XML 41 R14.htm IDEA: XBRL DOCUMENT
v3.20.1

Investments | 3 Months Ended
--- | ---
Mar. 31, 2020
Investments [Abstract] |
Investments | Investments Fixed income securities The amortized cost, gross unrealized gains and losses, and fair value of investments in fixed income securities classified as available-for-sale at March 31, 2020 and December 31, 2019 are shown in tables 7.1a and 7.1b below.
Details of fixed income securities by category as of March 31, 2020
Table | 7.1a |  |  |  |  |  |  |  |
(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 |  | $ | 197,330 |  |  | $ | 2,408 |  |  | $ | (21 | ) |  | $ | 199,717 |
Obligations of U.S. states and political subdivisions |  | 1,614,562 |  |  | 99,532 |  |  | (3,258 | ) |  | 1,710,836 |
Corporate debt securities |  | 2,508,051 |  |  | 44,386 |  |  | (41,335 | ) |  | 2,511,102 |
Asset backed securities (“ABS”) |  | 210,930 |  |  | 2,031 |  |  | (6,311 | ) |  | 206,650 |
Residential mortgage backed securities (“RMBS”) |  | 259,641 |  |  | 6,032 |  |  | (758 | ) |  | 264,915 |
Commercial mortgage backed securities (“CMBS”) |  | 268,598 |  |  | 3,161 |  |  | (3,172 | ) |  | 268,587 |
Collateralized loan obligations (“CLOs”) |  | 316,270 |  |  | — |  |  | (19,231 | ) |  | 297,039 |
Total fixed income securities |  | $ | 5,375,382 |  |  | $ | 157,550 |  |  | $ | (74,086 | ) |  | $ | 5,458,846 |
Details of fixed income securities by category as of December 31, 2019
Table | 7.1b |  |  |  |  |  |  |  |
(In thousands) |  | Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized (Losses) (2) |  | 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 |
(1) | At March 31, 2020 there was no allowance established on available-for-sale securities.
(2) | At December 31, 2019 there was no other-than-temporary impairment losses recorded in other comprehensive income.
We had $14.2 million and $13.9 million of investments at fair value on deposit with various states as of March 31, 2020 and December 31, 2019, respectively, due to regulatory requirements of those state insurance departments. The amortized cost and fair values of fixed income securities at March 31, 2020, 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 ABS, RMBS, CMBS, and CLOs provide for periodic payments throughout their lives, they are listed in separate categories.
Fixed income securities maturity schedule
Table | 7.2 |  |  |  |
|  | March 31, 2020
(In thousands) |  | Amortized cost |  | Fair Value
Due in one year or less |  | $ | 421,097 |  |  | $ | 421,290 |
Due after one year through five years |  | 1,774,678 |  |  | 1,782,206 |
Due after five years through ten years |  | 994,134 |  |  | 1,021,561 |
Due after ten years |  | 1,130,034 |  |  | 1,196,598 |
|  | 4,319,943 |  |  | 4,421,655 |
ABS |  | 210,930 |  |  | 206,650 |
RMBS |  | 259,641 |  |  | 264,915 |
CMBS |  | 268,598 |  |  | 268,587 |
CLOs |  | 316,270 |  |  | 297,039 |
Total as of March 31, 2020 |  | $ | 5,375,382 |  |  | $ | 5,458,846 |
Proceeds from sales of fixed income securities classified as available-for-sale were $212.8 million and $106.0 million during the three months ended March 31, 2020 and 2019, respectively. During the three months ended March 31, 2020, gross gains and gross losses of $5.1 million and $1.3 million, respectively, were realized on those sales, and we recorded realized losses of $0.3 million related to our intent to sell certain securities. During the three months ended March 31, 2019, gross gains and gross losses of $0.7 million and gross losses of $1.3 million were realized on those sales, and we recorded OTTI losses of $0.1 million. Equity securities The cost and fair value of investments in equity securities at March 31, 2020 and December 31, 2019 are shown in tables 7.3a and 7.3b below.
Details of equity security investments as of March 31, 2020
Table | 7.3a |  |  |  |  |  |  |  |
(In thousands) |  | Cost |  | Gross Gains |  | Gross Losses |  | Fair Value
Equity securities |  | $ | 29,559 |  |  | $ | 99 |  |  | $ | (766 | ) |  | $ | 28,892 |
Details of equity security investments as of December 31, 2019
Table | 7.3b |  |  |  |  |  |  |  |
(In thousands) |  | Cost |  | Gross Gains |  | Gross Losses |  | Fair Value
Equity securities |  | $ | 17,188 |  |  | $ | 154 |  |  | $ | (14 | ) |  | $ | 17,328 |
For the three months ended March 31, 2020, we recognized $(0.8) million of net losses on equity securities still held as of March 31, 2020. For the three months ended March 31, 2019, we recognized $0.1 million of net gains on equity securities still held as of March 31, 2019. 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 March 31, 2020, that collateral consisted of fixed income securities included in our total investment portfolio, and cash and cash equivalents, with a total fair value of $164.9 million. Unrealized investment losses Tables 7.4a and 7.4b below summarize, for all available-for-sale investments in an unrealized loss position at March 31, 2020 and December 31, 2019, 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 7.4a and 7.4b are estimated using the process described in Note 8 - “Fair Value Measurements” to these consolidated financial statements and in Note 3 - “Significant Accounting Policies” of the notes to the consolidated financial statements in our 2019 Annual Report on Form 10-K.
Unrealized loss aging for securities by type and length of time as of March 31, 2020
Table | 7.4a |  |  |  |  |  |  |  |  |  |  |  |
|  | 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 |  | $ | 12,558 |  |  | $ | (21 | ) |  | $ | — |  |  | $ | — |  |  | $ | 12,558 |  |  | $ | (21 | )
Obligations of U.S. states and political subdivisions |  | 99,354 |  |  | (3,255 | ) |  | 2,017 |  |  | (3 | ) |  | 101,371 |  |  | (3,258 | )
Corporate debt securities |  | 1,034,108 |  |  | (41,208 | ) |  | 907 |  |  | (127 | ) |  | 1,035,015 |  |  | (41,335 | )
ABS |  | 64,104 |  |  | (6,311 | ) |  | — |  |  | — |  |  | 64,104 |  |  | (6,311 | )
RMBS |  | 7,664 |  |  | (60 | ) |  | 62,645 |  |  | (698 | ) |  | 70,309 |  |  | (758 | )
CMBS |  | 133,290 |  |  | (3,086 | ) |  | 7,593 |  |  | (86 | ) |  | 140,883 |  |  | (3,172 | )
CLOs |  | 186,582 |  |  | (10,075 | ) |  | 110,457 |  |  | (9,156 | ) |  | 297,039 |  |  | (19,231 | )
Total |  | $ | 1,537,660 |  |  | $ | (64,016 | ) |  | $ | 183,619 |  |  | $ | (10,070 | ) |  | $ | 1,721,279 |  |  | $ | (74,086 | )
Unrealized loss aging for securities by type and length of time as of December 31, 2019
Table | 7.4b |  |  |  |  |  |  |  |  |  |  |  |
|  |  | 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 |  | $ | 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 | )
Based on current facts and circumstances, we believe the unrealized losses as of March 31, 2020 presented in table 7.4a above are not indicative of the ultimate collectability of the current amortized cost of the securities. We believe the gross unrealized losses are primarily attributable to widening credit spreads over risk free rates beyond historic norms, as a result of market uncertainties arising from the COVID-19 pandemic, which includes demand shocks in multiple sectors that originated in the first quarter of 2020. The unrealized losses in all categories of our investments at December 31, 2019 were primarily caused by changes in interest rates between the time of purchase and December 31, 2019. There were 321 and 217 securities in an unrealized loss position at March 31, 2020 and December 31, 2019, respectively. We report accrued investment income separately from fixed income, available-for-sale, securities and we have elected not to measure an allowance for credit losses for accrued investment income. Accrued investment income is written off through net realized investment gains (losses) at the time the issuer of the security defaults or is expected to default on payments.

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