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v3.23.1

Investments (Tables) | 3 Months Ended
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Mar. 31, 2023
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 March 31, 2023 and December 31, 2022 are shown in tables 7.1a and 7.1b below.
Details of fixed income securities by category as of March 31, 2023
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 |  | $ | 223,428 |  |  |  |  | $ | 31 |  |  | $ | (7,713) |  |  | $ | 215,746 |
Obligations of U.S. states and political subdivisions |  | 2,403,603 |  |  |  |  | 9,776 |  |  | (201,039) |  |  | 2,212,340 |
Corporate debt securities |  | 2,341,134 |  |  |  |  | 1,733 |  |  | (164,925) |  |  | 2,177,942 |
ABS |  | 124,175 |  |  |  |  | 15 |  |  | (4,819) |  |  | 119,371 |
RMBS |  | 217,751 |  |  |  |  | 10 |  |  | (22,256) |  |  | 195,505 |
CMBS |  | 250,589 |  |  |  |  | 20 |  |  | (18,704) |  |  | 231,905 |
CLOs |  | 337,033 |  |  |  |  | — |  |  | (6,459) |  |  | 330,574 |
Foreign government debt |  | 4,486 |  |  |  |  | — |  |  | (659) |  |  | 3,827 |
Commercial paper |  | 76,846 |  |  |  |  | — |  |  | (3) |  |  | 76,843 |
Total fixed income securities |  | $ | 5,979,045 |  |  |  |  | $ | 11,585 |  |  | $ | (426,577) |  |  | $ | 5,564,053 |
Details of fixed income securities by category as of December 31, 2022
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 |  | $ | 145,581 |  |  |  |  | $ | 2 |  |  | $ | (9,683) |  |  | $ | 135,900 |
Obligations of U.S. states and political subdivisions |  | 2,400,261 |  |  |  |  | 4,866 |  |  | (256,073) |  |  | 2,149,054 |
Corporate debt securities |  | 2,416,475 |  |  |  |  | 1,043 |  |  | (196,377) |  |  | 2,221,141 |
ABS |  | 126,723 |  |  |  |  | 5 |  |  | (6,041) |  |  | 120,687 |
RMBS |  | 223,743 |  |  |  |  | 10 |  |  | (25,744) |  |  | 198,009 |
CMBS |  | 257,785 |  |  |  |  | 22 |  |  | (20,591) |  |  | 237,216 |
CLOs |  | 337,656 |  |  |  |  | 5 |  |  | (7,829) |  |  | 329,832 |
Foreign government debt |  | 4,486 |  |  |  |  | — |  |  | (699) |  |  | 3,787 |
Commercial paper |  | 14,075 |  |  |  |  | — |  |  | (3) |  |  | 14,072 |
Total fixed income securities |  | $ | 5,926,785 |  |  |  |  | $ | 5,953 |  |  | $ | (523,040) |  |  | $ | 5,409,698 |
Amortized cost and fair values of fixed income securities by contractual maturity | The amortized cost and fair values of fixed income securities at March 31, 2023, 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 mortgage and asset-backed securities provide for periodic payments throughout their lives, they are listed in separate categories.
Fixed income securities maturity schedule
Table | 7.2 |  |  |  |
|  | March 31, 2023
(In thousands) |  | Amortized cost |  | Fair Value
Due in one year or less |  | $ | 667,113 |  |  | $ | 657,832 |
Due after one year through five years |  | 1,362,173 |  |  | 1,300,280 |
Due after five years through ten years |  | 1,831,636 |  |  | 1,693,166 |
Due after ten years |  | 1,188,575 |  |  | 1,035,420 |
|  | 5,049,497 |  |  | 4,686,698 |
ABS |  | 124,175 |  |  | 119,371 |
RMBS |  | 217,751 |  |  | 195,505 |
CMBS |  | 250,589 |  |  | 231,905 |
CLOs |  | 337,033 |  |  | 330,574 |
Total as of March 31, 2023 |  | $ | 5,979,045 |  |  | $ | 5,564,053 |
Cost and fair value of investments in equity securities | The cost and fair value of investments in equity securities at March 31, 2023 and December 31, 2022 are shown in tables 7.3a and 7.3b below.
Details of equity security investments as of March 31, 2023
Table | 7.3a |  |  |  |  |  |  |  |
(In thousands) |  | Cost |  | Gross Gains |  | Gross Losses |  | Fair Value
Equity securities |  | $ | 15,946 |  |  | $ | 2 |  |  | $ | (1,425) |  |  | $ | 14,523 |
Details of equity security investments as of December 31, 2022
Table | 7.3b |  |  |  |  |  |  |  |
(In thousands) |  | Cost |  | Gross Gains |  | Gross Losses |  | Fair Value
Equity securities |  | $ | 15,924 |  |  | $ | — |  |  | $ | (1,784) |  |  | $ | 14,140 |
Schedule of realized gains (losses) and proceeds from sale of securities | The net gains (losses) on investments and other financial instruments and the proceeds from the sale of fixed income securities classified as available-for-sale are shown in table 7.4 below.
Details of net gains (losses) on investments and other financial instruments |  |  |  |
Table | 7.4 | Three Months Ended March 31, |  |
(in thousands) | 2023 |  | 2022 |  |  |  |
Fixed income securities |  |  |  |  |  |  |
Gains on sales | 59 |  |  | 4,134 |  |  |  |  |
Losses on sales | (4,133) |  |  | (4,657) |  |  |  |  |
Equity securities gains (losses) |  |  |  |  |  |  |
Market adjustment | 360 |  |  | (1,005) |  |  |  |  |
Change in embedded derivative on Home Re Transactions (1) | (3,976) |  |  | 733 |  |  |  |  |
Other |  |  |  |  |  |  |
Gains (losses) on sales | 6 |  |  | 11 |  |  |  |  |
Market adjustment | (14) |  |  | 12 |  |  |  |  |
Net gains (losses) on investments and other financial instruments | (7,698) |  |  | (772) |  |  |  |  |
Proceeds from sales of fixed income securities | 32,181 |  |  | 216,824 |  |  |  |  |
Proceeds from sales of equity securities | — |  |  | — |  |  |  |  |
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 March 31, 2023 and December 31, 2022, 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 2022 Annual Report on Form 10-K.
Unrealized loss aging for securities by type and length of time as of March 31, 2023
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 |  | $ | 59,935 |  |  | $ | (1,108) |  |  | $ | 84,568 |  |  | $ | (6,605) |  |  | $ | 144,503 |  |  | $ | (7,713) |
Obligations of U.S. states and political subdivisions |  | 615,219 |  |  | (13,633) |  |  | 962,757 |  |  | (187,406) |  |  | 1,577,976 |  |  | (201,039) |
Corporate debt securities |  | 889,684 |  |  | (28,273) |  |  | 1,269,912 |  |  | (136,652) |  |  | 2,159,596 |  |  | (164,925) |
ABS |  | 36,028 |  |  | (245) |  |  | 77,206 |  |  | (4,574) |  |  | 113,234 |  |  | (4,819) |
RMBS |  | 4,078 |  |  | (177) |  |  | 207,258 |  |  | (22,079) |  |  | 211,336 |  |  | (22,256) |
CMBS |  | 11,699 |  |  | (714) |  |  | 221,259 |  |  | (17,990) |  |  | 232,958 |  |  | (18,704) |
CLOs |  | 17,068 |  |  | (195) |  |  | 313,506 |  |  | (6,264) |  |  | 330,574 |  |  | (6,459) |
Foreign government debt |  | — |  |  | — |  |  | 3,828 |  |  | (659) |  |  | 3,828 |  |  | (659) |
Commercial paper |  | 491 |  |  | — |  |  | 3,375 |  |  | (3) |  |  | 3,866 |  |  | (3) |
Total |  | $ | 1,634,202 |  |  | $ | (44,345) |  |  | $ | 3,143,669 |  |  | $ | (382,232) |  |  | $ | 4,777,871 |  |  | $ | (426,577) |
Unrealized loss aging for securities by type and length of time as of December 31, 2022
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 |  | $ | 67,531 |  |  | $ | (3,583) |  |  | $ | 76,246 |  |  | $ | (6,100) |  |  | $ | 143,777 |  |  | $ | (9,683) |
Obligations of U.S. states and political subdivisions |  | 1,344,272 |  |  | (157,903) |  |  | 360,956 |  |  | (98,170) |  |  | 1,705,228 |  |  | (256,073) |
Corporate debt securities |  | 1,488,255 |  |  | (109,976) |  |  | 758,732 |  |  | (86,401) |  |  | 2,246,987 |  |  | (196,377) |
ABS |  | 53,201 |  |  | (1,008) |  |  | 67,073 |  |  | (5,033) |  |  | 120,274 |  |  | (6,041) |
RMBS |  | 77,563 |  |  | (8,572) |  |  | 136,179 |  |  | (17,172) |  |  | 213,742 |  |  | (25,744) |
CMBS |  | 166,973 |  |  | (12,951) |  |  | 70,792 |  |  | (7,640) |  |  | 237,765 |  |  | (20,591) |
CLOs |  | 213,461 |  |  | (4,644) |  |  | 114,459 |  |  | (3,185) |  |  | 327,920 |  |  | (7,829) |
Foreign government debt |  | — |  |  | — |  |  | 3,787 |  |  | (699) |  |  | 3,787 |  |  | (699) |
Commercial paper |  | — |  |  | — |  |  | 3,816 |  |  | (3) |  |  | 3,816 |  |  | (3) |
Total |  | $ | 3,411,256 |  |  | $ | (298,637) |  |  | $ | 1,592,040 |  |  | $ | (224,403) |  |  | $ | 5,003,296 |  |  | $ | (523,040) |

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