XML 39 R28.htm IDEA: XBRL DOCUMENT

Investments (Tables)

9 Months Ended

Sep. 30, 2022

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, 2022 and December 31, 2021 are shown in tables 7.1a and 7.1b below.


Details of fixed income securities by category as of September 30, 2022
Table	7.1a
(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		$	180,941	$	25	$	(10,294)	$	170,672
Obligations of U.S. states and political subdivisions		2,414,505		1,700		(265,167)		2,151,038
Corporate debt securities		2,393,106		148		(227,409)		2,165,845
ABS		134,309		5		(5,819)		128,495
RMBS		230,997		15		(28,372)		202,640
CMBS		266,711		14		(21,080)		245,645
CLOs		337,827		—		(12,329)		325,498
Foreign government debt		4,486		—		(914)		3,572
Commercial paper		7,577		—		—		7,577
Total fixed income securities		$	5,970,459	$	1,907	$	(571,384)	$	5,400,982


Details of fixed income securities by category as of December 31, 2021
Table	7.1b

(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		$	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

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, 2022, 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, 2022
(In thousands)		Amortized cost		Fair Value
Due in one year or less		$	422,546	$	416,536
Due after one year through five years		1,413,885		1,334,284
Due after five years through ten years		1,814,408		1,614,687
Due after ten years		1,349,776		1,133,197
		5,000,615		4,498,704

ABS		134,309		128,495
RMBS		230,997		202,640
CMBS		266,711		245,645
CLOs		337,827		325,498
Total as of September 30, 2022		$	5,970,459	$	5,400,982

Cost and fair value of investments in equity securities

The cost and fair value of investments in equity securities at September 30, 2022 and December 31, 2021 are shown in tables 7.3a and 7.3b below.


Details of equity security investments as of September 30, 2022
Table	7.3a

(In thousands)		Cost		Gross Gains		Gross Losses		Fair Value
Equity securities		$	16,006	$	—	$	(2,121)	$	13,885


Details of equity security investments as of December 31, 2021
Table	7.3b

(In thousands)		Cost		Gross Gains		Gross Losses		Fair Value
Equity securities		$	15,838	$	264	$	(34)	$	16,068

Schedule of realized gains (losses) and proceeds from sale of securities

The net gains (losses) on investments and other financial instruments and the proceeds from the sale of fixed income securities classified as available-for-sale are shown in table 7.4 below.


Details of net gains (losses) on investments and other financial instruments
Table	7.4	Three Months Ended September 30,		Nine Months Ended September 30,
(in thousands)		2022	2021	2022	2021

Fixed income securities
Gains on sales		1,667	1,389	6,788	6,680
Losses on sales		(7,040)	(259)	(12,790)	(1,004)
Change in credit allowance		—	(1)	—	48
Impairments		(1,415)	—	(1,415)	—
Equity securities gains (losses)		(617)	(108)	(2,351)	(308)
Change in embedded derivative on Home Re Transactions		4,199	(397)	983	376
Other		(52)	(12)	9	(19)
Net gains (losses) on investments and other financial instruments		(3,258)	612	(8,776)	5,773

Proceeds from sales of fixed income securities		125,186	106,765	388,740	246,827

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

Tables 7.5a and 7.5b below summarize, for all available-for-sale investments in an unrealized loss position at September 30, 2022 and December 31, 2021, 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 7.5a and 7.5b 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 2021 Annual Report on Form 10-K.


Unrealized loss aging for securities by type and length of time as of September 30, 2022
Table	7.5a

		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		$	91,057	$	(4,565)	$	52,868	$	(5,729)	$	143,925	$	(10,294)
Obligations of U.S. states and political subdivisions		1,993,265		(229,380)		122,240		(35,787)		2,115,505		(265,167)
Corporate debt securities		1,897,128		(164,708)		307,124		(62,701)		2,204,252		(227,409)
ABS		96,910		(3,741)		32,673		(2,078)		129,583		(5,819)
RMBS		124,775		(13,598)		93,453		(14,774)		218,228		(28,372)
CMBS		183,053		(13,797)		66,755		(7,283)		249,808		(21,080)
CLOs		266,139		(9,355)		59,359		(2,974)		325,498		(12,329)
Foreign government debt		—		—		3,572		(914)		3,572		(914)
Total		$	4,652,327	$	(439,144)	$	738,044	$	(132,240)	$	5,390,371	$	(571,384)


Unrealized loss aging for securities by type and length of time as of December 31, 2021
Table	7.5b

		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)