Investments

12 Months Ended

Dec. 31, 2020

Investments [Abstract]

Investments

3.    INVESTMENTS

Fixed Maturity Securities

The following tables set forth the composition of fixed maturity securities (excluding investments classified as trading), as of the dates indicated:

	December 31, 2020
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses		Fair Value
	(in thousands)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	7,283,403	$	1,631,715	$	12,686	$	0	$	8,902,432
Obligations of U.S. states and their political subdivisions	258,135		19,512		156		0		277,491
Foreign government bonds	153,009		24,378		4		0		177,383
U.S. public corporate securities	3,112,420		339,348		1,361		0		3,450,407
U.S. private corporate securities	1,736,035		155,943		4,706		209		1,887,063
Foreign public corporate securities	513,204		29,029		408		0		541,825
Foreign private corporate securities	1,338,936		158,227		2,851		477		1,493,835
Asset-backed securities(1)	984,318		9,870		1,605		0		992,583
Commercial mortgage-backed securities	728,522		57,522		102		0		785,942
Residential mortgage-backed securities(2)	69,909		5,818		3		0		75,724
Total fixed maturities, available-for-sale	$	16,177,891	$	2,431,362	$	23,882	$	686	$	18,584,685

(1)Includes credit-tranched securities collateralized by loan obligations, auto loans, education, equipment leases and sub-prime mortgages.

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

	December 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	$	6,667,347	$	491,943	$	39,466	$	7,119,824	$	0
Obligations of U.S. states and their political subdivisions	252,304		7,814		436		259,682		0
Foreign government bonds	203,386		19,518		20		222,884		0
U.S. public corporate securities	1,615,060		126,947		1,331		1,740,676		0
U.S. private corporate securities	1,159,962		50,720		3,343		1,207,339		0
Foreign public corporate securities	321,111		16,989		113		337,987		0
Foreign private corporate securities	1,171,411		50,069		7,995		1,213,485		0
Asset-backed securities(1)	443,767		3,405		2,734		444,438		(20)
Commercial mortgage-backed securities	557,584		20,941		236		578,289		0
Residential mortgage-backed securities(2)	73,814		3,960		13		77,761		0
Total fixed maturities, available-for-sale	$	12,465,746	$	792,306	$	55,687	$	13,202,365	$	(20)

(1)Includes credit-tranched securities collateralized by loan obligations, sub-prime mortgages, auto loans, equipment leases and education loans.

(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 $14.3 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.

The following table sets forth the fair value and gross unrealized losses on available-for-sale fixed maturity securities without an allowance for credit 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 date indicated:

	December 31, 2020
	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	$	244,507	$	12,686	$	0	$	0	$	244,507	$	12,686
Obligations of U.S. states and their political subdivisions	9,440		156		0		0		9,440		156
Foreign government bonds	257		1		87		3		344		4
U.S. public corporate securities	117,755		1,335		2,185		26		119,940		1,361
U.S. private corporate securities	35,411		2,614		16,071		2,092		51,482		4,706
Foreign public corporate securities	69,610		408		0		0		69,610		408
Foreign private corporate securities	11,679		188		50,809		2,663		62,488		2,851
Asset-backed securities	219,535		320		246,535		1,285		466,070		1,605
Commercial mortgage-backed securities	45,617		102		0		0		45,617		102
Residential mortgage-backed securities	0		0		80		3		80		3
Total fixed maturities, available-for-sale	$	753,811	$	17,810	$	315,767	$	6,072	$	1,069,578	$	23,882
The following table sets forth the fair value and gross unrealized losses on fixed maturity securities aggregated by investment category and length of time that individual fixed maturity securities had been in a continuous unrealized loss position, as of the date indicated:
	December 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	$	1,336,007	$	39,456	$	5,855	$	10	$	1,341,862	$	39,466
Obligations of U.S. states and their political subdivisions	97,752		436		0		0		97,752		436
Foreign government bonds	804		13		132		7		936		20
U.S. public corporate securities	93,147		870		15,491		461		108,638		1,331
U.S. private corporate securities	82,709		2,111		59,797		1,232		142,506		3,343
Foreign public corporate securities	50,150		113		0		0		50,150		113
Foreign private corporate securities	97,414		1,652		91,863		6,343		189,277		7,995
Asset-backed securities	103,911		717		235,759		2,017		339,670		2,734
Commercial mortgage-backed securities	66,071		236		0		0		66,071		236
Residential mortgage-backed securities	633		12		7		1		640		13
Total fixed maturities, available-for-sale	$	1,928,598	$	45,616	$	408,904	$	10,071	$	2,337,502	$	55,687

