XML 29 R18.htm IDEA: XBRL DOCUMENT v3.19.1
Investments (Tables)
 3 Months Ended
Mar. 31, 2019
Investments [Abstract]  
Fixed Maturities, Available-for-sale Securities The following tables set forth the composition of fixed maturity securities (excluding investments classified as trading), as of the dates indicated:
 
March 31, 2019
 
Amortized
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
$
6,541,281

 
$
128,893

 
$
232,980

 
$
6,437,194

 
$
0

Obligations of U.S. states and their political subdivisions
132,943

 
2,309

 
153

 
135,099

 
0

Foreign government bonds
203,645

 
7,991

 
162

 
211,474

 
0

U.S. public corporate securities
1,590,583

 
47,315

 
18,172

 
1,619,726

 
0

U.S. private corporate securities
1,050,716

 
24,133

 
10,624

 
1,064,225

 
0

Foreign public corporate securities
297,301

 
5,573

 
1,626

 
301,248

 
0

Foreign private corporate securities
912,013

 
18,537

 
14,241

 
916,309

 
0

Asset-backed securities(1)
512,855

 
3,353

 
3,239

 
512,969

 
(12
)
Commercial mortgage-backed securities
411,390

 
7,603

 
2,260

 
416,733

 
0

Residential mortgage-backed securities(2)
83,464

 
2,399

 
346

 
85,517

 
0

Total fixed maturities, available-for-sale
$
11,736,191

 
$
248,106

 
$
283,803

 
$
11,700,494

 
$
(12
)

(1)
Includes credit-tranched securities collateralized by loan obligations, sub-prime mortgages, auto loans, equipment leases, education loans and other asset types.
(2)
Includes publicly-traded agency pass-through securities and collateralized mortgage obligations.
(3)
Represents the amount of unrealized losses remaining in AOCI, from the impairment measurement date. Amount excludes $3.3 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, 2018
 
Amortized
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
$
5,240,519

 
$
20,065

 
$
376,493

 
$
4,884,091

 
$
0

Obligations of U.S. states and their political subdivisions
133,670

 
621

 
3,127

 
131,164

 
0

Foreign government bonds
199,044

 
4,748

 
4,156

 
199,636

 
0

U.S. public corporate securities
1,498,130

 
26,425

 
50,582

 
1,473,973

 
0

U.S. private corporate securities
1,070,400

 
15,430

 
22,877

 
1,062,953

 
0

Foreign public corporate securities
296,029

 
1,888

 
6,831

 
291,086

 
0

Foreign private corporate securities
829,588

 
10,415

 
27,771

 
812,232

 
0

Asset-backed securities(1)
505,862

 
3,147

 
3,765

 
505,244

 
(16
)
Commercial mortgage-backed securities
364,601

 
2,770

 
5,491

 
361,880

 
0

Residential mortgage-backed securities(2)
48,622

 
1,290

 
498

 
49,414

 
0

Total fixed maturities, available-for-sale
$
10,186,465

 
$
86,799

 
$
501,591

 
$
9,771,673

 
$
(16
)

(1)
Includes credit-tranched securities collateralized by loan obligations, sub-prime mortgages, auto loans, equipment leases, education loans and other asset types.
(2)
Includes publicly-traded agency pass-through securities and collateralized mortgage obligations.
(3)
Represents the amount of unrealized losses remaining in AOCI, from the impairment measurement date. Amount excludes $3.3 million of net unrealized losses 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 The following tables set forth the fair value and gross unrealized losses aggregated by investment category and length of time that individual fixed maturity securities had been in a continuous unrealized loss position, as of the dates indicated:

 
March 31, 2019
 
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

 
$
3,443,363

 
$
232,980

 
$
3,443,363

 
$
232,980

Obligations of U.S. states and their political subdivisions
0

 
0

 
33,474

 
153

 
33,474

 
153

Foreign government bonds
107

 
7

 
32,005

 
155

 
32,112

 
162

U.S. public corporate securities
121,372

 
2,518

 
510,344

 
15,654

 
631,716

 
18,172

U.S. private corporate securities
57,980

 
3,187

 
367,284

 
7,437

 
425,264

 
10,624

Foreign public corporate securities
16,098

 
255

 
86,214

 
1,371

 
102,312

 
1,626

Foreign private corporate securities
175,953

 
3,541

 
183,723

 
10,700

 
359,676

 
14,241

Asset-backed securities
307,379

 
2,780

 
31,211

 
459

 
338,590

 
3,239

Commercial mortgage-backed securities
0

 
0

 
152,283

 
2,260

 
152,283

 
2,260

Residential mortgage-backed securities
0

 
0

 
10,296

 
346

 
10,296

 
346

Total fixed maturities, available-for-sale
$
678,889

 
$
12,288

 
$
4,850,197

 
$
271,515

 
$
5,529,086

 
$
283,803

 
 
