Investments

3 Months Ended

Mar. 31, 2022

Investments [Abstract]

Investments

3.    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:

	March 31, 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	$	890,970	$	879	$	11,532	$	0	$	880,317
Obligations of U.S. states and their political subdivisions	260,080		2,389		5,863		0		256,606
Foreign government bonds	96,605		4,093		2,197		0		98,501
U.S. public corporate securities	2,456,029		30,784		110,327		0		2,376,486
U.S. private corporate securities	1,618,621		1,287		100,472		1,438		1,517,998
Foreign public corporate securities	861,488		2,448		51,253		0		812,683
Foreign private corporate securities	899,035		596		92,090		0		807,541
Asset-backed securities(1)	1,028,440		2,264		8,025		0		1,022,679
Commercial mortgage-backed securities	719,001		2,823		31,113		0		690,711
Residential mortgage-backed securities(2)	58,027		1,014		523		0		58,518
Total fixed maturities, available-for-sale	$	8,888,296	$	48,577	$	413,395	$	1,438	$	8,522,040

(1)Includes credit-tranched securities collateralized by loan obligations, auto loans, education, equipment leases, home equity 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	$	654,389	$	73,618	$	1,182	$	0	$	726,825
Obligations of U.S. states and their political subdivisions	280,875		14,800		15		0		295,660
Foreign government bonds	106,240		8,848		722		0		114,366
U.S. public corporate securities	2,344,782		132,929		17,743		0		2,459,968
U.S. private corporate securities	1,635,200		24,316		13,858		1,086		1,644,572
Foreign public corporate securities	792,832		11,317		9,126		0		795,023
Foreign private corporate securities	920,062		5,361		33,706		0		891,717
Asset-backed securities(1)	1,057,995		5,120		757		0		1,062,358
Commercial mortgage-backed securities	692,232		22,149		8,061		0		706,320
Residential mortgage-backed securities(2)	71,629		2,603		75		0		74,157
Total fixed maturities, available-for-sale	$	8,556,236	$	301,061	$	85,245	$	1,086	$	8,770,966

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

	March 31, 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	$	679,495	$	11,532	$	0	$	0	$	679,495	$	11,532
Obligations of U.S. states and their political subdivisions	172,605		5,863		0		0		172,605		5,863
Foreign government bonds	19,396		432		17,609		1,765		37,005		2,197
U.S. public corporate securities	1,410,269		88,098		155,244		22,229		1,565,513		110,327
U.S. private corporate securities	1,422,116		98,951		12,440		1,521		1,434,556		100,472
Foreign public corporate securities	638,720		44,732		62,333		6,521		701,053		51,253
Foreign private corporate securities	758,009		88,922		25,716		3,168		783,725		92,090
Asset-backed securities	915,803		8,025		0		0		915,803		8,025
Commercial mortgage-backed securities	349,679		9,186		174,036		21,927		523,715		31,113
Residential mortgage-backed securities	19,863		518		68		5		19,931		523
Total fixed maturities, available-for-sale	$	6,385,955	$	356,259	$	447,446	$	57,136	$	6,833,401	$	413,395

	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	$	73,611	$	1,182	$	0	$	0	$	73,611	$	1,182
Obligations of U.S. states and their political subdivisions	4,939		15		0		0		4,939		15
Foreign government bonds	12,504		626		7,193		96		19,697		722
U.S. public corporate securities	695,982		11,466		152,722		6,277		848,704		17,743
U.S. private corporate securities	854,602		13,858		0		0		854,602		13,858
Foreign public corporate securities	521,995		7,777		49,812		1,349		571,807		9,126
Foreign private corporate securities	689,156		33,706		0		0		689,156		33,706
Asset-backed securities	498,944		757		0		0		498,944		757
Commercial mortgage-backed securities	156,808		4,597		75,483		3,464		232,291		8,061
Residential mortgage-backed securities	6,163		72		72		3		6,235		75
Total fixed maturities, available-for-sale	$	3,514,704	$	74,056	$	285,282	$	11,189	$	3,799,986	$	85,245

As of March 31, 2022 and December 31, 2021, the gross unrealized losses on fixed maturity available-for-sale securities without an allowance were composed of $371.2 million and $72.9 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 $42.2 million and $12.3 million, respectively, related to other than high or highest quality securities based on NAIC or equivalent rating. As of March 31, 2022, the $57.1 million of gross unrealized losses of twelve months or more were concentrated in the Company’s corporate securities within the consumer non-cyclical, capital goods and finance sectors. As of December 31, 2021, the $11.2 million of gross unrealized losses of twelve months or more were concentrated in the Company’s corporate securities within the consumer non-cyclical, capital goods and finance sectors.

In accordance with its policy described in Note 2 to the 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 March 31, 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 March 31, 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:

	March 31, 2022
	Amortized Cost		Fair Value
	(in thousands)
Fixed maturities, available-for-sale:
Due in one year or less	$	258,777	$	260,320
Due after one year through five years	2,205,247		2,119,503
Due after five years through ten years	2,290,333		2,123,564
Due after ten years	2,328,471		2,246,745
Asset-backed securities	1,028,440		1,022,679
Commercial mortgage-backed securities	719,001		690,711
Residential mortgage-backed securities	58,027		58,518
Total fixed maturities, available-for-sale	$	8,888,296	$	8,522,040

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

	Three Months Ended March 31,
	2022		2021
	(in thousands)
Fixed maturities, available-for-sale:
Proceeds from sales(1)	$	293,825	$	7,557,132
Proceeds from maturities/prepayments	108,027		138,524
Gross investment gains from sales and maturities	443		1,136,902
Gross investment losses from sales and maturities	(20,680)		(55,349)
(Addition to) release of allowance for credit losses	(352)		(49)

(1)Excludes activity from non-cash related proceeds due to the timing of trade settlements of $20.3 million and $202.6 million for the three months ended March 31, 2022 and 2021, respectively.

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, 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	$	0	$	1,086	$	0	$	0	$	0	$	1,086
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		0		0		0		0		0
Addition (reductions) on securities with previous allowance	0		0		352		0		0		0		352
Balance, end of period	$	0	$	0	$	1,438	$	0	$	0	$	0	$	1,438

	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

See Note 2 to the 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 March 31, 2022, the net increase in the allowance for credit losses on available-for-sale securities was primarily related to adverse projected cash flows in private corporate securities within the utility sector.

For the three months ended March 31, 2021, the increase in the allowance for credit losses on fixed maturity securities was primarily related to private corporate securities within the energy and utility sectors, partially offset by a decrease in the allowance within the capital goods sector.

The Company did not have any fixed maturity securities purchased with credit deterioration, as of both March 31, 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 $(0.8) million and $(552.3) million during the three months ended March 31, 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 $(22.3) million and $(15.7) million during the three months ended March 31, 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:

	March 31, 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	$	360,825	24.4	%	$	384,878	25.5	%
Hospitality	17,006		1.1		17,247		1.1
Industrial	622,119		42.0		624,033		41.5
Office	195,116		13.2		196,221		13.0
Other	134,150		9.1		134,181		8.9
Retail	101,201		6.8		101,399		6.7
Total commercial mortgage loans	1,430,417		96.6		1,457,959		96.7
Agricultural property loans	49,881		3.4		50,300		3.3
Total commercial mortgage and agricultural property loans	1,480,298		100.0	%	1,508,259		100.0	%
Allowance for credit losses	(4,072)				(4,657)
Total net commercial mortgage and agricultural property loans	$	1,476,226			$	1,503,602

As of March 31, 2022, the commercial mortgage and agricultural property loans were secured by properties geographically dispersed throughout the United States (with the largest concentrations in California (34%), Texas (18%) and New York (7%)) and included loans secured by properties in Europe (6%) and Mexico (1%).

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,
	2022						2021
	Commercial Mortgage Loans		Agricultural Property Loans		Total		Commercial Mortgage Loans		Agricultural Property Loans		Total
	(in thousands)
Allowance, beginning of period	$	4,599	$	58	$	4,657	$	7,116	$	266	$	7,382
Addition to (release of) allowance for expected losses	(583)		(2)		(585)		(379)		(2)		(381)
Allowance, end of period	$	4,016	$	56	$	4,072	$	6,737	$	264	$	7,001

See Note 2 to the 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 both the three months ended March 31, 2022 and 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:

	March 31, 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%	$	0	$	150,485	$	0	$	20,906	$	7,140	$	316,588	$	495,119
60%-69.99%	0		377,424		32,920		9,854		10,516		66,569		497,283
70%-79.99%	0		310,238		48,138		17,167		0		42,125		417,668
80% or greater	0		0		0		0		0		20,347		20,347
Total	$	0	$	838,147	$	81,058	$	47,927	$	17,656	$	445,629	$	1,430,417
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	0	$	838,147	$	81,058	$	47,927	$	7,140	$	406,501	$	1,380,773
1.0 - 1.2x	0		0		0		0		10,516		0		10,516
Less than 1.0x	0		0		0		0		0		39,128		39,128
Total	$	0	$	838,147	$	81,058	$	47,927	$	17,656	$	445,629	$	1,430,417
Agricultural Property Loans
Loan-to-Value Ratio:
0%-59.99%	$	0	$	39,720	$	829	$	0	$	0	$	9,332	$	49,881
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	$	0	$	39,720	$	829	$	0	$	0	$	9,332	$	49,881
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	0	$	39,720	$	829	$	0	$	0	$	5,893	$	46,442
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	$	0	$	39,720	$	829	$	0	$	0	$	9,332	$	49,881

	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%	$	150,485	$	0	$	20,966	$	7,140	$	92,932	$	232,249	$	503,772
60%-69.99%	389,476		32,920		9,870		10,558		39,001		27,621		509,446
70%-79.99%	316,790		48,138		17,207		0		21,130		21,121		424,386
80% or greater	0		0		0		0		0		20,355		20,355
Total	$	856,751	$	81,058	$	48,043	$	17,698	$	153,063	$	301,346	$	1,457,959
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	856,751	$	81,058	$	48,043	$	7,140	$	119,807	$	295,148	$	1,407,947
1.0 - 1.2x	0		0		0		10,558		0		0		10,558
Less than 1.0x	0		0		0		0		33,256		6,198		39,454
Total	$	856,751	$	81,058	$	48,043	$	17,698	$	153,063	$	301,346	$	1,457,959
Agricultural Property Loans
Loan-to-Value Ratio:
0%-59.99%	$	39,958	$	840	$	0	$	0	$	2,695	$	6,807	$	50,300
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	$	39,958	$	840	$	0	$	0	$	2,695	$	6,807	$	50,300
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	39,958	$	840	$	0	$	0	$	2,695	$	3,368	$	46,861
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	$	39,958	$	840	$	0	$	0	$	2,695	$	6,807	$	50,300

See Note 2 to the 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:

	March 31, 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	$	1,430,417	$	0	$	0	$	0	$	1,430,417	$	0
Agricultural property loans	49,881		0		0		0		49,881		0
Total	$	1,480,298	$	0	$	0	$	0	$	1,480,298	$	0

(1)As of March 31, 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 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	$	1,457,959	$	0	$	0	$	0	$	1,457,959	$	0
Agricultural property loans	50,300		0		0		0		50,300		0
Total	$	1,508,259	$	0	$	0	$	0	$	1,508,259	$	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 Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2021.

For both the three months ended March 31, 2022 and 2021, there were no commercial mortgage and other loans acquired, other than those through direct origination. For the three months ended March 31, 2022 and 2021, there were $29 million and $0 million, respectively, of commercial mortgage and other loans sold.

The Company did not have any commercial mortgage and other loans purchased with credit deterioration as of both March 31, 2022 and December 31, 2021.

Other Invested Assets

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

	March 31, 2022		December 31, 2021
	(in thousands)
LPs/LLCs:
Equity method:
Private equity	$	18,008	$	18,829
Hedge funds	0		0
Real estate-related	65,870		62,173
Subtotal equity method	83,878		81,002
Fair value:
Private equity	4,089		4,028
Hedge funds	166		166
Real estate-related	5,536		5,754
Subtotal fair value	9,791		9,948
Total LPs/LLCs	93,669		90,950
Derivative instruments	371,104		3,129
Total other invested assets	$	464,773	$	94,079

Accrued Investment Income

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

	March 31, 2022		December 31, 2021
	(in thousands)
Fixed maturities	$	56,707	$	57,757
Equity securities	0		0
Commercial mortgage and other loans	3,327		3,252
Policy loans	13		13
Short-term investments and cash equivalents	236		95
Total accrued investment income	$	60,283	$	61,117

There were no write-downs on accrued investment income for both the three months ended March 31, 2022 and 2021.

Net Investment Income

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

	Three Months Ended March 31,
	2022		2021
	(in thousands)
Fixed maturities, available-for-sale	$	61,123	$	109,041
Fixed maturities, trading	178		6,480
Equity securities	1,046		952
Commercial mortgage and other loans	10,898		15,269
Policy loans	121		(20)
Other invested assets	29,402		14,091
Short-term investments and cash equivalents	885		442
Gross investment income	103,653		146,255
Less: investment expenses	(4,595)		(6,996)
Net investment income	$	99,058	$	139,259

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,
	2022		2021
	(in thousands)
Fixed maturities(1)	$	(20,589)	$	1,081,504
Commercial mortgage and other loans	261		300
Derivatives	501,705		2,045,560
Other invested assets	(182)		1,745
Short-term investments and cash equivalents	(270)		27
Realized investment gains (losses), net	$	480,925	$	3,129,136

(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:

	March 31, 2022		December 31, 2021
	(in thousands)
Fixed maturity securities, available-for-sale with an allowance	$	1	$	3
Fixed maturity securities, available-for-sale without an allowance	(364,819)		215,813
Derivatives designated as cash flow hedges(1)	28,642		24,543
Net unrealized gains (losses) on investments	$	(336,176)	$	240,359

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

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 March 31, 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:

	March 31, 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)
Equity securities	$	205,301	$	0	$	205,301	$	0	$	0	$	0
Total cash collateral for loaned securities(1)	$	205,301	$	0	$	205,301	$	0	$	0	$	0

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