XML 29 R17.htm IDEA: XBRL DOCUMENT v3.22.1
Investments (Tables)
 3 Months Ended
Mar. 31, 2022
Investments Debt And Equity Securities [Abstract]  
Schedule of Disposition of Fixed Income and Equity Securities

Sales

 

Proceeds

 

 

Gross Realized

 

 

Net Realized

 

(in thousands)

 

From Sales

 

 

Gains

 

 

Losses

 

 

Gain (Loss)

 

2022

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed income securities - available-for-sale

 

$

8,832

 

 

$

117

 

 

$

(31

)

 

$

86

 

Equity securities

 

 

15,726

 

 

 

5,901

 

 

 

—

 

 

 

5,901

 

2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed income securities - available-for-sale

 

$

21,273

 

 

$

1,003

 

 

$

(27

)

 

$

976

 

Equity securities

 

 

47,638

 

 

 

14,233

 

 

 

(1,150

)

 

 

13,083

 

 

Calls/Maturities

 

 

 

 

 

Gross Realized

 

 

Net Realized

 

(in thousands)

 

Proceeds

 

 

Gains

 

 

Losses

 

 

Gain (Loss)

 

2022

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed income securities - available-for-sale

 

$

71,974

 

 

$

20

 

 

$

(13

)

 

$

7

 

2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed income securities - available-for-sale

 

$

96,285

 

 

$

255

 

 

$

(48

)

 

$

207

 
Fair Value, Assets Measured on Recurring Basis

Assets measured at fair value on a recurring basis as of March 31, 2022 and December 31, 2021 are summarized below:

 

As of March 31, 2022

 

 

 

Quoted Prices in

 

 

Significant Other

 

 

Significant

 

 

 

 

 

 

 

Active Markets for

 

 

Observable

 

 

Unobservable

 

 

 

 

 

 

 

Identical Assets

 

 

Inputs

 

 

Inputs

 

 

 

 

 

(in thousands)

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

 

Total

 

Fixed income securities - available-for-sale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government

 

$

—

 

 

$

131,634

 

 

$

—

 

 

$

131,634

 

U.S. agency

 

 

—

 

 

 

30,885

 

 

 

—

 

 

 

30,885

 

Non-U.S. government & agency

 

 

—

 

 

 

6,585

 

 

 

—

 

 

 

6,585

 

Agency MBS

 

 

—

 

 

 

334,097

 

 

 

—

 

 

 

334,097

 

ABS/CMBS/MBS*

 

 

—

 

 

 

259,666

 

 

 

—

 

 

 

259,666

 

Corporate

 

 

—

 

 

 

882,197

 

 

 

48,139

 

 

 

930,336

 

Municipal

 

 

—

 

 

 

599,175

 

 

 

—

 

 

 

599,175

 

Total fixed income securities - available-for-sale

 

$

—

 

 

$

2,244,239

 

 

$

48,139

 

 

$

2,292,378

 

Equity securities

 

 

607,715

 

 

 

465

 

 

 

—

 

 

 

608,180

 

Total

 

$

607,715

 

 

$

2,244,704

 

 

$

48,139

 

 

$

2,900,558

 

 

 

As of December 31, 2021

 

 

 

Quoted Prices in

 

 

Significant Other

 

 

Significant

 

 

 

 

 

 

 

Active Markets for

 

 

Observable

 

 

Unobservable

 

 

 

 

 

 

 

Identical Assets

 

 

Inputs

 

 

Inputs

 

 

 

 

 

(in thousands)

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

 

Total

 

Fixed income securities - available-for-sale

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government

 

$

—

 

 

$

134,554

 

 

$

—

 

 

$

134,554

 

U.S. agency

 

 

—

 

 

 

32,760

 

 

 

—

 

 

 

32,760

 

Non-U.S. government & agency

 

 

—

 

 

 

8,481

 

 

 

—

 

 

 

8,481

 

Agency MBS

 

 

—

 

 

 

367,187

 

 

 

—

 

 

 

367,187

 

ABS/CMBS/MBS*

 

 

—

 

 

 

264,054

 

 

 

—

 

 

 

264,054

 

Corporate

 

 

—

 

 

 

913,577

 

 

 

43,518

 

 

 

957,095

 

Municipal

 

 

—

 

 

 

645,756

 

 

 

—

 

 

 

645,756

 

Total fixed income securities - available-for-sale

 

$

—

 

 

$

2,366,369

 

 

$

43,518

 

 

$

2,409,887

 

Equity securities

 

 

613,712

 

 

 

64

 

 

 

—

 

 

 

613,776

 

Total

 

$

613,712

 

 

