Document and Entity Information
Document and Entity Information Document - shares | 3 Months Ended | |
Mar. 31, 2016 | May. 09, 2016 | |
Document and Entity Information [Abstract] | ||
Entity Registrant Name | VOYA RETIREMENT INSURANCE & ANNUITY CO | |
Entity Central Index Key | 837,010 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Document Type | 10-Q | |
Document Period End Date | Mar. 31, 2016 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q1 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 55,000 |
Condensed Consolidated Balance
Condensed Consolidated Balance Sheets - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 |
Investments: | ||
Fixed maturities, available-for-sale, at fair value (amortized cost of $20,667.8 as of 2016 and $20,747.1 as of 2015) | $ 21,800.4 | $ 21,211.6 |
Fixed maturities, at fair value using the fair value option | 905.6 | 798 |
Equity securities, available-for-sale, at fair value (cost of $67.8 as of 2016 and $116.7 as of 2015) | 82.9 | 131.3 |
Short-term investments | 0.1 | 0 |
Mortgage loans on real estate, net of valuation allowance of $1.2 as of 2016 and 2015 | 3,930 | 3,729.1 |
Policy loans | 225.2 | 229.8 |
Limited partnerships/corporations | 304.2 | 298.5 |
Derivatives | 659 | 450.3 |
Securities pledged (amortized cost of $622.2 as of 2016 and $252.3 as of 2015) | 700.5 | 249.2 |
Total investments | 28,607.9 | 27,097.8 |
Cash and cash equivalents | 887 | 661.1 |
Short-term investments under securities loan agreement, including collateral delivered | 430.5 | 241.5 |
Accrued investment income | 311.4 | 295.3 |
Reinsurance recoverable | 1,804.4 | 1,838.8 |
Deferred policy acquisition costs, Value of business acquired, and Sale inducements to contract owners | 1,044.7 | 1,244.7 |
Notes receivable from affiliate | 175 | 175 |
Short-term loan to affiliate | 12 | 0 |
Current income tax recoverable | 5.7 | 10.5 |
Due from affiliates | 54.4 | 56 |
Property and equipment | 70.4 | 71.3 |
Other assets | 187.3 | 167 |
Assets held in separate accounts | 59,113.1 | 58,910.6 |
Total assets | 92,703.8 | 90,769.6 |
Liabilities and Shareholder's Equity | ||
Future policy benefits and contract owner balances | 27,848.9 | 27,068 |
Payable for securities purchased | 117.1 | 52.5 |
Payables under securities loan agreement, including collateral held | 788.8 | 541.3 |
Long-term debt | 4.9 | 4.9 |
Due to affiliates | 76.7 | 132.2 |
Derivatives | 275.4 | 115.1 |
Deferred income taxes | 321.1 | 133 |
Other liabilities | 429.8 | 443 |
Liabilities related to separate accounts | 59,113.1 | 58,910.6 |
Total liabilities | 88,975.8 | 87,400.6 |
Shareholder's equity: | ||
Common stock (100,000 shares authorized, 55,000 issued and outstanding as of 2016 and 2015; $50 par value per share) | 2.8 | 2.8 |
Additional paid-in capital | 3,271.8 | 3,272.6 |
Accumulated other comprehensive income (loss) | 726.1 | 386.8 |
Retained earnings (deficit) | (272.7) | (293.2) |
Total shareholder's equity | 3,728 | 3,369 |
Total liabilities and shareholder's equity | $ 92,703.8 | $ 90,769.6 |
Condensed Consolidated Balance3
Condensed Consolidated Balance Sheets Parenthetical - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 |
Statement of Financial Position [Abstract] | ||
Fixed maturities, amortized cost | $ 20,667.8 | $ 20,747.1 |
Equity securities, cost | 67.8 | 116.7 |
Mortgage loans on real estate valuation allowance | 1.2 | 1.2 |
Securities pledged, amortized costs | $ 622.2 | $ 252.3 |
Common stock, par value | $ 50 | $ 50 |
Common stock, shares authorized | 100,000 | 100,000 |
Common stock, shares issued | 55,000 | 55,000 |
Common stock, shares outstanding | 55,000 | 55,000 |
Condensed Consolidated Statemen
Condensed Consolidated Statements of Operations - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Revenues: | ||
Net investment income | $ 356.5 | $ 351.5 |
Fee income | 173.2 | 192.2 |
Premiums | 367.9 | 23.8 |
Broker-dealer commission revenue | 43.7 | 59.8 |
Net realized capital gains (losses): | ||
Total other-than-temporary impairments | (7.3) | (1.1) |
Less: Portion of other-than-temporary impairment losses recognized in Other comprehensive income (loss) | 0 | 0.8 |
Net other-than-temporary impairments recognized in earnings | (7.3) | (1.9) |
Other net realized capital gains (losses) | (50.3) | (28.6) |
Total net realized capital gains (losses) | (57.6) | (30.5) |
Other revenue | (1.1) | (2) |
Total revenues | 882.6 | 594.8 |
Benefits and expenses: | ||
Interest credited and other benefits to contract owners/policyholders | 611.3 | 237.4 |
Operating expenses | 203.1 | 189.4 |
Broker-dealer commission expense | 43.7 | 59.8 |
Net amortization of Deferred policy acquisition costs and Value of business acquired | (2) | 22.5 |
Total benefits and expenses | 856.1 | 509.1 |
Income (loss) before income taxes | 26.5 | 85.7 |
Income tax expense (benefit) | 6 | 23.7 |
Net income (loss) | $ 20.5 | $ 62 |
Condensed Consolidated Stateme5
Condensed Consolidated Statements of Comprehensive Income - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Statement of Comprehensive Income [Abstract] | ||
Net income (loss) | $ 20.5 | $ 62 |
Other comprehensive income (loss), before tax: | ||
Unrealized gains/losses on securities | 517.5 | 206.5 |
Other-than-temporary impairments | 0.4 | 1.2 |
Pension and other post-employment benefit liability | (0.6) | (0.6) |
Other comprehensive income (loss), before tax | 517.3 | 207.1 |
Income tax expense (benefit) related to items of other comprehensive income (loss) | 178 | 71.8 |
Other comprehensive income (loss), after tax | 339.3 | 135.3 |
Comprehensive income (loss) | $ 359.8 | $ 197.3 |
Condensed Consolidated Stateme6
Condensed Consolidated Statements of Changes in Shareholder's Equity - USD ($) $ in Millions | Total | Common Stock | Additional Paid-In Capital | Accumulated Other Comprehensive Income (Loss) | Retained Earnings (Deficit) |
Beginning Balance at Dec. 31, 2014 | $ 3,961.8 | $ 2.8 | $ 3,583.9 | $ 841.5 | $ (466.4) |
Comprehensive income (loss): | |||||
Net income (loss) | 62 | 0 | 0 | 0 | 62 |
Other comprehensive income (loss), after tax | 135.3 | 0 | 0 | 135.3 | 0 |
Total comprehensive income (loss) | 197.3 | ||||
Employee related benefits | 0.2 | 0 | 0.2 | 0 | 0 |
Ending Balance at Mar. 31, 2015 | 4,159.3 | 2.8 | 3,584.1 | 976.8 | (404.4) |
Beginning Balance at Dec. 31, 2015 | 3,369 | 2.8 | 3,272.6 | 386.8 | (293.2) |
Comprehensive income (loss): | |||||
Net income (loss) | 20.5 | 0 | 0 | 0 | 20.5 |
Other comprehensive income (loss), after tax | 339.3 | 0 | 0 | 339.3 | 0 |
Total comprehensive income (loss) | 359.8 | ||||
Employee related benefits | (0.8) | 0 | (0.8) | 0 | 0 |
Ending Balance at Mar. 31, 2016 | $ 3,728 | $ 2.8 | $ 3,271.8 | $ 726.1 | $ (272.7) |
Condensed Consolidated Stateme7
Condensed Consolidated Statements of Cash Flows - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Statement of Cash Flows [Abstract] | ||
Net cash provided by operating activities | $ 523.5 | $ 241 |
Proceeds from the sale, maturity, disposal or redemption of: | ||
Fixed maturities | 906.7 | 599.4 |
Equity securities, available-for-sale | 49.3 | 0 |
Mortgage loans on real estate | 77.7 | 90.8 |
Limited partnerships/corporations | 14.8 | 5.3 |
Acquisition of: | ||
Fixed maturities | (1,305.5) | (927.8) |
Mortgage loans on real estate | (278.5) | (242.8) |
Limited partnerships/corporations | (25.2) | (10.4) |
Derivatives, net | 11.1 | 23 |
Policy loans, net | 4.6 | 4.3 |
Short-term investments, net | 0 | 186.1 |
Short-term loans to affiliates, net | (12) | (150.2) |
Collateral received (delivered), net | 58.5 | 13.2 |
Purchases of fixed assets, net | (0.1) | 0 |
Net cash used in investing activities | (498.6) | (409.1) |
Cash Flows from Financing Activities: | ||
Deposits received for investment contracts | 830.2 | 852.3 |
Maturities and withdrawals from investment contracts | (615.5) | (731.1) |
Settlements on deposit contracts | (13.8) | (17.3) |
Excess tax benefits on share-based compensation | 0.1 | 0.6 |
Net cash provided by financing activities | 201 | 104.5 |
Net increase (decrease) in cash and cash equivalents | 225.9 | (63.6) |
Cash and cash equivalents, beginning of year | 661.1 | 481.2 |
Cash and cash equivalents, end of year | $ 887 | $ 417.6 |
Business, Basis of Presentation
Business, Basis of Presentation and Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2016 | |
Accounting Policies [Abstract] | |
Business, Basis of Presentation and Significant Accounting Policies | Business, Basis of Presentation and Significant Accounting Policies Business Voya Retirement Insurance and Annuity Company ("VRIAC"), is a stock life insurance company domiciled in the State of Connecticut. VRIAC and its wholly owned subsidiaries (collectively, "the Company") provide financial products and services in the United States. VRIAC is authorized to conduct its insurance business in all states and in the District of Columbia, and in Guam, Puerto Rico and the Virgin Islands. Prior to May 2013, Voya Financial, Inc., together with its subsidiaries, including the Company was an indirect, wholly-owned subsidiary of ING Groep N.V. ("ING Group" or "ING"), a global financial services holding company based in The Netherlands. In May 2013, Voya Financial, Inc., completed its initial public offering of common stock, including the issuance and sale of common stock by Voya Financial, Inc. and the sale of shares of common stock owned indirectly by ING Group. Between October 2013 and March 2015, ING Group completed the sale of its remaining shares of common stock of Voya Financial, Inc. in a series of registered public offerings. ING Group continues to hold certain warrants to purchase up to 26,050,846 shares of Voya Financial, Inc. common stock at an exercise price of $48.75 , in each case subject to adjustments. VRIAC is a direct, wholly owned subsidiary of Voya Holdings Inc. ("Parent"), which is a direct, wholly owned subsidiary of Voya Financial, Inc. The Company offers qualified and nonqualified annuity contracts that include a variety of funding and payout options for individuals and employer-sponsored retirement plans qualified under Internal Revenue Code Sections 401, 403, 408, 457 and 501, as well as nonqualified deferred compensation plans and related services. The Company's products are offered primarily to employer-sponsored groups in the health care, government and education markets (collectively "tax exempt markets"), small to mid-sized corporations, pension plans and individuals. The Company also provides stable value investment options, including separate account guaranteed investment contracts (e.g., GICs) and synthetic GICs, to institutional clients. Additionally, the Company provides pension risk transfer solutions to institutional customers who may or may not utilize our other products and are looking to transfer their defined benefit plan obligations to the Company. The Company's products are generally distributed through pension professionals, independent agents and brokers, third-party administrators, banks, consultants, dedicated career agents associated with Voya Financial, Inc.'s retail broker-dealer, Voya Financial Advisors, Inc. ("Voya Financial Advisors") and financial planners. Products offered by the Company include deferred and immediate (i.e., payout) annuity contracts. Company products also include programs offered to qualified plans and nonqualified deferred compensation plans that package administrative and record-keeping services, participant education, and retirement readiness planning tools along with a variety of investment options, including proprietary and non-proprietary mutual funds and variable and fixed investment options. In addition, the Company offers wrapper agreements entered into with retirement plans, which contain certain benefit responsive guarantees (i.e., guarantees of principal and previously accrued interest for benefits paid under the terms of the plan) with respect to portfolios of plan-owned assets not invested with the Company. Stable value products and pension risk transfer solutions are also provided to institutional plan sponsors where we may or may not be providing other employer sponsored products and services. The Company has one operating segment. Basis of Presentation The accompanying Condensed Consolidated Financial Statements of the Company have been prepared in accordance with accounting principles generally accepted in the United States ("U.S. GAAP") and are unaudited. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the Condensed Consolidated Financial Statements and the reported amounts of revenues and expenses during the reporting period. Those estimates are inherently subject to change and actual results could differ from those estimates. The Condensed Consolidated Financial Statements include the accounts of VRIAC and its wholly owned subsidiaries, Voya Financial Partners, LLC ("VFP") and Directed Services LLC ("DSL"). Intercompany transactions and balances have been eliminated. The accompanying Condensed Consolidated Financial Statements reflect adjustments (including normal, recurring adjustments) necessary to present fairly the financial position of the Company as of March 31, 2016 , and its results of operations, comprehensive income, changes in shareholder's equity and statements of cash flows for the three months ended March 31, 2016 and 2015 , in conformity with U.S. GAAP. Interim results are not necessarily indicative of full year performance. The December 31, 2015 Consolidated Balance Sheet is from the audited Consolidated Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2015 (" Annual Report on Form 10-K "), filed with the SEC. Therefore, these unaudited Condensed Consolidated Financial Statements should be read in conjunction with the audited Consolidated Financial Statements and related notes included in the Company's Annual Report on Form 10-K . Adoption of New Pronouncements Derivative Contract Novations In March 2016, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") 2016-05, “Derivatives and Hedging (Accounting Standards Codification ("ASC") Topic 815): Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships” (“ASU 2016-05”), which clarifies that a change in the counterparty to a derivative instrument that has been designated as the hedging instrument under ASC Topic 815 does not, in and of itself, require dedesignation of that hedging relationship. The provisions of ASU 2016-05 are effective for fiscal years, and for interim periods within those fiscal years, beginning after December 15, 2016 with early adoption permitted, using either a prospective or modified retrospective approach. The Company elected to early adopt ASU 2016-05 as of January 1, 2016 on a prospective basis. The adoption had no effect on the Company's financial condition, results of operations, or cash flows. Consolidation In February 2015, the FASB issued ASU 2015-02, “Consolidation (ASC Topic 810): Amendments to the Consolidation Analysis” (“ASU 2015-02”), which: • Modifies the evaluation of whether limited partnerships and similar legal entities are Variable Interest Entities ("VIEs") or Voting Interest Entities ("VOEs"), including the requirement to consider the rights of all equity holders at risk to determine if they have the power to direct the entity's most significant activities. • Eliminates the presumption that a general partner should consolidate a limited partnership. Limited partnerships and similar entities will be VIEs unless the limited partners hold substantive kick-out rights in the participating rights. • Affects the consolidation analysis of reporting entities that are involved with VIEs, particularly those that have fee arrangements and related party relationships. • Provides a new scope exception for registered money market funds and similar unregistered money market funds, and ends the deferral granted to investment companies from applying the VIE guidance. The Company adopted the provisions of ASU 2015-02 on January 1, 2016 using a modified retrospective approach. The adoption had no effect on the Company's financial condition or results of operations, but impacted disclosures only. Investments in limited partnerships previously accounted for as VOEs became VIEs under the new guidance as the limited partners do not hold substantive kick-out rights or participating rights. See Variable Interest Entities ("VIEs")section of the Investments Note to these Condensed Consolidated Financial Statements for additional information. Hybrid Financial Instruments In November 2014, the FASB issued ASU 2014-16, “Derivatives and Hedging (ASC Topic 815): Determining Whether the Host Contract in a Hybrid Financial Instrument Issued in the Form of a Share Is More Akin to Debt or to Equity” (“ASU 2014-16”), which requires an entity to determine the nature of the host contract by considering the economic characteristics and risks of the entire hybrid financial instrument, including all embedded derivative features. The provisions of ASU 2014-16 were adopted by the Company on January 1, 2016. The adoption had no effect on the Company’s financial condition, results of operations or cash flows. Future Adoption of Accounting Pronouncements Debt Instruments In March 2016, the FASB issued ASU 2016-06, “Derivatives and Hedging (ASC Topic 815): Contingent Put and Call Options in Debt Instruments” (“ASU 2016-06”), which clarifies that an entity is only required to follow the four-step decision sequence when assessing whether contingent call (put) options that can accelerate the payment of principal on debt instruments are clearly and closely related to their debt hosts for purposes of bifurcating an embedded derivative. The entity does not need to assess whether the event that triggers the ability to exercise a call (put) option is related to interest rates or credit risks. The provisions of ASU 2016-06 are effective on a modified retrospective basis for fiscal years beginning after December 15, 2016, including interim periods, with early adoption permitted. The Company is currently in the process of determining the impact of adoption of the provisions of ASU 2016-06. Financial Instruments In January 2016, the FASB issued ASU 2016-01, “Financial Instruments-Overall (ASC Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities” (“ASU 2016-01”), which requires: • Equity investments (except those consolidated or accounted for under the equity method) to be measured at fair value with changes in fair value recognized in net income. • Elimination of the disclosure of methods and significant assumptions used to estimate the fair value for financial instruments measured at amortized cost. • The use of the exit price notion when measuring the fair value of financial instruments for disclosure purposes. • Separate presentation in other comprehensive income of the portion of the total change in fair value of a liability resulting from a change in own credit risk if the liability is measured at fair value under the fair value option. • Separate presentation on the balance sheet or financial statement notes of financial assets and financial liabilities by measurement category and form of financial asset. The provisions of ASU 2016-01 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2017, with early adoption only permitted for certain provisions. Initial adoption of ASU 2016-01 should be reported on a modified retrospective basis, with a cumulative-effect adjustment to balance sheet as of the beginning of the year of adoption, except for certain provisions that should be applied prospectively. The Company is currently in the process of determining the impact of adoption of the provisions of ASU 2016-01. Revenue from Contracts with Customers In May 2014, the FASB issued ASU 2014-09, "Revenue from Contracts with Customers (ASC Topic 606)" ("ASU 2014-09"), which requires an entity to recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. Revenue is recognized when, or as, the entity satisfies a performance obligation under the contract. The standard also requires disclosures regarding the nature, amount, timing and uncertainty of revenue and cash flows arising from contracts with customers. In 2016, the FASB issued ASU 2016-08, “Principal versus Agent Considerations” (“ASU 2016-08”) and ASU 2016-10, “Identifying Performance Obligations and Licensing” (“ASU 2016-10”) as amendments to ASU 2014-09. ASU 2016-08 clarifies the implementation guidance and indicators for assessing whether an entity has control of a specified good or service before that good or service is transferred to a customer, and is, thus, a principal in the satisfaction of the performance obligation. ASU 2016-10 clarifies the provisions for identifying performance obligations and the implementation guidance for licensing. In August 2015, the FASB issued ASU 2015-14 to amend the effective date of ASU 2014-09 to fiscal years, and interim periods within those fiscal years, beginning after December 15, 2017. Early adoption is permitted as of the original effective date, which is January 1, 2017. The provisions of ASU 2014-09 are effective retrospectively. The Company is currently in the process of determining the impact of adoption of the provisions of ASU 2014-09 and its amendments. |
Investments
Investments | 3 Months Ended |
Mar. 31, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments | 20% < 20% > 20% < 20% > 20% March 31, 2016 Six months or less below amortized cost $ 1,309.8 $ 307.7 $ 86.4 $ 90.9 250 45 More than six months and twelve months or less below amortized cost 1,242.3 134.9 47.4 43.6 234 19 More than twelve months below amortized cost 651.2 1.8 28.2 0.5 170 1 Total $ 3,203.3 $ 444.4 $ 162.0 $ 135.0 654 65 December 31, 2015 Six months or less below amortized cost $ 3,980.3 $ 747.5 $ 141.7 $ 211.4 762 104 More than six months and twelve months or less below amortized cost 3,001.4 27.6 156.6 13.4 485 2 More than twelve months below amortized cost 382.5 17.3 26.9 4.2 144 2 Total $ 7,364.2 $ 792.4 $ 325.2 $ 229.0 1,391 108 Unrealized capital losses (including noncredit impairments) in fixed maturities, including securities pledged, by market sector for instances in which fair value declined below amortized cost by greater than or less than 20% were as follows as of the dates indicated: Amortized Cost Unrealized Capital Losses Number of Securities < 20% > 20% < 20% > 20% < 20% > 20% March 31, 2016 U.S. Treasuries $ 34.2 $ — $ 0.1 $ — 5 — State, municipalities and political subdivisions 35.6 — 1.0 — 12 — U.S. corporate public securities 1,420.7 147.8 88.9 45.4 265 25 U.S. corporate private securities 317.8 72.7 14.5 24.3 28 4 Foreign corporate public securities and foreign governments 698.1 200.2 37.4 59.5 142 27 Foreign corporate private securities 338.8 19.7 12.9 4.7 44 4 Residential mortgage-backed 238.1 1.9 5.7 0.5 124 2 Commercial mortgage-backed 78.6 0.1 0.3 0.1 16 1 Other asset-backed 41.4 2.0 1.2 0.5 18 2 Total $ 3,203.3 $ 444.4 $ 162.0 $ 135.0 654 65 December 31, 2015 U.S. Treasuries $ 69.7 $ — $ 0.3 $ — 14 — State, municipalities and political subdivisions 349.5 — 7.9 — 117 — U.S. corporate public securities 3,565.2 373.5 153.5 103.3 651 58 U.S. corporate private securities 791.0 90.9 34.6 27.8 87 4 Foreign corporate public securities and foreign governments 1,211.9 291.1 63.6 87.9 254 40 Foreign corporate private securities 807.3 35.1 53.9 9.6 85 5 Residential mortgage-backed 294.1 — 6.9 — 130 — Commercial mortgage-backed 239.2 — 3.5 — 38 — Other asset-backed 36.3 1.8 1.0 0.4 15 1 Total $ 7,364.2 $ 792.4 $ 325.2 $ 229.0 1,391 108 Investments with fair values less than amortized cost are included in the Company's other-than-temporary impairments analysis. Impairments were recognized as disclosed in the "Evaluating Securities for Other-Than-Temporary Impairments" section below. The Company evaluates non-agency RMBS and ABS for "other-than-temporary impairments" each quarter based on actual and projected cash flows after considering the quality and updated loan-to-value ratios reflecting current home prices of underlying collateral, forecasted loss severity, the payment priority within the tranche structure of the security and amount of any credit enhancements. The Company's assessment of current levels of cash flows compared to estimated cash flows at the time the securities were acquired (typically pre-2008) indicates the amount and the pace of projected cash flows from the underlying collateral has generally been lower and slower, respectively. However, since cash flows are typically projected at a trust level, the impairment review incorporates the security's position within the trust structure as well as credit enhancement remaining in the trust to determine whether an impairment is warranted. Therefore, while lower and slower cash flows will impact the trust, the effect on the valuation of a particular security within the trust will also be dependent upon the trust structure. Where the assessment continues to project full recovery of principal and interest on schedule, the Company has not recorded an impairment. Based on this analysis, the Company determined that the remaining investments in an unrealized loss position were not other-than-temporarily impaired and therefore no further other-than-temporary impairment was necessary. Troubled Debt Restructuring The Company invests in high quality, well performing portfolios of commercial mortgage loans and private placements. Under certain circumstances, modifications are granted to these contracts. Each modification is evaluated as to whether a troubled debt restructuring has occurred. A modification is a troubled debt restructuring when the borrower is in financial difficulty and the creditor makes concessions. Generally, the types of concessions may include reducing the face amount or maturity amount of the debt as originally stated, reducing the contractual interest rate, extending the maturity date at an interest rate lower than current market interest rates and/or reducing accrued interest. The Company considers the amount, timing and extent of the concession granted in determining any impairment or changes in the specific valuation allowance recorded in connection with the troubled debt restructuring. A valuation allowance may have been recorded prior to the quarter when the loan is modified in a troubled debt restructuring. Accordingly, the carrying value (net of the specific valuation allowance) before and after modification through a troubled debt restructuring may not change significantly, or may increase if the expected recovery is higher than the pre-modification recovery assessment. For the three months ended March 31, 2016 , and for the year ended December 31, 2015 , the Company had no new troubled debt restructurings for private placement bonds or commercial mortgage loans. As of March 31, 2016 , the Company held no commercial mortgage troubled debt restructured loans. During the three months ended March 31, 2016 , 8 commercial mortgage loans that were restructured in August 2013 with a pre and post modification carrying value of $18.6 were paid in full. These loans represent what remained of an initial portfolio of 20 restructures with a pre and post modification carrying value of $39.4 . As of March 31, 2016 and December 31, 2015 , the Company did no t have any commercial mortgage loans or private placements modified in a troubled debt restructuring with a subsequent payment default. Mortgage Loans on Real Estate The Company's mortgage loans on real estate are all commercial mortgage loans held for investment, which are reported at amortized cost, less impairment write-downs and allowance for losses. The Company diversifies its commercial mortgage loan portfolio by geographic region and property type to reduce concentration risk. The Company manages risk when originating commercial mortgage loans by generally lending only up to 75% of the estimated fair value of the underlying real estate. Subsequently, the Company continuously evaluates mortgage loans based on relevant current information including a review of loan-specific credit quality, property characteristics and market trends. Loan performance is monitored on a loan-specific basis through the review of submitted appraisals, operating statements, rent revenues and annual inspection reports, among other items. This review ensures properties are performing at a consistent and acceptable level to secure the debt. The components to evaluate debt service coverage are received and reviewed at least annually to determine the level of risk. The following table summarizes the Company's investment in mortgage loans as of the dates indicated: March 31, 2016 December 31, 2015 Impaired Non Impaired Total Impaired Non Impaired Total Commercial mortgage loans $ 4.8 $ 3,926.4 $ 3,931.2 $ 10.7 $ 3,719.6 $ 3,730.3 Collective valuation allowance for losses N/A (1.2 ) (1.2 ) N/A (1.2 ) (1.2 ) Total net commercial mortgage loans $ 4.8 $ 3,925.2 $ 3,930.0 $ 10.7 $ 3,718.4 $ 3,729.1 N/A- Not Applicable There were no impairments taken on the mortgage loan portfolio for the three months ended March 31, 2016 and 2015 . The following table summarizes the activity in the allowance for losses for commercial mortgage loans for the periods indicated: March 31, 2016 December 31, 2015 Collective valuation allowance for losses, balance at January 1 $ 1.2 $ 1.1 Addition to (reduction of) allowance for losses — 0.1 Collective valuation allowance for losses, end of period $ 1.2 $ 1.2 The carrying values and unpaid principal balances of impaired mortgage loans were as follows as of the dates indicated: March 31, 2016 December 31, 2015 Impaired loans without allowances for losses $ 4.8 $ 10.7 Less: Allowances for losses on impaired loans — — Impaired loans, net $ 4.8 $ 10.7 Unpaid principal balance of impaired loans $ 6.3 $ 12.2 The following table presents information on restructured loans as of the dates indicated: March 31, 2016 December 31, 2015 Troubled debt restructured loans $ — $ 5.9 The Company defines delinquent mortgage loans consistent with industry practice as 60 days past due . The Company's policy is to recognize interest income until a loan becomes 90 days delinquent or foreclosure proceedings are commenced, at which point interest accrual is discontinued. Interest accrual is not resumed until the loan is brought current. There were no mortgage loans in the Company's portfolio in process of foreclosure as of March 31, 2016 and December 31, 2015 . There were no loans 30 days or less in arrears, with respect to principal and interest as of March 31, 2016 . There were two loans 30 days or less in arrears, with respect to principal and interest as of December 31, 2015 , with a total amortized cost of $1.0 . Commercial loans are placed on non-accrual status when 90 days in arrears if the Company has concerns regarding the collectability of future payments, or if a loan has matured without being paid off or extended. Factors considered may include conversations with the borrower, loss of major tenant, bankruptcy of borrower or major tenant, decreased property cash flow, number of days past due, or various other circumstances. Based on an assessment as to the collectability of the principal, a determination is made to either apply against the book value or apply according to the contractual terms of the loan. Funds recovered in excess of book value would then be applied to recover expenses, impairments, and then interest. Accrual of interest resumes after factors resulting in doubts about collectability have improved. The following table presents information on the average investment during the period in impaired loans and interest income recognized on impaired and troubled debt restructured loans for the periods indicated: Three Months Ended March 31, 2016 2015 Impaired loans, average investment during the period (amortized cost) (1) $ 7.8 $ 26.6 Interest income recognized on impaired loans, on an accrual basis (1) 0.1 0.4 Interest income recognized on impaired loans, on a cash basis (1) 0.1 0.5 Interest income recognized on troubled debt restructured loans, on an accrual basis — 0.3 (1) Includes amounts for Troubled debt restructured loans. Loan-to-value ("LTV") and debt service coverage ("DSC") ratios are measures commonly used to assess the risk and quality of mortgage loans. The LTV ratio, calculated at time of origination, is expressed as a percentage of the amount of the loan relative to the value of the underlying property. A LTV ratio in excess of 100% indicates the unpaid loan amount exceeds the underlying collateral. The DSC ratio, based upon the most recently received financial statements, is expressed as a percentage of the amount of a property’s net income to its debt service payments. A DSC ratio of less than 1.0 indicates that a property’s operations do not generate sufficient income to cover debt payments. These ratios are utilized as part of the review process described above. The following table presents the LTV ratios as of the dates indicated: March 31, 2016 (1) December 31, 2015 (1) Loan-to-Value Ratio: 0% - 50% $ 368.1 $ 395.1 >50% - 60% 1,070.4 969.4 >60% - 70% 2,256.8 2,158.2 >70% - 80% 233.3 204.8 >80% and above 2.6 2.8 Total Commercial mortgage loans $ 3,931.2 $ 3,730.3 (1) Balances do not include collective valuation allowance for losses. The following table presents the DSC ratios as of the dates indicated: March 31, 2016 (1) December 31, 2015 (1) Debt Service Coverage Ratio: Greater than 1.5x $ 3,150.3 $ 2,957.7 >1.25x - 1.5x 514.3 494.5 >1.0x - 1.25x 205.4 208.6 Less than 1.0x 38.4 38.6 Commercial mortgage loans secured by land or construction loans 22.8 30.9 Total Commercial mortgage loans $ 3,931.2 $ 3,730.3 (1) Balances do not include collective valuation allowance for losses. Properties collateralizing mortgage loans are geographically dispersed throughout the United States, as well as diversified by property type, as reflected in the following tables as of the dates indicated: March 31, 2016 (1) December 31, 2015 (1) Gross Carrying Value % of Total Gross Carrying Value % of Total Commercial Mortgage Loans by U.S. Region: Pacific $ 888.1 22.6 % $ 867.5 23.3 % South Atlantic 927.7 23.6 % 857.3 23.0 % Middle Atlantic 559.0 14.2 % 556.1 14.9 % West South Central 426.6 10.9 % 414.8 11.1 % Mountain 344.4 8.8 % 304.1 8.2 % East North Central 418.4 10.6 % 380.8 10.2 % New England 79.4 2.0 % 81.4 2.2 % West North Central 225.5 5.7 % 208.6 5.6 % East South Central 62.1 1.6 % 59.7 1.5 % Total Commercial mortgage loans $ 3,931.2 100.0 % $ 3,730.3 100.0 % (1) Balances do not include collective valuation allowance for losses. March 31, 2016 (1) December 31, 2015 (1) Gross Carrying Value % of Total Gross Carrying Value % of Total Commercial Mortgage Loans by Property Type: Retail $ 1,347.1 34.2 % $ 1,330.8 35.7 % Industrial 804.6 20.5 % 741.3 19.9 % Apartments 709.0 18.0 % 630.4 16.9 % Office 632.9 16.1 % 586.3 15.7 % Hotel/Motel 176.2 4.5 % 177.6 4.7 % Mixed Use 50.8 1.3 % 47.1 1.3 % Other 210.6 5.4 % 216.8 5.8 % Total Commercial mortgage loans $ 3,931.2 100.0 % $ 3,730.3 100.0 % (1) Balances do not include collective valuation allowance for losses. The following table sets forth the breakdown of mortgages by year of origination as of the dates indicated: March 31, 2016 (1) December 31, 2015 (1) Year of Origination: 2016 $ 275.5 $ — 2015 742.7 745.3 2014 557.3 558.0 2013 703.7 709.2 2012 742.8 748.2 2011 522.0 553.2 2010 and prior 387.2 416.4 Total Commercial mortgage loans $ 3,931.2 $ 3,730.3 (1) Balances do not include collective valuation allowance for losses. Evaluating Securities for Other-Than-Temporary Impairments The Company performs a regular evaluation, on a security-by-security basis, of its available-for-sale securities holdings, including fixed maturity securities and equity securities in accordance with its impairment policy in order to evaluate whether such investments are other-than-temporarily impaired. The following table identifies the Company's credit-related and intent-related impairments included in the Condensed Consolidated Statements of Operations, excluding impairments included in Other comprehensive income (loss) by type for the periods indicated: Three Months Ended March 31, 2016 2015 Impairment No. of Securities Impairment No. of Securities U.S. corpor" id="sjs-B4">Investments Fixed Maturities and Equity Securities Available-for-sale and fair value option ("FVO") fixed maturities and equity securities were as follows as of March 31, 2016 : Amortized Cost Gross Unrealized Capital Gains Gross Unrealized Capital Losses Embedded Derivatives (2) Fair Value OTTI (3) Fixed maturities: U.S. Treasuries $ 661.8 $ 143.8 $ 0.1 $ — $ 805.5 $ — U.S. Government agencies and authorities 4.2 0.1 — — 4.3 — State, municipalities and political subdivisions 627.9 31.9 1.0 — 658.8 — U.S. corporate public securities 9,487.4 639.1 134.3 — 9,992.2 1.3 U.S. corporate private securities 2,297.0 123.5 38.8 — 2,381.7 — Foreign corporate public securities and foreign governments (1) 2,817.0 131.7 96.9 — 2,851.8 — Foreign corporate private securities (1) 2,698.6 148.9 17.6 — 2,829.9 — Residential mortgage-backed securities: Agency 1,825.3 115.1 3.2 12.9 1,950.1 — Non-Agency 266.0 48.2 3.0 11.4 322.6 6.2 Total Residential mortgage-backed securities 2,091.3 163.3 6.2 24.3 2,272.7 6.2 Commercial mortgage-backed securities 1,266.0 89.9 0.4 — 1,355.5 6.7 Other asset-backed securities 244.4 11.4 1.7 — 254.1 2.3 Total fixed maturities, including securities pledged 22,195.6 1,483.6 297.0 24.3 23,406.5 16.5 Less: Securities pledged 622.2 88.3 10.0 — 700.5 — Total fixed maturities 21,573.4 1,395.3 287.0 24.3 22,706.0 16.5 Equity securities 67.8 15.1 — — 82.9 — Total fixed maturities and equity securities investments $ 21,641.2 $ 1,410.4 $ 287.0 $ 24.3 $ 22,788.9 $ 16.5 (1) Primarily U.S. dollar denominated. (2) Embedded derivatives within fixed maturity securities are reported with the host investment. The changes in fair value of embedded derivatives are reported in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. (3) Represents Other-than-Temporary-Impairments ("OTTI") reported as a component of Other comprehensive income (loss). Available-for-sale and FVO fixed maturities and equity securities were as follows as of December 31, 2015 : Amortized Cost Gross Unrealized Capital Gains Gross Unrealized Capital Losses Embedded Derivatives (2) Fair Value OTTI (3) Fixed maturities: U.S. Treasuries $ 616.6 $ 105.1 $ 0.3 $ — $ 721.4 $ — U.S. Government agencies and authorities 4.3 — — — 4.3 — State, municipalities and political subdivisions 589.9 13.8 7.9 — 595.8 — U.S. corporate public securities 9,472.4 384.9 256.8 — 9,600.5 1.4 U.S. corporate private securities 2,336.0 86.3 62.4 — 2,359.9 — Foreign corporate public securities and foreign governments (1) 2,868.7 95.0 151.5 — 2,812.2 — Foreign corporate private securities (1) 2,678.8 96.1 63.5 — 2,711.4 — Residential mortgage-backed securities: Agency 1,579.5 105.3 4.8 12.8 1,692.8 — Non-Agency 181.6 46.3 2.1 10.6 236.4 6.4 Total Residential mortgage-backed securities 1,761.1 151.6 6.9 23.4 1,929.2 6.4 Commercial mortgage-backed securities 1,228.9 49.5 3.5 — 1,274.9 6.7 Other asset-backed securities 240.7 9.9 1.4 — 249.2 2.4 Total fixed maturities, including securities pledged 21,797.4 992.2 554.2 23.4 22,258.8 16.9 Less: Securities pledged 252.3 16.0 19.1 — 249.2 — Total fixed maturities 21,545.1 976.2 535.1 23.4 22,009.6 16.9 Equity securities 116.7 14.6 — — 131.3 — Total fixed maturities and equity securities investments $ 21,661.8 $ 990.8 $ 535.1 $ 23.4 $ 22,140.9 $ 16.9 (1) Primarily U.S. dollar denominated. (2) Embedded derivatives within fixed maturity securities are reported with the host investment. The changes in fair value of embedded derivatives are reported in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. (3) Represents OTTI reported as a component of Other comprehensive income (loss). The amortized cost and fair value of fixed maturities, including securities pledged, as of March 31, 2016 , are shown below by contractual maturity. Actual maturities may differ from contractual maturities as securities may be restructured, called or prepaid. Mortgage-backed securities ("MBS") and Other asset-backed securities ("ABS") are shown separately because they are not due at a single maturity date. Amortized Fair Due to mature: One year or less $ 601.4 $ 609.8 After one year through five years 4,534.2 4,755.7 After five years through ten years 6,331.8 6,579.8 After ten years 7,126.5 7,578.9 Mortgage-backed securities 3,357.3 3,628.2 Other asset-backed securities 244.4 254.1 Fixed maturities, including securities pledged $ 22,195.6 $ 23,406.5 The investment portfolio is monitored to maintain a diversified portfolio on an ongoing basis. Credit risk is mitigated by monitoring concentrations by issuer, sector and geographic stratification and limiting exposure to any one issuer. As of March 31, 2016 and December 31, 2015 , the Company did no t have any investments in a single issuer, other than obligations of the U.S. Government and government agencies, with a carrying value in excess of 10% of the Company's condensed consolidated Shareholder's equity. The following tables set forth the composition of the U.S. and foreign corporate securities within the fixed maturity portfolio by industry category as of the dates indicated: Amortized Cost Gross Unrealized Capital Gains Gross Unrealized Capital Losses Fair Value March 31, 2016 Communications $ 1,229.5 $ 103.3 $ 10.9 $ 1,321.9 Financial 2,609.4 183.5 6.1 2,786.8 Industrial and other companies 7,946.4 472.2 68.8 8,349.8 Energy 2,408.4 52.4 181.5 2,279.3 Utilities 2,201.9 177.6 11.3 2,368.2 Transportation 569.5 32.2 2.8 598.9 Total $ 16,965.1 $ 1,021.2 $ 281.4 $ 17,704.9 December 31, 2015 Communications $ 1,218.8 $ 67.1 $ 28.6 $ 1,257.3 Financial 2,651.5 146.8 13.1 2,785.2 Industrial and other companies 7,778.2 267.7 180.7 7,865.2 Energy 2,655.2 26.1 261.8 2,419.5 Utilities 2,150.7 122.1 21.8 2,251.0 Transportation 560.6 14.0 13.8 560.8 Total $ 17,015.0 $ 643.8 $ 519.8 $ 17,139.0 Fixed Maturities and Equity Securities: The Company's fixed maturities and equity securities are currently designated as available-for-sale, except those accounted for using the FVO. Available-for-sale securities are reported at fair value and unrealized capital gains (losses) on these securities are recorded directly in Accumulated other comprehensive income (loss) ("AOCI") and presented net of related changes in Deferred policy acquisition costs ("DAC"), Value of business acquired ("VOBA") and Deferred income taxes. In addition, certain fixed maturities have embedded derivatives, which are reported with the host contract on the Condensed Consolidated Balance Sheets. The Company has elected the FVO for certain of its fixed maturities to better match the measurement of assets and liabilities in the Condensed Consolidated Statements of Operations. Certain collateralized mortgage obligations ("CMOs"), primarily interest-only and principal-only strips, are accounted for as hybrid instruments and valued at fair value with changes in the fair value recorded in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. The Company invests in various categories of CMOs, including CMOs that are not agency-backed, that are subject to different degrees of risk from changes in interest rates and defaults. The principal risks inherent in holding CMOs are prepayment and extension risks related to significant decreases and increases in interest rates resulting in the prepayment of principal from the underlying mortgages, either earlier or later than originally anticipated. As of March 31, 2016 and December 31, 2015 , approximately 61.1% and 63.8% , respectively, of the Company’s CMO holdings, were invested in the above mentioned types of CMOs such as interest-only or principal-only strips, that are subject to more prepayment and extension risk than traditional CMOs. Public corporate fixed maturity securities are distinguished from private corporate fixed maturity securities based upon the manner in which they are transacted. Public corporate fixed maturity securities are issued initially through market intermediaries on a registered basis or pursuant to Rule 144A under the Securities Act of 1933 (the "Securities Act") and are traded on the secondary market through brokers acting as principal. Private corporate fixed maturity securities are originally issued by borrowers directly to investors pursuant to Section 4(a)(2) of the Securities Act, and are traded in the secondary market directly with counterparties, either without the participation of a broker or in agency transactions. Securities Lending The Company engages in securities lending whereby certain securities from its portfolio are loaned to other institutions through a lending agent for short periods of time. The Company has the right to approve any institution with whom the lending agent transacts on its behalf. Initial collateral is required at a rate of 102% of the market value of the loaned securities. The lending agent retains the collateral and invests it in high quality liquid assets on behalf of the Company. The market value of the loaned securities is monitored on a daily basis with additional collateral obtained or refunded as the market value of the loaned securities fluctuates. The lending agent indemnifies the Company against losses resulting from the failure of a counterparty to return securities pledged where collateral is insufficient to cover the loss. As of March 31, 2016 and December 31, 2015 , the fair value of loaned securities was $522.6 and $178.9 , respectively, and is included in Securities pledged on the Condensed Consolidated Balance Sheets. If cash is received as collateral, the lending agent retains the cash collateral and invests it in short-term liquid assets on behalf of the Company. As of March 31, 2016 and December 31, 2015 , cash collateral retained by the lending agent and invested in short-term liquid assets on the Company's behalf was $230.5 and $185.9 , respectively, and is recorded in Short-term investments under securities loan agreements, including collateral delivered on the Condensed Consolidated Balance Sheets. As of March 31, 2016 and December 31, 2015 , liabilities to return collateral of $230.5 and $185.9 , respectively, are included in Payables under securities loan agreements, including collateral held, on the Condensed Consolidated Balance Sheets. During the first quarter of 2016 under an amendment to the securities lending program, the Company began accepting non-cash collateral in the form of securities. The securities retained as collateral by the lending agent may not be sold or re-pledged, except in the event of default, and are not reflected in the Company’s Condensed Consolidated Balance Sheets. This collateral generally consists of U.S. Treasury, U.S. Government agency securities and MBS pools. As of March 31, 2016 the fair value of securities retained as collateral by the lending agent on the Company’s behalf was $ 310.3 . As of December 31, 2015 , the Company did no t retain any securities as collateral. The following table sets forth borrowings under securities lending transactions by class of collateral pledged for the dates indicated: March 31, 2016 (1) December 31, 2015 U.S. Treasuries $ 186.1 $ — U.S. corporate public securities 238.0 111.7 Foreign corporate public securities and foreign governments 116.7 74.2 Payables under securities loan agreements $ 540.8 $ 185.9 (1) Borrowings under securities lending transactions include both cash and non-cash collateral of $230.5 and $310.3 , respectively. The Company's securities lending activities are conducted on an overnight basis, and all securities loaned can be recalled at any time. The Company does not offset assets and liabilities associated with its securities lending program. Variable Interest Entities ("VIEs") The Company holds certain VIEs for investment purposes. VIEs may be in the form of private placement securities, structured securities, securitization transactions or limited partnerships. The Company has reviewed each of its holdings and determined that consolidation of these investments in the Company’s financial statements is not required, as the Company is not the primary beneficiary, because the Company does not have both the power to direct the activities that most significantly impact the entity’s economic performance and the obligation or right to potentially significant losses or benefits, for any of its investments in VIEs. The Company did not provide any non-contractual financial support and its carrying value represents the Company’s exposure to loss. The carrying value of the investments in VIEs was $304.2 and $0.4 as of March 31, 2016 and December 31, 2015 , respectively; these investments are included in Limited partnerships/corporations on the Condensed Consolidated Balance Sheets. Income and losses recognized on these investments are reported in Net investment income in the Condensed Consolidated Statements of Operations. Securitizations The Company invests in various tranches of securitization entities, including Residential mortgage-backed securities ("RMBS"), Commercial mortgage-backed securities ("CMBS") and asset-backed securities ("ABS"). Through its investments, the Company is not obligated to provide any financial or other support to these entities. Each of the RMBS, CMBS and ABS entities are thinly capitalized by design and considered VIEs. The Company's involvement with these entities is limited to that of a passive investor. The Company has no unilateral right to appoint or remove the servicer, special servicer or investment manager, which are generally viewed to have the power to direct the activities that most significantly impact the securitization entities' economic performance, in any of these entities, nor does the Company function in any of these roles. The Company, through its investments or other arrangements, does not have the obligation to absorb losses or the right to receive benefits from the entity that could potentially be significant to the entity. Therefore, the Company is not the primary beneficiary and will not consolidate any of the RMBS, CMBS and ABS entities in which it holds investments. These investments are accounted for as investments available-for-sale as described in the Fair Value Measurements Note to these Condensed Consolidated Financial Statements and unrealized capital gains (losses) on these securities are recorded directly in AOCI, except for certain RMBS that are accounted for under the FVO for which changes in fair value are reflected in Other net realized gains (losses) in the Condensed Consolidated Statements of Operations. The Company’s maximum exposure to loss on these structured investments is limited to the amount of its investment. Unrealized Capital Losses Unrealized capital losses (including noncredit impairments), along with the fair value of fixed maturity securities, including securities pledged, by market sector and duration were as follows as of March 31, 2016 : Six Months or Less Below Amortized Cost More Than Six Months and Twelve Months or Less Below Amortized Cost More Than Twelve Months Below Amortized Cost Total Fair Value Unrealized Capital Losses Fair Value Unrealized Capital Losses Fair Value Unrealized Capital Losses Fair Value Unrealized Capital Losses U.S. Treasuries $ 34.1 $ 0.1 $ — $ — $ — $ — $ 34.1 $ 0.1 State, municipalities and political subdivisions 4.1 0.1 27.8 0.5 2.7 0.4 34.6 1.0 U.S. corporate public securities 303.0 12.7 828.0 67.6 303.2 54.0 1,434.2 134.3 U.S. corporate private securities 85.0 1.7 195.4 28.1 71.3 9.0 351.7 38.8 Foreign corporate public securities and foreign governments 165.2 6.2 314.7 33.8 321.5 56.9 801.4 96.9 Foreign corporate private securities 43.5 2.3 270.5 11.9 26.9 3.4 340.9 17.6 Residential mortgage-backed 81.0 1.6 12.6 1.1 140.2 3.5 233.8 6.2 Commercial mortgage-backed 68.9 0.3 9.4 0.1 — — 78.3 0.4 Other asset-backed 16.7 — * 11.6 0.2 13.4 1.5 41.7 1.7 Total $ 801.5 $ 25.0 $ 1,670.0 $ 143.3 $ 879.2 $ 128.7 $ 3,350.7 $ 297.0 *Less than $0.1 Unrealized capital losses (including noncredit impairments), along with the fair value of fixed maturity securities, including securities pledged, by market sector and duration were as follows as of December 31, 2015 : Six Months or Less More Than Six More Than Twelve Total Fair Unrealized Fair Unrealized Fair Unrealized Fair Unrealized U.S. Treasuries $ 69.4 $ 0.3 $ — $ — $ — $ — $ 69.4 $ 0.3 State, municipalities and political subdivisions 191.3 2.2 150.3 5.7 — — 341.6 7.9 U.S. corporate public securities 1,764.0 67.6 1,708.3 136.4 209.6 52.8 3,681.9 256.8 U.S. corporate private securities 373.2 10.9 410.5 43.8 35.8 7.7 819.5 62.4 Foreign corporate public securities and foreign governments 670.0 33.8 485.8 55.8 195.7 61.9 1,351.5 151.5 Foreign corporate private securities 546.0 42.1 213.3 16.5 19.6 4.9 778.9 63.5 Residential mortgage-backed 116.5 1.7 42.3 0.9 128.4 4.3 287.2 6.9 Commercial mortgage-backed 156.9 1.4 78.8 2.1 — — 235.7 3.5 Other asset-backed 22.6 0.1 0.4 — * 13.7 1.3 36.7 1.4 Total $ 3,909.9 $ 160.1 $ 3,089.7 $ 261.2 $ 602.8 $ 132.9 $ 7,602.4 $ 554.2 *Less than $0.1 Of the unrealized capital losses aged more than twelve months, the average market value of the related fixed maturities was 87.2% and 81.9% of the average book value as of March 31, 2016 and December 31, 2015 , respectively. Unrealized capital losses (including noncredit impairments) in fixed maturities, including securities pledged, for instances in which fair value declined below amortized cost by greater than or less than 20% for consecutive months as indicated in the tables below, were as follows as of the dates indicated: Amortized Cost Unrealized Capital Losses Number of Securities < 20% > 20% < 20% > 20% < 20% > 20% March 31, 2016 Six months or less below amortized cost $ 1,309.8 $ 307.7 $ 86.4 $ 90.9 250 45 More than six months and twelve months or less below amortized cost 1,242.3 134.9 47.4 43.6 234 19 More than twelve months below amortized cost 651.2 1.8 28.2 0.5 170 1 Total $ 3,203.3 $ 444.4 $ 162.0 $ 135.0 654 65 December 31, 2015 Six months or less below amortized cost $ 3,980.3 $ 747.5 $ 141.7 $ 211.4 762 104 More than six months and twelve months or less below amortized cost 3,001.4 27.6 156.6 13.4 485 2 More than twelve months below amortized cost 382.5 17.3 26.9 4.2 144 2 Total $ 7,364.2 $ 792.4 $ 325.2 $ 229.0 1,391 108 Unrealized capital losses (including noncredit impairments) in fixed maturities, including securities pledged, by market sector for instances in which fair value declined below amortized cost by greater than or less than 20% were as follows as of the dates indicated: Amortized Cost Unrealized Capital Losses Number of Securities < 20% > 20% < 20% > 20% < 20% > 20% March 31, 2016 U.S. Treasuries $ 34.2 $ — $ 0.1 $ — 5 — State, municipalities and political subdivisions 35.6 — 1.0 — 12 — U.S. corporate public securities 1,420.7 147.8 88.9 45.4 265 25 U.S. corporate private securities 317.8 72.7 14.5 24.3 28 4 Foreign corporate public securities and foreign governments 698.1 200.2 37.4 59.5 142 27 Foreign corporate private securities 338.8 19.7 12.9 4.7 44 4 Residential mortgage-backed 238.1 1.9 5.7 0.5 124 2 Commercial mortgage-backed 78.6 0.1 0.3 0.1 16 1 Other asset-backed 41.4 2.0 1.2 0.5 18 2 Total $ 3,203.3 $ 444.4 $ 162.0 $ 135.0 654 65 December 31, 2015 U.S. Treasuries $ 69.7 $ — $ 0.3 $ — 14 — State, municipalities and political subdivisions 349.5 — 7.9 — 117 — U.S. corporate public securities 3,565.2 373.5 153.5 103.3 651 58 U.S. corporate private securities 791.0 90.9 34.6 27.8 87 4 Foreign corporate public securities and foreign governments 1,211.9 291.1 63.6 87.9 254 40 Foreign corporate private securities 807.3 35.1 53.9 9.6 85 5 Residential mortgage-backed 294.1 — 6.9 — 130 — Commercial mortgage-backed 239.2 — 3.5 — 38 — Other asset-backed 36.3 1.8 1.0 0.4 15 1 Total $ 7,364.2 $ 792.4 $ 325.2 $ 229.0 1,391 108 Investments with fair values less than amortized cost are included in the Company's other-than-temporary impairments analysis. Impairments were recognized as disclosed in the "Evaluating Securities for Other-Than-Temporary Impairments" section below. The Company evaluates non-agency RMBS and ABS for "other-than-temporary impairments" each quarter based on actual and projected cash flows after considering the quality and updated loan-to-value ratios reflecting current home prices of underlying collateral, forecasted loss severity, the payment priority within the tranche structure of the security and amount of any credit enhancements. The Company's assessment of current levels of cash flows compared to estimated cash flows at the time the securities were acquired (typically pre-2008) indicates the amount and the pace of projected cash flows from the underlying collateral has generally been lower and slower, respectively. However, since cash flows are typically projected at a trust level, the impairment review incorporates the security's position within the trust structure as well as credit enhancement remaining in the trust to determine whether an impairment is warranted. Therefore, while lower and slower cash flows will impact the trust, the effect on the valuation of a particular security within the trust will also be dependent upon the trust structure. Where the assessment continues to project full recovery of principal and interest on schedule, the Company has not recorded an impairment. Based on this analysis, the Company determined that the remaining investments in an unrealized loss position were not other-than-temporarily impaired and therefore no further other-than-temporary impairment was necessary. Troubled Debt Restructuring The Company invests in high quality, well performing portfolios of commercial mortgage loans and private placements. Under certain circumstances, modifications are granted to these contracts. Each modification is evaluated as to whether a troubled debt restructuring has occurred. A modification is a troubled debt restructuring when the borrower is in financial difficulty and the creditor makes concessions. Generally, the types of concessions may include reducing the face amount or maturity amount of the debt as originally stated, reducing the contractual interest rate, extending the maturity date at an interest rate lower than current market interest rates and/or reducing accrued interest. The Company considers the amount, timing and extent of the concession granted in determining any impairment or changes in the specific valuation allowance recorded in connection with the troubled debt restructuring. A valuation allowance may have been recorded prior to the quarter when the loan is modified in a troubled debt restructuring. Accordingly, the carrying value (net of the specific valuation allowance) before and after modification through a troubled debt restructuring may not change significantly, or may increase if the expected recovery is higher than the pre-modification recovery assessment. For the three months ended March 31, 2016 , and for the year ended December 31, 2015 , the Company had no new troubled debt restructurings for private placement bonds or commercial mortgage loans. As of March 31, 2016 , the Company held no commercial mortgage troubled debt restructured loans. During the three months ended March 31, 2016 , 8 commercial mortgage loans that were restructured in August 2013 with a pre and post modification carrying value of $18.6 were paid in full. These loans represent what remained of an initial portfolio of 20 restructures with a pre and post modification carrying value of $39.4 . As of March 31, 2016 and December 31, 2015 , the Company did no t have any commercial mortgage loans or private placements modified in a troubled debt restructuring with a subsequent payment default. Mortgage Loans on Real Estate The Company's mortgage loans on real estate are all commercial mortgage loans held for investment, which are reported at amortized cost, less impairment write-downs and allowance for losses. The Company diversifies its commercial mortgage loan portfolio by geographic region and property type to reduce concentration risk. The Company manages risk when originating commercial mortgage loans by generally lending only up to 75% of the estimated fair value of the underlying real estate. Subsequently, the Company continuously evaluates mortgage loans based on relevant current information including a review of loan-specific credit quality, property characteristics and market trends. Loan performance is monitored on a loan-specific basis through the review of submitted appraisals, operating statements, rent revenues and annual inspection reports, among other items. This review ensures properties are performing at a consistent and acceptable level to secure the debt. The components to evaluate debt service coverage are received and reviewed at least annually to determine the level of risk. The following table summarizes the Company's investment in mortgage loans as of the dates indicated: March 31, 2016 December 31, 2015 Impaired Non Impaired Total Impaired Non Impaired Total Commercial mortgage loans $ 4.8 $ 3,926.4 $ 3,931.2 $ 10.7 $ 3,719.6 $ 3,730.3 Collective valuation allowance for losses N/A (1.2 ) (1.2 ) N/A (1.2 ) (1.2 ) Total net commercial mortgage loans $ 4.8 $ 3,925.2 $ 3,930.0 $ 10.7 $ 3,718.4 $ 3,729.1 N/A- Not Applicable There were no impairments taken on the mortgage loan portfolio for the three months ended March 31, 2016 and 2015 . The following table summarizes the activity in the allowance for losses for commercial mortgage loans for the periods indicated: March 31, 2016 December 31, 2015 Collective valuation allowance for losses, balance at January 1 $ 1.2 $ 1.1 Addition to (reduction of) allowance for losses — 0.1 Collective valuation allowance for losses, end of period $ 1.2 $ 1.2 The carrying values and unpaid principal balances of impaired mortgage loans were as follows as of the dates indicated: March 31, 2016 December 31, 2015 Impaired loans without allowances for losses $ 4.8 $ 10.7 Less: Allowances for losses on impaired loans — — Impaired loans, net $ 4.8 $ 10.7 Unpaid principal balance of impaired loans $ 6.3 $ 12.2 The following table presents information on restructured loans as of the dates indicated: March 31, 2016 December 31, 2015 Troubled debt restructured loans $ — $ 5.9 The Company defines delinquent mortgage loans consistent with industry practice as 60 days past due . The Company's policy is to recognize interest income until a loan becomes 90 days delinquent or foreclosure proceedings are commenced, at which point interest accrual is discontinued. Interest accrual is not resumed until the loan is brought current. There were no mortgage loans in the Company's portfolio in process of foreclosure as of March 31, 2016 and December 31, 2015 . There were no loans 30 days or less in arrears, with respect to principal and interest as of March 31, 2016 . There were two loans 30 days or less in arrears, with respect to principal and interest as of December 31, 2015 , with a total amortized cost of $1.0 . Commercial loans are placed on non-accrual status when 90 days in arrears if the Company has concerns regarding the collectability of future payments, or if a loan has matured without being paid off or extended. Factors considered may include conversations with the borrower, loss of major tenant, bankruptcy of borrower or major tenant, decreased property cash flow, number of days past due, or various other circumstances. Based on an assessment as to the collectability of the principal, a determination is made to either apply against the book value or apply according to the contractual terms of the loan. Funds recovered in excess of book value would then be applied to recover expenses, impairments, and then interest. Accrual of interest resumes after factors resulting in doubts about collectability have improved. The following table presents information on the average investment during the period in impaired loans and interest income recognized on impaired and troubled debt restructured loans for the periods indicated: Three Months Ended March 31, 2016 2015 Impaired loans, average investment during the period (amortized cost) (1) $ 7.8 $ 26.6 Interest income recognized on impaired loans, on an accrual basis (1) 0.1 0.4 Interest income recognized on impaired loans, on a cash basis (1) 0.1 0.5 Interest income recognized on troubled debt restructured loans, on an accrual basis — 0.3 (1) Includes amounts for Troubled debt restructured loans. Loan-to-value ("LTV") and debt service coverage ("DSC") ratios are measures commonly used to assess the risk and quality of mortgage loans. The LTV ratio, calculated at time of origination, is expressed as a percentage of the amount of the loan relative to the value of the underlying property. A LTV ratio in excess of 100% indicates the unpaid loan amount exceeds the underlying collateral. The DSC ratio, based upon the most recently received financial statements, is expressed as a percentage of the amount of a property’s net income to its debt service payments. A DSC ratio of less than 1.0 indicates that a property’s operations do not generate sufficient income to cover debt payments. These ratios are utilized as part of the review process described above. The following table presents the LTV ratios as of the dates indicated: March 31, 2016 (1) December 31, 2015 (1) Loan-to-Value Ratio: 0% - 50% $ 368.1 $ 395.1 >50% - 60% 1,070.4 969.4 >60% - 70% 2,256.8 2,158.2 >70% - 80% 233.3 204.8 >80% and above 2.6 2.8 Total Commercial mortgage loans $ 3,931.2 $ 3,730.3 (1) Balances do not include collective valuation allowance for losses. The following table presents the DSC ratios as of the dates indicated: March 31, 2016 (1) December 31, 2015 (1) Debt Service Coverage Ratio: Greater than 1.5x $ 3,150.3 $ 2,957.7 >1.25x - 1.5x 514.3 494.5 >1.0x - 1.25x 205.4 208.6 Less than 1.0x 38.4 38.6 Commercial mortgage loans secured by land or construction loans 22.8 30.9 Total Commercial mortgage loans $ 3,931.2 $ 3,730.3 (1) Balances do not include collective valuation allowance for losses. Properties collateralizing mortgage loans are geographically dispersed throughout the United States, as well as diversified by property type, as reflected in the following tables as of the dates indicated: March 31, 2016 (1) December 31, 2015 (1) Gross Carrying Value % of Total Gross Carrying Value % of Total Commercial Mortgage Loans by U.S. Region: Pacific $ 888.1 22.6 % $ 867.5 23.3 % South Atlantic 927.7 23.6 % 857.3 23.0 % Middle Atlantic 559.0 14.2 % 556.1 14.9 % West South Central 426.6 10.9 % 414.8 11.1 % Mountain 344.4 8.8 % 304.1 8.2 % East North Central 418.4 10.6 % 380.8 10.2 % New England 79.4 2.0 % 81.4 2.2 % West North Central 225.5 5.7 % 208.6 5.6 % East South Central 62.1 1.6 % 59.7 1.5 % Total Commercial mortgage loans $ 3,931.2 100.0 % $ 3,730.3 100.0 % (1) Balances do not include collective valuation allowance for losses. March 31, 2016 (1) December 31, 2015 (1) Gross Carrying Value % of Total Gross Carrying Value % of Total Commercial Mortgage Loans by Property Type: Retail $ 1,347.1 34.2 % $ 1,330.8 35.7 % Industrial 804.6 20.5 % 741.3 19.9 % Apartments 709.0 18.0 % 630.4 16.9 % Office 632.9 16.1 % 586.3 15.7 % Hotel/Motel 176.2 4.5 % 177.6 4.7 % Mixed Use 50.8 1.3 % 47.1 1.3 % Other 210.6 5.4 % 216.8 5.8 % Total Commercial mortgage loans $ 3,931.2 100.0 % $ 3,730.3 100.0 % (1) Balances do not include collective valuation allowance for losses. The following table sets forth the breakdown of mortgages by year of origination as of the dates indicated: March 31, 2016 (1) December 31, 2015 (1) Year of Origination: 2016 $ 275.5 $ — 2015 742.7 745.3 2014 557.3 558.0 2013 703.7 709.2 2012 742.8 748.2 2011 522.0 553.2 2010 and prior 387.2 416.4 Total Commercial mortgage loans $ 3,931.2 $ 3,730.3 (1) Balances do not include collective valuation allowance for losses. Evaluating Securities for Other-Than-Temporary Impairments The Company performs a regular evaluation, on a security-by-security basis, of its available-for-sale securities holdings, including fixed maturity securities and equity securities in accordance with its impairment policy in order to evaluate whether such investments are other-than-temporarily impaired. The following table identifies the Company's credit-related and intent-related impairments included in the Condensed Consolidated Statements of Operations, excluding impairments included in Other comprehensive income (loss) by type for the periods indicated: Three Months Ended March 31, 2016 2015 Impairment No. of Securities Impairment No. of Securities U.S. corpor |
Derivative Financial Instrument
Derivative Financial Instruments | 3 Months Ended |
Mar. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Financial Instruments | Derivative Financial Instruments The Company enters into the following types of derivatives: Interest rate caps: The Company uses interest rate cap contracts to hedge the interest rate exposure arising from duration mismatches between assets and liabilities. Interest rate caps are also used to hedge interest rate exposure if rates rise above a specified level. Such increases in rates will require the Company to incur additional expenses. The future payout from the interest rate caps fund this increased exposure. The Company pays an upfront premium to purchase these caps. The Company utilizes these contracts in non-qualifying hedging relationships. Interest rate swaps: Interest rate swaps are used by the Company primarily to reduce market risks from changes in interest rates and to alter interest rate exposure arising from mismatches between assets and/or liabilities. Interest rate swaps are also used to hedge the interest rate risk associated with the value of assets it owns or in an anticipation of acquiring them. Using interest rate swaps, the Company agrees with another party to exchange, at specified intervals, the difference between fixed rate and floating rate interest payments, calculated by reference to an agreed upon notional principal amount. These transactions are entered into pursuant to master agreements that provide for a single net payment to be made to/from the counterparty at each due date. The Company utilizes these contracts in qualifying hedging relationships as well as non-qualifying hedging relationships. Foreign exchange swaps: The Company uses foreign exchange or currency swaps to reduce the risk of change in the value, yield or cash flows associated with certain foreign denominated invested assets. Foreign exchange swaps represent contracts that require the exchange of foreign currency cash flows against U.S. dollar cash flows at regular periods, typically quarterly or semi-annually. The Company utilizes these contracts in qualifying hedging relationships as well as non-qualifying hedging relationships. Credit default swaps: Credit default swaps are used to reduce credit loss exposure with respect to certain assets that the Company owns or to assume credit exposure on certain assets that the Company does not own. Payments are made to, or received from, the counterparty at specified intervals. In the event of a default on the underlying credit exposure, the Company will either receive a payment (purchased credit protection) or will be required to make a payment (sold credit protection) equal to the par minus recovery value of the swap contract. The Company utilizes these contracts in non-qualifying hedging relationships. Currency forwards: The Company utilizes currency forward contracts to hedge currency exposure related to invested assets. The Company utilizes these contracts in non-qualifying hedging relationships. Futures: Futures contracts are used to hedge against a decrease in certain equity indices. Such decreases may result in a decrease in variable annuity account values which would increase the possibility of the Company incurring an expense for guaranteed benefits in excess of account values. The Company also uses interest rate futures contracts to hedge its exposure to market risks due to changes in interest rates. The Company enters into exchange traded futures with regulated futures commissions that are members of the exchange. The Company also posts initial and variation margins, with the exchange, on a daily basis. The Company utilizes exchange-traded futures in non-qualifying hedging relationships. The Company also used futures contracts as a hedge against an increase in certain equity indices. Such increases may result in increased payments to the holders of fixed index annuity ("FIA") contracts. During the three months ended March 31, 2016, the Company moved to a static hedging strategy for its FIA contracts and replaced futures contracts with equity options. Swaptions: A swaption is an option to enter into a swap with a forward starting effective date. The Company uses swaptions to hedge the interest rate exposure associated with the minimum crediting rate and book value guarantees embedded in the retirement products that the Company offers. Increases in interest rates will generate losses on assets that are backing such liabilities. In certain instances, the Company locks in the economic impact of existing purchased swaptions by entering into offsetting written swaptions. The Company pays a premium when it purchases the swaption. The Company utilizes these contracts in non-qualifying hedging relationships. Options: The Company uses equity options to hedge against an increase in various equity indices. Such increases may result in increased payments to the holders of the FIA contracts. The Company pays an upfront premium to purchase these options. The Company utilizes these options in non-qualifying hedging relationships. Managed custody guarantees ("MCGs"): The Company issues certain credited rate guarantees on variable fixed income portfolios that represent stand-alone derivatives. The market value is partially determined by, among other things, levels of or changes in interest rates, prepayment rates and credit ratings/spreads. Embedded derivatives: The Company also invests in certain fixed maturity instruments and has issued certain products that contain embedded derivatives whose market value is at least partially determined by, among other things, levels of or changes in domestic and/or foreign interest rates (short-term or long-term), exchange rates, prepayment rates, equity rates, or credit ratings/spreads. In addition, the Company has entered into coinsurance with funds withheld arrangements, which contain embedded derivatives. The Company's use of derivatives is limited mainly to economic hedging to reduce the Company's exposure to cash flow variability of assets and liabilities, interest rate risk, credit risk, exchange rate risk and market risk. It is the Company's policy not to offset amounts recognized for derivative instruments and amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral arising from derivative instruments executed with the same counterparty under a master netting arrangement, which provides the Company with the legal right of offset. The notional amounts and fair values of derivatives were as follows as of the dates indicated: March 31, 2016 December 31, 2015 Notional Amount Asset Fair Value Liability Fair Value Notional Amount Asset Fair Value Liability Fair Value Derivatives: Qualifying for hedge accounting (1) Cash flow hedges: Interest rate contracts $ 222.8 $ 57.5 $ — $ 285.3 $ 60.1 $ — Foreign exchange contracts 51.2 8.2 — 51.2 10.7 — Derivatives: Non-qualifying for hedge accounting (1) Interest rate contracts 28,168.0 578.7 266.4 25,309.1 362.3 104.0 Foreign exchange contracts 146.0 9.9 8.7 144.6 13.9 10.7 Equity contracts 99.0 1.6 — 15.9 — 0.1 Credit contracts 407.5 3.1 0.3 407.5 3.3 0.3 Embedded derivatives and Managed custody guarantees: Within fixed maturity investments N/A 24.3 — N/A 23.4 — Within products N/A — 245.0 N/A — 184.1 Within reinsurance agreements N/A — (32.3 ) N/A — (71.6 ) Managed custody guarantees N/A — 2.7 N/A — 0.3 Total $ 683.3 $ 490.8 $ 473.7 $ 227.9 (1) Open derivative contracts are reported as Derivatives assets or liabilities on the Condensed Consolidated Balance Sheets at fair value. N/A - Not Applicable The maximum length of time over which the Company is hedging its exposure to the variability in future cash flows for forecasted transactions is through the fourth quarter of 2016. Based on the notional amounts, a substantial portion of the Company’s derivative positions was not designated or did not qualify for hedge accounting as part of a hedging relationship as of March 31, 2016 and December 31, 2015 . The Company utilizes derivative contracts mainly to hedge exposure to variability in cash flows, interest rate risk, credit risk, foreign exchange risk and equity market risk. The majority of derivatives used by the Company are designated as product hedges, which hedge the exposure arising from insurance liabilities or guarantees embedded in the contracts the Company offers through various product lines. These derivatives do not qualify for hedge accounting as they do not meet the criteria of being "highly effective" as outlined in ASC Topic 815, but do provide an economic hedge, which is in line with the Company’s risk management objectives. The Company also uses derivatives contracts to hedge its exposure to various risks associated with the investment portfolio. The Company does not seek hedge accounting treatment for certain of these derivatives as they generally do not qualify for hedge accounting due to the criteria required under the portfolio hedging rules outlined in ASC Topic 815. The Company also uses credit default swaps coupled with other investments in order to produce the investment characteristics of otherwise permissible investments that do not qualify as effective accounting hedges under ASC Topic 815. Although the Company has not elected to net its derivative exposures, the notional amounts and fair values of Over-The-Counter ("OTC") and cleared derivatives excluding exchange traded contracts and forward contracts (To Be Announced mortgage-backed securities) are presented in the tables below as of the dates indicated: March 31, 2016 Notional Amount Asset Fair Value Liability Fair Value Credit contracts $ 407.5 $ 3.1 $ 0.3 Equity contracts 99.0 1.6 — Foreign exchange contracts 197.2 18.1 8.7 Interest rate contracts 26,192.1 636.2 265.7 659.0 274.7 Counterparty netting (1) (263.2 ) (263.2 ) Cash collateral netting (1) (361.0 ) (3.4 ) Securities collateral netting (1) (11.3 ) (6.9 ) Net receivables/payables $ 23.5 $ 1.2 (1) Represents the netting of receivable balances with payable balances, net of collateral, for the same counterparty under eligible netting agreements. December 31, 2015 Notional Amount Asset Fair Value Liability Fair Value Credit contracts $ 407.5 $ 3.3 $ 0.3 Foreign exchange contracts 195.8 24.6 10.7 Interest rate contracts 22,965.5 422.4 103.4 450.3 114.4 Counterparty netting (1) (111.7 ) (111.7 ) Cash collateral netting (1) (298.0 ) (0.3 ) Securities collateral netting (1) (11.0 ) (2.4 ) Net receivables/payables $ 29.6 $ — (1) Represents the netting of receivable balances with payable balances, net of collateral, for the same counterparty under eligible netting agreements. Collateral Under the terms of the OTC Derivative International Swaps and Derivatives Association, Inc. ("ISDA") agreements, the Company may receive from, or deliver to, counterparties, collateral to assure that terms of the ISDA agreements will be met with regard to the Credit Support Annex ("CSA"). The terms of the CSA call for the Company to pay interest on any cash received equal to the Federal Funds rate. To the extent cash collateral is received and delivered, it is included in Payables under securities loan agreements, including collateral held and Short-term investments under securities loan agreements, including collateral delivered, respectively, on the Condensed Consolidated Balance Sheets and is reinvested in short-term investments. Collateral held is used in accordance with the CSA to satisfy any obligations. Investment grade bonds owned by the Company are the source of noncash collateral posted, which is reported in Securities pledged on the Condensed Consolidated Balance Sheets. As of March 31, 2016 , the Company held $109.1 and $249.2 of net cash collateral related to OTC derivative contracts and cleared derivative contracts, respectively. As of December 31, 2015 , the Company held $120.3 and $179.5 of net cash collateral related to OTC derivative contracts and cleared derivative contracts, respectively. In addition, as of March 31, 2016 , the Company delivered $177.9 of securities and held $11.4 securities as collateral. As of December 31, 2015 , the Company delivered $70.3 of securities and held $11.1 of securities as collateral. Net realized gains (losses) on derivatives were as follows for the periods indicated: Three Months Ended March 31, 2016 2015 Derivatives: Qualifying for hedge accounting (1) Cash flow hedges: Interest rate contracts $ 0.2 $ 0.1 Foreign exchange contracts 0.2 0.1 Derivatives: Non-qualifying for hedge accounting (2) Interest rate contracts 64.5 29.5 Foreign exchange contracts (2.2 ) 1.1 Equity contracts (0.4 ) 0.6 Credit contracts 0.6 0.4 Embedded derivatives and Managed custody guarantees: Within fixed maturity investments (2) 0.9 (0.2 ) Within products (2) (60.4 ) (44.7 ) Within reinsurance agreements (3) (39.3 ) (14.1 ) Managed custody guarantees (2) (2.4 ) (0.8 ) Total $ (38.3 ) $ (28.0 ) (1) Changes in value for effective fair value hedges are recorded in Other net realized capital gains (losses). Changes in fair value upon disposal for effective cash flow hedges are amortized through Net investment income and the ineffective portion is recorded in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. For the three months ended March 31, 2016 and 2015 , ineffective amounts were immaterial. (2) Changes in value are included in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. (3) Changes in value are included in Interest credited and other benefits to contract owners/policyholders in the Condensed Consolidated Statements of Operations. Credit Default Swaps The Company has entered into various credit default swaps. When credit default swaps are sold, the Company assumes credit exposure to certain assets that it does not own. Credit default swaps may also be purchased to reduce credit exposure in the Company's portfolio. Credit default swaps involve a transfer of credit risk from one party to another in exchange for periodic payments. As of March 31, 2016 , the fair values of credit default swaps of $3.1 and $0.3 were included in Derivatives assets and Derivatives liabilities, respectively, on the Condensed Consolidated Balance Sheets. As of December 31, 2015 , the fair values of credit default swaps of $3.3 and $0.3 were included in Derivatives assets and Derivatives liabilities, respectively, on the Condensed Consolidated Balance Sheets. As of March 31, 2016 and December 31, 2015 , the maximum potential future exposure to the Company was $384.0 in credit default swaps. These instruments are typically written for a maturity period of 5 years and contain no recourse provisions. If the Company's current debt and claims paying ratings were downgraded in the future, the terms in the Company's derivative agreements may be triggered, which could negatively impact overall liquidity. |
Fair Value Measurements
Fair Value Measurements | 3 Months Ended |
Mar. 31, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | Fair Value Measurements Fair Value Measurement The Company categorizes its financial instruments into a three-level hierarchy based on the priority of the inputs to the valuation technique, pursuant to ASU 2011-04, "Fair Value Measurements (ASC Topic 820): Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP" ("ASU 2011-04"). 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. When available, the estimated fair value of financial instruments is based on quoted prices in active markets that are readily and regularly obtainable. When quoted prices in active markets are not available, the determination of estimated fair value is based on market standard valuation methodologies, including discounted cash flow methodologies, matrix pricing or other similar techniques. The following table presents the Company’s hierarchy for its assets and liabilities measured at fair value on a recurring basis as of March 31, 2016 : Level 1 Level 2 Level 3 Total Assets: Fixed maturities, including securities pledged: U.S. Treasuries $ 741.2 $ 64.3 $ — $ 805.5 U.S. Government agencies and authorities — 4.3 — 4.3 State, municipalities and political subdivisions — 658.8 — 658.8 U.S. corporate public securities — 9,990.5 1.7 9,992.2 U.S. corporate private securities — 1,988.2 393.5 2,381.7 Foreign corporate public securities and foreign governments (1) — 2,851.3 0.5 2,851.8 Foreign corporate private securities (1) — 2,650.3 179.6 2,829.9 Residential mortgage-backed securities — 2,245.8 26.9 2,272.7 Commercial mortgage-backed securities — 1,355.4 0.1 1,355.5 Other asset-backed securities — 241.5 12.6 254.1 Total fixed maturities, including securities pledged 741.2 22,050.4 614.9 23,406.5 Equity securities, available-for-sale 34.7 — 48.2 82.9 Derivatives: Interest rate contracts — 636.2 — 636.2 Foreign exchange contracts — 18.1 — 18.1 Equity contracts — 1.6 — 1.6 Credit contracts — 3.1 — 3.1 Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements 1,317.6 — — 1,317.6 Assets held in separate accounts 54,241.4 4,870.5 1.2 59,113.1 Total assets $ 56,334.9 $ 27,579.9 $ 664.3 $ 84,579.1 Liabilities: Derivatives: Guaranteed benefit derivatives: FIA $ — $ — $ 21.7 $ 21.7 Stabilizer and MCGs — — 226.0 226.0 Other derivatives: Interest rate contracts 0.7 265.7 — 266.4 Foreign exchange contracts — 8.7 — 8.7 Equity contracts — — — — Credit contracts — 0.3 — 0.3 Embedded derivative on reinsurance — (32.3 ) — (32.3 ) Total liabilities $ 0.7 $ 242.4 $ 247.7 $ 490.8 (1) Primarily U.S. dollar denominated. 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, 2015 : Level 1 Level 2 Level 3 Total Assets: Fixed maturities, including securities pledged: U.S. Treasuries $ 660.4 $ 61.0 $ — $ 721.4 U.S. Government agencies and authorities — 4.3 — 4.3 State, municipalities and political subdivisions — 595.8 — 595.8 U.S. corporate public securities — 9,598.2 2.3 9,600.5 U.S. corporate private securities — 1,963.5 396.4 2,359.9 Foreign corporate public securities and foreign governments (1) — 2,811.7 0.5 2,812.2 Foreign corporate private securities (1) — 2,553.3 158.1 2,711.4 Residential mortgage-backed securities — 1,901.0 28.2 1,929.2 Commercial mortgage-backed securities — 1,262.3 12.6 1,274.9 Other asset-backed securities — 236.1 13.1 249.2 Total fixed maturities, including securities pledged 660.4 20,987.2 611.2 22,258.8 Equity securities, available-for-sale 83.8 — 47.5 131.3 Derivatives: Interest rate contracts — 422.4 — 422.4 Foreign exchange contracts — 24.6 — 24.6 Equity contracts — — — — Credit contracts — 3.3 — 3.3 Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements 902.6 — — 902.6 Assets held in separate accounts 54,283.0 4,623.6 4.0 58,910.6 Total assets $ 55,929.8 $ 26,061.1 $ 662.7 $ 82,653.6 Liabilities: Derivatives: Guaranteed benefit derivatives: FIA $ — $ — $ 23.1 $ 23.1 Stabilizer and MCGs — — 161.3 161.3 Other derivatives: Interest rate contracts 0.6 103.4 — 104.0 Foreign exchange contracts — 10.7 — 10.7 Equity contracts 0.1 — — 0.1 Credit contracts — 0.3 — 0.3 Embedded derivative on reinsurance — (71.6 ) — (71.6 ) Total liabilities $ 0.7 $ 42.8 $ 184.4 $ 227.9 (1) Primarily U.S. dollar denominated. Valuation of Financial Assets and Liabilities at Fair Value Certain assets and liabilities are measured at estimated fair value on the Company's Condensed Consolidated Balance Sheets. The Company defines fair value as the price that would be received to sell an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. The exit price and the transaction (or entry) price will be the same at initial recognition in many circumstances. However, in certain cases, the transaction price may not represent fair value. The fair value of a liability is based on the amount that would be paid to transfer a liability to a third-party with an equal credit standing. Fair value is required to be a market-based measurement that is determined based on a hypothetical transaction at the measurement date, from a market participant's perspective. The Company considers three broad valuation techniques when a quoted price is unavailable: (i) the market approach, (ii) the income approach and (iii) the cost approach. The Company determines the most appropriate valuation technique to use, given the instrument being measured and the availability of sufficient inputs. The Company prioritizes the inputs to fair valuation techniques and allows for the use of unobservable inputs to the extent that observable inputs are not available. The Company utilizes a number of valuation methodologies to determine the fair values of its financial assets and liabilities in conformity with the concepts of exit price and the fair value hierarchy as prescribed in ASC Topic 820. Valuations are obtained from third-party commercial pricing services, brokers and industry-standard, vendor-provided software that models the value based on market observable inputs. The valuations obtained from third-party commercial pricing services are non-binding. The Company reviews the assumptions and inputs used by third-party commercial pricing services for each reporting period in order to determine an appropriate fair value hierarchy level. The documentation and analysis obtained from third-party commercial pricing services are reviewed by the Company, including in-depth validation procedures confirming the observability of inputs. The valuations are reviewed and validated monthly through the internal valuation committee price variance review, comparisons to internal pricing models, back testing to recent trades or monitoring of trading volumes. Fixed maturities: The fair values for actively traded marketable bonds are determined based upon the quoted market prices and are classified as Level 1 assets. Assets in this category primarily include certain U.S. Treasury securities. For fixed maturities classified as Level 2 assets, fair values are determined using a matrix-based market approach, based on prices obtained from third-party commercial pricing services and the Company’s matrix and analytics-based pricing models, which in each case incorporate a variety of market observable information as valuation inputs. The market observable inputs used for these fair value measurements, by fixed maturity asset class, are as follows: U.S. Treasuries: Fair value is determined using third-party commercial pricing services, with the primary inputs being stripped interest and principal U.S. Treasury yield curves that represent a U.S. Treasury zero-coupon curve. U.S. government agencies and authorities, State, municipalities and political subdivisions: Fair value is determined using third-party commercial pricing services, with the primary inputs being U.S. Treasury yield curves, trades of comparable securities, credit spreads off benchmark yields and issuer ratings. U.S. corporate public securities, Foreign corporate public securities and foreign governments: Fair value is determined using third-party commercial pricing services, with the primary inputs being benchmark yields, trades of comparable securities, issuer ratings, bids and credit spreads off benchmark yields. U.S. corporate private securities and Foreign corporate private securities: Fair values are determined using a matrix and analytics-based pricing model. The model incorporates the current level of risk-free interest rates, current corporate credit spreads, credit quality of the issuer and cash flow characteristics of the security. The model also considers a liquidity spread, the value of any collateral, the capital structure of the issuer, the presence of guarantees, and prices and quotes for comparably rated publicly traded securities. RMBS, CMBS and ABS: Fair value is determined using third-party commercial pricing services, with the primary inputs being credit spreads off benchmark yields, prepayment speed assumptions, current and forecasted loss severity, debt service coverage ratios, collateral type, payment priority within tranche and the vintage of the loans underlying the security. Transfers in and out of Level 1 and 2 There were no securities transferred between Level 1 and Level 2 for the three months ended March 31, 2016 and 2015 . The Company’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period. Level 3 Financial Instruments The fair values of certain assets and liabilities are determined using prices or valuation techniques that require inputs that are both unobservable and significant to the overall fair value measurement (i.e., Level 3 as defined by ASC Topic 820), including but not limited to liquidity spreads for investments within markets deemed not currently active. These valuations, whether derived internally or obtained from a third-party, use critical assumptions that are not widely available to estimate market participant expectations in valuing the asset or liability. In addition, the Company has determined, for certain financial instruments, an active market is such a significant input to determine fair value that the presence of an inactive market may lead to classification in Level 3. In light of the methodologies employed to obtain the fair values of financial assets and liabilities classified as Level 3, additional information is presented below. The following table summarizes the change in fair value of the Company’s Level 3 assets and liabilities and transfers in and out of Level 3 for the period indicated: Three Months Ended March 31, 2016 Fair Value as of January 1 Total Realized/Unrealized Gains (Losses) Included in: Purchases Issuances Sales Settlements Transfers into Level 3 (3) Transfers out of Level 3 (3) Fair Value as of March 31 Change in Unrealized Gains (Losses) Included in Earnings (4) Net Income OCI Fixed maturities, including securities pledged: U.S. Corporate public securities $ 2.3 $ — $ (0.1 ) $ — $ — $ — $ (0.5 ) $ — $ — $ 1.7 $ — U.S. Corporate private securities 396.4 (0.1 ) 8.3 0.2 — (17.5 ) (31.4 ) 44.2 (6.6 ) 393.5 (0.1 ) Foreign corporate public securities and foreign governments (1) 0.5 — — — — — — — — 0.5 — Foreign corporate private securities (1) 158.1 0.1 4.3 — — (0.1 ) (7.7 ) 29.7 (4.8 ) 179.6 0.1 Residential mortgage-backed securities 28.2 (1.3 ) — — — — — — — 26.9 (1.3 ) Commercial mortgage-backed securities 12.6 — — 0.1 — — — — (12.6 ) 0.1 — Other asset-backed securities 13.1 — (0.2 ) — — — (0.3 ) — — 12.6 — Total fixed maturities, including securities pledged 611.2 (1.3 ) 12.3 0.3 — (17.6 ) (39.9 ) 73.9 (24.0 ) 614.9 (1.3 ) Equity securities, available-for-sale 47.5 — 0.7 — — — — — — 48.2 — Derivatives: Guaranteed benefit derivatives: Stabilizer and MCGs (2) (161.3 ) (63.6 ) — — (1.1 ) — — — — (226.0 ) — FIA (2) (23.1 ) 0.8 — — 0.1 — 0.5 — — (21.7 ) — Cash and cash equivalents, short-term investments, and short-term investments under securities loan agreements — — — — — — — — — — — Assets held in separate accounts (5) 4.0 — — — — — — — (2.8 ) 1.2 — (1) Primarily U.S. dollar denominated. (2) All gains and losses on Level 3 liabilities are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by-contract basis. These amounts are included in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. (3) The Company’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period. (4) For financial instruments still held as of March 31, amounts are included in Net investment income and Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. (5) The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) for separate account assets are offset by an equal amount for separate account liabilities, which results in a net zero impact on Net income (loss) for the Company. The following table summarizes the change in fair value of the Company’s Level 3 assets and liabilities and transfers in and out of Level 3 for the period indicated: Three Months Ended March 31, 2015 Fair Value as of January 1 Total Realized/Unrealized Gains (Losses) Included in: Purchases Issuances Sales Settlements Transfers into Level 3 (3) Transfers out of Level 3 (3) Fair Value as of March 31 Change in Unrealized Gains (Losses) Included in Earnings (4) Net Income OCI Fixed maturities, including securities pledged: U.S. Corporate public securities $ 50.3 $ — $ 1.8 $ 23.6 $ — $ — $ (1.1 ) $ — $ — $ 74.6 $ — U.S. Corporate private securities 324.5 — 0.7 23.5 — — (36.8 ) — — 311.9 — Foreign corporate public securities and foreign governments (1) — — — 1.2 — — — — — 1.2 — Foreign corporate private securities (1) 165.7 0.2 1.4 1.8 — — (4.0 ) 16.1 — 181.2 — Residential mortgage-backed securities 17.3 (0.6 ) (0.4 ) — — — — 6.7 — 23.0 (0.6 ) Commercial mortgage-backed securities 19.0 — — — — — — — (19.0 ) — — Other asset-backed securities 2.4 — — — — — (0.3 ) — — 2.1 — Total fixed maturities, including securities pledged 579.2 (0.4 ) 3.5 50.1 — — (42.2 ) 22.8 (19.0 ) 594.0 (0.6 ) Equity securities, available-for-sale 36.6 — 1.4 — — — — — — 38.0 — Derivatives: Guaranteed benefit derivatives: Stabilizer and MCGs (2) (102.9 ) (44.1 ) — — (1.1 ) — — — — (148.1 ) — FIA (2) (26.3 ) (1.4 ) — — — — 0.2 — — (27.5 ) — Cash and cash equivalents, short-term investments, and short-term investments under securities loan agreements 1.5 — — — — — — — — 1.5 — Assets held in separate accounts (5) 2.4 — — — — — — — (1.7 ) 0.7 — (1) Primarily U.S. dollar denominated. (2) All gains and losses on Level 3 liabilities are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by-contract basis. These amounts are included in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. (3) The Company’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period. (4) For financial instruments still held as of March 31, amounts are included in Net investment income and Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. (5) The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) for separate account assets are offset by an equal amount for separate account liabilities, which results in a net zero impact on Net income (loss) for the Company. For the three months ended March 31, 2016 and 2015 , the transfers in and out of Level 3 for fixed maturities and equity securities, as well as separate accounts, were due to the variation in inputs relied upon for valuation each quarter. Securities that are primarily valued using independent broker quotes when prices are not available from one of the commercial pricing services are reflected as transfers into Level 3. When securities are valued using more widely available information, the securities are transferred out of Level 3 and into Level 1 or 2, as appropriate. Significant Unobservable Inputs The Company's Level 3 fair value measurements of its fixed maturities, equity securities available-for-sale and equity and credit derivative contracts are primarily based on broker quotes for which the quantitative detail of the unobservable inputs is neither provided nor reasonably corroborated, thus negating the ability to perform a sensitivity analysis. The Company performs a review of broker quotes by performing a monthly price variance comparison and back tests broker quotes to recent trade prices. Quantitative information about the significant unobservable inputs used in the Company's Level 3 fair value measurements of its guaranteed benefit derivatives is presented in the following sections and table. Significant unobservable inputs used in the fair value measurements of FIAs include nonperformance risk and policyholder behavior assumptions, such as lapses and partial withdrawals. Such inputs are monitored quarterly. The significant unobservable inputs used in the fair value measurement of the Stabilizer embedded derivatives and MCG derivative are interest rate implied volatility, nonperformance risk, lapses and policyholder deposits. Such inputs are monitored quarterly. Following is a description of selected inputs: Interest Rate Volatility: A term-structure model is used to approximate implied volatility for the swap rates for the Stabilizer and MCG fair value measurements. Where no implied volatility is readily available in the market, an alternative approach is applied based on historical volatility. Nonperformance Risk: For the estimate of the fair value of embedded derivatives associated with the Company's product guarantees, the Company uses a blend of observable, similarly rated peer company credit default swap spreads, adjusted to reflect the credit quality of the Company and the priority of policyholder claims. Actuarial Assumptions: Management regularly reviews actuarial assumptions, which are based on the Company's experience and periodically reviewed against industry standards. Industry standards and Company experience may be limited on certain products. The following table presents the unobservable inputs for Level 3 fair value measurements as of March 31, 2016 : Range (1) Unobservable Input FIA Stabilizer / MCG Interest rate implied volatility — 0.2% to 7.7% Nonperformance risk 0.23% to 1.6% 0.23% to 1.6% Actuarial Assumptions: Partial Withdrawals 0.4% to 3.2% — Lapses 0% to 45% (2) 0% to 50% (3) Policyholder Deposits (4) — 0% to 50% (3) (1) Represents the range of reasonable assumptions that management has used in its fair value calculations. (2) Lapse rates tend to be lower during the contractual surrender charge period and higher after the surrender charge period ends; the highest lapse rates occur in the year immediately after the end of the surrender charge period. (3) Stabilizer contracts with recordkeeping agreements have different range of lapse and policyholder deposit assumptions from Stabilizer (Investment only) and MCG contracts as shown below: Percentage of Plans Overall Range of Lapse Rates Range of Lapse Rates for 85% of Plans Overall Range of Policyholder Deposits Range of Policyholder Deposits for 85% of Plans Stabilizer (Investment Only) and MCG Contracts 93 % 0-25% 0-15% 0-30% 0-15% Stabilizer with Recordkeeping Agreements 7 % 0-50% 0-30% 0-50% 0-25% Aggregate of all plans 100 % 0-50% 0-30% 0-50% 0-25% (4) Measured as a percentage of assets under management or assets under administration. The following table presents the unobservable inputs for Level 3 fair value measurements as of December 31, 2015 : Range (1) Unobservable Input FIA Stabilizer / MCG Interest rate implied volatility — 0.1% to 7.3% Nonperformance risk 0.23% to 1.3% 0.23% to 1.3% Actuarial Assumptions: Partial Withdrawals 0.4% to 3.2% — Lapses 0% to 45% (2) 0% to 50% (3) Policyholder Deposits (4) — 0% to 50% (3) (1) Represents the range of reasonable assumptions that management has used in its fair value calculations. (2) Lapse rates tend to be lower during the contractual surrender charge period and higher after the surrender charge period ends; the highest lapse rates occur in the year immediately after the end of the surrender charge period. (3) Stabilizer contracts with recordkeeping agreements have different range of lapse and policyholder deposit assumptions from Stabilizer (Investment only) and MCG contracts as shown below: Percentage of Plans Overall Range of Lapse Rates Range of Lapse Rates for 85% of Plans Overall Range of Policyholder Deposits Range of Policyholder Deposits for 85% of Plans Stabilizer (Investment Only) and MCG Contracts 90 % 0-25% 0-15% 0-30% 0-15% Stabilizer with Recordkeeping Agreements 10 % 0-50% 0-30% 0-50% 0-25% Aggregate of all plans 100 % 0-50% 0-30% 0-50% 0-25% (4) Measured as a percentage of assets under management or assets under administration. Generally, the following will cause an increase (decrease) in the FIA embedded derivative fair value liability: • A decrease (increase) in nonperformance risk • A decrease (increase) in lapses Generally, the following will cause an increase (decrease) in the derivative and embedded derivative fair value liabilities related to Stabilizer and MCG contracts: • An increase (decrease) in interest rate implied volatility • A decrease (increase) in nonperformance risk • A decrease (increase) in lapses • A decrease (increase) in policyholder deposits The Company notes the following interrelationships: • Generally, an increase (decrease) in interest rate volatility will increase (decrease) lapses of Stabilizer and MCG contracts due to dynamic participant behavior. Other Financial Instruments The carrying values and estimated fair values of the Company’s financial instruments as of the dates indicated: March 31, 2016 December 31, 2015 Carrying Value Fair Value Carrying Value Fair Value Assets: Fixed maturities, including securities pledged $ 23,406.5 $ 23,406.5 $ 22,258.8 $ 22,258.8 Equity securities, available-for-sale 82.9 82.9 131.3 131.3 Mortgage loans on real estate 3,930.0 4,086.0 3,729.1 3,881.1 Policy loans 225.2 225.2 229.8 229.8 Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements 1,317.6 1,317.6 902.6 902.5 Derivatives 659.0 659.0 450.3 450.3 Notes receivable from affiliate 175.0 213.0 175.0 208.4 Short-term loan to affiliate 12.0 12.0 — — Assets held in separate accounts 59,113.1 59,113.1 58,910.6 58,910.6 Liabilities: Investment contract liabilities: Funding agreements without fixed maturities and deferred annuities (1) 23,366.2 28,203.6 22,979.4 27,612.3 Supplementary contracts, immediate annuities and other 408.3 483.2 411.8 479.2 Deposit liabilities 194.1 319.5 194.8 194.8 Derivatives: Guaranteed benefit derivatives: FIA 21.7 21.7 23.1 23.1 Stabilizer and MCGs 226.0 226.0 161.3 161.3 Other derivatives 275.4 275.4 115.1 115.1 Long-term debt 4.9 4.9 4.9 4.9 Embedded derivatives on reinsurance (32.3 ) (32.3 ) (71.6 ) (71.6 ) (1) Certain amounts included in Funding agreements without fixed maturities and deferred annuities are also reflected within the Guaranteed benefit derivatives section of the table above. The following disclosures are made in accordance with the requirements of ASC Topic 825 which requires disclosure of fair value information about financial instruments, whether or not recognized at fair value on the Condensed Consolidated Balance Sheets, for which it is practicable to estimate that value. In cases where quoted market prices are not available, fair values are based on estimates using present value or other valuation techniques. Those techniques are significantly affected by the assumptions used, including the discount rate and estimates of future cash flows. In that regard, the derived fair value estimates, in many cases, could not be realized in immediate settlement of the instrument. ASC Topic 825 excludes certain financial instruments, including insurance contracts and all nonfinancial instruments from its disclosure requirements. Accordingly, the aggregate fair value amounts presented do not represent the underlying value of the Company. The following valuation methods and assumptions were used by the Company in estimating the fair value of the following financial instruments, which are not carried at fair value on the Condensed Consolidated Balance Sheets: Mortgage loans on real estate: The fair values for mortgage loans on real estate are estimated on a monthly basis using discounted cash flow analyses and rates currently being offered in the marketplace for similar loans to borrowers with similar credit ratings. Loans with similar characteristics are aggregated for purposes of the calculations. Mortgage loans on real estate are classified as Level 3. Policy loans: The fair value of policy loans approximates the carrying value of the loans. Policy loans are collateralized by the cash surrender value of the associated insurance contracts and are classified as Level 2. Notes receivable from affiliates: Estimated fair value of the Company’s notes receivable from affiliates is determined primarily using a matrix-based pricing. The model considers the current level of risk-free interest rates, credit quality of the issuer and cash flow characteristics of the security model and is classified as Level 2. Short-term loans to affiliate : Due to their short-term nature, fair value approximates carrying value. Short-term loans to affiliate are classified as Level 2. Investment contract liabilities: Funding agreements without a fixed maturity and deferred annuities: Fair value is estimated as the mean present value of stochastically modeled cash flows associated with the contract liabilities taking into account assumptions about contract holder behavior. The stochastic valuation scenario set is consistent with current market parameters and discount is taken using stochastically evolving risk-free rates in the scenarios plus an adjustment for nonperformance risk. Margins for non-financial risks associated with the contract liabilities are also included. These liabilities are classified as Level 3. Supplementary contracts and immediate annuities: Fair value is estimated as the mean present value of the single deterministically modeled cash flows associated with the contract liabilities discounted using stochastically evolving short risk-free rates in the scenarios plus an adjustment for nonperformance risk. The valuation is consistent with current market parameters. Margins for non-financial risks associated with the contract liabilities are also included. These liabilities are classified as Level 3. Deposit liabilities : Fair value is estimated as the present value of expected cash flows associated with the deposit liability discounted using risk-free rates plus adjustments for nonperformance risk and uncertainty in the expected cash flows. These liabilities are classified as Level 3. Long-term debt: Estimated fair value of the Company’s long-term debt is based upon discounted future cash flows using a discount rate approximating the current market rate, incorporating nonperformance risk. Long-term debt is classified as Level 2. Fair value estimates are made at a specific point in time, based on available market information and judgments about various financial instruments, such as estimates of timing and amounts of future cash flows. Such estimates do not reflect any premium or discount that could result from offering for sale at one time the Company’s entire holdings of a particular financial instrument, nor do they consider the tax impact of the realization of unrealized capital gains (losses). In many cases, the fair value estimates cannot be substantiated by comparison to independent markets, nor can the disclosed value be realized in immediate settlement of the instruments. In evaluating the Company’s management of interest rate, price and liquidity risks, the fair values of all assets and liabilities should be taken into consideration, not only those presented above. |
Deferred Policy Acquisition Cos
Deferred Policy Acquisition Costs and Value of Business Acquired | 3 Months Ended |
Mar. 31, 2016 | |
Deferred Policy Acquisition Costs and Value of Business Acquired [Abstract] | |
Deferred Policy Acquisition Costs and Value of Business Acquired | Deferred Policy Acquisition Costs and Value of Business Acquired The following tables present a rollforward of DAC and VOBA for the periods indicated: 2016 DAC VOBA Total Balance as of January 1, 2016 $ 520.4 $ 708.7 $ 1,229.1 Deferrals of commissions and expenses 18.3 1.4 19.7 Amortization: Amortization (9.4 ) (11.4 ) (20.8 ) Interest accrued (1) 9.3 13.5 22.8 Net amortization included in the Condensed Consolidated Statements of Operations (0.1 ) 2.1 2.0 Change due to unrealized capital gains/losses on available-for-sale securities (88.0 ) (133.5 ) (221.5 ) Balance as of March 31, 2016 $ 450.6 $ 578.7 $ 1,029.3 2015 DAC VOBA Total Balance as of January 1, 2015 $ 396.5 $ 526.8 $ 923.3 Deferrals of commissions and expenses 18.7 1.5 20.2 Amortization: Amortization (28.3 ) (17.4 ) (45.7 ) Interest accrued (1) 9.0 14.2 23.2 Net amortization included in the Condensed Consolidated Statements of Operations (19.3 ) (3.2 ) (22.5 ) Change due to unrealized capital gains/losses on available-for-sale securities (35.7 ) (44.1 ) (79.8 ) Balance as of March 31, 2015 $ 360.2 $ 481.0 $ 841.2 (1) Interest accrued at the following rates for VOBA: 5.5% to 7.0% during 2016 and 2015 . |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income (Loss) | 3 Months Ended |
Mar. 31, 2016 | |
Equity [Abstract] | |
Accumulated Other Comprehensive Income (Loss) | Accumulated Other Comprehensive Income (Loss) Shareholder’s equity included the following components of Accumulated Other Comprehensive Income ("AOCI") as of the dates indicated: March 31, 2016 2015 Fixed maturities, net of OTTI $ 1,186.6 $ 1,831.1 Equity securities, available-for-sale 15.1 15.9 Derivatives 217.0 219.6 DAC/VOBA and Sales inducements adjustment on available-for-sale securities (418.2 ) (632.3 ) Premium deficiency reserve adjustment (84.7 ) (137.9 ) Other 0.1 — Unrealized capital gains (losses), before tax 915.9 1,296.4 Deferred income tax asset (liability) (196.3 ) (327.6 ) Unrealized capital gains (losses), after tax 719.6 968.8 Pension and other postretirement benefits liability, net of tax 6.5 8.0 AOCI $ 726.1 $ 976.8 Changes in AOCI, including the reclassification adjustments recognized in the Condensed Consolidated Statements of Operations were as follows for the periods indicated: Three Months Ended March 31, 2016 Before-Tax Amount Income Tax After-Tax Amount Available-for-sale securities: Fixed maturities $ 707.0 $ (244.5 ) $ 462.5 Equity securities 0.5 (0.2 ) 0.3 Other 0.1 — 0.1 OTTI 0.4 (0.1 ) 0.3 Adjustments for amounts recognized in Net realized capital gains (losses) in the Condensed Consolidated Statements of Operations 41.2 (14.4 ) 26.8 DAC/VOBA and Sales inducements (221.8 ) (1) 77.6 (144.2 ) Premium deficiency reserve adjustment (18.2 ) 6.4 (11.8 ) Change in unrealized gains/losses on available-for-sale securities 509.2 (175.2 ) 334.0 Derivatives: Derivatives 12.9 (2) (4.5 ) 8.4 Adjustments related to effective cash flow hedges for amounts recognized in Net investment income in the Condensed Consolidated Statements of Operations (4.2 ) 1.5 (2.7 ) Change in unrealized gains/losses on derivatives 8.7 (3.0 ) 5.7 Pension and other postretirement benefits liability: Amortization of prior service cost recognized in Operating expenses in the Condensed Consolidated Statements of Operations (0.6 ) 0.2 (0.4 ) Change in pension and other postretirement benefits liability (0.6 ) 0.2 (0.4 ) Change in Other comprehensive income (loss) $ 517.3 $ (178.0 ) $ 339.3 (1) See the Deferred Policy Acquisition Costs and Value of Business Acquired Note to these Condensed Consolidated Financial Statements for additional information. (2) See the Derivative Financial Instruments Note to these Condensed Consolidated Financial Statements for additional information. Three Months Ended March 31, 2015 Before-Tax Amount Income Tax After-Tax Amount Available-for-sale securities: Fixed maturities $ 273.3 $ (95.0 ) $ 178.3 Equity securities 1.4 (0.5 ) 0.9 Other — — — OTTI 1.2 (0.4 ) 0.8 Adjustments for amounts recognized in Net realized capital gains (losses) in the Condensed Consolidated Statements of Operations 2.8 (1.0 ) 1.8 DAC/VOBA and Sales inducements (79.9 ) (1) 28.0 (51.9 ) Premium deficiency reserve adjustment (8.1 ) 2.8 (5.3 ) Change in unrealized gains/losses on available-for-sale securities 190.7 (66.1 ) 124.6 Derivatives: Derivatives 20.9 (2) (7.3 ) 13.6 Adjustments related to effective cash flow hedges for amounts recognized in Net investment income in the Condensed Consolidated Statements of Operations (3.9 ) 1.4 (2.5 ) Change in unrealized gains/losses on derivatives 17.0 (5.9 ) 11.1 Pension and other postretirement benefits liability: Amortization of prior service cost recognized in Operating expenses in the Condensed Consolidated Statements of Operations (0.6 ) 0.2 (0.4 ) Change in pension and other postretirement benefits liability (0.6 ) 0.2 (0.4 ) Change in Other comprehensive income (loss) $ 207.1 $ (71.8 ) $ 135.3 (1) See the Deferred Policy Acquisition Costs and Value of Business Acquired Note to these Condensed Consolidated Financial Statements for additional information. (2) See the Derivative Financial Instruments Note to these Condensed Consolidated Financial Statements for additional information. |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2016 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes The Company's effective tax rate for the three months ended March 31, 2016 was 22.7% . The effective tax rate differed from the statutory rate of 35% for the three months ended March 31, 2016 primarily due to the effect of the dividends received deduction ("DRD"). The Company's effective tax rate for the three months ended March 31, 2015 was 27.7% . The effective tax rate differed from the statutory rate of 35% for the three months ended March 31, 2015 primarily due to the effect of the DRD. Tax Sharing Agreement The results of the Company's operations are included in the consolidated tax return of Voya Financial, Inc. Generally, the Company's consolidated financial statements recognize the current and deferred income tax consequences that result from the Company's activities during the current and preceding periods pursuant to the provisions of Income Taxes (ASC Topic 740) as if the Company were a separate taxpayer rather than a member of Voya Financial, Inc.'s consolidated income tax return group with the exception of any net operating loss carryforwards and capital loss carryforwards, which are recorded pursuant to the tax sharing agreement. If the Company instead were to follow a separate taxpayer approach without any exceptions, there would be no impact to income tax expense (benefit) for the periods indicated above. Also, any current tax benefit related to the Company's tax attributes realized by virtue of its inclusion in the consolidated tax return of Voya Financial, Inc. would have been recorded directly to equity rather than income. Under the tax sharing agreement, Voya Financial, Inc. will pay the Company for the tax benefits of ordinary and capital losses only in the event that the consolidated tax group actually uses the tax benefit of losses generated. Tax Regulatory Matters During April 2016, the Internal Revenue Service ("IRS") completed its examination of Voya Financial, Inc.'s consolidated return (including the Company) through tax year 2014. The 2014 audit settlement did not have a material impact on the Company. Voya Financial, Inc. (including the Company) is currently under audit by the IRS, and it is expected that the examination of tax year 2015 will be finalized within the next twelve months. Voya Financial, Inc. (including the Company) and the IRS have agreed to participate in the Compliance Assurance Process for the tax years 2015 and 2016. |
Financing Agreements
Financing Agreements | 3 Months Ended |
Mar. 31, 2016 | |
Debt Disclosure [Abstract] | |
Financing Agreements | Financing Agreements Reciprocal Loan Agreement The Company maintains a reciprocal loan agreement with Voya Financial, Inc., an affiliate, to facilitate the handling of unanticipated short-term cash requirements that arise in the ordinary course of business. Under the prior agreement, which became effective in June 2001 and expired on April 1, 2016, and the current agreement, which became effective on April 1, 2016 and expires April 1, 2021, either party can borrow from the other up to 3.0% of the Company’s statutory admitted assets as of the preceding December 31 . Effective January 2014, interest on any borrowing by either the Company or Voya Financial, Inc. is charged at a rate based on the prevailing market rate for similar third-party borrowings or securities. Under this agreement, the Company did no t incur interest expense for the three months ended March 31, 2016 and 2015 . The Company earned $0.2 in earn interest income for the three months ended March 31, 2016 and 2015 . As of March 31, 2016 , the Company had an outstanding receivable of $12.0 and no outstanding payable. As of December 31, 2015 , the Company did no t have an outstanding receivable/payable from/to Voya Financial, Inc. under the reciprocal loan agreement. For information on the Company's additional financing agreements, see the Financing Agreements Note in the Consolidated Financial Statements in Part II, Item 8. in the Company's Annual Report on Form 10-K . |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies Commitments Through the normal course of investment operations, the Company commits to either purchase or sell securities, mortgage loans, or money market instruments, at a specified future date and at a specified price or yield. The inability of counterparties to honor these commitments may result in either a higher or lower replacement cost. Also, there is likely to be a change in the value of the securities underlying the commitments. As of March 31, 2016 and December 31, 2015 , the Company had off-balance sheet commitments to acquire mortgage loans of $174.6 and $221.0 , respectively, and purchase limited partnership and private placement investments of $500.2 and $330.4 , respectively. Restricted Assets The Company is required to maintain assets on deposit with various regulatory authorities to support its insurance operations. The Company may also post collateral in connection with certain securities lending, repurchase agreements, funding agreements, letter of credit ("LOC") and derivative transactions as described further in this note. The components of the fair value of the restricted assets were as follows as of the dates indicated: March 31, 2016 December 31, 2015 Other fixed maturities-state deposits $ 13.6 $ 13.5 Securities pledged (1) 700.5 249.2 Total restricted assets $ 714.1 $ 262.7 (1) Includes the fair value of loaned securities of $522.6 and $178.9 as of March 31, 2016 and December 31, 2015 , respectively. In addition, as of March 31, 2016 and December 31, 2015 , the Company delivered securities as collateral of $177.9 and $70.3 , respectively. Loaned securities and securities delivered as collateral are included in Securities pledged on the Condensed Consolidated Balance Sheets. Litigation, Regulatory Matters and Loss Contingencies Litigation, regulatory and other loss contingencies arise in connection with the Company's activities as a diversified financial services firm. The Company is a defendant in a number of litigation matters arising from the conduct of its business, both in the ordinary course and otherwise. In some of these matters, claimants seek to recover very large or indeterminate amounts, including compensatory, punitive, treble and exemplary damages. Modern pleading practice in the U.S. permits considerable variation in the assertion of monetary damages and other relief. Claimants are not always required to specify the monetary damages they seek or they may be required only to state an amount sufficient to meet a court's jurisdictional requirements. Moreover, some jurisdictions allow claimants to allege monetary damages that far exceed any reasonably possible verdict. The variability in pleading requirements and past experience demonstrates that the monetary and other relief that may be requested in a lawsuit or claim often bears little relevance to the merits or potential value of a claim. Litigation against the Company includes a variety of claims including negligence, breach of contract, fraud, violation of regulation or statute, breach of fiduciary duty, negligent misrepresentation, failure to supervise, elder abuse and other torts. As with other financial services companies, the Company periodically receives informal and formal requests for information from various state and federal governmental agencies and self-regulatory organizations in connection with inquiries and investigations of the products and practices of the Company or the financial services industry. It is the practice of the Company to cooperate fully in these matters. Regulatory investigations, exams, inquiries and audits could result in regulatory action against the Company. The potential outcome of such action is difficult to predict but could subject the Company to adverse consequences, including, but not limited to, settlement payments, additional payments to beneficiaries, and additional escheatment of funds deemed abandoned under state laws. They may also result in fines and penalties and changes to the Company's procedures for the identification and escheatment of abandoned property or the correction of processing errors and other financial liability. The outcome of a litigation or regulatory matter is difficult to predict and the amount or range of potential losses associated with these or other loss contingencies requires significant management judgment. It is not possible to predict the ultimate outcome or to provide reasonably possible losses or ranges of losses for all pending regulatory matters, litigation, and other loss contingencies. While it is possible that an adverse outcome in certain cases could have a material adverse effect upon the Company's financial position, based on information currently known, management believes that neither the outcome of pending litigation and regulatory matters, nor potential liabilities associated with other loss contingencies, are likely to have such an effect. However, given the large and indeterminate amounts sought in certain litigation and the inherent unpredictability of all such matters, it is possible that an adverse outcome in certain of the Company's litigation or regulatory matters, or liabilities arising from other loss contingencies, could, from time to time, have a material adverse effect upon the Company's results of operations or cash flows in a particular quarterly or annual period. For some matters, the Company is able to estimate a possible range of loss. For such matters in which a loss is probable, an accrual has been made. For matters where the Company, however, believes a loss is reasonably possible, but not probable, no accrual is required. For matters for which an accrual has been made, but there remains a reasonably possible range of loss in excess of the amounts accrued or for matters where no accrual is required, the Company develops an estimate of the unaccrued amounts of the reasonably possible range of losses. As of March 31, 2016 , the Company estimates the aggregate range of reasonably possible losses, in excess of any amounts accrued for these matters as of such date, is not material to the Company. For other matters, the Company is currently not able to estimate the reasonably possible loss or range of loss. The Company is often unable to estimate the possible loss or range of loss until developments in such matters have provided sufficient information to support an assessment of the range of possible loss, such as quantification of a damage demand from plaintiffs, discovery from plaintiffs and other parties, investigation of factual allegations, rulings by a court on motions or appeals, analysis by experts and the progress of settlement discussions. On a quarterly and annual basis, the Company reviews relevant information with respect to litigation and regulatory contingencies and updates the Company's accruals, disclosures and reasonably possible losses or ranges of loss based on such reviews. |
Related Party Transactions
Related Party Transactions | 3 Months Ended |
Mar. 31, 2016 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions Operating Agreements For the three months ended March 31, 2016 and 2015 , revenues with affiliated entities related to the operating agreements disclosed in the Related Party Transactions Note in the Consolidated Financial Statements in Part II, Item 8. in the Company's Annual Report on Form 10-K were $135.3 and $166.3 , respectively. For the three months ended March 31, 2016 and 2015 , expenses with affiliated entities related to the aforementioned operating agreements disclosed were $195.7 and $203.6 , respectively. Reinsurance Agreements The Company has entered into reinsurance agreements that were accounted for under the deposit method with two of its affiliates. As of March 31, 2016 and December 31, 2015 , the Company had deposit assets of $90.7 and $91.0 , respectively, and deposit liabilities of $194.1 and $194.8 , respectively related to these agreements. Deposit assets and liabilities are included in Other assets and Other liabilities, respectively, on the Condensed Consolidated Balance Sheets. For further information on these reinsurance agreements, see the Related Party Transactions Note in the Consolidated Financial Statements in Part II, Item 8. in the Company's Annual Report on Form 10-K . |
Business, Basis of Presentati18
Business, Basis of Presentation and Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2016 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation The accompanying Condensed Consolidated Financial Statements of the Company have been prepared in accordance with accounting principles generally accepted in the United States ("U.S. GAAP") and are unaudited. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the Condensed Consolidated Financial Statements and the reported amounts of revenues and expenses during the reporting period. Those estimates are inherently subject to change and actual results could differ from those estimates. The Condensed Consolidated Financial Statements include the accounts of VRIAC and its wholly owned subsidiaries, Voya Financial Partners, LLC ("VFP") and Directed Services LLC ("DSL"). Intercompany transactions and balances have been eliminated. The accompanying Condensed Consolidated Financial Statements reflect adjustments (including normal, recurring adjustments) necessary to present fairly the financial position of the Company as of March 31, 2016 , and its results of operations, comprehensive income, changes in shareholder's equity and statements of cash flows for the three months ended March 31, 2016 and 2015 , in conformity with U.S. GAAP. Interim results are not necessarily indicative of full year performance. The December 31, 2015 Consolidated Balance Sheet is from the audited Consolidated Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2015 (" Annual Report on Form 10-K "), filed with the SEC. Therefore, these unaudited Condensed Consolidated Financial Statements should be read in conjunction with the audited Consolidated Financial Statements and related notes included in the Company's Annual Report on Form 10-K . |
Adoption of New Pronouncements | Adoption of New Pronouncements Derivative Contract Novations In March 2016, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") 2016-05, “Derivatives and Hedging (Accounting Standards Codification ("ASC") Topic 815): Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships” (“ASU 2016-05”), which clarifies that a change in the counterparty to a derivative instrument that has been designated as the hedging instrument under ASC Topic 815 does not, in and of itself, require dedesignation of that hedging relationship. The provisions of ASU 2016-05 are effective for fiscal years, and for interim periods within those fiscal years, beginning after December 15, 2016 with early adoption permitted, using either a prospective or modified retrospective approach. The Company elected to early adopt ASU 2016-05 as of January 1, 2016 on a prospective basis. The adoption had no effect on the Company's financial condition, results of operations, or cash flows. Consolidation In February 2015, the FASB issued ASU 2015-02, “Consolidation (ASC Topic 810): Amendments to the Consolidation Analysis” (“ASU 2015-02”), which: • Modifies the evaluation of whether limited partnerships and similar legal entities are Variable Interest Entities ("VIEs") or Voting Interest Entities ("VOEs"), including the requirement to consider the rights of all equity holders at risk to determine if they have the power to direct the entity's most significant activities. • Eliminates the presumption that a general partner should consolidate a limited partnership. Limited partnerships and similar entities will be VIEs unless the limited partners hold substantive kick-out rights in the participating rights. • Affects the consolidation analysis of reporting entities that are involved with VIEs, particularly those that have fee arrangements and related party relationships. • Provides a new scope exception for registered money market funds and similar unregistered money market funds, and ends the deferral granted to investment companies from applying the VIE guidance. The Company adopted the provisions of ASU 2015-02 on January 1, 2016 using a modified retrospective approach. The adoption had no effect on the Company's financial condition or results of operations, but impacted disclosures only. Investments in limited partnerships previously accounted for as VOEs became VIEs under the new guidance as the limited partners do not hold substantive kick-out rights or participating rights. See Variable Interest Entities ("VIEs")section of the Investments Note to these Condensed Consolidated Financial Statements for additional information. Hybrid Financial Instruments In November 2014, the FASB issued ASU 2014-16, “Derivatives and Hedging (ASC Topic 815): Determining Whether the Host Contract in a Hybrid Financial Instrument Issued in the Form of a Share Is More Akin to Debt or to Equity” (“ASU 2014-16”), which requires an entity to determine the nature of the host contract by considering the economic characteristics and risks of the entire hybrid financial instrument, including all embedded derivative features. The provisions of ASU 2014-16 were adopted by the Company on January 1, 2016. The adoption had no effect on the Company’s financial condition, results of operations or cash flows. Future Adoption of Accounting Pronouncements Debt Instruments In March 2016, the FASB issued ASU 2016-06, “Derivatives and Hedging (ASC Topic 815): Contingent Put and Call Options in Debt Instruments” (“ASU 2016-06”), which clarifies that an entity is only required to follow the four-step decision sequence when assessing whether contingent call (put) options that can accelerate the payment of principal on debt instruments are clearly and closely related to their debt hosts for purposes of bifurcating an embedded derivative. The entity does not need to assess whether the event that triggers the ability to exercise a call (put) option is related to interest rates or credit risks. The provisions of ASU 2016-06 are effective on a modified retrospective basis for fiscal years beginning after December 15, 2016, including interim periods, with early adoption permitted. The Company is currently in the process of determining the impact of adoption of the provisions of ASU 2016-06. Financial Instruments In January 2016, the FASB issued ASU 2016-01, “Financial Instruments-Overall (ASC Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities” (“ASU 2016-01”), which requires: • Equity investments (except those consolidated or accounted for under the equity method) to be measured at fair value with changes in fair value recognized in net income. • Elimination of the disclosure of methods and significant assumptions used to estimate the fair value for financial instruments measured at amortized cost. • The use of the exit price notion when measuring the fair value of financial instruments for disclosure purposes. • Separate presentation in other comprehensive income of the portion of the total change in fair value of a liability resulting from a change in own credit risk if the liability is measured at fair value under the fair value option. • Separate presentation on the balance sheet or financial statement notes of financial assets and financial liabilities by measurement category and form of financial asset. The provisions of ASU 2016-01 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2017, with early adoption only permitted for certain provisions. Initial adoption of ASU 2016-01 should be reported on a modified retrospective basis, with a cumulative-effect adjustment to balance sheet as of the beginning of the year of adoption, except for certain provisions that should be applied prospectively. The Company is currently in the process of determining the impact of adoption of the provisions of ASU 2016-01. Revenue from Contracts with Customers In May 2014, the FASB issued ASU 2014-09, "Revenue from Contracts with Customers (ASC Topic 606)" ("ASU 2014-09"), which requires an entity to recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. Revenue is recognized when, or as, the entity satisfies a performance obligation under the contract. The standard also requires disclosures regarding the nature, amount, timing and uncertainty of revenue and cash flows arising from contracts with customers. In 2016, the FASB issued ASU 2016-08, “Principal versus Agent Considerations” (“ASU 2016-08”) and ASU 2016-10, “Identifying Performance Obligations and Licensing” (“ASU 2016-10”) as amendments to ASU 2014-09. ASU 2016-08 clarifies the implementation guidance and indicators for assessing whether an entity has control of a specified good or service before that good or service is transferred to a customer, and is, thus, a principal in the satisfaction of the performance obligation. ASU 2016-10 clarifies the provisions for identifying performance obligations and the implementation guidance for licensing. In August 2015, the FASB issued ASU 2015-14 to amend the effective date of ASU 2014-09 to fiscal years, and interim periods within those fiscal years, beginning after December 15, 2017. Early adoption is permitted as of the original effective date, which is January 1, 2017. The provisions of ASU 2014-09 are effective retrospectively. The Company is currently in the process of determining the impact of adoption of the provisions of ASU 2014-09 and its amendments. |
Investments | The Company's securities lending activities are conducted on an overnight basis, and all securities loaned can be recalled at any time. The Company does not offset assets and liabilities associated with its securities lending program. Variable Interest Entities ("VIEs") The Company holds certain VIEs for investment purposes. VIEs may be in the form of private placement securities, structured securities, securitization transactions or limited partnerships. The Company has reviewed each of its holdings and determined that consolidation of these investments in the Company’s financial statements is not required, as the Company is not the primary beneficiary, because the Company does not have both the power to direct the activities that most significantly impact the entity’s economic performance and the obligation or right to potentially significant losses or benefits, for any of its investments in VIEs. The Company did not provide any non-contractual financial support and its carrying value represents the Company’s exposure to loss. The carrying value of the investments in VIEs was $304.2 and $0.4 as of March 31, 2016 and December 31, 2015 , respectively; these investments are included in Limited partnerships/corporations on the Condensed Consolidated Balance Sheets. Income and losses recognized on these investments are reported in Net investment income in the Condensed Consolidated Statements of Operations. Securitizations The Company invests in various tranches of securitization entities, including Residential mortgage-backed securities ("RMBS"), Commercial mortgage-backed securities ("CMBS") and asset-backed securities ("ABS"). Through its investments, the Company is not obligated to provide any financial or other support to these entities. Each of the RMBS, CMBS and ABS entities are thinly capitalized by design and considered VIEs. The Company's involvement with these entities is limited to that of a passive investor. The Company has no unilateral right to appoint or remove the servicer, special servicer or investment manager, which are generally viewed to have the power to direct the activities that most significantly impact the securitization entities' economic performance, in any of these entities, nor does the Company function in any of these roles. The Company, through its investments or other arrangements, does not have the obligation to absorb losses or the right to receive benefits from the entity that could potentially be significant to the entity. Therefore, the Company is not the primary beneficiary and will not consolidate any of the RMBS, CMBS and ABS entities in which it holds investments. These investments are accounted for as investments available-for-sale as described in the Fair Value Measurements Note to these Condensed Consolidated Financial Statements and unrealized capital gains (losses) on these securities are recorded directly in AOCI, except for certain RMBS that are accounted for under the FVO for which changes in fair value are reflected in Other net realized gains (losses) in the Condensed Consolidated Statements of Operations. The Company’s maximum exposure to loss on these structured investments is limited to the amount of its investment. Fixed Maturities and Equity Securities: The Company's fixed maturities and equity securities are currently designated as available-for-sale, except those accounted for using the FVO. Available-for-sale securities are reported at fair value and unrealized capital gains (losses) on these securities are recorded directly in Accumulated other comprehensive income (loss) ("AOCI") and presented net of related changes in Deferred policy acquisition costs ("DAC"), Value of business acquired ("VOBA") and Deferred income taxes. In addition, certain fixed maturities have embedded derivatives, which are reported with the host contract on the Condensed Consolidated Balance Sheets. The Company has elected the FVO for certain of its fixed maturities to better match the measurement of assets and liabilities in the Condensed Consolidated Statements of Operations. Certain collateralized mortgage obligations ("CMOs"), primarily interest-only and principal-only strips, are accounted for as hybrid instruments and valued at fair value with changes in the fair value recorded in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. The Company invests in various categories of CMOs, including CMOs that are not agency-backed, that are subject to different degrees of risk from changes in interest rates and defaults. The principal risks inherent in holding CMOs are prepayment and extension risks related to significant decreases and increases in interest rates resulting in the prepayment of principal from the underlying mortgages, either earlier or later than originally anticipated. As of March 31, 2016 and December 31, 2015 , approximately 61.1% and 63.8% , respectively, of the Company’s CMO holdings, were invested in the above mentioned types of CMOs such as interest-only or principal-only strips, that are subject to more prepayment and extension risk than traditional CMOs. Public corporate fixed maturity securities are distinguished from private corporate fixed maturity securities based upon the manner in which they are transacted. Public corporate fixed maturity securities are issued initially through market intermediaries on a registered basis or pursuant to Rule 144A under the Securities Act of 1933 (the "Securities Act") and are traded on the secondary market through brokers acting as principal. Private corporate fixed maturity securities are originally issued by borrowers directly to investors pursuant to Section 4(a)(2) of the Securities Act, and are traded in the secondary market directly with counterparties, either without the participation of a broker or in agency transactions. Securities Lending The Company engages in securities lending whereby certain securities from its portfolio are loaned to other institutions through a lending agent for short periods of time. The Company has the right to approve any institution with whom the lending agent transacts on its behalf. Initial collateral is required at a rate of 102% of the market value of the loaned securities. The lending agent retains the collateral and invests it in high quality liquid assets on behalf of the Company. The market value of the loaned securities is monitored on a daily basis with additional collateral obtained or refunded as the market value of the loaned securities fluctuates. The lending agent indemnifies the Company against losses resulting from the failure of a counterparty to return securities pledged where collateral is insufficient to cover the loss. As of March 31, 2016 and December 31, 2015 , the fair value of loaned securities was $522.6 and $178.9 , respectively, and is included in Securities pledged on the Condensed Consolidated Balance Sheets. If cash is received as collateral, the lending agent retains the cash collateral and invests it in short-term liquid assets on behalf of the Company. As of March 31, 2016 and December 31, 2015 , cash collateral retained by the lending agent and invested in short-term liquid assets on the Company's behalf was $230.5 and $185.9 , respectively, and is recorded in Short-term investments under securities loan agreements, including collateral delivered on the Condensed Consolidated Balance Sheets. As of March 31, 2016 and December 31, 2015 , liabilities to return collateral of $230.5 and $185.9 , respectively, are included in Payables under securities loan agreements, including collateral held, on the Condensed Consolidated Balance Sheets. |
Derivatives | Derivative Financial Instruments The Company enters into the following types of derivatives: Interest rate caps: The Company uses interest rate cap contracts to hedge the interest rate exposure arising from duration mismatches between assets and liabilities. Interest rate caps are also used to hedge interest rate exposure if rates rise above a specified level. Such increases in rates will require the Company to incur additional expenses. The future payout from the interest rate caps fund this increased exposure. The Company pays an upfront premium to purchase these caps. The Company utilizes these contracts in non-qualifying hedging relationships. Interest rate swaps: Interest rate swaps are used by the Company primarily to reduce market risks from changes in interest rates and to alter interest rate exposure arising from mismatches between assets and/or liabilities. Interest rate swaps are also used to hedge the interest rate risk associated with the value of assets it owns or in an anticipation of acquiring them. Using interest rate swaps, the Company agrees with another party to exchange, at specified intervals, the difference between fixed rate and floating rate interest payments, calculated by reference to an agreed upon notional principal amount. These transactions are entered into pursuant to master agreements that provide for a single net payment to be made to/from the counterparty at each due date. The Company utilizes these contracts in qualifying hedging relationships as well as non-qualifying hedging relationships. Foreign exchange swaps: The Company uses foreign exchange or currency swaps to reduce the risk of change in the value, yield or cash flows associated with certain foreign denominated invested assets. Foreign exchange swaps represent contracts that require the exchange of foreign currency cash flows against U.S. dollar cash flows at regular periods, typically quarterly or semi-annually. The Company utilizes these contracts in qualifying hedging relationships as well as non-qualifying hedging relationships. Credit default swaps: Credit default swaps are used to reduce credit loss exposure with respect to certain assets that the Company owns or to assume credit exposure on certain assets that the Company does not own. Payments are made to, or received from, the counterparty at specified intervals. In the event of a default on the underlying credit exposure, the Company will either receive a payment (purchased credit protection) or will be required to make a payment (sold credit protection) equal to the par minus recovery value of the swap contract. The Company utilizes these contracts in non-qualifying hedging relationships. Currency forwards: The Company utilizes currency forward contracts to hedge currency exposure related to invested assets. The Company utilizes these contracts in non-qualifying hedging relationships. Futures: Futures contracts are used to hedge against a decrease in certain equity indices. Such decreases may result in a decrease in variable annuity account values which would increase the possibility of the Company incurring an expense for guaranteed benefits in excess of account values. The Company also uses interest rate futures contracts to hedge its exposure to market risks due to changes in interest rates. The Company enters into exchange traded futures with regulated futures commissions that are members of the exchange. The Company also posts initial and variation margins, with the exchange, on a daily basis. The Company utilizes exchange-traded futures in non-qualifying hedging relationships. The Company also used futures contracts as a hedge against an increase in certain equity indices. Such increases may result in increased payments to the holders of fixed index annuity ("FIA") contracts. During the three months ended March 31, 2016, the Company moved to a static hedging strategy for its FIA contracts and replaced futures contracts with equity options. Swaptions: A swaption is an option to enter into a swap with a forward starting effective date. The Company uses swaptions to hedge the interest rate exposure associated with the minimum crediting rate and book value guarantees embedded in the retirement products that the Company offers. Increases in interest rates will generate losses on assets that are backing such liabilities. In certain instances, the Company locks in the economic impact of existing purchased swaptions by entering into offsetting written swaptions. The Company pays a premium when it purchases the swaption. The Company utilizes these contracts in non-qualifying hedging relationships. Options: The Company uses equity options to hedge against an increase in various equity indices. Such increases may result in increased payments to the holders of the FIA contracts. The Company pays an upfront premium to purchase these options. The Company utilizes these options in non-qualifying hedging relationships. Managed custody guarantees ("MCGs"): The Company issues certain credited rate guarantees on variable fixed income portfolios that represent stand-alone derivatives. The market value is partially determined by, among other things, levels of or changes in interest rates, prepayment rates and credit ratings/spreads. Embedded derivatives: The Company also invests in certain fixed maturity instruments and has issued certain products that contain embedded derivatives whose market value is at least partially determined by, among other things, levels of or changes in domestic and/or foreign interest rates (short-term or long-term), exchange rates, prepayment rates, equity rates, or credit ratings/spreads. In addition, the Company has entered into coinsurance with funds withheld arrangements, which contain embedded derivatives. The Company's use of derivatives is limited mainly to economic hedging to reduce the Company's exposure to cash flow variability of assets and liabilities, interest rate risk, credit risk, exchange rate risk and market risk. It is the Company's policy not to offset amounts recognized for derivative instruments and amounts recognized for the right to reclaim cash collateral or the obligation to return cash collateral arising from derivative instruments executed with the same counterparty under a master netting arrangement, which provides the Company with the legal right of offset. Based on the notional amounts, a substantial portion of the Company’s derivative positions was not designated or did not qualify for hedge accounting as part of a hedging relationship as of March 31, 2016 and December 31, 2015 . The Company utilizes derivative contracts mainly to hedge exposure to variability in cash flows, interest rate risk, credit risk, foreign exchange risk and equity market risk. The majority of derivatives used by the Company are designated as product hedges, which hedge the exposure arising from insurance liabilities or guarantees embedded in the contracts the Company offers through various product lines. These derivatives do not qualify for hedge accounting as they do not meet the criteria of being "highly effective" as outlined in ASC Topic 815, but do provide an economic hedge, which is in line with the Company’s risk management objectives. The Company also uses derivatives contracts to hedge its exposure to various risks associated with the investment portfolio. The Company does not seek hedge accounting treatment for certain of these derivatives as they generally do not qualify for hedge accounting due to the criteria required under the portfolio hedging rules outlined in ASC Topic 815. The Company also uses credit default swaps coupled with other investments in order to produce the investment characteristics of otherwise permissible investments that do not qualify as effective accounting hedges under ASC Topic 815. |
Fair Value Measurement | Valuation of Financial Assets and Liabilities at Fair Value Certain assets and liabilities are measured at estimated fair value on the Company's Condensed Consolidated Balance Sheets. The Company defines fair value as the price that would be received to sell an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. The exit price and the transaction (or entry) price will be the same at initial recognition in many circumstances. However, in certain cases, the transaction price may not represent fair value. The fair value of a liability is based on the amount that would be paid to transfer a liability to a third-party with an equal credit standing. Fair value is required to be a market-based measurement that is determined based on a hypothetical transaction at the measurement date, from a market participant's perspective. The Company considers three broad valuation techniques when a quoted price is unavailable: (i) the market approach, (ii) the income approach and (iii) the cost approach. The Company determines the most appropriate valuation technique to use, given the instrument being measured and the availability of sufficient inputs. The Company prioritizes the inputs to fair valuation techniques and allows for the use of unobservable inputs to the extent that observable inputs are not available. The Company utilizes a number of valuation methodologies to determine the fair values of its financial assets and liabilities in conformity with the concepts of exit price and the fair value hierarchy as prescribed in ASC Topic 820. Valuations are obtained from third-party commercial pricing services, brokers and industry-standard, vendor-provided software that models the value based on market observable inputs. The valuations obtained from third-party commercial pricing services are non-binding. The Company reviews the assumptions and inputs used by third-party commercial pricing services for each reporting period in order to determine an appropriate fair value hierarchy level. The documentation and analysis obtained from third-party commercial pricing services are reviewed by the Company, including in-depth validation procedures confirming the observability of inputs. The valuations are reviewed and validated monthly through the internal valuation committee price variance review, comparisons to internal pricing models, back testing to recent trades or monitoring of trading volumes. Fixed maturities: The fair values for actively traded marketable bonds are determined based upon the quoted market prices and are classified as Level 1 assets. Assets in this category primarily include certain U.S. Treasury securities. For fixed maturities classified as Level 2 assets, fair values are determined using a matrix-based market approach, based on prices obtained from third-party commercial pricing services and the Company’s matrix and analytics-based pricing models, which in each case incorporate a variety of market observable information as valuation inputs. The market observable inputs used for these fair value measurements, by fixed maturity asset class, are as follows: U.S. Treasuries: Fair value is determined using third-party commercial pricing services, with the primary inputs being stripped interest and principal U.S. Treasury yield curves that represent a U.S. Treasury zero-coupon curve. U.S. government agencies and authorities, State, municipalities and political subdivisions: Fair value is determined using third-party commercial pricing services, with the primary inputs being U.S. Treasury yield curves, trades of comparable securities, credit spreads off benchmark yields and issuer ratings. U.S. corporate public securities, Foreign corporate public securities and foreign governments: Fair value is determined using third-party commercial pricing services, with the primary inputs being benchmark yields, trades of comparable securities, issuer ratings, bids and credit spreads off benchmark yields. U.S. corporate private securities and Foreign corporate private securities: Fair values are determined using a matrix and analytics-based pricing model. The model incorporates the current level of risk-free interest rates, current corporate credit spreads, credit quality of the issuer and cash flow characteristics of the security. The model also considers a liquidity spread, the value of any collateral, the capital structure of the issuer, the presence of guarantees, and prices and quotes for comparably rated publicly traded securities. RMBS, CMBS and ABS: Fair value is determined using third-party commercial pricing services, with the primary inputs being credit spreads off benchmark yields, prepayment speed assumptions, current and forecasted loss severity, debt service coverage ratios, collateral type, payment priority within tranche and the vintage of the loans underlying the security. Transfers in and out of Level 1 and 2 There were no securities transferred between Level 1 and Level 2 for the three months ended March 31, 2016 and 2015 . The Company’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period. Level 3 Financial Instruments The fair values of certain assets and liabilities are determined using prices or valuation techniques that require inputs that are both unobservable and significant to the overall fair value measurement (i.e., Level 3 as defined by ASC Topic 820), including but not limited to liquidity spreads for investments within markets deemed not currently active. These valuations, whether derived internally or obtained from a third-party, use critical assumptions that are not widely available to estimate market participant expectations in valuing the asset or liability. In addition, the Company has determined, for certain financial instruments, an active market is such a significant input to determine fair value that the presence of an inactive market may lead to classification in Level 3. In light of the methodologies employed to obtain the fair values of financial assets and liabilities classified as Level 3, additional information is presented below. |
Investments (Tables)
Investments (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Available-for-sale Securities Including Securities Pledged [Line Items] | |
Marketable Securities | Available-for-sale and fair value option ("FVO") fixed maturities and equity securities were as follows as of March 31, 2016 : Amortized Cost Gross Unrealized Capital Gains Gross Unrealized Capital Losses Embedded Derivatives (2) Fair Value OTTI (3) Fixed maturities: U.S. Treasuries $ 661.8 $ 143.8 $ 0.1 $ — $ 805.5 $ — U.S. Government agencies and authorities 4.2 0.1 — — 4.3 — State, municipalities and political subdivisions 627.9 31.9 1.0 — 658.8 — U.S. corporate public securities 9,487.4 639.1 134.3 — 9,992.2 1.3 U.S. corporate private securities 2,297.0 123.5 38.8 — 2,381.7 — Foreign corporate public securities and foreign governments (1) 2,817.0 131.7 96.9 — 2,851.8 — Foreign corporate private securities (1) 2,698.6 148.9 17.6 — 2,829.9 — Residential mortgage-backed securities: Agency 1,825.3 115.1 3.2 12.9 1,950.1 — Non-Agency 266.0 48.2 3.0 11.4 322.6 6.2 Total Residential mortgage-backed securities 2,091.3 163.3 6.2 24.3 2,272.7 6.2 Commercial mortgage-backed securities 1,266.0 89.9 0.4 — 1,355.5 6.7 Other asset-backed securities 244.4 11.4 1.7 — 254.1 2.3 Total fixed maturities, including securities pledged 22,195.6 1,483.6 297.0 24.3 23,406.5 16.5 Less: Securities pledged 622.2 88.3 10.0 — 700.5 — Total fixed maturities 21,573.4 1,395.3 287.0 24.3 22,706.0 16.5 Equity securities 67.8 15.1 — — 82.9 — Total fixed maturities and equity securities investments $ 21,641.2 $ 1,410.4 $ 287.0 $ 24.3 $ 22,788.9 $ 16.5 (1) Primarily U.S. dollar denominated. (2) Embedded derivatives within fixed maturity securities are reported with the host investment. The changes in fair value of embedded derivatives are reported in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. (3) Represents Other-than-Temporary-Impairments ("OTTI") reported as a component of Other comprehensive income (loss). Available-for-sale and FVO fixed maturities and equity securities were as follows as of December 31, 2015 : Amortized Cost Gross Unrealized Capital Gains Gross Unrealized Capital Losses Embedded Derivatives (2) Fair Value OTTI (3) Fixed maturities: U.S. Treasuries $ 616.6 $ 105.1 $ 0.3 $ — $ 721.4 $ — U.S. Government agencies and authorities 4.3 — — — 4.3 — State, municipalities and political subdivisions 589.9 13.8 7.9 — 595.8 — U.S. corporate public securities 9,472.4 384.9 256.8 — 9,600.5 1.4 U.S. corporate private securities 2,336.0 86.3 62.4 — 2,359.9 — Foreign corporate public securities and foreign governments (1) 2,868.7 95.0 151.5 — 2,812.2 — Foreign corporate private securities (1) 2,678.8 96.1 63.5 — 2,711.4 — Residential mortgage-backed securities: Agency 1,579.5 105.3 4.8 12.8 1,692.8 — Non-Agency 181.6 46.3 2.1 10.6 236.4 6.4 Total Residential mortgage-backed securities 1,761.1 151.6 6.9 23.4 1,929.2 6.4 Commercial mortgage-backed securities 1,228.9 49.5 3.5 — 1,274.9 6.7 Other asset-backed securities 240.7 9.9 1.4 — 249.2 2.4 Total fixed maturities, including securities pledged 21,797.4 992.2 554.2 23.4 22,258.8 16.9 Less: Securities pledged 252.3 16.0 19.1 — 249.2 — Total fixed maturities 21,545.1 976.2 535.1 23.4 22,009.6 16.9 Equity securities 116.7 14.6 — — 131.3 — Total fixed maturities and equity securities investments $ 21,661.8 $ 990.8 $ 535.1 $ 23.4 $ 22,140.9 $ 16.9 (1) Primarily U.S. dollar denominated. (2) Embedded derivatives within fixed maturity securities are reported with the host investment. The changes in fair value of embedded derivatives are reported in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. (3) Represents OTTI reported as a component of Other comprehensive income (loss). |
Investments Classified by Contractual Maturity Date | The amortized cost and fair value of fixed maturities, including securities pledged, as of March 31, 2016 , are shown below by contractual maturity. Actual maturities may differ from contractual maturities as securities may be restructured, called or prepaid. Mortgage-backed securities ("MBS") and Other asset-backed securities ("ABS") are shown separately because they are not due at a single maturity date. Amortized Fair Due to mature: One year or less $ 601.4 $ 609.8 After one year through five years 4,534.2 4,755.7 After five years through ten years 6,331.8 6,579.8 After ten years 7,126.5 7,578.9 Mortgage-backed securities 3,357.3 3,628.2 Other asset-backed securities 244.4 254.1 Fixed maturities, including securities pledged $ 22,195.6 $ 23,406.5 |
U.S. and Foreign Corporate Securities by Industry | The following tables set forth the composition of the U.S. and foreign corporate securities within the fixed maturity portfolio by industry category as of the dates indicated: Amortized Cost Gross Unrealized Capital Gains Gross Unrealized Capital Losses Fair Value March 31, 2016 Communications $ 1,229.5 $ 103.3 $ 10.9 $ 1,321.9 Financial 2,609.4 183.5 6.1 2,786.8 Industrial and other companies 7,946.4 472.2 68.8 8,349.8 Energy 2,408.4 52.4 181.5 2,279.3 Utilities 2,201.9 177.6 11.3 2,368.2 Transportation 569.5 32.2 2.8 598.9 Total $ 16,965.1 $ 1,021.2 $ 281.4 $ 17,704.9 December 31, 2015 Communications $ 1,218.8 $ 67.1 $ 28.6 $ 1,257.3 Financial 2,651.5 146.8 13.1 2,785.2 Industrial and other companies 7,778.2 267.7 180.7 7,865.2 Energy 2,655.2 26.1 261.8 2,419.5 Utilities 2,150.7 122.1 21.8 2,251.0 Transportation 560.6 14.0 13.8 560.8 Total $ 17,015.0 $ 643.8 $ 519.8 $ 17,139.0 |
Schedule of Securities Borrowed Under Securities Lending Transactions [Table Text Block] | The following table sets forth borrowings under securities lending transactions by class of collateral pledged for the dates indicated: March 31, 2016 (1) December 31, 2015 U.S. Treasuries $ 186.1 $ — U.S. corporate public securities 238.0 111.7 Foreign corporate public securities and foreign governments 116.7 74.2 Payables under securities loan agreements $ 540.8 $ 185.9 (1) Borrowings under securities lending transactions include both cash and non-cash collateral of $230.5 and $310.3 , respectively. |
Schedule of Unrealized Loss on Investments | Unrealized capital losses (including noncredit impairments), along with the fair value of fixed maturity securities, including securities pledged, by market sector and duration were as follows as of March 31, 2016 : Six Months or Less Below Amortized Cost More Than Six Months and Twelve Months or Less Below Amortized Cost More Than Twelve Months Below Amortized Cost Total Fair Value Unrealized Capital Losses Fair Value Unrealized Capital Losses Fair Value Unrealized Capital Losses Fair Value Unrealized Capital Losses U.S. Treasuries $ 34.1 $ 0.1 $ — $ — $ — $ — $ 34.1 $ 0.1 State, municipalities and political subdivisions 4.1 0.1 27.8 0.5 2.7 0.4 34.6 1.0 U.S. corporate public securities 303.0 12.7 828.0 67.6 303.2 54.0 1,434.2 134.3 U.S. corporate private securities 85.0 1.7 195.4 28.1 71.3 9.0 351.7 38.8 Foreign corporate public securities and foreign governments 165.2 6.2 314.7 33.8 321.5 56.9 801.4 96.9 Foreign corporate private securities 43.5 2.3 270.5 11.9 26.9 3.4 340.9 17.6 Residential mortgage-backed 81.0 1.6 12.6 1.1 140.2 3.5 233.8 6.2 Commercial mortgage-backed 68.9 0.3 9.4 0.1 — — 78.3 0.4 Other asset-backed 16.7 — * 11.6 0.2 13.4 1.5 41.7 1.7 Total $ 801.5 $ 25.0 $ 1,670.0 $ 143.3 $ 879.2 $ 128.7 $ 3,350.7 $ 297.0 *Less than $0.1 Unrealized capital losses (including noncredit impairments), along with the fair value of fixed maturity securities, including securities pledged, by market sector and duration were as follows as of December 31, 2015 : Six Months or Less More Than Six More Than Twelve Total Fair Unrealized Fair Unrealized Fair Unrealized Fair Unrealized U.S. Treasuries $ 69.4 $ 0.3 $ — $ — $ — $ — $ 69.4 $ 0.3 State, municipalities and political subdivisions 191.3 2.2 150.3 5.7 — — 341.6 7.9 U.S. corporate public securities 1,764.0 67.6 1,708.3 136.4 209.6 52.8 3,681.9 256.8 U.S. corporate private securities 373.2 10.9 410.5 43.8 35.8 7.7 819.5 62.4 Foreign corporate public securities and foreign governments 670.0 33.8 485.8 55.8 195.7 61.9 1,351.5 151.5 Foreign corporate private securities 546.0 42.1 213.3 16.5 19.6 4.9 778.9 63.5 Residential mortgage-backed 116.5 1.7 42.3 0.9 128.4 4.3 287.2 6.9 Commercial mortgage-backed 156.9 1.4 78.8 2.1 — — 235.7 3.5 Other asset-backed 22.6 0.1 0.4 — * 13.7 1.3 36.7 1.4 Total $ 3,909.9 $ 160.1 $ 3,089.7 $ 261.2 $ 602.8 $ 132.9 $ 7,602.4 $ 554.2 *Less than $0.1 |
Schedule of Mortgage Loans Real Estate and Valuation Allowance | The following table summarizes the Company's investment in mortgage loans as of the dates indicated: March 31, 2016 December 31, 2015 Impaired Non Impaired Total Impaired Non Impaired Total Commercial mortgage loans $ 4.8 $ 3,926.4 $ 3,931.2 $ 10.7 $ 3,719.6 $ 3,730.3 Collective valuation allowance for losses N/A (1.2 ) (1.2 ) N/A (1.2 ) (1.2 ) Total net commercial mortgage loans $ 4.8 $ 3,925.2 $ 3,930.0 $ 10.7 $ 3,718.4 $ 3,729.1 N/A- Not Applicable The following table summarizes the activity in the allowance for losses for commercial mortgage loans for the periods indicated: March 31, 2016 December 31, 2015 Collective valuation allowance for losses, balance at January 1 $ 1.2 $ 1.1 Addition to (reduction of) allowance for losses — 0.1 Collective valuation allowance for losses, end of period $ 1.2 $ 1.2 |
Impaired Financing Receivables | The carrying values and unpaid principal balances of impaired mortgage loans were as follows as of the dates indicated: March 31, 2016 December 31, 2015 Impaired loans without allowances for losses $ 4.8 $ 10.7 Less: Allowances for losses on impaired loans — — Impaired loans, net $ 4.8 $ 10.7 Unpaid principal balance of impaired loans $ 6.3 $ 12.2 The following table presents information on the average investment during the period in impaired loans and interest income recognized on impaired and troubled debt restructured loans for the periods indicated: Three Months Ended March 31, 2016 2015 Impaired loans, average investment during the period (amortized cost) (1) $ 7.8 $ 26.6 Interest income recognized on impaired loans, on an accrual basis (1) 0.1 0.4 Interest income recognized on impaired loans, on a cash basis (1) 0.1 0.5 Interest income recognized on troubled debt restructured loans, on an accrual basis — 0.3 (1) Includes amounts for Troubled debt restructured loans. |
Troubled Debt Restructurings on Financing Receivables | The following table presents information on restructured loans as of the dates indicated: March 31, 2016 December 31, 2015 Troubled debt restructured loans $ — $ 5.9 |
Loans Receivable, Grouped by Loan to Value and Debt Service Coverage Ratio | The following table presents the LTV ratios as of the dates indicated: March 31, 2016 (1) December 31, 2015 (1) Loan-to-Value Ratio: 0% - 50% $ 368.1 $ 395.1 >50% - 60% 1,070.4 969.4 >60% - 70% 2,256.8 2,158.2 >70% - 80% 233.3 204.8 >80% and above 2.6 2.8 Total Commercial mortgage loans $ 3,931.2 $ 3,730.3 (1) Balances do not include collective valuation allowance for losses. The following table presents the DSC ratios as of the dates indicated: March 31, 2016 (1) December 31, 2015 (1) Debt Service Coverage Ratio: Greater than 1.5x $ 3,150.3 $ 2,957.7 >1.25x - 1.5x 514.3 494.5 >1.0x - 1.25x 205.4 208.6 Less than 1.0x 38.4 38.6 Commercial mortgage loans secured by land or construction loans 22.8 30.9 Total Commercial mortgage loans $ 3,931.2 $ 3,730.3 (1) Balances do not include collective valuation allowance for losses. |
Mortgage Loans by Geographic Location of Collateral | Properties collateralizing mortgage loans are geographically dispersed throughout the United States, as well as diversified by property type, as reflected in the following tables as of the dates indicated: March 31, 2016 (1) December 31, 2015 (1) Gross Carrying Value % of Total Gross Carrying Value % of Total Commercial Mortgage Loans by U.S. Region: Pacific $ 888.1 22.6 % $ 867.5 23.3 % South Atlantic 927.7 23.6 % 857.3 23.0 % Middle Atlantic 559.0 14.2 % 556.1 14.9 % West South Central 426.6 10.9 % 414.8 11.1 % Mountain 344.4 8.8 % 304.1 8.2 % East North Central 418.4 10.6 % 380.8 10.2 % New England 79.4 2.0 % 81.4 2.2 % West North Central 225.5 5.7 % 208.6 5.6 % East South Central 62.1 1.6 % 59.7 1.5 % Total Commercial mortgage loans $ 3,931.2 100.0 % $ 3,730.3 100.0 % (1) Balances do not include collective valuation allowance for losses. |
Mortgage Loans by Property Type of Collateral | March 31, 2016 (1) December 31, 2015 (1) Gross Carrying Value % of Total Gross Carrying Value % of Total Commercial Mortgage Loans by Property Type: Retail $ 1,347.1 34.2 % $ 1,330.8 35.7 % Industrial 804.6 20.5 % 741.3 19.9 % Apartments 709.0 18.0 % 630.4 16.9 % Office 632.9 16.1 % 586.3 15.7 % Hotel/Motel 176.2 4.5 % 177.6 4.7 % Mixed Use 50.8 1.3 % 47.1 1.3 % Other 210.6 5.4 % 216.8 5.8 % Total Commercial mortgage loans $ 3,931.2 100.0 % $ 3,730.3 100.0 % (1) Balances do not include collective valuation allowance for losses. |
Mortgage Loans by Year of Origination | he following table sets forth the breakdown of mortgages by year of origination as of the dates indicated: March 31, 2016 (1) December 31, 2015 (1) Year of Origination: 2016 $ 275.5 $ — 2015 742.7 745.3 2014 557.3 558.0 2013 703.7 709.2 2012 742.8 748.2 2011 522.0 553.2 2010 and prior 387.2 416.4 Total Commercial mortgage loans $ 3,931.2 $ 3,730.3 (1) Balances do not include collective valuation allowance for losses. |
Other than Temporary Impairment, Credit Losses Recognized in Earnings | The following table identifies the Company's credit-related and intent-related impairments included in the Condensed Consolidated Statements of Operations, excluding impairments included in Other comprehensive income (loss) by type for the periods indicated: Three Months Ended March 31, 2016 2015 Impairment No. of Securities Impairment No. of Securities U.S. corporate public securities $ 0.1 1 $ — — Foreign corporate public securities and foreign governments (1) 6.9 1 0.5 1 Residential mortgage-backed 0.3 14 1.4 19 Total $ 7.3 16 $ 1.9 20 (1) Primarily U.S. dollar denominated. |
Net Investment Income | The following table summarizes Net investment income for the periods indicated: Three Months Ended March 31, 2016 2015 Fixed maturities $ 324.0 $ 305.4 Equity securities, available-for-sale 1.6 1.6 Mortgage loans on real estate 43.0 45.5 Policy loans 3.0 3.2 Short-term investments and cash equivalents 0.4 0.2 Other (1.4 ) 8.3 Gross investment income 370.6 364.2 Less: Investment expenses 14.1 12.7 Net investment income $ 356.5 $ 351.5 |
Realized Gain (Loss) on Investments | Net realized capital gains (losses) were as follows for the periods indicated: Three Months Ended March 31, 2016 2015 Fixed maturities, available-for-sale, including securities pledged $ (41.2 ) $ (2.8 ) Fixed maturities, at fair value option (17.3 ) (13.9 ) Derivatives 62.9 31.8 Embedded derivative - fixed maturities 0.9 (0.2 ) Guaranteed benefit derivatives (62.8 ) (45.5 ) Other investments (0.1 ) 0.1 Net realized capital gains (losses) $ (57.6 ) $ (30.5 ) After-tax net realized capital gains (losses) $ (37.4 ) $ (19.8 ) |
Gain (Loss) on Investments | Proceeds from the sale of fixed maturities and equity securities, available-for-sale and the related gross realized gains and losses, before tax were as follows for the periods indicated: Three Months Ended March 31, 2016 2015 Proceeds on sales $ 692.7 $ 162.5 Gross gains 3.9 1.5 Gross losses 37.8 3.7 |
Intent related impairment | |
Available-for-sale Securities Including Securities Pledged [Line Items] | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings | The following table summarizes these intent impairments, which are also recognized in earnings, by type for the periods indicated: Three Months Ended March 31, 2016 2015 Impairment No. of Securities Impairment No. of Securities U.S. corporate public securities $ — — $ — — Foreign corporate public securities and foreign governments (1) 6.9 1 0.5 1 Residential mortgage-backed — * 1 0.5 2 Total $ 6.9 2 $ 1.0 3 (1) Primarily U.S. dollar denominated. *Less than $0.1 |
Credit related impairment | |
Available-for-sale Securities Including Securities Pledged [Line Items] | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings | The following table identifies the amount of credit impairments on fixed maturities for which a portion of the OTTI loss was recognized in Other comprehensive income (loss) and the corresponding changes in such amounts for the periods indicated: Three Months Ended March 31, 2016 2015 Balance at January 1 $ 19.3 $ 22.4 Additional credit impairments: On securities previously impaired 0.3 0.8 Reductions: Increase in cash flows 0.1 0.1 Securities sold, matured, prepaid or paid down 0.4 1.3 Balance at March 31 $ 19.1 $ 21.8 |
Duration | |
Available-for-sale Securities Including Securities Pledged [Line Items] | |
Schedule of Unrealized Loss on Investments | Unrealized capital losses (including noncredit impairments) in fixed maturities, including securities pledged, for instances in which fair value declined below amortized cost by greater than or less than 20% for consecutive months as indicated in the tables below, were as follows as of the dates indicated: Amortized Cost Unrealized Capital Losses Number of Securities < 20% > 20% < 20% > 20% < 20% > 20% March 31, 2016 Six months or less below amortized cost $ 1,309.8 $ 307.7 $ 86.4 $ 90.9 250 45 More than six months and twelve months or less below amortized cost 1,242.3 134.9 47.4 43.6 234 19 More than twelve months below amortized cost 651.2 1.8 28.2 0.5 170 1 Total $ 3,203.3 $ 444.4 $ 162.0 $ 135.0 654 65 December 31, 2015 Six months or less below amortized cost $ 3,980.3 $ 747.5 $ 141.7 $ 211.4 762 104 More than six months and twelve months or less below amortized cost 3,001.4 27.6 156.6 13.4 485 2 More than twelve months below amortized cost 382.5 17.3 26.9 4.2 144 2 Total $ 7,364.2 $ 792.4 $ 325.2 $ 229.0 1,391 108 |
Market Sector (Type of Security) | |
Available-for-sale Securities Including Securities Pledged [Line Items] | |
Schedule of Unrealized Loss on Investments | Unrealized capital losses (including noncredit impairments) in fixed maturities, including securities pledged, by market sector for instances in which fair value declined below amortized cost by greater than or less than 20% were as follows as of the dates indicated: Amortized Cost Unrealized Capital Losses Number of Securities < 20% > 20% < 20% > 20% < 20% > 20% March 31, 2016 U.S. Treasuries $ 34.2 $ — $ 0.1 $ — 5 — State, municipalities and political subdivisions 35.6 — 1.0 — 12 — U.S. corporate public securities 1,420.7 147.8 88.9 45.4 265 25 U.S. corporate private securities 317.8 72.7 14.5 24.3 28 4 Foreign corporate public securities and foreign governments 698.1 200.2 37.4 59.5 142 27 Foreign corporate private securities 338.8 19.7 12.9 4.7 44 4 Residential mortgage-backed 238.1 1.9 5.7 0.5 124 2 Commercial mortgage-backed 78.6 0.1 0.3 0.1 16 1 Other asset-backed 41.4 2.0 1.2 0.5 18 2 Total $ 3,203.3 $ 444.4 $ 162.0 $ 135.0 654 65 December 31, 2015 U.S. Treasuries $ 69.7 $ — $ 0.3 $ — 14 — State, municipalities and political subdivisions 349.5 — 7.9 — 117 — U.S. corporate public securities 3,565.2 373.5 153.5 103.3 651 58 U.S. corporate private securities 791.0 90.9 34.6 27.8 87 4 Foreign corporate public securities and foreign governments 1,211.9 291.1 63.6 87.9 254 40 Foreign corporate private securities 807.3 35.1 53.9 9.6 85 5 Residential mortgage-backed 294.1 — 6.9 — 130 — Commercial mortgage-backed 239.2 — 3.5 — 38 — Other asset-backed 36.3 1.8 1.0 0.4 15 1 Total $ 7,364.2 $ 792.4 $ 325.2 $ 229.0 1,391 108 |
Derivative Financial Instrume20
Derivative Financial Instruments (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Notional Amounts of Outstanding Derivative Positions | The notional amounts and fair values of derivatives were as follows as of the dates indicated: March 31, 2016 December 31, 2015 Notional Amount Asset Fair Value Liability Fair Value Notional Amount Asset Fair Value Liability Fair Value Derivatives: Qualifying for hedge accounting (1) Cash flow hedges: Interest rate contracts $ 222.8 $ 57.5 $ — $ 285.3 $ 60.1 $ — Foreign exchange contracts 51.2 8.2 — 51.2 10.7 — Derivatives: Non-qualifying for hedge accounting (1) Interest rate contracts 28,168.0 578.7 266.4 25,309.1 362.3 104.0 Foreign exchange contracts 146.0 9.9 8.7 144.6 13.9 10.7 Equity contracts 99.0 1.6 — 15.9 — 0.1 Credit contracts 407.5 3.1 0.3 407.5 3.3 0.3 Embedded derivatives and Managed custody guarantees: Within fixed maturity investments N/A 24.3 — N/A 23.4 — Within products N/A — 245.0 N/A — 184.1 Within reinsurance agreements N/A — (32.3 ) N/A — (71.6 ) Managed custody guarantees N/A — 2.7 N/A — 0.3 Total $ 683.3 $ 490.8 $ 473.7 $ 227.9 (1) Open derivative contracts are reported as Derivatives assets or liabilities on the Condensed Consolidated Balance Sheets at fair value. N/A - Not Applicable |
Offsetting Assets and Liabilities | Although the Company has not elected to net its derivative exposures, the notional amounts and fair values of Over-The-Counter ("OTC") and cleared derivatives excluding exchange traded contracts and forward contracts (To Be Announced mortgage-backed securities) are presented in the tables below as of the dates indicated: March 31, 2016 Notional Amount Asset Fair Value Liability Fair Value Credit contracts $ 407.5 $ 3.1 $ 0.3 Equity contracts 99.0 1.6 — Foreign exchange contracts 197.2 18.1 8.7 Interest rate contracts 26,192.1 636.2 265.7 659.0 274.7 Counterparty netting (1) (263.2 ) (263.2 ) Cash collateral netting (1) (361.0 ) (3.4 ) Securities collateral netting (1) (11.3 ) (6.9 ) Net receivables/payables $ 23.5 $ 1.2 (1) Represents the netting of receivable balances with payable balances, net of collateral, for the same counterparty under eligible netting agreements. December 31, 2015 Notional Amount Asset Fair Value Liability Fair Value Credit contracts $ 407.5 $ 3.3 $ 0.3 Foreign exchange contracts 195.8 24.6 10.7 Interest rate contracts 22,965.5 422.4 103.4 450.3 114.4 Counterparty netting (1) (111.7 ) (111.7 ) Cash collateral netting (1) (298.0 ) (0.3 ) Securities collateral netting (1) (11.0 ) (2.4 ) Net receivables/payables $ 29.6 $ — (1) Represents the netting of receivable balances with payable balances, net of collateral, for the same counterparty under eligible netting agreements. |
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance | Net realized gains (losses) on derivatives were as follows for the periods indicated: Three Months Ended March 31, 2016 2015 Derivatives: Qualifying for hedge accounting (1) Cash flow hedges: Interest rate contracts $ 0.2 $ 0.1 Foreign exchange contracts 0.2 0.1 Derivatives: Non-qualifying for hedge accounting (2) Interest rate contracts 64.5 29.5 Foreign exchange contracts (2.2 ) 1.1 Equity contracts (0.4 ) 0.6 Credit contracts 0.6 0.4 Embedded derivatives and Managed custody guarantees: Within fixed maturity investments (2) 0.9 (0.2 ) Within products (2) (60.4 ) (44.7 ) Within reinsurance agreements (3) (39.3 ) (14.1 ) Managed custody guarantees (2) (2.4 ) (0.8 ) Total $ (38.3 ) $ (28.0 ) (1) Changes in value for effective fair value hedges are recorded in Other net realized capital gains (losses). Changes in fair value upon disposal for effective cash flow hedges are amortized through Net investment income and the ineffective portion is recorded in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. For the three months ended March 31, 2016 and 2015 , ineffective amounts were immaterial. (2) Changes in value are included in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. (3) Changes in value are included in Interest credited and other benefits to contract owners/policyholders in the Condensed Consolidated Statements of Operations. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Value, Assets and Liabilities Measured on 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 March 31, 2016 : Level 1 Level 2 Level 3 Total Assets: Fixed maturities, including securities pledged: U.S. Treasuries $ 741.2 $ 64.3 $ — $ 805.5 U.S. Government agencies and authorities — 4.3 — 4.3 State, municipalities and political subdivisions — 658.8 — 658.8 U.S. corporate public securities — 9,990.5 1.7 9,992.2 U.S. corporate private securities — 1,988.2 393.5 2,381.7 Foreign corporate public securities and foreign governments (1) — 2,851.3 0.5 2,851.8 Foreign corporate private securities (1) — 2,650.3 179.6 2,829.9 Residential mortgage-backed securities — 2,245.8 26.9 2,272.7 Commercial mortgage-backed securities — 1,355.4 0.1 1,355.5 Other asset-backed securities — 241.5 12.6 254.1 Total fixed maturities, including securities pledged 741.2 22,050.4 614.9 23,406.5 Equity securities, available-for-sale 34.7 — 48.2 82.9 Derivatives: Interest rate contracts — 636.2 — 636.2 Foreign exchange contracts — 18.1 — 18.1 Equity contracts — 1.6 — 1.6 Credit contracts — 3.1 — 3.1 Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements 1,317.6 — — 1,317.6 Assets held in separate accounts 54,241.4 4,870.5 1.2 59,113.1 Total assets $ 56,334.9 $ 27,579.9 $ 664.3 $ 84,579.1 Liabilities: Derivatives: Guaranteed benefit derivatives: FIA $ — $ — $ 21.7 $ 21.7 Stabilizer and MCGs — — 226.0 226.0 Other derivatives: Interest rate contracts 0.7 265.7 — 266.4 Foreign exchange contracts — 8.7 — 8.7 Equity contracts — — — — Credit contracts — 0.3 — 0.3 Embedded derivative on reinsurance — (32.3 ) — (32.3 ) Total liabilities $ 0.7 $ 242.4 $ 247.7 $ 490.8 (1) Primarily U.S. dollar denominated. 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, 2015 : Level 1 Level 2 Level 3 Total Assets: Fixed maturities, including securities pledged: U.S. Treasuries $ 660.4 $ 61.0 $ — $ 721.4 U.S. Government agencies and authorities — 4.3 — 4.3 State, municipalities and political subdivisions — 595.8 — 595.8 U.S. corporate public securities — 9,598.2 2.3 9,600.5 U.S. corporate private securities — 1,963.5 396.4 2,359.9 Foreign corporate public securities and foreign governments (1) — 2,811.7 0.5 2,812.2 Foreign corporate private securities (1) — 2,553.3 158.1 2,711.4 Residential mortgage-backed securities — 1,901.0 28.2 1,929.2 Commercial mortgage-backed securities — 1,262.3 12.6 1,274.9 Other asset-backed securities — 236.1 13.1 249.2 Total fixed maturities, including securities pledged 660.4 20,987.2 611.2 22,258.8 Equity securities, available-for-sale 83.8 — 47.5 131.3 Derivatives: Interest rate contracts — 422.4 — 422.4 Foreign exchange contracts — 24.6 — 24.6 Equity contracts — — — — Credit contracts — 3.3 — 3.3 Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements 902.6 — — 902.6 Assets held in separate accounts 54,283.0 4,623.6 4.0 58,910.6 Total assets $ 55,929.8 $ 26,061.1 $ 662.7 $ 82,653.6 Liabilities: Derivatives: Guaranteed benefit derivatives: FIA $ — $ — $ 23.1 $ 23.1 Stabilizer and MCGs — — 161.3 161.3 Other derivatives: Interest rate contracts 0.6 103.4 — 104.0 Foreign exchange contracts — 10.7 — 10.7 Equity contracts 0.1 — — 0.1 Credit contracts — 0.3 — 0.3 Embedded derivative on reinsurance — (71.6 ) — (71.6 ) Total liabilities $ 0.7 $ 42.8 $ 184.4 $ 227.9 (1) Primarily U.S. dollar denominated. |
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | The following table summarizes the change in fair value of the Company’s Level 3 assets and liabilities and transfers in and out of Level 3 for the period indicated: Three Months Ended March 31, 2016 Fair Value as of January 1 Total Realized/Unrealized Gains (Losses) Included in: Purchases Issuances Sales Settlements Transfers into Level 3 (3) Transfers out of Level 3 (3) Fair Value as of March 31 Change in Unrealized Gains (Losses) Included in Earnings (4) Net Income OCI Fixed maturities, including securities pledged: U.S. Corporate public securities $ 2.3 $ — $ (0.1 ) $ — $ — $ — $ (0.5 ) $ — $ — $ 1.7 $ — U.S. Corporate private securities 396.4 (0.1 ) 8.3 0.2 — (17.5 ) (31.4 ) 44.2 (6.6 ) 393.5 (0.1 ) Foreign corporate public securities and foreign governments (1) 0.5 — — — — — — — — 0.5 — Foreign corporate private securities (1) 158.1 0.1 4.3 — — (0.1 ) (7.7 ) 29.7 (4.8 ) 179.6 0.1 Residential mortgage-backed securities 28.2 (1.3 ) — — — — — — — 26.9 (1.3 ) Commercial mortgage-backed securities 12.6 — — 0.1 — — — — (12.6 ) 0.1 — Other asset-backed securities 13.1 — (0.2 ) — — — (0.3 ) — — 12.6 — Total fixed maturities, including securities pledged 611.2 (1.3 ) 12.3 0.3 — (17.6 ) (39.9 ) 73.9 (24.0 ) 614.9 (1.3 ) Equity securities, available-for-sale 47.5 — 0.7 — — — — — — 48.2 — Derivatives: Guaranteed benefit derivatives: Stabilizer and MCGs (2) (161.3 ) (63.6 ) — — (1.1 ) — — — — (226.0 ) — FIA (2) (23.1 ) 0.8 — — 0.1 — 0.5 — — (21.7 ) — Cash and cash equivalents, short-term investments, and short-term investments under securities loan agreements — — — — — — — — — — — Assets held in separate accounts (5) 4.0 — — — — — — — (2.8 ) 1.2 — (1) Primarily U.S. dollar denominated. (2) All gains and losses on Level 3 liabilities are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by-contract basis. These amounts are included in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. (3) The Company’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period. (4) For financial instruments still held as of March 31, amounts are included in Net investment income and Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. (5) The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) for separate account assets are offset by an equal amount for separate account liabilities, which results in a net zero impact on Net income (loss) for the Company. The following table summarizes the change in fair value of the Company’s Level 3 assets and liabilities and transfers in and out of Level 3 for the period indicated: Three Months Ended March 31, 2015 Fair Value as of January 1 Total Realized/Unrealized Gains (Losses) Included in: Purchases Issuances Sales Settlements Transfers into Level 3 (3) Transfers out of Level 3 (3) Fair Value as of March 31 Change in Unrealized Gains (Losses) Included in Earnings (4) Net Income OCI Fixed maturities, including securities pledged: U.S. Corporate public securities $ 50.3 $ — $ 1.8 $ 23.6 $ — $ — $ (1.1 ) $ — $ — $ 74.6 $ — U.S. Corporate private securities 324.5 — 0.7 23.5 — — (36.8 ) — — 311.9 — Foreign corporate public securities and foreign governments (1) — — — 1.2 — — — — — 1.2 — Foreign corporate private securities (1) 165.7 0.2 1.4 1.8 — — (4.0 ) 16.1 — 181.2 — Residential mortgage-backed securities 17.3 (0.6 ) (0.4 ) — — — — 6.7 — 23.0 (0.6 ) Commercial mortgage-backed securities 19.0 — — — — — — — (19.0 ) — — Other asset-backed securities 2.4 — — — — — (0.3 ) — — 2.1 — Total fixed maturities, including securities pledged 579.2 (0.4 ) 3.5 50.1 — — (42.2 ) 22.8 (19.0 ) 594.0 (0.6 ) Equity securities, available-for-sale 36.6 — 1.4 — — — — — — 38.0 — Derivatives: Guaranteed benefit derivatives: Stabilizer and MCGs (2) (102.9 ) (44.1 ) — — (1.1 ) — — — — (148.1 ) — FIA (2) (26.3 ) (1.4 ) — — — — 0.2 — — (27.5 ) — Cash and cash equivalents, short-term investments, and short-term investments under securities loan agreements 1.5 — — — — — — — — 1.5 — Assets held in separate accounts (5) 2.4 — — — — — — — (1.7 ) 0.7 — (1) Primarily U.S. dollar denominated. (2) All gains and losses on Level 3 liabilities are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by-contract basis. These amounts are included in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. (3) The Company’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period. (4) For financial instruments still held as of March 31, amounts are included in Net investment income and Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations. (5) The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) for separate account assets are offset by an equal amount for separate account liabilities, which results in a net zero impact on Net income (loss) for the Company. |
Fair Value Inputs, Liabilities, Quantitative Information | The following table presents the unobservable inputs for Level 3 fair value measurements as of March 31, 2016 : Range (1) Unobservable Input FIA Stabilizer / MCG Interest rate implied volatility — 0.2% to 7.7% Nonperformance risk 0.23% to 1.6% 0.23% to 1.6% Actuarial Assumptions: Partial Withdrawals 0.4% to 3.2% — Lapses 0% to 45% (2) 0% to 50% (3) Policyholder Deposits (4) — 0% to 50% (3) (1) Represents the range of reasonable assumptions that management has used in its fair value calculations. (2) Lapse rates tend to be lower during the contractual surrender charge period and higher after the surrender charge period ends; the highest lapse rates occur in the year immediately after the end of the surrender charge period. (3) Stabilizer contracts with recordkeeping agreements have different range of lapse and policyholder deposit assumptions from Stabilizer (Investment only) and MCG contracts as shown below: Percentage of Plans Overall Range of Lapse Rates Range of Lapse Rates for 85% of Plans Overall Range of Policyholder Deposits Range of Policyholder Deposits for 85% of Plans Stabilizer (Investment Only) and MCG Contracts 93 % 0-25% 0-15% 0-30% 0-15% Stabilizer with Recordkeeping Agreements 7 % 0-50% 0-30% 0-50% 0-25% Aggregate of all plans 100 % 0-50% 0-30% 0-50% 0-25% (4) Measured as a percentage of assets under management or assets under administration. The following table presents the unobservable inputs for Level 3 fair value measurements as of December 31, 2015 : Range (1) Unobservable Input FIA Stabilizer / MCG Interest rate implied volatility — 0.1% to 7.3% Nonperformance risk 0.23% to 1.3% 0.23% to 1.3% Actuarial Assumptions: Partial Withdrawals 0.4% to 3.2% — Lapses 0% to 45% (2) 0% to 50% (3) Policyholder Deposits (4) — 0% to 50% (3) (1) Represents the range of reasonable assumptions that management has used in its fair value calculations. (2) Lapse rates tend to be lower during the contractual surrender charge period and higher after the surrender charge period ends; the highest lapse rates occur in the year immediately after the end of the surrender charge period. (3) Stabilizer contracts with recordkeeping agreements have different range of lapse and policyholder deposit assumptions from Stabilizer (Investment only) and MCG contracts as shown below: Percentage of Plans Overall Range of Lapse Rates Range of Lapse Rates for 85% of Plans Overall Range of Policyholder Deposits Range of Policyholder Deposits for 85% of Plans Stabilizer (Investment Only) and MCG Contracts 90 % 0-25% 0-15% 0-30% 0-15% Stabilizer with Recordkeeping Agreements 10 % 0-50% 0-30% 0-50% 0-25% Aggregate of all plans 100 % 0-50% 0-30% 0-50% 0-25% (4) Measured as a percentage of assets under management or assets under administration. |
Fair Value, by Balance Sheet Grouping | The carrying values and estimated fair values of the Company’s financial instruments as of the dates indicated: March 31, 2016 December 31, 2015 Carrying Value Fair Value Carrying Value Fair Value Assets: Fixed maturities, including securities pledged $ 23,406.5 $ 23,406.5 $ 22,258.8 $ 22,258.8 Equity securities, available-for-sale 82.9 82.9 131.3 131.3 Mortgage loans on real estate 3,930.0 4,086.0 3,729.1 3,881.1 Policy loans 225.2 225.2 229.8 229.8 Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements 1,317.6 1,317.6 902.6 902.5 Derivatives 659.0 659.0 450.3 450.3 Notes receivable from affiliate 175.0 213.0 175.0 208.4 Short-term loan to affiliate 12.0 12.0 — — Assets held in separate accounts 59,113.1 59,113.1 58,910.6 58,910.6 Liabilities: Investment contract liabilities: Funding agreements without fixed maturities and deferred annuities (1) 23,366.2 28,203.6 22,979.4 27,612.3 Supplementary contracts, immediate annuities and other 408.3 483.2 411.8 479.2 Deposit liabilities 194.1 319.5 194.8 194.8 Derivatives: Guaranteed benefit derivatives: FIA 21.7 21.7 23.1 23.1 Stabilizer and MCGs 226.0 226.0 161.3 161.3 Other derivatives 275.4 275.4 115.1 115.1 Long-term debt 4.9 4.9 4.9 4.9 Embedded derivatives on reinsurance (32.3 ) (32.3 ) (71.6 ) (71.6 ) (1) Certain amounts included in Funding agreements without fixed maturities and deferred annuities are also reflected within the Guaranteed benefit derivatives section of the table above. |
Deferred Policy Acquisition C22
Deferred Policy Acquisition Costs and Value of Business Acquired (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Deferred Policy Acquisition Costs and Value of Business Acquired [Abstract] | |
Deferred Policy Acquisition Costs and Value of Business Acquired | The following tables present a rollforward of DAC and VOBA for the periods indicated: 2016 DAC VOBA Total Balance as of January 1, 2016 $ 520.4 $ 708.7 $ 1,229.1 Deferrals of commissions and expenses 18.3 1.4 19.7 Amortization: Amortization (9.4 ) (11.4 ) (20.8 ) Interest accrued (1) 9.3 13.5 22.8 Net amortization included in the Condensed Consolidated Statements of Operations (0.1 ) 2.1 2.0 Change due to unrealized capital gains/losses on available-for-sale securities (88.0 ) (133.5 ) (221.5 ) Balance as of March 31, 2016 $ 450.6 $ 578.7 $ 1,029.3 2015 DAC VOBA Total Balance as of January 1, 2015 $ 396.5 $ 526.8 $ 923.3 Deferrals of commissions and expenses 18.7 1.5 20.2 Amortization: Amortization (28.3 ) (17.4 ) (45.7 ) Interest accrued (1) 9.0 14.2 23.2 Net amortization included in the Condensed Consolidated Statements of Operations (19.3 ) (3.2 ) (22.5 ) Change due to unrealized capital gains/losses on available-for-sale securities (35.7 ) (44.1 ) (79.8 ) Balance as of March 31, 2015 $ 360.2 $ 481.0 $ 841.2 (1) Interest accrued at the following rates for VOBA: 5.5% to 7.0% during 2016 and 2015 . |
Accumulated Other Comprehensi23
Accumulated Other Comprehensive Income (Loss) (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Equity [Abstract] | |
Schedule of Accumulated Other Comprehensive Income (Loss) | Shareholder’s equity included the following components of Accumulated Other Comprehensive Income ("AOCI") as of the dates indicated: March 31, 2016 2015 Fixed maturities, net of OTTI $ 1,186.6 $ 1,831.1 Equity securities, available-for-sale 15.1 15.9 Derivatives 217.0 219.6 DAC/VOBA and Sales inducements adjustment on available-for-sale securities (418.2 ) (632.3 ) Premium deficiency reserve adjustment (84.7 ) (137.9 ) Other 0.1 — Unrealized capital gains (losses), before tax 915.9 1,296.4 Deferred income tax asset (liability) (196.3 ) (327.6 ) Unrealized capital gains (losses), after tax 719.6 968.8 Pension and other postretirement benefits liability, net of tax 6.5 8.0 AOCI $ 726.1 $ 976.8 |
Schedule of Amounts Recognized in Other Comprehensive Income (Loss) | Changes in AOCI, including the reclassification adjustments recognized in the Condensed Consolidated Statements of Operations were as follows for the periods indicated: Three Months Ended March 31, 2016 Before-Tax Amount Income Tax After-Tax Amount Available-for-sale securities: Fixed maturities $ 707.0 $ (244.5 ) $ 462.5 Equity securities 0.5 (0.2 ) 0.3 Other 0.1 — 0.1 OTTI 0.4 (0.1 ) 0.3 Adjustments for amounts recognized in Net realized capital gains (losses) in the Condensed Consolidated Statements of Operations 41.2 (14.4 ) 26.8 DAC/VOBA and Sales inducements (221.8 ) (1) 77.6 (144.2 ) Premium deficiency reserve adjustment (18.2 ) 6.4 (11.8 ) Change in unrealized gains/losses on available-for-sale securities 509.2 (175.2 ) 334.0 Derivatives: Derivatives 12.9 (2) (4.5 ) 8.4 Adjustments related to effective cash flow hedges for amounts recognized in Net investment income in the Condensed Consolidated Statements of Operations (4.2 ) 1.5 (2.7 ) Change in unrealized gains/losses on derivatives 8.7 (3.0 ) 5.7 Pension and other postretirement benefits liability: Amortization of prior service cost recognized in Operating expenses in the Condensed Consolidated Statements of Operations (0.6 ) 0.2 (0.4 ) Change in pension and other postretirement benefits liability (0.6 ) 0.2 (0.4 ) Change in Other comprehensive income (loss) $ 517.3 $ (178.0 ) $ 339.3 (1) See the Deferred Policy Acquisition Costs and Value of Business Acquired Note to these Condensed Consolidated Financial Statements for additional information. (2) See the Derivative Financial Instruments Note to these Condensed Consolidated Financial Statements for additional information. Three Months Ended March 31, 2015 Before-Tax Amount Income Tax After-Tax Amount Available-for-sale securities: Fixed maturities $ 273.3 $ (95.0 ) $ 178.3 Equity securities 1.4 (0.5 ) 0.9 Other — — — OTTI 1.2 (0.4 ) 0.8 Adjustments for amounts recognized in Net realized capital gains (losses) in the Condensed Consolidated Statements of Operations 2.8 (1.0 ) 1.8 DAC/VOBA and Sales inducements (79.9 ) (1) 28.0 (51.9 ) Premium deficiency reserve adjustment (8.1 ) 2.8 (5.3 ) Change in unrealized gains/losses on available-for-sale securities 190.7 (66.1 ) 124.6 Derivatives: Derivatives 20.9 (2) (7.3 ) 13.6 Adjustments related to effective cash flow hedges for amounts recognized in Net investment income in the Condensed Consolidated Statements of Operations (3.9 ) 1.4 (2.5 ) Change in unrealized gains/losses on derivatives 17.0 (5.9 ) 11.1 Pension and other postretirement benefits liability: Amortization of prior service cost recognized in Operating expenses in the Condensed Consolidated Statements of Operations (0.6 ) 0.2 (0.4 ) Change in pension and other postretirement benefits liability (0.6 ) 0.2 (0.4 ) Change in Other comprehensive income (loss) $ 207.1 $ (71.8 ) $ 135.3 (1) See the Deferred Policy Acquisition Costs and Value of Business Acquired Note to these Condensed Consolidated Financial Statements for additional information. (2) See the Derivative Financial Instruments Note to these Condensed Consolidated Financial Statements for additional information. |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Schedule of Restricted Assets | The components of the fair value of the restricted assets were as follows as of the dates indicated: March 31, 2016 December 31, 2015 Other fixed maturities-state deposits $ 13.6 $ 13.5 Securities pledged (1) 700.5 249.2 Total restricted assets $ 714.1 $ 262.7 (1) Includes the fair value of loaned securities of $522.6 and $178.9 as of March 31, 2016 and December 31, 2015 , respectively. In addition, as of March 31, 2016 and December 31, 2015 , the Company delivered securities as collateral of $177.9 and $70.3 , respectively. Loaned securities and securities delivered as collateral are included in Securities pledged on the Condensed Consolidated Balance Sheets. |
Business, Basis of Presentati25
Business, Basis of Presentation and Significant Accounting Policies (Details) | 3 Months Ended |
Mar. 31, 2016segment$ / sharesshares | |
Schedule of Equity Transactions [Line Items] | |
Number of operating segments | segment | 1 |
Affiliated Entity | |
Schedule of Equity Transactions [Line Items] | |
Number of outstanding warrants to purchase common stock | shares | 26,050,846 |
Warrants, exercise price | $ / shares | $ 48.75 |
Investments - Fixed Maturities
Investments - Fixed Maturities and Equity Securities (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 |
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Embedded Derivatives | $ 24.3 | $ 23.4 |
OTTI | 16.5 | 16.9 |
Securities pledged, Amortized Cost | 622.2 | 252.3 |
Equity securities, cost | 67.8 | 116.7 |
Equity securities, available-for-sale | 82.9 | 131.3 |
Total fixed maturities and equity securities, Amortized Cost | 21,641.2 | 21,661.8 |
Gross Unrealized Capital Gains | 1,410.4 | 990.8 |
Gross Unrealized Capital Losses | 287 | 535.1 |
Fair Value | 22,788.9 | 22,140.9 |
U.S. Treasuries | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Fixed maturities, including securities pledged, Amortized Cost | 661.8 | 616.6 |
Fixed maturities, Gross Unrealized Capital Gains | 143.8 | 105.1 |
Fixed maturities, Gross Unrealized Capital Losses | 0.1 | 0.3 |
Embedded Derivatives | 0 | 0 |
Fixed maturities, including securities pledged, Fair Value | 805.5 | 721.4 |
OTTI | 0 | 0 |
U.S. government agencies and authorities | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Fixed maturities, including securities pledged, Amortized Cost | 4.2 | 4.3 |
Fixed maturities, Gross Unrealized Capital Gains | 0.1 | 0 |
Fixed maturities, Gross Unrealized Capital Losses | 0 | 0 |
Embedded Derivatives | 0 | 0 |
Fixed maturities, including securities pledged, Fair Value | 4.3 | 4.3 |
OTTI | 0 | 0 |
State, municipalities and political subdivisions | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Fixed maturities, including securities pledged, Amortized Cost | 627.9 | 589.9 |
Fixed maturities, Gross Unrealized Capital Gains | 31.9 | 13.8 |
Fixed maturities, Gross Unrealized Capital Losses | 1 | 7.9 |
Embedded Derivatives | 0 | 0 |
Fixed maturities, including securities pledged, Fair Value | 658.8 | 595.8 |
OTTI | 0 | 0 |
U.S. corporate public securities | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Fixed maturities, including securities pledged, Amortized Cost | 9,487.4 | 9,472.4 |
Fixed maturities, Gross Unrealized Capital Gains | 639.1 | 384.9 |
Fixed maturities, Gross Unrealized Capital Losses | 134.3 | 256.8 |
Embedded Derivatives | 0 | 0 |
Fixed maturities, including securities pledged, Fair Value | 9,992.2 | 9,600.5 |
OTTI | 1.3 | 1.4 |
U.S. corporate private securities | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Fixed maturities, including securities pledged, Amortized Cost | 2,297 | 2,336 |
Fixed maturities, Gross Unrealized Capital Gains | 123.5 | 86.3 |
Fixed maturities, Gross Unrealized Capital Losses | 38.8 | 62.4 |
Embedded Derivatives | 0 | 0 |
Fixed maturities, including securities pledged, Fair Value | 2,381.7 | 2,359.9 |
OTTI | 0 | 0 |
Foreign corporate public securities and foreign governments | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Fixed maturities, including securities pledged, Amortized Cost | 2,817 | 2,868.7 |
Fixed maturities, Gross Unrealized Capital Gains | 131.7 | 95 |
Fixed maturities, Gross Unrealized Capital Losses | 96.9 | 151.5 |
Embedded Derivatives | 0 | 0 |
Fixed maturities, including securities pledged, Fair Value | 2,851.8 | 2,812.2 |
OTTI | 0 | 0 |
Foreign corporate private securities | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Fixed maturities, including securities pledged, Amortized Cost | 2,698.6 | 2,678.8 |
Fixed maturities, Gross Unrealized Capital Gains | 148.9 | 96.1 |
Fixed maturities, Gross Unrealized Capital Losses | 17.6 | 63.5 |
Embedded Derivatives | 0 | 0 |
Fixed maturities, including securities pledged, Fair Value | 2,829.9 | 2,711.4 |
OTTI | 0 | 0 |
Residential mortgage-backed | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Fixed maturities, including securities pledged, Amortized Cost | 2,091.3 | 1,761.1 |
Fixed maturities, Gross Unrealized Capital Gains | 163.3 | 151.6 |
Fixed maturities, Gross Unrealized Capital Losses | 6.2 | 6.9 |
Embedded Derivatives | 24.3 | 23.4 |
Fixed maturities, including securities pledged, Fair Value | 2,272.7 | 1,929.2 |
OTTI | 6.2 | 6.4 |
Residential mortgage-backed securities agency | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Fixed maturities, including securities pledged, Amortized Cost | 1,825.3 | 1,579.5 |
Fixed maturities, Gross Unrealized Capital Gains | 115.1 | 105.3 |
Fixed maturities, Gross Unrealized Capital Losses | 3.2 | 4.8 |
Embedded Derivatives | 12.9 | 12.8 |
Fixed maturities, including securities pledged, Fair Value | 1,950.1 | 1,692.8 |
OTTI | 0 | 0 |
Residential mortgage-backed securities non-agency | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Fixed maturities, including securities pledged, Amortized Cost | 266 | 181.6 |
Fixed maturities, Gross Unrealized Capital Gains | 48.2 | 46.3 |
Fixed maturities, Gross Unrealized Capital Losses | 3 | 2.1 |
Embedded Derivatives | 11.4 | 10.6 |
Fixed maturities, including securities pledged, Fair Value | 322.6 | 236.4 |
OTTI | 6.2 | 6.4 |
Commercial mortgage-backed | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Fixed maturities, including securities pledged, Amortized Cost | 1,266 | 1,228.9 |
Fixed maturities, Gross Unrealized Capital Gains | 89.9 | 49.5 |
Fixed maturities, Gross Unrealized Capital Losses | 0.4 | 3.5 |
Embedded Derivatives | 0 | 0 |
Fixed maturities, including securities pledged, Fair Value | 1,355.5 | 1,274.9 |
OTTI | 6.7 | 6.7 |
Other asset-backed securities | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Fixed maturities, including securities pledged, Amortized Cost | 244.4 | 240.7 |
Fixed maturities, Gross Unrealized Capital Gains | 11.4 | 9.9 |
Fixed maturities, Gross Unrealized Capital Losses | 1.7 | 1.4 |
Embedded Derivatives | 0 | 0 |
Fixed maturities, including securities pledged, Fair Value | 254.1 | 249.2 |
OTTI | 2.3 | 2.4 |
Fixed maturities | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Fixed maturities, including securities pledged, Amortized Cost | 22,195.6 | 21,797.4 |
Fixed maturities, Gross Unrealized Capital Gains | 1,483.6 | 992.2 |
Fixed maturities, Gross Unrealized Capital Losses | 297 | 554.2 |
Embedded Derivatives | 24.3 | 23.4 |
Fixed maturities, including securities pledged, Fair Value | 23,406.5 | 22,258.8 |
OTTI | 16.5 | 16.9 |
Securities pledged, Amortized Cost | 622.2 | 252.3 |
Securities pledged, Gross Unrealized Capital Gains | 88.3 | 16 |
Securities pledged, Gross Unrealized Capital Losses | 10 | 19.1 |
Securities pledged, Gross Unrealized Capital Losses | 700.5 | 249.2 |
Total fixed maturities, less securities pledged, Amortized Cost | 21,573.4 | 21,545.1 |
Total fixed maturities, less securities pledged, Gross Unrealized Capital Gains | 1,395.3 | 976.2 |
Total fixed maturities, less securities pledged, Gross Unrealized Capital Losses | 287 | 535.1 |
Total fixed maturities, less securities pledged, Fair Value | 22,706 | 22,009.6 |
Equity securities, available-for-sale | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Embedded Derivatives | 0 | 0 |
OTTI | 0 | 0 |
Equity securities, cost | 67.8 | 116.7 |
Available-for-sale Equity Securities, Gross Unrealized Gain Accumulated In Investments | 15.1 | 14.6 |
Available-for-sale Equity Securities, Gross Unrealized Loss Accumulated In Investments | 0 | 0 |
Equity securities, available-for-sale | $ 82.9 | $ 131.3 |
Investments - Debt Maturities (
Investments - Debt Maturities (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 |
Fixed maturities | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
One year or less, Amortized Cost | $ 601.4 | |
One year or less, Fair Value | 609.8 | |
After one year through five years, Amortized Cost | 4,534.2 | |
After one year through five years, Fair Value | 4,755.7 | |
After five years through ten years, Amortized Cost | 6,331.8 | |
After five years through ten years, Fair Value | 6,579.8 | |
After ten years, Amortized Cost | 7,126.5 | |
After ten years, Fair Value | 7,578.9 | |
Fixed maturities, including securities pledged, Amortized Cost | 22,195.6 | $ 21,797.4 |
Fixed maturities, including securities pledged, Fair Value | 23,406.5 | $ 22,258.8 |
Mortgage-backed securities | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Without single maturity date, Amortized Cost | 3,357.3 | |
Without single maturity date, Fair Value | $ 3,628.2 | |
Percentage collateralized of mortgage backed securities including interest-only strip or principal-only strip | 61.10% | 63.80% |
Other asset-backed securities | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Without single maturity date, Amortized Cost | $ 244.4 | |
Without single maturity date, Fair Value | 254.1 | |
Fixed maturities, including securities pledged, Amortized Cost | 244.4 | $ 240.7 |
Fixed maturities, including securities pledged, Fair Value | $ 254.1 | $ 249.2 |
Investments - Composition of US
Investments - Composition of US and Foreign Corporate Securities (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 |
Communications | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Fixed maturities, including securities pledged, Amortized Cost | $ 1,229.5 | $ 1,218.8 |
U.S. and foreign corporate securities, Gross Unrealized Capital Gains | 103.3 | 67.1 |
U.S. and foreign corporate securities, Gross Unrealized Capital Losses | 10.9 | 28.6 |
Fixed maturities, including securities pledged, Fair Value | 1,321.9 | 1,257.3 |
Financial | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Fixed maturities, including securities pledged, Amortized Cost | 2,609.4 | 2,651.5 |
U.S. and foreign corporate securities, Gross Unrealized Capital Gains | 183.5 | 146.8 |
U.S. and foreign corporate securities, Gross Unrealized Capital Losses | 6.1 | 13.1 |
Fixed maturities, including securities pledged, Fair Value | 2,786.8 | 2,785.2 |
Industrial and other companies | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Fixed maturities, including securities pledged, Amortized Cost | 7,946.4 | 7,778.2 |
U.S. and foreign corporate securities, Gross Unrealized Capital Gains | 472.2 | 267.7 |
U.S. and foreign corporate securities, Gross Unrealized Capital Losses | 68.8 | 180.7 |
Fixed maturities, including securities pledged, Fair Value | 8,349.8 | 7,865.2 |
Energy | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Fixed maturities, including securities pledged, Amortized Cost | 2,408.4 | 2,655.2 |
U.S. and foreign corporate securities, Gross Unrealized Capital Gains | 52.4 | 26.1 |
U.S. and foreign corporate securities, Gross Unrealized Capital Losses | 181.5 | 261.8 |
Fixed maturities, including securities pledged, Fair Value | 2,279.3 | 2,419.5 |
Utilities | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Fixed maturities, including securities pledged, Amortized Cost | 2,201.9 | 2,150.7 |
U.S. and foreign corporate securities, Gross Unrealized Capital Gains | 177.6 | 122.1 |
U.S. and foreign corporate securities, Gross Unrealized Capital Losses | 11.3 | 21.8 |
Fixed maturities, including securities pledged, Fair Value | 2,368.2 | 2,251 |
Transportation | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Fixed maturities, including securities pledged, Amortized Cost | 569.5 | 560.6 |
U.S. and foreign corporate securities, Gross Unrealized Capital Gains | 32.2 | 14 |
U.S. and foreign corporate securities, Gross Unrealized Capital Losses | 2.8 | 13.8 |
Fixed maturities, including securities pledged, Fair Value | 598.9 | 560.8 |
U.S. and Foreign Corporate Securities | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Fixed maturities, including securities pledged, Amortized Cost | 16,965.1 | 17,015 |
U.S. and foreign corporate securities, Gross Unrealized Capital Gains | 1,021.2 | 643.8 |
U.S. and foreign corporate securities, Gross Unrealized Capital Losses | 281.4 | 519.8 |
Fixed maturities, including securities pledged, Fair Value | $ 17,704.9 | $ 17,139 |
Investments - Repurchase Agreem
Investments - Repurchase Agreement, Securities Lending, VIEs (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | |
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Required collateral percentage of market value of loaned securities | 102.00% | |
Securities received as collateral | $ 310.3 | $ 0 |
Payables under securities loan agreement, including collateral held | 788.8 | 541.3 |
Collateralized loan obligations | Not a primary beneficiary of the VIE | ||
Variable Interest Entity, Not Primary Beneficiary, Disclosures [Abstract] | ||
Carrying value of VIE | 304.2 | 0.4 |
Securities pledged as collateral | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Fair value of loaned securities | 522.6 | 178.9 |
Short-term investments | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Securities received as collateral | 230.5 | 185.9 |
Payables under securities loan agreement, including collateral held | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Payables under securities loan agreement, including collateral held | 230.5 | 185.9 |
U.S. Treasuries | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Payables under securities loan agreement, including collateral held | 186.1 | 0 |
U.S. corporate public securities | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Payables under securities loan agreement, including collateral held | 238 | 111.7 |
Foreign corporate public securities and foreign governments | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Payables under securities loan agreement, including collateral held | 116.7 | 74.2 |
Payables under securities loan agreements | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Payables under securities loan agreement, including collateral held | $ 540.8 | $ 185.9 |
Investments - Unrealized Capita
Investments - Unrealized Capital Losses (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 |
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Fair Value | $ 801.5 | $ 3,909.9 |
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 25 | 160.1 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Fair Value | 1,670 | 3,089.7 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 143.3 | 261.2 |
More Than Twelve Months Below Amortized Cost, Fair Value | 879.2 | 602.8 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 128.7 | 132.9 |
Total, Fair Value | 3,350.7 | 7,602.4 |
Total Unrealized Capital Losses | $ 297 | $ 554.2 |
Average market value of fixed maturities with unrealized capital losses aged more than twelve months | 87.20% | 81.90% |
U.S. Treasuries | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Fair Value | $ 34.1 | $ 69.4 |
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 0.1 | 0.3 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Fair Value | 0 | 0 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 0 | 0 |
More Than Twelve Months Below Amortized Cost, Fair Value | 0 | 0 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 0 | 0 |
Total, Fair Value | 34.1 | 69.4 |
Total Unrealized Capital Losses | 0.1 | 0.3 |
State, municipalities and political subdivisions | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Fair Value | 4.1 | 191.3 |
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 0.1 | 2.2 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Fair Value | 27.8 | 150.3 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 0.5 | 5.7 |
More Than Twelve Months Below Amortized Cost, Fair Value | 2.7 | 0 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 0.4 | 0 |
Total, Fair Value | 34.6 | 341.6 |
Total Unrealized Capital Losses | 1 | 7.9 |
U.S. corporate public securities | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Fair Value | 303 | 1,764 |
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 12.7 | 67.6 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Fair Value | 828 | 1,708.3 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 67.6 | 136.4 |
More Than Twelve Months Below Amortized Cost, Fair Value | 303.2 | 209.6 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 54 | 52.8 |
Total, Fair Value | 1,434.2 | 3,681.9 |
Total Unrealized Capital Losses | 134.3 | 256.8 |
U.S. corporate private securities | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Fair Value | 85 | 373.2 |
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 1.7 | 10.9 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Fair Value | 195.4 | 410.5 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 28.1 | 43.8 |
More Than Twelve Months Below Amortized Cost, Fair Value | 71.3 | 35.8 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 9 | 7.7 |
Total, Fair Value | 351.7 | 819.5 |
Total Unrealized Capital Losses | 38.8 | 62.4 |
Foreign corporate public securities and foreign governments | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Fair Value | 165.2 | 670 |
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 6.2 | 33.8 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Fair Value | 314.7 | 485.8 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 33.8 | 55.8 |
More Than Twelve Months Below Amortized Cost, Fair Value | 321.5 | 195.7 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 56.9 | 61.9 |
Total, Fair Value | 801.4 | 1,351.5 |
Total Unrealized Capital Losses | 96.9 | 151.5 |
Foreign corporate private securities | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Fair Value | 43.5 | 546 |
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 2.3 | 42.1 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Fair Value | 270.5 | 213.3 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 11.9 | 16.5 |
More Than Twelve Months Below Amortized Cost, Fair Value | 26.9 | 19.6 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 3.4 | 4.9 |
Total, Fair Value | 340.9 | 778.9 |
Total Unrealized Capital Losses | 17.6 | 63.5 |
Residential mortgage-backed | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Fair Value | 81 | 116.5 |
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 1.6 | 1.7 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Fair Value | 12.6 | 42.3 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 1.1 | 0.9 |
More Than Twelve Months Below Amortized Cost, Fair Value | 140.2 | 128.4 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 3.5 | 4.3 |
Total, Fair Value | 233.8 | 287.2 |
Total Unrealized Capital Losses | 6.2 | 6.9 |
Commercial mortgage-backed | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Fair Value | 68.9 | 156.9 |
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 0.3 | 1.4 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Fair Value | 9.4 | 78.8 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 0.1 | 2.1 |
More Than Twelve Months Below Amortized Cost, Fair Value | 0 | 0 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 0 | 0 |
Total, Fair Value | 78.3 | 235.7 |
Total Unrealized Capital Losses | 0.4 | 3.5 |
Other asset-backed | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Fair Value | 16.7 | 22.6 |
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | 0 | 0.1 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Fair Value | 11.6 | 0.4 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 0.2 | 0 |
More Than Twelve Months Below Amortized Cost, Fair Value | 13.4 | 13.7 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 1.5 | 1.3 |
Total, Fair Value | 41.7 | 36.7 |
Total Unrealized Capital Losses | $ 1.7 | $ 1.4 |
Investments - Unrealized Capi31
Investments - Unrealized Capital Losses 1 (Details) $ in Millions | Mar. 31, 2016USD ($)securities | Dec. 31, 2015USD ($)securities |
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | $ 25 | $ 160.1 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 143.3 | 261.2 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 128.7 | 132.9 |
Total Unrealized Capital Losses | 297 | 554.2 |
Fair value decline below amortized cost less than 20% | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six months or less below amortized cost, Amortized Cost | 1,309.8 | 3,980.3 |
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | $ 86.4 | $ 141.7 |
Six months or less below amortized cost, Number of Securities | securities | 250 | 762 |
More than six months and twelve months or less below amortized cost, Amortized Cost | $ 1,242.3 | $ 3,001.4 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | $ 47.4 | $ 156.6 |
More than six months and twelve months or less below amortized cost, Number of Securities | securities | 234 | 485 |
More than twelve months below amortized cost, Amortized Cost | $ 651.2 | $ 382.5 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | $ 28.2 | $ 26.9 |
More than twelve months below amortized cost, Number of Securities | securities | 170 | 144 |
Total Amortized Cost | $ 3,203.3 | $ 7,364.2 |
Total Unrealized Capital Losses | $ 162 | $ 325.2 |
Total Number of Securities | securities | 654 | 1,391 |
Fair value decline below amortized cost greater than 20% | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six months or less below amortized cost, Amortized Cost | $ 307.7 | $ 747.5 |
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | $ 90.9 | $ 211.4 |
Six months or less below amortized cost, Number of Securities | securities | 45 | 104 |
More than six months and twelve months or less below amortized cost, Amortized Cost | $ 134.9 | $ 27.6 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | $ 43.6 | $ 13.4 |
More than six months and twelve months or less below amortized cost, Number of Securities | securities | 19 | 2 |
More than twelve months below amortized cost, Amortized Cost | $ 1.8 | $ 17.3 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | $ 0.5 | $ 4.2 |
More than twelve months below amortized cost, Number of Securities | securities | 1 | 2 |
Total Amortized Cost | $ 444.4 | $ 792.4 |
Total Unrealized Capital Losses | $ 135 | $ 229 |
Total Number of Securities | securities | 65 | 108 |
U.S. Treasuries | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | $ 0.1 | $ 0.3 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 0 | 0 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 0 | 0 |
Total Unrealized Capital Losses | 0.1 | 0.3 |
U.S. Treasuries | Fair value decline below amortized cost less than 20% | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | 34.2 | 69.7 |
Total Unrealized Capital Losses | $ 0.1 | $ 0.3 |
Total Number of Securities | securities | 5 | 14 |
U.S. Treasuries | Fair value decline below amortized cost greater than 20% | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | $ 0 | $ 0 |
Total Unrealized Capital Losses | $ 0 | $ 0 |
Total Number of Securities | securities | 0 | 0 |
State, municipalities and political subdivisions | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | $ 0.1 | $ 2.2 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 0.5 | 5.7 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 0.4 | 0 |
Total Unrealized Capital Losses | 1 | 7.9 |
State, municipalities and political subdivisions | Fair value decline below amortized cost less than 20% | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | 35.6 | 349.5 |
Total Unrealized Capital Losses | $ 1 | $ 7.9 |
Total Number of Securities | securities | 12 | 117 |
State, municipalities and political subdivisions | Fair value decline below amortized cost greater than 20% | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | $ 0 | $ 0 |
Total Unrealized Capital Losses | $ 0 | $ 0 |
Total Number of Securities | securities | 0 | 0 |
U.S. corporate public securities | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | $ 12.7 | $ 67.6 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 67.6 | 136.4 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 54 | 52.8 |
Total Unrealized Capital Losses | 134.3 | 256.8 |
U.S. corporate public securities | Fair value decline below amortized cost less than 20% | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | 1,420.7 | 3,565.2 |
Total Unrealized Capital Losses | $ 88.9 | $ 153.5 |
Total Number of Securities | securities | 265 | 651 |
U.S. corporate public securities | Fair value decline below amortized cost greater than 20% | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | $ 147.8 | $ 373.5 |
Total Unrealized Capital Losses | $ 45.4 | $ 103.3 |
Total Number of Securities | securities | 25 | 58 |
U.S. corporate private securities | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | $ 1.7 | $ 10.9 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 28.1 | 43.8 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 9 | 7.7 |
Total Unrealized Capital Losses | 38.8 | 62.4 |
U.S. corporate private securities | Fair value decline below amortized cost less than 20% | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | 317.8 | 791 |
Total Unrealized Capital Losses | $ 14.5 | $ 34.6 |
Total Number of Securities | securities | 28 | 87 |
U.S. corporate private securities | Fair value decline below amortized cost greater than 20% | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | $ 72.7 | $ 90.9 |
Total Unrealized Capital Losses | $ 24.3 | $ 27.8 |
Total Number of Securities | securities | 4 | 4 |
Foreign corporate public securities and foreign governments | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | $ 6.2 | $ 33.8 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 33.8 | 55.8 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 56.9 | 61.9 |
Total Unrealized Capital Losses | 96.9 | 151.5 |
Foreign corporate public securities and foreign governments | Fair value decline below amortized cost less than 20% | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | 698.1 | 1,211.9 |
Total Unrealized Capital Losses | $ 37.4 | $ 63.6 |
Total Number of Securities | securities | 142 | 254 |
Foreign corporate public securities and foreign governments | Fair value decline below amortized cost greater than 20% | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | $ 200.2 | $ 291.1 |
Total Unrealized Capital Losses | $ 59.5 | $ 87.9 |
Total Number of Securities | securities | 27 | 40 |
Foreign corporate private securities | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | $ 2.3 | $ 42.1 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 11.9 | 16.5 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 3.4 | 4.9 |
Total Unrealized Capital Losses | 17.6 | 63.5 |
Foreign corporate private securities | Fair value decline below amortized cost less than 20% | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | 338.8 | 807.3 |
Total Unrealized Capital Losses | $ 12.9 | $ 53.9 |
Total Number of Securities | securities | 44 | 85 |
Foreign corporate private securities | Fair value decline below amortized cost greater than 20% | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | $ 19.7 | $ 35.1 |
Total Unrealized Capital Losses | $ 4.7 | $ 9.6 |
Total Number of Securities | securities | 4 | 5 |
Residential mortgage-backed | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | $ 1.6 | $ 1.7 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 1.1 | 0.9 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 3.5 | 4.3 |
Total Unrealized Capital Losses | 6.2 | 6.9 |
Residential mortgage-backed | Fair value decline below amortized cost less than 20% | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | 238.1 | 294.1 |
Total Unrealized Capital Losses | $ 5.7 | $ 6.9 |
Total Number of Securities | securities | 124 | 130 |
Residential mortgage-backed | Fair value decline below amortized cost greater than 20% | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | $ 1.9 | $ 0 |
Total Unrealized Capital Losses | $ 0.5 | $ 0 |
Total Number of Securities | securities | 2 | 0 |
Commercial mortgage-backed | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | $ 0.3 | $ 1.4 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 0.1 | 2.1 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 0 | 0 |
Total Unrealized Capital Losses | 0.4 | 3.5 |
Commercial mortgage-backed | Fair value decline below amortized cost less than 20% | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | 78.6 | 239.2 |
Total Unrealized Capital Losses | $ 0.3 | $ 3.5 |
Total Number of Securities | securities | 16 | 38 |
Commercial mortgage-backed | Fair value decline below amortized cost greater than 20% | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | $ 0.1 | $ 0 |
Total Unrealized Capital Losses | $ 0.1 | $ 0 |
Total Number of Securities | securities | 1 | 0 |
Other asset-backed | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Six Months or Less Below Amortized Cost, Unrealized Capital Loss | $ 0 | $ 0.1 |
More Than Six Months and Twelve Months or Less Below Amortized Cost, Unrealized Capital Loss | 0.2 | 0 |
More Than Twelve Months Below Amortized Cost, Unrealized Capital Loss | 1.5 | 1.3 |
Total Unrealized Capital Losses | 1.7 | 1.4 |
Other asset-backed | Fair value decline below amortized cost less than 20% | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | 41.4 | 36.3 |
Total Unrealized Capital Losses | $ 1.2 | $ 1 |
Total Number of Securities | securities | 18 | 15 |
Other asset-backed | Fair value decline below amortized cost greater than 20% | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Total Amortized Cost | $ 2 | $ 1.8 |
Total Unrealized Capital Losses | $ 0.5 | $ 0.4 |
Total Number of Securities | securities | 2 | 1 |
Investments - Troubled Debt Res
Investments - Troubled Debt Restructuring (Details) $ in Millions | 1 Months Ended | 5 Months Ended | ||
Aug. 31, 2013USD ($)loan | Dec. 31, 2013USD ($)loan | Mar. 31, 2016USD ($) | Dec. 31, 2015USD ($) | |
Financing Receivable, Modifications [Line Items] | ||||
Troubled debt restructured loans | $ 0 | $ 5.9 | ||
Commercial mortgage loans | ||||
Financing Receivable, Modifications [Line Items] | ||||
Number of troubled debt restructuring loans | loan | 8 | |||
Troubled debt restructuring, pre-modification value | $ 18.6 | |||
Troubled debt restructuring, post-modification value | $ 18.6 | |||
Cross collateralized, cross defaulted | ||||
Financing Receivable, Modifications [Line Items] | ||||
Number of troubled debt restructuring loans | loan | 20 | |||
Troubled debt restructuring, pre-modification value | $ 39.4 | |||
Troubled debt restructuring, post-modification value | $ 39.4 |
Investments - Mortgage Loans (D
Investments - Mortgage Loans (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | ||
Maximum loan to value ratio generally allowed | 75.00% | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Total commercial mortgage loans | $ 3,931.2 | $ 3,730.3 |
Collective valuation allowance for losses | (1.2) | (1.2) |
Total net commercial mortgage loans | 3,930 | 3,729.1 |
Impairments on mortgage loans | 0 | |
Impaired | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Total commercial mortgage loans | 4.8 | 10.7 |
Total net commercial mortgage loans | 4.8 | 10.7 |
Non Impaired | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Total commercial mortgage loans | 3,926.4 | 3,719.6 |
Collective valuation allowance for losses | (1.2) | (1.2) |
Total net commercial mortgage loans | $ 3,925.2 | $ 3,718.4 |
Investments - Allowance for Loa
Investments - Allowance for Loan Losses (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Financing Receivable, Allowance for Credit Losses [Roll Forward] | ||
Collective valuation allowance for losses, beginning of period | $ 1.2 | $ 1.1 |
Addition to (reduction of) allowance for losses | 0 | 0.1 |
Collective valuation allowance for losses, end of period | $ 1.2 | $ 1.2 |
Investments - Impaired Loans (D
Investments - Impaired Loans (Details) $ in Millions | 3 Months Ended | ||
Mar. 31, 2016USD ($)loan | Mar. 31, 2015USD ($) | Dec. 31, 2015USD ($)loan | |
Investments, Debt and Equity Securities [Abstract] | |||
Impaired loans without valuation allowances | $ 4.8 | $ 10.7 | |
Less: Allowances for losses on impaired loans | 0 | 0 | |
Impaired loans, net | 4.8 | 10.7 | |
Unpaid principal balance of impaired loans | 6.3 | $ 12.2 | |
Impaired loans, average investment during the period (amortized cost) | 7.8 | $ 26.6 | |
Interest income recognized on impaired loans, on an accrual basis | 0.1 | 0.4 | |
Interest income recognized on impaired loans, on a cash basis | 0.1 | 0.5 | |
Interest income recognized on restructured loans, on an accrual basis | $ 0 | $ 0.3 | |
Number of loans in arrears 30 days or less | loan | 0 | 2 | |
Amortized cost of loans in arrears 30 days or less | $ 0 | $ 1 |
Investments - Loans by Loan to
Investments - Loans by Loan to Value (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Schedule of Loans by Loan to Value Ratio [Line Items] | ||
Benchmark loan to value ratio, greater than indicates unpaid loan amount exceeds underlying collateral | 100.00% | 100.00% |
Total commercial mortgage loans | $ 3,931.2 | $ 3,730.3 |
0% - 50% | ||
Schedule of Loans by Loan to Value Ratio [Line Items] | ||
Loan to Value Ratio, minimum | 0.00% | 0.00% |
Loan to Value Ratio, maximum | 50.00% | 50.00% |
Commercial mortgage loans | $ 368.1 | $ 395.1 |
50% - 60% | ||
Schedule of Loans by Loan to Value Ratio [Line Items] | ||
Loan to Value Ratio, minimum | 50.00% | 50.00% |
Loan to Value Ratio, maximum | 60.00% | 60.00% |
Commercial mortgage loans | $ 1,070.4 | $ 969.4 |
60% - 70% | ||
Schedule of Loans by Loan to Value Ratio [Line Items] | ||
Loan to Value Ratio, minimum | 60.00% | 60.00% |
Loan to Value Ratio, maximum | 70.00% | 70.00% |
Commercial mortgage loans | $ 2,256.8 | $ 2,158.2 |
70% - 80% | ||
Schedule of Loans by Loan to Value Ratio [Line Items] | ||
Loan to Value Ratio, minimum | 70.00% | 70.00% |
Loan to Value Ratio, maximum | 80.00% | 80.00% |
Commercial mortgage loans | $ 233.3 | $ 204.8 |
80% and above | ||
Schedule of Loans by Loan to Value Ratio [Line Items] | ||
Loan to Value Ratio, minimum | 80.00% | 80.00% |
Commercial mortgage loans | $ 2.6 | $ 2.8 |
Investments - Loans by Debt Ser
Investments - Loans by Debt Service Coverage Ratio (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Schedule of Loans by Debt Service Coverage Ratio [Line Items] | ||
Benchmark debt service coverage ratio, less than indicates property's operations income is less than debt payments | 100.00% | 100.00% |
Total commercial mortgage loans | $ 3,931.2 | $ 3,730.3 |
Greater than 1.5x | ||
Schedule of Loans by Debt Service Coverage Ratio [Line Items] | ||
Debt Service Coverage Ratio, minimum | 150.00% | 150.00% |
Commercial mortgage loans | $ 3,150.3 | $ 2,957.7 |
1.25x - 1.5x | ||
Schedule of Loans by Debt Service Coverage Ratio [Line Items] | ||
Debt Service Coverage Ratio, minimum | 125.00% | 125.00% |
Debt Service Coverage Ratio, maximum | 150.00% | 150.00% |
Commercial mortgage loans | $ 514.3 | $ 494.5 |
1.0x - 1.25x | ||
Schedule of Loans by Debt Service Coverage Ratio [Line Items] | ||
Debt Service Coverage Ratio, minimum | 100.00% | 100.00% |
Debt Service Coverage Ratio, maximum | 125.00% | 125.00% |
Commercial mortgage loans | $ 205.4 | $ 208.6 |
Less than 1.0x | ||
Schedule of Loans by Debt Service Coverage Ratio [Line Items] | ||
Debt Service Coverage Ratio, minimum | 0.00% | 0.00% |
Debt Service Coverage Ratio, maximum | 100.00% | 100.00% |
Commercial mortgage loans | $ 38.4 | $ 38.6 |
Construction Loans or Loans on Land [Member] | ||
Schedule of Loans by Debt Service Coverage Ratio [Line Items] | ||
Loans Receivable, Gross, Commercial, Development | $ 22.8 | $ 30.9 |
Investments - Loans by U.S. Reg
Investments - Loans by U.S. Region (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 |
Open Option Contracts Written [Line Items] | ||
Total commercial mortgage loans | $ 3,931.2 | $ 3,730.3 |
Loans by region percentage of total loans | 100.00% | 100.00% |
Pacific | ||
Open Option Contracts Written [Line Items] | ||
Total commercial mortgage loans | $ 888.1 | $ 867.5 |
Loans by region percentage of total loans | 22.60% | 23.30% |
South Atlantic | ||
Open Option Contracts Written [Line Items] | ||
Total commercial mortgage loans | $ 927.7 | $ 857.3 |
Loans by region percentage of total loans | 23.60% | 23.00% |
West South Central | ||
Open Option Contracts Written [Line Items] | ||
Total commercial mortgage loans | $ 426.6 | $ 414.8 |
Loans by region percentage of total loans | 10.90% | 11.10% |
Middle Atlantic | ||
Open Option Contracts Written [Line Items] | ||
Total commercial mortgage loans | $ 559 | $ 556.1 |
Loans by region percentage of total loans | 14.20% | 14.90% |
East North Central | ||
Open Option Contracts Written [Line Items] | ||
Total commercial mortgage loans | $ 418.4 | $ 380.8 |
Loans by region percentage of total loans | 10.60% | 10.20% |
Mountain | ||
Open Option Contracts Written [Line Items] | ||
Total commercial mortgage loans | $ 344.4 | $ 304.1 |
Loans by region percentage of total loans | 8.80% | 8.20% |
West North Central | ||
Open Option Contracts Written [Line Items] | ||
Total commercial mortgage loans | $ 225.5 | $ 208.6 |
Loans by region percentage of total loans | 5.70% | 5.60% |
East South Central | ||
Open Option Contracts Written [Line Items] | ||
Total commercial mortgage loans | $ 62.1 | $ 59.7 |
Loans by region percentage of total loans | 1.60% | 1.50% |
New England | ||
Open Option Contracts Written [Line Items] | ||
Total commercial mortgage loans | $ 79.4 | $ 81.4 |
Loans by region percentage of total loans | 2.00% | 2.20% |
Investments - Loans by Property
Investments - Loans by Property Type (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 |
Investment Holdings [Line Items] | ||
Total commercial mortgage loans | $ 3,931.2 | $ 3,730.3 |
Loans by property type percentage of total loans | 100.00% | 100.00% |
Retail | ||
Investment Holdings [Line Items] | ||
Total commercial mortgage loans | $ 1,347.1 | $ 1,330.8 |
Loans by property type percentage of total loans | 34.20% | 35.70% |
Industrial | ||
Investment Holdings [Line Items] | ||
Total commercial mortgage loans | $ 804.6 | $ 741.3 |
Loans by property type percentage of total loans | 20.50% | 19.90% |
Apartments | ||
Investment Holdings [Line Items] | ||
Total commercial mortgage loans | $ 709 | $ 630.4 |
Loans by property type percentage of total loans | 18.00% | 16.90% |
Office | ||
Investment Holdings [Line Items] | ||
Total commercial mortgage loans | $ 632.9 | $ 586.3 |
Loans by property type percentage of total loans | 16.10% | 15.70% |
Hotel/Motel | ||
Investment Holdings [Line Items] | ||
Total commercial mortgage loans | $ 176.2 | $ 177.6 |
Loans by property type percentage of total loans | 4.50% | 4.70% |
Mixed Use | ||
Investment Holdings [Line Items] | ||
Total commercial mortgage loans | $ 50.8 | $ 47.1 |
Loans by property type percentage of total loans | 1.30% | 1.30% |
Other | ||
Investment Holdings [Line Items] | ||
Total commercial mortgage loans | $ 210.6 | $ 216.8 |
Loans by property type percentage of total loans | 5.40% | 5.80% |
Investments - Mortgages by Year
Investments - Mortgages by Year of Origination (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 |
Investment [Line Items] | ||
Total commercial mortgage loans | $ 3,931.2 | $ 3,730.3 |
Year of Origination 2016 | ||
Investment [Line Items] | ||
Total commercial mortgage loans | 275.5 | 0 |
Year of Origination 2015 | ||
Investment [Line Items] | ||
Total commercial mortgage loans | 742.7 | 745.3 |
Year of Origination 2014 | ||
Investment [Line Items] | ||
Total commercial mortgage loans | 557.3 | 558 |
Year of Origination 2013 | ||
Investment [Line Items] | ||
Total commercial mortgage loans | 703.7 | 709.2 |
Year of Origination 2012 | ||
Investment [Line Items] | ||
Total commercial mortgage loans | 742.8 | 748.2 |
Year of Origination 2011 | ||
Investment [Line Items] | ||
Total commercial mortgage loans | 522 | 553.2 |
Year of Origination 2010 and prior | ||
Investment [Line Items] | ||
Total commercial mortgage loans | $ 387.2 | $ 416.4 |
Investments - OTTI (Details)
Investments - OTTI (Details) $ in Millions | 3 Months Ended | |
Mar. 31, 2016USD ($)securities | Mar. 31, 2015USD ($)securities | |
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Impairment | $ 7.3 | $ 1.9 |
No. of Securities | securities | 16 | 20 |
U.S. corporate public securities | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Impairment | $ 0.1 | $ 0 |
No. of Securities | securities | 1 | 0 |
Foreign corporate public securities and foreign governments | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Impairment | $ 6.9 | $ 0.5 |
No. of Securities | securities | 1 | 1 |
Residential mortgage-backed | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Impairment | $ 0.3 | $ 1.4 |
No. of Securities | securities | 14 | 19 |
Intent related impairment | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
No. of Securities, Intent-related | securities | 2 | 3 |
Write-down related to intent impairments | $ 6.9 | $ 1 |
Intent related impairment | U.S. corporate public securities | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
No. of Securities, Intent-related | securities | 0 | 0 |
Write-down related to intent impairments | $ 0 | $ 0 |
Intent related impairment | Foreign corporate public securities and foreign governments | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
No. of Securities, Intent-related | securities | 1 | 1 |
Write-down related to intent impairments | $ 6.9 | $ 0.5 |
Intent related impairment | Residential mortgage-backed | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
No. of Securities, Intent-related | securities | 1 | 2 |
Write-down related to intent impairments | $ 0 | $ 0.5 |
Credit related impairment | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Write-downs related to credit impairments | $ 0.4 | $ 0.9 |
Investments - OTTI OCI (Details
Investments - OTTI OCI (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Other than Temporary Impairment, Recognized in Accumulated Other Comprehensive Income [Roll Forward] | ||
Balance, beginning | $ 19.3 | $ 22.4 |
Additional Credit Impairments [Abstract] | ||
On securities previously impaired | 0.3 | 0.8 |
Reductions [Abstract] | ||
Increase in cash flows | (0.1) | (0.1) |
Securities sold, matured, prepaid, or paid down | (0.4) | (1.3) |
Balance, ending | $ 19.1 | $ 21.8 |
Investments - Net Investment In
Investments - Net Investment Income (Details) - USD ($) | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
Schedule of Investment Income, Reported Amounts, by Category [Line Items] | |||
Gross investment income | $ 370,600,000 | $ 364,200,000 | |
Less: investment expense | 14,100,000 | 12,700,000 | |
Net investment income | 356,500,000 | 351,500,000 | |
Fixed maturities | |||
Schedule of Investment Income, Reported Amounts, by Category [Line Items] | |||
Gross investment income | 324,000,000 | 305,400,000 | |
Investments that did not produce net investment income | 1,100,000 | $ 1,100,000 | |
Equity securities, available-for-sale | |||
Schedule of Investment Income, Reported Amounts, by Category [Line Items] | |||
Gross investment income | 1,600,000 | 1,600,000 | |
Mortgage loans on real estate | |||
Schedule of Investment Income, Reported Amounts, by Category [Line Items] | |||
Gross investment income | 43,000,000 | 45,500,000 | |
Policy loans | |||
Schedule of Investment Income, Reported Amounts, by Category [Line Items] | |||
Gross investment income | 3,000,000 | 3,200,000 | |
Short-term investments and cash equivalents | |||
Schedule of Investment Income, Reported Amounts, by Category [Line Items] | |||
Gross investment income | 400,000 | 200,000 | |
Other | |||
Schedule of Investment Income, Reported Amounts, by Category [Line Items] | |||
Gross investment income | $ (1,400,000) | $ 8,300,000 |
Investments - Net Realized Capi
Investments - Net Realized Capital Gains (Losses) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Realized capital gains (losses) | $ (57.6) | $ (30.5) |
After-tax net realized capital gains (losses), after tax | (37.4) | (19.8) |
Proceeds from sale of investments | ||
Proceeds on sales | 692.7 | 162.5 |
Gross gains | 3.9 | 1.5 |
Gross losses | 37.8 | 3.7 |
Derivatives | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Realized capital gains (losses) | 62.9 | 31.8 |
Fixed maturities | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Realized capital gains (losses) | 0.9 | (0.2) |
Product guarantees | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Realized capital gains (losses) | (62.8) | (45.5) |
Other investments | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Realized capital gains (losses) | (0.1) | 0.1 |
Fixed maturities, available-for-sale, including securities pledged | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Realized capital gains (losses) | (41.2) | (2.8) |
Fixed maturities, at fair value using the fair value option | ||
Available-for-sale Securities Including Securities Pledged [Line Items] | ||
Realized capital gains (losses) | $ (17.3) | $ (13.9) |
Derivative Financial Instrume45
Derivative Financial Instruments - Notional and Fair Values (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 |
Derivatives, Fair Value [Line Items] | ||
Derivative assets | $ 683.3 | $ 473.7 |
Derivatives liabilities | 490.8 | 227.9 |
Fixed maturities | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 24.3 | 23.4 |
Derivatives liabilities | 0 | 0 |
Within annuity products | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 0 | 0 |
Derivatives liabilities | 245 | 184.1 |
Reinsurance agreements | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 0 | 0 |
Derivatives liabilities | (32.3) | (71.6) |
Interest rate contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivatives, Notional Amount | 26,192.1 | 22,965.5 |
Foreign exchange contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivatives, Notional Amount | 197.2 | 195.8 |
Equity contract | ||
Derivatives, Fair Value [Line Items] | ||
Derivatives, Notional Amount | 99 | |
Credit contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivatives, Notional Amount | 407.5 | 407.5 |
Designated as Hedging Instrument | Interest rate contracts | Cash flow hedges | ||
Derivatives, Fair Value [Line Items] | ||
Derivatives, Notional Amount | 222.8 | 285.3 |
Designated as Hedging Instrument | Interest rate contracts | Derivatives | Cash flow hedges | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 57.5 | 60.1 |
Derivatives liabilities | 0 | 0 |
Designated as Hedging Instrument | Foreign exchange contracts | Cash flow hedges | ||
Derivatives, Fair Value [Line Items] | ||
Derivatives, Notional Amount | 51.2 | 51.2 |
Designated as Hedging Instrument | Foreign exchange contracts | Derivatives | Cash flow hedges | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 8.2 | 10.7 |
Derivatives liabilities | 0 | 0 |
Not Designated as Hedging Instrument | Interest rate contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivatives, Notional Amount | 28,168 | 25,309.1 |
Not Designated as Hedging Instrument | Interest rate contracts | Derivatives | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 578.7 | 362.3 |
Derivatives liabilities | 266.4 | 104 |
Not Designated as Hedging Instrument | Foreign exchange contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivatives, Notional Amount | 146 | 144.6 |
Not Designated as Hedging Instrument | Foreign exchange contracts | Derivatives | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 9.9 | 13.9 |
Derivatives liabilities | 8.7 | 10.7 |
Not Designated as Hedging Instrument | Equity contract | ||
Derivatives, Fair Value [Line Items] | ||
Derivatives, Notional Amount | 99 | 15.9 |
Not Designated as Hedging Instrument | Equity contract | Derivatives | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 1.6 | 0 |
Derivatives liabilities | 0 | 0.1 |
Not Designated as Hedging Instrument | Credit contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivatives, Notional Amount | 407.5 | 407.5 |
Not Designated as Hedging Instrument | Credit contracts | Derivatives | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 3.1 | 3.3 |
Derivatives liabilities | 0.3 | 0.3 |
Not Designated as Hedging Instrument | Managed custody guarantees | Derivatives | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | 0 | 0 |
Derivatives liabilities | $ 2.7 | $ 0.3 |
Derivative Financial Instrume46
Derivative Financial Instruments - Offsetting Assets and Liabilities (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 |
Offsetting Assets and liabilities [Line Items] | ||
Asset Fair Value | $ 659 | $ 450.3 |
Liability Fair Value | 274.7 | 114.4 |
Counterparty netting, Assets | (263.2) | (111.7) |
Counterparty netting, Liabilities | (263.2) | (111.7) |
Cash collateral netting, Assets | (361) | (298) |
Cash collateral netting, Liabilities | (3.4) | (0.3) |
Securities collateral netting, Assets | (11.3) | (11) |
Securities collateral netting, Liabilities | (6.9) | (2.4) |
Net receivables | 23.5 | 29.6 |
Net payables | 1.2 | 0 |
Interest rate contracts | ||
Offsetting Assets and liabilities [Line Items] | ||
Notional Amount | 26,192.1 | 22,965.5 |
Asset Fair Value | 636.2 | 422.4 |
Liability Fair Value | 265.7 | 103.4 |
Foreign exchange contracts | ||
Offsetting Assets and liabilities [Line Items] | ||
Notional Amount | 197.2 | 195.8 |
Asset Fair Value | 18.1 | 24.6 |
Liability Fair Value | 8.7 | 10.7 |
Equity contract | ||
Offsetting Assets and liabilities [Line Items] | ||
Notional Amount | 99 | |
Asset Fair Value | 1.6 | |
Liability Fair Value | 0 | |
Credit contracts | ||
Offsetting Assets and liabilities [Line Items] | ||
Notional Amount | 407.5 | 407.5 |
Asset Fair Value | 3.1 | 3.3 |
Liability Fair Value | $ 0.3 | $ 0.3 |
Derivative Financial Instrume47
Derivative Financial Instruments - Net Realized Gains (Losses) (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
Derivatives, Fair Value [Line Items] | |||
Cash collateral held for securities loan agreement | $ 11.4 | $ 11.1 | |
Net realized gains (losses) on derivatives | (38.3) | $ (28) | |
Other Net Realized Capital Gains (Losses) | Within fixed maturity investments | |||
Derivatives, Fair Value [Line Items] | |||
Net realized gains (losses) on derivatives | 0.9 | (0.2) | |
Other Net Realized Capital Gains (Losses) | Within annuity products | |||
Derivatives, Fair Value [Line Items] | |||
Net realized gains (losses) on derivatives | (60.4) | (44.7) | |
Other Net Realized Capital Gains (Losses) | Designated as Hedging Instrument | Interest rate contracts | Cash flow hedges | |||
Derivatives, Fair Value [Line Items] | |||
Net realized gains (losses) on derivatives | 0.2 | 0.1 | |
Other Net Realized Capital Gains (Losses) | Designated as Hedging Instrument | Foreign exchange contracts | Cash flow hedges | |||
Derivatives, Fair Value [Line Items] | |||
Net realized gains (losses) on derivatives | 0.2 | 0.1 | |
Other Net Realized Capital Gains (Losses) | Not Designated as Hedging Instrument | Interest rate contracts | |||
Derivatives, Fair Value [Line Items] | |||
Net realized gains (losses) on derivatives | 64.5 | 29.5 | |
Other Net Realized Capital Gains (Losses) | Not Designated as Hedging Instrument | Foreign exchange contracts | |||
Derivatives, Fair Value [Line Items] | |||
Net realized gains (losses) on derivatives | (2.2) | 1.1 | |
Other Net Realized Capital Gains (Losses) | Not Designated as Hedging Instrument | Equity contract | |||
Derivatives, Fair Value [Line Items] | |||
Net realized gains (losses) on derivatives | (0.4) | 0.6 | |
Other Net Realized Capital Gains (Losses) | Not Designated as Hedging Instrument | Credit contracts | |||
Derivatives, Fair Value [Line Items] | |||
Net realized gains (losses) on derivatives | 0.6 | 0.4 | |
Other Net Realized Capital Gains (Losses) | Not Designated as Hedging Instrument | Managed custody guarantees | |||
Derivatives, Fair Value [Line Items] | |||
Net realized gains (losses) on derivatives | (2.4) | (0.8) | |
Interest Credited and Other Benefits to Contract Owners | Reinsurance agreements | |||
Derivatives, Fair Value [Line Items] | |||
Net realized gains (losses) on derivatives | $ (39.3) | $ (14.1) |
Derivative Financial Instrume48
Derivative Financial Instruments - Credit Default Swaps (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Derivatives, Fair Value [Line Items] | ||
Cash collateral held for securities loan agreement | $ 11.4 | $ 11.1 |
Asset Fair Value | 683.3 | 473.7 |
Liability Fair Value | 490.8 | 227.9 |
Credit contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivatives, Notional Amount | 407.5 | 407.5 |
Credit contracts | Not Designated as Hedging Instrument | ||
Derivatives, Fair Value [Line Items] | ||
Derivatives, Notional Amount | 407.5 | 407.5 |
Maximum potential future net exposure on sale of credit default swaps | $ 384 | $ 384 |
Maturity period of derivative | 5 years | 5 years |
Credit contracts | Not Designated as Hedging Instrument | Derivatives | ||
Derivatives, Fair Value [Line Items] | ||
Asset Fair Value | $ 3.1 | $ 3.3 |
Liability Fair Value | 0.3 | 0.3 |
Fixed maturities | ||
Derivatives, Fair Value [Line Items] | ||
Securities delivered as collateral | 177.9 | 70.3 |
Over the Counter [Member] | Payables under securities loan agreement, including collateral held | ||
Derivatives, Fair Value [Line Items] | ||
Cash collateral held for securities loan agreement | 109.1 | 120.3 |
Exchange Cleared [Member] | Payables under securities loan agreement, including collateral held | ||
Derivatives, Fair Value [Line Items] | ||
Cash collateral held for securities loan agreement | $ 249.2 | $ 179.5 |
Fair Value Measurements - Fair
Fair Value Measurements - Fair Value Measurement (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 |
Assets: | ||
Equity securities, available-for-sale | $ 82.9 | $ 131.3 |
Derivatives | 659 | 450.3 |
Liabilities: | ||
Derivatives | 275.4 | 115.1 |
Fixed maturities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 23,406.5 | 22,258.8 |
U.S. Treasuries | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 805.5 | 721.4 |
U.S. government agencies and authorities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 4.3 | 4.3 |
State, municipalities and political subdivisions | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 658.8 | 595.8 |
U.S. corporate public securities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 9,992.2 | 9,600.5 |
U.S. corporate private securities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 2,381.7 | 2,359.9 |
Foreign corporate public securities and foreign governments | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 2,851.8 | 2,812.2 |
Foreign corporate private securities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 2,829.9 | 2,711.4 |
Residential mortgage-backed | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 2,272.7 | 1,929.2 |
Commercial mortgage-backed | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 1,355.5 | 1,274.9 |
Equity securities | ||
Assets: | ||
Equity securities, available-for-sale | 82.9 | 131.3 |
Assets measured on recurring basis | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 23,406.5 | 22,258.8 |
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreement | 1,317.6 | 902.6 |
Assets held in separate accounts | 59,113.1 | 58,910.6 |
Total assets, fair value | 84,579.1 | 82,653.6 |
Liabilities: | ||
Total liabilities, fair value | 490.8 | 227.9 |
Assets measured on recurring basis | Reinsurance agreements | ||
Liabilities: | ||
Embedded derivative on reinsurance | (32.3) | (71.6) |
Assets measured on recurring basis | Stabilizer and MCGs | ||
Liabilities: | ||
Product guarantees | 226 | 161.3 |
Assets measured on recurring basis | FIA | ||
Liabilities: | ||
Product guarantees | 21.7 | 23.1 |
Assets measured on recurring basis | Interest rate contracts | ||
Assets: | ||
Derivatives | 636.2 | 422.4 |
Liabilities: | ||
Derivatives | 266.4 | 104 |
Assets measured on recurring basis | Foreign exchange contracts | ||
Assets: | ||
Derivatives | 18.1 | 24.6 |
Liabilities: | ||
Derivatives | 8.7 | 10.7 |
Assets measured on recurring basis | Equity contract | ||
Assets: | ||
Derivatives | 1.6 | 0 |
Liabilities: | ||
Derivatives | 0 | 0.1 |
Assets measured on recurring basis | Credit contracts | ||
Assets: | ||
Derivatives | 3.1 | 3.3 |
Liabilities: | ||
Derivatives | 0.3 | 0.3 |
Assets measured on recurring basis | U.S. Treasuries | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 805.5 | 721.4 |
Assets measured on recurring basis | U.S. government agencies and authorities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 4.3 | 4.3 |
Assets measured on recurring basis | State, municipalities and political subdivisions | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 658.8 | 595.8 |
Assets measured on recurring basis | U.S. corporate public securities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 9,992.2 | 9,600.5 |
Assets measured on recurring basis | U.S. corporate private securities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 2,381.7 | 2,359.9 |
