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INVESTMENTS
9 Months Ended
Sep. 30, 2022
Investments [Abstract]  
INVESTMENTS INVESTMENTS
Investments consist of the following:

 September 30, 2022December 31, 2021
Asset Management
Private Equity$26,542,743 $25,685,750 
Credit7,532,222 7,949,573 
Investments of Consolidated CFEs21,500,342 22,076,809 
Real Assets16,659,585 12,500,749 
Equity Method - Other6,849,902 4,877,592 
Equity Method - Capital Allocation-Based Income7,032,596 11,539,945 
Other Investments3,603,469 4,145,096 
Investments - Asset Management$89,720,859 $88,775,514 
Insurance
Fixed maturity securities, available-for-sale, at fair value(1)
$58,547,851 $68,870,886 
Mortgage and other loan receivables35,420,094 28,876,759 
Fixed maturity securities, trading, at fair value(2)
10,247,034 13,753,573 
Other investments10,830,743 8,208,566 
Funds withheld receivable at interest2,893,785 2,999,448 
Policy loans812,844 765,310 
Equity securities at fair value19,922 289,133 
Investments - Insurance$118,772,273 $123,763,675 
Total Investments$208,493,132 $212,539,189 
 
(1) Amortized cost of $70.5 billion and $69.5 billion, net of credit loss allowances of $106.7 million and $88.1 million, respectively.
(2) Amortized cost of $13.1 billion and $13.9 billion, respectively.


As of September 30, 2022 and December 31, 2021, there were no investments which represented greater than 5% of total investments.
Fixed maturity securities

The cost or amortized cost and fair value for AFS fixed maturity securities were as follows:

Cost or amortized cost
Allowance for Credit Losses (2)(3)
Gross unrealizedFair value
As of September 30, 2022gainslosses
AFS fixed maturity securities portfolio by type:
U.S. government and agencies$366,638 $— $— $(71,841)$294,797 
U.S. state, municipal and political subdivisions5,298,283 — 138 (1,271,381)4,027,040 
Corporate41,326,728 (791)18,021 (8,538,465)32,805,493 
Residential mortgage-backed securities ("RMBS")7,478,505 (86,208)17,823 (676,064)6,734,056 
Commercial mortgage-backed securities ("CMBS")7,352,398 (10,809)245 (740,518)6,601,316 
Collateralized bond obligations ("CBOs")3,060,155 (35)— (223,969)2,836,151 
Collateralized loan obligations ("CLOs")2,771,874 (4,366)25 (209,329)2,558,204 
All other structured securities(1)
2,884,368 (4,537)6,005 (195,042)2,690,794 
Total AFS fixed maturity securities$70,538,949 $(106,746)$42,257 $(11,926,609)$58,547,851 

(1)    Includes primarily asset-backed securities ("ABS").
(2)    Represents the cumulative amount of credit impairments that have been recognized in the consolidated statements of operations (as net investment (losses) gains) or that were recognized as a gross-up of the purchase price of PCD securities. Amount excludes unrealized losses related to non-credit impairment.
(3)    Includes credit loss allowances on purchase-credit deteriorated fixed-maturity securities of $(33.2) million.

Cost or amortized cost
Allowance for Credit Losses (2)(3)
Gross unrealizedFair value
As of December 31, 2021gainslosses
AFS fixed maturity securities portfolio by type:
U.S. government and agencies$785,144 $— $4,171 $(4,768)$784,547 
U.S. state, municipal and political subdivisions5,122,651 — 42,286 (55,240)5,109,697 
Corporate41,433,757 (3,238)190,516 (688,648)40,932,387 
RMBS7,703,030 (50,975)126,662 (113,359)7,665,358 
CMBS5,952,656 (282)16,332 (56,523)5,912,183 
CBOs3,111,620 (22,160)6,862 (27,466)3,068,856 
CLOs2,985,098 (639)6,554 (5,776)2,985,237 
All other structured securities(1)
2,425,540 (10,839)19,990 (22,070)2,412,621 
Total AFS fixed maturity securities$69,519,496 $(88,133)$413,373 $(973,850)$68,870,886 

(1)    Includes primarily asset-backed securities ("ABS").
(2)    Represents the cumulative amount of credit impairments that have been recognized in the consolidated statements of operations (as net investment (losses) gains) or that were recognized as a gross-up of the purchase price of PCD securities. Amount excludes unrealized losses related to non-credit impairment.
(3)    Includes credit loss allowances on purchase-credit deteriorated fixed-maturity securities of $(46.4) million.

Actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties, or Global Atlantic may have the right to put or sell the obligations back to the issuers.
The maturity distribution for AFS fixed maturity securities is as follows:

As of September 30, 2022Cost or
amortized cost (net of allowance)
Fair value
Due in one year or less$551,784 $544,880 
Due after one year through five years9,386,813 8,791,184 
Due after five years through ten years9,487,091 8,504,053 
Due after ten years27,565,170 19,287,213 
Subtotal46,990,858 37,127,330 
RMBS7,392,297 6,734,056 
CMBS7,341,589 6,601,316 
CBOs3,060,120 2,836,151 
CLOs2,767,508 2,558,204 
All other structured securities2,879,831 2,690,794 
Total AFS fixed maturity securities$70,432,203 $58,547,851 

Purchased credit deteriorated securities

Certain securities purchased by Global Atlantic were assessed at acquisition as having experienced a more-than-insignificant deterioration in credit quality since their origination. These securities are identified as PCD, and a reconciliation of the difference between the purchase price and the par value of these PCD securities is below:

Nine Months Ended September 30,
20222021
Purchase price of PCD securities acquired during the current period$24,005 $1,726,900 
Allowance for credit losses at acquisition707 128,099 
Discount (premium) attributable to other factors1,710 308,053 
Par value$26,422 $2,163,052 

Securities in a continuous unrealized loss position

The following tables provide information about AFS fixed maturity securities that have been continuously in an unrealized loss position:

Less than 12 months12 months or moreTotal
As of September 30, 2022Fair
value
Unrealized lossesFair
value
Unrealized lossesFair
value
Unrealized losses
AFS fixed maturity securities portfolio by type:
U.S. government and agencies$190,438 $(53,005)$104,360 $(18,836)$294,798 $(71,841)
U.S. state, municipal and political subdivisions3,326,504 (1,051,622)682,195 (219,759)4,008,699 (1,271,381)
Corporate21,318,062 (5,654,193)9,481,979 (2,884,272)30,800,041 (8,538,465)
RMBS4,664,201 (426,928)1,511,761 (249,136)6,175,962 (676,064)
CBOs1,887,915 (145,811)948,236 (78,158)2,836,151 (223,969)
CMBS5,407,270 (529,159)1,162,325 (211,359)6,569,595 (740,518)
CLOs2,357,254 (185,863)190,452 (23,466)2,547,706 (209,329)
All other structured securities1,891,789 (118,688)539,752 (76,354)2,431,541 (195,042)
Total AFS fixed maturity securities in a continuous loss position$41,043,433 $(8,165,269)$14,621,060 $(3,761,340)$55,664,493 $(11,926,609)
Less than 12 months12 months or moreTotal
As of December 31, 2021Fair
value
Unrealized lossesFair
value
Unrealized lossesFair
value
Unrealized losses
AFS fixed maturity securities portfolio by type:
U.S. government and agencies$311,096 $(4,768)$— $— $311,096 $(4,768)
U.S. state, municipal and political subdivisions2,802,309 (55,240)— — 2,802,309 (55,240)
Corporate30,385,514 (688,648)— — 30,385,514 (688,648)
RMBS3,196,876 (113,359)— — 3,196,876 (113,359)
CBOs2,152,790 (27,466)— — 2,152,790 (27,466)
CMBS3,405,774 (56,523)— — 3,405,774 (56,523)
CLOs1,172,330 (5,776)— — 1,172,330 (5,776)
All other structured securities1,348,356 (22,070)— — 1,348,356 (22,070)
Total AFS fixed maturity securities in a continuous loss position$44,775,045 $(973,850)$ $ $44,775,045 $(973,850)

Unrealized gains and losses can be created by changing interest rates or several other factors, including changing credit spreads. Global Atlantic had gross unrealized losses on below investment grade AFS fixed maturity securities of $687.7 million and $77.0 million as of September 30, 2022 and December 31, 2021, respectively. The single largest unrealized loss on AFS fixed maturity securities was $61.8 million and $7.3 million as of September 30, 2022 and December 31, 2021, respectively. Global Atlantic had 6,184 and 4,370 securities in an unrealized loss position as of September 30, 2022 and December 31, 2021, respectively.

As of September 30, 2022, AFS fixed maturity securities in an unrealized loss position for 12 months or more consisted of 1,947 debt securities. These debt securities primarily relate to Corporate, RMBS, and U.S. state, municipal and political subdivisions fixed maturity securities, which have depressed values due primarily to an increase in interest rates since the purchase of these securities. Unrealized losses were not recognized in net income on these debt securities since Global Atlantic neither intends to sell the securities nor does it believe that it is more likely than not that it will be required to sell these securities before recovery of their cost or amortized cost basis. For securities with significant declines in value, individual security level analysis was performed utilizing underlying collateral default expectations, market data and industry analyst reports.

Mortgage and other loan receivables

Mortgage and other loan receivables consist of the following:

September 30, 2022December 31, 2021
Commercial mortgage loans(1)
$18,479,742 $13,824,772 
Residential mortgage loans(1)
10,955,269 8,724,904 
Consumer loans5,445,370 5,617,925 
Other loan receivables(2)(3)
963,039 1,083,235 
Total mortgage and other loan receivables35,843,420 29,250,836 
Allowance for credit losses(4)
(423,326)(374,077)
Total mortgage and other loan receivables, net of allowance for loan losses$35,420,094 $28,876,759 

(1)    Includes $837.7 million and $805.4 million of loans carried at fair value using the fair value option as of September 30, 2022 and December 31, 2021, respectively. The fair value option was elected for these loans for asset-liability matching purposes. These loans had unpaid principal balances of $894.2 million and $794.1 million as of September 30, 2022 and December 31, 2021, respectively.
(2)    As of September 30, 2022 and December 31, 2021, other loan receivables consisted primarily of loans collateralized by aircraft of $312.7 million and $850.1 million, respectively.
(3)    Includes $33.2 million and $27.3 million of related party loans carried at fair value using the fair value option as of September 30, 2022 and December 31, 2021, respectively. These loans had unpaid principal balances of $33.2 million and $27.3 million as of September 30, 2022 and December 31, 2021, respectively.
(4)    Includes credit loss allowances on purchase-credit deteriorated mortgage and other loan receivables of $(78.6) million and $(77.9) million as of September 30, 2022 and December 31, 2021, respectively.
The maturity distribution for residential and commercial mortgage loans was as follows as of September 30, 2022:

YearsResidentialCommercialTotal mortgage loans
Remainder of 2022$115,605 $399,377 $514,982 
2023126,160 1,441,199 1,567,359 
2024533,435 2,277,465 2,810,900 
202517,027 3,390,721 3,407,748 
2026890,254 3,259,760 4,150,014 
2027955,188 2,843,765 3,798,953 
2028 and thereafter8,317,600 4,867,455 13,185,055 
Total$10,955,269 $18,479,742 $29,435,011 

Actual maturities could differ from contractual maturities, because borrowers may have the right to prepay (with or without prepayment penalties) and loans may be refinanced.

Global Atlantic diversifies its mortgage loan portfolio by both geographic region and property type to reduce concentration risk. The following tables present the mortgage loans by geographic region and property type:

Mortgage loans - carrying value by geographic regionSeptember 30, 2022December 31, 2021
Pacific$7,252,784 $6,675,064 
West South Central3,594,519 2,675,890 
South Atlantic8,002,247 4,996,043 
Middle Atlantic3,708,296 3,142,973 
East North Central1,262,908 590,911 
Mountain3,151,942 1,957,099 
New England1,298,758 1,099,157 
East South Central740,228 1,035,764 
West North Central363,474 350,546 
Other regions59,855 26,229 
Total by geographic region$29,435,011 $22,549,676 


Mortgage loans - carrying value by property typeSeptember 30, 2022December 31, 2021
Residential$10,955,269 $8,724,904 
Office building4,654,349 4,185,146 
Apartment9,341,546 6,194,819 
Industrial2,938,321 1,981,713 
Retail650,903 780,071 
Other property types705,783 483,560 
Warehouse188,840 199,463 
Total by property type$29,435,011 $22,549,676 

As of September 30, 2022 and December 31, 2021, Global Atlantic had $179.6 million and $202.7 million of mortgage loans that were 90 days or more past due or in the process of foreclosure, respectively. Global Atlantic ceases accrual of interest on loans that are more than 90 days past due and recognizes income as cash is received. As of September 30, 2022 and December 31, 2021, there were $179.6 million and $202.7 million of mortgage loans that were non-income producing, respectively.

As of September 30, 2022 and December 31, 2021, less than 1% and 1%, respectively, of residential mortgage loans have been granted forbearance for reasons including COVID-19. This forbearance, which generally involves a 3-month period in which payments are not required (though must subsequently be made up), is not considered to result in troubled debt restructurings for the three and nine months ended September 30, 2022 and 2021. Interest continues to accrue on loans in temporary forbearance.
As of September 30, 2022 and December 31, 2021, Global Atlantic had $10.9 million and $5.1 million of consumer loans that were delinquent by more than 120 days or in default, respectively.

Purchased credit deteriorated loans

Certain residential mortgage loans purchased by Global Atlantic were assessed at acquisition as having experienced a more-than-insignificant deterioration in credit quality since their origination. These loans are identified as PCD, and a reconciliation of the difference between the purchase price and the par value of these PCD loans is below:

Nine Months Ended September 30,
2021
Purchase price of PCD loans acquired during the current period$4,231,426 
Allowance for credit losses at acquisition121,895 
Discount (premium) attributable to other factors(136,174)
Par value$4,217,147 

Credit quality indicators

Mortgage and loan receivable performance status

The following table represents the portfolio of mortgage and loan receivables by origination year and performance status:

As of September 30, 2022
Performance status20222021202020192018PriorTotal
Commercial mortgage loans
Current$5,539,353 $6,763,595 $929,246 $1,533,917 $1,294,281 $2,419,350 $18,479,742 
30 to 59 days past due— — — — — — — 
60 to 89 days past due— — — — — — — 
Over 90 days past due— — — — — — — 
Total commercial mortgage loans$5,539,353 $6,763,595 $929,246 $1,533,917 $1,294,281 $2,419,350 $18,479,742 
Residential mortgage loans
Current$1,897,046 $5,002,374 $1,884,802 $278,805 $15,119 $1,530,375 $10,608,521 
30 to 59 days past due9,608 33,064 4,334 1,305 645 77,467 126,423 
60 to 89 days past due1,233 10,727 3,646 752 — 24,391 40,749 
Over 90 days past due1,489 22,399 11,178 8,673 2,587 133,250 179,576 
Total residential mortgage loans$1,909,376 $5,068,564 $1,903,960 $289,535 $18,351 $1,765,483 $10,955,269 
Total mortgage loans$7,448,729 $11,832,159 $2,833,206 $1,823,452 $1,312,632 $4,184,833 $29,435,011 
As of December 31, 2021
Performance status20212020201920182017PriorTotal
Commercial mortgage loans
Current$6,831,655 $976,369 $1,883,908 $1,373,865 $817,954 $1,941,021 $13,824,772 
30 to 59 days past due— — — — — — — 
60 to 89 days past due— — — — — — — 
Over 90 days past due— — — — — — — 
Total commercial mortgage loans$6,831,655 $976,369 $1,883,908 $1,373,865 $817,954 $1,941,021 $13,824,772 
Residential mortgage loans
Current$4,505,537 $1,576,342 $393,153 $123,995 $65,070 $1,711,156 $8,375,253 
30 to 59 days past due24,955 6,028 5,818 1,155 739 75,104 113,799 
60 to 89 days past due4,247 1,243 607 — — 27,028 33,125 
Over 90 days past due5,305 14,272 21,985 2,686 — 158,479 202,727 
Total residential mortgage loans$4,540,044 $1,597,885 $421,563 $127,836 $65,809 $1,971,767 $8,724,904 
Total mortgage loans$11,371,699 $2,574,254 $2,305,471 $1,501,701 $883,763 $3,912,788 $22,549,676 

