Investments (Tables)

6 Months Ended

Jun. 30, 2015

Fixed Maturities and Equity Securities, Available-for-sale Securities

The following tables provide information relating to fixed maturities and equity securities (excluding investments classified as trading) as of the dates indicated:



	June 30, 2015
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		Other-than- temporary Impairments in AOCI (3)
	(in thousands)
Fixed maturities, available-for-sale
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	6,313	$	58	$	0	$	6,371	$	0
Obligations of U.S. states and their political subdivisions	20,496		530		579		20,447		0
Foreign government bonds	36,959		6,497		5		43,451		0
Public utilities	199,629		18,967		2,742		215,854		0
All other corporate securities	1,616,585		113,739		11,214		1,719,110		0
Asset-backed securities (1)	146,558		4,667		194		151,031		(37		)
Commercial mortgage-backed securities	253,314		6,775		191		259,898		0
Residential mortgage-backed securities (2)	111,464		5,673		0		117,137		(8		)
Total fixed maturities, available-for-sale	$	2,391,318	$	156,906	$	14,925	$	2,533,299	$	(45	)
Equity securities, available-for-sale
Common Stocks:
Public utilities	$	0	$	0	$	0	$	0
Mutual funds	14		3		0		17
Total equity securities, available-for-sale	$	14	$	3	$	0	$	17


(1)	Includes credit-tranched securities collateralized by sub-prime mortgages, auto loans, credit cards, education loans, and other asset types.


(2)	Includes publicly-traded agency pass-through securities and collateralized mortgage obligations.


(3)	Represents the amount of other-than-temporary impairment losses in Accumulated Other Comprehensive Income ("AOCI"), which were not included in earnings. Amount excludes $0.1 million of net unrealized gains on impaired available-for-sale securities relating to changes in the value of such securities subsequent to the impairment measurement date.



	December 31, 2014
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		Other-than- temporary Impairments in AOCI (3)
	(in thousands)
Fixed maturities, available-for-sale
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	6,324	$	22	$	10	$	6,336	$	0
Obligations of U.S. states and their political subdivisions	69,486		1,323		20		70,789		0
Foreign government bonds	29,738		7,621		4		37,355		0
Public utilities	198,277		19,909		1,593		216,593		0
All other corporate securities	1,743,110		146,872		4,891		1,885,091		0
Asset-backed securities (1)	144,324		5,078		391		149,011		(39		)
Commercial mortgage-backed securities	291,868		10,523		206		302,185		(10		)
Residential mortgage-backed securities (2)	126,126		7,113		6		133,233		(36		)
Total fixed maturities, available-for-sale	$	2,609,253	$	198,461	$	7,121	$	2,800,593	$	(85	)
Equity securities, available-for-sale
Common Stocks:
Public utilities	$	0	$	0	$	0	$	0
Mutual funds	14		3		0		17
Total equity securities, available-for-sale	$	14	$	3	$	0	$	17


(1)	Includes credit-tranched securities collateralized by sub-prime mortgages, auto loans, credit cards, education loans, and other asset types.


(2)	Includes publicly-traded agency pass-through securities and collateralized mortgage obligations.


(3)	Represents the amount of other-than-temporary impairment losses in AOCI, which were not included in earnings. Amount excludes $0.1 million of net unrealized gains on impaired available-for-sale securities relating to changes in the value of such securities subsequent to the impairment measurement date.

Investments Classified by Contractual Maturity Date

The amortized cost and fair value of fixed maturities by contractual maturities at June 30, 2015, are as follows:



	Available-for-Sale
	Amortized Cost		Fair Value
	(in thousands)
Due in one year or less	$	247,417	$	249,765
Due after one year through five years	770,481		817,715
Due after five years through ten years	470,280		506,630
Due after ten years	391,804		431,123
Asset-backed securities	146,558		151,031
Commercial mortgage-backed securities	253,314		259,898
Residential mortgage-backed securities	111,464		117,137
Total	$	2,391,318	$	2,533,299

Sources of Fixed Maturity Proceeds, Related Investment Gains (Losses), and Losses on Impairments of Fixed Maturities and Equity Securities

The following table depicts the sources of fixed maturity proceeds and related investment gains (losses), as well as losses on impairments of both fixed maturities and equity securities:



	Three Months Ended June 30,						Six Months Ended June 30,
	2015			2014			2015			2014
	(in thousands)
Fixed maturities, available-for-sale
Proceeds from sales	$	12,061		$	120,393		$	16,797		$	172,423
Proceeds from maturities/repayments	117,860			186,089			275,006			493,702
Gross investment gains from sales, prepayments, and maturities	3,054			2,992			4,956			4,124
Gross investment losses from sales and maturities	(1		)	(2,921		)	(32		)	(3,247		)
Equity securities, available-for-sale
Proceeds from sales	$	0		$	0		$	0		$	0
Gross investment gains from sales	0			0			0			1
Gross investment losses from sales	0			0			0			0
Fixed maturity and equity security impairments
Net writedowns for other-than-temporary impairment losses on fixed maturities recognized in earnings (1)	$	(11	)	$	0		$	(20	)	$	0
Writedowns for impairments on equity securities	0			0			0			0


(1)	Excludes the portion of other-than-temporary impairments recorded in “Other comprehensive income (loss),” representing any difference between the fair value of the impaired debt security and the net present value of its projected future cash flows at the time of the impairment.

Credit Losses Recognized in Earnings on Fixed Maturity Securities Held by the Company for which a Portion of the OTTI Loss was Recognized in OCI

The following tables set forth the amount of pre-tax credit loss impairments on fixed maturity securities held by the Company as of the dates indicated, for which a portion of the OTTI loss was recognized in OCI, and the corresponding changes in such amounts.



	Three Months Ended June 30, 2015			Six Months Ended June 30, 2015
	(in thousands)
Balance, beginning of period	$	94		$	93
Credit loss impairments previously recognized on securities which matured, paid down, prepaid or were sold during the period	(3		)	(8		)
Additional credit loss impairments recognized in the current period on securities previously impaired	11			20
Increases due to the passage of time on previously recorded credit losses	0			0
Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected	(4		)	(7		)
Balance, end of period	$	98		$	98



	Three Months Ended June 30, 2014			Six Months Ended June 30, 2014
	(in thousands)
Balance, beginning of period	$	119		$	1,800
Credit loss impairments previously recognized on securities which matured, paid down, prepaid or were sold during the period	(4		)	(1,677		)
Increases due to the passage of time on previously recorded credit losses	0			0
Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected	(12		)	(20		)
Balance, end of period	$	103		$	103

Trading Account Assets Disclosure

The following table sets forth the composition of “Trading account assets” as of the dates indicated:



	June 30, 2015				December 31, 2014
	Cost		Fair Value		Cost		Fair Value
	(in thousands)
Total trading account assets—Equity securities	$	5,358	$	5,943	$	5,471	$	6,131

Commercial Mortgage and Other Loans

The Company’s commercial mortgage and other loans are comprised as follows, as of the dates indicated:



	June 30, 2015					December 31, 2014
	Amount (in thousands)			% of Total		Amount (in thousands)			% of Total
Commercial mortgage and agricultural property loans by property type:
Apartments/Multi-Family	$	138,799		34.3	%	$	143,057		34.0	%
Industrial	86,192			21.3		87,088			20.7
Retail	65,921			16.3		72,226			17.2
Office	42,993			10.6		44,621			10.6
Other	13,757			3.5		14,119			3.4
Hospitality	5,023			1.2		5,081			1.2
Total commercial mortgage loans	352,685			87.2		366,192			87.1
Agricultural property loans	51,888			12.8		54,113			12.9
Total commercial mortgage and agricultural property loans by property type	404,573			100.0	%	420,305			100.0	%
Valuation allowance	(395		)			(482		)
Total net commercial mortgage and agricultural property loans by property type	404,178					419,823
Other Loans
Uncollateralized loans	2,740					2,740
Valuation allowance	0					0
Total net other loans	2,740					2,740
Total commercial mortgage and other loans	$	406,918				$	422,563

Allowance for Losses

Activity in the allowance for credit losses for all commercial mortgage and other loans, as of the dates indicated, is as follows:



	June 30, 2015			December 31, 2014
	(in thousands)
Allowance for credit losses, beginning of year	$	482		$	1,256
Addition to / (release of) allowance for losses	(87		)	(774		)
Total ending balance (1)	$	395		$	482


(1)	Agricultural loans represent less than $0.1 million of the ending allowance as of both June 30, 2015 and December 31, 2014.

Allowance for Credit Losses and Recorded Investment in Commercial Mortgage and Other Loans

The following tables set forth the allowance for credit losses and the recorded investment in commercial mortgage and other loans as of the dates indicated:



	June 30, 2015		December 31, 2014
	(in thousands)
Allowance for Credit Losses:
Individually evaluated for impairment (1)	$	0	$	0
Collectively evaluated for impairment (2)	395		482
Total ending balance	$	395	$	482



	June 30, 2015		December 31, 2014
	(in thousands)
Recorded Investment (3):
Gross of reserves: individually evaluated for impairment (1)	$	0	$	0
Gross of reserves: collectively evaluated for impairment (2)	407,313		423,045
Total ending balance, gross of reserves	$	407,313	$	423,045


(1)	There were no loans individually evaluated for impairments as of both June 30, 2015 and December 31, 2014.

(2)

Agricultural loans collectively evaluated for impairment had a recorded investment of $52 million and $54 million as of June 30, 2015 and December 31, 2014, respectively, and a related allowance of less than $0.1 million for both periods. Uncollateralized loans collectively evaluated for impairment had a recorded investment of $3 million as of both June 30, 2015 and December 31, 2014 and no related allowance for both periods.


(3)	Recorded investment reflects the balance sheet carrying value gross of related allowance.

Credit Quality Indicators

The following tables set forth certain key credit quality indicators based upon the recorded investment gross of allowance for credit losses as of the dates indicated:

Total commercial mortgage and agricultural property loans



	Debt Service Coverage Ratio - June 30, 2015
	Greater than 1.2X		1.0X to <1.2X		Less than 1.0X		Total
	(in thousands)
Loan-to-Value Ratio
0%-59.99%	$	261,502	$	4,175	$	1,159	$	266,836
60%-69.99%	113,670		1,663		0		115,333
70%-79.99%	22,404		0		0		22,404
Greater than 80%	0		0		0		0
Total commercial mortgage and agricultural property loans	$	397,576	$	5,838	$	1,159	$	404,573



	Debt Service Coverage Ratio - December 31, 2014
	Greater than 1.2X		1.0X to <1.2X		Less than 1.0X		Total
	(in thousands)
Loan-to-Value Ratio
0%-59.99%	$	262,853	$	4,295	$	10,489	$	277,637
60%-69.99%	115,708		468		0		116,176
70%-79.99%	25,034		1,458		0		26,492
Greater than 80%	0		0		0		0
Total commercial mortgage and agricultural property loans	$	403,595	$	6,221	$	10,489	$	420,305

Net Investment Income

Net investment income for the three and six months ended June 30, 2015 and 2014, was from the following sources:



	Three Months Ended June 30,						Six Months Ended June 30,
	2015			2014			2015			2014
	(in thousands)
Fixed maturities, available-for-sale	$	28,861		$	35,805		$	59,643		$	74,181
Trading account assets	29			21			31			30
Commercial mortgage and other loans	5,008			5,236			10,244			11,402
Policy loans	258			223			388			350
Short-term investments	57			72			101			130
Other long-term investments	1,235			1,577			4,030			2,791
Gross investment income	35,448			42,934			74,437			88,884
Less: investment expenses	(1,392		)	(1,476		)	(2,792		)	(2,925		)
Net investment income	$	34,056		$	41,458		$	71,645		$	85,959

