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Investments

3 Months Ended

Mar. 31, 2024

Investments [Abstract]

Investments

Investments

(a) Information regarding our AFS securities as of March 31, 2024 and December 31, 2023, were as follows:

March 31, 2024						Cost/ Amortized Cost						Allowance for Credit Losses						Unrealized Gains						Unrealized Losses						Fair Value
($ in thousands)
AFS fixed income securities:
U.S. government and government agencies						$	161,335					—						70						(19,579)						141,826
Foreign government						10,703						(29)						—						(1,445)						9,229
Obligations of states and political subdivisions						570,438						(695)						1,101						(31,858)						538,986
Corporate securities						2,930,310						(15,442)						20,367						(140,185)						2,795,050
Collateralized loan obligations ("CLO") and other asset-backed securities ("ABS")						1,958,551						(2,627)						15,158						(73,997)						1,897,085
Residential mortgage-backed securities ("RMBS")						1,623,948						(11,580)						3,828						(104,237)						1,511,959
Commercial mortgage-backed securities ("CMBS")						727,986						(8)						1,103						(39,712)						689,369
Total AFS fixed income securities						$	7,983,271					(30,381)						41,627						(411,013)						7,583,504

December 31, 2023						Cost/ Amortized Cost						Allowance for Credit Losses						Unrealized Gains						Unrealized Losses						Fair Value
($ in thousands)
AFS fixed income securities:
U.S. government and government agencies						$	223,157					—						139						(18,261)						205,035
Foreign government						11,140						(35)						—						(1,302)						9,803
Obligations of states and political subdivisions						612,938						(669)						2,623						(28,927)						585,965
Corporate securities						2,834,048						(12,999)						28,078						(137,888)						2,711,239
CLO and other ABS						1,911,831						(2,854)						11,855						(86,005)						1,834,827
RMBS						1,568,960						(11,649)						6,023						(85,851)						1,477,483
CMBS						718,623						(6)						1,358						(45,130)						674,845
Total AFS fixed income securities						$	7,880,697					(28,212)						50,076						(403,364)						7,499,197

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 March 31, 2024						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
($ in thousands)
Foreign government						$	35					—						—						—						(6)						—						29
Obligations of states and political subdivisions						669						9						—						25						(8)						—						695
Corporate securities						12,999						1,015						—						1,792						(355)						(9)						15,442
CLO and other ABS						2,854						90						—						(314)						(3)						—						2,627
RMBS						11,649						—						—						31						(100)						—						11,580
CMBS						6						2						—						—						—						—						8
Total AFS fixed income securities						$	28,212					1,116						—						1,534						(472)						(9)						30,381

Quarter ended March 31, 2023						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
($ in thousands)
Foreign government						$	284					—						—						(248)						—						—						36
Obligations of states and political subdivisions						1,024						50						—						(254)						(83)						—						737
Corporate securities						30,330						2,854						—						(13,964)						(2,453)						(11)						16,756
CLO and other ABS						2,375						787						—						736						(3)						—						3,895
RMBS						11,597						12						—						219						(88)						—						11,740
CMBS						111						27						—						252						—						—						390
Total AFS fixed income securities						$	45,721					3,730						—						(13,259)						(2,627)						(11)						33,554

During First Quarter 2024 and First Quarter 2023, we had no 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 2023 Annual Report. Accrued interest on AFS securities was $66.3 million as of March 31, 2024, and $64.6 million as of December 31, 2023. We did not record any write-offs of accrued interest in First Quarter 2024 and First Quarter 2023.

(b) Quantitative information about unrealized losses on our AFS portfolio follows:

March 31, 2024						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						$	8,149					(49)						107,151						(19,530)						115,300						(19,579)
Foreign government						—						—						9,229						(1,445)						9,229						(1,445)
Obligations of states and political subdivisions						161,084						(1,289)						303,259						(30,569)						464,343						(31,858)
Corporate securities						316,330						(4,043)						1,446,157						(136,142)						1,762,487						(140,185)
CLO and other ABS						385,471						(7,527)						824,843						(66,470)						1,210,314						(73,997)
RMBS						511,009						(8,770)						761,356						(95,467)						1,272,365						(104,237)
CMBS						133,266						(2,033)						494,395						(37,679)						627,661						(39,712)
Total AFS fixed income securities						$	1,515,309					(23,711)						3,946,390						(387,302)						5,461,699						(411,013)

December 31, 2023						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						$	77,698					(188)						108,578						(18,073)						186,276						(18,261)
Foreign government						1,552						(87)						8,251						(1,215)						9,803						(1,302)
Obligations of states and political subdivisions						137,031						(962)						290,964						(27,965)						427,995						(28,927)
Corporate securities						263,423						(6,369)						1,439,422						(131,519)						1,702,845						(137,888)
CLO and other ABS						278,940						(7,120)						984,175						(78,885)						1,263,115						(86,005)
RMBS						351,976						(4,765)						757,914						(81,086)						1,109,890						(85,851)
CMBS						130,189						(2,995)						471,256						(42,135)						601,445						(45,130)
Total AFS fixed income securities						$	1,240,809					(22,486)						4,060,560						(380,878)						5,301,369						(403,364)

We currently do not intend to sell any of the securities summarized in the tables above, nor do we believe we will be required to sell any of them. 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 2023 Annual Report, we have concluded that no additional allowance for credit loss is required on these balances beyond the allowance for credit loss recorded as of March 31, 2024. 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) AFS and held-to-maturity ("HTM") fixed income securities at March 31, 2024, by contractual maturity are shown below. The maturities of RMBS, CMBS, CLO and other ABS 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						$	582,163					—						—
Due after one year through five years						3,435,983						15,716						14,898
Due after five years through 10 years						2,833,659						4,579						4,285
Due after 10 years						731,699						—						—
Total fixed income securities						$	7,583,504					20,295						19,183

(d) The following table summarizes our alternative investment portfolio by strategy:

						March 31, 2024																		December 31, 2023
($ in thousands)						Carrying Value						Remaining Commitment						Maximum Exposure to Loss						Carrying Value						Remaining Commitment						Maximum Exposure to Loss
Alternative Investments
Private equity						$	306,444					137,986						444,430						301,759						131,885						433,644
Private credit						53,392						90,569						143,961						54,500						89,401						143,901
Real assets						42,853						31,100						73,953						39,520						33,040						72,560
Total alternative investments						$	402,689					259,655						662,344						395,779						254,326						650,105

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 2024 or 2023.

The following table shows gross summarized financial information for our alternative investments portfolio, including the portion we do not own. As the majority of these investments report results to us on a one quarter lag, the summarized financial statement information is for the three-month period ended December 31:

Income Statement Information						Quarter ended March 31,
($ in millions)						2024						2023
Net investment income (loss)						$	(346.0)					(70.7)
Realized gains						1,830.8						1,722.3
Net change in unrealized appreciation (depreciation)						3,819.0						1,443.7
Net income						$	5,303.8					3,095.3
Alternative investment income included in "Net investment income earned" on our Consolidated Statements of Income						$	6.9					7.8

(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 March 31, 2024 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, 2024:

($ in millions)						FHLBI Collateral						FHLBNY Collateral												State and Regulatory Deposits						Total
U.S. government and government agencies						$	—					—												20.0						20.0
Obligations of states and political subdivisions						—						—												4.2						4.2
RMBS						66.2						24.1												—						90.3
CMBS						2.3						8.5												—						10.8
Total pledged as collateral						$	68.5					32.6												24.2						125.3

(f) We did not have exposure to any credit concentration risk of a single issuer greater than 10% of our stockholders' equity, other than to certain U.S. government agencies, as of March 31, 2024, or December 31, 2023.

(g) The components of pre-tax net investment income earned were as follows:

						Quarter ended March 31,
($ in thousands)						2024						2023
Fixed income securities						$	94,102					80,087
Commercial mortgage loans ("CMLs")						2,794						1,965
Equity securities						4,908						1,205
Short-term investments						3,519						4,650
Alternative investments						6,881						7,768
Other investments						263						43
Investment expenses						(4,618)						(4,212)
Net investment income earned						$	107,849					91,506

(h) The following table summarizes net realized and unrealized investment gains and losses for the periods indicated:

						Quarter ended March 31,
($ in thousands)						2024						2023
Gross gains on sales						$	2,135					3,784
Gross losses on sales						(1,965)						(12,930)
Net realized gains (losses) on disposals						170						(9,146)
Net unrealized gains (losses) on equity securities						692						3,248
Net credit loss benefit (expense) on fixed income securities, AFS						(2,650)						9,529
Net credit loss benefit (expense) on CMLs						168						17
Losses on securities for which we have the intent to sell						(15)						(304)
Net realized and unrealized investment gains (losses)						$	(1,635)					3,344

Net unrealized gains and losses recognized in income on equity securities, as reflected in the table above, included the following:

						Quarter ended March 31,
($ in thousands)						2024						2023
Unrealized gains (losses) recognized in income on equity securities:
On securities remaining in our portfolio at end of period						$	692					(142)
On securities sold in period						—						3,390
Total unrealized gains (losses) recognized in income on equity securities						$	692					3,248

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The entire disclosure for investment.

+ References

Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef
-Topic 320
-Name Accounting Standards Codification
-Publisher FASB
-URI https://asc.fasb.org//320/tableOfContent

Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef
-Name Accounting Standards Codification
-Topic 321
-Publisher FASB
-URI https://asc.fasb.org//321/tableOfContent

Reference 3: http://www.xbrl.org/2009/role/commonPracticeRef
-Name Accounting Standards Codification
-Topic 325
-Publisher FASB
-URI https://asc.fasb.org//325/tableOfContent

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