Investments

9 Months Ended

Sep. 30, 2023

Investments [Abstract]

Investments

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:

	September 30, 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	$	392,452	$	119	$	99,511	$	0	$	293,060
Obligations of U.S. states and their political subdivisions	794,103		562		62,748		0		731,917
Foreign government bonds	341,894		628		75,489		0		267,033
U.S. public corporate securities	10,141,650		9,571		1,313,950		1,097		8,836,174
U.S. private corporate securities	4,958,820		3,596		427,455		2,946		4,532,015
Foreign public corporate securities	1,883,846		1,134		190,248		264		1,694,468
Foreign private corporate securities	4,802,652		19,942		622,422		0		4,200,172
Asset-backed securities(1)	2,037,295		15,615		23,202		0		2,029,708
Commercial mortgage-backed securities	926,653		32		93,898		0		832,787
Residential mortgage-backed securities(2)	403,193		139		22,303		8		381,021
Total fixed maturities, available-for-sale	$	26,682,558	$	51,338	$	2,931,226	$	4,315	$	23,798,355

(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:

	September 30, 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	$	97,348	$	3,963	$	191,991	$	95,548	$	289,339	$	99,511
Obligations of U.S. states and their political subdivisions	448,520		24,252		212,638		38,496		661,158		62,748
Foreign government bonds	36,806		3,030		223,995		72,459		260,801		75,489
U.S. public corporate securities	3,555,490		173,174		4,847,346		1,140,717		8,402,836		1,313,891
U.S. private corporate securities	1,574,199		66,338		2,620,568		361,085		4,194,767		427,423
Foreign public corporate securities	588,547		15,738		951,916		174,194		1,540,463		189,932
Foreign private corporate securities	1,426,572		58,934		2,293,089		563,488		3,719,661		622,422
Asset-backed securities	580,841		7,610		599,359		15,592		1,180,200		23,202
Commercial mortgage-backed securities	177,533		3,454		584,984		90,444		762,517		93,898
Residential mortgage-backed securities	258,938		8,288		119,993		14,014		378,931		22,302
Total fixed maturities, available-for-sale	$	8,744,794	$	364,781	$	12,645,879	$	2,566,037	$	21,390,673	$	2,930,818

	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 September 30, 2023 and December 31, 2022, the gross unrealized losses on fixed maturity available-for-sale securities without an allowance of $2,754.1 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 $176.7 million and $189.4 million, respectively, related to other than high or highest quality securities based on NAIC or equivalent rating. As of September 30, 2023, the $2,566.0 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 restated Consolidated Financial Statements for the year ended December 31, 2022 included as Exhibit 99.1 within the Company's Current Report on Form 8-K filed on July 14, 2023, the Company concluded that an adjustment to earnings for credit losses related to these fixed maturity securities was not warranted at September 30, 2023. This conclusion was based on detailed analysis of the underlying credit and cash flows for each security. Gross unrealized losses are primarily attributable to increases in interest rates, general credit spread widening and foreign currency exchange rate movements . As of September 30, 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 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:

	September 30, 2023
	Amortized Cost		Fair Value
	(in thousands)
Fixed maturities, available-for-sale:
Due in one year or less	$	753,797	$	735,127
Due after one year through five years	8,340,245		7,851,028
Due after five years through ten years	6,783,822		6,071,535
Due after ten years	7,437,553		5,897,149
Asset-backed securities	2,037,295		2,029,708
Commercial mortgage-backed securities	926,653		832,787
Residential mortgage-backed securities	403,193		381,021
Total fixed maturities, available-for-sale	$	26,682,558	$	23,798,355

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 September 30,				Nine Months Ended September 30,
	2023		2022		2023		2022
	(in thousands)
Fixed maturities, available-for-sale:
Proceeds from sales(1)	$	151,383	$	377,344	$	280,064	$	1,055,433
Proceeds from maturities/prepayments	318,188		222,454		806,521		453,241
Gross investment gains from sales and maturities	1,377		(2,527)		10,826		(3,885)
Gross investment losses from sales and maturities	(10,920)		(2,371)		(28,445)		(44,274)
Write-downs recognized in earnings(2)	4		(1,088)		11		(20,604)
(Addition to) release of allowance for credit losses	608		98		454		(563)

(1)Excludes activity from non-cash related proceeds due to the timing of trade settlements of $10.0 million and $2.3 million for the nine months ended September 30, 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 September 30, 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	$	0	$	4,917	$	0	$	0	$	6	$	4,923
Additions to allowance for credit losses not previously recorded	0		0		374		0		0		0		374
Reductions for securities sold during the period	0		0		(1,280)		0		0		0		(1,280)
Reductions for securities with intent to sell	0		0		0		0		0		0		0
Additions (reductions) on securities with previous allowance	0		0		296		0		0		2		298
Balance, end of period	$	0	$	0	$	4,307	$	0	$	0	$	8	$	4,315

	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

	Nine Months Ended September 30, 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		3,539		0		0		0		3,539
Reductions for securities sold during the period	0		(1)		(5,054)		0		0		0		(5,055)
Reductions for securities with intent to sell	0		0		0		0		0		0		0
Additions (reductions) on securities with previous allowance	0		(4)		1,067		0		0		(1)		1,062
Balance, end of period	$	0	$	0	$	4,307	$	0	$	0	$	8	$	4,315

	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

See Note 2 to the Consolidated Financial Statements included in the Company’s restated Consolidated Financial Statements for the year ended December 31, 2022 included as Exhibit 99.1 within the Company's Current Report on Form 8-K filed on July 14, 2023 for additional information about the Company's methodology for developing our allowance and expected losses.

For the three months ended September 30, 2023, the net decrease in the allowance for credit losses on available-for-sale securities was primarily related to net reductions within the utility sector within corporate securities, due to an investment restructuring. For the three months ended September 30, 2022, the net decrease in the allowance for credit losses on available-for-sale securities was primarily related to recoveries in the capital goods and transportation sectors within corporate securities.

For the nine months ended September 30, 2023, the net decrease in the allowance for credit losses on available-for-sale securities was primarily related to net reductions within the capital goods and utility sectors within corporate securities due to restructurings, partially offset by net additions within the technology and finance sectors within corporate securities due to adverse projected cashflows. For the nine months ended September 30, 2022, the net increase in the allowance for credit losses on available-for-sale securities was primarily related to adverse projected cash flows in the consumer non-cyclical and utility sectors within corporate securities, partially offset by a recovery in the transportation sector.

The Company did not have any fixed maturity securities purchased with credit deterioration, as of both September 30, 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 $(221.6) million and $(194.6) million during the three months ended September 30, 2023 and 2022, respectively, and $(179.0) million and $(715.1) million during the nine months ended September 30, 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 $(10.9) million and $(10.2) million during the three months ended September 30, 2023 and 2022, respectively, and $(2.8) million and $(24.3) million during the nine months ended September 30, 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:

	September 30, 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	$	1,450,305	26.3	%	$	1,289,026	26.0	%
Hospitality	102,536		1.9		104,177		2.1
Industrial	2,097,019		38.0		1,766,247		35.8
Office	580,189		10.5		590,897		11.9
Other	410,324		7.4		380,121		7.7
Retail	364,678		6.6		351,457		7.1
Total commercial mortgage loans	5,005,051		90.7		4,481,925		90.6
Agricultural property loans	514,918		9.3		467,018		9.4
Total commercial mortgage and agricultural property loans	5,519,969		100.0	%	4,948,943		100.0	%
Allowance for credit losses	(27,100)				(20,263)
Total net commercial mortgage and agricultural property loans	$	5,492,869			$	4,928,680

As of September 30, 2023, the commercial mortgage and agricultural property loans were secured by properties geographically dispersed throughout the United States with the largest concentrations in California (29%), Texas (12%) and New York (5%), and included loans secured by properties in Europe (9%), Mexico (2%) and Australia (1%).

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,
	2023						2022
	Commercial Mortgage Loans		Agricultural Property Loans		Total		Commercial Mortgage Loans		Agricultural Property Loans		Total
	(in thousands)
Allowance, beginning of period	$	21,133	$	960	$	22,093	$	9,704	$	220	$	9,924
Addition to (release of) allowance for expected losses	5,055		(48)		5,007		6,116		92		6,208
Allowance, end of period	$	26,188	$	912	$	27,100	$	15,820	$	312	$	16,132

	Nine Months Ended September 30,
	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	6,523		314		6,837		9,973		208		10,181
Allowance, end of period	$	26,188	$	912	$	27,100	$	15,820	$	312	$	16,132

See Note 2 to the Consolidated Financial Statements included in the Company’s restated Consolidated Financial Statements for the year ended December 31, 2022 included as Exhibit 99.1 within the Company's Current Report on Form 8-K filed on July 14, 2023 for additional information about the Company's methodology for developing our allowance and expected losses.

For the three months ended September 30, 2023, the net increase in the allowance for credit losses on commercial mortgage and other loans was due to an increase in loan specific reserves and an increase in the general allowance due to declining market conditions and loan originations. For the three months ended September 30, 2022, 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 loan originations.

For the nine months ended September 30, 2023, the net increase in the allowance for credit losses on commercial mortgage and other loans was primarily related to an increase in loan specific reserves and an increase in the general allowance due to current market conditions and loan originations. For the nine months ended September 30, 2022, 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 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:

	September 30, 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%	$	195,586	$	245,400	$	454,857	$	98,187	$	256,820	$	1,126,765	$	0	$	2,377,615
60%-69.99%	194,755		378,576		503,195		180,257		215,928		188,358		0		1,661,069
70%-79.99%	197,272		155,548		222,693		71,335		20,950		74,022		0		741,820
80% or greater	0		0		73,415		3,801		13,316		134,015		0		224,547
Total	$	587,613	$	779,524	$	1,254,160	$	353,580	$	507,014	$	1,523,160	$	0	$	5,005,051
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	495,769	$	775,990	$	1,254,160	$	282,245	$	468,051	$	1,422,566	$	0	$	4,698,781
1.0 - 1.2x	91,844		3,534		0		0		23,667		7,904		0		126,949
Less than 1.0x	0		0		0		71,335		15,296		92,690		0		179,321
Total	$	587,613	$	779,524	$	1,254,160	$	353,580	$	507,014	$	1,523,160	$	0	$	5,005,051
Agricultural property loans
Loan-to-Value Ratio:
0%-59.99%	$	27,184	$	186,471	$	132,028	$	26,052	$	15,880	$	26,342	$	4,750	$	418,707
60%-69.99%	34,315		56,210		0		0		0		0		0		90,525
70%-79.99%	5,686		0		0		0		0		0		0		5,686
80% or greater	0		0		0		0		0		0		0		0
Total	$	67,185	$	242,681	$	132,028	$	26,052	$	15,880	$	26,342	$	4,750	$	514,918
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	67,185	$	240,681	$	132,028	$	26,052	$	15,880	$	26,342	$	4,750	$	512,918
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	$	67,185	$	242,681	$	132,028	$	26,052	$	15,880	$	26,342	$	4,750	$	514,918

	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 restated Consolidated Financial Statements for the year ended December 31, 2022 included as Exhibit 99.1 within the Company's Current Report on Form 8-K filed on July 14, 2023 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:

	September 30, 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	$	5,005,051	$	0	$	0	$	0	$	5,005,051	$	0
Agricultural property loans	514,918		0		0		0		514,918		0
Total	$	5,519,969	$	0	$	0	$	0	$	5,519,969	$	0

(1)As of September 30, 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 restated Consolidated Financial Statements for the year ended December 31, 2022 included as Exhibit 99.1 within the Company's Current Report on Form 8-K filed on July 14, 2023.

	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 to the Consolidated Financial Statements included in the Company’s restated Consolidated Financial Statements for the year ended December 31, 2022 included as Exhibit 99.1 within the Company's Current Report on Form 8-K filed on July 14, 2023.

For both the three months ended September 30, 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.

For the nine months ended September 30, 2023 and 2022, there were $0.0 million and $27.6 million of commercial mortgage and other loans acquired, other than those through direct origination, and there were $0.0 million and $24.8 million of commercial mortgage and other loans sold.

The Company did not have any commercial mortgage and other loans purchased with credit deterioration, as of both September 30, 2023 and December 31, 2022.

Other Invested Assets

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

	September 30, 2023		December 31, 2022
	(in thousands)
Company’s investment in separate accounts	$	426	$	510
LPs/LLCs:
Equity method:
Private equity	340,262		287,969
Hedge funds	670,663		576,595
Real estate-related	92,674		107,429
Subtotal equity method	1,103,599		971,993
Fair value:
Private equity	56,468		59,146
Hedge funds	194		396
Real estate-related	8,313		9,457
Subtotal fair value	64,975		68,999
Total LPs/LLCs	1,168,574		1,040,992
Derivative instruments	34,591		47,111
Total other invested assets	$	1,203,591	$	1,088,613

Accrued Investment Income

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

	September 30, 2023		December 31, 2022
	(in thousands)
Fixed maturities	$	258,396	$	187,628
Equity securities	403		349
Commercial mortgage and other loans	17,985		13,335
Policy loans	25,416		14,525
Other invested assets	43		48
Short-term investments and cash equivalents	6,665		3,750
Total accrued investment income	$	308,908	$	219,635

There were no significant write-downs on accrued investment income for both the three and nine months ended September 30, 2023 and 2022.

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,
	2023		2022		2023		2022
	(in thousands)
Fixed maturities, available-for-sale	$	312,405	$	153,170	$	822,933	$	384,347
Fixed maturities, trading	26,104		12,752		65,739		40,796
Equity securities	3,886		3,077		9,206		4,429
Commercial mortgage and other loans	58,673		29,682		163,646		74,731
Policy loans	15,962		5,354		31,580		15,573
Other invested assets	36,152		7,109		77,875		82,142
Short-term investments and cash equivalents	27,347		14,444		88,105		18,533
Gross investment income	480,529		225,588		1,259,084		620,551
Less: investment expenses	(19,665)		(14,826)		(55,695)		(38,361)
Net investment income	$	460,864	$	210,762	$	1,203,389	$	582,190

            

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,
	2023		2022		2023		2022
	(in thousands)
Fixed maturities(1)	$	(8,931)	$	(5,888)	$	(17,154)	$	(69,326)
Commercial mortgage and other loans	(5,059)		(7,513)		(7,143)		(13,872)
Other invested assets	10,856		(75,864)		24,052		(72,328)
Derivatives(2)	(465,176)		186,514		(582,846)		966,487
Short-term investments and cash equivalents	54		22		1,850		(190)
Realized investment gains (losses), net(2)	$	(468,256)	$	97,271	$	(581,241)	$	810,771

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

(2)Prior period amounts adjusted for the implementation of ASU 2018-12: Targeted Improvements to the Accounting for Long-Duration Contracts.

Net Unrealized Gains (Losses) on Investments within AOCI

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

	September 30, 2023		December 31, 2022
	(in thousands)
Fixed maturity securities, available-for-sale with an allowance	$	742	$	4,371
Fixed maturity securities, available-for-sale without an allowance	(2,880,630)		(2,285,288)
Derivatives designated as cash flow hedges(1)	94,460		138,627
Affiliated notes	(12,218)		(13,189)
Other investments(2)(3)	(1,255)		(1,176)
Net unrealized gains (losses) on investments	$	(2,798,901)	$	(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".

(3)Prior period amounts adjusted for the implementation of ASU 2018-12: Targeted Improvements to the Accounting for Long-Duration Contracts.

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 September 30, 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:

	September 30, 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	$	490	$	0	$	490	$	506	$	0	$	506
U.S. public corporate securities	6,879		0		6,879		7,903		0		7,903
Foreign public corporate securities	3,362		0		3,362		12,873		0		12,873
Equity securities	173,270		0		173,270		65,468		0		65,468
Total cash collateral for loaned securities(1)	$	184,001	$	0	$	184,001	$	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.