December 31, 2018
 
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
$
367,796

 
$
4,844

 
$
3,304,663

 
$
371,649

 
$
3,672,459

 
$
376,493

Obligations of U.S. states and their political subdivisions
25,764

 
322

 
83,950

 
2,805

 
109,714

 
3,127

Foreign government bonds
98,437

 
2,346

 
58,975

 
1,810

 
157,412

 
4,156

U.S. public corporate securities
627,589

 
28,474

 
386,599

 
22,108

 
1,014,188

 
50,582

U.S. private corporate securities
269,545

 
7,755

 
422,498

 
15,122

 
692,043

 
22,877

Foreign public corporate securities
97,367

 
2,521

 
107,286

 
4,310

 
204,653

 
6,831

Foreign private corporate securities
373,891

 
19,217

 
116,743

 
8,554

 
490,634

 
27,771

Asset-backed securities
358,668

 
3,501

 
24,529

 
264

 
383,197

 
3,765

Commercial mortgage-backed securities
45,432

 
355

 
159,638

 
5,136

 
205,070

 
5,491

Residential mortgage-backed securities
34

 
1

 
13,775

 
497

 
13,809

 
498

Total fixed maturities, available-for-sale
$
2,264,523

 
$
69,336

 
$
4,678,656

 
$
432,255

 
$
6,943,179

 
$
501,591
Fixed Maturities 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:
 
March 31, 2019
 
Amortized Cost
 
Fair Value
 
(in thousands)
Fixed maturities, available-for-sale:
 
 
 
Due in one year or less
$
191,944

 
$
192,769

Due after one year through five years
1,198,681

 
1,210,583

Due after five years through ten years
1,440,920

 
1,477,358

Due after ten years
7,896,937

 
7,804,565

Asset-backed securities
512,855

 
512,969

Commercial mortgage-backed securities
411,390

 
416,733

Residential mortgage-backed securities
83,464

 
85,517

Total fixed maturities, available-for-sale
$
11,736,191

 
$
11,700,494
Sources of Fixed Maturity Proceeds, Realized Investment Gains (Losses), and Losses on Impairments The following table sets forth the sources of fixed maturity proceeds and related investment gains (losses), as well as losses on impairments of fixed maturities, for the periods indicated:
 
 
Three Months Ended March 31,
 
 
2019
 
2018
 
(in thousands)
Fixed maturities, available-for-sale
 
 
 
 
Proceeds from sales(1)
 
$
131,769

 
$
1,234,653

Proceeds from maturities/prepayments
 
144,443

 
115,857

Gross investment gains from sales and maturities
 
1,950

 
112

Gross investment losses from sales and maturities
 
(656
)
 
(73,625
)
OTTI recognized in earnings(2)
 
(2,025
)
 
(286
)

(1)
Includes $4.7 million and $5.3 million of non-cash related proceeds due to the timing of trade settlements for the three months ended March 31, 2019 and 2018, respectively.
(2)
Excludes the portion of OTTI amounts remaining in 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.
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 table sets forth a rollforward of pre-tax amounts remaining in OCI related to fixed maturity securities with credit loss impairments recognized in earnings, for the periods indicated:
 
 
Three Months Ended March 31,
 
 
2019
 
 
2018
 
(in thousands)
Credit loss impairments:
 
Balance, beginning of period
 
$
(209
)
 
 
$
792

New credit loss impairments
 
1,343

 
 
0

Increases due to the passage of time on previously recorded credit losses
 
0

 
 
1

Reductions for securities which matured, paid down, prepaid or were sold during the period
 
0

 
 
(2
)
Balance, end of period
 
$
1,134

 
 
$
791
Commercial Mortgage and Other Loans The following table sets forth the composition of “Commercial mortgage and other loans,” as of the dates indicated:
 
March 31, 2019
 
December 31, 2018
 
Amount
(in thousands)
 
% of
Total
 
Amount
(in thousands)
 
% of
Total
Commercial mortgage and agricultural property loans by property type:
 
 
 
 
 
 
 
