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v3.22.1

INVESTMENTS (Tables) | 3 Months Ended
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Mar. 31, 2022
Investments, Debt and Equity Securities [Abstract] |
Schedule of AFS debt securities | The amortized cost and fair value of short-term investments and available-for-sale fixed maturity securities at March 31, 2022 and December 31, 2021 are as follows:
| March 31, 2022
| Amortized Cost |  | Allowance for Expected Credit Losses |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Fair Value
| (dollars in millions)
Fixed maturities: |  |  |  |  |  |  |  |  |
U.S. Treasury securities and agencies | $ | 23.7 |  |  | $ | — |  |  | $ | — |  |  | $ | (0.6) |  |  | $ | 23.1 |
Municipal securities | 20.4 |  |  | — |  |  | — |  |  | (0.7) |  |  | 19.7 |
Corporate debt securities | 49.9 |  |  | — |  |  | 0.1 |  |  | (1.3) |  |  | 48.7 |
Residential mortgage-backed securities | 2.9 |  |  | — |  |  | — |  |  | (0.2) |  |  | 2.7 |
Commercial mortgage backed securities | 32.5 |  |  | — |  |  | — |  |  | (0.6) |  |  | 31.9 |
Other debt obligations | 3.0 |  |  | — |  |  | — |  |  | — |  |  | 3.0 |
Total fixed maturities | 132.4 |  |  | — |  |  | 0.1 |  |  | (3.4) |  |  | 129.1 |
Short-term investments | 0.5 |  |  | — |  |  | — |  |  | — |  |  | 0.5 |
Total | $ | 132.9 |  |  | $ | — |  |  | $ | 0.1 |  |  | $ | (3.4) |  |  | $ | 129.6 |
| December 31, 2021
| Amortized Cost |  | Allowance for Expected Credit Losses |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Fair Value
| (dollars in millions)
Fixed maturities: |  |  |  |  |  |  |  |  |
U.S. Treasury securities and agencies | $ | 23.7 |  |  | $ | — |  |  | $ | — |  |  | $ | (0.4) |  |  | $ | 23.3 |
Municipal securities | 20.4 |  |  | — |  |  | 0.3 |  |  | (0.1) |  |  | 20.6 |
Corporate debt securities | 48.2 |  |  | — |  |  | 0.7 |  |  | (0.2) |  |  | 48.7 |
Residential mortgage-backed securities | 3.5 |  |  | — |  |  | — |  |  | — |  |  | 3.5 |
Commercial mortgage backed securities | 30.2 |  |  | — |  |  | 0.2 |  |  | (0.1) |  |  | 30.3 |
Other debt obligations | 3.5 |  |  | — |  |  | — |  |  | — |  |  | 3.5 |
Total | $ | 129.5 |  |  | $ | — |  |  | $ | 1.2 |  |  | $ | (0.8) |  |  | $ | 129.9 |
The following table reflects the gross and net realized gains and losses on short-term investments, fixed maturities and other investments that have been included in the condensed consolidated statements of operations and comprehensive loss for the three months ended March 31, 2022 and 2021:
|  |  | Three Months Ended March 31, |  |
|  |  |  |  | 2022 |  | 2021 |  |  |  |
|  |  |  |  | (dollars in millions)
Realized gains on investments |  |  |  |  | $ | 1.2 |  |  | $ | 2.5 |  |  |  |  |
Realized losses on investments |  |  |  |  | — |  |  | (0.1) |  |  |  |  |
Net realized gains on investments |  |  |  |  | $ | 1.2 |  |  | $ | 2.4 |  |  |  |  |
The following table sets forth the amortized cost and fair value of short-term investments and fixed maturity securities by contractual maturity at March 31, 2022:
| March 31, 2022
| Amortized Cost |  | Fair Value
| (dollars in millions)
Due in one year or less | $ | 33.2 |  |  | $ | 32.9 |
Due after one year through five years | 78.4 |  |  | 76.1 |
Due five years through 10 years | 7.1 |  |  | 6.8 |
Due after 10 years | 14.2 |  |  | 13.8 |
Total | $ | 132.9 |  |  | $ | 129.6 |
Schedule of unrealized losses | The following tables reflect the gross unrealized losses and fair value of short-term investments and available-for-sale fixed maturity securities, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position at March 31, 2022 and December 31, 2021:
