

Details of fixed income investment securities by category as of December 31, 2019
Table	5.1a
(In thousands)		Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses ⁽¹⁾			Fair Value
U.S. Treasury securities and obligations of U.S. government corporations and agencies		$	195,176	$	1,237	$	(210	)	$	196,203
Obligations of U.S. states and political subdivisions		1,555,394		99,328		(857		)	1,653,865
Corporate debt securities		2,711,910		76,220		(3,008		)	2,785,122
ABS		227,376		2,466		(178		)	229,664
RMBS		271,384		429		(3,227		)	268,586
CMBS		274,234		5,531		(779		)	278,986
CLOs		327,076		33		(1,643		)	325,466
Total fixed income securities		$	5,562,550	$	185,244	$	(9,902	)	$	5,737,892



Details of fixed income investment securities by category as of December 31, 2018
Table	5.1b
(In thousands)		Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses ⁽¹⁾			Fair Value
U.S. Treasury securities and obligations of U.S. government corporations and agencies		$	167,655	$	597	$	(1,076	)	$	167,176
Obligations of U.S. states and political subdivisions		1,701,826		29,259		(10,985		)	1,720,100
Corporate debt securities		2,439,173		2,103		(40,514		)	2,400,762
ABS		111,953		226		(146		)	112,033
RMBS		189,238		32		(10,309		)	178,961
CMBS		276,352		888		(9,580		)	267,660
CLOs		310,587		2		(5,294		)	305,295
Total fixed income securities		$	5,196,784	$	33,107	$	(77,904	)	$	5,151,987

The increase in gross unrealized gains and the decrease in gross unrealized losses in our fixed income securities from December 31, 2018 to December 31, 2019 were primarily caused by declines in interest rates during that period.

We had $13.9 million and $13.5 million of investments at fair value on deposit with various states as of December 31, 2019 and 2018, respectively, due to regulatory requirements of those states' insurance departments. In connection with our insurance and reinsurance activities, we are required to maintain assets in trusts for the benefit of contractual counterparties. The fair value of the investments on deposit in these trusts was $89.9 million and $26.3 million at December 31, 2019 and 2018, respectively.

Table 5.2 compares the amortized cost and fair values of fixed income securities, by contractual maturity, as of December 31, 2019. Actual maturities may differ from contractual maturities because certain borrowers have the right to call or prepay certain obligations with or without call or prepayment penalties. Because most mortgage and asset-backed securities provide for periodic payments throughout their lives, they are listed separately in the table.



Fixed income securities maturity schedule
Table	5.2
		December 31, 2019
(In thousands)		Amortized Cost		Fair Value
Due in one year or less		$	425,739	$	427,616
Due after one year through five years		1,911,433		1,952,278
Due after five years through ten years		1,031,056		1,088,012
Due after ten years		1,094,252		1,167,284
		4,462,480		4,635,190

ABS		227,376		229,664
RMBS		271,384		268,586
CMBS		274,234		278,986
CLOs		327,076		325,466
Total as of December 31, 2019		$	5,562,550	$	5,737,892

Proceeds from the sale of fixed income securities classified as available-for-sale were $228.1 million, $365.6 million, and $246.9 million during the years ended December 31, 2019, 2018, and 2017, respectively. Gross gains of $7.1 million, $0.7 million, and $1.6 million and gross losses of $3.5 million, $3.8 million and $1.4 million were realized on those sales during the years ended December 31, 2019, 2018, and 2017, respectively.

For the years ended December 31, 2019 and December 31, 2018, we recorded $0.1 million and $1.8 million of OTTI losses in earnings, respectively. For the year ended December 31, 2017, there were no OTTI losses in earnings.

The cost and fair value of investments in equity securities as of December 31, 2019 and December 31, 2018 are shown in tables 5.3a and 5.3b below. Under updated guidance regarding the "Recognition and Measurement of Financial Assets and Financial Liabilities" which became effective on January 1, 2018, the amount of our FHLB stock investment has been reclassified and presented in "Other invested assets" on our consolidated balance sheet.

Details of equity investment securities as of December 31, 2019

Table

5.3a

(In thousands)

Cost

Gross gains

Gross losses

Fair Value

Equity securities

17,188

154

(14

)

17,328

Proceeds from the sale of equity securities were $1.7 million and $4.9 million during the years ended December 31, 2019 and 2018, respectively. Gross gains of $1.6 million and $3.7 million were realized on those sales during the year ended December 31, 2019 and 2018, respectively. There were no sales of equity securities in 2017. For the year ended December 31, 2019 and December 31, 2018, we recognized $201 thousand and $84 thousand of net losses on equity securities still held as of December 31, 2019 and December 31, 2018, respectively, which are reported in Net realized investment (losses) gains on our consolidated statements of operations.

Other invested assets include an investment in Federal Home Loan Bank ("FHLB") stock that is carried at cost, which due to its nature approximates fair value. Ownership of FHLB stock provides access to a secured lending facility, and our current FHLB Advance amount is secured by eligible collateral whose fair value is maintained at a minimum of 102% of the outstanding principal balance of the FHLB Advance. As of December 31, 2019, that collateral consisted of fixed income securities included in our total investment portfolio, and cash and cash equivalents, with a total fair value of $165.7 million.

Tables 5.4a and 5.4b below summarize, for all available-for-sale investments in an unrealized loss position as of December 31, 2019 and 2018, the aggregate fair value and gross unrealized losses by the length of time those securities have been continuously in an unrealized loss position. Gross unrealized losses on our available-for-sale investments amounted to $10 million and $78 million as of December 31, 2019 and 2018, respectively. The fair value amounts reported in tables 5.4a and 5.4b below are estimated using the process described in Note 6 - "Fair Value Measurements" to these consolidated financial statements.



Unrealized loss aging for securities by type and length of time as of December 31, 2019
Table	5.4a
		Less Than 12 Months					12 Months or Greater					Total
(In thousands)		Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
U.S. Treasury securities and obligations of U.S. government corporations and agencies		$	57,301	$	(200	)	$	5,806	$	(10	)	$	63,107	$	(210	)
Obligations of U.S. states and political subdivisions		74,859		(847		)	6,957		(10		)	81,816		(857		)
Corporate debt securities		221,357		(2,847		)	43,505		(161		)	264,862		(3,008		)
ABS		21,542		(118		)	3,851		(60		)	25,393		(178		)
RMBS		105,443		(461		)	110,452		(2,766		)	215,895		(3,227		)
CMBS		62,388		(728		)	11,852		(51		)	74,240		(779		)
CLOs		81,444		(225		)	196,988		(1,418		)	278,432		(1,643		)
Total		$	624,334	$	(5,426	)	$	379,411	$	(4,476	)	$	1,003,745	$	(9,902	)



Unrealized loss aging for securities by type and length of time as of December 31, 2018
Table	5.4b
		Less Than 12 Months					12 Months or Greater					Total
(In thousands)		Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
U.S. Treasury securities and obligations of U.S. government corporations and agencies		$	23,710	$	(15	)	$	69,146	$	(1,061	)	$	92,856	$	(1,076	)
Obligations of U.S. states and political subdivisions		316,655		(3,875		)	358,086		(7,110		)	674,741		(10,985		)
Corporate debt securities		1,272,279		(18,130		)	785,627		(22,384		)	2,057,906		(40,514		)
ABS		51,324		(146		)	—		—			51,324		(146		)
RMBS		24		—			178,573		(10,309		)	178,597		(10,309		)
CMBS		65,704		(1,060		)	163,272		(8,520		)	228,976		(9,580		)
CLOs		296,497		(5,294		)	—		—			296,497		(5,294		)
Total		$	2,026,193	$	(28,520	)	$	1,554,704	$	(49,384	)	$	3,580,897	$	(77,904	)

For those securities in an unrealized loss position, the length of time the securities were in such a position, is measured by their month-end fair values. The unrealized losses in all categories of our investments as of December 31, 2019 and 2018 were primarily caused by changes in interest rates between the time of purchase and the respective year end. There were 217 and 721 securities in an unrealized loss position as of December 31, 2019 and 2018, respectively. As of December 31, 2019, the fair value as a percent of amortized cost of the securities in an unrealized loss position was 99% and approximately 28% of the securities in an unrealized loss position were backed by the U.S. Government.

The source of net investment income is shown in table 5.5 below.



Net investment income
Table	5.5
(In thousands)		2019			2018			2017
Fixed income securities		$	165,523		$	140,539		$	122,105
Equity securities		406			228			206
Cash equivalents		4,444			3,423			1,447
Other		974			816			620
Investment income		171,347			145,006			124,378
Investment expenses		(4,302		)	(3,675		)	(3,507		)
Net investment income		$	167,045		$	141,331		$	120,871



Change in unrealized gains (losses)
Table	5.6
(In thousands)		2019		2018			2017
Fixed income securities		$	220,139	$	(81,834	)	$	69,026
Equity securities		—		—			39
Other		—		—			(13		)
Change in unrealized gains/losses		$	220,139	$	(81,834	)	$	69,052