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Investments (Tables)

12 Months Ended

Dec. 31, 2021

Fixed Maturities, Available-for-sale Securities

The following tables set forth the composition of fixed maturity securities (excluding investments classified as trading), as of the dates indicated:


	December 31, 2021
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses		Fair Value
	(in thousands)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	303,040	$	31,011	$	111	$	0	$	333,940
Obligations of U.S. states and their political subdivisions	584,244		46,978		701		0		630,521
Foreign government bonds	324,454		29,299		3,271		11		350,471
U.S. public corporate securities	4,794,878		366,764		29,770		0		5,131,872
U.S. private corporate securities	1,964,767		59,037		16,880		2,049		2,004,875
Foreign public corporate securities	906,031		34,234		10,363		0		929,902
Foreign private corporate securities	2,741,449		62,932		48,381		2,089		2,753,911
Asset-backed securities(1)	547,549		860		1,099		0		547,310
Commercial mortgage-backed securities	552,653		25,928		3,397		0		575,184
Residential mortgage-backed securities(2)	18,684		1,501		5		0		20,180
Total fixed maturities, available-for-sale	$	12,737,749	$	658,544	$	113,978	$	4,149	$	13,278,166

(1)Includes credit-tranched securities collateralized by loan obligations, education loans, auto loans and other asset types.

(2)Includes publicly-traded agency pass-through securities and collateralized mortgage obligations.


	December 31, 2020
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses		Fair Value
	(in thousands)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	74,946	$	2,931	$	22	$	0	$	77,855
Obligations of U.S. states and their political subdivisions	460,003		57,948		0		0		517,951
Foreign government bonds	206,633		44,254		32		0		250,855
U.S. public corporate securities	2,473,440		456,581		587		0		2,929,434
U.S. private corporate securities	919,316		95,793		2,198		855		1,012,056
Foreign public corporate securities	278,717		42,899		886		0		320,730
Foreign private corporate securities	977,539		123,006		7,131		1,484		1,091,930
Asset-backed securities(1)	236,909		1,115		386		0		237,638
Commercial mortgage-backed securities	480,412		40,660		125		0		520,947
Residential mortgage-backed securities(2)	49,456		3,779		0		0		53,235
Total fixed maturities, available-for-sale	$	6,157,371	$	868,966	$	11,367	$	2,339	$	7,012,631

(1)Includes credit-tranched securities collateralized by loan obligations, credit cards, auto loans, education loans and sub-prime mortgages.

(2)Includes publicly-traded agency pass-through securities and collateralized mortgage obligations.

Duration Of Gross Unrealized Losses On Fixed Maturity Securities

The following tables set forth the fair value and gross unrealized losses on available-for-sale fixed maturity securities without an allowance for credit losses aggregated by investment category and length of time that individual fixed maturity securities had been in a continuous unrealized loss position, as of the dates indicated:


	December 31, 2021
	Less Than Twelve Months				Twelve Months or More				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
	(in thousands)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	0	$	0	$	2,119	$	111	$	2,119	$	111
Obligations of U.S. states and their political subdivisions	104,621		701		0		0		104,621		701
Foreign government bonds	59,550		2,826		6,473		371		66,023		3,197
U.S. public corporate securities	1,681,201		23,160		180,249		6,610		1,861,450		29,770
U.S. private corporate securities	972,796		14,036		16,409		2,844		989,205		16,880
Foreign public corporate securities	532,445		8,255		29,718		2,108		562,163		10,363
Foreign private corporate securities	1,253,739		42,392		57,637		5,616		1,311,376		48,008
Asset-backed securities	288,971		1,099		0		0		288,971		1,099
Commercial mortgage-backed securities	157,355		1,622		40,689		1,775		198,044		3,397
Residential mortgage-backed securities	1,393		5		0		0		1,393		5
Total fixed maturities, available-for-sale	$	5,052,071	$	94,096	$	333,294	$	19,435	$	5,385,365	$	113,531


