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Investments
 3 Months Ended
Mar. 31, 2022
Investments [Abstract]  
Investments

3. INVESTMENTS

 

The following tables show amortized cost, allowance for credit losses, gross unrealized appreciation/(depreciation) and market value of fixed maturity securities as of the dates indicated:

 

 

At March 31, 2022

 

 

Amortized

 

Allowance for

 

Unrealized

 

Unrealized

 

Market

(Dollars in thousands)

Cost

 

Credit Losses

 

Appreciation

 

Depreciation

 

Value

Fixed maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury securities and obligations of

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government agencies and corporations

$

1,387,723

 

$

-

 

$

9,506

 

$

(41,423)

 

$

1,355,806

 

Obligations of U.S. states and political subdivisions

 

560,375

 

 

(151)

 

 

9,538

 

 

(10,574)

 

 

559,188

 

Corporate securities

 

7,510,255

 

 

(20,049)

 

 

64,802

 

 

(263,958)

 

 

7,291,050

 

Asset-backed securities

 

4,046,636

 

 

(7,679)

 

 

13,228

 

 

(54,294)

 

 

3,997,891

 

Mortgage-backed securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commercial

 

1,021,013

 

 

-

 

 

2,762

 

 

(31,904)

 

 

991,871

 

Agency residential

 

2,387,754

 

 

-

 

 

5,354

 

 

(109,611)

 

 

2,283,497

 

Non-agency residential

 

5,759

 

 

-

 

 

-

 

 

(114)

 

 

5,645

 

Foreign government securities

 

1,414,589

 

 

-

 

 

16,763

 

 

(68,970)

 

 

1,362,382

 

Foreign corporate securities

 

4,358,925

 

 

(13,712)

 

 

31,776

 

 

(225,904)

 

 

4,151,085

Total fixed maturity securities

$

22,693,029

 

$

(41,591)

 

$

153,729

 

$

(806,752)

 

$

21,998,415

 

 

At December 31, 2021

 

 

Amortized

 

Allowance for

 

Unrealized

 

Unrealized

 

Market

(Dollars in thousands)

Cost

 

Credit Losses

 

Appreciation

 

Depreciation

 

Value

Fixed maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury securities and obligations of

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government agencies and corporations

$

1,407,256

 

$

-

 

$

23,720

 

$

(10,358)

 

$

1,420,618

 

Obligations of U.S. states and political subdivisions

 

558,842

 

 

(151)

 

 

29,080

 

 

(1,150)

 

 

586,621

 

Corporate securities

 

7,443,535

 

 

(19,267)

 

 

195,210

 

 

(62,580)

 

 

7,556,898

 

Asset-backed securities

 

3,579,439

 

 

(7,679)

 

 

21,817

 

 

(11,848)

 

 

3,581,729

 

Mortgage-backed securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commercial

 

1,032,506

 

 

-

 

 

37,550

 

 

(5,690)

 

 

1,064,366

 

Agency residential

 

2,361,208

 

 

-

 

 

32,997

 

 

(18,873)

 

 

2,375,332

 

Non-agency residential

 

6,530

 

 

-

 

 

22

 

 

(16)

 

 

6,536

 

Foreign government securities

 

1,423,634

 

 

-

 

 

41,957

 

 

(28,079)

 

 

1,437,512

 

Foreign corporate securities

 

4,250,642

 

 

(2,641)

 

 

95,195

 

 

(64,536)

 

 

4,278,660

Total fixed maturity securities

$

22,063,592

 

$

(29,738)

 

$

477,548

 

$

(203,130)

 

$

22,308,272

 

The amortized cost and market value of fixed maturity securities are shown in the following table by contractual maturity. Mortgage-backed securities are generally more likely to be prepaid than other fixed maturity securities. As the stated maturity of such securities may not be indicative of actual maturities, the totals for mortgage-backed and asset-backed securities are shown separately.

 

At March 31, 2022

 

At December 31, 2021

 

Amortized

 

Market

 

Amortized

 

Market

(Dollars in thousands)

Cost

 

Value

 

Cost

 

Value

Fixed maturity securities – available for sale:

 

 

 

 

 

 

 

 

 

 

 

Due in one year or less

$

1,391,977

 

$

1,391,679

 

$

1,398,742

 

$

1,398,006

Due after one year through five years

 

7,302,421

 

 

7,112,007

 

 

7,075,077

 

 

7,154,468

Due after five years through ten years

 

4,896,715

 

 

4,673,737

 

 

5,003,792

 

 

5,100,672

Due after ten years

 

1,640,754

 

 

1,542,088

 

 

1,606,298

 

 

1,627,163

Asset-backed securities

 

4,046,636

 

 

3,997,891

 

 

3,579,439

 

 

3,581,729

Mortgage-backed securities:

 

 

 

 

 

 

 

 

 

 

 

Commercial

 

1,021,013

 

 

991,871

 

 

1,032,506

 

 

1,064,366

Agency residential

 

2,387,754

 

 

2,283,497

 

 

2,361,208

 

 

2,375,332

Non-agency residential

 

5,759

 

 

5,645

 

 

6,530

 

 

6,536

Total fixed maturity securities

$

22,693,029

 

$

21,998,415

 

$

22,063,592

 

$

22,308,272

The changes in net unrealized appreciation (depreciation) for the Company’s investments are derived from the following sources for the periods indicated:

 

Three Months Ended

 

March 31,

(Dollars in thousands)

2022

 

2021

Increase (decrease) during the period between the market value and cost

 

 

 

 

 

of investments carried at market value, and deferred taxes thereon:

 

 

 

 

 

Fixed maturity securities and short-term investments

$

(927,407)

 

$

(322,708)

Change in unrealized appreciation (depreciation), pre-tax

 

(927,407)

 

 

(322,708)

Deferred tax benefit (expense)

 

116,408

 

 

40,427

Change in unrealized appreciation (depreciation),

 

 

 

 

 

net of deferred taxes, included in shareholders’ equity

$

(810,999)

 

$

(292,281)

The tables below display the aggregate market value and gross unrealized depreciation of fixed maturity securities, by security type and contractual maturity, in each case subdivided according to length of time that individual securities had been in a continuous unrealized loss position for the periods indicated.

 

 

Duration of Unrealized Loss at March 31, 2022 By Security Type

 

Less than 12 months

 

Greater than 12 months

 

Total

 

 

 

 

Gross

 

 

 

 

Gross

 

 

 

 

Gross

 

 

 

 

Unrealized

 

 

 

 

Unrealized

 

 

 

 

Unrealized

(Dollars in thousands)

Market Value

 

Depreciation

 

Market Value

 

Depreciation

 

Market Value

 

Depreciation

Fixed maturity securities - available for sale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury securities and obligations of

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government agencies and corporations

$

735,568

 

$

(31,508)

 

$

140,967

 

$

(9,915)

 

$

876,535

 

$

(41,423)

Obligations of U.S. states and political subdivisions

 

135,080

 

 

(8,844)

 

 

12,751

 

 

(1,683)

 

 

147,831

 

 

(10,527)

Corporate securities

 

3,552,799

 

 

(191,372)

 

 

804,526

 

 

(71,842)

 

 

4,357,325

 

 

(263,214)

Asset-backed securities

 

3,072,751

 

 

(51,294)

 

 

41,984

 

 

(3,000)

 

 

3,114,735

 

 

(54,294)

Mortgage-backed securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commercial

 

696,096

 

 

(29,358)

 

 

19,307

 

 

(2,546)

 

 

715,403

 

 

(31,904)

Agency residential

 

1,405,047

 

 

(67,884)

 

 

511,034

 

 

(41,727)

 

 

1,916,081

 

 

(109,611)

Non-agency residential

 

4,831

 

 

(102)

 

 

815

 

 

(12)

 

 

5,646

 

 

(114)

Foreign government securities

 

868,416

 

 

(37,826)

 

 

173,278

 

 

(31,144)

 

 

1,041,694

 

 

(68,970)

Foreign corporate securities

 

2,674,129

 

 

(177,921)

 

 

444,844

 

 

(47,682)

 

 

3,118,973

 

 

(225,603)

Total

$

13,144,717

 

$

(596,109)

 

$

2,149,506

 

$

(209,551)

 

$

15,294,223

 

$

(805,660)

Securities where an allowance for credit loss was recorded

 

18,830

 

 

(1,092)

 

 

-

 

 

-

 

 

18,830

 

 

(1,092)

Total fixed maturity securities

$

13,163,547

 

$

(597,201)

 

$

2,149,506

 

$

(209,551)

 

$

15,313,053

 

$

(806,752)

 

 

Duration of Unrealized Loss at March 31, 2022 By Maturity

 

Less than 12 months

 

Greater than 12 months

 

Total

 

 

 

 

Gross

 

 

 

 

Gross

 

 

 

 

Gross

 

 

 

 

Unrealized

 

 

 

 

Unrealized

 

 

 

 

Unrealized

(Dollars in thousands)

Market Value

 

Depreciation

 

Market Value

 

Depreciation

 

Market Value

 

Depreciation

Fixed maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Due in one year or less

$

170,052

 

$

(2,305)

 

$

105,909

 

$

(9,957)

 

$

275,961

 

$

(12,262)

Due in one year through five years

 

3,852,436

 

 

(164,170)

 

 

755,276

 

 

(55,787)

 

 

4,607,712

 

 

(219,957)

Due in five years through ten years

 

2,843,780

 

 

(178,654)

 

 

628,985

 

 

(82,375)

 

 

3,472,765

 

 

(261,029)

Due after ten years

 

1,099,724

 

 

(102,342)

 

 

86,196

 

 

(14,147)

 

 

1,185,920

 

 

(116,489)

Asset-backed securities

 

3,072,751

 

 

(51,294)

 

 

41,984

 

 

(3,000)

 

 

3,114,735

 

 

(54,294)

Mortgage-backed securities

 

2,105,974

 

 

(97,344)

 

 

531,156

 

 

(44,285)

 

 

2,637,130

 

 

(141,629)

Total

$

13,144,717

 

$

(596,109)

 

$

2,149,506

 

$

(209,551)

 

$

15,294,223

 

$

(805,660)

Securities where an allowance for credit loss was recorded

 

18,830

 

 

(1,092)

 

 

-

 

 

-

 

 

18,830

 

 

(1,092)

Total fixed maturity securities

$

13,163,547

 

$

(597,201)

 

$

2,149,506

 

$

(209,551)

 

$

15,313,053

 

$

(806,752)

The aggregate market value and gross unrealized losses related to investments in an unrealized loss position at March 31, 2022 were $15.3 billion and $806.8 million, respectively. The market value of securities for the single issuer (the United States government) whose securities comprised the largest unrealized loss position at March 31, 2022, did not exceed 4.0% of the overall market value of the Company’s fixed maturity securities. The market value of the securities for the issuer with the second largest unrealized loss position at March 31, 2022, comprised less than 0.9% of the Company’s fixed maturity securities. In addition, as indicated on the above table, there was no significant concentration of unrealized losses in any one market sector. The $597.2 million of unrealized losses related to fixed maturity securities that have been in an unrealized loss position for less than one year were generally comprised of domestic and foreign corporate securities, agency residential mortgage-backed securities, asset-backed securities and foreign government securities. Of these unrealized losses, $551.4 million were related to securities that were rated investment grade by at least one nationally recognized rating agency. The $209.6 million of unrealized losses related to fixed maturity securities in an unrealized loss position for more than one year related primarily to domestic and foreign corporate securities, agency residential mortgage-backed securities and foreign government securities. Of these unrealized losses, $201.8 million were related to securities that were rated investment grade by at least one nationally recognized rating agency. In all instances, there were no projected cash flow shortfalls to recover the full book value of the investments and the related interest obligations. The mortgage-backed securities still have excess credit coverage and are current on interest and principal payments. Based upon the Company’s current evaluation of securities in an unrealized loss position as of March 31, 2022, the unrealized losses are due to changes in interest rates and non-issuer specific credit spreads and are not credit-related. In addition, the contractual terms of these securities do not permit these securities to be settled at a price less than their amortized cost.

 

The Company, given the size of its investment portfolio and capital position, does not have the intent to sell these securities; and it is more likely than not that the Company will not have to sell the security before recovery of its cost basis. In addition, all securities currently in an unrealized loss position are current with respect to principal and interest payments.

 

The tables below display the aggregate market value and gross unrealized depreciation of fixed maturity securities, by security type and contractual maturity, in each case subdivided according to length of time that individual securities had been in a continuous unrealized loss position for the periods indicated. The amounts presented in the tables below include $15.7 million of market value and $(0.4) million of gross unrealized depreciation as of December 31, 2021 related to fixed maturity securities for which the Company has recorded an allowance for credit losses.

