XML 85 R12.htm IDEA: XBRL DOCUMENT
v3.19.3.a.u2

Investments | 12 Months Ended
--- | ---
Dec. 31, 2019
Investments [Abstract] |
Investments |
NOTE 5 |  | Investments
FIXED INCOME SECURITIES 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.
The increase in gross unrealized gains and the decrease in gross unrealized losses in our fixed income securities from December 31, 2018 to December 31, 2019 were primarily caused by declines in interest rates during that period. We had $13.9 million and $13.5 million of investments at fair value on deposit with various states as of December 31, 2019 and 2018, respectively, due to regulatory requirements of those states' insurance departments. In connection with our insurance and reinsurance activities, we are required to maintain assets in trusts for the benefit of contractual counterparties. The fair value of the investments on deposit in these trusts was $89.9 million and $26.3 million at December 31, 2019 and 2018, respectively. 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 |
Proceeds from the sale of fixed income securities classified as available-for-sale were $228.1 million, $365.6 million, and $246.9 million during the years ended December 31, 2019, 2018, and 2017, respectively. Gross gains of $7.1 million, $0.7 million, and $1.6 million and gross losses of $3.5 million, $3.8 million and $1.4 million were realized on those sales during the years ended December 31, 2019, 2018, and 2017, respectively. For the years ended December 31, 2019 and December 31, 2018, we recorded $0.1 million and $1.8 million of OTTI losses in earnings, respectively. For the year ended December 31, 2017, there were no OTTI losses in earnings. 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 |
Proceeds from the sale of equity securities were $1.7 million and $4.9 million during the years ended December 31, 2019 and 2018, respectively. Gross gains of $1.6 million and $3.7 million were realized on those sales during the year ended December 31, 2019 and 2018, respectively. There were no sales of equity securities in 2017. For the year ended December 31, 2019 and December 31, 2018, we recognized $201 thousand and $84 thousand of net losses on equity securities still held as of December 31, 2019 and December 31, 2018, respectively, which are reported in Net realized investment (losses) gains on our consolidated statements of operations. OTHER INVESTED ASSETS Other invested assets include an investment in Federal Home Loan Bank ("FHLB") stock that is carried at cost, which due to its nature approximates fair value. Ownership of FHLB stock provides access to a secured lending facility, and our current FHLB Advance amount is secured by eligible collateral whose fair value is maintained at a minimum of 102% of the outstanding principal balance of the FHLB Advance. As of December 31, 2019, that collateral consisted of fixed income securities included in our total investment portfolio, and cash and cash equivalents, with a total fair value of $165.7 million. UNREALIZED INVESTMENT LOSSES 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 | )
For those securities in an unrealized loss position, the length of time the securities were in such a position, is measured by their month-end fair values. The unrealized losses in all categories of our investments as of December 31, 2019 and 2018 were primarily caused by changes in interest rates between the time of purchase and the respective year end. There were 217 and 721 securities in an unrealized loss position as of December 31, 2019 and 2018, respectively. As of December 31, 2019, the fair value as a percent of amortized cost of the securities in an unrealized loss position was 99% and approximately 28% of the securities in an unrealized loss position were backed by the U.S. Government. 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 |
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 |

X
- References No definition available. + Details
Name: | us-gaap_InvestmentsAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for investments in certain debt and equity securities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2209399 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2324412 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -URI http://asc.fasb.org/topic&trid=2196928 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2176304 + Details
Name: | us-gaap_InvestmentsInDebtAndMarketableEquitySecuritiesAndCertainTradingAssetsDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration