XML 21 R11.htm IDEA: XBRL DOCUMENT
v3.22.2

Investments | 6 Months Ended
--- | ---
Jun. 30, 2022
Investments [Abstract] |
Investments | Investments (a) Information regarding our AFS securities as of June 30, 2022, and December 31, 2021 were as follows:
June 30, 2022 |  |  |  |  |  |  |  |  |  |
($ 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 |  | $ | 125,665 |  |  | — |  |  | 76 |  |  | (11,396) |  |  | 114,345 |
Foreign government |  | 16,900 |  |  | (265) |  |  | 1 |  |  | (1,338) |  |  | 15,298 |
Obligations of states and political subdivisions |  | 1,093,211 |  |  | (1,206) |  |  | 5,791 |  |  | (31,558) |  |  | 1,066,238 |
Corporate securities |  | 2,461,952 |  |  | (35,072) |  |  | 3,651 |  |  | (154,204) |  |  | 2,276,327 |
Collateralized loan obligations ("CLO") and other asset-backed securities ("ABS") |  | 1,518,994 |  |  | (3,623) |  |  | 2,906 |  |  | (80,499) |  |  | 1,437,778 |
Residential mortgage-backed securities ("RMBS") |  | 971,347 |  |  | (10,616) |  |  | 1,254 |  |  | (50,185) |  |  | 911,800 |
Commercial mortgage-backed securities ("CMBS") |  | 645,361 |  |  | (18) |  |  | 666 |  |  | (28,517) |  |  | 617,492 |
Total AFS fixed income securities |  | $ | 6,833,430 |  |  | (50,800) |  |  | 14,345 |  |  | (357,697) |  |  | 6,439,278 |
December 31, 2021 |  |  |  |  |  |  |  |  |  |
($ 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 |  | $ | 127,974 |  |  | — |  |  | 3,629 |  |  | (1,145) |  |  | 130,458 |
Foreign government |  | 15,420 |  |  | (46) |  |  | 609 |  |  | (123) |  |  | 15,860 |
Obligations of states and political subdivisions |  | 1,121,422 |  |  | (137) |  |  | 68,258 |  |  | (235) |  |  | 1,189,308 |
Corporate securities |  | 2,478,348 |  |  | (6,682) |  |  | 106,890 |  |  | (4,953) |  |  | 2,573,603 |
CLO and other ABS |  | 1,343,687 |  |  | (939) |  |  | 14,350 |  |  | (6,284) |  |  | 1,350,814 |
RMBS |  | 756,280 |  |  | (1,909) |  |  | 24,813 |  |  | (2,932) |  |  | 776,252 |
CMBS |  | 647,622 |  |  | (11) |  |  | 27,752 |  |  | (1,682) |  |  | 673,681 |
Total AFS fixed income securities |  | $ | 6,490,753 |  |  | (9,724) |  |  | 246,301 |  |  | (17,354) |  |  | 6,709,976 |
The following tables provide a roll forward of the allowance for credit losses on our AFS fixed income securities for the indicated periods:
Quarter ended June 30, 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |
($ in thousands) |  | Beginning Balance |  | Current Provision for Securities without Prior Allowance |  | Initial Allowance for Purchased Credit Deteriorated Assets with Credit Deterioration |  | Increase (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 |  | $ | 150 |  |  | 117 |  |  | — |  |  | 12 |  |  | (14) |  |  | — |  |  | 265 |
Obligations of states and political subdivisions |  | 1,991 |  |  | 534 |  |  | — |  |  | (1,166) |  |  | (153) |  |  | — |  |  | 1,206 |
Corporate securities |  | 23,066 |  |  | 8,323 |  |  | — |  |  | 5,732 |  |  | (1,944) |  |  | (105) |  |  | 35,072 |
CLO and other ABS |  | 2,283 |  |  | 530 |  |  | — |  |  | 819 |  |  | (9) |  |  | — |  |  | 3,623 |
RMBS |  | 10,029 |  |  | 173 |  |  | — |  |  | 507 |  |  | (93) |  |  | — |  |  | 10,616 |
CMBS |  | 80 |  |  | — |  |  | — |  |  | (62) |  |  | — |  |  | — |  |  | 18 |
Total AFS fixed income securities |  | $ | 37,599 |  |  | 9,677 |  |  | — |  |  | 5,842 |  |  | (2,213) |  |  | (105) |  |  | 50,800 |
Quarter ended June 30, 2021 |  |  |  |  |  |  |  |  |  |  |  |
