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Investments (Tables)
 6 Months Ended
Jun. 30, 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:
 
June 30, 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
$
6,541,657

 
$
336,709

 
$
69,324

 
$
6,809,042

 
$
0

Obligations of U.S. states and their political subdivisions
132,126

 
5,553

 
0

 
137,679

 
0

Foreign government bonds
203,223

 
14,688

 
16

 
217,895

 
0

U.S. public corporate securities
1,582,606

 
90,724

 
3,539

 
1,669,791

 
0

U.S. private corporate securities
1,047,083

 
44,181

 
4,284

 
1,086,980

 
0

Foreign public corporate securities
305,453

 
13,421

 
519

 
318,355

 
0

Foreign private corporate securities
958,122

 
38,168

 
10,100

 
986,190

 
0

Asset-backed securities(1)
479,696

 
4,733

 
2,299

 
482,130

 
(12
)
Commercial mortgage-backed securities
526,795

 
19,783

 
74

 
546,504

 
0

Residential mortgage-backed securities(2)
80,349

 
4,202

 
133

 
84,418

 
0

Total fixed maturities, available-for-sale
$
11,857,110

 
$
572,162

 
$
90,288

 
$
12,338,984

 
$
(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 $9.8 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:

 
June 30, 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

 
$
1,340,698

 
$
69,324

 
$
1,340,698

 
$
69,324

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

 
0

 
0

 
0

 
0

 
0

Foreign government bonds
0

 
0

 
131

 
16

 
131

 
16

U.S. public corporate securities
13,122

 
711

 
92,531

 
2,828

 
105,653

 
3,539

U.S. private corporate securities
32,982

 
1,352

 
122,846

 
2,932

 
155,828

 
4,284

Foreign public corporate securities
11,590

 
325

 
19,845

 
194

 
31,435

 
519

Foreign private corporate securities
78,867

 
1,336

 
143,872

 
8,764

 
222,739

 
10,100

Asset-backed securities
123,334

 
518

 
185,263

 
1,781

 
308,597

 
2,299

Commercial mortgage-backed securities
0

 
0

 
40,513

 
74

 
40,513

 
74

Residential mortgage-backed securities
0

 
0

 
7,044

 
133

 
7,044

 
133

Total fixed maturities, available-for-sale
$
259,895

 
$
4,242

 
$
1,952,743

 
$
86,046

 
$
2,212,638

 
$
90,288

 
 
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:
 
June 30, 2019
 
Amortized Cost
 
Fair Value
 
(in thousands)
Fixed maturities, available-for-sale:
 
 
 
Due in one year or less
$
151,032

 
$
152,032

Due after one year through five years
1,188,945

 
1,217,111

Due after five years through ten years
1,542,382

 
1,628,079

Due after ten years
7,887,911

 
8,228,710

Asset-backed securities
479,696

 
482,130

Commercial mortgage-backed securities
526,795

 
546,504

Residential mortgage-backed securities
80,349

 
84,418

Total fixed maturities, available-for-sale
$
11,857,110

 
$
12,338,984
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 June 30,
 
Six Months Ended June 30,
 
2019
 
2018
 
2019
 
2018
 
(in thousands)
Fixed maturities, available-for-sale
 
 
 
 
 
 
 
Proceeds from sales(1)
$
21,640

 
$
208,266

 
$
153,409

 
$
1,442,919

Proceeds from maturities/prepayments
109,974

 
124,502

 
254,417

 
240,359

Gross investment gains from sales and maturities
(983
)
 
17,465

 
967

 
17,577

Gross investment losses from sales and maturities
(1,985
)
 
(1,480
)
 
(2,641
)
 
(75,105
)
OTTI recognized in earnings(2)
0

 
(151
)
 
(2,025
)
 
(437
)

(1)
Includes $3.6 million and $(0.8) million of non-cash related proceeds due to the timing of trade settlements for the six months ended June 30, 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 June 30,
 
Six Months Ended June 30,
 
2019
 
2018
 
2019
 
2018
 
(in thousands)
Credit loss impairments:
 
Balance, beginning of period
$
1,134

 
$
791

 
$
(209
)
 
$
792

New credit loss impairments
0

 
0

 
1,343

 
0

Increases due to the passage of time on previously recorded credit losses
10

 
0

 
10

 
1

Reductions for securities which matured, paid down, prepaid or were sold during the period
(1
)
 
(38
)
 
(1
)
 
(40
)
Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected
(1
)
 
0

 
(1
)
 
0

Balance, end of period
$
1,142

 
$
753

 
$
1,142

 
$
753
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, 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
$
284,999

 
21.6
%
 
$
304,644

 
22.4
%
Hospitality
4,787

 
0.4

 
3,633

 
0.3

Industrial
390,931

 
29.6

 
355,758

 
26.2

Office
286,659

 
21.7

 
305,537

 
22.5

Other
138,177

 
10.5

 
137,781

 
10.2

Retail
160,506

 
12.2

 
194,646

 
14.4

Total commercial mortgage loans
1,266,059

 
96.0

 
1,301,999

 
96.0

Agricultural property loans
52,948

 
4.0

 
54,375

 
4.0

Total commercial mortgage and agricultural property loans by property type
1,319,007

 
100.0
%
 
1,356,374

 
100.0
%
Allowance for credit losses
(2,396
)
 
 
 
(2,896
)
 
 
Total commercial mortgage and other loans
$
1,316,611

 
 
 
$
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
(507
)
 
7

 
(500
)
Charge-offs, net of recoveries
0

 
0

 
0

Balance at June 30, 2019
$
2,354

 
$
42

 
$
2,396
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, 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
2,354

 
42

 
2,396

Total ending balance(1)
$
2,354

 
$
42

 
$
2,396

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

 
$
0

 
$
0

Collectively evaluated for impairment
1,266,059

 
52,948

 
1,319,007

Total ending balance(1)
$
1,266,059

 
$
52,948

 
$
1,319,007


(1)
As of June 30, 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:
 
June 30, 2019
 
Debt Service Coverage Ratio
 
 
 
≥ 1.2X
 
1.0X to <1.2X
 
< 1.0X
 
Total
 
(in thousands)
Loan-to-Value Ratio:
 
 
 
 
 
 
 
0%-59.99%
$
688,758

 
$
12,017

 
$
3,621

 
$
704,396

60%-69.99%
431,303

 
21,536

 
0

 
452,839

70%-79.99%
153,620

 
7,143

 
0

 
160,763

80% or greater
0

 
0

 
1,009

 
1,009

Total commercial mortgage and agricultural property loans
$
1,273,681

 
$
40,696

 
$
4,630

 
$
1,319,007

 
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:
 
June 30, 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
$
1,266,059

 
$
0

 
$
0

 
$
0

 
$
1,266,059

 
$
0

Agricultural property loans
52,948

 
0

 
0

 
0

 
52,948

 
0

Total
$
1,319,007

 
$
0

 
$
0

 
$
0

 
$
1,319,007

 
$
0


(1)
As of June 30, 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:
 
June 30, 2019
 
December 31, 2018
 
(in thousands)
LPs/LLCs:
 
 
 
Equity method:
 
 
 
Private equity
$
24,043

 
$
23,844

Hedge funds
204,961

 
179,014

Real estate-related
135,035

 
94,738

Subtotal equity method
364,039

 
297,596

Fair value:
 
 
 
Private equity
3,854

 
4,142

Hedge funds
268

 
263

Real estate-related
5,619

 
3,562

Subtotal fair value
9,741

 
7,967

Total LPs/LLCs
373,780

 
305,563

Derivative instruments
2

 
42,978

Total other invested assets
$
373,782

 
$
348,541
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,
 
2019
 
2018
 
2019
 
2018
 
(in thousands)
Fixed maturities, available-for-sale
$
96,829

 
$
77,885

 
$
189,040

 
$
153,936

Fixed maturities, trading
2,553

 
484

 
4,918

 
1,085

Equity securities, at fair value
73

 
108

 
146

 
176

Commercial mortgage and other loans
13,168

 
12,758

 
24,900

 
26,251

Policy loans
218

 
236

 
277

 
371

Short-term investments and cash equivalents
16,766

 
7,358

 
30,506

 
13,885

Other invested assets
7,765

 
4,880

 
16,607

 
8,510

Gross investment income
137,372

 
103,709

 
266,394

 
204,214

Less: investment expenses
(5,400
)
 
(3,549
)
 
(9,353
)
 
(7,343
)
Net investment income
$
131,972

 
$
100,160

 
$
257,041

 
$
196,871
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 June 30,
 
Six Months Ended June 30,
 
2019
 
2018
 
2019
 
2018
 
(in thousands)
Fixed maturities(1)
$
(2,968
)
 
$
15,834

 
$
(3,699
)
 
$
(57,965
)
Commercial mortgage and other loans
(461
)
 
472

 
(1,242
)
 
(148
)
Derivatives
(890,952
)
 
(6,465
)
 
(2,231,880
)
 
626,655

Short-term investments and cash equivalents
166

 
18

 
387

 
7

Realized investment gains (losses), net
$
(894,215
)
 
$
9,859

 
$
(2,236,434
)
 
$
568,549



(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:
 
June 30, 2019
 
December 31, 2018
 
(in thousands)
Fixed maturity securities, available-for-sale — with OTTI
$
9,793

 
$
(3,334
)
Fixed maturity securities, available-for-sale — all other
472,081

 
(411,458
)
Derivatives designated as cash flow hedges(1)
(302
)
 
(3,849
)
Affiliated notes
673

 
658

Other investments
1,074

 
1,074

Net unrealized gains (losses) on investments
$
483,319

 
$
(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:
 
June 30, 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.