| March 31, 2022
| Less than 12 Months |  | 12 Months or More |  | Total
| Fair Value |  | Unrealized Loss |  | Fair Value |  | Unrealized Loss |  | Fair Value |  | Unrealized Loss
| (dollars in millions)
Fixed maturities: |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury securities and agencies | $ | 7.5 |  |  | $ | (0.1) |  |  | $ | 14.3 |  |  | $ | (0.5) |  |  | $ | 21.8 |  |  | $ | (0.6) |
Municipal securities | 14.9 |  |  | (0.5) |  |  | 2.0 |  |  | (0.2) |  |  | 16.9 |  |  | (0.7) |
Corporate debt securities | 39.8 |  |  | (1.1) |  |  | 2.3 |  |  | (0.2) |  |  | 42.1 |  |  | (1.3) |
Residential mortgage-backed securities | 2.2 |  |  | (0.1) |  |  | 0.5 |  |  | (0.1) |  |  | 2.7 |  |  | (0.2) |
Commercial mortgage-backed securities | 27.7 |  |  | (0.6) |  |  | 0.4 |  |  | — |  |  | 28.1 |  |  | (0.6) |
Other debt obligations | 2.5 |  |  | — |  |  | — |  |  | — |  |  | 2.5 |  |  | — |
Total fixed maturities | 94.6 |  |  | (2.4) |  |  | 19.5 |  |  | (1.0) |  |  | 114.1 |  |  | (3.4) |
Short-term investments | 0.5 |  |  | — |  |  | — |  |  | — |  |  | 0.5 |  |  | — |
Total | $ | 95.1 |  |  | $ | (2.4) |  |  | $ | 19.5 |  |  | $ | (1.0) |  |  | $ | 114.6 |  |  | $ | (3.4) |
| December 31, 2021
| Less than 12 Months |  | 12 Months or More |  | Total
| Fair Value |  | Unrealized Loss |  | Fair Value |  | Unrealized Loss |  | Fair Value |  | Unrealized Loss
| (dollars in millions)
Fixed maturities: |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury securities and agencies | $ | 7.5 |  |  | $ | (0.1) |  |  | $ | 14.0 |  |  | $ | (0.3) |  |  | $ | 21.5 |  |  | $ | (0.4) |
Municipal securities | 8.9 |  |  | (0.1) |  |  | — |  |  | — |  |  | 8.9 |  |  | (0.1) |
Corporate debt securities | 12.7 |  |  | (0.1) |  |  | 1.6 |  |  | (0.1) |  |  | 14.3 |  |  | (0.2) |
Residential mortgage-backed securities | 1.9 |  |  | — |  |  | 0.5 |  |  | — |  |  | 2.4 |  |  | — |
Commercial mortgage-backed securities | 8.7 |  |  | (0.1) |  |  | — |  |  | — |  |  | 8.7 |  |  | (0.1) |
Total fixed maturities | $ | 39.7 |  |  | $ | (0.4) |  |  | $ | 16.1 |  |  | $ | (0.4) |  |  | $ | 55.8 |  |  | $ | (0.8) |
Schedule of net investment income | The following table sets forth the components of net investment income for the three months ended March 31, 2022 and 2021:
|  |  | Three Months Ended March 31,
|  |  |  |  | 2022 |  | 2021
|  |  |  |  | (dollars in millions)
Interest on bonds |  |  |  |  | $ | 0.6 |  |  | $ | 0.8 |
Interest on deposits and cash equivalents |  |  |  |  | 0.2 |  |  | 0.3 |
Total |  |  |  |  | 0.8 |  |  | 1.1 |
Investment expense |  |  |  |  | (0.2) |  |  | (0.2) |
Net investment income |  |  |  |  | $ | 0.6 |  |  | $ | 0.9 |
Schedule of credit ratings | The following tables summarize the credit ratings of investments at March 31, 2022 and December 31, 2021:
| March 31, 2022
| Amortized Cost |  | Fair Value |  | % of Total Fair Value
S&P Global rating or equivalent | (dollars in millions)
AAA | $ | 72.6 |  |  | $ | 70.8 |  |  | 54.6 | %
AA+, AA, AA-, A-1 | 15.9 |  |  | 15.5 |  |  | 12.0 |
A+, A, A- | 34.7 |  |  | 33.7 |  |  | 26.0 |
BBB+, BBB, BBB- | 9.7 |  |  | 9.6 |  |  | 7.4 |
Total | $ | 132.9 |  |  | $ | 129.6 |  |  | 100.0 | %
| December 31, 2021
| Amortized Cost |  | Fair Value |  | % of Total Fair Value
S&P Global rating or equivalent | (dollars in millions)
AAA | $ | 70.9 |  |  | $ | 70.8 |  |  | 54.5 | %
AA+, AA, AA-, A-1 | 14.7 |  |  | 14.8 |  | 11.4 |
A+, A, A- | 33.4 |  |  | 33.6 |  | 25.9 |
BBB+, BBB, BBB- | 10.5 |  |  | 10.7 |  | 8.2 |
Total | $ | 129.5 |  |  | $ | 129.9 |  |  | 100.0 | %