As of December 31, 2020, the gross unrealized losses on fixed maturity available-for-sale securities without an allowance were composed of $17.4 million related to “1” highest quality or “2” high quality securities based on the National Association of Insurance Commissioners (“NAIC”) or equivalent rating and $6.5 million related to other than high or highest quality securities based on NAIC or equivalent rating. As of December 31, 2020, the $6.1 million of gross unrealized losses of twelve months or more were concentrated in the Company’s corporate securities within the transportation, industrial other and consumer non-cyclical sectors and in asset-backed securities.

As of December 31, 2019, the gross unrealized losses on fixed maturity securities were composed of $52.5 million related to “1” highest quality or “2” high quality securities based on the NAIC or equivalent rating and $3.2 million related to other than high or highest quality securities based on NAIC or equivalent rating. As of December 31, 2019, the $10.1 million of gross unrealized losses of twelve months or more were concentrated in the Company’s corporate securities within the consumer non-cyclical, utility and consumer cyclical sectors and in asset-backed securities.

In accordance with its policy described in Note 2, the Company concluded that an adjustment to earnings for credit losses related to these fixed maturity securities was not warranted at December 31, 2020. These conclusions were based on a detailed analysis of the underlying credit and cash flows on each security. Gross unrealized losses are primarily attributable to general credit spread widening, increases in interest rates, foreign currency exchange rate movements and the financial condition or near-term prospects of the issuer. As of December 31, 2020, the Company did not intend to sell these securities, and it was not more likely than not that the Company would be required to sell these securities before the anticipated recovery of the remaining amortized cost basis.

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

	December 31, 2020
	Amortized Cost		Fair Value
	(in thousands)
Fixed maturities, available-for-sale:
Due in one year or less	$	152,370	$	155,115
Due after one year through five years	1,722,432		1,805,629
Due after five years through ten years	2,673,138		2,942,517
Due after ten years	9,847,202		11,827,175
Asset-backed securities	984,318		992,583
Commercial mortgage-backed securities	728,522		785,942
Residential mortgage-backed securities	69,909		75,724
Total fixed maturities, available-for-sale	$	16,177,891	$	18,584,685

Actual maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations. Asset-backed, commercial mortgage-backed and residential mortgage-backed securities are shown separately in the table above, as they do not have a single maturity date.

The following table sets forth the sources of fixed maturity proceeds and related investment gains (losses), as well as losses on write-downs, impairments and the allowance for credit losses of fixed maturities, for the periods indicated:

	Years Ended December 31,
	2020		2019		2018
	(in thousands)
Fixed maturities, available-for-sale:
Proceeds from sales(1)	$	670,621	$	384,592	$	2,126,886
Proceeds from maturities/prepayments	311,133		468,004		404,679
Gross investment gains from sales and maturities	19,721		3,259		21,129
Gross investment losses from sales and maturities	(22,144)		(3,364)		(98,047)
OTTI recognized in earnings(2)	N/A		(3,826)		(6,813)
Write-downs recognized in earnings(3)	(693)		N/A		N/A
(Addition to) release of allowance for credit losses(4)	(686)		N/A		N/A

(1)Includes $273.5 million, $0.0 million and $(2.9) million of non-cash related proceeds due to the timing of trade settlements for the years ended December 31, 2020, 2019 and 2018, respectively.

(2)For the years ended December 31, 2019 and 2018, amounts exclude 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 impairment.

