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Investments (Tables)
 6 Months Ended
Jun. 30, 2020
Investments [Abstract]  
Fixed Maturities, Available-for-sale Securities
The following tables set forth the composition of fixed maturity securities (excluding investments classified as trading), as of the dates indicated:
 
June 30, 2020
 
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
$
7,209,338

 
$
1,959,308

 
$
10,467

 
$
0

 
$
9,158,179

Obligations of U.S. states and their political subdivisions
244,211

 
15,004

 
5

 
0

 
259,210

Foreign government bonds
161,316

 
19,384

 
25

 
0

 
180,675

U.S. public corporate securities
2,552,065

 
246,280

 
7,499

 
0

 
2,790,846

U.S. private corporate securities
1,458,519

 
87,180

 
8,102

 
0

 
1,537,597

Foreign public corporate securities
317,646

 
20,654

 
7,671

 
0

 
330,629

Foreign private corporate securities
1,231,622

 
35,456

 
27,817

 
982

 
1,238,279

Asset-backed securities(1)
621,254

 
6,735

 
8,846

 
0

 
619,143

Commercial mortgage-backed securities
647,722

 
52,733

 
20

 
0

 
700,435

Residential mortgage-backed securities(2)
73,820

 
6,069

 
3

 
0

 
79,886

Total fixed maturities, available-for-sale
$
14,517,513

 
$
2,448,803

 
$
70,455

 
$
982

 
$
16,894,879


(1)
Includes credit-tranched securities collateralized by loan obligations, sub-prime mortgages, auto loans, equipment leases and education loans.
(2)
Includes publicly-traded agency pass-through securities and collateralized mortgage obligations.




 
December 31, 2019
 
Amortized
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair
Value
 
OTTI
in AOCI(3)
 
(in thousands)
Fixed maturities, available-for-sale:
 
 
 
 
 
 
 
 
 
U.S. Treasury securities and obligations of U.S. government authorities and agencies
$
6,667,347

 
$
491,943

 
$
39,466

 
$
7,119,824

 
$
0

Obligations of U.S. states and their political subdivisions
252,304

 
7,814

 
436

 
259,682

 
0

Foreign government bonds
203,386

 
19,518

 
20

 
222,884

 
0

U.S. public corporate securities
1,615,060

 
126,947

 
1,331

 
1,740,676

 
0

U.S. private corporate securities
1,159,962

 
50,720

 
3,343

 
1,207,339

 
0

Foreign public corporate securities
321,111

 
16,989

 
113

 
337,987

 
0

Foreign private corporate securities
1,171,411

 
50,069

 
7,995

 
1,213,485

 
0

Asset-backed securities(1)
443,767

 
3,405

 
2,734

 
444,438

 
(20
)
Commercial mortgage-backed securities
557,584

 
20,941

 
236

 
578,289

 
0

Residential mortgage-backed securities(2)
73,814

 
3,960

 
13

 
77,761

 
0

Total fixed maturities, available-for-sale
$
12,465,746

 
$
792,306

 
$
55,687

 
$
13,202,365

 
$
(20
)

(1)
Includes credit-tranched securities collateralized by loan obligations, sub-prime mortgages, auto loans, equipment leases and education loans.
(2)
Includes publicly-traded agency pass-through securities and collateralized mortgage obligations.
(3)
Represents the amount of unrealized losses remaining in AOCI, from the impairment measurement date. Amount excludes $14.3 million of net unrealized gains on impaired available-for-sale securities relating to changes in the value of such securities subsequent to the impairment measurement date.
Duration Of Gross Unrealized Losses On Fixed Maturity Securities
The following table sets 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 date indicated:
 
