INVESTMENTS |
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Investments [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
INVESTMENTS | INVESTMENTS Investments consist of the following:
(1)Amortized cost of $83.8 billion and $78.7 billion, net of credit loss allowances of $215.2 million and $268.7 million, respectively. (2)Amortized cost of $27.1 billion and $20.5 billion, respectively. Trading fixed maturity securities are held to back funds withheld payable at interest. The investment performance on these investments is ceded to third-party reinsurers. As of June 30, 2024 and December 31, 2023, 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:
(1)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. (2)Includes credit loss allowances on purchase-credit deteriorated fixed-maturity securities of $(6.5) million.
(1)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. (2)Includes credit loss allowances on purchase-credit deteriorated fixed-maturity securities of $(12.8) 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. Structured securities are shown separately as they have periodic payments and are not due at a single maturity. The maturity distribution for AFS fixed maturity securities is as follows:
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:
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 $667.8 million and $694.6 million as of June 30, 2024 and December 31, 2023, respectively. The single largest unrealized loss on AFS fixed maturity securities was $53.8 million and $53.4 million as of June 30, 2024 and December 31, 2023, respectively. Global Atlantic had 6,386 and 5,886 securities in an unrealized loss position as of June 30, 2024 and December 31, 2023, respectively. As of June 30, 2024, AFS fixed maturity securities in an unrealized loss position for 12 months or more consisted of 4,808 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:
(1)Includes $603.2 million and $697.4 million of loans carried at fair value using the fair value option as of June 30, 2024 and December 31, 2023, respectively. The fair value option was elected for these loans for asset-liability matching purposes. These loans had unpaid principal balances of $683.7 million and $785.2 million as of June 30, 2024 and December 31, 2023, respectively. (2)As of June 30, 2024, other loan receivables consisted primarily of renewable energy development loans, warehouse facility loans backed by agricultural mortgages, loans collateralized by aircraft and loans collateralized by residential mortgages of $454.7 million, $427.0 million, $347.5 million and $200.0 million, respectively. As of December 31, 2023, other loan receivables consisted primarily of loans collateralized by aircraft and loans collateralized by residential mortgages of $315.4 million and $200.0 million, respectively. (3)Includes credit loss allowances on purchase-credit deteriorated mortgage and other loan receivables of $(74.2) million and $(91.7) million as of June 30, 2024 and December 31, 2023, respectively. The maturity distribution for residential and commercial mortgage loans was as follows as of June 30, 2024:
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:
As of June 30, 2024 and December 31, 2023, Global Atlantic had $392.1 million and $510.9 million of mortgage loans that were 90 days or more past due or are in the process of foreclosure, respectively, and have been classified as non-income producing (non-accrual status). Global Atlantic ceases accrual of interest on loans that are more than 90 days past due or are in the process of foreclosure and recognizes income as cash is received. 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 June 30, 2024 and December 31, 2023:
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 Global Atlantic's loan-to-value ratios for its commercial mortgage loans as of June 30, 2024 and December 31, 2023:
Changing economic conditions and updated assumptions affect Global Atlantic's assessment of the collectibility of commercial mortgage loans. Changing vacancies and rents are incorporated into the analysis that Global Atlantic performs to measure the 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 Global Atlantic's residential mortgage loans was 63% as of both June 30, 2024 and December 31, 2023. Loan modifications Global Atlantic may modify the terms of a loan when the borrower is experiencing financial difficulties, as a means to optimize recovery of amounts due on the loan. Modifications may involve temporary relief, such as payment forbearance for a short period time (where interest continues to accrue) or may involve more substantive changes to a loan. Changes to the terms of a loan, pursuant to a modification agreement, are factored into the analysis of the loan’s expected credit losses, under the allowance model applicable to the loan. For commercial mortgage loans, modifications for borrowers experiencing financial difficulty are tailored for individual loans and may include interest rate relief, maturity extensions or, less frequently, principal forgiveness. For both residential mortgage loans and consumer loans, the most common modifications for borrowers experiencing financial difficulty, aside from insignificant delays in payment, typically involve deferral of missed payments to the end of the loan term, interest rate relief, or maturity extensions. The tables below present the carrying value of loans to borrowers experiencing financial difficulty, for which modifications have been granted during the six months ended June 30, 2024 and 2023:
(1)Includes modifications involving a combination of deferral of amounts due, interest rate relief, or maturity extension. (2)Certain loans that were modified in the prior quarter have since been repaid in full.
(1)Includes modifications involving a combination of deferral of amounts due, interest rate relief, or maturity extension. (2)Certain loans that were modified in the prior quarter have since been repaid in full. All of the commercial mortgage loans that had a combination of modifications had both interest rate relief and maturity extensions. For these loans, the interest rate relief generally involved either a change from a floating rate or a decrease in fixed rate to a weighted average rate of 4.7% and 4.0%, for the six months ended June 30, 2024 and 2023, respectively. The maturity extensions for these loans added a weighted-average of 3.7 years and 2.5 years to the life of the loans, for the six months ended June 30, 2024 and 2023, respectively. As of June 30, 2024, Global Atlantic has commitments to lend additional funds of $9.3 million for the modified commercial mortgage loans disclosed above. The table below presents the performance status of the loans modified during the twelve months ended June 30, 2024:
(1)Loans may have been modified more than once during the twelve months period; in this circumstance, the loan is only included once in this table. In addition, certain loans that were modified in prior quarters have since been repaid in full. Other investments Other investments consist of the following:
(1)Primarily comprised of investments in real estate that are held in consolidated investment companies that use fair value accounting. (2)Net of accumulated depreciation attributed to consolidated renewable energy assets of $172.8 million and $154.1 million as of June 30, 2024 and December 31, 2023, respectively. (3)Net of accumulated depreciation of $371.8 million and $313.6 million as of June 30, 2024 and December 31, 2023, respectively. The total amount of other investments accounted for using the equity method of accounting was $1.5 billion and $143.3 million as of June 30, 2024 and December 31, 2023, respectively. 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 $194.8 million and $19.7 million as of June 30, 2024 and December 31, 2023, 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 $474.5 million and $175.3 million as of June 30, 2024 and December 31, 2023, respectively. Repurchase agreement transactions As of June 30, 2024 and December 31, 2023, Global Atlantic participated in repurchase agreements with a notional value of $565.0 million and $1.4 billion, respectively. As collateral for these transactions, Global Atlantic typically posts AFS fixed maturity securities and residential mortgage loans, which are included in Insurance - Investments in the consolidated statements of financial condition. The gross obligation for repurchase agreements is reported in other liabilities in the consolidated statements of financial condition. The carrying value of assets pledged for repurchase agreements by type of collateral and remaining contractual maturity of the repurchase agreements as of June 30, 2024 and December 31, 2023 is presented in the following tables:
Other pledges and restrictions Certain Global Atlantic subsidiaries are members of regional banks in the FHLB system and such membership requires the members to own stock in these FHLBs. Global Atlantic owns an aggregate of $129.1 million and $131.7 million (accounted for at cost basis) of stock in FHLBs as of June 30, 2024 and December 31, 2023, respectively. In addition, Global Atlantic insurance company subsidiaries have entered into funding agreements with the FHLB, which require that Global Atlantic pledge eligible assets, such as fixed maturity securities and mortgage loans, as collateral. Assets pledged as collateral for these funding agreements had a carrying value of $3.9 billion and $3.6 billion as of June 30, 2024 and December 31, 2023, respectively. The capital stock of one of Global Atlantic’s equity method investments has been pledged as collateral security for the due payment and performance of the debt obligations of the investee. Global Atlantic’s investment subject to this pledge had a carrying value of $710.3 million as of June 30, 2024. Insurance – statutory deposits As of June 30, 2024 and December 31, 2023, the carrying value of the assets on deposit with various state and U.S. governmental authorities were $142.4 million and $148.5 million, respectively.
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