Realized Gain (Loss) on Investments

Realized investment gains (losses), net, for the three and six months ended June 30, 2015 and 2014, were from the following sources:



	Three Months Ended June 30,						Six Months Ended June 30,
	2015			2014			2015			2014
	(in thousands)
Fixed maturities	$	3,042		$	71		$	4,904		$	877
Equity securities	0			0			0			1
Commercial mortgage and other loans	12			0			87			0
Derivatives	(12,210		)	(4,266		)	(672		)	(5,244		)
Realized investment gains (losses), net	$	(9,156	)	$	(4,195	)	$	4,319		$	(4,366	)

Accumulated Other Comprehensive Income Loss Table

The balance of and changes in each component of “Accumulated other comprehensive income (loss)” for the six months ended June 30, 2015 and 2014 are as follows:



	Accumulated Other Comprehensive Income (Loss)
	Foreign Currency Translation Adjustment			Net Unrealized Investment Gains (Losses) (1)			Total Accumulated Other Comprehensive Income (Loss)
	(in thousands)
Balance, December 31, 2014	$	(30	)	$	84,652		$	84,622
Change in other comprehensive income before reclassifications	(40		)	(23,240		)	(23,280		)
Amounts reclassified from AOCI	0			(4,904		)	(4,904		)
Income tax benefit (expense)	14			9,809			9,823
Balance, June 30, 2015	$	(56	)	$	66,317		$	66,261



	Accumulated Other Comprehensive Income (Loss)
	Foreign Currency Translation Adjustment			Net Unrealized Investment Gains (Losses) (1)			Total Accumulated Other Comprehensive Income (Loss)
	(in thousands)
Balance, December 31, 2013	$	10		$	70,857		$	70,867
Change in other comprehensive income before reclassifications	(4		)	36,495			36,491
Amounts reclassified from AOCI	0			(877		)	(877		)
Income tax benefit (expense)	2			(12,467		)	(12,465		)
Balance, June 30, 2014	$	8		$	94,008		$	94,016


(1)	Includes cash flow hedges of $10.0 million and $5.0 million as of June 30, 2015 and December 31, 2014, respectively, and $(4.0) million and $(4.0) million as of June 30, 2014 and December 31, 2013, respectively.

Reclassifications Out Of Accumulated Other Comprehensive Income



	Three Months Ended June 30, 2015		Six Months Ended June 30, 2015
	(in thousands)
Amounts reclassified from AOCI (1)(2):
Net unrealized investment gains (losses):
Cash flow hedges—Currency/Interest rate (3)	$	702	$	934
Net unrealized investment gains (losses) on available-for-sale securities	2,340		3,970
Total net unrealized investment gains (losses) (4)	3,042		4,904
Total reclassifications for the period	$	3,042	$	4,904


(1)	All amounts are shown before tax.


(2)	Positive amounts indicate gains/benefits reclassified out of AOCI. Negative amounts indicate losses/costs reclassified out of AOCI.


(3)	See Note 5 for additional information on cash flow hedges.


(4)	See table below for additional information on unrealized investment gains (losses), including the impact on deferred policy acquisition and other costs and future policy benefits.

Net Unrealized Investment Gain (Loss) AOCI Rollforward



	Net Unrealized Gains (Losses) on Investments			Deferred Policy Acquisition Costs and Other Costs			Future Policy Benefits			Deferred Income Tax (Liability) Benefit			Accumulated Other Comprehensive Income (Loss) Related to Net Unrealized Investment Gains (Losses)
	(in thousands)
Balance, December 31, 2014	$	1		$	0		$	0		$	16		$	17
Net investment gains (losses) on investments arising during the period	(6		)	0			0			3			(3		)
Reclassification adjustment for (gains) losses included in net income	22			0			0			(8		)	14
Impact of net unrealized investment (gains) losses on deferred policy acquisition costs and other costs	0			(5		)	0			2			(3		)
Impact of net unrealized investment (gains) losses on future policy benefits	0			0			(1		)	0			(1		)
Balance, June 30, 2015	$	17		$	(5	)	$	(1	)	$	13		$	24

