Investments

6 Months Ended

Jun. 30, 2022

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:

	June 30, 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	$	636,878	$	1,921	$	44,925	$	0	$	593,874
Obligations of U.S. states and their political subdivisions	569,296		5,347		20,633		0		554,010
Foreign government bonds	319,719		705		51,864		116		268,444
U.S. public corporate securities	6,034,911		29,418		736,312		0		5,328,017
U.S. private corporate securities	2,509,630		6,792		228,868		1,831		2,285,723
Foreign public corporate securities	1,222,452		2,629		136,018		0		1,089,063
Foreign private corporate securities	3,140,859		190		503,503		2,863		2,634,683
Asset-backed securities(1)	925,707		322		31,476		0		894,553
Commercial mortgage-backed securities	740,060		723		46,095		0		694,688
Residential mortgage-backed securities(2)	98,196		526		2,821		0		95,901
Total fixed maturities, available-for-sale	$	16,197,708	$	48,573	$	1,802,515	$	4,810	$	14,438,956

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

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

	December 31, 2021
	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	$	303,040	$	31,011	$	111	$	0	$	333,940
Obligations of U.S. states and their political subdivisions	584,244		46,978		701		0		630,521
Foreign government bonds	324,454		29,299		3,271		11		350,471
U.S. public corporate securities	4,794,878		366,764		29,770		0		5,131,872
U.S. private corporate securities	1,964,767		59,037		16,880		2,049		2,004,875
Foreign public corporate securities	906,031		34,234		10,363		0		929,902
Foreign private corporate securities	2,741,449		62,932		48,381		2,089		2,753,911
Asset-backed securities(1)	547,549		860		1,099		0		547,310
Commercial mortgage-backed securities	552,653		25,928		3,397		0		575,184
Residential mortgage-backed securities(2)	18,684		1,501		5		0		20,180
Total fixed maturities, available-for-sale	$	12,737,749	$	658,544	$	113,978	$	4,149	$	13,278,166

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

(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:

	June 30, 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	$	446,399	$	44,627	$	1,909	$	298	$	448,308	$	44,925
Obligations of U.S. states and their political subdivisions	332,051		20,633		0		0		332,051		20,633
Foreign government bonds	222,423		42,170		23,269		9,688		245,692		51,858
U.S. public corporate securities	4,343,243		670,173		170,150		66,139		4,513,393		736,312
U.S. private corporate securities	2,062,339		215,192		100,094		13,676		2,162,433		228,868
Foreign public corporate securities	825,007		119,741		60,464		16,277		885,471		136,018
Foreign private corporate securities	2,441,224		466,582		162,515		36,921		2,603,739		503,503
Asset-backed securities	592,720		26,070		53,576		5,406		646,296		31,476
Commercial mortgage-backed securities	490,544		36,875		46,379		9,220		536,923		46,095
Residential mortgage-backed securities	37,902		2,821		0		0		37,902		2,821
Total fixed maturities, available-for-sale	$	11,793,852	$	1,644,884	$	618,356	$	157,625	$	12,412,208	$	1,802,509

	December 31, 2021
	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	$	0	$	0	$	2,119	$	111	$	2,119	$	111
Obligations of U.S. states and their political subdivisions	104,621		701		0		0		104,621		701
Foreign government bonds	59,550		2,826		6,473		371		66,023		3,197
U.S. public corporate securities	1,681,201		23,160		180,249		6,610		1,861,450		29,770
U.S. private corporate securities	972,796		14,036		16,409		2,844		989,205		16,880
Foreign public corporate securities	532,445		8,255		29,718		2,108		562,163		10,363
Foreign private corporate securities	1,253,739		42,392		57,637		5,616		1,311,376		48,008
Asset-backed securities	288,971		1,099		0		0		288,971		1,099
Commercial mortgage-backed securities	157,355		1,622		40,689		1,775		198,044		3,397
Residential mortgage-backed securities	1,393		5		0		0		1,393		5
Total fixed maturities, available-for-sale	$	5,052,071	$	94,096	$	333,294	$	19,435	$	5,385,365	$	113,531

As of June 30, 2022 and December 31, 2021, the gross unrealized losses on fixed maturity available-for-sale securities without an allowance were composed of $1,627.8 million and $95.1 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 $174.7 million and $18.4 million, respectively, related to other than high or highest quality securities based on NAIC or equivalent rating. As of June 30, 2022, the $157.6 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, 2021, the $19.4 million of gross unrealized losses of twelve months or more were concentrated in the Company's corporate securities within the utility, finance and consumer non-cyclical 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, 2021, the Company concluded that an adjustment to earnings for credit losses related to these fixed maturity securities was not warranted at June 30, 2022. 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 June 30, 2022, 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:

	June 30, 2022
	Amortized Cost		Fair Value
	(in thousands)
Fixed maturities, available-for-sale:
Due in one year or less	$	404,018	$	389,373
Due after one year through five years	3,869,672		3,619,474
Due after five years through ten years	4,198,773		3,645,235
Due after ten years	5,961,282		5,099,732
Asset-backed securities	925,707		894,553
Commercial mortgage-backed securities	740,060		694,688
Residential mortgage-backed securities	98,196		95,901
Total fixed maturities, available-for-sale	$	16,197,708	$	14,438,956

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 June 30,				Six Months Ended June 30,
	2022		2021		2022		2021
	(in thousands)
Fixed maturities, available-for-sale:
Proceeds from sales(1)	$	403,660	$	283,241	$	678,089	$	316,990
Proceeds from maturities/prepayments	110,426		96,373		230,787		170,458
Gross investment gains from sales and maturities	(652)		8,156		(1,358)		8,508
Gross investment losses from sales and maturities	(22,461)		(9,087)		(41,903)		(11,656)
Write-downs recognized in earnings(2)	(19,519)		0		(19,516)		(2)
(Addition to) release of allowance for credit losses	15,915		2,300		(661)		1,781

(1)Excludes activities from non-cash related proceeds due to the timing of trade settlements of $(31.2) million and $(16.9) million for the six months ended June 30, 2022 and 2021, 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 June 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	$	399	$	20,326	$	0	$	0	$	0	$	20,725
Additions to allowance for credit losses not previously recorded	0		0		2,904		0		0		0		2,904
Reductions for securities sold during the period	0		(1)		(1,202)		0		0		0		(1,203)
Reductions for securities with intent to sell	0		(324)		(16,666)		0		0		0		(16,990)
Addition (reductions) on securities with previous allowance	0		42		(668)		0		0		0		(626)
Balance, end of period	$	0	$	116	$	4,694	$	0	$	0	$	0	$	4,810

	Three Months Ended June 30, 2021
	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	$	2,858	$	0	$	0	$	0	$	2,858
Reductions for securities sold during the period	0		0		(14)		0		0		0		(14)
Addition (reductions) on securities with previous allowance	0		0		(2,286)		0		0		0		(2,286)
Balance, end of period	$	0	$	0	$	558	$	0	$	0	$	0	$	558

	Six Months Ended June 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		12,162		0		0		0		12,491
Reductions for securities sold during the period	0		(4)		(1,202)		0		0		0		(1,206)
Reductions for securities with intent to sell	0		(324)		(16,666)		0		0		0		(16,990)
Addition (reductions) on securities with previous allowance	0		104		6,262		0		0		0		6,366
Balance, end of period	$	0	$	116	$	4,694	$	0	$	0	$	0	$	4,810

	Six Months Ended June 30, 2021
	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	$	2,339	$	0	$	0	$	0	$	2,339
Reductions for securities sold during the period	0		0		(25)		0		0		0		(25)
Addition (reductions) on securities with previous allowance	0		0		(1,756)		0		0		0		(1,756)
Balance, end of period	$	0	$	0	$	558	$	0	$	0	$	0	$	558

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, 2021 for additional information about the Company’s methodology for developing our allowance for credit losses.

For the three months ended June 30, 2022, the net decrease in the allowance for credit losses on available-for-sale securities was primarily related to the communications sector within corporate securities. For the three months ended June 30, 2021, the net decrease in the allowance for credit losses on available-for-sale securities was primarily related to the improving credit environment in the communications and utility sectors within private corporate securities.

For the six months ended June 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 capital goods and utility sectors within corporate securities, partially offset by an increase in the communications sector. For the six months ended June 30, 2021, the net decrease in the allowance for credit losses on available-for-sale securities was primarily related to the improving credit environment in the communications and utility sectors within private corporate securities.

The Company did not have any fixed maturity securities purchased with credit deterioration, as of both June 30, 2022 and December 31, 2021.

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 $(184.1) million and $0.2 million during the three months ended June 30, 2022 and 2021, respectively, and $(520.5) million and $(2.5) million during the six months ended June 30, 2022 and 2021, respectively.

Equity Securities

The net change in unrealized gains (losses) from equity securities still held at period end, recorded within “Other income (loss)”, was $(10.0) million and $0.5 million during the three months ended June 30, 2022 and 2021, respectively, and $(14.1) million and less than $0.1 million during the six months ended June 30, 2022 and 2021, respectively.

Commercial Mortgage and Other Loans

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

	June 30, 2022				December 31, 2021
	Amount (in thousands)		% of Total		Amount (in thousands)		% of Total
Commercial mortgage and agricultural property loans by property type:
Apartments/Multi-Family	$	792,222	25.8	%	$	748,414	26.4	%
Hospitality	83,476		2.7		48,141		1.7
Industrial	1,064,620		34.6		916,398		32.2
Office	459,646		14.9		445,055		15.7
Other	254,714		8.3		252,590		8.9
Retail	228,494		7.4		255,577		9.0
Total commercial mortgage loans	2,883,172		93.7		2,666,175		93.9
Agricultural property loans	193,683		6.3		172,336		6.1
Total commercial mortgage and agricultural property loans	3,076,855		100.0	%	2,838,511		100.0	%
Allowance for credit losses	(9,924)				(5,951)
Total net commercial mortgage and agricultural property loans	$	3,066,931			$	2,832,560

As of June 30, 2022, the commercial mortgage and agricultural property loans were secured by properties geographically dispersed throughout the United States (with the largest concentrations in California (23%), Texas (12%) and New York (6%)) and included loans secured by properties in Europe (13%), Australia (3%) and Mexico (2%).

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 June 30,
	2022						2021
	Commercial Mortgage Loans		Agricultural Property Loans		Total		Commercial Mortgage Loans		Agricultural Property Loans		Total
	(in thousands)
Allowance, beginning of period	$	6,324	$	122	$	6,446	$	4,309	$	5	$	4,314
Addition to (release of) allowance for expected losses	3,380		98		3,478		(929)		19		(910)
Allowance, end of period	$	9,704	$	220	$	9,924	$	3,380	$	24	$	3,404

	Six Months Ended June 30,
	2022						2021
	Commercial Mortgage Loans		Agricultural Property Loans		Total		Commercial Mortgage Loans		Agricultural Property Loans		Total
	(in thousands)
Allowance, beginning of period	$	5,847	$	104	$	5,951	$	4,546	$	6	$	4,552
Addition to (release of) allowance for expected losses	3,857		116		3,973		(1,166)		18		(1,148)
Allowance, end of period	$	9,704	$	220	$	9,924	$	3,380	$	24	$	3,404

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, 2021 for additional information about the Company's methodology for developing our allowance and expected losses.

For the three months ended June 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 current market conditions. For the three months ended June 30, 2021, the net decrease in the allowance for credit losses on commercial mortgage and other loans was primarily related to the improving credit environment.

For the six months ended June 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 current market conditions and loan originations. For the six months ended June 30, 2021, the net decrease in the allowance for credit losses on commercial mortgage and other loans was primarily related to the improving credit environment.

