| Investments |
The amortized cost, gross unrealized gains and losses and fair
value for fixed maturities as of December 31, 2015 and 2014
were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2015 — Successor
($ in thousands)
|
|
Amortized
Cost |
|
|
Gross
Unrealized
Gains |
|
|
Gross
Unrealized
Losses |
|
|
Fair Value |
|
|
Fixed maturities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Securities and Obligations of U.S. Government
Authority and Agencies
|
|
$ |
163,096 |
|
|
$ |
5,563 |
|
|
$ |
(81 |
) |
|
$ |
168,578 |
|
|
Obligations of U.S. States and Political Subdivisions
|
|
|
712,948 |
|
|
|
14,827 |
|
|
|
(7,018 |
) |
|
|
720,757 |
|
|
Foreign government
|
|
|
72,042 |
|
|
|
202 |
|
|
|
(10,601 |
) |
|
|
61,643 |
|
|
Corporate securities
|
|
|
6,060,561 |
|
|
|
31,263 |
|
|
|
(353,149 |
) |
|
|
5,738,675 |
|
|
ABS
|
|
|
542,503 |
|
|
|
2,517 |
|
|
|
(8,229 |
) |
|
|
536,791 |
|
|
CMBS
|
|
|
513,316 |
|
|
|
627 |
|
|
|
(7,244 |
) |
|
|
506,699 |
|
|
RMBS
|
|
|
209,728 |
|
|
|
4,600 |
|
|
|
(1,529 |
) |
|
|
212,799 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fixed maturities
|
|
$ |
8,274,194 |
|
|
$ |
59,599 |
|
|
$ |
(387,851 |
) |
|
$ |
7,945,942 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2014 — Successor
($ in thousands)
|
|
Amortized
Cost |
|
|
Gross
Unrealized
Gains |
|
|
Gross
Unrealized
Losses |
|
|
Fair Value |
|
|
Fixed maturities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Securities and Obligations of U.S. Government
Authority and Agencies
|
|
$ |
287,077 |
|
|
$ |
20,933 |
|
|
$ |
(58 |
) |
|
$ |
307,952 |
|
|
Obligations of U.S. States and Political Subdivisions
|
|
|
517,378 |
|
|
|
26,888 |
|
|
|
(531 |
) |
|
|
543,735 |
|
|
Foreign government
|
|
|
250,008 |
|
|
|
5,637 |
|
|
|
(437 |
) |
|
|
255,208 |
|
|
Corporate securities
|
|
|
7,279,391 |
|
|
|
132,481 |
|
|
|
(34,127 |
) |
|
|
7,377,745 |
|
|
ABS
|
|
|
378,906 |
|
|
|
6,145 |
|
|
|
(2,408 |
) |
|
|
382,643 |
|
|
CMBS
|
|
|
331,041 |
|
|
|
3,507 |
|
|
|
(1,065 |
) |
|
|
333,483 |
|
|
RMBS
|
|
|
188,055 |
|
|
|
2,849 |
|
|
|
(1,023 |
) |
|
|
189,881 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fixed maturities
|
|
$ |
9,231,856 |
|
|
$ |
198,440 |
|
|
$ |
(39,649 |
) |
|
$ |
9,390,647 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Scheduled Maturities — Successor
The scheduled maturities for fixed maturities are as follows as of
December 31, 2015:
|
|
|
|
|
|
|
|
|
|
($ in thousands)
|
|
Amortized
Cost |
|
|
Fair Value |
|
|
Due in one year or less
|
|
$ |
190,261 |
|
|
$ |
189,547 |
|
|
Due after one year through five years
|
|
|
1,461,237 |
|
|
|
1,459,059 |
|
|
Due after five years through ten years
|
|
|
2,148,851 |
|
|
|
2,092,046 |
|
|
Due after ten years
|
|
|
3,208,298 |
|
|
|
2,949,002 |
|
|
|
|
|
|
|
|
|
|
|
Total before asset and mortgage-backed securities
|
|
|
7,008,647 |
|
|
|
6,689,654 |
|
|
Asset and mortgage-backed securities
|
|
|
1,265,547 |
|
|
|
1,256,288 |
|
|
|
|
|
|
|
|
|
|
|
Total fixed maturities
|
|
$ |
8,274,194 |
|
|
$ |
7,945,942 |
|
|
|
|
|
|
|
|
|
|
Actual maturities may differ from those scheduled as a result of
calls and make-whole payments by the issuers. Asset and
mortgage-backed securities are shown separately because of the
potential for prepayment of principal prior to contractual maturity
dates.
Commercial Mortgage Loans — Successor
The Company diversifies its commercial mortgage loan portfolio by
geographical region to reduce concentration risk. The following
table presents the Company’s commercial mortgage loan
portfolio by geographical region as of December 31, 2015 and
December 31, 2014:
|
|
|
|
|
|
|
|
|
|
($ in thousands)
|
|
December 31,
2015 |
|
|
December 31,
2014 |
|
|
Alabama
|
|
$ |
1,508 |
|
|
$ |
1,720 |
|
|
Arizona
|
|
|
34,911 |
|
|
|
35,481 |
|
|
California
|
|
|
336,310 |
|
|
|
255,563 |
|
|
Colorado
|
|
|
57,207 |
|
|
|
22,381 |
|
|
Connecticut
|
|
|
25,374 |
|
|
|
— |
|
|
Florida
|
|
|
86,698 |
|
|
|
20,779 |
|
|
Georgia
|
|
|
67,213 |
|
|
|
27,502 |
|
|
Hawaii
|
|
|
7,134 |
|
|
|
8,125 |
|
|
Illinois
|
|
|
92,813 |
|
|
|
53,174 |
|
|
Iowa
|
|
|
1,266 |
|
|
|
1,490 |
|
|
Kansas
|
|
|
9,200 |
|
|
|
— |
|
|
Kentucky
|
|
|
7,696 |
|
|
|
8,260 |
|
|
Maine
|
|
|
3,905 |
|
|
|
4,114 |
|
|
Maryland
|
|
|
33,844 |
|
|
|
35,536 |
|
|
Massachusetts
|
|
|
90,897 |
|
|
|
92,963 |
|
|
Minnesota
|
|
|
148,346 |
|
|
|
52,496 |
|
|
Missouri
|
|
|
— |
|
|
|
9,324 |
|
|
Nevada
|
|
|
14,262 |
|
|
|
14,705 |
|
|
New Jersey
|
|
|
68,720 |
|
|
|
84,007 |
|
|
New York
|
|
|
94,985 |
|
|
|
72,625 |
|
|
North Carolina
|
|
|
58,078 |
|
|
|
31,111 |
|
|
Ohio
|
|
|
36,954 |
|
|
|
38,400 |
|
|
Oklahoma
|
|
|
10,803 |
|
|
|
10,835 |
|
|
Pennsylvania
|
|
|
41,975 |
|
|
|
37,688 |
|
|
South Carolina
|
|
|
2,532 |
|
|
|
3,130 |
|
|
Tennessee
|
|
|
5,278 |
|
|
|
5,719 |
|
|
Texas
|
|
|
107,279 |
|
|
|
103,778 |
|
|
Utah
|
|
|
44,366 |
|
|
|
45,914 |
|
|
Virginia
|
|
|
2,353 |
|
|
|
18,572 |
|
|
Washington
|
|
|
11,550 |
|
|
|
13,138 |
|
|
Wisconsin
|
|
|
5,675 |
|
|
|
6,637 |
|
|
General allowance for loan loss
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
Total commercial mortgage loans
|
|
$ |
1,509,132 |
|
|
$ |
1,115,167 |
|
|
|
|
|
|
|
|
|
|
Credit Quality of Commercial Mortgage Loans
The credit quality of commercial mortgage loans held-for-investment
were as follows at December 31, 2015 and December 31,
2014:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Recorded Investment |
|
|
|
|
|
|
|
| |
|
Debt Service Coverage
Ratios |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2015
($ in thousands)
|
|
> 1.20x |
|
|
1.00x - 1.20x |
|
|
< 1.00x |
|
|
Total |
|
|
% of Total |
|
|
Estimated Fair
Value |
|
|
% of Total |
|
| |
|
(In
thousands) |
|
|
|
|
|
|
|
|
(In
thousands) |
|
|
|
|
|
Loan-to-value ratios:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less than 65%
|
|
$ |
869,470 |
|
|
$ |
85,869 |
|
|
$ |
19,862 |
|
|
$ |
975,201 |
|
|
|
64.6 |
% |
|
$ |
1,000,948 |
|
|
|
65.1 |
% |
|
65% to 75%
|
|
|
508,557 |
|
|
|
25,374 |
|
|
|
— |
|
|
|
533,931 |
|
|
|
35.4 |
|
|
|
535,690 |
|
|
|
34.9 |
|
|
76% to 80%
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
0.0 |
|
|
|
— |
|
|
|
0.0 |
|
|
Greater than 80%
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
0.0 |
|
|
|
— |
|
|
|
0.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
1,378,027 |
|
|
$ |
111,243 |
|
|
$ |
19,862 |
|
|
$ |
1,509,132 |
|
|
|
100.0 |
% |
|
$ |
1,536,638 |
|
|
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Recorded Investment |
|
|
|
|
|
|
|
| |
|
Debt Service Coverage
Ratios |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2014
($ in thousands)
|
|
> 1.20x |
|
|
1.00x - 1.20x |
|
|
< 1.00x |
|
|
Total |
|
|
% of Total |
|
|
Estimated Fair
Value |
|
|
% of Total |
|
| |
|
(In
thousands) |
|
|
|
|
|
|
|
|
(In
thousands) |
|
|
|
|
|
Loan-to-value ratios:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less than 65%
|
|
$ |
930,592 |
|
|
$ |
151,700 |
|
|
$ |
29,460 |
|
|
$ |
1,111,752 |
|
|
|
97.6 |
% |
|
$ |
1,146,030 |
|
|
|
97.6 |
% |
|
65% to 75%
|
|
|
16,591 |
|
|
|
10,537 |
|
|
|
— |
|
|
|
27,128 |
|
|
|
2.4 |
|
|
|
28,275 |
|
|
|
2.4 |
|
|
76% to 80%
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
0.0 |
|
|
|
— |
|
|
|
0.0 |
|
|
Greater than 80%
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
0.0 |
|
|
|
— |
|
|
|
0.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
947,183 |
|
|
$ |
162,237 |
|
|
$ |
29,460 |
|
|
$ |
1,138,880 |
|
|
|
100.0 |
% |
|
$ |
1,174,305 |
|
|
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of December 31, 2015 and December 31, 2014, the
Company had no allowance for credit losses for commercial mortgage
loans. As of December 31, 2015 and December 31, 2014,
$1,509 million and $1,139 million, respectively, of commercial
mortgage loans were in current status with no commercial mortgage
or other loans classified as past due. The Company defines current
in its aging of past due commercial mortgage and other loans as
less than 30 days past due.
Impaired loans include those loans for which it is probable that
all amounts due will not be collected according to the contractual
terms of the loan agreement. As of December 31, 2015 and
December 31, 2014, the Company held no impaired commercial
mortgage loans.
The Company’s commercial mortgage may occasionally be
involved in a troubled debt restructuring. As of December 31,
2015, the Company had no commitments to fund to borrowers that have
been involved in a troubled debt restructuring. As of
December 31, 2015 and December 31, 2014, the Company had
no new troubled debt restructurings related to commercial mortgage
and no payment defaults on commercial mortgages.
Other Invested Assets — Successor
The following table sets forth the composition of “Other
invested assets” as of December 31, 2015 and
December 31, 2014:
Amortized Cost
|
|
|
|
|
|
|
|
|
| |
|
Successor |
|
|
Successor |
|
|
($ in thousands)
|
|
December 31,
2015 |
|
|
December 31,
2014 |
|
|
Low income housing tax credit properties
|
|
$ |
677 |
|
|
$ |
896 |
|
|
Derivatives
|
|
|
17,735 |
|
|
|
26,001 |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
18,412 |
|
|
$ |
26,897 |
|
|
|
|
|
|
|
|
|
|
Net Investment Income
Net investment income for Successor Periods for the year ended
December 31, 2015 and the period from April 1, 2014
through December 31, 2014 and Predecessor Periods for the
period from January 1, 2014 through March 31, 2014 and
year ended December 31, 2013 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Successor |
|
|
Predecessor |
|
|
($ in thousands)
|
|
For the Year
Ended
December 31,
2015 |
|
|
For the Period
from April 1, 2014
through
December 31,
2014 |
|
|
For the Period
from January 1,
2014
through March 31,
2014 |
|
|
For the Year
Ended
December 31,
2013 |
|
|
Fixed maturities
|
|
$ |
334,931 |
|
|
$ |
231,972 |
|
|
$ |
2,461 |
|
|
$ |
11,545 |
|
|
Commercial mortgage loans
|
|
|
63,028 |
|
|
|
49,417 |
|
|
|
— |
|
|
|
— |
|
|
Cash, cash equivalents and short-term investments
|
|
|
511 |
|
|
|
4,786 |
|
|
|
16 |
|
|
|
23 |
|
|
Other investment (loss) income
|
|
|
9,543 |
|
|
|
7,353 |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross investment income
|
|
|
408,013 |
|
|
|
293,528 |
|
|
|
2,477 |
|
|
|
11,568 |
|
|
Investment expenses
|
|
|
9,082 |
|
|
|
4,957 |
|
|
|
127 |
|
|
|
633 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
$ |
398,931 |
|
|
$ |
288,571 |
|
|
$ |
2,350 |
|
|
$ |
10,935 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized Investment Gains and Losses
Realized investment gains and losses for Successor Periods for the
year ended December 31, 2015 and for the period from
April 1, 2014 through December 31, 2014 and Predecessor
Periods for the period from January 1, 2014 through
March 31, 2014 and year ended December 31, 2013 were as
follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Successor |
|
|
Predecessor |
|
|
($ in thousands)
|
|
For the Year
Ended
December 31,
2015 |
|
|
For the Period
from April 1, 2014
through
December 31,
2014 |
|
|
For the Period
from January 1,
2014
through March 31,
2014 |
|
|
For the Year
Ended
December 31,
2013 |
|
|
Realized investment gains, net
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed maturities
|
|
$ |
120,421 |
|
|
$ |
25,795 |
|
|
$ |
285 |
|
|
$ |
— |
|
|
Commercial mortgage loans
|
|
|
2,325 |
|
|
|
2,880 |
|
|
|
— |
|
|
|
— |
|
|
Derivatives
|
|
|
(9,208 |
) |
|
|
17,417 |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gains
|
|
$ |
113,538 |
|
|
$ |
46,092 |
|
|
$ |
285 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
There were no other-than-temporary impairment losses recorded in
the Successor Periods for the year ended December 31, 2015 and
for the period from April 1, 2014 through December 31,
2014.
There were no other-than-temporary impairment losses recorded in
the Predecessor Period from January 1, 2014 through
March 31, 2014. Realized capital gains and losses in the
Predecessor year ended December 31, 2013 included $2 thousand
of other-than-temporary impairment losses related to RMBS, none of
which were included in other comprehensive income. No
other-than-temporary impairment losses were included in accumulated
other comprehensive income as of December 31, 2015 or as of
December 31, 2014.
