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


	For The Three Months Ended September 30,				For The Nine Months Ended September 30,
	2020		2019		2020		2019
	(Dollars In Thousands)
Fixed maturities	$	2,681	$	15,686	$	44,298	$	21,885
Equity securities	16,918		6,117		(652)		44,292
Modco trading portfolios	44,918		67,674		108,223		252,147
Net credit losses recognized in operations (1)	(38,459)		—		(120,540)		—
Net impairment losses recognized in operations (2)	—		(10,818)		—		(14,658)
Commercial mortgage loans	(2,174)		(1,575)		(101,256)		(1,435)
Other investments	(1,065)		315		(2,825)		365
Realized gains (losses) - investments	22,819		77,399		(72,752)		302,596
Realized gains (losses) - derivatives(3)	15,337		42,286		92,899		(86,288)
Realized gains (losses) - investments/derivatives	$	38,156	$	119,685	$	20,147	$	216,308

(1) Represents credit losses recognized under FASB ASC 326
(2) Represents other-than-temporary impairment losses recognized under FASB ASC 320
(3) See Note 7, Derivative Financial Instruments


	For The Three Months Ended September 30,				For The Nine Months Ended September 30,
	2020		2019		2020		2019
	(Dollars In Thousands)
Gross realized gains	$	2,750	$	20,155	$	49,189	$	34,801
Gross realized losses:
Credit losses(1)	$	(38,459)	$	—	$	(120,540)	$	—
Impairment losses(2)	$	—	$	(10,818)	$	—	$	(14,658)
Other realized losses	$	(69)	$	(4,469)	$	(4,891)	$	(12,916)

(1) Represents credit losses recognized under FASB ASC 326
(2) Represents other-than-temporary impairment losses recognized in prior periods under FASB ASC 320

The chart below summarizes the fair value (proceeds) and the gains (losses) realized on securities the Company sold that were in an unrealized gain position and an unrealized loss position.


	For The Three Months Ended September 30,				For The Nine Months Ended September 30,
	2020		2019		2020		2019
	(Dollars In Thousands)
Securities in an unrealized gain position:
Fair value proceeds	$	415,440	$	679,514	$	1,351,653	$	1,812,992
Gains realized	$	2,750	$	20,155	$	49,189	$	34,801

Securities in an unrealized loss position:
Fair value proceeds	$	8,228	$	37,488	$	33,062	$	368,416
Losses realized	$	(69)	$	(4,469)	$	(4,891)	$	(12,916)


	For The Three Months Ended September 30,				For The Nine Months Ended September 30,
	2020		2019		2020		2019
	(Dollars In Thousands)
Gains (losses) recognized during the period on equity securities still held	$	16,846	$	6,765	$	(844)	$	44,687
Net gains (losses) recognized on equity securities sold during the period	72		(648)		192		(395)
Net gains (losses) recognized during the period on equity securities	$	16,918	$	6,117	$	(652)	$	44,292


As of September 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	$	6,636,849	$	211,313	$	(889)	$	—	$	6,847,273
Commercial mortgage-backed securities	2,464,104		120,335		(27,437)		—		2,557,002
Other asset-backed securities	1,562,104		40,536		(17,756)		(645)		1,584,239
U.S. government-related securities	1,054,690		28,822		(3,219)		—		1,080,293
Other government-related securities	566,924		73,814		(2,662)		—		638,076
States, municipals, and political subdivisions	4,051,031		505,479		(2,881)		—		4,553,629
Corporate securities	45,435,036		4,857,669		(289,933)		(18,754)		49,984,018
Redeemable preferred stocks	65,933		1,396		—		—		67,329
	61,836,671		5,839,364		(344,777)		(19,399)		67,311,859
Short-term investments	1,161,706		—		—		—		1,161,706
	$	62,998,377	$	5,839,364	$	(344,777)	$	(19,399)	$	68,473,565


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
	September 30, 2020		December 31, 2019
	(Dollars In Thousands)
Fixed maturities:
Residential mortgage-backed securities	$	207,507	$	209,521
Commercial mortgage-backed securities	208,036		201,284
Other asset-backed securities	150,290		143,361
U.S. government-related securities	36,991		47,067
Other government-related securities	29,571		28,775
States, municipals, and political subdivisions	288,085		293,791
Corporate securities	1,850,471		1,590,936
Redeemable preferred stocks	12,434		12,832
	2,783,385		2,527,567
Equity securities	16,742		6,656
Short-term investments	77,322		91,213
	$	2,877,449	$	2,625,436

The amortized cost and fair value of available-for-sale and held-to-maturity fixed maturities as of September 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	$	2,067,896	$	2,077,964	$	—	$	—
Due after one year through five years	11,455,625		11,970,027		—		—
Due after five years through ten years	14,897,323		16,103,285		—		—
Due after ten years	33,415,827		37,160,583		2,680,324		2,990,170
	$	61,836,671	$	67,311,859	$	2,680,324	$	2,990,170


	For The Three Months Ended September 30, 2020						For The Nine Months Ended September 30, 2020
	Corporate Securities		Other Asset-Backed Securities		Total		Corporate Securities		Other Asset-Backed Securities		Total
	(Dollars In Thousands)
Beginning Balance	$	81,426	$	655	$	82,081	$	—	$	—	$	—
Additions for securities for which allowance was not previously recorded	—		—		—		62,442		658		63,100
Adjustments on previously recorded allowances due to change in expected cash flows	945		—		945		19,929		—		19,929
Reductions on previously recorded allowances due to disposal of security in the current period	—		(10)		(10)		—		(13)		(13)
Write-offs of previously recorded allowances due to intent or requirement to sell	(63,617)		—		(63,617)		(63,617)		$	—	(63,617)
Ending Balance	$	18,754	$	645	$	19,399	$	18,754	$	645	$	19,399

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 September 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	$	176,534	$	(653)	$	6,895	$	(236)	$	183,429	$	(889)
Commercial mortgage-backed securities	354,926		(21,686)		28,103		(5,751)		383,029		(27,437)
Other asset-backed securities	379,311		(6,209)		312,368		(11,547)		691,679		(17,756)
U.S. government-related securities	251,534		(3,193)		787		(26)		252,321		(3,219)
Other government-related securities	23,328		(1,900)		6,776		(762)		30,104		(2,662)
States, municipals, and political subdivisions	105,894		(2,829)		4,895		(52)		110,789		(2,881)
Corporate securities	2,847,045		(152,100)		1,076,575		(137,833)		3,923,620		(289,933)
Redeemable preferred stocks	—		—		—		—		—		—
	$	4,138,572	$	(188,570)	$	1,436,399	$	(156,207)	$	5,574,971	$	(344,777)

Commercial mortgage-backed securities (“CMBS”) had gross unrealized losses greater than twelve months $5.8 million as of September 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 $11.5 million as of September 30, 2020, excluding losses of $0.6 million that were considered credit related. This category predominately includes student loan backed auction rate securities (“ARS”) whose underlying collateral is at least 97% guaranteed by the Federal Family Education Loan Program (“FFELP”). At this time, the Company has no reason to believe that the U.S. Department of Education would not honor the FFELP guarantee, if it were necessary.

The other government-related securities had gross unrealized losses greater than twelve months of $0.8 million as of September 30, 2020. These declines were related to changes in interest rates.

The corporate securities category had gross unrealized losses greater than twelve months of $137.8 million as of September 30, 2020, excluding losses of $18.7 million that were considered credit related. The overall deterioration in the macroeconomic environment as a result of the impact of COVID-19 as well as the continued pressure on commodity prices has negatively affected the values of certain of our investments. The largest impacts have been in the oil & gas, real estate, and consumer and retail industries. For the nine months ended September 30, 2020, we have recognized $120.5 million of impairments for the Company which primarily reflect declines in the value of certain oil and gas securities.

As of September 30, 2020, the Company had a total of 645 positions that were in an unrealized loss position, including 5 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. 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 September 30, 2020, the Company had securities in its available-for-sale portfolio which were rated below investment grade of $2.3 billion and had an amortized cost of $2.4 billion. Approximately $381.8 million of below investment grade securities held by the Company were not publicly traded. In addition, included in the Company’s trading portfolio, the Company held $125.0 million of securities which were rated below investment grade.

The change in unrealized gains (losses), excluding the allowance for expected credit losses, net of income tax, on fixed maturities, classified as available-for-sale is summarized as follows:


As of September 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	$	822,324	$	140,435	$	—	$	962,759
Steel City, LLC	1,858,000		169,411		—		2,027,411
	$	2,680,324	$	309,846	$	—	$	2,990,170

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. See Note 15, Subsequent Events for additional information on Red Mountain, LLC and Steel City, LLC.