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Investments (Tables)

9 Months Ended

Sep. 30, 2022

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:


	September 30, 2022
	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	$	304,752	$	336	$	69,382	$	0	$	235,706
Obligations of U.S. states and their political subdivisions	612,918		1,729		49,593		0		565,054
Foreign government bonds	331,252		865		72,507		10		259,600
U.S. public corporate securities	7,004,770		13,841		1,127,789		0		5,890,822
U.S. private corporate securities	3,572,279		7,959		379,408		1,342		3,199,488
Foreign public corporate securities	1,471,519		1,098		195,069		490		1,277,058
Foreign private corporate securities	3,642,894		25		787,306		2,863		2,852,750
Asset-backed securities(1)	1,296,006		309		44,161		0		1,252,154
Commercial mortgage-backed securities	726,470		0		73,131		0		653,339
Residential mortgage-backed securities(2)	145,240		227		9,921		7		135,539
Total fixed maturities, available-for-sale	$	19,108,100	$	26,389	$	2,808,267	$	4,712	$	16,321,510

(1)Includes credit-tranched securities collateralized by loan obligations, education loans, auto loans and home equity.

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


	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.

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:


	September 30, 2022
	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	$	217,869	$	68,996	$	1,810	$	386	$	219,679	$	69,382
Obligations of U.S. states and their political subdivisions	426,560		48,592		5,761		1,001		432,321		49,593
Foreign government bonds	218,160		53,333		34,375		19,174		252,535		72,507
U.S. public corporate securities	4,861,137		901,221		765,437		226,568		5,626,574		1,127,789
U.S. private corporate securities	2,663,536		296,993		372,891		82,415		3,036,427		379,408
Foreign public corporate securities	921,969		128,690		311,219		66,112		1,233,188		194,802
Foreign private corporate securities	2,175,148		521,284		669,419		266,022		2,844,567		787,306
Asset-backed securities	1,076,306		30,456		131,536		13,705		1,207,842		44,161
Commercial mortgage-backed securities	577,269		53,865		76,070		19,266		653,339		73,131
Residential mortgage-backed securities	132,471		9,858		371		63		132,842		9,921
Total fixed maturities, available-for-sale	$	13,270,425	$	2,113,288	$	2,368,889	$	694,712	$	15,639,314	$	2,808,000


	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

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:


	September 30, 2022
	Amortized Cost		Fair Value
	(in thousands)
Fixed maturities, available-for-sale:
Due in one year or less	$	368,359	$	353,441
Due after one year through five years	4,518,851		4,099,378
Due after five years through ten years	5,618,197		4,741,344
Due after ten years	6,434,977		5,086,315
Asset-backed securities	1,296,006		1,252,154
Commercial mortgage-backed securities	726,470		653,339
Residential mortgage-backed securities	145,240		135,539
Total fixed maturities, available-for-sale	$	19,108,100	$	16,321,510

Sources of Fixed Maturity Proceeds, Realized 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 and the allowance for credit losses of fixed maturities, for the periods indicated:


	Three Months Ended September 30,				Nine Months Ended September 30,
	2022		2021		2022		2021
	(in thousands)
Fixed maturities, available-for-sale:
Proceeds from sales(1)	$	377,344	$	268,215	$	1,055,433	$	585,205
Proceeds from maturities/prepayments	222,454		180,569		453,241		351,027
Gross investment gains from sales and maturities	(2,527)		7,853		(3,885)		16,361
Gross investment losses from sales and maturities	(2,371)		(2,991)		(44,274)		(14,647)

Write-downs recognized in earnings(2)	(1,088)		(1)		(20,604)		(3)
(Addition to) release of allowance for credit losses	98		(1,678)		(563)		103

(1)Excludes activity from non-cash related proceeds due to the timing of trade settlements of $2.3 million and $(3.5) million for the nine months ended September 30, 2022 and 2021, respectively.

(2)Amounts represent write-downs of credit adverse securities and securities actively marketed for sale.

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:


	Three Months Ended September 30, 2022
	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 period	$	0	$	116	$	4,694	$	0	$	0	$	0	$	4,810
Additions to allowance for credit losses not previously recorded	0		0		534		0		0		7		541

Reductions for securities sold during the period	0		(92)		(21)		0		0		0		(113)
Reductions for securities with intent to sell	0		0		0		0		0		0		0
Additions (reductions) on securities with previous allowance	0		(14)		(512)		0		0		0		(526)


Balance, end of period	$	0	$	10	$	4,695	$	0	$	0	$	7	$	4,712


	Three Months Ended September 30, 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 period	$	0	$	0	$	558	$	0	$	0	$	0	$	558
Additions to allowance for credit losses not previously recorded	0		0		1,558		0		0		0		1,558

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

Additions (reductions) on securities with previous allowance	0		0		124		0		0		0		124


Balance, end of period	$	0	$	0	$	2,237	$	0	$	0	$	0	$	2,237


	Nine Months Ended September 30, 2022
	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 period	$	0	$	11	$	4,138	$	0	$	0	$	0	$	4,149
Additions to allowance for credit losses not previously recorded	0		329		12,696		0		0		7		13,032

Reductions for securities sold during the period	0		(96)		(1,223)		0		0		0		(1,319)
Reductions for securities with intent to sell	0		(324)		(16,666)		0		0		0		(16,990)
Additions (reductions) on securities with previous allowance	0		90		5,750		0		0		0		5,840


Balance, end of period	$	0	$	10	$	4,695	$	0	$	0	$	7	$	4,712


	Nine Months Ended September 30, 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 period	$	0	$	0	$	2,339	$	0	$	0	$	0	$	2,339
Additions to allowance for credit losses not previously recorded	0		0		1,558		0		0		0		1,558

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

Additions (reductions) on securities with previous allowance	0		0		(1,632)		0		0		0		(1,632)


Balance, end of period	$	0	$	0	$	2,237	$	0	$	0	$	0	$	2,237

Commercial Mortgage and Other Loans

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


	September 30, 2022				December 31, 2021
	Amount (in thousands)		% of Total		Amount (in thousands)		% of Total
Commercial mortgage and agricultural property loans by property type:
Apartments/Multi-Family	$	1,175,873	26.7	%	$	748,414	26.4	%
Hospitality	104,635		2.4		48,141		1.7
Industrial	1,586,958		36.1		916,398		32.2
Office	585,829		13.2		445,055		15.7
Other	377,177		8.6		252,590		8.9
Retail	329,143		7.5		255,577		9.0
Total commercial mortgage loans	4,159,615		94.5		2,666,175		93.9
Agricultural property loans	242,060		5.5		172,336		6.1
Total commercial mortgage and agricultural property loans	4,401,675		100.0	%	2,838,511		100.0	%
Allowance for credit losses	(16,132)				(5,951)
Total net commercial mortgage and agricultural property loans	$	4,385,543			$	2,832,560

Allowance for Credit Losses

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


	Three Months Ended September 30,
	2022				2021
	Commercial Mortgage Loans		Agricultural Property Loans		Total		Commercial Mortgage Loans		Agricultural Property Loans		Total
	(in thousands)





Allowance, beginning of period	$	9,704	$	220	$	9,924	$	3,380	$	24	$	3,404


Addition to (release of) allowance for expected losses	6,116		92		6,208		850		0		850




Allowance, end of period	$	15,820	$	312	$	16,132	$	4,230	$	24	$	4,254


	Nine Months Ended September 30,
	2022				2021
	Commercial Mortgage Loans		Agricultural Property Loans		Total		Commercial Mortgage Loans		Agricultural Property Loans		Total
	(in thousands)





Allowance, beginning of period	$	5,847	$	104	$	5,951	$	4,546	$	6	$	4,552


Addition to (release of) allowance for expected losses	9,973		208		10,181		(316)		18		(298)




Allowance, end of period	$	15,820	$	312	$	16,132	$	4,230	$	24	$	4,254

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:


	September 30, 2022
	Amortized Cost by Origination Year
	2022		2021		2020		2019		2018		Prior		Total
	(in thousands)
Commercial Mortgage Loans
Loan-to-Value Ratio:
0%-59.99%	$	90,906	$	226,541	$	36,873	$	155,892	$	102,585	$	897,176	$	1,509,973
60%-69.99%	219,322		596,059		215,695		273,141		160,422		305,514		1,770,153
70%-79.99%	165,886		412,375		104,215		77,670		2,728		97,763		860,637
80% or greater	0		0		0		0		0		18,852		18,852
Total	$	476,114	$	1,234,975	$	356,783	$	506,703	$	265,735	$	1,319,305	$	4,159,615
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	476,114	$	1,228,561	$	244,892	$	446,081	$	249,203	$	1,185,016	$	3,829,867
1.0 - 1.2x	0		6,414		84,070		26,681		16,532		48,303		182,000
Less than 1.0x	0		0		27,821		33,941		0		85,986		147,748
Total	$	476,114	$	1,234,975	$	356,783	$	506,703	$	265,735	$	1,319,305	$	4,159,615
Agricultural Property Loans
Loan-to-Value Ratio:
0%-59.99%	$	37,995	$	132,328	$	26,783	$	16,089	$	6,332	$	22,533	$	242,060
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	$	37,995	$	132,328	$	26,783	$	16,089	$	6,332	$	22,533	$	242,060
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	37,995	$	132,328	$	26,783	$	16,089	$	6,332	$	22,533	$	242,060
1.0 - 1.2x	0		0		0		0		0		0		0
Less than 1.0x	0		0		0		0		0		0		0
Total	$	37,995	$	132,328	$	26,783	$	16,089	$	6,332	$	22,533	$	242,060


	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

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:


	September 30, 2022
	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	$	4,159,615	$	0	$	0	$	0	$	4,159,615	$	0
Agricultural property loans	242,060		0		0		0		242,060		0

Total	$	4,401,675	$	0	$	0	$	0	$	4,401,675	$	0

(1)As of September 30, 2022, 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 to the Consolidated Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2021.


	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.

Other Invested Assets

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


	September 30, 2022		December 31, 2021
	(in thousands)
Company’s investment in separate accounts	$	573	$	53,694
LPs/LLCs:
Equity method:
Private equity	291,802		286,141
Hedge funds	530,458		432,749
Real estate-related	104,304		89,337
Subtotal equity method	926,564		808,227
Fair value:
Private equity	61,474		69,137
Hedge funds	433		481
Real estate-related	9,499		9,861
Subtotal fair value	71,406		79,479
Total LPs/LLCs	997,970		887,706
Derivative instruments	10,226		268,525
Total other invested assets	$	1,008,769	$	1,209,925

Accrued Investment Income

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


	September 30, 2022		December 31, 2021
	(in thousands)
Fixed maturities	$	160,791	$	117,216
Equity securities	381		2
Commercial mortgage and other loans	12,351		7,025
Policy loans	15,178		35,153
Other invested assets	47		254
Short-term investments and cash equivalents	2,854		377

Total accrued investment income	$	191,602	$	160,027

Net Investment Income

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


	Three Months Ended September 30,				Nine Months Ended September 30,
	2022		2021		2022		2021
	(in thousands)
Fixed maturities, available-for-sale	$	153,170	$	85,160	$	384,347	$	208,748
Fixed maturities, trading	12,752		18,458		40,796		19,533
Equity securities	3,077		163		4,429		368
Commercial mortgage and other loans	29,682		17,098		74,731		43,846
Policy loans	5,354		17,748		15,573		52,097
Other invested assets	7,109		47,685		82,142		66,493
Short-term investments and cash equivalents	14,444		303		18,533		463
Gross investment income	225,588		186,615		620,551		391,548
Less: investment expenses	(14,826)		(7,505)		(38,361)		(18,271)
Net investment income	$	210,762	$	179,110	$	582,190	$	373,277

Realized Investment Gains (Losses), Net

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


	Three Months Ended September 30,				Nine Months Ended September 30,
	2022		2021		2022		2021
	(in thousands)
Fixed maturities(1)	$	(5,888)	$	3,183	$	(69,326)	$	1,814

Commercial mortgage and other loans	(7,513)		2,538		(13,872)		3,686
Other invested assets	(75,864)		(6,452)		(72,328)		(5,543)
Derivatives(2)	113,201		(5,007,888)		1,678,490		(5,054,459)

Short-term investments and cash equivalents	22		7		(190)		(4)
Realized investment gains (losses), net	$	23,958	$	(5,008,612)	$	1,522,774	$	(5,054,506)

(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 to the Consolidated Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2021, for more details.

Net Unrealized Gains and (Losses) on Investments

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


	September 30, 2022		December 31, 2021
	(in thousands)


Fixed maturity securities, available-for-sale with an allowance	$	4,377	$	3,685
Fixed maturity securities, available-for-sale without an allowance	(2,786,255)		540,881
Derivatives designated as cash flow hedges(1)	228,289		39,896
Affiliated notes	(13,673)		73
Other investments(2)	(540)		1,854
Net unrealized gains (losses) on investments	$	(2,567,802)	$	586,389

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

(2)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:


	September 30, 2022						December 31, 2021
	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	$	5,530	$	0	$	5,530	$	3,004	$	0	$	3,004

Foreign public corporate securities	3,342		0		3,342		0		0		0




Equity securities	186,055		0		186,055		0		0		0
Total cash collateral for loaned securities(1)	$	194,927	$	0	$	194,927	$	3,004	$	0	$	3,004

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