Investment [Text Block] | Investment Operations Fixed Maturity Securities Available-For-Sale Fixed Maturity Securities by Investment Category December 31, 2019 Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Fair Value Non-credit losses on other-than-temporary impairments (1) (Dollars in thousands) Fixed maturities: Corporate $ 3,376,432 $ 418,049 $ (15,531 ) $ 3,778,950 $ — Residential mortgage-backed 626,663 47,654 (1,929 ) 672,388 1,997 Commercial mortgage-backed 969,453 77,433 (1,413 ) 1,045,473 — Other asset-backed 697,390 19,745 (2,614 ) 714,521 502 United States Government and agencies 12,417 1,711 (5 ) 14,123 — States and political subdivisions 1,332,914 145,125 (866 ) 1,477,173 — Total fixed maturities $ 7,015,269 $ 709,717 $ (22,358 ) $ 7,702,628 $ 2,499 December 31, 2018 Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Fair Value Non-credit losses on other-than-temporary impairments (1) (Dollars in thousands) Fixed maturities: Corporate $ 3,231,846 $ 138,972 $ (90,933 ) $ 3,279,885 $ — Residential mortgage-backed 584,133 29,969 (7,242 ) 606,860 2,823 Commercial mortgage-backed 873,672 24,284 (19,390 ) 878,566 — Other asset-backed 697,332 15,567 (5,329 ) 707,570 1,143 United States Government and agencies 19,673 996 (134 ) 20,535 — States and political subdivisions 1,449,621 95,921 (5,913 ) 1,539,629 — Total fixed maturities $ 6,856,277 $ 305,709 $ (128,941 ) $ 7,033,045 $ 3,966 (1) Non-credit losses subsequent to the initial impairment measurement date on OTTI losses are included in the gross unrealized gains and gross unrealized losses columns above. The non-credit loss component of OTTI losses for residential mortgage-backed and other asset-backed securities at December 31, 2019 and December 31, 2018 were in an unrealized gain position due to increases in estimated fair value subsequent to initial recognition of non-credit losses on such securities. Available-For-Sale Fixed Maturities by Maturity Date December 31, 2019 Amortized Cost Fair Value (Dollars in thousands) Due in one year or less $ 66,353 $ 67,542 Due after one year through five years 546,639 575,142 Due after five years through ten years 731,902 805,484 Due after ten years 3,376,869 3,822,078 4,721,763 5,270,246 Mortgage-backed and other asset-backed 2,293,506 2,432,382 Total fixed maturities $ 7,015,269 $ 7,702,628 Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. Fixed maturities not due at a single maturity date have been included in the above table in the year of final contractual maturity. Net Unrealized Gains on Investments in Accumulated Other Comprehensive Income December 31, 2019 2018 (Dollars in thousands) Net unrealized appreciation on: Fixed maturities - available for sale $ 687,359 $ 176,768 Adjustments for assumed changes in amortization pattern of: Deferred acquisition costs (200,227 ) (46,732 ) Value of insurance in force acquired (12,498 ) (6,878 ) Unearned revenue reserve 18,025 5,134 Adjustments for assumed changes in policyholder liabilities (30,642 ) (1,642 ) Provision for deferred income taxes (see Note 5) (97,023 ) (26,596 ) Net unrealized investment gains $ 364,994 $ 100,054 Change in Unrealized Appreciation/Depreciation of Investments - Recorded in Accumulated Other Comprehensive Income Year ended December 31, 2019 2018 2017 (Dollars in thousands) Fixed maturities - available for sale $ 510,591 $ (357,950 ) $ 187,639 Equity securities — — 4,941 Change in unrealized appreciation/depreciation of investments $ 510,591 $ (357,950 ) $ 192,580 The changes in net unrealized investment gains and losses are recorded net of deferred income taxes and other adjustments for assumed changes in deferred acquisition costs, value of insurance in force acquired, unearned revenue reserve and policyholder liabilities. Subsequent changes in the fair value of securities for which a previous non-credit OTTI loss was recognized in accumulated other comprehensive income are reported along with changes in fair value for which no OTTI losses were previously recognized. Fixed Maturity Securities with Unrealized Losses by Length of Time December 31, 2019 Less than one year One year or more Total Description of Securities Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Percent of Total (Dollars in thousands) Fixed maturities: Corporate $ 114,520 $ (2,476 ) $ 84,719 $ (13,055 ) $ 199,239 $ (15,531 ) 69.5 % Residential mortgage-backed 68,743 (1,435 ) 6,941 (494 ) 75,684 (1,929 ) 