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Investments | 6 Months Ended
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Jun. 30, 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 June 30, 2020 and December 31, 2019 are shown in tables 7.1a and 7.1b below.
Details of fixed income securities by category as of June 30, 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 |  | $ | 346,881 |  |  | $ | 1,777 |  |  | $ | (41 | ) |  | $ | 348,617 |
Obligations of U.S. states and political subdivisions |  | 1,666,017 |  |  | 124,251 |  |  | (1,291 | ) |  | 1,788,977 |
Corporate debt securities |  | 2,514,526 |  |  | 137,465 |  |  | (5,160 | ) |  | 2,646,831 |
Asset backed securities (“ABS”) |  | 198,238 |  |  | 4,034 |  |  | (2,716 | ) |  | 199,556 |
Residential mortgage backed securities (“RMBS”) |  | 293,790 |  |  | 6,055 |  |  | (353 | ) |  | 299,492 |
Commercial mortgage backed securities (“CMBS”) |  | 264,857 |  |  | 10,453 |  |  | (1,411 | ) |  | 273,899 |
Collateralized loan obligations (“CLOs”) |  | 313,245 |  |  | — |  |  | (8,355 | ) |  | 304,890 |
Total fixed income securities |  | $ | 5,597,554 |  |  | $ | 284,035 |  |  | $ | (19,327 | ) |  | $ | 5,862,262 |
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 June 30, 2020 there was no credit loss 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 June 30, 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 June 30, 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 |  |  |  |
|  | June 30, 2020
(In thousands) |  | Amortized cost |  | Fair Value
Due in one year or less |  | $ | 465,716 |  |  | $ | 469,024 |
Due after one year through five years |  | 1,854,619 |  |  | 1,935,032 |
Due after five years through ten years |  | 1,009,452 |  |  | 1,096,842 |
Due after ten years |  | 1,197,637 |  |  | 1,283,527 |
|  | 4,527,424 |  |  | 4,784,425 |
ABS |  | 198,238 |  |  | 199,556 |
RMBS |  | 293,790 |  |  | 299,492 |
CMBS |  | 264,857 |  |  | 273,899 |
CLOs |  | 313,245 |  |  | 304,890 |
Total as of June 30, 2020 |  | $ | 5,597,554 |  |  | $ | 5,862,262 |
Proceeds from sales of fixed income securities classified as available-for-sale were $448.5 million and $183.6 million during the six months ended June 30, 2020 and 2019, respectively. Gross gains of $7.3 million and $12.4 million and gross losses of $3.7 million and $5.0 million were realized during the three and six months ended June 30, 2020, respectively. We did not record realized losses for the three months ended June 30,2020 and recorded realized losses of $0.3 million for the six months ended June 30, 2020 related to our intent to sell certain securities. Gross gains of $1.2 million and $2.0 million and gross losses of $1.1 million and $2.3 million were realized on those sales during the three and six months ended June 30, 2019, respectively, and we recorded OTTI losses of $0.1 million for the six months ended June 30, 2019. Realized investment gains and losses are reported in income based on specific identification of securities sold. Equity securities The cost and fair value of investments in equity securities at June 30, 2020 and December 31, 2019 are shown in tables 7.3a and 7.3b below.
Details of equity security investments as of June 30, 2020
Table | 7.3a |  |  |  |  |  |  |  |
(In thousands) |  | Cost |  | Gross Gains |  | Gross Losses |  | Fair Value
Equity securities |  | $ | 17,467 |  |  | $ | 507 |  |  | $ | (21 | ) |  | $ | 17,953 |
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 and six months ended June 30, 2020, we recognized $1.2 million and $0.3 million of net gains on equity securities still held as of June 30, 2020. For the three and six months ended June 30, 2019, we recognized $0.1 million and $0.2 million of net gains on equity securities still held as of June 30, 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 June 30, 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 $165.8 million. Unrealized investment losses Tables 7.4a and 7.4b below summarize, for all available-for-sale investments in an unrealized loss position at June 30, 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 June 30, 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 |  | $ | 207,786 |  |  | $ | (41 | ) |  | $ | — |  |  | $ | — |  |  | $ | 207,786 |  |  | $ | (41 | )
Obligations of U.S. states and political subdivisions |  | 37,445 |  |  | (1,291 | ) |  | — |  |  | — |  |  | 37,445 |  |  | (1,291 | )
Corporate debt securities |  | 175,570 |  |  | (5,160 | ) |  | — |  |  | — |  |  | 175,570 |  |  | (5,160 | )
ABS |  | 17,415 |  |  | (2,716 | ) |  | — |  |  | — |  |  | 17,415 |  |  | (2,716 | )
RMBS |  | 51,169 |  |  | (284 | ) |  | 4,913 |  |  | (69 | ) |  | 56,082 |  |  | (353 | )
CMBS |  | 28,609 |  |  | (1,397 | ) |  | 3,225 |  |  | (14 | ) |  | 31,834 |  |  | (1,411 | )
CLOs |  | 162,838 |  |  | (3,831 | ) |  | 142,051 |  |  | (4,524 | ) |  | 304,889 |  |  | (8,355 | )
Total |  | $ | 680,832 |  |  | $ | (14,720 | ) |  | $ | 150,189 |  |  | $ | (4,607 | ) |  | $ | 831,021 |  |  | $ | (19,327 | )
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 June 30, 2020 presented in table 7.4a above are not indicative of the ultimate collectability of the current amortized cost of the securities and a credit loss allowance is not required. We believe the gross unrealized losses are primarily attributable to widening credit spreads over risk free rates, as a result of economic and market uncertainties arising from the COVID-19 pandemic, which includes demand shocks in multiple sectors that originated in the first half 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 156 and 217 securities in an unrealized loss position at June 30, 2020 and December 31, 2019, respectively. We report accrued investment income separately from fixed income, available-for-sale, securities and we have determined an allowance for credit losses for accrued investment income is not required. Accrued investment income is written off through net realized investment gains (losses) if, and at the time, the issuer of the security defaults or is expected to default on payments.

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