Investments

12 Months Ended

Dec. 31, 2022

Investments [Abstract]

Investments

3. INVESTMENTS

Fixed Maturity Securities

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

	December 31, 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	$	354,348	$	300	$	72,856	$	0	$	281,792
Obligations of U.S. states and their political subdivisions	654,884		4,275		30,959		0		628,200
Foreign government bonds	330,967		1,140		58,640		5		273,462
U.S. public corporate securities	7,414,790		21,299		992,145		0		6,443,944
U.S. private corporate securities	4,140,734		13,071		335,205		1,871		3,816,729
Foreign public corporate securities	1,539,172		2,455		163,384		21		1,378,222
Foreign private corporate securities	4,338,585		19,761		589,153		2,863		3,766,330
Asset-backed securities(1)	1,467,955		6,976		32,577		0		1,442,354
Commercial mortgage-backed securities	727,159		94		69,101		0		658,152
Residential mortgage-backed securities(2)	342,493		3,211		9,479		9		336,216
Total fixed maturities, available-for-sale	$	21,311,087	$	72,582	$	2,353,499	$	4,769	$	19,025,401

(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.

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, 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	$	212,991	$	46,928	$	62,630	$	25,928	$	275,621	$	72,856
Obligations of U.S. states and their political subdivisions	307,734		16,851		61,915		14,108		369,649		30,959
Foreign government bonds	139,577		19,435		111,371		39,205		250,948		58,640
U.S. public corporate securities	3,873,275		389,937		1,979,725		602,208		5,853,000		992,145
U.S. private corporate securities	2,506,932		157,853		948,686		177,352		3,455,618		335,205
Foreign public corporate securities	548,083		40,508		596,437		122,856		1,144,520		163,364
Foreign private corporate securities	1,772,413		199,124		1,479,608		390,029		3,252,021		589,153
Asset-backed securities	625,710		15,146		289,581		17,431		915,291		32,577
Commercial mortgage-backed securities	459,186		30,408		176,349		38,693		635,535		69,101
Residential mortgage-backed securities	129,721		9,220		1,294		259		131,015		9,479
Total fixed maturities, available-for-sale	$	10,575,622	$	925,410	$	5,707,596	$	1,428,069	$	16,283,218	$	2,353,479

	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

As of December 31, 2022 and 2021, the gross unrealized losses on fixed maturity available-for-sale securities without an allowance were composed of $2,164.1 million and $95.1 million, respectively, related to “1” highest quality or “2” high quality securities based on the National Association of Insurance Commissioners (“NAIC”) or equivalent rating and $189.4 million and $18.4 million, respectively, related to other than high or highest quality securities based on NAIC or equivalent rating. As of December 31, 2022, the $1,428.1 million of gross unrealized losses of twelve months or more were concentrated in the Company’s corporate securities within the finance, consumer non-cyclical and utility sectors. As of December 31, 2021, the $19.4 million of gross unrealized losses of twelve months or more were concentrated in the Company's corporate securities within the utility, finance and consumer non-cyclical sectors.

In accordance with its policy described in Note 2, the Company concluded that an adjustment to earnings for credit losses related to these fixed maturity securities was not warranted at December 31, 2022. This conclusion was based on a detailed analysis of the underlying credit and cash flows on each security. Gross unrealized losses are primarily attributable to increases in interest rates, general credit spread widening, foreign currency exchange rate movements and the financial condition or near-term prospects of the issuer. As of December 31, 2022, the Company did not intend to sell these securities, and it was not more likely than not that the Company would be required to sell these securities before the anticipated recovery of the remaining amortized cost basis.

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

	December 31, 2022
	Amortized Cost		Fair Value
	(in thousands)
Fixed maturities, available-for-sale:
Due in one year or less	$	357,166	$	347,772
Due after one year through five years	4,981,177		4,654,387
Due after five years through ten years	6,798,927		6,120,970
Due after ten years	6,636,210		5,465,550
Asset-backed securities	1,467,955		1,442,354
Commercial mortgage-backed securities	727,159		658,152
Residential mortgage-backed securities	342,493		336,216
Total fixed maturities, available-for-sale	$	21,311,087	$	19,025,401

Actual maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations. Asset-backed, commercial mortgage-backed and residential mortgage-backed securities are shown separately in the table above, as they do not have a single maturity date.

