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Investments | 12 Months Ended
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Dec. 31, 2021
Investments [Abstract] |
Investments |
NOTE 5 |  | Investments
FIXED INCOME SECURITIES Our fixed income securities consisted of the following as of December 31, 2021 and 2020:
Details of fixed income investment securities by category as of December 31, 2021
Table | 5.1a |  |  |  |  |  |  |  |  |  |
(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 |  | $ | 133,990 |  |  | $ | — |  |  | $ | 285 |  |  | $ | (868) |  |  | $ | 133,407 |
Obligations of U.S. states and political subdivisions |  | 2,408,688 |  |  | — |  |  | 133,361 |  |  | (7,396) |  |  | 2,534,653 |
Corporate debt securities |  | 2,704,586 |  |  | — |  |  | 75,172 |  |  | (13,776) |  |  | 2,765,982 |
ABS |  | 150,888 |  |  | — |  |  | 830 |  |  | (1,008) |  |  | 150,710 |
RMBS |  | 309,991 |  |  | — |  |  | 2,397 |  |  | (3,278) |  |  | 309,110 |
CMBS |  | 315,330 |  |  | — |  |  | 5,736 |  |  | (1,936) |  |  | 319,130 |
CLOs |  | 360,436 |  |  | — |  |  | 609 |  |  | (106) |  |  | 360,939 |
Foreign government debt |  | 13,749 |  |  | — |  |  | — |  |  | (99) |  |  | 13,650 |
Total fixed income securities |  | $ | 6,397,658 |  |  | $ | — |  |  | $ | 218,390 |  |  | $ | (28,467) |  |  | $ | 6,587,581 |
Details of fixed income investment securities by category as of December 31, 2020
Table | 5.1b |  |  |  |  |  |  |  |  |  |
(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 |  | $ | 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 |
The decrease in gross unrealized gains and the increase in gross unrealized losses in our fixed income securities from December 31, 2020 to December 31, 2021 were principally related to an increase in market yields which may include increased risk-free interest rates or wider credit spreads since the time of initial purchase. We had $13.4 million and $14.1 million of investments at fair value on deposit with various states as of December 31, 2021 and 2020, respectively, due to regulatory requirements of those states' insurance departments. In connection with our insurance and reinsurance activities within insurance subsidiaries of MGIC, we are required to maintain assets in trusts for the benefit of contractual counterparties. The fair value of the investments and restricted cash and cash equivalents on deposit in these trusts was $189.8 million and $165.9 million at December 31, 2021 and 2020, respectively. Table 5.2 compares the amortized cost and fair values of fixed income securities, by contractual maturity, as of December 31, 2021. 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 mortgage and asset-backed securities provide for periodic payments throughout their lives, they are listed in separate categories.
Fixed income securities maturity schedule
Table | 5.2 |  |  |  |
|  | December 31, 2021
(In thousands) |  | Amortized Cost |  | Fair Value
Due in one year or less |  | $ | 338,988 |  |  | $ | 341,604 |
Due after one year through five years |  | 1,751,297 |  |  | 1,795,249 |
Due after five years through ten years |  | 1,745,569 |  |  | 1,824,307 |
Due after ten years |  | 1,425,159 |  |  | 1,486,532 |
|  | 5,261,013 |  |  | 5,447,692 |
ABS |  | 150,888 |  |  | 150,710 |
RMBS |  | 309,991 |  |  | 309,110 |
CMBS |  | 315,330 |  |  | 319,130 |
CLOs |  | 360,436 |  |  | 360,939 |
Total as of December 31, 2021 |  | $ | 6,397,658 |  |  | $ | 6,587,581 |
Proceeds from sales of fixed income securities classified as available-for-sale were $471.8 million, $803.4 million, and $228.1 million during the years ended December 31, 2021, 2020, and 2019, respectively. Gross gains of $9.0 million, $21.3 million, and $7.1 million and gross losses of $1.9 million, $8.8 million, and $3.5 million were realized on those sales during the years ended December 31, 2021, 2020, and 2019, respectively. We recorded no realized losses for the year ended December 31, 2021 related to our intent to sell certain securities. We recorded $0.3 million of realized losses for the year ended December 31, 2020 related to our intent to sell certain securities. We also recorded a credit allowance of $49 thousand for the year ended December 31, 2020. EQUITY SECURITIES The cost and fair value of investments in equity securities as of December 31, 2021 and December 31, 2020 are shown in tables 5.3a and 5.3b below.
Details of equity investment securities as of December 31, 2021
Table | 5.3a |  |  |  |  |  |  |  |
(In thousands) |  | Cost |  | Gross gains |  | Gross losses |  | Fair Value
Equity securities |  | 15,838 |  |  | 264 |  |  | (34) |  |  | 16,068 |
Details of equity investment securities as of December 31, 2020
Table | 5.3b |  |  |  |  |  |  |  |
(In thousands) |  | Cost |  | Gross gains |  | Gross losses |  | Fair Value
Equity securities |  | 17,522 |  |  | 695 |  |  | (2) |  |  | 18,215 |
Proceeds from the sale of equity securities were $2.6 million, $25.7 million, and $1.7 million during the years ended December 31, 2021 2020, and 2019, respectively. Gross gains of $6.0 thousand, $1.8 million, and $1.6 million were realized on those sales during the year ended December 31, 2021, 2020, and 2019, respectively. Gross losses of $2.3 thousand, $0.4 million, and zero were realized on those sales during the year ended December 31, 2021, 2020, and 2019, respectively. For the year ended December 31, 2021, 2020, and 2019 we recognized $0.5 million in net losses, $0.6 million and $0.2 million of net gains on equity securities still held as of December 31, 2021, 2020, and 2019, respectively, which are reported in Net realized investment gains (losses) on our consolidated statements of operations. OTHER INVESTED ASSETS Other invested assets represents our 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, 2021, that collateral consisted of fixed income securities included in our total investment portfolio, and cash and cash equivalents, with a total fair value of $167.2 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, 2021 and 2020, 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 $28.5 million and $4.7 million as of December 31, 2021 and 2020, 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, 2021
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 |  | $ | 91,154 |  |  | $ | (790) |  |  | $ | 2,616 |  |  | $ | (78) |  |  | $ | 93,770 |  |  | $ | (868) |
Obligations of U.S. states and political subdivisions |  | 452,021 |  |  | (7,189) |  |  | 15,540 |  |  | (207) |  |  | 467,561 |  |  | (7,396) |
Corporate debt securities |  | 865,085 |  |  | (13,260) |  |  | 10,997 |  |  | (516) |  |  | 876,082 |  |  | (13,776) |
ABS |  | 100,064 |  |  | (998) |  |  | 1,552 |  |  | (10) |  |  | 101,616 |  |  | (1,008) |
RMBS |  | 180,586 |  |  | (2,548) |  |  | 31,641 |  |  | (730) |  |  | 212,227 |  |  | (3,278) |
CMBS |  | 89,889 |  |  | (1,887) |  |  | 1,511 |  |  | (49) |  |  | 91,400 |  |  | (1,936) |
CLOs |  | 177,663 |  |  | (71) |  |  | 21,973 |  |  | (35) |  |  | 199,636 |  |  | (106) |
Foreign government debt |  | 13,649 |  |  | (99) |  |  | — |  |  | — |  |  | 13,649 |  |  | (99) |
Total |  | $ | 1,970,111 |  |  | $ | (26,842) |  |  | $ | 85,830 |  |  | $ | (1,625) |  |  | $ | 2,055,941 |  |  | $ | (28,467) |
Unrealized loss aging for securities by type and length of time as of December 31, 2020
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 |  | $ | 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 December 31, 2021 presented in table 5.4a above are not indicative of the ultimate collectability of the current amortized cost of the securities and that the securities are not impaired. The gross unrealized losses in all categories of our investments were caused by changes in market yields, 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. The unrealized losses in all categories of our investments as of December 31, 2020 were 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 included demand shocks in multiple sectors that originated in 2020. There were 610 and 109 securities in an unrealized loss position as of December 31, 2021 and 2020, respectively. As of December 31, 2021, the fair value as a percent of amortized cost of the securities in an unrealized loss position was 99% and approximately 15% of the securities in an unrealized loss position were backed by the U.S. Government. As of December 31, 2020, the fair value as a percent of amortized cost of the securities in an unrealized loss position was 99% and approximately 27% of the securities in an unrealized loss position were backed by the U.S. Government. All of the securities in an unrealized loss position are current with respect to their interest obligations. The source of net investment income is shown in table 5.5 below.
Net investment income
Table | 5.5 |  |  |  |  |  |
(In thousands) |  | 2021 |  | 2020 |  | 2019
Fixed income securities |  | $ | 160,030 |  |  | $ | 157,065 |  |  | $ | 165,523 |
Equity securities |  | 471 |  |  | 620 |  |  | 406 |
Cash equivalents |  | 75 |  |  | 1,648 |  |  | 4,444 |
Other |  | 22 |  |  | 275 |  |  | 974 |
Investment income |  | 160,598 |  |  | 159,608 |  |  | 171,347 |
Investment expenses |  | (4,160) |  |  | (5,212) |  |  | (4,302) |
Net investment income |  | $ | 156,438 |  |  | $ | 154,396 |  |  | $ | 167,045 |
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) |  | 2021 |  | 2020 |  | 2019
Fixed income securities |  | $ | (154,555) |  |  | $ | 169,135 |  |  | $ | 220,139 |

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