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Debt Securities
 3 Months Ended
Mar. 31, 2024
Debt Securities, Available-for-Sale [Abstract]  
Debt Securities

Note 3 – Debt Securities

Investments in debt securities, classified as available-for-sale, are as follows:

 

 

Amortized

 

 

Gross unrealized

 

 

Estimated

 

(in millions)

 

cost

 

 

Gains

 

 

Losses

 

 

fair value

 

March 31, 2024

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury bonds

 

$

163.1

 

 

$

—

 

 

$

(5.9

)

 

$

157.2

 

Municipal bonds

 

 

1,381.2

 

 

 

7.1

 

 

 

(139.0

)

 

 

1,249.3

 

Foreign government bonds

 

 

209.9

 

 

 

0.2

 

 

 

(10.7

)

 

 

199.4

 

Governmental agency bonds

 

 

214.3

 

 

 

—

 

 

 

(13.9

)

 

 

200.4

 

Governmental agency mortgage-backed securities

 

 

4,316.7

 

 

 

2.2

 

 

 

(573.0

)

 

 

3,745.9

 

U.S. corporate debt securities

 

 

1,075.4

 

 

 

4.4

 

 

 

(58.6

)

 

 

1,021.2

 

Foreign corporate debt securities

 

 

498.4

 

 

 

4.0

 

 

 

(21.4

)

 

 

481.0

 

 

$

7,859.0

 

 

$

17.9

 

 

$

(822.5

)

 

$

7,054.4

 

December 31, 2023

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury bonds

 

$

203.3

 

 

$

0.5

 

 

$

(4.5

)

 

$

199.3

 

Municipal bonds

 

 

1,373.7

 

 

 

8.8

 

 

 

(136.7

)

 

 

1,245.8

 

Foreign government bonds

 

 

228.4

 

 

 

1.4

 

 

 

(10.5

)

 

 

219.3

 

Governmental agency bonds

 

 

207.7

 

 

 

0.2

 

 

 

(12.5

)

 

 

195.4

 

Governmental agency mortgage-backed securities

 

 

4,396.2

 

 

 

6.3

 

 

 

(526.8

)

 

 

3,875.7

 

U.S. corporate debt securities

 

 

1,007.0

 

 

 

6.6

 

 

 

(55.2

)

 

 

958.4

 

Foreign corporate debt securities

 

 

478.9

 

 

 

5.8

 

 

 

(21.1

)

 

 

463.6

 

 

$

7,895.2

 

 

$

29.6

 

 

$

(767.3

)

 

$

7,157.5

 

Sales of debt securities resulted in realized gains of $0.8 million and $5.5 million, realized losses of $4.2 million and $10.0 million and proceeds of $224.5 million and $715.5 million for the three months ended March 31, 2024 and 2023, respectively.

Investments in debt securities in an unrealized loss position, and their respective length of time in such position, are as follows:

 

 

Less than 12 months

 

 

12 months or longer

 

 

Total

 

(in millions)

 

Estimated
fair value

 

 

Unrealized
losses

 

 

Estimated
fair value

 

 

Unrealized
losses

 

 

Estimated
fair value

 

 

Unrealized
losses

 

March 31, 2024

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury bonds

 

$

101.2

 

 

$

(1.3

)

 

$

50.4

 

 

$

(4.6

)

 

$

151.6

 

 

$

(5.9

)

Municipal bonds

 

 

133.1

 

 

 

(1.5

)

 

 

970.8

 

 

 

(137.5

)

 

 

1,103.9

 

 

 

(139.0

)

Foreign government bonds

 

 

68.3

 

 

 

(0.2

)

 

 

96.1

 

 

 

(10.5

)

 

 

164.4

 

 

 

(10.7

)

Governmental agency bonds

 

 

83.0

 

 

 

(0.6

)

 

 

117.4

 

 

 

(13.3

)

 

 

200.4

 

 

 

(13.9

)

Governmental agency mortgage-backed
   securities

 

 

490.3

 

 

 

(15.4

)

 

 

3,103.7

 

 

 

(557.6

)

 

 

3,594.0

 

 

 

(573.0

)

U.S. corporate debt securities

 

 

127.1

 

 

 

(1.6

)

 

 

598.1

 

 

 

(57.0

)

 

 

725.2

 

 

 

(58.6

)

Foreign corporate debt securities

 

 

64.8

 

 

 

(0.6

)

 

 

257.7

 

 

 

(20.8

)

 

 

322.5

 

 

 

(21.4

)

 

$

1,067.8

 

 

$

(21.2

)

 

$

5,194.2

 

 

$

(801.3

)

 

$

6,262.0

 

 

$

(822.5

)

December 31, 2023

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury bonds

 

$

8.2

 

 

$

(0.1

)

 

$

55.4

 

 

$

(4.4

)

 

$

63.6

 

 

$

(4.5

)

Municipal bonds

 

 

107.4

 

 

 

(0.9

)

 

 

956.8

 

 

 

(135.8

)

 

 

1,064.2

 

 

 

(136.7

)

Foreign government bonds

 

 

33.3

 

 

 

(0.1

)

 

 

101.4

 

 

 

(10.4

)

 

 

134.7

 

 

 

(10.5

)

Governmental agency bonds

 

 

0.4

 

 

 

—

 

 

 

118.9

 

 

 

(12.5

)

 

 

119.3

 

 

 

(12.5

)

Governmental agency mortgage-backed
   securities

 

 

338.3

 

 

 

(6.6

)

 

 

3,225.3

 

 

 

(520.2

)

 

 

3,563.6

 

 

 

(526.8

)

U.S. corporate debt securities

 

 

45.1

 

 

 

(0.4

)

 

 

602.5

 

 

 

(54.8

)

 

 

647.6

 

 

 

(55.2

)

Foreign corporate debt securities

 

 

19.3

 

 

 

(0.1

)

 

 

267.3

 

 

 

(21.0

)

 

 

286.6

 

 

 

(21.1

)

 

$

552.0

 

 

$

(8.2

)

 

$

5,327.6

 

 

$

(759.1

)

 

$

5,879.6

 

 

$

(767.3

)

Based on the Company’s review of its debt securities in an unrealized loss position it determined that the losses were due to non-credit factors and, therefore, it does not consider these securities to be credit impaired at March 31, 2024. As of March 31, 2024, the Company did not intend to sell any debt securities in an unrealized loss position and it is not more likely than not that the Company will be required to sell any debt securities before recovery of their amortized cost basis.

In determining credit losses on its debt securities in an unrealized loss position, the Company considers certain factors that may include, among others, severity of the unrealized loss, security type, industry sector, credit rating, yield to maturity, profitability and stock performance.

Investments in debt securities at March 31, 2024, by contractual maturities, are as follows:

 

(in millions)

 

Due in one
year or less

 

 

Due after
one through
five years

 

 

Due after
five through
ten years

 

 

Due after
ten years

 

 

Total

 

U.S. Treasury bonds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amortized cost

 

$

5.7

 

 

$

136.9

 

 

$

0.4

 

 

$

20.1

 

 

$

163.1

 

Estimated fair value

 

$

5.7

 

 

$

132.1

 

 

$

0.3

 

 

$

19.1

 

 

$

157.2

 

Municipal bonds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amortized cost

 

 

12.6

 

 

 

382.4

 

 

 

478.4

 

 

 

507.8

 

 

 

1,381.2

 

Estimated fair value

 

 

12.5

 

 

 

351.1

 

 

 

413.1

 

 

 

472.6

 

 

 

1,249.3

 

Foreign government bonds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amortized cost

 

 

31.2

 

 

 

104.5

 

 

 

67.5

 

 

 

6.7

 

 

 

209.9

 

Estimated fair value

 

 

31.0

 

 

 

103.8

 

 

 

58.6

 

 

 

6.0

 

 

 

199.4

 

Governmental agency bonds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amortized cost

 

 

—

 

 

 

166.6

 

 

 

1.6

 

 

 

46.1

 

 

 

214.3

 

Estimated fair value

 

 

—

 

 

 

161.6

 

 

 

1.5

 

 

 

37.3

 

 

 

200.4

 

U.S. corporate debt securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amortized cost

 

 

13.9

 

 

 

732.1

 

 

 

245.6

 

 

 

83.8

 

 

 

1,075.4

 

Estimated fair value

 

 

13.8

 

 

 

693.1

 

 

 

239.8

 

 

 

74.5

 

 

 

1,021.2

 

Foreign corporate debt securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amortized cost

 

 

31.9

 

 

 

313.5

 

 

 

121.2

 

 

 

31.8

 

 

 

498.4

 

Estimated fair value

 

 

31.3

 

 

 

302.6

 

 

 

118.5

 

 

 

28.6

 

 

 

481.0

 

Total debt securities (excluding mortgage-backed
   securities)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amortized cost

 

$

95.3

 

 

$

1,836.0

 

 

$

914.7

 

 

$

696.3

 

 

$

3,542.3

 

Estimated fair value

 

$

94.3

 

 

$

1,744.3

 

 

$

831.8

 

 

$

638.1

 

 

$

3,308.5

 

Total mortgage-backed securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amortized cost

 

 

 

 

 

 

 

 

 

 

 

 

 

 

4,316.7

 

Estimated fair value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3,745.9

 

Total debt securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amortized cost

 

 

 

 

 

 

 

 

 

 

 

 

 

$

7,859.0

 

Estimated fair value

 

 

 

 

 

 

 

 

 

 

 

 

 

$

7,054.4

 

Mortgage-backed securities, which include contractual terms to maturity, are not categorized by contractual maturity as borrowers may have the right to call or prepay obligations with, or without, call or prepayment penalties.

 

The composition of the debt securities portfolio at March 31, 2024, by credit rating, is as follows:

 

 

 

A- or higher

 

 

BBB+ to BBB-

 

 

Non-Investment Grade

 

 

Total

 

(dollars in millions)

 

Estimated
fair value

 

 

Percentage

 

 

Estimated
fair value

 

 

Percentage

 

 

Estimated
fair value

 

 

Percentage

 

 

Estimated
fair value

 

U.S. Treasury bonds

 

$

157.2

 

 

 

100.0

%

 

$

—

 

 

 

—

%

 

$

—

 

 

 

—

%

 

$

157.2

 

Municipal bonds

 

 

1,223.0

 

 

 

97.9

 

 

 

24.6

 

 

 

2.0

 

 

 

1.7

 

 

 

0.1

 

 

 

1,249.3

 

Foreign government bonds

 

 

193.9

 

 

 

97.2

 

 

 

4.7

 

 

 

2.4

 

 

 

0.8

 

 

 

0.4

 

 

 

199.4

 

Governmental agency bonds

 

 

200.4

 

 

 

100.0

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

200.4

 

Governmental agency mortgage-
   backed securities

 

 

3,745.9

 

 

 

100.0

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

3,745.9

 

U.S. corporate debt securities

 

 

492.0

 

 

 

48.1

 

 

 

380.5

 

 

 

37.3

 

 

 

148.7

 

 

 

14.6

 

 

 

1,021.2

 

Foreign corporate debt securities

 

 

251.9

 

 

 

52.3

 

 

 

193.2

 

 

 

40.2

 

 

 

35.9

 

 

 

7.5

 

 

 

481.0

 

 

$

6,264.3

 

 

 

88.8

%

 

$

603.0

 

 

 

8.5

%

 

$

187.1

 

 

 

2.7

%

 

$

7,054.4

 

 

Included in debt securities at March 31, 2024, were bank loans totaling $122.3 million, of which $109.0 million were non-investment grade; high yield corporate debt securities totaling $71.2 million, all of which were non-investment grade; and emerging market debt securities totaling $39.4 million, of which $5.2 million were non-investment grade.

 

The composition of the debt securities portfolio in an unrealized loss position at March 31, 2024, by credit rating, is as follows:

 

 

 

A- or higher

 

 

BBB+ to BBB-

 

 

Non-Investment Grade

 

 

Total

 

(dollars in millions)

 

Estimated
fair value

 

 

Percentage

 

 

Estimated
fair value

 

 

Percentage

 

 

Estimated
fair value

 

 

Percentage

 

 

Estimated
fair value

 

U.S. Treasury bonds

 

$

151.6

 

 

 

100.0

%

 

$

—

 

 

 

—

%

 

$

—

 

 

 

—

%

 

$

151.6

 

Municipal bonds

 

 

1,084.3

 

 

 

98.3

 

 

 

19.3

 

 

 

1.7

 

 

 

0.3

 

 

 

—

 

 

 

1,103.9

 

Foreign government bonds

 

 

162.3

 

 

 

98.7

 

 

 

1.3

 

 

 

0.8

 

 

 

0.8

 

 

 

0.5

 

 

 

164.4

 

Governmental agency bonds

 

 

200.4

 

 

 

100.0

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

200.4

 

Governmental agency mortgage-
   backed securities

 

 

3,594.0

 

 

 

100.0

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

3,594.0

 

U.S. corporate debt securities

 

 

394.5

 

 

 

54.4

 

 

 

273.8

 

 

 

37.8

 

 

 

56.9

 

 

 

7.8

 

 

 

725.2

 

Foreign corporate debt securities

 

 

188.3

 

 

 

58.4

 

 

 

116.2

 

 

 

36.0

 

 

 

18.0

 

 

 

5.6

 

 

 

322.5

 

 

$

5,775.4

 

 

 

92.2

%

 

$

410.6

 

 

 

6.6

%

 

$

76.0

 

 

 

1.2

%

 

$

6,262.0

 

 

Debt securities in an unrealized loss position at March 31, 2024, included bank loans totaling $25.1 million, of which $23.3 million were non-investment grade; high yield corporate debt securities totaling $47.5 million, all of which were non-investment grade; and emerging market debt securities totaling $32.7 million, of which $4.9 million were non-investment grade.

The credit ratings in the above tables reflect published ratings obtained from globally recognized securities rating agencies. If a security was rated differently among the rating agencies, the lowest rating was selected. Governmental agency mortgage-backed securities are not rated by any of the ratings agencies; however, these securities have been included in the above table in the “A- or higher” rating category because the payments of principal and interest are guaranteed by the governmental agency that issued the security.