 
(56.7)

 
(13.8)

Hedging, net

 
(1.0)

 
(25.3)

 
6.4

 
(35.9)

Fixed maturities, trading

 
1.2

 
(5.0)

 
10.1

 
(4.3)

Equity securities, available-for-sale:

 

 

 

 

 

 

 

 

Net impairment recoveries (losses)

 
(1.4)

 
0.3

 
(1.4)

 
0.3

Equity securities, trading

 
18.7

 
2.4

 
(4.2)

 
3.9

Mortgage loans

 
0.1

 
2.3

 
2.6

 
(0.1)

Derivatives

 
(27.9)

 
(57.6)

 
157.7

 
5.0

Other

 
6.7

 
(27.0)

 
9.2

 
(13.4)

 

 

 

 

 

 

 

 

 

Net realized capital gains (losses)

 

$
33.7

 

$
(114.6)

 

$
170.3

 

$
(48.4)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other-Than-Temporary Impairment Losses, Net of Recoveries (Table)

 

 

 

For the three months ended

 

For the six months ended

 

 

June 30,

 

June 30,

 

 

2016

 

2015

 

2016

 

2015

 

 

(in millions)

Fixed maturities, available-for-sale

 

$
(2.0)

 

$
(0.9)

 

$
(57.6)

 

$
13.1

Equity securities, available-for-sale

 
(1.4)

 
0.3

 
(1.4)

 
0.3

 

 

 

 

 

 

 

 

 

Total other-than-temporary impairment losses, net of recoveries from the sale of previously impaired securities

 
(3.4)

 
(0.6)

 
(59.0)

 
13.4

Other-than-temporary impairment losses on fixed maturities, available-for-sale reclassified to (from) OCI (1)

 
(6.6)

 
(5.4)

 
0.9

 
(26.9)

 

 

 

 

 

 

 

 

 

Net impairment losses on available-for-sale securities

 

$
(10.0)

 

$
(6.0)

 

$
(58.1)

 

$
(13.5)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1)

Represents the net impact of (a) gains resulting from reclassification of noncredit impairment losses for fixed maturities with bifurcated OTTI from net realized capital gains (losses) to OCI and (b) losses resulting from reclassification of previously recognized noncredit impairment losses from OCI to net realized capital gains (losses) for fixed maturities with bifurcated OTTI that had additional credit losses or fixed maturities that previously had bifurcated OTTI that have now been sold or are intended to be sold.
Other-Than-Temporary Impairment, Credit Losses Recognized in Earnings (Table)

 

 

 

For the three months ended

 

For the six months ended

 

 

June 30,

 

June 30,

 

 

2016

 

2015

 

2016

 

2015

 

 

(in millions)

Beginning balance

 

$
(160.4)

 

$
(138.6)

 

$
(131.5)

 

$
(144.4)

Credit losses for which an other-than-temporary impairment was not previously recognized

 
(0.5)

 
(0.8)

 
(27.0)

 
(1.6)

Credit losses for which an other-than-temporary impairment was previously recognized

 
(7.8)

 
(6.4)

 
(14.1)

 
(8.1)

Reduction for credit losses previously recognized on fixed maturities now sold, paid down or intended to be sold

 
11.7

 
10.0

 
16.8

 
16.2

Net reduction for positive changes in cash flows expected to be collected and amortization (1)

 
1.2

 
1.0

 
0.2

 
3.0

Foreign currency translation adjustment

 

—

 
0.1

 
(0.2)

 
0.2

 

 

 

 

 

 

 

 

 

Ending balance

 

$
(155.8)

 

$
(134.7)

 

$
(155.8)

 

$
(134.7)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1)

Amounts are recognized in net investment income.
Gross Unrealized Losses for Fixed Maturities and Equity Securities (Table)

 

 

 

June 30, 2016

 

 

Less than

 

Greater than or

 

 

 

 

 

 

twelve months

 

equal to twelve months

 

Total

 

 

 

 

Gross

 

 

 

Gross

 

 

 

Gross

 

 

Fair

 

unrealized

 

Fair

 

unrealized

 

Fair

 

unrealized

 

 

value

 

losses

 

value

 

losses

 

value

 

losses

 

 

(in millions)

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and agencies

 

$
8.8

 

$

—

 

$
3.6

 

$

—

 

$
12.4

 

$

—

Non-U.S. governments

 
1.9

 

—

 
10.7

 
1.0

 
12.6

 
1.0

States and political subdivisions

 
2.2

 

—

 
17.2

 
0.4

 
19.4

 
0.4

Corporate

 
1,486.0

 
40.7

 
1,743.7

 
279.7

 
3,229.7

 
320.4

Residential mortgage-backed pass-through securities

 
0.4

 

—

 
44.0

 
0.3

 
44.4

 
0.3

Commercial mortgage-backed securities

 
790.5

 
13.0

 
517.6

 
52.3

 
1,308.1

 
65.3

Collateralized debt obligations

 
358.5

 
1.7

 
293.3

 
26.2

 
651.8

 
27.9

Other debt obligations

 
595.8

 
5.7

 
475.1

 
19.0

 
1,070.9

 
24.7

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 

$
3,244.1

 

$
61.1

 

$
3,105.2

 

$
378.9

 

$
6,349.3

 

$
440.0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total equity securities, available-for-sale

 

$
0.4

 

$
1.5

 

$
33.5

 

$
12.3

 

$
33.9

 

$
13.8

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2015

 

 

Less than

 

Greater than or

 

 

 

 

 

 

twelve months

 

equal to twelve months

 

Total

 

 

 

 

Gross

 

 

 

Gross

 

 

 

Gross

 

 

Fair

 

unrealized

 

Fair

 

unrealized

 

Fair

 

unrealized

 

 

value

 

losses

 

value

 

losses

 

value

 

losses

 

 

(in millions)

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and agencies

 

$
590.4

 

$
7.6

 

$
40.5

 

$
0.7

 

$
630.9

 

$
8.3

Non-U.S. governments

 
86.3

 
3.1

 
16.1

 
1.9

 
102.4

 
5.0

States and political subdivisions

 
692.0

 
19.0

 
6.5

 
0.4

 
698.5

 
19.4

Corporate

 
7,975.7

 
309.3

 
1,375.0

 
328.9

 
9,350.7

 
638.2

Residential mortgage-backed pass-through securities

 
656.7

 
6.7

 
147.9

 
5.2

 
804.6

 
11.9

Commercial mortgage-backed securities

 
1,480.8

 
27.3

 
299.5

 
50.7

 
1,780.3

 
78.0

Collateralized debt obligations

 
426.9

 
3.8

 
164.0

 
22.8

 
590.9

 
26.6

Other debt obligations

 
2,512.7

 
19.1

 
403.5

 
16.7

 
2,916.2

 
35.8

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 

$
14,421.5

 

$
395.9

 

$
2,453.0

 

$
427.3

 

$
16,874.5

 

$
823.2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total equity securities, available-for-sale

 

$
0.8

 

$
1.0

 

$
32.7

 

$
13.2

 

$
33.5

 

$
14.2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Unrealized Gains and Losses on Available-for-Sale Securities and Derivative Instruments (Table)

 

 

 

June 30, 2016

 

December 31, 2015

 

 

(in millions)

Net unrealized gains on fixed maturities, available-for-sale (1)

 

$
3,234.6

 

$
1,376.0

Noncredit component of impairment losses on fixed maturities, available-for-sale

 
(147.0)

 
(146.1)

Net unrealized losses on equity securities, available-for-sale

 
(4.7)

 
(6.7)

Adjustments for assumed changes in amortization patterns

 
(239.7)

 
(127.0)

Adjustments for assumed changes in policyholder liabilities

 
(994.2)

 
(309.7)

Net unrealized gains on derivative instruments

 
197.4

 
181.6

Net unrealized gains on equity method subsidiaries and noncontrolling interest adjustments

 
123.5

 
98.0

Provision for deferred income taxes

 
(735.5)

 
(350.2)

 

 

 

 

 

Net unrealized gains on available-for-sale securities and derivative instruments

 

$
1,434.4

 

$
715.9

 

 

 

 

 

 

 

 

(1)

Excludes net unrealized gains (losses) on fixed maturities, available-for-sale included in fair value hedging relationships.
Mortgage Loans (Table)

 

 

 

June 30, 2016

 

December 31, 2015

 

 

(in millions)

 

 

 

 

 

Commercial mortgage loans

 

$
11,556.0

 

$
11,265.3

Residential mortgage loans

 
1,178.9

 
1,125.7

 

 

 

 

 

 

 

 

 

 

Total amortized cost

 
12,734.9

 
12,391.0

 

 

 

 

 

Valuation allowance

 
(49.1)

 
(51.6)

 

 

 

 

 

 

 

 

 

 

Total carrying value

 

$
12,685.8

 

$
12,339.4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commercial Mortgage Loans by Geographic Distribution and Property Type Distribution (Table)

 

 

 

June 30, 2016

 

December 31, 2015

 

 

Amortized

 

Percent

 

Amortized

 

Percent

 

 

cost

 

of total

 

cost

 

of total

 

 

($ in millions)

Geographic distribution

 

 

 

 

 

 

 

 

New England

 

$
500.3

 
4.3

%

 

$
509.4

 
4.5

%

Middle Atlantic

 
3,071.6

 
26.6

 

 
3,075.6

 
27.3

 

East North Central

 
533.8

 
4.6

 

 
451.8

 
4.0

 

West North Central

 
231.8

 
2.0

 

 
264.3

 
2.3

 

South Atlantic

 
2,186.3

 
18.9

 

 
2,072.7

 
18.4

 

East South Central

 
198.4

 
1.7

 

 
215.1

 
1.9

 

West South Central

 
1,166.9

 
10.1

 

 
1,120.6

 
9.9

 

Mountain

 
856.0

 
7.4

 

 
898.8

 
8.0

 

Pacific

 
2,762.9

 
23.9

 

 
2,614.1

 
23.2

 

International

 
48.0

 
0.5

 

 
42.9

 
0.5

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$
11,556.0

 
100.0

%

 

$
11,265.3

 
100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property type distribution

 

 

 

 

 

 

 

 

 

 

Office

 

$
4,238.3

 
36.7

%

 

$
4,010.0

 
35.6

%

Retail

 
2,601.2

 
22.5

 

 
2,521.6

 
22.4

 

Industrial

 
1,712.9

 
14.8

 

 
1,840.9

 
16.3

 

Apartments

 
2,570.0

 
22.2

 

 
2,474.2

 
22.0

 

Hotel

 
309.7

 
2.7

 

 
320.5

 
2.7

 

Mixed use/other

 
123.9

 
1.1

 

 
98.1

 
1.0

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$
11,556.0

 
100.0

%

 

$
11,265.3

 
100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commercial Mortgage Loan Portfolio by Credit Risk (Table)

 

 

 

June 30, 2016

 

 

Brick and mortar

 

CTL

 

Total

 

 

(in millions)

A- and above

 

$
10,107.5

 

$
211.3

 

$
10,318.8

BBB+ thru BBB-

 
926.6

 
102.4

 
1,029.0

BB+ thru BB-

 
196.9

 

—

 
196.9

B+ and below

 
10.7

 
0.6

 
11.3

 

 

 

 

 

 

 

Total

 

$
11,241.7

 

$
314.3

 

$
11,556.0

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2015

 

 

Brick and mortar

 

CTL

 

Total

 

 

(in millions)

A- and above

 

$
9,844.2

 

$
224.0

 

$
10,068.2

BBB+ thru BBB-

 
892.4

 
119.5

 
1,011.9

BB+ thru BB-

 
159.6

 
0.1

 
159.7

B+ and below

 
24.8

 
0.7

 
25.5

 

 

 

 

 

 

 