All Other Net Unrealized Investment Gain (Loss) AOCI Rollforward



	Net Unrealized Gains (Losses) on Investments (1)			Deferred Policy Acquisition Costs and Other Costs			Future Policy Benefits			Deferred Income Tax (Liability) Benefit			Accumulated Other Comprehensive Income (Loss) Related To Net Unrealized Investment Gains (Losses)
	(in thousands)
Balance, December 31, 2014	$	198,922		$	(59,045	)	$	(8,372	)	$	(46,870	)	$	84,635
Net investment gains (losses) on investments arising during the period	(39,511		)	0			0			13,786			(25,725		)
Reclassification adjustment for (gains) losses included in net income	(4,926		)	0			0			1,724			(3,202		)
Impact of net unrealized investment (gains) losses on deferred policy acquisition costs and other costs	0			14,683			0			(5,139		)	9,544
Impact of net unrealized investment (gains) losses on future policy benefits	0			0			1,602			(561		)	1,041
Balance, June 30, 2015	$	154,485		$	(44,362	)	$	(6,770	)	$	(37,060	)	$	66,293


(1)	Includes cash flow hedges. See Note 5 for information on cash flow hedges.

Unrealized Gains and (Losses) on Investments

The table below presents net unrealized gains (losses) on investments by asset class as of the dates indicated:



	June 30, 2015		December 31, 2014
	(in thousands)
Fixed maturity securities on which an OTTI loss has been recognized	$	17	$	1
Fixed maturity securities, available-for-sale—all other	141,964		191,339
Equity securities, available-for-sale	3		3
Affiliated notes	2,026		2,351
Derivatives designated as cash flow hedges (1)	10,075		4,839
Other investments	417		390
Net unrealized gains (losses) on investments	$	154,502	$	198,923


(1)	See Note 5 for more information on cash flow hedges.

Duration Of Gross Unrealized Losses On Fixed Maturity Securities Disclosures

The following table shows the fair value and gross unrealized losses aggregated by investment category and length of time that individual fixed maturity securities and equity securities have been in a continuous unrealized loss position, as of the dates indicated:



	June 30, 2015
	Less than twelve months				Twelve months or more				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
	(in thousands)
Fixed maturities, available-for-sale
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	0	$	0	$	0	$	0	$	0	$	0
Obligations of U.S. states and their political subdivisions	6,716		579		0		0		6,716		579
Foreign government bonds	3,742		5		0		0		3,742		5
Public utilities	32,824		1,827		6,202		915		39,026		2,742
All other corporate securities	339,705		10,134		14,661		1,080		354,366		11,214
Asset-backed securities	8,054		33		23,552		161		31,606		194
Commercial mortgage-backed securities	20,295		191		14		0		20,309		191
Residential mortgage-backed securities	0		0		0		0		0		0
Total	$	411,336	$	12,769	$	44,429	$	2,156	$	455,765	$	14,925
Equity securities, available-for-sale	$	0	$	0	$	0	$	0	$	0	$	0



	December 31, 2014
	Less than twelve months				Twelve months or more				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
	(in thousands)
Fixed maturities, available-for-sale
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	2,676	$	10	$	0	$	0	$	2,676	$	10
Obligations of U.S. states and their political subdivisions	0		0		7,305		20		7,305		20
Foreign government bonds	4,632		4		0		0		4,632		4
Public utilities	18,222		1,321		2,174		272		20,396		1,593
All other corporate securities	260,414		4,462		9,403		429		269,817		4,891
Asset-backed securities	31,756		58		32,732		333		64,488		391
Commercial mortgage-backed securities	4,309		108		7,377		98		11,686		206
Residential mortgage-backed securities	342		6		0		0		342		6
Total	$	322,351	$	5,969	$	58,991	$	1,152	$	381,342	$	7,121
Equity securities, available-for-sale	$	0	$	0	$	0	$	0	$	0	$	0