Apartments/Multi-Family
$
270,922

 
21.3
%
 
$
304,644

 
22.4
%
Hospitality
4,825

 
0.4

 
3,633

 
0.3

Industrial
355,400

 
28.0

 
355,758

 
26.2

Office
278,439

 
21.9

 
305,537

 
22.5

Other
138,470

 
10.9

 
137,781

 
10.2

Retail
169,617

 
13.3

 
194,646

 
14.4

Total commercial mortgage loans
1,217,673

 
95.8

 
1,301,999

 
96.0

Agricultural property loans
53,408

 
4.2

 
54,375

 
4.0

Total commercial mortgage and agricultural property loans by property type
1,271,081

 
100.0
%
 
1,356,374

 
100.0
%
Allowance for credit losses
(2,704
)
 
 
 
(2,896
)
 
 
Total commercial mortgage and other loans
$
1,268,377

 
 
 
$
1,353,478

 
 
Allowance for Credit Losses The following table sets forth the activity in the allowance for credit losses for commercial mortgage and other loans, as of the dates indicated:
 
Commercial Mortgage Loans
 
Agricultural Property Loans
 
Total
 
(in thousands)
Balance at December 31, 2017
$
2,616

 
$
34

 
$
2,650

Addition to (release of) allowance for credit losses
245

 
1

 
246

Charge-offs, net of recoveries
0

 
0

 
0

Balance at December 31, 2018
2,861

 
35

 
2,896

Addition to (release of) allowance for credit losses
(205
)
 
13

 
(192
)
Charge-offs, net of recoveries
0

 
0

 
0

Balance at March 31, 2019
$
2,656

 
$
48

 
$
2,704
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:
 
March 31, 2019
 
Commercial Mortgage Loans
 
Agricultural Property Loans
 
Total
 
(in thousands)
Allowance for credit losses:
 
 
 
 
 
Individually evaluated for impairment
$
0

 
$
0

 
$
0

Collectively evaluated for impairment
2,656

 
48

 
2,704

Total ending balance(1)
$
2,656

 
$
48

 
$
2,704

Recorded investment(2):
 
 
 
 
 
Individually evaluated for impairment
$
0

 
$
0

 
$
0

Collectively evaluated for impairment
1,217,673

 
53,408

 
1,271,081

Total ending balance(1)
$
1,217,673

 
$
53,408

 
$
1,271,081


(1)
As of March 31, 2019, there were no loans acquired with deteriorated credit quality.
(2)
Recorded investment reflects the carrying value gross of related allowance.
 
December 31, 2018
 
Commercial Mortgage Loans
 
Agricultural Property Loans
 
Total
 
(in thousands)
Allowance for credit losses:
 
 
 
 
 
Individually evaluated for impairment
$
0

 
$
0

 
$
0

Collectively evaluated for impairment
2,861

 
35

 
2,896

Total ending balance(1)
$
2,861

 
$
35

 
$
2,896

Recorded investment(2):
 
 
 
 
 
Individually evaluated for impairment
$
0

 
$
3,439

 
$
3,439

Collectively evaluated for impairment
1,301,999

 
50,936

 
1,352,935

Total ending balance(1)
$
1,301,999

 
$
54,375

 
$
1,356,374


(1)
As of December 31, 2018, there were no loans acquired with deteriorated credit quality.
(2)
Recorded investment reflects the carrying value gross of related allowance.
Financing Receivable 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:
 
March 31, 2019
 
Debt Service Coverage Ratio
 
 
 
≥ 1.2X
 
1.0X to <1.2X
 
< 1.0X
 
Total
 
(in thousands)
Loan-to-Value Ratio:
 
 
 
 
 
 
 
0%-59.99%
$
670,461

 
$
18,919

 
$
0

 
$
689,380

60%-69.99%
392,595

 
18,656

 
0

 
411,251

70%-79.99%
160,246

 
7,190

 
0

 
167,436

80% or greater
2,000

 
0

 
1,014

 
3,014

Total commercial mortgage and agricultural property loans
$
1,225,302

 
$
44,765

 
$
1,014

 
$
1,271,081

 
December 31, 2018
 
Debt Service Coverage Ratio
 
 
 
≥ 1.2X
 
1.0X to <1.2X
 
< 1.0X
 
Total
 
(in thousands)
Loan-to-Value Ratio:
 
 
 
 
 
 
 
0%-59.99%
$
709,342

 
$
14,814

 
$
345

 
$
724,501

60%-69.99%
442,308

 
23,260

 
0

 
465,568

70%-79.99%
156,049

 
7,236

 
0

 
163,285

80% or greater
2,000

 
1,020

 
0

 
3,020

Total commercial mortgage and agricultural property loans
$
1,309,699

 
$
46,330

 
$
345

 
$
1,356,374
Aging of Past Due Commercial Mortgage and Other Loans and Nonaccrual Status 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:
 
March 31, 2019
 
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
$
1,217,673

 
$
0

 
$
0

 
$
0

 
$
1,217,673

 
$
0

Agricultural property loans
53,408

 
0

 
0

 
0

 
53,408

 
0

Total
$
1,271,081

 
$
0

 
$
0

 
$
0

 
$
1,271,081

 
$
0


(1)
As of March 31, 2019, 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, 2018.
 