The following table represents the portfolio of consumer loan receivables by performance status:

Performance statusSeptember 30, 2022December 31, 2021
Consumer loans
Current$5,347,354 $5,556,923 
30 to 59 days past due54,454 34,048 
60 to 89 days past due27,227 16,817 
Over 90 days past due16,335 10,137 
Total consumer loans$5,445,370 $5,617,925 
Loan-to-value ratio on mortgage loans

The loan-to-value ratio is expressed as a percentage of the current amount of the loan relative to the value of the underlying collateral. The following table summarizes the loan-to-value ratios for commercial mortgage loans as of September 30, 2022 and December 31, 2021:

Loan-to-value as of September 30, 2022, by year of originationCarrying value loan-to-value 70% and lessCarrying value loan-to-value 71% - 90%Carrying value loan-to-value over 90%Total carrying value
2022$5,174,067 $365,286 $— $5,539,353 
20214,744,972 2,018,623 — 6,763,595 
2020771,593 122,593 35,060 929,246 
20191,360,360 173,557 — 1,533,917 
20181,259,505 34,776 — 1,294,281 
2017722,333 44,548 — 766,881 
Prior1,652,469 — — 1,652,469 
Total commercial mortgage loans$15,685,299 $2,759,383 $35,060 $18,479,742 
Loan-to-value as of December 31, 2021, by year of originationCarrying value loan-to-value 70% and lessCarrying value loan-to-value 71% - 90%Carrying value loan-to-value over 90%Total carrying value
2021$4,910,170 $1,921,485 $— $6,831,655 
2020819,406 121,997 34,966 976,369 
20191,747,656 136,252 — 1,883,908 
20181,324,807 49,058 — 1,373,865 
2017772,989 44,965 — 817,954 
2016425,926 2,440 — 428,366 
Prior1,497,503 15,152 — 1,512,655 
Total commercial mortgage loans$11,498,457 $2,291,349 $34,966 $13,824,772 

Changing economic conditions affect the valuation of commercial mortgage loans. Changing vacancies and rents are incorporated into the discounted cash flow analysis that Global Atlantic performs for monitored loans and may contribute to the establishment of (or increase or decrease in) a commercial mortgage loan valuation allowance for credit losses. In addition, Global Atlantic continuously monitors its commercial mortgage loan portfolio to identify risk. Areas of emphasis are properties that have exposure to specific geographic events, or have deteriorating credit.

The weighted average loan-to-value ratio for the residential mortgage loans was 62% and 68% as of September 30, 2022 and December 31, 2021, respectively.

Other investments

Other investments consist of the following:

September 30, 2022December 31, 2021
Investments in real estate(1)
$4,202,597 $1,564,853 
Investments in renewable energy(2)
3,420,210 3,573,811 
Investments in transportation and other leased assets(3)
2,767,770 2,663,759 
Other investment partnerships257,905 234,301 
FHLB common stock and other investments182,261 171,842 
Total other investments$10,830,743 $8,208,566 

(1)    Investments in real estate are held in consolidated investment companies that use fair value accounting.
(2)    Net of accumulated depreciation attributed to consolidated renewable energy assets of $220.2 million and $156.8 million as of September 30, 2022 and December 31, 2021, respectively.
(3)    Net of accumulated depreciation of $198.5 million and $105.1 million as of September 30, 2022 and December 31, 2021, respectively.    


