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Investments (Tables) | 12 Months Ended
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Dec. 31, 2021
Investments [Abstract] |
Amortized cost, gross unrealized gains and losses and fair value of investment portfolio | 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 |
Amortized cost and fair values of debt securities by contractual maturity | 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 |
Cost and fair value of investments in 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 |
Aging of the fair values of securities in an unrealized loss position | 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) |
Net investment income | 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 |
Change in unrealized gains (losses) of investments | 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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