Investments (Tables)

3 Months Ended

Mar. 31, 2021

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:

	March 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	$	914,937	$	30,951	$	10,334	$	0	$	935,554
Obligations of U.S. states and their political subdivisions	302,372		12,297		2,340		0		312,329
Foreign government bonds	172,078		16,143		896		0		187,325
U.S. public corporate securities	3,785,253		167,327		71,551		0		3,881,029
U.S. private corporate securities	1,767,324		88,125		14,741		720		1,839,988
Foreign public corporate securities	902,623		18,051		14,049		0		906,625
Foreign private corporate securities	1,457,455		102,363		11,411		15		1,548,392
Asset-backed securities(1)	975,298		9,902		212		0		984,988
Commercial mortgage-backed securities	835,555		35,109		10,722		0		859,942
Residential mortgage-backed securities(2)	65,190		4,635		33		0		69,792
Total fixed maturities, available-for-sale	$	11,178,085	$	484,903	$	136,289	$	735	$	11,525,964

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

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

	December 31, 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	$	7,283,403	$	1,631,715	$	12,686	$	0	$	8,902,432
Obligations of U.S. states and their political subdivisions	258,135		19,512		156		0		277,491
Foreign government bonds	153,009		24,378		4		0		177,383
U.S. public corporate securities	3,112,420		339,348		1,361		0		3,450,407
U.S. private corporate securities	1,736,035		155,943		4,706		209		1,887,063
Foreign public corporate securities	513,204		29,029		408		0		541,825
Foreign private corporate securities	1,338,936		158,227		2,851		477		1,493,835
Asset-backed securities(1)	984,318		9,870		1,605		0		992,583
Commercial mortgage-backed securities	728,522		57,522		102		0		785,942
Residential mortgage-backed securities(2)	69,909		5,818		3		0		75,724
Total fixed maturities, available-for-sale	$	16,177,891	$	2,431,362	$	23,882	$	686	$	18,584,685

(1)Includes credit-tranched securities collateralized by loan obligations, auto loans, education loans, equipment leases and sub-prime mortgages.

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

Duration Of Gross Unrealized Losses On Fixed Maturity Securities

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:

	March 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	$	144,565	$	10,334	$	0	$	0	$	144,565	$	10,334
Obligations of U.S. states and their political subdivisions	79,297		2,340		0		0		79,297		2,340
Foreign government bonds	18,554		884		78		12		18,632		896
U.S. public corporate securities	1,864,779		70,888		15,462		663		1,880,241		71,551
U.S. private corporate securities	319,025		12,473		16,442		2,266		335,467		14,739
Foreign public corporate securities	608,178		13,056		31,663		993		639,841		14,049
Foreign private corporate securities	212,996		8,010		43,527		3,401		256,523		11,411
Asset-backed securities	99,710		189		33,668		23		133,378		212
Commercial mortgage-backed securities	202,581		10,722		0		0		202,581		10,722
Residential mortgage-backed securities	5,271		30		78		3		5,349		33
Total fixed maturities, available-for-sale	$	3,554,956	$	128,926	$	140,918	$	7,361	$	3,695,874	$	136,287

	December 31, 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	$	244,507	$	12,686	$	0	$	0	$	244,507	$	12,686
Obligations of U.S. states and their political subdivisions	9,440		156		0		0		9,440		156
Foreign government bonds	257		1		87		3		344		4
U.S. public corporate securities	117,755		1,335		2,185		26		119,940		1,361
U.S. private corporate securities	35,411		2,614		16,071		2,092		51,482		4,706
Foreign public corporate securities	69,610		408		0		0		69,610		408
Foreign private corporate securities	11,679		188		50,809		2,663		62,488		2,851
Asset-backed securities	219,535		320		246,535		1,285		466,070		1,605
Commercial mortgage-backed securities	45,617		102		0		0		45,617		102
Residential mortgage-backed securities	0		0		80		3		80		3
Total fixed maturities, available-for-sale	$	753,811	$	17,810	$	315,767	$	6,072	$	1,069,578	$	23,882

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:

	March 31, 2021
	Amortized Cost		Fair Value
	(in thousands)
Fixed maturities, available-for-sale:
Due in one year or less	$	303,632	$	307,998
Due after one year through five years	2,815,832		2,890,358
Due after five years through ten years	2,566,636		2,671,469
Due after ten years	3,615,942		3,741,417
Asset-backed securities	975,298		984,988
Commercial mortgage-backed securities	835,555		859,942
Residential mortgage-backed securities	65,190		69,792
Total fixed maturities, available-for-sale	$	11,178,085	$	11,525,964

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 and the allowance for credit losses of fixed maturities, for the periods indicated:

	Three Months Ended March 31,
	2021		2020
	(in thousands)
Fixed maturities, available-for-sale:
Proceeds from sales(1)	$	7,557,132	$	195,978
Proceeds from maturities/prepayments	138,524		78,080
Gross investment gains from sales and maturities	1,136,902		7,480
Gross investment losses from sales and maturities	(55,349)		(180)
Write-downs recognized in earnings(2)	0		(693)
(Addition to) release of allowance for credit losses	(49)		(186)

(1)Includes $(202.6) million and $6.5 million of non-cash related proceeds due to the timing of trade settlements for the three months ended March 31, 2021 and 2020, respectively.

(2)Amounts represent write-downs on securities actively marketed for sale.

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 tables set forth the activity in the allowance for credit losses for fixed maturity securities, as of the dates indicated:

	Three Months Ended March 31, 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	$	686	$	0	$	0	$	0	$	686
Additions to allowance for credit losses not previously recorded	0		0		432		0		0		0		432
Reductions for securities sold during the period	0		0		(6)		0		0		0		(6)
Addition (reductions) on securities with previous allowance	0		0		(377)		0		0		0		(377)
Balance, end of period	$	0	$	0	$	735	$	0	$	0	$	0	$	735

	Three Months Ended March 31, 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 period	$	0	$	0	$	0	$	0	$	0	$	0	$	0
Additions to allowance for credit losses not previously recorded	0		0		186		0		0		0		186
Balance, end of period	$	0	$	0	$	186	$	0	$	0	$	0	$	186

Commercial Mortgage and Other Loans

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

	March 31, 2021				December 31, 2020
	Amount (in thousands)		% of Total		Amount (in thousands)		% of Total
Commercial mortgage and agricultural property loans by property type:
Apartments/Multi-Family	$	363,747	20.2	%	$	369,764	20.9	%
Hospitality	18,064		1.0		16,679		0.9
Industrial	607,002		33.7		590,231		33.3
Office	362,173		20.1		374,107		21.1
Other	224,733		12.5		187,643		10.6
Retail	129,817		7.2		130,154		7.3
Total commercial mortgage loans	1,705,536		94.7		1,668,578		94.1
Agricultural property loans	96,263		5.3		104,574		5.9
Total commercial mortgage and agricultural property loans	1,801,799		100.0	%	1,773,152		100.0	%
Allowance for credit losses	(7,001)				(7,382)
Total net commercial mortgage and agricultural property loans	$	1,794,798			$	1,765,770

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:

	Three Months Ended March 31,
	2021						2020
	Commercial Mortgage Loans		Agricultural Property Loans		Total		Commercial Mortgage Loans		Agricultural Property Loans		Total
	(in thousands)
Allowance, beginning of period	$	7,116	$	266	$	7,382	$	2,622	$	41	$	2,663
Cumulative effect of adoption of ASU 2016-13	0		0		0		3,118		39		3,157
Addition to (release of) allowance for expected losses	(379)		(2)		(381)		363		99		462
Allowance, end of period	$	6,737	$	264	$	7,001	$	6,103	$	179	$	6,282

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 dates indicated:

	March 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%	$	38,560	$	0	$	113,410	$	43,037	$	115,447	$	427,874	$	738,328
60%-69.99%	14,075		175,627		201,021		52,873		116,336		103,477		663,409
70%-79.99%	0		80,023		51,172		10,745		53,558		107,204		302,702
80% or greater	0		0		0		0		0		1,097		1,097
Total	$	52,635	$	255,650	$	365,603	$	106,655	$	285,341	$	639,652	$	1,705,536
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	52,635	$	255,650	$	342,820	$	106,655	$	285,341	$	589,367	$	1,632,468
1.0 - 1.2x	0		0		22,783		0		0		22,084		44,867
Less than 1.0x	0		0		0		0		0		28,201		28,201
Total	$	52,635	$	255,650	$	365,603	$	106,655	$	285,341	$	639,652	$	1,705,536
Agricultural Property Loans
Loan-to-Value Ratio:
0%-59.99%	$	3,750	$	47,126	$	13,740	$	1,249	$	0	$	28,213	$	94,078
60%-69.99%	0		2,185		0		0		0		0		2,185
70%-79.99%	0		0		0		0		0		0		0
80% or greater	0		0		0		0		0		0		0
Total	$	3,750	$	49,311	$	13,740	$	1,249	$	0	$	28,213	$	96,263
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	3,750	$	49,311	$	13,740	$	1,249	$	0	$	24,632	$	92,682
1.0 - 1.2x	0		0		0		0		0		0		0
Less than 1.0x	0		0		0		0		0		3,581		3,581
Total	$	3,750	$	49,311	$	13,740	$	1,249	$	0	$	28,213	$	96,263

	December 31, 2020
	Amortized Cost by Origination Year
	2020		2019		2018		2017		2016		Prior		Total
	(in thousands)
Commercial Mortgage Loans
Loan-to-Value Ratio:
0%-59.99%	$	0	$	114,636	$	36,423	$	116,130	$	175,740	$	255,848	$	698,777
60%-69.99%	174,507		204,112		59,935		90,954		57,569		54,530		641,607
70%-79.99%	81,671		51,333		10,806		80,257		56,169		46,855		327,091
80% or greater	0		0		0		0		0		1,103		1,103
Total	$	256,178	$	370,081	$	107,164	$	287,341	$	289,478	$	358,336	$	1,668,578
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	256,178	$	347,151	$	107,164	$	287,341	$	274,124	$	323,060	$	1,595,018
1.0 - 1.2x	0		22,930		0		0		3,969		18,420		45,319
Less than 1.0x	0		0		0		0		11,385		16,856		28,241
Total	$	256,178	$	370,081	$	107,164	$	287,341	$	289,478	$	358,336	$	1,668,578
Agricultural Property Loans
Loan-to-Value Ratio:
0%-59.99%	$	47,245	$	13,769	$	1,255	$	7,493	$	1,180	$	31,370	$	102,312
60%-69.99%	2,262		0		0		0		0		0		2,262
70%-79.99%	0		0		0		0		0		0		0
80% or greater	0		0		0		0		0		0		0
Total	$	49,507	$	13,769	$	1,255	$	7,493	$	1,180	$	31,370	$	104,574
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	49,507	$	13,769	$	1,255	$	4,277	$	1,180	$	27,783	$	97,771
1.0 - 1.2x	0		0		0		0		0		0		0
Less than 1.0x	0		0		0		3,216		0		3,587		6,803
Total	$	49,507	$	13,769	$	1,255	$	7,493	$	1,180	$	31,370	$	104,574

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:

	March 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	$	1,705,536	$	0	$	0	$	0	$	1,705,536	$	0
Agricultural property loans	96,263		0		0		0		96,263		0
Total	$	1,801,799	$	0	$	0	$	0	$	1,801,799	$	0

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

	December 31, 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	$	1,668,578	$	0	$	0	$	0	$	1,668,578	$	0
Agricultural property loans	104,574		0		0		0		104,574		0
Total	$	1,773,152	$	0	$	0	$	0	$	1,773,152	$	0

(1)As of December 31, 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, 2020.

Other Invested Assets

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

	March 31, 2021		December 31, 2020
	(in thousands)
LPs/LLCs:
Equity method:
Private equity	$	31,864	$	28,955
Hedge funds	343,299		340,951
Real estate-related	244,806		244,041
Subtotal equity method	619,969		613,947
Fair value:
Private equity	3,696		4,220
Hedge funds	139		172
Real estate-related	6,295		6,220
Subtotal fair value	10,130		10,612
Total LPs/LLCs	630,099		624,559
Derivative instruments	80,153		194,251
Total other invested assets	$	710,252	$	818,810

Accrued Investment Income

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

	March 31, 2021		December 31, 2020
	(in thousands)
Fixed maturities	$	93,436	$	116,342
Equity securities	60		1
Commercial mortgage and other loans	5,091		4,828
Policy loans	11		11
Short-term investments and cash equivalents	649		158
Other(1)	272		264
Total accrued investment income	$	99,519	$	121,604

(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 March 31,
	2021		2020
	(in thousands)
Fixed maturities, available-for-sale	$	109,041	$	100,734
Fixed maturities, trading	6,480		2,581
Equity securities	952		67
Commercial mortgage and other loans	15,269		13,182
Policy loans	(20)		127
Other invested assets	14,091		(12,713)
Short-term investments and cash equivalents	442		25,452
Gross investment income	146,255		129,430
Less: investment expenses	(6,996)		(6,393)
Net investment income	$	139,259	$	123,037

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 March 31,
	2021		2020
	(in thousands)
Fixed maturities(1)	$	1,081,504	$	6,422
Commercial mortgage and other loans	300		(342)
Derivatives	2,045,560		(764,540)
Other invested assets	1,745		500
Short-term investments and cash equivalents	27		269
Realized investment gains (losses), net	$	3,129,136	$	(757,691)

(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:

	March 31, 2021		December 31, 2020
	(in thousands)
Fixed maturity securities, available-for-sale with an allowance	$	45	$	2
Fixed maturity securities, available-for-sale without an allowance	348,569		2,407,478
Derivatives designated as cash flow hedges(1)	(40,003)		(43,000)
Affiliated notes, available-for-sale	2,751		4,629
Net unrealized gains (losses) on investments	$	311,362	$	2,369,109

(1)For more information on cash flow hedges, see Note 4.