Investments (Tables)

12 Months Ended

Dec. 31, 2016

Schedule for Fixed Income Securities at Amortized Cost, Gross Unrealized Gains and Losses and Fair Value

he amortized cost, gross unrealized gains and losses and fair value for fixed maturities as of December 31, 2016 and 2015 were as follows:


December 31, 2016 — Successor ($ in thousands)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Embedded Derivatives⁽¹⁾			Fair Value
Fixed maturities
U.S. Treasury Securities and Obligations of U.S. Government Authority and Agencies, available for sale	$	508,635	$	7,681	$	(14,979	)	$	—		$	501,337
U.S. Treasury Securities and Obligations of U.S. Government Authority and Agencies, at fair value option		15,348		—		—			(733	)		14,615
Obligations of U.S. States and Political Subdivisions		702,415		15,936		(8,614	)		—			709,737
Foreign government		31,009		303		(3,257	)		—			28,055
All other corporate securities		5,963,354		74,854		(151,382	)		—			5,886,826
ABS		512,486		5,370		(10,093	)		—			507,763
CMBS		385,757		1,283		(5,778	)		—			381,262
RMBS		180,492		5,556		(2,903	)		—			183,145

Total fixed maturities	$	8,299,496	$	110,983	$	(197,006	)	$	(733	)	$	8,212,740
Equity securities		5,100		—		—			—			5,100

Total fixed maturities and equity securities investments	$	8,304,596	$	110,983	$	(197,006	)	$	(733	)	$	8,217,840


December 31, 2015 — Successor ($ in thousands)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Embedded Derivatives⁽¹⁾			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
All other 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

⁽¹⁾	Embedded derivatives within fixed maturity securities held at fair value option are reported with the host investment. The change in fair value of embedded derivatives are reported in Realized Investment Gains, net in the Consolidated Statement of Operations and Comprehensive Income (Loss).

Schedule for Fixed Income Securities Based on Contractual Maturities

The scheduled maturities for fixed maturities are as follows as of December 31, 2016:


($ in thousands)	Amortized Cost		Fair Value
Due in one year or less	$	89,822	$	90,008
Due after one year through five years		1,095,001		1,111,271
Due after five years through ten years		1,443,613		1,469,357
Due after ten years		4,176,392		4,056,041

Total before asset and mortgage-backed securities	$	6,804,828	$	6,726,677
Asset and mortgage-backed securities		1,494,668		1,486,063

Total fixed maturities	$	8,299,496	$	8,212,740

Schedule of Commercial Mortgage Loan Portfolio by Geographical Region

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, 2016 and 2015:


($ in thousands)	December 31, 2016		December 31, 2015
Alabama	$	1,287	$	1,508
Arizona		20,389		34,911
California		255,023		336,310
Colorado		57,269		57,207
Connecticut		25,317		25,374
Florida		123,194		86,698
Georgia		65,414		67,213
Hawaii		6,099		7,134
Illinois		114,549		92,813
Iowa		1,033		1,266
Kansas		9,200		9,200
Kentucky		7,154		7,696
Maine		3,686		3,905
Maryland		20,975		33,844
Massachusetts		77,772		90,897
Minnesota		132,395		148,346
Nevada		84,721		14,262
New Jersey		65,908		68,720
New York		66,502		94,985
North Carolina		55,851		58,078
Ohio		38,611		36,954
Oklahoma		—		10,803
Pennsylvania		31,929		41,975
South Carolina		1,948		2,532
Tennessee		3,238		5,278
Texas		133,020		107,279
Utah		42,641		44,366
Virginia		1,676		2,353
Washington		3,681		11,550
Wisconsin		4,674		5,675
General allowance for loan loss		—		—

Total commercial mortgage loans	$	1,455,156	$	1,509,132

Schedule of Credit Quality of Commercial Mortgage Loans Held-For-Investment

The credit quality of commercial mortgage loans held-for-investment were as follows at December 31, 2016 and 2015:


	Recorded Investment
	Debt Service Coverage Ratios
December 31, 2016 ($ in thousands)	> 1.20x		1.00x - 1.20x		< 1.00x		Total		% of Total			Estimated Fair Value		% of Total
Loan-to-value ratios:
Less than 65%	$	785,149	$	36,743	$	11,354	$	833,246		57.3	%	$	848,702		57.9	%
65% to 75%		581,188		25,317		—		606,505		41.7			601,587		41.1
76% to 80%		10,493		—		—		10,493		0.7			10,494		0.7
Greater than 80%		4,912		—		—		4,912		0.3			4,330		0.3

Total	$	1,381,742	$	62,060	$	11,354	$	1,455,156		100.0	%	$	1,465,113		100.0	%


	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
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	%

Composition of Other Invested Assets

The following table sets forth the composition of “Other invested assets” as of December 31, 2016 and 2015:

Amortized Cost


($ in thousands)	December 31, 2016		December 31, 2015
Low income housing tax credit properties	$	457	$	677
Derivatives		18,949		17,735

	$	19,406	$	18,412

Schedule of Net Investment Income

Net investment income for Successor Periods for the years ended December 31, 2016 and 2015 and the period from April 1, 2014 through December 31, 2014 and the Predecessor Period from January 1, 2014 through March 31, 2014 were as follows:


	Successor						Predecessor
($ in thousands)	For the Year Ended December 31, 2016		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
Fixed maturities	$	330,707	$	334,931	$	231,972	$	2,461
Commercial mortgage loans		69,360		63,028		49,417		—
Cash, cash equivalents and short-term investments		1,007		511		4,786		16
Other investment income		8,845		9,543		7,353		—

Gross investment income	$	409,919	$	408,013	$	293,528	$	2,477
Investment expenses		12,836		9,082		4,957		127

Net investment income	$	397,083	$	398,931	$	288,571	$	2,350

Schedule of Realized Investment Gains and Losses

Realized investment gains and losses for Successor Periods for the years ended December 31, 2016 and 2015 and the period from April 1, 2014 through December 31, 2014 and the Predecessor Period from January 1, 2014 through March 31, 2014 were as follows:


	Successor								Predecessor
($ in thousands)	For the Year Ended December 31, 2016			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
Realized investment gains, net
Fixed maturities, available for sale	$	66,560		$	120,421		$	25,795	$	285
Fixed maturities, at fair value option⁽¹⁾		(733	)		—			—		—
Commercial mortgage loans		4,037			2,325			2,880		—
Derivatives		3,856			(9,208	)		17,417		—

Net realized gains	$	73,720		$	113,538		$	46,092	$	285

⁽¹⁾	Relates to embedded derivatives within fixed maturity securities that are held at fair value option.

Proceeds from Sale of Fixed Maturities and Gross Realized Investment Gains and Losses

Proceeds from sales of fixed maturities and gross realized investment gains and losses for Successor Periods for the years ended December 31, 2016 and 2015 and for the period from April 1, 2014 through December 31, 2014 and the Predecessor Period for the period from January 1, 2014 through March 31, 2014 were as follows:


	Successor									Predecessor
($ in thousands)	For the Year Ended December 31, 2016			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
Fixed maturities, available-for-sale
Proceeds from sales	$	3,027,998		$	3,864,356		$	1,427,135		$	5,277
Gross investment gains from sales		109,282			142,534			27,224			317
Gross investment losses from sales		(35,136	)		(16,348	)		(2,755	)		(32	)

Summary of Gross Unrealized Losses and Fair Value of Fixed Income by Length of Time

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, 2016 and 2015:

Fixed Maturities Available for Sale in a Loss Position


	Less than 12 months					Greater than 12 months
December 31, 2016 ($ 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	$	276,025	$	(14,951	)	$	1,059	$	(28	)	$	277,084	$	(14,979	)
Obligations of U.S. States and Political Subdivisions		206,090		(8,314	)		5,274		(300	)		211,364		(8,614	)
Foreign government		769		(34	)		14,632		(3,223	)		15,401		(3,257	)
All other corporate securities		2,385,689		(94,085	)		512,710		(57,297	)		2,898,399		(151,382	)
ABS		204,555		(8,456	)		39,450		(1,637	)		244,005		(10,093	)
CMBS		228,303		(5,231	)		43,903		(547	)		272,206		(5,778	)
RMBS		61,058		(1,659	)		40,454		(1,244	)		101,512		(2,903	)

Total fixed maturities	$	3,362,489	$	(132,730	)	$	657,482	$	(64,276	)	$	4,019,971	$	(197,006	)


	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 maturities	$	4,692,004	$	(323,827	)	$	272,685	$	(64,024	)	$	4,964,689	$	(387,851	)

Net Unrealized Investment Gains and Losses in AOCI

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, 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	)
Net investment gains and losses on investments arising during the period		160,311			—			—			(56,111	)		104,200
Reclassification adjustment for gains and losses included in net income		(81,920	)		—			—			28,672			(53,248	)
Impact of net unrealized investment gains and losses on VOBA		—			(30,948	)		—			10,832			(20,116	)
Impact of net unrealized investment gains and losses on future policy benefits and policyholders’ account balances		—			—			(28,924	)		10,123			(18,801	)

Balance, December 31, 2016	$	(85,550	)	$	5,826		$	23,982		$	19,574		$	(36,168	)