XML 37 R24.htm IDEA: XBRL DOCUMENT v3.7.0.1
Investments (Tables)
 3 Months Ended
Mar. 31, 2017
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)

March 31, 2017

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

U.S. government and agencies

 

$
1,430.3

 

$
19.1

 

$
11.2

 

$
1,438.2

 

$

—

Non-U.S. governments

 
881.9

 
126.3

 
3.4

 
1,004.8

 

—

States and political subdivisions

 
5,854.1

 
215.4

 
70.0

 
5,999.5

 
1.1

Corporate

 
33,806.8

 
1,988.2

 
229.5

 
35,565.5

 
20.0

Residential mortgage-backed pass-through securities

 
2,807.4

 
63.2

 
30.7

 
2,839.9

 

—

Commercial mortgage-backed securities

 
3,903.8

 
29.3

 
70.2

 
3,862.9

 
74.8

Collateralized debt obligations

 
1,006.9

 
2.5

 
21.5

 
987.9

 
0.3

Other debt obligations

 
5,295.4

 
38.4

 
43.4

 
5,290.4

 
48.7

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 

$
54,986.6

 

$
2,482.4

 

$
479.9

 

$
56,989.1

 

$
144.9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total equity securities, available-for-sale

 

$
116.4

 

$
6.3

 

$
8.7

 

$
114.0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2016

 

 

 

 

 

 

 

 

 

 

Fixed maturities, available-for-sale:

 

 

 

 

 

 

 

 

 

 

U.S. government and agencies

 

$
1,426.7

 

$
17.2

 

$
10.9

 

$
1,433.0

 

$

—

Non-U.S. governments

 
781.7

 
119.3

 
7.4

 
893.6

 

—

States and political subdivisions

 
5,463.9

 
192.4

 
87.1

 
5,569.2

 
1.1

Corporate

 
32,699.7

 
1,843.5

 
350.8

 
34,192.4

 
17.2

Residential mortgage-backed pass-through securities

 
2,798.0

 
67.3

 
30.6

 
2,834.7

 

—

Commercial mortgage-backed securities

 
4,153.2

 
31.2

 
87.9

 
4,096.5

 
77.5

Collateralized debt obligations

 
780.1

 
2.8

 
24.3

 
758.6

 
0.3

Other debt obligations

 
5,080.9

 
37.0

 
49.8

 
5,068.1

 
50.3

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 

$
53,184.2

 

$
2,310.7

 

$
648.8

 

$
54,846.1

 

$
146.4

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total equity securities, available-for-sale

 

$
104.9

 

$
4.9

 

$
10.9

 

$
98.9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1)

Excludes $126.3 million and $120.9 million as of March 31, 2017 and December 31, 2016, 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

 

$
3,071.0

 

$
3,097.7

Due after one year through five years

 
12,366.7

 
12,772.7

Due after five years through ten years

 
9,178.9

 
9,444.8

Due after ten years

 
17,356.5

 
18,692.8

 

 

 

 

 

Subtotal

 
41,973.1

 
44,008.0

Mortgage-backed and other asset-backed securities

 
13,013.5

 
12,981.1

 

 

 

 

 

Total

 

$
54,986.6

 

$
56,989.1

 

 

 

 

 

 

 

 

Net Realized Capital Gains and Losses (Table)

 

 

For the three months ended March 31,

 

 

2017

 

2016

 

 

(in millions)

Fixed maturities, available-for-sale:

 

 

 

 

Gross gains

 

$
4.0

 

$
3.2

Gross losses

 
(8.2)

 
(2.5)

Net impairment losses

 
(28.8)

 
(48.1)

Hedging, net

 
(13.3)

 
7.4

Fixed maturities, trading

 
0.3

 
8.9

Equity securities, trading

 
21.7

 
(22.9)

Mortgage loans

 
(0.4)

 
2.5

Derivatives

 
(6.7)

 
185.6

Other

 
14.8

 
2.5

 

 

 

 

 

Net realized capital gains (losses)

 

$
(16.6)

 

$
136.6

 

 

 

 

 

 

 

 

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

 

 

For the three months ended March 31,

 

 

2017

 

2016

 

 

(in millions)

Fixed maturities, available-for-sale

 

$
(27.3)

 

$
(55.6)

Equity securities, available-for-sale

 

—

 

—

 

 

 

 

 

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

 
(27.3)

 
(55.6)

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

 
(1.5)

 
7.5

 

 

 

 

 

Net impairment losses on available-for-sale securities

 

$
(28.8)

 

$
(48.1)

 

 

 

 

 

 

 

 

(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 March 31,

 

 

2017

 

2016

 

 

(in millions)

Beginning balance

 

$
(139.9)

 

$
(131.5)

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

 
(13.3)

 
(26.5)

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

 
(9.5)

 
(6.3)

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

 
7.5

 
5.1

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

 
2.9

 
(1.0)

Foreign currency translation adjustment

 
(0.1)

 
(0.2)

 

 

 

 

 

Ending balance

 

$
(152.4)

 

$
(160.4)

 

 

 

 

 

 

 

 

(1)

Amounts are recognized in net investment income.

 

Gross Unrealized Losses for Fixed Maturities and Equity Securities (Table)

 

 

March 31, 2017

 

 

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

 

$
420.6

 

$
11.1

 

$
10.7

 

$
0.1

 

$
431.3

 

$
11.2

Non-U.S. governments

 
146.7

 
1.6

 
10.2

 
1.8

 
156.9

 
3.4

States and political subdivisions

 
1,931.2

 
69.5

 
5.9

 
0.5

 
1,937.1

 
70.0

Corporate

 
5,780.4

 
150.1

 
1,016.7

 
79.4

 
6,797.1

 
229.5

Residential mortgage-backed pass- through securities

 
1,277.0

 
29.8

 
15.6

 
0.9

 
1,292.6

 
30.7

Commercial mortgage-backed securities

 
1,433.1

 
33.6

 
593.5

 
36.6

 
2,026.6

 
70.2

Collateralized debt obligations

 
239.4

 
0.5

 
161.2

 
21.0

 
400.6

 
21.5

Other debt obligations

 
2,354.2

 
26.1

 
414.6

 
17.3

 
2,768.8

 
43.4

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 

$
13,582.6

 

$
322.3

 

$
2,228.4

 

$
157.6

 

$
15,811.0

 

$
479.9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total equity securities, available-for-sale

 

$

—

 

$
0.1

 

$
37.2

 

$
8.6

 

$
37.2

 

$
8.7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 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

 

$
570.3

 

$
10.9

 

$
8.2

 

$

—

 

$
578.5

 

$
10.9

Non-U.S. governments

 
198.0

 
5.4

 
12.2

 
2.0

 
210.2

 
7.4

States and political subdivisions

 
2,229.4

 
86.6

 
4.8

 
0.5

 
2,234.2

 
87.1

Corporate

 
6,559.7

 
189.2

 
1,285.6

 
161.6

 
7,845.3

 
350.8

Residential mortgage-backed pass- through securities

 
1,265.6

 
29.8

 
16.0

 
0.8

 
1,281.6

 
30.6

Commercial mortgage-backed securities

 
1,637.2

 
41.0

 
612.5

 
46.9

 
2,249.7

 
87.9

Collateralized debt obligations

 
265.7

 
0.9

 
195.6

 
23.4

 
461.3

 
24.3

Other debt obligations

 
2,229.4

 
32.8

 
376.2

 
17.0

 
2,605.6

 
49.8

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fixed maturities, available-for-sale

 

$
14,955.3

 

$
396.6

 

$
2,511.1

 

$
252.2

 

$
17,466.4

 

$
648.8

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total equity securities, available-for-sale

 

$
18.2

 

$
0.4

 

$
35.4

 

$
10.5

 

$
53.6

 

$
10.9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

March 31, 2017

 

December 31, 2016

 

 

(in millions)

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

 

$
2,084.9

 

$
1,727.8

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

 
(144.9)

 
(146.4)

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

 
(2.4)

 
(6.0)

Adjustments for assumed changes in amortization patterns

 
(136.2)

 
(121.9)

Adjustments for assumed changes in policyholder liabilities

 
(545.2)

 
(469.2)

Net unrealized gains on derivative instruments

 
163.6

 
186.5

Net unrealized gains on equity method subsidiaries and noncontrolling interest adjustments

