Investments (Tables)

6 Months Ended

Jun. 30, 2023

Investments [Abstract]

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

Our fixed income securities classified as available-for-sale at June 30, 2023 and December 31, 2022 are shown in tables 7.1a and 7.1b below.

Details of fixed income securities by category as of June 30, 2023
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		$	185,239	$	8	$	(8,871)	$	176,376
Obligations of U.S. states and political subdivisions		2,208,970		3,996		(214,788)		1,998,178
Corporate debt securities		2,542,461		1,040		(178,099)		2,365,402
ABS		127,142		3		(5,191)		121,954
RMBS		260,147		7		(23,583)		236,571
CMBS		301,682		42		(22,152)		279,572
CLOs		335,380		6		(4,935)		330,451
Foreign government debt		4,486		—		(743)		3,743
Commercial paper		90,791		1		(1)		90,791
Total fixed income securities (1)		$	6,056,298	$	5,103	$	(458,363)	$	5,603,038

Details of fixed income securities by category as of December 31, 2022
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		$	145,581	$	2	$	(9,683)	$	135,900
Obligations of U.S. states and political subdivisions		2,400,261		4,866		(256,073)		2,149,054
Corporate debt securities		2,416,475		1,043		(196,377)		2,221,141
ABS		126,723		5		(6,041)		120,687
RMBS		223,743		10		(25,744)		198,009
CMBS		257,785		22		(20,591)		237,216
CLOs		337,656		5		(7,829)		329,832
Foreign government debt		4,486		—		(699)		3,787
Commercial paper		14,075		—		(3)		14,072
Total fixed income securities (1)		$	5,926,785	$	5,953	$	(523,040)	$	5,409,698

(1)Includes Short-Term Fixed Income Securities of $172.8 million and $67.0 million at June 30, 2023 and December 31, 2022, respectively.

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

The amortized cost and fair values of fixed income securities at June 30, 2023, 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 mortgage and asset-backed securities provide for periodic payments throughout their lives, they are listed in separate categories.

Fixed income securities maturity schedule
Table	7.2
		June 30, 2023
(In thousands)		Amortized cost		Fair Value
Due in one year or less		$	689,833	$	680,414
Due after one year through five years		1,544,694		1,465,881
Due after five years through ten years		1,697,804		1,550,754
Due after ten years		1,099,616		937,441
		5,031,947		4,634,490
ABS		127,142		121,954
RMBS		260,147		236,571
CMBS		301,682		279,572
CLOs		335,380		330,451
Total		$	6,056,298	$	5,603,038

Cost and fair value of investments in equity securities

The cost and fair value of investments in equity securities at June 30, 2023 and December 31, 2022 are shown in tables 7.3a and 7.3b below.

Details of equity security investments as of June 30, 2023
Table	7.3a
(In thousands)		Cost		Gross Gains		Gross Losses		Fair Value
Equity securities		$	15,972	$	1	$	(1,589)	$	14,384

Details of equity security investments as of December 31, 2022
Table	7.3b
(In thousands)		Cost		Gross Gains		Gross Losses		Fair Value
Equity securities		$	15,924	$	—	$	(1,784)	$	14,140

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 and equity securities are shown in table 7.4 below.

Details of net gains (losses) on investments and other financial instruments
Table	7.4	Three Months Ended June 30,		Six Months Ended June 30,
(in thousands)		2023	2022	2023	2022
Fixed income securities
Gains on sales		107	987	166	5,121
Losses on sales		(6,415)	(1,093)	(10,548)	(5,750)
Equity securities gains (losses)
Market adjustment		(164)	(729)	196	(1,734)
Change in embedded derivative on Home Re Transactions		1,497	(3,949)	(2,479)	(3,216)
Other
Gains (losses) on sales		(6)	37	—	48
Market adjustment		(6)	1	(20)	13
Net gains (losses) on investments and other financial instruments		(4,987)	(4,746)	(12,685)	(5,518)
Proceeds from sales of fixed income securities		236,777	46,730	268,958	263,554
Proceeds from sales of equity securities		—	—	—	—

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 June 30, 2023 and December 31, 2022, 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 2022 Annual Report on Form 10-K.

Unrealized loss aging for securities by type and length of time as of June 30, 2023
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		$	76,161	$	(1,394)	$	93,067	$	(7,477)	$	169,228	$	(8,871)
Obligations of U.S. states and political subdivisions		586,294		(10,085)		1,077,509		(204,703)		1,663,803		(214,788)
Corporate debt securities		754,768		(15,548)		1,639,146		(162,551)		2,393,914		(178,099)
ABS		47,890		(622)		74,887		(4,569)		122,777		(5,191)
RMBS		70,138		(1,082)		182,408		(22,501)		252,546		(23,583)
CMBS		37,158		(818)		243,457		(21,334)		280,615		(22,152)
CLOs		3,977		(23)		324,562		(4,912)		328,539		(4,935)
Foreign government debt		—		—		3,743		(743)		3,743		(743)
Commercial paper		—		—		1,999		(1)		1,999		(1)
Total		$	1,576,386	$	(29,572)	$	3,640,778	$	(428,791)	$	5,217,164	$	(458,363)

Unrealized loss aging for securities by type and length of time as of December 31, 2022
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		$	67,531	$	(3,583)	$	76,246	$	(6,100)	$	143,777	$	(9,683)
Obligations of U.S. states and political subdivisions		1,344,272		(157,903)		360,956		(98,170)		1,705,228		(256,073)
Corporate debt securities		1,488,255		(109,976)		758,732		(86,401)		2,246,987		(196,377)
ABS		53,201		(1,008)		67,073		(5,033)		120,274		(6,041)
RMBS		77,563		(8,572)		136,179		(17,172)		213,742		(25,744)
CMBS		166,973		(12,951)		70,792		(7,640)		237,765		(20,591)
CLOs		213,461		(4,644)		114,459		(3,185)		327,920		(7,829)
Foreign government debt		—		—		3,787		(699)		3,787		(699)
Commercial paper		—		—		3,816		(3)		3,816		(3)
Total		$	3,411,256	$	(298,637)	$	1,592,040	$	(224,403)	$	5,003,296	$	(523,040)