	December 31, 2020
	Less Than Twelve Months				Twelve Months or More				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
	(in thousands)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	2,255	$	22	$	0	$	0	$	2,255	$	22

Foreign government bonds	2,270		32		0		0		2,270		32
U.S. public corporate securities	33,295		341		2,754		246		36,049		587
U.S. private corporate securities	33,806		771		6,659		1,427		40,465		2,198
Foreign public corporate securities	6,432		97		6,464		789		12,896		886
Foreign private corporate securities	2,931		131		85,340		6,657		88,271		6,788
Asset-backed securities	51,914		183		70,503		203		122,417		386
Commercial mortgage-backed securities	17,443		125		0		0		17,443		125
Residential mortgage-backed securities	0		0		0		0		0		0
Total fixed maturities, available-for-sale	$	150,346	$	1,702	$	171,720	$	9,322	$	322,066	$	11,024

Fixed Maturities Classified by Contractual Maturity Date

The following table sets forth the amortized cost and fair value of fixed maturities by contractual maturities, as of the date indicated:


	December 31, 2021
	Amortized Cost		Fair Value
	(in thousands)
Fixed maturities, available-for-sale:
Due in one year or less	$	101,546	$	101,320
Due after one year through five years	2,063,502		2,075,819
Due after five years through ten years	3,639,243		3,652,143
Due after ten years	5,814,572		6,306,210
Asset-backed securities	547,549		547,310
Commercial mortgage-backed securities	552,653		575,184
Residential mortgage-backed securities	18,684		20,180
Total fixed maturities, available-for-sale	$	12,737,749	$	13,278,166

Sources of Fixed Maturity Proceeds and Related Investment Gains (Losses), and Losses on Impairments

The following table sets forth the sources of fixed maturity proceeds and related investment gains (losses), as well as losses on write-downs, impairments and the allowance for credit losses of fixed maturities, for the periods indicated:


	Years Ended December 31,
	2021		2020		2019
			(in thousands)
Fixed maturities, available-for-sale:
Proceeds from sales(1)	$	790,331	$	81,766	$	633,787
Proceeds from maturities/prepayments	465,347		305,859		314,906
Gross investment gains from sales and maturities	14,972		1,293		59,557
Gross investment losses from sales and maturities	(16,674)		(1,878)		(3,785)
OTTI recognized in earnings(2)	N/A		N/A		(9,034)
Write-downs recognized in earnings(3)	(2)		(4,312)		N/A
(Addition to) release of allowance for credit losses(4)	(1,810)		(2,339)		N/A

(1)Excludes activity from non-cash related proceeds due to the timing of trade settlements of $(4.4) million, $(2.4) million and $0.0 million for the years ended December 31, 2021, 2020 and 2019, respectively.

(2)For the year ended December 31, 2019, amount excludes the portion of OTTI amounts remaining in OCI, representing any difference between the fair value of the impaired debt security and the net present value of its projected future cash flows at the time of impairment.

(3)Amounts represent write-downs of credit adverse securities and securities activity marketed for sale. In addition, for the year ended December 31, 2020, amount also include write-downs on securities approaching maturities related to foreign exchange movements.

(4)Effective January 1, 2020, credit losses on available-for-sale fixed maturity securities are recorded within the “allowance for credit losses.”

Credit Losses Recognized in Earnings on Fixed Maturity Securities Held by the Company for which a Portion of the OTTI Loss was Recognized in OCI

The following tables set forth the activity in the allowance for credit losses for fixed maturity securities, as of the dates indicated:


	Year Ended December 31, 2021
	U.S. Treasury Securities and Obligations of U.S. States		Foreign Government Bonds		U.S. and Foreign Corporate Securities		Asset-Backed Securities		Commercial Mortgage-Backed Securities		Residential Mortgage-Backed Securities		Total
	(in thousands)
Fixed maturities, available-for-sale:
Balance, beginning of year	$	0	$	0	$	2,339	$	0	$	0	$	0	$	2,339
Additions to allowance for credit losses not previously recorded	0		11		2,664		0		0		0		2,675

Reductions for securities sold during the period	0		0		(28)		0		0		0		(28)

Addition (reductions) on securities with previous allowance	0		0		(837)		0		0		0		(837)


Balance, end of period	$	0	$	11	$	4,138	$	0	$	0	$	0	$	4,149


	Year Ended December 31, 2020
	U.S. Treasury Securities and Obligations of U.S. States		Foreign Government Bonds		U.S. and Foreign Corporate Securities		Asset-Backed Securities		Commercial Mortgage-Backed Securities		Residential Mortgage-Backed Securities		Total
	(in thousands)
Fixed maturities, available-for-sale:
Balance, beginning of year	$	0	$	0	$	0	$	0	$	0	$	0	$	0
Additions to allowance for credit losses not previously recorded	0		0		5,672		0		0		0		5,672

Reductions for securities sold during the period	0		0		(3,147)		0		0		0		(3,147)

Addition (reductions) on securities with previous allowance	0		0		(186)		0		0		0		(186)


Balance, end of period	$	0	$	0	$	2,339	$	0	$	0	$	0	$	2,339

Commercial Mortgage and Other Loans

The following table sets forth the composition of “Commercial mortgage and other loans,” as of the dates indicated:


	December 31, 2021				December 31, 2020
	Amount (in thousands)		% of Total		Amount (in thousands)		% of Total
Commercial mortgage and agricultural property loans by property type:
Apartments/Multi-Family	$	748,414	26.4	%	$	364,549	28.2	%
Hospitality	48,141		1.7		34,069		2.6
Industrial	916,398		32.2		399,017		30.9
Office	445,055		15.7		195,443		15.1
Other	252,590		8.9		138,477		10.7
Retail	255,577		9.0		142,266		11.0
Total commercial mortgage loans	2,666,175		93.9		1,273,821		98.5
Agricultural property loans	172,336		6.1		19,577		1.5
Total commercial mortgage and agricultural property loans	2,838,511		100.0	%	1,293,398		100.0	%
Allowance for credit losses	(5,951)				(4,552)
Total net commercial mortgage and agricultural property loans	$	2,832,560			$	1,288,846

The affiliated commercial mortgage loan included in "Commercial mortgage and other loans" at December 31, was as follows:


	Maturity Date	Interest Rate	2021
			(in thousands)
Affiliated Commercial Mortgage Loan	2025	4.60%	$	73,412

Allowance for Credit Losses

The following table sets forth the activity in the allowance for credit losses for commercial mortgage and other loans, as of the dates indicated:


	Commercial Mortgage Loans		Agricultural Property Loans		Total
	(in thousands)
Balance at December 31, 2018	$	2,026	$	39	$	2,065
Addition to (release of) allowance for credit losses	(283)		(14)		(297)

Balance at December 31, 2019	$	1,743	$	25	$	1,768
Cumulative effect of adoption of ASU 2016-13	2,495		(8)		2,487
Addition to (release of) allowance for expected losses	308		(11)		297
Balance at December 31, 2020	$	4,546	$	6	$	4,552

Addition to (release of) allowance for expected losses	1,301		98		1,399

Balance at December 31, 2021	$	5,847	$	104	$	5,951

Financing Receivable Credit Quality Indicators

The following tables set forth key credit quality indicators based upon the recorded investment gross of allowance for credit losses, as of the dates indicated:


	December 31, 2021
	Amortized Cost by Origination Year
	2021		2020		2019		2018		2017		Prior		Total
	(in thousands)
Commercial mortgage loans
Loan-to-Value Ratio:
0%-59.99%	$	47,161	$	0	$	179,682	$	76,656	$	126,934	$	553,022	$	983,455
60%-69.99%	307,999		225,330		289,322		170,444		126,159		116,654		1,235,908
70%-79.99%	163,451		86,083		75,185		13,728		55,032		51,203		444,682
80% or greater	0		0		0		0		958		1,172		2,130
Total	$	518,611	$	311,413	$	544,189	$	260,828	$	309,083	$	722,051	$	2,666,175
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	501,456	$	195,164	$	481,289	$	253,938	$	289,443	$	638,092	$	2,359,382
1.0 - 1.2x	17,155		109,862		39,577		6,890		7,100		39,213		219,797
Less than 1.0x	0		6,387		23,323		0		12,540		44,746		86,996
Total	$	518,611	$	311,413	$	544,189	$	260,828	$	309,083	$	722,051	$	2,666,175
Agricultural property loans
Loan-to-Value Ratio:
0%-59.99%	$	98,579	$	26,581	$	16,226	$	6,463	$	8,372	$	16,115	$	172,336
60%-69.99%	0		0		0		0		0		0		0
70%-79.99%	0		0		0		0		0		0		0
80% or greater	0		0		0		0		0		0		0
Total	$	98,579	$	26,581	$	16,226	$	6,463	$	8,372	$	16,115	$	172,336
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	98,579	$	26,581	$	16,226	$	6,463	$	8,372	$	15,300	$	171,521
1.0 - 1.2x	0		0		0		0		0		0		0
Less than 1.0x	0		0		0		0		0		815		815
Total	$	98,579	$	26,581	$	16,226	$	6,463	$	8,372	$	16,115	$	172,336


	December 31, 2020
	Amortized Cost by Origination Year
	2020		2019		2018		2017		2016		Prior		Total
	(in thousands)
Commercial mortgage loans
Loan-to-Value Ratio:
0%-59.99%	$	10,645	$	47,284	$	33,443	$	92,410	$	162,030	$	251,903	$	597,715
60%-69.99%	69,819		95,331		141,260		52,710		80,875		43,823		483,818
70%-79.99%	63,783		36,099		22,431		32,476		21,178		15,342		191,309
80% or greater	0		0		0		979		0		0		979
Total	$	144,247	$	178,714	$	197,134	$	178,575	$	264,083	$	311,068	$	1,273,821
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	128,839	$	159,476	$	177,098	$	171,255	$	238,010	$	290,741	$	1,165,419
1.0 - 1.2x	15,408		10,334		7,134		7,320		26,073		16,418		82,687
Less than 1.0x	0		8,904		12,902		0		0		3,909		25,715
Total	$	144,247	$	178,714	$	197,134	$	178,575	$	264,083	$	311,068	$	1,273,821
Agricultural property loans
Loan-to-Value Ratio:
0%-59.99%	$	0	$	0	$	0	$	6,486	$	0	$	13,091	$	19,577
60%-69.99%	0		0		0		0		0		0		0
70%-79.99%	0		0		0		0		0		0		0
80% or greater	0		0		0		0		0		0		0
Total	$	0	$	0	$	0	$	6,486	$	0	$	13,091	$	19,577
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	0	$	0	$	0	$	6,486	$	0	$	12,276	$	18,762
1.0 - 1.2x	0		0		0		0		0		0		0
Less than 1.0x	0		0		0		0		0		815		815
Total	$	0	$	0	$	0	$	6,486	$	0	$	13,091	$	19,577

Aging of Past Due Commercial Mortgage and Other Loans and Nonaccrual Status

The following tables set forth an aging of past due commercial mortgage and other loans based upon the recorded investment gross of allowance for credit losses, as well as the amount of commercial mortgage and other loans on non-accrual status, as of the dates indicated:


	December 31, 2021
	Current		30-59 Days Past Due		60-89 Days Past Due		90 Days or More Past Due(1)		Total Loans		Non-Accrual Status(2)
	(in thousands)
Commercial mortgage loans	$	2,666,175	$	0	$	0	$	0	$	2,666,175	$	0
Agricultural property loans	172,336		0		0		0		172,336		0
Total	$	2,838,511	$	0	$	0	$	0	$	2,838,511	$	0

(1)As of December 31, 2021, there were no loans in this category accruing interest.

(2)For additional information regarding the Company’s policies for accruing interest on loans, see Note 2.


	December 31, 2020
	Current		30-59 Days Past Due		60-89 Days Past Due		90 Days or More Past Due(1)		Total Loans		Non-Accrual Status(2)
	(in thousands)
Commercial mortgage loans	$	1,273,821	$	0	$	0	$	0	$	1,273,821	$	0
Agricultural property loans	19,577		0		0		0		19,577		0
Total	$	1,293,398	$	0	$	0	$	0	$	1,293,398	$	0

(1)As of December 31, 2020, there were no loans in this category accruing interest.

(2)For additional information regarding the Company’s policies for accruing interest on loans, see Note 2.

Other Invested Assets

The following table sets forth the composition of “Other invested assets,” as of the dates indicated:


	December 31,
	2021		2020
	(in thousands)
Company's investment in separate accounts	$	53,694	$	44,018
LPs/LLCs:
Equity method:
Private equity	286,141		241,493
Hedge funds	432,749		77,311
Real estate-related	89,337		63,194
Subtotal equity method	808,227		381,998
Fair value:
Private equity	69,137		65,436
Hedge funds	481		499
Real estate-related	9,861		10,857
Subtotal fair value	79,479		76,792
Total LPs/LLCs	887,706		458,790
Derivative instruments	268,525		18,147
Total other invested assets	$	1,209,925	$	520,955

Equity Method Investments

The following tables set forth summarized combined financial information for significant LP/LLC interests accounted for under the equity method, including the Company’s investments in operating joint ventures. Changes between periods in the tables below reflect changes in the activities within the operating joint ventures and LPs/LLCs, as well as changes in the Company’s level of investment in such entities.


	December 31,
	2021		2020
	(in thousands)
STATEMENTS OF FINANCIAL POSITION
Total assets(1)	$	72,416,906	$	12,952,942
Total liabilities(2)	$	12,120,390	$	90,444
Partners’ capital	60,296,516		12,862,498
Total liabilities and partners’ capital	$	72,416,906	$	12,952,942
Total liabilities and partners’ capital included above	$	746,870	$	348,267
Equity in LP/LLC interests not included above	201,541		175,024
Carrying value	$	948,411	$	523,291

(1)Amount represents gross assets of each fund where the Company has a significant investment. These assets consist primarily of investments in real estate, investments in securities and other miscellaneous assets.

(2)Amount represents gross liabilities of each fund where the Company has a significant investment. These liabilities consist primarily of third-party-borrowed funds and other miscellaneous liabilities.


	Years Ended December 31,
	2021		2020		2019
	(in thousands)
STATEMENTS OF OPERATIONS
Total revenue(1)	$	11,031,051	$	565,409	$	819,904
Total expenses(2)	(2,044,942)		(201,644)		(200,666)
Net earnings (losses)	$	8,986,109	$	363,765	$	619,238
Equity in net earnings (losses) included above	$	62,173	$	8,644	$	24,971
Equity in net earnings (losses) of LP/LLC interests not included above	28,765		25,859		5,077
Total equity in net earnings (losses)	$	90,938	$	34,503	$	30,048

(1)Amount represents gross revenue of each fund where the Company has a significant investment. This revenue consists of income from investments in real estate, investments in securities and other income.

(2)Amount represents gross expenses of each fund where the Company has a significant investment. These expenses consist primarily of interest expense, investment management fees, salary expenses and other expenses.

Accrued Investment Income

The following table sets forth the composition of “Accrued investment income,” as of the dates indicated:


	December 31, 2021		December 31, 2020
	(in thousands)
Fixed maturities	$	117,216	$	54,565
Equity securities	2		1
Commercial mortgage and other loans	7,025		3,610
Policy loans	35,153		35,374
Other invested assets	254		0
Short-term investments and cash equivalents	377		63

Total accrued investment income	$	160,027	$	93,613

Net Investment Income

The following table sets forth “Net investment income” by investment type, for the periods indicated:


	Years Ended December 31,
	2021		2020		2019
	(in thousands)
Fixed maturities, available-for-sale	$	299,607	$	224,262	$	235,456
Fixed maturities, trading	38,778		1,768		1,374
Equity securities	530		410		856
Commercial mortgage and other loans	63,548		50,534		57,886
Policy loans	69,602		70,363		68,485
Other invested assets	104,375		36,684		38,577
Short-term investments and cash equivalents	712		3,219		9,266
Gross investment income	577,152		387,240		411,900
Less: investment expenses	(26,917)		(19,890)		(18,103)
Net investment income	$	550,235	$	367,350	$	393,797

Realized Investment Gains (Losses), Net

The following table sets forth “Realized investment gains (losses), net” by investment type, for the periods indicated:


	Years Ended December 31,
	2021		2020		2019
	(in thousands)
Fixed maturities(1)	$	(3,514)	$	(7,236)	$	46,738

Commercial mortgage and other loans	1,535		(226)		297
Other invested assets	(2,737)		(287)		(3,400)
Derivatives(2)	(5,291,043)		(55,003)		(160,368)
Short-term investments and cash equivalents	353		(224)		(16)
Realized investment gains (losses), net	$	(5,295,406)	$	(62,976)	$	(116,749)

(1)Includes fixed maturity securities classified as available-for-sale and excludes fixed maturity securities classified as trading.

(2)Includes the impact of the 2021 Variable Annuities Recapture. See Note 1 for additional information.

Net Unrealized Gains and (Losses) on Investments

The following table sets forth net unrealized gains (losses) on investments, as of the dates indicated:


	December 31,
	2021		2020		2019
	(in thousands)
Fixed maturity securities, available-for-sale — with OTTI(1)	$ N/A		$ N/A		$	1,568
Fixed maturity securities, available-for-sale — all other(1)	N/A		N/A		397,136
Fixed maturity securities, available-for-sale with an allowance	3,685		0		N/A
Fixed maturity securities, available-for-sale without an allowance	540,881		857,599		N/A
Derivatives designated as cash flow hedges(2)	39,896		(8,112)		26,126
Affiliated notes	73		4,024		4,715
Other investments(3)	1,854		(4,162)		(4,365)
Net unrealized gains (losses) on investments	$	586,389	$	849,349	$	425,180

(1)Effective January 1, 2020, per ASU 2016-13, fixed maturity securities, available-for-sale are no longer required to be disclosed “with OTTI” and “all other.”

(2)For more information on cash flow hedges, see Note 4.

(3)Includes net unrealized gains (losses) on certain joint ventures that are strategic in nature and are included in “Other assets.”

Repurchase Agreements and Securities Lending

The following table sets forth the composition of “Cash collateral for loaned securities,” which represents the liability to return cash collateral received for the following types of securities loaned, as of the dates indicated:


	December 31, 2021						December 31, 2020
	Remaining Contractual Maturities of the Agreements						Remaining Contractual Maturities of the Agreements
	Overnight & Continuous		Up to 30 Days		Total		Overnight & Continuous		Up to 30 Days		Total
	(in thousands)



U.S. public corporate securities	$	3,004	$	0	$	3,004	$	0	$	0	$	0

Foreign public corporate securities	0		0		0		2,725		0		2,725





Total cash collateral for loaned securities(1)	$	3,004	$	0	$	3,004	$	2,725	$	0	$	2,725

(1)The Company did not have any agreements with remaining contractual maturities greater than thirty days, as of the dates indicated.

Securities Pledged

The following table sets forth the carrying value of investments pledged to third parties and the carrying amount of the associated liabilities supported by the pledged collateral, as of the dates indicated:


	December 31,
	2021		2020
	(in thousands)
Pledged collateral:
Fixed maturity securities, available-for-sale	$	2,871	$	2,525
Total securities pledged	$	2,871	$	2,525
Liabilities supported by the pledged collateral:
Cash collateral for loaned securities	$	3,004	$	2,725

Total liabilities supported by the pledged collateral	$	3,004	$	2,725