($ in thousands) |  | Beginning Balance |  | Current Provision for Securities without Prior Allowance |  | Increase (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 |  | $ | 56 |  |  | — |  |  | (7) |  |  | — |  |  | — |  |  | 49 |
Obligations of states and political subdivisions |  | 201 |  |  | — |  |  | (163) |  |  | — |  |  | — |  |  | 38 |
Corporate securities |  | 6,166 |  |  | 148 |  |  | (2,403) |  |  | (373) |  |  | (61) |  |  | 3,477 |
CLO and other ABS |  | 1,470 |  |  | — |  |  | (70) |  |  | (1) |  |  | — |  |  | 1,399 |
RMBS |  | 864 |  |  | 3 |  |  | 230 |  |  | (63) |  |  | — |  |  | 1,034 |
CMBS |  | 24 |  |  | 4 |  |  | (14) |  |  | — |  |  | — |  |  | 14 |
Total AFS fixed income securities |  | $ | 8,781 |  |  | 155 |  |  | (2,427) |  |  | (437) |  |  | (61) |  |  | 6,011 |
Six Months ended June 30, 2022 |  |  |  |  |  |  |  |  |  |
($ in thousands) |  | Beginning Balance |  | Current Provision for Securities without Prior Allowance |  | Initial Allowance for Purchased Credit Deteriorated Assets with Credit Deterioration |  | Increase (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 |  | $ | 46 |  |  | 236 |  |  | — |  |  | (3) |  |  | (14) |  |  | — |  |  | 265 |
Obligations of states and political subdivisions |  | 137 |  |  | 1,237 |  |  | — |  |  | (4) |  |  | (164) |  |  | — |  |  | 1,206 |
Corporate securities |  | 6,682 |  |  | 28,243 |  |  | — |  |  | 4,542 |  |  | (3,191) |  |  | (1,204) |  |  | 35,072 |
CLO and other ABS |  | 939 |  |  | 2,058 |  |  | — |  |  | 637 |  |  | (11) |  |  | — |  |  | 3,623 |
RMBS |  | 1,909 |  |  | 174 |  |  | 8,318 |  |  | 443 |  |  | (228) |  |  | — |  |  | 10,616 |
CMBS |  | 11 |  |  | 17 |  |  | — |  |  | (10) |  |  | — |  |  | — |  |  | 18 |
Total AFS fixed income securities |  | $ | 9,724 |  |  | 31,965 |  |  | 8,318 |  |  | 5,605 |  |  | (3,608) |  |  | (1,204) |  |  | 50,800 |
Six Months ended June 30, 2021 |  |  |  |  |  |  |  |  |  |  |  |
($ in thousands) |  | Beginning Balance |  | Current Provision for Securities without Prior Allowance |  | Increase (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 |  | $ | 1 |  |  | 49 |  |  | (1) |  |  | — |  |  | — |  |  | 49 |
Obligations of states and political subdivisions |  | 4 |  |  | 25 |  |  | 9 |  |  | — |  |  | — |  |  | 38 |
Corporate securities |  | 2,782 |  |  | 2,185 |  |  | (909) |  |  | (520) |  |  | (61) |  |  | 3,477 |
CLO and other ABS |  | 592 |  |  | 941 |  |  | (116) |  |  | (18) |  |  | — |  |  | 1,399 |
RMBS |  | 561 |  |  | 618 |  |  | (68) |  |  | (77) |  |  | — |  |  | 1,034 |
CMBS |  | 29 |  |  | 2 |  |  | (17) |  |  | — |  |  | — |  |  | 14 |
Total AFS fixed income securities |  | $ | 3,969 |  |  | 3,820 |  |  | (1,102) |  |  | (615) |  |  | (61) |  |  | 6,011 |
During Second Quarter and Six Months 2022 and 2021, we did not have any write-offs or recoveries of our AFS fixed income securities. For information on our methodology and significant inputs used to measure expected credit losses, our accounting policy for recognizing write-offs of uncollectible amounts, and our treatment of accrued interest, refer to Note 2. "Summary of Significant Accounting Policies" in Item 8. "Financial Statements and Supplementary Data." of our 2021 Annual Report. Accrued interest on AFS securities was $49.1 million as of June 30, 2022, and $46.3 million as of December 31, 2021. We did not record any material write-offs of accrued interest during 2022 and 2021. (b) Quantitative information about unrealized losses on our AFS portfolio follows:
June 30, 2022 |  | Less than 12 months |  | 12 months or longer |  | Total