8.6 % Commercial mortgage-backed 46,537 (1,266 ) 2,610 (147 ) 49,147 (1,413 ) 6.3 % Other asset-backed 112,462 (519 ) 102,439 (2,095 ) 214,901 (2,614 ) 11.7 % United States Government and agencies — — 2,494 (5 ) 2,494 (5 ) — % States and political subdivisions 19,367 (379 ) 5,936 (487 ) 25,303 (866 ) 3.9 % Total fixed maturities $ 361,629 $ (6,075 ) $ 205,139 $ (16,283 ) $ 566,768 $ (22,358 ) 100.0 % Fixed Maturity Securities with Unrealized Losses by Length of Time December 31, 2018 Less than one year One year or more Total Description of Securities Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Percent of Total (Dollars in thousands) Fixed maturities: Corporate $ 1,035,176 $ (60,299 ) $ 207,381 $ (30,634 ) $ 1,242,557 $ (90,933 ) 70.5 % Residential mortgage-backed 191,365 (4,482 ) 74,113 (2,760 ) 265,478 (7,242 ) 5.6 % Commercial mortgage-backed 302,159 (9,947 ) 148,855 (9,443 ) 451,014 (19,390 ) 15.0 % Other asset-backed 250,119 (3,397 ) 149,997 (1,932 ) 400,116 (5,329 ) 4.1 % United States Government and agencies — — 6,474 (134 ) 6,474 (134 ) 0.1 % States and political subdivisions 144,681 (3,885 ) 16,943 (2,028 ) 161,624 (5,913 ) 4.7 % Total fixed maturities $ 1,923,500 $ (82,010 ) $ 603,763 $ (46,931 ) $ 2,527,263 $ (128,941 ) 100.0 % Fixed maturities in the above tables include 189 securities from 145 issuers at December 31, 2019 and 709 securities from 465 issuers at December 31, 2018 . Unrealized losses decreased during 2019 primarily due to lower market interest rates. We do not consider securities to be OTTI when the market decline is attributable to factors such as interest rate movements, market volatility, liquidity, spread widening and credit quality when recovery of all amounts due under the contractual terms of the security is anticipated. Based on our intent not to sell or our belief that we will not be required to sell these securities before recovery of their amortized cost basis, we do not consider these investments to be OTTI at December 31, 2019 . Mortgage Loans Our mortgage loan portfolio consists of commercial mortgage loans that we have originated. Our lending policies require that the loans be collateralized by the value of the related property, establish limits on the amount that can be loaned to one borrower and require diversification by geographic location and collateral type. We originate loans with an initial loan-to-value ratio that provides sufficient collateral to absorb losses should we be required to foreclose and take possession of the collateral. In order to identify impairment losses, management maintains and regularly reviews a watch list of mortgage loans that have heightened risk. These loans may include those with borrowers delinquent on contractual payments, borrowers experiencing financial difficulty, increases in rental real estate vacancies and significant declines in collateral value. We evaluate each of our mortgage loans individually and establish an estimated loss, if needed, for each impaired loan identified. An estimated loss is needed for loans for which we do not believe we will collect all amounts due according to the contractual terms of the respective loan agreements. Any loan delinquent on contractual payments is considered non-performing. Mortgage loans are placed on non-accrual status if we have concerns regarding the collectability of future payments. Interest income on non-performing loans is generally recognized on a cash basis. Once mortgage loans are classified as non-accrual loans, the resumption of the interest accrual would commence only after all past due interest has been collected or the mortgage loan has been restructured such that the collection of interest is considered likely. At December 31, 2019 and December 31, 2018 , there were no non-performing loans over 90 days past due on contractual payments. At December 31, 2019 , we had not committed to provide additional funding for any mortgage loans. Mortgage Loans by Collateral Type December 31, 2019 December 31, 2018 Collateral Type Carrying Value Percent of Total Carrying Value Percent of Total (Dollars in thousands) Office $ 417,746 41.3 % $ 454,694 43.7 % Retail 345,870 34.2 332,579 32.0 Industrial 235,274 23.2 234,453 22.6 Other 12,788 1.3 18,103 1.7 Total $ 1,011,678 100.0 % $ 1,039,829 100.0 % Mortgage Loans by Geographic Location within the United States December 31, 2019 December 31, 2018 Region of the United States Carrying