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Investments

3 Months Ended

Mar. 31, 2023

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:


	March 31, 2023
	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	$	393,303	$	1,431	$	60,356	$	0	$	334,378
Obligations of U.S. states and their political subdivisions	667,170		6,379		21,034		0		652,515
Foreign government bonds	336,462		1,465		53,779		0		284,148
U.S. public corporate securities	8,853,155		57,490		828,895		1,333		8,080,417
U.S. private corporate securities	4,223,059		22,143		273,159		2,366		3,969,677
Foreign public corporate securities	1,713,147		4,616		144,369		21		1,573,373
Foreign private corporate securities	4,330,680		52,856		492,024		0		3,891,512
Asset-backed securities(1)	1,612,625		10,641		24,991		0		1,598,275
Commercial mortgage-backed securities	852,719		135		71,582		0		781,272
Residential mortgage-backed securities(2)	412,511		5,520		7,240		7		410,784
Total fixed maturities, available-for-sale	$	23,394,831	$	162,676	$	1,977,429	$	3,727	$	21,576,351

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

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


	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.

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:


	March 31, 2023
	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	$	1,261	$	47	$	226,808	$	60,309	$	228,069	$	60,356
Obligations of U.S. states and their political subdivisions	177,246		3,715		131,870		17,319		309,116		21,034
Foreign government bonds	51,873		2,735		204,214		51,044		256,087		53,779
U.S. public corporate securities	2,412,858		79,317		3,476,659		749,576		5,889,517		828,893
U.S. private corporate securities	1,626,805		66,067		1,568,743		207,075		3,195,548		273,142
Foreign public corporate securities	440,424		8,543		786,528		135,797		1,226,952		144,340
Foreign private corporate securities	643,840		31,960		2,170,834		460,064		2,814,674		492,024
Asset-backed securities	292,413		1,821		578,545		23,170		870,958		24,991
Commercial mortgage-backed securities	319,058		20,512		382,225		51,070		701,283		71,582
Residential mortgage-backed securities	138,586		4,327		23,119		2,913		161,705		7,240
Total fixed maturities, available-for-sale	$	6,104,364	$	219,044	$	9,549,545	$	1,758,337	$	15,653,909	$	1,977,381


	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

As of March 31, 2023 and December 31, 2022, the gross unrealized losses on fixed maturity available-for-sale securities without an allowance were composed of $1,823.5 million and $2,164.1 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 $153.9 million and $189.4 million, respectively, related to other than high or highest quality securities based on NAIC or equivalent rating. As of March 31, 2023, the $1,758.3 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, 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.

In accordance with its policy described in Note 2 to the Consolidated Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2022, the Company concluded that an adjustment to earnings for credit losses related to these fixed maturity securities was not warranted at March 31, 2023. 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 March 31, 2023, 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:


	March 31, 2023
	Amortized Cost		Fair Value
	(in thousands)
Fixed maturities, available-for-sale:
Due in one year or less	$	870,760	$	849,831
Due after one year through five years	7,032,893		6,696,100
Due after five years through ten years	5,691,131		5,254,702
Due after ten years	6,922,192		5,985,387
Asset-backed securities	1,612,625		1,598,275
Commercial mortgage-backed securities	852,719		781,272
Residential mortgage-backed securities	412,511		410,784
Total fixed maturities, available-for-sale	$	23,394,831	$	21,576,351

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:


	Three Months Ended March 31,
		2023		2022
		(in thousands)
Fixed maturities, available-for-sale:
Proceeds from sales(1)		$	60,373	$	274,429
Proceeds from maturities/prepayments		295,128		120,361
Gross investment gains from sales and maturities		2,672		(706)
Gross investment losses from sales and maturities		(11,938)		(19,442)
Write-downs recognized in earnings(2)		3		3
(Addition to) release of allowance for credit losses		1,042		(16,576)

(1)Excludes activity from non-cash related proceeds due to the timing of trade settlements of $54.9 million and $2.3 million for the three months ended March 31, 2023 and 2022, respectively.

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

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 March 31, 2023
	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	$	5	$	4,755	$	0	$	0	$	9	$	4,769
Additions to allowance for credit losses not previously recorded	0		0		2,923		0		0		0		2,923
Reductions for securities sold during the period	0		(1)		(3,733)		0		0		0		(3,734)

Additions (reductions) on securities with previous allowance	0		(4)		(225)		0		0		(2)		(231)
Balance, end of period	$	0	$	0	$	3,720	$	0	$	0	$	7	$	3,727


	Three Months Ended March 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		9,258		0		0		0		9,587
Reductions for securities sold during the period	0		(3)		0		0		0		0		(3)
Additions (reductions) on securities with previous allowance	0		62		6,930		0		0		0		6,992
Balance, end of period	$	0	$	399	$	20,326	$	0	$	0	$	0	$	20,725

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, 2022 for additional information about the Company's methodology for developing our allowance and expected losses.

For the three months ended March 31, 2023, the net decrease in the allowance for credit losses on available-for-sale securities was primarily related to restructurings within the capital goods and transportation sectors within private corporate securities, partially offset by adverse projected cash flows in the finance and technology sectors within private corporate securities. For the three months ended March 31, 2022, 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 utility and communication sectors within private corporate securities.

The Company did not have any fixed maturity securities purchased with credit deterioration, as of both March 31, 2023 and December 31, 2022.

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 $96.1 million and $(336.4) million during the three months ended March 31, 2023 and 2022, respectively.

Equity Securities

The net change in unrealized gains (losses) from equity securities still held at period end, recorded within “Other income (loss)”, was $9.2 million and $(4.1) million during the three months ended March 31, 2023 and 2022, respectively.

Commercial Mortgage and Other Loans

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


	March 31, 2023				December 31, 2022
	Amount (in thousands)		% of Total		Amount (in thousands)		% of Total
Commercial mortgage and agricultural property loans by property type:
Apartments/Multi-Family	$	1,287,854	25.3	%	$	1,289,026	26.0	%
Hospitality	103,717		2.0		104,177		2.1
Industrial	1,890,743		37.1		1,766,247		35.8
Office	588,536		11.6		590,897		11.9
Other	380,518		7.5		380,121		7.7
Retail	369,908		7.3		351,457		7.1
Total commercial mortgage loans	4,621,276		90.8		4,481,925		90.6
Agricultural property loans	471,441		9.2		467,018		9.4
Total commercial mortgage and agricultural property loans	5,092,717		100.0	%	4,948,943		100.0	%
Allowance for credit losses	(21,410)				(20,263)
Total net commercial mortgage and agricultural property loans	$	5,071,307			$	4,928,680

As of March 31, 2023, 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 (5%)) 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:


	Three Months Ended March 31,
	2023				2022
	Commercial Mortgage Loans		Agricultural Property Loans		Total		Commercial Mortgage Loans		Agricultural Property Loans		Total
	(in thousands)
Allowance, beginning of period	$	19,665	$	598	$	20,263	$	5,847	$	104	$	5,951
Addition to (release of) allowance for expected losses	762		385		1,147		477		18		495
Allowance, end of period	$	20,427	$	983	$	21,410	$	6,324	$	122	$	6,446

For the three months ended March 31, 2023, the net increase in the allowance for credit losses on commercial mortgage and other loans was primarily related to an increase in the general allowance due to declining market conditions and portfolio growth. For the three months ended March 31, 2022, the net increase in the allowance for credit losses on commercial mortgage and other loans was primarily related to loan originations.

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:


	March 31, 2023
	Amortized Cost by Origination Year
	2023		2022		2021		2020		2019		Prior		Revolving Loans		Total
	(in thousands)
Commercial mortgage loans
Loan-to-Value Ratio:
0%-59.99%	$	18,330	$	266,659	$	251,462	$	63,455	$	223,483	$	1,088,037	$	0	$	1,911,426
60%-69.99%	98,256		347,208		719,339		250,659		219,868		352,310		0		1,987,640
70%-79.99%	36,284		168,211		279,817		41,687		68,320		59,663		0		653,982
80% or greater	0		0		0		0		957		67,271		0		68,228
Total	$	152,870	$	782,078	$	1,250,618	$	355,801	$	512,628	$	1,567,281	$	0	$	4,621,276
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	152,870	$	749,363	$	1,250,618	$	244,850	$	455,241	$	1,449,893	$	0	$	4,302,835
1.0 - 1.2x	0		32,715		0		83,239		26,336		27,209		0		169,499
Less than 1.0x	0		0		0		27,712		31,051		90,179		0		148,942
Total	$	152,870	$	782,078	$	1,250,618	$	355,801	$	512,628	$	1,567,281	$	0	$	4,621,276
Agricultural property loans
Loan-to-Value Ratio:
0%-59.99%	$	11,430	$	197,869	$	132,177	$	26,379	$	15,989	$	26,637	$	4,750	$	415,231
60%-69.99%	0		56,210		0		0		0		0		0		56,210
70%-79.99%	0		0		0		0		0		0		0		0
80% or greater	0		0		0		0		0		0		0		0
Total	$	11,430	$	254,079	$	132,177	$	26,379	$	15,989	$	26,637	$	4,750	$	471,441
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	11,430	$	252,079	$	132,177	$	26,379	$	15,989	$	26,637	$	4,750	$	469,441
1.0 - 1.2x	0		2,000		0		0		0		0		0		2,000
Less than 1.0x	0		0		0		0		0		0		0		0
Total	$	11,430	$	254,079	$	132,177	$	26,379	$	15,989	$	26,637	$	4,750	$	471,441


	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

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, 2022 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:


	March 31, 2023
	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	$	4,621,276	$	0	$	0	$	0	$	4,621,276	$	0
Agricultural property loans	470,112		0		0		1,329		471,441		0
Total	$	5,091,388	$	0	$	0	$	1,329	$	5,092,717	$	0

(1)As of March 31, 2023, 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, 2022.


	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.

For both the three months ended March 31, 2023 and 2022, there were no commercial mortgage and other loans acquired, other than those through direct origination, and there were no commercial mortgage and other loans sold.

The Company did not have any commercial mortgage and other loans purchased with credit deterioration, as of both March 31, 2023 and December 31, 2022.

Other Invested Assets

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


	March 31, 2023		December 31, 2022
	(in thousands)
Company’s investment in separate accounts	$	455	$	510
LPs/LLCs:
Equity method:
Private equity	302,205		287,969
Hedge funds	601,566		576,595
Real estate-related	91,419		107,429
Subtotal equity method	995,190		971,993
Fair value:
Private equity	59,006		59,146
Hedge funds	318		396
Real estate-related	9,015		9,457
Subtotal fair value	68,339		68,999
Total LPs/LLCs	1,063,529		1,040,992
Derivative instruments	11,232		47,111
Total other invested assets	$	1,075,216	$	1,088,613

Accrued Investment Income

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


	March 31, 2023		December 31, 2022
	(in thousands)
Fixed maturities	$	213,062	$	187,628
Equity securities	381		349
Commercial mortgage and other loans	15,429		13,335
Policy loans	14,771		14,525
Other invested assets	50		48
Short-term investments and cash equivalents	6,080		3,750
Total accrued investment income	$	249,773	$	219,635

There were no significant write-downs on accrued investment income for both the three months ended March 31, 2023 and 2022.

Net Investment Income

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


	Three Months Ended March 31,
		2023		2022
		(in thousands)
Fixed maturities, available-for-sale		$	234,810	$	109,191
Fixed maturities, trading		17,874		15,565
Equity securities		2,777		162
Commercial mortgage and other loans		48,656		22,248
Policy loans		4,996		16,944
Other invested assets		26,099		24,912
Short-term investments and cash equivalents		31,176		648
Gross investment income		366,388		189,670
Less: investment expenses		(16,938)		(10,370)
Net investment income		$	349,450	$	179,300

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 March 31,
	2023		2022
	(in thousands)
Fixed maturities(1)	$	(8,221)	$	(36,721)
Commercial mortgage and other loans	(1,278)		(603)
Other invested assets	5,627		1,642
Derivatives	(118,270)		389,227
Short-term investments and cash equivalents	1,463		(264)
Realized investment gains (losses), net	$	(120,679)	$	353,281

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

Net Unrealized Gains (Losses) on Investments within AOCI

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


	March 31, 2023		December 31, 2022
	(in thousands)
Fixed maturity securities, available-for-sale with an allowance	$	4,164	$	4,371
Fixed maturity securities, available-for-sale without an allowance	(1,818,917)		(2,285,288)
Derivatives designated as cash flow hedges(1)	118,340		138,627
Affiliated notes	(12,139)		(13,189)
Other investments(2)	(1,205)		(1,176)
Net unrealized gains (losses) on investments	$	(1,709,757)	$	(2,156,655)

(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 March 31, 2023 and December 31, 2022, 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:


	March 31, 2023						December 31, 2022
	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	$	510	$	0	$	510	$	506	$	0	$	506
U.S. public corporate securities	8,064		0		8,064		7,903		0		7,903
Foreign public corporate securities	3,053		0		3,053		12,873		0		12,873
Equity securities	147,925		0		147,925		65,468		0		65,468
Total cash collateral for loaned securities(1)	$	159,552	$	0	$	159,552	$	86,750	$	0	$	86,750

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