
Details of fixed income investment securities by category as of December 31, 2020
Table	5.1a
(In thousands)		Amortized Cost		Allowance for Expected Credit Loss		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
U.S. Treasury securities and obligations of U.S. government corporations and agencies		$	264,531	$	—	$	1,164	$	(2)	$	265,693
Obligations of U.S. states and political subdivisions		2,083,568		—		166,557		(256)		2,249,869
Corporate debt securities		2,690,860		—		155,156		(1,728)		2,844,288
ABS		203,807		(49)		2,946		(18)		206,686
RMBS		425,532		—		6,472		(838)		431,166
CMBS		312,572		—		16,055		(1,125)		327,502
CLOs		310,616		—		566		(692)		310,490
Debt securities issued by foreign sovereign governments		4,485		—		224		—		4,709
Other Investments (1)		21,193		—		—		—		21,193
Total fixed income securities		$	6,317,164	$	(49)	$	349,140	$	(4,659)	$	6,661,596


Details of fixed income investment securities by category as of December 31, 2019
Table	5.1b
(In thousands)		Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		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

The increase in gross unrealized gains and the decrease in gross unrealized losses in our fixed income securities from December 31, 2019 to December 31, 2020 were primarily caused by declines in interest rates during that period.

We had $14.1 million and $13.9 million of investments at fair value on deposit with various states as of December 31, 2020 and 2019, 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 $165.9 million and $88.9 million at December 31, 2020 and 2019, respectively.

Table 5.2 compares the amortized cost and fair values of fixed income securities, by contractual maturity, as of December 31, 2020. 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, 2020
(In thousands)		Amortized Cost		Fair Value
Due in one year or less		$	390,510	$	393,286
Due after one year through five years		1,945,158		2,033,183
Due after five years through ten years		1,280,760		1,402,640
Due after ten years		1,448,209		1,556,643
		5,064,637		5,385,752

ABS		203,807		206,686
RMBS		425,532		431,166
CMBS		312,572		327,502
CLOs		310,616		310,490
Total as of December 31, 2020		$	6,317,164	$	6,661,596

Proceeds from the sale of fixed income securities classified as available-for-sale were $803.4 million, $228.1 million, and $365.6 million during the years ended December 31, 2020, 2019, and 2018, respectively. Gross gains of $21.3 million, $7.1 million, and $0.7 million and gross losses of $8.8 million, $3.5 million, and $3.8 million were realized on those sales during the years ended December 31, 2020, 2019, and 2018, respectively.

We recorded $0.3 million of realized losses for the year ended December 31, 2020 related to our intent to sell certain securities. We also recorded a credit allowance of $49 thousand for the year ended December 31, 2020.

Details of equity investment securities as of December 31, 2019

Table

5.3b

(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 $25.7 million and $1.7 million during the years ended December 31, 2020 and 2019, respectively. Gross gains of $1.8 million and $1.6 million were realized on those sales during the year ended December 31, 2020 and 2019, respectively. Gross losses of $0.4 million and zero were realized on those sales during the year ended December 31, 2020 and 2019, respectively. For the year ended December 31, 2020 and December 31, 2019, we recognized $0.6 million and $0.2 million of net gains on equity securities still held as of December 31, 2020 and December 31, 2019, respectively, which are reported in Net realized investment (losses) gains on our consolidated statements of operations.

Other invested assets consists of 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, 2020, that collateral consisted of fixed income securities included in our total investment portfolio, and cash and cash equivalents, with a total fair value of $163.9 million.

Tables 5.4a and 5.4b below summarize, for all available-for-sale investments in an unrealized loss position as of December 31, 2020 and 2019, 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 $5 million and $10 million as of December 31, 2020 and 2019, 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, 2020
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		$	2,690	$	(2)	$	—	$	—	$	2,690	$	(2)
Obligations of U.S. states and political subdivisions		31,416		(256)		—		—		31,416		(256)
Corporate debt securities		44,968		(1,728)		—		—		44,968		(1,728)
ABS		14,929		(18)		—		—		14,929		(18)
RMBS		98,409		(773)		3,566		(65)		101,975		(838)
CMBS		13,212		(789)		2,799		(336)		16,011		(1,125)
CLOs		95,287		(261)		73,904		(431)		169,191		(692)
Total		$	300,911	$	(3,827)	$	80,269	$	(832)	$	381,180	$	(4,659)


Unrealized loss aging for securities by type and length of time as of December 31, 2019
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		$	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)

Based on current facts and circumstances, we believe the unrealized losses as of December 31, 2020 presented in table 5.4a above are not indicative of the ultimate collectability of the current amortized cost of the securities. We believe the gross unrealized losses are primarily attributable to widening credit spreads over risk free rates, as a result of economic and market uncertainties arising from the COVID-19 pandemic, which includes demand shocks in multiple sectors that originated in 2020. We also rely upon estimates of several credit and non-credit factors in our review and evaluation of individual investments to determine whether a credit impairment exists. At December 31, 2020 we recorded an allowance for expected credit losses of $49 thousand.

The unrealized losses in all categories of our investments as of December 31, 2019 were primarily caused by changes in interest rates between the time of purchase and the respective year end. There were 109 and 217 securities in an unrealized loss position as of December 31, 2020 and 2019, respectively. As of December 31, 2020, the fair value as a percent of amortized cost of the securities in an unrealized loss position was 99% and approximately 27% of the securities in an unrealized loss position were backed by the U.S. Government.

We report accrued investment income separately from fixed income, available-for-sale securities, and we have determined an allowance for credit losses for accrued investment income is not required. Accrued investment income is written off through net realized investment gains (losses) if, and at the time, the issuer of the security defaults or is expected to default on payments


Net investment income
Table	5.5
(In thousands)		2020		2019		2018
Fixed income securities		$	157,065	$	165,523	$	140,539
Equity securities		620		406		228
Cash equivalents		1,648		4,444		3,423
Other		275		974		816
Investment income		159,608		171,347		145,006
Investment expenses		(5,212)		(4,302)		(3,675)
Net investment income		$	154,396	$	167,045	$	141,331

The change in unrealized gains (losses) of investments is shown in table 5.6 below.


Change in unrealized gains (losses)
Table	5.6
(In thousands)		2020		2019		2018
Fixed income securities		$	169,135	$	220,139	$	(81,834)
Equity securities		—		—		—

Change in unrealized gains/losses		$	169,135	$	220,139	$	(81,834)