 
53.7

 
68.0

Provision for deferred income taxes

 
(494.1)

 
(411.8)

 

 

 

 

 

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

 

$
979.4

 

$
827.0

 

 

 

 

 

 

 

 

(1)

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

 

Mortgage Loans (Table)

 

 

March 31, 2017

 

December 31, 2016

 

 

(in millions)

Commercial mortgage loans

 

$
12,165.7

 

$
12,055.2

Residential mortgage loans

 
1,267.6

 
1,219.9

 

 

 

 

 

Total amortized cost

 
13,433.3

 
13,275.1

 

 

 

 

 

Valuation allowance

 
(45.2)

 
(44.9)

 

 

 

 

 

Total carrying value

 

$
13,388.1

 

$
13,230.2

 

 

 

 

 

 

 

 

Mortgage Loans Purchased and Sold (Table)

 

 

For the three months ended March 31,

 

 

2017

 

2016

 

 

(in millions)

Commercial mortgage loans:

 

 

 

 

Purchased

 

$
27.6

 

$
93.4

Residential mortgage loans:

 

 

 

 

Purchased

 
91.7

 
55.8

Sold

 
13.0

 
17.5

 

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

 

 

March 31, 2017

 

December 31, 2016

 

 

 

Amortized

 

Percent

 

Amortized

 

Percent

 

 

 

cost

 

of total

 

cost

 

of total

 

 

 

($ in millions)

 

Geographic distribution

 

 

 

 

 

 

 

 

 

New England

 

$
569.4

 
4.7

%

 

$
532.1

 
4.4

%

 

Middle Atlantic

 
3,463.6

 
28.5

 

 
3,317.3

 
27.5

 

 

East North Central

 
638.4

 
5.2

 

 
652.6

 
5.4

 

 

West North Central

 
183.2

 
1.5

 

 
185.6

 
1.5

 

 

South Atlantic

 
2,177.3

 
17.9

 

 
2,189.5

 
18.2

 

 

East South Central

 
323.2

 
2.7

 

 
239.3

 
2.0

 

 

West South Central

 
1,153.6

 
9.5

 

 
1,211.7

 
10.1

 

 

Mountain

 
893.8

 
7.3

 

 
932.6

 
7.7

 

 

Pacific

 
2,674.8

 
22.0

 

 
2,707.2

 
22.5

 

 

International

 
88.4

 
0.7

 

 
87.3

 
0.7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$
12,165.7

 
100.0

%

 

$
12,055.2

 
100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Property type distribution

 

 

 

 

 

 

 

 

 

 

 

Office

 

$
4,467.9

 
36.7

%

 

$
4,417.6

 
36.6

%

 

Retail

 
2,631.2

 
21.6

 

 
2,671.1

 
22.2

 

 

Industrial

 
1,796.0

 
14.8

 

 
1,802.4

 
15.0

 

 

Apartments

 
2,844.0

 
23.4

 

 
2,741.4

 
22.7

 

 

Hotel

 
236.9

 
1.9

 

 
260.7

 
2.2

 

 

Mixed use/other

 
189.7

 
1.6

 

 
162.0

 
1.3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$
12,165.7

 
100.0

%

 

$
12,055.2

 
100.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commercial Mortgage Loan Portfolio by Credit Risk (Table)

 

 

March 31, 2017

 

 

 

Brick and mortar

 

CTL

 

Total

 

 

 

(in millions)

 

A- and above

 

$
10,624.0

 

$
155.2

 

$
10,779.2

 

BBB+ thru BBB-

 
1,112.5

 
97.0

 
1,209.5

 

BB+ thru BB-

 
163.3

 

—

 
163.3

 

B+ and below

 
13.0

 
0.7

 
13.7

 

 

 

 

 

 

 

 

 

Total

 

$
11,912.8

 

$
252.9

 

$
12,165.7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2016

 

 

 

 

 

 

 

Brick and mortar

 

CTL

 

Total

 

 

 

 

 

 

 

 

 

 

 

(in millions)

 

A- and above

 

$
10,612.8

 

$
158.5

 

$
10,771.3

 

BBB+ thru BBB-

 
1,009.8

 
100.6

 
1,110.4

 

BB+ thru BB-

 
160.5

 

—

 
160.5

 

B+ and below

 
12.1

 
0.9

 
13.0

 

 

 

 

 

 

 

 

 

Total

 

$
11,795.2

 

$
260.0

 

$
12,055.2

 

 

 

 

 

 

 

 

 

 

 

 

 

Performing and Non-Performing Residential Mortgage Loans (Table)

 

 

March 31, 2017

 

 

 

Home equity

 

First liens

 

Total

 

 

 

(in millions)

 

 

 

 

 

 

 

 

 

Performing

 

$
143.6

 

$
1,104.7

 

$
1,248.3

 

Non-performing

 
8.7

 
10.6

 
19.3

 

 

 

 

 

 

 

 

 

Total

 

$
152.3

 

$
1,115.3

 

$
1,267.6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2016

 

 

 

 

 

 

 

Home equity

 

First liens

 

Total

 

 

 

 

 

 

 

 

 

 

 

(in millions)

 

 

 

 

 

 

 

 

 

Performing

 

$
156.8

 

$
1,043.1

 

$
1,199.9

 

Non-performing

 
8.8

 
11.2

 
20.0

 

 

 

 

 

 

 

 

 

Total

 

$
165.6

 

$
1,054.3

 

$
1,219.9

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-Accrual Mortgage Loans (Table)

 

 

March 31, 2017

 

December 31, 2016

 

 

 

(in millions)

 

Residential:

 

 

 

 

 

Home equity

 

$
8.7

 

$
8.8

 

First liens

 
4.1

 
5.6

 

Total

 

$
12.8

 

$
14.4

 

 

Mortgage Loans Aging (Table)

 

 

March 31, 2017

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

$

—

 

$

—

 

$

—

 

$

—

 

$
11,912.8

 

$
11,912.8

 

$

—

 

Commercial-CTL

 

—

 

—

 

—

 

—

 
252.9

 
252.9

 

—

 

Residential-home equity

 
1.8

 
0.9

 
1.5

 
4.2

 
148.1

 
152.3

 

—

 

Residential-first liens

 
39.3

 
11.1

 
9.9

 
60.3

 
1,055.0

 
1,115.3

 
6.5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$
41.1

 

$
12.0

 

$
11.4

 

$
64.5

 

$
13,368.8

 

$
13,433.3

 

$
6.5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 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

 

$

—

 

$

—

 

$

—

 

$

—

 

$
11,795.2

 

$
11,795.2

 

$

—

 

Commercial-CTL

 

—

 

—

 

—

 

—

 
260.0

 
260.0

 

—

 

Residential-home equity

 
1.9

 
1.1

 
1.4

 
4.4

 
161.2

 
165.6

 

—

 

Residential-first liens

 
40.1

 
11.3

 
10.0

 
61.4

 
992.9

 
1,054.3

 
5.6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$
42.0

 

$
12.4

 

$
11.4

 

$
65.8

 

$
13,209.3

 

$
13,275.1

 

$
5.6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage Loan Valuation Allowance (Table)

 

 

Commercial

 

Residential

 

Total

 

 

 

(in millions)

 

For the three months ended March 31, 2017

 

 

 

 

 

 

 

Beginning balance

 

$
27.4

 

$
17.5

 

$
44.9

 

Provision

 
0.6

 

—

 
0.6

 

Charge-offs

 

—

 
(1.6)

 
(1.6)

 

Recoveries

 

—

 
1.3

 
1.3

 

 

 

 

 

 

 

 

 

Ending balance

 

$
28.0

 

$
17.2

 

$
45.2

 

 

 

 

 

 

 

 

 

 

 

 

Allowance ending balance by basis of impairment method:

 

 

 

 

 

 

 

Individually evaluated for impairment

 

$

—

 

$
5.8

 

$
5.8

 

Collectively evaluated for impairment

 
28.0

 
11.4

 
39.4

 

 

 

 

 

 

 

 

 

Allowance ending balance

 

$
28.0

 

$
17.2

 

$
45.2

 

 

 

 

 

 

 

 

 

 

 

 

Loan balance by basis of impairment method:

 

 

 

 

 

 

 

Individually evaluated for impairment

 

$

—

 

$
18.0

 

$
18.0

 

Collectively evaluated for impairment

 
12,165.7

 
1,249.6

 
13,415.3

 

 

 

 

 

 

 

 

 

Loan ending balance

 

$
12,165.7

 

$
1,267.6

 

$
13,433.3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the three months ended March 31, 2016

 

 

 

 

 

 

 

Beginning balance

 

$
27.5

 

$
24.1

 

$
51.6

 

Provision

 
(0.4)

 
(1.9)

 
(2.3)

 

Charge-offs

 

—

 
(0.8)

 
(0.8)

 

Recoveries

 

—

 
0.8

 
0.8

 

 

 

 

 

 

 

 

 

Ending balance

 

$
27.1

 

$
22.2

 

$
49.3

 

 

 

 

 

 

 

 

 

 

 

 

Allowance ending balance by basis of impairment method:

 

 

 

 

 

 

 

Individually evaluated for impairment

 

$

—

 

$
7.2

 

$
7.2

 

Collectively evaluated for impairment

 
27.1

 
15.0

 
42.1

 

 

 

 

 

 

 

 

 

Allowance ending balance

 

$
27.1

 

$
22.2

 

$
49.3

 

 

 

 

 

 

 

 

 

 

 

 

Loan balance by basis of impairment method:

 

 

 

 

 

 

 

Individually evaluated for impairment

 

$

—

 

$
21.6

 

$
21.6

 

Collectively evaluated for impairment

 
11,267.7

 
1,138.7

 
12,406.4

 

 

 

 

 

 

 

 

 

Loan ending balance

 

$
11,267.7

 

$
1,160.3

 

$
12,428.0

 

 

 

 

 

 

 

 

 

 

 

 

 

Impaired Mortgage Loans (Table)

 

 

March 31, 2017

 

 

 

 

 

Unpaid

 

 

 

 

 

Recorded

 

principal

 

Related

 

 

 

investment

 

balance

 

allowance

 

 

 

(in millions)

 

With no related allowance recorded:

 

 

 

 

 

 

 

Residential-first liens

 

$
0.4

 

$
0.4

 

$

—

 

With an allowance recorded:

 

 

 

 

 

 

 

Residential-home equity

 
13.0

 
14.1

 
5.4

 

Residential-first liens

 
4.6

 
4.5

 
0.4

 

Total:

 

 

 

 

 

 

 

Residential

 

$
18.0

 

$
19.0

 

$
5.8

 

 

 

 

 

 

 

 

 

December 31, 2016

 

 

 

 

 

 

 

 

 

Unpaid

 

 

 

 

 

Recorded

 

principal

 

Related

 

 

 

investment

 

balance

 

allowance

 

 

 

 

 

 

 

 

 

 

 

(in millions)

 

With no related allowance recorded:

 

 

 

 

 

 

 

Residential-first liens

 

$
1.5

 

$
1.5

 

$

—

 

With an allowance recorded:

 

 

 

 

 

 

 

Residential-home equity

 
13.0

 
14.1

 
5.5

 

Residential-first liens

 
4.7

 
4.6

 
0.4

 

Total:

 

 

 

 

 

 

 

Residential

 

$
19.2

 

$
20.2

 

$
5.9

 

 

 

 

Average

 

 

 

 

 

recorded

 

Interest income

 

 

 

investment

 

recognized

 

 

 

(in millions)

 

For the three months ended March 31, 2017

 

 

 

 

 

With no related allowance recorded:

 

 

 

 

 

Residential-first liens

 

$
1.0

 

$

—

 

With an allowance recorded:

 

 

 

 

 

Residential-home equity

 
13.0

 
0.1

 

Residential-first liens

 
4.7

 

—

 

Total:

 

 

 

 

 

Residential

 

$
18.7

 

$
0.1

 

 

 

 

 

 

 

For the three months ended March 31, 2016

 

 

 

 

 

With no related allowance recorded:

 

 

 

 

 

Residential-first liens

 

$
3.4

 

$

—

 

With an allowance recorded:

 

 

 

 

 

Residential-home equity

 
13.4

 
0.1

 

Residential-first liens

 
5.7

 

—

 

Total:

 

 

 

 

 

Residential

 

$
22.5

 

$
0.1

 

 

Mortgage Loans Modified as a Troubled Debt Restructuring (Table)

 

 

For the three months ended March 31, 2017

 

 

 

TDRs

 

TDRs in payment default

 

 

 

Number of

 

Recorded

 

Number of

 

Recorded

 

 

 

contracts

 

investment

 

contracts

 

investment

 

 

 

 

 

(in millions)

 

 

 

(in millions)

 

Residential-home equity

 
5

 

$
0.3

 

—

 

$

—

 

Residential-first liens

 

—

 

—

 
1

 
0.1

 

 

 

 

 

 

 

 

 

 

 

Total

 
5

 

$
0.3

 
1

 

$
0.1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the three months ended March 31, 2016

 

 

 

 

 

 

 

TDRs

 

TDRs in payment default

 

 

 

 

 

 

 

 

 

Number of

 

Recorded

 

Number of

 

Recorded

 

 

 

contracts

 

investment

 

contracts

 

investment

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(in millions)

 

 

 

(in millions)

 

Residential-home equity

 
2

 

$
0.2

 

—

 

$

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 
2

 

$
0.2

 

—

 

$

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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)

 

March 31, 2017

 

 

 

 

 

 

 

 

 

Derivative assets

 

$
310.6

 

$
(147.1)

 

$
(161.5)

 

$
2.0

 

Reverse repurchase agreements

 
40.6

 

—

 
(40.6)

 

—

 

 

 

 

 

 

 

 

 

 

 

Total

 

$
351.2

 

$
(147.1)

 

$
(202.1)

 

$
2.0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2016

 

 

 

 

 

 

 

 

 

Derivative assets

 

$
887.2

 

$
(294.2)

 

$
(582.0)

 

$
11.0

 

Reverse repurchase agreements

 
41.1

 

—

 
(41.1)

 

—

 

 

 

 

 

 

 

 

 

 

 

Total

 

$
928.3

 

$
(294.2)

 

$
(623.1)

 

$
11.0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1)

The gross amount of recognized derivative and reverse repurchase agreement assets are reported with other investments and cash and cash equivalents, respectively, on the consolidated statements of financial position. The above excludes $7.5 million and $6.4 million of derivative assets as of March 31, 2017 and December 31, 2016, respectively, 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. See Note 1, Nature of Operations and Significant Accounting Policies, under the caption “Over-The-Counter Derivatives Cleared on Chicago Mercantile Exchange” for details of the CME variation margin rule change that impacted the amounts presented for 2017.

(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)

 

March 31, 2017

 

 

 

 

 

 

 

 

 

Derivative liabilities

 

$
287.3

 

$
(147.1)

 

$
(115.5)

 

$
24.7

 

Repurchase agreements

 
17.4

 

—

 

—

 
17.4

 

 

 

 

 

 

 

 

 

 

 

Total

 

$
304.7

 

$
(147.1)

 

$
(115.5)

 

$
42.1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2016

 

 

 

 

 

 

 

 

 

Derivative liabilities

 

$
567.5

 

$
(294.2)

 

$
(243.9)

 

$
29.4

 

Repurchase agreements

 
9.7

 

—

 

—

 
9.7

 

 

 

 

 

 

 

 

 

 

 

Total

 

$
577.2

 

$
(294.2)

 

$
(243.9)

 

$
39.1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1)

The gross amount of recognized derivative liabilities are reported with other liabilities on the consolidated statements of financial position. The above excludes $347.5 million and $394.3 million of derivative liabilities as of March 31, 2017 and December 31, 2016, respectively, which are primarily embedded derivatives that are not subject to master netting agreements or similar agreements. The gross amount of recognized repurchase agreement liabilities are reported with short-term debt on the consolidated statements of financial position. The gross amounts of derivative and repurchase agreement liabilities are not netted against offsetting assets for presentation on the consolidated statements of financial position. See Note 1, Nature of Operations and Significant Accounting Policies, under the caption “Over-The-Counter Derivatives Cleared on Chicago Mercantile Exchange” for details of the CME variation margin rule change that impacted the amounts presented for 2017.

(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.