XML 65 R35.htm IDEA: XBRL DOCUMENT v3.20.4

Fair Value of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2020

Fair Value Disclosures [Abstract]

Summary of company's fair value hierarchy measured at recurring basis

The following table presents the Company's fair value hierarchy for those assets and liabilities measured and carried at fair value on a recurring basis. At December 31, 2020, Level 3 investments comprised approximately 5.3% of the Company's total investment portfolio at fair value.

($ in thousands)						Carrying						Fair						Fair Value Measurements at Reporting Date Using
						Amount						Value						Level 1						Level 2						Level 3
December 31, 2020
Financial Assets
Investments
Fixed maturity securities
U.S. Government and federally sponsored agency obligations:
Mortgage-backed securities						$	684,838					$	684,838					$	—					$	673,764					$	11,074
Other, including U.S. Treasury securities						433,153						433,153						18,350						414,803						—
Municipal bonds						1,827,497						1,827,497						—						1,767,907						59,590
Foreign government bonds						45,054						45,054						—						45,054						—
Corporate bonds						2,122,898						2,122,898						14,876						1,952,206						155,816
Other asset-backed securities						1,231,850						1,231,850						—						1,103,567						128,283
Total fixed maturity securities						6,345,290						6,345,290						33,226						5,957,301						354,763
Equity securities						121,653						121,653						39,235						82,115						303
Short-term investments						141,770						141,770						137,679						4,091						—
Other investments						36,258						36,258						—						36,258						—
Totals						$	6,644,971					$	6,644,971					$	210,140					$	6,079,765					$	355,066
Separate Account (variable annuity) assets (1)						$	2,891,423					$	2,891,423					$	2,891,423					$	—					$	—
Financial Liabilities
Investment contract and life policy reserves, embedded derivatives						$	2,474					$	2,474					$	—					$	2,474					$	—
Other policyholder funds, embedded derivatives						$	104,488					$	104,488					$	—					$	—					$	104,488
December 31, 2019
Financial Assets
Investments
Fixed maturity securities
U.S. Government and federally sponsored agency obligations:
Mortgage-backed securities						$	724,319					$	724,319					$	—					$	711,004					$	13,315
Other, including U.S. Treasury securities						458,868						458,868						17,699						441,169						—
Municipal bonds						1,686,203						1,686,203						—						1,641,912						44,291
Foreign government bonds						45,370						45,370						—						45,370						—
Corporate bonds						1,581,424						1,581,424						14,470						1,463,002						103,952
Other asset-backed securities						1,295,492						1,295,492						—						1,161,979						133,513
Total fixed maturity securities						5,791,676						5,791,676						32,169						5,464,436						295,071
Equity securities						101,864						101,864						49,834						51,923						107
Short-term investments						172,667						172,667						172,667						—						—
Other investments						25,997						25,997						—						25,997						—
Totals						$	6,092,204					$	6,092,204					$	254,670					$	5,542,356					$	295,178
Separate Account (variable annuity) assets (1)						$	2,490,469					$	2,490,469					$	2,490,469					$	—					$	—
Financial Liabilities
Investment contract and life policy reserves, embedded derivatives						$	1,314					$	1,314					$	—					$	1,314					$	—
Other policyholder funds, embedded derivatives						$	93,733					$	93,733					$	—					$	—					$	93,733

(1)    Separate Account (variable annuity) assets represent contractholder funds invested in various actively traded mutual funds that have daily quoted net asset values that are readily determinable for identical assets that the Company can access. Separate Account (variable annuity) liabilities are equal to the estimated fair value of Separate Account (variable annuity) assets.

Table for reconciliations for all Level 3 assets measured at fair value on a recurring basis

The following tables present reconciliations for the periods indicated for all Level 3 assets and liabilities measured at fair value on a recurring basis.

($ in thousands)						Financial Assets																																				Financial Liabilities (1)
						Municipal Bonds						Corporate  Bonds						Mortgage and Asset- Backed Securities (2)						Total Fixed Maturity Securities						Equity Securities						Total
Beginning balance, January 1, 2020						$	44,291					$	103,952					$	146,828					$	295,071					$	107					$	295,178					$	93,733
Transfers into Level 3 (3)						80,686						83,621						104,263						268,570						234						268,804						—
Transfers out of Level 3 (3)						(69,074)						(36,620)						(84,679)						(190,373)						—						(190,373)						—
Total gains or losses
Net investment gains (losses) included in net income related to financial assets						—						—						(239)						(239)						(38)						(277)						—
Net investment (gains) losses included in net income related to financial liabilities						—						—						—						—						—						—						11,499
Net unrealized investment gains (losses) included in OCI						4,252						1,427						(10,471)						(4,792)						—						(4,792)						—
Purchases						—						6,875						1,890						8,765						—						8,765						—
Issuances						—						—						—						—						—						—						8,373
Sales						—						—						1,214						1,214						—						1,214						—
Settlements						—						—						—						—						—						—						—
Paydowns, maturities and distributions						(565)						(3,439)						(19,449)						(23,453)						—						(23,453)						(9,117)
Ending balance, December 31, 2020						$	59,590					$	155,816					$	139,357					$	354,763					$	303					$	355,066					$	104,488
Beginning balance, January 1, 2019						$	47,531					$	80,742					$	120,211					$	248,484					$	5					$	248,489					$	78,700
Transfers into Level 3 (3)						—						33,475						56,766						90,241						65						90,306						—
Transfers out of Level 3 (3)						—						(7,698)						(2,568)						(10,266)						—						(10,266)						—
Total gains or losses
Net investment gains (losses) included in net income related to financial assets						—						—						(1,105)						(1,105)						38						(1,067)						—
Net investment (gains) losses included in net income related to financial liabilities						—						—						—						—						—						—						12,636
Net unrealized investment gains (losses) included in OCI						474						4,461						6,100						11,035						—						11,035						—
Purchases						—						2,483						—						2,483						—						2,483						—
Issuances						—						—						—						—						—						—						10,039
Sales						—						—						(607)						(607)						(1)						(608)						—
Settlements						—						—						—						—						—						—						—
Paydowns, maturities and distributions						(3,714)						(9,511)						(31,969)						(45,194)						—						(45,194)						(7,642)
Ending balance, December 31, 2019						$	44,291					$	103,952					$	146,828					$	295,071					$	107					$	295,178					$	93,733

(1)    Represents embedded derivatives, all related to the Company's FIA products, reported in Other policyholder funds in the Company's Consolidated Balance Sheets.

(2)    Includes U.S. Government and federally sponsored agency obligations for mortgage-backed securities and other asset-backed securities.

(3)    Transfers into and out of Level 3 during the years ended December 31, 2020 and 2019 were attributable to changes in the availability of observable market information for individual fixed maturity securities and short-term investments. The Company's policy is to recognize transfers into and out of the levels as having occurred at the end of the reporting period in which the transfers were determined.

Fair value measurement inputs and valuation techniques

The following table provides quantitative information about the significant unobservable inputs for recurring fair value measurements categorized within Level 3.

($ in thousands)

Financial Assets

Fair Value at December 31, 2020

Valuation Technique(s)

Unobservable Inputs

Range (Weighted Average) and Single Point Best Estimate (1)

Municipal bonds

$

59,590

discounted cash flow

I spread (2)

307 - 391 bps

Corporate bonds

155,816

discounted cash flow

N spread (3)

272 - 553 bps

market comparable

option adjusted spread

12.54%

Other asset-backed securities

128,283

vendor price

haircut

3.00% - 5.00%

discounted cash flow

constant prepayment rate

20.00%

discounted cash flow

T spread (4)

235 - 800 bps

discounted cash flow

PDI interest margin (5)

7.13%

discounted cash flow

SBL interest margin (6)

4.50%

Government mortgage-backed securities

11,074

vendor price

haircut

3.00% - 5.00%

Equity securities

303

Black-Scholes

equity value

low - 31.00%; high - 41.00%

($ in thousands)

Financial Liabilities

Fair Value at December 31, 2020

Valuation Technique(s)

Unobservable Inputs

Range (Weighted Average) and Single Point Best Estimate (1)

Derivatives embedded in fixed indexed annuity products

$

104,488

discounted cash flow

lapse rate

5.30%

mortality multiplier (7)

63.00%

option budget

0.90% - 2.50%

non-performance adjustment (8)

5.00%

(1)    When a range of unobservable inputs is not readily available, the Company uses a single point best estimate.

(2)    "I spread" is the interpolated weighted average life point on the "on the run" (OTR) point of the curve.

(3)    "N spread" is the interpolated weighted average life point on the swap curve.

(4)    "T spread" is a specific point on the OTR curve.

(5)    "PDI" stands for private debt investment.

(6)    "SBL" stands for broadly syndicated loans.

(7)    Mortality multiplier is applied to the Annuity 2000 table.

(8)    Determined as a percentage of a risk-free rate.

Summary of fair value assets and liabilities measured on nonrecurring basis

The following table presents the carrying amount, fair value and fair value hierarchy of these financial assets and financial liabilities.

($ in thousands)						Carrying						Fair						Fair Value Measurements at Reporting Date Using
						Amount						Value						Level 1						Level 2						Level 3
December 31, 2020
Financial Assets
Investments
Other investments						$	168,296					$	172,073					$	—					$	—					$	172,073
Deposit asset on reinsurance						2,420,926						3,030,589						—						—						3,030,589
Financial Liabilities
Investment contract and policy reserves, fixed annuity contracts						4,847,648						4,963,318						—						—						4,963,318
Investment contract and life policy reserves, account values on life contracts						98,719						108,360						—						—						108,360
Other policyholder funds						646,809						646,809						—						590,692						56,117
Short-term debt						135,000						135,000						—						—						135,000
Long-term debt						302,323						331,136						—						331,136						—
December 31, 2019
Financial Assets
Investments
Other investments						$	163,312					$	167,185					$	—					$	—					$	167,185
Deposit asset on reinsurance						2,346,166						2,634,012						—						—						2,634,012
Financial Liabilities
Investment contract and policy reserves, fixed annuity contracts						4,675,774						4,609,880						—						—						4,609,880
Investment contract and life policy reserves, account values on life contracts						93,465						98,332						—						—						98,332
Other policyholder funds						553,550						553,550						—						495,812						57,738
Short-term debt						135,000						135,000						—						—						135,000
Long-term debt						298,025						322,678						—						322,678						—

X

- Definition

Carrying value, fair value and fair value hierarchy of financial assets and financial liabilities not carried at fair value, are measured on a nonrecurring basis, and fair value disclosure is required.

+ References

No definition available.

+ Details

Name:	hmn_ScheduleOfFairValueAssetsAndLiabilitiesMeasuredOnNonrecurringBasisTableTextBlock
Namespace Prefix:	hmn_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (bbb)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisValuationTechniquesTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 3
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (c)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueAssetsMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- References

No definition available.

+ Details

Name:	us-gaap_FairValueDisclosuresAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

+ Details

Name:	us-gaap_ScheduleOfFairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration