Fixed Maturity Securities In An Unrealized Loss Position

3 Months Ended

Mar. 31, 2020

Investments, Debt and Equity Securities [Abstract]

Fixed Maturity Securities In An Unrealized Loss Position

Fixed Maturity Securities in an Unrealized Loss Position

The following tables summarize all fixed maturity securities in an unrealized loss position at March 31, 2020 and December 31, 2019 by the length of time those securities have been continuously in an unrealized loss position:

	Less Than 12 Months				12 Months or Greater				Total
(In thousands)	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
March 31, 2020
U.S. government and government agency	$	13,308	$	13	$	7,145	$	45	$	20,453	$	58
State and municipal	640,570		11,306		74,998		1,673		715,568		12,979
Mortgage-backed securities	609,582		24,143		86,569		1,025		696,151		25,168
Asset-backed securities	2,014,456		108,100		614,876		79,890		2,629,332		187,990
Corporate	1,886,894		85,902		54,226		6,443		1,941,120		92,345
Foreign government	114,439		7,257		24,647		35,580		139,086		42,837
Fixed maturity securities	$	5,279,249	$	236,721	$	862,461	$	124,656	$	6,141,710	$	361,377
December 31, 2019
U.S. government and government agency	$	83,837	$	618	$	53,089	$	857	$	136,926	$	1,475
State and municipal	365,184		4,245		127,210		1,682		492,394		5,927
Mortgage-backed securities	301,358		2,281		180,148		3,220		481,506		5,501
Asset-backed securities	755,259		2,307		774,508		19,183		1,529,767		21,490
Corporate	307,367		3,148		121,470		5,172		428,837		8,320
Foreign government	164,536		32,028		107,266		61,645		271,802		93,673
Fixed maturity securities	$	1,977,541	$	44,627	$	1,363,691	$	91,759	$	3,341,232	$	136,386

Substantially all of the securities in an unrealized loss position are rated investment grade, except for the securities in the foreign government classification. In general, fair value in all classifications were negatively affected by market disruptions caused by COVID-19. A significant amount of the unrealized loss on foreign government securities is the result of changes in currency exchange rates.  

A summary of the Company’s non-investment grade fixed maturity securities that were in an unrealized loss position at March 31, 2020 is presented in the table below:

($ in thousands)	Number of Securities	Aggregate Fair Value		Gross Unrealized Loss
Foreign government	17	$	46,834	$	38,867
Corporate	15	55,989		7,293
Asset-backed securities	4	361		67
Mortgage-backed securities	13	14,213		1,484
Total	49	$	117,397	$	47,711

For fixed maturity securities that management does not intend to sell or to be required to sell, the portion of the decline in value that is considered to be due to credit factors is recognized in earnings, and the portion of the decline in value that is considered to be due to non-credit factors is recognized in other comprehensive (loss) income.

     The Company has evaluated its fixed maturity securities in an unrealized loss position and believes the unrealized losses are due primarily to temporary market and sector-related factors rather than to issuer-specific factors. None of these securities are delinquent or in default under financial covenants. Based on its assessment of these issuers, the Company expects them to continue to meet their contractual payment obligations as they become due.