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Investments (Tables)

6 Months Ended

Jun. 30, 2021

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, 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	$	951,522	$	79,339	$	97	$	0	$	1,030,764
Obligations of U.S. states and their political subdivisions	299,602		18,137		705		0		317,034
Foreign government bonds	178,724		17,534		517		0		195,741
U.S. public corporate securities	4,044,844		246,589		12,631		0		4,278,802
U.S. private corporate securities	2,078,322		115,053		4,114		335		2,188,926
Foreign public corporate securities	974,009		23,647		3,268		0		994,388
Foreign private corporate securities	1,861,002		115,322		7,408		0		1,968,916
Asset-backed securities(1)	1,306,017		7,926		891		0		1,313,052
Commercial mortgage-backed securities	823,769		42,667		5,319		0		861,117
Residential mortgage-backed securities(2)	69,928		4,144		3		0		74,069
Total fixed maturities, available-for-sale	$	12,587,739	$	670,358	$	34,953	$	335	$	13,222,809

(1)Includes credit-tranched securities collateralized by loan obligations, auto loans, education loans, equipment leases, home equity loans 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:


	June 30, 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	$	74,672	$	97	$	0	$	0	$	74,672	$	97
Obligations of U.S. states and their political subdivisions	8,890		705		0		0		8,890		705
Foreign government bonds	19,170		510		83		7		19,253		517
U.S. public corporate securities	784,696		12,563		1,974		68		786,670		12,631
U.S. private corporate securities	156,480		4,065		2,482		46		158,962		4,111
Foreign public corporate securities	331,329		3,268		0		0		331,329		3,268
Foreign private corporate securities	350,529		7,300		2,914		108		353,443		7,408
Asset-backed securities	319,038		874		24,904		17		343,942		891
Commercial mortgage-backed securities	225,557		5,319		0		0		225,557		5,319
Residential mortgage-backed securities	33		1		76		2		109		3
Total fixed maturities, available-for-sale	$	2,270,394	$	34,702	$	32,433	$	248	$	2,302,827	$	34,950


	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:


	June 30, 2021
	Amortized Cost		Fair Value
	(in thousands)
Fixed maturities, available-for-sale:
Due in one year or less	$	264,241	$	270,212
Due after one year through five years	2,979,491		3,083,315
Due after five years through ten years	3,386,537		3,544,241
Due after ten years	3,757,756		4,076,803
Asset-backed securities	1,306,017		1,313,052
Commercial mortgage-backed securities	823,769		861,117
Residential mortgage-backed securities	69,928		74,069
Total fixed maturities, available-for-sale	$	12,587,739	$	13,222,809

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 June 30,				Six Months Ended June 30,
	2021		2020		2021		2020
	(in thousands)
Fixed maturities, available-for-sale:
Proceeds from sales(1)	$	236,301	$	136,699	$	7,793,433	$	332,677
Proceeds from maturities/prepayments	272,769		53,821		411,293		131,901
Gross investment gains from sales and maturities	1,728		10,774		1,138,630		18,255
Gross investment losses from sales and maturities	(5,268)		(1,310)		(60,617)		(1,490)

Write-downs recognized in earnings(2)	(22,619)		0		(22,619)		(693)
(Addition to) release of allowance for credit losses	400		(796)		351		(982)

(1)Includes $(255.3) million and $0.2 million of non-cash related proceeds due to the timing of trade settlements for the six months ended June 30, 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 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	$	735	$	0	$	0	$	0	$	735
Additions to allowance for credit losses not previously recorded	0		0		0		0		0		0		0

Reductions for securities sold during the period	0		0		(7)		0		0		0		(7)

Addition (reductions) on securities with previous allowance	0		0		(393)		0		0		0		(393)


Balance, end of period	$	0	$	0	$	335	$	0	$	0	$	0	$	335


	Three Months Ended 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 period	$	0	$	0	$	186	$	0	$	0	$	0	$	186
Additions to allowance for credit losses not previously recorded	0		0		982		0		0		0		982

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


	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	$	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		(13)		0		0		0		(13)

Addition (reductions) on securities with previous allowance	0		0		(770)		0		0		0		(770)


Balance, end of period	$	0	$	0	$	335	$	0	$	0	$	0	$	335


	Six Months Ended 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 period	$	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, 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	$	498,244	23.1	%	$	369,764	20.9	%
Hospitality	35,600		1.6		16,679		0.9
Industrial	762,823		35.3		590,231		33.3
Office	388,260		18.0		374,107		21.1
Other	231,623		10.7		187,643		10.6
Retail	136,975		6.4		130,154		7.3
Total commercial mortgage loans	2,053,525		95.1		1,668,578		94.1
Agricultural property loans	105,793		4.9		104,574		5.9
Total commercial mortgage and agricultural property loans	2,159,318		100.0	%	1,773,152		100.0	%
Allowance for credit losses	(5,583)				(7,382)
Total net commercial mortgage and agricultural property loans	$	2,153,735			$	1,765,770

Allowance for Credit Losses

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,
	2021						2020

	Commercial Mortgage Loans		Agricultural Property Loans		Total		Commercial Mortgage Loans		Agricultural Property Loans		Total
	(in thousands)
Allowance, beginning of period	$	6,737	$	264	$	7,001	$	6,103	$	179	$	6,282
Addition to (release of) allowance for expected losses	(1,345)		(73)		(1,418)		598		(1)		597




Allowance, end of period	$	5,392	$	191	$	5,583	$	6,701	$	178	$	6,879


	Six Months Ended June 30,
	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	(1,724)		(75)		(1,799)		961		98		1,059




Allowance, end of period	$	5,392	$	191	$	5,583	$	6,701	$	178	$	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 dates indicated:


	June 30, 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%	$	72,985	$	3,800	$	131,266	$	42,789	$	119,973	$	469,790	$	840,603
60%-69.99%	99,026		171,906		232,198		52,478		134,709		121,830		812,147
70%-79.99%	112,128		80,070		51,003		10,683		53,865		91,936		399,685
80% or greater	0		0		0		0		0		1,090		1,090
Total	$	284,139	$	255,776	$	414,467	$	105,950	$	308,547	$	684,646	$	2,053,525
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	284,139	$	255,776	$	391,833	$	105,950	$	296,139	$	635,450	$	1,969,287
1.0 - 1.2x	0		0		22,634		0		12,408		21,483		56,525
Less than 1.0x	0		0		0		0		0		27,713		27,713
Total	$	284,139	$	255,776	$	414,467	$	105,950	$	308,547	$	684,646	$	2,053,525
Agricultural Property Loans
Loan-to-Value Ratio:
0%-59.99%	$	8,135	$	47,138	$	13,741	$	1,244	$	2,708	$	30,642	$	103,608
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	$	8,135	$	49,323	$	13,741	$	1,244	$	2,708	$	30,642	$	105,793
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	8,135	$	49,323	$	13,741	$	1,244	$	2,708	$	27,203	$	102,354
1.0 - 1.2x	0		0		0		0		0		0		0
Less than 1.0x	0		0		0		0		0		3,439		3,439
Total	$	8,135	$	49,323	$	13,741	$	1,244	$	2,708	$	30,642	$	105,793


	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:


	June 30, 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	$	2,053,525	$	0	$	0	$	0	$	2,053,525	$	0
Agricultural property loans	83,562		22,231		0		0		105,793		0

Total	$	2,137,087	$	22,231	$	0	$	0	$	2,159,318	$	0

(1)As of June 30, 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.

Other Invested Assets

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


	June 30, 2021		December 31, 2020
	(in thousands)

LPs/LLCs:
Equity method:
Private equity	$	25,844	$	28,955
Hedge funds	330,572		340,951
Real estate-related	247,009		244,041
Subtotal equity method	603,425		613,947
Fair value:
Private equity	3,672		4,220
Hedge funds	152		172
Real estate-related	6,616		6,220
Subtotal fair value	10,440		10,612
Total LPs/LLCs	613,865		624,559

Derivative instruments	305,550		194,251
Total other invested assets	$	919,415	$	818,810

Accrued Investment Income

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


	June 30, 2021		December 31, 2020
	(in thousands)
Fixed maturities	$	104,552	$	116,342
Equity securities	1		1
Commercial mortgage and other loans	5,484		4,828
Policy loans	12		11

Short-term investments and cash equivalents	81		158
Other(1)	250		264
Total accrued investment income	$	110,380	$	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 June 30,				Six Months Ended June 30,
	2021		2020		2021		2020
	(in thousands)
Fixed maturities, available-for-sale	$	91,084	$	109,465	$	200,125	$	210,199
Fixed maturities, trading	19,142		2,921		25,622		5,502
Equity securities	1,332		64		2,284		131
Commercial mortgage and other loans	16,857		15,437		32,126		28,619
Policy loans	260		229		240		356
Other invested assets	24,203		18,579		38,294		5,866
Short-term investments and cash equivalents	(81)		18,516		361		43,968
Gross investment income	152,797		165,211		299,052		294,641
Less: investment expenses	(6,849)		(6,785)		(13,845)		(13,178)
Net investment income	$	145,948	$	158,426	$	285,207	$	281,463

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,
	2021		2020		2021		2020
	(in thousands)
Fixed maturities(1)	$	(25,759)	$	8,668	$	1,055,745	$	15,090

Commercial mortgage and other loans	(758)		(1,394)		(458)		(1,736)

Derivatives	(812,224)		(3,386,059)		1,233,336		(4,150,599)
Other invested assets	1,823		970		3,568		1,470
Short-term investments and cash equivalents	(46)		2,051		(19)		2,320
Realized investment gains (losses), net	$	(836,964)	$	(3,375,764)	$	2,292,172	$	(4,133,455)

(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, 2021		December 31, 2020
	(in thousands)


Fixed maturity securities, available-for-sale with an allowance	$	1,990	$	2
Fixed maturity securities, available-for-sale without an allowance	633,415		2,407,478
Derivatives designated as cash flow hedges(1)	(17,710)		(43,000)
Affiliated notes, available-for-sale	3,171		4,629

Net unrealized gains (losses) on investments	$	620,866	$	2,369,109

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