XML 43 R22.htm IDEA: XBRL DOCUMENT
v3.20.2

Investments (Tables) | 6 Months Ended
--- | ---
Jun. 30, 2020
Investments, Debt and Equity Securities [Abstract] |
Components of net investment income | The components of net investment income for the following periods were:
($ in thousands) |  | Three Months Ended June 30, |  | Six Months Ended June 30,
|  | 2020 |  | 2019 |  | 2020 |  | 2019
Fixed maturity securities |  | $ | 58,861 |  |  | $ | 83,561 |  |  | $ | 118,307 |  |  | $ | 167,877 |
Equity securities |  | 1,182 |  |  | 1,392 |  |  | 2,390 |  |  | 2,590 |
Limited partnership interests |  | (3,485 | ) |  | 9,449 |  |  | (6,184 | ) |  | 15,900 |
Short-term and other investments |  | 2,784 |  |  | (21,451 | ) |  | 5,641 |  |  | (18,063 | )
Investment expenses |  | (2,886 | ) |  | (2,688 | ) |  | (5,111 | ) |  | (5,241 | )
Net investment income - investment portfolio |  | 56,456 |  |  | 70,263 |  |  | 115,043 |  |  | 163,063 |
Investment income - deposit asset on reinsurance |  | 23,954 |  |  | 23,195 |  |  | 47,642 |  |  | 23,195 |
Total net investment income |  | $ | 80,410 |  |  | $ | 93,458 |  |  | $ | 162,685 |  |  | $ | 186,258 |
Schedule of net investment gains (losses) | The following table reconciles net investment gains (losses) pretax by transaction type:
($ in thousands) |  | Three Months Ended June 30, |  | Six Months Ended June 30,
|  | 2020 |  | 2019 |  | 2020 |  | 2019
Credit impairment write-downs |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Change in intent write-downs |  | (523 | ) |  | (34 | ) |  | (4,215 | ) |  | (271 | )
Net other-than-temporary impairment losses on securities recognized in earnings |  | (523 | ) |  | (34 | ) |  | (4,215 | ) |  | (271 | )
Sales and other, net |  | 352 |  |  | 142,067 |  |  | 4,909 |  |  | 146,905 |
Change in fair value - equity securities |  | 6,600 |  |  | 3,441 |  |  | (7,886 | ) |  | 6,948 |
Change in fair value and gains (losses) realized on settlements - derivatives |  | (3,267 | ) |  | 859 |  |  | (8,110 | ) |  | 168 |
Net investment gains (losses) |  | $ | 3,162 |  |  | $ | 146,333 |  |  | $ | (15,302 | ) |  | $ | 153,750 |
Net investment gains (losses) for the following periods were:
($ in thousands) |  | Three Months Ended June 30, |  | Six Months Ended June 30,
|  | 2020 |  | 2019 |  | 2020 |  | 2019
Fixed maturity securities |  | $ | (642 | ) |  | $ | 141,548 |  |  | $ | 460 |  |  | $ | 141,749 |
Equity securities |  | 7,071 |  |  | 3,926 |  |  | (7,652 | ) |  | 11,833 |
Short-term investments and other |  | (3,267 | ) |  | 859 |  |  | (8,110 | ) |  | 168 |
Net investment gains (losses) |  | $ | 3,162 |  |  | $ | 146,333 |  |  | $ | (15,302 | ) |  | $ | 153,750 |
Unrealized gains and losses on fixed maturities and equity securities | Amortized cost, net unrealized investment gains (losses) and fair values of all fixed maturity securities in the portfolio were as follows:
($ in thousands) |  | Amortized Cost |  | Unrealized Gains |  | Unrealized Losses |  | Fair Value
June 30, 2020 |  |  |  |  |  |  |  |
Fixed maturity securities |  |  |  |  |  |  |  |
U.S. Government and federally sponsored agency obligations: (1) |  |  |  |  |  |  |  |
Mortgage-backed securities |  | $ | 635,342 |  |  | $ | 83,843 |  |  | $ | 211 |  |  | $ | 718,974 |
Other, including U.S. Treasury securities |  | 333,428 |  |  | 41,453 |  |  | — |  |  | 374,881 |
Municipal bonds |  | 1,633,297 |  |  | 174,211 |  |  | 1,958 |  |  | 1,805,550 |
Foreign government bonds |  | 39,643 |  |  | 3,907 |  |  | — |  |  | 43,550 |
Corporate bonds |  | 1,705,963 |  |  | 169,498 |  |  | 13,021 |  |  | 1,862,440 |
Other asset-backed securities |  | 1,256,732 |  |  | 16,978 |  |  | 57,122 |  |  | 1,216,588 |
Totals |  | $ | 5,604,405 |  |  | $ | 489,890 |  |  | $ | 72,312 |  |  | $ | 6,021,983 |
December 31, 2019 |  |  |  |  |  |  |  |
Fixed maturity securities |  |  |  |  |  |  |  |
U.S. Government and federally sponsored agency obligations: (1) |  |  |  |  |  |  |  |
Mortgage-backed securities |  | $ | 684,543 |  |  | $ | 41,263 |  |  | $ | 1,487 |  |  | $ | 724,319 |
Other, including U.S. Treasury securities |  | 436,665 |  |  | 22,824 |  |  | 621 |  |  | 458,868 |
Municipal bonds |  | 1,545,787 |  |  | 141,996 |  |  | 1,580 |  |  | 1,686,203 |
Foreign government bonds |  | 42,801 |  |  | 2,569 |  |  | — |  |  | 45,370 |
Corporate bonds |  | 1,464,444 |  |  | 118,775 |  |  | 1,795 |  |  | 1,581,424 |
Other asset-backed securities |  | 1,282,740 |  |  | 20,883 |  |  | 8,131 |  |  | 1,295,492 |
Totals |  | $ | 5,456,980 |  |  | $ | 348,310 |  |  | $ | 13,614 |  |  | $ | 5,791,676 |
(1) Fair value includes securities issued by Federal National Mortgage Association (FNMA) of $392.6 million and $405.1 million; Federal Home Loan Mortgage Corporation (FHLMC) of $312.9 million and $283.1 million; and Government National Mortgage Association (GNMA) of $145.6 million and $147.4 million as of June 30, 2020 and December 31, 2019, respectively.
Summary of fair value and gross unrealized losses of fixed maturity securities and equity securities in an unrealized loss position | The following table presents the fair value and gross unrealized losses for fixed maturity securities in an unrealized loss position at June 30, 2020 and December 31, 2019, respectively. The Company views the decrease in fair value of all of the fixed maturity securities with unrealized losses at June 30, 2020 — which was driven largely by increasing interest rates, spread widening, financial market illiquidity and/or market volatility from the date of acquisition — as temporary. As of June 30, 2020, the Company has not made the decision to sell and it is not more likely than not the Company will be required to sell fixed maturity securities with unrealized losses before an anticipated recovery in value. Therefore, it was determined that the unrealized losses on the securities presented in the table below were not other-than-temporarily impaired as of June 30, 2020.
($ in thousands) |  | 12 Months or Less |  | More than 12 Months |  | Total
|  | Fair Value |  | Gross Unrealized Losses |  | Fair Value |  | Gross Unrealized Losses |  | Fair Value |  | Gross Unrealized Losses
June 30, 2020 |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturity securities |  |  |  |  |  |  |  |  |  |  |  |
U.S. Government and federally sponsored agency obligations: |  |  |  |  |  |  |  |  |  |  |  |
Mortgage-backed securities |  | $ | 8,344 |  |  | $ | 130 |  |  | $ | 933 |  |  | $ | 81 |  |  | $ | 9,277 |  |  | $ | 211 |
Other |  | 37 |  |  | — |  |  | — |  |  | — |  |  | 37 |  |  | — |
Municipal bonds |  | 81,279 |  |  | 1,958 |  |  | — |  |  | — |  |  | 81,279 |  |  | 1,958 |
Foreign government bonds |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Corporate bonds |  | 209,868 |  |  | 12,127 |  |  | 6,060 |  |  | 894 |  |  | 215,928 |  |  | 13,021 |
Other asset-backed securities |  | 448,358 |  |  | 38,339 |  |  | 387,453 |  |  | 18,783 |  |  | 835,811 |  |  | 57,122 |
Total |  | $ | 747,886 |  |  | $ | 52,554 |  |  | $ | 394,446 |  |  | $ | 19,758 |  |  | $ | 1,142,332 |  |  | $ | 72,312 |
Number of positions with a gross unrealized loss |  | 594 |  |  |  |  | 109 |  |  |  |  | 703 |  |  |
Fair value as a percentage of total fixed maturity securities at fair value |  | 12.4 | % |  |  |  | 6.6 | % |  |  |  | 19.0 | % |  |
December 31, 2019 |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturity securities |  |  |  |  |  |  |  |  |  |  |  |
U.S. Government and federally sponsored agency obligations: |  |  |  |  |  |  |  |  |  |  |  |
Mortgage-backed securities |  | $ | 72,422 |  |  | $ | 1,282 |  |  | $ | 2,620 |  |  | $ | 205 |  |  | $ | 75,042 |  |  | $ | 1,487 |
Other |  | 38,341 |  |  | 619 |  |  | 1,527 |  |  | 2 |  |  | 39,868 |  |  | 621 |
Municipal bonds |  | 91,195 |  |  | 977 |  |  | 9,160 |  |  | 603 |  |  | 100,355 |  |  | 1,580 |
Foreign government bonds |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Corporate bonds |  | 58,198 |  |  | 886 |  |  | 16,622 |  |  | 909 |  |  | 74,820 |  |  | 1,795 |
Other asset-backed securities |  | 218,710 |  |  | 1,970 |  |  | 442,791 |  |  | 6,161 |  |  | 661,501 |  |  | 8,131 |
Total |  | $ | 478,866 |  |  | $ | 5,734 |  |  | $ | 472,720 |  |  | $ | 7,880 |  |  | $ | 951,586 |  |  | $ | 13,614 |
Number of positions with a gross unrealized loss |  | 330 |  |  |  |  | 137 |  |  |  |  | 467 |  |  |
Fair value as a percentage of total fixed maturity securities at fair value |  | 8.3 | % |  |  |  | 8.2 | % |  |  |  | 16.5 | % |  |
Summary of cumulative credit losses | The following table summarizes the cumulative amounts related to the Company's credit loss component of other-than-temporary impairment (OTTI) losses on fixed maturity securities held as of June 30, 2020 and 2019 that the Company did not intend to sell as of those dates, and it was not more likely than not that the Company would be required to sell the securities before an anticipated recovery in value, for which the non-credit portions of OTTI losses were recognized in OCI:
($ in thousands) |  | Six Months Ended June 30,
|  | 2020 |  | 2019
Cumulative credit loss (1) |  |  |  |
Beginning of period |  | $ | 1,529 |  |  | $ | 1,529 |
New credit losses |  | 184 |  |  | — |
Increases to previously recognized credit losses |  | — |  |  | — |
Losses related to securities sold or paid down during the period |  | (103 | ) |  | — |
|  | $ | 1,610 |  |  | $ | 1,529 |
(1) The cumulative credit loss amounts exclude OTTI losses on securities held as of the periods indicated that the Company intended to sell or it was more likely than not that the Company would be required to sell the security before an anticipated recovery of value.
Distribution of the company's fixed maturity portfolio by estimated expected maturity | The following table presents the distribution of the Company’s fixed maturity securities portfolio by estimated expected maturity. Estimated expected maturities differ from contractual maturities, reflecting assumptions regarding borrowers' utilization of the right to call or prepay obligations with or without call or prepayment penalties. For structured securities, including mortgage-backed securities and other mortgage-backed securities, estimated expected maturities consider broker-dealer survey prepayment assumptions and are verified for consistency with the interest rate and economic environments.
($ in thousands) |  | Percent of Total Fair Value |  | June 30, 2020
|  | June 30, 2020 |  | December 31, 2019 |  | Fair Value |  | Amortized Cost
Estimated expected maturity: |  |  |  |  |  |  |  |
Due in 1 year or less |  | 4.0 | % |  | 3.6 | % |  | $ | 240,942 |  |  | $ | 240,701 |
Due after 1 year through 5 years |  | 27.9 | % |  | 27.4 | % |  | 1,680,037 |  |  | 1,650,193 |
Due after 5 years through 10 years |  | 30.1 | % |  | 29.6 | % |  | 1,814,204 |  |  | 1,680,118 |
Due after 10 years through 20 years |  | 24.7 | % |  | 26.1 | % |  | 1,487,294 |  |  | 1,314,841 |
Due after 20 years |  | 13.3 | % |  | 13.3 | % |  | 799,506 |  |  | 718,552 |
Total |  | 100.0 | % |  | 100.0 | % |  | $ | 6,021,983 |  |  | $ | 5,604,405 |
Average option-adjusted duration, in years |  | 6.2 |  |  | 6.0 |  |  |  |  |
Proceeds received from sales of fixed maturities and equity securities | Proceeds received from sales of fixed maturity and equity securities, each determined using the specific identification method, and gross gains and gross losses realized as a result of those sales for each period were:
($ in thousands) |  | Three Months Ended June 30, |  | Six Months Ended June 30,
|  | 2020 |  | 2019 (1) |  | 2020 |  | 2019 (1)
Fixed maturity securities |  |  |  |  |  |  |  |
Proceeds received |  | $ | 196,004 |  |  | $ | 442,015 |  |  | $ | 294,162 |  |  | $ | 501,739 |
Gross gains realized |  | 5,506 |  |  | 147,774 |  |  | 10,285 |  |  | 148,316 |
Gross losses realized |  | (5,625 | ) |  | (5,976 | ) |  | (5,893 | ) |  | (6,081 | )
Equity securities |  |  |  |  |  |  |  |
Proceeds received |  | $ | 10,602 |  |  | $ | 1,633 |  |  | $ | 12,059 |  |  | $ | 17,122 |
Gross gains realized |  | 1,721 |  |  | 389 |  |  | 2,040 |  |  | 5,134 |
Gross losses realized |  | (1,249 | ) |  | (166 | ) |  | (1,805 | ) |  | (510 | )
(1) | Gross gains realized presented above include a $135.3 million realized investment gain associated with a transfer of investments to a reinsurer as consideration paid during the second quarter of 2019 in connection with the reinsurance of a $2.9 billion block of in force fixed and variable annuity business. See Note 5 for further information.
Reconciliation of net unrealized investment gains (losses) on fixed maturity securities and equity securities | The following table reconciles net unrealized investment gains (losses) on fixed maturity securities, net of tax, included in accumulated other comprehensive income (AOCI), before the impact of DAC:
($ in thousands) |  | Three Months Ended June 30, |  | Six Months Ended June 30,
|  | 2020 |  | 2019 |  | 2020 |  | 2019
Net unrealized investment gains (losses) on fixed maturity securities, net of tax |  |  |  |  |  |  |  |
Beginning of period |  | $ | 149,876 |  |  | $ | 245,319 |  |  | $ | 264,410 |  |  | $ | 111,712 |
Change in net unrealized investment gains (losses) on fixed maturity securities |  | 174,932 |  |  | 100,693 |  |  | 71,159 |  |  | 240,705 |
Reclassification of net investment (gains) losses on securities to net income |  | 5,079 |  |  | (114,925 | ) |  | (5,682 | ) |  | (121,330 | )
End of period |  | $ | 329,887 |  |  | $ | 231,087 |  |  | $ | 329,887 |  |  | $ | 231,087 |
Offsetting assets and liability | The following table presents instruments that were subject to a master netting arrangement for the Company.
($ in thousands) |  |  |  | Gross Amounts Offset in the Consolidated Balance Sheets |  | Net Amounts of Assets/ Liabilities Presented in the Consolidated Balance Sheets |  | Gross Amounts Not Offset in the Consolidated Balance Sheets |  |
|  | Gross Amounts |  |  |  | Financial Instruments |  | Cash Collateral Received |  | Net Amount
June 30, 2020 |  |  |  |  |  |  |  |  |  |  |  |
Asset derivatives: |  |  |  |  |  |  |  |  |  |  |  |
Free-standing derivatives |  | $ | 7,276 |  |  | $ | — |  |  | $ | 7,276 |  |  | $ | 4,340 |  |  | $ | 2,600 |  |  | $ | 336 |
December 31, 2019 |  |  |  |  |  |  |  |  |  |  |  |
Asset derivatives: |  |  |  |  |  |  |  |  |  |  |  |
Free-standing derivatives |  | 13,239 |  |  | — |  |  | 13,239 |  |  | 7,687 |  |  | 6,640 |  |  | (1,088 | )

X
- Definition Tabular disclosure of investment in debt security measured at fair value with change in fair value recognized in other comprehensive income (available-for-sale). + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -URI http://asc.fasb.org/topic&trid=2196928 + Details
Name: | us-gaap_DebtSecuritiesAvailableForSaleTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of investment income, including, but not limited to, interest and dividend income and amortization of discount (premium) derived from debt and equity securities. Excludes realized and unrealized gain (loss) on investments. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 220 -SubTopic 10 -Section S99 -Paragraph 2 -Subparagraph (SX 210.5-03.9) -URI http://asc.fasb.org/extlink&oid=120395209&loc=SL114868664-224227 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 944 -SubTopic 220 -Section S99 -Paragraph 1 -Subparagraph (SX 210.7-04.2) -URI http://asc.fasb.org/extlink&oid=120400993&loc=SL114874131-224263 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 220 -SubTopic 10 -Section S99 -Paragraph 2 -Subparagraph (SX 210.5-03.7(a),(b)) -URI http://asc.fasb.org/extlink&oid=120395209&loc=SL114868664-224227 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 220 -SubTopic 10 -Section S99 -Paragraph 2 -Subparagraph (SX 210.5-03.8) -URI http://asc.fasb.org/extlink&oid=120395209&loc=SL114868664-224227 + Details
Name: | us-gaap_InvestmentIncomeTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of maturities of an entity's investments as well as any other information pertinent to the investments. + References No definition available. + Details
Name: | us-gaap_InvestmentsClassifiedByContractualMaturityDateTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_InvestmentsDebtAndEquitySecuritiesAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of derivative and other financial assets that are subject to offsetting, including master netting arrangements. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 210 -SubTopic 20 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=51824906&loc=SL20225862-175312 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 210 -SubTopic 20 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=51824906&loc=SL20225877-175312 + Details
Name: | us-gaap_OffsettingAssetsTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the amount of other than temporary impairment (OTTI) related to credit losses recognized in earnings including: (a) the beginning balance of the amount related to credit losses on debt securities held by the investor at the beginning of the period for which a portion of an OTTI was recognized in other comprehensive income; (b) additions for the amount related to the credit loss for which an OTTI was not previously recognized; (c) reductions for securities sold during the period (realized); (d) reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the investor intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis; (e) additional increases to the amount related to the credit loss for which an OTTI was previously recognized when the investor does not intend to sell the security and it is not more likely than not that the investor will be required to sell the security before recovery of its amortized cost basis; (f) reductions for increases in cash flows expected to be collected that are recognized over the remaining life of the security; and (g) the ending balance of the amount related to credit losses on debt securities held by the entity at the end of the period for which a portion of an OTTI was recognized in other comprehensive income. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=121645371&loc=d3e27340-111563 + Details
Name: | us-gaap_OtherThanTemporaryImpairmentCreditLossesRecognizedInEarningsTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of realized gains and losses on investments reported in the statement of income. + References No definition available. + Details
Name: | us-gaap_RealizedGainLossOnInvestmentsTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the proceeds from sales of available-for-sale securities and the gross realized gains and gross realized losses that have been included in earnings as a result of those sales. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 9 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=121645371&loc=d3e27357-111563 + Details
Name: | us-gaap_ScheduleOfRealizedGainLossTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition For all investments in an unrealized loss position, including those for which other-than-temporary impairments have not been recognized in earnings (including investments for which a portion of an other-than-temporary impairment has been recognized in other comprehensive income), a tabular disclosure of the aggregate related fair value of investments with unrealized losses and the aggregate amount of unrealized losses (that is, the amount by which amortized cost basis exceeds fair value). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 6 -URI http://asc.fasb.org/extlink&oid=121645371&loc=d3e27290-111563 + Details
Name: | us-gaap_ScheduleOfUnrealizedLossOnInvestmentsTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of unrealized gains and losses on investments. + References No definition available. + Details
Name: | us-gaap_UnrealizedGainLossOnInvestmentsTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration