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Investments (Tables)

12 Months Ended

Dec. 31, 2020

Amortized cost, gross unrealized gains and losses and fair value of investment portfolio

Our fixed income securities consisted of the following as of December 31, 2020 and 2019:


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

(1)Consists of short-term commercial paper with original maturities greater than ninety days.

Amortized cost and fair values of debt securities by contractual maturity

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

Cost and fair value of investments in equity securities

The cost and fair value of investments in equity securities as of December 31, 2020 and December 31, 2019 are shown in tables 5.3a and 5.3b below.

Details of equity investment securities as of December 31, 2020

Table

5.3a

(In thousands)

Cost

Gross gains

Gross losses

Fair Value

Equity securities

17,522

695

(2)

18,215

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

Aging of the fair values of securities in an unrealized loss position

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)

Net investment income

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


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

Change in unrealized gains (losses) of investments

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)