 

 

Duration of Unrealized Loss at December 31, 2021 By Security Type

 

Less than 12 months

 

Greater than 12 months

 

Total

 

 

 

 

Gross

 

 

 

 

Gross

 

 

 

 

Gross

 

 

 

 

Unrealized

 

 

 

 

Unrealized

 

 

 

 

Unrealized

(Dollars in thousands)

Market Value

 

Depreciation

 

Market Value

 

Depreciation

 

Market Value

 

Depreciation

Fixed maturity securities - available for sale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury securities and obligations of

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government agencies and corporations

$

504,168

 

$

(6,264)

 

$

91,735

 

$

(4,094)

 

$

595,903

 

$

(10,358)

Obligations of U.S. states and political subdivisions

 

51,094

 

 

(1,038)

 

 

2,558

 

 

(112)

 

 

53,652

 

 

(1,150)

Corporate securities

 

2,132,576

 

 

(38,316)

 

 

472,831

 

 

(24,264)

 

 

2,605,407

 

 

(62,580)

Asset-backed securities

 

1,954,079

 

 

(11,180)

 

 

41,823

 

 

(668)

 

 

1,995,902

 

 

(11,848)

Mortgage-backed securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commercial

 

221,852

 

 

(2,854)

 

 

40,496

 

 

(2,836)

 

 

262,348

 

 

(5,690)

Agency residential

 

1,101,215

 

 

(12,178)

 

 

279,697

 

 

(6,695)

 

 

1,380,912

 

 

(18,873)

Non-agency residential

 

2,320

 

 

(14)

 

 

156

 

 

(2)

 

 

2,476

 

 

(16)

Foreign government securities

 

392,447

 

 

(9,709)

 

 

100,673

 

 

(18,370)

 

 

493,120

 

 

(28,079)

Foreign corporate securities

 

1,734,510

 

 

(46,247)

 

 

210,722

 

 

(18,289)

 

 

1,945,232

 

 

(64,536)

Total fixed maturity securities

$

8,094,261

 

$

(127,800)

 

$

1,240,691

 

$

(75,330)

 

$

9,334,952

 

$

(203,130)

 

 

Duration of Unrealized Loss at December 31, 2021 By Maturity

 

Less than 12 months

 

Greater than 12 months

 

Total

 

 

 

 

Gross

 

 

 

 

Gross

 

 

 

 

Gross

 

 

 

 

Unrealized

 

 

 

 

Unrealized

 

 

 

 

Unrealized

(Dollars in thousands)

Market Value

 

Depreciation

 

Market Value

 

Depreciation

 

Market Value

 

Depreciation

Fixed maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Due in one year or less

$

129,860

 

$

(2,415)

 

$

136,827

 

$

(11,832)

 

$

266,687

 

$

(14,247)

Due in one year through five years

 

2,165,467

 

 

(35,264)

 

 

446,247

 

 

(28,685)

 

 

2,611,714

 

 

(63,949)

Due in five years through ten years

 

1,727,823

 

 

(47,413)

 

 

244,454

 

 

(22,038)

 

 

1,972,277

 

 

(69,451)

Due after ten years

 

791,645

 

 

(16,482)

 

 

50,991

 

 

(2,574)

 

 

842,636

 

 

(19,056)

Asset-backed securities

 

1,954,079

 

 

(11,180)

 

 

41,823

 

 

(668)

 

 

1,995,902

 

 

(11,848)

Mortgage-backed securities

 

1,325,387

 

 

(15,046)

 

 

320,349

 

 

(9,533)

 

 

1,645,736

 

 

(24,579)

Total fixed maturity securities

$

8,094,261

 

$

(127,800)

 

$

1,240,691

 

$

(75,330)

 

$

9,334,952

 

$

(203,130)

The aggregate market value and gross unrealized losses related to investments in an unrealized loss position at December 31, 2021 were $9.3 billion and $203.1 million, respectively. The market value of securities for the single issuer (the United States government) whose securities comprised the largest unrealized loss position at December 31, 2021, did not exceed 2.7% of the overall market value of the Company’s fixed maturity securities. The market value of the securities for the issuer with the second largest unrealized loss comprised less than 0.5% of the Company’s fixed maturity securities. In addition, as indicated on the above table, there was no significant concentration of unrealized losses in any one market sector. The $127.8 million of unrealized losses related to fixed maturity securities that have been in an unrealized loss position for less than one year were generally comprised of domestic and foreign corporate securities, agency residential mortgage-backed securities, asset-backed securities and foreign government securities. Of these unrealized losses, $116.2 million were related to securities that were rated investment grade by at least one nationally recognized rating agency. The $75.3 million of unrealized losses related to fixed maturity securities in an unrealized loss position for more than one year related primarily to domestic and foreign corporate securities, foreign government securities and agency residential mortgage-backed securities. Of these unrealized losses, $72.3 million were related to securities that were rated investment grade by at least one nationally recognized rating agency. In all instances, there were no projected cash flow shortfalls to recover the full book value of the investments and the related interest obligations. The mortgage-backed securities still have excess credit coverage and are current on interest and principal payments.

