Investments (Tables)

12 Months Ended

Dec. 31, 2017

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

The amortized cost, gross unrealized gains and losses and fair value for fixed maturities and equity securities as of December 31, 2017 and 2016 were as follows:

December 31, 2017			Gross		Gross
($ in thousands)	Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value
Fixed maturities, available for sale
U.S. Treasury Securities and Obligations of U.S. Government Authority and Agencies	$	416,639	$	5,322	$	(12,366	)	$	409,595
Obligations of U.S. States and Political Subdivisions		741,343		37,908		(2,720	)		776,531
Foreign government		24,242		234		(1,685	)		22,791
All other corporate securities		6,169,204		258,440		(37,898	)		6,389,746
ABS		478,329		5,289		(3,395	)		480,223
CMBS		189,596		1,377		(3,148	)		187,825
RMBS		127,439		6,520		(509	)		133,450
Redeemable preferred stock		14,800		—		—			14,800
Total fixed maturities, available for sale	$	8,161,592	$	315,090	$	(61,721	)	$	8,414,961
Common stock		8,152		—		—			8,152
Total fixed maturities and equity securities	$	8,169,744	$	315,090	$	(61,721	)	$	8,423,113

December 31, 2016			Gross		Gross
($ in thousands)	Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value
Fixed maturities, available for sale
U.S. Treasury Securities and Obligations of U.S. Government Authority and Agencies	$	508,635	$	7,681	$	(14,979	)	$	501,337
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, available for sale	$	8,284,148	$	110,983	$	(197,006	)	$	8,198,125
Common stock		5,100		—		—			5,100
Total fixed maturities and equity securities	$	8,289,248	$	110,983	$	(197,006	)	$	8,203,225

Schedule for Fixed Income Securities Based on Contractual Maturities

The scheduled maturities for fixed maturities, available for sale, were as follows as of December 31, 2017:

($ in thousands)	Amortized Cost		Fair Value
Due in one year or less	$	248,382	$	249,454
Due after one year through five years		887,745		901,528
Due after five years through ten years		1,130,051		1,166,334
Due after ten years		4,843,874		5,042,200
Total before asset and mortgage-backed securities	$	7,110,052	$	7,359,516
Asset and mortgage-backed securities		1,051,540		1,055,445
Total fixed maturities	$	8,161,592	$	8,414,961

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 Company’s commercial mortgage loan portfolio by geographical region was as follows as of December 31, 2017 and 2016:

($ in thousands)	December 31, 2017		December 31, 2016
Alabama	$	1,056	$	1,287
Arizona		20,009		20,389
California		173,101		255,023
Colorado		57,293		57,269
Connecticut		—		25,317
Florida		103,869		123,194
Georgia		63,526		65,414
Hawaii		5,020		6,099
Illinois		87,957		114,549
Iowa		791		1,033
Kansas		9,200		9,200
Kentucky		6,538		7,154
Maine		—		3,686
Maryland		19,851		20,975
Massachusetts		53,605		77,772
Minnesota		116,923		132,395
Nevada		80,768		84,721
New Jersey		34,101		65,908
New York		50,691		66,502
North Carolina		34,022		55,851
Ohio		12,526		38,611
Pennsylvania		1,007		31,929
South Carolina		1,310		1,948
Tennessee		—		3,238
Texas		100,066		133,020
Utah		7,823		42,641
Virginia		975		1,676
Washington		77		3,681
Wisconsin		1,082		4,674
General allowance for loan loss		—		—
Total commercial mortgage loans	$	1,043,187	$	1,455,156

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

The credit quality of commercial mortgage loans held-for-investment was as follows at December 31, 2017 and 2016:

December 31, 2017	Recorded Investment
	Debt Service Coverage Ratios
($ 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%	$	731,577	$	48,895	$	—	$	780,472		74.8	%	$	782,640		74.9	%
65% to 75%		222,771		39,944		—		262,715		25.2	%		261,891		25.1	%
76% to 80%		—		—		—		—		0.0	%		—		0.0	%
Greater than 80%		—		—		—		—		0.0	%		—		0.0	%
Total	$	954,348	$	88,839	$	—	$	1,043,187		100.0	%	$	1,044,531		100.0	%

December 31, 2016	Recorded Investment
	Debt Service Coverage Ratios
($ 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	%

Composition of Other Invested Assets

Other invested assets were as follows as of December 31, 2017 and 2016:

	December 31, 2017		December 31, 2016
($ in thousands)
Low income housing tax credit properties	$	138	$	457
Derivatives		21,045		18,949
	$	21,183	$	19,406

Schedule of Net Investment Income

Net investment income for the years ended December 31, 2017, 2016 and 2015 was as follows:

	2017		2016		2015
($ in thousands)
Fixed maturities, available for sale	$	345,299	$	330,253	$	334,931
Common Stock		224		—		—
Fair value option and trading securities		3,755		454		—
Commercial mortgage loans		56,510		69,360		63,028
Cash, cash equivalents and short-term investments		1,718		1,007		511
Other investments		8,421		8,845		9,543
Gross investment income	$	415,927	$	409,919	$	408,013
Investment expenses		14,814		12,836		9,082
Net investment income	$	401,113	$	397,083	$	398,931

Schedule of Realized Investment Gains and Losses

Realized investment gains and losses for the years ended December 31, 2017, 2016 and 2015 were as follows:

	2017			2016			2015
($ in thousands)
Realized investment gains, net
Fixed maturities, available for sale	$	11,434		$	66,560		$	120,421
Fair value option and trading securities		1,486			(733	)		—
Commercial mortgage loans		5,935			4,037			2,325
Derivatives		19,360			3,856			(9,208	)
Other invested assets		(92	)		—			—
Net realized gains	$	38,123		$	73,720		$	113,538

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 the years ended December 31, 2017, 2016 and 2015 were as follows:

	2017			2016			2015
($ in thousands)
Fixed maturities, available-for-sale
Proceeds from sales	$	1,496,242		$	3,027,998		$	3,864,356
Gross investment gains from sales		29,271			109,282			142,534
Gross investment losses from sales		(11,893	)		(35,136	)		(16,348	)

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

The gross unrealized losses and fair value of fixed maturities, available for sale, by the length of time that individual securities have been in a continuous unrealized loss position were as follows as of December 31, 2017 and 2016:

December 31, 2017	Less than 12 months					Greater than 12 months
($ 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	$	215,767	$	(3,499	)	$	107,344	$	(8,867	)	$	323,111	$	(12,366	)
Obligations of U.S. States and Political Subdivisions		38,171		(825	)		45,877		(1,895	)		84,048		(2,720	)
Foreign government		296		(4	)		11,098		(1,681	)		11,394		(1,685	)
All other corporate securities		740,795		(6,841	)		489,367		(31,057	)		1,230,162		(37,898	)
ABS		77,050		(689	)		99,327		(2,706	)		176,377		(3,395	)
CMBS		72,725		(593	)		36,540		(2,555	)		109,265		(3,148	)
RMBS		6,908		(118	)		21,835		(391	)		28,743		(509	)
Total fixed maturities	$	1,151,712	$	(12,569	)	$	811,388	$	(49,152	)	$	1,963,100	$	(61,721	)

December 31, 2016	Less than 12 months					Greater than 12 months
($ 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	)

Net Unrealized Investment Gains and Losses in AOCI

The changes in unrealized gains and losses in accumulated other comprehensive income (loss) (“AOCI”) were as follows for the years ended December 31, 2017, 2016 and 2015:

($ in thousands)	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, 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	)
Net investment gains and losses on investments arising during the period		332,918			—			—			(111,486	)		221,432
Reclassification adjustment for gains and losses included in net income		(6,001	)		—			—			2,100			(3,901	)
Impact of net unrealized investment gains and losses on VOBA		—			(21,843	)		—			7,645			(14,198	)
Impact of net unrealized investment gains and losses on future policy benefits and policyholders’ account balances		—			—			(157,156	)		55,005			(102,151	)
Balance, December 31, 2017	$	253,369		$	(16,017	)	$	(133,174	)	$	(31,362	)	$	72,816