December 31, 2018
 
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
$
1,301,999

 
$
0

 
$
0

 
$
0

 
$
1,301,999

 
$
0

Agricultural property loans
54,375

 
0

 
0

 
0

 
54,375

 
0

Total
$
1,356,374

 
$
0

 
$
0

 
$
0

 
$
1,356,374

 
$
0



(1)
As of December 31, 2018, 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, 2018.
Other Invested Assets The following table sets forth the composition of “Other invested assets,” as of the dates indicated:
 
March 31, 2019
 
December 31, 2018
 
(in thousands)
LPs/LLCs:
 
 
 
Equity method:
 
 
 
Private equity
$
24,851

 
$
23,844

Hedge funds
183,801

 
179,014

Real estate-related
117,885

 
94,738

Subtotal equity method
326,537

 
297,596

Fair value:
 
 
 
Private equity
4,027

 
4,142

Hedge funds
265

 
263

Real estate-related
3,906

 
3,562

Subtotal fair value
8,198

 
7,967

Total LPs/LLCs
334,735

 
305,563

Derivative instruments
2

 
42,978

Total other invested assets
$
334,737

 
$
348,541
Net Investment Income The following table sets forth “Net investment income” by investment type, for the periods indicated:
 
 
Three Months Ended March 31,
 
 
2019
 
2018
 
(in thousands)
Fixed maturities, available-for-sale
 
$
92,211

 
$
76,051

Fixed maturities, trading
 
2,365

 
601

Equity securities, at fair value
 
73

 
68

Commercial mortgage and other loans
 
11,732

 
13,493

Policy loans
 
59

 
135

Short-term investments and cash equivalents
 
13,740

 
6,527

Other invested assets
 
8,842

 
3,630

Gross investment income
 
129,022

 
100,505

Less: investment expenses
 
(3,953
)
 
(3,794
)
Net investment income
 
$
125,069

 
$
96,711
Realized Investment Gains (Losses), Net The following table sets forth “Realized investment gains (losses), net,” by investment type, for the periods indicated:
 
 
Three Months Ended March 31,
 
 
2019
 
2018
 
(in thousands)
Fixed maturities(1)
 
$
(731
)
 
$
(73,799
)
Commercial mortgage and other loans
 
(781
)
 
(620
)
LPs/LLCs
 
0

 
0

Derivatives
 
(1,340,928
)
 
633,120

Short-term investments and cash equivalents
 
221

 
(11
)
Realized investment gains (losses), net
 
$
(1,342,219
)
 
$
558,690



(1)
Includes fixed maturity securities classified as available-for-sale and excludes fixed maturity securities classified as trading.
Net Unrealized Gains and (Losses) on Investments The following table sets forth net unrealized gains (losses) on investments, as of the dates indicated:
 
March 31, 2019
 
December 31, 2018
 
(in thousands)
Fixed maturity securities, available-for-sale — with OTTI
$
3,283

 
$
(3,334
)
Fixed maturity securities, available-for-sale — all other
(38,980
)
 
(411,458
)
Derivatives designated as cash flow hedges(1)
(2,184
)
 
(3,849
)
Affiliated notes
646

 
658

Other investments
1,075

 
1,074

Net unrealized gains (losses) on investments
$
(36,160
)
 
$
(416,909
)

(1)
For more information on cash flow hedges, see Note 4.
Repurchase Agreements and Securities Lending The following table sets forth the composition of “Cash collateral for loaned securities” which represents the liability to return cash collateral received for the following types of securities loaned, as of the dates indicated:
 
March 31, 2019
 
December 31, 2018
 
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)
Foreign government bonds
$
0

 
$
0

 
$
0

 
$
0

 
$
0

 
$
0

U.S. public corporate securities
0

 
0

 
0

 
384

 
0

 
384

Total cash collateral for loaned securities(1)
$
0

 
$
0

 
$
0

 
$
384

 
$
0

 
$
384


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