XML 30 R23.htm IDEA: XBRL DOCUMENT v3.19.3
Investments (Tables)
 9 Months Ended
Sep. 30, 2019
Investments [Line Items]  
Schedule of Available-for-sale Securities
September 30, 2019
 
 
 
 
 
 
 
 
($ in thousands)
 
Cost/
Amortized
Cost
 
Unrealized
Gains
 
Unrealized
Losses
 
Fair
Value
AFS fixed income securities:
 
 
 
 
 
 
 
 
U.S. government and government agencies
 
$
116,555

 
4,357

 
(12
)
 
120,900

Foreign government
 
20,947

 
573

 
—

 
21,520

Obligations of states and political subdivisions
 
1,127,709

 
62,910

 
(4
)
 
1,190,615

Corporate securities
 
1,762,981

 
78,345

 
(2,399
)
 
1,838,927

Collateralized loan obligations and other asset-backed securities ("CLO and other ABS")
 
764,038

 
8,998

 
(4,653
)
 
768,383

Commercial mortgage-backed securities ("CMBS")
 
524,441

 
31,435

 
(145
)
 
555,731

Residential mortgage-backed securities (“RMBS”)
 
1,389,985

 
44,710

 
(534
)
 
1,434,161

Total AFS fixed income securities
 
$
5,706,656

 
231,328

 
(7,747
)
 
5,930,237

December 31, 2018
 
 
 
 
 
 
 
 
($ in thousands)
 
Cost/
Amortized
Cost
 
Unrealized
Gains
 
Unrealized
Losses
 
Fair
Value
AFS fixed income securities:
 
 
 
 
 
 
 
 
U.S. government and government agencies
 
$
120,092

 
1,810

 
(592
)
 
121,310

Foreign government
 
23,202

 
36

 
(107
)
 
23,131

Obligations of states and political subdivisions
 
1,121,615

 
19,485

 
(2,631
)
 
1,138,469

Corporate securities
 
1,639,852

 
5,521

 
(27,965
)
 
1,617,408

CLO and other ABS
 
720,193

 
4,112

 
(6,943
)
 
717,362

CMBS
 
527,409

 
3,417

 
(3,748
)
 
527,078

RMBS
 
1,118,435

 
12,988

 
(3,081
)
 
1,128,342

Total AFS fixed income securities
 
$
5,270,798

 
47,369

 
(45,067
)
 
5,273,100
Schedule of Fair Value and Gross Pre-Tax Net Unrealized Loss of Securities by Length of Time, AFS
September 30, 2019
 
Less than 12 months
 
12 months or longer
 
Total
($ in thousands)
 
Fair Value
 
Unrealized
Losses1
 
Fair Value
 
Unrealized
Losses1
 
Fair Value
 
Unrealized
Losses1
AFS fixed income securities:
 
 

 
 

 
 

 
 

 
 
 
 
U.S. government and government agencies
 
$
5,014

 
(11
)
 
498

 
(1
)
 
5,512

 
(12
)
Obligations of states and political subdivisions
 
437

 
(4
)
 
—

 
—

 
437

 
(4
)
Corporate securities
 
89,919

 
(1,862
)
 
15,867

 
(537
)
 
105,786

 
(2,399
)
CLO and other ABS
 
176,999

 
(2,458
)
 
180,898

 
(2,195
)
 
357,897

 
(4,653
)
CMBS
 
59,857

 
(126
)
 
7,665

 
(19
)
 
67,522

 
(145
)
RMBS
 
84,408

 
(503
)
 
9,513

 
(31
)
 
93,921

 
(534
)
Total AFS fixed income securities
 
$
416,634

 
(4,964
)
 
214,441

 
(2,783
)
 
631,075

 
(7,747
)
December 31, 2018
 
Less than 12 months
 
12 months or longer
 
Total
($ in thousands)
 
Fair
Value
 
Unrealized
Losses1
 
Fair Value
 
Unrealized
Losses1
 
Fair Value
 
Unrealized
Losses1
AFS fixed income securities:
 
 

 
 

 
 

 
 

 
 
 
 
U.S. government and government agencies
 
$
6,693

 
(174
)
 
23,163

 
(418
)
 
29,856

 
(592
)
Foreign government
 
12,208

 
(93
)
 
1,482

 
(14
)
 
13,690

 
(107
)
Obligations of states and political subdivisions
 
196,798

 
(2,074
)
 
42,821

 
(557
)
 
239,619

 
(2,631
)
Corporate securities
 
1,041,952

 
(23,649
)
 
78,953

 
(4,316
)
 
1,120,905

 
(27,965
)
CLO and other ABS
 
516,106

 
(6,750
)
 
16,800

 
(193
)
 
532,906

 
(6,943
)
CMBS
 
229,338

 
(2,548
)
 
66,294

 
(1,200
)
 
295,632

 
(3,748
)
RMBS
 
139,338

 
(1,660
)
 
45,661

 
(1,421
)
 
184,999

 
(3,081
)
Total AFS fixed income securities
 
$
2,142,433

 
(36,948
)
 
275,174

 
(8,119
)
 
2,417,607

 
(45,067
)
  1 Gross unrealized losses include non-OTTI unrealized amounts and OTTI losses recognized in AOCI. 

Schedule of Fixed Maturity Securities By Contractual Maturities
 
 
AFS
 
HTM
($ in thousands)
 
Fair Value
 
Carrying Value
 
Fair Value
Due in one year or less
 
$
310,387

 
4,754

 
4,773

Due after one year through five years
 
3,296,126

 
16,334

 
17,589

Due after five years through 10 years
 
2,191,633

 
5,837

 
5,994

Due after 10 years
 
132,091

 
—

 
—

Total fixed income securities
 
$
5,930,237

 
26,925

 
28,356
Schedule of Other Investment Portfolio By Strategy And Remaining Commitment Amount and Maximum Exposure to Loss Associated With Each Strategy
Other Investments
 
September 30, 2019
 
December 31, 2018
($ in thousands)
 
Carrying Value
 
Remaining Commitment
 
Maximum Exposure to Loss1
 
Carrying Value
 
Remaining Commitment
 
Maximum Exposure to Loss1
Alternative Investments
 
 

 
 

 
 
 
 
 
 
 
 
   Private equity
 
$
105,922

 
97,552

 
203,474

 
84,352

 
93,688

 
178,040

   Private credit
 
37,710

 
109,797

 
147,507

 
41,682

 
81,453

 
123,135

   Real assets
 
21,828

 
22,534

 
44,362

 
27,862

 
27,129

 
54,991

Total alternative investments
 
165,460

 
229,883

 
395,343

 
153,896

 
202,270

 
356,166

Other securities
 
23,783

 
—

 
23,783

 
25,042

 
—

 
25,042

Total other investments
 
$
189,243

 
229,883

 
419,126

 
178,938

 
202,270

 
381,208


1The maximum exposure to loss includes both the carry value of these investments and the related remaining commitments. In addition, tax credits that have been previously recognized in Other securities are subject to the risk of recapture, which we do not consider significant. 
Schedule of Aggregated Summarized Income Statement Financial Information For Partnerships In Our Alternative Investment Portfolio
Income Statement Information
 
Quarter ended September 30,
 
Nine Months ended September 30,
($ in millions)
 
2019
 
2018
 
2019
 
2018
Net investment (loss) income
 
$
(14.0
)

11.9

 
10.1

 
(29.9
)
Realized gains
 
121.1


124.8

 
370.4

 
1,348.3

Net change in unrealized appreciation (depreciation)
 
1,739.4


1,434.3

 
4,517.4

 
695.8

Net income
 
$
1,846.5


1,571.0

 
4,897.9

 
2,014.2

Insurance subsidiaries’ alternative investments income
 
$
5.2

 
7.1

 
13.0

 
10.6


 
Schedule of Securities Pledged As Collateral
($ in millions)
 
FHLBI Collateral
 
FHLBNY Collateral
 
State and Regulatory Deposits
 
Total
U.S. government and government agencies
 
$
—

 
—

 
22.9

 
22.9

Obligations of states and political subdivisions
 
—

 
—

 
3.9

 
3.9

Corporate securities
 
—

 
—

 
0.3

 
0.3

CMBS
 
7.3

 
19.6

 
—

 
26.9

RMBS
 
57.4

 
81.1

 
—

 
138.5

Total pledged as collateral
 
$
64.7

 
100.7

 
27.1


192.5
Schedule of Pre-Tax Net Investment Income Earned
 
 
Quarter ended September 30,
 
Nine Months ended September 30,
($ in thousands)
 
2019
 
2018
 
2019
 
2018
Fixed income securities
 
$
50,749


45,088

 
150,689

 
130,903

Equity securities
 
1,885


2,079

 
5,265

 
5,876

Short-term investments
 
1,410


867

 
5,213

 
2,001

Other investments
 
5,267


7,211

 
13,421

 
10,868

Investment expenses
 
(3,485
)

(2,802
)
 
(9,639
)
 
(8,421
)
Net investment income earned
 
$
55,826

 
52,443

 
164,949

 
141,227
Schedule of Components of Net Realized and Unrealized Gains and Losses Excluding OTTI Charges
 
 
Quarter ended September 30,
 
Nine Months ended September 30,
($ in thousands)
 
2019
 
2018
 
2019
 
2018
Net realized gains (losses) on the disposals of securities:
 
 
 
 
 
 
 
 
Fixed income securities
 
$
(1,141
)
 
(9,413
)
 
2,063

 
(13,922
)
Equity securities
 
21,602

 
8,665

 
24,733

 
17,960

Short-term investments
 
(36
)
 
2

 
(21
)
 
1

Other investments
 
—

 
(5
)
 
(23
)
 
(5
)
Net realized gains (losses) on the disposal of securities
 
20,425

 
(751
)
 
26,752

 
4,034

OTTI charges
 
(2,291
)
 
(1,426
)
 
(3,366
)
 
(5,459
)
Net realized gains (losses)
 
18,134

 
(2,177
)
 
23,386

 
(1,425
)
Unrealized (losses) recognized in income on equity securities
 
(20,317
)
 
(2,610
)
 
(8,091
)
 
(15,563
)
Total net realized and unrealized investment (losses) gains
 
$
(2,183
)
 
(4,787
)
 
$
15,295

 
(16,988
)
Schedule of Realized Gains and Losses on Disposals of Securities
 
 
Quarter ended September 30,
 
Nine Months ended September 30,
($ in thousands)
 
2019
 
2018
 
2019
 
2018
HTM fixed income securities
 
 
 
 
 
 
 
 
Gains
 
$
—

 
—

 
1

 
2

Losses
 
—

 
—

 
(15
)
 
—

AFS fixed income securities
 
 

 
 

 
 
 
 
Gains
 
1,078

 
462

 
5,565

 
5,056

Losses
 
(2,219
)
 
(9,875
)
 
(3,488
)
 
(18,980
)
Equity securities
 
 

 
 

 
 
 
 
Gains
 
21,630

 
10,584

 
24,868

 
20,209

Losses
 
(28
)
 
(1,919
)
 
(135
)
 
(2,249
)
Short-term investments
 
 
 
 
 
 
 
 
Gains
 
2

 
3

 
18

 
6

Losses
 
(38
)
 
(1
)
 
(39
)
 
(5
)
Other investments
 
 
 
 
 
 
 
 
Gains
 
—

 
—

 
7

 
—

      Losses
 
—


(5
)
 
(30
)
 
(5
)
Total net realized gains on disposals of securities
 
$
20,425


(751
)
 
26,752

 
4,034
Equity Securities [Member]  
Investments [Line Items]  
Schedule of Components of Net Realized and Unrealized Gains and Losses Excluding OTTI Charges
 
 
Quarter ended September 30,
 
Nine Months ended September 30,
($ in thousands)
 
2019
 
2018
 
2019
 
2018
Unrealized gains (losses) recognized in income on equity securities:
 
 
 
 
 
 
 
 
On securities remaining in our portfolio at September 30, 2019
 
$
1,109

 
5,476

 
1,805

 
4,199

On securities sold in each respective period
 
(21,426
)
 
(8,086
)
 
(9,896
)
 
(19,762
)
Total unrealized (losses) recognized in income on equity securities
 
$
(20,317
)
 
(2,610
)
 
$
(8,091
)

(15,563
)