Realized gains (losses) - investments includes realized gains and losses from the sale of investments, changes in fair value of equity securities, net credit losses, certain derivative and embedded derivative gains and losses, gains and losses on reinsurance-related embedded derivatives and trading securities. Realized gains and losses on investments are calculated on the basis of specific identification on the trade date.


	For The Three Months Ended June 30,						For The Six Months Ended June 30,
	2020		2019		2020		2019
	(Dollars In Thousands)
Fixed maturities	$	2,447	$	1,062	$	41,617	$	6,199
Equity securities	25,442		7,540		(17,570)		38,175
Modco trading portfolios	187,505		89,571		63,305		184,473
Net credit losses recognized in operations ⁽¹⁾	(30,288)		—		(82,081)		—
Net impairment losses recognized in operations ⁽²⁾	—		(698)		—		(3,840)
Commercial mortgage loans	(3,686)		1,208		(99,082)		140
Other investments	(740)		128		(1,760)		50
Realized gains (losses) - investments	180,680		98,811		(95,571)		225,197
Realized gains (losses) - derivatives⁽³⁾	(160,578)		(55,266)		77,562		(128,574)
Realized gains (losses) - investments/derivatives	$	20,102	$	43,545	$	(18,009)	$	96,623

(1) Represents credit losses recognized under FASB ASC 326-20
(2) Represents other-than-temporary impairment losses recognized in prior periods under FASB ASC 326-20
(3) See Note 7, Derivative Financial Instruments


	For The Three Months Ended June 30,						For The Six Months Ended June 30,
	2020		2019		2020		2019
	(Dollars In Thousands)
Gross realized gains	$	6,471	$	6,776	$	46,439	$	14,646
Gross realized losses:
Credit losses⁽¹⁾	$	(30,288)	$	—	$	(82,081)	$	—
Impairment losses⁽²⁾	$	—	$	(698)	$	—	$	(3,840)
Other realized losses	$	(4,024)	$	(5,714)	$	(4,822)	$	(8,447)

(1) Represents credit losses recognized under FASB ASC 326-20
(2) Represents other-than-temporary impairment losses recognized in prior periods under FASB ASC 326-20


	For The Three Months Ended June 30,						For The Six Months Ended June 30,
	2020		2019		2020		2019
	(Dollars In Thousands)
Securities in an unrealized gain position:
Fair value proceeds	$	431,876	$	484,587	$	936,213	$	1,133,478
Gains realized	$	6,471	$	6,776	$	46,439	$	14,646

Securities in an unrealized loss position:
Fair value proceeds	$	24,814	$	159,626	$	24,834	$	330,928
Losses realized	$	(4,024)	$	(5,714)	$	(4,822)	$	(8,447)


	For The Three Months Ended June 30,						For The Six Months Ended June 30,
	2020		2019		2020		2019
	(Dollars In Thousands)
Gains (losses) recognized during the period on equity securities still held	$	25,441	$	7,347	$	(17,690)	$	37,922
Net gains recognized on equity securities sold during the period	1		193		$	120	$	253
Net gains (losses) recognized during the period on equity securities	$	25,442	$	7,540	$	(17,570)	$	38,175


As of June 30, 2020	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Expected Credit Losses		Fair Value
	(Dollars In Thousands)
Fixed maturities:
Residential mortgage-backed securities	$	6,783,626	$	231,006	$	(503)	$	—	$	7,014,129
Commercial mortgage-backed securities	2,482,700		87,882		(29,100)		—		2,541,482
Other asset-backed securities	1,704,674		26,109		(28,104)		(655)		1,702,024
U.S. government-related securities	1,145,220		29,542		(844)		—		1,173,918
Other government-related securities	566,961		63,570		(4,361)		—		626,170
States, municipals, and political subdivisions	4,143,375		424,024		(5,033)		—		4,562,366
Corporate securities	44,810,937		4,157,060		(450,052)		(81,426)		48,436,519
Redeemable preferred stocks	66,071		461		(859)		—		65,673
	61,703,564		5,019,654		(518,856)		(82,081)		66,122,281
Short-term investments	1,037,969		—		—		—		1,037,969
	$	62,741,533	$	5,019,654	$	(518,856)	$	(82,081)	$	67,160,250


As of December 31, 2019	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
	(Dollars In Thousands)
Fixed maturities:
Residential mortgage-backed securities	$	5,812,170	$	125,493	$	(6,322)	$	5,931,341
Commercial mortgage-backed securities	2,588,575		54,385		(3,292)		2,639,668
Other asset-backed securities	1,764,120		32,041		(14,926)		1,781,235
U.S. government-related securities	1,032,048		5,664		(5,316)		1,032,396
Other government-related securities	548,136		51,024		(1,991)		597,169
States, municipals, and political subdivisions	4,415,008		225,072		(1,230)		4,638,850
Corporate securities	44,493,799		2,603,636		(288,334)		46,809,101
Redeemable preferred stocks	87,237		3,677		(4,249)		86,665
	60,741,093		3,100,992		(325,660)		63,516,425
Short-term investments	1,229,651		—		—		1,229,651
	$	61,970,744	$	3,100,992	$	(325,660)	$	64,746,076

The Company holds certain investments pursuant to certain modified coinsurance (“Modco”) arrangements. The fixed maturities, equity securities, and short-term investments held as part of these arrangements are classified as trading securities. The fair value of the investments held pursuant to these Modco arrangements are as follows:


	As of
	June 30, 2020		December 31, 2019
	(Dollars In Thousands)
Fixed maturities:
Residential mortgage-backed securities	$	192,944	$	209,521
Commercial mortgage-backed securities	189,995		201,284
Other asset-backed securities	144,248		143,361
U.S. government-related securities	42,677		47,067
Other government-related securities	29,210		28,775
States, municipals, and political subdivisions	289,477		293,791
Corporate securities	1,757,339		1,590,936
Redeemable preferred stocks	11,933		12,832
	2,657,823		2,527,567
Equity securities	15,724		6,656
Short-term investments	75,292		91,213
	$	2,748,839	$	2,625,436

The amortized cost and fair value of available-for-sale and held-to-maturity fixed maturities as of June 30, 2020, by expected maturity, are shown below. Expected maturities of securities without a single maturity date are allocated based on estimated rates of prepayment that may differ from actual rates of prepayment.


	Available-for-Sale						Held-to-Maturity
	Amortized Cost		Fair Value		Amortized Cost		Fair Value
	(Dollars In Thousands)
Due in one year or less	$	2,208,672	$	2,206,490	$	—	$	—
Due after one year through five years	11,090,362		11,494,899		—		—
Due after five years through ten years	14,580,642		15,561,473		—		—
Due after ten years	33,823,888		36,859,419		2,728,529		2,947,350
	$	61,703,564	$	66,122,281	$	2,728,529	$	2,947,350


	For The Three Months Ended June 30, 2020										For The Six Months Ended June 30, 2020
	Corporate Securities		Other Asset-Backed Securities		Total		Corporate Securities		Other Asset-Backed Securities		Total
	(Dollars In Thousands)
Beginning Balance	$	51,135	$	658	$	51,793	$	—	$	—	$	—
Additions for securities for which allowance was not previously recorded	11,307		—		11,307		62,442		658		63,100
Adjustments on previously recorded allowances due to change in expected cash flows	18,984		—		18,984		18,984		—		18,984
Reductions on previously recorded allowances due to disposal of security in the current period	—		(3)		(3)		—		(3)		(3)
Ending Balance	$	81,426	$	655	$	82,081	$	81,426	$	655	$	82,081

The following table includes the gross unrealized losses, for which an allowance for credit losses has not been recorded, and fair value of the Company’s AFS fixed maturities, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position as of June 30, 2020:


	Less Than 12 Months						12 Months or More						Total
	Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
	(Dollars In Thousands)
Residential mortgage-backed securities	$	113,660	$	(498)	$	2,098	$	(5)	$	115,758	$	(503)
Commercial mortgage-backed securities	412,551		(27,826)		31,248		(1,274)		443,799		(29,100)
Other asset-backed securities	566,551		(12,605)		282,432		(15,499)		848,983		(28,104)
U.S. government-related securities	134,265		(815)		1,334		(29)		135,599		(844)
Other government-related securities	22,576		(3,176)		6,358		(1,185)		28,934		(4,361)
States, municipals, and political subdivisions	106,083		(4,956)		5,965		(77)		112,048		(5,033)
Corporate securities	3,976,043		(230,736)		1,182,312		(219,316)		5,158,355		(450,052)
Redeemable preferred stocks	20,104		(859)		—		—		20,104		(859)
	$	5,351,833	$	(281,471)	$	1,511,747	$	(237,385)	$	6,863,580	$	(518,856)

Commercial mortgage-backed securities (“CMBS”) had gross unrealized losses greater than twelve months $1.3 million as of June 30, 2020. Factors such as the credit enhancement within the deal structure, the average life of the securities, and the performance of the underlying collateral support the recoverability of these investments.

The other asset-backed securities have a gross unrealized loss greater than twelve months of $15.5 million as of June 30, 2020, excluding losses of $0.7 million that were considered credit related. This category predominately includes student loan backed auction rate securities (“ARS”) whose underlying collateral is at least 97% guaranteed by the Federal Family Education Loan Program (“FFELP”). At this time, the Company has no reason to believe that the U.S. Department of Education would not honor the FFELP guarantee, if it were necessary.

The corporate securities category had gross unrealized losses greater than twelve months of $219.3 million as of June 30, 2020, excluding $81.4 million that were considered credit related. The decline in fair value as of June 30, 2020, reflect deterioration in the macroeconomic environment as a result of the impact of COVID-19 as well as the continued pressure on commodity prices. Multiple sectors were affected with the largest impacts in the oil & gas, real estate, and consumer and retail industries. Fair values were also negatively affected by disruptions in capital markets activity during the last six months due to COVID-19. The aggregate decline in fair value of the remaining securities was deemed temporary due to positive factors supporting the recoverability of the respective investments. Positive factors considered include credit ratings, the financial health of the issuer, the continued access of the issuer to capital markets, interest rate movement, and other pertinent information.

As of June 30, 2020, the Company had a total of 798 positions that were in an unrealized loss position, including 18 positions for which an allowance for credit losses was established. For unrealized losses for which an allowance for credit losses was not established, the Company does not consider these unrealized loss positions to be credit-related. This is based on the aggregate factors discussed previously and because the Company has the ability and intent to hold these investments until the fair values recover, and the Company does not intend to sell or expect to be required to sell the securities before recovering the Company’s amortized cost of the securities.

The following table includes the gross unrealized losses and fair value of the Company’s investments that are not deemed to be other-than-temporarily impaired, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position as of December 31, 2019:


	Less Than 12 Months						12 Months or More						Total
	Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
	(Dollars In Thousands)
Residential mortgage-backed securities	$	851,333	$	(4,231)	$	220,843	$	(2,091)	$	1,072,176	$	(6,322)
Commercial mortgage-backed securities	371,945		(1,721)		115,566		(1,571)		487,511		(3,292)
Other asset-backed securities	482,547		(6,516)		214,058		(8,410)		696,605		(14,926)
U.S. government-related securities	383,451		(3,373)		353,517		(1,943)		736,968		(5,316)
Other government-related securities	22,962		(669)		6,230		(1,322)		29,192		(1,991)
States, municipals, and political subdivisions	56,470		(1,001)		12,907		(229)		69,377		(1,230)
Corporate securities	3,176,489		(68,289)		2,886,648		(220,045)		6,063,137		(288,334)
Redeemable preferred stocks	—		—		16,689		(4,249)		16,689		(4,249)
	$	5,345,197	$	(85,800)	$	3,826,458	$	(239,860)	$	9,171,655	$	(325,660)

As of June 30, 2020, the Company had securities in its available-for-sale portfolio which were rated below investment grade of $2.0 billion and had an amortized cost of $2.3 billion. In addition, included in the Company’s trading portfolio, the Company held $127.2 million of securities which were rated below investment grade. Approximately $296.4 million of below investment grade securities held by the Company were not publicly traded.


As of June 30, 2020	Amortized Cost		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Fair Value
	(Dollars In Thousands)
Fixed maturities:
Securities issued by affiliates:
Red Mountain, LLC	$	813,529	$	69,478	$	—	$	883,007
Steel City, LLC	1,915,000		149,343		—		2,064,343
	$	2,728,529	$	218,821	$	—	$	2,947,350

As of December 31, 2019	Amortized Cost		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Fair Value
	(Dollars In Thousands)
Fixed maturities:
Securities issued by affiliates:
Red Mountain, LLC	$	795,881	$	81,022	$	—	$	876,903
Steel City, LLC	2,028,000		120,887		—		2,148,887
	$	2,823,881	$	201,909	$	—	$	3,025,790

The Company’s held-to-maturity securities are issued by affiliates of the Company which are considered variable interest entities. The Company is not the primary beneficiary of these entities and thus the securities are not eliminated in consolidation. These securities are collateralized by non-recourse funding obligations issued by captive insurance companies that are affiliates of the Company.