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v3.19.3.a.u2

Investments (Tables) | 12 Months Ended
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Dec. 31, 2019
Investments [Abstract] |
Amortized cost, gross unrealized gains and losses and fair value of investment portfolio | The amortized cost, gross unrealized gains and losses and fair value of our fixed income securities as of December 31, 2019 and 2018 are shown below:
Details of fixed income investment securities by category as of December 31, 2019
Table | 5.1a |  |  |  |  |  |  |  |
(In thousands) |  | Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses (1) |  | Fair Value
U.S. Treasury securities and obligations of U.S. government corporations and agencies |  | $ | 195,176 |  |  | $ | 1,237 |  |  | $ | (210 | ) |  | $ | 196,203 |
Obligations of U.S. states and political subdivisions |  | 1,555,394 |  |  | 99,328 |  |  | (857 | ) |  | 1,653,865 |
Corporate debt securities |  | 2,711,910 |  |  | 76,220 |  |  | (3,008 | ) |  | 2,785,122 |
ABS |  | 227,376 |  |  | 2,466 |  |  | (178 | ) |  | 229,664 |
RMBS |  | 271,384 |  |  | 429 |  |  | (3,227 | ) |  | 268,586 |
CMBS |  | 274,234 |  |  | 5,531 |  |  | (779 | ) |  | 278,986 |
CLOs |  | 327,076 |  |  | 33 |  |  | (1,643 | ) |  | 325,466 |
Total fixed income securities |  | $ | 5,562,550 |  |  | $ | 185,244 |  |  | $ | (9,902 | ) |  | $ | 5,737,892 |
Details of fixed income investment securities by category as of December 31, 2018
Table | 5.1b |  |  |  |  |  |  |  |
(In thousands) |  | Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses (1) |  | Fair Value
U.S. Treasury securities and obligations of U.S. government corporations and agencies |  | $ | 167,655 |  |  | $ | 597 |  |  | $ | (1,076 | ) |  | $ | 167,176 |
Obligations of U.S. states and political subdivisions |  | 1,701,826 |  |  | 29,259 |  |  | (10,985 | ) |  | 1,720,100 |
Corporate debt securities |  | 2,439,173 |  |  | 2,103 |  |  | (40,514 | ) |  | 2,400,762 |
ABS |  | 111,953 |  |  | 226 |  |  | (146 | ) |  | 112,033 |
RMBS |  | 189,238 |  |  | 32 |  |  | (10,309 | ) |  | 178,961 |
CMBS |  | 276,352 |  |  | 888 |  |  | (9,580 | ) |  | 267,660 |
CLOs |  | 310,587 |  |  | 2 |  |  | (5,294 | ) |  | 305,295 |
Total fixed income securities |  | $ | 5,196,784 |  |  | $ | 33,107 |  |  | $ | (77,904 | ) |  | $ | 5,151,987 |
(1) There were no OTTI losses recorded in other comprehensive (loss) income as of December 31, 2019 and 2018.
Amortized cost and fair values of debt securities by contractual maturity | Table 5.2 compares the amortized cost and fair values of fixed income securities, by contractual maturity, as of December 31, 2019. Actual maturities may differ from contractual maturities because certain borrowers have the right to call or prepay certain 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 separately in the table.
Fixed income securities maturity schedule
Table | 5.2 |  |  |  |
|  | December 31, 2019
(In thousands) |  | Amortized Cost |  | Fair Value
Due in one year or less |  | $ | 425,739 |  |  | $ | 427,616 |
Due after one year through five years |  | 1,911,433 |  |  | 1,952,278 |
Due after five years through ten years |  | 1,031,056 |  |  | 1,088,012 |
Due after ten years |  | 1,094,252 |  |  | 1,167,284 |
|  | 4,462,480 |  |  | 4,635,190 |
ABS |  | 227,376 |  |  | 229,664 |
RMBS |  | 271,384 |  |  | 268,586 |
CMBS |  | 274,234 |  |  | 278,986 |
CLOs |  | 327,076 |  |  | 325,466 |
Total as of December 31, 2019 |  | $ | 5,562,550 |  |  | $ | 5,737,892 |
Cost and fair value of investments in equity securities | The cost and fair value of investments in equity securities as of December 31, 2019 and December 31, 2018 are shown in tables 5.3a and 5.3b below. Under updated guidance regarding the "Recognition and Measurement of Financial Assets and Financial Liabilities" which became effective on January 1, 2018, the amount of our FHLB stock investment has been reclassified and presented in "Other invested assets" on our consolidated balance sheet.
Details of equity investment securities as of December 31, 2019
Table | 5.3a |  |  |  |  |  |  |  |
(In thousands) |  | Cost |  | Gross gains |  | Gross losses |  | Fair Value
Equity securities |  | 17,188 |  |  | 154 |  |  | (14 | ) |  | 17,328 |
Details of equity investment securities as of December 31, 2018
Table | 5.3b |  |  |  |  |  |  |  |
(In thousands) |  | Cost |  | Gross gains |  | Gross losses |  | Fair Value
Equity securities |  | 3,993 |  |  | 11 |  |  | (72 | ) |  | 3,932 |
Aging of the fair values of securities in an unrealized loss position | Tables 5.4a and 5.4b below summarize, for all available-for-sale investments in an unrealized loss position as of December 31, 2019 and 2018, the aggregate fair value and gross unrealized losses by the length of time those securities have been continuously in an unrealized loss position. Gross unrealized losses on our available-for-sale investments amounted to $10 million and $78 million as of December 31, 2019 and 2018, respectively. The fair value amounts reported in tables 5.4a and 5.4b below are estimated using the process described in Note 6 - "Fair Value Measurements" to these consolidated financial statements.
