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v3.22.2

Investments (Tables) | 6 Months Ended
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Jun. 30, 2022
Investments [Abstract] |
Amortized cost, gross unrealized gains and losses and fair value of fixed income securities | Our fixed income securities classified as available-for-sale at June 30, 2022 and December 31, 2021 are shown in tables 7.1a and 7.1b below.
Details of fixed income securities by category as of June 30, 2022
Table | 7.1a |  |  |  |  |  |  |  |  |  |
(In thousands) |  | Amortized Cost |  |  |  | Gross Unrealized Gains |  | Gross Unrealized (Losses) |  | Fair Value
U.S. Treasury securities and obligations of U.S. government corporations and agencies |  | $ | 123,595 |  |  |  |  | $ | 19 |  |  | $ | (6,295) |  |  | $ | 117,319 |
Obligations of U.S. states and political subdivisions |  | 2,455,698 |  |  |  |  | 11,529 |  |  | (174,093) |  |  | 2,293,134 |
Corporate debt securities |  | 2,532,263 |  |  |  |  | 945 |  |  | (158,155) |  |  | 2,375,053 |
ABS |  | 108,064 |  |  |  |  | 9 |  |  | (4,805) |  |  | 103,268 |
RMBS |  | 240,109 |  |  |  |  | 31 |  |  | (17,591) |  |  | 222,549 |
CMBS |  | 282,090 |  |  |  |  | 50 |  |  | (15,529) |  |  | 266,611 |
CLOs |  | 337,823 |  |  |  |  | 6 |  |  | (10,418) |  |  | 327,411 |
Foreign government debt |  | 4,486 |  |  |  |  | — |  |  | (740) |  |  | 3,746 |
Commercial paper |  | 3,729 |  |  |  |  | — |  |  | — |  |  | 3,729 |
Total fixed income securities |  | $ | 6,087,857 |  |  |  |  | $ | 12,589 |  |  | $ | (387,626) |  |  | $ | 5,712,820 |
Details of fixed income securities by category as of December 31, 2021
Table | 7.1b |  |  |  |  |  |  |  |  |  |
(In thousands) |  | Amortized Cost |  |  |  | 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 |
Amortized cost and fair values of fixed income securities by contractual maturity | The amortized cost and fair values of fixed income securities at June 30, 2022, 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, 2022
(In thousands) |  | Amortized cost |  | Fair Value
Due in one year or less |  | $ | 299,593 |  |  | $ | 297,963 |
Due after one year through five years |  | 1,536,218 |  |  | 1,489,620 |
Due after five years through ten years |  | 1,822,146 |  |  | 1,695,419 |
Due after ten years |  | 1,461,814 |  |  | 1,309,979 |
|  | 5,119,771 |  |  | 4,792,981 |
ABS |  | 108,064 |  |  | 103,268 |
RMBS |  | 240,109 |  |  | 222,549 |
CMBS |  | 282,090 |  |  | 266,611 |
CLOs |  | 337,823 |  |  | 327,411 |
Total as of June 30, 2022 |  | $ | 6,087,857 |  |  | $ | 5,712,820 |
Schedule of Proceeds from Sale of Securities | The proceeds from the sale of fixed income securities classified as available-for-sale along with gross gains (losses) associated with such sales are shown in table 7.3 below.
Details of fixed income securities gains (losses) |  |  |  |
Table | 7.3 | Three Months Ended June 30, |  | Six Months Ended June 30,
(in thousands) | 2022 |  | 2021 |  | 2022 |  | 2021
Gains on sales | 987 |  |  | 2,275 |  |  | 5,121 |  |  | 5,291 |
Losses on sales | (1,093) |  |  | (353) |  |  | (5,750) |  |  | (745) |
Change in credit allowance | — |  |  | 31 |  |  | — |  |  | 49 |
Proceeds from sales of fixed income securities | 46,730 |  |  | 83,235 |  |  | 263,554 |  |  | 140,062 |
Cost and fair value of investments in equity securities | The cost and fair value of investments in equity securities at June 30, 2022 and December 31, 2021 are shown in tables 7.4a and 7.4b below.
Details of equity security investments as of June 30, 2022
Table | 7.4a |  |  |  |  |  |  |  |
(In thousands) |  | Cost |  | Gross Gains |  | Gross Losses |  | Fair Value
Equity securities |  | $ | 15,986 |  |  | $ | — |  |  | $ | (1,505) |  |  | $ | 14,481 |
Details of equity security investments as of December 31, 2021
Table | 7.4b |  |  |  |  |  |  |  |
(In thousands) |  | Cost |  | Gross Gains |  | Gross Losses |  | Fair Value
Equity securities |  | $ | 15,838 |  |  | $ | 264 |  |  | $ | (34) |  |  | $ | 16,068 |
Aging of the fair values of securities in an unrealized loss position | Tables 7.5a and 7.5b below summarize, for all available-for-sale investments in an unrealized loss position at June 30, 2022 and December 31, 2021, 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 7.5a and 7.5b are estimated using the process described in Note 8 - “Fair Value Measurements” to these consolidated financial statements and in Note 3 - “Significant Accounting Policies” to the consolidated financial statements in our 2021 Annual Report on Form 10-K.
Unrealized loss aging for securities by type and length of time as of June 30, 2022
Table | 7.5a |  |  |  |  |  |  |  |  |  |  |  |
|  | 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 |  | $ | 106,464 |  |  | $ | (6,062) |  |  | $ | 2,561 |  |  | $ | (233) |  |  | $ | 109,025 |  |  | $ | (6,295) |
Obligations of U.S. states and political subdivisions |  | 1,471,282 |  |  | (168,115) |  |  | 34,851 |  |  | (5,978) |  |  | 1,506,133 |  |  | (174,093) |
Corporate debt securities |  | 2,043,621 |  |  | (130,168) |  |  | 172,444 |  |  | (27,987) |  |  | 2,216,065 |  |  | (158,155) |
ABS |  | 79,046 |  |  | (4,066) |  |  | 17,173 |  |  | (739) |  |  | 96,219 |  |  | (4,805) |
RMBS |  | 140,146 |  |  | (10,365) |  |  | 81,398 |  |  | (7,226) |  |  | 221,544 |  |  | (17,591) |
CMBS |  | 228,340 |  |  | (12,783) |  |  | 33,890 |  |  | (2,746) |  |  | 262,230 |  |  | (15,529) |
CLOs |  | 269,852 |  |  | (8,363) |  |  | 51,649 |  |  | (2,055) |  |  | 321,501 |  |  | (10,418) |
Foreign government debt |  | 3,746 |  |  | (740) |  |  | — |  |  | — |  |  | 3,746 |  |  | (740) |
Total |  | $ | 4,342,497 |  |  | $ | (340,662) |  |  | $ | 393,966 |  |  | $ | (46,964) |  |  | $ | 4,736,463 |  |  | $ | (387,626) |
Unrealized loss aging for securities by type and length of time as of December 31, 2021
Table | 7.5b |  |  |  |  |  |  |  |  |  |  |  |
|  |  | 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) |

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- Definition For all investments in an unrealized loss position, including those for which other-than-temporary impairments have not been recognized in earnings (including investments for which a portion of an other-than-temporary impairment has been recognized in other comprehensive income), a tabular disclosure of the aggregate related fair value of investments with unrealized losses and the aggregate amount of unrealized losses (that is, the amount by which amortized cost basis exceeds fair value). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 6 -URI https://asc.fasb.org/extlink&oid=126970911&loc=d3e27290-111563 + Details
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