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v3.21.1

Investments | 3 Months Ended
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Mar. 31, 2021
Investments [Abstract] |
Investments | Investments Fixed income securities Our fixed income securities classified as available-for-sale at March 31, 2021 and December 31, 2020 are shown in tables 7.1a and 7.1b below.
Details of fixed income securities by category as of March 31, 2021
Table | 7.1a |  |  |  |  |  |  |  |  |  |
(In thousands) |  | Amortized Cost |  | Allowance for Expected Credit Loss |  | Gross Unrealized Gains |  | Gross Unrealized (Losses) |  | Fair Value
U.S. Treasury securities and obligations of U.S. government corporations and agencies |  | $ | 252,806 |  |  | $ | — |  |  | $ | 873 |  |  | $ | (222) |  |  | $ | 253,457 |
Obligations of U.S. states and political subdivisions |  | 2,249,876 |  |  | — |  |  | 132,869 |  |  | (14,727) |  |  | 2,368,018 |
Corporate debt securities |  | 2,771,839 |  |  | — |  |  | 104,279 |  |  | (14,990) |  |  | 2,861,128 |
ABS |  | 185,394 |  |  | (31) |  |  | 2,000 |  |  | (222) |  |  | 187,141 |
RMBS |  | 432,148 |  |  | — |  |  | 5,270 |  |  | (1,410) |  |  | 436,008 |
CMBS |  | 317,055 |  |  | — |  |  | 12,875 |  |  | (2,080) |  |  | 327,850 |
CLOs |  | 372,417 |  |  | — |  |  | 966 |  |  | (56) |  |  | 373,327 |
Foreign government debt |  | 4,485 |  |  | — |  |  | — |  |  | (96) |  |  | 4,389 |
Total fixed income securities |  | $ | 6,586,020 |  |  | $ | (31) |  |  | $ | 259,132 |  |  | $ | (33,803) |  |  | $ | 6,811,318 |
Details of fixed income securities by category as of December 31, 2020
Table | 7.1b |  |  |  |  |  |  |  |  |  |
(In thousands) |  | Amortized Cost |  | Allowance for Expected Credit Losses |  | Gross Unrealized Gains |  | Gross Unrealized (Losses) (1) |  | Fair Value
U.S. Treasury securities and obligations of U.S. government corporations and agencies |  | 264,531 |  |  | — |  |  | $ | 1,164 |  |  | $ | (2) |  |  | $ | 265,693 |
Obligations of U.S. states and political subdivisions |  | 2,083,568 |  |  | — |  |  | 166,557 |  |  | (256) |  |  | 2,249,869 |
Corporate debt securities |  | 2,690,860 |  |  | — |  |  | 155,156 |  |  | (1,728) |  |  | 2,844,288 |
ABS |  | 203,807 |  |  | (49) |  |  | 2,946 |  |  | (18) |  |  | 206,686 |
RMBS |  | 425,532 |  |  | — |  |  | 6,472 |  |  | (838) |  |  | 431,166 |
CMBS |  | 312,572 |  |  | — |  |  | 16,055 |  |  | (1,125) |  |  | 327,502 |
CLOs |  | 310,616 |  |  | — |  |  | 566 |  |  | (692) |  |  | 310,490 |
Foreign government debt |  | 4,485 |  |  | — |  |  | 224 |  |  | — |  |  | 4,709 |
Commercial paper |  | 21,193 |  |  | — |  |  | — |  |  | — |  |  | 21,193 |
Total fixed income securities |  | $ | 6,317,164 |  |  | $ | (49) |  |  | $ | 349,140 |  |  | $ | (4,659) |  |  | $ | 6,661,596 |
We had $13.9 million and $14.1 million of investments at fair value on deposit with various states as of March 31, 2021 and December 31, 2020, respectively, due to regulatory requirements of those state insurance departments. In connection with our insurance and reinsurance activities within MAC and MGIC Indemnity Corporation, insurance subsidiaries of MGIC , we are required to maintain assets in trusts for the benefit of contractual counterparties, which had investments at fair value of $167.7 million and $160.3 million at March 31, 2021 and December 31, 2020, respectively. The amortized cost and fair values of fixed income securities at March 31, 2021, 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, 2021
(In thousands) |  | Amortized cost |  | Fair Value
Due in one year or less |  | $ | 372,100 |  |  | $ | 376,608 |
Due after one year through five years |  | 1,964,439 |  |  | 2,033,836 |
Due after five years through ten years |  | 1,463,849 |  |  | 1,538,784 |
Due after ten years |  | 1,478,618 |  |  | 1,537,764 |
|  | 5,279,006 |  |  | 5,486,992 |
ABS |  | 185,394 |  |  | 187,141 |
RMBS |  | 432,148 |  |  | 436,008 |
CMBS |  | 317,055 |  |  | 327,850 |
CLOs |  | 372,417 |  |  | 373,327 |
Total as of March 31, 2021 |  | $ | 6,586,020 |  |  | $ | 6,811,318 |
Proceeds from sales of fixed income securities classified as available-for-sale were $56.8 million and $212.8 million during the three months ended March 31, 2021 and 2020, respectively. Gross gains of $3.0 million and gross losses of $0.4 million were realized during the three months ended March 31, 2021. We did not record any realized losses for the three months ended March 31, 2021 related to our intent to sell certain securities. During the three months ended March 31, 2020 gross gains and losses of $5.1 million and $1.3 million, respectively, were realized. We also recorded realized losses of $0.3 million related to our intent to sell certain securities. During the three months ended March 31, 2021, we reduced our expected credit loss on securities where a credit loss was previously recognized by $18 thousand. There was no allowance for credit losses at March 31, 2020. Equity securities The cost and fair value of investments in equity securities at March 31, 2021 and December 31, 2020 are shown in tables 7.3a and 7.3b below.
Details of equity security investments as of March 31, 2021
Table | 7.3a |  |  |  |  |  |  |  |
(In thousands) |  | Cost |  | Gross Gains |  | Gross Losses |  | Fair Value
Equity securities |  | $ | 15,052 |  |  | $ | 302 |  |  | $ | (35) |  |  | $ | 15,319 |
Details of equity security investments as of December 31, 2020
Table | 7.3b |  |  |  |  |  |  |  |
(In thousands) |  | Cost |  | Gross Gains |  | Gross Losses |  | Fair Value
Equity securities |  | $ | 17,522 |  |  | $ | 695 |  |  | $ | (2) |  |  | $ | 18,215 |
For the three months ended March 31, 2021, we recognized $0.4 million of net losses on equity securities still held as of March 31, 2021. 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. 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, 2021 and December 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 $164.1 million and $163.9 million, respectively. 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, 2021 and December 31, 2020, 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 2020 Annual Report on Form 10-K.
Unrealized loss aging for securities by type and length of time as of March 31, 2021
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 |  | $ | 57,006 |  |  | $ | (222) |  |  | $ | — |  |  | $ | — |  |  | $ | 57,006 |  |  | $ | (222) |
Obligations of U.S. states and political subdivisions |  | 522,476 |  |  | (14,727) |  |  | — |  |  | — |  |  | 522,476 |  |  | (14,727) |
Corporate debt securities |  | 580,879 |  |  | (14,990) |  |  | — |  |  | — |  |  | 580,879 |  |  | (14,990) |
ABS |  | 50,656 |  |  | (222) |  |  | — |  |  | — |  |  | 50,656 |  |  | (222) |
RMBS |  | 127,663 |  |  | (1,387) |  |  | 3,254 |  |  | (23) |  |  | 130,917 |  |  | (1,410) |
CMBS |  | 70,193 |  |  | (749) |  |  | 13,150 |  |  | (1,331) |  |  | 83,343 |  |  | (2,080) |
CLOs |  | 55,161 |  |  | (15) |  |  | 24,510 |  |  | (41) |  |  | 79,671 |  |  | (56) |
Foreign government debt |  | 4,389 |  |  | (96) |  |  | — |  |  | — |  |  | 4,389 |  |  | (96) |
Total |  | $ | 1,468,423 |  |  | $ | (32,408) |  |  | $ | 40,914 |  |  | $ | (1,395) |  |  | $ | 1,509,337 |  |  | $ | (33,803) |
Unrealized loss aging for securities by type and length of time as of December 31, 2020
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 |  | $ | 2,690 |  |  | $ | (2) |  |  | $ | — |  |  | $ | — |  |  | $ | 2,690 |  |  | $ | (2) |
Obligations of U.S. states and political subdivisions |  | 31,416 |  |  | (256) |  |  | — |  |  | — |  |  | 31,416 |  |  | (256) |
Corporate debt securities |  | 44,968 |  |  | (1,728) |  |  | — |  |  | — |  |  | 44,968 |  |  | (1,728) |
ABS |  | 14,929 |  |  | (18) |  |  | — |  |  | — |  |  | 14,929 |  |  | (18) |
RMBS |  | 98,409 |  |  | (773) |  |  | 3,566 |  |  | (65) |  |  | 101,975 |  |  | (838) |
CMBS |  | 13,212 |  |  | (789) |  |  | 2,799 |  |  | (336) |  |  | 16,011 |  |  | (1,125) |
CLOs |  | 95,287 |  |  | (261) |  |  | 73,904 |  |  | (431) |  |  | 169,191 |  |  | (692) |
Total |  | $ | 300,911 |  |  | $ | (3,827) |  |  | $ | 80,269 |  |  | $ | (832) |  |  | $ | 381,180 |  |  | $ | (4,659) |
Based on current facts and circumstances, we believe the unrealized losses as of March 31, 2021 presented in table 7.4a above are not indicative of the ultimate collectability of the current amortized cost of the securities. The unrealized losses in all categories of our investments at March 31, 2021 were primarily caused by changes in interest rates between the time of purchase and the respective fair value measurement date. We also rely upon estimates of several credit and non-credit factors in our review and evaluation of individual investments to determine whether a credit impairment exists. There were 403 and 109 securities in an unrealized loss position at March 31, 2021 and December 31, 2020, 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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