Investments (Tables)

6 Months Ended

Jun. 30, 2017

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

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



	June 30, 2017
	Amortized Cost or Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		OTTI in AOCI(3)
	(in thousands)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	5,087,545	$	6,516	$	335,998	$	4,758,063	$	0
Obligations of U.S. states and their political subdivisions	101,184		1,207		1,318		101,073		0
Foreign government bonds	110,160		7,059		142		117,077		0
Public utilities	531,414		22,656		2,514		551,556		0
Redeemable preferred stock	29,543		801		26		30,318		0
All other U.S. public corporate securities	1,501,587		84,445		3,871		1,582,161		0
All other U.S. private corporate securities	992,696		34,370		3,022		1,024,044		0
All other foreign public corporate securities	167,126		6,047		451		172,722		0
All other foreign private corporate securities	570,959		18,583		6,046		583,496		0
Asset-backed securities(1)	322,294		3,076		123		325,247		(19		)
Commercial mortgage-backed securities	483,673		7,964		4,304		487,333		0
Residential mortgage-backed securities(2)	179,447		3,819		440		182,826		(5		)
Total fixed maturities, available-for-sale	$	10,077,628	$	196,543	$	358,255	$	9,915,916	$	(24	)
Equity securities, available-for-sale:
Common stocks:
Industrial, miscellaneous & other	$	0	$	0	$	0	$	0
Mutual funds	14		4		0		18
Total equity securities, available-for-sale	$	14	$	4	$	0	$	18


(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 OTTI losses in "Accumulated other comprehensive income (loss)" ("AOCI"), which were not included in earnings. Amount excludes $0.6 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, 2016
	Amortized Cost or Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		OTTI in AOCI(3)
	(in thousands)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	4,998,652	$	2,487	$	536,114	$	4,465,025	$	0
Obligations of U.S. states and their political subdivisions	92,107		566		2,699		89,974		0
Foreign government bonds	64,352		5,404		370		69,386		0
Public utilities	448,349		13,155		10,348		451,156		0
Redeemable preferred stock	29,581		288		633		29,236		0
All other U.S. public corporate securities	1,619,814		73,819		10,153		1,683,480		(771		)
All other U.S. private corporate securities	951,324		27,234		13,810		964,748		(694		)
All other foreign public corporate securities	183,253		5,410		1,022		187,641		0
All other foreign private corporate securities	501,140		5,349		20,450		486,039		0
Asset-backed securities(1)	248,547		3,227		465		251,309		0
Commercial mortgage-backed securities	484,673		6,793		6,753		484,713		0
Residential mortgage-backed securities(2)	196,506		4,063		513		200,056		(5		)
Total fixed maturities, available-for-sale	$	9,818,298	$	147,795	$	603,330	$	9,362,763	$	(1,470	)
Equity securities, available-for-sale:
Common stocks:
Industrial, miscellaneous & other	$	351	$	0	$	351	$	0
Mutual funds	14		4		0		18
Total equity securities, available-for-sale	$	365	$	4	$	351	$	18


(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 OTTI losses in AOCI, which were not included in earnings. Amount excludes $0.2 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.

Duration Of Gross Unrealized Losses On Fixed Maturity Securities Disclosures

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



	June 30, 2017
	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	$	4,460,561	$	335,998	$	0	$	0	$	4,460,561	$	335,998
Obligations of U.S. states and their political subdivisions	72,172		1,318		0		0		72,172		1,318
Foreign government bonds	9,541		142		0		0		9,541		142
Public utilities	84,875		1,227		13,863		1,287		98,738		2,514
Redeemable preferred stock	2,916		26		0		0		2,916		26
All other U.S. public corporate securities	309,507		2,906		12,917		965		322,424		3,871
All other U.S. private corporate securities	156,813		2,500		11,359		522		168,172		3,022
All other foreign public corporate securities	41,294		451		0		0		41,294		451
All other foreign private corporate securities	69,025		1,141		84,907		4,905		153,932		6,046
Asset-backed securities	73,340		120		176		3		73,516		123
Commercial mortgage-backed securities	223,797		4,304		0		0		223,797		4,304
Residential mortgage-backed securities	56,774		440		0		0		56,774		440
Total fixed maturities, available-for-sale	$	5,560,615	$	350,573	$	123,222	$	7,682	$	5,683,837	$	358,255
Equity securities, available-for-sale	$	0	$	0	$	0	$	0	$	0	$	0



	December 31, 2016
	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	$	4,254,477	$	536,114	$	0	$	0	$	4,254,477	$	536,114
Obligations of U.S. states and their political subdivisions	73,885		2,699		0		0		73,885		2,699
Foreign government bonds	32,107		370		0		0		32,107		370
Public utilities	240,041		8,019		17,097		2,329		257,138		10,348
Redeemable preferred stock	12,948		633		0		0		12,948		633
All other U.S. public corporate securities	530,904		8,798		12,981		1,355		543,885		10,153
All other U.S. private corporate securities	453,976		13,632		12,304		178		466,280		13,810
All other foreign public corporate securities	89,962		1,016		9,994		6		99,956		1,022
All other foreign private corporate securities	247,111		11,661		58,214		8,789		305,325		20,450
Asset-backed securities	67,246		439		16,489		26		83,735		465
Commercial mortgage-backed securities	293,651		6,753		0		0		293,651		6,753
Residential mortgage-backed securities	68,283		513		0		0		68,283		513
Total fixed maturities, available-for-sale	$	6,364,591	$	590,647	$	127,079	$	12,683	$	6,491,670	$	603,330
Equity securities, available-for-sale	$	0	$	351	$	0	$	0	$	0	$	351

Investments Classified by Contractual Maturity Date

The following table sets forth the amortized cost and fair value of fixed maturities by contractual maturities, as of the date indicated:



	June 30, 2017
	Amortized Cost		Fair Value
	(in thousands)
Fixed maturities, available-for-sale:
Due in one year or less	$	531,084	$	536,561
Due after one year through five years	1,250,571		1,279,220
Due after five years through ten years	1,382,016		1,444,380
Due after ten years	5,928,543		5,660,349
Asset-backed securities	322,294		325,247
Commercial mortgage-backed securities	483,673		487,333
Residential mortgage-backed securities	179,447		182,826
Total fixed maturities, available-for-sale	$	10,077,628	$	9,915,916

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

The following table sets forth the sources of fixed maturity and equity security proceeds and related investment gains (losses), as well as losses on impairments of both fixed maturities and equity securities, for the periods indicated:



	Three Months Ended June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
	(in thousands)
Fixed maturities, available-for-sale:
Proceeds from sales(1)	$	100,642		$	3,169,434		$	267,476		$	3,199,908
Proceeds from maturities/prepayments	202,107			149,237			323,972			194,838
Gross investment gains from sales and maturities	3,685			87,833			3,760			87,919
Gross investment losses from sales and maturities	(242		)	(752		)	(675		)	(1,047		)
OTTI recognized in earnings(2)	(2,173		)	0			(4,828		)	(1,937		)
Equity securities, available-for-sale:
Proceeds from sales	$	0		$	0		$	0		$	0
Gross investment gains from sales	0			0			0			0
Gross investment losses from sales	0			0			0			0
OTTI recognized in earnings	0			0			0			0


(1)	Includes $9.7 million and $0.1 million of non-cash related proceeds for the six months ended June 30, 2017 and 2016, respectively.


(2)	Excludes the portion of OTTI recorded in “Other comprehensive income (loss)” ("OCI"), 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.

Other than Temporary Impairment, Credit Losses Recognized in Earnings

The following table sets forth the amount of pre-tax credit loss impairments on fixed maturity securities held by the Company for which a portion of the OTTI loss was recognized in OCI and the corresponding changes in such amounts, for the periods indicated:



	Three Months Ended June 30, 2017			Six Months Ended June 30, 2017			Three Months Ended June 30, 2016			Six Months Ended June 30, 2016
	(in thousands)
Credit loss impairments:
Balance, beginning of period	$	806		$	1,325		$	1,271		$	86
New credit loss impairments	366			366			0			0
Increases due to the passage of time on previously recorded credit losses	5			8			6			6
Reductions for securities which matured, paid down, prepaid or were sold during the period	(15		)	(15		)	(1,841		)	(1,844		)
Reductions for securities impaired to fair value during the period(1)	(961		)	(1,481		)	0			1,189
Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected	(1		)	(3		)	0			(1		)
Assets transferred to parent and affiliates	0			0			607			607
Balance, end of period	$	200		$	200		$	43		$	43


(1)	Represents circumstances where the Company determined in the current period that it intends to sell the security or it is more likely than not that it will be required to sell the security before recovery of the security's amortized cost.

Trading Account Assets Disclosure

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



	June 30, 2017				December 31, 2016
	Amortized Cost or Cost		Fair Value		Amortized Cost or Cost		Fair Value
	(in thousands)
Fixed maturities	$	147,102	$	147,075	$	147,057	$	139,513
Equity securities	7,418		11,127		7,551		10,358
Total trading account assets	$	154,520	$	158,202	$	154,608	$	149,871

Commercial Mortgage and Other Loans

The following table sets forth the composition of "Commercial mortgage and other loans," as of the dates indicated:



	June 30, 2017					December 31, 2016
	Amount (in thousands)			% of Total		Amount (in thousands)			% of Total
Commercial mortgage and agricultural property loans by property type:
Apartments/Multi-Family	$	315,806		23.1	%	$	277,296		22.5	%
Industrial	287,866			21.1		263,705			21.4
Hospitality	3,854			0.3		3,925			0.3
Office	288,093			21.1		294,304			23.8
Other	115,652			8.5		87,465			7.1
Retail	267,987			19.6		223,252			18.1
Total commercial mortgage loans	1,279,258			93.7		1,149,947			93.2
Agricultural property loans	85,685			6.3		84,235			6.8
Total commercial mortgage and agricultural property loans by property type	1,364,943			100.0	%	1,234,182			100.0	%
Valuation allowance	(2,461		)			(2,289		)
Total commercial mortgage and other loans	$	1,362,482				$	1,231,893

Allowance for Losses

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



	June 30, 2017
	Commercial Mortgage Loans		Agricultural Property Loans		Total
	(in thousands)
Allowance for credit losses:
Balance, beginning of year	$	2,267	$	22	$	2,289
Addition to (release of) allowance for losses	140		32		172
Charge-offs, net of recoveries	0		0		0
Total ending balance	$	2,407	$	54	$	2,461



	December 31, 2016
	Commercial Mortgage Loans		Agricultural Property Loans		Total
	(in thousands)
Allowance for credit losses:
Balance, beginning of year	$	622	$	21	$	643
Addition to (release of) allowance for losses	1,645		1		1,646
Charge-offs, net of recoveries	0		0		0
Total ending balance	$	2,267	$	22	$	2,289

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, 2017
	Commercial Mortgage Loans		Agricultural Property Loans		Total
	(in thousands)
Allowance for credit losses:
Individually evaluated for impairment	$	0	$	0	$	0
Collectively evaluated for impairment	2,407		54		2,461
Total ending balance(1)	$	2,407	$	54	$	2,461
Recorded investment(2):
Individually evaluated for impairment	$	1,644	$	0	$	1,644
Collectively evaluated for impairment	1,277,614		85,685		1,363,299
Total ending balance(1)	$	1,279,258	$	85,685	$	1,364,943


(1)	As of June 30, 2017, there were no loans acquired with deteriorated credit quality.


(2)	Recorded investment reflects the carrying value gross of related allowance.



	December 31, 2016
	Commercial Mortgage Loans		Agricultural Property Loans		Total
	(in thousands)
Allowance for credit losses:
Individually evaluated for impairment	$	0	$	0	$	0
Collectively evaluated for impairment	2,267		22		2,289
Total ending balance(1)	$	2,267	$	22	$	2,289
Recorded investment(2):
Individually evaluated for impairment	$	1,715	$	0	$	1,715
Collectively evaluated for impairment	1,148,232		84,235		1,232,467
Total ending balance(1)	$	1,149,947	$	84,235	$	1,234,182


(1)	As of December 31, 2016, there were no loans acquired with deteriorated credit quality.


(2)	Recorded investment reflects the carrying value gross of related allowance.

Credit Quality Indicators

The following tables set forth certain key credit quality indicators for commercial mortgage and agricultural property loans based upon the recorded investment gross of allowance for credit losses, as of the dates indicated:



	June 30, 2017
	Debt Service Coverage Ratio
	≥ 1.2X		1.0X to <1.2X		< 1.0X		Total
	(in thousands)
Loan-to-Value Ratio:
0%-59.99%	$	732,546	$	14,719	$	2,289	$	749,554
60%-69.99%	498,169		0		0		498,169
70%-79.99%	100,915		15,249		0		116,164
80% or greater	0		0		1,056		1,056
Total loans	$	1,331,630	$	29,968	$	3,345	$	1,364,943



	December 31, 2016
	Debt Service Coverage Ratio
	≥ 1.2X		1.0X to <1.2X		< 1.0X		Total
	(in thousands)
Loan-to-Value Ratio:
0%-59.99%	$	667,051	$	16,921	$	4,610	$	688,582
60%-69.99%	406,728		0		3,817		410,545
70%-79.99%	108,770		15,493		0		124,263
80% or greater	9,725		0		1,067		10,792
Total loans	$	1,192,274	$	32,414	$	9,494	$	1,234,182

Past Due Financing Receivables

The following tables set forth an aging of past due commercial mortgage and other loans based upon the recorded investment gross of allowance for credit losses, as well as the amount of commercial mortgage and other loans on non-accrual status, as of the dates indicated:



	June 30, 2017
	Current		30-59 Days Past Due		60-89 Days Past Due		90 Days or More Past Due(1)		Total Loans		Non-Accrual Status(2)
	(in thousands)
Commercial mortgage loans	$	1,279,258	$	0	$	0	$	0	$	1,279,258	$	0
Agricultural property loans	85,685		0		0		0		85,685		0
Total	$	1,364,943	$	0	$	0	$	0	$	1,364,943	$	0


(1)	As of June 30, 2017, there were no loans in this category accruing interest.


(2)	For additional information regarding the Company's policies for accruing interest on loans, see Note 2 to the Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2016.



	December 31, 2016
	Current		30-59 Days Past Due		60-89 Days Past Due		90 Days or More Past Due(1)		Total Loans		Non-Accrual Status(2)
	(in thousands)
Commercial mortgage loans	$	1,149,947	$	0	$	0	$	0	$	1,149,947	$	0
Agricultural property loans	84,235		0		0		0		84,235		0
Total	$	1,234,182	$	0	$	0	$	0	$	1,234,182	$	0


(1)	As of December 31, 2016, there were no loans in this category accruing interest.


(2)	For additional information regarding the Company's policies for accruing interest on loans, see Note 2 to the Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2016.

Other Long-Term Investments

The following table sets forth the composition of “Other long-term investments,” as of the dates indicated:



	June 30, 2017		December 31, 2016
	(in thousands)
Joint ventures and limited partnerships:
Private equity	$	29,817	$	30,513
Hedge funds	103,094		98,554
Real estate-related	46,083		109,043
Total joint ventures and limited partnerships	178,994		238,110
Derivatives	11		313,821
Total other long-term investments	$	179,005	$	551,931

Net Investment Income

The following table sets forth "Net investment income" by investment type, for the periods indicated:



	Three Months Ended June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
	(in thousands)
Fixed maturities, available-for-sale	$	82,013		$	64,314		$	163,655		$	93,384
Trading account assets	1,148			1,063			2,253			1,065
Commercial mortgage and other loans	12,128			11,480			23,536			16,376
Policy loans	740			222			696			332
Short-term investments and cash equivalents	7,753			7,493			12,918			7,697
Other long-term investments	4,176			2,873			10,947			2,987
Gross investment income	107,958			87,445			214,005			121,841
Less: investment expenses	(3,850		)	(2,625		)	(7,648		)	(4,011		)
Net investment income	$	104,108		$	84,820		$	206,357		$	117,830

Realized Gain (Loss) on Investments

The following table sets forth "Realized investment gains (losses), net," by investment type, for the periods indicated:



	Three Months Ended June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
	(in thousands)
Fixed maturities	$	1,270		$	87,081		$	(1,743	)	$	84,935
Commercial mortgage and other loans	(241		)	(1,395		)	(230		)	(1,401		)
Joint ventures and limited partnerships	(11		)	0			(34		)	0
Derivatives(1)	(1,508,100		)	(2,533,802		)	(1,495,619		)	(2,545,412		)
Short-term investments and cash equivalents	8			422			37			(58		)
Realized investment gains (losses), net	$	(1,507,074	)	$	(2,447,694	)	$	(1,497,589	)	$	(2,461,936	)


(1)	Includes the hedged items offset in qualifying fair value hedge accounting relationships.

Unrealized Gains and (Losses) on Investments

The following table sets forth net unrealized gains (losses) on investments, as of the dates indicated:



	June 30, 2017			December 31, 2016
	(in thousands)
Fixed maturity securities, available-for-sale — with OTTI	$	591		$	(1,261	)
Fixed maturity securities, available-for-sale — all other	(162,303		)	(454,274		)
Equity securities, available-for-sale	4			(347		)
Affiliated notes	1,040			1,181
Derivatives designated as cash flow hedges(1)	(3,378		)	11,745
Other investments	(421		)	(619		)
Net unrealized gains (losses) on investments	$	(164,467	)	$	(443,575	)


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

Schedule of Securities Financing Transactions

The following table sets forth the composition of "Cash collateral for loaned securities," which represents the securities loaned to external parties recorded at the value of the cash collateral received, as of the dates indicated:



	June 30, 2017						December 31, 2016
	Remaining Contractual Maturities of the Agreements						Remaining Contractual Maturities of the Agreements
	Overnight & Continuous		Up to 30 Days		Total		Overnight & Continuous		Up to 30 Days		Total
	(in thousands)						(in thousands)
Foreign government bonds	$	10,841	$	0	$	10,841	$	10,712	$	0	$	10,712
U.S. public corporate securities	11,815		0		11,815		12,638		0		12,638
Foreign public corporate securities	10,373		0		10,373		0		0		0
Total cash collateral for loaned securities(1)	$	33,029	$	0	$	33,029	$	23,350	$	0	$	23,350


(1)	The Company did not have agreements with remaining contractual maturities of thirty days or greater, as of the dates indicated.