XML 23 R11.htm IDEA: XBRL DOCUMENT v3.24.3

Investments

9 Months Ended

Sep. 30, 2024

Investments [Abstract]

Investments

Investments

(a) Information regarding our AFS securities as of September 30, 2024 and December 31, 2023, were as follows:

September 30, 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						$	139,877					—						106						(14,581)						125,402
Foreign government						10,671						(24)						—						(985)						9,662
Obligations of states and political subdivisions						512,086						(472)						2,865						(21,623)						492,856
Corporate securities						3,067,267						(12,034)						58,570						(87,018)						3,026,785
Collateralized loan obligations ("CLO") and other asset-backed securities ("ABS")						1,971,489						(4,462)						28,036						(48,670)						1,946,393
Residential mortgage-backed securities ("RMBS")						1,801,760						(11,509)						13,319						(63,561)						1,740,009
Commercial mortgage-backed securities ("CMBS")						766,188						(3)						4,819						(23,510)						747,494
Total AFS fixed income securities						$	8,269,338					(28,504)						107,715						(259,948)						8,088,601

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 September 30, 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						$	26					—						—						(2)						—						—						24
Obligations of states and political subdivisions						639						107						—						(266)						(8)						—						472
Corporate securities						15,950						747						—						(4,231)						(432)						—						12,034
CLO and other ABS						3,022						1,575						—						(49)						(86)						—						4,462
RMBS						11,660						—						—						(63)						(88)						—						11,509
CMBS						12						—						—						(9)						—						—						3
Total AFS fixed income securities						$	31,309					2,429						—						(4,620)						(614)						—						28,504

Quarter ended September 30, 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						$	34					—						—						(2)						—						—						32
Obligations of states and political subdivisions						769						96						—						55						(28)						—						892
Corporate securities						16,149						1,939						—						(111)						(212)						—						17,765
CLO and other ABS						2,915						148						—						167						(12)						—						3,218
RMBS						11,550						23						—						154						(102)						—						11,625
CMBS						8						—						—						(1)						(1)						—						6
Total AFS fixed income securities						$	31,425					2,206						—						262						(355)						—						33,538

Nine Months ended September 30, 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					—						—						(4)						(7)						—						24
Obligations of states and political subdivisions						669						118						—						(299)						(16)						—						472
Corporate securities						12,999						1,325						—						(1,282)						(999)						(9)						12,034
CLO and other ABS						2,854						1,886						—						(188)						(90)						—						4,462
RMBS						11,649						—						—						139						(279)						—						11,509
CMBS						6						—						—						(3)						—						—						3
Total AFS fixed income securities						$	28,212					3,329						—						(1,637)						(1,391)						(9)						28,504

Nine Months ended September 30, 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					—						—						(252)						—						—						32
Obligations of states and political subdivisions						1,024						100						—						(120)						(112)						—						892
Corporate securities						30,330						6,078						—						(14,992)						(3,600)						(51)						17,765
CLO and other ABS						2,375						904						—						(40)						(21)						—						3,218
RMBS						11,597						24						—						334						(330)						—						11,625
CMBS						111						1						—						38						(144)						—						6
Total AFS fixed income securities						$	45,721					7,107						—						(15,032)						(4,207)						(51)						33,538

During Nine Months 2024 and Nine Months 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 $68.9 million as of September 30, 2024, and $64.6 million as of December 31, 2023. We did not record any write-offs of accrued interest in Nine Months 2024 and Nine Months 2023.

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

September 30, 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						$	352					(36)						110,409						(14,545)						110,761						(14,581)
Foreign government						—						—						9,662						(985)						9,662						(985)
Obligations of states and political subdivisions						49,972						(322)						264,599						(21,301)						314,571						(21,623)
Corporate securities						164,625						(1,246)						1,158,745						(85,772)						1,323,370						(87,018)
CLO and other ABS						264,653						(5,352)						657,379						(43,318)						922,032						(48,670)
RMBS						233,580						(966)						727,552						(62,595)						961,132						(63,561)
CMBS						27,946						(107)						451,713						(23,403)						479,659						(23,510)
Total AFS fixed income securities						$	741,128					(8,029)						3,380,059						(251,919)						4,121,187						(259,948)

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 September 30, 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 September 30, 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						$	623,583					820						833
Due after one year through five years						3,638,555						13,971						13,574
Due after five years through 10 years						3,030,532						7,167						7,033
Due after 10 years						795,931						—						—
Total fixed income securities						$	8,088,601					21,958						21,440

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

						September 30, 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						$	337,905					191,411						529,316						301,759						131,885						433,644
Private credit						50,236						96,702						146,938						54,500						89,401						143,901
Real assets						43,858						41,439						85,297						39,520						33,040						72,560
Total alternative investments						$	431,999					329,552						761,551						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 3- and 9-month periods ended June 30:

Income Statement Information						Quarter ended September 30,												Nine Months ended September 30
($ in millions)						2024						2023						2024						2023
Net investment income (loss)						$	230.6					74.3						$	127.0					(66.9)
Realized gains						1,878.3						1,108.5						5,263.4						3,752.8
Net change in unrealized appreciation (depreciation)						607.7						2,216.3						7,277.0						7,414.1
Net income						$	2,716.6					3,399.1						$	12,667.4					11,100.0
Alternative investment income included in "Net investment income earned" on our Consolidated Statements of Income						$	9.0					6.5						$	26.4					25.6

(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 September 30, 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 September 30, 2024:

($ in millions)						FHLBI Collateral						FHLBNY Collateral												State and Regulatory Deposits						Total
U.S. government and government agencies						$	—					—												22.0						22.0
Obligations of states and political subdivisions						—						—												3.2						3.2
RMBS						65.9						23.4												—						89.3
CMBS						1.8						8.4												—						10.2
Total pledged as collateral						$	67.7					31.8												25.2						124.7

(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 September 30, 2024, or December 31, 2023.

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

						Quarter ended September 30,												Nine Months ended September 30,
($ in thousands)						2024						2023						2024						2023
Fixed income securities						$	98,464					90,013						$	286,501					254,016
Commercial mortgage loans ("CMLs")						3,238						2,516						9,177						6,680
Equity securities						5,362						2,083						12,147						5,524
Short-term investments						6,457						3,941						14,656						11,483
Alternative investments						9,031						6,473						26,429						25,637
Other investments						251						284						632						515
Investment expenses						(5,044)						(4,447)						(15,292)						(13,790)
Net investment income earned						$	117,759					100,863						$	334,250					290,065

The increase in net investment income earned in Third Quarter 2024 and Nine Months 2024 compared to the same prior-year periods was primarily driven by higher interest rates, active portfolio management, and operating cash flow deployment.

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

						Quarter ended September 30,												Nine Months ended September 30,
($ in thousands)						2024						2023						2024						2023
Gross gains on sales						$	4,159					367						$	10,681					5,307
Gross losses on sales						(2,012)						(5,264)						(5,228)						(30,146)
Net realized gains (losses) on disposals						2,147						(4,897)						5,453						(24,839)
Net unrealized gains (losses) on equity securities						2,407						489						3,006						8,662
Net credit loss benefit (expense) on fixed income securities, AFS						2,191						(2,468)						(1,692)						7,925
Net credit loss benefit (expense) on CMLs						(2)						(4)						134						(65)
Losses on securities for which we have the intent to sell						(752)						—						(1,248)						(645)
Other realized gains (losses)						(602)						—						(602)						—
Net realized and unrealized investment gains (losses)						$	5,389					(6,880)						$	5,051					(8,962)

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

						Quarter ended September 30,												Nine Months ended September 30,
($ in thousands)						2024						2023						2024						2023
Unrealized gains (losses) recognized in income on equity securities:
On securities remaining in our portfolio at end of period						$	1,997					200						$	4,904					2,744
On securities sold in period						410						289						(1,898)						5,918
Total unrealized gains (losses) recognized in income on equity securities						$	2,407					489						$	3,006					8,662

X

- Definition

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

+ 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