Total

 

$
10,921.0

 

$
344.3

 

$
11,265.3

 

 

 

 

 

 

 

 

 

 

 

Performing and Non-Performing Residential Mortgage Loans (Table)

 

 

 

June 30, 2016

 

 

Home equity

 

First liens

 

Total

 

 

(in millions)

 

 

 

 

 

 

 

Performing

 

$
184.7

 

$
970.9

 

$
1,155.6

Nonperforming

 
9.9

 
13.4

 
23.3

 

 

 

 

 

 

 

Total

 

$
194.6

 

$
984.3

 

$
1,178.9

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2015

 

 

Home equity

 

First liens

 

Total

 

 

(in millions)

 

 

 

 

 

 

 

Performing

 

$
208.0

 

$
895.6

 

$
1,103.6

Nonperforming

 
10.8

 
11.3

 
22.1

 

 

 

 

 

 

 

Total

 

$
218.8

 

$
906.9

 

$
1,125.7

 

 

 

 

 

 

 

 

 

 

 

Non-Accrual Mortgage Loans (Table)

 

 

 

June 30, 2016

 

December 31, 2015

 

 

(in millions)

Residential:

 

 

 

 

Home equity

 

$
9.9

 

$
10.8

First liens

 
6.2

 
7.9

 

 

 

 

 

Total

 

$
16.1

 

$
18.7

 

 

 

 

 

 

 

 

Mortgage Loans Aging (Table)

 

 

 

June 30, 2016

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Recorded

 

 

 

 

 

 

 

 

 

 

 

 

 

 

investment

 

 

 

 

 

 

90 days or

 

 

 

 

 

 

 

90 days or

 

 

30-59 days

 

60-89 days

 

more past

 

Total past

 

 

 

 

 

more and

 

 

past due

 

past due

 

due

 

due

 

Current

 

Total loans

 

accruing

 

 

(in millions)

Commercial-brick and mortar

 

$

—

 

$

—

 

$

—

 

$

—

 

$
11,241.7

 

$
11,241.7

 

$

—

Commercial-CTL

 

—

 

—

 

—

 

—

 
314.3

 
314.3

 

—

Residential-home equity

 
1.7

 
0.7

 
1.0

 
3.4

 
191.2

 
194.6

 

—

Residential-first liens

 
31.9

 
11.3

 
12.5

 
55.7

 
928.6

 
984.3

 
7.2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$
33.6

 

$
12.0

 

$
13.5

 

$
59.1

 

$
12,675.8

 

$
12,734.9

 

$
7.2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2015

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Recorded

 

 

 

 

 

 

 

 

 

 

 

 

 

 

investment

 

 

 

 

 

 

90 days or

 

 

 

 

 

 

 

90 days or

 

 

30-59 days

 

60-89 days

 

more past

 

Total past

 

 

 

 

 

more and

 

 

past due

 

past due

 

due

 

due

 

Current

 

Total loans

 

accruing

 

 

(in millions)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commercial-brick and mortar

 

$

—

 

$

—

 

$

—

 

$

—

 

$
10,921.0

 

$
10,921.0

 

$

—

Commercial-CTL

 

—

 

—

 

—

 

—

 
344.3

 
344.3

 

—

Residential-home equity

 
2.0

 
1.0

 
0.6

 
3.6

 
215.2

 
218.8

 

—

Residential-first liens

 
20.5

 
5.5

 
10.0

 
36.0

 
870.9

 
906.9

 
3.4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$
22.5

 

$
6.5

 

$
10.6

 

$
39.6

 

$
12,351.4

 

$
12,391.0

 

$
3.4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage Loan Valuation Allowance (Table)

 

 

 

For the three months ended June 30, 2016

 

 

Commercial

 

Residential

 

Total

 

 

(in millions)

Beginning balance

 

$
27.1

 

$
22.2

 

$
49.3

Provision

 
1.1

 
(1.3)

 
(0.2)

Charge-offs

 

—

 
(0.8)

 
(0.8)

Recoveries

 

—

 
0.8

 
0.8

 

 

 

 

 

 

 

Ending balance

 

$
28.2

 

$
20.9

 

$
49.1

 

 

 

 

 

 

 

 

 

 

 

 

 

For the six months ended June 30, 2016

 

 

Commercial

 

Residential

 

Total

 

 

(in millions)

Beginning balance

 

$
27.5

 

$
24.1

 

$
51.6

Provision

 
0.7

 
(3.2)

 
(2.5)

Charge-offs

 

—

 
(1.6)

 
(1.6)

Recoveries

 

—

 
1.6

 
1.6

 

 

 

 

 

 

 

Ending balance

 

$
28.2

 

$
20.9

 

$
49.1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Allowance ending balance by basis of impairment method:

 

 

 

 

 

 

Individually evaluated for impairment

 

$

—

 

$
6.8

 

$
6.8

Collectively evaluated for impairment

 
28.2

 
14.1

 
42.3

 

 

 

 

 

 

 

Allowance ending balance

 

$
28.2

 

$
20.9

 

$
49.1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loan balance by basis of impairment method:

 

 

 

 

 

 

Individually evaluated for impairment

 

$

—

 

$
20.2

 

$
20.2

Collectively evaluated for impairment

 
11,556.0

 
1,158.7

 
12,714.7

 

 

 

 

 

 

 

Loan ending balance

 

$
11,556.0

 

$
1,178.9

 

$
12,734.9

 

 

 

 

 

 

 

 

 

 

 

 

 

For the three months ended June 30, 2015

 

 

Commercial

 

Residential

 

Total

 

 

(in millions)

Beginning balance

 

$
27.8

 

$
29.1

 

$
56.9

Provision

 
0.6

 
0.6

 
1.2

Charge-offs

 

—

 
(3.5)

 
(3.5)

Recoveries

 
0.1

 
1.2

 
1.3

 

 

 

 

 

 

 

Ending balance

 

$
28.5

 

$
27.4

 

$
55.9

 

 

 

 

 

 

 

 

 

 

 

 

 

For the six months ended June 30, 2015

 

 

Commercial

 

Residential

 

Total

 

 

(in millions)

Beginning balance

 

$
26.9

 

$
29.6

 

$
56.5

Provision

 
1.5

 
2.5

 
4.0

Charge-offs

 

—

 
(6.5)

 
(6.5)

Recoveries

 
0.1

 
1.8

 
1.9

 

 

 

 

 

 

 

Ending balance

 

$
28.5

 

$
27.4

 

$
55.9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Allowance ending balance by basis of impairment method:

 

 

 

 

 

 

Individually evaluated for impairment

 

$
2.4

 

$
8.4

 

$
10.8

Collectively evaluated for impairment

 
26.1

 
19.0

 
45.1

 

 

 

 

 

 

 

Allowance ending balance

 

$
28.5

 

$
27.4

 

$
55.9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loan balance by basis of impairment method:

 

 

 

 

 

 

Individually evaluated for impairment

 

$
4.4

 

$
25.9

 

$
30.3

Collectively evaluated for impairment

 
10,987.3

 
1,109.0

 
12,096.3

 

 

 

 

 

 

 

Loan ending balance

 

$
10,991.7

 

$
1,134.9

 

$
12,126.6

 

 

 

 

 

 

 

 

 

 

 

Impaired Mortgage Loans (Table)

 

 

 

June 30, 2016

 

 

 

 

Unpaid

 

 

 

 

Recorded

 

principal

 

Related

 

 

investment

 

balance

 

allowance

 

 

(in millions)

With no related allowance recorded:

 

 

 

 

 

 

Residential-first liens

 

$
2.3

 

$
2.3

 

$

—

With an allowance recorded:

 

 

 

 

 

 

Residential-home equity

 
13.0

 
14.1

 
6.4

Residential-first liens

 
4.9

 
4.8

 
0.4

Total:

 

 

 

 

 

 

Residential

 

$
20.2

 

$
21.2

 

$
6.8

 

 

 

December 31, 2015

 

 

 

 

Unpaid

 

 

 

 

Recorded

 

principal

 

Related

 

 

investment

 

balance

 

allowance

 

 

(in millions)

With no related allowance recorded:

 

 

 

 

 

 

Residential-first liens

 

$
3.6

 

$
3.6

 

$

—

With an allowance recorded:

 

 

 

 

 

 

Residential-home equity

 
13.7

 
14.8

 
7.0

Residential-first liens

 
5.9

 
5.8

 
0.5

Total:

 

 

 

 

 

 

Residential

 

$
23.2

 

$
24.2

 

$
7.5

 

 

 

 

For the three months ended

 

For the six months ended

 

 

June 30, 2016

 

June 30, 2016

 

 

Average

 

 

 

Average

 

 

 

 

recorded

 

Interest income

 

recorded

 

Interest income

 

 

investment

 

recognized

 

investment

 

recognized

 

 

(in millions)

With no related allowance recorded:

 

 

 

 

 

 

 

 

Residential-first liens

 

$
2.7

 

$

—

 

$
3.0

 

$

—

With an allowance recorded:

 

 

 

 

 

 

 

 

Residential-home equity

 
13.0

 

—

 
13.4

 
0.1

Residential-first liens

 
5.2

 
0.1

 
5.4

 
0.1

Total:

 

 

 

 

 

 

 

 

Residential

 

$
20.9

 

$
0.1

 

$
21.8

 

$
0.2

 

 

 

For the three months ended

 

For the six months ended

 

 

June 30, 2015

 

June 30, 2015

 

 

Average

 

 

 

Average

 

 

 

 

recorded

 

Interest income

 

recorded

 

Interest income

 

 

investment

 

recognized

 

investment

 

recognized

 

 

(in millions)

With no related allowance recorded:

 

 

 

 

 

 

 

 

Commercial-brick and mortar

 

$
2.3

 

$

—

 

$
2.6

 

$

—

Residential-first liens

 
3.7

 

—

 
3.7

 

—

With an allowance recorded:

 

 

 

 

 

 

 

 

Commercial-brick and mortar

 
4.4

 
0.1

 
4.4

 
0.2

Residential-home equity

 
15.6

 
0.1

 
16.0

 
0.2

Residential-first liens

 
6.7

 
0.1

 
6.9

 
0.1

Total:

 

 

 

 

 

 

 

 

Commercial

 

$
6.7

 

$
0.1

 

$
7.0

 

$
0.2

Residential

 

$
26.0

 

$
0.2

 

$
26.6

 

$
0.3

 

Mortgage Loans Modified as a Troubled Debt Restructuring (Table)

 

 

 

For the three months ended June 30, 2016

 

 

TDRs

 

TDRs in payment default

 

 

Number of

 

Recorded

 

Number of

 

Recorded

 

 

contracts

 

investment

 

contracts

 

investment

 

 

 

 

(in millions)

 

 

 

(in millions)

Residential-home equity

 
1

 

$

—

 

—

 

$

—

Residential-first liens

 
1

 
0.2

 

—

 

—

 

 

 

 

 

 

 

 

 

Total

 
2

 

$
0.2

 

—

 

$

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the three months ended June 30, 2015

 

 

TDRs

 

TDRs in payment default

 

 

Number of

 

Recorded

 

Number of

 

Recorded

 

 

contracts

 

investment

 

contracts

 

investment

 

 

 

 

(in millions)

 

 

 

(in millions)

Residential-home equity

 
4

 

$
0.2

 

—

 

$

—

 

 

 

 

 

 

 

 

 

 

 

Total

 
4

 

$
0.2

 

—

 

$

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the six months ended June 30, 2016

 

 

TDRs

 

TDRs in payment default

 

 

Number of

 

Recorded

 

Number of

 

Recorded

 

 

contracts

 

investment

 

contracts

 

investment

 

 

 

 

(in millions)

 

 

 

(in millions)

Residential-home equity

 
3

 

