
	Three Months Ended June 30,			Six Months Ended June 30,
	2022		2021	2022	2021

	(In thousands)

Available-for-sale debt securities:
Realized gains on disposal	$	1,766	4,823	5,224	6,239
Realized losses on disposal	—		—	—	—




Real estate gains (losses)	—		(1,407)	336	(1,407)

Other	—		(1)	—	(1)

Totals	$	1,766	3,415	5,560	4,831

For the three months ended June 30, 2022 and 2021 the percentage of total gains on bonds due to the call of securities was 77.7% and 100.0%, respectively. For the six months ended June 30, 2022 and 2021 the percentage of total gains on bonds due to the call of securities was 92.5% and 100.0%, respectively.


	Debt Securities Available-for-Sale
	Amortized Cost		Gross Unrealized Gains	Gross Unrealized Losses	Fair Value	Allowance for Credit Losses

	(In thousands)

U.S. agencies	$	31,289	23	(90)	31,222	—
U.S. Treasury	1,807		—	(4)	1,803	—
States and political subdivisions	491,283		1,917	(43,637)	449,563	—
Foreign governments	62,973		1	(14,439)	48,535	—
Public utilities	739,559		576	(44,322)	695,813	—
Corporate	6,372,616		4,734	(403,546)	5,973,804	—
Commercial mortgage-backed	26,994		—	(932)	26,062	—
Residential mortgage-backed	382,814		1,877	(5,813)	378,878	—
Asset-backed	613,907		24	(58,659)	555,272	—

Totals	$	8,723,242	9,152	(571,442)	8,160,952	—


	Debt Securities Available-for-Sale
	Amortized Cost		Gross Unrealized Gains	Gross Unrealized Losses	Fair Value	Allowance for Credit Losses

	(In thousands)

U.S. agencies	$	43,472	1,071	—	44,543	—
U.S. Treasury	2,469		21	—	2,490	—
States and political subdivisions	479,148		27,733	(921)	505,960	—
Foreign governments	62,979		293	(881)	62,391	—
Public utilities	745,359		39,919	(309)	784,969	—
Corporate	6,322,471		391,287	(12,805)	6,700,953	—
Commercial mortgage-backed	27,016		741	—	27,757	—
Residential mortgage-backed	530,702		18,921	—	549,623	—
Asset-backed	390,634		2,123	(2,497)	390,260	—

Totals	$	8,604,250	482,109	(17,413)	9,068,946	—

Debt securities balances at June 30, 2022 and December 31, 2021 include Ozark National holdings of $709.3 million and $823.0 million, respectively, in available-for-sale. As part of the acquisition effective January 31, 2019 the Company employed purchase accounting procedures in accordance with GAAP which revalued the acquired investment portfolio to their fair values as of the date of the acquisition. These fair values became the book values for Ozark National from that point going forward. Accordingly, unrealized gains and losses for the Ozark National debt securities represent the changes subsequent to the purchase accounting book values established at the acquisition.

The following table shows the gross unrealized losses and fair values of the Company's available-for-sale debt securities by investment category and length of time the individual securities have been in a continuous unrealized loss position at June 30, 2022.


	Debt Securities Available-for-Sale
	Less than 12 Months			12 Months or Greater		Total
	Fair Value		Unrealized Losses	Fair Value	Unrealized Losses	Fair Value	Unrealized Losses

	(In thousands)

U.S. agencies	$	21,185	(90)	—	—	21,185	(90)
U.S. Treasury	1,803		(4)	—	—	1,803	(4)
States and political subdivisions	317,551		(40,145)	12,753	(3,492)	330,304	(43,637)
Foreign governments	41,847		(12,197)	5,599	(2,242)	47,446	(14,439)
Public utilities	553,099		(44,157)	476	(165)	553,575	(44,322)
Corporate	4,762,723		(336,373)	232,011	(67,173)	4,994,734	(403,546)
Commercial mortgage-backed	26,062		(932)	—	—	26,062	(932)
Residential mortgage-backed	240,379		(5,813)	—	—	240,379	(5,813)
Asset-backed	506,435		(57,208)	13,871	(1,451)	520,306	(58,659)

Totals	$	6,471,084	(496,919)	264,710	(74,523)	6,735,794	(571,442)

The following table shows the gross unrealized losses and fair values of the Company's available-for-sale debt securities by investment category and length of time that the individual securities have been in a continuous unrealized loss position at December 31, 2021.


	Debt Securities Available-for-Sale
	Less than 12 Months			12 Months or Greater		Total
	Fair Value		Unrealized Losses	Fair Value	Unrealized Losses	Fair Value	Unrealized Losses

	(In thousands)



States and political subdivisions	$	38,853	(779)	1,790	(142)	40,643	(921)
Foreign governments	31,862		(881)	—	—	31,862	(881)
Public utilities	15,286		(309)	—	—	15,286	(309)
Corporate	541,974		(11,378)	25,319	(1,427)	567,293	(12,805)

Asset-backed	188,960		(2,497)	—	—	188,960	(2,497)


Totals	$	816,935	(15,844)	27,109	(1,569)	844,044	(17,413)

Debt securities. The gross unrealized losses for debt securities are made up of 930 individual issues, or 76.6% of the total debt securities held available-for-sale by the Company at June 30, 2022. The market value of these bonds as a percent of amortized cost approximates 92.2%. Of the 930 securities, 37, or 4.0%, fall in the 12 months or greater aging category and 914 were rated investment grade at June 30, 2022.

The amortized cost and fair value of investments in debt securities available-for-sale at June 30, 2022, by contractual maturity, are shown below. Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.


	Debt Securities Available-for-Sale
	Amortized Cost		Fair Value

	(In thousands)

Due in 1 year or less	$	47,535	47,549
Due after 1 year through 5 years	3,008,773		2,980,577
Due after 5 years through 10 years	2,269,752		2,127,532
Due after 10 years	2,373,467		2,045,082
	7,699,527		7,200,740

Mortgage and asset-backed securities	1,023,715		960,212

Totals before allowance for credit losses	8,723,242		8,160,952

Allowance for credit losses	—		—

Totals	$	8,723,242	8,160,952

The Company determines current expected credit losses for available-for-sale debt securities when fair value is less than amortized cost, interest payments are missed, and the security is experiencing credit issues. Provisions to and releases from the allowance for credit losses are recorded in net investment income in the Condensed Consolidated Statements of Earnings. Based on its review, the Company determined none of these investments required an allowance for credit loss at June 30, 2022 or 2021. The Company's operating procedures include monitoring the investment portfolio on an ongoing basis for any changes in issuer facts and circumstances that might lead to future need for a credit loss allowance.

A financing receivable is a contractual right to receive money on demand or on fixed or determinable dates that is recognized as an asset in a company's statement of financial position. The Company's mortgage, participation and mezzanine loans on real estate are the only financing receivables included in the Condensed Consolidated Balance Sheets.

Credit and default risk are minimized through strict underwriting guidelines and diversification of underlying property types and geographic locations. In addition to being secured by the property, mortgage loans with leases on the underlying property are supported by the lease payments. This approach has proven to result in quality mortgage loans with few defaults. Mortgage loan interest income is recognized on an accrual basis with any premium or discount amortized over the life of the loan. Prepayment and late fees are recorded on the date of collection.

The Company targets a minimum specified yield on mortgage loan investments determined by reference to currently available debt security instrument yields plus a desired amount of incremental basis points. Over the past several years, a low interest rate environment and a competitive marketplace have resulted in fewer loan opportunities being available that met the Company's required rate of return. Mortgage loan originations were further impeded by the COVID-19 pandemic and its effects upon the commercial real estate market. As stabilization returned to the commercial real estate market, the Company directed resources and effort towards expanding its mortgage loan investment portfolio. In the first six months of 2022, the rapid rise in interest rate levels has caused potential mortgage loan opportunities to fall outside the Company's underwriting criteria resulting in a lower level of originations. Mortgage loans originated by the Company totaled $44.1 million in the six months ended June 30, 2022 compared with $70.3 million in the six months ended June 30, 2021 and $183.6 million in the year ended December 31, 2021.

Loans in foreclosure, loans considered impaired or loans past due 90 days or more are placed on a non-accrual status. If a mortgage loan is determined to be on non-accrual status, the mortgage loan does not accrue any revenue into the Condensed Consolidated Statements of Earnings. The loan is independently monitored and evaluated as to potential impairment or foreclosure. If delinquent payments are made and the loan is brought current, then the Company returns the loan to active status and accrues income accordingly. The Company had no mortgage loans past due 90 days or more at June 30, 2022 or 2021 and as a result all interest income was recognized at June 30, 2022 and 2021.

Included in the mortgage loan investment balance at June 30, 2022 and December 31, 2021 are mortgage loan investments made by the reinsurer under the funds withheld reinsurance agreement totaling $18.7 million and $8.5 million, respectively. Similar to trading debt securities, these loans are reported at fair market values in order to allow the market value fluctuation to be recorded directly in the Condensed Consolidated Statements of Earnings and to offset the embedded derivative liability change due to market value fluctuations.


	June 30, 2022			December 31, 2021
	Amount		%	Amount		%
	(In thousands)			(In thousands)

Mortgage Loans by Loan-to-Value Ratio (1):
Less than 50%	$	116,614	22.6	$	100,806	20.6
50% to 60%	140,427		27.3	128,191		26.2
60% to 70%	225,199		43.7	202,670		41.3
70% to 80%	32,985		6.4	58,212		11.9


Gross balance	515,225		100.0	489,879		100.0

Market value adjustment	(716)		(0.1)	412		0.1
Allowance for credit losses	(2,573)		(0.5)	(2,987)		(0.6)

Totals	$	511,936	99.4	$	487,304	99.5

Market value adjustments are recorded for mortgage loan investments for which the Company has elected to measure the loan at fair value. Beginning in 2021, the investment manager associated with the funds withheld coinsurance arrangement executed mortgage loan investments for the funds withheld assets under the reinsurance treaty. The Company has elected fair value measurement for these mortgage loans, which are included in the funds withheld portfolio.

All mortgage loans are analyzed quarterly in order to monitor the financial quality of these assets. Based on ongoing monitoring, mortgage loans with a likelihood of becoming delinquent are identified and placed on an internal “watch list.” Among the criteria that may indicate a potential problem include: major tenant vacancies or bankruptcies, late payments, and loan relief/restructuring requests. The mortgage loan portfolio is analyzed for the need for a valuation allowance on any loan that is on the internal watch list, in the process of foreclosure or that currently has a valuation allowance.

The Company employs a current expected credit loss recognition model (“CECL”) on its mortgage loans held at amortized cost for purposes of establishing a valuation allowance. The objective of the CECL model is for the reporting entity to recognize its estimate of current expected credit losses for affected financial assets in a valuation allowance deducted from the amortized cost basis of the related financial assets that results in presenting the net carrying value of the financial assets at the amount expected to be collected. For mortgage loan investments the Company is using the Weighted Average Remaining Maturity ("WARM") method, which uses an average annual charge-off rate applied to each mortgage loan risk category. Changes in the allowance for current expected credit losses for mortgage loans are reported in net investment income in the Condensed Consolidated Statements of Earnings.


	Three Months Ended June 30,			Six Months Ended June 30,
	2022		2021	2022	2021

	(In thousands)

Balance, beginning of the period	$	2,816	3,033	2,987	2,486

Provision (release) during the period	(243)		205	(414)	752


Total ending allowance for credit losses	$	2,573	3,238	2,573	3,238

The Company's direct investments in real estate are reported in Other long-term investments in the Consolidated Balance Sheets. These amounts are not a significant portion of the total investment portfolio and totaled approximately $28.2 million and $28.6 million at June 30, 2022 and December 31, 2021, respectively. This consists primarily of income-producing properties which are being operated by a wholly owned subsidiary of National Western. The Company recognized operating income on real estate properties of approximately $1.5 million and $1.4 million for the first six months of 2022 and 2021, respectively.