Cover Page
Cover Page - shares | 6 Months Ended | |
Jun. 30, 2020 | Jul. 26, 2020 | |
Cover [Abstract] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Jun. 30, 2020 | |
Document Transition Report | false | |
Entity File Number | 001-31901 | |
Entity Registrant Name | PROTECTIVE LIFE INSURANCE CO | |
Entity Incorporation, State or Country Code | TN | |
Entity Tax Identification Number | 63-0169720 | |
Entity Address, Address Line One | 2801 Highway 280 South | |
Entity Address, City or Town | Birmingham | |
Entity Address, State or Province | AL | |
Entity Address, Postal Zip Code | 35223 | |
City Area Code | 205 | |
Local Phone Number | 268-1000 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Non-accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 5,000,000 | |
Document Fiscal Year Focus | 2020 | |
Document Fiscal Period Focus | Q2 | |
Amendment Flag | false | |
Entity Central Index Key | 0000310826 | |
Current Fiscal Year End Date | --12-31 |
CONSOLIDATED CONDENSED STATEMEN
CONSOLIDATED CONDENSED STATEMENTS OF INCOME - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Revenues | ||||
Premiums and policy fees | $ 1,009,112 | $ 939,097 | $ 1,905,277 | $ 1,862,783 |
Reinsurance ceded | (376,573) | (352,915) | (429,891) | (684,432) |
Net of reinsurance ceded | 632,539 | 586,182 | 1,475,386 | 1,178,351 |
Net investment income | 740,435 | 685,194 | 1,493,415 | 1,326,616 |
Realized gains (losses) - investments/derivatives | 20,102 | 43,545 | (18,009) | 96,623 |
Other income | 111,364 | 104,172 | 238,534 | 182,308 |
Total revenues | 1,504,440 | 1,419,093 | 3,189,326 | 2,783,898 |
Benefits and expenses | ||||
Benefits and settlement expenses, net of reinsurance ceded: (three and six months 2020 - $350,114 and $319,390; three and six months 2019 - $257,677 and $509,351) | 1,132,174 | 1,003,453 | 2,476,336 | 1,976,607 |
Amortization of deferred policy acquisition costs and value of business acquired | (18,508) | 33,837 | 35,455 | 64,210 |
Other operating expenses, net of reinsurance ceded: (three and six months 2020 - $58,926 and $118,537; three and six months 2019 - $56,340 and $108,874) | 184,933 | 196,080 | 380,221 | 380,631 |
Total benefits and expenses | 1,298,599 | 1,233,370 | 2,892,012 | 2,421,448 |
Income before income tax | 205,841 | 185,723 | 297,314 | 362,450 |
Income tax expense | 40,736 | 31,309 | 58,244 | 65,938 |
Net income | $ 165,105 | $ 154,414 | $ 239,070 | $ 296,512 |
CONSOLIDATED CONDENSED STATEM_2
CONSOLIDATED CONDENSED STATEMENTS OF INCOME (Parenthetical) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Income Statement [Abstract] | ||||
Benefit and settlement expenses, reinsurance ceded | $ 350,114 | $ 257,677 | $ 319,390 | $ 509,351 |
Other operating expenses, insurance ceded | $ 58,926 | $ 56,340 | $ 118,537 | $ 108,874 |
CONSOLIDATED CONDENSED STATEM_3
CONSOLIDATED CONDENSED STATEMENTS OF COMPREHENSIVE INCOME - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income | $ 165,105 | $ 154,414 | $ 239,070 | $ 296,512 |
Other comprehensive income (loss): | ||||
Change in net unrealized gains (losses) on investments, net of income tax: (three and six months 2020 - $598,707 and $207,054; three and six months 2019 - $263,211 and $563,641) | 2,252,281 | 990,177 | 778,919 | 2,120,367 |
Reclassification adjustment for investment amounts included in net income, net of income tax: (three and six months 2020 - $5,847 and $8,498; three and six months 2019 - $(76) and $(495)) | 21,994 | (288) | 31,966 | (1,864) |
Change in net unrealized gains (losses) for which a credit loss has been recognized in operations, net of income tax: (three and six months 2020 - $1,266 and $(469)) | 4,762 | (1,767) | ||
Change in net unrealized gains (losses) relating to other-than-temporary impaired investments for which a portion has been recognized in earnings, net of income tax: (three and six months 2019 - $4,127 and $6,464) | 15,524 | 24,316 | ||
Change in accumulated (loss) gain - derivatives, net of income tax: (three and six months 2020 - $594 and $(638); three and six months 2019 - $(742) and $(1,264)) | 2,235 | (2,788) | (2,401) | (4,754) |
Reclassification adjustment for derivative amounts included in net income, net of income tax: (three and six months 2020 - $308 and $561; three and six months 2019 - $70 and $128) | 1,159 | 266 | 2,110 | 486 |
Total other comprehensive income | 2,282,431 | 1,002,891 | 808,827 | 2,138,551 |
Total comprehensive income | $ 2,447,536 | $ 1,157,305 | $ 1,047,897 | $ 2,435,063 |
CONSOLIDATED CONDENSED STATEM_4
CONSOLIDATED CONDENSED STATEMENTS OF COMPREHENSIVE INCOME (Parenthetical) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Statement of Comprehensive Income [Abstract] | ||||
Change in net unrealized gains (losses) on investments, income tax | $ 598,707 | $ 263,211 | $ 207,054 | $ 563,641 |
Reclassification adjustment for investment amounts included in net income, income tax | 5,847 | (76) | 8,498 | (495) |
Change in net unrealized gains (losses) on securities with credit losses, tax | 1,266 | (469) | ||
Change in net unrealized gains (losses) relating to other-than-temporary impaired investments for which a portion has been recognized in earnings, income tax | 4,127 | 6,464 | ||
Change in accumulated (loss) gain - derivatives, income tax | 594 | (742) | (638) | (1,264) |
Reclassification adjustment for derivative amounts included in net income, income tax | $ 308 | $ 70 | $ 561 | $ 128 |
CONSOLIDATED CONDENSED BALANCE
CONSOLIDATED CONDENSED BALANCE SHEETS - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Assets | ||
Fixed maturities, at fair value (amortized cost: 2020 - $64,361,388; 2019 - $63,268,660; allowance for credit losses: 2020 - $82,081) | $ 68,780,104 | $ 66,043,992 |
Fixed maturities, at amortized cost (fair value: 2020 - $2,947,350; 2019 - $3,025,790) | 2,728,529 | 2,823,881 |
Equity securities, at fair value (cost: 2020 - $511,614; 2019 - $534,463) | 513,181 | 553,720 |
Commercial mortgage loans, net of allowance for credit losses (allowance for credit losses: 2020 - $173,186; 2019 - $4,884) | 9,545,793 | 9,379,401 |
Investment real estate, net of accumulated depreciation (2020 - $287; 2019 - $203) | 10,237 | 10,321 |
Policy loans | 1,657,530 | 1,675,121 |
Other long-term investments | 2,695,664 | 2,479,520 |
Short-term investments | 1,113,261 | 1,320,864 |
Total investments | 87,044,299 | 84,286,820 |
Cash | 445,447 | 171,752 |
Accrued investment income | 706,811 | 715,388 |
Accounts and premiums receivable | 169,988 | 174,202 |
Reinsurance receivables, net of allowances for credit losses (allowances for credit losses: 2020 - $102,673; 2019 - $0) | 4,722,188 | 4,371,865 |
Deferred policy acquisition costs and value of business acquired | 3,561,997 | 3,519,555 |
Goodwill | 825,511 | 825,511 |
Other intangibles, net of accumulated amortization (2020 - $283,593; 2019 - $253,759) | 565,115 | 583,426 |
Property and equipment, net of accumulated depreciation (2020 - $58,995; 2019 - $49,357) | 210,714 | 211,745 |
Other assets | 619,581 | 308,544 |
Assets related to separate accounts | ||
Variable annuity | 11,394,911 | 12,730,090 |
Variable universal life | 1,087,327 | 1,135,666 |
Reinsurance assumed | 11,632,011 | 11,443,105 |
Total assets | 122,985,900 | 120,477,669 |
Liabilities | ||
Future policy benefits and claims | 53,989,110 | 53,943,962 |
Unearned premiums | 773,293 | 794,832 |
Total policy liabilities and accruals | 54,762,403 | 54,738,794 |
Stable value product account balances | 5,984,036 | 5,443,752 |
Annuity account balances | 14,694,473 | 14,289,907 |
Other policyholders’ funds | 1,691,472 | 1,576,856 |
Other liabilities | 4,675,217 | 2,977,278 |
Income tax payable | 35,988 | 34,224 |
Deferred income taxes | 1,608,790 | 1,371,970 |
Senior Notes | 787 | 968 |
Subordinated debt | 110,000 | 110,000 |
Non-recourse funding obligations | 2,989,340 | 3,082,753 |
Secured financing liabilities | 202,522 | 335,480 |
Liabilities related to separate accounts | ||
Variable annuity | 11,394,911 | 12,730,090 |
Variable universal life | 1,087,327 | 1,135,666 |
Reinsurance assumed | 11,632,011 | 11,443,105 |
Total liabilities | 110,869,277 | 109,270,843 |
Commitments and contingencies - Note 11 | ||
Shareowner’s equity | ||
Preferred Stock; $1 par value, shares authorized: 2,000; Liquidation preference: $2 | 2 | 2 |
Common Stock, $1 par value, shares authorized and issued: 2020 and 2019 - 5,000,000 | 5,000 | 5,000 |
Additional paid-in-capital | 8,260,537 | 8,260,537 |
Retained earnings | 1,634,615 | 1,533,645 |
Accumulated other comprehensive income (loss): | ||
Net unrealized gains (losses) on investments, net of income tax: (2020 - $598,862; 2019 - $383,311) | 2,252,863 | 1,441,978 |
Net unrealized losses on investments for which a credit loss has been recognized in operations, net of income tax: (2020 - $(7,473)) | (28,114) | |
Net unrealized losses relating to other-than-temporary impaired investments for which a portion has been recognized in operations, net of income tax: (2019 - $(7,004)) | (26,347) | |
Accumulated gain (loss) - derivatives, net of income tax: (2020 - $(2,201); 2019 - $(2,123)) | (8,280) | (7,989) |
Total shareowner’s equity | 12,116,623 | 11,206,826 |
Total liabilities and shareowner’s equity | $ 122,985,900 | $ 120,477,669 |
CONSOLIDATED CONDENSED BALANC_2
CONSOLIDATED CONDENSED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Statement of Financial Position [Abstract] | ||
Fixed maturities, amortized cost | $ 64,361,388 | $ 63,268,660 |
Fixed maturities, allowance for credit losses | 82,081 | |
Fixed maturities, fair value | 2,947,350 | 3,025,790 |
Equity securities, cost | 511,614 | 534,463 |
Mortgage loans, allowance for credit losses | 173,186 | 4,884 |
Investment real estate, accumulated depreciation | 287 | 203 |
Reinsurance allowance, allowance for credit loss | 102,673 | 0 |
Other intangibles, accumulated amortization | 283,593 | 253,759 |
Property and equipment, accumulated depreciation | $ 58,995 | $ 49,357 |
Preferred Stock, par value (in dollars per share) | $ 1 | $ 1 |
Preferred Stock, shares authorized (in shares) | 2,000 | 2,000 |
Preferred Stock, Liquidation preference | $ 2 | $ 2 |
Common Stock, par value (in dollars per share) | $ 1 | $ 1 |
Common Stock, shares authorized (in shares) | 5,000,000 | 5,000,000 |
Common Stock, shares issued (in shares) | 5,000,000 | 5,000,000 |
Net unrealized gains on investments, income tax | $ 598,862 | $ 383,311 |
Net unrealized gains on investments with credit losses, tax | (7,473) | |
Net unrealized (losses) gains relating to other-than-temporary impaired investments for which a portion has been recognized in earnings, income tax | (7,004) | |
Accumulated loss - derivatives, income tax | $ (2,201) | $ (2,123) |
CONSOLIDATED CONDENSED STATEM_5
CONSOLIDATED CONDENSED STATEMENTS OF SHAREOWNER'S EQUITY - USD ($) $ in Thousands | Total | Cumulative Effect Adjustment | Preferred Stock | Common Stock | Additional Paid-In-Capital | Retained Earnings | Retained EarningsCumulative Effect Adjustment | Accumulated Other Comprehensive Income (Loss) |
Beginning Balance at Dec. 31, 2018 | $ 7,042,788 | $ (50,804) | $ 2 | $ 5,000 | $ 7,410,537 | $ 1,031,465 | $ (50,804) | $ (1,404,216) |
Increase (decrease) in shareowner's equity | ||||||||
Net income | 142,098 | 142,098 | ||||||
Other comprehensive income (loss) | 1,135,660 | 1,135,660 | ||||||
Comprehensive income (loss) | 1,277,758 | |||||||
Ending Balance at Mar. 31, 2019 | 8,269,742 | 2 | 5,000 | 7,410,537 | 1,122,759 | (268,556) | ||
Beginning Balance at Dec. 31, 2018 | 7,042,788 | (50,804) | 2 | 5,000 | 7,410,537 | 1,031,465 | (50,804) | (1,404,216) |
Increase (decrease) in shareowner's equity | ||||||||
Net income | 296,512 | |||||||
Other comprehensive income (loss) | 2,138,551 | |||||||
Comprehensive income (loss) | 2,435,063 | |||||||
Ending Balance at Jun. 30, 2019 | 10,277,047 | 2 | 5,000 | 8,260,537 | 1,277,173 | 734,335 | ||
Beginning Balance at Mar. 31, 2019 | 8,269,742 | 2 | 5,000 | 7,410,537 | 1,122,759 | (268,556) | ||
Increase (decrease) in shareowner's equity | ||||||||
Net income | 154,414 | 154,414 | ||||||
Other comprehensive income (loss) | 1,002,891 | 1,002,891 | ||||||
Comprehensive income (loss) | 1,157,305 | |||||||
Capital contributions from parent | 850,000 | 850,000 | ||||||
Ending Balance at Jun. 30, 2019 | 10,277,047 | 2 | 5,000 | 8,260,537 | 1,277,173 | 734,335 | ||
Beginning Balance at Dec. 31, 2019 | 11,206,826 | (138,100) | 2 | 5,000 | 8,260,537 | 1,533,645 | (138,100) | 1,407,642 |
Increase (decrease) in shareowner's equity | ||||||||
Net income | 73,965 | 73,965 | ||||||
Other comprehensive income (loss) | (1,473,604) | (1,473,604) | ||||||
Comprehensive income (loss) | (1,399,639) | |||||||
Ending Balance at Mar. 31, 2020 | 9,669,087 | 2 | 5,000 | 8,260,537 | 1,469,510 | (65,962) | ||
Beginning Balance at Dec. 31, 2019 | 11,206,826 | $ (138,100) | 2 | 5,000 | 8,260,537 | 1,533,645 | $ (138,100) | 1,407,642 |
Increase (decrease) in shareowner's equity | ||||||||
Net income | 239,070 | |||||||
Other comprehensive income (loss) | 808,827 | |||||||
Comprehensive income (loss) | 1,047,897 | |||||||
Ending Balance at Jun. 30, 2020 | 12,116,623 | 2 | 5,000 | 8,260,537 | 1,634,615 | 2,216,469 | ||
Beginning Balance at Mar. 31, 2020 | 9,669,087 | 2 | 5,000 | 8,260,537 | 1,469,510 | (65,962) | ||
Increase (decrease) in shareowner's equity | ||||||||
Net income | 165,105 | 165,105 | ||||||
Other comprehensive income (loss) | 2,282,431 | 2,282,431 | ||||||
Comprehensive income (loss) | 2,447,536 | |||||||
Ending Balance at Jun. 30, 2020 | $ 12,116,623 | $ 2 | $ 5,000 | $ 8,260,537 | $ 1,634,615 | $ 2,216,469 |
CONSOLIDATED CONDENSED STATEM_6
CONSOLIDATED CONDENSED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2020 | Jun. 30, 2019 | |
Cash flows from operating activities | ||
Net income | $ 239,070 | $ 296,512 |
Adjustments to reconcile net income to net cash used in operating activities: | ||
Realized (gains) losses - investments/derivatives | 18,009 | (96,623) |
Amortization of DAC and VOBA | 35,455 | 64,210 |
Capitalization of DAC | (227,613) | (237,576) |
Depreciation and amortization expense | 39,042 | 36,880 |
Deferred income tax | 58,244 | (226,166) |
Accrued income tax | 1,764 | 43,854 |
Interest credited to universal life and investment products | 768,536 | 593,993 |
Policy fees assessed on universal life and investment products | (892,002) | (829,697) |
Change in reinsurance receivables | 449 | 210,233 |
Change in accrued investment income and other receivables | 38,277 | 21,636 |
Change in policy liabilities and other policyholders’ funds of traditional life and health products | (481,911) | (352,503) |
Trading securities: | ||
Maturities and principal reductions of investments | 42,685 | 54,501 |
Sale of investments | 327,165 | 254,573 |
Cost of investments acquired | (446,310) | (204,187) |
Other net change in trading securities | 19,839 | (43,145) |
Amortization of premiums and accretion of discounts on investments and commercial mortgage loans | 160,278 | 147,427 |
Change in other liabilities | 522,796 | 267,006 |
Other, net | 94,750 | (87,065) |
Net cash provided by (used in) operating activities | 318,523 | (86,137) |
Cash flows from investing activities | ||
Maturities and principal reductions of investments, available-for-sale | 1,626,618 | 898,461 |
Sale of investments, available-for-sale | 1,731,970 | 2,019,496 |
Cost of investments acquired, available-for-sale | (4,389,170) | (3,235,873) |
Commercial mortgage loans: | ||
New lendings | (677,027) | (476,310) |
Repayments | 334,088 | 518,663 |
Change in investment real estate, net | 84 | 178 |
Change in policy loans, net | 17,591 | 30,778 |
Change in other long-term investments, net | 252,067 | 64,968 |
Change in short-term investments, net | 191,681 | (340,603) |
Net unsettled security transactions | (174,631) | (263,560) |
Purchase of property, equipment, and intangibles | (19,777) | (15,235) |
Payment for business acquisition, net of cash acquired | 0 | (731,457) |
Net cash used in investing activities | (1,106,506) | (1,530,494) |
Cash flows from financing activities | ||
Secured financing liabilities | (132,958) | (368,445) |
Capital contributions from parent | 0 | 850,000 |
Deposits to universal life and investment contracts | 2,921,231 | 3,309,880 |
Withdrawals from universal life and investment contracts | (1,726,399) | (2,149,967) |
Other financing activities, net | (196) | (485) |
Net cash provided by financing activities | 1,061,678 | 1,640,983 |
Change in cash | 273,695 | 24,352 |
Cash at beginning of period | 171,752 | 151,400 |
Cash at end of period | $ 445,447 | $ 175,752 |
BASIS OF PRESENTATION
BASIS OF PRESENTATION | 6 Months Ended |
Jun. 30, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
BASIS OF PRESENTATION | BASIS OF PRESENTATION Basis of Presentation Protective Life Insurance Company (the “Company”), a stock life insurance company, was founded in 1907. The Company is a wholly owned subsidiary of Protective Life Corporation (“PLC”), an insurance holding company. On February 1, 2015, PLC became a wholly owned subsidiary of The Dai-ichi Life Insurance Company, Limited, a kabushiki kaisha organized under the laws of Japan (now known as Dai-ichi Life Holdings, Inc., “Dai-ichi Life”), when DL Investment (Delaware), Inc. a wholly owned subsidiary of Dai-ichi Life, merged with and into PLC (the “Merger”). Prior to February 1, 2015, PLC’s stock was publicly traded on the New York Stock Exchange. Subsequent to the Merger, PLC remained an SEC registrant within the United States until January 23, 2020, when it suspended its reporting obligations with the SEC under the Securities Exchange Act of 1934. The Company has continued to be an SEC registrant for financial reporting purposes in the United States. The Company markets individual life insurance, credit life and disability insurance, guaranteed investment contracts, guaranteed funding agreements, fixed and variable annuities, and extended service contracts throughout the United States. The Company also maintains a separate segment devoted to the acquisition of insurance policies from other companies. PLC is a holding company with subsidiaries that provide financial services through the production, distribution, and administration of insurance and investment products. These consolidated condensed financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) for the interim periods presented herein. In the opinion of management, the accompanying consolidated condensed financial statements reflect all adjustments (consisting only of normal recurring items) necessary for a fair presentation of the results for the interim periods presented. Operating results for the three and six months ended June 30, 2020, are not necessarily indicative of the results of operations that may be expected for the year ending December 31, 2020. The year end consolidated condensed financial data included herein was derived from audited financial statements but this report does not include all disclosures required by GAAP. For further information, refer to the consolidated financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019. The operating results of companies in the insurance industry have historically been subject to significant fluctuations due to changing competition, economic conditions, interest rates, investment performance, insurance ratings, claims, persistency, and other factors. During the first half of 2020, the Company identified certain reclassifications needed to appropriately present amounts related to reinsured vehicle service contracts. Also during the first half of 2020, the Company identified certain cash flows presented in its investing and financing activities that were determined to be non-cash items. The Company determined that the reclassifications were not material to the financial statements for any period. These amounts have been corrected in the consolidated condensed balance sheets, statements of income, and statements of cash flows for the three and six months ended June 30, 2019. Beginning in the first quarter of 2020, the uncontained outbreak of the novel coronavirus, which causes the disease termed COVID-19, created significant economic and social disruption and impacted various operational and financial aspects of the Company’s business. While not all of the impacts of COVID-19 are identifiable or quantifiable, as of June 30, 2020, there has been deterioration in actual and forecasted macroeconomic variables that has adversely impacted the fair values of certain of the Company’s investments and its allowance for credit losses on commercial mortgage loans. The Company has also recorded an increase associated with guaranteed benefits on certain of its variable annuity contracts, while realizing gains from derivatives held to hedge these guaranteed benefits. Additionally, there has been an increase in life insurance claims attributed to COVID-19. Entities Included The consolidated condensed financial statements in this report include the accounts of Protective Life Insurance Company and affiliate companies in which the Company holds a majority voting or economic interest. Intercompany balances and transactions have been eliminated. |
SUMMARY OF SIGNIFICANT ACCOUNTI
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | 6 Months Ended |
Jun. 30, 2020 | |
Accounting Policies [Abstract] | |
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES Significant Accounting Policies For a full description of the Company's significant accounting policies, refer to Note 2 to the Consolidated Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019. There were no significant changes to the Company’s accounting policies during the six months ended June 30, 2020, except the items noted below. Allowance for Credit Losses - Fixed Maturity and Structured Investments Each quarter the Company reviews investments with unrealized losses to determine whether such impairments are the result of credit losses. The Company analyzes various factors to make such determination including, but are not limited to: 1) actions taken by rating agencies, 2) default by the issuer, 3) the significance of the decline, 4) an assessment of the Company’s intent to sell the security (including a more likely than not assessment of whether the Company will be required to sell the security) before recovering the security’s amortized cost, 5) an economic analysis of the issuer’s industry, and 6) the financial strength, liquidity, and recoverability of the issuer. Management performs a security by security review each quarter to evaluate whether a credit loss has occurred. For securities which the Company does not intend to sell and does not expect to be required to sell before recovering the security’s amortized cost basis, analysis of expected cash flows is used to measure the amount of the credit loss. To the extent the amortized cost basis of the security exceeds the present value of future cash flows expected to be collected, this difference represents a credit loss. Beginning on January 1, 2020, credit losses are recorded in realized gains (losses) - investments/derivatives with a corresponding adjustment to the allowance for credit losses, except that the credit loss recognized cannot exceed the difference between the book value and fair value of the security as of the date of the analysis. In future periods, recoveries in the present value of expected cash flows are recorded as a reversal of the previously recognized allowance for credit losses with an offsetting adjustment to realized gains (losses) - investments/derivatives . See, “Accounting Pronouncements Recently Adopted” below for additional information. The Company considers contractual cash flows and all known market data related to cash flows when developing its estimates of expected cash flows. The Company uses the effective interest rate implicit in the security at the date of acquisition to discount expected cash flows. For floating rate securities, the Company’s policy is to lock in the interest rate at the first instance of an impairment. Estimates of expected cash flows are not probability-weighted but reflect the Company’s best estimate based on past events, current conditions, and reasonable and supportable forecasts of future events. Debt securities that the Company intends to sell or expects to be required to sell before recovery are written down to fair value with the change recognized in realized gains (losses) - investments/derivatives . The Company presents accrued interest receivable separately from other components of the amortized cost basis of its fixed maturity and structured investments and has made an accounting policy election not to measure an allowance for credit losses for accrued interest receivable. The Company’s policy is to write off uncollectible accrued interest receivables through a reversal of interest income in the period in which a credit loss is identified. Allowance for Credit Losses - Commercial Mortgage Loans and Unfunded Commitments The Company’s commercial mortgage loans are stated at unpaid principal balance, adjusted for any unamortized premium or discount, and net of the allowance for credit losses (“ACL”). Beginning January 1, 2020, the ACL represents the Company’s best estimate of expected credit losses over the contractual term of the loans. The allowance for credit losses for unfunded loan commitments is recognized as a component of other liabilities on the consolidated condensed balance sheet. Changes in the allowance for credit losses for both funded and unfunded commercial mortgage loans are recognized in realized gains (losses) - investments/derivatives . The Company uses a loan-level probability of default (“PD”) and loss given default (“LGD”) model to calculate the allowance for credit losses for substantially all of its commercial mortgage loans and unfunded loan commitments. Guidance in Accounting Standards Codification (“ASC”) Topic 326-20 - Credit Losses requires collective assessment of financial assets with similar risk characteristics. Consistent with this guidance, the model used by the Company (the “CML Model”) incorporates historical default data for a large number of loans with similar characteristics to the Company’s commercial mortgage loans in the measurement of the allowance for credit losses. Relevant risk characteristics include debt service coverage ratio (“DSCR”), loan-to-value ratio (“LTV”), geographic location, and property type. This historical default data is applied through the CML Model to forecast loan-level risk parameters including PD and LGD which provide the basis for the determination of expected losses. The CML Model incorporates both current conditions and reasonable and supportable forecasts when estimating the PD and LGD values that are used as the basis for calculating expected losses. Current conditions are incorporated by considering market-specific information, such as vacancy rates and property prices, to reflect the current position in the market cycle. To incorporate reasonable and supportable forecasts, loan-level risk parameters produced by the CML Model are conditioned by multiple probability-weighted macroeconomic forecast scenarios. CML Model results are also subject to adjustments based on other qualitative considerations to reflect management’s best estimate of the impact of future events and circumstances on the allowance for credit losses. PDs and LGDs are forecasted over a reasonable and supportable forecast period, which is reassessed on a quarterly basis. After the reasonable and supportable forecast period, the CML Model reverts to the Company’s own historical loss history at a portfolio segment level. The historical loss data used for reversion will be assessed annually in the third quarter, along with certain other model inputs and assumptions. All or a portion of a loan may be written off at such point that the Company no longer expects to receive cash payments, the present value of future expected payments of a renegotiated loan is less than the current principal balance, or at such time that the Company is party to foreclosure or bankruptcy proceedings associated with the borrower and does not expect to recover the principal balance of the loan. A write-off is recorded by eliminating the allowance against the commercial mortgage loan and recording the renegotiated loan or the collateral property related to the loan as investment real estate on the balance sheet, which is carried at the lower of the appraised fair value of the property or the unpaid principal balance of the loan, less estimated selling costs associated with the property. Certain loans which meet the definition of collateral dependent (as outlined in the Financial Accounting Standards Board “FASB” ASC Topic 326-20) are identified as part of the Company’s ongoing loan surveillance process. Loans are considered to be collateral dependent if foreclosure is deemed probable, or if a borrower is in financial difficulty and repayment is expected to be provided substantially through the operation or sale of the underlying collateral. The allowance for credit losses for loans identified as collateral dependent is measured based on the fair value of the underlying collateral, less costs to sell. The Company presents accrued interest receivable separately from other components of the amortized cost basis of its commercial mortgage loans and has made an accounting policy election not to measure an allowance for credit losses for accrued interest receivable. It is the Company’s policy to cease to carry accrued interest on loans that are over 90 days delinquent. For loans less than 90 days delinquent, interest is accrued unless it is determined that the accrued interest is not collectible. In each scenario, accrued income is reversed through investment income. See Note 9, Commercial Mortgage Loans , for additional information. Allowance for Credit Losses - Reinsurance Receivables Beginning January 1, 2020, in accordance with FASB ASC Topic 326-20, the Company establishes an allowance for credit losses related to amounts receivable from reinsurers (the “Reinsurance ACL”). Changes in the Reinsurance ACL are recognized as a component of benefit and settlement expenses . The Reinsurance ACL is remeasured on a quarterly basis using an internally developed PD and LGD model. Key inputs to the calculation are a conditional probability of insurer liquidation by issuer credit rating and exposure at default derived from a runoff projection of ceded reserves by reinsurer to forecast future loss amounts. Management’s position is that the rate of return implicit in the financial asset (i.e. the ceded reserves) is associated with the discount rate used to value the underlying insurance reserves; that is, the rate of return on the asset portfolio(s) supporting the reserves. For reinsurance receivable exposures that do not share similar risk characteristics with other receivables, including those associated with counterparties that have experienced significant credit deterioration, the Company measures the allowance for credit losses individually, based on facts and circumstances associated with the specific reinsurer or transaction. The Reinsurance ACL was $96.0 million as of January 1, 2020 upon adoption of ASU No. 2016-13 The Company had total reinsurance receivables of $4.7 billion as of June 30, 2020, which includes both ceded policy benefit reserves and receivables for claims. Receivables for claims represented approximately 11% of total reinsurance receivables as of June 30, 2020. Receivables for claims are short-term in nature, and generally carry minimal credit risk. Of reserves ceded as of June 30, 2020, approximately 69% were receivables from reinsurers rated by A.M. Best Company. Of the total rated by A.M. Best Company, 77% were rated A+ or better, 14% were rated A, and 9% were rated A- or lower. The Company monitors the concentration of credit risk the Company has with any reinsurer, as well as the financial condition of its reinsurers, on an ongoing basis. Certain of the Company’s reinsurance receivables are supported by letters of credit, funds held or trust agreements. Accounting Pronouncements Recently Adopted Accounting Standards Update(“ASU” or “Update”) No. 2016-13 - Financial Instruments-Credit Losses: Measurement of Credit Losses on Financial Instruments. The amendments in this Update introduce a new current expected credit loss (“CECL”) model for certain financial assets, including commercial mortgage loans and reinsurance receivables. For assets within the scope of the new model, an entity will recognize as an allowance against earnings its estimate of the contractual cash flows not expected to be collected on day one of the asset’s acquisition. The allowance may be reversed through earnings if a security recovers in value. This differs from the current impairment model, which requires recognition of credit losses when they have been incurred and recognizes a security’s subsequent recovery in value in other comprehensive income. The Update also makes targeted changes to the current impairment model for available-for-sale (“AFS”) debt securities, which comprise the majority of the Company’s invested assets. Similar to the CECL model, credit loss impairments will be recorded in an allowance against earnings that may be reversed for subsequent recoveries in value. The amendments in this Update, along with related amendments in ASU No. 2018-19, ASU No. 2019-04, and ASU No. 2019-11 - Codification Improvements to Topic 326, Financial Instruments-Credit Losses , are effective for annual and interim periods beginning after December 15, 2019 on a modified retrospective basis. A vendor-provided credit loss model will be used to measure the allowance for the majority of the Company’s commercial mortgage loans and unfunded commercial mortgage loan commitments, and the Company will use an internally-developed model to measure the allowance for amounts recoverable from reinsurers. The Company applied the revisions in the Update through a cumulative effect adjustment to retained earnings as of January 1, 2020. The cumulative effect adjustment resulted in a decrease in retained earnings of $138.1 million, net of the impact to deferred taxes, deferred acquisition costs (“DAC”), value of business acquired (“VOBA”) and other items. The Company continues to apply the previous guidance to 2019 and prior periods. Accounting Pronouncements Not Yet Adopted ASU No. 2018-12 - Financial Services - Insurance (Topic 944): Targeted Improvements to Accounting for Long-Duration Contracts. The amendments in this Update are designed to make improvements to the existing recognition, measurement, presentation, and disclosure requirements for certain long-duration contracts issued by an insurance company. The new amendments require insurance entities to provide a more current measure of the liability for future policy benefits for traditional and limited-payment contracts by regularly refining the liability for actual past experience and updated future assumptions. This differs from current requirements where assumptions are locked-in at contract issuance for these contract types. In addition, the updated liability will be discounted using an upper-medium grade (low-credit-risk) fixed income instrument yield that reflects the characteristics of the liability which differs from currently used rates based on the invested assets supporting the liability. In addition, the amendments introduce new requirements to assess market-based insurance contract options and guarantees for Market Risk Benefits and measure them at fair value. This Update also requires insurance entities to amortize deferred acquisition costs on a constant-level basis over the expected life of the contract. Finally, this Update requires new disclosures including liability rollforwards and information about significant inputs, judgments, assumptions, and methods used in the measurement. The amendments in this Update were originally effective for periods beginning after December 15, 2020. However, in November 2019, FASB issued ASU No. 2019-09 – Financial Services – Insurance (Topic 944): Effective Date which extended the implementation deadline by one year to periods beginning after December 15, 2021. The Company is currently reviewing its policies, processes, and applicable systems to determine the impact this standard will have on its operations and financial results. ASU No. 2019-12 – Income Taxes (Topic 740): Simplifying the Accounting for Income Taxes. The amendments in this Update remove certain exceptions to the general principles in Topic 740 related to intraperiod tax allocations, interim tax calculations, and outside basis differences. The amendments also clarify and amend guidance in certain other areas of Topic 740 in order to eliminate diversity in practice. The amendments in this Update are effective for public business entities in fiscal years beginning after December 15, 2020, and interim periods within those fiscal years. The Company is reviewing its accounting policies and processes to ensure compliance with the revised guidance, upon adoption. |
SIGNIFICANT TRANSACTIONS
SIGNIFICANT TRANSACTIONS | 6 Months Ended |
Jun. 30, 2020 | |
Business Combinations [Abstract] | |
SIGNIFICANT TRANSACTIONS | SIGNIFICANT TRANSACTIONS Great-West Life & Annuity Insurance Company On January 23, 2019, the Company entered into a Master Transaction Agreement (the “GWL&A Master Transaction Agreement”) with Great-West Life & Annuity Insurance Company (“GWL&A”), Great-West Life & Annuity Insurance Company of New York (“GWL&A of NY”), The Canada Life Assurance Company (“CLAC”) and The Great-West Life Assurance Company (“GWL” and, together with GWL&A, GWL&A of NY and CLAC, the “Sellers”), pursuant to which the Company will acquire via reinsurance (the “Transaction”) substantially all of the Sellers’ individual life insurance and annuity business (the “GW Individual Life Business”). On June 3, 2019, the Company and PLAIC completed the Transaction (the “GWL&A Closing”). Pursuant to the GWL&A Master Transaction Agreement, the Company and PLAIC entered into reinsurance agreements (the “GWL&A Reinsurance Agreements”) and related ancillary documents at the GWL&A Closing. On the terms and subject to the conditions of the GWL&A Reinsurance Agreements, the Sellers ceded to the Company and PLAIC, effective as of the date of the GWL&A Closing, substantially all of the insurance policies related to the Individual Life Business on a 100% indemnity basis net of reinsurance recoveries. The aggregate ceding commission for the reinsurance of the Individual Life Business paid at the GWL&A Closing was $765.7 million, which amount is subject to adjustment in accordance with the GWL&A Master Transaction Agreement. All policies issued in states other than New York were ceded to the Company under reinsurance agreements between the applicable Seller and the Company, and all policies issued in New York were ceded to PLAIC under a reinsurance agreement between GWL&A of NY and PLAIC. The aggregate statutory reserves of the Sellers ceded to the Company and PLAIC as of the GWL&A Closing were approximately $20.4 billion, which amount was based on initial estimates and is subject to adjustment following the GWL&A Closing. To support its obligations under the GWL&A Reinsurance Agreements, the Company established trust accounts for the benefit of GWL&A, CLAC and GWL, and PLAIC established a trust account for the benefit of GWL&A of NY. The Sellers retained a block of participating policies, which will be administered by the Company or PLAIC, as applicable. The GWL&A Master Transaction Agreement and other transaction documents contain certain customary representations and warranties made by each of the parties, and certain customary covenants regarding the Sellers and the Individual Life Business, and provide for indemnification, among other things, for breaches of those representations, warranties, and covenants. The terms of the GWL&A Reinsurance Agreements resulted in an acquisition of the Individual Life Business by the Company in accordance with ASC Topic 805, Business Combinations . The following table details the final allocation of assets acquired and liabilities assumed from the Individual Life Business reinsurance transaction as of the date of the Closing: Fair Value (Dollars In Thousands) ASSETS Fixed maturities $ 8,697,966 Commercial mortgage loans 1,386,228 Policy loans 44,002 Other long-term investments 1,521,965 Total investments 11,650,161 Cash 34,835 Accrued investment income 101,452 Reinsurance receivables 62 Accounts and premiums receivable 1,642 Value of business acquired 535,421 Other intangibles 21,300 Other assets 5,525 Assets related to separate accounts 9,583,217 Total assets 21,933,615 LIABILITIES Future policy benefits and claims $ 11,022,177 Annuity account balances 220,064 Other policyholders’ funds 220,147 Other liabilities 75,367 Liabilities related to separate accounts 9,583,217 Total liabilities 21,120,972 NET ASSETS ACQUIRED $ 812,643 Assets related to separate accounts and liabilities related to separate accounts represent amounts receivable and payable for variable annuity and variable universal life products reinsured on a modified co-insurance basis. The following unaudited pro forma condensed consolidated results of operations assumes that the aforementioned transactions of the Individual Life Business were completed as of January 1, 2018. The unaudited pro forma condensed results of operations are presented solely for informational purposes and are not necessarily indicative of the consolidated condensed results of operations that might have been achieved had the transaction been completed as of the date indicated: Unaudited Unaudited For The For The (Dollars In Thousands) Revenue $ 1,548,668 $ 3,203,698 Net income $ 124,161 $ 263,490 |
MONY CLOSED BLOCK OF BUSINESS
MONY CLOSED BLOCK OF BUSINESS | 6 Months Ended |
Jun. 30, 2020 | |
Closed Block Disclosure [Abstract] | |
MONY CLOSED BLOCK OF BUSINESS | MONY CLOSED BLOCK OF BUSINESS In 1998, MONY Life Insurance Company (“MONY”) converted from a mutual insurance company to a stock corporation (“demutualization”). In connection with its demutualization, an accounting mechanism known as a closed block (the “Closed Block”) was established for certain individuals’ participating policies in force as of the date of demutualization. Assets, liabilities, and earnings of the Closed Block are specifically identified to support its participating policyholders. The Company acquired the Closed Block in conjunction with the acquisition of MONY in 2013. Assets allocated to the Closed Block inure solely to the benefit of each Closed Block’s policyholders and will not revert to the benefit of MONY or the Company. No reallocation, transfer, borrowing or lending of assets can be made between the Closed Block and other portions of MONY’s general account, any of MONY’s separate accounts or any affiliate of MONY without the approval of the Superintendent of The New York State Department of Financial Services (the “Superintendent”). Closed Block assets and liabilities are carried on the same basis as similar assets and liabilities held in the general account. Summarized financial information for the Closed Block as of June 30, 2020 and December 31, 2019 is as follows: As of June 30, 2020 December 31, 2019 (Dollars In Thousands) Closed block liabilities Future policy benefits, policyholders’ account balances and other policyholder liabilities $ 5,488,114 $ 5,836,815 Policyholder dividend obligation 431,327 278,505 Other liabilities 6,952 11,247 Total closed block liabilities 5,926,393 6,126,567 Closed block assets Fixed maturities, available-for-sale, at fair value $ 4,775,877 $ 4,682,731 Commercial mortgage loans 70,151 72,829 Policy loans 641,872 640,134 Cash and other invested assets 49,784 44,877 Other assets 95,613 107,177 Total closed block assets 5,633,297 5,547,748 Excess of reported closed block liabilities over closed block assets 293,096 578,819 Portion of above representing accumulated other comprehensive income: Net unrealized gains (losses) - investments/derivatives net of policyholder dividend obligation: $(333,775) and $167,285; and net of income tax: $(70,093) and $(35,130) — — Future earnings to be recognized from closed block assets and closed block liabilities $ 293,096 $ 578,819 Reconciliation of the policyholder dividend obligation is as follows: For The 2020 2019 (Dollars In Thousands) Policyholder dividend obligation, beginning balance $ 278,505 $ — Applicable to net revenue (losses) (13,668) (15,953) Change in net unrealized gains (losses) - investments/derivatives allocated to the policyholder dividend obligation 166,490 189,100 Policyholder dividend obligation, ending balance $ 431,327 $ 173,147 Closed Block revenues and expenses were as follows: For The For The 2020 2019 2020 2019 (Dollars In Thousands) Revenues Premiums and other income $ 37,926 $ 40,105 $ 73,260 $ 77,549 Net investment income 51,038 51,663 102,053 102,791 Net gains (losses) - investments/derivatives (859) 43 (784) (411) Total revenues 88,105 91,811 174,529 179,929 Benefits and other deductions Benefits and settlement expenses 84,084 87,213 161,677 165,879 Other operating expenses 270 247 594 606 Total benefits and other deductions 84,354 87,460 162,271 166,485 Net revenues before income taxes 3,751 4,351 12,258 13,444 Income tax expense 385 913 2,153 2,823 Net revenues $ 3,366 $ 3,438 $ 10,105 $ 10,621 |
