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Investments (Tables)

12 Months Ended

Dec. 31, 2021

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, 2021 and 2020:


Details of fixed income investment securities by category as of December 31, 2021
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		$	133,990	$	—	$	285	$	(868)	$	133,407
Obligations of U.S. states and political subdivisions		2,408,688		—		133,361		(7,396)		2,534,653
Corporate debt securities		2,704,586		—		75,172		(13,776)		2,765,982
ABS		150,888		—		830		(1,008)		150,710
RMBS		309,991		—		2,397		(3,278)		309,110
CMBS		315,330		—		5,736		(1,936)		319,130
CLOs		360,436		—		609		(106)		360,939
Foreign government debt		13,749		—		—		(99)		13,650

Total fixed income securities		$	6,397,658	$	—	$	218,390	$	(28,467)	$	6,587,581


Details of fixed income investment securities by category as of December 31, 2020
Table	5.1b
(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
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 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, 2021. 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 mortgage and asset-backed securities provide for periodic payments throughout their lives, they are listed in separate categories.


Fixed income securities maturity schedule
Table	5.2
		December 31, 2021
(In thousands)		Amortized Cost		Fair Value
Due in one year or less		$	338,988	$	341,604
Due after one year through five years		1,751,297		1,795,249
Due after five years through ten years		1,745,569		1,824,307
Due after ten years		1,425,159		1,486,532
		5,261,013		5,447,692

ABS		150,888		150,710
RMBS		309,991		309,110
CMBS		315,330		319,130
CLOs		360,436		360,939
Total as of December 31, 2021		$	6,397,658	$	6,587,581

Cost and fair value of investments in equity securities

The cost and fair value of investments in equity securities as of December 31, 2021 and December 31, 2020 are shown in tables 5.3a and 5.3b below.

Details of equity investment securities as of December 31, 2021

Table

5.3a

(In thousands)

Cost

Gross gains

Gross losses

Fair Value

Equity securities

15,838

264

(34)

16,068

Details of equity investment securities as of December 31, 2020

Table

5.3b

(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 5.4a and 5.4b below summarize, for all available-for-sale investments in an unrealized loss position as of December 31, 2021 and 2020, 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 $28.5 million and $4.7 million as of December 31, 2021 and 2020, 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, 2021
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		$	91,154	$	(790)	$	2,616	$	(78)	$	93,770	$	(868)
Obligations of U.S. states and political subdivisions		452,021		(7,189)		15,540		(207)		467,561		(7,396)
Corporate debt securities		865,085		(13,260)		10,997		(516)		876,082		(13,776)
ABS		100,064		(998)		1,552		(10)		101,616		(1,008)
RMBS		180,586		(2,548)		31,641		(730)		212,227		(3,278)
CMBS		89,889		(1,887)		1,511		(49)		91,400		(1,936)
CLOs		177,663		(71)		21,973		(35)		199,636		(106)
Foreign government debt		13,649		(99)		—		—		13,649		(99)
Total		$	1,970,111	$	(26,842)	$	85,830	$	(1,625)	$	2,055,941	$	(28,467)


Unrealized loss aging for securities by type and length of time as of December 31, 2020
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		$	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)

Net investment income

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


Net investment income
Table	5.5
(In thousands)		2021		2020		2019
Fixed income securities		$	160,030	$	157,065	$	165,523
Equity securities		471		620		406
Cash equivalents		75		1,648		4,444
Other		22		275		974
Investment income		160,598		159,608		171,347
Investment expenses		(4,160)		(5,212)		(4,302)
Net investment income		$	156,438	$	154,396	$	167,045

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)		2021		2020		2019
Fixed income securities		$	(154,555)	$	169,135	$	220,139