The total amount of other investments accounted for using the equity method of accounting was $1.2 billion as of both September 30, 2022 and December 31, 2021. Global Atlantic's maximum exposure to loss related to these equity method investments is limited to the carrying value of these investments plus unfunded commitments of $21.1 million and $22.4 million as of September 30, 2022 and December 31, 2021, respectively.

In addition, Global Atlantic has investments that would otherwise require the equity method of accounting for which the fair value option has been elected. The carrying amount of these investments was $184.4 million and $147.8 million as of September 30, 2022 and December 31, 2021, respectively.

Funding agreements

Certain Global Atlantic subsidiaries are members of regional banks in the Federal Home Loan Bank ("FHLB") system. These subsidiaries have also entered into funding agreements with their respective FHLB. The funding agreements are issued in exchange for cash. The funding agreements require that Global Atlantic pledge eligible assets, such as commercial mortgage loans, as collateral. With respect to certain classes of eligible assets, the FHLB holds the pledged eligible assets in custody at the respective FHLB. The liabilities for the funding agreements are included in policy liabilities in the consolidated statements of financial condition.
Information related to the FHLB investment and funding agreements as of September 30, 2022 and December 31, 2021 is as follows:

Investment in common stockFunding agreements issued to FHLB member banksCollateral
September 30, 2022December 31, 2021September 30, 2022December 31, 2021September 30, 2022December 31, 2021
FHLB Indianapolis$80,512 $80,640 $1,610,025 $1,619,765 $2,362,537 $2,577,698 
FHLB Des Moines31,120 34,600 532,467 620,006 838,297 1,004,530 
FHLB Boston17,520 22,520 322,922 326,639 436,645 553,384 
Total$129,152 $137,760 $2,465,414 $2,566,410 $3,637,479 $4,135,612 

In addition, in January 2021, Global Atlantic launched an inaugural funding agreement backed note ("FABN") program, through which GA Global Funding Trust, a special purpose statutory trust, was established to offer its senior secured medium-term notes. Net proceeds from each sale of the aforementioned notes are used to purchase one or more funding agreements from Forethought Life Insurance Company, an insurance subsidiary of Global Atlantic. As of September 30, 2022 and December 31, 2021, Global Atlantic had $5.5 billion and $3.5 billion of such funding agreements outstanding, with $4.5 billion and $6.5 billion of remaining capacity under the program, respectively.

Repurchase agreement transactions

As of September 30, 2022 and December 31, 2021, Global Atlantic participated in third-party repurchase agreements with a notional value of $778.5 million and $300.4 million, respectively. As collateral for these transactions, as of September 30, 2022 and December 31, 2021, Global Atlantic posted fixed maturity securities with a fair value and amortized cost of $810.9 million and $1.1 billion, and $313.0 million and $317.0 million, respectively, which are included in Insurance - Investments in the consolidated statements of financial condition.

The fair value of securities pledged for repurchase agreements by class of collateral and remaining contractual maturity as of September 30, 2022 and December 31, 2021 is presented in the following tables:

As of September 30, 2022Overnight<30 Days30 - 90 Days> 90 DaysTotal
Corporate Securities$— $— $— $810,946 $810,946 
Total borrowing$— $— $— $810,946 $810,946 

As of December 31, 2021Overnight<30 Days30 - 90 Days> 90 DaysTotal
Corporate Securities$— $— $— $312,965 $312,965 
Total borrowing$— $— $— $312,965 $312,965 

Other

As of September 30, 2022 and December 31, 2021, the cost or amortized cost and fair value of the assets on deposit with various state and governmental authorities were $184.8 million and $139.9 million, and $182.6 million and $180.8 million, respectively.