Investments (Tables)

9 Months Ended

Sep. 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 September 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 September 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		$	220,592	$	7	$	(9,765)	$	210,834
Obligations of U.S. states and political subdivisions		2,178,573		1,234		(274,157)		1,905,650
Corporate debt securities		2,564,817		498		(200,650)		2,364,665
ABS		172,262		9		(5,051)		167,220
RMBS		307,402		7		(34,727)		272,682
CMBS		297,091		65		(22,836)		274,320
CLOs		333,974		9		(2,256)		331,727
Foreign government debt		4,486		—		(859)		3,627
Commercial paper		50,812		—		—		50,812
Total fixed income securities (1)		$	6,130,009	$	1,829	$	(550,301)	$	5,581,537

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 $177.4 million and $67.0 million at September 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 September 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
		September 30, 2023
(In thousands)		Amortized cost		Fair Value
Due in one year or less		$	667,446	$	659,512
Due after one year through five years		1,543,417		1,458,444
Due after five years through ten years		1,805,365		1,617,227
Due after ten years		1,003,052		800,405
		5,019,280		4,535,588
ABS		172,262		167,220
RMBS		307,402		272,682
CMBS		297,091		274,320
CLOs		333,974		331,727
Total		$	6,130,009	$	5,581,537

Cost and fair value of investments in equity securities

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

Details of equity security investments as of September 30, 2023
Table	7.3a
(In thousands)		Cost		Gross Gains		Gross Losses		Fair Value
Equity securities		$	15,998	$	—	$	(2,049)	$	13,949

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 September 30,		Nine Months Ended September 30,
(in thousands)		2023	2022	2023	2022
Fixed income securities
Gains on sales		2,581	1,667	2,747	6,788
Losses on sales		(2,814)	(7,040)	(13,362)	(12,790)
Impairments		—	(1,415)	—	(1,415)
Equity securities gains (losses)
Market adjustment		(462)	(617)	(266)	(2,351)
Change in embedded derivative on Home Re Transactions		(7)	4,199	(2,486)	983
Other
Gains (losses) on sales		(4)	(66)	(4)	(18)
Market adjustment		11	14	(9)	27
Net gains (losses) on investments and other financial instruments		(695)	(3,258)	(13,380)	(8,776)
Proceeds from sales of fixed income securities		24,434	125,186	293,392	388,740

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, 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 September 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		$	64,850	$	(538)	$	111,833	$	(9,227)	$	176,683	$	(9,765)
Obligations of U.S. states and political subdivisions		674,000		(14,743)		1,226,433		(259,414)		1,900,433		(274,157)
Corporate debt securities		600,174		(12,938)		1,745,339		(187,712)		2,345,513		(200,650)
ABS		74,002		(950)		92,013		(4,101)		166,015		(5,051)
RMBS		116,145		(6,082)		172,590		(28,645)		288,735		(34,727)
CMBS		33,176		(2,433)		241,908		(20,403)		275,084		(22,836)
CLOs		—		—		320,534		(2,256)		320,534		(2,256)
Foreign government debt		—		—		3,627		(859)		3,627		(859)
Total		$	1,562,347	$	(37,684)	$	3,914,277	$	(512,617)	$	5,476,624	$	(550,301)

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)