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:

	Years Ended December 31,
	2022		2021		2020
			(in thousands)
Fixed maturities, available-for-sale:
Proceeds from sales(1)	$	1,117,293	$	790,331	$	81,766
Proceeds from maturities/prepayments	624,640		465,347		305,859
Gross investment gains from sales and maturities	5,647		14,972		1,293
Gross investment losses from sales and maturities	(58,432)		(16,674)		(1,878)
Write-downs recognized in earnings(2)	(20,600)		(2)		(4,312)
(Addition to) release of allowance for credit losses	(620)		(1,810)		(2,339)

(1)Excludes activity from non-cash related proceeds due to the timing of trade settlements of $(53.9) million, $(4.4) million and $(2.4) million for the years ended December 31, 2022, 2021 and 2020, respectively.

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

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, 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		12,700		0		0		7		13,036
Reductions for securities sold during the period	0		(96)		(1,702)		0		0		0		(1,798)
Reductions for securities with intent to sell	0		(324)		(16,666)		0		0		0		(16,990)
Additions (reductions) on securities with previous allowance	0		85		6,285		0		0		2		6,372
Balance, end of period	$	0	$	5	$	4,755	$	0	$	0	$	9	$	4,769

	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 period	$	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)
Additions (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 period	$	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)
Additions (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

See Note 2 for additional information about the Company’s methodology for developing our allowance and expected losses.

For the year ended December 31, 2022, the net increase in the allowance for credit losses on available-for-sale securities was primarily related to net additions in the capital goods and utility sectors within private corporate securities due to adverse projected cash flows, partially offset by a net release on restructured private corporate securities within the communications and transportation sectors.

For the year ended December 31, 2021, the net increase in the allowance for credit losses on available-for-sale securities was primarily related to adverse projected cash flows on securities in the transportation and communications sectors within private corporate securities.

The Company did not have any fixed maturity securities purchased with credit deterioration, as of both December 31, 2022 and 2021.

Fixed Maturities, Trading

The net change in unrealized gains (losses) from fixed maturities, trading still held at period end, recorded within “Other income (loss),” was $(728.6) million, $156.1 million and $9.1 million during the years ended December 31, 2022, 2021 and 2020, respectively.

Equity Securities

The net change in unrealized gains (losses) from equity securities still held at period end, recorded within “Other income (loss),” was $(10.2) million, $2.1 million and $(1.2) million during the years ended December 31, 2022, 2021 and 2020, respectively.

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, 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	$	1,289,026	26.0	%	$	748,414	26.4	%
Hospitality	104,177		2.1		48,141		1.7
Industrial	1,766,247		35.8		916,398		32.2
Office	590,897		11.9		445,055		15.7
Other	380,121		7.7		252,590		8.9
Retail	351,457		7.1		255,577		9.0
Total commercial mortgage loans	4,481,925		90.6		2,666,175		93.9
Agricultural property loans	467,018		9.4		172,336		6.1
Total commercial mortgage and agricultural property loans	4,948,943		100.0	%	2,838,511		100.0	%
Allowance for credit losses	(20,263)				(5,951)
Total net commercial mortgage and agricultural property loans	$	4,928,680			$	2,832,560

As of December 31, 2022, the commercial mortgage and agricultural property loans were secured by properties geographically dispersed throughout the United States with the largest concentrations in California (28%), Texas (13%) and New York (6%) and included loans secured by properties in Europe (10%), Mexico (2%) and Australia (1%).

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, 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
Addition to (release of) allowance for expected losses	13,818		494		14,312
Balance at December 31, 2022	$	19,665	$	598	$	20,263

See Note 2 for additional information about the Company's methodology for developing our allowance and expected losses.

For the year ended December 31, 2022, the net increase in the allowance for credit losses on commercial mortgage and other loans was primarily related to loan originations and declining market conditions, partially offset by loan repayments and payoffs.

For the year ended December 31, 2021, the net increase in the allowance for credit losses on commercial mortgage and other loans was primarily related to portfolio growth, partially offset by the improving credit environment.

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, 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%	$	266,453	$	262,095	$	63,558	$	222,638	$	201,087	$	894,646	$	1,910,477
60%-69.99%	344,110		681,996		243,800		219,593		61,757		305,175		1,856,431
70%-79.99%	166,629		304,386		47,388		66,148		2,409		53,336		640,296
80% or greater	0		0		0		3,249		0		71,472		74,721
Total	$	777,192	$	1,248,477	$	354,746	$	511,628	$	265,253	$	1,324,629	$	4,481,925
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	744,301	$	1,248,477	$	243,325	$	452,626	$	258,617	$	1,203,807	$	4,151,153
1.0 - 1.2x	32,891		0		83,655		26,558		6,636		45,742		195,482
Less than 1.0x	0		0		27,766		32,444		0		75,080		135,290
Total	$	777,192	$	1,248,477	$	354,746	$	511,628	$	265,253	$	1,324,629	$	4,481,925
Agricultural property loans
Loan-to-Value Ratio:
0%-59.99%	$	208,708	$	133,126	$	25,894	$	16,053	$	6,327	$	20,700	$	410,808
60%-69.99%	56,210		0		0		0		0		0		56,210
70%-79.99%	0		0		0		0		0		0		0
80% or greater	0		0		0		0		0		0		0
Total	$	264,918	$	133,126	$	25,894	$	16,053	$	6,327	$	20,700	$	467,018
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	262,918	$	133,126	$	25,894	$	16,053	$	6,327	$	20,700	$	465,018
1.0 - 1.2x	2,000		0		0		0		0		0		2,000
Less than 1.0x	0		0		0		0		0		0		0
Total	$	264,918	$	133,126	$	25,894	$	16,053	$	6,327	$	20,700	$	467,018

	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

See Note 2 for additional information about the Company’s commercial mortgage and other loans credit quality monitoring process.

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, 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	$	4,481,925	$	0	$	0	$	0	$	4,481,925	$	0
Agricultural property loans	465,689		0		1,329		0		467,018		0
Total	$	4,947,614	$	0	$	1,329	$	0	$	4,948,943	$	0

(1)As of December 31, 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.

	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.

For the years ended December 31, 2022 and 2021, there were $27.6 million and $1,344.3 million, respectively, of commercial mortgage loans acquired, other than those through direct origination. For the years ended December 31, 2022 and 2021, there were $24.8 million and $68.8 million of commercial mortgage and other loans sold, respectively.

The Company did not have any commercial mortgage and other loans purchased with credit deterioration, as of both December 31, 2022 and 2021.

Other Invested Assets

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

	December 31,
	2022		2021
	(in thousands)
Company's investment in separate accounts(1)	$	510	$	53,694
LPs/LLCs:
Equity method:
Private equity	287,969		286,141
Hedge funds	576,595		432,749
Real estate-related	107,429		89,337
Subtotal equity method	971,993		808,227
Fair value:
Private equity	59,146		69,137
Hedge funds	396		481
Real estate-related	9,457		9,861
Subtotal fair value	68,999		79,479
Total LPs/LLCs	1,040,992		887,706
Derivative instruments	47,111		268,525
Total other invested assets	$	1,088,613	$	1,209,925

(1)Assets consist of investments in separate account funds. The largest fund was liquidated during 2022.

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,
	2022		2021
	(in thousands)
STATEMENTS OF FINANCIAL POSITION
Total assets(1)	$	67,721,613	$	72,416,906
Total liabilities(2)	$	12,174,133	$	12,120,390
Partners’ capital	55,547,480		60,296,516
Total liabilities and partners’ capital	$	67,721,613	$	72,416,906
Total liabilities and partners’ capital included above	$	815,783	$	746,870
Equity in LP/LLC interests not included above	214,442		201,541
Carrying value	$	1,030,225	$	948,411

(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,
	2022		2021		2020
	(in thousands)
STATEMENTS OF OPERATIONS
Total revenue(1)	$	11,062,060	$	11,031,051	$	565,409
Total expenses(2)	(1,655,673)		(2,044,942)		(201,644)
Net earnings (losses)	$	9,406,387	$	8,986,109	$	363,765
Equity in net earnings (losses) included above	$	(36,513)	$	62,173	$	8,644
Equity in net earnings (losses) of LP/LLC interests not included above	7,320		28,765		25,859
Total equity in net earnings (losses)	$	(29,193)	$	90,938	$	34,503

(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,
	2022		2021
	(in thousands)
Fixed maturities	$	187,628	$	117,216
Equity securities	349		2
Commercial mortgage and other loans	13,335		7,025
Policy loans	14,525		35,153
Other invested assets	48		254
Short-term investments and cash equivalents	3,750		377
Total accrued investment income	$	219,635	$	160,027

There were $0.0 million and $0.1 million of write-downs on accrued investment income for the years ended December 31, 2022 and 2021.

Net Investment Income

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

	Years Ended December 31,
	2022		2021		2020
	(in thousands)
Fixed maturities, available-for-sale	$	589,248	$	299,607	$	224,262
Fixed maturities, trading	55,790		38,778		1,768
Equity securities	8,226		530		410
Commercial mortgage and other loans	119,358		63,548		50,534
Policy loans	21,189		69,602		70,363
Other invested assets	101,289		104,375		36,684
Short-term investments and cash equivalents	44,182		712		3,219
Gross investment income	939,282		577,152		387,240
Less: investment expenses	(55,281)		(26,917)		(19,890)
Net investment income	$	884,001	$	550,235	$	367,350

The carrying value of non-income producing assets included $13.2 million in available-for-sale fixed maturities and less than $1 million in fixed maturities trading as of December 31, 2022. Non-income producing assets represent investments that had not produced income for the twelve months preceding December 31, 2022.

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,
	2022		2021		2020
	(in thousands)
Fixed maturities(1)	$	(74,005)	$	(3,514)	$	(7,236)
Commercial mortgage and other loans	(18,201)		1,535		(226)
Other invested assets	(78,671)		(2,737)		(287)
Derivatives(2)	1,212,366		(5,291,043)		(55,003)
Short-term investments and cash equivalents	(54)		353		(224)
Realized investment gains (losses), net	$	1,041,435	$	(5,295,406)	$	(62,976)

(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 (Losses) on Investments within AOCI

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

	December 31,
	2022		2021		2020
	(in thousands)
Fixed maturity securities, available-for-sale with an allowance	$	4,371	$	3,685	$	0
Fixed maturity securities, available-for-sale without an allowance	(2,285,288)		540,881		857,599
Derivatives designated as cash flow hedges(1)	138,627		39,896		(8,112)
Affiliated notes	(13,189)		73		4,024
Other investments(2)	(274)		1,854		(4,162)
Net unrealized gains (losses) on investments	$	(2,155,753)	$	586,389	$	849,349

(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

In the normal course of business, the Company sells securities under agreements to repurchase and enters into securities lending transactions. As of both December 31, 2022 and 2021, the Company had no repurchase agreements.

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, 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)
Foreign government bonds	$	506	$	0	$	506	$	0	$	0	$	0
U.S. public corporate securities	7,903		0		7,903		3,004		0		3,004
Foreign public corporate securities	12,873		0		12,873		0		0		0
Equity securities	65,468		0		65,468		0		0		0
Total cash collateral for loaned securities(1)	$	86,750	$	0	$	86,750	$	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.

Securities Pledged, Restricted Assets and Special Deposits

The Company pledges as collateral investment securities it owns to unaffiliated parties through certain transactions, including securities lending, securities sold under agreements to repurchase, collateralized borrowings and postings of collateral with derivative counterparties. 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,
	2022		2021
	(in thousands)
Pledged collateral:
Fixed maturity securities, available-for-sale	$	20,553	$	2,871
Equity securities	63,895		0
Total securities pledged	$	84,448	$	2,871
Liabilities supported by the pledged collateral:
Cash collateral for loaned securities	$	86,750	$	3,004
Total liabilities supported by the pledged collateral	$	86,750	$	3,004

In the normal course of its business activities, the Company accepts collateral that can be sold or repledged. The primary sources of this collateral are securities purchased under agreements to resell. As of December 31, 2022 and 2021, there were $290 million and $0 million of collateral that could be sold or repledged.

As of December 31, 2022 and 2021, there were available-for-sale fixed maturities of $3.9 million and $4.1 million, respectively, on deposit with governmental authorities or trustees as required by certain insurance laws.