($ in thousands) |  | Fair Value |  | Unrealized Losses |  | Fair Value |  | Unrealized Losses |  | Fair Value |  | Unrealized Losses
AFS fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |
U.S. government and government agencies |  | $ | 89,797 |  |  | (9,864) |  |  | 4,522 |  |  | (1,532) |  |  | 94,319 |  |  | (11,396) |
Foreign government |  | 11,027 |  |  | (962) |  |  | 1,799 |  |  | (376) |  |  | 12,826 |  |  | (1,338) |
Obligations of states and political subdivisions |  | 466,743 |  |  | (31,280) |  |  | 2,875 |  |  | (278) |  |  | 469,618 |  |  | (31,558) |
Corporate securities |  | 1,649,434 |  |  | (152,902) |  |  | 6,839 |  |  | (1,302) |  |  | 1,656,273 |  |  | (154,204) |
CLO and other ABS |  | 1,114,978 |  |  | (68,918) |  |  | 158,322 |  |  | (11,581) |  |  | 1,273,300 |  |  | (80,499) |
RMBS |  | 813,811 |  |  | (47,346) |  |  | 17,605 |  |  | (2,839) |  |  | 831,416 |  |  | (50,185) |
CMBS |  | 511,458 |  |  | (24,251) |  |  | 33,690 |  |  | (4,266) |  |  | 545,148 |  |  | (28,517) |
Total AFS fixed income securities |  | $ | 4,657,248 |  |  | (335,523) |  |  | 225,652 |  |  | (22,174) |  |  | 4,882,900 |  |  | (357,697) |
December 31, 2021 |  | 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: |  |  |  |  |  |  |  |  |  |  |  |
U.S. government and government agencies |  | $ | 34,857 |  |  | (746) |  |  | 7,827 |  |  | (399) |  |  | 42,684 |  |  | (1,145) |
Foreign government |  | 2,000 |  |  | (84) |  |  | 1,061 |  |  | (39) |  |  | 3,061 |  |  | (123) |
Obligations of states and political subdivisions |  | 25,837 |  |  | (235) |  |  | — |  |  | — |  |  | 25,837 |  |  | (235) |
Corporate securities |  | 300,549 |  |  | (4,903) |  |  | 2,520 |  |  | (50) |  |  | 303,069 |  |  | (4,953) |
CLO and other ABS |  | 663,976 |  |  | (4,934) |  |  | 53,368 |  |  | (1,350) |  |  | 717,344 |  |  | (6,284) |
RMBS |  | 236,010 |  |  | (2,931) |  |  | 20 |  |  | (1) |  |  | 236,030 |  |  | (2,932) |
CMBS |  | 112,899 |  |  | (1,016) |  |  | 20,326 |  |  | (666) |  |  | 133,225 |  |  | (1,682) |
Total AFS fixed income securities |  | $ | 1,376,128 |  |  | (14,849) |  |  | 85,122 |  |  | (2,505) |  |  | 1,461,250 |  |  | (17,354) |
We currently do not intend to sell any of the securities summarized in the tables above, nor will we be required to sell any of them. The increase in gross unrealized losses as of June 30, 2022 compared to December 31, 2021 was driven by an increase in benchmark U.S. Treasury rates and a widening of credit spreads. Considering these factors and our review of these securities under our credit loss policy as described in Note 2. "Summary of Significant Accounting Policies" in Item 8. "Financial Statements and Supplementary Data." of our 2021 Annual Report, we have concluded that no allowance for credit loss is required on these balances in addition to the allowance for credit loss already recorded in Six Months 2022. This conclusion reflects our current judgment about the financial position and future prospects of the entities that issued the investment security and underlying collateral. (c) Fixed income securities at June 30, 2022, by contractual maturity are shown below. The maturities of mortgage-backed securities were calculated using each security's estimated average life. 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 |  | $ | 330,440 |  |  | 6,721 |  |  | 6,817 |
Due after one year through five years |  | 2,794,530 |  |  | 5,252 |  |  | 5,218 |
Due after five years through 10 years |  | 2,450,184 |  |  | 20,121 |  |  | 19,270 |
Due after 10 years |  | 864,124 |  |  | — |  |  | — |
Total fixed income securities |  | $ | 6,439,278 |  |  | 32,094 |  |  | 31,305 |
(d) The following table summarizes our other investment portfolio by strategy:
Other Investments |  | June 30, 2022 |  | December 31, 2021
($ in thousands) |  | Carrying Value |  | Remaining Commitment |  | Maximum Exposure to Loss 1 |  | Carrying Value |  | Remaining Commitment |  | Maximum Exposure to Loss 1
Alternative Investments |  |  |  |  |  |  |  |  |  |  |  |
Private equity |  | $ | 289,965 |  |  | 124,342 |  |  | 414,307 |  |  | 273,070 |  |  | 99,734 |  |  | 372,804 |
Private credit |  | 56,805 |  |  | 92,436 |  |  | 149,241 |  |  | 63,138 |  |  | 92,674 |  |  | 155,812 |
Real assets |  | 26,546 |  |  | 29,916 |  |  | 56,462 |  |  | 23,524 |  |  | 22,579 |  |  | 46,103 |
Total alternative investments |  | 373,316 |  |  | 246,694 |  |  | 620,010 |  |  | 359,732 |  |  | 214,987 |  |  | 574,719 |
Other securities |  | 56,230 |  |  | — |  |  | 56,230 |  |  | 49,300 |  |  | — |  |  | 49,300 |
Total other investments |  | $ | 429,546 |  |  | 246,694 |  |  | 676,240 |  |  | 409,032 |  |  | 214,987 |  |  | 624,019 |
1 In addition to the amounts in this table, previously recognized tax credits are subject to the risk of recapture. We do not consider the risk of recapture to be significant and therefore do not reflect this risk in the Maximum Exposure to Loss column in this table. We are contractually committed to make additional investments up to the remaining commitments stated above. We did not provide any non-contractual financial support during 2022 or 2021. 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 and report results to us on a one-quarter lag. The following table provides (i) the total net income reported by these investments to all of their investors for the three and six months ended March 31, 2022 and March 31, 2021, and (ii) the portion of these results that are included in our Second Quarter and Six Months 2022 and 2021 results:
Income Statement Information |  | Quarter ended June 30, |  | Six Months ended June 30,
($ in millions) |  | 2022 |  | 2021 |  | 2022 |  | 2021
Net investment income |  | $ | 270.9 |  |  | 8.4 |  |  | $ | 406.5 |  |  | 490.0 |
Realized gains |  | 6,233.5 |  |  | 1,392.5 |  |  | 8,981.5 |  |  | 2,168.6 |
Net change in unrealized appreciation |  | (3,962.4) |  |  | 4,948.9 |  |  | 1,215.9 |  |  | 9,579.7 |
Net income |  | $ | 2,542.0 |  |  | 6,349.8 |  |  | $ | 10,603.9 |  |  | 12,238.3 |
Alternative investment income included in "Net investment income earned" on our Consolidated Statements of Income |  | $ | 9.3 |  |  | 29.9 |  |  | $ | 28.4 |  |  | 50.1 |
(e) We have pledged certain AFS fixed income securities as collateral related to our borrowing relationships with the Federal Home Loan Bank of Indianapolis ("FHLBI") and the Federal Home Loan Bank of New York ("FHLBNY"). In addition, we had certain securities on deposit with various state and regulatory agencies at June 30, 2022 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 June 30, 2022:
($ in millions) |  | FHLBI Collateral |  | FHLBNY Collateral |  |  |  | State and Regulatory Deposits |  | Total
U.S. government and government agencies |  | $ | — |  |  | — |  |  |  |  | 20.1 |  |  | 20.1 |
Obligations of states and political subdivisions |  | — |  |  | — |  |  |  |  | 3.6 |  |  | 3.6 |
RMBS |  | 60.5 |  |  | 32.8 |  |  |  |  | — |  |  | 93.3 |
CMBS |  | 5.2 |  |  | 12.2 |  |  |  |  | — |  |  | 17.4 |
Total pledged as collateral |  | $ | 65.7 |  |  | 45.0 |  |  |  |  | 23.7 |  |  | 134.4 |
(f) 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 agencies, as of June 30, 2022, or December 31, 2021. (g) The components of pre-tax net investment income earned were as follows:
|  | Quarter ended June 30, |  | Six Months ended June 30,
($ in thousands) |  | 2022 |  | 2021 |  | 2022 |  | 2021
Fixed income securities |  | $ | 62,144 |  |  | 52,608 |  |  | $ | 116,069 |  |  | 105,431 |
Commercial mortgage loans ("CMLs") |  | 1,192 |  |  | 695 |  |  | 2,162 |  |  | 1,209 |
Equity securities |  | 2,639 |  |  | 2,982 |  |  | 5,057 |  |  | 5,470 |
Short-term investments |  | 407 |  |  | 55 |  |  | 508 |  |  | 140 |
Other investments |  | 9,060 |  |  | 32,860 |  |  | 28,365 |  |  | 50,293 |
Investment expenses |  | (5,220) |  |  | (5,469) |  |  | (9,337) |  |  | (9,096) |
Net investment income earned |  | $ | 70,222 |  |  | 83,731 |  |  | $ | 142,824 |  |  | 153,447 |
(h) The following table summarizes net realized and unrealized gains and losses for the periods indicated:
|  | Quarter ended June 30, |  | Six Months ended June 30,
($ in thousands) |  | 2022 |  | 2021 |  | 2022 |  | 2021
Gross gains on sales |  | $ | 14,552 |  |  | 2,079 |  |  | $ | 16,749 |  |  | 5,755 |
Gross losses on sales |  | (19,345) |  |  | (1,811) |  |  | (32,905) |  |  | (6,282) |
Net realized (losses) gains on disposals |  | (4,793) |  |  | 268 |  |  | (16,156) |  |  | (527) |
Net unrealized (losses) gains on equity securities |  | (21,860) |  |  | 7,661 |  |  | (24,014) |  |  | 18,941 |
Net credit loss (expense) benefit on fixed income securities, AFS |  | (15,519) |  |  | 2,272 |  |  | (37,571) |  |  | (2,725) |
Net credit loss benefit (expense) on fixed income securities, HTM |  | (6) |  |  | (53) |  |  | 8 |  |  | (60) |
Losses on securities for which we have the intent to sell |  | (702) |  |  | (91) |  |  | (5,499) |  |  | (453) |
Net realized and unrealized (losses) gains |  | $ | (42,880) |  |  | 10,057 |  |  | $ | (83,232) |  |  | 15,176 |
Net realized and unrealized investment gains decreased $52.9 million in Second Quarter 2022 and $98.4 million in Six Months 2022 compared to the same prior-year periods, primarily driven by (i) a decrease in valuations reflecting the current public equities market, (ii) active trading of our fixed income securities in an effort to opportunistically increase yield given the rising interest rate environment, and (iii) higher credit loss expense on our AFS fixed income securities portfolio. Net unrealized losses and gains recognized in income on equity securities, as reflected in the table above, included the following:
|  | Quarter ended June 30, |  | Six Months ended June 30,
($ in thousands) |  | 2022 |  | 2021 |  | 2022 |  | 2021
Unrealized (losses) gains recognized in income on equity securities: |  |  |  |  |  |  |  |
On securities remaining in our portfolio at end of period |  | $ | (13,031) |  |  | 7,458 |  |  | $ | (14,843) |  |  | 16,942 |
On securities sold in period |  | (8,829) |  |  | 203 |  |  | (9,171) |  |  | 1,999 |
Total unrealized (losses) gains recognized in income on equity securities |  | $ | (21,860) |  |  | 7,661 |  |  | $ | (24,014) |  |  | 18,941 |

X
- 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
Name: | us-gaap_InvestmentTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_InvestmentsAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration