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v3.22.2

Investments in Fixed Maturity Securities (Tables) | 6 Months Ended
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Jun. 30, 2022
Investments, Debt and Equity Securities [Abstract] |
Schedule of investments in fixed maturity securities | At June 30, 2022 and December 31, 2021, investments in fixed maturity securities were as follows:
(In thousands) | Amortized Cost |  | Allowance for Expected Credit Losses (1) |  | Gross Unrealized |  | Fair Value |  | Carrying Value
Gains |  | Losses |
June 30, 2022 |  |  |  |  |  |  |  |  |  |  |
Held to maturity: |  |  |  |  |  |  |  |  |  |  |
State and municipal | $ | 46,486 |  |  | $ | (127) |  |  | $ | 5,347 |  |  | $ | — |  |  | $ | 51,706 |  |  | $ | 46,359 |
Residential mortgage-backed | 4,155 |  |  | — |  |  | 170 |  |  | — |  |  | 4,325 |  |  | 4,155 |
Total held to maturity | 50,641 |  |  | (127) |  |  | 5,517 |  |  | — |  |  | 56,031 |  |  | 50,514 |
Available for sale: |  |  |  |  |  |  |  |  |  |  |
U.S. government and government agency | 762,615 |  |  | — |  |  | 1,213 |  |  | (42,914) |  |  | 720,914 |  |  | 720,914 |
State and municipal: |  |  |  |  |  |  |  |  |  |  |
Special revenue | 1,937,329 |  |  | — |  |  | 6,636 |  |  | (76,329) |  |  | 1,867,636 |  |  | 1,867,636 |
State general obligation | 378,081 |  |  | — |  |  | 3,957 |  |  | (13,458) |  |  | 368,580 |  |  | 368,580 |
Pre-refunded | 200,716 |  |  | — |  |  | 3,232 |  |  | (49) |  |  | 203,899 |  |  | 203,899 |
Corporate backed | 166,591 |  |  | — |  |  | 453 |  |  | (6,836) |  |  | 160,208 |  |  | 160,208 |
Local general obligation | 418,962 |  |  | — |  |  | 6,593 |  |  | (8,615) |  |  | 416,940 |  |  | 416,940 |
Total state and municipal | 3,101,679 |  |  | — |  |  | 20,871 |  |  | (105,287) |  |  | 3,017,263 |  |  | 3,017,263 |
Mortgage-backed: |  |  |  |  |  |  |  |  |  |  |
Residential | 1,181,482 |  |  | — |  |  | 794 |  |  | (110,774) |  |  | 1,071,502 |  |  | 1,071,502 |
Commercial | 413,090 |  |  | — |  |  | 552 |  |  | (8,045) |  |  | 405,597 |  |  | 405,597 |
Total mortgage-backed | 1,594,572 |  |  | — |  |  | 1,346 |  |  | (118,819) |  |  | 1,477,099 |  |  | 1,477,099 |
Asset-backed | 4,421,553 |  |  | — |  |  | 484 |  |  | (129,549) |  |  | 4,292,488 |  |  | 4,292,488 |
Corporate: |  |  |  |  |  |  |  |  |  |  |
Industrial | 3,412,383 |  |  | (164) |  |  | 2,643 |  |  | (199,225) |  |  | 3,215,637 |  |  | 3,215,637 |
Financial | 1,909,682 |  |  | (18) |  |  | 341 |  |  | (98,344) |  |  | 1,811,661 |  |  | 1,811,661 |
Utilities | 448,342 |  |  | — |  |  | 249 |  |  | (26,490) |  |  | 422,101 |  |  | 422,101 |
Other | 247,531 |  |  | — |  |  | 29 |  |  | (7,834) |  |  | 239,726 |  |  | 239,726 |
Total corporate | 6,017,938 |  |  | (182) |  |  | 3,262 |  |  | (331,893) |  |  | 5,689,125 |  |  | 5,689,125 |
Foreign government | 1,748,422 |  |  | (33,096) |  |  | 528 |  |  | (111,743) |  |  | 1,604,111 |  |  | 1,604,111 |
Total available for sale | 17,646,779 |  |  | (33,278) |  |  | 27,704 |  |  | (840,205) |  |  | 16,801,000 |  |  | 16,801,000 |
Total investments in fixed maturity securities | $ | 17,697,420 |  |  | $ | (33,405) |  |  | $ | 33,221 |  |  | $ | (840,205) |  |  | $ | 16,857,031 |  |  | $ | 16,851,514 |
____________ (1) Represents the amount of impairment that has resulted from credit-related factors. The change in the allowance for expected credit losses is recognized in the consolidated statements of income. Amount excludes unrealized losses relating to non-credit factors.
(In thousands) | Amortized Cost |  | Allowance for Expected Credit Losses (1) |  | Gross Unrealized |  | Fair Value |  | Carrying Value |  |
| Gains |  | Losses |  |
December 31, 2021 |  |  |  |  |  |  |  |  |  |  |  |  |
Held to maturity: |  |  |  |  |  |  |  |  |  |  |  |  |
State and municipal | $ | 69,539 |  |  | $ | (387) |  |  | $ | 10,813 |  |  | $ | — |  |  | $ | 79,965 |  |  | $ | 69,152 |  |  |
Residential mortgage-backed | 4,829 |  |  | — |  |  | 632 |  |  | — |  |  | 5,461 |  |  | 4,829 |  |  |
Total held to maturity | 74,368 |  |  | (387) |  |  | 11,445 |  |  | — |  |  | 85,426 |  |  | 73,981 |  |  |
Available for sale: |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government and government agency | 851,128 |  |  | — |  |  | 8,509 |  |  | (4,294) |  |  | 855,343 |  |  | 855,343 |  |  |
State and municipal: |  |  |  |  |  |  |  |  |  |  |  |  |
Special revenue | 2,016,382 |  |  | — |  |  | 62,961 |  |  | (5,706) |  |  | 2,073,637 |  |  | 2,073,637 |  |  |
State general obligation | 388,110 |  |  | — |  |  | 23,152 |  |  | (1,015) |  |  | 410,247 |  |  | 410,247 |  |  |
Pre-refunded | 202,633 |  |  | — |  |  | 14,891 |  |  | (574) |  |  | 216,950 |  |  | 216,950 |  |  |
Corporate backed | 166,943 |  |  | — |  |  | 7,191 |  |  | (1,532) |  |  | 172,602 |  |  | 172,602 |  |  |
Local general obligation | 401,974 |  |  | — |  |  | 29,455 |  |  | (732) |  |  | 430,697 |  |  | 430,697 |  |  |
Total state and municipal | 3,176,042 |  |  | — |  |  | 137,650 |  |  | (9,559) |  |  | 3,304,133 |  |  | 3,304,133 |  |  |
Mortgage-backed: |  |  |  |  |  |  |  |  |  |  |  |  |
Residential | 940,744 |  |  | — |  |  | 9,896 |  |  | (11,321) |  |  | 939,319 |  |  | 939,319 |  |  |
Commercial | 125,709 |  |  | — |  |  | 3,388 |  |  | (341) |  |  | 128,756 |  |  | 128,756 |  |  |
Total mortgage-backed securities | 1,066,453 |  |  | — |  |  | 13,284 |  |  | (11,662) |  |  | 1,068,075 |  |  | 1,068,075 |  |  |
Asset-backed | 4,504,950 |  |  | — |  |  | 4,409 |  |  | (18,794) |  |  | 4,490,565 |  |  | 4,490,565 |  |  |
Corporate: |  |  |  |  |  |  |  |  |  |  |  |  |
Industrial | 3,231,520 |  |  | (16) |  |  | 62,751 |  |  | (21,092) |  |  | 3,273,163 |  |  | 3,273,163 |  |  |
Financial | 1,739,282 |  |  | — |  |  | 30,709 |  |  | (6,591) |  |  | 1,763,400 |  |  | 1,763,400 |  |  |
Utilities | 396,242 |  |  | — |  |  | 13,262 |  |  | (3,202) |  |  | 406,302 |  |  | 406,302 |  |  |
Other | 154,210 |  |  | — |  |  | 125 |  |  | (1,525) |  |  | 152,810 |  |  | 152,810 |  |  |
Total corporate | 5,521,254 |  |  | (16) |  |  | 106,847 |  |  | (32,410) |  |  | 5,595,675 |  |  | 5,595,675 |  |  |
Foreign government | 1,277,109 |  |  | (22,222) |  |  | 7,508 |  |  | (47,494) |  |  | 1,214,901 |  |  | 1,214,901 |  |  |
Total available for sale | 16,396,936 |  |  | (22,238) |  |  | 278,207 |  |  | (124,213) |  |  | 16,528,692 |  |  | 16,528,692 |  |  |
Total investments in fixed maturity securities | $ | 16,471,304 |  |  | $ | (22,625) |  |  | $ | 289,652 |  |  | $ | (124,213) |  |  | $ | 16,614,118 |  |  | $ | 16,602,673 |  |  |
Debt Securities, Held-to-maturity, Allowance for Credit Loss | The following table presents the rollforward of the allowance for expected credit losses for held to maturity securities for the six months ended June 30, 2022 and 2021:
(In thousands) | 2022 |  | 2021
Allowance for expected credit losses, beginning of period | $ | 387 |  |  | $ | 798 |
Provision for expected credit losses | (260) |  |  | (345) |
Allowance for expected credit losses, end of period | $ | 127 |  |  | $ | 453 |
The following table presents the rollforward of the allowance for expected credit losses for held to maturity securities for the three months ended June 30, 2022 and 2021:
(In thousands) | 2022 |  | 2021
Allowance for expected credit losses, beginning of period | $ | 378 |  |  | $ | 730 |
Provision for expected credit losses | (251) |  |  | (277) |
Allowance for expected credit losses, end of period | $ | 127 |  |  | $ | 453 |
Debt Securities, Available-for-sale, Allowance for Credit Loss | The following table presents the rollforward of the allowance for expected credit losses for available for sale securities for the six months ended June 30, 2022 and 2021:
| 2022 |  | 2021
(In thousands) | Foreign Government |  | Corporate |  | Total |  | Foreign Government |  | Corporate |  | Total
Allowance for expected credit losses, beginning of period | $ | 22,222 |  |  | $ | 16 |  |  | 22,238 |  |  | $ | 1,264 |  |  | $ | 518 |  |  | $ | 1,782 |
Expected credit losses on securities for which credit losses were not previously recorded | 1,897 |  |  | 182 |  |  | 2,079 |  |  | 18,990 |  |  | 16 |  |  | 19,006 |
Expected credit losses (gains) on securities for which credit losses were previously recorded | 9,010 |  |  | (16) |  |  | 8,994 |  |  | (861) |  |  | (517) |  |  | (1,378) |
Reduction due to disposals | (33) |  |  | — |  |  | (33) |  |  | (494) |  |  | (5) |  |  | (499) |
Allowance for expected credit losses, end of period | $ | 33,096 |  |  | $ | 182 |  |  | $ | 33,278 |  |  | $ | 18,899 |  |  | $ | 12 |  |  | $ | 18,911 |
During the six months ended June 30, 2022, the Company increased the allowance for expected credit losses for available for sale securities utilizing its credit loss assessment process and inputs used in its credit loss model due to an increase in unrealized losses primarily associated with foreign government securities. During the six months ended June 30, 2021, the Company increased the allowance for expected credit losses for available for sale securities, mainly due to foreign government securities that had no reserve in prior periods. The following table presents the rollforward of the allowance for expected credit losses for available for sale securities for the three months ended June 30, 2022 and 2021:
| 2022 |  | 2021
(In thousands) | Foreign Government |  | Corporate |  | Total |  | Foreign Government |  | Corporate |  | Total
Allowance for expected credit losses, beginning of period | $ | 26,153 |  |  | $ | — |  |  | $ | 26,153 |  |  | $ | 19,993 |  |  | $ | 16 |  |  | $ | 20,009 |
Expected credit losses on securities for which credit losses were not previously recorded | 1,413 |  |  | 182 |  |  | 1,595 |  |  | — |  |  | — |  |  | — |
Expected credit losses (gains) on securities for which credit losses were previously recorded | 5,563 |  |  | — |  |  | 5,563 |  |  | (600) |  |  | (4) |  |  | (604) |
Reduction due to disposals | (33) |  |  | — |  |  | (33) |  |  | (494) |  |  | — |  |  | (494)
Allowance for expected credit losses, end of period | $ | 33,096 |  |  | $ | 182 |  |  | $ | 33,278 |  |  | $ | 18,899 |  |  | $ | 12 |  |  | $ | 18,911 |
Amortized cost and fair value of fixed maturity securities by contractual maturity | The amortized cost and fair value of fixed maturity securities at June 30, 2022, by contractual maturity, are shown below. Actual maturities may differ from contractual maturities because certain issuers may have the right to call or prepay obligations.
(In thousands) | Amortized Cost (1) |  | Fair Value |  |  |  |  |  |  |  |
Due in one year or less | $ | 1,859,431 |  |  | $ | 1,829,253 |  |  |  |  |  |  |  |  |
Due after one year through five years | 8,188,520 |  |  | 7,879,921 |  |  |  |  |  |  |  |  |
Due after five years through ten years | 3,970,551 |  |  | 3,716,098 |  |  |  |  |  |  |  |  |
Due after ten years | 2,080,064 |  |  | 1,950,335 |  |  |  |  |  |  |  |  |
Mortgage-backed securities | 1,598,727 |  |  | 1,481,424 |  |  |  |  |  |  |  |  |
Total | $ | 17,697,293 |  |  | $ | 16,857,031 |  |  |  |  |  |  |  |  |
________________ (1) Amortized cost is reduced by the allowance for expected credit losses of $127 thousand related to held to maturity securities.

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