INVESTMENT OPERATIONS
INVESTMENT OPERATIONS | 6 Months Ended |
Jun. 30, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
INVESTMENT OPERATIONS | INVESTMENT OPERATIONS Realized gains (losses) - investments includes realized gains and losses from the sale of investments, changes in fair value of equity securities, net credit losses, certain derivative and embedded derivative gains and losses, gains and losses on reinsurance-related embedded derivatives and trading securities. Realized gains and losses on investments are calculated on the basis of specific identification on the trade date. Net realized gains (losses) - investments/derivatives are summarized as follows: For The For The 2020 2019 2020 2019 (Dollars In Thousands) Fixed maturities $ 2,447 $ 1,062 $ 41,617 $ 6,199 Equity securities 25,442 7,540 (17,570) 38,175 Modco trading portfolios 187,505 89,571 63,305 184,473 Net credit losses recognized in operations (1) (30,288) — (82,081) — Net impairment losses recognized in operations (2) — (698) — (3,840) Commercial mortgage loans (3,686) 1,208 (99,082) 140 Other investments (740) 128 (1,760) 50 Realized gains (losses) - investments 180,680 98,811 (95,571) 225,197 Realized gains (losses) - derivatives (3) (160,578) (55,266) 77,562 (128,574) Realized gains (losses) - investments/derivatives $ 20,102 $ 43,545 $ (18,009) $ 96,623 (1) Represents credit losses recognized under FASB ASC 326-20 (2) Represents other-than-temporary impairment losses recognized in prior periods under FASB ASC 326-20 (3) See Note 7, Derivative Financial Instruments Gross realized gains and gross realized losses on investments available-for-sale (fixed maturities and short-term investments) are as follows: For The For The 2020 2019 2020 2019 (Dollars In Thousands) Gross realized gains $ 6,471 $ 6,776 $ 46,439 $ 14,646 Gross realized losses: Credit losses (1) $ (30,288) $ — $ (82,081) $ — Impairment losses (2) $ — $ (698) $ — $ (3,840) Other realized losses $ (4,024) $ (5,714) $ (4,822) $ (8,447) (1) Represents credit losses recognized under FASB ASC 326-20 (2) Represents other-than-temporary impairment losses recognized in prior periods under FASB ASC 326-20 The chart below summarizes the fair value (proceeds) and the gains (losses) realized on securities the Company sold that were in an unrealized gain position and an unrealized loss position. For The For The 2020 2019 2020 2019 (Dollars In Thousands) Securities in an unrealized gain position: Fair value proceeds $ 431,876 $ 484,587 $ 936,213 $ 1,133,478 Gains realized $ 6,471 $ 6,776 $ 46,439 $ 14,646 Securities in an unrealized loss position: Fair value proceeds $ 24,814 $ 159,626 $ 24,834 $ 330,928 Losses realized $ (4,024) $ (5,714) $ (4,822) $ (8,447) The chart below summarizes the realized gains (losses) on equity securities sold during the period and equity securities still held at the reporting date. For The For The 2020 2019 2020 2019 (Dollars In Thousands) Gains (losses) recognized during the period on equity securities still held $ 25,441 $ 7,347 $ (17,690) $ 37,922 Net gains recognized on equity securities sold during the period 1 193 $ 120 $ 253 Net gains (losses) recognized during the period on equity securities $ 25,442 $ 7,540 $ (17,570) $ 38,175 The amortized cost, gross unrealized gains and losses, allowance for expected credit losses, and fair value of the Company’s investments classified as available-for-sale are as follows: As of June 30, 2020 Amortized Gross Gross Allowance Fair (Dollars In Thousands) Fixed maturities: Residential mortgage-backed securities $ 6,783,626 $ 231,006 $ (503) $ — $ 7,014,129 Commercial mortgage-backed securities 2,482,700 87,882 (29,100) — 2,541,482 Other asset-backed securities 1,704,674 26,109 (28,104) (655) 1,702,024 U.S. government-related securities 1,145,220 29,542 (844) — 1,173,918 Other government-related securities 566,961 63,570 (4,361) — 626,170 States, municipals, and political subdivisions 4,143,375 424,024 (5,033) — 4,562,366 Corporate securities 44,810,937 4,157,060 (450,052) (81,426) 48,436,519 Redeemable preferred stocks 66,071 461 (859) — 65,673 61,703,564 5,019,654 (518,856) (82,081) 66,122,281 Short-term investments 1,037,969 — — — 1,037,969 $ 62,741,533 $ 5,019,654 $ (518,856) $ (82,081) $ 67,160,250 As of December 31, 2019 Amortized Gross Gross Fair (Dollars In Thousands) Fixed maturities: Residential mortgage-backed securities $ 5,812,170 $ 125,493 $ (6,322) $ 5,931,341 Commercial mortgage-backed securities 2,588,575 54,385 (3,292) 2,639,668 Other asset-backed securities 1,764,120 32,041 (14,926) 1,781,235 U.S. government-related securities 1,032,048 5,664 (5,316) 1,032,396 Other government-related securities 548,136 51,024 (1,991) 597,169 States, municipals, and political subdivisions 4,415,008 225,072 (1,230) 4,638,850 Corporate securities 44,493,799 2,603,636 (288,334) 46,809,101 Redeemable preferred stocks 87,237 3,677 (4,249) 86,665 60,741,093 3,100,992 (325,660) 63,516,425 Short-term investments 1,229,651 — — 1,229,651 $ 61,970,744 $ 3,100,992 $ (325,660) $ 64,746,076 The Company holds certain investments pursuant to certain modified coinsurance (“Modco”) arrangements. The fixed maturities, equity securities, and short-term investments held as part of these arrangements are classified as trading securities. The fair value of the investments held pursuant to these Modco arrangements are as follows: As of June 30, 2020 December 31, 2019 (Dollars In Thousands) Fixed maturities: Residential mortgage-backed securities $ 192,944 $ 209,521 Commercial mortgage-backed securities 189,995 201,284 Other asset-backed securities 144,248 143,361 U.S. government-related securities 42,677 47,067 Other government-related securities 29,210 28,775 States, municipals, and political subdivisions 289,477 293,791 Corporate securities 1,757,339 1,590,936 Redeemable preferred stocks 11,933 12,832 2,657,823 2,527,567 Equity securities 15,724 6,656 Short-term investments 75,292 91,213 $ 2,748,839 $ 2,625,436 The amortized cost and fair value of available-for-sale and held-to-maturity fixed maturities as of June 30, 2020, by expected maturity, are shown below. Expected maturities of securities without a single maturity date are allocated based on estimated rates of prepayment that may differ from actual rates of prepayment. Available-for-Sale Held-to-Maturity Amortized Fair Amortized Fair (Dollars In Thousands) Due in one year or less $ 2,208,672 $ 2,206,490 $ — $ — Due after one year through five years 11,090,362 11,494,899 — — Due after five years through ten years 14,580,642 15,561,473 — — Due after ten years 33,823,888 36,859,419 2,728,529 2,947,350 $ 61,703,564 $ 66,122,281 $ 2,728,529 $ 2,947,350 The following chart is a rollforward of available-for-sale allowance for expected credit losses on fixed maturities held by the Company: For The For The Corporate Other Asset-Backed Securities Total Corporate Other Asset-Backed Securities Total (Dollars In Thousands) Beginning Balance $ 51,135 $ 658 $ 51,793 $ — $ — $ — Additions for securities for which allowance was not previously recorded 11,307 — 11,307 62,442 658 63,100 Adjustments on previously recorded allowances due to change in expected cash flows 18,984 — 18,984 18,984 — 18,984 Reductions on previously recorded allowances due to disposal of security in the current period — (3) (3) — (3) (3) Ending Balance $ 81,426 $ 655 $ 82,081 $ 81,426 $ 655 $ 82,081 The following table includes the gross unrealized losses, for which an allowance for credit losses has not been recorded, and fair value of the Company’s AFS fixed maturities, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position as of June 30, 2020: Less Than 12 Months 12 Months or More Total Fair Unrealized Fair Unrealized Fair Unrealized (Dollars In Thousands) Residential mortgage-backed securities $ 113,660 $ (498) $ 2,098 $ (5) $ 115,758 $ (503) Commercial mortgage-backed securities 412,551 (27,826) 31,248 (1,274) 443,799 (29,100) Other asset-backed securities 566,551 (12,605) 282,432 (15,499) 848,983 (28,104) U.S. government-related securities 134,265 (815) 1,334 (29) 135,599 (844) Other government-related securities 22,576 (3,176) 6,358 (1,185) 28,934 (4,361) States, municipals, and political subdivisions 106,083 (4,956) 5,965 (77) 112,048 (5,033) Corporate securities 3,976,043 (230,736) 1,182,312 (219,316) 5,158,355 (450,052) Redeemable preferred stocks 20,104 (859) — — 20,104 (859) $ 5,351,833 $ (281,471) $ 1,511,747 $ (237,385) $ 6,863,580 $ (518,856) Commercial mortgage-backed securities (“CMBS”) had gross unrealized losses greater than twelve months $1.3 million as of June 30, 2020. Factors such as the credit enhancement within the deal structure, the average life of the securities, and the performance of the underlying collateral support the recoverability of these investments. The other asset-backed securities have a gross unrealized loss greater than twelve months of $15.5 million as of June 30, 2020, excluding losses of $0.7 million that were considered credit related. This category predominately includes student loan backed auction rate securities (“ARS”) whose underlying collateral is at least 97% guaranteed by the Federal Family Education Loan Program (“FFELP”). At this time, the Company has no reason to believe that the U.S. Department of Education would not honor the FFELP guarantee, if it were necessary. The other government-related securities had gross unrealized losses greater than twelve months of $1.2 million as of June 30, 2020. These declines were related to changes in interest rates. The corporate securities category had gross unrealized losses greater than twelve months of $219.3 million as of June 30, 2020, excluding $81.4 million that were considered credit related. The decline in fair value as of June 30, 2020, reflect deterioration in the macroeconomic environment as a result of the impact of COVID-19 as well as the continued pressure on commodity prices. Multiple sectors were affected with the largest impacts in the oil & gas, real estate, and consumer and retail industries. Fair values were also negatively affected by disruptions in capital markets activity during the last six months due to COVID-19. The aggregate decline in fair value of the remaining securities was deemed temporary due to positive factors supporting the recoverability of the respective investments. Positive factors considered include credit ratings, the financial health of the issuer, the continued access of the issuer to capital markets, interest rate movement, and other pertinent information. As of June 30, 2020, the Company had a total of 798 positions that were in an unrealized loss position, including 18 positions for which an allowance for credit losses was established. For unrealized losses for which an allowance for credit losses was not established, the Company does not consider these unrealized loss positions to be credit-related. This is based on the aggregate factors discussed previously and because the Company has the ability and intent to hold these investments until the fair values recover, and the Company does not intend to sell or expect to be required to sell the securities before recovering the Company’s amortized cost of the securities. The following table includes the gross unrealized losses and fair value of the Company’s investments that are not deemed to be other-than-temporarily impaired, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position as of December 31, 2019: Less Than 12 Months 12 Months or More Total Fair Unrealized Fair Unrealized Fair Unrealized (Dollars In Thousands) Residential mortgage-backed securities $ 851,333 $ (4,231) $ 220,843 $ (2,091) $ 1,072,176 $ (6,322) Commercial mortgage-backed securities 371,945 (1,721) 115,566 (1,571) 487,511 (3,292) Other asset-backed securities 482,547 (6,516) 214,058 (8,410) 696,605 (14,926) U.S. government-related securities 383,451 (3,373) 353,517 (1,943) 736,968 (5,316) Other government-related securities 22,962 (669) 6,230 (1,322) 29,192 (1,991) States, municipals, and political subdivisions 56,470 (1,001) 12,907 (229) 69,377 (1,230) Corporate securities 3,176,489 (68,289) 2,886,648 (220,045) 6,063,137 (288,334) Redeemable preferred stocks — — 16,689 (4,249) 16,689 (4,249) $ 5,345,197 $ (85,800) $ 3,826,458 $ (239,860) $ 9,171,655 $ (325,660) As of June 30, 2020, the Company had securities in its available-for-sale portfolio which were rated below investment grade of $2.0 billion and had an amortized cost of $2.3 billion. In addition, included in the Company’s trading portfolio, the Company held $127.2 million of securities which were rated below investment grade. Approximately $296.4 million of below investment grade securities held by the Company were not publicly traded. The change in unrealized gains (losses), excluding the allowance for expected credit losses, net of income tax, on fixed matur ities, classified as available-for-sale is summarized as follows: For The For The 2020 2019 2020 2019 (Dollars In Thousands) Fixed maturities $ 3,568,509 $ 1,536,447 $ 1,363,118 $ 3,088,119 The amortized cost and fair value of the Company’s investments classified as held-to-maturity as of June 30, 2020 and December 31, 2019, are as follows: As of June 30, 2020 Amortized Gross Gross Fair (Dollars In Thousands) Fixed maturities: Securities issued by affiliates: Red Mountain, LLC $ 813,529 $ 69,478 $ — $ 883,007 Steel City, LLC 1,915,000 149,343 — 2,064,343 $ 2,728,529 $ 218,821 $ — $ 2,947,350 As of December 31, 2019 Amortized Gross Gross Fair (Dollars In Thousands) Fixed maturities: Securities issued by affiliates: Red Mountain, LLC $ 795,881 $ 81,022 $ — $ 876,903 Steel City, LLC 2,028,000 120,887 — 2,148,887 $ 2,823,881 $ 201,909 $ — $ 3,025,790 During the three and six months ended June 30, 2020 and 2019, the Company recorded no credit losses on held-to-maturity securities. The Company’s held-to-maturity securities are issued by affiliates of the Company which are considered variable interest entities. The Company is not the primary beneficiary of these entities and thus the securities are not eliminated in consolidation. These securities are collateralized by non-recourse funding obligations issued by captive insurance companies that are affiliates of the Company. |
FAIR VALUE OF FINANCIAL INSTRUM
FAIR VALUE OF FINANCIAL INSTRUMENTS | 6 Months Ended |
Jun. 30, 2020 | |
Fair Value Disclosures [Abstract] | |
FAIR VALUE OF FINANCIAL INSTRUMENTS | FAIR VALUE OF FINANCIAL INSTRUMENTS The Company determined the fair value of its financial instruments based on the fair value hierarchy established in FASB guidance referenced in the Fair Value Measurements and Disclosures Topic which requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. The Company has adopted the provisions from the FASB guidance that is referenced in the Fair Value Measurements and Disclosures Topic for non-financial assets and liabilities (such as property and equipment, goodwill, and other intangible assets) that are required to be measured at fair value on a periodic basis. The effect on the Company’s periodic fair value measurements for non-financial assets and liabilities was not material. The Company has categorized its financial instruments, based on the priority of the inputs to the valuation technique, into a three level hierarchy. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure fair value fall within different levels of the hierarchy, the category level is based on the lowest priority level input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value on the consolidated balance sheets are categorized as follows: • Level 1: Unadjusted quoted prices for identical assets or liabilities in an active market. • Level 2: Quoted prices in markets that are not active or significant inputs that are observable either directly or indirectly. Level 2 inputs include the following: a) Quoted prices for similar assets or liabilities in active markets; b) Quoted prices for identical or similar assets or liabilities in non-active markets; c) Inputs other than quoted market prices that are observable; and d) Inputs that are derived principally from or corroborated by observable market data through correlation or other means. • Level 3: Prices or valuation techniques that require inputs that are both unobservable and significant to the overall fair value measurement. They reflect management’s own estimates about the assumptions a market participant would use in pricing the asset or liability. The following table presents the Company’s hierarchy for its assets and liabilities measured at fair value on a recurring basis as of June 30, 2020: Measurement Level 1 Level 2 Level 3 Total (Dollars In Thousands) Assets: Fixed maturity securities - available-for-sale Residential mortgage-backed securities 4 $ — $ 7,014,129 $ — $ 7,014,129 Commercial mortgage-backed securities 4 — 2,531,511 9,971 2,541,482 Other asset-backed securities 4 — 1,271,061 430,964 1,702,025 U.S. government-related securities 4 669,492 504,426 — 1,173,918 State, municipals, and political subdivisions 4 — 4,562,366 — 4,562,366 Other government-related securities 4 — 626,170 — 626,170 Corporate securities 4 — 47,070,555 1,365,963 48,436,518 Redeemable preferred stocks 4 65,673 — — 65,673 Total fixed maturity securities - available-for-sale 735,165 63,580,218 1,806,898 66,122,281 Fixed maturity securities - trading Residential mortgage-backed securities 3 — 192,944 — 192,944 Commercial mortgage-backed securities 3 — 189,995 — 189,995 Other asset-backed securities 3 — 83,626 60,622 144,248 U.S. government-related securities 3 26,033 16,644 — 42,677 State, municipals, and political subdivisions 3 — 289,477 — 289,477 Other government-related securities 3 — 29,210 — 29,210 Corporate securities 3 — 1,745,181 12,158 1,757,339 Redeemable preferred stocks 3 11,933 — — 11,933 Total fixed maturity securities - trading 37,966 2,547,077 72,780 2,657,823 Total fixed maturity securities 773,131 66,127,295 1,879,678 68,780,104 Equity securities 3 434,568 — 78,613 513,181 Other long-term investments (1) 3 & 4 81,357 815,700 275,907 1,172,964 Short-term investments 3 1,010,740 102,521 — 1,113,261 Total investments 2,299,796 67,045,516 2,234,198 71,579,510 Cash 3 445,447 — — 445,447 Assets related to separate accounts Variable annuity 3 11,394,911 — — 11,394,911 Variable universal life 3 1,087,327 — — 1,087,327 Total assets measured at fair value on a recurring basis $ 15,227,481 $ 67,045,516 $ 2,234,198 $ 84,507,195 Liabilities: Annuity account balances (2) 3 $ — $ — $ 68,064 $ 68,064 Other liabilities (1) 3 & 4 6,417 485,094 1,664,251 2,155,762 Total liabilities measured at fair value on a recurring basis $ 6,417 $ 485,094 $ 1,732,315 $ 2,223,826 (1) Includes certain freestanding and embedded derivatives. (2) Represents liabilities related to fixed indexed annuities. (3) Fair Value through Net Income (4) Fair Value through Other Comprehensive Income (Loss) The following table presents the Company’s hierarchy for its assets and liabilities measured at fair value on a recurring basis as of December 31, 2019: Measurement Level 1 Level 2 Level 3 Total (Dollars In Thousands) Assets: Fixed maturity securities - available-for-sale Residential mortgage-backed securities 4 $ — $ 5,931,341 $ — $ 5,931,341 Commercial mortgage-backed securities 4 — 2,629,639 10,029 2,639,668 Other asset-backed securities 4 — 1,360,016 421,219 1,781,235 U.S. government-related securities 4 662,581 369,815 — 1,032,396 State, municipals, and political subdivisions 4 — 4,638,850 — 4,638,850 Other government-related securities 4 — 597,169 — 597,169 Corporate securities 4 — 45,435,387 1,373,714 46,809,101 Redeemable preferred stocks 4 69,976 16,689 — 86,665 Total fixed maturity securities - available-for-sale 732,557 60,978,906 1,804,962 63,516,425 Fixed maturity securities - trading Residential mortgage-backed securities 3 — 209,521 — 209,521 Commercial mortgage-backed securities 3 — 201,284 — 201,284 Other asset-backed securities 3 — 77,954 65,407 143,361 U.S. government-related securities 3 24,810 22,257 — 47,067 State, municipals, and political subdivisions 3 — 293,791 — 293,791 Other government-related securities 3 — 28,775 — 28,775 Corporate securities 3 — 1,579,565 11,371 1,590,936 Redeemable preferred stocks 3 12,832 — — 12,832 Total fixed maturity securities - trading 37,642 2,413,147 76,778 2,527,567 Total fixed maturity securities 770,199 63,392,053 1,881,740 66,043,992 Equity securities 3 480,750 — 72,970 553,720 Other long-term investments (1) 3 & 4 52,225 733,425 209,843 995,493 Short-term investments 3 1,255,384 65,480 — 1,320,864 Total investments 2,558,558 64,190,958 2,164,553 68,914,069 Cash 3 171,752 — — 171,752 Assets related to separate accounts Variable annuity 3 12,730,090 — — 12,730,090 Variable universal life 3 1,135,666 — — 1,135,666 Total assets measured at fair value on a recurring basis $ 16,596,066 $ 64,190,958 $ 2,164,553 $ 82,951,577 Liabilities: Annuity account balances (2) 3 $ — $ — $ 69,728 $ 69,728 Other liabilities (1) 3 & 4 19,561 509,645 1,017,972 1,547,178 Total liabilities measured at fair value on a recurring basis $ 19,561 $ 509,645 $ 1,087,700 $ 1,616,906 (1) Includes certain freestanding and embedded derivatives. (2) Represents liabilities related to fixed indexed annuities. (3) Fair Value through Net Income (4) Fair Value through Other Comprehensive Income (Loss) Determination of Fair Values The valuation methodologies used to determine the fair values of assets and liabilities reflect market participant assumptions and are based on the application of the fair value hierarchy that prioritizes observable market inputs over unobservable inputs. The Company determines the fair values of certain financial assets and financial liabilities based on quoted market prices, where available. The Company also determines certain fair values based on future cash flows discounted at the appropriate current market rate. Fair values reflect adjustments for counterparty credit quality, the Company’s credit standing, liquidity, and where appropriate, risk margins on unobservable parameters. The following is a discussion of the methodologies used to determine fair values for the financial instruments as listed in the above table. The fair value of fixed maturity, short-term, and equity securities is determined by management after considering one of three primary sources of information: third party pricing services, non-binding independent broker quotations, or pricing matrices. Security pricing is applied using a “waterfall” approach whereby publicly available prices are first sought from third party pricing services, the remaining unpriced securities are submitted to independent brokers for non-binding prices, or lastly, securities are priced using a pricing matrix. Typical inputs used by these three pricing methods include, but are not limited to: benchmark yields, reported trades, broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers, and reference data including market research publications. Third party pricing services price 92.5% of the Company’s available-for-sale and trading fixed maturity securities. Based on the typical trading volumes and the lack of quoted market prices for available-for-sale and trading fixed maturities, third party pricing services derive the majority of security prices from observable market inputs such as recent reported trades for identical or similar securities making adjustments through the reporting date based upon available market observable information outlined above. If there are no recent reported trades, the third party pricing services and brokers may use matrix or model processes to develop a security price where future cash flow expectations are developed based upon collateral performance and discounted at an estimated market rate. Certain securities are priced via independent non-binding broker quotations. When using non-binding independent broker quotations, when available the Company obtains two quotes per security. Where multiple broker quotes are obtained, the Company reviews the quotes and selects the quote that provides the best estimate of the price a market participant would pay for these specific assets in an arm’s length transaction. A pricing matrix is used to price securities for which the Company is unable to obtain or effectively rely on either a price from a third party pricing service or an independent broker quotation. The pricing matrix used by the Company begins with current spread levels to determine the market price for the security. The credit spreads, assigned by brokers, incorporate the issuer’s credit rating, liquidity discounts, weighted-average of contracted cash flows, risk premium, if warranted, due to the issuer’s industry, and the security’s time to maturity. The Company uses credit ratings provided by nationally recognized rating agencies. For securities that are priced via non-binding independent broker quotations, the Company assesses whether prices received from independent brokers represent a reasonable estimate of fair value. The Company’s assessment incorporates various metrics (yield curves, credit spreads, prepayment rates, etc.) along with other information available to the Company from both internal and external sources to determine the valuation of such holdings. As a result of this analysis, if the Company determines there is a more appropriate fair value based upon the analytics, the price received from the independent broker is adjusted accordingly. The Company did not adjust any quotes or prices received from brokers during the six months ended June 30, 2020. The Company has analyzed the third party pricing services’ valuation methodologies and related inputs and has also evaluated the various types of securities in its investment portfolio to determine an appropriate fair value hierarchy level based upon trading activity and the observability of market inputs that is in accordance with the Fair Value Measurements and Disclosures Topic of the ASC. Based on this evaluation and investment class analysis, each price was classified into Level 1, 2, or 3. Most prices provided by third party pricing services are classified into Level 2 because the significant inputs used in pricing the securities are market observable and the observable inputs are corroborated by the Company. Since the matrix pricing of certain debt securities includes significant non-observable inputs, they are classified as Level 3. Asset-Backed Securities This category mainly consists of residential mortgage-backed securities, commercial mortgage-backed securities, and other asset-backed securities (collectively referred to as asset-backed securities or “ABS”). As of June 30, 2020, the Company held $11.3 billion of ABS classified as Level 2. These securities are priced from information provided by a third party pricing service and independent broker quotes. The third party pricing services and brokers mainly value securities using both a market and income approach to valuation. As part of this valuation process they consider the following characteristics of the item being measured to be relevant inputs: 1) weighted-average coupon rate, 2) weighted-average years to maturity, 3) types of underlying assets, 4) weighted-average coupon rate of the underlying assets, 5) weighted-average years to maturity of the underlying assets, 6) seniority level of the tranches owned, and 7) credit ratings of the securities. After reviewing these characteristics of the ABS, the third party pricing service and brokers use certain inputs to determine the value of the security. For ABS classified as Level 2, the valuation would consist of predominantly market observable inputs such as, but not limited to: 1) monthly principal and interest payments on the underlying assets, 2) average life of the security, 3) prepayment speeds, 4) credit spreads, 5) treasury and swap yield curves, and 6) discount margin. The Company reviews the methodologies and valuation techniques (including the ability to observe inputs) in assessing the information received from external pricing services and in consideration of the fair value presentation. As of June 30, 2020, the Company held $501.6 million of Level 3 ABS, which included $441.0 million of other asset-backed securities classified as available-for-sale and $60.6 million of other asset-backed securities classified as trading. These securities are predominantly ARS whose underlying collateral is at least 97% guaranteed by the FFELP. The Company prices its ARS using an income approach valuation model. As part of the valuation process the Company reviews the following characteristics of the ARS in determining the relevant inputs: 1) weighted-average coupon rate, 2) weighted-average years to maturity, 3) types of underlying assets, 4) weighted-average coupon rate of the underlying assets, 5) weighted-average years to maturity of the underlying assets, 6) seniority level of the tranches owned, 7) credit ratings of the securities, 8) liquidity premium, and 9) paydown rate. In periods where market activity increases and there are transactions at a price that is not the result of a distressed or forced sale we consider those prices as part of our valuation. If the market activity during a period is solely the result of the issuer redeeming positions we consider those transactions in our valuation, but still consider them to be Level 3 measurements due to the nature of the transaction. Corporate Securities, Redeemable Preferred Stocks, U.S. Government-Related Securities, States, Municipals, and Political Subdivisions, and Other Government-Related Securities As of June 30, 2020, the Company classified approximately $54.8 billion of corporate securities, redeemable preferred stocks, U.S. government-related securities, states, municipals, and political subdivisions, and other government-related securities as Level 2. The fair value of the Level 2 securities is predominantly priced by broker quotes and a third party pricing service. The Company has reviewed the valuation techniques of the brokers and third party pricing service and has determined that such techniques used Level 2 market observable inputs. The following characteristics of the securities are considered to be the primary relevant inputs to the valuation: 1) weighted- average coupon rate, 2) weighted-average years to maturity, 3) seniority, and 4) credit ratings. The Company reviews the methodologies and valuation techniques (including the ability to observe inputs) in assessing the information received from external pricing services and in consideration of the fair value presentation. The brokers and third party pricing service utilize valuation models that consist of a hybrid methodology that utilizes a cash flow analysis and market approach to valuation. The pricing models utilize the following inputs: 1) principal and interest payments, 2) treasury yield curve, 3) credit spreads from new issue and secondary trading markets, 4) dealer quotes with adjustments for issues with early redemption features, 5) liquidity premiums present on private placements, and 6) discount margins from dealers in the new issue market. As of June 30, 2020, the Company classified approximately $1.4 billion of securities as Level 3 valuations. Level 3 securities primarily represent investments in illiquid bonds for which no price is readily available. To determine a price, the Company uses a discounted cash flow model with both observable and unobservable inputs. These inputs are entered into an industry standard pricing model to determine the final price of the security. These inputs include: 1) principal and interest payments, 2) coupon rate, 3) sector and issuer level spread over treasury, 4) underlying collateral, 5) credit ratings, 6) maturity, 7) embedded options, 8) recent new issuance, 9) comparative bond analysis, and 10) an illiquidity premium. Equities As of June 30, 2020, the Company held approximately $78.6 million of equity securities classified as Level 2 and 3. Of this total, $73.4 million represents Federal Home Loan Bank (“FHLB”) stock. The Company believes that the cost of the FHLB stock approximates fair value. Other Long-Term Investments and Other Liabilities Derivative Financial Instruments Other long-term investments and other liabilities include free-standing and embedded derivative financial instruments. Refer to Note 7, Derivative Financial Instruments for additional information related to derivatives. Derivative financial instruments are valued using exchange prices, independent broker quotations, or pricing valuation models, which utilize market data inputs. Excluding embedded derivatives, as of June 30, 2020, 87.1% of derivatives based upon notional values were priced using exchange prices or independent broker quotations. The remaining derivatives were priced by pricing valuation models, which utilize observable market data inputs to the extent they are available. Inputs used to value derivatives include, but are not limited to, interest swap rates, credit spreads, interest rate and equity market volatility indices, equity index levels, and treasury rates. The Company performs monthly analysis on derivative valuations that includes both quantitative and qualitative analyses. Derivative instruments classified as Level 1 generally include futures and options, which are traded on active exchange markets. Derivative instruments classified as Level 2 primarily include swaps, options, and swaptions, which are traded over-the-counter. Level 2 also includes certain centrally cleared derivatives. These derivative valuations are determined using independent broker quotations, which are corroborated with observable market inputs. Derivative instruments classified as Level 3 were embedded derivatives and include at least one significant non-observable input. A derivative instrument containing Level 1 and Level 2 inputs will be classified as a Level 3 financial instrument in its entirety if it has at least one significant Level 3 input. The Company utilizes derivative instruments to manage the risk associated with certain assets and liabilities. However, the derivative instruments may not be classified within the same fair value hierarchy level as the associated assets and liabilities. Therefore, the changes in fair value on derivatives reported in Level 3 may not reflect the offsetting impact of the changes in fair value of the associated assets and liabilities. Embedded derivatives are carried at fair value in other long-term investments and other liabilities on the Company’s consolidated condensed balance sheet. The changes in fair value of embedded derivatives are recorded as realized gains (losses) - investments/derivatives . Refer to Note 7, Derivative Financial Instruments for more information. The fair value of the guaranteed living withdrawal benefits (“GLWB”) embedded derivative is derived through the income method of valuation using a valuation model that projects future cash flows using multiple risk neutral stochastic equity scenarios and policyholder behavior assumptions. The risk neutral scenarios are generated using the current swap curve and projected equity volatilities and correlations. The projected equity volatilities are based on a blend of historical volatility and near-term equity market implied volatilities. The equity correlations are based on historical price observations. For policyholder behavior assumptions, expected lapse and utilization assumptions are used and updated for actual experience, as necessary. The Company assumes age-based mortality from the Ruark 2015 ALB table, with attained age factors varying from 87.0% - 100.0% based on company experience. The present value of the cash flows is determined using the discount rate curve, which is based upon LIBOR plus a credit spread (to represent the Company’s non-performance risk). For expected lapse and utilization, assumptions are used and updated for actual experience, as necessary, using an internal predictive model developed by the Company. As a result of using significant unobservable inputs, the GLWB embedded derivative is categorized as Level 3. Policyholder assumptions are reviewed on an annual basis. The balance of the fixed indexed annuity (“FIA”) embedded derivative is impacted by policyholder cash flows associated with the FIA product that are allocated to the embedded derivative in addition to changes in the fair value of the embedded derivative during the reporting period. The fair value of the FIA embedded derivative is derived through the income method of valuation using a valuation model that projects future cash flows using current index values and volatility, the hedge budget used to price the product, and policyholder assumptions (both elective and non-elective). For policyholder behavior, assumptions are used and updated for actual experience, as necessary. The Company assumes age-based mortality from the 2015 Ruark ALB mortality table with attained age factors varying from 87.0% - 100.0% based on company experience. The present value of the cash flows is determined using the discount rate curve, which is based upon LIBOR up to one year and constant maturity treasury rates plus a credit spread (to represent the Company’s non-performance risk) thereafter. Policyholder assumptions are reviewed on an annual basis. As a result of using significant unobservable inputs, the FIA embedded derivative is categorized as Level 3. The balance of the indexed universal life (“IUL”) embedded derivative is impacted by policyholder cash flows associated with the IUL product that are allocated to the embedded derivative in addition to changes in the fair value of the embedded derivative during the reporting period. The fair value of the IUL embedded derivative is derived through the income method of valuation using a valuation model that projects future cash flows using current index values and volatility, the hedge budget used to price the product, and policyholder assumptions (both elective and non-elective). For policyholder behavior assumptions, expected lapse and withdrawal assumptions are used and updated for actual experience, as necessary. The Company assumes age-based mortality from the SOA 2015 VBT Primary Tables, with attained age factors varying from 37.0% - 156.0% based on company experience. The present value of the cash flows is determined using the discount rate curve, which is based upon LIBOR up to one year and constant maturity treasury rates plus a credit spread (to represent the Company’s non-performance risk) thereafter. Policyholder assumptions are reviewed on an annual basis. As a result of using significant unobservable inputs, the IUL embedded derivative is categorized as Level 3. The Company has assumed and ceded certain blocks of policies under modified coinsurance agreements in which the investment results of the underlying portfolios inure directly to the reinsurers. Funds withheld arrangements related to such agreements contain embedded derivatives that are reported at fair value. Changes in their fair value are reported in realized gains (losses) - investments/derivatives . The fair value of embedded derivatives related to funds withheld under modified coinsurance agreements are a function of the unrealized gains or losses on the underlying assets and are calculated in a manner consistent with the terms of the agreements. The investments supporting certain of these agreements are designated as “trading securities”; therefore changes in their fair value are also reported in realized gains (losses) - investments/derivatives . The fair value of embedded derivatives is estimated based on market standard valuation methodology and is considered a Level 3 valuation. The Company and certain of its subsidiaries have entered into interest support, yearly renewable term (“YRT”) premium support, and portfolio maintenance agreements with PLC. These agreements meet the definition of a derivative and are accounted for at fair value and are considered Level 3 valuations. The fair value of these derivatives as of June 30, 2020 was $113.7 million and is included in other long-term investments . For information regarding realized gains on these derivatives please refer to Note 7, Derivative Financial Instruments . The Interest Support Agreement provides that PLC will make payments to Golden Gate II Captive Insurance Company (“Golden Gate II”), a wholly owned subsidiary of the Company, if actual investment income on certain of Golden Gate II’s asset portfolios falls below a calculated investment income amount as defined in the Interest Support Agreement. The calculated investment income amount is a level of investment income deemed to be sufficient to support certain of Golden Gate II’s obligations under a reinsurance agreement with the Company, dated July 1, 2007. The derivative is valued using an internal valuation model that assumes a conservative projection of investment income under an adverse interest rate scenario and the probability that the expectation falls below the calculated investment income amount. This derivative had a fair value of $60.8 million as of June 30, 2020. Golden Gate II recognized $2.4 million in gains related to payments made under this agreement for the six months ended June 30, 2020. As of June 30, 2020, certain interest support agreement obligations to Golden Gate II of approximately $5.5 million have been collateralized by PLC. Re-evaluation and, if necessary, adjustments of any support agreement collateralization amounts occur annually during the first quarter pursuant to the terms of the support agreement. The YRT premium support agreements provide that PLC will make payments to Golden Gate Captive Insurance Company (“Golden Gate”), a wholly owned subsidiary of the Company, and Golden Gate II in the event that YRT premium rates increase. The derivatives are valued using an internal valuation model. The valuation model is a probability weighted discounted cash flow model. The value is primarily a function of the likelihood and severity of future YRT premium increases. The fair value of these derivatives as of June 30, 2020 was $52.4 million. Golden Gate II recognized $1.6 million in gains related to payments made under this agreement for the six months ended June 30, 2020. The portfolio maintenance agreements provide that PLC will make payments to Golden Gate, Golden Gate V, and West Coast Life Insurance Company (“WCL”), a wholly owned subsidiary of the Company, in the event of other-than-temporary impairments on investments, measured in accordance with Statutory Accounting Principles, that exceed defined thresholds. The derivatives are valued using an internal discounted cash flow model. The significant unobservable inputs are the projected probability and severity of credit losses used to project future cash flows on the investment portfolios. The fair value of the portfolio maintenance agreements as of June 30, 2020, was $0.4 million. As of June 30, 2020, no payments have been made under these agreements. The Funds Withheld derivative results from reinsurance agreements with subsidiaries of PLC, where the economic performance of certain hedging instruments held by the Company are ceded to the subsidiaries. The value of the Funds Withheld derivative is directly tied to the value of the hedging instruments held in the funds withheld account. The hedging instruments predominantly consist of derivative instruments the fair values of which are classified as a Level 2 measurement; as such, the fair value of the Funds Withheld derivative has been classified as a Level 2 measurement. The fair value of the Funds Withheld derivative as of June 30, 2020, was a liability of $159.4 million. Annuity Account Balances The Company records a certain legacy block of FIA reserves at fair value. Based on the characteristics of these reserves, the Company believes that the fund value approximates fair value. The fair value measurement of these reserves is considered a Level 3 valuation due to the unobservable nature of the fund values. Separate Accounts Separate account assets are invested in open-ended mutual funds and are included in Level 1. Valuation of Level 3 Financial Instruments The following table presents the valuation method for material financial instruments included in Level 3, as well as the unobservable inputs used in the valuation of those financial instruments: Fair Value Valuation Unobservable Range (Dollars In Thousands) Assets: Commercial mortgage-backed securities $ 9,971 Discounted cash flow Spread over treasury 3.41% Other asset-backed securities 430,964 Liquidation Liquidation value $92.25 - $97.00 ($95.39) Discounted cash flow Liquidity premium 0.46% - 2.32% (1.59%) Paydown rate 8.66% - 12.76% (11.44%) Corporate securities 1,365,963 Discounted cash flow Spread over treasury 0.12% - 8.25% (2.83%) Liabilities: (1) Embedded derivatives - GLWB (2) 590,762 Actuarial cash flow model Mortality 87% to 100% of Ruark 2015 ALB Table Lapse PL-RBA Predictive Model Utilization PL-RBA Predictive Model Nonperformance risk 0.33% - 0.91% Embedded derivative - FIA 451,148 Actuarial cash flow model Expenses $195 per policy Withdrawal rate 0.4% - 1.2% prior to age 70, 100% of the RMD for ages 70+ or WB withdrawal rate. Assume underutilized RMD for non WB policies ages 70-81. Mortality 87% to 100% of Ruark 2015 ALB table Lapse 0.5% - 50.0%, depending on duration/surrender charge period Dynamically adjusted for WB moneyness and projected market rates vs credited rates Nonperformance risk 0.33% - 0.91% Embedded derivative - IUL 196,655 Actuarial cash flow model Mortality 37% - 156% of 2015 VBT Primary Tables 94% - 248% of duration 8 point in scale 2015 VBT Primary Tables, depending on type of business Lapse 0.5% - 10%, depending on duration/distribution channel and smoking class Nonperformance risk 0.33% - 0.91% (1) Excludes modified coinsurance arrangements. (2) The fair value for the GLWB embedded derivative is presented as a net liability. The chart above excludes Level 3 financial instruments that are valued using broker quotes and for which book value approximates fair value. Unobservable inputs were weighted by the relative fair value of instruments, except for other asset-backed securities which were weighted by the relative par amounts. The Company has considered all reasonably available quantitative inputs as of June 30, 2020, but the valuation techniques and inputs used by some brokers in pricing certain financial instruments are not shared with the Company. This resulted in $95.6 million of financial instruments being classified as Level 3 as of June 30, 2020, of which $79.1 million are other asse |
DERIVATIVE FINANCIAL INSTRUMENT
DERIVATIVE FINANCIAL INSTRUMENTS | 6 Months Ended |
Jun. 30, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
DERIVATIVE FINANCIAL INSTRUMENTS | DERIVATIVE FINANCIAL INSTRUMENTS Types of Derivative Instruments and Derivative Strategies The Company utilizes a risk management strategy that incorporates the use of derivative financial instruments to reduce exposure to certain risks, including but not limited to, interest rate risk, currency exchange risk, volatility risk, and equity market risk. These strategies are developed through the Company’s analysis of data from financial simulation models and other internal and industry sources, and are then incorporated into the Company’s risk management program. Derivative instruments expose the Company to credit and market risk and could result in material changes from period to period. The Company attempts to minimize its credit in connection with its overall asset/liability management programs and risk management strategies. In addition, all derivative programs are monitored by our risk management department. Derivatives Related to Interest Rate Risk Management Derivative instruments that are used as part of the Company’s interest rate risk management strategy include interest rate swaps, interest rate futures, interest rate caps, and interest rate swaptions. Derivatives Related to Foreign Currency Exchange Risk Management Derivative instruments that are used as part of the Company’s foreign currency exchange risk management strategy include foreign currency swaps, foreign currency futures, foreign equity futures, and foreign equity options. Derivatives Related to Risk Mitigation of Certain Annuity Contracts The Company may use the following types of derivative contracts to mitigate its exposure to certain guaranteed benefits related to variable annuity (“VA”) contracts, fixed indexed annuities, and indexed universal life contracts: • Foreign Currency Futures • Variance Swaps • Interest Rate Futures • Equity Options • Equity Futures • Credit Derivatives • Interest Rate Swaps • Interest Rate Swaptions • Volatility Futures • Volatility Options • Funds Withheld Agreements • Total Return Swaps • Foreign Currency Options Other Derivatives The Company and certain of its subsidiaries have derivatives with PLC. These derivatives consist of an interest support agreement, YRT premium support agreements, and portfolio maintenance agreements with PLC. The Company has a funds withheld account that consists of various derivative instruments held by the Company that are used to hedge the GLWB and GMDB riders and the fixed indexed annuity products. The economic performance of derivatives in the funds withheld account is ceded to subsidiaries of PLC. The funds withheld account is accounted for as a derivative financial instrument. Accounting for Derivative Instruments GAAP requires that all derivative instruments be recognized in the balance sheet at fair value. The Company records its derivative financial instruments in the consolidated condensed balance sheet in other long-term investments and other liabilities . The change in the fair value of derivative financial instruments is reported either in the statement of income or in other comprehensive income (loss), depending upon whether it qualified for and also has been properly identified as being part of a hedging relationship, and also on the type of hedging relationship that exists. It is the Company's policy not to offset assets and liabilities associated with open derivative contracts. However, the Chicago Mercantile Exchange (“CME”) rules characterize variation margin transfers as settlement payments, as opposed to adjustments to collateral. As a result, derivative assets and liabilities associated with centrally cleared derivatives for which the CME serves as the central clearing party are presented as if these derivatives had been settled as of the reporting date. For a derivative financial instrument to be accounted for as an accounting hedge, it must be identified and documented as such on the date of designation. For cash flow hedges, the effective portion of their realized gain or loss is reported as a component of other comprehensive income (loss) and reclassified into operations in the same period during which the hedged item impacts operations. Any remaining gain or loss, the ineffective portion, is recognized in current operations. For fair value hedge derivatives, their gain or loss as well as the offsetting loss or gain attributable to the hedged risk of the hedged item is recognized in current operations. Effectiveness of the Company’s hedge relationships is assessed on a quarterly basis. The Company reports changes in fair values of derivatives that are not part of a qualifying hedge relationship through operations in the period of change. Changes in the fair value of these derivatives are recognized in realized gains (losses) - investments/derivatives in the consolidated condensed statements of income. Derivative Instruments Designated and Qualifying as Hedging Instruments Cash-Flow Hedges • To hedge a fixed rate note denominated in a foreign currency, the Company entered into a fixed-to-fixed foreign currency swap in order to hedge the foreign currency exchange risk associated with the note. The cash flows received on the swap are identical to the cash flows paid on the note. • To hedge a floating rate note, the Company entered into an interest rate swap to exchange the floating rate on the note for a fixed rate in order to hedge the interest rate risk associated with the note. The cash flows received on the swap are identical to the cash flow variability paid on the note. Derivative Instruments Not Designated and Not Qualifying as Hedging Instruments The Company uses various other derivative instruments for risk management purposes that do not qualify for hedge accounting treatment. Changes in the fair value of these derivatives are recognized in realized gains (losses) - investments/derivatives in the consolidated condensed statements of income. Derivatives Related to Variable Annuity Contracts • The Company uses equity futures, equity options, total return swaps, interest rate futures, interest rate swaps, interest rate swaptions, currency futures, currency options, volatility futures, volatility options, and variance swaps to mitigate the risk related to certain guaranteed minimum benefits, including GLWB, within its VA products. In general, the cost of such benefits varies with the level of equity and interest rate markets, foreign currency levels, and overall volatility. • The Company markets certain VA products with a GLWB rider. The GLWB component is considered an embedded derivative, not considered to be clearly and closely related to the host contract. • The Company has a funds withheld account that consists of various derivative instruments held by the Company that are used to hedge the GLWB and GMDB riders. The economic performance of derivatives in the funds withheld account is ceded to Shades Creek Captive Insurance Company (“Shades Creek”), a direct wholly owned subsidiary of PLC. The funds withheld account is accounted for as a derivative financial instrument. Derivatives Related to Fixed Annuity Contracts • The Company uses equity futures and options to mitigate the risk within its fixed indexed annuity products. In general, the cost of such benefits varies with the level of equity and overall volatility. • The Company markets certain fixed indexed annuity products. The FIA component is considered an embedded derivative as it is not considered to be clearly and closely related to the host contract. • The Company has a funds withheld account that consists of various derivative instruments held by the Company that are used to hedge the fixed indexed annuity products. The economic performance of derivatives in the funds withheld account is ceded to Protective Life Reinsurance Bermuda Ltd. The funds withheld account is accounted for as a derivative financial instrument. Derivatives Related to Indexed Universal Life Contracts • The Company uses equity futures and options to mitigate the risk within its indexed universal life products. In general, the cost of such benefits varies with the level of equity markets. • The Company markets certain IUL products. The IUL component is considered an embedded derivative as it is not considered to be clearly and closely related to the host contract. Other Derivatives • The Company and certain of its subsidiaries have an interest support agreement, YRT premium support agreements, and portfolio maintenance agreements with PLC. • The Company uses various swaps and other types of derivatives to manage risk related to other exposures. • The Company is involved in various modified coinsurance and funds withheld arrangements which contain embedded derivatives. Changes in their fair value are recorded in realized gains (losses) - investments/derivatives in the consolidated condensed statements of income. The investment portfolios that support the related modified coinsurance reserves and funds withheld arrangements had fair value changes which substantially offset the gains or losses on these embedded derivatives. The following table sets forth realized gains (losses) - derivatives for the periods shown: Realized gains (losses) - derivative financial instruments For The For The 2020 2019 2020 2019 (Dollars In Thousands) Derivatives related to VA contracts: Interest rate futures $ (6,680) $ (11,280) $ (5,822) $ (17,302) Equity futures 102,447 2,559 133,099 32,297 Currency futures (1,188) (397) 10,974 1,847 Equity options (172,248) (21,702) 108,231 (93,397) Interest rate swaps 11,786 117,934 421,301 192,795 Total return swaps (77,622) (8,545) 62,145 (48,572) Embedded derivative - GLWB 5,859 (69,602) (404,721) (102,989) Funds withheld derivative 112,133 18,771 (149,281) 80,548 Total derivatives related to VA contracts (25,513) 27,738 175,926 45,227 Derivatives related to FIA contracts: Embedded derivative (68,310) (24,819) (29,423) (63,633) Funds withheld derivative (6,782) — (6,782) — Equity futures 1,084 431 (7,068) 2 Equity options 50,546 13,191 (9,839) 55,241 Other derivatives (425) — (225) — Total derivatives related to FIA contracts (23,887) (11,197) (53,337) (8,390) Derivatives related to IUL contracts: Embedded derivative (14,277) (11,286) (14,239) (24,656) Equity futures 295 85 (2,144) 256 Equity options 8,497 2,606 (5,952) 8,786 Total derivatives related to IUL contracts (5,485) (8,595) (22,335) (15,614) Embedded derivative - Modco reinsurance treaties (106,155) (70,679) (30,426) (155,677) Derivatives with PLC (1) 4,294 8,922 2,346 7,269 Other derivatives (3,832) (1,455) 5,388 (1,389) Total realized gains (losses) - derivatives $ (160,578) $ (55,266) $ 77,562 $ (128,574) (1) These derivatives include the Interest, YRT premium support, and portfolio maintenance agreements between certain of the Company’s subsidiaries and PLC. The following table presents the components of the gain or loss on derivatives that qualify as a cash flow hedging relationship. Gain (Loss) on Derivatives in Cash Flow Hedging Relationship Amount of Gains (Losses) Amount and Location of Amount and Location of (Effective Portion) (Effective Portion) (Ineffective Portion) Benefits and settlement Realized gains (losses) - investments/derivatives (Dollars In Thousands) For The Three Months Ended June 30, 2020 Foreign currency swaps $ 3,371 $ (222) $ — Interest rate swaps (541) (1,245) — Total $ 2,830 $ (1,467) $ — For The Six Months Ended June 30, 2020 Foreign currency swaps $ (2,124) $ (616) $ — Interest rate swaps (915) (2,055) — Total $ (3,039) $ (2,671) $ — For The Three Months Ended June 30, 2019 Foreign currency swaps $ (1,733) $ (188) $ — Interest rate swaps (1,796) (148) — Total $ (3,529) $ (336) $ — For The Six Months Ended June 30, 2019 Foreign currency swaps $ (3,626) $ (394) $ — Interest rate swaps (2,391) (220) — Total $ (6,017) $ (614) $ — Based on expected cash flows of the underlying hedged items, the Company expects to reclassify $1.3 million out of accumulated other comprehensive income (loss) into realized gains (losses) - investments/derivatives in the consolidated condensed statements of income during the next twelve months. The table below presents information about the nature and accounting treatment of the Company’s primary derivative financial instruments and the location in and effect on the consolidated condensed financial statements for the periods presented below: As of June 30, 2020 December 31, 2019 Notional Fair Notional Fair (Dollars In Thousands) Other long-term investments Derivatives not designated as hedging instruments: Interest rate swaps $ 2,428,000 $ 225,231 $ 2,228,000 $ 98,655 Total return swaps 562,607 4,460 269,772 941 Derivatives with PLC (1) 2,653,006 113,653 2,830,889 115,379 Embedded derivative - Modco reinsurance treaties 1,281,470 64,758 1,280,189 31,926 Embedded derivative - GLWB 543,139 45,636 1,147,436 62,538 Embedded derivative - FIA 286,778 51,860 — — Interest rate futures 221,804 641 896,073 7,557 Equity futures 119,794 1,368 159,901 2,109 Currency futures 261,473 3,850 72,593 131 Equity options 7,379,220 661,507 6,685,670 676,257 $ 15,737,291 $ 1,172,964 $ 15,570,523 $ 995,493 Other liabilities Cash flow hedges: Interest rate swaps $ 350,000 $ — $ 350,000 $ — Foreign currency swaps 117,178 22,879 117,178 11,373 Derivatives not designated as hedging instruments: Interest rate swaps 250,000 — 50,000 — Total return swaps 194,504 2,938 579,675 3,229 Embedded derivative - Modco reinsurance treaties 2,815,598 289,709 2,263,685 231,516 Funds withheld derivative 3,062,874 159,370 1,845,649 70,583 Embedded derivative - GLWB 3,414,058 636,398 2,892,926 248,577 Embedded derivative - FIA 3,256,264 497,336 2,892,803 332,869 Embedded derivative - IUL 324,832 196,655 301,598 151,765 Interest rate futures 1,034,796 1,960 669,223 10,375 Equity futures 121,162 2,016 174,743 2,376 Currency futures — — 192,306 1,836 Equity options 5,249,748 302,348 4,827,714 429,434 Other 250,726 44,153 199,387 53,245 $ 20,441,740 $ 2,155,762 $ 17,356,887 $ 1,547,178 (1) These derivatives include the Interest, YRT premium support, and portfolio maintenance agreements between certain of the Company’s subsidiaries and PLC. |
OFFSETTING OF ASSETS AND LIABIL
OFFSETTING OF ASSETS AND LIABILITIES | 6 Months Ended |
Jun. 30, 2020 | |
Offsetting [Abstract] | |
OFFSETTING OF ASSETS AND LIABILITIES | OFFSETTING OF ASSETS AND LIABILITIES Certain of the Company’s derivative instruments are subject to enforceable master netting arrangements that provide for the net settlement of all derivative contracts between the Company and a counterparty in the event of default or upon the occurrence of certain termination events. Collateral support agreements associated with each master netting arrangement provide that the Company will receive or pledge financial collateral in the event either minimum thresholds, or in certain cases ratings levels, have been reached. Additionally, certain of the Company’s repurchase agreements provide for net settlement on termination of the agreement. Refer to Note 10, Debt and Other Obligations for details of the Company’s repurchase agreement programs. Collateral received includes both cash and non-cash collateral. Cash collateral received by the Company is recorded on the consolidated condensed balance sheet as “cash”, with a corresponding amount recorded in “other liabilities” to represent the Company’s obligation to return the collateral. Non-cash collateral received by the Company is not recognized on the consolidated condensed balance sheet unless the Company exercises its right to sell or re-pledge the underlying asset. As of June 30, 2020 and December 31, 2019, the fair value of non-cash collateral received was $39.9 million and $21.3 million, respectively. The tables below present the derivative instruments by assets and liabilities for the Company as of June 30, 2020. Gross Gross Net Amounts Gross Amounts Not Offset Financial Collateral Net Amount (Dollars In Thousands) Offsetting of Assets Derivatives: Free-Standing derivatives $ 897,057 $ — $ 897,057 $ 328,282 $ 404,541 $ 164,234 Total derivatives, subject to a master netting arrangement or similar arrangement 897,057 — 897,057 328,282 404,541 164,234 Derivatives not subject to a master netting arrangement or similar arrangement Embedded derivative - Modco reinsurance treaties 64,758 — 64,758 — — 64,758 Embedded derivative - GLWB 45,636 — 45,636 — — 45,636 Derivatives with PLC 113,653 — 113,653 — — 113,653 Other 51,860 — 51,860 — — 51,860 Total derivatives, not subject to a master netting arrangement or similar arrangement 275,907 — 275,907 — — 275,907 Total derivatives 1,172,964 — 1,172,964 328,282 404,541 440,141 Total Assets $ 1,172,964 $ — $ 1,172,964 $ 328,282 $ 404,541 $ 440,141 Gross Gross Net Amounts Gross Amounts Not Offset Financial Collateral Net Amount (Dollars In Thousands) Offsetting of Liabilities Derivatives: Free-Standing derivatives $ 332,141 $ — $ 332,141 $ 328,282 $ 2,040 $ 1,819 Total derivatives, subject to a master netting arrangement or similar arrangement 332,141 — 332,141 328,282 2,040 1,819 Derivatives, not subject to a master netting arrangement or similar arrangement Embedded derivative - Modco reinsurance treaties 289,709 — 289,709 — — 289,709 Funds withheld derivative 159,370 — 159,370 — — 159,370 Embedded derivative - GLWB 636,398 — 636,398 — — 636,398 Embedded derivative - FIA 497,336 — 497,336 — — 497,336 Embedded derivative - IUL 196,655 — 196,655 — — 196,655 Other 44,153 — 44,153 — — 44,153 Total derivatives, not subject to a master netting arrangement or similar arrangement 1,823,621 — 1,823,621 — — 1,823,621 Total derivatives 2,155,762 — 2,155,762 328,282 2,040 1,825,440 Repurchase agreements (1) 100,000 — 100,000 — — 100,000 Total Liabilities $ 2,255,762 $ — $ 2,255,762 $ 328,282 $ 2,040 $ 1,925,440 (1) Borrowings under repurchase agreements are for a term less than 90 days. The tables below present the derivative instruments by assets and liabilities for the Company as of December 31, 2019. Gross Gross Net Amounts Gross Amounts Not Offset Financial Collateral Net Amount (Dollars In Thousands) Offsetting of Assets Derivatives: Free-Standing derivatives $ 785,650 $ — $ 785,650 $ 452,562 $ 215,587 $ 117,501 Total derivatives, subject to a master netting arrangement or similar arrangement 785,650 — 785,650 452,562 215,587 117,501 Derivatives not subject to a master netting arrangement or similar arrangement Embedded derivative - Modco reinsurance treaties 31,926 — 31,926 — — 31,926 Embedded derivative - GLWB 62,538 — 62,538 — — 62,538 Derivatives with PLC 115,379 — 115,379 — — 115,379 Other — — — — — — Total derivatives, not subject to a master netting arrangement or similar arrangement 209,843 — 209,843 — — 209,843 Total derivatives 995,493 — 995,493 452,562 215,587 327,344 Total Assets $ 995,493 $ — $ 995,493 $ 452,562 $ 215,587 $ 327,344 Gross Gross Net Amounts Gross Amounts Not Offset Financial Collateral Net Amount (Dollars In Thousands) Offsetting of Liabilities Derivatives: Free-Standing derivatives $ 458,623 $ — $ 458,623 $ 452,562 $ 4,791 $ 1,270 Total derivatives, subject to a master netting arrangement or similar arrangement 458,623 — 458,623 452,562 4,791 1,270 Derivatives not subject to a master netting arrangement or similar arrangement Embedded derivative - Modco reinsurance treaties 231,516 — 231,516 — — 231,516 Funds withheld derivative 70,583 — 70,583 — — 70,583 Embedded derivative - GLWB 248,577 — 248,577 — — 248,577 Embedded derivative - FIA 332,869 — 332,869 — — 332,869 Embedded derivative - IUL 151,765 — 151,765 — — 151,765 Other 53,245 — 53,245 — — 53,245 Total derivatives, not subject to a master netting arrangement or similar arrangement 1,088,555 — 1,088,555 — — 1,088,555 Total derivatives 1,547,178 — 1,547,178 452,562 4,791 1,089,825 Repurchase agreements (1) 270,000 — 270,000 — — 270,000 Total Liabilities $ 1,817,178 $ — $ 1,817,178 $ 452,562 $ 4,791 $ 1,359,825 (1) Borrowings under repurchase agreements are for a term less than 90 days. |
COMMERCIAL MORTGAGE LOANS
COMMERCIAL MORTGAGE LOANS | 6 Months Ended |
Jun. 30, 2020 | |
COMMERCIAL MORTGAGE LOANS [Abstract] | |
COMMERCIAL MORTGAGE LOANS | COMMERCIAL MORTGAGE LOANS Commercial Mortgage Loans The Company invests a portion of its investment portfolio in commercial mortgage loans. As of June 30, 2020, the Company’s commercial mortgage loan holdings were appr oximately $9.7 billion, and $9.5 billion net of allowance for credit losses . The Company has specialized in making loans on credit-oriented commercial properties, credit-anchored strip shopping centers, senior living facilities, and apartments. The Company’s underwriting procedures relative to its commercial mortgage loan portfolio are based, in the Company’s view, on a conservative and disciplined approach. The Company concentrates on a small number of commercial real estate asset classes (retail, industrial, senior living, office, and multi-family). With respect to retail, the Company’s focus is on the necessities of life sector. The Company believes that this retail focus, along with the other preferred asset classes tend to weather economic downturns better than other commercial real estate asset classes in which it has chosen not to participate. The Company believes this disciplined approach has helped to maintain a relatively low delinquency and foreclosure rate throughout its history. The majority of the Company’s commercial mortgage loan portfolio was underwritten by the Company. From time to time, the Company may acquire loans in conjunction with an acquisition. The Company’s commercial mortgage loans are stated at unpaid principal balance, adjusted for any unamortized premium or discount, and net of the allowance for credit losses. See Note 2, Summary of Significant Accounting Policies , for a detailed discussion of the Company’s policies with respect to the measurement of the allowance for credit losses. Interest income is accrued on the principal amount of the loan based on the loan’s contractual interest rate. Amortization of premiums and discounts is recorded using the effective yield method. Interest income, amortization of premiums and discounts and prepayment fees are reported in net investment income. Certain of the commercial mortgage loans have call options that occur within the next 10 years. However, if interest rates were to significantly increase, the Company may be unable to exercise the call options on its existing commercial mortgage loans commensurate with the significantly increased market rates. As of June 30, 2020, assuming the loans are called at their next call dates, approximately $30.5 million of principal would become due for the remainder of 2020, $717.5 million in 2021 through 2025 and $57.1 million in 2026 through 2029. The Company offers a type of commercial mortgage loan under which the Company will permit a loan-to-value ratio of up to 85% in exchange for a participation interest in the cash flows from the underlying real estate. As of June 30, 2020 and December 31, 2019, approximately $761.4 million and $717.0 million, respectively, of the Company’s total commercial mortgage loans principal balance have this participation feature. Cash flows received as a result of this participation feature are recorded as interest income. During the three and six months ended June 30, 2020 and 2019, the Company recognized $0.5 million, $16.5 million , $12.0 million and, $14.2 million respectively, of participation commercial mortgage loan income. As of June 30, 2020, the Company had $1.2 million invested assets that consisted of nonperforming commercial mortgage loans, restructured commercial mortgage loans, or commercial mortgage loans that were foreclosed and were converted to real estate properties. Non-performing commercial mortgage loans include loans that are greater than 90 days delinquent, or otherwise deemed uncollectible. During the six months ended June 30, 2020, the Company recognized two troubled debt restructurings as a result of granting concessions to borrowers which included loan terms unavailable from other lenders. During the three and six months ended June 30, 2020, the Company did not have any commercial mortgage loans that were foreclosed and were converted to real estate properties. It is the Company’s policy to write off loan amounts that are deemed uncollectible. No amounts were written off during the three and six months ended June 30, 2020. As of June 30, 2019, $0.8 million of the Company’s invested assets consisted of nonperforming commercial mortgage loans, restructured commercial mortgage loans, or commercial mortgage loans that were foreclosed and were converted to real estate properties. The Company does not expect these investments to adversely affect its liquidity or ability to maintain proper matching of assets and liabilities. During the six months ended June 30, 2019, the Company recognized three troubled debt restructurings as a result of granting concessions to borrowers which included loan terms unavailable from other lenders. During the three and six months ended June 30, 2019, the Company did not have any commercial mortgage loans that were foreclosed and were converted to real estate properties. The Company did not identify any loans whose principal was permanently impaired during the three and six months ended June 30, 2019. On March 27, 2020, H.R. 748, the Coronavirus Aid, Relief, and Economic Security Act (“the CARES Act”) was signed into legislation. Section 4013 of the CARES Act provides additional relief for certain loan modifications made as a result of the COVID-19 pandemic. Specifically, the CARES Act specifies that a financial institution may suspend the requirements under GAAP with respect to troubled debt restructuring classification and reporting for loan modifications made in response to the COVID-19 pandemic which meet the following criteria: 1) the borrower was not more than 30 days past due as of December 31, 2019 and 2) the modifications are related to arrangements that defer or delay the payment of principal or interest, or change the interest rate on the loan. The relief provided by the CARES Act terminates on the earlier of December 31, 2020 or 60 days after the end of the national emergency declared on March 13, 2020. Accordingly, the Company provided certain relief under the CARES Act under its COVID-19 Commercial Mortgage Loan Program (the “Loan Modification Program”). As of June 30, 2020, the Company had a total of 305 loans with $2.1 billion in unpaid principal balance under the Loan Modification Program. The modifications under this program include agreements to defer principal payments only or to defer principal and interest payments for a specified period of time. None of these modifications were considered troubled debt restructurings. As of June 30, 2020, the amortized cost basis of the Company's commercial mortgage loan receivables by origination year, net of the allowance, for credit losses is as follows: Term Loans Amortized Cost Basis by Origination Year 2020 2019 2018 2017 2016 Prior Total (Dollars In Thousands) As of June 30, 2020 Commercial mortgage loans: Performing $ 591,896 $ 2,545,699 $ 1,625,965 $ 1,368,660 $ 961,861 $ 2,624,898 $ 9,718,979 Non-performing — — — — — — — Amortized cost $ 591,896 $ 2,545,699 $ 1,625,965 $ 1,368,660 $ 961,861 $ 2,624,898 $ 9,718,979 Allowance for credit losses (10,132) (36,008) (48,449) (24,083) (23,702) (30,812) (173,186) Total commercial mortgage loans $ 581,764 $ 2,509,691 $ 1,577,516 $ 1,344,577 $ 938,159 $ 2,594,086 $ 9,545,793 The following table presents loan-to-value ratios for commercial mortgages by year of vintage: Loan-to-Value Ratios for Commercial Mortgages by Year of Vintage 2020 2019 2018 2017 2016 Prior Total (Dollars In Thousands) As of June 30, 2020 Commercial mortgage loans: Greater than 75% $ 31,134 $ 39,776 $ 106,759 $ 52,056 $ 6,648 $ 6,121 $ 242,494 50% - 75% 467,822 1,653,459 1,030,908 1,032,967 794,766 1,400,615 6,380,537 Less than 50% 92,940 852,464 488,298 283,637 160,447 1,218,162 3,095,948 Amortized Cost 591,896 2,545,699 $ 1,625,965 $ 1,368,660 $ 961,861 $ 2,624,898 $ 9,718,979 Allowance for credit losses (10,132) (36,008) (48,449) (24,083) (23,702) (30,812) (173,186) Total commercial mortgage loans $ 581,764 $ 2,509,691 $ 1,577,516 $ 1,344,577 $ 938,159 $ 2,594,086 $ 9,545,793 (1) The loan-to-value ratio compares the current unpaid principal of the loan to the estimated fair value of the underlying property collateralizing the loan. Our weighted average loan-to-value ratio was 54% at both June 30, 2020 and December 31, 2019. The following table presents debt service coverage ratios for commercial mortgages by year of vintage: Debt Service Coverage Ratios for Commercial Mortgages by Year of Vintage 2020 2019 2018 2017 2016 Prior Total (Dollars In Thousands) As of June 30, 2020 Commercial mortgage loans: >1.20x $ 567,319 $ 2,271,803 $ 1,227,831 $ 1,102,631 $ 705,564 $ 2,071,033 $ 7,946,181 1.00x - 1.20x 24,577 272,789 295,053 212,063 196,169 372,406 1,373,057 <1.00x — 1,107 103,081 53,966 60,128 181,459 399,741 Amortized Cost 591,896 2,545,699 1,625,965 1,368,660 961,861 2,624,898 9,718,979 Allowance for credit losses (10,132) (36,008) (48,449) (24,083) (23,702) (30,812) (173,186) Total commercial mortgage loans $ 581,764 $ 2,509,691 $ 1,577,516 $ 1,344,577 $ 938,159 $ 2,594,086 $ 9,545,793 (1) The debt service coverage ratio compares a property’s net operating income to its debt service payments, including principal and interest. Our weighted average debt service coverage ratio was 1.75x at June 30, 2020 and 1.73x at December 31, 2019. The ACL increased by $97 million during the six months ended June 30, 2020, primarily as a result of deterioration in the macroeconomic forecasts, as a result of COVID-19, used in the measurement of the ACL since the initial allowance was established. For The (Dollars In Thousands) Allowance for Funded Commercial Mortgage Loan Credit Losses Beginning balance $ 4,884 Cumulative effect adjustment 80,239 Charge offs — Recoveries (1,839) Provision 89,902 Ending balance $ 173,186 Allowance for Unfunded Commercial Mortgage Loan Commitments Credit Losses Beginning balance $ — Cumulative effect adjustment 10,610 Charge offs — Recoveries — Provision 8,940 Ending balance $ 19,550 An analysis of the delinquent loans is shown in the following chart: Greater 30-59 Days 60-89 Days than 90 Days Total As of June 30, 2020 Delinquent Delinquent Delinquent Delinquent (Dollars In Thousands) Commercial mortgage loans $ 2,175 $ 2,260 $ — $ 4,435 Number of delinquent commercial mortgage loans 2 1 — 3 As of December 31, 2019 Commercial mortgage loans $ 6,455 $ — $ 710 $ 7,165 Number of delinquent commercial mortgage loans 2 — 3 5 The Company limits accrued interest income on loans to ninety days of interest. For loans in nonaccrual status, interest income is recognized on a cash basis. For the six months ended June 30, 2020, an immaterial amount of accrued interest was excluded from the amortized cost basis pursuant to the Company's nonaccrual policy. An analysis of loans in a nonaccrual status is shown in the following chart: Recorded Unpaid Related Average Interest Cash Basis (Dollars In Thousands) As of June 30, 2020 Commercial mortgage loans: With no related allowance recorded $ — $ — $ — $ — $ — $ — With an allowance recorded $ — $ — $ — $ — $ — $ — As of December 31, 2019 Commercial mortgage loans: With no related allowance recorded $ 710 $ 702 $ — $ 237 $ 20 $ 28 With an allowance recorded $ 16,209 $ 16,102 $ 4,884 $ 3,242 $ 841 $ 838 Commercial mortgage loans that were modified in a troubled debt restructuring as of June 30, 2020 and December 31, 2019 are shown below. Number of Pre-Modification Post-Modification (Dollars In Thousands) As of June 30, 2020 Troubled debt restructuring: Commercial mortgage loans 1 $ 1,237 $ 1,237 As of December 31, 2019 Troubled debt restructuring: Commercial mortgage loans 2 $ 3,771 $ 3,771 |
DEBT AND OTHER OBLIGATIONS
DEBT AND OTHER OBLIGATIONS | 6 Months Ended |
Jun. 30, 2020 | |
Debt Disclosure [Abstract] | |
DEBT AND OTHER OBLIGATIONS | DEBT AND OTHER OBLIGATIONS Under a revolving line of credit arrangement (the “Credit Facility”), the Company has the ability to borrow on an unsecured basis up to an aggregate principal amount of $1.0 billion. The Company has the right in certain circumstances to request that the commitment under the Credit Facility be increased up to a maximum principal amount of $1.5 billion. Balances outstanding under the Credit Facility accrue interest at a rate equal to, at the option of the Borrowers, (i) LIBOR plus a spread based on the ratings of PLC’s Senior Debt, or (ii) the sum of (A) a rate equal to the highest of (x) the Administrative Agent’s Prime rate, (y) 0.50% above the Funds Rate, or (z) the one-month LIBOR plus 1.00% and (B) a spread based on the ratings of PLC’s Senior Debt. The Credit Facility also provided for a facility fee at a rate that varies with the ratings of PLC’s Senior Debt and that is calculated on the aggregate amount of commitments under the Credit Facility, whether used or unused. The annual facility fee rate is 0.125% of the aggregate principal amount. The Credit Facility provides that PLC is liable for the full amount of any obligations for borrowings or letters of credit, including those of the Company, under the Credit Facility. The maturity date of the Credit Facility is May 3, 2023. The Company is not aware of any non-compliance with the financial debt covenants of the Credit Facility as of June 30, 2020. PLC had a $280.0 million outstanding balance as of June 30, 2020. PLC did not have an outstanding balance as of December 31, 2019. Non-Recourse Funding Obligations Non-recourse funding obligations outstanding as of June 30, 2020, on a consolidated basis, are shown in the following table: Issuer Outstanding Principal Carrying Value (1) Maturity Year-to-Date (Dollars In Thousands) Golden Gate Captive Insurance Company (2)(3) $ 1,915,000 $ 1,915,000 2039 4.70 % Golden Gate II Captive Insurance Company 329,949 275,579 2052 4.38 % Golden Gate V Vermont Captive Insurance Company (2)(3) 740,000 796,526 2037 5.12 % MONY Life Insurance Company (3) 1,885 2,235 2024 6.19 % Total $ 2,986,834 $ 2,989,340 (1) Carrying values include premiums and discounts and do not represent unpaid principal balances. (2) Obligations are issued to non-consolidated subsidiaries of PLC. These obligations collateralize certain held-to-maturity securities issued by wholly owned subsidiaries of the Company. Changes in Golden Gate and Golden Gate V are non-cash items. (3) Fixed rate obligations. Non-recourse funding obligations outstanding as of December 31, 2019, on a consolidated basis, are shown in the following table: Issuer Outstanding Principal Carrying Value (1) Maturity Year-to-Date (Dollars In Thousands) Golden Gate Captive Insurance Company (2)(3) $ 2,028,000 $ 2,028,000 2039 4.70 % Golden Gate II Captive Insurance Company 329,949 274,955 2052 5.06 % Golden Gate V Vermont Captive Insurance Company (2)(3) 720,000 777,527 2037 5.12 % MONY Life Insurance Company (3) 1,885 2,271 2024 6.19 % Total $ 3,079,834 $ 3,082,753 (1) Carrying values include premiums and discounts and do not represent unpaid principal balances. (2) Obligations are issued to non-consolidated subsidiaries of PLC. These obligations collateralize certain held-to-maturity securities issued by wholly owned subsidiaries of the Company. Changes in Golden Gate and Golden Gate V are non-cash items. (3) Fixed rate obligations. Secured Financing Transactions Repurchase Program Borrowings While the Company anticipates that the cash flows of its operating subsidiaries will be sufficient to meet its investment commitments and operating cash needs in a normal credit market environment, the Company recognizes that investment commitments scheduled to be funded may, from time to time, exceed the funds then available. Therefore, the Company has established repurchase agreement programs for certain of its insurance subsidiaries to provide liquidity when needed. The Company expects that the rate received on its investments will equal or exceed its borrowing rate. Under this program, the Company may, from time to time, sell an investment security at a specific price and agree to repurchase that security at another specified price at a later date. These borrowings are typically for a term less than 90 days. The market value of securities to be repurchased is monitored and collateral levels are adjusted where appropriate to protect the counterparty against credit exposure. Cash received is invested in fixed maturi ty securities, and the agreements provide for net settlement in the event of default or on termination of the agreements. As of June 30, 2020, the fair value of securities pledged under the repurchase program was $103.2 million, and the repurchase obligation of $100.0 million was included in the Company’s consolidated condensed balance sheets (at an average borrowing rate of 12 basis points). During the six months ended June 30, 2020, the maximum balance outstanding at any one point in time related to these programs was $440.0 million. The average daily balance was $84.0 million (at an average borrowing rate of 74 basis points) during the six months ended June 30, 2020. As of December 31, 2019, the fair value of securities pledged under the repurchase program wa s $282.2 million, and the repurchase obligation of $270.0 million w as included in the Company’s consolidated condensed balance sheets (at an average borrowing rate of 163 basis points). During 2019, the maximum balance outstanding at any one point in time related to these programs w as $900.0 million . The average daily balance was $212.2 million (at an average borrowing rate of 214 basis points) during the year ended December 31, 2019. Securities Lending The Company participates in securities lending, primarily as an investment yield enhancement, whereby securities that are held as investments are loaned out to third parties for short periods of time. The Company requires collateral at least equal to 102% of the fair value of the loaned securities to be separately maintained. The loaned securities’ fair value is monitored on a daily basis and collateral is adjusted accordingly. The Company maintains ownership of the securities at all times and is entitled to receive from the borrower any payments for interest received on such securities during the loan term. Securities lending transactions are accounted for as secured borrowings. As of June 30, 2020, securities with a fair value of $99.6 million were loaned under this program. As collateral for the loaned securities, the Company receives cash which is primarily reinvested in short-term repurchase agreements, which are also collateralized by U.S. Government or U.S. Government Agency securities, and government money market funds. These investments are recorded in short-term investments with a corresponding liability recorded in secured financing liabilities to account for its obligation to return the collateral. As of June 30, 2020, the fair value of the collateral related to this program was $102.5 million and the Company has an obligation to return $102.5 million of collateral to the securities borrowers. The following table provides the fair value of collateral pledged for repurchase agreements, grouped by asset class as of June 30, 2020 and December 31, 2019 : Repurchase Agreements, Securities Lending Transactions, and Repurchase-to-Maturity Transactions Accounted for as Secured Borrowings Remaining Contractual Maturity of the Agreements As of June 30, 2020 (Dollars In Thousands) Overnight and Up to 30 days 30-90 days Greater Than Total Repurchase agreements and repurchase-to-maturity transactions U.S. Treasury and agency securities $ 103,190 $ — $ — $ — $ 103,190 Total repurchase agreements and repurchase-to-maturity transactions 103,190 — — — 103,190 Securities lending transactions Corporate securities 72,576 — — — 72,576 Equity securities 26,566 — — — 26,566 Other government related securities 419 — — — 419 Total securities lending transactions 99,561 — — — 99,561 Total securities $ 202,751 $ — $ — $ — $ 202,751 Repurchase Agreements, Securities Lending Transactions, and Repurchase-to-Maturity Transactions Accounted for as Secured Borrowings Remaining Contractual Maturity of the Agreements As of December 31, 2019 (Dollars In Thousands) Overnight and Up to 30 days 30-90 days Greater Than Total Repurchase agreements and repurchase-to-maturity transactions U.S. Treasury and agency securities $ 282,198 $ — $ — $ — $ 282,198 Total repurchase agreements and repurchase-to-maturity transactions 282,198 — — — 282,198 Securities lending transactions Fixed maturity securities 55,720 — — — 55,720 Equity securities 7,120 — — — 7,120 Total securities lending transactions 62,840 — — — 62,840 Total securities $ 345,038 $ — $ — $ — $ 345,038 |
COMMITMENTS AND CONTINGENCIES
COMMITMENTS AND CONTINGENCIES | 6 Months Ended |
Jun. 30, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
COMMITMENTS AND CONTINGENCIES | COMMITMENTS AND CONTINGENCIES The Company leases administrative and marketing office space in approximately 9 cities as well as various office equipment. Most leases have terms ranging from two years to twenty-five years. Leases with an initial term of 12 months or less are not recorded on the consolidated condensed balance sheet. The Company accounts for lease components separately from non-lease components (e.g., common area maintenance). Certain of the Company’s lease agreements include options to renew at the Company’s discretion. Management has concluded that the Company is not reasonably certain to elect any of these renewal options. The Company will use the interest rates received on its funding agreement backed notes as the collateralized discount rate when calculating the present value of remaining lease payments when the rate implicit in the lease is unavailable. Under the insurance guaranty fund laws in most states, insurance companies doing business therein can be assessed up to prescribed limits for policyholder losses incurred by insolvent companies. From time to time, companies may be asked to contribute amounts beyond prescribed limits. It is possible that the Company could be assessed with respect to product lines not offered by the Company. In addition, legislation may be introduced in various states with respect to guaranty fund assessment laws related to insurance products, including long term care insurance and other specialty products, that increases the cost of future assessments or alters future premium tax offsets received in connection with guaranty fund assessments. The Company cannot predict the amount, nature or timing of any future assessments or legislation, any of which could have a material and adverse impact on the Company’s financial condition or results of operations. A number of civil jury verdicts have been returned against insurers, broker-dealers, and other providers of financial services involving sales, refund or claims practices, alleged agent misconduct, failure to properly supervise representatives, relationships with agents or persons with whom the insurer does business, and other matters. Often these lawsuits have resulted in the award of substantial judgments that are disproportionate to the actual damages, including material amounts of punitive and non-economic compensatory damages. In some states, juries, judges, and arbitrators have substantial discretion in awarding punitive and non-economic compensatory damages which creates the potential for unpredictable material adverse judgments or awards in any given lawsuit or arbitration. Arbitration awards are subject to very limited appellate review. In addition, in some class action and other lawsuits, companies have made material settlement payments. The financial services and insurance industries in particular are also sometimes the target of law enforcement and regulatory investigations relating to the numerous laws and regulations that govern such companies. Some companies have been the subject of law enforcement or regulatory actions or other actions resulting from such investigations. The Company, in the ordinary course of business, is involved in such matters. The Company establishes liabilities for litigation and regulatory actions when it is probable that a loss has been incurred and the amount of the loss can be reasonably estimated. For matters where a loss is believed to be reasonably possible, but not probable, no liability is established. For such matters, the Company may provide an estimate of the possible loss or range of loss or a statement that such an estimate cannot be made. The Company reviews relevant information with respect to litigation and regulatory matters on a quarterly and annual basis and updates its established liabilities, disclosures and estimates of reasonably possible losses or range of loss based on such reviews. The Company and certain of its insurance subsidiaries, as well as certain other insurance companies for which the Company has coinsured blocks of life insurance and annuity policies, are under audit for compliance with the unclaimed property laws of a number of states. The audits are being conducted on behalf of the treasury departments or unclaimed property administrators in such states. The focus of the audits is on whether there have been unreported deaths, maturities, or policies that have exceeded limiting age with respect to which death benefits or other payments under life insurance or annuity policies should be treated as unclaimed property that should be escheated to the state. The Company is presently unable to estimate the reasonably possible loss or range of loss that may result from the audits due to a number of factors, including the early stages of the audits being conducted, and uncertainty as to whether the Company or other companies are responsible for the liabilities, if any, arising in connection with certain co-insured policies. The Company will continue to monitor the matter for any developments that would make the loss contingency associated with the audits reasonably estimable. Advance Trust & Life Escrow Services, LTA, as Securities Intermediary of Life Partners Position Holder Trust v. Protective Life Insurance Company, Case No. 2:18-CV-01290, is a putative class action that was filed on August 13, 2018 in the United States District Court for the Northern District of Alabama. Plaintiff alleges that the Company required policyholders to pay unlawful and excessive cost of insurance charges. Plaintiff seeks to represent all owners of universal life and variable universal life policies issued or administered by the Company or its predecessors that provide that cost of insurance rates are to be determined based on expectations of future mortality experience. The plaintiff seeks class certification, compensatory damages, pre-judgment and post judgment interest, costs, and other unspecified relief. The Company is vigorously defending this matter and cannot predict the outcome of or reasonably estimate the possible loss or range of loss that might result from this litigation. Scottish Re (U.S.), Inc. ("SRUS") was placed in rehabilitation on March 6, 2019 by the State of Delaware. Under the related order, the Insurance Commissioner of the State of Delaware has been appointed the receiver of SRUS and provided with authority to conduct and continue the business of SRUS in the interest of its cedents, creditors, and stockholder. The order was accompanied by an injunction requiring the continued payment of reinsurance premiums to SRUS and temporarily prohibiting cedents, including the Company, from offsetting premiums payable against receivables from SRUS. On June 20, 2019, the Delaware Court of Chancery entered an order approving a Revised Offset Plan, which allows cedents, including the Company, to offset premiums under certain circumstances. A proposed Rehabilitation Plan (“Rehabilitation Plan”) was filed by the receiver of SRUS on June 30, 2020. The Rehabilitation Plan presents the following two options to each cedent: 1) remain in business with SRUS and be governed by the Rehabilitation Plan, or 2) recapture business ceded to SRUS. Due to SRUS’s financial status, neither option pays 100% of outstanding claims. Certain financial terms and conditions will be imposed on the cedents based on the election made, the type of business ceded, the manner in which the business is collateralized, and the amount of losses sustained by a cedent. The Company is currently working to evaluate the impact of both options and to provide feedback/objections to the Receiver on the Rehabilitation Plan. The Company continues to monitor SRUS and the actions of the receiver through discussions with legal counsel and review of publicly available information. An allowance for credit losses related to SRUS is included in the overall reinsurance allowance for credit losses. See Note 2, Summary of Significant Accounting Policies . As of June 30, 2020, management does not believe that the ultimate outcome of the rehabilitation process will have a material impact on the Company’s financial position or results of operations. |
ACCUMULATED OTHER COMPREHENSIVE
ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) | 6 Months Ended |
Jun. 30, 2020 | |
Equity [Abstract] | |
ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) | ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) The following tables summarize the changes in the accumulated balances for each component of accumulated other comprehensive income (loss) (“AOCI”) as of June 30, 2020 and December 31, 2019. Changes in Accumulated Other Comprehensive Income (Loss) by Component Unrealized Gains and Losses on Investments (2) Accumulated Total (Dollars In Thousands, Net of Tax) Balance, December 31, 2018 $ (1,404,209) $ (7) $ (1,404,216) Other comprehensive income (loss) before reclassifications 2,833,888 (9,781) 2,824,107 Other comprehensive income (loss) relating to other-than-temporary impaired investments for which a portion has been recognized in earnings (3,574) — (3,574) Amounts reclassified from accumulated other comprehensive income (loss) (1) (10,474) 1,799 (8,675) Balance, December 31, 2019 $ 1,415,631 $ (7,989) $ 1,407,642 Other comprehensive income (loss) before reclassifications 778,919 (2,401) 776,518 Other comprehensive income (loss) on investments for which a credit loss has been recognized in earnings (1,767) — (1,767) Amounts reclassified from accumulated other comprehensive income (loss) (1) 31,966 2,110 34,076 Balance, June 30, 2020 $ 2,224,749 $ (8,280) $ 2,216,469 (1) See Reclassifications Out of Accumulated Other Comprehensive Income (Loss) table below for details. (2) As of June 30, 2020 and December 31, 2019, net unrealized gains reported in AOCI were offset by $(1.3) billion and $(776.9) million, respectively, due to the impact those net unrealized losses would have had on certain of the Company’s insurance assets and liabilities if the net unrealized losses had been recognized in net income. The following tables summarize the reclassifications amounts out of AOCI for the three and six months ended June 30, 2020 and 2019. Reclassifications Out of Accumulated Other Comprehensive Income (Loss) For The For The Gains (losses) in net income: Affected Line Item in the 2020 2019 2020 2019 (Dollars In Thousands) Derivative instruments Benefits and settlement expenses, net of reinsurance ceded (1) $ (1,467) $ (336) $ (2,671) $ (614) Tax (expense) benefit 308 70 561 128 $ (1,159) $ (266) $ (2,110) $ (486) Unrealized gains and losses on available-for-sale securities Realized gains (losses) - investments $ 2,447 $ 1,062 $ 41,617 $ 6,199 Net credit losses recognized in operations (30,288) — (82,081) — Net impairment losses recognized in operations — (698) — (3,840) Tax (expense) benefit 5,847 (76) 8,498 (495) $ (21,994) $ 288 $ (31,966) $ 1,864 (1) See Note 7, Derivative Financial Instruments for additional information |
INCOME TAXES
INCOME TAXES | 6 Months Ended |
Jun. 30, 2020 | |
Income Tax Disclosure [Abstract] | |
INCOME TAXES | INCOME TAXES The Company used its respective estimates for its annual 2020 and 2019 incomes in computing its effective income tax rates for the three and six months ended June 30, 2020 and 2019. The effective tax rates for the three and six months ended June 30, 2020 and 2019, were 19.8%, 19.6% 16.9%, and 18.2% respectively. The CARES Act, as described in Note 9, Commercial Mortgage Loans , included tax provisions relevant to businesses. The Company was required to recognize the effect on the consolidated financial statements in the period the law was enacted, which was in the period ended March 31, 2020. For the period ended March 31, 2020, the CARES Act was not material to the Company's consolidated financial statements; however, if we were to have a taxable loss for the year ended December 31, 2020, we would be able to carryback those losses to prior periods. At this time, the Company does not expect the impact of the CARES Act to be material to the Company's consolidated financial statements for the year ended December 31, 2020. In April 2019, the IRS proposed favorable and unfavorable adjustments to the Company’s 2014 through 2016 reported taxable income. The Company agreed to these adjustments. The resulting taxes have been settled, other than interest; the settlement of interest will not materially impact the Company or its effective tax rate. In general, the Company is no longer subject to income tax examinations by taxing authorities for tax years that began before 2017. Due to the aforementioned IRS adjustments to the Company's pre-2017 taxable income, the Company has amended certain of its 2014 through 2016 state income tax returns. Such amendments will cause such years to remain open, pending the states' acceptances of the returns. There have been no changes to the balance of unrecognized tax benefits during the quarter ended June 30, 2020. The Company believes that in the next twelve months, none of the unrecognized tax benefits will be reduced. |
OPERATING SEGMENTS
OPERATING SEGMENTS | 6 Months Ended |
Jun. 30, 2020 | |
Segment Reporting [Abstract] | |
OPERATING SEGMENTS | OPERATING SEGMENTS The Company has several operating segments, each having a strategic focus. An operating segment is distinguished by products, channels of distribution, and/or other strategic distinctions. The Company periodically evaluates its operating segments and makes adjustments to its segment reporting as needed. A brief description of each segment follows. In the first quarter of 2020, as a result of changes in the way the chief operating decision maker makes decisions about the allocation of resources and assesses the performance of the business, the Company combined two of its former six segments into one segment, Retail Life and Annuity. These changes enable the Company to better serve the needs of its customer and to help achieve the goals of the organization. Prior period amounts were adjusted retrospectively to reflect the change in the Company’s reportable segments. • The Retail Life and Annuity segment primarily markets fixed universal life (“UL”), indexed universal life (“IUL”), variable universal life (“VUL”), level premium term insurance (“traditional”), fixed annuity, and variable annuity (“VA”) products on a national basis primarily through networks of independent insurance agents and brokers, broker-dealers, financial institutions, independent marketing organizations, and affinity groups. • The Acquisitions segment focuses on acquiring, converting, and servicing policies and contracts acquired from other companies. The segment’s primary focus is on life insurance policies and annuity products that were sold to individuals. The level of the segment’s acquisition activity is predicated upon many factors, including available capital, operating capacity, potential return on capital, and market dynamics. Policies acquired through the Acquisitions segment are typically blocks of business where no new policies are being marketed, however, some recent acquisitions have included ongoing new business activities. Ongoing new product sales written by the Company from these acquisitions are included in the Retail Life and Annuity segment. As a result, earnings and account values are expected to decline as the result of lapses, deaths, and other terminations of coverage unless new acquisitions are made. • The Stable Value Products segment sells fixed and floating rate funding agreements directly to the trustees of municipal bond proceeds, money market funds, bank trust departments, and other institutional investors. This segment also issues funding agreements to the FHLB, and markets guaranteed investment contracts (“GICs”) to 401(k) and other qualified retirement savings plans. The Company also has an unregistered funding agreement-backed notes program which provides for offers of notes to both domestic and international institutional investors. • The Asset Protection segment markets extended service contracts, GAP products, credit life and disability insurance, and other specialized ancillary products to protect consumers’ investments in automobiles and recreational vehicles. GAP products are designed to cover the difference between the scheduled loan pay-off amount and an asset’s actual cash value in the case of a total loss. Each type of specialized ancillary product protects against damage or other loss to a particular aspect of the underlying asset. • The Corporate and Other segment primarily consists of net investment income on assets supporting our equity capital, unallocated corporate overhead and expenses not attributable to the segments above. This segment includes earnings from several non-strategic or runoff lines of business, various financing and investment-related transactions, and the operations of several small subsidiaries. The Company’s management and Board of Directors analyzes and assesses the operating performance of each segment using pre-tax adjusted operating income (loss) and after-tax adjusted operating income (loss) . Consistent with GAAP accounting guidance for segment reporting, pre-tax adjusted operating income (loss) is the Company’s measure of segment performance. Pre-tax adjusted operating income (loss) is calculated by adjusting income (loss) before income tax , by excluding the following items: • realized gains and losses on investments and derivatives, • changes in the GLWB embedded derivatives exclusive of the portion attributable to the economic cost of the GLWB, • actual GLWB incurred claims, and • the amortization of DAC, VOBA, and certain policy liabilities that is impacted by the exclusion of these items. The items excluded from adjusted operating income (loss) are important to understanding the overall results of operations. Pre-tax adjusted operating income (loss) and after-tax adjusted operating income (loss) are not substitutes for income before income taxes or net income (loss), respectively. These measures may not be comparable to similarly titled measures reported by other companies. The Company believes that pre-tax and after-tax adjusted operating income (loss) enhances management’s and the Board of Directors’ understanding of the ongoing operations, the underlying profitability of each segment, and helps facilitate the allocation of resources. After-tax adjusted operating income (loss) is derived from pre-tax adjusted operating income (loss) with the inclusion of income tax expense or benefits associated with pre-tax adjusted operating income. Income tax expense or benefits is allocated to the items excluded from pre-tax adjusted operating income (loss) at the statutory federal income tax rate for the associated period. Income tax expense or benefits allocated to after-tax adjusted operating income (loss) can vary period to period based on changes in the Company’s effective income tax rate. In determining the components of the pre-tax adjusted operating income (loss) for each segment, premiums and policy fees, other income, benefits and settlement expenses, and amortization of DAC and VOBA are attributed directly to each operating segment. Net investment income is allocated based on directly related assets required for transacting the business of that segment. Realized gains (losses) - investments/derivatives and other operating expenses are allocated to the segments in a manner that most appropriately reflects the operations of that segment. Investments and other assets are allocated based on statutory policy liabilities net of associated statutory policy assets, while DAC/VOBA and goodwill are shown in the segments to which they are attributable. There were no significant intersegment transactions during the three and six months ended June 30, 2019. As of April 1, 2020, the Company refined its method of allocating the realized gains and losses associated with its derivative portfolios to the Acquisitions and Retail Life and Annuity operating segments. As a result, the Company has reallocated approximately $62 million in realized gains on derivatives from the Acquisitions segment to the Retail Life and Annuity segment in the presentation for the six months ended June 30, 2020 to reflect the impact this change in method had on the three month period ended March 31, 2020. The impact of the change in allocation was not considered material to the operation segment results for the three months ended June 30, 2019. The following tables present a summary of results and reconciles pre-tax adjusted operating income (loss) to consolidated income before income tax and net income: For The For The 2020 2019 2020 2019 (Dollars In Thousands) Revenues Retail Life and Annuity $ 553,872 $ 573,256 $ 1,330,516 $ 1,166,010 Acquisitions 797,561 667,031 1,597,162 1,276,973 Stable Value Products 52,539 67,585 89,141 127,164 Asset Protection 69,103 73,070 141,592 146,265 Corporate and Other 31,365 38,151 30,915 67,486 Total revenues $ 1,504,440 $ 1,419,093 $ 3,189,326 $ 2,783,898 Pre-tax Adjusted Operating Income (Loss) Retail Life and Annuity $ 20,035 37,378 7,715 $ 84,390 Acquisitions 97,997 69,810 173,122 144,722 Stable Value Products 16,665 28,106 41,990 50,345 Asset Protection 12,740 8,459 23,367 17,308 Corporate and Other (30,897) (38,906) (71,772) (83,112) Pre-tax adjusted operating income 116,540 104,847 174,422 213,653 Realized gains (losses) and adjustments 89,301 80,876 122,892 148,797 Income before income tax 205,841 185,723 297,314 362,450 Income tax expense (40,736) (31,309) (58,244) (65,938) Net income $ 165,105 $ 154,414 $ 239,070 $ 296,512 Pre-tax adjusted operating income $ 116,540 $ 104,847 $ 174,422 $ 213,653 Adjusted operating income tax expense (21,982) (14,325) (32,436) (34,691) After-tax adjusted operating income 94,558 90,522 141,986 178,962 Realized gains (losses) and adjustments 89,301 80,876 122,892 148,797 Income tax (expense) benefit on adjustments (18,754) (16,984) (25,808) (31,247) Net income $ 165,105 $ 154,414 $ 239,070 $ 296,512 Realized gains (losses) and adjustments: Derivative financial instruments $ (160,578) $ (55,266) $ 77,562 $ (128,574) Investments 180,680 98,811 (95,571) 225,197 Less: related amortization (1) (55,952) (26,840) (114,378) (31,201) Less: VA GLWB economic cost (13,247) (10,491) (26,523) (20,973) Total realized gains (losses) and adjustments $ 89,301 $ 80,876 $ 122,892 $ 148,797 (1) Includes amortization of DAC/VOBA and benefits and settlement expenses that are impacted by realized gains (losses). For The For The 2020 2019 2020 2019 (Dollars In Thousands) Net investment income Retail Life and Annuity $ 246,929 $ 231,570 $ 499,348 $ 462,468 Acquisitions 413,346 355,761 829,773 680,272 Stable Value Products 52,399 67,122 115,069 124,743 Asset Protection 6,491 7,049 13,706 13,851 Corporate and Other 21,270 23,692 35,519 45,282 Total net investment income $ 740,435 $ 685,194 $ 1,493,415 $ 1,326,616 Amortization of DAC and VOBA Retail Life and Annuity $ 6,752 5,246 (7,004) $ 20,194 Acquisitions (42,355) 12,037 9,606 10,961 Stable Value Products 770 854 1,567 1,727 Asset Protection 16,325 15,700 31,286 31,328 Corporate and Other — — — — Total amortization of DAC and VOBA $ (18,508) $ 33,837 $ 35,455 64,210 Operating Segment Assets As of June 30, 2020 (Dollars In Thousands) Retail Life & Annuity Acquisitions Stable Value Investments and other assets $ 38,003,155 $ 54,020,299 $ 5,858,557 DAC and VOBA 2,503,881 885,472 5,166 Other intangibles 384,423 34,668 6,389 Goodwill 558,501 23,862 113,924 Total assets $ 41,449,960 $ 54,964,301 $ 5,984,036 Asset Corporate Total Investments and other assets $ 862,780 $ 19,288,486 $ 118,033,277 DAC and VOBA 167,478 — 3,561,997 Other intangibles 106,690 32,945 565,115 Goodwill 129,224 — 825,511 Total assets $ 1,266,172 $ 19,321,431 $ 122,985,900 Operating Segment Assets As of December 31, 2019 (Dollars In Thousands) Retail Life & Annuity Acquisitions Stable Value Investments and other assets $ 37,448,239 $ 54,074,450 $ 5,317,885 DAC and VOBA 2,416,616 924,090 5,221 Other intangibles 401,178 36,321 6,722 Goodwill 558,501 23,862 113,924 Total assets $ 40,824,534 $ 55,058,723 $ 5,443,752 Asset Corporate Total Investments and other assets $ 878,386 $ 17,830,217 $ 115,549,177 DAC and VOBA 173,628 — 3,519,555 Other intangibles 112,032 27,173 583,426 Goodwill 129,224 — 825,511 Total assets $ 1,293,270 $ 17,857,390 $ 120,477,669 |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 6 Months Ended |
Jun. 30, 2020 | |
Subsequent Events [Abstract] | |
SUBSEQUENT EVENTS | SUBSEQUENT EVENTSThe Company has evaluated the effects of events subsequent to June 30, 2020, and through the date the Company filed its consolidated condensed financial statements with the United States Securities and Exchange Commission. All accounting and disclosure requirements related to subsequent events are included in the Company's consolidated condensed financial statements. |
SUMMARY OF SIGNIFICANT ACCOUN_2
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Policies) | 6 Months Ended |
Jun. 30, 2020 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation Protective Life Insurance Company (the “Company”), a stock life insurance company, was founded in 1907. The Company is a wholly owned subsidiary of Protective Life Corporation (“PLC”), an insurance holding company. On February 1, 2015, PLC became a wholly owned subsidiary of The Dai-ichi Life Insurance Company, Limited, a kabushiki kaisha organized under the laws of Japan (now known as Dai-ichi Life Holdings, Inc., “Dai-ichi Life”), when DL Investment (Delaware), Inc. a wholly owned subsidiary of Dai-ichi Life, merged with and into PLC (the “Merger”). Prior to February 1, 2015, PLC’s stock was publicly traded on the New York Stock Exchange. Subsequent to the Merger, PLC remained an SEC registrant within the United States until January 23, 2020, when it suspended its reporting obligations with the SEC under the Securities Exchange Act of 1934. The Company has continued to be an SEC registrant for financial reporting purposes in the United States. The Company markets individual life insurance, credit life and disability insurance, guaranteed investment contracts, guaranteed funding agreements, fixed and variable annuities, and extended service contracts throughout the United States. The Company also maintains a separate segment devoted to the acquisition of insurance policies from other companies. PLC is a holding company with subsidiaries that provide financial services through the production, distribution, and administration of insurance and investment products. These consolidated condensed financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) for the interim periods presented herein. In the opinion of management, the accompanying consolidated condensed financial statements reflect all adjustments (consisting only of normal recurring items) necessary for a fair presentation of the results for the interim periods presented. Operating results for the three and six months ended June 30, 2020, are not necessarily indicative of the results of operations that may be expected for the year ending December 31, 2020. The year end consolidated condensed financial data included herein was derived from audited financial statements but this report does not include all disclosures required by GAAP. For further information, refer to the consolidated financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019. The operating results of companies in the insurance industry have historically been subject to significant fluctuations due to changing competition, economic conditions, interest rates, investment performance, insurance ratings, claims, persistency, and other factors. |
Entities Included | Entities Included The consolidated condensed financial statements in this report include the accounts of Protective Life Insurance Company and affiliate companies in which the Company holds a majority voting or economic interest. Intercompany balances and transactions have been eliminated. |
Allowance for Credit Losses | Allowance for Credit Losses - Fixed Maturity and Structured Investments Each quarter the Company reviews investments with unrealized losses to determine whether such impairments are the result of credit losses. The Company analyzes various factors to make such determination including, but are not limited to: 1) actions taken by rating agencies, 2) default by the issuer, 3) the significance of the decline, 4) an assessment of the Company’s intent to sell the security (including a more likely than not assessment of whether the Company will be required to sell the security) before recovering the security’s amortized cost, 5) an economic analysis of the issuer’s industry, and 6) the financial strength, liquidity, and recoverability of the issuer. Management performs a security by security review each quarter to evaluate whether a credit loss has occurred. For securities which the Company does not intend to sell and does not expect to be required to sell before recovering the security’s amortized cost basis, analysis of expected cash flows is used to measure the amount of the credit loss. To the extent the amortized cost basis of the security exceeds the present value of future cash flows expected to be collected, this difference represents a credit loss. Beginning on January 1, 2020, credit losses are recorded in realized gains (losses) - investments/derivatives with a corresponding adjustment to the allowance for credit losses, except that the credit loss recognized cannot exceed the difference between the book value and fair value of the security as of the date of the analysis. In future periods, recoveries in the present value of expected cash flows are recorded as a reversal of the previously recognized allowance for credit losses with an offsetting adjustment to realized gains (losses) - investments/derivatives . See, “Accounting Pronouncements Recently Adopted” below for additional information. The Company considers contractual cash flows and all known market data related to cash flows when developing its estimates of expected cash flows. The Company uses the effective interest rate implicit in the security at the date of acquisition to discount expected cash flows. For floating rate securities, the Company’s policy is to lock in the interest rate at the first instance of an impairment. Estimates of expected cash flows are not probability-weighted but reflect the Company’s best estimate based on past events, current conditions, and reasonable and supportable forecasts of future events. Debt securities that the Company intends to sell or expects to be required to sell before recovery are written down to fair value with the change recognized in realized gains (losses) - investments/derivatives . The Company presents accrued interest receivable separately from other components of the amortized cost basis of its fixed maturity and structured investments and has made an accounting policy election not to measure an allowance for credit losses for accrued interest receivable. The Company’s policy is to write off uncollectible accrued interest receivables through a reversal of interest income in the period in which a credit loss is identified. Allowance for Credit Losses - Commercial Mortgage Loans and Unfunded Commitments The Company’s commercial mortgage loans are stated at unpaid principal balance, adjusted for any unamortized premium or discount, and net of the allowance for credit losses (“ACL”). Beginning January 1, 2020, the ACL represents the Company’s best estimate of expected credit losses over the contractual term of the loans. The allowance for credit losses for unfunded loan commitments is recognized as a component of other liabilities on the consolidated condensed balance sheet. Changes in the allowance for credit losses for both funded and unfunded commercial mortgage loans are recognized in realized gains (losses) - investments/derivatives . The Company uses a loan-level probability of default (“PD”) and loss given default (“LGD”) model to calculate the allowance for credit losses for substantially all of its commercial mortgage loans and unfunded loan commitments. Guidance in Accounting Standards Codification (“ASC”) Topic 326-20 - Credit Losses requires collective assessment of financial assets with similar risk characteristics. Consistent with this guidance, the model used by the Company (the “CML Model”) incorporates historical default data for a large number of loans with similar characteristics to the Company’s commercial mortgage loans in the measurement of the allowance for credit losses. Relevant risk characteristics include debt service coverage ratio (“DSCR”), loan-to-value ratio (“LTV”), geographic location, and property type. This historical default data is applied through the CML Model to forecast loan-level risk parameters including PD and LGD which provide the basis for the determination of expected losses. The CML Model incorporates both current conditions and reasonable and supportable forecasts when estimating the PD and LGD values that are used as the basis for calculating expected losses. Current conditions are incorporated by considering market-specific information, such as vacancy rates and property prices, to reflect the current position in the market cycle. To incorporate reasonable and supportable forecasts, loan-level risk parameters produced by the CML Model are conditioned by multiple probability-weighted macroeconomic forecast scenarios. CML Model results are also subject to adjustments based on other qualitative considerations to reflect management’s best estimate of the impact of future events and circumstances on the allowance for credit losses. PDs and LGDs are forecasted over a reasonable and supportable forecast period, which is reassessed on a quarterly basis. After the reasonable and supportable forecast period, the CML Model reverts to the Company’s own historical loss history at a portfolio segment level. The historical loss data used for reversion will be assessed annually in the third quarter, along with certain other model inputs and assumptions. All or a portion of a loan may be written off at such point that the Company no longer expects to receive cash payments, the present value of future expected payments of a renegotiated loan is less than the current principal balance, or at such time that the Company is party to foreclosure or bankruptcy proceedings associated with the borrower and does not expect to recover the principal balance of the loan. A write-off is recorded by eliminating the allowance against the commercial mortgage loan and recording the renegotiated loan or the collateral property related to the loan as investment real estate on the balance sheet, which is carried at the lower of the appraised fair value of the property or the unpaid principal balance of the loan, less estimated selling costs associated with the property. Certain loans which meet the definition of collateral dependent (as outlined in the Financial Accounting Standards Board “FASB” ASC Topic 326-20) are identified as part of the Company’s ongoing loan surveillance process. Loans are considered to be collateral dependent if foreclosure is deemed probable, or if a borrower is in financial difficulty and repayment is expected to be provided substantially through the operation or sale of the underlying collateral. The allowance for credit losses for loans identified as collateral dependent is measured based on the fair value of the underlying collateral, less costs to sell. The Company presents accrued interest receivable separately from other components of the amortized cost basis of its commercial mortgage loans and has made an accounting policy election not to measure an allowance for credit losses for accrued interest receivable. It is the Company’s policy to cease to carry accrued interest on loans that are over 90 days delinquent. For loans less than 90 days delinquent, interest is accrued unless it is determined that the accrued interest is not collectible. In each scenario, accrued income is reversed through investment income. See Note 9, Commercial Mortgage Loans , for additional information. Allowance for Credit Losses - Reinsurance Receivables Beginning January 1, 2020, in accordance with FASB ASC Topic 326-20, the Company establishes an allowance for credit losses related to amounts receivable from reinsurers (the “Reinsurance ACL”). Changes in the Reinsurance ACL are recognized as a component of benefit and settlement expenses . The Reinsurance ACL is remeasured on a quarterly basis using an internally developed PD and LGD model. Key inputs to the calculation are a conditional probability of insurer liquidation by issuer credit rating and exposure at default derived from a runoff projection of ceded reserves by reinsurer to forecast future loss amounts. Management’s position is that the rate of return implicit in the financial asset (i.e. the ceded reserves) is associated with the discount rate used to value the underlying insurance reserves; that is, the rate of return on the asset portfolio(s) supporting the reserves. For reinsurance receivable exposures that do not share similar risk characteristics with other receivables, including those associated with counterparties that have experienced significant credit deterioration, the Company measures the allowance for credit losses individually, based on facts and circumstances associated with the specific reinsurer or transaction. |
Accounting Pronouncements Recently Adopted and Not Yet Adopted | Accounting Pronouncements Recently Adopted Accounting Standards Update(“ASU” or “Update”) No. 2016-13 - Financial Instruments-Credit Losses: Measurement of Credit Losses on Financial Instruments. The amendments in this Update introduce a new current expected credit loss (“CECL”) model for certain financial assets, including commercial mortgage loans and reinsurance receivables. For assets within the scope of the new model, an entity will recognize as an allowance against earnings its estimate of the contractual cash flows not expected to be collected on day one of the asset’s acquisition. The allowance may be reversed through earnings if a security recovers in value. This differs from the current impairment model, which requires recognition of credit losses when they have been incurred and recognizes a security’s subsequent recovery in value in other comprehensive income. The Update also makes targeted changes to the current impairment model for available-for-sale (“AFS”) debt securities, which comprise the majority of the Company’s invested assets. Similar to the CECL model, credit loss impairments will be recorded in an allowance against earnings that may be reversed for subsequent recoveries in value. The amendments in this Update, along with related amendments in ASU No. 2018-19, ASU No. 2019-04, and ASU No. 2019-11 - Codification Improvements to Topic 326, Financial Instruments-Credit Losses , are effective for annual and interim periods beginning after December 15, 2019 on a modified retrospective basis. A vendor-provided credit loss model will be used to measure the allowance for the majority of the Company’s commercial mortgage loans and unfunded commercial mortgage loan commitments, and the Company will use an internally-developed model to measure the allowance for amounts recoverable from reinsurers. The Company applied the revisions in the Update through a cumulative effect adjustment to retained earnings as of January 1, 2020. The cumulative effect adjustment resulted in a decrease in retained earnings of $138.1 million, net of the impact to deferred taxes, deferred acquisition costs (“DAC”), value of business acquired (“VOBA”) and other items. The Company continues to apply the previous guidance to 2019 and prior periods. Accounting Pronouncements Not Yet Adopted ASU No. 2018-12 - Financial Services - Insurance (Topic 944): Targeted Improvements to Accounting for Long-Duration Contracts. The amendments in this Update are designed to make improvements to the existing recognition, measurement, presentation, and disclosure requirements for certain long-duration contracts issued by an insurance company. The new amendments require insurance entities to provide a more current measure of the liability for future policy benefits for traditional and limited-payment contracts by regularly refining the liability for actual past experience and updated future assumptions. This differs from current requirements where assumptions are locked-in at contract issuance for these contract types. In addition, the updated liability will be discounted using an upper-medium grade (low-credit-risk) fixed income instrument yield that reflects the characteristics of the liability which differs from currently used rates based on the invested assets supporting the liability. In addition, the amendments introduce new requirements to assess market-based insurance contract options and guarantees for Market Risk Benefits and measure them at fair value. This Update also requires insurance entities to amortize deferred acquisition costs on a constant-level basis over the expected life of the contract. Finally, this Update requires new disclosures including liability rollforwards and information about significant inputs, judgments, assumptions, and methods used in the measurement. The amendments in this Update were originally effective for periods beginning after December 15, 2020. However, in November 2019, FASB issued ASU No. 2019-09 – Financial Services – Insurance (Topic 944): Effective Date which extended the implementation deadline by one year to periods beginning after December 15, 2021. The Company is currently reviewing its policies, processes, and applicable systems to determine the impact this standard will have on its operations and financial results. ASU No. 2019-12 – Income Taxes (Topic 740): Simplifying the Accounting for Income Taxes. The amendments in this Update remove certain exceptions to the general principles in Topic 740 related to intraperiod tax allocations, interim tax calculations, and outside basis differences. The amendments also clarify and amend guidance in certain other areas of Topic 740 in order to eliminate diversity in practice. The amendments in this Update are effective for public business entities in fiscal years beginning after December 15, 2020, and interim periods within those fiscal years. The Company is reviewing its accounting policies and processes to ensure compliance with the revised guidance, upon adoption. |
SIGNIFICANT TRANSACTIONS (Table
SIGNIFICANT TRANSACTIONS (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Business Combinations [Abstract] | |
Summary of Assets Acquired and Liabilities Assumed | The following table details the final allocation of assets acquired and liabilities assumed from the Individual Life Business reinsurance transaction as of the date of the Closing: Fair Value (Dollars In Thousands) ASSETS Fixed maturities $ 8,697,966 Commercial mortgage loans 1,386,228 Policy loans 44,002 Other long-term investments 1,521,965 Total investments 11,650,161 Cash 34,835 Accrued investment income 101,452 Reinsurance receivables 62 Accounts and premiums receivable 1,642 Value of business acquired 535,421 Other intangibles 21,300 Other assets 5,525 Assets related to separate accounts 9,583,217 Total assets 21,933,615 LIABILITIES Future policy benefits and claims $ 11,022,177 Annuity account balances 220,064 Other policyholders’ funds 220,147 Other liabilities 75,367 Liabilities related to separate accounts 9,583,217 Total liabilities 21,120,972 NET ASSETS ACQUIRED $ 812,643 |
Pro Forma Information | The following unaudited pro forma condensed consolidated results of operations assumes that the aforementioned transactions of the Individual Life Business were completed as of January 1, 2018. The unaudited pro forma condensed results of operations are presented solely for informational purposes and are not necessarily indicative of the consolidated condensed results of operations that might have been achieved had the transaction been completed as of the date indicated: Unaudited Unaudited For The For The (Dollars In Thousands) Revenue $ 1,548,668 $ 3,203,698 Net income $ 124,161 $ 263,490 |
MONY CLOSED BLOCK OF BUSINESS (
MONY CLOSED BLOCK OF BUSINESS (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Closed Block Disclosure [Abstract] | |
