XML 28 R17.htm IDEA: XBRL DOCUMENT v3.21.2
Investments (Tables)
 6 Months Ended
Jun. 30, 2021
Investments Debt And Equity Securities [Abstract]  
Schedule of Disposition of Fixed Income and Equity Securities

Sales

 

Proceeds

 

 

Gross Realized

 

 

Net Realized

 

(in thousands)

 

From Sales

 

 

Gains

 

 

Losses

 

 

Gain (Loss)

 

2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Available-for-sale

 

$

31,928

 

 

$

1,252

 

 

$

(46

)

 

$

1,206

 

Equities

 

 

152,170

 

 

 

50,656

 

 

 

(1,784

)

 

 

48,872

 

2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Available-for-sale

 

$

42,874

 

 

$

3,495

 

 

$

(1,162

)

 

$

2,333

 

Equities

 

 

52,533

 

 

 

19,569

 

 

 

(6,732

)

 

 

12,837

 

 

Calls/Maturities

 

 

 

 

 

Gross Realized

 

 

Net Realized

 

(in thousands)

 

Proceeds

 

 

Gains

 

 

Losses

 

 

Gain (Loss)

 

2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Available-for-sale

 

$

204,960

 

 

$

406

 

 

$

(63

)

 

$

343

 

2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Available-for-sale

 

$

121,911

 

 

$

294

 

 

$

(9

)

 

$

285

 
Fair Value, Assets Measured on Recurring Basis

Assets measured at fair value on a recurring basis as of June 30, 2021 and December 31, 2020 are summarized below:

 

As of June 30, 2021

 

 

Fair Value Measurements Using

 

 

 

Quoted Prices in

 

 

Significant Other

 

 

Significant

 

 

 

 

 

 

 

Active Markets for

 

 

Observable

 

 

Unobservable

 

 

 

 

 

 

 

Identical Assets

 

 

Inputs

 

 

Inputs

 

 

 

 

 

(in thousands)

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

 

Total

 

Fixed income securities - available-for-sale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government

 

$

—

 

 

$

163,264

 

 

$

—

 

 

$

163,264

 

U.S. agency

 

 

—

 

 

 

31,931

 

 

 

—

 

 

 

31,931

 

Non-U.S. government & agency

 

 

—

 

 

 

8,629

 

 

 

—

 

 

 

8,629

 

Agency MBS

 

 

—

 

 

 

365,437

 

 

 

—

 

 

 

365,437

 

ABS/CMBS/MBS*

 

 

—

 

 

 

221,500

 

 

 

—

 

 

 

221,500

 

Corporate

 

 

—

 

 

 

900,886

 

 

 

27,248

 

 

 

928,134

 

Municipal

 

 

—

 

 

 

600,349

 

 

 

—

 

 

 

600,349

 

Total fixed income securities - available-for-sale

 

$

—

 

 

$

2,291,996

 

 

$

27,248

 

 

$

2,319,244

 

Equity securities

 

 

566,768

 

 

 

102

 

 

 

—

 

 

 

566,870

 

Other invested assets

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Total

 

$

566,768

 

 

$

2,292,098

 

 

$

27,248

 

 

$

2,886,114

 

 

 

As of December 31, 2020

 

 

Fair Value Measurements Using

 

 

 

Quoted Prices in

 

 

Significant Other

 

 

Significant

 

 

 

 

 

 

 

Active Markets for

 

 

Observable

 

 

Unobservable

 

 

 

 

 

 

 

Identical Assets

 

 

Inputs

 

 

Inputs

 

 

 

 

 

(in thousands)

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

 

Total

 

Fixed income securities - available-for-sale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government

 

$

—

 

 

$

183,357

 

 

$

—

 

 

$

183,357

 

U.S. agency

 

 

—

 

 

 

32,872

 

 

 

—

 

 

 

32,872

 

Non-U.S. government & agency

 

 

—

 

 

 

10,965

 

 

 

—

 

 

 

10,965

 

Agency MBS

 

 

—

 

 

 

402,071

 

 

 

—

 

 

 

402,071

 

ABS/CMBS/MBS*

 

 

—

 

 

 

218,373

 

 

 

—

 

 

 

218,373

 

Corporate

 

 

—

 

 

 

798,794

 

 

 

17,798

 

 

 

816,592

 

Municipal

 

 

—

 

 

 

532,396

 

 

 

—

 

 

 

532,396

 

Total fixed income securities - available-for-sale

 

$

—

 

 

$

2,178,828

 

 

$

17,798

 

 

$

2,196,626

 

Equity securities

 

 

523,923

 

 

 

83

 

 

 

—

 

 

 

524,006

 

Other invested assets

 

 

6,068

 

 

 

—

 

 

 

—

 

 

 

6,068

 

Total

 

$

529,991

 

 

$

2,178,911

 

 

$

17,798

 

 

$

2,726,700

 

 

*

Non-agency asset-backed, commercial mortgage-backed and mortgage-backed securities

 
Summary of Changes in Balance of Level 3 Securities

(in thousands)

 

Level 3 Securities

 

Balance as of January 1, 2021

 

$

17,798

 

Net realized and unrealized gains (losses)

 

 

 

 

Included in net earnings as a part of:

 

 

 

 

Net investment income

 

 

(26

)

Net realized gains (losses)

 

 

(99

)

Included in other comprehensive earnings (loss)

 

 

(70

)

Total net realized and unrealized gains (losses)

 

$

(195

)

Purchases

 

 

9,645

 

Balance as of June 30, 2021

 

$

27,248

 

Change in unrealized gains (losses) during the period for Level 3 assets held at period-end - included in net realized gains

 

$

(99

)

Change in unrealized gains (losses) during the period for Level 3 assets held at period-end - included in other comprehensive earnings (loss)

 

$

(70

)

 

 
Schedule of Contractual Maturity of Securities

 

 

June 30, 2021

 

(in thousands)

 

Amortized Cost

 

 

Fair Value

 

Due in one year or less

 

$

88,847

 

 

$

89,750

 

Due after one year through five years

 

 

560,060

 

 

 

588,237

 

Due after five years through 10 years

 

 

562,132

 

 

 

597,118

 

Due after 10 years

 

 

435,468

 

 

 

457,202

 

ABS/CMBS/MBS*

 

 

572,995

 

 

 

586,937

 

Total available-for-sale

 

$

2,219,502

 

 

$

2,319,244

 

 

*

Asset-backed, commercial mortgage-backed and mortgage-backed securities

 
Schedule of Amortized Cost and Fair Value of Available-for-sale Securities

The amortized cost and fair value of available-for-sale securities at June 30, 2021 and December 31, 2020 are presented in the tables below. Amortized cost does not include the $16.0 million and $14.9 million of accrued interest receivable as of June 30, 2021 and December 31, 2020, respectively.

 

 

June 30, 2021

 

 

 

Cost or

 

 

Allowance

 

 

Gross

 

 

Gross

 

 

 

 

 

 

 

Amortized

 

 

for Credit

 

 

Unrealized

 

 

Unrealized

 

 

Fair

 

(in thousands)

 

Cost

 

 

Losses

 

 

Gains

 

 

Losses

 

 

Value

 

U.S. government

 

$

154,539

 

 

$

—

 

 

$

9,498

 

 

$

(773

)

 

$

163,264

 

U.S. agency

 

 

28,863

 

 

 

—

 

 

 

3,068

 

 

 

 

 

 

 

31,931

 

Non-U.S. government & agency

 

 

8,296

 

 

 

—

 

 

 

455

 

 

 

(122

)

 

 

8,629

 

Agency MBS

 

 

354,748

 

 

 

—

 

 

 

13,132

 

 

 

(2,443

)

 

 

365,437

 

ABS/CMBS/MBS*

 

 

218,247

 

 

 

—

 

 

 

3,837

 

 

 

(584

)

 

 

221,500

 

Corporate

 

 

880,268

 

 

 

(204

)

 

 

50,315

 

 

 

(2,245

)

 

 

928,134

 

Municipal

 

 

574,541

 

 

 

—

 

 

 

27,413

 

 

 

(1,605

)

 

 

600,349

 

Total Fixed Income

 

$

2,219,502

 

 

$

(204

)

 

$

107,718

 

 

$

(7,772

)

 

$

2,319,244

 

 

 

 

December 31, 2020

 

 

 

Cost or

 

 

Allowance

 

 

Gross

 

 

Gross

 

 

 

 

 

 

 

Amortized

 

 

for Credit

 

 

Unrealized

 

 

Unrealized

 

 

Fair

 

(in thousands)

 

Cost

 

 

Losses

 

 

Gains

 

 

Losses

 

 

Value

 

U.S. government

 

$

170,110

 

 

$

—

 

 

$

13,504

 

 

$

(257

)

 

$

183,357

 

U.S. agency

 

 

28,902

 

 

 

—

 

 

 

3,970

 

 

 

—

 

 

 

32,872

 

Non-U.S. government & agency

 

 

10,298

 

 

 

—

 

 

 

667

 

 

 

—

 

 

 

10,965

 

Agency MBS

 

 

384,015

 

 

 

—

 

 

 

18,789

 

 

 

(733

)

 

 

402,071

 

ABS/CMBS/MBS*

 

 

213,223

 

 

 

(17

)

 

 

5,580

 

 

 

(413

)

 

 

218,373

 

Corporate

 

 

753,404

 

 

 

(380

)

 

 

64,501

 

 

 

(933

)

 

 

816,592

 

Municipal

 

 

501,515

 

 

 

—

 

 

 

31,099

 

 

 

(218

)

 

 

532,396

 

Total Fixed Income

 

$

2,061,467

 

 

$

(397

)

 

$

138,110

 

 

$

(2,554

)

 

$

2,196,626

 

 

*

Non-agency asset-backed, commercial mortgage-backed and mortgage-backed securities

 
Schedule of Debt Securities Available-for-sale Allowance for Credit Loss

 

 

 

Three Months Ended June 30,

 

 

Six Months Ended June 30,

 

(in thousands)

 

2021

 

 

2020

 

 

2021

 

 

2020

 

Beginning balance

 

$

375

 

 

$

878

 

 

$

397

 

 

$

—

 

Adoption impact of ASU 2016-13

 

 

-

 

 

 

-

 

 

 

 

 

 

 

28

 

Increase to allowance from securities for which credit losses were not previously recorded

 

 

-

 

 

 

110

 

 

 

-

 

 

 

874

 

Reduction from securities sold during the period

 

 

-

 

 

 

(110

)

 

 

-

 

 

 

(110

)

Net increase (decrease) from securities that had an allowance at the beginning of the period

 

 

(171

)

 

 

107

 

 

 

(193

)

 

 

193

 

Balance as of June 30,

 

$

204

 

 

$

985

 

 

$

204

 

 

$

985

 

 
Schedule of Securities in an Unrealized Loss Position Segregated by Type and Length of Time in an Unrealized Loss Position

 

 

June 30, 2021

 

 

December 31, 2020

 

(in thousands)

 

< 12 Mos.

 

 

12 Mos. &

Greater

 

 

Total

 

 

< 12 Mos.

 

 

12 Mos. &

Greater

 

 

Total

 

U.S. government

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value

 

$

5,165

 

 

$

—

 

 

$

5,165

 

 

$

5,680

 

 

$

—

 

 

$

5,680

 

Amortized cost

 

 

5,938

 

 

 

—

 

 

 

5,938

 

 

 

5,937

 

 

 

—

 

 

 

5,937

 

Unrealized loss

 

$

(773

)

 

$

—

 

 

$

(773

)

 

$

(257

)

 

$

—

 

 

$

(257

)

Non-U.S. government

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value

 

$

2,878

 

 

$

—

 

 

$

2,878

 

 

$

—

 

 

$

—

 

 

$

—

 

Amortized cost

 

 

3,000

 

 

 

—

 

 

 

3,000

 

 

 

—

 

 

 

—

 

 

 

—

 

Unrealized Loss

 

$

(122

)

 

$

—

 

 

$

(122

)

 

$

—

 

 

$

—

 

 

$

—

 

Agency MBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value

 

$

86,938

 

 

$

21,686

 

 

$

108,624

 

 

$

43,999

 

 

$

—

 

 

$

43,999

 

Amortized cost

 

 

88,540

 

 

 

22,527

 

 

 

111,067

 

 

 

44,732

 

 

 

—

 

 

 

44,732

 

Unrealized loss

 

$

(1,602

)

 

$

(841

)

 

$

(2,443

)

 

$

(733

)

 

$

—

 

 

$

(733

)

ABS/CMBS/MBS*

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value

 

$

53,265

 

 

$

2,392

 

 

$

55,657

 

 

$

32,771

 

 

$

16,161

 

 

$

48,932

 

Amortized cost

 

 

53,838

 

 

 

2,403

 

 

 

56,241

 

 

 

33,094

 

 

 

16,251

 

 

 

49,345

 

Unrealized loss

 

$

(573

)

 

$

(11

)

 

$

(584

)

 

$

(323

)

 

$

(90

)

 

$

(413

)

Corporate

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value

 

$

134,859

 

 

$

15,054

 

 

$

149,913

 

 

$

52,655

 

 

$

6,235

 

 

$

58,890

 

Amortized cost

 

 

137,006

 

 

 

15,152

 

 

 

152,158

 

 

 

53,440

 

 

 

6,383

 

 

 

59,823

 

Unrealized loss

 

$

(2,147

)

 

$

(98

)

 

$

(2,245

)

 

$

(785

)

 

$

(148

)

 

$

(933

)

Municipal

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value

 

$

85,153

 

 

$

1,964

 

 

$

87,117

 

 

$

25,676

 

 

$

—

 

 

$

25,676

 

Amortized cost

 

 

86,668

 

 

 

2,054

 

 

 

88,722

 

 

 

25,894

 

 

 

—

 

 

 

25,894

 

Unrealized loss

 

$

(1,515

)

 

$

(90

)

 

$

(1,605

)

 

$

(218

)

 

$

—

 

 

$

(218

)

Total fixed income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value

 

$

368,258

 

 

$

41,096

 

 

$

409,354

 

 

$

160,781

 

 

$

22,396

 

 

$

183,177

 

Amortized cost

 

 

374,990

 

 

 

42,136

 

 

 

417,126

 

 

 

163,097

 

 

 

22,634

 

 

 

185,731

 

Unrealized loss

 

$

(6,732

)

 

$

(1,040

)

 

$

(7,772

)

 

$

(2,316

)

 

$

(238

)

 

$

(2,554

)

 

*

Non-agency asset-backed, commercial mortgage-backed and mortgage-backed securities

 
Schedule of Credit Quality Indicators for Investments in Unrealized Loss Positions

 

 

Equivalent

 

Equivalent

 

(dollars in thousands)

 

 

 

 

 

 

NAIC

 

S&P

 

Moody’s

 

Amortized

 

 

 

 

 

 

Unrealized

 

 

Percent

 

 

Rating

 

Rating

 

Rating

 

Cost

 

 

Fair Value

 

 

Loss

 

 

to Total

 

 

1

 

AAA/AA/A

 

Aaa/Aa/A

 

$

317,653

 

 

$

311,305

 

 

$

(6,348

)

 

 

81.7

 

%

2

 

BBB

 

Baa

 

 

52,271

 

 

 

51,646

 

 

 

(625

)

 

 

8.0

 

%

3

 

BB

 

Ba

 

 

21,538

 

 

 

21,322

 

 

 

(216

)

 

 

2.8

 

%

4

 

B

 

B

 

 

24,385

 

 

 

23,807

 

 

 

(578

)

 

 

7.4

 

%

5

 

CCC

 

Caa

 

 

1,279

 

 

 

1,274

 

 

 

(5

)

 

 

0.1

 

%

6

 

CC or lower

 

Ca or lower

 

 

-

 

 

 

-

 

 

 

-

 

 

 

0.0

 

%

 

 

 

 

Total

 

$

417,126

 

 

$

409,354

 

 

$

(7,772

)

 

 

100.0

 

%