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Investments | 3 Months Ended
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Mar. 31, 2020
Investments [Abstract] |
Investments | Investments (a) Our HTM fixed income securities as of March 31, 2020, represented less than 1% of our total invested assets, largely unchanged from December 31, 2019. The carry value and net unrealized/unrecognized gains were $20.4 million and $1.6 million, respectively, at March 31, 2020, and $20.8 million and $1.2 million, respectively, at December 31, 2019. Unrecognized holding gains and losses of HTM securities are not reflected in the Financial Statements, as they represent fair value fluctuations from the date a security is designated as HTM through the date of the balance sheet. (b) Information regarding our AFS securities as of March 31, 2020 and December 31, 2019 was as follows:
March 31, 2020 |  |  |  |  |  |  |  |  |  |
($ in thousands) |  | Cost/ Amortized Cost |  | Allowance for Credit Losses |  | Unrealized Gains |  | Unrealized Losses |  | Fair Value
AFS fixed income securities: |  |  |  |  |  |  |  |  |  |
U.S. government and government agencies |  | $ | 134,569 |  |  | — |  |  | 7,668 |  |  | — |  |  | 142,237 |
Foreign government |  | 12,987 |  |  | (21 | ) |  | 172 |  |  | (252 | ) |  | 12,886 |
Obligations of states and political subdivisions |  | 1,146,160 |  |  | (29 | ) |  | 52,516 |  |  | (1,434 | ) |  | 1,197,213 |
Corporate securities |  | 1,911,377 |  |  | (13,412 | ) |  | 44,397 |  |  | (32,858 | ) |  | 1,909,504 |
Collateralized loan obligations ("CLO") and other asset-backed securities ("ABS") |  | 789,240 |  |  | (1,565 | ) |  | 2,084 |  |  | (67,498 | ) |  | 722,261 |
Commercial mortgage-backed securities ("CMBS") |  | 516,702 |  |  | (38 | ) |  | 26,511 |  |  | (12,142 | ) |  | 531,033 |
Residential mortgage-backed securities ("RMBS") |  | 1,366,744 |  |  | (722 | ) |  | 66,931 |  |  | (2,727 | ) |  | 1,430,226 |
Total AFS fixed income securities |  | $ | 5,877,779 |  |  | (15,787 | ) |  | 200,279 |  |  | (116,911 | ) |  | 5,945,360 |
December 31, 2019 |  |  |  |  |  |  |  |
($ in thousands) |  | Cost/ Amortized Cost |  | Unrealized Gains |  | Unrealized Losses |  | Fair Value
AFS fixed income securities: |  |  |  |  |  |  |  |
U.S. government and government agencies |  | $ | 112,680 |  |  | 3,506 |  |  | — |  |  | 116,186 |
Foreign government |  | 18,011 |  |  | 533 |  |  | (2 | ) |  | 18,542 |
Obligations of states and political subdivisions |  | 1,168,185 |  |  | 62,175 |  |  | (270 | ) |  | 1,230,090 |
Corporate securities |  | 1,866,881 |  |  | 81,906 |  |  | (1,310 | ) |  | 1,947,477 |
CLO and other ABS |  | 790,517 |  |  | 7,929 |  |  | (5,434 | ) |  | 793,012 |
CMBS |  | 514,709 |  |  | 23,902 |  |  | (267 | ) |  | 538,344 |
RMBS |  | 1,409,003 |  |  | 43,421 |  |  | (455 | ) |  | 1,451,969 |
Total AFS fixed income securities |  | $ | 5,879,986 |  |  | 223,372 |  |  | (7,738 | ) |  | 6,095,620 |
Unrealized gains and losses of AFS securities represent fair value fluctuations from the later of: (i) the date a security is designated as AFS; or (ii) the date that an OTTI charge is recognized on an AFS security, through the date of the balance sheet. These unrealized gains and losses are recorded in accumulated other comprehensive income (loss) ("AOCI") on the Consolidated Balance Sheets. The following table provides a rollforward of the allowance for credit losses on our AFS fixed income securities for 2020:
March 31, 2020 |  |  |  |  |  |  |  |  |  |  |  |
($ in thousands) |  | Beginning Balance |  | Current Provision for Securities without Prior Allowance |  | Increase or (Decrease) on Securities with Prior Allowance, excluding intent (or Requirement) to Sell Securities |  | Reductions for Securities Sold |  | Reductions for Securities Identified as Intent (or Requirement) to Sell during the Period |  | Ending Balance
Foreign government |  | — |  |  | 21 |  |  | — |  |  | — |  |  | — |  |  | 21 |
Obligations of states and political subdivisions |  | — |  |  | 29 |  |  | — |  |  | — |  |  | — |  |  | 29 |
Corporate securities |  | — |  |  | 13,412 |  |  | — |  |  | — |  |  | — |  |  | 13,412 |
CLO and other ABS |  | — |  |  | 1,565 |  |  | — |  |  | — |  |  | — |  |  | 1,565 |
CMBS |  | — |  |  | 38 |  |  | — |  |  | — |  |  | — |  |  | 38 |
RMBS |  | — |  |  | 722 |  |  | — |  |  | — |  |  | — |  |  | 722 |
Total AFS fixed income securities |  | $ | — |  |  | 15,787 |  |  | — |  |  | — |  |  | — |  |  | 15,787 |
During 2020, we did not experience any write-offs or recoveries of our AFS fixed income securities, nor did we purchase any assets with credit deterioration, therefore these items are not included in the table above. As disclosed in Note 1. "Basis of Presentation and Accounting Policies," we do not evaluate accrued interest on our AFS securities for credit impairment as we write-off these balance in a timely manner. As of March 31, 2020, accrued interest on AFS securities amounted to $42.8 million and we did not record any write-offs of accrued interest during First Quarter 2020. (c) Quantitative information about unrealized losses on our AFS portfolio is provided below.
March 31, 2020 |  | Less than 12 months |  | 12 months or longer |  | Total
($ in thousands) |  | Fair Value |  | Unrealized Losses |  | Fair Value |  | Unrealized Losses |  | Fair Value |  | Unrealized Losses
AFS fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign government |  | 4,376 |  |  | (252 | ) |  | — |  |  | — |  |  | 4,376 |  |  | (252 | )
Obligations of states and political subdivisions |  | 70,830 |  |  | (1,434 | ) |  | — |  |  | — |  |  | 70,830 |  |  | (1,434 | )
Corporate securities |  | 553,419 |  |  | (31,677 | ) |  | 8,185 |  |  | (1,181 | ) |  | 561,604 |  |  | (32,858 | )
CLO and other ABS |  | 445,676 |  |  | (49,404 | ) |  | 136,413 |  |  | (18,094 | ) |  | 582,089 |  |  | (67,498 | )
CMBS |  | 144,010 |  |  | (11,119 | ) |  | 11,373 |  |  | (1,023 | ) |  | 155,383 |  |  | (12,142 | )
RMBS |  | 71,741 |  |  | (2,561 | ) |  | 1,974 |  |  | (166 | ) |  | 73,715 |  |  | (2,727 | )
Total AFS fixed income securities |  | $ | 1,290,052 |  |  | (96,447 | ) |  | 157,945 |  |  | (20,464 | ) |  | 1,447,997 |  |  | (116,911 | )
December 31, 2019 |  | Less than 12 months |  | 12 months or longer |  | Total
($ in thousands) |  | Fair Value |  | Unrealized Losses |  | Fair Value |  | Unrealized Losses |  | Fair Value |  | Unrealized Losses
AFS fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign government |  | 1,416 |  |  | (2 | ) |  | — |  |  | — |  |  | 1,416 |  |  | (2 | )
Obligations of states and political subdivisions |  | 35,838 |  |  | (270 | ) |  | — |  |  | — |  |  | 35,838 |  |  | (270 | )
Corporate securities |  | 84,832 |  |  | (480 | ) |  | 20,182 |  |  | (830 | ) |  | 105,014 |  |  | (1,310 | )
CLO and other ABS |  | 205,191 |  |  | (1,938 | ) |  | 204,385 |  |  | (3,496 | ) |  | 409,576 |  |  | (5,434 | )
CMBS |  | 62,893 |  |  | (264 | ) |  | 828 |  |  | (3 | ) |  | 63,721 |  |  | (267 | )
RMBS |  | 126,089 |  |  | (425 | ) |  | 5,375 |  |  | (30 | ) |  | 131,464 |  |  | (455 | )
Total AFS fixed income securities |  | $ | 516,259 |  |  | (3,379 | ) |  | 230,770 |  |  | (4,359 | ) |  | 747,029 |  |  | (7,738 | )
We do not currently intend to sell any of the securities in the tables above, nor is it likely we will be required to sell any of these securities. Considering these factors and our review of these securities under our methodology for analyzing OTTI, we have concluded that they are temporarily impaired as we believe: (i) they will mature at par value; (ii) they have not incurred a credit impairment; and (iii) future values of these securities will fluctuate with changes in interest rates. This conclusion reflects our current judgment as to the financial position and future prospects of the entity that issued the investment security and underlying collateral. The COVID-19-related governmental orders have caused uncertainty and extreme volatility in the financial markets. Consequently, our gross unrealized losses on our AFS fixed income securities portfolio increased to $116.9 million from $7.7 million at December 31, 2019. The increase in total unrealized losses was driven by widening credit spreads as a result of the uncertainty in the marketplace, and partially offset by a significant decline in benchmark risk-free rates. (d) Fixed income securities at March 31, 2020, are shown below by contractual maturity. Mortgage-backed securities are included in the maturity tables using the estimated average life of each security. Expected maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations, with or without call or prepayment penalties.
|  | AFS |  | HTM
($ in thousands) |  | Fair Value |  | Carrying Value |  | Fair Value
Due in one year or less |  | $ | 295,885 |  |  | 929 |  |  | 965 |
Due after one year through five years |  | 3,471,503 |  |  | 13,943 |  |  | 15,115 |
Due after five years through 10 years |  | 1,925,970 |  |  | 5,508 |  |  | 5,841 |
Due after 10 years |  | 252,002 |  |  | — |  |  | — |
Total fixed income securities |  | $ | 5,945,360 |  |  | 20,380 |  |  | 21,921 |
(e) The following table summarizes our other investment portfolio by strategy:
Other Investments |  | March 31, 2020 |  | December 31, 2019
($ in thousands) |  | Carrying Value |  | Remaining Commitment |  | Maximum Exposure to Loss 1 |  | Carrying Value |  | Remaining Commitment |  | Maximum Exposure to Loss 1
Alternative Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |
Private equity |  | $ | 131,936 |  |  | 102,801 |  |  | 234,737 |  |  | 118,352 |  |  | 93,138 |  |  | 211,490 |
Private credit |  | 46,515 |  |  | 101,587 |  |  | 148,102 |  |  | 42,532 |  |  | 105,340 |  |  | 147,872 |
Real assets |  | 23,385 |  |  | 23,406 |  |  | 46,791 |  |  | 23,256 |  |  | 20,741 |  |  | 43,997 |
Total alternative investments |  | 201,836 |  |  | 227,794 |  |  | 429,630 |  |  | 184,140 |  |  | 219,219 |  |  | 403,359 |
Other securities |  | 43,098 |  |  | — |  |  | 43,098 |  |  | 32,667 |  |  | — |  |  | 32,667 |
Total other investments |  | $ | 244,934 |  |  | 227,794 |  |  | 472,728 |  |  | 216,807 |  |  | 219,219 |  |  | 436,026 |
1 The maximum exposure to loss includes both the carry value of these investments and the related remaining commitments. In addition, tax credits that have been previously recognized in Other securities are subject to the risk of recapture, which we do not consider significant. We are contractually committed to make additional investments up to the remaining commitments outlined above; however, we do not have a future obligation to fund losses or debts on behalf of these investments. We have not provided any non-contractual financial support at any time during 2020 or 2019. The following table shows gross summarized financial information for our other investments portfolio, including the portion we do not own. The majority of these investments are carried under the equity method of accounting. The last line of the table below reflects our share of the aggregate income or loss, which is the portion included in our Financial Statements. As the majority of these investments report results to us on a one-quarter lag, the summarized financial statement information for the three-month period ended December 31 is included in our First Quarter results. This information is as follows:
Income Statement Information |  | Quarter Ended March 31,
($ in millions) |  | 2020 |  | 2019
Net investment (loss) income |  | $ | 12.7 |  |  | (150.0 | )
Realized (losses) gains |  | 164.8 |  |  | 143.3 |
Net change in unrealized appreciation (depreciation) |  | 1,204.0 |  |  | 554.3 |
Net income |  | $ | 1,381.5 |  |  | 547.6 |
Insurance Subsidiaries’ alternative investments income |  | $ | 6.3 |  |  | 0.6 |
As noted above, the $6.3 million of income associated with our alternative investment portfolio is largely recorded on a one-quarter lag, so the carry value of $201.8 million at March 31, 2020, does not reflect the significant COVID-19-related financial market volatility. Refer to Note 16. "Subsequent Events" below for additional information regarding our estimate of the results of our alternative investments portfolio to be recorded in the second quarter of 2020. (f) Certain Insurance Subsidiaries have pledged certain AFS fixed income securities as collateral as members of the Federal Home Loan Bank of Indianapolis ("FHLBI") and the Federal Home Loan Bank of New York ("FHLBNY"). In addition, we had certain securities deposited with various state and regulatory agencies at March 31, 2020, to comply with insurance laws. We retain all rights regarding all securities pledged as collateral. The following table summarizes the market value of these securities at March 31, 2020:
($ in millions) |  | FHLBI Collateral |  | FHLBNY Collateral |  | State and Regulatory Deposits |  | Total
U.S. government and government agencies |  | $ | — |  |  | — |  |  | 23.4 |  |  | 23.4 |
Obligations of states and political subdivisions |  | — |  |  | — |  |  | 4.0 |  |  | 4.0 |
Corporate securities |  | — |  |  | — |  |  | 0.3 |  |  | 0.3 |
CMBS |  | 7.1 |  |  | 28.1 |  |  | — |  |  | 35.2 |
RMBS |  | 139.7 |  |  | 225.7 |  |  | — |  |  | 365.4 |
Total pledged as collateral |  | $ | 146.8 |  |  | 253.8 |  |  | 27.7 |  |  | 428.3 |
(g) We did not have exposure to any credit concentration risk of a single issuer greater than 10% of our stockholders' equity, other than certain U.S. government-backed investments, as of March 31, 2020, or December 31, 2019. (h) The components of pre-tax net investment income earned were as follows:
|  | Quarter Ended March 31,
($ in thousands) |  | 2020 |  | 2019
Fixed income securities |  | $ | 50,253 |  |  | 49,033 |
CMLs |  | 62 |  |  | — |
Equity securities |  | 1,552 |  |  | 1,640 |
Short-term investments |  | 1,166 |  |  | 2,044 |
Other investments |  | 6,342 |  |  | 660 |
Investment expenses |  | (3,408 | ) |  | (2,759 | )
Net investment income earned |  | $ | 55,967 |  |  | 50,618 |
(i) The following table summarizes OTTI by asset type for the periods indicated:
|  | Quarter Ended March 31,
|  | 2020 |  | 2019
($ in thousands) |  | Credit Loss Expense |  | Other Impairment Charges |  | Recognized in Earnings |  | Recognized in Earnings
AFS fixed income securities: |  |  |  |  |  |  |  |
U.S. government and government agencies |  | — |  |  | 14 |  |  | 14 |  |  | — |
Foreign government |  | 21 |  |  | — |  |  | 21 |  |  | — |
Obligations of states and political subdivisions |  | 29 |  |  | 62 |  |  | 91 |  |  | 65 |
Corporate securities |  | 13,412 |  |  | 11,603 |  |  | 25,015 |  |  | — |
CLO and other ABS |  | 1,565 |  |  | 2,000 |  |  | 3,565 |  |  | — |
CMBS |  | 38 |  |  | 1,852 |  |  | 1,890 |  |  | — |
RMBS |  | 722 |  |  | 71 |  |  | 793 |  |  | — |
Total AFS fixed income securities |  | 15,787 |  |  | 15,602 |  |  | 31,389 |  |  | 65 |
CMLs |  | 240 |  |  | — |  |  | 240 |  |  | — |
Other Investments |  | — |  |  | — |  |  | — |  |  | 39 |
Total OTTI |  | 16,027 |  |  | 15,602 |  |  | 31,629 |  |  | 104 |
The $31.6 million of OTTI during First Quarter 2020 was a $31.5 million increase from First Quarter 2019. Included in the $31.6 million of First Quarter 2020 OTTI are $15.6 million of other impairment charges, which represent securities that are in an unrealized loss position that we intend to sell. This provided our investment managers significant flexibility to trade and optimize our investment portfolio in the COVID-19-related financial market volatility. (j) Net realized and unrealized gains and losses (excluding OTTI charges) for First Quarter 2020 and 2019 included the following:
|  | Quarter Ended March 31,
($ in thousands) |  | 2020 |  | 2019
Net realized gains (losses) on the disposals of securities: |  |  |  |
Fixed income securities |  | $ | 4,276 |  |  | 1,143 |
Equity securities |  | (3 | ) |  | 2,280 |
Short-term investments |  | (168 | ) |  | 14 |
Other investments |  | (5 | ) |  | 7 |
Net realized gains (losses) on the disposal of securities |  | 4,100 |  |  | 3,444 |
OTTI charges |  | (31,629 | ) |  | (104 | )
Net realized gains (losses) |  | (27,529 | ) |  | 3,340 |
Unrealized (losses) gains recognized in income on equity securities |  | (17,137 | ) |  | 10,111 |
Total net realized and unrealized investment (losses) gains |  | $ | (44,666 | ) |  | 13,451 |
The $58.1 million increase in net realized and unrealized investment losses was primarily driven by the increase in OTTI discussed above, coupled with a $27.2 million increase in unrealized losses on our equity securities in First Quarter 2020, related to the COVID-19-related financial market disruption. Unrealized (losses) recognized in income on equity securities, as reflected in the table above, include the following:
|  | Quarter Ended March 31,
($ in thousands) |  | 2020 |  | 2019
Unrealized (losses) gains recognized in income on equity securities: |  |  |  |
On securities remaining in our portfolio at March 31, 2020 |  | $ | (17,140 | ) |  | 12,055 |
On securities sold in each respective period |  | 3 |  |  | (1,944 | )
Total unrealized (losses) gains recognized in income on equity securities |  | $ | (17,137 | ) |  | 10,111 |
The components of net realized gains on disposals of securities for the periods indicated were as follows:
|  | Quarter Ended March 31,
($ in thousands) |  | 2020 |  | 2019
HTM fixed income securities |  |  |  |
Gains |  | $ | 1 |  |  | — |
Losses |  | — |  |  | — |
AFS fixed income securities |  |  |  |  |  |
Gains |  | 5,653 |  |  | 1,844 |
Losses |  | (1,378 | ) |  | (701 | )
Equity securities |  |  |  |  |  |
Gains |  | — |  |  | 2,280 |
Losses |  | (3 | ) |  | — |
Short-term investments |  |  |  |
Gains |  | 22 |  |  | 14 |
Losses |  | (190 | ) |  | — |
Other investments |  |  |  |
Gains |  | — |  |  | 7 |
Losses |  | (5 | ) |  | — |
Total net realized gains on disposals of securities |  | $ | 4,100 |  |  | 3,444 |
Realized gains and losses on the sale of investments are determined on the basis of the cost of the specific investments sold.

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- Definition The entire disclosure for investment. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 321 -URI http://asc.fasb.org/topic&trid=75115024 Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -URI http://asc.fasb.org/topic&trid=2196928 Reference 3: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 325 -URI http://asc.fasb.org/topic&trid=2197064 Reference 4: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 323 -URI http://asc.fasb.org/topic&trid=2196965 + Details
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