Proceeds from sales of fixed maturities and gross realized
investment gains and losses for Successor Periods for the year
ended December 31, 2015 and for the period from April 1,
2014 through December 31, 2014 and Predecessor Periods for the
period from January 1, 2014 through March 31, 2014 and
year ended December 31, 2013 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Successor |
|
|
Predecessor |
|
|
($ in thousands)
|
|
For the Year
Ended
December 31,
2015 |
|
|
For the Period
from April 1, 2014
through
December 31,
2014 |
|
|
For the Period
from January 1,
2014
through March 31,
2014 |
|
|
For the Year
Ended
December 31,
2013 |
|
|
Fixed maturities, available-for-sale
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Proceeds from sales
|
|
$ |
3,864,356 |
|
|
$ |
1,429,177 |
|
|
$ |
5,277 |
|
|
$ |
9,170 |
|
|
Gross investment gains from sales
|
|
|
147,287 |
|
|
|
30,403 |
|
|
|
317 |
|
|
|
3 |
|
|
Gross investment losses from sales
|
|
|
(26,829 |
) |
|
|
(4,608 |
) |
|
|
(32 |
) |
|
|
(1 |
) |
Proceeds from sales excludes taxable exchanges of
$72.4 million and $3.0 million for the year ended
December 31, 2015 and for the period from April 1, 2014
through December 31, 2014, respectively.
Unrealized Investment Gains and Losses — Successor
The following table summarizes the gross unrealized losses and fair
value of fixed maturities by the length of time that individual
securities have been in a continuous unrealized loss position as of
December 31, 2015 and December 31, 2014:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Less than 12 months |
|
|
Greater than 12 months |
|
|
|
|
|
|
|
|
December 31, 2015
($ in thousands)
|
|
Fair Value |
|
|
Gross
Unrealized
Losses |
|
|
Fair
Value |
|
|
Gross
Unrealized
Losses |
|
|
Fair Value |
|
|
Gross
Unrealized
Losses |
|
|
U.S. Treasury Securities and Obligations of U.S. Government
Authority and Agencies
|
|
$ |
18,639 |
|
|
$ |
(77 |
) |
|
$ |
98 |
|
|
$ |
(4 |
) |
|
$ |
18,737 |
|
|
$ |
(81 |
) |
|
Obligations of U.S. States and Political Subdivisions
|
|
|
207,889 |
|
|
|
(6,983 |
) |
|
|
4,030 |
|
|
|
(35 |
) |
|
|
211,919 |
|
|
|
(7,018 |
) |
|
Foreign government
|
|
|
41,507 |
|
|
|
(8,665 |
) |
|
|
5,965 |
|
|
|
(1,936 |
) |
|
|
47,472 |
|
|
|
(10,601 |
) |
|
All other corporate securities
|
|
|
3,523,371 |
|
|
|
(293,131 |
) |
|
|
209,474 |
|
|
|
(60,018 |
) |
|
|
3,732,845 |
|
|
|
(353,149 |
) |
|
ABS
|
|
|
397,884 |
|
|
|
(7,031 |
) |
|
|
15,040 |
|
|
|
(1,198 |
) |
|
|
412,924 |
|
|
|
(8,229 |
) |
|
CMBS
|
|
|
437,244 |
|
|
|
(7,164 |
) |
|
|
8,419 |
|
|
|
(80 |
) |
|
|
445,663 |
|
|
|
(7,244 |
) |
|
RMBS
|
|
|
65,470 |
|
|
|
(776 |
) |
|
|
29,659 |
|
|
|
(753 |
) |
|
|
95,129 |
|
|
|
(1,529 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fixed income securities
|
|
$ |
4,692,004 |
|
|
$ |
(323,827 |
) |
|
$ |
272,685 |
|
|
$ |
(64,024 |
) |
|
$ |
4,964,689 |
|
|
$ |
(387,851 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Less than 12 months |
|
|
Greater than 12 months |
|
|
|
|
|
|
|
|
December 31, 2014
($ in thousands)
|
|
Fair Value |
|
|
Gross
Unrealized
Losses |
|
|
Fair
Value |
|
|
Gross
Unrealized
Losses |
|
|
Fair Value |
|
|
Gross
Unrealized
Losses |
|
|
U.S. Treasury Securities and Obligations of U.S. Government
Authority and Agencies
|
|
$ |
14,160 |
|
|
$ |
(58 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
14,160 |
|
|
$ |
(58 |
) |
|
Obligations of U.S. States and Political Subdivisions
|
|
|
57,605 |
|
|
|
(531 |
) |
|
|
— |
|
|
|
— |
|
|
|
57,605 |
|
|
|
(531 |
) |
|
Foreign government
|
|
|
37,543 |
|
|
|
(437 |
) |
|
|
— |
|
|
|
— |
|
|
|
37,543 |
|
|
|
(437 |
) |
|
All other corporate securities