(3)For the year ended December 31, 2020, amounts represent write-downs of credit adverse securities, write-downs on securities approaching maturity related to foreign exchange movements and securities actively marketed for sale.

(4)Effective January 1, 2020, credit losses on available-for-sale fixed maturity securities are recorded within the “allowance for credit losses.”

The following table sets forth the activity in the allowance for credit losses for fixed maturity securities, as of the date indicated:

	Year Ended December 31, 2020
	U.S. Treasury Securities and Obligations of U.S. States		Foreign Government Bonds		U.S. and Foreign Corporate Securities		Asset-Backed Securities		Commercial Mortgage-Backed Securities		Residential Mortgage-Backed Securities		Total
	(in thousands)
Fixed maturities, available-for-sale:
Balance, beginning of year	$	0	$	0	$	0	$	0	$	0	$	0	$	0
Additions to allowance for credit losses not previously recorded	0		0		1,383		0		0		0		1,383
Reductions for securities sold during the period	0		0		(5)		0		0		0		(5)
Addition (reductions) on securities with previous allowance	0		0		(692)		0		0		0		(692)
Balance, end of period	$	0	$	0	$	686	$	0	$	0	$	0	$	686

See Note 2 for additional information about the Company’s methodology for developing our allowance and expected losses.

For the year ended December 31, 2020, the increase in the allowance for credit losses on available-for-sale securities was primarily related to adverse projected cash flows on private corporate securities.

The Company did not have any fixed maturity securities purchased with credit deterioration, as of December 31, 2020.

Equity Securities    

The net change in unrealized gains (losses) from equity securities still held at period end, recorded within “Asset administration fees and other income (loss),” was $5.1 million, $2.0 million and $(1.9) million during the years ended December 31, 2020, 2019 and 2018, respectively.

Commercial Mortgage and Other Loans

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

	December 31, 2020				December 31, 2019
	Amount (in thousands)		% of Total		Amount (in thousands)		% of Total
Commercial mortgage and agricultural property loans by property type:
Apartments/Multi-Family	$	369,764	20.9	%	$	272,150	18.5	%
Hospitality	16,679		0.9		16,819		1.1
Industrial	590,231		33.3		464,528		31.5
Office	374,107		21.1		372,823		25.3
Other	187,643		10.6		156,768		10.6
Retail	130,154		7.3		131,051		8.9
Total commercial mortgage loans	1,668,578		94.1		1,414,139		95.9
Agricultural property loans	104,574		5.9		60,046		4.1
Total commercial mortgage and agricultural property loans	1,773,152		100.0	%	1,474,185		100.0	%
Allowance for credit losses	(7,382)				(2,663)
Total net commercial mortgage and agricultural property loans	$	1,765,770			$	1,471,522

As of December 31, 2020, the commercial mortgage and agricultural property loans were secured by properties geographically dispersed throughout the United States (with the largest concentrations in California (24%), Texas (12%) and New York (10%)) and included loans secured by properties in Europe (15%) and Australia (3%).

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
Balance at December 31, 2018	2,861		35		2,896
Addition to (release of) allowance for credit losses	(239)		6		(233)
Balance at December 31, 2019	2,622		41		2,663
Cumulative effect of adoption of ASU 2016-13	3,118		39		3,157
Addition to (release of) allowance for expected losses	1,376		186		1,562
Balance at December 31, 2020	$	7,116	$	266	$	7,382

See Note 2 for additional information about the Company's methodology for developing our allowance and expected losses.

For the year ended December 31, 2020, the increase in the allowance for credit losses on commercial mortgage and other loans was primarily related to the cumulative effect of adoption of ASU 2016-13.