Unrealized loss aging for securities by type and length of time as of December 31, 2019
Table | 5.4a |  |  |  |  |  |  |  |  |  |  |  |
|  | 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 |  | $ | 57,301 |  |  | $ | (200 | ) |  | $ | 5,806 |  |  | $ | (10 | ) |  | $ | 63,107 |  |  | $ | (210 | )
Obligations of U.S. states and political subdivisions |  | 74,859 |  |  | (847 | ) |  | 6,957 |  |  | (10 | ) |  | 81,816 |  |  | (857 | )
Corporate debt securities |  | 221,357 |  |  | (2,847 | ) |  | 43,505 |  |  | (161 | ) |  | 264,862 |  |  | (3,008 | )
ABS |  | 21,542 |  |  | (118 | ) |  | 3,851 |  |  | (60 | ) |  | 25,393 |  |  | (178 | )
RMBS |  | 105,443 |  |  | (461 | ) |  | 110,452 |  |  | (2,766 | ) |  | 215,895 |  |  | (3,227 | )
CMBS |  | 62,388 |  |  | (728 | ) |  | 11,852 |  |  | (51 | ) |  | 74,240 |  |  | (779 | )
CLOs |  | 81,444 |  |  | (225 | ) |  | 196,988 |  |  | (1,418 | ) |  | 278,432 |  |  | (1,643 | )
Total |  | $ | 624,334 |  |  | $ | (5,426 | ) |  | $ | 379,411 |  |  | $ | (4,476 | ) |  | $ | 1,003,745 |  |  | $ | (9,902 | )
Unrealized loss aging for securities by type and length of time as of December 31, 2018
Table | 5.4b |  |  |  |  |  |  |  |  |  |  |  |
|  | 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 |  | $ | 23,710 |  |  | $ | (15 | ) |  | $ | 69,146 |  |  | $ | (1,061 | ) |  | $ | 92,856 |  |  | $ | (1,076 | )
Obligations of U.S. states and political subdivisions |  | 316,655 |  |  | (3,875 | ) |  | 358,086 |  |  | (7,110 | ) |  | 674,741 |  |  | (10,985 | )
Corporate debt securities |  | 1,272,279 |  |  | (18,130 | ) |  | 785,627 |  |  | (22,384 | ) |  | 2,057,906 |  |  | (40,514 | )
ABS |  | 51,324 |  |  | (146 | ) |  | — |  |  | — |  |  | 51,324 |  |  | (146 | )
RMBS |  | 24 |  |  | — |  |  | 178,573 |  |  | (10,309 | ) |  | 178,597 |  |  | (10,309 | )
CMBS |  | 65,704 |  |  | (1,060 | ) |  | 163,272 |  |  | (8,520 | ) |  | 228,976 |  |  | (9,580 | )
CLOs |  | 296,497 |  |  | (5,294 | ) |  | — |  |  | — |  |  | 296,497 |  |  | (5,294 | )
Total |  | $ | 2,026,193 |  |  | $ | (28,520 | ) |  | $ | 1,554,704 |  |  | $ | (49,384 | ) |  | $ | 3,580,897 |  |  | $ | (77,904 | )
Net investment income | The source of net investment income is shown in table 5.5 below.
Net investment income
Table | 5.5 |  |  |  |  |  |
(In thousands) |  | 2019 |  | 2018 |  | 2017
Fixed income securities |  | $ | 165,523 |  |  | $ | 140,539 |  |  | $ | 122,105 |
Equity securities |  | 406 |  |  | 228 |  |  | 206 |
Cash equivalents |  | 4,444 |  |  | 3,423 |  |  | 1,447 |
Other |  | 974 |  |  | 816 |  |  | 620 |
Investment income |  | 171,347 |  |  | 145,006 |  |  | 124,378 |
Investment expenses |  | (4,302 | ) |  | (3,675 | ) |  | (3,507 | )
Net investment income |  | $ | 167,045 |  |  | $ | 141,331 |  |  | $ | 120,871 |
Change in unrealized gains (losses) of investments | The change in unrealized gains (losses) of investments is shown in table 5.6 below.
Change in unrealized gains (losses)
Table | 5.6 |  |  |  |  |  |
(In thousands) |  | 2019 |  | 2018 |  | 2017
Fixed income securities |  | $ | 220,139 |  |  | $ | (81,834 | ) |  | $ | 69,026 |
Equity securities |  | — |  |  | — |  |  | 39 |
Other |  | — |  |  | — |  |  | (13 | )
Change in unrealized gains/losses |  | $ | 220,139 |  |  | $ | (81,834 | ) |  | $ | 69,052 |

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