Assets measured on recurring basis | Foreign corporate public securities and foreign governments | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 2,851.8 | 2,812.2 |
Assets measured on recurring basis | Foreign corporate private securities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 2,829.9 | 2,711.4 |
Assets measured on recurring basis | Residential mortgage-backed | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 2,272.7 | 1,929.2 |
Assets measured on recurring basis | Commercial mortgage-backed | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 1,355.5 | 1,274.9 |
Assets measured on recurring basis | Other asset-backed Securities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 254.1 | 249.2 |
Assets measured on recurring basis | Equity securities | ||
Assets: | ||
Equity securities, available-for-sale | 82.9 | 131.3 |
Assets measured on recurring basis | Level 1 | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 741.2 | 660.4 |
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreement | 1,317.6 | 902.6 |
Assets held in separate accounts | 54,241.4 | 54,283 |
Total assets, fair value | 56,334.9 | 55,929.8 |
Liabilities: | ||
Total liabilities, fair value | 0.7 | 0.7 |
Assets measured on recurring basis | Level 1 | Reinsurance agreements | ||
Liabilities: | ||
Embedded derivative on reinsurance | 0 | 0 |
Assets measured on recurring basis | Level 1 | Stabilizer and MCGs | ||
Liabilities: | ||
Product guarantees | 0 | 0 |
Assets measured on recurring basis | Level 1 | FIA | ||
Liabilities: | ||
Product guarantees | 0 | 0 |
Assets measured on recurring basis | Level 1 | Interest rate contracts | ||
Assets: | ||
Derivatives | 0 | 0 |
Liabilities: | ||
Derivatives | 0.7 | 0.6 |
Assets measured on recurring basis | Level 1 | Foreign exchange contracts | ||
Assets: | ||
Derivatives | 0 | 0 |
Liabilities: | ||
Derivatives | 0 | 0 |
Assets measured on recurring basis | Level 1 | Equity contract | ||
Assets: | ||
Derivatives | 0 | 0 |
Liabilities: | ||
Derivatives | 0 | 0.1 |
Assets measured on recurring basis | Level 1 | Credit contracts | ||
Assets: | ||
Derivatives | 0 | 0 |
Liabilities: | ||
Derivatives | 0 | 0 |
Assets measured on recurring basis | Level 1 | U.S. Treasuries | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 741.2 | 660.4 |
Assets measured on recurring basis | Level 1 | U.S. government agencies and authorities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 0 | 0 |
Assets measured on recurring basis | Level 1 | State, municipalities and political subdivisions | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 0 | 0 |
Assets measured on recurring basis | Level 1 | U.S. corporate public securities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 0 | 0 |
Assets measured on recurring basis | Level 1 | U.S. corporate private securities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 0 | 0 |
Assets measured on recurring basis | Level 1 | Foreign corporate public securities and foreign governments | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 0 | 0 |
Assets measured on recurring basis | Level 1 | Foreign corporate private securities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 0 | 0 |
Assets measured on recurring basis | Level 1 | Residential mortgage-backed | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 0 | 0 |
Assets measured on recurring basis | Level 1 | Commercial mortgage-backed | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 0 | 0 |
Assets measured on recurring basis | Level 1 | Other asset-backed Securities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 0 | 0 |
Assets measured on recurring basis | Level 1 | Equity securities | ||
Assets: | ||
Equity securities, available-for-sale | 34.7 | 83.8 |
Assets measured on recurring basis | Level 2 | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 22,050.4 | 20,987.2 |
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreement | 0 | 0 |
Assets held in separate accounts | 4,870.5 | 4,623.6 |
Total assets, fair value | 27,579.9 | 26,061.1 |
Liabilities: | ||
Total liabilities, fair value | 242.4 | 42.8 |
Assets measured on recurring basis | Level 2 | Reinsurance agreements | ||
Liabilities: | ||
Embedded derivative on reinsurance | (32.3) | (71.6) |
Assets measured on recurring basis | Level 2 | Stabilizer and MCGs | ||
Liabilities: | ||
Product guarantees | 0 | 0 |
Assets measured on recurring basis | Level 2 | FIA | ||
Liabilities: | ||
Product guarantees | 0 | 0 |
Assets measured on recurring basis | Level 2 | Interest rate contracts | ||
Assets: | ||
Derivatives | 636.2 | 422.4 |
Liabilities: | ||
Derivatives | 265.7 | 103.4 |
Assets measured on recurring basis | Level 2 | Foreign exchange contracts | ||
Assets: | ||
Derivatives | 18.1 | 24.6 |
Liabilities: | ||
Derivatives | 8.7 | 10.7 |
Assets measured on recurring basis | Level 2 | Equity contract | ||
Assets: | ||
Derivatives | 1.6 | 0 |
Liabilities: | ||
Derivatives | 0 | 0 |
Assets measured on recurring basis | Level 2 | Credit contracts | ||
Assets: | ||
Derivatives | 3.1 | 3.3 |
Liabilities: | ||
Derivatives | 0.3 | 0.3 |
Assets measured on recurring basis | Level 2 | U.S. Treasuries | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 64.3 | 61 |
Assets measured on recurring basis | Level 2 | U.S. government agencies and authorities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 4.3 | 4.3 |
Assets measured on recurring basis | Level 2 | State, municipalities and political subdivisions | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 658.8 | 595.8 |
Assets measured on recurring basis | Level 2 | U.S. corporate public securities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 9,990.5 | 9,598.2 |
Assets measured on recurring basis | Level 2 | U.S. corporate private securities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 1,988.2 | 1,963.5 |
Assets measured on recurring basis | Level 2 | Foreign corporate public securities and foreign governments | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 2,851.3 | 2,811.7 |
Assets measured on recurring basis | Level 2 | Foreign corporate private securities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 2,650.3 | 2,553.3 |
Assets measured on recurring basis | Level 2 | Residential mortgage-backed | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 2,245.8 | 1,901 |
Assets measured on recurring basis | Level 2 | Commercial mortgage-backed | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 1,355.4 | 1,262.3 |
Assets measured on recurring basis | Level 2 | Other asset-backed Securities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 241.5 | 236.1 |
Assets measured on recurring basis | Level 2 | Equity securities | ||
Assets: | ||
Equity securities, available-for-sale | 0 | 0 |
Assets measured on recurring basis | Level 3 | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 614.9 | 611.2 |
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreement | 0 | 0 |
Assets held in separate accounts | 1.2 | 4 |
Total assets, fair value | 664.3 | 662.7 |
Liabilities: | ||
Total liabilities, fair value | 247.7 | 184.4 |
Assets measured on recurring basis | Level 3 | Reinsurance agreements | ||
Liabilities: | ||
Embedded derivative on reinsurance | 0 | 0 |
Assets measured on recurring basis | Level 3 | Stabilizer and MCGs | ||
Liabilities: | ||
Product guarantees | 226 | 161.3 |
Assets measured on recurring basis | Level 3 | FIA | ||
Liabilities: | ||
Product guarantees | 21.7 | 23.1 |
Assets measured on recurring basis | Level 3 | Interest rate contracts | ||
Assets: | ||
Derivatives | 0 | 0 |
Liabilities: | ||
Derivatives | 0 | 0 |
Assets measured on recurring basis | Level 3 | Foreign exchange contracts | ||
Assets: | ||
Derivatives | 0 | 0 |
Liabilities: | ||
Derivatives | 0 | 0 |
Assets measured on recurring basis | Level 3 | Equity contract | ||
Assets: | ||
Derivatives | 0 | 0 |
Liabilities: | ||
Derivatives | 0 | 0 |
Assets measured on recurring basis | Level 3 | Credit contracts | ||
Assets: | ||
Derivatives | 0 | 0 |
Liabilities: | ||
Derivatives | 0 | 0 |
Assets measured on recurring basis | Level 3 | U.S. Treasuries | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 0 | 0 |
Assets measured on recurring basis | Level 3 | U.S. government agencies and authorities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 0 | 0 |
Assets measured on recurring basis | Level 3 | State, municipalities and political subdivisions | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 0 | 0 |
Assets measured on recurring basis | Level 3 | U.S. corporate public securities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 1.7 | 2.3 |
Assets measured on recurring basis | Level 3 | U.S. corporate private securities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 393.5 | 396.4 |
Assets measured on recurring basis | Level 3 | Foreign corporate public securities and foreign governments | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 0.5 | 0.5 |
Assets measured on recurring basis | Level 3 | Foreign corporate private securities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 179.6 | 158.1 |
Assets measured on recurring basis | Level 3 | Residential mortgage-backed | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 26.9 | 28.2 |
Assets measured on recurring basis | Level 3 | Commercial mortgage-backed | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 0.1 | 12.6 |
Assets measured on recurring basis | Level 3 | Other asset-backed Securities | ||
Assets: | ||
Fixed maturities, including securities pledged, Fair Value | 12.6 | 13.1 |
Assets measured on recurring basis | Level 3 | Equity securities | ||
Assets: | ||
Equity securities, available-for-sale | $ 48.2 | $ 47.5 |
Fair Value Measurements - Level
Fair Value Measurements - Level 3 Financial Instruments (Details) - Assets measured on recurring basis - Level 3 - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Separate Accounts | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Fair Value, Equity securities, available-for-sale, beginning balance | $ 4 | $ 2.4 |
Total Realized/Unrealized Gains (Losses) Included in Net Income | 0 | 0 |
Total Realized/Unrealized Gains (Losses) Included in OCI | 0 | 0 |
Purchases | 0 | 0 |
Issuances | 0 | 0 |
Sales | 0 | 0 |
Settlements | 0 | 0 |
Transfers in to Level 3 | 0 | 0 |
Transfers out of Level 3 | (2.8) | (1.7) |
Fair Value, Equity securities, available-for-sale, ending balance | 1.2 | 0.7 |
Change in Unrealized Gains (Losses) Included in Earnings | 0 | 0 |
U.S. corporate public securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Fair Value, Fixed maturities, including securities pledged, beginning balance | 2.3 | 50.3 |
Total Realized/Unrealized Gains (Losses) Included in Net Income | 0 | 0 |
Total Realized/Unrealized Gains (Losses) Included in OCI | (0.1) | 1.8 |
Purchases | 0 | 23.6 |
Issuances | 0 | 0 |
Sales | 0 | 0 |
Settlements | (0.5) | (1.1) |
Transfers in to Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Fair Value, Fixed maturities, including securities pledged, ending balance | 1.7 | 74.6 |
Change in Unrealized Gains (Losses) Included in Earnings | 0 | 0 |
U.S. corporate private securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Fair Value, Fixed maturities, including securities pledged, beginning balance | 396.4 | 324.5 |
Total Realized/Unrealized Gains (Losses) Included in Net Income | (0.1) | 0 |
Total Realized/Unrealized Gains (Losses) Included in OCI | 8.3 | 0.7 |
Purchases | 0.2 | 23.5 |
Issuances | 0 | 0 |
Sales | (17.5) | 0 |
Settlements | (31.4) | (36.8) |
Transfers in to Level 3 | (44.2) | 0 |
Transfers out of Level 3 | (6.6) | 0 |
Fair Value, Fixed maturities, including securities pledged, ending balance | 393.5 | 311.9 |
Change in Unrealized Gains (Losses) Included in Earnings | (0.1) | 0 |
Foreign corporate public securities and foreign governments | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Fair Value, Fixed maturities, including securities pledged, beginning balance | 0.5 | 0 |
Total Realized/Unrealized Gains (Losses) Included in Net Income | 0 | 0 |
Total Realized/Unrealized Gains (Losses) Included in OCI | 0 | 0 |
Purchases | 0 | 1.2 |
Issuances | 0 | 0 |
Sales | 0 | 0 |
Settlements | 0 | 0 |
Transfers in to Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Fair Value, Fixed maturities, including securities pledged, ending balance | 0.5 | 1.2 |
Change in Unrealized Gains (Losses) Included in Earnings | 0 | 0 |
Foreign corporate private securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Fair Value, Fixed maturities, including securities pledged, beginning balance | 158.1 | 165.7 |
Total Realized/Unrealized Gains (Losses) Included in Net Income | 0.1 | 0.2 |
Total Realized/Unrealized Gains (Losses) Included in OCI | 4.3 | 1.4 |
Purchases | 0 | 1.8 |
Issuances | 0 | 0 |
Sales | (0.1) | 0 |
Settlements | (7.7) | (4) |
Transfers in to Level 3 | (29.7) | (16.1) |
Transfers out of Level 3 | (4.8) | 0 |
Fair Value, Fixed maturities, including securities pledged, ending balance | 179.6 | 181.2 |
Change in Unrealized Gains (Losses) Included in Earnings | 0.1 | 0 |
Residential mortgage-backed | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Fair Value, Fixed maturities, including securities pledged, beginning balance | 28.2 | 17.3 |
Total Realized/Unrealized Gains (Losses) Included in Net Income | (1.3) | (0.6) |
Total Realized/Unrealized Gains (Losses) Included in OCI | 0 | (0.4) |
Purchases | 0 | 0 |
Issuances | 0 | 0 |
Sales | 0 | 0 |
Settlements | 0 | 0 |
Transfers in to Level 3 | 0 | (6.7) |
Transfers out of Level 3 | 0 | 0 |
Fair Value, Fixed maturities, including securities pledged, ending balance | 26.9 | 23 |
Change in Unrealized Gains (Losses) Included in Earnings | (1.3) | (0.6) |
Commercial mortgage-backed | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Fair Value, Fixed maturities, including securities pledged, beginning balance | 12.6 | 19 |
Total Realized/Unrealized Gains (Losses) Included in Net Income | 0 | 0 |
Total Realized/Unrealized Gains (Losses) Included in OCI | 0 | 0 |
Purchases | 0.1 | 0 |
Issuances | 0 | 0 |
Sales | 0 | 0 |
Settlements | 0 | 0 |
Transfers in to Level 3 | 0 | 0 |
Transfers out of Level 3 | (12.6) | (19) |
Fair Value, Fixed maturities, including securities pledged, ending balance | 0.1 | 0 |
Change in Unrealized Gains (Losses) Included in Earnings | 0 | 0 |
Other asset-backed Securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Fair Value, Fixed maturities, including securities pledged, beginning balance | 13.1 | 2.4 |
Total Realized/Unrealized Gains (Losses) Included in Net Income | 0 | 0 |
Total Realized/Unrealized Gains (Losses) Included in OCI | (0.2) | 0 |
Purchases | 0 | 0 |
Issuances | 0 | 0 |
Sales | 0 | 0 |
Settlements | (0.3) | (0.3) |
Transfers in to Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Fair Value, Fixed maturities, including securities pledged, ending balance | 12.6 | 2.1 |
Change in Unrealized Gains (Losses) Included in Earnings | 0 | 0 |
Fixed maturities, available-for-sale, including securities pledged | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Fair Value, Fixed maturities, including securities pledged, beginning balance | 611.2 | 579.2 |
Total Realized/Unrealized Gains (Losses) Included in Net Income | (1.3) | (0.4) |
Total Realized/Unrealized Gains (Losses) Included in OCI | 12.3 | 3.5 |
Purchases | 0.3 | 50.1 |
Issuances | 0 | 0 |
Sales | (17.6) | 0 |
Settlements | (39.9) | (42.2) |
Transfers in to Level 3 | (73.9) | (22.8) |
Transfers out of Level 3 | (24) | (19) |
Fair Value, Fixed maturities, including securities pledged, ending balance | 614.9 | 594 |
Change in Unrealized Gains (Losses) Included in Earnings | (1.3) | (0.6) |
Equity securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Fair Value, Equity securities, available-for-sale, beginning balance | 47.5 | 36.6 |
Total Realized/Unrealized Gains (Losses) Included in Net Income | 0 | 0 |
Total Realized/Unrealized Gains (Losses) Included in OCI | 0.7 | 1.4 |
Purchases | 0 | 0 |
Issuances | 0 | 0 |
Sales | 0 | 0 |
Settlements | 0 | 0 |
Transfers in to Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Fair Value, Equity securities, available-for-sale, ending balance | 48.2 | 38 |
Change in Unrealized Gains (Losses) Included in Earnings | 0 | 0 |
Short-term investments and cash equivalents | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Fair Value, Fixed maturities, including securities pledged, beginning balance | 0 | 1.5 |
Total Realized/Unrealized Gains (Losses) Included in Net Income | 0 | 0 |
Total Realized/Unrealized Gains (Losses) Included in OCI | 0 | 0 |
Purchases | 0 | 0 |
Issuances | 0 | 0 |
Sales | 0 | 0 |
Settlements | 0 | 0 |
Transfers in to Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Fair Value, Fixed maturities, including securities pledged, ending balance | 0 | 1.5 |
Change in Unrealized Gains (Losses) Included in Earnings | 0 | 0 |
Stabilizer (Investment Only) and MCG Contracts | ||
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis with Unobservable Inputs, Change in Unrealized Gain (Loss) | 0 | 0 |
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | ||
Fair Value, Derivatives, beginning balance | (161.3) | (102.9) |
Total Realized/Unrealized Gains (Losses) Included in Net Income | (63.6) | (44.1) |
Total Realized/Unrealized Gains (Losses) Included in OCI | 0 | 0 |
Purchases | 0 | 0 |
Issues | (1.1) | (1.1) |
Sales | 0 | 0 |
Settlements | 0 | 0 |
Transfers in to Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Fair Value, Derivatives, ending balance | (226) | (148.1) |
FIA | ||
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis with Unobservable Inputs, Change in Unrealized Gain (Loss) | 0 | 0 |
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | ||
Fair Value, Derivatives, beginning balance | (23.1) | (26.3) |
Total Realized/Unrealized Gains (Losses) Included in Net Income | 0.8 | (1.4) |
Total Realized/Unrealized Gains (Losses) Included in OCI | 0 | 0 |
Purchases | 0 | 0 |
Issues | 0.1 | 0 |
Sales | 0 | 0 |
Settlements | 0.5 | 0.2 |
Transfers in to Level 3 | 0 | 0 |
Transfers out of Level 3 | 0 | 0 |
Fair Value, Derivatives, ending balance | $ (21.7) | $ (27.5) |
Fair Value Measurements - Signi
Fair Value Measurements - Significant Unobservable Inputs (Details) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Actuarial Assumptions, Lapses, threshold percentage | 93.00% | 90.00% |
Actuarial Assumptions, Policyholder Deposits, threshold percentage | 7.00% | 10.00% |
FIA | Derivative Financial Instruments, Liabilities | Market Approach Valuation Technique | Minimum | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Fair Value Inputs, Interest Rate Implied Volatility | 0.00% | 0.00% |
Fair Value Inputs, Actuarial Assumptions, Policyholder Deposits | 0.00% | 0.00% |
FIA | Derivative Financial Instruments, Liabilities | Market Approach Valuation Technique | Maximum | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Fair Value Inputs, Interest Rate Implied Volatility | 0.00% | 0.00% |
Fair Value Inputs, Actuarial Assumptions, Policyholder Deposits | 0.00% | 0.00% |
FIA | Investment Contracts [Member] | Market Approach Valuation Technique | Minimum | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Fair Value Inputs, Actuarial Assumptions, Lapses | 0.00% | 0.00% |
Fair Value Inputs, Nonperformance Risk | 0.23% | 0.23% |
Fair Value Input, Actual Assumption, Partial Withdrawal | 0.40% | 0.40% |
FIA | Investment Contracts [Member] | Market Approach Valuation Technique | Maximum | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Fair Value Inputs, Actuarial Assumptions, Lapses | 45.00% | 45.00% |
Fair Value Inputs, Nonperformance Risk | 1.60% | 1.30% |
Fair Value Input, Actual Assumption, Partial Withdrawal | 3.20% | 3.20% |
Stabilizer Products and Managed Custody Guarantee (MCG) Products [Member] | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Percentage of Plans | 100.00% | 100.00% |
Stabilizer Products and Managed Custody Guarantee (MCG) Products [Member] | Derivative Financial Instruments, Liabilities | Market Approach Valuation Technique | Minimum | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Fair Value Inputs, Actuarial Assumptions, Lapses | 0.00% | 0.00% |
Fair Value Inputs, Nonperformance Risk | 0.23% | 0.23% |
Fair Value Input, Actual Assumption, Partial Withdrawal | 0.00% | 0.00% |
Fair Value Inputs, Interest Rate Implied Volatility | 0.20% | 0.10% |
Actuarial Assumptions, Lapses under percent threshold | 0.00% | 0.00% |
Actuarial Assumptions, Policyholder Deposits under percent threshold | 0.00% | 0.00% |
Fair Value Inputs, Actuarial Assumptions, Policyholder Deposits | 0.00% | 0.00% |
Stabilizer Products and Managed Custody Guarantee (MCG) Products [Member] | Derivative Financial Instruments, Liabilities | Market Approach Valuation Technique | Maximum | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Fair Value Inputs, Actuarial Assumptions, Lapses | 50.00% | 50.00% |
Fair Value Inputs, Nonperformance Risk | 1.60% | 1.30% |
Fair Value Input, Actual Assumption, Partial Withdrawal | 0.00% | 0.00% |
Fair Value Inputs, Interest Rate Implied Volatility | 7.70% | 7.30% |
Actuarial Assumptions, Lapses under percent threshold | 30.00% | 30.00% |
Actuarial Assumptions, Policyholder Deposits under percent threshold | 25.00% | 25.00% |
Fair Value Inputs, Actuarial Assumptions, Policyholder Deposits | 50.00% | 50.00% |
Stabilizer (Investment Only) and MCG Contracts | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Percentage of Plans | 93.00% | 90.00% |
Stabilizer (Investment Only) and MCG Contracts | Derivative Financial Instruments, Liabilities | Market Approach Valuation Technique | Minimum | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Fair Value Inputs, Actuarial Assumptions, Lapses | 0.00% | 0.00% |
Actuarial Assumptions, Lapses under percent threshold | 0.00% | 0.00% |
Actuarial Assumptions, Policyholder Deposits under percent threshold | 0.00% | 0.00% |
Fair Value Inputs, Actuarial Assumptions, Policyholder Deposits | 0.00% | 0.00% |
Stabilizer (Investment Only) and MCG Contracts | Derivative Financial Instruments, Liabilities | Market Approach Valuation Technique | Maximum | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Fair Value Inputs, Actuarial Assumptions, Lapses | 25.00% | 25.00% |
Actuarial Assumptions, Lapses under percent threshold | 15.00% | 15.00% |
Actuarial Assumptions, Policyholder Deposits under percent threshold | 15.00% | 15.00% |
Fair Value Inputs, Actuarial Assumptions, Policyholder Deposits | 30.00% | 30.00% |
Stabilizer with Recordkeeping Agreements | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Percentage of Plans | 7.00% | 10.00% |
Stabilizer with Recordkeeping Agreements | Derivative Financial Instruments, Liabilities | Market Approach Valuation Technique | Minimum | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Fair Value Inputs, Actuarial Assumptions, Lapses | 0.00% | 0.00% |
Actuarial Assumptions, Lapses under percent threshold | 0.00% | 0.00% |
Actuarial Assumptions, Policyholder Deposits under percent threshold | 0.00% | 0.00% |
Fair Value Inputs, Actuarial Assumptions, Policyholder Deposits | 0.00% | 0.00% |
Stabilizer with Recordkeeping Agreements | Derivative Financial Instruments, Liabilities | Market Approach Valuation Technique | Maximum | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Fair Value Inputs, Actuarial Assumptions, Lapses | 50.00% | 50.00% |
Actuarial Assumptions, Lapses under percent threshold | 30.00% | 30.00% |
Actuarial Assumptions, Policyholder Deposits under percent threshold | 25.00% | 25.00% |
Fair Value Inputs, Actuarial Assumptions, Policyholder Deposits | 50.00% | 50.00% |
Fair Value Measurements - Other
Fair Value Measurements - Other Financial Instruments (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Investments | $ 22,788.9 | $ 22,140.9 |
Derivative assets | 659 | 450.3 |
Short-term loan to affiliate | 12 | 0 |
Derivatives liabilities | 275.4 | 115.1 |
Carrying Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreement | 1,317.6 | 902.6 |
Derivative assets | 659 | 450.3 |
Notes receivable from affiliates | 175 | 175 |
Short-term loan to affiliate | 12 | 0 |
Assets held in separate accounts | 59,113.1 | 58,910.6 |
Deposit liabilities | 194.1 | 194.8 |
Derivatives liabilities | 275.4 | 115.1 |
Long-term debt, fair value | 4.9 | 4.9 |
Carrying Value | Reinsurance agreements | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Embedded derivative on reinsurance | (32.3) | (71.6) |
Carrying Value | Funding agreements without fixed maturities and deferred annuities(1) | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Liabilities | 23,366.2 | 22,979.4 |
Carrying Value | Supplementary contracts, immediate annuities and other | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Liabilities | 408.3 | 411.8 |
Carrying Value | FIA | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Liabilities | 21.7 | 23.1 |
Carrying Value | Stabilizer and MCGs | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Liabilities | 226 | 161.3 |
Carrying Value | Mortgage loans on real estate | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Loans | 3,930 | 3,729.1 |
Carrying Value | Policy loans | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Loans | 225.2 | 229.8 |
Carrying Value | Fixed maturities, available-for-sale, including securities pledged | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Investments | 23,406.5 | 22,258.8 |
Carrying Value | Equity securities, available-for-sale | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Investments | 82.9 | 131.3 |
Fair Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreement | 1,317.6 | 902.5 |
Derivative assets | 659 | 450.3 |
Notes receivable from affiliates | 213 | 208.4 |
Short-term loan to affiliate | 12 | 0 |
Assets held in separate accounts | 59,113.1 | 58,910.6 |
Deposit liabilities | 319.5 | 194.8 |
Derivatives liabilities | 275.4 | 115.1 |
Long-term debt, fair value | 4.9 | 4.9 |
Fair Value | Reinsurance agreements | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Embedded derivative on reinsurance | (32.3) | (71.6) |
Fair Value | Funding agreements without fixed maturities and deferred annuities(1) | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Liabilities | 28,203.6 | 27,612.3 |
Fair Value | Supplementary contracts, immediate annuities and other | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Liabilities | 483.2 | 479.2 |
Fair Value | FIA | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Liabilities | 21.7 | 23.1 |
Fair Value | Stabilizer and MCGs | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Liabilities | 226 | 161.3 |
Fair Value | Mortgage loans on real estate | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Loans | 4,086 | 3,881.1 |
Fair Value | Policy loans | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Loans | 225.2 | 229.8 |
Fair Value | Fixed maturities, available-for-sale, including securities pledged | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Investments | 23,406.5 | 22,258.8 |
Fair Value | Equity securities, available-for-sale | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Investments | $ 82.9 | $ 131.3 |
Deferred Policy Acquisition C53
Deferred Policy Acquisition Costs and Value of Business Acquired (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Movement Analysis of Deferred Policy Acquisition Costs [Roll Forward] | ||
Beginning balance | $ 520.4 | $ 396.5 |
Deferrals of commissions and expenses | 18.3 | 18.7 |
Amortization: | ||
Amortization | (9.4) | (28.3) |
Interest accrued | 9.3 | 9 |
Net amortization included in the Consolidated Statements of Operations | (0.1) | (19.3) |
Change due to unrealized capital gains/losses on available-for-sale securities | (88) | 35.7 |
Ending balance | 450.6 | 360.2 |
Movement Analysis Of Value of Business Acquired VOBA [Roll Forward] | ||
Beginning balance | 708.7 | 526.8 |
Deferrals of commissions and expenses | 1.4 | 1.5 |
Amortization | (11.4) | (17.4) |
Interest accrued | 13.5 | 14.2 |
Net amortization included in the Condensed Consolidated Statements of Operations | 2.1 | (3.2) |
Change due to unrealized capital gains/losses on available-for-sale securities | (133.5) | 44.1 |
Ending balance | 578.7 | 481 |
Movement Analysis of Deferred Policy Acquisition Costs and Value of Business Acquired (VOBA) [Roll Forward] | ||
Beginning balance | 1,229.1 | 923.3 |
Deferrals of commissions and expenses | 19.7 | 20.2 |
Amortization | 20.8 | 45.7 |
Interest accrued | 22.8 | 23.2 |
Net amortization of deferred policy acquisition costs and value of business acquired | 2 | (22.5) |
Change due to unrealized capital gains/losses on available-for-sale securities | (221.5) | 79.8 |
Ending balance | $ 1,029.3 | $ 841.2 |
Minimum | ||
Movement Analysis of Deferred Policy Acquisition Costs and Value of Business Acquired (VOBA) [Roll Forward] | ||
Value of Business Acquired (VOBA), Interest accrued percentage | 5.50% | 5.50% |
Maximum | ||
Movement Analysis of Deferred Policy Acquisition Costs and Value of Business Acquired (VOBA) [Roll Forward] | ||
Value of Business Acquired (VOBA), Interest accrued percentage | 7.00% | 7.00% |
Accumulated Other Comprehensi54
Accumulated Other Comprehensive Income (Loss) - Components of AOCI (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 | Mar. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | |||
Derivatives | $ 217 | $ 219.6 | |
DAC/VOBA and sales inducements adjustment on available-for-sale securities | (418.2) | (632.3) | |
Premium deficiency reserve adjustment | (84.7) | (137.9) | |
Other | 0.1 | 0 | |
Unrealized capital gains (losses), before tax | 915.9 | 1,296.4 | |
Deferred income tax asset (liability) | (196.3) | (327.6) | |
Unrealized capital gains (losses), after tax | 719.6 | 968.8 | |
Pension and other post-employment benefits liability, net of tax | 6.5 | 8 | |
AOCI | 726.1 | $ 386.8 | 976.8 |
Fixed maturities | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Fixed maturities, net of OTTI | 1,186.6 | 1,831.1 | |
Equity securities | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Equity securities, available-for-sale | $ 15.1 | $ 15.9 |
Accumulated Other Comprehensi55
Accumulated Other Comprehensive Income (Loss) - Changes in AOCI, including Reclassification Adjustments (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Available-for-sale securities, Before-Tax Amount: | ||
Change in unrealized gains/losses on Other | $ 0.1 | $ 0 |
Adjustments for amounts recognized in Net realized capital gains (losses) in the Condensed Consolidated Statements of Operations | 41.2 | 2.8 |
DAC/VOBA and sales inducements | (221.8) | (79.9) |
Premium deficiency reserve adjustment | (18.2) | (8.1) |
Change in unrealized gains/losses on available-for-sale securities | 509.2 | 190.7 |
Available-for-sale securities, Income Tax: | ||
Change in unrealized gains/losses on Other | 0 | 0 |
Adjustments for amounts recognized in Net realized capital gains (losses) in the Condensed Consolidated Statements of Operations | (14.4) | (1) |
DAC/VOBA and sales inducements | 77.6 | 28 |
Premium deficiency reserve adjustment | 6.4 | 2.8 |
Change in unrealized gains/losses on available-for-sale securities | (175.2) | (66.1) |
Available-for-sale securities, After-Tax Amount: | ||
Change in unrealized gains/losses on Other | 0.1 | 0 |
Adjustments for amounts recognized in Net realized capital gains (losses) in the Condensed Consolidated Statements of Operations | 26.8 | 1.8 |
DAC/VOBA and sales inducements | (144.2) | (51.9) |
Premium deficiency reserve adjustment | (11.8) | (5.3) |
Change in unrealized gains/losses on available-for-sale securities | 334 | 124.6 |
OTTI: | ||
Other-than-temporary impairments | 0.4 | 1.2 |
Change in OTTI, Income Tax | (0.1) | (0.4) |
Change in OTTI, After-Tax Amount | 0.3 | 0.8 |
Derivatives, Before-Tax Amount: | ||
Change in unrealized capital gains/losses arising during the period, Before-Tax Amount | 12.9 | 20.9 |
Adjustments for amounts recognized in Net investment income in the Condensed Consolidated Statements of Operations | (4.2) | (3.9) |
Change in unrealized gains/losses on derivatives | 8.7 | 17 |
Derivatives, Income Tax: | ||
Change in unrealized capital gains/losses arising during the period, Income Tax | (4.5) | (7.3) |
Adjustments for amounts recognized in Net investment income in the Condensed Consolidated Statements of Operations | 1.5 | 1.4 |
Change in unrealized gains/losses on derivatives | (3) | (5.9) |
Derivatives, After-Tax Amount: | ||
Change in unrealized capital gains/losses arising during the period, After-Tax Amount | 8.4 | 13.6 |
Adjustments for amounts recognized in Net investment income in the Condensed Consolidated Statements of Operations | (2.7) | (2.5) |
Change in unrealized gains/losses on derivatives | 5.7 | 11.1 |
Pension and other post-employment benefit liability, Before-Tax Amount: | ||
Amortization of prior service cost recognized in Operating expenses in the Condensed Consolidated Statements of Operations | (0.6) | (0.6) |
Change in pension and other post-employment benefit liability | (0.6) | (0.6) |
Other comprehensive income (loss), before tax | 517.3 | 207.1 |
Pension and other post-employment benefit liability, Income Tax: | ||
Amortization of prior service cost recognized in Operating expenses in the Condensed Consolidated Statements of Operations | 0.2 | 0.2 |
Change in pension and other post-employment benefit liability | 0.2 | 0.2 |
Other comprehensive income (loss) | (178) | (71.8) |
Pension and other post-employment benefit liability, After-Tax Amount: | ||
Amortization of prior service cost recognized in Operating expenses in the Condensed Consolidated Statements of Operations | (0.4) | (0.4) |
Change in pension and other post-employment benefit liability | (0.4) | (0.4) |
Other comprehensive income (loss), after tax | 339.3 | 135.3 |
Fixed maturities | ||
Available-for-sale securities, Before-Tax Amount: | ||
Change in unrealized gains/losses on securities | 707 | 273.3 |
Available-for-sale securities, Income Tax: | ||
Change in unrealized gains/losses on securities | (244.5) | (95) |
Available-for-sale securities, After-Tax Amount: | ||
Change in unrealized gains/losses on securities | 462.5 | 178.3 |
Equity securities | ||
Available-for-sale securities, Before-Tax Amount: | ||
Change in unrealized gains/losses on securities | 0.5 | 1.4 |
Available-for-sale securities, Income Tax: | ||
Change in unrealized gains/losses on securities | (0.2) | (0.5) |
Available-for-sale securities, After-Tax Amount: | ||
Change in unrealized gains/losses on securities | $ 0.3 | $ 0.9 |
Income Taxes (Details)
Income Taxes (Details) | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Income Tax Disclosure [Abstract] | ||
Effective tax rate | 22.70% | 27.70% |
Statutory tax rate | 35.00% | 35.00% |
Financing Agreements (Details)
Financing Agreements (Details) - USD ($) $ in Millions | 3 Months Ended | |||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | Jun. 01, 2001 | |
Short-term Debt [Line Items] | ||||
Outstanding receivables from Voya Financial, Inc. | $ 12 | $ 0 | ||
Outstanding payables to Voya Financial, Inc. | 76.7 | 132.2 | ||
Affiliated Entity | Voya Financial, Inc. | Reciprocal Loan Agreement | ||||
Short-term Debt [Line Items] | ||||
Line of credit, maximum borrowing capacity, as a percent | 3.00% | |||
Interest income earned on reciprocal loan | 0.2 | $ 0.2 | ||
Outstanding receivables from Voya Financial, Inc. | 12 | |||
Outstanding payables to Voya Financial, Inc. | $ 0 | |||
Outstanding receivable/payable from/to Voya Financial, Inc. | $ 0 |
Commitments and Contingencies58
Commitments and Contingencies (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Acquisition of mortgage loans | ||
Loss Contingencies [Line Items] | ||
Amount of purchase commitment | $ 174.6 | $ 221 |
Purchase of limited partnerships and private placement investments | ||
Loss Contingencies [Line Items] | ||
Amount of purchase commitment | $ 500.2 | $ 330.4 |
Commitments and Contingencies -
Commitments and Contingencies - Restricted Assets (Details) - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 |
Loss Contingencies [Line Items] | ||
Other fixed maturities-state deposits | $ 13.6 | $ 13.5 |
Securities pledged | 700.5 | 249.2 |
Total restricted assets | 714.1 | 262.7 |
Securities pledged as collateral | ||
Loss Contingencies [Line Items] | ||
Fair value of loaned securities | 522.6 | 178.9 |
Fair value of securities delivered as collateral | $ 177.9 | $ 70.3 |
Related Party Transactions (Det
Related Party Transactions (Details) $ in Millions | 3 Months Ended | ||
Mar. 31, 2016USD ($)affiliate | Mar. 31, 2015USD ($) | Dec. 31, 2015USD ($) | |
Related Party Transaction [Line Items] | |||
Number of affiliates in reinsurance agreements | affiliate | 2 | ||
Other Affiliates | |||
Related Party Transaction [Line Items] | |||
Revenue with affiliated entities | $ 135.3 | $ 166.3 | |
Expenses with affiliated entities | 195.7 | $ 203.6 | |
Deposit assets | 90.7 | $ 91 | |
Deposit liabilities | $ 194.1 | $ 194.8 |