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Investments (Tables)

9 Months Ended

Sep. 30, 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 September 30, 2021 and December 31, 2020 are shown in tables 7.1a and 7.1b below.


Details of fixed income securities by category as of September 30, 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		$	184,578	$	—	$	434	$	(277)	$	184,735
Obligations of U.S. states and political subdivisions		2,372,020		—		146,149		(3,639)		2,514,530
Corporate debt securities		2,856,671		—		100,264		(8,438)		2,948,497
ABS		158,637		(1)		1,337		(198)		159,775
RMBS		337,353		—		3,581		(1,666)		339,268
CMBS		319,187		—		9,634		(628)		328,193
CLOs		408,121		—		913		(64)		408,970
Foreign government debt		13,748		—		58		(40)		13,766

Total fixed income securities		$	6,650,315	$	(1)	$	262,370	$	(14,950)	$	6,897,734


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 September 30, 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
		September 30, 2021
(In thousands)		Amortized cost		Fair Value
Due in one year or less		$	415,090	$	418,673
Due after one year through five years		1,856,136		1,919,980
Due after five years through ten years		1,666,042		1,757,537
Due after ten years		1,489,749		1,565,338
		5,427,017		5,661,528

ABS		158,637		159,775
RMBS		337,353		339,268
CMBS		319,187		328,193
CLOs		408,121		408,970
Total as of September 30, 2021		$	6,650,315	$	6,897,734

Cost and fair value of investments in equity securities

The cost and fair value of investments in equity securities at September 30, 2021 and December 31, 2020 are shown in tables 7.3a and 7.3b below.


Details of equity security investments as of September 30, 2021
Table	7.3a

(In thousands)		Cost		Gross Gains		Gross Losses		Fair Value
Equity securities		$	14,981	$	395	$	(15)	$	15,361


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 September 30, 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” 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 September 30, 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		$	88,312	$	(277)	$	—	$	—	$	88,312	$	(277)
Obligations of U.S. states and political subdivisions		250,099		(3,479)		15,638		(160)		265,737		(3,639)
Corporate debt securities		468,720		(8,438)		—		—		468,720		(8,438)
ABS		58,901		(198)		—		—		58,901		(198)
RMBS		174,094		(1,302)		26,733		(364)		200,827		(1,666)
CMBS		82,653		(628)		—		—		82,653		(628)
CLOs		127,483		(29)		21,974		(35)		149,457		(64)
Foreign government debt		4,445		(40)		—		—		4,445		(40)
Total		$	1,254,707	$	(14,391)	$	64,345	$	(559)	$	1,319,052	$	(14,950)


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)