Summary of Financial Information of the Policyholder Dividend Obligation | Summarized financial information for the Closed Block as of June 30, 2020 and December 31, 2019 is as follows: As of June 30, 2020 December 31, 2019 (Dollars In Thousands) Closed block liabilities Future policy benefits, policyholders’ account balances and other policyholder liabilities $ 5,488,114 $ 5,836,815 Policyholder dividend obligation 431,327 278,505 Other liabilities 6,952 11,247 Total closed block liabilities 5,926,393 6,126,567 Closed block assets Fixed maturities, available-for-sale, at fair value $ 4,775,877 $ 4,682,731 Commercial mortgage loans 70,151 72,829 Policy loans 641,872 640,134 Cash and other invested assets 49,784 44,877 Other assets 95,613 107,177 Total closed block assets 5,633,297 5,547,748 Excess of reported closed block liabilities over closed block assets 293,096 578,819 Portion of above representing accumulated other comprehensive income: Net unrealized gains (losses) - investments/derivatives net of policyholder dividend obligation: $(333,775) and $167,285; and net of income tax: $(70,093) and $(35,130) — — Future earnings to be recognized from closed block assets and closed block liabilities $ 293,096 $ 578,819 |
Schedule of Reconciliation of the Policyholder Dividend Obligation | Reconciliation of the policyholder dividend obligation is as follows: For The 2020 2019 (Dollars In Thousands) Policyholder dividend obligation, beginning balance $ 278,505 $ — Applicable to net revenue (losses) (13,668) (15,953) Change in net unrealized gains (losses) - investments/derivatives allocated to the policyholder dividend obligation 166,490 189,100 Policyholder dividend obligation, ending balance $ 431,327 $ 173,147 |
Schedule of Closed Block Revenues and Expenses | Closed Block revenues and expenses were as follows: For The For The 2020 2019 2020 2019 (Dollars In Thousands) Revenues Premiums and other income $ 37,926 $ 40,105 $ 73,260 $ 77,549 Net investment income 51,038 51,663 102,053 102,791 Net gains (losses) - investments/derivatives (859) 43 (784) (411) Total revenues 88,105 91,811 174,529 179,929 Benefits and other deductions Benefits and settlement expenses 84,084 87,213 161,677 165,879 Other operating expenses 270 247 594 606 Total benefits and other deductions 84,354 87,460 162,271 166,485 Net revenues before income taxes 3,751 4,351 12,258 13,444 Income tax expense 385 913 2,153 2,823 Net revenues $ 3,366 $ 3,438 $ 10,105 $ 10,621 |
INVESTMENT OPERATIONS (Tables)
INVESTMENT OPERATIONS (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Realized Gain (Loss) on Investments | Net realized gains (losses) - investments/derivatives are summarized as follows: For The For The 2020 2019 2020 2019 (Dollars In Thousands) Fixed maturities $ 2,447 $ 1,062 $ 41,617 $ 6,199 Equity securities 25,442 7,540 (17,570) 38,175 Modco trading portfolios 187,505 89,571 63,305 184,473 Net credit losses recognized in operations (1) (30,288) — (82,081) — Net impairment losses recognized in operations (2) — (698) — (3,840) Commercial mortgage loans (3,686) 1,208 (99,082) 140 Other investments (740) 128 (1,760) 50 Realized gains (losses) - investments 180,680 98,811 (95,571) 225,197 Realized gains (losses) - derivatives (3) (160,578) (55,266) 77,562 (128,574) Realized gains (losses) - investments/derivatives $ 20,102 $ 43,545 $ (18,009) $ 96,623 (1) Represents credit losses recognized under FASB ASC 326-20 (2) Represents other-than-temporary impairment losses recognized in prior periods under FASB ASC 326-20 (3) See Note 7, Derivative Financial Instruments Gross realized gains and gross realized losses on investments available-for-sale (fixed maturities and short-term investments) are as follows: For The For The 2020 2019 2020 2019 (Dollars In Thousands) Gross realized gains $ 6,471 $ 6,776 $ 46,439 $ 14,646 Gross realized losses: Credit losses (1) $ (30,288) $ — $ (82,081) $ — Impairment losses (2) $ — $ (698) $ — $ (3,840) Other realized losses $ (4,024) $ (5,714) $ (4,822) $ (8,447) (1) Represents credit losses recognized under FASB ASC 326-20 (2) Represents other-than-temporary impairment losses recognized in prior periods under FASB ASC 326-20 |
Schedule of Fair Value (Proceeds) and Gains (Losses) on Securities in an Unrealized Gain or Loss Position | The chart below summarizes the fair value (proceeds) and the gains (losses) realized on securities the Company sold that were in an unrealized gain position and an unrealized loss position. For The For The 2020 2019 2020 2019 (Dollars In Thousands) Securities in an unrealized gain position: Fair value proceeds $ 431,876 $ 484,587 $ 936,213 $ 1,133,478 Gains realized $ 6,471 $ 6,776 $ 46,439 $ 14,646 Securities in an unrealized loss position: Fair value proceeds $ 24,814 $ 159,626 $ 24,834 $ 330,928 Losses realized $ (4,024) $ (5,714) $ (4,822) $ (8,447) |
Realized Gain (Loss) on Equity Securities | The chart below summarizes the realized gains (losses) on equity securities sold during the period and equity securities still held at the reporting date. For The For The 2020 2019 2020 2019 (Dollars In Thousands) Gains (losses) recognized during the period on equity securities still held $ 25,441 $ 7,347 $ (17,690) $ 37,922 Net gains recognized on equity securities sold during the period 1 193 $ 120 $ 253 Net gains (losses) recognized during the period on equity securities $ 25,442 $ 7,540 $ (17,570) $ 38,175 |
Schedule of Amortized Cost and Fair Value of the Company's Investments Classified as Available-for-Sale | The amortized cost, gross unrealized gains and losses, allowance for expected credit losses, and fair value of the Company’s investments classified as available-for-sale are as follows: As of June 30, 2020 Amortized Gross Gross Allowance Fair (Dollars In Thousands) Fixed maturities: Residential mortgage-backed securities $ 6,783,626 $ 231,006 $ (503) $ — $ 7,014,129 Commercial mortgage-backed securities 2,482,700 87,882 (29,100) — 2,541,482 Other asset-backed securities 1,704,674 26,109 (28,104) (655) 1,702,024 U.S. government-related securities 1,145,220 29,542 (844) — 1,173,918 Other government-related securities 566,961 63,570 (4,361) — 626,170 States, municipals, and political subdivisions 4,143,375 424,024 (5,033) — 4,562,366 Corporate securities 44,810,937 4,157,060 (450,052) (81,426) 48,436,519 Redeemable preferred stocks 66,071 461 (859) — 65,673 61,703,564 5,019,654 (518,856) (82,081) 66,122,281 Short-term investments 1,037,969 — — — 1,037,969 $ 62,741,533 $ 5,019,654 $ (518,856) $ (82,081) $ 67,160,250 As of December 31, 2019 Amortized Gross Gross Fair (Dollars In Thousands) Fixed maturities: Residential mortgage-backed securities $ 5,812,170 $ 125,493 $ (6,322) $ 5,931,341 Commercial mortgage-backed securities 2,588,575 54,385 (3,292) 2,639,668 Other asset-backed securities 1,764,120 32,041 (14,926) 1,781,235 U.S. government-related securities 1,032,048 5,664 (5,316) 1,032,396 Other government-related securities 548,136 51,024 (1,991) 597,169 States, municipals, and political subdivisions 4,415,008 225,072 (1,230) 4,638,850 Corporate securities 44,493,799 2,603,636 (288,334) 46,809,101 Redeemable preferred stocks 87,237 3,677 (4,249) 86,665 60,741,093 3,100,992 (325,660) 63,516,425 Short-term investments 1,229,651 — — 1,229,651 $ 61,970,744 $ 3,100,992 $ (325,660) $ 64,746,076 |
Schedule of Fair Value of Trading Securities | The fair value of the investments held pursuant to these Modco arrangements are as follows: As of June 30, 2020 December 31, 2019 (Dollars In Thousands) Fixed maturities: Residential mortgage-backed securities $ 192,944 $ 209,521 Commercial mortgage-backed securities 189,995 201,284 Other asset-backed securities 144,248 143,361 U.S. government-related securities 42,677 47,067 Other government-related securities 29,210 28,775 States, municipals, and political subdivisions 289,477 293,791 Corporate securities 1,757,339 1,590,936 Redeemable preferred stocks 11,933 12,832 2,657,823 2,527,567 Equity securities 15,724 6,656 Short-term investments 75,292 91,213 $ 2,748,839 $ 2,625,436 |
Schedule of Amortized Cost and Fair Value of Available-for-Sale and Held-to-Maturity Fixed Maturities, by Expected Maturity | The amortized cost and fair value of available-for-sale and held-to-maturity fixed maturities as of June 30, 2020, by expected maturity, are shown below. Expected maturities of securities without a single maturity date are allocated based on estimated rates of prepayment that may differ from actual rates of prepayment. Available-for-Sale Held-to-Maturity Amortized Fair Amortized Fair (Dollars In Thousands) Due in one year or less $ 2,208,672 $ 2,206,490 $ — $ — Due after one year through five years 11,090,362 11,494,899 — — Due after five years through ten years 14,580,642 15,561,473 — — Due after ten years 33,823,888 36,859,419 2,728,529 2,947,350 $ 61,703,564 $ 66,122,281 $ 2,728,529 $ 2,947,350 |
Schedule of Available-for-sale Allowance for Credit Losses on Fixed Maturities | The following chart is a rollforward of available-for-sale allowance for expected credit losses on fixed maturities held by the Company: For The For The Corporate Other Asset-Backed Securities Total Corporate Other Asset-Backed Securities Total (Dollars In Thousands) Beginning Balance $ 51,135 $ 658 $ 51,793 $ — $ — $ — Additions for securities for which allowance was not previously recorded 11,307 — 11,307 62,442 658 63,100 Adjustments on previously recorded allowances due to change in expected cash flows 18,984 — 18,984 18,984 — 18,984 Reductions on previously recorded allowances due to disposal of security in the current period — (3) (3) — (3) (3) Ending Balance $ 81,426 $ 655 $ 82,081 $ 81,426 $ 655 $ 82,081 |
Schedule of Investments' Gross Unrealized Losses and Fair Value of the Company's Investments that are Not Deemed to be Other-than-Temporarily Impaired | The following table includes the gross unrealized losses, for which an allowance for credit losses has not been recorded, and fair value of the Company’s AFS fixed maturities, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position as of June 30, 2020: Less Than 12 Months 12 Months or More Total Fair Unrealized Fair Unrealized Fair Unrealized (Dollars In Thousands) Residential mortgage-backed securities $ 113,660 $ (498) $ 2,098 $ (5) $ 115,758 $ (503) Commercial mortgage-backed securities 412,551 (27,826) 31,248 (1,274) 443,799 (29,100) Other asset-backed securities 566,551 (12,605) 282,432 (15,499) 848,983 (28,104) U.S. government-related securities 134,265 (815) 1,334 (29) 135,599 (844) Other government-related securities 22,576 (3,176) 6,358 (1,185) 28,934 (4,361) States, municipals, and political subdivisions 106,083 (4,956) 5,965 (77) 112,048 (5,033) Corporate securities 3,976,043 (230,736) 1,182,312 (219,316) 5,158,355 (450,052) Redeemable preferred stocks 20,104 (859) — — 20,104 (859) $ 5,351,833 $ (281,471) $ 1,511,747 $ (237,385) $ 6,863,580 $ (518,856) |
Schedule of Investments' Gross Unrealized Losses and Fair Value of the Company's Investments that are Not Deemed to be Other-than-Temporarily Impaired | The following table includes the gross unrealized losses and fair value of the Company’s investments that are not deemed to be other-than-temporarily impaired, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position as of December 31, 2019: Less Than 12 Months 12 Months or More Total Fair Unrealized Fair Unrealized Fair Unrealized (Dollars In Thousands) Residential mortgage-backed securities $ 851,333 $ (4,231) $ 220,843 $ (2,091) $ 1,072,176 $ (6,322) Commercial mortgage-backed securities 371,945 (1,721) 115,566 (1,571) 487,511 (3,292) Other asset-backed securities 482,547 (6,516) 214,058 (8,410) 696,605 (14,926) U.S. government-related securities 383,451 (3,373) 353,517 (1,943) 736,968 (5,316) Other government-related securities 22,962 (669) 6,230 (1,322) 29,192 (1,991) States, municipals, and political subdivisions 56,470 (1,001) 12,907 (229) 69,377 (1,230) Corporate securities 3,176,489 (68,289) 2,886,648 (220,045) 6,063,137 (288,334) Redeemable preferred stocks — — 16,689 (4,249) 16,689 (4,249) $ 5,345,197 $ (85,800) $ 3,826,458 $ (239,860) $ 9,171,655 $ (325,660) |
Summary of Change in Unrealized Gains (Losses), Net of Income Tax, on Fixed Maturity and Equity Securities, Classified as Available-for-Sale | The change in unrealized gains (losses), excluding the allowance for expected credit losses, net of income tax, on fixed matur ities, classified as available-for-sale is summarized as follows: For The For The 2020 2019 2020 2019 (Dollars In Thousands) Fixed maturities $ 3,568,509 $ 1,536,447 $ 1,363,118 $ 3,088,119 |
Schedule of Amortized Cost and Fair Value of the Company's Investments Classified as Held-to-Maturity | The amortized cost and fair value of the Company’s investments classified as held-to-maturity as of June 30, 2020 and December 31, 2019, are as follows: As of June 30, 2020 Amortized Gross Gross Fair (Dollars In Thousands) Fixed maturities: Securities issued by affiliates: Red Mountain, LLC $ 813,529 $ 69,478 $ — $ 883,007 Steel City, LLC 1,915,000 149,343 — 2,064,343 $ 2,728,529 $ 218,821 $ — $ 2,947,350 As of December 31, 2019 Amortized Gross Gross Fair (Dollars In Thousands) Fixed maturities: Securities issued by affiliates: Red Mountain, LLC $ 795,881 $ 81,022 $ — $ 876,903 Steel City, LLC 2,028,000 120,887 — 2,148,887 $ 2,823,881 $ 201,909 $ — $ 3,025,790 |
FAIR VALUE OF FINANCIAL INSTR_2
FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Fair Value Disclosures [Abstract] | |
Schedule of Assets and Liabilities Measured at Fair Value on a Recurring Basis | The following table presents the Company’s hierarchy for its assets and liabilities measured at fair value on a recurring basis as of June 30, 2020: Measurement Level 1 Level 2 Level 3 Total (Dollars In Thousands) Assets: Fixed maturity securities - available-for-sale Residential mortgage-backed securities 4 $ — $ 7,014,129 $ — $ 7,014,129 Commercial mortgage-backed securities 4 — 2,531,511 9,971 2,541,482 Other asset-backed securities 4 — 1,271,061 430,964 1,702,025 U.S. government-related securities 4 669,492 504,426 — 1,173,918 State, municipals, and political subdivisions 4 — 4,562,366 — 4,562,366 Other government-related securities 4 — 626,170 — 626,170 Corporate securities 4 — 47,070,555 1,365,963 48,436,518 Redeemable preferred stocks 4 65,673 — — 65,673 Total fixed maturity securities - available-for-sale 735,165 63,580,218 1,806,898 66,122,281 Fixed maturity securities - trading Residential mortgage-backed securities 3 — 192,944 — 192,944 Commercial mortgage-backed securities 3 — 189,995 — 189,995 Other asset-backed securities 3 — 83,626 60,622 144,248 U.S. government-related securities 3 26,033 16,644 — 42,677 State, municipals, and political subdivisions 3 — 289,477 — 289,477 Other government-related securities 3 — 29,210 — 29,210 Corporate securities 3 — 1,745,181 12,158 1,757,339 Redeemable preferred stocks 3 11,933 — — 11,933 Total fixed maturity securities - trading 37,966 2,547,077 72,780 2,657,823 Total fixed maturity securities 773,131 66,127,295 1,879,678 68,780,104 Equity securities 3 434,568 — 78,613 513,181 Other long-term investments (1) 3 & 4 81,357 815,700 275,907 1,172,964 Short-term investments 3 1,010,740 102,521 — 1,113,261 Total investments 2,299,796 67,045,516 2,234,198 71,579,510 Cash 3 445,447 — — 445,447 Assets related to separate accounts Variable annuity 3 11,394,911 — — 11,394,911 Variable universal life 3 1,087,327 — — 1,087,327 Total assets measured at fair value on a recurring basis $ 15,227,481 $ 67,045,516 $ 2,234,198 $ 84,507,195 Liabilities: Annuity account balances (2) 3 $ — $ — $ 68,064 $ 68,064 Other liabilities (1) 3 & 4 6,417 485,094 1,664,251 2,155,762 Total liabilities measured at fair value on a recurring basis $ 6,417 $ 485,094 $ 1,732,315 $ 2,223,826 (1) Includes certain freestanding and embedded derivatives. (2) Represents liabilities related to fixed indexed annuities. (3) Fair Value through Net Income (4) Fair Value through Other Comprehensive Income (Loss) The following table presents the Company’s hierarchy for its assets and liabilities measured at fair value on a recurring basis as of December 31, 2019: Measurement Level 1 Level 2 Level 3 Total (Dollars In Thousands) Assets: Fixed maturity securities - available-for-sale Residential mortgage-backed securities 4 $ — $ 5,931,341 $ — $ 5,931,341 Commercial mortgage-backed securities 4 — 2,629,639 10,029 2,639,668 Other asset-backed securities 4 — 1,360,016 421,219 1,781,235 U.S. government-related securities 4 662,581 369,815 — 1,032,396 State, municipals, and political subdivisions 4 — 4,638,850 — 4,638,850 Other government-related securities 4 — 597,169 — 597,169 Corporate securities 4 — 45,435,387 1,373,714 46,809,101 Redeemable preferred stocks 4 69,976 16,689 — 86,665 Total fixed maturity securities - available-for-sale 732,557 60,978,906 1,804,962 63,516,425 Fixed maturity securities - trading Residential mortgage-backed securities 3 — 209,521 — 209,521 Commercial mortgage-backed securities 3 — 201,284 — 201,284 Other asset-backed securities 3 — 77,954 65,407 143,361 U.S. government-related securities 3 24,810 22,257 — 47,067 State, municipals, and political subdivisions 3 — 293,791 — 293,791 Other government-related securities 3 — 28,775 — 28,775 Corporate securities 3 — 1,579,565 11,371 1,590,936 Redeemable preferred stocks 3 12,832 — — 12,832 Total fixed maturity securities - trading 37,642 2,413,147 76,778 2,527,567 Total fixed maturity securities 770,199 63,392,053 1,881,740 66,043,992 Equity securities 3 480,750 — 72,970 553,720 Other long-term investments (1) 3 & 4 52,225 733,425 209,843 995,493 Short-term investments 3 1,255,384 65,480 — 1,320,864 Total investments 2,558,558 64,190,958 2,164,553 68,914,069 Cash 3 171,752 — — 171,752 Assets related to separate accounts Variable annuity 3 12,730,090 — — 12,730,090 Variable universal life 3 1,135,666 — — 1,135,666 Total assets measured at fair value on a recurring basis $ 16,596,066 $ 64,190,958 $ 2,164,553 $ 82,951,577 Liabilities: Annuity account balances (2) 3 $ — $ — $ 69,728 $ 69,728 Other liabilities (1) 3 & 4 19,561 509,645 1,017,972 1,547,178 Total liabilities measured at fair value on a recurring basis $ 19,561 $ 509,645 $ 1,087,700 $ 1,616,906 (1) Includes certain freestanding and embedded derivatives. (2) Represents liabilities related to fixed indexed annuities. (3) Fair Value through Net Income (4) Fair Value through Other Comprehensive Income (Loss) |
Schedule of the Valuation Method for Material Financial Instruments Included in Level 3, as well as the Unobservable Inputs Used in the Valuation of the Financial Instruments | The following table presents the valuation method for material financial instruments included in Level 3, as well as the unobservable inputs used in the valuation of those financial instruments: Fair Value Valuation Unobservable Range (Dollars In Thousands) Assets: Commercial mortgage-backed securities $ 9,971 Discounted cash flow Spread over treasury 3.41% Other asset-backed securities 430,964 Liquidation Liquidation value $92.25 - $97.00 ($95.39) Discounted cash flow Liquidity premium 0.46% - 2.32% (1.59%) Paydown rate 8.66% - 12.76% (11.44%) Corporate securities 1,365,963 Discounted cash flow Spread over treasury 0.12% - 8.25% (2.83%) Liabilities: (1) Embedded derivatives - GLWB (2) 590,762 Actuarial cash flow model Mortality 87% to 100% of Ruark 2015 ALB Table Lapse PL-RBA Predictive Model Utilization PL-RBA Predictive Model Nonperformance risk 0.33% - 0.91% Embedded derivative - FIA 451,148 Actuarial cash flow model Expenses $195 per policy Withdrawal rate 0.4% - 1.2% prior to age 70, 100% of the RMD for ages 70+ or WB withdrawal rate. Assume underutilized RMD for non WB policies ages 70-81. Mortality 87% to 100% of Ruark 2015 ALB table Lapse 0.5% - 50.0%, depending on duration/surrender charge period Dynamically adjusted for WB moneyness and projected market rates vs credited rates Nonperformance risk 0.33% - 0.91% Embedded derivative - IUL 196,655 Actuarial cash flow model Mortality 37% - 156% of 2015 VBT Primary Tables 94% - 248% of duration 8 point in scale 2015 VBT Primary Tables, depending on type of business Lapse 0.5% - 10%, depending on duration/distribution channel and smoking class Nonperformance risk 0.33% - 0.91% (1) Excludes modified coinsurance arrangements. (2) The fair value for the GLWB embedded derivative is presented as a net liability. The following table presents the valuation method for material financial instruments included in Level 3, as well as the unobservable inputs used in the valuation of those financial instruments: Fair Value Valuation Unobservable Range (Dollars In Thousands) Assets: Commercial mortgage-backed securities $ 10,029 Discounted cash flow Spread over treasury 2.5% Other asset-backed securities 421,219 Liquidation Liquidation value $95.39 - $99.99 ($97.95) Discounted cash flow Liquidity premium 0.34% - 2.28% (1.44%) Paydown Rate 8.99% - 12.45% (11.28%) Corporate securities 1,373,714 Discounted cash flow Spread over treasury 0.00% - 4.03% (1.60%) Liabilities: (1) Embedded derivatives - GLWB (2) $ 186,038 Actuarial cash flow model Mortality 87% to 100% of Ruark 2015 ALB Table Lapse Ruark Predictive Model Utilization 99%. 10% of policies have a one-time over-utilization of 400% Nonperformance risk 0.12% - 0.82% Embedded derivative - FIA 336,826 Actuarial cash flow model Expenses $195 per policy Withdrawal rate 0.4% - 1.2% prior to age 70 RMD for ages 70+ or WB withdrawal rate Assume underutilized RMD for nonWB policies age 70-81 Mortality 87% to 100% or Ruark 2015 ALB table Lapse 0.5% - 50.0%, depending on duration/surrender charge period Nonperformance risk 0.12% - 0.82% Embedded derivative - IUL 151,765 Actuarial cash flow model Mortality 37% - 156% of 2015 VBT Primary Tables 94% - 248% of duration 8 point in scale 2015 VBT Primary Tables, depending on type of business Lapse 0.5% - 10%, depending on duration/distribution channel and smoking class Nonperformance risk 0.12% - 0.82% (1) Excludes modified coinsurance arrangements. (2) The fair value for the GLWB embedded derivative is presented as a net liability. |
Schedule of Reconciliation of the Beginning and Ending Balances for Fair Value Measurements, for Which the Company Has Used Significant Unobservable Inputs (Level 3) | The following table presents a reconciliation of the beginning and ending balances for fair value measurements for the three months ended June 30, 2020, for which the Company has used significant unobservable inputs (Level 3): Total Total Total Gains (losses) included in Operations related to Instruments still held at Beginning Included Included Included Included Purchases Sales Issuances Settlements Transfers Other Ending (Dollars In Thousands) Assets: Fixed maturity securities available-for-sale Residential mortgage-backed securities $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — Commercial mortgage-backed securities 10,783 — — — (785) — (21) — — — (6) 9,971 — Other asset-backed securities 436,329 — 112 (21) (5,125) — (509) — — — 178 430,964 — Corporate securities 1,279,769 — 83,367 — (3,198) 279,264 (321,885) — — 49,593 (947) 1,365,963 — Total fixed maturity securities - available-for-sale 1,726,881 — 83,479 (21) (9,108) 279,264 (322,415) — — 49,593 (775) 1,806,898 — Fixed maturity securities - trading Other asset-backed securities 65,028 1,467 — (6,584) — 1,469 (23) — — (766) 31 60,622 (5,149) Corporate securities 13,012 487 — — — 1,236 (2,141) — — (408) (28) 12,158 388 Total fixed maturity securities - trading 78,040 1,954 — (6,584) — 2,705 (2,164) — — (1,174) 3 72,780 (4,761) Total fixed maturity securities 1,804,921 1,954 83,479 (6,605) (9,108) 281,969 (324,579) — — 48,419 (772) 1,879,678 (4,761) Equity securities 72,968 1 — 1 — 423 — — — 5,220 — 78,613 3,212 Other long-term investments (1) 162,081 79,413 — (6,418) — 40,831 — — — — — 275,907 (72,995) Total investments 2,039,970 81,368 83,479 (13,022) (9,108) 323,223 (324,579) — — 53,639 (772) 2,234,198 (74,544) Total assets measured at fair value on a recurring basis $ 2,039,970 $ 81,368 $ 83,479 $ (13,022) $ (9,108) $ 323,223 $ (324,579) $ — $ — $ 53,639 $ (772) $ 2,234,198 $ (74,544) Liabilities: Annuity account balances (2) $ 68,395 $ — $ — $ (532) $ — $ — $ — $ 204 $ 1,067 $ — $ — $ 68,064 $ — Other liabilities (1) 1,262,274 67,431 — (469,408) — — — — — — — 1,664,251 (401,977) Total liabilities measured at fair value on a recurring basis $ 1,330,669 $ 67,431 $ — $ (469,940) $ — $ — $ — $ 204 $ 1,067 $ — $ — $ 1,732,315 $ (401,977) (1) Represents certain freestanding and embedded derivatives. (2) Represents liabilities related to fixed indexed annuities. The following table presents a reconciliation of the beginning and ending balances for fair value measurements for the six months ended June 30, 2020, for which the Company has used significant unobservable inputs (Level 3): Total Realized and Unrealized Gains Total Realized and Unrealized Losses Total Gains (losses) included in Operations related to Instruments still held at the Reporting Date Beginning Balance Included in Operations Included in Other Comprehensive Income (Loss) Included in Operations Included in Other Comprehensive Income (Loss) Purchases Sales Issuances Settlements Transfers in/out of Level 3 Other Ending Balance (Dollars In Thousands) Assets: Fixed maturity securities available-for-sale Commercial mortgage-backed securities $ 10,029 $ — $ 780 $ — $ (785) $ — $ (41) $ — $ — $ — $ (12) $ 9,971 $ — Other asset-backed securities 421,219 — 112 (21) (12,453) — (517) — — 22,187 437 430,964 — Corporate securities 1,373,714 — 85,001 — (79,195) 303,264 (371,702) — — 56,935 (2,054) 1,365,963 — Total fixed maturity securities - available-for-sale 1,804,962 — 85,893 (21) (92,433) 303,264 (372,260) — — 79,122 (1,629) 1,806,898 — Fixed maturity securities - trading Residential mortgage-backed securities — — — — — — — — — — — — — Other asset-backed securities 65,407 1,468 — (8,314) — 3,219 (452) — — (766) 60 60,622 (5,149) Corporate securities 11,371 487 — (415) — 3,321 (2,141) — — (408) (57) 12,158 389 Total fixed maturity securities - trading 76,778 1,955 — (8,729) — 6,540 (2,593) — — (1,174) 3 72,780 (4,760) Total fixed maturity securities 1,881,740 1,955 85,893 (8,750) (92,433) 309,804 (374,853) — — 77,948 (1,626) 1,879,678 (4,760) Equity securities 72,970 1 — (1) — 423 — — — 5,220 — 78,613 3,212 Other long-term investments(1) 209,843 92,933 — (63,628) — 40,831 — — (4,072) — — 275,907 25,233 Short-term investments — — — — — — — — — — — — — Total investments 2,164,553 94,889 85,893 (72,379) (92,433) 351,058 (374,853) — (4,072) 83,168 (1,626) 2,234,198 23,685 Total assets measured at fair value on a recurring basis $ 2,164,553 $ 94,889 $ 85,893 $ (72,379) $ (92,433) $ 351,058 $ (374,853) $ — $ (4,072) $ 83,168 $ (1,626) $ 2,234,198 $ 23,685 Liabilities: Annuity account balances(2) $ 69,728 $ — $ — $ (1,067) $ — $ — $ — $ 329 $ 3,060 $ — $ — $ 68,064 $ — Other liabilities(1) 1,017,972 256,473 — (902,752) — — — — — — — 1,664,251 (646,279) Total liabilities measured at fair value on a recurring basis $ 1,087,700 $ 256,473 $ — $ (903,819) $ — $ — $ — $ 329 $ 3,060 $ — $ — $ 1,732,315 $ (646,279) (1) Represents certain freestanding and embedded derivatives. (2) Represents liabilities related to fixed indexed annuities. The following table presents a reconciliation of the beginning and ending balances for fair value measurements for the three months ended June 30, 2019, for which the Company has used significant unobservable inputs (Level 3): Total Total Total Gains (losses) included in Operations related to Instruments still held at Beginning Included Included Included Included Purchases Sales Issuances Settlements Transfers Other Ending (Dollars In Thousands) Assets: Fixed maturity securities available-for-sale Residential mortgage-backed securities $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — $ — Commercial mortgage-backed securities — — 16 — — 9,359 (7) — — — (2) 9,366 — Other asset-backed securities 420,091 — 2,513 (37) (4,468) — (7) — — — 218 418,310 — Corporate securities 648,608 82 25,371 — (497) 661,627 (56,183) — — 49,350 133 1,328,491 — Total fixed maturity securities - available-for-sale 1,068,699 82 27,900 (37) (4,965) 670,986 (56,197) — — 49,350 349 1,756,167 — Fixed maturity securities - trading Other asset-backed securities 66,484 810 — (3,468) — — (781) — — (797) (68) 62,180 (2,717) Corporate securities 5,251 68 — — — — 1 — — — (26) 5,294 68 Total fixed maturity securities - trading 71,735 878 — (3,468) — — (780) — — (797) (94) 67,474 (2,649) Total fixed maturity securities 1,140,434 960 27,900 (3,505) (4,965) 670,986 (56,977) — — 48,553 255 1,823,641 (2,649) Equity securities 63,409 — — (3) — 5,080 — — — — — 68,486 153 Other long-term investments (1) 133,694 22,762 — (12,744) — 1,579 — — (1,708) — — 143,583 8,310 Total investments 1,337,537 23,722 27,900 (16,252) (4,965) 677,645 (56,977) — (1,708) 48,553 255 2,035,710 5,814 Total assets measured at fair value on a recurring basis $ 1,337,537 $ 23,722 $ 27,900 $ (16,252) $ (4,965) $ 677,645 $ (56,977) $ — $ (1,708) $ 48,553 $ 255 $ 2,035,710 $ 5,814 Liabilities: Annuity account balances (2) $ 74,613 $ — $ — $ (825) $ — $ — $ — $ 56 $ 2,909 $ — $ — $ 72,585 $ — Other liabilities (1) 606,655 364 — (198,540) — 37,204 — — — — — 842,035 (198,176) Total liabilities measured at fair value on a recurring basis $ 681,268 $ 364 $ — $ (199,365) $ — $ 37,204 $ — $ 56 $ 2,909 $ — $ — $ 914,620 $ (198,176) (1) Represents certain freestanding and embedded derivatives. (2) Represents liabilities related to fixed indexed annuities. The following table presents a reconciliation of the beginning and ending balances for fair value measurements for the six months ended June 30, 2019, for which the Company has used significant unobservable inputs (Level 3): Total Realized and Unrealized Gains Total Realized and Unrealized Losses Total Gains (losses) included in Operations related to Instruments still held at the Reporting Date Beginning Balance Included in Operations Included in Other Comprehensive Income (Loss) Included in Operations Included in Other Comprehensive Income (Loss) Purchases Sales Issuances Settlements Transfers in/out of Level 3 Other Ending Balance (Dollars In Thousands) Assets: Fixed maturity securities available-for-sale Commercial mortgage-backed securities $ — $ — $ 16 $ — $ — $ 9,359 $ (7) $ — $ — $ — $ (2) $ 9,366 $ — Other asset-backed securities 421,642 446 10,660 (57) (4,799) — (10,015) — — — 433 418,310 — Corporate securities 638,276 82 43,956 — (3,509) 695,627 (84,956) — — 39,255 (240) 1,328,491 — Total fixed maturity securities - available-for-sale 1,059,918 528 54,632 (57) (8,308) 704,986 (94,978) — — 39,255 191 1,756,167 — Fixed maturity securities - trading Other asset-backed securities 26,056 4,006 — (3,584) — 15,463 (5,892) — — 26,267 (136) 62,180 1,068 Corporate securities 6,242 169 — (31) — — (1,035) — — — (51) 5,294 134 Total fixed maturity securities - trading 32,298 4,175 — (3,615) — 15,463 (6,927) — — 26,267 (187) 67,474 1,202 Total fixed maturity securities 1,092,216 4,703 54,632 (3,672) (8,308) 720,449 (101,905) — — 65,522 4 1,823,641 1,202 Equity securities 63,421 1 — (16) — 5,080 — — — — — 68,486 222 Other long-term investments(1) 151,342 23,789 — (31,419) — 1,579 — — (1,708) — — 143,583 (9,338) Short-term investments — — — — — — — — — — — — — Total investments $ 1,306,979 $ 28,493 $ 54,632 $ (35,107) $ (8,308) $ 727,108 $ (101,905) $ — $ (1,708) $ 65,522 $ 4 $ 2,035,710 $ (7,914) Total assets measured at fair value on a recurring basis 1,306,979 28,493 54,632 (35,107) (8,308) 727,108 (101,905) — (1,708) 65,522 4 2,035,710 (7,914) Liabilities: Annuity account balances(2) $ 76,119 $ — $ — $ (1,152) $ — $ — $ — $ 67 $ 4,753 $ — $ — $ 72,585 $ — Other liabilities(1) 438,127 830 — (367,534) — 37,204 — — — — — 842,035 (366,704) Total liabilities measured at fair value on a recurring basis $ 514,246 $ 830 $ — $ (368,686) $ — $ 37,204 $ — $ 67 $ 4,753 $ — $ — $ 914,620 $ (366,704) (1) Represents certain freestanding and embedded derivatives. (2) Represents liabilities related to fixed indexed annuities. |
Schedule of the Carrying Amounts and Estimated Fair Value of the Company's Financial Instruments | The carrying amounts and estimated fair values of the Company’s financial instruments as of the periods shown below are as follows: As of June 30, 2020 December 31, 2019 Fair Value Carrying Fair Values Carrying Fair Values (Dollars In Thousands) Assets: Commercial mortgage loans (1) 3 $ 9,545,793 $ 10,055,284 $ 9,379,401 $ 9,584,487 Policy loans 3 1,657,530 1,657,530 1,675,121 1,675,121 Fixed maturities, held-to-maturity (2) 3 2,728,529 2,947,350 2,823,881 3,025,790 Other long-term investments (3) 2 1,218,279 1,278,991 1,216,996 1,246,889 Liabilities: Stable value product account balances 3 $ 5,984,036 $ 6,163,437 $ 5,443,752 $ 5,551,195 Future policy benefits and claims (4) 3 1,634,654 1,646,695 1,701,324 1,705,235 Other policyholders’ funds (5) 3 101,558 105,221 127,084 130,259 Debt: (6) Non-recourse funding obligations (7) 3 $ 2,989,340 $ 3,164,771 $ 3,082,753 $ 3,298,580 Subordinated funding obligations 3 110,000 113,729 110,000 113,286 Except as noted below, fair values were estimated using quoted market prices. (1) The carrying amount is net of allowance for credit losses. (2) Securities purchased from unconsolidated affiliates, Red Mountain, LLC and Steel City, LLC. (3) Other long-term investments represents a Modco receivable, which is related to invested assets such as fixed income and structured securities, which are legally owned by the ceding company. The fair value is determined in a manner consistent with other similar invested assets held by the Company. (4) Single premium immediate annuity without life contingencies. (5) Supplementary contracts without life contingencies. (6) Excludes capital lease obligations of $0.8 million and $1.0 million as of June 30, 2020 and December 31, 2019, respectively. (7) As of June 30, 2020, carrying amount of $2.7 billion and a fair value of $2.9 billion related to non-recourse funding obligations issued by Golden Gate and Golden Gate V. As of December 31, 2019, carrying amount of $2.8 billion and a fair value of $3.0 billion related to non-recourse funding obligations issued by Golden Gate and Golden Gate V. |
DERIVATIVE FINANCIAL INSTRUME_2
DERIVATIVE FINANCIAL INSTRUMENTS (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Realized Investments Gains and Losses | The following table sets forth realized gains (losses) - derivatives for the periods shown: Realized gains (losses) - derivative financial instruments For The For The 2020 2019 2020 2019 (Dollars In Thousands) Derivatives related to VA contracts: Interest rate futures $ (6,680) $ (11,280) $ (5,822) $ (17,302) Equity futures 102,447 2,559 133,099 32,297 Currency futures (1,188) (397) 10,974 1,847 Equity options (172,248) (21,702) 108,231 (93,397) Interest rate swaps 11,786 117,934 421,301 192,795 Total return swaps (77,622) (8,545) 62,145 (48,572) Embedded derivative - GLWB 5,859 (69,602) (404,721) (102,989) Funds withheld derivative 112,133 18,771 (149,281) 80,548 Total derivatives related to VA contracts (25,513) 27,738 175,926 45,227 Derivatives related to FIA contracts: Embedded derivative (68,310) (24,819) (29,423) (63,633) Funds withheld derivative (6,782) — (6,782) — Equity futures 1,084 431 (7,068) 2 Equity options 50,546 13,191 (9,839) 55,241 Other derivatives (425) — (225) — Total derivatives related to FIA contracts (23,887) (11,197) (53,337) (8,390) Derivatives related to IUL contracts: Embedded derivative (14,277) (11,286) (14,239) (24,656) Equity futures 295 85 (2,144) 256 Equity options 8,497 2,606 (5,952) 8,786 Total derivatives related to IUL contracts (5,485) (8,595) (22,335) (15,614) Embedded derivative - Modco reinsurance treaties (106,155) (70,679) (30,426) (155,677) Derivatives with PLC (1) 4,294 8,922 2,346 7,269 Other derivatives (3,832) (1,455) 5,388 (1,389) Total realized gains (losses) - derivatives $ (160,578) $ (55,266) $ 77,562 $ (128,574) (1) These derivatives include the Interest, YRT premium support, and portfolio maintenance agreements between certain of the Company’s subsidiaries and PLC. |
Components of the Gain or Loss on Derivatives that Quality as a Cash Flow Hedging Relationship | The following table presents the components of the gain or loss on derivatives that qualify as a cash flow hedging relationship. Gain (Loss) on Derivatives in Cash Flow Hedging Relationship Amount of Gains (Losses) Amount and Location of Amount and Location of (Effective Portion) (Effective Portion) (Ineffective Portion) Benefits and settlement Realized gains (losses) - investments/derivatives (Dollars In Thousands) For The Three Months Ended June 30, 2020 Foreign currency swaps $ 3,371 $ (222) $ — Interest rate swaps (541) (1,245) — Total $ 2,830 $ (1,467) $ — For The Six Months Ended June 30, 2020 Foreign currency swaps $ (2,124) $ (616) $ — Interest rate swaps (915) (2,055) — Total $ (3,039) $ (2,671) $ — For The Three Months Ended June 30, 2019 Foreign currency swaps $ (1,733) $ (188) $ — Interest rate swaps (1,796) (148) — Total $ (3,529) $ (336) $ — For The Six Months Ended June 30, 2019 Foreign currency swaps $ (3,626) $ (394) $ — Interest rate swaps (2,391) (220) — Total $ (6,017) $ (614) $ — |
Schedule of Information About the Nature and Accounting Treatment of the Company's Primary Derivative Financial Instruments and the Location in and Effect on the Consolidated Financial Statements | The table below presents information about the nature and accounting treatment of the Company’s primary derivative financial instruments and the location in and effect on the consolidated condensed financial statements for the periods presented below: As of June 30, 2020 December 31, 2019 Notional Fair Notional Fair (Dollars In Thousands) Other long-term investments Derivatives not designated as hedging instruments: Interest rate swaps $ 2,428,000 $ 225,231 $ 2,228,000 $ 98,655 Total return swaps 562,607 4,460 269,772 941 Derivatives with PLC (1) 2,653,006 113,653 2,830,889 115,379 Embedded derivative - Modco reinsurance treaties 1,281,470 64,758 1,280,189 31,926 Embedded derivative - GLWB 543,139 45,636 1,147,436 62,538 Embedded derivative - FIA 286,778 51,860 — — Interest rate futures 221,804 641 896,073 7,557 Equity futures 119,794 1,368 159,901 2,109 Currency futures 261,473 3,850 72,593 131 Equity options 7,379,220 661,507 6,685,670 676,257 $ 15,737,291 $ 1,172,964 $ 15,570,523 $ 995,493 Other liabilities Cash flow hedges: Interest rate swaps $ 350,000 $ — $ 350,000 $ — Foreign currency swaps 117,178 22,879 117,178 11,373 Derivatives not designated as hedging instruments: Interest rate swaps 250,000 — 50,000 — Total return swaps 194,504 2,938 579,675 3,229 Embedded derivative - Modco reinsurance treaties 2,815,598 289,709 2,263,685 231,516 Funds withheld derivative 3,062,874 159,370 1,845,649 70,583 Embedded derivative - GLWB 3,414,058 636,398 2,892,926 248,577 Embedded derivative - FIA 3,256,264 497,336 2,892,803 332,869 Embedded derivative - IUL 324,832 196,655 301,598 151,765 Interest rate futures 1,034,796 1,960 669,223 10,375 Equity futures 121,162 2,016 174,743 2,376 Currency futures — — 192,306 1,836 Equity options 5,249,748 302,348 4,827,714 429,434 Other 250,726 44,153 199,387 53,245 $ 20,441,740 $ 2,155,762 $ 17,356,887 $ 1,547,178 (1) These derivatives include the Interest, YRT premium support, and portfolio maintenance agreements between certain of the Company’s subsidiaries and PLC. |
OFFSETTING OF ASSETS AND LIAB_2
OFFSETTING OF ASSETS AND LIABILITIES (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Offsetting [Abstract] | |
Schedule of Derivative Instruments by Assets and Liabilities | The tables below present the derivative instruments by assets and liabilities for the Company as of June 30, 2020. Gross Gross Net Amounts Gross Amounts Not Offset Financial Collateral Net Amount (Dollars In Thousands) Offsetting of Assets Derivatives: Free-Standing derivatives $ 897,057 $ — $ 897,057 $ 328,282 $ 404,541 $ 164,234 Total derivatives, subject to a master netting arrangement or similar arrangement 897,057 — 897,057 328,282 404,541 164,234 Derivatives not subject to a master netting arrangement or similar arrangement Embedded derivative - Modco reinsurance treaties 64,758 — 64,758 — — 64,758 Embedded derivative - GLWB 45,636 — 45,636 — — 45,636 Derivatives with PLC 113,653 — 113,653 — — 113,653 Other 51,860 — 51,860 — — 51,860 Total derivatives, not subject to a master netting arrangement or similar arrangement 275,907 — 275,907 — — 275,907 Total derivatives 1,172,964 — 1,172,964 328,282 404,541 440,141 Total Assets $ 1,172,964 $ — $ 1,172,964 $ 328,282 $ 404,541 $ 440,141 Gross Gross Net Amounts Gross Amounts Not Offset Financial Collateral Net Amount (Dollars In Thousands) Offsetting of Liabilities Derivatives: Free-Standing derivatives $ 332,141 $ — $ 332,141 $ 328,282 $ 2,040 $ 1,819 Total derivatives, subject to a master netting arrangement or similar arrangement 332,141 — 332,141 328,282 2,040 1,819 Derivatives, not subject to a master netting arrangement or similar arrangement Embedded derivative - Modco reinsurance treaties 289,709 — 289,709 — — 289,709 Funds withheld derivative 159,370 — 159,370 — — 159,370 Embedded derivative - GLWB 636,398 — 636,398 — — 636,398 Embedded derivative - FIA 497,336 — 497,336 — — 497,336 Embedded derivative - IUL 196,655 — 196,655 — — 196,655 Other 44,153 — 44,153 — — 44,153 Total derivatives, not subject to a master netting arrangement or similar arrangement 1,823,621 — 1,823,621 — — 1,823,621 Total derivatives 2,155,762 — 2,155,762 328,282 2,040 1,825,440 Repurchase agreements (1) 100,000 — 100,000 — — 100,000 Total Liabilities $ 2,255,762 $ — $ 2,255,762 $ 328,282 $ 2,040 $ 1,925,440 (1) Borrowings under repurchase agreements are for a term less than 90 days. The tables below present the derivative instruments by assets and liabilities for the Company as of December 31, 2019. Gross Gross Net Amounts Gross Amounts Not Offset Financial Collateral Net Amount (Dollars In Thousands) Offsetting of Assets Derivatives: Free-Standing derivatives $ 785,650 $ — $ 785,650 $ 452,562 $ 215,587 $ 117,501 Total derivatives, subject to a master netting arrangement or similar arrangement 785,650 — 785,650 452,562 215,587 117,501 Derivatives not subject to a master netting arrangement or similar arrangement Embedded derivative - Modco reinsurance treaties 31,926 — 31,926 — — 31,926 Embedded derivative - GLWB 62,538 — 62,538 — — 62,538 Derivatives with PLC 115,379 — 115,379 — — 115,379 Other — — — — — — Total derivatives, not subject to a master netting arrangement or similar arrangement 209,843 — 209,843 — — 209,843 Total derivatives 995,493 — 995,493 452,562 215,587 327,344 Total Assets $ 995,493 $ — $ 995,493 $ 452,562 $ 215,587 $ 327,344 Gross Gross Net Amounts Gross Amounts Not Offset Financial Collateral Net Amount (Dollars In Thousands) Offsetting of Liabilities Derivatives: Free-Standing derivatives $ 458,623 $ — $ 458,623 $ 452,562 $ 4,791 $ 1,270 Total derivatives, subject to a master netting arrangement or similar arrangement 458,623 — 458,623 452,562 4,791 1,270 Derivatives not subject to a master netting arrangement or similar arrangement Embedded derivative - Modco reinsurance treaties 231,516 — 231,516 — — 231,516 Funds withheld derivative 70,583 — 70,583 — — 70,583 Embedded derivative - GLWB 248,577 — 248,577 — — 248,577 Embedded derivative - FIA 332,869 — 332,869 — — 332,869 Embedded derivative - IUL 151,765 — 151,765 — — 151,765 Other 53,245 — 53,245 — — 53,245 Total derivatives, not subject to a master netting arrangement or similar arrangement 1,088,555 — 1,088,555 — — 1,088,555 Total derivatives 1,547,178 — 1,547,178 452,562 4,791 1,089,825 Repurchase agreements (1) 270,000 — 270,000 — — 270,000 Total Liabilities $ 1,817,178 $ — $ 1,817,178 $ 452,562 $ 4,791 $ 1,359,825 (1) Borrowings under repurchase agreements are for a term less than 90 days. |
COMMERCIAL MORTGAGE LOANS (Tabl
COMMERCIAL MORTGAGE LOANS (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
COMMERCIAL MORTGAGE LOANS [Abstract] | |
Schedule of Commercial Mortgage Loans Receivable by Origination Year | As of June 30, 2020, the amortized cost basis of the Company's commercial mortgage loan receivables by origination year, net of the allowance, for credit losses is as follows: Term Loans Amortized Cost Basis by Origination Year 2020 2019 2018 2017 2016 Prior Total (Dollars In Thousands) As of June 30, 2020 Commercial mortgage loans: Performing $ 591,896 $ 2,545,699 $ 1,625,965 $ 1,368,660 $ 961,861 $ 2,624,898 $ 9,718,979 Non-performing — — — — — — — Amortized cost $ 591,896 $ 2,545,699 $ 1,625,965 $ 1,368,660 $ 961,861 $ 2,624,898 $ 9,718,979 Allowance for credit losses (10,132) (36,008) (48,449) (24,083) (23,702) (30,812) (173,186) Total commercial mortgage loans $ 581,764 $ 2,509,691 $ 1,577,516 $ 1,344,577 $ 938,159 $ 2,594,086 $ 9,545,793 The following table presents loan-to-value ratios for commercial mortgages by year of vintage: Loan-to-Value Ratios for Commercial Mortgages by Year of Vintage 2020 2019 2018 2017 2016 Prior Total (Dollars In Thousands) As of June 30, 2020 Commercial mortgage loans: Greater than 75% $ 31,134 $ 39,776 $ 106,759 $ 52,056 $ 6,648 $ 6,121 $ 242,494 50% - 75% 467,822 1,653,459 1,030,908 1,032,967 794,766 1,400,615 6,380,537 Less than 50% 92,940 852,464 488,298 283,637 160,447 1,218,162 3,095,948 Amortized Cost 591,896 2,545,699 $ 1,625,965 $ 1,368,660 $ 961,861 $ 2,624,898 $ 9,718,979 Allowance for credit losses (10,132) (36,008) (48,449) (24,083) (23,702) (30,812) (173,186) Total commercial mortgage loans $ 581,764 $ 2,509,691 $ 1,577,516 $ 1,344,577 $ 938,159 $ 2,594,086 $ 9,545,793 (1) The loan-to-value ratio compares the current unpaid principal of the loan to the estimated fair value of the underlying property collateralizing the loan. Our weighted average loan-to-value ratio was 54% at both June 30, 2020 and December 31, 2019. The following table presents debt service coverage ratios for commercial mortgages by year of vintage: Debt Service Coverage Ratios for Commercial Mortgages by Year of Vintage 2020 2019 2018 2017 2016 Prior Total (Dollars In Thousands) As of June 30, 2020 Commercial mortgage loans: >1.20x $ 567,319 $ 2,271,803 $ 1,227,831 $ 1,102,631 $ 705,564 $ 2,071,033 $ 7,946,181 1.00x - 1.20x 24,577 272,789 295,053 212,063 196,169 372,406 1,373,057 <1.00x — 1,107 103,081 53,966 60,128 181,459 399,741 Amortized Cost 591,896 2,545,699 1,625,965 1,368,660 961,861 2,624,898 9,718,979 Allowance for credit losses (10,132) (36,008) (48,449) (24,083) (23,702) (30,812) (173,186) Total commercial mortgage loans $ 581,764 $ 2,509,691 $ 1,577,516 $ 1,344,577 $ 938,159 $ 2,594,086 $ 9,545,793 (1) The debt service coverage ratio compares a property’s net operating income to its debt service payments, including principal and interest. Our weighted average debt service coverage ratio was 1.75x at June 30, 2020 and 1.73x at December 31, 2019. |
Schedule of Allowance for Credit Losses on Funded and Unfunded Mortgages | For The (Dollars In Thousands) Allowance for Funded Commercial Mortgage Loan Credit Losses Beginning balance $ 4,884 Cumulative effect adjustment 80,239 Charge offs — Recoveries (1,839) Provision 89,902 Ending balance $ 173,186 Allowance for Unfunded Commercial Mortgage Loan Commitments Credit Losses Beginning balance $ — Cumulative effect adjustment 10,610 Charge offs — Recoveries — Provision 8,940 Ending balance $ 19,550 |
Schedule of an Analysis of the Delinquent Loans | An analysis of the delinquent loans is shown in the following chart: Greater 30-59 Days 60-89 Days than 90 Days Total As of June 30, 2020 Delinquent Delinquent Delinquent Delinquent (Dollars In Thousands) Commercial mortgage loans $ 2,175 $ 2,260 $ — $ 4,435 Number of delinquent commercial mortgage loans 2 1 — 3 As of December 31, 2019 Commercial mortgage loans $ 6,455 $ — $ 710 $ 7,165 Number of delinquent commercial mortgage loans 2 — 3 5 |
Impaired Financing Receivables | Recorded Unpaid Related Average Interest Cash Basis (Dollars In Thousands) As of June 30, 2020 Commercial mortgage loans: With no related allowance recorded $ — $ — $ — $ — $ — $ — With an allowance recorded $ — $ — $ — $ — $ — $ — As of December 31, 2019 Commercial mortgage loans: With no related allowance recorded $ 710 $ 702 $ — $ 237 $ 20 $ 28 With an allowance recorded $ 16,209 $ 16,102 $ 4,884 $ 3,242 $ 841 $ 838 |
Schedule of Commercial Mortgage Loans Modified in Troubled Debt Restructuring | ortgage loans that were modified in a troubled debt restructuring as of June 30, 2020 and December 31, 2019 are shown below. Number of Pre-Modification Post-Modification (Dollars In Thousands) As of June 30, 2020 Troubled debt restructuring: Commercial mortgage loans 1 $ 1,237 $ 1,237 As of December 31, 2019 Troubled debt restructuring: Commercial mortgage loans 2 $ 3,771 $ 3,771 |
DEBT AND OTHER OBLIGATIONS (Tab
DEBT AND OTHER OBLIGATIONS (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Debt Disclosure [Abstract] | |
Non-Recourse Funding Obligations Outstanding | Non-recourse funding obligations outstanding as of June 30, 2020, on a consolidated basis, are shown in the following table: Issuer Outstanding Principal Carrying Value (1) Maturity Year-to-Date (Dollars In Thousands) Golden Gate Captive Insurance Company (2)(3) $ 1,915,000 $ 1,915,000 2039 4.70 % Golden Gate II Captive Insurance Company 329,949 275,579 2052 4.38 % Golden Gate V Vermont Captive Insurance Company (2)(3) 740,000 796,526 2037 5.12 % MONY Life Insurance Company (3) 1,885 2,235 2024 6.19 % Total $ 2,986,834 $ 2,989,340 (1) Carrying values include premiums and discounts and do not represent unpaid principal balances. (2) Obligations are issued to non-consolidated subsidiaries of PLC. These obligations collateralize certain held-to-maturity securities issued by wholly owned subsidiaries of the Company. Changes in Golden Gate and Golden Gate V are non-cash items. (3) Fixed rate obligations. Non-recourse funding obligations outstanding as of December 31, 2019, on a consolidated basis, are shown in the following table: Issuer Outstanding Principal Carrying Value (1) Maturity Year-to-Date (Dollars In Thousands) Golden Gate Captive Insurance Company (2)(3) $ 2,028,000 $ 2,028,000 2039 4.70 % Golden Gate II Captive Insurance Company 329,949 274,955 2052 5.06 % Golden Gate V Vermont Captive Insurance Company (2)(3) 720,000 777,527 2037 5.12 % MONY Life Insurance Company (3) 1,885 2,271 2024 6.19 % Total $ 3,079,834 $ 3,082,753 (1) Carrying values include premiums and discounts and do not represent unpaid principal balances. (2) Obligations are issued to non-consolidated subsidiaries of PLC. These obligations collateralize certain held-to-maturity securities issued by wholly owned subsidiaries of the Company. Changes in Golden Gate and Golden Gate V are non-cash items. (3) Fixed rate obligations. |
Schedule of Collateral Pledged for Repurchase Agreements | The following table provides the fair value of collateral pledged for repurchase agreements, grouped by asset class as of June 30, 2020 and December 31, 2019 : Repurchase Agreements, Securities Lending Transactions, and Repurchase-to-Maturity Transactions Accounted for as Secured Borrowings Remaining Contractual Maturity of the Agreements As of June 30, 2020 (Dollars In Thousands) Overnight and Up to 30 days 30-90 days Greater Than Total Repurchase agreements and repurchase-to-maturity transactions U.S. Treasury and agency securities $ 103,190 $ — $ — $ — $ 103,190 Total repurchase agreements and repurchase-to-maturity transactions 103,190 — — — 103,190 Securities lending transactions Corporate securities 72,576 — — — 72,576 Equity securities 26,566 — — — 26,566 Other government related securities 419 — — — 419 Total securities lending transactions 99,561 — — — 99,561 Total securities $ 202,751 $ — $ — $ — $ 202,751 Repurchase Agreements, Securities Lending Transactions, and Repurchase-to-Maturity Transactions Accounted for as Secured Borrowings Remaining Contractual Maturity of the Agreements As of December 31, 2019 (Dollars In Thousands) Overnight and Up to 30 days 30-90 days Greater Than Total Repurchase agreements and repurchase-to-maturity transactions U.S. Treasury and agency securities $ 282,198 $ — $ — $ — $ 282,198 Total repurchase agreements and repurchase-to-maturity transactions 282,198 — — — 282,198 Securities lending transactions Fixed maturity securities 55,720 — — — 55,720 Equity securities 7,120 — — — 7,120 Total securities lending transactions 62,840 — — — 62,840 Total securities $ 345,038 $ — $ — $ — $ 345,038 |
ACCUMULATED OTHER COMPREHENSI_2
ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Equity [Abstract] | |
Summary of Changes in the Accumulated Balances for Each Component of AOCI | The following tables summarize the changes in the accumulated balances for each component of accumulated other comprehensive income (loss) (“AOCI”) as of June 30, 2020 and December 31, 2019. Changes in Accumulated Other Comprehensive Income (Loss) by Component Unrealized Gains and Losses on Investments (2) Accumulated Total (Dollars In Thousands, Net of Tax) Balance, December 31, 2018 $ (1,404,209) $ (7) $ (1,404,216) Other comprehensive income (loss) before reclassifications 2,833,888 (9,781) 2,824,107 Other comprehensive income (loss) relating to other-than-temporary impaired investments for which a portion has been recognized in earnings (3,574) — (3,574) Amounts reclassified from accumulated other comprehensive income (loss) (1) (10,474) 1,799 (8,675) Balance, December 31, 2019 $ 1,415,631 $ (7,989) $ 1,407,642 Other comprehensive income (loss) before reclassifications 778,919 (2,401) 776,518 Other comprehensive income (loss) on investments for which a credit loss has been recognized in earnings (1,767) — (1,767) Amounts reclassified from accumulated other comprehensive income (loss) (1) 31,966 2,110 34,076 Balance, June 30, 2020 $ 2,224,749 $ (8,280) $ 2,216,469 (1) See Reclassifications Out of Accumulated Other Comprehensive Income (Loss) table below for details. (2) As of June 30, 2020 and December 31, 2019, net unrealized gains reported in AOCI were offset by $(1.3) billion and $(776.9) million, respectively, due to the impact those net unrealized losses would have had on certain of the Company’s insurance assets and liabilities if the net unrealized losses had been recognized in net income. |
Schedule of Reclassifications Amounts Out of AOCI | The following tables summarize the reclassifications amounts out of AOCI for the three and six months ended June 30, 2020 and 2019. Reclassifications Out of Accumulated Other Comprehensive Income (Loss) For The For The Gains (losses) in net income: Affected Line Item in the 2020 2019 2020 2019 (Dollars In Thousands) Derivative instruments Benefits and settlement expenses, net of reinsurance ceded (1) $ (1,467) $ (336) $ (2,671) $ (614) Tax (expense) benefit 308 70 561 128 $ (1,159) $ (266) $ (2,110) $ (486) Unrealized gains and losses on available-for-sale securities Realized gains (losses) - investments $ 2,447 $ 1,062 $ 41,617 $ 6,199 Net credit losses recognized in operations (30,288) — (82,081) — Net impairment losses recognized in operations — (698) — (3,840) Tax (expense) benefit 5,847 (76) 8,498 (495) $ (21,994) $ 288 $ (31,966) $ 1,864 (1) See Note 7, Derivative Financial Instruments for additional information |
OPERATING SEGMENTS (Tables)
OPERATING SEGMENTS (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Segment Reporting [Abstract] | |
Summary of Financial Information for the Company's Segments | The following tables present a summary of results and reconciles pre-tax adjusted operating income (loss) to consolidated income before income tax and net income: For The For The 2020 2019 2020 2019 (Dollars In Thousands) Revenues Retail Life and Annuity $ 553,872 $ 573,256 $ 1,330,516 $ 1,166,010 Acquisitions 797,561 667,031 1,597,162 1,276,973 Stable Value Products 52,539 67,585 89,141 127,164 Asset Protection 69,103 73,070 141,592 146,265 Corporate and Other 31,365 38,151 30,915 67,486 Total revenues $ 1,504,440 $ 1,419,093 $ 3,189,326 $ 2,783,898 Pre-tax Adjusted Operating Income (Loss) Retail Life and Annuity $ 20,035 37,378 7,715 $ 84,390 Acquisitions 97,997 69,810 173,122 144,722 Stable Value Products 16,665 28,106 41,990 50,345 Asset Protection 12,740 8,459 23,367 17,308 Corporate and Other (30,897) (38,906) (71,772) (83,112) Pre-tax adjusted operating income 116,540 104,847 174,422 213,653 Realized gains (losses) and adjustments 89,301 80,876 122,892 148,797 Income before income tax 205,841 185,723 297,314 362,450 Income tax expense (40,736) (31,309) (58,244) (65,938) Net income $ 165,105 $ 154,414 $ 239,070 $ 296,512 Pre-tax adjusted operating income $ 116,540 $ 104,847 $ 174,422 $ 213,653 Adjusted operating income tax expense (21,982) (14,325) (32,436) (34,691) After-tax adjusted operating income 94,558 90,522 141,986 178,962 Realized gains (losses) and adjustments 89,301 80,876 122,892 148,797 Income tax (expense) benefit on adjustments (18,754) (16,984) (25,808) (31,247) Net income $ 165,105 $ 154,414 $ 239,070 $ 296,512 Realized gains (losses) and adjustments: Derivative financial instruments $ (160,578) $ (55,266) $ 77,562 $ (128,574) Investments 180,680 98,811 (95,571) 225,197 Less: related amortization (1) (55,952) (26,840) (114,378) (31,201) Less: VA GLWB economic cost (13,247) (10,491) (26,523) (20,973) Total realized gains (losses) and adjustments $ 89,301 $ 80,876 $ 122,892 $ 148,797 (1) Includes amortization of DAC/VOBA and benefits and settlement expenses that are impacted by realized gains (losses). For The For The 2020 2019 2020 2019 (Dollars In Thousands) Net investment income Retail Life and Annuity $ 246,929 $ 231,570 $ 499,348 $ 462,468 Acquisitions 413,346 355,761 829,773 680,272 Stable Value Products 52,399 67,122 115,069 124,743 Asset Protection 6,491 7,049 13,706 13,851 Corporate and Other 21,270 23,692 35,519 45,282 Total net investment income $ 740,435 $ 685,194 $ 1,493,415 $ 1,326,616 Amortization of DAC and VOBA Retail Life and Annuity $ 6,752 5,246 (7,004) $ 20,194 Acquisitions (42,355) 12,037 9,606 10,961 Stable Value Products 770 854 1,567 1,727 Asset Protection 16,325 15,700 31,286 31,328 Corporate and Other — — — — Total amortization of DAC and VOBA $ (18,508) $ 33,837 $ 35,455 64,210 Operating Segment Assets As of June 30, 2020 (Dollars In Thousands) Retail Life & Annuity Acquisitions Stable Value Investments and other assets $ 38,003,155 $ 54,020,299 $ 5,858,557 DAC and VOBA 2,503,881 885,472 5,166 Other intangibles 384,423 34,668 6,389 Goodwill 558,501 23,862 113,924 Total assets $ 41,449,960 $ 54,964,301 $ 5,984,036 Asset Corporate Total Investments and other assets $ 862,780 $ 19,288,486 $ 118,033,277 DAC and VOBA 167,478 — 3,561,997 Other intangibles 106,690 32,945 565,115 Goodwill 129,224 — 825,511 Total assets $ 1,266,172 $ 19,321,431 $ 122,985,900 Operating Segment Assets As of December 31, 2019 (Dollars In Thousands) Retail Life & Annuity Acquisitions Stable Value Investments and other assets $ 37,448,239 $ 54,074,450 $ 5,317,885 DAC and VOBA 2,416,616 924,090 5,221 Other intangibles 401,178 36,321 6,722 Goodwill 558,501 23,862 113,924 Total assets $ 40,824,534 $ 55,058,723 $ 5,443,752 Asset Corporate Total Investments and other assets $ 878,386 $ 17,830,217 $ 115,549,177 DAC and VOBA 173,628 — 3,519,555 Other intangibles 112,032 27,173 583,426 Goodwill 129,224 — 825,511 Total assets $ 1,293,270 $ 17,857,390 $ 120,477,669 |
SUMMARY OF SIGNIFICANT ACCOUN_3
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - Narrative (Details) - USD ($) | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||
Jun. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | Mar. 31, 2020 | Jan. 01, 2020 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||||||
Goodwill | $ 825,511,000 | $ 825,511,000 | $ 825,511,000 | |||||
Reinsurance allowance, allowance for credit loss | 102,673,000 | 102,673,000 | 0 | |||||
Reinsurance recoverable, write-offs | 0 | |||||||
Reinsurance recoveries | 0 | |||||||
Gross reinsurance receivables | 4,700,000,000 | 4,700,000,000 | ||||||
Cumulative effect adjustment resulting in a decrease in retained earnings | $ (12,116,623,000) | (12,116,623,000) | $ (11,206,826,000) | $ (9,669,087,000) | $ (10,277,047,000) | $ (8,269,742,000) | $ (7,042,788,000) | |
Accounting Standards Update [Extensible List] | us-gaap:AccountingStandardsUpdate201613Member | |||||||
Reinsurance Receivables | ||||||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||||||
Concentration risk percentage | 11.00% | |||||||
Reinsurance Receivables | AM Best Rating | ||||||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||||||
Concentration risk percentage | 69.00% | |||||||
Reinsurance Receivables | AM Best, A+ Rating | ||||||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||||||
Concentration risk percentage | 77.00% | |||||||
Reinsurance Receivables | AM Best, A Rating | ||||||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||||||
Concentration risk percentage | 14.00% | |||||||
Reinsurance Receivables | AM Best, A- Rating | ||||||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||||||
Concentration risk percentage | 9.00% | |||||||
Retained Earnings | ||||||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||||||
Cumulative effect adjustment resulting in a decrease in retained earnings | $ (1,634,615,000) | $ (1,634,615,000) | $ (1,533,645,000) | $ (1,469,510,000) | $ (1,277,173,000) | $ (1,122,759,000) | (1,031,465,000) | |
Cumulative Effect Adjustment | ||||||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||||||
Reinsurance allowance, allowance for credit loss | $ 96,000,000 | |||||||
Cumulative effect adjustment resulting in a decrease in retained earnings | 138,100,000 | 50,804,000 | ||||||
Cumulative Effect Adjustment | Retained Earnings | ||||||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||||||
Cumulative effect adjustment resulting in a decrease in retained earnings | $ 138,100,000 | $ 138,100,000 | $ 50,804,000 |
SIGNIFICANT TRANSACTIONS - Narr
SIGNIFICANT TRANSACTIONS - Narrative (Details) - Individual Life Business $ in Millions | Jun. 03, 2019USD ($) |
Business Combination Segment Allocation [Line Items] | |
Coinsurance basis percentage | 100.00% |
Ceding commissions for reinsurance | $ 765.7 |
Statutory reserves resulting from reinsurance business acquired, estimate | $ 20,400 |
SIGNIFICANT TRANSACTIONS - Purc
SIGNIFICANT TRANSACTIONS - Purchase Consideration (Details) - Individual Life Business - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2019 | Jun. 30, 2019 | Jun. 01, 2019 | |
Assets | |||
Fixed maturities | $ 8,697,966 | ||
Commercial mortgage loans | 1,386,228 | ||
Policy loans | 44,002 | ||
Other long-term investments | 1,521,965 | ||
Total investments | 11,650,161 | ||
Cash | 34,835 | ||
Accrued investment income | 101,452 | ||
Reinsurance receivables | 62 | ||
Accounts and premiums receivable | 1,642 | ||
Value of business acquired | 535,421 | ||
Other intangibles | 21,300 | ||
Other assets | 5,525 | ||
Assets related to separate accounts | 9,583,217 | ||
Total assets | 21,933,615 | ||
Liabilities | |||
Future policy benefits and claims | 11,022,177 | ||
Annuity account balances | 220,064 | ||
Other policyholders’ funds | 220,147 | ||
Other liabilities | 75,367 | ||
Liabilities related to separate accounts | 9,583,217 | ||
Total liabilities | 21,120,972 | ||
NET ASSETS ACQUIRED | $ 812,643 | ||
Pro Forma [Abstract] | |||
Revenue | $ 1,548,668 | $ 3,203,698 | |
Net income | $ 124,161 | $ 263,490 |
MONY CLOSED BLOCK OF BUSINESS -
MONY CLOSED BLOCK OF BUSINESS - Summary of Financial Information of the Policyholder Dividend Obligation (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2020 | Dec. 31, 2019 | Jun. 30, 2019 | Dec. 31, 2018 | |
Closed block liabilities | ||||
Future policy benefits, policyholders’ account balances and other policyholder liabilities | $ 5,488,114 | $ 5,836,815 | ||
Policyholder dividend obligation | 431,327 | 278,505 | $ 173,147 | $ 0 |
Other liabilities | 6,952 | 11,247 | ||
Total closed block liabilities | 5,926,393 | 6,126,567 | ||
Closed block assets | ||||
Fixed maturities, available-for-sale, at fair value | 4,775,877 | 4,682,731 | ||
Commercial mortgage loans | 70,151 | 72,829 | ||
Policy loans | 641,872 | 640,134 | ||
Cash and other invested assets | 49,784 | 44,877 | ||
Other assets | 95,613 | 107,177 | ||
Total closed block assets | 5,633,297 | 5,547,748 | ||
Excess of reported closed block liabilities over closed block assets | 293,096 | 578,819 | ||
Portion of above representing accumulated other comprehensive income: | ||||
Net unrealized gains (losses) - investments/derivatives net of policyholder dividend obligation: $(333,775) and $167,285; and net of income tax: $(70,093) and $(35,130) | 0 | 0 | ||
Future earnings to be recognized from closed block assets and closed block liabilities | 293,096 | 578,819 | ||
Policyholder dividend obligations | (333,775) | 167,285 | ||
Deferred income tax expense (benefit) | $ (70,093) | $ (35,130) |
MONY CLOSED BLOCK OF BUSINESS_2
MONY CLOSED BLOCK OF BUSINESS - Schedule of Reconciliation of the Policyholder Dividend Obligation (Details) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2020 | Jun. 30, 2019 | |
Movement in Closed Block Dividend Obligation [Roll Forward] | ||
Policyholder dividend obligation, beginning balance | $ 278,505 | $ 0 |
Applicable to net revenue (losses) | (13,668) | (15,953) |
Change in net unrealized gains (losses) - investments/derivatives allocated to the policyholder dividend obligation | 166,490 | 189,100 |
Policyholder dividend obligation, ending balance | $ 431,327 | $ 173,147 |
MONY CLOSED BLOCK OF BUSINESS_3
MONY CLOSED BLOCK OF BUSINESS - Schedule of Closed Block Revenues and Expenses (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Revenues | ||||
Premiums and other income | $ 37,926 | $ 40,105 | $ 73,260 | $ 77,549 |
Net investment income | 51,038 | 51,663 | 102,053 | 102,791 |
Net gains (losses) - investments/derivatives | (859) | 43 | (784) | (411) |
Total revenues | 88,105 | 91,811 | 174,529 | 179,929 |
Benefits and other deductions | ||||
Benefits and settlement expenses | 84,084 | 87,213 | 161,677 | 165,879 |
Other operating expenses | 270 | 247 | 594 | 606 |
Total benefits and other deductions | 84,354 | 87,460 | 162,271 | 166,485 |
Net revenues before income taxes | 3,751 | 4,351 | 12,258 | 13,444 |
Income tax expense | 385 | 913 | 2,153 | 2,823 |
Net revenues | $ 3,366 | $ 3,438 | $ 10,105 | $ 10,621 |
INVESTMENT OPERATIONS - Summary
INVESTMENT OPERATIONS - Summary of Net Realized Investment Gains (Losses) for All Other Investments (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Fixed maturities | $ 2,447 | $ 1,062 | $ 41,617 | $ 6,199 |
Equity securities | 25,442 | 7,540 | (17,570) | 38,175 |
Modco trading portfolios | 187,505 | 89,571 | 63,305 | 184,473 |
Net credit losses recognized in earnings | (30,288) | (82,081) | ||
Net impairment losses recognized in operations | (698) | (3,840) | ||
Commercial mortgage loans | (3,686) | 1,208 | (99,082) | 140 |
Other investments | (740) | 128 | (1,760) | 50 |
Realized gains (losses) - investments | 180,680 | 98,811 | (95,571) | 225,197 |
Realized gains (losses) - derivatives | (160,578) | (55,266) | 77,562 | (128,574) |
Realized gains (losses) - investments/derivatives | $ 20,102 | $ 43,545 | $ (18,009) | $ 96,623 |
INVESTMENT OPERATIONS - Schedul
INVESTMENT OPERATIONS - Schedule of Gross Realized Gains (Losses) on Investments Available-for-Sale (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Gross realized gains | $ 6,471 | $ 6,776 | $ 46,439 | $ 14,646 |
Gross realized losses: | ||||
Credit losses | (30,288) | (82,081) | ||
Impairment losses | (698) | (3,840) | ||
Other realized losses | $ (4,024) | $ (5,714) | $ (4,822) | $ (8,447) |
INVESTMENT OPERATIONS - Sched_2
INVESTMENT OPERATIONS - Schedule of Fair Value (Proceeds) and Gains/Losses Realized on Securities Sold in an Unrealized Gain/Loss Position (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Securities in an unrealized gain position: | ||||
Fair value proceeds | $ 431,876 | $ 484,587 | $ 936,213 | $ 1,133,478 |
Gains realized | 6,471 | 6,776 | 46,439 | 14,646 |
Securities in an unrealized loss position: | ||||
Fair value proceeds | 24,814 | 159,626 | 24,834 | 330,928 |
Losses realized | $ (4,024) | $ (5,714) | $ (4,822) | $ (8,447) |
INVESTMENT OPERATIONS - Sched_3
INVESTMENT OPERATIONS - Schedule of Realized Gain (Losses) on Equity Securities Sold (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Gains (losses) recognized during the period on equity securities still held | $ 25,441 | $ 7,347 | $ (17,690) | $ 37,922 |
Net gains recognized on equity securities sold during the period | 1 | 193 | 120 | 253 |
Net gains (losses) recognized during the period on equity securities | $ 25,442 | $ 7,540 | $ (17,570) | $ 38,175 |
INVESTMENT OPERATIONS - Sched_4
INVESTMENT OPERATIONS - Schedule of Amortized Cost and Fair Value of the Company's Investments Classified as Available-for-Sale (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 |
Schedule of Investments [Line Items] | |||
Amortized Cost | $ 62,741,533 | $ 61,970,744 | |
Gross Unrealized Gains | 5,019,654 | 3,100,992 | |
Gross Unrealized Losses | (518,856) | (325,660) | |
Allowance for Expected Credit Losses | (82,081) | ||
Fair Value | 67,160,250 | 64,746,076 | |
Residential mortgage-backed securities | |||
Schedule of Investments [Line Items] | |||
Amortized Cost | 6,783,626 | 5,812,170 | |
Gross Unrealized Gains | 231,006 | 125,493 | |
Gross Unrealized Losses | (503) | (6,322) | |
Allowance for Expected Credit Losses | 0 | ||
Fair Value | 7,014,129 | 5,931,341 | |
Commercial mortgage-backed securities | |||
Schedule of Investments [Line Items] | |||
Amortized Cost | 2,482,700 | 2,588,575 | |
Gross Unrealized Gains | 87,882 | 54,385 | |
Gross Unrealized Losses | (29,100) | (3,292) | |
Allowance for Expected Credit Losses | 0 | ||
Fair Value | 2,541,482 | 2,639,668 | |
Other asset-backed securities | |||
Schedule of Investments [Line Items] | |||
Amortized Cost | 1,704,674 | 1,764,120 | |
Gross Unrealized Gains | 26,109 | 32,041 | |
Gross Unrealized Losses | (28,104) | (14,926) | |
Allowance for Expected Credit Losses | (655) | $ (658) | 0 |
Fair Value | 1,702,024 | 1,781,235 | |
U.S. government-related securities | |||
Schedule of Investments [Line Items] | |||
Amortized Cost | 1,145,220 | 1,032,048 | |
Gross Unrealized Gains | 29,542 | 5,664 | |
Gross Unrealized Losses | (844) | (5,316) | |
Allowance for Expected Credit Losses | 0 | ||
Fair Value | 1,173,918 | 1,032,396 | |
Other government-related securities | |||
Schedule of Investments [Line Items] | |||
Amortized Cost | 566,961 | 548,136 | |
Gross Unrealized Gains | 63,570 | 51,024 | |
Gross Unrealized Losses | (4,361) | (1,991) | |
Allowance for Expected Credit Losses | 0 | ||
Fair Value | 626,170 | 597,169 | |
States, municipals, and political subdivisions | |||
Schedule of Investments [Line Items] | |||
Amortized Cost | 4,143,375 | 4,415,008 | |
Gross Unrealized Gains | 424,024 | 225,072 | |
Gross Unrealized Losses | (5,033) | (1,230) | |
Allowance for Expected Credit Losses | 0 | ||
Fair Value | 4,562,366 | 4,638,850 | |
Corporate securities | |||
Schedule of Investments [Line Items] | |||
Amortized Cost | 44,810,937 | 44,493,799 | |
Gross Unrealized Gains | 4,157,060 | 2,603,636 | |
Gross Unrealized Losses | (450,052) | (288,334) | |
Allowance for Expected Credit Losses | (81,426) | (51,135) | 0 |
Fair Value | 48,436,519 | 46,809,101 | |
Redeemable preferred stocks | |||
Schedule of Investments [Line Items] | |||
Amortized Cost | 66,071 | 87,237 | |
Gross Unrealized Gains | 461 | 3,677 | |
Gross Unrealized Losses | (859) | (4,249) | |
Allowance for Expected Credit Losses | 0 | ||
Fair Value | 65,673 | 86,665 | |
Fixed maturities | |||
Schedule of Investments [Line Items] | |||
Amortized Cost | 61,703,564 | 60,741,093 | |
Gross Unrealized Gains | 5,019,654 | 3,100,992 | |
Gross Unrealized Losses | (518,856) | (325,660) | |
Allowance for Expected Credit Losses | (82,081) | $ (51,793) | 0 |
Fair Value | 66,122,281 | 63,516,425 | |
Short-term investments | |||
Schedule of Investments [Line Items] | |||
Amortized Cost | 1,037,969 | 1,229,651 | |
Gross Unrealized Gains | 0 | 0 | |
Gross Unrealized Losses | 0 | 0 | |
Allowance for Expected Credit Losses | 0 | ||
Fair Value | $ 1,037,969 | $ 1,229,651 |
INVESTMENT OPERATIONS - Sched_5
INVESTMENT OPERATIONS - Schedule of Fair Value of Trading Securities (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Debt and Equity Securities, FV-NI [Line Items] | ||
Fixed maturity securities - trading | $ 2,748,839 | $ 2,625,436 |
Residential mortgage-backed securities | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Fixed maturity securities - trading | 192,944 | 209,521 |
Commercial mortgage-backed securities | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Fixed maturity securities - trading | 189,995 | 201,284 |
Other asset-backed securities | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Fixed maturity securities - trading | 144,248 | 143,361 |
U.S. government-related securities | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Fixed maturity securities - trading | 42,677 | 47,067 |
Other government-related securities | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Fixed maturity securities - trading | 29,210 | 28,775 |
States, municipals, and political subdivisions | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Fixed maturity securities - trading | 289,477 | 293,791 |
Corporate securities | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Fixed maturity securities - trading | 1,757,339 | 1,590,936 |
Redeemable preferred stocks | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Fixed maturity securities - trading | 11,933 | 12,832 |
Fixed maturities | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Fixed maturity securities - trading | 2,657,823 | 2,527,567 |
Equity securities | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Fixed maturity securities - trading | 15,724 | 6,656 |
Short-term investments | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Fixed maturity securities - trading | $ 75,292 | $ 91,213 |
INVESTMENT OPERATIONS - Sched_6
INVESTMENT OPERATIONS - Schedule of Amortized Cost and Fair Value of Available-for-Sale and Held-to-Maturity Fixed Maturities, by Expected Maturity (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Available-for-sale, Amortized Cost | ||
Amortized Cost | $ 62,741,533 | $ 61,970,744 |
Available-for-sale, Fair Value | ||
Total | 67,160,250 | 64,746,076 |
Held-to-maturity, Fair Value | ||
Fair Value | 2,947,350 | 3,025,790 |
Fixed maturities | ||
Available-for-sale, Amortized Cost | ||
Due in one year or less | 2,208,672 | |
Due after one year through five years | 11,090,362 | |
Due after five years through ten years | 14,580,642 | |
Due after ten years | 33,823,888 | |
Amortized Cost | 61,703,564 | 60,741,093 |
Available-for-sale, Fair Value | ||
Due in one year or less | 2,206,490 | |
Due after one year through five years | 11,494,899 | |
Due after five years through ten years | 15,561,473 | |
Due after ten years | 36,859,419 | |
Total | 66,122,281 | 63,516,425 |
Held-to-maturity, Amortized Cost | ||
Due in one year or less | 0 | |
Due after one year through five years | 0 | |
Due after five years through ten years | 0 | |
Due after ten years | 2,728,529 | |
Amortized Cost | 2,728,529 | 2,823,881 |
Held-to-maturity, Fair Value | ||
Due in one year or less | 0 | |
Due after one year through five years | 0 | |
Due after five years through ten years | 0 | |
Due after ten years | 2,947,350 | |
Fair Value | $ 2,947,350 | $ 3,025,790 |
INVESTMENT OPERATIONS - Sched_7
INVESTMENT OPERATIONS - Schedule of Available-for-Sale Credit Losses on Fixed Maturities With Credit Losses (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended |
Jun. 30, 2020 | Jun. 30, 2020 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | ||
Additions for securities for which allowance was not previously recorded | $ 30,288 | $ 82,081 |
Ending Balance | 82,081 | 82,081 |
Corporate securities | ||
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | ||
Beginning Balance | 51,135 | 0 |
Additions for securities for which allowance was not previously recorded | 11,307 | 62,442 |
Adjustments on previously recorded allowances due to change in expected cash flows | 18,984 | 18,984 |
Reductions on previously recorded allowances due to disposal of security in the current period | 0 | 0 |
Ending Balance | 81,426 | 81,426 |
Other asset-backed securities | ||
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | ||
Beginning Balance | 658 | 0 |
Additions for securities for which allowance was not previously recorded | 0 | 658 |
Adjustments on previously recorded allowances due to change in expected cash flows | 0 | 0 |
Reductions on previously recorded allowances due to disposal of security in the current period | (3) | (3) |
Ending Balance | 655 | 655 |
Fixed maturities | ||
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | ||
Beginning Balance | 51,793 | 0 |
Additions for securities for which allowance was not previously recorded | 11,307 | 63,100 |
Adjustments on previously recorded allowances due to change in expected cash flows | 18,984 | 18,984 |
Reductions on previously recorded allowances due to disposal of security in the current period | (3) | (3) |
Ending Balance | $ 82,081 | $ 82,081 |
INVESTMENT OPERATIONS - Sched_8
INVESTMENT OPERATIONS - Schedule of Investments' Gross Unrealized Losses and Fair Value of the Company's Investments that are Not Deemed to be Other-than-Temporarily Impaired (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Fair Value | ||
Less Than 12 Months | $ 5,351,833 | $ 5,345,197 |
12 Months or More | 1,511,747 | 3,826,458 |
Total | 6,863,580 | 9,171,655 |
Unrealized Loss | ||
Less Than 12 Months | (281,471) | (85,800) |
12 Months or More | (237,385) | (239,860) |
Total | (518,856) | (325,660) |
Residential mortgage-backed securities | ||
Fair Value | ||
Less Than 12 Months | 113,660 | 851,333 |
12 Months or More | 2,098 | 220,843 |
Total | 115,758 | 1,072,176 |
Unrealized Loss | ||
Less Than 12 Months | (498) | (4,231) |
12 Months or More | (5) | (2,091) |
Total | (503) | (6,322) |
Commercial mortgage-backed securities | ||
Fair Value | ||
Less Than 12 Months | 412,551 | 371,945 |
12 Months or More | 31,248 | 115,566 |
Total | 443,799 | 487,511 |
Unrealized Loss | ||
Less Than 12 Months | (27,826) | (1,721) |
12 Months or More | (1,274) | (1,571) |
Total | (29,100) | (3,292) |
Other asset-backed securities | ||
Fair Value | ||
Less Than 12 Months | 566,551 | 482,547 |
12 Months or More | 282,432 | 214,058 |
Total | 848,983 | 696,605 |
Unrealized Loss | ||
Less Than 12 Months | (12,605) | (6,516) |
12 Months or More | (15,499) | (8,410) |
Total | (28,104) | (14,926) |
U.S. government-related securities | ||
Fair Value | ||
Less Than 12 Months | 134,265 | 383,451 |
12 Months or More | 1,334 | 353,517 |
Total | 135,599 | 736,968 |
Unrealized Loss | ||
Less Than 12 Months | (815) | (3,373) |
12 Months or More | (29) | (1,943) |
Total | (844) | (5,316) |
Other government-related securities | ||
Fair Value | ||
Less Than 12 Months | 22,576 | 22,962 |
12 Months or More | 6,358 | 6,230 |
Total | 28,934 | 29,192 |
Unrealized Loss | ||
Less Than 12 Months | (3,176) | (669) |
12 Months or More | (1,185) | (1,322) |
Total | (4,361) | (1,991) |
States, municipals, and political subdivisions | ||
Fair Value | ||
Less Than 12 Months | 106,083 | 56,470 |
12 Months or More | 5,965 | 12,907 |
Total | 112,048 | 69,377 |
Unrealized Loss | ||
Less Than 12 Months | (4,956) | (1,001) |
12 Months or More | (77) | (229) |
Total | (5,033) | (1,230) |
Corporate securities | ||
Fair Value | ||
Less Than 12 Months | 3,976,043 | 3,176,489 |
12 Months or More | 1,182,312 | 2,886,648 |
Total | 5,158,355 | 6,063,137 |
Unrealized Loss | ||
Less Than 12 Months | (230,736) | (68,289) |
12 Months or More | (219,316) | (220,045) |
Total | (450,052) | (288,334) |
Redeemable preferred stocks | ||
Fair Value | ||
Less Than 12 Months | 20,104 | 0 |
12 Months or More | 0 | 16,689 |
Total | 20,104 | 16,689 |
Unrealized Loss | ||
Less Than 12 Months | (859) | 0 |
12 Months or More | 0 | (4,249) |
Total | $ (859) | $ (4,249) |
INVESTMENT OPERATIONS - Additio
INVESTMENT OPERATIONS - Additional Information (Details) $ in Thousands | 6 Months Ended | |
Jun. 30, 2020USD ($)position | Dec. 31, 2019USD ($) | |
Schedule of Investments [Line Items] | ||
Unrealized loss, greater than 12 months | $ 237,385 | $ 239,860 |
Total positions that were in an unrealized loss position | position | 798 | |
Fixed maturity securities - available-for-sale | $ 67,160,250 | 64,746,076 |
Available-for-sale, amortized cost | 62,741,533 | 61,970,744 |
Fixed maturity securities - trading | 2,748,839 | 2,625,436 |
Below investment grade | ||
Schedule of Investments [Line Items] | ||
Fixed maturity securities - available-for-sale | 2,000,000 | |
Available-for-sale, amortized cost | 2,300,000 | |
Fixed maturity securities - trading | 127,200 | |
Securities not publicly traded | 296,400 | |
Residential mortgage-backed securities | ||
Schedule of Investments [Line Items] | ||
Unrealized loss, greater than 12 months | 5 | 2,091 |
Fixed maturity securities - available-for-sale | 7,014,129 | 5,931,341 |
Available-for-sale, amortized cost | 6,783,626 | 5,812,170 |
Fixed maturity securities - trading | 192,944 | 209,521 |
Commercial mortgage-backed securities | ||
Schedule of Investments [Line Items] | ||
Unrealized loss, greater than 12 months | 1,274 | 1,571 |
Fixed maturity securities - available-for-sale | 2,541,482 | 2,639,668 |
Available-for-sale, amortized cost | 2,482,700 | 2,588,575 |
Fixed maturity securities - trading | 189,995 | 201,284 |
Other asset-backed securities | ||
Schedule of Investments [Line Items] | ||
Unrealized loss, greater than 12 months | 15,499 | 8,410 |
Unrealized losses, greater than twelve months, credit related | $ 700 | |
Underlying collateral percentage | 9700.00% | |
Fixed maturity securities - available-for-sale | $ 1,702,024 | 1,781,235 |
Available-for-sale, amortized cost | 1,704,674 | 1,764,120 |
Fixed maturity securities - trading | 144,248 | 143,361 |
U.S. government-related securities | ||
Schedule of Investments [Line Items] | ||
Unrealized loss, greater than 12 months | 29 | 1,943 |
Fixed maturity securities - available-for-sale | 1,173,918 | 1,032,396 |
Available-for-sale, amortized cost | 1,145,220 | 1,032,048 |
Fixed maturity securities - trading | 42,677 | 47,067 |
Other government-related securities | ||
Schedule of Investments [Line Items] | ||
Unrealized loss, greater than 12 months | 1,185 | 1,322 |
Fixed maturity securities - available-for-sale | 626,170 | 597,169 |
Available-for-sale, amortized cost | 566,961 | 548,136 |
Fixed maturity securities - trading | 29,210 | 28,775 |
States, municipals, and political subdivisions | ||
Schedule of Investments [Line Items] | ||
Unrealized loss, greater than 12 months | 77 | 229 |
Fixed maturity securities - available-for-sale | 4,562,366 | 4,638,850 |
Available-for-sale, amortized cost | 4,143,375 | 4,415,008 |
Fixed maturity securities - trading | 289,477 | 293,791 |
Corporate securities | ||
Schedule of Investments [Line Items] | ||
Unrealized loss, greater than 12 months | 219,316 | 220,045 |
Unrealized losses, greater than twelve months, credit related | 81,400 | |
Fixed maturity securities - available-for-sale | 48,436,519 | 46,809,101 |
Available-for-sale, amortized cost | 44,810,937 | 44,493,799 |
Fixed maturity securities - trading | 1,757,339 | 1,590,936 |
Fixed maturities | ||
Schedule of Investments [Line Items] | ||
Fixed maturity securities - available-for-sale | 66,122,281 | 63,516,425 |
Available-for-sale, amortized cost | 61,703,564 | 60,741,093 |
Fixed maturity securities - trading | 2,657,823 | 2,527,567 |
Gross unrecognized holding gains | 218,821 | 201,909 |
Gross unrecognized holding losses | $ 0 | $ 0 |
INVESTMENT OPERATIONS - Summa_2
INVESTMENT OPERATIONS - Summary of Change in Unrealized Gains (Losses), Net of Income Tax, on Fixed Maturity and Equity Securities, Classified as Available-for-Sale (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Fixed maturities | ||||
Investment Holdings [Line Items] | ||||
Change in unrealized gains (losses), net of income tax | $ 3,568,509 | $ 1,536,447 | $ 1,363,118 | $ 3,088,119 |
INVESTMENT OPERATIONS - Sched_9
INVESTMENT OPERATIONS - Schedule of Amortized Cost and Fair Value of the Company's Investments Classified as Held-to-Maturity (Details) - USD ($) | Jun. 30, 2020 | Dec. 31, 2019 | Jun. 30, 2019 |
Schedule of Investments [Line Items] | |||
Fair Value | $ 2,947,350,000 | $ 3,025,790,000 | |
Allowance for credit losses on held-to-maturity securities | 0 | $ 0 | |
Fixed maturities | |||
Schedule of Investments [Line Items] | |||
Amortized Cost | 2,728,529,000 | 2,823,881,000 | |
Gross Unrecognized Holding Gains | 218,821,000 | 201,909,000 | |
Gross Unrecognized Holding Losses | 0 | 0 | |
Fair Value | 2,947,350,000 | 3,025,790,000 | |
Fixed maturities | Red Mountain, LLC | |||
Schedule of Investments [Line Items] | |||
Amortized Cost | 813,529,000 | 795,881,000 | |
Gross Unrecognized Holding Gains | 69,478,000 | 81,022,000 | |
Gross Unrecognized Holding Losses | 0 | 0 | |
Fair Value | 883,007,000 | 876,903,000 | |
Fixed maturities | Steel City, LLC | |||
Schedule of Investments [Line Items] | |||
Amortized Cost | 1,915,000,000 | 2,028,000,000 | |
Gross Unrecognized Holding Gains | 149,343,000 | 120,887,000 | |
Gross Unrecognized Holding Losses | 0 | 0 | |
Fair Value | $ 2,064,343,000 | $ 2,148,887,000 |
FAIR VALUE OF FINANCIAL INSTR_3
FAIR VALUE OF FINANCIAL INSTRUMENTS - Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Assets: | ||
Fixed maturity securities - available-for-sale | $ 67,160,250 | $ 64,746,076 |
Fixed maturity securities - trading | 2,748,839 | 2,625,436 |
Total fixed maturity securities | 68,780,104 | 66,043,992 |
Equity securities | 513,181 | 553,720 |
Other long-term investments | 1,172,964 | 995,493 |
Short-term investments | 1,113,261 | 1,320,864 |
Assets related to separate accounts | ||
Variable annuity | 11,394,911 | 12,730,090 |
Variable universal life | 1,087,327 | 1,135,666 |
Fixed maturities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 66,122,281 | 63,516,425 |
Fixed maturity securities - trading | 2,657,823 | 2,527,567 |
Residential mortgage-backed securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 7,014,129 | 5,931,341 |
Fixed maturity securities - trading | 192,944 | 209,521 |
Commercial mortgage-backed securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 2,541,482 | 2,639,668 |
Fixed maturity securities - trading | 189,995 | 201,284 |
Other asset-backed securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 1,702,024 | 1,781,235 |
Fixed maturity securities - trading | 144,248 | 143,361 |
States, municipals, and political subdivisions | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 4,562,366 | 4,638,850 |
Fixed maturity securities - trading | 289,477 | 293,791 |
Other government-related securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 626,170 | 597,169 |
Fixed maturity securities - trading | 29,210 | 28,775 |
Corporate securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 48,436,519 | 46,809,101 |
Fixed maturity securities - trading | 1,757,339 | 1,590,936 |
Level 3 | Commercial mortgage-backed securities | ||
Assets: | ||
Total investments | 9,971 | 10,029 |
Level 3 | Other asset-backed securities | ||
Assets: | ||
Total investments | 430,964 | 421,219 |
Level 3 | Corporate securities | ||
Assets: | ||
Total investments | 1,365,963 | 1,373,714 |
Measured at fair value on a recurring basis | ||
Assets: | ||
Total fixed maturity securities | 68,780,104 | 66,043,992 |
Equity securities | 513,181 | 553,720 |
Other long-term investments | 1,172,964 | 995,493 |
Short-term investments | 1,113,261 | 1,320,864 |
Total investments | 71,579,510 | 68,914,069 |
Cash | 445,447 | 171,752 |
Assets related to separate accounts | ||
Variable annuity | 11,394,911 | 12,730,090 |
Variable universal life | 1,087,327 | 1,135,666 |
Total assets measured at fair value on a recurring basis | 84,507,195 | 82,951,577 |
Liabilities: | ||
Annuity account balances | 68,064 | 69,728 |
Other liabilities | 2,155,762 | 1,547,178 |
Total liabilities measured at fair value on a recurring basis | 2,223,826 | 1,616,906 |
Measured at fair value on a recurring basis | Fixed maturities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 66,122,281 | 63,516,425 |
Fixed maturity securities - trading | 2,657,823 | 2,527,567 |
Measured at fair value on a recurring basis | Residential mortgage-backed securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 7,014,129 | 5,931,341 |
Fixed maturity securities - trading | 192,944 | 209,521 |
Measured at fair value on a recurring basis | Commercial mortgage-backed securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 2,541,482 | 2,639,668 |
Fixed maturity securities - trading | 189,995 | 201,284 |
Measured at fair value on a recurring basis | Other asset-backed securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 1,702,025 | 1,781,235 |
Fixed maturity securities - trading | 144,248 | 143,361 |
Measured at fair value on a recurring basis | U.S. government-related securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 1,173,918 | 1,032,396 |
Fixed maturity securities - trading | 42,677 | 47,067 |
Measured at fair value on a recurring basis | States, municipals, and political subdivisions | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 4,562,366 | 4,638,850 |
Fixed maturity securities - trading | 289,477 | 293,791 |
Measured at fair value on a recurring basis | Other government-related securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 626,170 | 597,169 |
Fixed maturity securities - trading | 29,210 | 28,775 |
Measured at fair value on a recurring basis | Corporate securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 48,436,518 | 46,809,101 |
Fixed maturity securities - trading | 1,757,339 | 1,590,936 |
Measured at fair value on a recurring basis | Redeemable preferred stocks | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 65,673 | 86,665 |
Fixed maturity securities - trading | 11,933 | 12,832 |
Measured at fair value on a recurring basis | Level 1 | ||
Assets: | ||
Total fixed maturity securities | 773,131 | 770,199 |
Equity securities | 434,568 | 480,750 |
Other long-term investments | 81,357 | 52,225 |
Short-term investments | 1,010,740 | 1,255,384 |
Total investments | 2,299,796 | 2,558,558 |
Cash | 445,447 | 171,752 |
Assets related to separate accounts | ||
Variable annuity | 11,394,911 | 12,730,090 |
Variable universal life | 1,087,327 | 1,135,666 |
Total assets measured at fair value on a recurring basis | 15,227,481 | 16,596,066 |
Liabilities: | ||
Annuity account balances | 0 | 0 |
Other liabilities | 6,417 | 19,561 |
Total liabilities measured at fair value on a recurring basis | 6,417 | 19,561 |
Measured at fair value on a recurring basis | Level 1 | Fixed maturities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 735,165 | 732,557 |
Fixed maturity securities - trading | 37,966 | 37,642 |
Measured at fair value on a recurring basis | Level 1 | Residential mortgage-backed securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 0 | 0 |
Fixed maturity securities - trading | 0 | 0 |
Measured at fair value on a recurring basis | Level 1 | Commercial mortgage-backed securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 0 | 0 |
Fixed maturity securities - trading | 0 | 0 |
Measured at fair value on a recurring basis | Level 1 | Other asset-backed securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 0 | 0 |
Fixed maturity securities - trading | 0 | 0 |
Measured at fair value on a recurring basis | Level 1 | U.S. government-related securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 669,492 | 662,581 |
Fixed maturity securities - trading | 26,033 | 24,810 |
Measured at fair value on a recurring basis | Level 1 | States, municipals, and political subdivisions | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 0 | 0 |
Fixed maturity securities - trading | 0 | 0 |
Measured at fair value on a recurring basis | Level 1 | Other government-related securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 0 | 0 |
Fixed maturity securities - trading | 0 | 0 |
Measured at fair value on a recurring basis | Level 1 | Corporate securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 0 | 0 |
Fixed maturity securities - trading | 0 | 0 |
Measured at fair value on a recurring basis | Level 1 | Redeemable preferred stocks | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 65,673 | 69,976 |
Fixed maturity securities - trading | 11,933 | 12,832 |
Measured at fair value on a recurring basis | Level 2 | ||
Assets: | ||
Total fixed maturity securities | 66,127,295 | 63,392,053 |
Equity securities | 0 | 0 |
Other long-term investments | 815,700 | 733,425 |
Short-term investments | 102,521 | 65,480 |
Total investments | 67,045,516 | 64,190,958 |
Cash | 0 | 0 |
Assets related to separate accounts | ||
Variable annuity | 0 | 0 |
Variable universal life | 0 | 0 |
Total assets measured at fair value on a recurring basis | 67,045,516 | 64,190,958 |
Liabilities: | ||
Annuity account balances | 0 | 0 |
Other liabilities | 485,094 | 509,645 |
Total liabilities measured at fair value on a recurring basis | 485,094 | 509,645 |
Measured at fair value on a recurring basis | Level 2 | Fixed maturities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 63,580,218 | 60,978,906 |
Fixed maturity securities - trading | 2,547,077 | 2,413,147 |
Measured at fair value on a recurring basis | Level 2 | Residential mortgage-backed securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 7,014,129 | 5,931,341 |
Fixed maturity securities - trading | 192,944 | 209,521 |
Measured at fair value on a recurring basis | Level 2 | Commercial mortgage-backed securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 2,531,511 | 2,629,639 |
Fixed maturity securities - trading | 189,995 | 201,284 |
Measured at fair value on a recurring basis | Level 2 | Other asset-backed securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 1,271,061 | 1,360,016 |
Fixed maturity securities - trading | 83,626 | 77,954 |
Measured at fair value on a recurring basis | Level 2 | U.S. government-related securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 504,426 | 369,815 |
Fixed maturity securities - trading | 16,644 | 22,257 |
Measured at fair value on a recurring basis | Level 2 | States, municipals, and political subdivisions | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 4,562,366 | 4,638,850 |
Fixed maturity securities - trading | 289,477 | 293,791 |
Measured at fair value on a recurring basis | Level 2 | Other government-related securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 626,170 | 597,169 |
Fixed maturity securities - trading | 29,210 | 28,775 |
Measured at fair value on a recurring basis | Level 2 | Corporate securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 47,070,555 | 45,435,387 |
Fixed maturity securities - trading | 1,745,181 | 1,579,565 |
Measured at fair value on a recurring basis | Level 2 | Redeemable preferred stocks | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 0 | 16,689 |
Fixed maturity securities - trading | 0 | 0 |
Measured at fair value on a recurring basis | Level 3 | ||
Assets: | ||
Total fixed maturity securities | 1,879,678 | 1,881,740 |
Equity securities | 78,613 | 72,970 |
Other long-term investments | 275,907 | 209,843 |
Short-term investments | 0 | 0 |
Total investments | 2,234,198 | 2,164,553 |
Cash | 0 | 0 |
Assets related to separate accounts | ||
Variable annuity | 0 | 0 |
Variable universal life | 0 | 0 |
Total assets measured at fair value on a recurring basis | 2,234,198 | 2,164,553 |
Liabilities: | ||
Annuity account balances | 68,064 | 69,728 |
Other liabilities | 1,664,251 | 1,017,972 |
Total liabilities measured at fair value on a recurring basis | 1,732,315 | 1,087,700 |
Measured at fair value on a recurring basis | Level 3 | Fixed maturities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 1,806,898 | 1,804,962 |
Fixed maturity securities - trading | 72,780 | 76,778 |
Measured at fair value on a recurring basis | Level 3 | Residential mortgage-backed securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 0 | 0 |
Fixed maturity securities - trading | 0 | 0 |
Measured at fair value on a recurring basis | Level 3 | Commercial mortgage-backed securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 9,971 | 10,029 |
Fixed maturity securities - trading | 0 | 0 |
Measured at fair value on a recurring basis | Level 3 | Other asset-backed securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 430,964 | 421,219 |
Fixed maturity securities - trading | 60,622 | 65,407 |
Measured at fair value on a recurring basis | Level 3 | U.S. government-related securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 0 | 0 |
Fixed maturity securities - trading | 0 | 0 |
Measured at fair value on a recurring basis | Level 3 | States, municipals, and political subdivisions | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 0 | 0 |
Fixed maturity securities - trading | 0 | 0 |
Measured at fair value on a recurring basis | Level 3 | Other government-related securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 0 | 0 |
Fixed maturity securities - trading | 0 | 0 |
Measured at fair value on a recurring basis | Level 3 | Corporate securities | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 1,365,963 | 1,373,714 |
Fixed maturity securities - trading | 12,158 | 11,371 |
Measured at fair value on a recurring basis | Level 3 | Redeemable preferred stocks | ||
Assets: | ||
Fixed maturity securities - available-for-sale | 0 | 0 |
Fixed maturity securities - trading | $ 0 | $ 0 |
FAIR VALUE OF FINANCIAL INSTR_4
FAIR VALUE OF FINANCIAL INSTRUMENTS - Additional Information (Details) - USD ($) | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | |
Determination of fair values | ||||||||
Number of sources of information considered | 1 | |||||||
Number of sources of information | 3 | |||||||
Minimum percentage of the Company's fixed maturity securities priced by third party pricing services | 92.50% | |||||||
Number of broker quotes obtained per security | 2 | |||||||
Percentage of derivatives excluding embedded derivatives that were priced using exchange prices or independent broker quotations | 87.10% | |||||||
Other long-term investments | $ 1,172,964,000 | $ 1,172,964,000 | $ 995,493,000 | |||||
Financial instruments owned, other | 73,400,000 | 73,400,000 | 73,000,000 | |||||
Securities transferred into Level 3 | 54,800,000 | $ 50,100,000 | 84,300,000 | $ 86,100,000 | ||||
Securities transferred into Level 2 from Level 3 | 1,200,000 | 1,600,000 | 1,200,000 | 20,600,000 | ||||
Interest support, YRT premium support and portfolio maintenance agreement | ||||||||
Determination of fair values | ||||||||
Other long-term investments | 113,700,000 | 113,700,000 | ||||||
Golden Gate II | Interest Support Agreement | ||||||||
Determination of fair values | ||||||||
Other long-term investments | 60,800,000 | 60,800,000 | ||||||
Payments made under agreement | 2,400,000 | |||||||
Amount of collateralized support agreement obligations by PLC | 5,500,000 | 5,500,000 | ||||||
Golden Gate II | YRT premium support agreement | ||||||||
Determination of fair values | ||||||||
Other long-term investments | 52,400,000 | 52,400,000 | ||||||
Payments made under agreement | 1,600,000 | |||||||
Golden Gate, Golden Gate V and West Coast Life | Portfolio maintenance agreements | ||||||||
Determination of fair values | ||||||||
Other long-term investments | 400,000 | 400,000 | ||||||
Payments made under agreement | 0 | |||||||
Level 3 | ||||||||
Determination of fair values | ||||||||
Level 3 fair value | 1,732,315,000 | $ 914,620,000 | 1,732,315,000 | $ 914,620,000 | $ 1,330,669,000 | 1,087,700,000 | $ 681,268,000 | $ 514,246,000 |
Financial instruments valued in broker quotes | 95,600,000 | 95,600,000 | 76,800,000 | |||||
Asset-backed securities | Level 2 | ||||||||
Determination of fair values | ||||||||
Fair value | 11,300,000,000 | 11,300,000,000 | ||||||
Asset-backed securities | Level 3 | ||||||||
Determination of fair values | ||||||||
Fair value | 501,600,000 | $ 501,600,000 | ||||||
Other asset-backed securities | ||||||||
Determination of fair values | ||||||||
Underlying collateral percentage | 9700.00% | |||||||
Other asset-backed securities | Level 3 | ||||||||
Determination of fair values | ||||||||
Fair value | 430,964,000 | $ 430,964,000 | 421,219,000 | |||||
Underlying collateral percentage | 97.00% | |||||||
Financial instruments valued in broker quotes | 79,100,000 | $ 79,100,000 | 65,400,000 | |||||
Other asset-backed securities | Level 3 | Available-for-sale securities | ||||||||
Determination of fair values | ||||||||
Fair value | 441,000,000 | 441,000,000 | ||||||
Other asset-backed securities | Level 3 | Trading securities | ||||||||
Determination of fair values | ||||||||
Fair value | 60,600,000 | 60,600,000 | ||||||
Corporate bonds and securities | Level 2 | ||||||||
Determination of fair values | ||||||||
Fair value | 54,800,000,000 | 54,800,000,000 | ||||||
Corporate bonds and securities | Level 3 | ||||||||
Determination of fair values | ||||||||
Fair value | 1,400,000,000 | 1,400,000,000 | ||||||
Equity securities | ||||||||
Determination of fair values | ||||||||
Fair value | 78,600,000 | 78,600,000 | ||||||
Federal Home Loan Bank stock | 73,400,000 | 73,400,000 | ||||||
Equity securities | Level 3 | ||||||||
Determination of fair values | ||||||||
Financial instruments valued in broker quotes | 5,200,000 | 5,200,000 | ||||||
Embedded derivative - GLWB | Level 3 | ||||||||
Determination of fair values | ||||||||
Fair value | 590,762,000 | $ 590,762,000 | ||||||
Embedded derivative - GLWB | Level 3 | Minimum | ||||||||
Determination of fair values | ||||||||
Mortality rate | 87.00% | |||||||
Embedded derivative - GLWB | Level 3 | Maximum | ||||||||
Determination of fair values | ||||||||
Mortality rate | 100.00% | |||||||
Embedded derivative - FIA | Level 3 | Minimum | ||||||||
Determination of fair values | ||||||||
Mortality rate | 87.00% | |||||||
Embedded derivative - FIA | Level 3 | Maximum | ||||||||
Determination of fair values | ||||||||
Mortality rate | 100.00% | |||||||
Embedded derivative - IUL | Level 3 | Minimum | ||||||||
Determination of fair values | ||||||||
Mortality rate | 37.00% | |||||||
Embedded derivative - IUL | Level 3 | Maximum | ||||||||
Determination of fair values | ||||||||
Mortality rate | 156.00% | |||||||
Funds withheld derivative | Level 2 | ||||||||
Determination of fair values | ||||||||
Other liabilities | 159,400,000 | $ 159,400,000 | ||||||
Corporate securities | Level 3 | ||||||||
Determination of fair values | ||||||||
Fair value | 1,365,963,000 | 1,365,963,000 | 1,373,714,000 | |||||
Financial instruments valued in broker quotes | $ 11,300,000 | $ 11,300,000 | $ 11,400,000 |
FAIR VALUE OF FINANCIAL INSTR_5
FAIR VALUE OF FINANCIAL INSTRUMENTS - Valuation of Level 3 Financial Instruments (Details) | 6 Months Ended | |
Jun. 30, 2020USD ($)usd_per_policy | Dec. 31, 2019USD ($)usd_per_policy | |
Liabilities | ||
Fair Value | $ 2,155,762,000 | $ 1,547,178,000 |
Level 3 | Commercial mortgage-backed securities | ||
Assets: | ||
Fair value | 9,971,000 | 10,029,000 |
Level 3 | Other asset-backed securities | ||
Assets: | ||
Fair value | 430,964,000 | 421,219,000 |
Level 3 | Corporate securities | ||
Assets: | ||
Fair value | 1,365,963,000 | 1,373,714,000 |
Level 3 | Embedded derivative - GLWB | ||
Assets: | ||
Fair value | 590,762,000 | |
Liabilities | ||
Fair Value | 186,038,000 | |
Level 3 | Embedded derivative - FIA | ||
Liabilities | ||
Fair Value | 451,148,000 | 336,826,000 |
Level 3 | Embedded derivative - IUL | ||
Liabilities | ||
Fair Value | $ 196,655,000 | $ 151,765,000 |
Level 3 | Discounted cash flow | Commercial mortgage-backed securities | ||
Liabilities | ||
Debt securities,measurement input | 0.0341 | 2.5 |
Level 3 | Discounted cash flow | Corporate securities | Minimum | ||
Liabilities | ||
Debt securities,measurement input | 0.0012 | 0 |
Level 3 | Discounted cash flow | Corporate securities | Maximum | ||
Liabilities | ||
Debt securities,measurement input | 0.0825 | 0.0403 |
Level 3 | Discounted cash flow | Corporate securities | Weighted Average | ||
Liabilities | ||
Debt securities,measurement input | 0.0283 | 0.0160 |
Level 3 | Actuarial cash flow model | Embedded derivative - FIA | ||
Liabilities | ||
Embedded derivative, measurement input | usd_per_policy | 195 | 195 |
Liquidation value | Level 3 | Liquidation | Other asset-backed securities | Minimum | ||
Liabilities | ||
Debt securities, measurement input, value | $ 92.25 | $ 95.39 |
Liquidation value | Level 3 | Liquidation | Other asset-backed securities | Maximum | ||
Liabilities | ||
Debt securities, measurement input, value | 97 | 99.99 |
Liquidation value | Level 3 | Liquidation | Other asset-backed securities | Weighted Average | ||
Liabilities | ||
Debt securities, measurement input, value | $ 95.39 | $ 97.95 |
Liquidity premium | Level 3 | Discounted cash flow | Minimum | ||
Liabilities | ||
Debt securities,measurement input | 0.0034 | |
Liquidity premium | Level 3 | Discounted cash flow | Maximum | ||
Liabilities | ||
Debt securities,measurement input | 0.0228 | |
Liquidity premium | Level 3 | Discounted cash flow | Weighted Average | ||
Liabilities | ||
Debt securities,measurement input | 0.0144 | |
Liquidity premium | Level 3 | Discounted cash flow | Other asset-backed securities | Minimum | ||
Liabilities | ||
Debt securities,measurement input | 0.0046 | |
Liquidity premium | Level 3 | Discounted cash flow | Other asset-backed securities | Maximum | ||
Liabilities | ||
Debt securities,measurement input | 0.0232 | |
Liquidity premium | Level 3 | Discounted cash flow | Other asset-backed securities | Weighted Average | ||
Liabilities | ||
Debt securities,measurement input | 0.0159 | |
Paydown rate | Level 3 | Discounted cash flow | Other asset-backed securities | Minimum | ||
Liabilities | ||
Debt securities,measurement input | 0.0866 | 0.0899 |
Paydown rate | Level 3 | Discounted cash flow | Other asset-backed securities | Maximum | ||
Liabilities | ||
Debt securities,measurement input | 0.1276 | 0.1245 |
Paydown rate | Level 3 | Discounted cash flow | Other asset-backed securities | Weighted Average | ||
Liabilities | ||
Debt securities,measurement input | 0.1144 | 0.1128 |
Mortality rate | Level 3 | Actuarial cash flow model | Embedded derivative - GLWB | Minimum | ||
Liabilities | ||
Embedded derivative, measurement input | 0.87 | 0.87 |
Mortality rate | Level 3 | Actuarial cash flow model | Embedded derivative - GLWB | Maximum | ||
Liabilities | ||
Embedded derivative, measurement input | 1 | 1 |
Mortality rate | Level 3 | Actuarial cash flow model | Embedded derivative - FIA | Minimum | ||
Liabilities | ||
Embedded derivative, measurement input | 0.87 | 0.87 |
Mortality rate | Level 3 | Actuarial cash flow model | Embedded derivative - FIA | Maximum | ||
Liabilities | ||
Embedded derivative, measurement input | 1 | 1 |
Mortality rate | Level 3 | Actuarial cash flow model | Embedded derivative - IUL | Minimum | ||
Liabilities | ||
Embedded derivative, measurement input | 0.37 | 0.37 |
Mortality rate | Level 3 | Actuarial cash flow model | Embedded derivative - IUL | Maximum | ||
Liabilities | ||
Embedded derivative, measurement input | 1.56 | 1.56 |
Mortality rate | Level 3 | Actuarial Cash Flow Model, Valuation Basic Report Primary Tables Based On Duration Scale | Embedded derivative - IUL | Minimum | ||
Liabilities | ||
Embedded derivative, measurement input | 0.94 | 0.94 |
Mortality rate | Level 3 | Actuarial Cash Flow Model, Valuation Basic Report Primary Tables Based On Duration Scale | Embedded derivative - IUL | Maximum | ||
Liabilities | ||
Embedded derivative, measurement input | 2.48 | 2.48 |
Utilization rate | Level 3 | Actuarial cash flow model | Embedded derivative - GLWB | ||
Liabilities | ||
Embedded derivative, measurement input | 0.99 | |
Policies that have a one-time over-utilization rate of a specified amount (as a percent) | 10.00% | |
Specified level of one-time over-utilization (as a percent) | 400.00% | |
Nonperformance risk | Level 3 | Actuarial cash flow model | Embedded derivative - GLWB | Minimum | ||
Liabilities | ||
Embedded derivative, measurement input | 0.0033 | 0.0012 |
Nonperformance risk | Level 3 | Actuarial cash flow model | Embedded derivative - GLWB | Maximum | ||
Liabilities | ||
Embedded derivative, measurement input | 0.0091 | 0.0082 |
Nonperformance risk | Level 3 | Actuarial cash flow model | Embedded derivative - FIA | Minimum | ||
Liabilities | ||
Embedded derivative, measurement input | 0.0033 | 0.0012 |
Nonperformance risk | Level 3 | Actuarial cash flow model | Embedded derivative - FIA | Maximum | ||
Liabilities | ||
Embedded derivative, measurement input | 0.0091 | 0.0082 |
Nonperformance risk | Level 3 | Actuarial cash flow model | Embedded derivative - IUL | Minimum | ||
Liabilities | ||
Embedded derivative, measurement input | 0.0033 | 0.0012 |
Nonperformance risk | Level 3 | Actuarial cash flow model | Embedded derivative - IUL | Maximum | ||
Liabilities | ||
Embedded derivative, measurement input | 0.0091 | 0.0082 |
Withdrawal rate prior to age 70 | Level 3 | Actuarial cash flow model | Embedded derivative - FIA | ||
Liabilities | ||
Embedded derivative, measurement input | 0.004 | 0.004 |
Withdrawal rate for ages over 70 | Level 3 | Actuarial cash flow model | Embedded derivative - FIA | ||
Liabilities | ||
Embedded derivative, measurement input | 0.012 | 0.012 |
Lapse rate | Level 3 | Actuarial cash flow model | Embedded derivative - FIA | Minimum | ||
Liabilities | ||
Embedded derivative, measurement input | 0.005 | 0.005 |
Lapse rate | Level 3 | Actuarial cash flow model | Embedded derivative - FIA | Maximum | ||
Liabilities | ||
Embedded derivative, measurement input | 0.500 | 0.500 |
Lapse rate | Level 3 | Actuarial cash flow model | Embedded derivative - IUL | Minimum | ||
Liabilities | ||
Embedded derivative, measurement input | 0.005 | 0.005 |
Lapse rate | Level 3 | Actuarial cash flow model | Embedded derivative - IUL | Maximum | ||
Liabilities | ||
Embedded derivative, measurement input | 0.10 | 0.10 |
FAIR VALUE OF FINANCIAL INSTR_6
FAIR VALUE OF FINANCIAL INSTRUMENTS - Reconciliation of Beginning and Ending Balances for Fair Value Measurements (Details) - Level 3 - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Assets: | ||||
Beginning Balance | $ 2,039,970 | $ 1,337,537 | $ 2,164,553 | $ 1,306,979 |
Included in Operations | 81,368 | 23,722 | 94,889 | 28,493 |
Included in Other Comprehensive Income (Loss) | 83,479 | 27,900 | 85,893 | 54,632 |
Included in Operations | (13,022) | (16,252) | (72,379) | (35,107) |
Included in Other Comprehensive Income (Loss) | (9,108) | (4,965) | (92,433) | (8,308) |
Purchases | 323,223 | 677,645 | 351,058 | 727,108 |
Sales | (324,579) | (56,977) | (374,853) | (101,905) |
Issuances | 0 | 0 | 0 | 0 |
Settlements | 0 | (1,708) | (4,072) | (1,708) |
Transfers in/out of Level 3 | 53,639 | 48,553 | 83,168 | 65,522 |
Other | (772) | 255 | (1,626) | 4 |
Ending Balance | 2,234,198 | 2,035,710 | 2,234,198 | 2,035,710 |
Total Gains (losses) included in Operations related to Instruments still held at the Reporting Date | (74,544) | 5,814 | 23,685 | (7,914) |
Liabilities: | ||||
Beginning Balance | 1,330,669 | 681,268 | 1,087,700 | 514,246 |
Included in Operations | 67,431 | 364 | 256,473 | 830 |
Included in Other Comprehensive Income (Loss) | 0 | 0 | 0 | 0 |
Included in Operations | (469,940) | (199,365) | (903,819) | (368,686) |
Included in Other Comprehensive Income (Loss) | 0 | 0 | 0 | 0 |
Purchases | 0 | 37,204 | 0 | 37,204 |
Sales | 0 | 0 | 0 | 0 |
Issuances | 204 | 56 | 329 | 67 |
Settlements | 1,067 | 2,909 | 3,060 | 4,753 |
Transfers in/out of Level 3 | 0 | 0 | 0 | 0 |
Other | 0 | 0 | 0 | 0 |
Ending Balance | 1,732,315 | 914,620 | 1,732,315 | 914,620 |
Total Gains (losses) included in Operations related to Instruments still held at the Reporting Date | (401,977) | (198,176) | (646,279) | (366,704) |
Annuity account balances | ||||
Liabilities: | ||||
Beginning Balance | 68,395 | 74,613 | 69,728 | 76,119 |
Included in Operations | 0 | 0 | 0 | 0 |
Included in Other Comprehensive Income (Loss) | 0 | 0 | 0 | 0 |
Included in Operations | (532) | (825) | (1,067) | (1,152) |
Included in Other Comprehensive Income (Loss) | 0 | 0 | 0 | 0 |
Purchases | 0 | 0 | 0 | 0 |
Sales | 0 | 0 | 0 | 0 |
Issuances | 204 | 56 | 329 | 67 |
Settlements | 1,067 | 2,909 | 3,060 | 4,753 |
Transfers in/out of Level 3 | 0 | 0 | 0 | 0 |
Other | 0 | 0 | 0 | 0 |
Ending Balance | 68,064 | 72,585 | 68,064 | 72,585 |
Total Gains (losses) included in Operations related to Instruments still held at the Reporting Date | 0 | 0 | 0 | 0 |
Other liabilities | ||||
Liabilities: | ||||
Beginning Balance | 1,262,274 | 606,655 | 1,017,972 | 438,127 |
Included in Operations | 67,431 | 364 | 256,473 | 830 |
Included in Other Comprehensive Income (Loss) | 0 | 0 | 0 | 0 |
Included in Operations | (469,408) | (198,540) | (902,752) | (367,534) |
Included in Other Comprehensive Income (Loss) | 0 | 0 | 0 | 0 |
Purchases | 0 | 37,204 | 0 | 37,204 |
Sales | 0 | 0 | 0 | 0 |
Issuances | 0 | 0 | 0 | 0 |
Settlements | 0 | 0 | 0 | 0 |
Transfers in/out of Level 3 | 0 | 0 | 0 | 0 |
Other | 0 | 0 | 0 | 0 |
Ending Balance | 1,664,251 | 842,035 | 1,664,251 | 842,035 |
Total Gains (losses) included in Operations related to Instruments still held at the Reporting Date | (401,977) | (198,176) | (646,279) | (366,704) |
Total investments | ||||
Assets: | ||||
Beginning Balance | 2,039,970 | 1,337,537 | 2,164,553 | 1,306,979 |
Included in Operations | 81,368 | 23,722 | 94,889 | 28,493 |
Included in Other Comprehensive Income (Loss) | 83,479 | 27,900 | 85,893 | 54,632 |
Included in Operations | (13,022) | (16,252) | (72,379) | (35,107) |
Included in Other Comprehensive Income (Loss) | (9,108) | (4,965) | (92,433) | (8,308) |
Purchases | 323,223 | 677,645 | 351,058 | 727,108 |
Sales | (324,579) | (56,977) | (374,853) | (101,905) |
Issuances | 0 | 0 | 0 | 0 |
Settlements | 0 | (1,708) | (4,072) | (1,708) |
Transfers in/out of Level 3 | 53,639 | 48,553 | 83,168 | 65,522 |
Other | (772) | 255 | (1,626) | 4 |
Ending Balance | 2,234,198 | 2,035,710 | 2,234,198 | 2,035,710 |
Total Gains (losses) included in Operations related to Instruments still held at the Reporting Date | (74,544) | 5,814 | 23,685 | (7,914) |
Fixed maturities | ||||
Assets: | ||||
Beginning Balance | 1,804,921 | 1,140,434 | 1,881,740 | 1,092,216 |
Included in Operations | 1,954 | 960 | 1,955 | 4,703 |
Included in Other Comprehensive Income (Loss) | 83,479 | 27,900 | 85,893 | 54,632 |
Included in Operations | (6,605) | (3,505) | (8,750) | (3,672) |
Included in Other Comprehensive Income (Loss) | (9,108) | (4,965) | (92,433) | (8,308) |
Purchases | 281,969 | 670,986 | 309,804 | 720,449 |
Sales | (324,579) | (56,977) | (374,853) | (101,905) |
Issuances | 0 | 0 | 0 | 0 |
Settlements | 0 | 0 | 0 | 0 |
Transfers in/out of Level 3 | 48,419 | 48,553 | 77,948 | 65,522 |
Other | (772) | 255 | (1,626) | 4 |
Ending Balance | 1,879,678 | 1,823,641 | 1,879,678 | 1,823,641 |
Total Gains (losses) included in Operations related to Instruments still held at the Reporting Date | (4,761) | (2,649) | (4,760) | 1,202 |
Fixed maturities | Available-for-sale securities | ||||
Assets: | ||||
Beginning Balance | 1,726,881 | 1,068,699 | 1,804,962 | 1,059,918 |
Included in Operations | 0 | 82 | 0 | 528 |
Included in Other Comprehensive Income (Loss) | 83,479 | 27,900 | 85,893 | 54,632 |
Included in Operations | (21) | (37) | (21) | (57) |
Included in Other Comprehensive Income (Loss) | (9,108) | (4,965) | (92,433) | (8,308) |
Purchases | 279,264 | 670,986 | 303,264 | 704,986 |
Sales | (322,415) | (56,197) | (372,260) | (94,978) |
Issuances | 0 | 0 | 0 | 0 |
Settlements | 0 | 0 | 0 | 0 |
Transfers in/out of Level 3 | 49,593 | 49,350 | 79,122 | 39,255 |
Other | (775) | 349 | (1,629) | 191 |
Ending Balance | 1,806,898 | 1,756,167 | 1,806,898 | 1,756,167 |
Total Gains (losses) included in Operations related to Instruments still held at the Reporting Date | 0 | 0 | 0 | 0 |
Fixed maturities | Trading securities | ||||
Assets: | ||||
Beginning Balance | 78,040 | 71,735 | 76,778 | 32,298 |
Included in Operations | 1,954 | 878 | 1,955 | 4,175 |
Included in Other Comprehensive Income (Loss) | 0 | 0 | 0 | 0 |
Included in Operations | (6,584) | (3,468) | (8,729) | (3,615) |
Included in Other Comprehensive Income (Loss) | 0 | 0 | 0 | 0 |
Purchases | 2,705 | 0 | 6,540 | 15,463 |
Sales | (2,164) | (780) | (2,593) | (6,927) |
Issuances | 0 | 0 | 0 | 0 |
Settlements | 0 | 0 | 0 | 0 |
Transfers in/out of Level 3 | (1,174) | (797) | (1,174) | 26,267 |
Other | 3 | (94) | 3 | (187) |
Ending Balance | 72,780 | 67,474 | 72,780 | 67,474 |
Total Gains (losses) included in Operations related to Instruments still held at the Reporting Date | (4,761) | (2,649) | (4,760) | 1,202 |
Residential mortgage-backed securities | Available-for-sale securities | ||||
Assets: | ||||
Beginning Balance | 0 | 0 | ||
Included in Operations | 0 | 0 | ||
Included in Other Comprehensive Income (Loss) | 0 | 0 | ||
Included in Operations | 0 | 0 | ||
Included in Other Comprehensive Income (Loss) | 0 | 0 | ||
Purchases | 0 | 0 | ||
Sales | 0 | 0 | ||
Issuances | 0 | 0 | ||
Settlements | 0 | 0 | ||
Transfers in/out of Level 3 | 0 | 0 | ||
Other | 0 | 0 | ||
Ending Balance | 0 | 0 | 0 | 0 |
Total Gains (losses) included in Operations related to Instruments still held at the Reporting Date | 0 | 0 | ||
Residential mortgage-backed securities | Trading securities | ||||
Assets: | ||||
Beginning Balance | 0 | |||
Included in Operations | 0 | |||
Included in Other Comprehensive Income (Loss) | 0 | |||
Included in Operations | 0 | |||
Included in Other Comprehensive Income (Loss) | 0 | |||
Purchases | 0 | |||
Sales | 0 | |||
Issuances | 0 | |||
Settlements | 0 | |||
Transfers in/out of Level 3 | 0 | |||
Other | 0 | |||
Ending Balance | 0 | 0 | ||
Total Gains (losses) included in Operations related to Instruments still held at the Reporting Date | 0 | |||
Commercial mortgage-backed securities | Available-for-sale securities | ||||
Assets: | ||||
Beginning Balance | 10,783 | 0 | 10,029 | 0 |
Included in Operations | 0 | 0 | 0 | 0 |
Included in Other Comprehensive Income (Loss) | 0 | 16 | 780 | 16 |
Included in Operations | 0 | 0 | 0 | 0 |
Included in Other Comprehensive Income (Loss) | (785) | 0 | (785) | 0 |
Purchases | 0 | 9,359 | 0 | 9,359 |
Sales | (21) | (7) | (41) | (7) |
Issuances | 0 | 0 | 0 | 0 |
Settlements | 0 | 0 | 0 | 0 |
Transfers in/out of Level 3 | 0 | 0 | 0 | 0 |
Other | (6) | (2) | (12) | (2) |
Ending Balance | 9,971 | 9,366 | 9,971 | 9,366 |
Total Gains (losses) included in Operations related to Instruments still held at the Reporting Date | 0 | 0 | 0 | 0 |
Other asset-backed securities | Available-for-sale securities | ||||
Assets: | ||||
Beginning Balance | 436,329 | 420,091 | 421,219 | 421,642 |
Included in Operations | 0 | 0 | 0 | 446 |
Included in Other Comprehensive Income (Loss) | 112 | 2,513 | 112 | 10,660 |
Included in Operations | (21) | (37) | (21) | (57) |
Included in Other Comprehensive Income (Loss) | (5,125) | (4,468) | (12,453) | (4,799) |
Purchases | 0 | 0 | 0 | 0 |
Sales | (509) | (7) | (517) | (10,015) |
Issuances | 0 | 0 | 0 | 0 |
Settlements | 0 | 0 | 0 | 0 |
Transfers in/out of Level 3 | 0 | 0 | 22,187 | 0 |
Other | 178 | 218 | 437 | 433 |
Ending Balance | 430,964 | 418,310 | 430,964 | 418,310 |
Total Gains (losses) included in Operations related to Instruments still held at the Reporting Date | 0 | 0 | 0 | 0 |
Other asset-backed securities | Trading securities | ||||
Assets: | ||||
Beginning Balance | 65,028 | 66,484 | 65,407 | 26,056 |
Included in Operations | 1,467 | 810 | 1,468 | 4,006 |
Included in Other Comprehensive Income (Loss) | 0 | 0 | 0 | 0 |
Included in Operations | (6,584) | (3,468) | (8,314) | (3,584) |
Included in Other Comprehensive Income (Loss) | 0 | 0 | 0 | 0 |
Purchases | 1,469 | 0 | 3,219 | 15,463 |
Sales | (23) | (781) | (452) | (5,892) |
Issuances | 0 | 0 | 0 | 0 |
Settlements | 0 | 0 | 0 | 0 |
Transfers in/out of Level 3 | (766) | (797) | (766) | 26,267 |
Other | 31 | (68) | 60 | (136) |
Ending Balance | 60,622 | 62,180 | 60,622 | 62,180 |
Total Gains (losses) included in Operations related to Instruments still held at the Reporting Date | (5,149) | (2,717) | (5,149) | 1,068 |
Corporate securities | Available-for-sale securities | ||||
Assets: | ||||
Beginning Balance | 1,279,769 | 648,608 | 1,373,714 | 638,276 |
Included in Operations | 0 | 82 | 0 | 82 |
Included in Other Comprehensive Income (Loss) | 83,367 | 25,371 | 85,001 | 43,956 |
Included in Operations | 0 | 0 | 0 | 0 |
Included in Other Comprehensive Income (Loss) | (3,198) | (497) | (79,195) | (3,509) |
Purchases | 279,264 | 661,627 | 303,264 | 695,627 |
Sales | (321,885) | (56,183) | (371,702) | (84,956) |
Issuances | 0 | 0 | 0 | 0 |
Settlements | 0 | 0 | 0 | 0 |
Transfers in/out of Level 3 | 49,593 | 49,350 | 56,935 | 39,255 |
Other | (947) | 133 | (2,054) | (240) |
Ending Balance | 1,365,963 | 1,328,491 | 1,365,963 | 1,328,491 |
Total Gains (losses) included in Operations related to Instruments still held at the Reporting Date | 0 | 0 | 0 | 0 |
Corporate securities | Trading securities | ||||
Assets: | ||||
Beginning Balance | 13,012 | 5,251 | 11,371 | 6,242 |
Included in Operations | 487 | 68 | 487 | 169 |
Included in Other Comprehensive Income (Loss) | 0 | 0 | 0 | 0 |
Included in Operations | 0 | 0 | (415) | (31) |
Included in Other Comprehensive Income (Loss) | 0 | 0 | 0 | 0 |
Purchases | 1,236 | 0 | 3,321 | 0 |
Sales | (2,141) | 1 | (2,141) | (1,035) |
Issuances | 0 | 0 | 0 | 0 |
Settlements | 0 | 0 | 0 | 0 |
Transfers in/out of Level 3 | (408) | 0 | (408) | 0 |
Other | (28) | (26) | (57) | (51) |
Ending Balance | 12,158 | 5,294 | 12,158 | 5,294 |
Total Gains (losses) included in Operations related to Instruments still held at the Reporting Date | 388 | 68 | 389 | 134 |
Equity securities | ||||
Assets: | ||||
Beginning Balance | 72,968 | 63,409 | 72,970 | 63,421 |
Included in Operations | 1 | 0 | 1 | 1 |
Included in Other Comprehensive Income (Loss) | 0 | 0 | 0 | 0 |
Included in Operations | 1 | (3) | (1) | (16) |
Included in Other Comprehensive Income (Loss) | 0 | 0 | 0 | 0 |
Purchases | 423 | 5,080 | 423 | 5,080 |
Sales | 0 | 0 | 0 | 0 |
Issuances | 0 | 0 | 0 | 0 |
Settlements | 0 | 0 | 0 | 0 |
Transfers in/out of Level 3 | 5,220 | 0 | 5,220 | 0 |
Other | 0 | 0 | 0 | 0 |
Ending Balance | 78,613 | 68,486 | 78,613 | 68,486 |
Total Gains (losses) included in Operations related to Instruments still held at the Reporting Date | 3,212 | 153 | 3,212 | 222 |
Other long-term investments | ||||
Assets: | ||||
Beginning Balance | 162,081 | 133,694 | 209,843 | 151,342 |
Included in Operations | 79,413 | 22,762 | 92,933 | 23,789 |
Included in Other Comprehensive Income (Loss) | 0 | 0 | 0 | 0 |
Included in Operations | (6,418) | (12,744) | (63,628) | (31,419) |
Included in Other Comprehensive Income (Loss) | 0 | 0 | 0 | 0 |
Purchases | 40,831 | 1,579 | 40,831 | 1,579 |
Sales | 0 | 0 | 0 | 0 |
Issuances | 0 | 0 | 0 | 0 |
Settlements | 0 | (1,708) | (4,072) | (1,708) |
Transfers in/out of Level 3 | 0 | 0 | 0 | 0 |
Other | 0 | 0 | 0 | 0 |
Ending Balance | 275,907 | 143,583 | 275,907 | 143,583 |
Total Gains (losses) included in Operations related to Instruments still held at the Reporting Date | (72,995) | 8,310 | 25,233 | (9,338) |
Short-term investments | ||||
Assets: | ||||
Beginning Balance | 0 | 0 | ||
Included in Operations | 0 | 0 | ||
Included in Other Comprehensive Income (Loss) | 0 | 0 | ||
Included in Operations | 0 | 0 | ||
Included in Other Comprehensive Income (Loss) | 0 | 0 | ||
Purchases | 0 | 0 | ||
Sales | 0 | 0 | ||
Issuances | 0 | 0 | ||
Settlements | 0 | 0 | ||
Transfers in/out of Level 3 | 0 | 0 | ||
Other | 0 | 0 | ||
Ending Balance | $ 0 | $ 0 | 0 | 0 |
Total Gains (losses) included in Operations related to Instruments still held at the Reporting Date | $ 0 | $ 0 |
FAIR VALUE OF FINANCIAL INSTR_7
FAIR VALUE OF FINANCIAL INSTRUMENTS - Estimated Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Assets: | ||
Commercial mortgage loans on real estate, net | $ 9,545,793 | $ 9,379,401 |
Policy loans | 1,657,530 | 1,675,121 |
Fixed maturities, held-to-maturity | 2,728,529 | 2,823,881 |
Other long-term investments | 2,695,664 | 2,479,520 |
Liabilities: | ||
Stable value product account balances | 5,984,036 | 5,443,752 |
Future policy benefits and claims | 14,694,473 | 14,289,907 |
Other policyholders’ funds | 1,691,472 | 1,576,856 |
Debt | ||
Non-recourse funding obligations | 2,989,340 | 3,082,753 |
Capital lease obligations | 800 | 1,000 |
Carrying Amounts | ||
Assets: | ||
Other long-term investments | 1,300,000 | 1,300,000 |
Level 3 | Carrying Amounts | ||
Assets: | ||
Commercial mortgage loans on real estate, net | 9,545,793 | 9,379,401 |
Policy loans | 1,657,530 | 1,675,121 |
Other long-term investments | 1,218,279 | 1,216,996 |
Liabilities: | ||
Stable value product account balances | 5,984,036 | 5,443,752 |
Future policy benefits and claims | 1,634,654 | 1,701,324 |
Other policyholders’ funds | 101,558 | 127,084 |
Debt | ||
Non-recourse funding obligations | 2,989,340 | 3,082,753 |
Subordinated funding obligations | 110,000 | 110,000 |
Level 3 | Carrying Amounts | Golden Gate and Golden Gate V | ||
Debt | ||
Non-recourse funding obligations | 2,700,000 | 2,800,000 |
Level 3 | Carrying Amounts | Fixed maturities | ||
Assets: | ||
Fixed maturities, held-to-maturity | 2,728,529 | 2,823,881 |
Level 3 | Fair Values | ||
Assets: | ||
Commercial mortgage loans on real estate, net | 10,055,284 | 9,584,487 |
Policy loans | 1,657,530 | 1,675,121 |
Other long-term investments | 1,278,991 | 1,246,889 |
Liabilities: | ||
Stable value product account balances | 6,163,437 | 5,551,195 |
Future policy benefits and claims | 1,646,695 | 1,705,235 |
Other policyholders’ funds | 105,221 | 130,259 |
Debt | ||
Non-recourse funding obligations | 3,164,771 | 3,298,580 |
Subordinated funding obligations | 113,729 | 113,286 |
Level 3 | Fair Values | Golden Gate and Golden Gate V | ||
Debt | ||
Non-recourse funding obligations | 2,900,000 | 3,000,000 |
Level 3 | Fair Values | Fixed maturities | ||
Assets: | ||
Fixed maturities, held-to-maturity | $ 2,947,350 | $ 3,025,790 |
DERIVATIVE FINANCIAL INSTRUME_3
DERIVATIVE FINANCIAL INSTRUMENTS - Realized Investments Gains and Losses (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Notional amount and fair value of the entity's derivative financial instruments | ||||
Total realized gains (losses) - derivatives | $ (160,578) | $ (55,266) | $ 77,562 | $ (128,574) |
Derivatives not designated as hedging instruments | ||||
Notional amount and fair value of the entity's derivative financial instruments | ||||
Total realized gains (losses) - derivatives | (160,578) | (55,266) | 77,562 | (128,574) |
Derivatives not designated as hedging instruments | Embedded derivative - Modco reinsurance treaties | ||||
Notional amount and fair value of the entity's derivative financial instruments | ||||
Total realized gains (losses) - derivatives | (106,155) | (70,679) | (30,426) | (155,677) |
Derivatives not designated as hedging instruments | Derivatives with PLC | ||||
Notional amount and fair value of the entity's derivative financial instruments | ||||
Total realized gains (losses) - derivatives | 4,294 | 8,922 | 2,346 | 7,269 |
Derivatives not designated as hedging instruments | Other derivatives | ||||
Notional amount and fair value of the entity's derivative financial instruments | ||||
Total realized gains (losses) - derivatives | (3,832) | (1,455) | 5,388 | (1,389) |
Derivatives not designated as hedging instruments | VA | ||||
Notional amount and fair value of the entity's derivative financial instruments | ||||
Total realized gains (losses) - derivatives | (25,513) | 27,738 | 175,926 | 45,227 |
Derivatives not designated as hedging instruments | VA | Interest rate futures | ||||
Notional amount and fair value of the entity's derivative financial instruments | ||||
Total realized gains (losses) - derivatives | (6,680) | (11,280) | (5,822) | (17,302) |
Derivatives not designated as hedging instruments | VA | Equity futures | ||||
Notional amount and fair value of the entity's derivative financial instruments | ||||
Total realized gains (losses) - derivatives | 102,447 | 2,559 | 133,099 | 32,297 |
Derivatives not designated as hedging instruments | VA | Currency futures | ||||
Notional amount and fair value of the entity's derivative financial instruments | ||||
Total realized gains (losses) - derivatives | (1,188) | (397) | 10,974 | 1,847 |
Derivatives not designated as hedging instruments | VA | Equity options | ||||
Notional amount and fair value of the entity's derivative financial instruments | ||||
Total realized gains (losses) - derivatives | (172,248) | (21,702) | 108,231 | (93,397) |
Derivatives not designated as hedging instruments | VA | Interest rate swaps | ||||
Notional amount and fair value of the entity's derivative financial instruments | ||||
Total realized gains (losses) - derivatives | 11,786 | 117,934 | 421,301 | 192,795 |
Derivatives not designated as hedging instruments | VA | Total return swaps | ||||
Notional amount and fair value of the entity's derivative financial instruments | ||||
Total realized gains (losses) - derivatives | (77,622) | (8,545) | 62,145 | (48,572) |
Derivatives not designated as hedging instruments | VA | Embedded derivative - GLWB | ||||
Notional amount and fair value of the entity's derivative financial instruments | ||||
Total realized gains (losses) - derivatives | 5,859 | (69,602) | (404,721) | (102,989) |
Derivatives not designated as hedging instruments | VA | Funds withheld derivative | ||||
Notional amount and fair value of the entity's derivative financial instruments | ||||
Total realized gains (losses) - derivatives | 112,133 | 18,771 | (149,281) | 80,548 |
Derivatives not designated as hedging instruments | FIA | ||||
Notional amount and fair value of the entity's derivative financial instruments | ||||
Total realized gains (losses) - derivatives | (23,887) | (11,197) | (53,337) | (8,390) |
Derivatives not designated as hedging instruments | FIA | Equity futures | ||||
Notional amount and fair value of the entity's derivative financial instruments | ||||
Total realized gains (losses) - derivatives | 1,084 | 431 | (7,068) | 2 |
Derivatives not designated as hedging instruments | FIA | Equity options | ||||
Notional amount and fair value of the entity's derivative financial instruments | ||||
Total realized gains (losses) - derivatives | 50,546 | 13,191 | (9,839) | 55,241 |
Derivatives not designated as hedging instruments | FIA | Funds withheld derivative | ||||
Notional amount and fair value of the entity's derivative financial instruments | ||||
Total realized gains (losses) - derivatives | (6,782) | 0 | (6,782) | 0 |
Derivatives not designated as hedging instruments | FIA | Embedded derivative - FIA | ||||
Notional amount and fair value of the entity's derivative financial instruments | ||||
Total realized gains (losses) - derivatives | (68,310) | (24,819) | (29,423) | (63,633) |
Derivatives not designated as hedging instruments | FIA | Other derivatives | ||||
Notional amount and fair value of the entity's derivative financial instruments | ||||
Total realized gains (losses) - derivatives | (425) | 0 | (225) | 0 |
Derivatives not designated as hedging instruments | IUL | ||||
Notional amount and fair value of the entity's derivative financial instruments | ||||
Total realized gains (losses) - derivatives | (5,485) | (8,595) | (22,335) | (15,614) |
Derivatives not designated as hedging instruments | IUL | Equity futures | ||||
Notional amount and fair value of the entity's derivative financial instruments | ||||
Total realized gains (losses) - derivatives | 295 | 85 | (2,144) | 256 |
Derivatives not designated as hedging instruments | IUL | Equity options | ||||
Notional amount and fair value of the entity's derivative financial instruments | ||||
Total realized gains (losses) - derivatives | 8,497 | 2,606 | (5,952) | 8,786 |
Derivatives not designated as hedging instruments | IUL | Embedded derivative - IUL | ||||
Notional amount and fair value of the entity's derivative financial instruments | ||||
Total realized gains (losses) - derivatives | $ (14,277) | $ (11,286) | $ (14,239) | $ (24,656) |
DERIVATIVE FINANCIAL INSTRUME_4
DERIVATIVE FINANCIAL INSTRUMENTS - Components of the Gain or Loss on Derivatives that Quality as a Cash Flow Hedging Relationship (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Gain (Loss) on Derivatives in Cash Flow Hedging Relationship | ||||
Amount of gains (losses) reclassified from accumulated other comprehensive income (loss) in the next twelve months | $ 1,300 | |||
Cash flow hedges | ||||
Gain (Loss) on Derivatives in Cash Flow Hedging Relationship | ||||
Amount of Gains (Losses) Deferred in Accumulated Other Comprehensive Income (Loss) on Derivatives | $ 2,830 | $ (3,529) | (3,039) | $ (6,017) |
Amount and Location of Gains (Losses) Reclassified from Accumulated Other Comprehensive Income (Loss) into Income (Loss) | (1,467) | (336) | (2,671) | (614) |
Amount and Location of Gains (Losses) Recognized in Income (Loss) on Derivatives | 0 | 0 | 0 | 0 |
Cash flow hedges | Foreign currency swaps | ||||
Gain (Loss) on Derivatives in Cash Flow Hedging Relationship | ||||
Amount of Gains (Losses) Deferred in Accumulated Other Comprehensive Income (Loss) on Derivatives | 3,371 | (1,733) | (2,124) | (3,626) |
Amount and Location of Gains (Losses) Reclassified from Accumulated Other Comprehensive Income (Loss) into Income (Loss) | (222) | (188) | (616) | (394) |
Amount and Location of Gains (Losses) Recognized in Income (Loss) on Derivatives | 0 | 0 | 0 | 0 |
Cash flow hedges | Interest rate swaps | ||||
Gain (Loss) on Derivatives in Cash Flow Hedging Relationship | ||||
Amount of Gains (Losses) Deferred in Accumulated Other Comprehensive Income (Loss) on Derivatives | (541) | (1,796) | (915) | (2,391) |
Amount and Location of Gains (Losses) Reclassified from Accumulated Other Comprehensive Income (Loss) into Income (Loss) | (1,245) | (148) | (2,055) | (220) |
Amount and Location of Gains (Losses) Recognized in Income (Loss) on Derivatives | $ 0 | $ 0 | $ 0 | $ 0 |
DERIVATIVE FINANCIAL INSTRUME_5
DERIVATIVE FINANCIAL INSTRUMENTS - Nature and Accounting Treatment of Derivative Instruments (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Derivative [Line Items] | ||
Other long-term investments, Fair Value | $ 1,172,964 | $ 995,493 |
Derivatives with PLC | ||
Derivative [Line Items] | ||
Other long-term investments, Fair Value | 113,653 | 115,379 |
Embedded derivative - Modco reinsurance treaties | ||
Derivative [Line Items] | ||
Other long-term investments, Fair Value | 64,758 | 31,926 |
Embedded derivative - GLWB | ||
Derivative [Line Items] | ||
Other long-term investments, Fair Value | 45,636 | 62,538 |
Derivatives not designated as hedging instruments | ||
Derivative [Line Items] | ||
Other long-term investments, Notional Amounts | 15,737,291 | 15,570,523 |
Other long-term investments, Fair Value | 1,172,964 | 995,493 |
Other liabilities. Notional Amount | 20,441,740 | 17,356,887 |
Other liabilities, Fair Value | 2,155,762 | 1,547,178 |
Derivatives not designated as hedging instruments | Interest rate swaps | ||
Derivative [Line Items] | ||
Other long-term investments, Notional Amounts | 2,428,000 | 2,228,000 |
Other long-term investments, Fair Value | 225,231 | 98,655 |
Other liabilities. Notional Amount | 250,000 | 50,000 |
Other liabilities, Fair Value | 0 | 0 |
Derivatives not designated as hedging instruments | Total return swaps | ||
Derivative [Line Items] | ||
Other long-term investments, Notional Amounts | 562,607 | 269,772 |
Other long-term investments, Fair Value | 4,460 | 941 |
Other liabilities. Notional Amount | 194,504 | 579,675 |
Other liabilities, Fair Value | 2,938 | 3,229 |
Derivatives not designated as hedging instruments | Derivatives with PLC | ||
Derivative [Line Items] | ||
Other long-term investments, Notional Amounts | 2,653,006 | 2,830,889 |
Other long-term investments, Fair Value | 113,653 | 115,379 |
Derivatives not designated as hedging instruments | Embedded derivative - Modco reinsurance treaties | ||
Derivative [Line Items] | ||
Other long-term investments, Notional Amounts | 1,281,470 | 1,280,189 |
Other long-term investments, Fair Value | 64,758 | 31,926 |
Other liabilities. Notional Amount | 2,815,598 | 2,263,685 |
Other liabilities, Fair Value | 289,709 | 231,516 |
Derivatives not designated as hedging instruments | Funds withheld derivative | ||
Derivative [Line Items] | ||
Other liabilities. Notional Amount | 3,062,874 | 1,845,649 |
Other liabilities, Fair Value | 159,370 | 70,583 |
Derivatives not designated as hedging instruments | Embedded derivative - GLWB | ||
Derivative [Line Items] | ||
Other long-term investments, Notional Amounts | 543,139 | 1,147,436 |
Other long-term investments, Fair Value | 45,636 | 62,538 |
Other liabilities. Notional Amount | 3,414,058 | 2,892,926 |
Other liabilities, Fair Value | 636,398 | 248,577 |
Derivatives not designated as hedging instruments | Embedded derivative - FIA | ||
Derivative [Line Items] | ||
Other long-term investments, Notional Amounts | 286,778 | 0 |
Other long-term investments, Fair Value | 51,860 | 0 |
Other liabilities. Notional Amount | 3,256,264 | 2,892,803 |
Other liabilities, Fair Value | 497,336 | 332,869 |
Derivatives not designated as hedging instruments | Embedded derivative - IUL | ||
Derivative [Line Items] | ||
Other liabilities. Notional Amount | 324,832 | 301,598 |
Other liabilities, Fair Value | 196,655 | 151,765 |
Derivatives not designated as hedging instruments | Interest rate futures | ||
Derivative [Line Items] | ||
Other long-term investments, Notional Amounts | 221,804 | 896,073 |
Other long-term investments, Fair Value | 641 | 7,557 |
Other liabilities. Notional Amount | 1,034,796 | 669,223 |
Other liabilities, Fair Value | 1,960 | 10,375 |
Derivatives not designated as hedging instruments | Equity futures | ||
Derivative [Line Items] | ||
Other long-term investments, Notional Amounts | 119,794 | 159,901 |
Other long-term investments, Fair Value | 1,368 | 2,109 |
Other liabilities. Notional Amount | 121,162 | 174,743 |
Other liabilities, Fair Value | 2,016 | 2,376 |
Derivatives not designated as hedging instruments | Currency futures | ||
Derivative [Line Items] | ||
Other long-term investments, Notional Amounts | 261,473 | 72,593 |
Other long-term investments, Fair Value | 3,850 | 131 |
Other liabilities. Notional Amount | 0 | 192,306 |
Other liabilities, Fair Value | 0 | 1,836 |
Derivatives not designated as hedging instruments | Equity options | ||
Derivative [Line Items] | ||
Other long-term investments, Notional Amounts | 7,379,220 | 6,685,670 |
Other long-term investments, Fair Value | 661,507 | 676,257 |
Other liabilities. Notional Amount | 5,249,748 | 4,827,714 |
Other liabilities, Fair Value | 302,348 | 429,434 |
Derivatives not designated as hedging instruments | Other | ||
Derivative [Line Items] | ||
Other liabilities. Notional Amount | 250,726 | 199,387 |
Other liabilities, Fair Value | 44,153 | 53,245 |
Derivatives designated as hedging instrument | Cash flow hedges | Interest rate swaps | ||
Derivative [Line Items] | ||
Other liabilities. Notional Amount | 350,000 | 350,000 |
Other liabilities, Fair Value | 0 | 0 |
Derivatives designated as hedging instrument | Cash flow hedges | Foreign currency swaps | ||
Derivative [Line Items] | ||
Other liabilities. Notional Amount | 117,178 | 117,178 |
Other liabilities, Fair Value | $ 22,879 | $ 11,373 |
OFFSETTING OF ASSETS AND LIAB_3
OFFSETTING OF ASSETS AND LIABILITIES - Schedule of Derivative Instruments by Assets (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Derivative instruments by assets | ||
Fair value of non-cash collateral | $ 39,900 | $ 21,300 |
Offsetting of Assets | ||
Gross Amounts of Recognized Assets, Derivatives Not Subject to a master netting arrangement | 1,172,964 | 995,493 |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Assets Presented in the Balance Sheets | 1,172,964 | 995,493 |
Gross Amounts Not Offset in the statement of Financial Position, Financial Instruments, subject to master netting arrangement | 328,282 | 452,562 |
Gross Amounts Not Offset in the Statement of Financial Position, Cash collateral received | 404,541 | 215,587 |
Net Amount | 440,141 | 327,344 |
Free-Standing derivatives | ||
Offsetting of Assets | ||
Gross Amounts of Recognized Assets, subject to master netting arrangement | 897,057 | 785,650 |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Assets Presented in the Balance Sheets | 897,057 | 785,650 |
Gross Amounts Not Offset in the Statement of Financial Position, Financial Instruments, not subject to master netting arrangement | 328,282 | 452,562 |
Gross Amounts Not Offset in the Statement of Financial Position, Cash collateral received | 404,541 | 215,587 |
Net Amount | 164,234 | 117,501 |
Total derivatives, subject to a master netting arrangement or similar arrangement | ||
Offsetting of Assets | ||
Gross Amounts of Recognized Assets, subject to master netting arrangement | 897,057 | 785,650 |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Assets Presented in the Balance Sheets | 897,057 | 785,650 |
Gross Amounts Not Offset in the Statement of Financial Position, Financial Instruments, not subject to master netting arrangement | 328,282 | 452,562 |
Gross Amounts Not Offset in the Statement of Financial Position, Cash collateral received | 404,541 | 215,587 |
Net Amount | 164,234 | 117,501 |
Embedded derivative - Modco reinsurance treaties | ||
Offsetting of Assets | ||
Gross Amounts of Recognized Assets, Derivatives Not Subject to a master netting arrangement | 64,758 | 31,926 |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Assets Presented in the Balance Sheets | 64,758 | 31,926 |
Gross Amounts Not Offset in the statement of Financial Position, Financial Instruments, subject to master netting arrangement | 0 | 0 |
Gross Amounts Not Offset in the Statement of Financial Position, Cash collateral received | 0 | 0 |
Net Amount | 64,758 | 31,926 |
Embedded derivative - GLWB | ||
Offsetting of Assets | ||
Gross Amounts of Recognized Assets, Derivatives Not Subject to a master netting arrangement | 45,636 | 62,538 |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Assets Presented in the Balance Sheets | 45,636 | 62,538 |
Gross Amounts Not Offset in the statement of Financial Position, Financial Instruments, subject to master netting arrangement | 0 | 0 |
Gross Amounts Not Offset in the Statement of Financial Position, Cash collateral received | 0 | 0 |
Net Amount | 45,636 | 62,538 |
Derivatives with PLC | ||
Offsetting of Assets | ||
Gross Amounts of Recognized Assets, Derivatives Not Subject to a master netting arrangement | 113,653 | 115,379 |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Assets Presented in the Balance Sheets | 113,653 | 115,379 |
Gross Amounts Not Offset in the statement of Financial Position, Financial Instruments, subject to master netting arrangement | 0 | 0 |
Gross Amounts Not Offset in the Statement of Financial Position, Cash collateral received | 0 | 0 |
Net Amount | 113,653 | 115,379 |
Other | ||
Offsetting of Assets | ||
Gross Amounts of Recognized Assets, Derivatives Not Subject to a master netting arrangement | 51,860 | 0 |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Assets Presented in the Balance Sheets | 51,860 | 0 |
Gross Amounts Not Offset in the statement of Financial Position, Financial Instruments, subject to master netting arrangement | 0 | 0 |
Gross Amounts Not Offset in the Statement of Financial Position, Cash collateral received | 0 | 0 |
Net Amount | 51,860 | 0 |
Total derivatives, not subject to a master netting arrangement or similar arrangement | ||
Offsetting of Assets | ||
Gross Amounts of Recognized Assets, Derivatives Not Subject to a master netting arrangement | 275,907 | 209,843 |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Assets Presented in the Balance Sheets | 275,907 | 209,843 |
Gross Amounts Not Offset in the statement of Financial Position, Financial Instruments, subject to master netting arrangement | 0 | 0 |
Gross Amounts Not Offset in the Statement of Financial Position, Cash collateral received | 0 | 0 |
Net Amount | $ 275,907 | $ 209,843 |
OFFSETTING OF ASSETS AND LIAB_4
OFFSETTING OF ASSETS AND LIABILITIES - Schedule of Derivative Instruments by Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Offsetting of Liabilities | ||
Gross Amounts of Recognized Liabilities, Not subject to a master netting arrangement or similar arrangement | $ 2,155,762 | $ 1,547,178 |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Liabilities Presented in the Balance Sheets | 2,155,762 | 1,547,178 |
Derivative Liability, Not Subject to Master Netting Arrangement Deduction, financial instruments | 328,282 | 452,562 |
Gross Amounts Not Offset in the Statement of Financial Position, Cash collateral paid | 2,040 | 4,791 |
Net Amount | 1,825,440 | 1,089,825 |
Repurchase agreements | ||
Gross Amounts of Recognized Liabilities | 100,000 | 270,000 |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Liabilities Presented in the Balance Sheets | 100,000 | 270,000 |
Gross Amounts Not Offset in the Statement of Financial Position, Financial instruments | 0 | 0 |
Gross Amounts Not Offset in the Statement of Financial Position, Cash collateral paid | 0 | 0 |
Net Amount | 100,000 | 270,000 |
Total Liabilities | ||
Gross Amounts of Recognized Liabilities | 2,255,762 | 1,817,178 |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Liabilities Presented in the Balance Sheets | 2,255,762 | 1,817,178 |
Gross Amounts Not Offset in the Statement of Financial Position, Financial Instruments | 328,282 | 452,562 |
Gross Amounts Not Offset in the Statement of Financial Position, Cash Collateral Paid | 2,040 | 4,791 |
Net Amount | 1,925,440 | 1,359,825 |
Free-Standing derivatives | ||
Offsetting of Liabilities | ||
Gross Amounts of Recognized Liabilities, Subject to master netting arrangement or similar arrangement | 332,141 | 458,623 |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Liabilities Presented in the Balance Sheets | 332,141 | 458,623 |
Derivative Liability, Not Offset, Policy election deduction, financial instruments | 328,282 | 452,562 |
Gross Amounts Not Offset in the Statement of Financial Position, Cash collateral paid | 2,040 | 4,791 |
Net Amount | 1,819 | 1,270 |
Total derivatives, subject to a master netting arrangement or similar arrangement | ||
Offsetting of Liabilities | ||
Gross Amounts of Recognized Liabilities, Subject to master netting arrangement or similar arrangement | 332,141 | 458,623 |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Liabilities Presented in the Balance Sheets | 332,141 | 458,623 |
Derivative Liability, Not Offset, Policy election deduction, financial instruments | 328,282 | 452,562 |
Gross Amounts Not Offset in the Statement of Financial Position, Cash collateral paid | 2,040 | 4,791 |
Net Amount | 1,819 | 1,270 |
Embedded derivative - Modco reinsurance treaties | ||
Offsetting of Liabilities | ||
Gross Amounts of Recognized Liabilities, Not subject to a master netting arrangement or similar arrangement | 289,709 | 231,516 |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Liabilities Presented in the Balance Sheets | 289,709 | 231,516 |
Derivative Liability, Not Subject to Master Netting Arrangement Deduction, financial instruments | 0 | 0 |
Gross Amounts Not Offset in the Statement of Financial Position, Cash collateral paid | 0 | 0 |
Net Amount | 289,709 | 231,516 |
Funds withheld derivative | ||
Offsetting of Liabilities | ||
Gross Amounts of Recognized Liabilities, Not subject to a master netting arrangement or similar arrangement | 159,370 | 70,583 |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Liabilities Presented in the Balance Sheets | 159,370 | 70,583 |
Derivative Liability, Not Subject to Master Netting Arrangement Deduction, financial instruments | 0 | 0 |
Gross Amounts Not Offset in the Statement of Financial Position, Cash collateral paid | 0 | 0 |
Net Amount | 159,370 | 70,583 |
Embedded derivative - GLWB | ||
Offsetting of Liabilities | ||
Gross Amounts of Recognized Liabilities, Not subject to a master netting arrangement or similar arrangement | 636,398 | 248,577 |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Liabilities Presented in the Balance Sheets | 636,398 | 248,577 |
Derivative Liability, Not Subject to Master Netting Arrangement Deduction, financial instruments | 0 | 0 |
Gross Amounts Not Offset in the Statement of Financial Position, Cash collateral paid | 0 | 0 |
Net Amount | 636,398 | 248,577 |
Embedded derivative - FIA | ||
Offsetting of Liabilities | ||
Gross Amounts of Recognized Liabilities, Not subject to a master netting arrangement or similar arrangement | 497,336 | 332,869 |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Liabilities Presented in the Balance Sheets | 497,336 | 332,869 |
Derivative Liability, Not Subject to Master Netting Arrangement Deduction, financial instruments | 0 | 0 |
Gross Amounts Not Offset in the Statement of Financial Position, Cash collateral paid | 0 | 0 |
Net Amount | 497,336 | 332,869 |
Embedded derivative - IUL | ||
Offsetting of Liabilities | ||
Gross Amounts of Recognized Liabilities, Not subject to a master netting arrangement or similar arrangement | 196,655 | 151,765 |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Liabilities Presented in the Balance Sheets | 196,655 | 151,765 |
Derivative Liability, Not Subject to Master Netting Arrangement Deduction, financial instruments | 0 | 0 |
Gross Amounts Not Offset in the Statement of Financial Position, Cash collateral paid | 0 | 0 |
Net Amount | 196,655 | 151,765 |
Other | ||
Offsetting of Liabilities | ||
Gross Amounts of Recognized Liabilities, Not subject to a master netting arrangement or similar arrangement | 44,153 | 53,245 |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Liabilities Presented in the Balance Sheets | 44,153 | 53,245 |
Derivative Liability, Not Subject to Master Netting Arrangement Deduction, financial instruments | 0 | 0 |
Gross Amounts Not Offset in the Statement of Financial Position, Cash collateral paid | 0 | 0 |
Net Amount | 44,153 | 53,245 |
Total derivatives, not subject to a master netting arrangement or similar arrangement | ||
Offsetting of Liabilities | ||
Gross Amounts of Recognized Liabilities, Not subject to a master netting arrangement or similar arrangement | 1,823,621 | 1,088,555 |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Liabilities Presented in the Balance Sheets | 1,823,621 | 1,088,555 |
Derivative Liability, Not Subject to Master Netting Arrangement Deduction, financial instruments | 0 | 0 |
Gross Amounts Not Offset in the Statement of Financial Position, Cash collateral paid | 0 | 0 |
Net Amount | $ 1,823,621 | $ 1,088,555 |
COMMERCIAL MORTGAGE LOANS - Add
COMMERCIAL MORTGAGE LOANS - Additional Information (Details) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2020USD ($)loan | Jun. 30, 2019USD ($) | Jun. 30, 2020USD ($)loanrestructuring | Jun. 30, 2019USD ($) | Dec. 31, 2019USD ($) | |
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Commercial mortgage loans on real estate, net | $ 9,545,793,000 | $ 9,545,793,000 | $ 9,379,401,000 | ||
Write-offs | 0 | ||||
Increase in allowance for credit loss on mortgage loans due to deterioration in macroeconomic forecasts as a result of COVID-19 | 97,000,000 | ||||
Commercial Mortgage Loans | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Commercial mortgage loans, before allowance for credit losses | 9,718,979,000 | 9,718,979,000 | |||
Commercial mortgage loans on real estate, net | 9,545,793,000 | $ 9,545,793,000 | |||
Mortgage call option period | 10 years | ||||
Amount that would become due in remainder of 2020, if loans are called at their next call dates | 30,500,000 | $ 30,500,000 | |||
Amount that would become due in 2021 through 2025, if loans are called at their next call dates | 717,500,000 | 717,500,000 | |||
Amount that would become due in 2026 through 2030, if loans are called at their next call dates | 57,100,000 | 57,100,000 | |||
Mortgage loans having participation feature | 761,400,000 | 761,400,000 | $ 717,000,000 | ||
Income recognized on participating mortgage loans | 500,000 | $ 12,000,000 | 16,500,000 | $ 14,200,000 | |
Loans not subject to pooling and servicing agreement, non performing or restructured amount | 1,200,000 | $ 800,000 | $ 1,200,000 | $ 800,000 | |
Number of troubled debt restructurings | restructuring | 2 | ||||
Write-offs | 0 | $ 0 | |||
Commercial Mortgage Loans | CARES Act, Loan Modification Program | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Commercial mortgage loans, before allowance for credit losses | $ 2,100,000,000 | $ 2,100,000,000 | |||
Number of loans modified and not considered troubled debt restructuring | loan | 305 | 305 | |||
Maximum | Commercial Mortgage Loans | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Loan-to-value ratio with participating interest (as a percent) | 85.00% | 85.00% |
COMMERCIAL MORTGAGE LOANS - Sch
COMMERCIAL MORTGAGE LOANS - Schedule of Commercial Mortgage Loans (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Allowance for Credit Loss | ||
Allowance for credit losses | $ (173,186) | $ (4,884) |
Total Commercial Loans | ||
Total commercial mortgage loans | 9,545,793 | $ 9,379,401 |
Commercial Mortgage Loans | ||
Amortized Cost | ||
2020 | 591,896 | |
2019 | 2,545,699 | |
2018 | 1,625,965 | |
2017 | 1,368,660 | |
2016 | 961,861 | |
Prior | 2,624,898 | |
Amortized cost | 9,718,979 | |
Allowance for Credit Loss | ||
2020 | (10,132) | |
2019 | (36,008) | |
2018 | (48,449) | |
2017 | (24,083) | |
2016 | (23,702) | |
Prior | (30,812) | |
Allowance for credit losses | (173,186) | |
Total Commercial Loans | ||
2020 | 581,764 | |
2019 | 2,509,691 | |
2018 | 1,577,516 | |
2017 | 1,344,577 | |
2016 | 938,159 | |
Prior | 2,594,086 | |
Total commercial mortgage loans | 9,545,793 | |
Commercial Mortgage Loans | Debt Service Coverage Ratio, Less than 1.20x | ||
Amortized Cost | ||
2020 | 567,319 | |
2019 | 2,271,803 | |
2018 | 1,227,831 | |
2017 | 1,102,631 | |
2016 | 705,564 | |
Prior | 2,071,033 | |
Amortized cost | 7,946,181 | |
Commercial Mortgage Loans | Debt Service Coverage Ratio, 1.00x to 1.20x | ||
Amortized Cost | ||
2020 | 24,577 | |
2019 | 272,789 | |
2018 | 295,053 | |
2017 | 212,063 | |
2016 | 196,169 | |
Prior | 372,406 | |
Amortized cost | 1,373,057 | |
Commercial Mortgage Loans | Debt Service Coverage Ratio, Less than 1.00x | ||
Amortized Cost | ||
2020 | 0 | |
2019 | 1,107 | |
2018 | 103,081 | |
2017 | 53,966 | |
2016 | 60,128 | |
Prior | 181,459 | |
Amortized cost | 399,741 | |
Commercial Mortgage Loans | Loan-to-Value Ratio, Less than 75% | ||
Amortized Cost | ||
2020 | 31,134 | |
2019 | 39,776 | |
2018 | 106,759 | |
2017 | 52,056 | |
2016 | 6,648 | |
Prior | 6,121 | |
Amortized cost | 242,494 | |
Commercial Mortgage Loans | Loan-to-Value Ratio, 50% to 75% | ||
Amortized Cost | ||
2020 | 467,822 | |
2019 | 1,653,459 | |
2018 | 1,030,908 | |
2017 | 1,032,967 | |
2016 | 794,766 | |
Prior | 1,400,615 | |
Amortized cost | 6,380,537 | |
Commercial Mortgage Loans | Loan-to-Value Ratio, Less Than 50% | ||
Amortized Cost | ||
2020 | 92,940 | |
2019 | 852,464 | |
2018 | 488,298 | |
2017 | 283,637 | |
2016 | 160,447 | |
Prior | 1,218,162 | |
Amortized cost | 3,095,948 | |
Performing | Commercial Mortgage Loans | ||
Amortized Cost | ||
2020 | 591,896 | |
2019 | 2,545,699 | |
2018 | 1,625,965 | |
2017 | 1,368,660 | |
2016 | 961,861 | |
Prior | 2,624,898 | |
Amortized cost | 9,718,979 | |
Non-performing | Commercial Mortgage Loans | ||
Amortized Cost | ||
2020 | 0 | |
2019 | 0 | |
2018 | 0 | |
2017 | 0 | |
2016 | 0 | |
Prior | 0 | |
Amortized cost | $ 0 |
COMMERCIAL MORTGAGE LOANS - S_2
COMMERCIAL MORTGAGE LOANS - Schedule of Allowance for Credit Losses on Funded and Unfunded Mortgages (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2020USD ($) | |
Allowance for Funded Commercial Mortgage Loan Credit Losses | |
Beginning balance | $ 4,884 |
Charge offs | 0 |
Recoveries | (1,839) |
Provision | 89,902 |
Ending balance | 173,186 |
Allowance for Unfunded Commercial Mortgage Loan Commitments Credit Losses | |
Beginning balance | 0 |
Charge offs | 0 |
Recoveries | 0 |
Provision | 8,940 |
Ending balance | 19,550 |
Cumulative Effect Adjustment | |
Allowance for Funded Commercial Mortgage Loan Credit Losses | |
Beginning balance | 80,239 |
Allowance for Unfunded Commercial Mortgage Loan Commitments Credit Losses | |
Beginning balance | $ 10,610 |
COMMERCIAL MORTGAGE LOANS - Del
COMMERCIAL MORTGAGE LOANS - Delinquent Loans (Details) - Commercial Mortgage Loans $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2020USD ($)loan | Dec. 31, 2019USD ($)loan | |
Delinquent loans | ||
Commercial mortgage loans | $ | $ 4,435 | $ 7,165 |
Number of delinquent commercial mortgage loans | loan | 3 | 5 |
30-59 Days Delinquent | ||
Delinquent loans | ||
Commercial mortgage loans | $ | $ 2,175 | $ 6,455 |
Number of delinquent commercial mortgage loans | loan | 2 | 2 |
60-89 Days Delinquent | ||
Delinquent loans | ||
Commercial mortgage loans | $ | $ 2,260 | $ 0 |
Number of delinquent commercial mortgage loans | loan | 1 | 0 |
Greater than 90 Days Delinquent | ||
Delinquent loans | ||
Commercial mortgage loans | $ | $ 0 | $ 710 |
Number of delinquent commercial mortgage loans | loan | 0 | 3 |
COMMERCIAL MORTGAGE LOANS - Imp
COMMERCIAL MORTGAGE LOANS - Impaired Loans (Details) - Commercial Mortgage Loans - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2020 | Dec. 31, 2019 | |
Recorded Investment | ||
With no related allowance recorded | $ 0 | $ 710 |
With an allowance recorded | 0 | 16,209 |
Unpaid Principal Balance | ||
With no related allowance recorded | 0 | 702 |
With an allowance recorded | 0 | 16,102 |
Related Allowance | ||
With an allowance recorded | 0 | 4,884 |
Average Recorded Investment | ||
With no related allowance recorded | 0 | 237 |
With an allowance recorded | 0 | 3,242 |
Interest Income Recognized | ||
With no related allowance recorded | 0 | 20 |
With an allowance recorded | 0 | 841 |
Cash Basis Interest Income | ||
With no related allowance recorded | 0 | 28 |
With an allowance recorded | $ 0 | $ 838 |
COMMERCIAL MORTGAGE LOANS - Tro
COMMERCIAL MORTGAGE LOANS - Troubled Debt Restructuring (Details) - Commercial Mortgage Loans $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2020USD ($)contract | Dec. 31, 2019USD ($)contract | |
Financing Receivable, Troubled Debt Restructuring [Line Items] | ||
Number of Contracts | contract | 1 | 2 |
Pre-Modification Outstanding Recorded Investment | $ 1,237 | $ 3,771 |
Post-Modification Outstanding Recorded Investment | $ 1,237 | $ 3,771 |
DEBT AND OTHER OBLIGATIONS - De
DEBT AND OTHER OBLIGATIONS - Debt and Subordinated Debt Securities (Details) - Credit Facility - USD ($) | May 03, 2018 | Jun. 30, 2020 |
Debt Instrument [Line Items] | ||
Line of credit, maximum borrowing capacity | $ 1,000,000,000 | |
Line of credit, maximum borrowing capacity to be granted upon entity's request | $ 1,500,000,000 | |
Facility fee percentage | 0.125% | |
PLC | ||
Debt Instrument [Line Items] | ||
Line of credit, amount outstanding | $ 280,000,000 | |
Federal Funds rate | ||
Debt Instrument [Line Items] | ||
Interest rate added to the base rate (as a percent) | 0.50% | |
One Month LIBOR | ||
Debt Instrument [Line Items] | ||
Interest rate added to the base rate (as a percent) | 1.00% |
DEBT AND OTHER OBLIGATIONS - No
DEBT AND OTHER OBLIGATIONS - Non-Recourse Funding Obligations (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2020 | Dec. 31, 2019 | |
Debt Instrument [Line Items] | ||
Outstanding Principal | $ 2,986,834 | $ 3,079,834 |
Carrying Value | 2,989,340 | 3,082,753 |
Golden Gate Captive Insurance Company | ||
Debt Instrument [Line Items] | ||
Outstanding Principal | 1,915,000 | 2,028,000 |
Carrying Value | $ 1,915,000 | $ 2,028,000 |
Year-to-Date Weighted-Avg Interest Rate | 4.70% | 4.70% |
Golden Gate II Captive Insurance Company | ||
Debt Instrument [Line Items] | ||
Outstanding Principal | $ 329,949 | $ 329,949 |
Carrying Value | $ 275,579 | $ 274,955 |
Year-to-Date Weighted-Avg Interest Rate | 4.38% | 5.06% |
Golden Gate V Vermont Captive Insurance Company | ||
Debt Instrument [Line Items] | ||
Outstanding Principal | $ 740,000 | $ 720,000 |
Carrying Value | $ 796,526 | $ 777,527 |
Year-to-Date Weighted-Avg Interest Rate | 5.12% | 5.12% |
MONY Life Insurance Company | ||
Debt Instrument [Line Items] | ||
Outstanding Principal | $ 1,885 | $ 1,885 |
Carrying Value | $ 2,235 | $ 2,271 |
Year-to-Date Weighted-Avg Interest Rate | 6.19% | 6.19% |
DEBT AND OTHER OBLIGATIONS - Se
DEBT AND OTHER OBLIGATIONS - Secured Financing Transactions (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2020 | Dec. 31, 2019 | |
Debt Instrument [Line Items] | ||
Initial collateral required (as a percent) | 102.00% | |
Securities lending transactions | $ 99,561 | $ 62,840 |
Fair value of collateral | 102,500 | |
Obligation to return collateral | 102,500 | |
Repurchase Program Borrowings | ||
Debt Instrument [Line Items] | ||
Fair value of securities pledged under the repurchase program | 103,200 | 282,200 |
Maximum outstanding balance | 440,000 | 900,000 |
Average daily balance | 84,000 | 212,200 |
Secured financing liabilities | $ 100,000 | $ 270,000 |
Average borrowing rate (as a percent) | 0.12% | 1.63% |
Average borrowing rate (as a percent) | 0.74% | 2.14% |
Repurchase Program Borrowings | Maximum | ||
Debt Instrument [Line Items] | ||
Term of financing agreement | 90 days |
DEBT AND OTHER OBLIGATIONS - Am
DEBT AND OTHER OBLIGATIONS - Amount of Collateral Pledged for Repurchase Agreements, Grouped by Asset Class (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Debt Instrument [Line Items] | ||
Repurchase agreements and repurchase-to-maturity transactions | $ 103,190 | $ 282,198 |
Securities lending transactions | 99,561 | 62,840 |
Total securities | 202,751 | 345,038 |
U.S. Treasury and agency securities | ||
Debt Instrument [Line Items] | ||
Repurchase agreements and repurchase-to-maturity transactions | 103,190 | 282,198 |
Corporate securities | ||
Debt Instrument [Line Items] | ||
Securities lending transactions | 72,576 | 55,720 |
Equity securities | ||
Debt Instrument [Line Items] | ||
Securities lending transactions | 26,566 | 7,120 |
Other government related securities | ||
Debt Instrument [Line Items] | ||
Securities lending transactions | 419 | |
Overnight and Continuous | ||
Debt Instrument [Line Items] | ||
Repurchase agreements and repurchase-to-maturity transactions | 103,190 | 282,198 |
Securities lending transactions | 99,561 | 62,840 |
Total securities | 202,751 | 345,038 |
Overnight and Continuous | U.S. Treasury and agency securities | ||
Debt Instrument [Line Items] | ||
Repurchase agreements and repurchase-to-maturity transactions | 103,190 | 282,198 |
Overnight and Continuous | Corporate securities | ||
Debt Instrument [Line Items] | ||
Securities lending transactions | 72,576 | 55,720 |
Overnight and Continuous | Equity securities | ||
Debt Instrument [Line Items] | ||
Securities lending transactions | 26,566 | 7,120 |
Overnight and Continuous | Other government related securities | ||
Debt Instrument [Line Items] | ||
Securities lending transactions | 419 | |
Up to 30 days | ||
Debt Instrument [Line Items] | ||
Repurchase agreements and repurchase-to-maturity transactions | 0 | 0 |
Securities lending transactions | 0 | 0 |
Total securities | 0 | 0 |
Up to 30 days | U.S. Treasury and agency securities | ||
Debt Instrument [Line Items] | ||
Repurchase agreements and repurchase-to-maturity transactions | 0 | 0 |
Up to 30 days | Corporate securities | ||
Debt Instrument [Line Items] | ||
Securities lending transactions | 0 | 0 |
Up to 30 days | Equity securities | ||
Debt Instrument [Line Items] | ||
Securities lending transactions | 0 | 0 |
Up to 30 days | Other government related securities | ||
Debt Instrument [Line Items] | ||
Securities lending transactions | 0 | |
30-90 days | ||
Debt Instrument [Line Items] | ||
Repurchase agreements and repurchase-to-maturity transactions | 0 | 0 |
Securities lending transactions | 0 | 0 |
Total securities | 0 | 0 |
30-90 days | U.S. Treasury and agency securities | ||
Debt Instrument [Line Items] | ||
Repurchase agreements and repurchase-to-maturity transactions | 0 | 0 |
30-90 days | Corporate securities | ||
Debt Instrument [Line Items] | ||
Securities lending transactions | 0 | 0 |
30-90 days | Equity securities | ||
Debt Instrument [Line Items] | ||
Securities lending transactions | 0 | 0 |
30-90 days | Other government related securities | ||
Debt Instrument [Line Items] | ||
Securities lending transactions | 0 | |
Greater Than 90 days | ||
Debt Instrument [Line Items] | ||
Repurchase agreements and repurchase-to-maturity transactions | 0 | 0 |
Securities lending transactions | 0 | 0 |
Total securities | 0 | 0 |
Greater Than 90 days | U.S. Treasury and agency securities | ||
Debt Instrument [Line Items] | ||
Repurchase agreements and repurchase-to-maturity transactions | 0 | 0 |
Greater Than 90 days | Corporate securities | ||
Debt Instrument [Line Items] | ||
Securities lending transactions | 0 | 0 |
Greater Than 90 days | Equity securities | ||
Debt Instrument [Line Items] | ||
Securities lending transactions | 0 | $ 0 |
Greater Than 90 days | Other government related securities | ||
Debt Instrument [Line Items] | ||
Securities lending transactions | $ 0 |
COMMITMENTS AND CONTINGENCIES (
COMMITMENTS AND CONTINGENCIES (Details) - Administrative and marketing office space | Jun. 30, 2020city |
Loss Contingencies [Line Items] | |
Number of cities in which properties are leased | 9 |
Minimum | |
Loss Contingencies [Line Items] | |
Operating lease term | 2 years |
Maximum | |
Loss Contingencies [Line Items] | |
Operating lease term | 25 years |
ACCUMULATED OTHER COMPREHENSI_3
ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) - Changes in AOCI by Component (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended |
Jun. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | |
AOCI Attributable to Parent, Net of Tax [Roll Forward] | |||
Beginning Balance | $ 9,669,087 | $ 11,206,826 | $ 7,042,788 |
Other comprehensive income (loss) on investments for which a credit loss has been recognized in earnings | 4,762 | (1,767) | |
Ending Balance | 12,116,623 | 12,116,623 | 11,206,826 |
Total Accumulated Other Comprehensive Income (Loss) | |||
AOCI Attributable to Parent, Net of Tax [Roll Forward] | |||
Beginning Balance | (65,962) | 1,407,642 | (1,404,216) |
Other comprehensive income (loss) before reclassifications | 776,518 | 2,824,107 | |
Other comprehensive income (loss) on investments for which a credit loss has been recognized in earnings | (3,574) | ||
Other comprehensive income (loss) on investments for which a credit loss has been recognized in earnings | (1,767) | ||
Amounts reclassified from accumulated other comprehensive income (loss) | 34,076 | (8,675) | |
Ending Balance | 2,216,469 | 2,216,469 | 1,407,642 |
Unrealized Gains and Losses on Investments | |||
AOCI Attributable to Parent, Net of Tax [Roll Forward] | |||
Beginning Balance | 1,415,631 | (1,404,209) | |
Other comprehensive income (loss) before reclassifications | 778,919 | 2,833,888 | |
Other comprehensive income (loss) on investments for which a credit loss has been recognized in earnings | (3,574) | ||
Other comprehensive income (loss) on investments for which a credit loss has been recognized in earnings | (1,767) | ||
Amounts reclassified from accumulated other comprehensive income (loss) | 31,966 | (10,474) | |
Ending Balance | 2,224,749 | 2,224,749 | 1,415,631 |
Offset of net unrealized losses in AOCI due to impact those net unrealized losses would have on certain of the Company's insurance assets and liabilities had the net unrealized losses been recognized in net income | (1,300,000) | (776,900) | |
Accumulated Gain and Loss Derivatives | |||
AOCI Attributable to Parent, Net of Tax [Roll Forward] | |||
Beginning Balance | (7,989) | (7) | |
Other comprehensive income (loss) before reclassifications | (9,781) | ||
Other comprehensive income (loss) on investments for which a credit loss has been recognized in earnings | 0 | ||
Amounts reclassified from accumulated other comprehensive income (loss) | 1,799 | ||
Ending Balance | $ (7,989) | ||
Accumulated Gain and Loss Derivatives | |||
AOCI Attributable to Parent, Net of Tax [Roll Forward] | |||
Other comprehensive income (loss) before reclassifications | (2,401) | ||
Other comprehensive income (loss) on investments for which a credit loss has been recognized in earnings | 0 | ||
Amounts reclassified from accumulated other comprehensive income (loss) | 2,110 | ||
Ending Balance | $ (8,280) | $ (8,280) |
ACCUMULATED OTHER COMPREHENSI_4
ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) - Reclassifications (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2020 | Mar. 31, 2020 | Jun. 30, 2019 | Mar. 31, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Reclassifications Out of Accumulated Other Comprehensive Income (Loss) | ||||||
Benefits and settlement expenses, net of reinsurance ceded | $ (1,132,174) | $ (1,003,453) | $ (2,476,336) | $ (1,976,607) | ||
Tax (expense) benefit | (40,736) | (31,309) | (58,244) | (65,938) | ||
Net credit losses recognized in operations | (30,288) | (82,081) | ||||
Net income | 165,105 | $ 73,965 | 154,414 | $ 142,098 | 239,070 | 296,512 |
Amount Reclassified from Accumulated Other Comprehensive Income (Loss) | Gains and losses on derivative instruments | ||||||
Reclassifications Out of Accumulated Other Comprehensive Income (Loss) | ||||||
Benefits and settlement expenses, net of reinsurance ceded | (1,467) | (2,671) | ||||
Tax (expense) benefit | 308 | 561 | ||||
Net income | (1,159) | (2,110) | ||||
Amount Reclassified from Accumulated Other Comprehensive Income (Loss) | Gains and losses on derivative instruments | ||||||
Reclassifications Out of Accumulated Other Comprehensive Income (Loss) | ||||||
Benefits and settlement expenses, net of reinsurance ceded | (336) | (614) | ||||
Tax (expense) benefit | 70 | 128 | ||||
Net income | (266) | (486) | ||||
Amount Reclassified from Accumulated Other Comprehensive Income (Loss) | Unrealized gains and losses on available-for-sale securities | ||||||
Reclassifications Out of Accumulated Other Comprehensive Income (Loss) | ||||||
Tax (expense) benefit | 5,847 | (76) | 8,498 | (495) | ||
Realized gains (losses) - investments | 2,447 | 1,062 | 41,617 | 6,199 | ||
Net credit losses recognized in operations | (30,288) | (82,081) | ||||
Net credit losses recognized in operations | (698) | (3,840) | ||||
Net income | $ (21,994) | $ 288 | $ (31,966) | $ 1,864 |
INCOME TAXES - Narrative (Detai
INCOME TAXES - Narrative (Details) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Income Tax Disclosure [Abstract] | ||||
Effective income tax rate | 19.80% | 16.90% | 19.60% | 18.20% |
OPERATING SEGMENTS (Details)
OPERATING SEGMENTS (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Summarized financial information for the company's segments | ||||
Realized gains (losses) - derivatives | $ (160,578) | $ (55,266) | $ 77,562 | $ (128,574) |
Reclassification Adjustment | Acquisitions | ||||
Summarized financial information for the company's segments | ||||
Realized gains (losses) - derivatives | (62,000) | |||
Reclassification Adjustment | Retail Life and Annuity | ||||
Summarized financial information for the company's segments | ||||
Realized gains (losses) - derivatives | $ 62,000 |
OPERATING SEGMENTS - Schedule o
OPERATING SEGMENTS - Schedule of Operating Segments (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | |||||
Jun. 30, 2020USD ($) | Mar. 31, 2020USD ($) | Jun. 30, 2019USD ($) | Mar. 31, 2019USD ($) | Jun. 30, 2020USD ($)numberOfSegments | Jun. 30, 2019USD ($) | Dec. 31, 2019USD ($) | |
Summarized financial information for the company's segments | |||||||
Number of operating segments | numberOfSegments | 6 | ||||||
Revenues | $ 1,504,440 | $ 1,419,093 | $ 3,189,326 | $ 2,783,898 | |||
Pre-tax Adjusted Operating Income (Loss) | 116,540 | 104,847 | 174,422 | 213,653 | |||
Realized gains (losses) and adjustments | 89,301 | 80,876 | 122,892 | 148,797 | |||
Income before income tax | 205,841 | 185,723 | 297,314 | 362,450 | |||
Income tax expense | (40,736) | (31,309) | (58,244) | (65,938) | |||
Net income | 165,105 | $ 73,965 | 154,414 | $ 142,098 | 239,070 | 296,512 | |
Adjusted operating income tax expense | (21,982) | (14,325) | (32,436) | (34,691) | |||
After-tax adjusted operating income | 94,558 | 90,522 | 141,986 | 178,962 | |||
Income tax (expense) benefit on adjustments | (18,754) | (16,984) | (25,808) | (31,247) | |||
Realized gains (losses) and adjustments: | |||||||
Derivative financial instruments | (160,578) | (55,266) | 77,562 | (128,574) | |||
Investments | 180,680 | 98,811 | (95,571) | 225,197 | |||
Less: related amortization | (55,952) | (26,840) | (114,378) | (31,201) | |||
Less: VA GLWB economic cost | (13,247) | (10,491) | (26,523) | (20,973) | |||
Net investment income | 740,435 | 685,194 | 1,493,415 | 1,326,616 | |||
Amortization of deferred policy acquisition costs and value of business acquired | (18,508) | 33,837 | 35,455 | 64,210 | |||
Operating Segment Assets | |||||||
Investments and other assets | 118,033,277 | 118,033,277 | $ 115,549,177 | ||||
DAC and VOBA | 3,561,997 | 3,561,997 | 3,519,555 | ||||
Other intangibles | 565,115 | 565,115 | 583,426 | ||||
Goodwill | 825,511 | 825,511 | 825,511 | ||||
Total assets | 122,985,900 | 122,985,900 | 120,477,669 | ||||
Retail Life and Annuity | |||||||
Summarized financial information for the company's segments | |||||||
Revenues | 553,872 | 573,256 | 1,330,516 | 1,166,010 | |||
Pre-tax Adjusted Operating Income (Loss) | 20,035 | 37,378 | 7,715 | 84,390 | |||
Realized gains (losses) and adjustments: | |||||||
Net investment income | 246,929 | 231,570 | 499,348 | 462,468 | |||
Amortization of deferred policy acquisition costs and value of business acquired | 6,752 | 5,246 | (7,004) | 20,194 | |||
Operating Segment Assets | |||||||
Investments and other assets | 38,003,155 | 38,003,155 | 37,448,239 | ||||
DAC and VOBA | 2,503,881 | 2,503,881 | 2,416,616 | ||||
Other intangibles | 384,423 | 384,423 | 401,178 | ||||
Goodwill | 558,501 | 558,501 | 558,501 | ||||
Total assets | 41,449,960 | 41,449,960 | 40,824,534 | ||||
Acquisitions | |||||||
Summarized financial information for the company's segments | |||||||
Revenues | 797,561 | 667,031 | 1,597,162 | 1,276,973 | |||
Pre-tax Adjusted Operating Income (Loss) | 97,997 | 69,810 | 173,122 | 144,722 | |||
Realized gains (losses) and adjustments: | |||||||
Net investment income | 413,346 | 355,761 | 829,773 | 680,272 | |||
Amortization of deferred policy acquisition costs and value of business acquired | (42,355) | 12,037 | 9,606 | 10,961 | |||
Operating Segment Assets | |||||||
Investments and other assets | 54,020,299 | 54,020,299 | 54,074,450 | ||||
DAC and VOBA | 885,472 | 885,472 | 924,090 | ||||
Other intangibles | 34,668 | 34,668 | 36,321 | ||||
Goodwill | 23,862 | 23,862 | 23,862 | ||||
Total assets | 54,964,301 | 54,964,301 | 55,058,723 | ||||
Stable Value Products | |||||||
Summarized financial information for the company's segments | |||||||
Revenues | 52,539 | 67,585 | 89,141 | 127,164 | |||
Pre-tax Adjusted Operating Income (Loss) | 16,665 | 28,106 | 41,990 | 50,345 | |||
Realized gains (losses) and adjustments: | |||||||
Net investment income | 52,399 | 67,122 | 115,069 | 124,743 | |||
Amortization of deferred policy acquisition costs and value of business acquired | 770 | 854 | 1,567 | 1,727 | |||
Operating Segment Assets | |||||||
Investments and other assets | 5,858,557 | 5,858,557 | 5,317,885 | ||||
DAC and VOBA | 5,166 | 5,166 | 5,221 | ||||
Other intangibles | 6,389 | 6,389 | 6,722 | ||||
Goodwill | 113,924 | 113,924 | 113,924 | ||||
Total assets | 5,984,036 | 5,984,036 | 5,443,752 | ||||
Asset Protection | |||||||
Summarized financial information for the company's segments | |||||||
Revenues | 69,103 | 73,070 | 141,592 | 146,265 | |||
Pre-tax Adjusted Operating Income (Loss) | 12,740 | 8,459 | 23,367 | 17,308 | |||
Realized gains (losses) and adjustments: | |||||||
Net investment income | 6,491 | 7,049 | 13,706 | 13,851 | |||
Amortization of deferred policy acquisition costs and value of business acquired | 16,325 | 15,700 | 31,286 | 31,328 | |||
Operating Segment Assets | |||||||
Investments and other assets | 862,780 | 862,780 | 878,386 | ||||
DAC and VOBA | 167,478 | 167,478 | 173,628 | ||||
Other intangibles | 106,690 | 106,690 | 112,032 | ||||
Goodwill | 129,224 | 129,224 | 129,224 | ||||
Total assets | 1,266,172 | 1,266,172 | 1,293,270 | ||||
Corporate and Other | |||||||
Summarized financial information for the company's segments | |||||||
Revenues | 31,365 | 38,151 | 30,915 | 67,486 | |||
Pre-tax Adjusted Operating Income (Loss) | (30,897) | (38,906) | (71,772) | (83,112) | |||
Realized gains (losses) and adjustments: | |||||||
Net investment income | 21,270 | 23,692 | 35,519 | 45,282 | |||
Amortization of deferred policy acquisition costs and value of business acquired | 0 | $ 0 | 0 | $ 0 | |||
Operating Segment Assets | |||||||
Investments and other assets | 19,288,486 | 19,288,486 | 17,830,217 | ||||
DAC and VOBA | 0 | 0 | 0 | ||||
Other intangibles | 32,945 | 32,945 | 27,173 | ||||
Goodwill | 0 | 0 | 0 | ||||
Total assets | $ 19,321,431 | $ 19,321,431 | $ 17,857,390 |