Investments (Tables)

3 Months Ended

Mar. 31, 2021

Amortized cost, gross unrealized gains and losses and fair value of fixed income securities

Our fixed income securities classified as available-for-sale at March 31, 2021 and December 31, 2020 are shown in tables 7.1a and 7.1b below.


Details of fixed income securities by category as of March 31, 2021
Table	7.1a

(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		$	252,806	$	—	$	873	$	(222)	$	253,457
Obligations of U.S. states and political subdivisions		2,249,876		—		132,869		(14,727)		2,368,018
Corporate debt securities		2,771,839		—		104,279		(14,990)		2,861,128
ABS		185,394		(31)		2,000		(222)		187,141
RMBS		432,148		—		5,270		(1,410)		436,008
CMBS		317,055		—		12,875		(2,080)		327,850
CLOs		372,417		—		966		(56)		373,327
Foreign government debt		4,485		—		—		(96)		4,389

Total fixed income securities		$	6,586,020	$	(31)	$	259,132	$	(33,803)	$	6,811,318


Details of fixed income securities by category as of December 31, 2020
Table	7.1b

(In thousands)		Amortized Cost		Allowance for Expected Credit Losses		Gross Unrealized Gains		Gross Unrealized (Losses) (1)		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
Foreign government debt		4,485		—		224		—		4,709
Commercial paper		21,193		—		—		—		21,193
Total fixed income securities		$	6,317,164	$	(49)	$	349,140	$	(4,659)	$	6,661,596

Amortized cost and fair values of fixed income securities by contractual maturity

The amortized cost and fair values of fixed income securities at March 31, 2021, by contractual maturity, are shown in table 7.2 below. Actual maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. Because most ABS, RMBS, CMBS, and CLOs provide for periodic payments throughout their lives, they are listed in separate categories.


Fixed income securities maturity schedule
Table	7.2
		March 31, 2021
(In thousands)		Amortized cost		Fair Value
Due in one year or less		$	372,100	$	376,608
Due after one year through five years		1,964,439		2,033,836
Due after five years through ten years		1,463,849		1,538,784
Due after ten years		1,478,618		1,537,764
		5,279,006		5,486,992

ABS		185,394		187,141
RMBS		432,148		436,008
CMBS		317,055		327,850
CLOs		372,417		373,327
Total as of March 31, 2021		$	6,586,020	$	6,811,318

Cost and fair value of investments in equity securities

The cost and fair value of investments in equity securities at March 31, 2021 and December 31, 2020 are shown in tables 7.3a and 7.3b below.


Details of equity security investments as of March 31, 2021
Table	7.3a

(In thousands)		Cost		Gross Gains		Gross Losses		Fair Value
Equity securities		$	15,052	$	302	$	(35)	$	15,319


Details of equity security investments as of December 31, 2020
Table	7.3b

(In thousands)		Cost		Gross Gains		Gross Losses		Fair Value
Equity securities		$	17,522	$	695	$	(2)	$	18,215

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

Tables 7.4a and 7.4b below summarize, for all available-for-sale investments in an unrealized loss position at March 31, 2021 and December 31, 2020, the aggregate fair value and gross unrealized loss by the length of time those securities have been continuously in an unrealized loss position. The fair value amounts reported in tables 7.4a and 7.4b are estimated using the process described in Note 8 - “Fair Value Measurements” to these consolidated financial statements and in Note 3 - “Significant Accounting Policies” of the notes to the consolidated financial statements in our 2020 Annual Report on Form 10-K.


Unrealized loss aging for securities by type and length of time as of March 31, 2021
Table	7.4a

		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		$	57,006	$	(222)	$	—	$	—	$	57,006	$	(222)
Obligations of U.S. states and political subdivisions		522,476		(14,727)		—		—		522,476		(14,727)
Corporate debt securities		580,879		(14,990)		—		—		580,879		(14,990)
ABS		50,656		(222)		—		—		50,656		(222)
RMBS		127,663		(1,387)		3,254		(23)		130,917		(1,410)
CMBS		70,193		(749)		13,150		(1,331)		83,343		(2,080)
CLOs		55,161		(15)		24,510		(41)		79,671		(56)
Foreign government debt		4,389		(96)		—		—		4,389		(96)
Total		$	1,468,423	$	(32,408)	$	40,914	$	(1,395)	$	1,509,337	$	(33,803)


Unrealized loss aging for securities by type and length of time as of December 31, 2020
Table	7.4b

		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		$	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)