Value Percent of Total Carrying Value Percent of Total (Dollars in thousands) South Atlantic $ 288,299 28.5 % $ 301,206 29.0 % Pacific 164,996 16.3 162,824 15.7 East North Central 117,053 11.6 117,768 11.3 West North Central 108,942 10.8 126,320 12.1 Mountain 96,857 9.6 101,335 9.7 East South Central 81,275 8.0 76,098 7.3 West South Central 76,650 7.6 85,919 8.3 Middle Atlantic 45,687 4.5 34,843 3.4 New England 31,919 3.1 33,516 3.2 Total $ 1,011,678 100.0 % $ 1,039,829 100.0 % Mortgage Loans by Loan-to-Value Ratio December 31, 2019 December 31, 2018 Loan-to-Value Ratio Carrying Value Percent of Total Carrying Value Percent of Total (Dollars in thousands) 0% - 50% $ 412,973 40.8 % $ 409,089 39.3 % 51% - 60% 310,869 30.7 314,038 30.2 61% - 70% 256,280 25.4 264,973 25.5 71% - 80% 31,556 3.1 37,418 3.6 81% - 90% — — 14,311 1.4 Total $ 1,011,678 100.0 % $ 1,039,829 100.0 % The loan-to-value ratio is determined using the most recent appraised value. Appraisals are updated periodically when there is indication of a possible significant collateral decline or there are loan modifications or refinance requests. Mortgage Loans by Year of Origination December 31, 2019 December 31, 2018 Carrying Value Percent of Total Carrying Value Percent of Total (Dollars in thousands) 2019 $ 69,319 6.8 % $ — — % 2018 128,334 12.7 137,519 13.2 2017 200,283 19.8 207,540 20.0 2016 144,311 14.3 149,437 14.4 2015 119,724 11.8 128,877 12.4 2014 and prior 349,707 34.6 416,456 40.0 Total $ 1,011,678 100.0 % $ 1,039,829 100.0 % Impaired Mortgage Loans December 31, 2019 2018 (Dollars in thousands) Unpaid principal balance $ 4,632 $ 18,622 Less: Related allowance (329 ) (3,107 ) Carrying value of impaired mortgage loans $ 4,303 $ 15,515 Allowance on Mortgage Loans Year ended December 31, 2019 2018 (Dollars in thousands) Balance at beginning of period $ 3,107 $ 497 Allowances established — 2,778 Recoveries (2,778 ) (168 ) Balance at end of period $ 329 $ 3,107 Mortgage Loan Modifications Our commercial mortgage loan portfolio can include loans that have been modified. We assess loan modifications on a loan-by-loan basis to evaluate whether a troubled-debt restructuring has occurred. Generally, the types of concessions include reduction of the contractual interest rate to a below-market rate, extension of the maturity date and/or a reduction of accrued interest. The amount, timing and extent of the concession granted is considered in determining if an impairment loss is needed for the restructuring. There were no loan modifications during 2019 or 2018 . Components of Net Investment Income Year ended December 31, 2019 2018 2017 (Dollars in thousands) Fixed maturities - available for sale $ 334,557 $ 340,498 $ 344,302 Equity securities 8,718 8,488 6,502 Mortgage loans 46,182 45,294 42,185 Policy loans 9,416 9,210 9,014 Short-term investments, cash and cash equivalents 1,043 772 506 Derivative income (loss) 25,282 (10,405 ) 7,687 Prepayment fee income and other 7,332 9,208 12,470 432,530 403,065 422,666 Less investment expenses (7,532 ) (8,447 ) (7,467 ) Net investment income $ 424,998 $ 394,618 $ 415,199 Realized Gains (Losses) - Recorded in Income Year ended December 31, 2019 2018 2017 (Dollars in thousands) Realized gains (losses) on investments Fixed maturities: Gross gains $ 3,779 $ 2,195 $ 1,426 Gross losses (3,777 ) (363 ) (1,081 ) Equity securities — — (90 ) Mortgage loans 2,778 — — Real estate 54 — 304 Other (4 ) (19 ) 40 2,830 1,813 599 Net gains and (losses) recognized during the period on equity securities held at the end of the period (1) 5,666 (8,137 ) — Net gains and (losses) recognized during the period on equity securities sold during the period 27 (952 ) — Net gains (losses) recognized during the period on equity securities 5,693 (9,089 ) — Net realized gains (losses) 8,523 (7,276 ) 599 Impairment losses recognized in earnings: Credit-related portion of fixed maturity losses (2) — (32 ) — Other credit-related (3) (919 ) (4,966 ) (1,553 ) Net realized gains (losses) on investments recorded in income $ 7,604 $ (12,274 ) $ (954 ) (1) See Note 1 to our consolidated financial statements for discussion of change in accounting policy for equity securities during 2018. (2) Amount represents the credit-related losses recognized for fixed maturities that were impaired through income but not written down to fair value. As discussed above, the non-credit portion of the losses have been recognized in other comprehensive income (loss). (3) Amount represents credit-related losses for fixed maturities, mortgage loans, and other investments written down to fair value through income. Proceeds from sales of fixed maturities were $34.6 million in 2019 , $82.9 million in 2018 and $58.7 million in 2017 . Realized losses on sales were on securities that we did not intend to sell at the prior balance sheet date or on securities that were impaired in a prior period, but decreased in value and were sold during the current reporting period. Credit Loss Component of Other-Than-Temporary Impairments on Fixed Maturities Year ended December 31, 2019 2018 (Dollars in thousands) Balance at beginning of period $ (5,963 ) $ (12,392 ) Increases to previously impaired investments — (32 ) Reductions due to investments sold 1,147 3,932 Reduction for credit loss that no longer has a portion of the OTTI loss recognized in other comprehensive income — 2,529 Balance at end of period $ (4,816 ) $ (5,963 ) This table sets forth the amount of credit loss impairments on fixed maturities held by the Company for which the non-credit portion of the OTTI was recognized in other comprehensive income (loss) and corresponding changes in such amounts. Credit loss impairments with no portion of the loss recognized in other comprehensive income, such as securities for which OTTI were measured at fair value, are excluded from the table. Variable Interest Entities We evaluate our variable interest entity (VIE) investees to determine whether the level of our direct ownership interest, our rights to manage operations or our obligation to provide ongoing financial support are such that we are the primary beneficiary of the entity, and would therefore be required to consolidate it for financial reporting purposes. After determining that we have a variable interest, we review our involvement in the VIE to determine whether we have both the power to direct activities that most significantly impact the economic performance of the VIE, and the obligation to absorb losses or the rights to receive benefits that could be potentially significant to the VIE. This analysis includes a review of the purpose and design of the VIE, as well as the role that we played in the formation of the entity and how that role could impact our ability to control the VIE. We also review the activities and decisions considered significant to the economic performance of the VIE and assess what power we have in directing those activities and decisions. Finally, we review the agreements in place to determine if there are any guarantees that would affect our maximum exposure to loss. We have reviewed the circumstances surrounding our investments in VIEs, which consist of (i) limited partnerships or limited liability companies accounted for under the equity method included in securities and indebtedness of related parties and (ii) non-guaranteed federal LIHTC investments included in other assets. In addition, we have reviewed the ownership interests in our VIEs and determined that we do not hold direct majority ownership or have other contractual rights (such as kick out rights) that give us effective control over these entities resulting in us having both the power to direct activities that most significantly impact the economic performance of the VIE and the obligation to absorb losses or the right to receive benefits that could be potentially significant to the VIE. The maximum loss exposure relative to our VIEs is limited to the carrying value and any unfunded commitments that exist for each particular VIE. We also have not provided additional support or other guarantees that were not previously contractually required (financial or otherwise) to any of the VIEs as of December 31, 2019 or December 31, 2018. Based on this analysis, none of our VIEs were required to be consolidated at December 31, 2019 or December 31, 2018. LIHTC investments take the form of limited partnerships or limited liability companies, which in turn invest in a number of low income housing projects. We use the proportional amortization method of accounting for these investments. The proportional amortization method amortizes the cost of the investment over the period in which the investor expects to receive tax credits and other tax benefits, and the resulting amortization is recognized along with the tax benefit as a component of federal income tax expense on our consolidated statements of operations. VIE Investments by Category December 31, 2019 December 31, 2018 Carrying Value Maximum Exposure to Loss Carrying Value Maximum Exposure to Loss (Dollars in thousands) LIHTC investments $ 42,907 $ 43,834 $ 54,037 $ 55,597 Investment companies 53,388 103,125 40,236 79,578 Real estate limited partnerships 9,565 15,527 8,945 15,673 Other 492 492 483 493 Total $ 106,352 $ 162,978 $ 103,701 $ 151,341 In addition, we make passive investments in the normal course of business in structured securities issued by VIEs for which we are not the investment manager. These structured securities include all of the residential mortgage-backed securities, commercial mortgage-backed securities and other asset-backed securities included in our fixed maturity securities. Our maximum exposure to loss on these securities is limited to our carrying value of the investment. We have determined that we are not the primary beneficiary of these structured securities because we do not have the power to direct the activities that most significantly impact the entities’ economic performance. Derivative Instruments Our primary derivative exposure relates to purchased call options, which provide an economic hedge against the embedded derivatives in our indexed products. We also have embedded derivatives within our modified coinsurance agreements as well as an interest-only fixed maturity investment. We do not apply hedge accounting to any of our derivative positions, and they are held at fair value. Derivatives Instruments by Type December 31, 2019 December 31, 2018 (Dollars in thousands) Assets Freestanding derivatives: Call options (reported in other investments) $ 31,469 $ 4,745 Embedded derivatives: Modified coinsurance (reported in reinsurance recoverable) 2,327 157 Interest-only security (reported in fixed maturities) 385 855 Total assets $ 34,181 $ 5,757 Liabilities Embedded derivatives: Indexed products (reported in liability for future policy benefits) $ 76,346 $ 40,028 Modified coinsurance (reported in other liabilities) 254 780 Total liabilities $ 76,600 $ 40,808 Derivative Income (Loss) Year ended December 31, 2019 2018 2017 (Dollars in thousands) Freestanding derivatives: Call options $ 22,497 $ (7,749 ) $ 9,372 Embedded derivatives: Modified coinsurance 2,695 (2,480 ) (1,440 ) Interest-only security 90 (176 ) (246 ) Indexed products (23,050 ) 3,243 321 Total income (loss) from derivatives $ 2,232 $ (7,162 ) $ 8,007 Derivative income (loss) is reported in net investment income except for the change in fair value of the embedded derivatives on our indexed products, which is reported in interest sensitive product benefits. We are exposed to credit losses in the event of nonperformance of the derivative counterparties. This credit risk is minimized by purchasing such agreements from financial institutions with high credit ratings (currently rated A or better by nationally recognized statistical rating organizations). We have also entered into credit support agreements with the counterparties requiring them to post collateral when net exposures exceed pre-determined thresholds that vary by counterparty. The net amount of such exposure is essentially the market value less collateral held for such agreements with each counterparty. The call options are supported by securities collateral received of $25.6 million at December 31, 2019 , which is held in a separate custodial account. Subject to certain constraints, we are permitted to sell or re-pledge this collateral, but do not have legal rights to the collateral; accordingly, it has not been recorded on our balance sheet. At December 31, 2019 , none of the collateral had been sold or re-pledged. As of December 31, 2019 , our net derivative exposure was $7.0 million . Other At December 31, 2019 , affidavits of deposits covering investments with a carrying value totaling $8,452.0 million were on deposit with state agencies to meet regulatory requirements. Fixed maturities with a carrying value of $535.7 million were on deposit with the FHLB as collateral for funding agreements. The carrying value of investments which have been non-income producing for the twelve months preceding December 31, 2019 includes real estate totaling $3.0 million . No investment in any entity or its affiliates (other than bonds issued by agencies of the United States Government) exceeded 10.0% of stockholders’ equity at December 31, 2019 |