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:

	June 30, 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%	$	36,935	$	47,157	$	5,584	$	164,712	$	83,681	$	619,216	$	957,285
60%-69.99%	176,681		324,556		237,578		273,374		165,783		250,876		1,428,848
70%-79.99%	129,179		146,541		71,275		72,099		2,728		74,270		496,092
80% or greater	0		0		0		0		0		947		947
Total	$	342,795	$	518,254	$	314,437	$	510,185	$	252,192	$	945,309	$	2,883,172
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	342,795	$	501,528	$	199,237	$	448,221	$	245,427	$	843,926	$	2,581,134
1.0 - 1.2x	0		16,726		108,998		39,097		6,765		45,452		217,038
Less than 1.0x	0		0		6,202		22,867		0		55,931		85,000
Total	$	342,795	$	518,254	$	314,437	$	510,185	$	252,192	$	945,309	$	2,883,172
Agricultural property loans
Loan-to-Value Ratio:
0%-59.99%	$	27,995	$	99,101	$	26,184	$	16,121	$	6,343	$	17,939	$	193,683
60%-69.99%	0		0		0		0		0		0		0
70%-79.99%	0		0		0		0		0		0		0
80% or greater	0		0		0		0		0		0		0
Total	$	27,995	$	99,101	$	26,184	$	16,121	$	6,343	$	17,939	$	193,683
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	27,995	$	99,101	$	26,184	$	16,121	$	6,343	$	17,151	$	192,895
1.0 - 1.2x	0		0		0		0		0		0		0
Less than 1.0x	0		0		0		0		0		788		788
Total	$	27,995	$	99,101	$	26,184	$	16,121	$	6,343	$	17,939	$	193,683

	December 31, 2021
	Amortized Cost by Origination Year
	2021		2020		2019		2018		2017		Prior		Total
	(in thousands)
Commercial mortgage loans
Loan-to-Value Ratio:
0%-59.99%	$	47,161	$	0	$	179,682	$	76,656	$	126,934	$	553,022	$	983,455
60%-69.99%	307,999		225,330		289,322		170,444		126,159		116,654		1,235,908
70%-79.99%	163,451		86,083		75,185		13,728		55,032		51,203		444,682
80% or greater	0		0		0		0		958		1,172		2,130
Total	$	518,611	$	311,413	$	544,189	$	260,828	$	309,083	$	722,051	$	2,666,175
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	501,456	$	195,164	$	481,289	$	253,938	$	289,443	$	638,092	$	2,359,382
1.0 - 1.2x	17,155		109,862		39,577		6,890		7,100		39,213		219,797
Less than 1.0x	0		6,387		23,323		0		12,540		44,746		86,996
Total	$	518,611	$	311,413	$	544,189	$	260,828	$	309,083	$	722,051	$	2,666,175
Agricultural property loans
Loan-to-Value Ratio:
0%-59.99%	$	98,579	$	26,581	$	16,226	$	6,463	$	8,372	$	16,115	$	172,336
60%-69.99%	0		0		0		0		0		0		0
70%-79.99%	0		0		0		0		0		0		0
80% or greater	0		0		0		0		0		0		0
Total	$	98,579	$	26,581	$	16,226	$	6,463	$	8,372	$	16,115	$	172,336
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	98,579	$	26,581	$	16,226	$	6,463	$	8,372	$	15,300	$	171,521
1.0 - 1.2x	0		0		0		0		0		0		0
Less than 1.0x	0		0		0		0		0		815		815
Total	$	98,579	$	26,581	$	16,226	$	6,463	$	8,372	$	16,115	$	172,336

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, 2021 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:

	June 30, 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	$	2,883,172	$	0	$	0	$	0	$	2,883,172	$	0
Agricultural property loans	193,683		0		0		0		193,683		0
Total	$	3,076,855	$	0	$	0	$	0	$	3,076,855	$	0

(1)As of June 30, 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 Annual Report on Form 10-K for the year ended December 31, 2021.

	December 31, 2021
	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	$	2,666,175	$	0	$	0	$	0	$	2,666,175	$	0
Agricultural property loans	172,336		0		0		0		172,336		0
Total	$	2,838,511	$	0	$	0	$	0	$	2,838,511	$	0

(1)As of December 31, 2021, 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, 2021.

For both the three and six months ended June 30, 2022, there were $27.6 million of commercial mortgage and other loans acquired, other than those through direct origination, and there were $24.8 million of commercial mortgage and other loans sold. For both the three and six months ended June 30, 2021, 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 June 30, 2022 and December 31, 2021.

Other Invested Assets

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

	June 30, 2022		December 31, 2021
	(in thousands)
Company’s investment in separate accounts	$	716	$	53,694
LPs/LLCs:
Equity method:
Private equity	306,449		286,141
Hedge funds	440,632		432,749
Real estate-related	102,821		89,337
Subtotal equity method	849,902		808,227
Fair value:
Private equity	66,186		69,137
Hedge funds	456		481
Real estate-related	9,726		9,861
Subtotal fair value	76,368		79,479
Total LPs/LLCs	926,270		887,706
Derivative instruments	37,766		268,525
Total other invested assets	$	964,752	$	1,209,925

Accrued Investment Income

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

	June 30, 2022		December 31, 2021
	(in thousands)
Fixed maturities	$	137,177	$	117,216
Equity securities	236		2
Commercial mortgage and other loans	8,517		7,025
Policy loans	14,749		35,153
Other invested assets	50		254
Short-term investments and cash equivalents	974		377
Total accrued investment income	$	161,703	$	160,027

There were no significant write-downs on accrued investment income for both the three months and six months ended June 30, 2022 and 2021.

Net Investment Income

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

	Three Months Ended June 30,				Six Months Ended June 30,
	2022		2021		2022		2021
	(in thousands)
Fixed maturities, available-for-sale	$	121,986	$	63,630	$	231,177	$	123,588
Fixed maturities, trading	12,479		544		28,044		1,075
Equity securities	1,190		102		1,352		205
Commercial mortgage and other loans	22,801		13,322		45,049		26,748
Policy loans	5,153		17,315		10,219		34,349
Other invested assets	38,243		5,735		75,033		18,808
Short-term investments and cash equivalents	3,441		33		4,089		160
Gross investment income	205,293		100,681		394,963		204,933
Less: investment expenses	(13,165)		(5,381)		(23,535)		(10,766)
Net investment income	$	192,128	$	95,300	$	371,428	$	194,167

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 June 30,				Six Months Ended June 30,
	2022		2021		2022		2021
	(in thousands)
Fixed maturities(1)	$	(26,717)	$	1,369	$	(63,438)	$	(1,369)
Commercial mortgage and other loans	(5,756)		910		(6,359)		1,148
Other invested assets	1,894		887		3,536		909
Derivatives	745,236		(125,662)		1,565,289		(46,571)
Short-term investments and cash equivalents	52		(6)		(212)		(11)
Realized investment gains (losses), net	$	714,709	$	(122,502)	$	1,498,816	$	(45,894)

(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:

	June 30, 2022		December 31, 2021
	(in thousands)
Fixed maturity securities, available-for-sale with an allowance	$	3,518	$	3,685
Fixed maturity securities, available-for-sale without an allowance	(1,757,460)		540,881
Derivatives designated as cash flow hedges(1)	144,390		39,896
Affiliated notes	(10,756)		73
Other investments(2)	1,846		1,854
Net unrealized gains (losses) on investments	$	(1,618,462)	$	586,389

(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 June 30, 2022 and December 31, 2021, 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:

	June 30, 2022						December 31, 2021
	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)
U.S. public corporate securities	$	5,528	$	0	$	5,528	$	3,004	$	0	$	3,004
Foreign public corporate securities	2,163		0		2,163		0		0		0
Equity securities	142,975		0		142,975		0		0		0
Total cash collateral for loaned securities(1)	$	150,666	$	0	$	150,666	$	3,004	$	0	$	3,004

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