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

	December 31, 2020
	Amortized Cost by Origination Year
	2020		2019		2018		2017		2016		Prior		Total
	(in thousands)
Commercial Mortgage Loans
Loan-to-Value Ratio:
0%-59.99%	$	0	$	114,636	$	36,423	$	116,130	$	175,740	$	255,848	$	698,777
60%-69.99%	174,507		204,112		59,935		90,954		57,569		54,530		641,607
70%-79.99%	81,671		51,333		10,806		80,257		56,169		46,855		327,091
80% or greater	0		0		0		0		0		1,103		1,103
Total	$	256,178	$	370,081	$	107,164	$	287,341	$	289,478	$	358,336	$	1,668,578
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	256,178	$	347,151	$	107,164	$	287,341	$	274,124	$	323,060	$	1,595,018
1.0 - 1.2x	0		22,930		0		0		3,969		18,420		45,319
Less than 1.0x	0		0		0		0		11,385		16,856		28,241
Total	$	256,178	$	370,081	$	107,164	$	287,341	$	289,478	$	358,336	$	1,668,578
Agricultural Property Loans
Loan-to-Value Ratio:
0%-59.99%	$	47,245	$	13,769	$	1,255	$	7,493	$	1,180	$	31,370	$	102,312
60%-69.99%	2,262		0		0		0		0		0		2,262
70%-79.99%	0		0		0		0		0		0		0
80% or greater	0		0		0		0		0		0		0
Total	$	49,507	$	13,769	$	1,255	$	7,493	$	1,180	$	31,370	$	104,574
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	49,507	$	13,769	$	1,255	$	4,277	$	1,180	$	27,783	$	97,771
1.0 - 1.2x	0		0		0		0		0		0		0
Less than 1.0x	0		0		0		3,216		0		3,587		6,803
Total	$	49,507	$	13,769	$	1,255	$	7,493	$	1,180	$	31,370	$	104,574

Commercial mortgage loans

	December 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%	$	659,217	$	6,641	$	0	$	665,858
60%-69.99%	499,493		14,078		0		513,571
70%-79.99%	203,158		30,555		0		233,713
80% or greater	0		997		0		997
Total commercial mortgage loans	$	1,361,868	$	52,271	$	0	$	1,414,139

Agricultural property loans

	December 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%	$	56,437	$	0	$	3,609	$	60,046
60%-69.99%	0		0		0		0
70%-79.99%	0		0		0		0
80% or greater	0		0		0		0
Total agricultural property loans	$	56,437	$	0	$	3,609	$	60,046

See Note 2 for additional information about the Company’s commercial mortgage and other loans credit quality monitoring process.

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:

	December 31, 2020
	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	$	1,668,578	$	0	$	0	$	0	$	1,668,578	$	0
Agricultural property loans	104,574		0		0		0		104,574		0
Total	$	1,773,152	$	0	$	0	$	0	$	1,773,152	$	0

(1)As of December 31, 2020, 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.

	December 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	$	1,414,139	$	0	$	0	$	0	$	1,414,139	$	0
Agricultural property loans	60,046		0		0		0		60,046		0
Total	$	1,474,185	$	0	$	0	$	0	$	1,474,185	$	0

(1)As of December 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.

There were no loans on non-accrual status as of December 31, 2020. Loans that were in non-accrual status recognized interest income of $0.2 million during the year ended December 31, 2020.

For both the years ended December 31, 2020 and 2019, there were no commercial mortgage and other loans acquired, other than those through direct origination. For the years ended December 31, 2020 and 2019, there were $0 million and $206 million of commercial mortgage and other loans sold, respectively.

The Company did not have any commercial mortgage and other loans purchased with credit deterioration, as of December 31, 2020.

Other Invested Assets

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

	December 31,
	2020		2019
	(in thousands)
LPs/LLCs:
Equity method:
Private equity	$	28,955	$	23,414
Hedge funds	340,951		273,615
Real estate-related	244,041		166,492
Subtotal equity method	613,947		463,521
Fair value:
Private equity	4,220		4,115
Hedge funds	172		194
Real estate-related	6,220		6,181
Subtotal fair value	10,612		10,490
Total LPs/LLCs	624,559		474,011
Derivative instruments	194,251		2
Total other invested assets	$	818,810	$	474,013

As of both December 31, 2020 and 2019, the Company had no significant equity method investments.

Accrued Investment Income

The following table sets forth the composition of “Accrued investment income,” as of the date indicated:

	December 31, 2020
	(in thousands)
Fixed maturities	$	116,342
Equity securities	1
Commercial mortgage and other loans	4,828
Policy loans	11
Short-term investments and cash equivalents	158
Other(1)	264
Total accrued investment income	$	121,604

(1)Primarily includes affiliated accrued income.

There were no write-downs on accrued investment income for the year ended December 31, 2020.

Net Investment Income

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

	Years Ended December 31,
	2020		2019		2018
	(in thousands)
Fixed maturities, available-for-sale	$	440,271	$	389,165	$	317,726
Fixed maturities, trading	14,420		10,080		5,184
Equity securities	1,397		568		678
Commercial mortgage and other loans	56,483		51,628		51,040
Policy loans	724		630		737
Short-term investments and cash equivalents	49,929		85,084		28,645
Other invested assets	43,244		34,422		13,733
Gross investment income	606,468		571,577		417,743
Less: investment expenses	(27,207)		(20,029)		(14,935)
Net investment income	$	579,261	$	551,548	$	402,808

The carrying value of non-income producing assets included $4.1 million in available-for-sale fixed maturities as of December 31, 2020. Non-income producing assets represent investments that had not produced income for the twelve months preceding December 31, 2020.

Realized Investment Gains (Losses), Net 

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

	Years Ended December 31,
	2020		2019		2018
	(in thousands)
Fixed maturities(1)	$	(3,802)	$	(3,931)	$	(83,731)
Commercial mortgage and other loans	(2,242)		(753)		128
Derivatives	(5,261,943)		(2,677,559)		967,503
Other invested assets	4,619		164		123
Short-term investments and cash equivalents	2,428		759		50
Realized investment gains (losses), net	$	(5,260,940)	$	(2,681,320)	$	884,073

(1)Includes fixed maturity securities classified as available-for-sale and excludes fixed maturity securities classified as trading.

Net Unrealized Gains (Losses) on Investments within AOCI

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

	December 31,
	2020		2019		2018
	(in thousands)
Fixed maturity securities, available-for-sale — with OTTI(1)	$ N/A		$	14,309	$	(3,334)
Fixed maturity securities, available-for-sale — all other(1)	N/A		722,310		(411,458)
Fixed maturity securities, available-for-sale with an allowance	2		N/A		N/A
Fixed maturity securities, available-for-sale without an allowance	2,407,478		N/A		N/A
Derivatives designated as cash flow hedges(2)	(43,000)		(287)		(3,849)
Affiliated notes	4,629		598		658
Other investments	0		0		1,074
Net unrealized gains (losses) on investments	$	2,369,109	$	736,930	$	(416,909)

(1)Effective January 1, 2020, per ASU 2016-13, fixed maturity securities, available for sale are no longer required to be disclosed "with OTTI" and "all other".

(2)For more information on cash flow hedges, see Note 4.

Repurchase Agreements and Securities Lending

In the normal course of business, the Company sells securities under agreements to repurchase and enters into securities lending transactions. As of both December 31, 2020 and 2019, the Company had no repurchase agreements or securities lending transactions.

Securities Pledged, Restricted Assets and Special Deposits

The Company pledges as collateral investment securities it owns to unaffiliated parties through certain transactions, including securities lending, securities sold under agreements to repurchase, collateralized borrowings and postings of collateral with derivative counterparties. As of both December 31, 2020 and 2019, the Company had no securities pledged or liabilities supported by the pledged collateral.

In the normal course of its business activities, the Company accepts collateral that can be sold or repledged. The primary sources of this collateral are securities purchased under agreements to resell. As of December 31, 2020 and 2019, there was $150 million and $302 million, respectively, of such collateral.

As of December 31, 2020 and 2019, there were available-for-sale fixed maturities of $10.0 million and $10.7 million, respectively, on deposit with governmental authorities or trustees as required by certain insurance laws.