$
0.2

 

—

 

$

—

Residential-first liens

 
1

 
0.2

 

—

 

—

 

 

 

 

 

 

 

 

 

Total

 
4

 

$
0.4

 

—

 

$

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the six months ended June 30, 2015

 

 

TDRs

 

TDRs in payment default

 

 

Number of

 

Recorded

 

Number of

 

Recorded

 

 

contracts

 

investment

 

contracts

 

investment

 

 

 

 

(in millions)

 

 

 

(in millions)

Residential-home equity

 
12

 

$
0.7

 
1

 

$

—

 

 

 

 

 

 

 

 

 

 

 

Total

 
12

 

$
0.7

 
1

 

$

—

 

 

 

 

 

 

 

 

 

 

 

 

Financial Assets Subject to Netting Agreements (Table)

 

 

 

 

 

Gross amounts not offset in the

 

 

 

 

 

 

consolidated statements

 

 

 

 

 

 

of financial position

 

 

 

 

Gross amount

 

 

 

 

 

 

 

 

of recognized

 

Financial

 

Collateral

 

 

 

 

assets (1)

 

instruments (2)

 

received

 

Net amount

 

 

(in millions)

June 30, 2016

 

 

 

 

 

 

 

 

Derivative assets

 

$
1,286.4

 

$
(733.1)

 

$
(542.4)

 

$
10.9

Reverse repurchase agreements

 
56.8

 

—

 
(56.8)

 

—

 

 

 

 

 

 

 

 

 

Total

 

$
1,343.2

 

$
(733.1)

 

$
(599.2)

 

$
10.9

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2015

 

 

 

 

 

 

 

 

Derivative assets

 

$
665.4

 

$
(409.7)

 

$
(233.6)

 

$
22.1

Reverse repurchase agreements

 
79.7

 

—

 
(79.7)

 

—

 

 

 

 

 

 

 

 

 

Total

 

$
745.1

 

$
(409.7)

 

$
(313.3)

 

$
22.1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1)

The gross amount of recognized derivative and reverse repurchase agreement assets are reported with other investments and cash and cash equivalents on the consolidated statements of financial position. The above excludes $5.2 million and $1.2 million of derivative assets as of June 30, 2016 and December 31, 2015, that are not subject to master netting agreements or similar agreements. The gross amounts of derivative and reverse repurchase agreement assets are not netted against offsetting liabilities for presentation on the consolidated statements of financial position.

(2)

Represents amount of offsetting derivative liabilities that are subject to an enforceable master netting agreement or similar agreement that are not netted against the gross derivative assets for presentation on the consolidated statements of financial position.
Financial Liabilities Subject to Netting Agreements (Table)

 

 

 

 

 

Gross amounts not offset in the

 

 

 

 

 

 

consolidated statements

 

 

 

 

 

 

of financial position

 

 

 

 

Gross amount

 

 

 

 

 

 

 

 

of recognized

 

Financial

 

Collateral

 

 

 

 

liabilities (1)

 

instruments (2)

 

pledged

 

Net amount

 

 

(in millions)

June 30, 2016

 

 

 

 

 

 

 

 

Derivative liabilities

 

$
977.9

 

$
(733.1)

 

$
(174.8)

 

$
70.0

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2015

 

 

 

 

 

 

 

 

Derivative liabilities

 

$
758.6

 

$
(409.7)

 

$
(253.9)

 

$
95.0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1)

The gross amount of recognized derivative liabilities are reported with other liabilities on the consolidated statements of financial position. The above excludes $558.7 million and $421.5 million of derivative liabilities as of June 30, 2016 and December 31, 2015, respectively, which are primarily embedded derivatives that are not subject to master netting agreements or similar agreements. The gross amounts of derivative liabilities are not netted against offsetting assets for presentation on the consolidated statements of financial position.

(2)

Represents amount of offsetting derivative assets that are subject to an enforceable master netting agreement or similar agreement that are not netted against the gross derivative liabilities for presentation on the consolidated statements of financial position.