|
|
|
1,683,186 |
|
|
|
(34,127 |
) |
|
|
— |
|
|
|
— |
|
|
|
1,683,186 |
|
|
|
(34,127 |
) |
|
ABS
|
|
|
115,568 |
|
|
|
(2,408 |
) |
|
|
— |
|
|
|
— |
|
|
|
115,568 |
|
|
|
(2,408 |
) |
|
CMBS
|
|
|
135,203 |
|
|
|
(1,065 |
) |
|
|
— |
|
|
|
— |
|
|
|
135,203 |
|
|
|
(1,065 |
) |
|
RMBS
|
|
|
92,804 |
|
|
|
(1,023 |
) |
|
|
— |
|
|
|
— |
|
|
|
92,804 |
|
|
|
(1,023 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total fixed income securities
|
|
$ |
2,136,069 |
|
|
$ |
(39,649 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,136,069 |
|
|
$ |
(39,649 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio Monitoring
The Company has a comprehensive portfolio monitoring process to
identify and evaluate each fixed maturity security whose carrying
value may be other-than-temporarily impaired.
For each fixed maturity security in an unrealized loss position,
the Company assesses whether management with the appropriate
authority has made the decision to sell or whether it is more
likely than not the Company will be required to sell the security
before recovery of the amortized cost basis for reasons such as
liquidity, contractual or regulatory purposes. If a security meets
either of these criteria, the security’s decline in fair
value is considered other-than-temporary and is recorded in
earnings.
If the Company has not made the decision to sell the fixed maturity
security and it is not more likely than not the Company will be
required to sell the fixed maturity security before recovery of its
amortized cost basis, the Company evaluates whether it expects to
receive cash flows sufficient to recover the entire amortized cost
basis of the security. The Company calculates the estimated
recovery value by discounting the best estimate of future cash
flows at the security’s original or current effective rate,
as appropriate, and compares this to the amortized cost of the
security. If the Company does not expect to receive cash flows
sufficient to recover the entire amortized cost basis of the fixed
maturity security, the credit loss component of the impairment is
recorded in earnings, with the remaining amount of the unrealized
loss related to other factors recognized in other comprehensive
income.
The Company’s portfolio monitoring process includes a
quarterly review of all securities to identify instances where the
fair value of a security compared to its amortized cost is below
established thresholds. The process also includes the monitoring of
other impairment indicators such as ratings, ratings downgrades and
payment defaults. The securities identified, in addition to other
securities for which the Company may have a concern, are evaluated
for potential other-than-temporary impairment using all reasonably
available information relevant to the collectability or recovery of
the security. Inherent in the Company’s evaluation of
other-than-temporary impairment for these fixed maturity securities
are assumptions and estimates about the financial condition and
future earnings potential of the issue or issuer. Some of the
factors that may be considered in evaluating whether a decline in
fair value is other than temporary are: 1) the financial condition,
near-term and long-term prospects of the issue or issuer, including
relevant industry specific market conditions and trends, geographic
location and implications of rating agency actions and offering
prices; 2) the specific reasons that a security is in an unrealized
loss position, including overall market conditions which could
affect liquidity; and 3) the length of time and extent to which the
fair value has been less than amortized cost.
Net Unrealized Investment Gains and Losses in AOCI
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
($ in thousands)
Predecessor
|
|
Net Unrealized
Gain (Losses) on
Investments |
|
|
VOBA |
|
|
Future Policy
Benefits and
Policyholders’
Account Balances |
|
|
Deferred
Income Tax
(Liability)
Benefit |
|
|
Accumulated Other
Comprehensive
Income (Loss)
Related to Net
Unrealized
Investment Gains
(Losses) |
|
|
Balance, December 31, 2012
|
|
$ |
21,236 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(7,433 |
) |
|
$ |
13,803 |
|
|
Net investment gains and losses on investments arising during the
period
|
|
|
(15,281 |
) |
|
|
— |
|
|
|
— |
|
|
|
5,349 |
|
|
|
(9,932 |
) |
|
Reclassification adjustment for gains and losses included in net
income
|
|
|
1 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, December 31, 2013
|
|
$ |
5,954 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(2,084 |
) |
|
$ |
3,870 |
|
|
Net investment gains and losses on investments arising during the
period
|
|
|
2,364 |
|
|
|
— |
|
|
|
— |
|
|
|
(828 |
) |
|
|
1,536 |
|
|
Reclassification adjustment for gains and losses included in net
income
|
|
|
285 |
|
|
|
— |
|
|
|
— |
|
|
|
(100 |
) |
|
|
185 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, March 31, 2014
|
|
$ |
8,033 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(2,812 |
) |
|
$ |
5,221 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Successor
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, April 1, 2014
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
Net investment gains and losses on investments arising during the
period
|
|
|
159,261 |
|
|
|
— |
|
|
|
— |
|
|
|
(55,675 |
) |
|
|
103,586 |
|
|
Reclassification adjustment for gains and losses included in net
income
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
Impact of net unrealized investment gains and losses on VOBA
|
|
|
— |
|
|
|
(20,287 |
) |
|
|
— |
|
|
|
7,100 |
|
|
|
(13,187 |
) |
|
Impact of net unrealized investment gains and losses on future
policy benefits and policyholders’ account balances
|
|
|
— |
|
|
|
— |
|
|
|
(7,541 |
) |
|
|
2,640 |
|
|
|
(4,901 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, December 31, 2014
|
|
$ |
159,261 |
|
|
$ |
(20,287 |
) |
|
$ |
(7,541 |
) |
|
$ |
(45,935 |
) |
|
$ |
85,498 |
|
|
Net investment gains and losses on investments arising during the
period
|
|
|
(408,019 |
) |
|
|
— |
|
|
|
— |
|
|
|
142,807 |
|
|
|
(265,212 |
) |
|
Reclassification adjustment for gains and losses included in net
income
|
|
|
79,023 |
|
|
|
— |
|
|
|
— |
|
|
|
(27,658 |
) |
|
|
51,365 |
|
|
Impact of net unrealized investment gains and losses on VOBA
|
|
|
— |
|
|
|
57,061 |
|
|
|
— |
|
|
|
(19,971 |
) |
|
|
37,090 |
|
|
Impact of net unrealized investment gains and losses on future
policy benefits and policyholders’ account balances
|
|
|
— |
|
|
|
— |
|
|
|
60,447 |
|
|
|
(21,157 |
) |
|
|
39,290 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, December 31, 2015
|
|
$ |
(327,781 |
) |
|
$ |
36,774 |
|
|
$ |
52,906 |
|
|
$ |
83,402 |
|
|
$ |
(154,699 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|