Investments

6 Months Ended

Jun. 30, 2022

Investments, Debt and Equity Securities [Abstract]

Investments

Note 2 – Investments

The Company continuously monitors its investment strategies and individual holdings with consideration of current and projected market conditions, the composition of the Company’s liabilities, projected liquidity and capital investment needs, and compliance with investment policies and state regulatory guidelines.

Fixed Maturities

The amortized cost, gross unrealized gains, gross unrealized losses, fair value, and OTTI loss included in accumulated other comprehensive income (AOCI) of fixed maturities available-for-sale are as follows:

	June 30, 2022
Fixed maturities	Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value		OTTI Losses
U.S. government and agencies	$	9,292	$	757	$	(226	)	$	9,823	$	—
U.S. agency mortgage-backed		8,322		124		(375	)		8,071		—
State and political subdivisions		57,360		233		(7,888	)		49,705		—
Corporate and miscellaneous		169,939		3,112		(11,716	)		161,335		—
Foreign government		130		6	-				136		—
Residential mortgage-backed		5,584		132		(197	)		5,519		(431	)
Commercial mortgage-backed		20,206		—		(1,032	)		19,174		—
Asset-backed		47,273		13		(2,671	)		44,615		—
Total fixed maturities	$	318,106	$	4,377	$	(24,105	)	$	298,378	$	(431	)

	December 31, 2021
Fixed maturities	Amortized Cost		Unrealized Gains		Unrealized Losses			Fair Value		OTTI Losses
U.S. government and agencies	$	9,825	$	2,076	$	—		$	11,901	$	—
U.S. agency mortgage-backed		12,889		795		(5	)		13,679		—
State and political subdivisions		58,170		2,696		(396	)		60,470		—
Corporate and miscellaneous		164,823		20,023		(348	)		184,498		—
Foreign government		378		36		—			414		—
Residential mortgage-backed		5,880		222		(33	)		6,069		(412	)
Commercial mortgage-backed		20,003		848		(36	)		20,815		—
Asset-backed		54,623		330		(416	)		54,537		—
Total fixed maturities	$	326,591	$	27,026	$	(1,234	)	$	352,383	$	(412	)

Actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. Maturities of mortgage-backed and asset-backed securities may be substantially shorter than their contractual maturity because they may require monthly principal installments and such loans may prepay principal. The amortized cost and fair value of fixed maturities available-for-sale by contractual maturity, are presented in the following table:

	June 30, 2022
	Amortized Cost		Fair Value
Due in one year or less	$	6,317	$	6,340
Due after one year through five years		29,203		28,652
Due after five years through ten years		72,210		69,547
Due after ten years		128,990		116,461
Securities not due at a single maturity date — primarily mortgage and    asset-backed		81,386		77,378
Total fixed maturities	$	318,106	$	298,378

Fixed maturities with a carrying value of $2,954 and $3,604 were on deposit with governmental authorities, as required by law at June 30, 2022 and December 31, 2021, respectively.

The Company’s fixed maturities portfolio was primarily composed of investment grade securities, defined as a security having a rating of Aaa, Aa, A, or Baa from Moody’s, AAA, AA, A, or BBB from Standard & Poor’s, or National Association of Insurance Commissioners (NAIC) rating of NAIC 1 or NAIC 2. Investment grade securities comprised 94.4% and 94.8% of the Company’s total fixed maturities portfolio at June 30, 2022 and December 31, 2021, respectively.

At June 30, 2022 and December 31, 2021, the Company had commitments to make investments in available-for-sale securities in the amount of $529 and $657, respectively.

Mortgage Loans

The Company makes investments in commercial mortgage loans. The Company, along with other investors, owns a pro rata share of each loan. The Company participates in 36 such investment instruments with ownership shares ranging from 0.6% to 30.0% of the trust at June 30, 2022. The Company owns a share of 322 mortgage loans with an average loan balance of $148 and a maximum exposure related to any single loan of $555. Mortgage loan holdings are diversified by geography and property type as follows:

	June 30, 2022						December 31, 2021
	Gross Carrying Value			% of Total			Gross Carrying Value			% of Total
Property Type:
Retail	$	14,855			31.1	%	$	15,257			32.1	%
Office		11,525			24.2	%		11,627			24.4	%
Industrial		8,848			18.6	%		8,234			17.3	%
Mixed use		5,367			11.3	%		5,327			11.2	%
Apartments		2,999			6.3	%		2,880			6.1	%
Medical office		3,120			6.5	%		3,078			6.5	%
Other		930			2.0	%		1,153			2.4	%
Gross carrying value of mortgage loans		47,644			100.0	%		47,556			100.0	%
Valuation allowance		(97	)					(69	)
Net carrying value of mortgage loans	$	47,547					$	47,487

	June 30, 2022						December 31, 2021
	Gross Carrying Value			% of Total			Gross Carrying Value			% of Total
U.S. Region:
West South Central	$	11,797			24.9	%	$	12,017			25.3	%
East North Central		12,931			27.1	%		12,439			26.3	%
South Atlantic		9,590			20.1	%		9,337			19.6	%
West North Central		3,334			7.0	%		3,065			6.4	%
Mountain		3,044			6.4	%		3,393			7.1	%
Middle Atlantic		2,352			4.9	%		2,392			5.0	%
East South Central		3,594			7.5	%		3,445			7.2	%
New England		77			0.2	%		82			0.2	%
Pacific		925			1.9	%		1,386			2.9	%
Gross carrying value of mortgage loans		47,644			100.0	%		47,556			100.0	%
Valuation allowance		(97	)					(69	)
Net carrying value of mortgage loans	$	47,547					$	47,487

During the six months ended June 30, 2022 and June 30, 2021, $2,828 and $465 of new mortgage loans were purchased, respectively, which did not include second lien mortgage loans. There were no taxes, assessments, or any amounts advanced that were not included in the mortgage loan balances at June 30, 2022 and December 31, 2021. At June 30, 2022 and December 31, 2021, the Company had 3 and 2 mortgage loans with a total carrying value of $812 and $685 that were in a restructured status, respectively. There were no impairments for mortgage loans at June 30, 2022 and December 31, 2021.

The changes in the valuation allowance for commercial mortgage loans were as follows:

	Six Months Ended June 30, 2022		Year Ended December 31, 2021
Beginning balance	$	69	$	141
Net (decrease) increase in valuation allowance		28		(72	)
Ending balance	$	97	$	69

At June 30, 2022 and December 31, 2021, the Company had no mortgage loans that were on nonaccrual status.

At June 30, 2022 and December 31, 2021, the Company had commitments to make investments in mortgage loans in the amount of $2,980 and $4,485, respectively.

Net Investment Income

The sources of net investment income are as follows:

	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Income from:
Fixed maturities	$	3,481		$	3,066		$	6,623		$	5,980
Policyholder loans		94			35			182			127
Mortgage loans		568			796			1,236			1,422
Cash, cash equivalents and restricted cash		2			1			2			5
Dividends on equity securities		—			89			—			179
Gross investment income		4,145			3,987			8,043			7,713
Investment expenses		(347	)		(377	)		(779	)		(849	)
Net investment income	$	3,798		$	3,610		$	7,264		$	6,864

Investment expenses include investment management fees, some of which include incentives based on market performance, custodial fees and internal costs for investment-related activities.

Net Investment Gains (Losses)

The sources of net investment gains (losses) are as follows:

	Three Months Ended June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Investment gains (losses) from sales:
Fixed maturities	$	(185	)	$	228		$	(131	)	$	488
Mortgage loans		(16	)		48			26			53
Investment expenses		—			(7	)		—			(19	)
Gains (losses) from sales		(201	)		269			(105	)		522
Valuation change of Other invested assets - appreciation (decline):		312			281			1,867			889
Valuation change of Equity securities - appreciation (decline):		—			747			—			1,402
Total net gains (losses) on investments	$	111		$	1,297		$	1,762		$	2,813

Other-Than-Temporary Impairments

The Company regularly reviews its investments portfolio for factors that may indicate that a decline in the fair value of an investment is other-than-temporary. A fixed maturity has OTTI if the fair value of the security is less than its amortized cost basis and the Company either intends to sell the fixed maturity or it is more likely than not the Company will be required to sell the fixed maturity before recovery of its amortized cost basis. For all other securities in an unrealized loss position in which the Company does not expect to recover the entire amortized cost basis, the security is deemed to be OTTI for credit reasons.

Significant judgment is required in the determination of whether an OTTI loss has occurred for a security. The Company has developed a consistent methodology and has identified significant inputs for determining whether an OTTI loss has occurred. Some of the factors considered in evaluating whether a decline in fair value is OTTI are the financial condition and prospects of the issuer, payment status, the probability of collecting scheduled principal and interest payments when due, credit ratings of the securities, and the duration and severity of the decline.

The credit loss component of fixed maturity impairment is calculated as the difference between amortized cost and the present value of the expected cash flows of the security. The present value is determined using the best estimate of cash flows discounted at the effective rate implicit to the security at the date of purchase or prior impairment. The methodology and assumptions for estimating the cash flows vary depending on the type of security. For mortgage-backed and asset-backed securities, cash flow estimates, including prepayment assumptions, are based on data from widely accepted third-party sources or internal estimates. In addition to prepayment assumptions, cash flow estimates vary based on assumptions regarding the underlying collateral characteristics, expectations of delinquency and default rates, and structural support, including subordination and guarantees. If the present value of the modeled expected cash flows equals or exceeds the amortized cost of a security, no credit loss exists, and the security is considered to be temporarily impaired. If the present value of the expected cash flows is less than amortized cost, the security is determined to be OTTI impaired for credit reasons and is recognized as an OTTI loss in earnings. The non-credit component, determined as the difference between the adjusted amortized cost basis and fair value, is recognized as OTTI in other comprehensive (loss) income.

A roll-forward of the cumulative credit losses on fixed maturities are as follows:

	June 30,			December 31,
	2022			2021
Beginning balance of credit losses on fixed maturities	$	837		$	833
Additional credit losses for OTTI		103			4
Reduction of credit losses related to securities sold during period		(16	)		—
Ending balance of credit losses on fixed maturities	$	924		$	837

Unrealized Losses for Fixed Maturities

The Company’s fair value and gross unrealized losses for fixed maturities available-for-sale, aggregated by investment category and length of time that individual securities have been in a continuous gross unrealized loss position are as follows:

	12 months or less					Longer than 12 months					Total
June 30, 2022	Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses
Fixed maturities
U.S. government and agencies	$	2,998	$	(226	)	$	—	$	—		$	2,998	$	(226	)
U.S. agency mortgage-backed		5,697		(362	)		89		(13	)		5,786		(375	)
State and political subdivisions		40,539		(7,690	)		842		(198	)		41,381		(7,888	)
Corporate and miscellaneous		95,370		(11,257	)		1,386		(459	)		96,756		(11,716	)
Residential mortgage-backed		3,548		(138	)		630		(59	)		4,178		(197	)
Commercial mortgage-backed		19,075		(1,030	)		98		(2	)		19,173		(1,032	)
Asset-backed		35,779		(2,203	)		6,665		(468	)		42,444		(2,671	)
Total fixed maturities	$	203,006	$	(22,906	)	$	9,710	$	(1,199	)	$	212,716	$	(24,105	)

	12 months or less					Longer than 12 months					Total
December 31, 2021	Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses			Estimated Fair Value		Gross Unrealized Losses
Fixed maturities
U.S. agency mortgage-backed	$	294	$	(5	)	$	11	$	—		$	305	$	(5	)
State and political subdivisions		20,439		(377	)		231		(19	)		20,670		(396	)
Corporate and miscellaneous		11,913		(312	)		727		(36	)		12,640		(348	)
Foreign Government		247		—			—		—			247		—
Residential mortgage-backed		1,983		(13	)		427		(20	)		2,410		(33	)
Commercial mortgage-backed		3,870		(36	)		—		—			3,870		(36	)
Asset-backed		29,487		(315	)		8,798		(101	)		38,285		(416	)
Total fixed maturities	$	68,233	$	(1,058	)	$	10,194	$	(176	)	$	78,427	$	(1,234	)

The indicated gross unrealized losses in all fixed maturity categories increased to $24,105 from $1,234 at June 30, 2022 and December 31, 2021, respectively. Based on the Company’s current evaluation of its fixed maturities in an unrealized loss position, in accordance with our impairment policy and the Company’s current intentions regarding these securities, the Company concluded that these securities were not OTTI.

Information and concentrations related to fixed maturities in an unrealized loss position are included below. The tables below include fixed maturities and number of securities in an unrealized loss position for greater than and less than 12 months and the percentage that were investment grade at June 30, 2022.

	Fair Value with Securities with Unrealized Losses 12 months or less
	Total		Impairment is Less than 10% of Amortized Cost		Impairment is Between 10% and 20% of Amortized Cost		Impairment is Greater than 20% of Amortized Cost		Percent Investment Grade
Fixed maturities
U.S. government and agencies	$	2,998	$	2,998	$	—	$	—		100	%
U.S. agency mortgage-backed		5,697		5,223		474		—		100	%
State and political subdivisions		40,539		8,811		20,140		11,588		99	%
Corporate and miscellaneous		95,370		48,090		38,575		8,705		62	%
Residential mortgage-backed		3,548		3,260		288		—		89	%
Commercial mortgage-backed		19,075		18,543		532		—		96	%
Asset-backed		35,779		29,123		6,577		79		86	%
Total fixed maturities	$	203,006	$	116,048	$	66,586	$	20,372
Total number of fixed maturities	707			345		260		102

	Fair Value with Securities with Unrealized Losses greater than 12 months
	Total		Impairment is Less than 10% of Amortized Cost		Impairment is Between 10% and 20% of Amortized Cost		Impairment is Greater than 20% of Amortized Cost		Percent Investment Grade
Fixed maturities
U.S. agency mortgage-backed	$	89	$	10	$	79	$	—		100	%
State and political subdivisions		842		—		455		387		100	%
Corporate and miscellaneous		1,386		—		418		968		80	%
Residential mortgage-backed		630		505		26		99		78	%
Commercial mortgage-backed		6,763		5,216		1,414		133		75	%
Total fixed maturities	$	9,710	$	5,731	$	2,392	$	1,587
Total number of fixed maturities	44			18		9		17