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Investments (Tables) | 12 Months Ended
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Dec. 31, 2023
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, 2023 and 2022:
Details of fixed income investment securities by category as of December 31, 2023
Table | 5.1a |  |  |  |  |  |  |  |
(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 |  | $ | 167,995 |  |  | $ | 51 |  |  | $ | (6,364) |  |  | $ | 161,682 |
Obligations of U.S. states and political subdivisions |  | 2,092,754 |  |  | 5,159 |  |  | (189,835) |  |  | 1,908,078 |
Corporate debt securities |  | 2,626,401 |  |  | 17,391 |  |  | (128,211) |  |  | 2,515,581 |
ABS |  | 173,256 |  |  | 1,292 |  |  | (3,275) |  |  | 171,273 |
RMBS |  | 347,132 |  |  | 4,297 |  |  | (20,656) |  |  | 330,773 |
CMBS |  | 293,204 |  |  | 5 |  |  | (15,752) |  |  | 277,457 |
CLOs |  | 327,467 |  |  | 37 |  |  | (1,408) |  |  | 326,096 |
Foreign government debt |  | 4,486 |  |  | — |  |  | (643) |  |  | 3,843 |
Commercial paper |  | 28,327 |  |  | 3 |  |  | — |  |  | 28,330 |
Total fixed income securities |  | $ | 6,061,022 |  |  | $ | 28,235 |  |  | $ | (366,144) |  |  | $ | 5,723,113 |
Details of fixed income investment securities by category as of December 31, 2022
Table | 5.1b |  |  |  |  |  |  |  |
(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 debt securities by contractual maturity | The amortized cost and fair values of fixed income securities at December 31, 2023, by contractual maturity, are shown in table 5.2 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 | 5.2 |  |  |  |
|  | December 31, 2023
(In thousands) |  | Amortized Cost |  | Fair Value
Due in one year or less |  | $ | 645,017 |  |  | $ | 639,245 |
Due after one year through five years |  | 1,530,186 |  |  | 1,487,270 |
Due after five years through ten years |  | 1,824,666 |  |  | 1,708,591 |
Due after ten years |  | 920,094 |  |  | 782,408 |
|  | 4,919,963 |  |  | 4,617,514 |
ABS |  | 173,256 |  |  | 171,273 |
RMBS |  | 347,132 |  |  | 330,773 |
CMBS |  | 293,204 |  |  | 277,457 |
CLOs |  | 327,467 |  |  | 326,096 |
Total as of December 31, 2023 |  | $ | 6,061,022 |  |  | $ | 5,723,113 |
Cost and fair value of investments in equity securities | The cost and fair value of investments in equity securities as of December 31, 2023 and December 31, 2022 are shown in tables 5.3a and 5.3b below.
Details of equity investment securities as of December 31, 2023
Table | 5.3a |  |  |  |  |  |  |  |
(In thousands) |  | Cost |  | Fair value gains |  | Fair value losses |  | Fair Value
Equity securities |  | $ | 16,025 |  |  | $ | 5 |  |  | $ | (1,259) |  |  | $ | 14,771 |
Details of equity investment securities as of December 31, 2022
Table | 5.3b |  |  |  |  |  |  |  |
(In thousands) |  | Cost |  | Fair value gains |  | Fair value losses |  | Fair Value
Equity securities |  | $ | 15,924 |  |  | $ | — |  |  | $ | (1,784) |  |  | $ | 14,140 |
Schedule of net gains (losses) on investments and other financial instruments | 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 and equity securities are shown in table 5.4 below.
Details of net gains (losses) on investments and other financial instruments
Table | 5.4 |  |  |  |  |
(in thousands) | December 31, 2023 |  | December 31, 2022 |  | December 31, 2021
Fixed income securities |  |  |  |  |
Gains on sales | $ | 3,071 |  |  | $ | 7,152 |  |  | $ | 8,980 |
Losses on sales | (17,620) |  |  | (15,477) |  |  | (1,942) |
Change in credit allowance | — |  |  | — |  |  | 49 |
Impairments | — |  |  | (1,415) |  |  | — |
Equity securities gains (losses) |  |  |  |  |
Gains (losses) on sales | — |  |  | (7) |  |  | 4 |
Changes in fair value | 530 |  |  | (2,013) |  |  | (463) |
Change in embedded derivative on Home Re Transactions (1) | (118) |  |  | 4,269 |  |  | (721) |
Other |  |  |  |  |
Gains (losses) on sales | (1) |  |  | 2 |  |  | (33) |
Market adjustment | (3) |  |  | 26 |  |  | (13) |
Net gains (losses) on investments and other financial instruments | $ | (14,141) |  |  | $ | (7,463) |  |  | $ | 5,861 |
Proceeds from sales of fixed income securities | $ | 375,788 |  |  | $ | 397,553 |  |  | $ | 471,783 |
Proceeds from sales of equity securities | — |  |  | 97 |  |  | 2,621 |
(1) See Note 6 "Fair Value Measurements" for discussion of the embedded derivative on the Home Re Transactions.
Aging of the fair values of securities in an unrealized loss position | Tables 5.5a and 5.5b below summarize, for all available-for-sale investments in an unrealized loss position as of December 31, 2023 and 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 5.5a and 5.5b 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, 2023
Table | 5.5a |  |  |  |  |  |  |  |  |  |  |  |
|  | 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 |  | $ | 26,550 |  |  | $ | (75) |  |  | $ | 98,359 |  |  | $ | (6,289) |  |  | $ | 124,909 |  |  | $ | (6,364) |
Obligations of U.S. states and political subdivisions |  | 275,727 |  |  | (3,622) |  |  | 1,200,533 |  |  | (186,213) |  |  | 1,476,260 |  |  | (189,835) |
Corporate debt securities |  | 270,956 |  |  | (6,060) |  |  | 1,604,021 |  |  | (122,151) |  |  | 1,874,977 |  |  | (128,211) |
ABS |  | 41,549 |  |  | (1,234) |  |  | 62,611 |  |  | (2,041) |  |  | 104,160 |  |  | (3,275) |
RMBS |  | 44,867 |  |  | (872) |  |  | 176,349 |  |  | (19,784) |  |  | 221,216 |  |  | (20,656) |
CMBS |  | 35,249 |  |  | (391) |  |  | 244,216 |  |  | (15,361) |  |  | 279,465 |  |  | (15,752) |
CLOs |  | — |  |  | — |  |  | 274,729 |  |  | (1,408) |  |  | 274,729 |  |  | (1,408) |
Foreign government debt |  | — |  |  | — |  |  | 3,843 |  |  | (643) |  |  | 3,843 |  |  | (643) |
Total |  | $ | 694,898 |  |  | $ | (12,254) |  |  | $ | 3,664,661 |  |  | $ | (353,890) |  |  | $ | 4,359,559 |  |  | $ | (366,144) |
Unrealized loss aging for securities by type and length of time as of December 31, 2022
Table | 5.5b |  |  |  |  |  |  |  |  |  |  |  |
|  | 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) |
Net unrealized gains (losses) of investments | The change in net unrealized gains (losses) of investments is shown in table 5.6 below.
Change in net unrealized gains (losses)
Table | 5.6 |  |  |  |  |  |
(In thousands) |  | 2023 |  | 2022 |  | 2021
Fixed income securities |  | $ | 179,174 |  |  | $ | (707,005) |  |  | $ | (154,555) |
Investment income | The source of net investment income is shown in table 5.7 below.
Net investment income
Table | 5.7 |  |  |  |  |  |
(In thousands) |  | 2023 |  | 2022 |  | 2021
Fixed income securities |  | $ | 202,655 |  |  | $ | 166,306 |  |  | $ | 160,030 |
Equity securities |  | 529 |  |  | 437 |  |  | 471 |
Cash equivalents |  | 16,111 |  |  | 5,049 |  |  | 75 |
Other |  | 44 |  |  | 51 |  |  | 22 |
Investment income |  | 219,339 |  |  | 171,843 |  |  | 160,598 |
Investment expenses |  | (4,599) |  |  | (4,367) |  |  | (4,160) |
Net investment income |  | $ | 214,740 |  |  | $ | 167,476 |  |  | $ | 156,438 |

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