June 30, 2020
 
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
$
539,420

 
$
10,467

 
$
0

 
$
0

 
$
539,420

 
$
10,467

Obligations of U.S. states and their political subdivisions
3,084

 
5

 
0

 
0

 
3,084

 
5

Foreign government bonds
368

 
14

 
81

 
11

 
449

 
25

U.S. public corporate securities
220,713

 
6,981

 
2,332

 
518

 
223,045

 
7,499

U.S. private corporate securities
124,703

 
6,429

 
19,376

 
1,673

 
144,079

 
8,102

Foreign public corporate securities
63,792

 
7,671

 
0

 
0

 
63,792

 
7,671

Foreign private corporate securities
412,032

 
15,832

 
118,199

 
11,980

 
530,231

 
27,812

Asset-backed securities
170,685

 
3,099

 
216,998

 
5,747

 
387,683

 
8,846

Commercial mortgage-backed securities
3,476

 
20

 
0

 
0

 
3,476

 
20

Residential mortgage-backed securities
0

 
0

 
84

 
3

 
84

 
3

Total fixed maturities, available-for-sale
$
1,538,273

 
$
50,518

 
$
357,070

 
$
19,932

 
$
1,895,343

 
$
70,450


The following table sets forth the fair value and gross unrealized losses on fixed maturity securities aggregated by investment category and length of time that individual fixed maturity securities had been in a continuous unrealized loss position, as of the date indicated:

 
December 31, 2019
 
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
$
1,336,007

 
$
39,456

 
$
5,855

 
$
10

 
$
1,341,862

 
$
39,466

Obligations of U.S. states and their political subdivisions
97,752

 
436

 
0

 
0

 
97,752

 
436

Foreign government bonds
804

 
13

 
132

 
7

 
936

 
20

U.S. public corporate securities
93,147

 
870

 
15,491

 
461

 
108,638

 
1,331

U.S. private corporate securities
82,709

 
2,111

 
59,797

 
1,232

 
142,506

 
3,343

Foreign public corporate securities
50,150

 
113

 
0

 
0

 
50,150

 
113

Foreign private corporate securities
97,414

 
1,652

 
91,863

 
6,343

 
189,277

 
7,995

Asset-backed securities
103,911

 
717

 
235,759

 
2,017

 
339,670

 
2,734

Commercial mortgage-backed securities
66,071

 
236

 
0

 
0

 
66,071

 
236

Residential mortgage-backed securities
633

 
12

 
7

 
1

 
640

 
13

Total fixed maturities, available-for-sale
$
1,928,598

 
$
45,616

 
$
408,904

 
$
10,071

 
$
2,337,502

 
$
55,687
Fixed Maturities Classified by Contractual Maturity Date

The following table sets forth the amortized cost and fair value of fixed maturities by contractual maturities, as of the date indicated:

 
June 30, 2020
 
Amortized Cost
 
Fair Value
 
(in thousands)
Fixed maturities, available-for-sale:
 
 
 
Due in one year or less
$
234,713

 
$
237,640

Due after one year through five years
1,202,685

 
1,243,281

Due after five years through ten years
2,187,012

 
2,301,245

Due after ten years
9,550,307

 
11,713,249

Asset-backed securities
621,254

 
619,143

Commercial mortgage-backed securities
647,722

 
700,435

Residential mortgage-backed securities
73,820

 
79,886

Total fixed maturities, available-for-sale
$
14,517,513

 
$
16,894,879
Sources of Fixed Maturity Proceeds, Realized Investment Gains (Losses), and Losses on Impairments
The following table sets forth the sources of fixed maturity proceeds and related investment gains (losses), as well as losses on write-downs, impairments and the allowance for credit losses of fixed maturities, for the periods indicated:
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
2020
 
2019
 
2020
 
2019
 
(in thousands)
Fixed maturities, available-for-sale:
 
 
 
 
 
 
 
Proceeds from sales(1)
$
136,699

 
$
21,640

 
$
332,677

 
$
153,409

Proceeds from maturities/prepayments
53,821

 
109,974

 
131,901

 
254,417

Gross investment gains from sales and maturities
10,774

 
(983
)
 
18,255

 
967

Gross investment losses from sales and maturities
(1,310
)
 
(1,985
)
 
(1,490
)
 
(2,641
)
OTTI recognized in earnings(2)
N/A

 
0

 
N/A

 
(2,025
)
Write-downs recognized in earnings(3)
0

 
N/A

 
(693
)
 
N/A

(Addition to) release of allowance for credit losses(4)
(796
)
 
N/A

 
(982
)
 
N/A


(1)
Includes $0.2 million and $3.6 million of non-cash related proceeds due to the timing of trade settlements for the six months ended June 30, 2020 and 2019, respectively.
(2)
For the three and six months ended June 30, 2019, amounts exclude the portion of OTTI amounts remaining in OCI, representing any difference between the fair value of the impaired debt security and the net present value of its projected future cash flows at the time of impairment.
(3)
For the three and six months ended June 30, 2020, amounts represent write-downs on securities approaching maturity related to foreign exchange movements and securities actively marketed for sale.
(4)
Effective January 1, 2020, credit losses on available-for-sale fixed maturity securities are recorded within the “allowance for credit losses.”

Credit Losses Recognized in Earnings on Fixed Maturity Securities Held by the Company for which a Portion of the OTTI Loss was Recognized in OCI
The following table sets forth the activity in the allowance for credit losses for fixed maturity securities, as of the date indicated:
 
June 30, 2020
 
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 year
$
0

 
$
0

 
$
0

 
$
0

 
$
0

 
$
0

 
$
0

Additions to allowance for credit losses not previously recorded
0

 
0

 
1,168

 
0

 
0

 
0

 
1,168

Reductions for securities sold during the period
0

 
0

 
(2
)
 
0

 
0

 
0

 
(2
)
Addition (reductions) on securities with previous allowance
0

 
0

 
(184
)
 
0

 
0

 
0

 
(184
)
Balance, end of period
$
0

 
$
0

 
$
982

 
$
0

 
$
0

 
$
0

 
$
982
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, 2020
 
December 31, 2019
 
Amount
(in thousands)
 
% of
Total
 
Amount
(in thousands)
 
% of
Total
Commercial mortgage and agricultural property loans by property type:
 
 
 
 
 
 
 
Apartments/Multi-Family
$
367,359

 
22.3
%
 
$
272,150

 
18.5
%
Hospitality
16,705

 
1.0

 
16,819

 
1.1

Industrial
498,323

 
30.3

 
464,528

 
31.5

Office
359,595

 
21.8

 
372,823

 
25.3

Other
182,189

 
11.1

 
156,768

 
10.6

Retail
130,606

 
7.9

 
131,051

 
8.9

Total commercial mortgage loans
1,554,777

 
94.4

 
1,414,139

 
95.9

Agricultural property loans
92,514

 
5.6

 
60,046

 
4.1

Total commercial mortgage and agricultural property loans by property type
1,647,291

 
100.0
%
 
1,474,185

 
100.0
%
Allowance for credit losses
(6,879
)
 
 
 
(2,663
)
 
 
Total net commercial mortgage and agricultural property loans by property type
1,640,412

 
 
 
1,471,522

 
 
Other loans:
 
 
 
 
 
 
 
Other collateralized loans
3,908

 
 
 
0

 
 
Allowance for credit losses
0

 
 
 
0

 
 
Total net other loans
3,908

 
 
 
0

 
 
Total commercial mortgage and other loans
$
1,644,320

 
 
 
$
1,471,522

 
 
Allowance for Credit Losses
The following table sets forth the activity in the allowance for credit losses for commercial mortgage and other loans, as of the dates indicated:
 
Commercial Mortgage Loans
 
Agricultural Property Loans
 
Other Collateralized Loans
 
Total
 
(in thousands)
Balance at December 31, 2018
$
2,861

 
$
35

 
$
0

 
$
2,896

Addition to (release of) allowance for credit losses
(239
)
 
6

 
0

 
(233
)
Balance at December 31, 2019
2,622

 
41

 
0

 
2,663

Cumulative effect of adoption of ASU 2016-13
3,118

 
39

 
0

 
3,157

Addition to (release of) allowance for expected losses
961

 
98

 
0

 
1,059

Balance at June 30, 2020
$
6,701

 
$
178

 
$
0

 
$
6,879
Financing Receivable Credit Quality Indicators
The following tables set forth key credit quality indicators based upon the recorded investment gross of allowance for credit losses, as of the date indicated:
 
June 30, 2020
 
Amortized Cost by Origination Year
 
2020
 
2019
 
2018
 
2017
 
2016
 
Prior
 
Revolving Loans
 
Total
 
(in thousands)
Loan-to-Value Ratio:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial mortgage loans
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
0%-59.99%
$
0

 
$
115,190

 
$
26,510

 
$
82,913

 
$
162,983

 
$
247,331

 
$
0

 
$
634,927

60%-69.99%
125,732

 
165,219

 
32,186

 
121,512

 
93,427

 
104,153

 
0

 
642,229

70%-79.99%
47,417

 
68,579

 
47,798

 
76,558

 
28,378

 
7,906

 
0

 
276,636

80% or greater
0

 
0

 
0

 
0

 
0

 
985

 
0

 
985

Subtotal
173,149

 
348,988

 
106,494

 
280,983

 
284,788

 
360,375

 
0

 
1,554,777

Agricultural property loans
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
0%-59.99%
34,465

 
13,798

 
1,261

 
8,553

 
1,180

 
33,257

 
0

 
92,514

60%-69.99%
0

 
0

 
0

 
0

 
0

 
0

 
0

 
0

70%-79.99%
0

 
0

 
0

 
0

 
0

 
0

 
0

 
0

80% or greater
0

 
0

 
0

 
0

 
0

 
0

 
0

 
0

Subtotal
34,465

 
13,798

 
1,261

 
8,553

 
1,180

 
33,257

 
0

 
92,514

Total commercial mortgage and agricultural property loans
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
0%-59.99%
34,465

 
128,988

 
27,771

 
91,466

 
164,163

 
280,588

 
0

 
727,441

60%-69.99%
125,732

 
165,219

 
32,186

 
121,512

 
93,427

 
104,153

 
0

 
642,229

70%-79.99%
47,417

 
68,579

 
47,798

 
76,558

 
28,378

 
7,906

 
0

 
276,636

80% or greater
0

 
0

 
0

 
0

 
0

 
985

 
0

 
985

Total commercial mortgage and agricultural property loans
$
207,614

 
$
362,786

 
$
107,755

 
$
289,536

 
$
285,968

 
$
393,632

 
$
0

 
$
1,647,291


 
June 30, 2020
 
December 31, 2019
 
Commercial Mortgage Loans
 
Agricultural Property Loans
 
Commercial Mortgage Loans
 
Agricultural Property Loans
 
(in thousands)
Debt Service Coverage Ratio:
 
 
 
 
 
 
 
Greater or equal to 1.2x
$
1,501,432

 
$
88,916

 
$
1,361,868

 
$
56,437

1.0 - 1.2x
50,597

 
0

 
52,271

 
0

Less than 1.0x
2,748

 
3,598

 
0

 
3,609

Total
$
1,554,777

 
$
92,514

 
$
1,414,139

 
$
60,046
Aging of Past Due Commercial Mortgage and Other Loans and Nonaccrual Status
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, 2020
 
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
$
1,553,547

 
$
0

 
$
1,230

 
$
0

 
$
1,554,777

 
$
0

Agricultural property loans
88,237

 
0

 
0

 
4,277

 
92,514

 
4,277

Other collateralized loans
3,908

 
0

 
0

 
0

 
3,908

 
0

Total
$
1,645,692

 
$
0

 
$
1,230

 
$
4,277

 
$
1,651,199

 
$
4,277


(1)
As of June 30, 2020, 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 Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2019.
 
December 31, 2019
 
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
$
1,414,139

 
$
0

 
$
0

 
$
0

 
$
1,414,139

 
$
0

Agricultural property loans
60,046

 
0

 
0

 
0

 
60,046

 
0

Total
$
1,474,185

 
$
0

 
$
0

 
$
0

 
$
1,474,185

 
$
0


(1)
As of December 31, 2019, 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 Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2019.
Other Invested Assets
The following table sets forth the composition of “Other invested assets,” as of the dates indicated:
 
June 30, 2020
 
December 31, 2019
 
(in thousands)
LPs/LLCs:
 
 
 
Equity method:
 
 
 
Private equity
$
22,283

 
$
23,414

Hedge funds
313,198

 
273,615

Real estate-related
180,034

 
166,492

Subtotal equity method
515,515

 
463,521

Fair value:
 
 
 
Private equity
4,116

 
4,115

Hedge funds
174

 
194

Real estate-related
6,362

 
6,181

Subtotal fair value
10,652

 
10,490

Total LPs/LLCs
526,167

 
474,011

Derivative instruments
2,873

 
2

Total other invested assets
$
529,040

 
$
474,013
Accrued Investment Income
The following table sets forth the composition of “Accrued investment income,” as of the date indicated:

 
June 30, 2020
 
(in thousands)
 
 
Fixed maturities
$
108,200

Equity securities
1

Commercial mortgage and other loans
4,585

Policy loans
10

Short-term investments and cash equivalents
3,262

Other(1)
259

Total accrued investment income
$
116,317



(1)
Primarily includes affiliated accrued income.
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,
 
2020
 
2019
 
2020
 
2019
 
(in thousands)
Fixed maturities, available-for-sale
$
109,465

 
$
96,829

 
$
210,199

 
$
189,040

Fixed maturities, trading
2,921

 
2,553

 
5,502

 
4,918

Equity securities
64

 
73

 
131

 
146

Commercial mortgage and other loans
15,437

 
13,168

 
28,619

 
24,900

Policy loans
229

 
218

 
356

 
277

Other invested assets
18,579

 
7,765

 
5,866

 
16,607

Short-term investments and cash equivalents
18,516

 
16,766

 
43,968

 
30,506

Gross investment income
165,211

 
137,372

 
294,641

 
266,394

Less: investment expenses
(6,785
)
 
(5,400
)
 
(13,178
)
 
(9,353
)
Net investment income
$
158,426

 
$
131,972

 
$
281,463

 
$
257,041
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,
 
2020
 
2019
 
2020
 
2019
 
(in thousands)
Fixed maturities(1)
$
8,668

 
$
(2,968
)
 
$
15,090

 
$
(3,699
)
Commercial mortgage and other loans
(1,394
)
 
(461
)
 
(1,736
)
 
(1,242
)
Derivatives
(3,386,059
)
 
(890,952
)
 
(4,150,599
)
 
(2,231,880
)
Other invested assets
970

 
0

 
1,470

 
0

Short-term investments and cash equivalents
2,051

 
166

 
2,320

 
387

Realized investment gains (losses), net
$
(3,375,764
)
 
$
(894,215
)
 
$
(4,133,455
)
 
$
(2,236,434
)

(1)
Includes fixed maturity securities classified as available-for-sale and excludes fixed maturity securities classified as trading.
Net Unrealized Gains and (Losses) on Investments
The following table sets forth net unrealized gains (losses) on investments, as of the dates indicated:
 
June 30, 2020
 
December 31, 2019
 
(in thousands)
Fixed maturity securities, available-for-sale — with OTTI(1)
$ N/A

 
$
14,309

Fixed maturity securities, available-for-sale — all other(1)
N/A

 
722,310

Fixed maturity securities, available-for-sale with an allowance
(47
)
 
N/A

Fixed maturity securities, available-for-sale without an allowance
2,378,395

 
N/A

Derivatives designated as cash flow hedges(2)
68,175

 
(287
)
Affiliated notes
3,813

 
598

Net unrealized gains (losses) on investments
$
2,450,336

 
$
736,930


(1)
Effective January 1, 2020, per ASU 2016-13, fixed maturity securities, available-for-sale are no longer required to be disclosed “with OTTI” and “all other”.
(2)
For more information on cash flow hedges, see Note 4.