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- Definition Tabular disclosure of fair value of investment in debt security measured at fair value with change in fair value recognized in other comprehensive income (available-for-sale), in unrealized loss position, without allowance for credit loss. Includes beneficial interest in securitized financial asset. + References Reference 1: http://www.xbrl.org/2003/role/exampleRef -Publisher FASB -Name Accounting Standards Codification -Topic 326 -SubTopic 30 -Section 55 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=121590138&loc=SL82922954-210456 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 6 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=123581744&loc=d3e27290-111563 Reference 3: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 326 -SubTopic 30 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=124269663&loc=SL82922888-210455 + Details
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- Definition Tabular disclosure of all significant concentrations of risk, including credit risk and market risk, arising from all financial instruments (as defined), whether from an individual counterparty or groups of counterparties. The disclosure concerning concentrations of risk may consist of the following information: (1) for concentrations of credit risk disclosure may include: (a) information about the (shared) activity, region, or economic characteristic that identifies the concentration, (b) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the entity would incur if parties to the financial instruments that make up the concentration failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the entity, (c) the policy of requiring collateral or other security to support financial instruments subject to credit risk, information about the entity's access to that collateral or other security, and the nature and a brief description of the collateral or other security supporting those financial instruments, and (d) the policy of entering into master netting arrangements to mitigate the credit risk of financial instruments, information about the arrangements for which the entity is a party, and a brief description of the terms of those arrangements, including the extent to which they would reduce the entity's maximum amount of loss due to credit risk and (2) for disclosure of quantitative information about the market risks of financial instruments that is consistent with the way the company manages or adjusts those risks, disclosure may include: (a) more details about current positions and perhaps activity during the period, (b) the hypothetical effects on comprehensive income (or net assets), or annual income, of several possible changes in market prices, (c) a gap analysis of interest rate re-pricing or maturity dates, (d) the duration of the financial instruments, (e) the entity's value at risk from derivatives and from other positions at the end of the reporting period and the average value at risk during the year, or (f) other ways of reporting quantitative information as internally developed. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 22 -URI http://asc.fasb.org/extlink&oid=123594938&loc=d3e13572-108611 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 20 -URI http://asc.fasb.org/extlink&oid=123594938&loc=d3e13531-108611 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 23 -URI http://asc.fasb.org/extlink&oid=123594938&loc=d3e13587-108611 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 21 -URI http://asc.fasb.org/extlink&oid=123594938&loc=d3e13537-108611 + Details
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