 

The components of net investment income are presented in the table below for the periods indicated:

 

Three Months Ended

 

March 31,

(Dollars in thousands)

2022

 

2021

Fixed maturities

$

148,226

 

$

140,916

Equity securities

 

4,146

 

 

4,838

Short-term investments and cash

 

159

 

 

180

Other invested assets:

 

 

 

 

 

Limited partnerships

 

88,437

 

 

114,333

Other

 

11,831

 

 

6,019

Gross investment income before adjustments

 

252,799

 

 

266,286

Funds held interest income (expense)

 

3,685

 

 

7,966

Future policy benefit reserve income (expense)

 

(222)

 

 

(291)

Gross investment income

 

256,262

 

 

273,961

Investment expenses

 

(13,432)

 

 

(13,548)

Net investment income

$

242,830

 

$

260,413

The Company records results from limited partnership investments on the equity method of accounting with changes in value reported through net investment income. The net investment income from limited partnerships is dependent upon the Company’s share of the net asset values of interests underlying each limited partnership. Due to the timing of receiving financial information from these partnerships, the results are generally reported on a one month or quarter lag. If the Company determines there has been a significant

decline in value of a limited partnership during this lag period, a loss will be recorded in the period in which the Company identifies the decline.

 

The Company had contractual commitments to invest up to an additional $2.5 billion in limited partnerships and private placement loan securities at March 31, 2022. These commitments will be funded when called in accordance with the partnership and loan agreements, which have investment periods that expire, unless extended, through 2026.

 

The Company participates in a private placement liquidity sweep facility (“the facility”). The primary purpose of the facility is to enhance the Company’s return on its short-term investments and cash positions. The facility invests in high quality, short-duration securities and permits daily liquidity. The Company consolidates its participation in the facility. As of March 31, 2022, the market value of investments in the facility consolidated within the Company’s balance sheets was $773.3 million.

 

Variable Interest Entities

The Company is engaged with various special purpose entities and other entities that are deemed to be VIEs primarily as an investor through normal investment activities but also as an investment manager. A VIE is an entity that either has investors that lack certain essential characteristics of a controlling financial interest, such as simple majority kick-out rights, or lacks sufficient funds to finance its own activities without financial support provided by other entities. The Company performs ongoing qualitative assessments of its VIEs to determine whether the Company has a controlling financial interest in the VIE and therefore is the primary beneficiary. The Company is deemed to have a controlling financial interest when it has both the ability to direct the activities that most significantly impact the economic performance of the VIE and the obligation to absorb losses or right to receive benefits from the VIE that could potentially be significant to the VIE. Based on the Company’s assessment, if it determines it is the primary beneficiary, the Company consolidates the VIE in the Company’s Consolidated Financial Statements. As of March 31, 2022 and December 31, 2021, the Company did not hold any securities for which it is the primary beneficiary.

 

The Company, through normal investment activities, makes passive investments in general and limited partnerships and other alternative investments. For these non-consolidated VIEs, the Company has determined it is not the primary beneficiary as it has no ability to direct activities that could significantly affect the economic performance of the investments. The Company’s maximum exposure to loss as of March 31, 2022 and December 31, 2021 is limited to the total carrying value of $2.9 billion and $2.9 billion, respectively, which are included in general and limited partnerships and other alternative investments in Other Invested Assets in the Company's Consolidated Balance Sheets. As of March 31, 2022, the Company has outstanding commitments totaling $2.2 billion whereby the Company is committed to fund these investments and may be called by the partnership during the commitment period to fund the purchase of new investments and partnership expenses. These investments are generally of a passive nature in that the Company does not take an active role in management.

 

In addition, the Company makes passive investments in structured securities issued by VIEs for which the Company is not the manager. These investments are included in asset-backed securities, which includes collateralized loan obligations and are reported in fixed maturities, available-for-sale. The Company has not provided financial or other support with respect to these investments other than its original investment. For these investments, the Company determined it is not the primary beneficiary due to the relative size of the Company’s investment in comparison to the principal amount of the structured securities issued by the VIEs, the level of credit subordination which reduces the Company’s obligation to absorb losses or right to receive benefits and the Company’s inability to direct the activities that most significantly impact the economic performance of the VIEs. The Company’s maximum exposure to loss on these investments is limited to the amount of the Company’s investment.

 

The components of net gains (losses) on investments are presented in the tables below for the periods indicated:

 

Three Months Ended

 

March 31,

(Dollars in thousands)

2022

 

 

2021

Fixed maturity securities, market value:

 

 

 

 

 

Allowance for credit losses

$

(11,853)

 

$

(6,977)

Net realized gains (losses) from dispositions

 

2,799

 

 

9,174

Equity securities, fair value:

 

 

 

 

 

Net realized gains (losses) from dispositions

 

(11,787)

 

 

6,238

Gains (losses) from fair value adjustments

 

(136,860)

 

 

29,056

Other invested assets

 

4,152

 

 

1,346

Short-term investments gain (loss)

 

(78)

 

 

66

Total net gains (losses) on investments

$

(153,627)

 

$

38,902

 

 

 

 

 

 

(Some amounts may not reconcile due to rounding.)

 

 

 

 

 

 

 

Roll Forward of Allowance for Credit Losses

 

 

Three Months Ended March 31, 2022

 

 

 

 

 

 

Obligations of

 

 

 

 

 

 

 

 

 

 

U.S. States

 

Foreign

 

 

 

 

Corporate

 

Asset-Backed

 

and Political

 

Corporate

 

 

 

 

Securities

 

Securities

 

Subdivisions

 

Securities

 

Total

(Dollars in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Beginning Balance

 

$

(19,267)

 

$

(7,679)

 

$

(151)

 

$

(2,641)

 

$

(29,738)

Credit losses on securities where credit

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

losses were not previously recorded

 

 

(1,929)

 

 

-

 

 

-

 

 

(11,184)

 

 

(13,113)

Increases in allowance on previously

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

impaired securities

 

 

-

 

 

-

 

 

-

 

 

-

 

 

-

Decreases in allowance on previously

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

impaired securities

 

 

-

 

 

-

 

 

-

 

 

-

 

 

-

Reduction in allowance due to disposals

 

 

1,147

 

 

-

 

 

-

 

 

113

 

 

1,260

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance as of March 31, 2022

 

$

(20,049)

 

$

(7,679)

 

$

(151)

 

$

(13,712)

 

$

(41,591)

 

Roll Forward of Allowance for Credit Losses

 

Three Months Ended March 31, 2021

 

 

 

 

 

 

 

Foreign

 

Foreign

 

 

 

 

Corporate

 

Asset-Backed

 

Government

 

Corporate

 

 

 

 

Securities

 

Securities

 

Securities

 

Securities

 

Total

(Dollars in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Beginning Balance

$

(1,220)

 

$

-

 

$

(22)

 

$

(503)

 

$

(1,745)

Credit losses on securities where credit

 

 

 

 

 

 

 

 

 

 

 

 

 

 

losses were not previously recorded

 

(2,383)

 

 

(4,915)

 

 

-

 

 

-

 

 

(7,298)

Increases in allowance on previously

 

 

 

 

 

 

 

 

 

 

 

 

 

 

impaired securities

 

-

 

 

-

 

 

-

 

 

-

 

 

-

Decreases in allowance on previously

 

 

 

 

 

 

 

 

 

 

 

 

 

 

impaired securities

 

-

 

 

-

 

 

-

 

 

-

 

 

-

Reduction in allowance due to disposals

 

-

 

 

-

 

 

22

 

 

298

 

 

320

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance as of March 31, 2021

$

(3,603)

 

$

(4,915)

 

$

-

 

$

(205)

 

$

(8,723)

The proceeds and split between gross gains and losses from dispositions of fixed maturity and equity securities, are presented in the table below for the periods indicated:

 

 

Three Months Ended

 

March 31,

(Dollars in thousands)

2022

 

2021

Proceeds from sales of fixed maturity securities

$

418,988

 

$

228,278

Gross gains from dispositions

 

20,122

 

 

14,864

Gross losses from dispositions

 

(17,324)

 

 

(5,690)

 

 

 

 

 

 

Proceeds from sales of equity securities

$

90,101

 

$

281,313

Gross gains from dispositions

 

3,508

 

 

12,304

Gross losses from dispositions

 

(15,294)

 

 

(6,066)