Investments (Tables)

3 Months Ended

Mar. 31, 2024

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 March 31, 2024 and December 31, 2023 are shown in tables 7.1a and 7.1b below.

Details of fixed income securities by category as of March 31, 2024
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		$	147,441	$	66	$	(6,595)	$	140,912
Obligations of U.S. states and political subdivisions		2,079,844		3,042		(191,274)		1,891,612
Corporate debt securities		2,644,912		10,789		(129,340)		2,526,361
ABS		173,761		1,291		(2,536)		172,516
RMBS		345,029		3,338		(24,541)		323,826
CMBS		286,876		5		(14,503)		272,378
CLOs		318,683		415		(482)		318,616
Foreign government debt		4,487		—		(741)		3,746
Commercial paper		22,745		2		—		22,747
Total fixed income securities		$	6,023,778	$	18,948	$	(370,012)	$	5,672,714

Details of fixed income securities by category as of December 31, 2023
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		$	167,995	$	51	$	(6,364)	$	161,682
Obligations of U.S. states and political subdivisions		2,092,754		5,159		(189,835)		1,908,078
Corporate debt securities		2,626,401		17,391		(128,211)		2,515,581
ABS		173,256		1,292		(3,275)		171,273
RMBS		347,132		4,297		(20,656)		330,773
CMBS		293,204		5		(15,752)		277,457
CLOs		327,467		37		(1,408)		326,096
Foreign government debt		4,486		—		(643)		3,843
Commercial paper		28,327		3		—		28,330
Total fixed income securities		$	6,061,022	$	28,235	$	(366,144)	$	5,723,113

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

The amortized cost and fair values of fixed income securities at March 31, 2024, 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
		March 31, 2024
(In thousands)		Amortized cost		Fair Value
Due in one year or less		$	614,805	$	608,478
Due after one year through five years		1,557,863		1,510,968
Due after five years through ten years		1,800,564		1,676,467
Due after ten years		926,197		789,465
		4,899,429		4,585,378
ABS		173,761		172,516
RMBS		345,029		323,826
CMBS		286,876		272,378
CLOs		318,683		318,616
Total		$	6,023,778	$	5,672,714

Cost and fair value of investments in equity securities

The cost and fair value of investments in equity securities at March 31, 2024 and December 31, 2023 are shown in tables 7.3a and 7.3b below.

Details of equity security investments as of March 31, 2024
Table	7.3a
(In thousands)		Cost		Fair Value Gains		Fair Value Losses		Fair Value
Equity securities		$	16,053	$	4	$	(1,360)	$	14,697

Details of equity security investments as of December 31, 2023
Table	7.3b
(In thousands)		Cost		Fair Value Gains		Fair Value Losses		Fair Value
Equity securities		$	16,025	$	5	$	(1,259)	$	14,771

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 March 31,
(in thousands)		2024	2023
Fixed income securities
Gains on sales		55	59
Losses on sales		(5,485)	(4,133)
Equity securities gains (losses)
Changes in fair value		(103)	360
Change in embedded derivative on Home Re Transactions		(2,976)	(3,976)
Other
Gains (losses) on sales		1	6
Market adjustment		(1)	(14)
Net gains (losses) on investments and other financial instruments		(8,509)	(7,698)
Proceeds from sales of fixed income securities		14,886	32,181

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 March 31, 2024 and December 31, 2023, 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 2023 Annual Report on Form 10-K.

Unrealized loss aging for securities by type and length of time as of March 31, 2024
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		$	33,814	$	(107)	$	93,212	$	(6,488)	$	127,026	$	(6,595)
Obligations of U.S. states and political subdivisions		409,466		(3,795)		1,248,976		(187,479)		1,658,442		(191,274)
Corporate debt securities		536,362		(7,400)		1,408,161		(121,940)		1,944,523		(129,340)
ABS		37,810		(1,079)		57,455		(1,457)		95,265		(2,536)
RMBS		101,418		(6,894)		137,598		(17,647)		239,016		(24,541)
CMBS		35,431		(946)		236,798		(13,557)		272,229		(14,503)
CLOs		45,128		(103)		58,231		(379)		103,359		(482)
Foreign government debt		—		—		3,746		(741)		3,746		(741)
Total		$	1,199,429	$	(20,324)	$	3,244,177	$	(349,688)	$	4,443,606	$	(370,012)

Unrealized loss aging for securities by type and length of time as of December 31, 2023
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		$	26,550	$	(75)	$	98,359	$	(6,289)	$	124,909	$	(6,364)
Obligations of U.S. states and political subdivisions		275,727		(3,622)		1,200,533		(186,213)		1,476,260		(189,835)
Corporate debt securities		270,956		(6,060)		1,604,021		(122,151)		1,874,977		(128,211)
ABS		41,549		(1,234)		62,611		(2,041)		104,160		(3,275)
RMBS		44,867		(872)		176,349		(19,784)		221,216		(20,656)
CMBS		35,249		(391)		244,216		(15,361)		279,465		(15,752)
CLOs		—		—		274,729		(1,408)		274,729		(1,408)
Foreign government debt		—		—		3,843		(643)		3,843		(643)
Total		$	694,898	$	(12,254)	$	3,664,661	$	(353,890)	$	4,359,559	$	(366,144)