$

2,366,433

 

 

$

43,518

 

 

$

3,023,663

 

 

*

Non-agency asset-backed, commercial mortgage-backed and mortgage-backed securities

 
Summary of Changes in Balance of Level 3 Securities

(in thousands)

 

Level 3 Securities

 

Balance as of January 1, 2022

 

$

43,518

 

Net realized and unrealized gains (losses)

 

 

 

 

Included in net earnings as a part of:

 

 

 

 

Net investment income

 

 

(33

)

Net realized gains

 

 

(411

)

Included in other comprehensive earnings (loss)

 

 

(3,067

)

Total net realized and unrealized gains (losses)

 

$

(3,511

)

Purchases

 

 

8,132

 

Balance as of March 31, 2022

 

$

48,139

 

Change in unrealized gains (losses) during the period for Level 3 assets held at period-end - included in net realized gains

 

$

(411

)

Change in unrealized gains (losses) during the period for Level 3 assets held at period-end - included in other comprehensive earnings (loss)

 

$

(3,067

)

 
Schedule of Contractual Maturity of Securities

 

 

March 31, 2022

 

(in thousands)

 

Amortized Cost

 

 

Fair Value

 

Due in one year or less

 

$

44,732

 

 

$

45,069

 

Due after one year through five years

 

 

667,555

 

 

 

660,532

 

Due after five years through 10 years

 

 

533,651

 

 

 

521,300

 

Due after 10 years

 

 

506,651

 

 

 

471,714

 

ABS/CMBS/MBS*

 

 

621,667

 

 

 

593,763

 

Total available-for-sale

 

$

2,374,256

 

 

$

2,292,378

 

 

*

Asset-backed, commercial mortgage-backed and mortgage-backed securities

 
Schedule of Amortized Cost and Fair Value of Available-for-sale Securities

The amortized cost and fair value of available-for-sale securities at March 31, 2022 and December 31, 2021 are presented in the tables below. Amortized cost does not include the $16.5 million and $16.4 million of accrued interest receivable as of March 31, 2022 and December 31, 2021, respectively.

 

 

March 31, 2022

 

 

 

Cost or

 

 

Allowance

 

 

Gross

 

 

Gross

 

 

 

 

 

 

 

Amortized

 

 

for Credit

 

 

Unrealized

 

 

Unrealized

 

 

Fair

 

(in thousands)

 

Cost

 

 

Losses

 

 

Gains

 

 

Losses

 

 

Value

 

U.S. government

 

$

130,830

 

 

$

—

 

 

$

1,314

 

 

$

(510

)

 

$

131,634

 

U.S. agency

 

 

30,386

 

 

 

—

 

 

 

834

 

 

 

(335

)

 

 

30,885

 

Non-U.S. government & agency

 

 

6,797

 

 

 

—

 

 

 

135

 

 

 

(347

)

 

 

6,585

 

Agency MBS

 

 

348,318

 

 

 

—

 

 

 

1,471

 

 

 

(15,692

)

 

 

334,097

 

ABS/CMBS/MBS*

 

 

273,349

 

 

 

(9

)

 

 

177

 

 

 

(13,851

)

 

 

259,666

 

Corporate

 

 

953,353

 

 

 

(585

)

 

 

8,925

 

 

 

(31,357

)

 

 

930,336

 

Municipal

 

 

631,223

 

 

 

—

 

 

 

3,846

 

 

 

(35,894

)

 

 

599,175

 

Total Fixed Income

 

$

2,374,256

 

 

$

(594

)

 

$

16,702

 

 

$

(97,986

)

 

$

2,292,378

 

 

*

Non-agency asset-backed, commercial mortgage-backed and mortgage-backed securities

 

 

 

 

December 31, 2021

 

 

 

Cost or

 

 

Allowance

 

 

Gross

 

 

Gross

 

 

 

 

 

 

 

Amortized

 

 

for Credit

 

 

Unrealized

 

 

Unrealized

 

 

Fair

 

(in thousands)

 

Cost

 

 

Losses

 

 

Gains

 

 

Losses

 

 

Value

 

U.S. government

 

$

127,752

 

 

$

—

 

 

$

6,846

 

 

$

(44

)

 

$

134,554

 

U.S. agency

 

 

30,403

 

 

 

—

 

 

 

2,374

 

 

 

(17

)

 

 

32,760

 

Non-U.S. government & agency

 

 

8,297

 

 

 

—

 

 

 

338

 

 

 

(154

)

 

 

8,481

 

Agency MBS

 

 

362,861

 

 

 

—

 

 

 

9,277

 

 

 

(4,951

)

 

 

367,187

 

ABS/CMBS/MBS*

 

 

264,273

 

 

 

—

 

 

 

2,120

 

 

 

(2,339

)

 

 

264,054

 

Corporate

 

 

925,394

 

 

 

(441

)

 

 

37,247

 

 

 

(5,105

)

 

 

957,095

 

Municipal

 

 

627,287

 

 

 

—

 

 

 

22,750

 

 

 

(4,281

)

 

 

645,756

 

Total Fixed Income

 

$

2,346,267

 

 

$

(441

)

 

$

80,952

 

 

$

(16,891

)

 

$

2,409,887

 

 

*

Non-agency asset-backed, commercial mortgage-backed and mortgage-backed securities

 
Schedule of Debt Securities Available-for-sale Allowance for Credit Loss

 

 

 

Three Months Ended March 31,

 

(in thousands)

 

2022

 

 

2021

 

Beginning balance

 

$

441

 

 

$

397

 

Increase to allowance from securities for which credit losses were not previously recorded

 

 

131

 

 

 

-

 

Reductions from intent to sell securities

 

 

(17

)

 

 

-

 

Net increase (decrease) from securities that had an allowance at the beginning of the period

 

 

39

 

 

 

(22

)

Balance as of March 31,

 

$

594

 

 

$

375

 

 
Schedule of Securities in an Unrealized Loss Position Segregated by Type and Length of Time in an Unrealized Loss Position

 

 

March 31, 2022

 

 

December 31, 2021

 

(in thousands)

 

< 12 Mos.

 

 

12 Mos. &

Greater

 

 

Total

 

 

< 12 Mos.

 

 

12 Mos. &

Greater

 

 

Total

 

U.S. government

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value

 

$

35,025

 

 

$

—

 

 

$

35,025

 

 

$

2,942

 

 

$

—

 

 

$

2,942

 

Amortized cost

 

 

35,535

 

 

 

—

 

 

 

35,535

 

 

 

2,986

 

 

 

—

 

 

 

2,986

 

Unrealized loss

 

$

(510

)

 

$

—

 

 

$

(510

)

 

$

(44

)

 

$

—

 

 

$

(44

)

U.S. agency

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value

 

$

6,693

 

 

$

—

 

 

$

6,693

 

 

$

1,498

 

 

$

—

 

 

$

1,498

 

Amortized cost

 

 

7,028

 

 

 

—

 

 

 

7,028

 

 

 

1,515

 

 

 

—

 

 

 

1,515

 

Unrealized loss

 

$

(335

)

 

$

—

 

 

$

(335

)

 

$

(17

)

 

$

—

 

 

$

(17

)

Non-U.S. government

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value

 

$

—

 

 

$

2,653

 

 

$

2,653

 

 

$

4,346

 

 

$

—

 

 

$

4,346

 

Amortized cost

 

 

—

 

 

 

3,000

 

 

 

3,000

 

 

 

4,500

 

 

 

—

 

 

 

4,500

 

Unrealized Loss

 

$

—

 

 

$

(347

)

 

$

(347

)

 

$

(154

)

 

$

—

 

 

$

(154

)

Agency MBS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value

 

$

190,950

 

 

$

59,572

 

 

$

250,522

 

 

$

102,145

 

 

$

62,669

 

 

$

164,814

 

Amortized cost

 

 

200,176

 

 

 

66,038

 

 

 

266,214

 

 

 

104,336

 

 

 

65,429

 

 

 

169,765

 

Unrealized loss

 

$

(9,226

)

 

$

(6,466

)

 

$

(15,692

)

 

$

(2,191

)

 

$

(2,760

)

 

$

(4,951

)

ABS/CMBS/MBS*

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value

 

$

218,189

 

 

$

19,448

 

 

$

237,637

 

 

$

150,997

 

 

$

3,935

 

 

$

154,932

 

Amortized cost

 

 

230,803

 

 

 

20,685

 

 

 

251,488

 

 

 

153,235

 

 

 

4,036

 

 

 

157,271

 

Unrealized loss

 

$

(12,614

)

 

$

(1,237

)

 

$

(13,851

)

 

$

(2,238

)

 

$

(101

)

 

$

(2,339

)

Corporate

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value

 

$

460,342

 

 

$

68,905

 

 

$

529,247

 

 

$

217,791

 

 

$

53,818

 

 

$

271,609

 

Amortized cost

 

 

485,129

 

 

 

75,475

 

 

 

560,604

 

 

 

221,010

 

 

 

55,704

 

 

 

276,714

 

Unrealized loss

 

$

(24,787

)

 

$

(6,570

)

 

$

(31,357

)

 

$

(3,219

)

 

$

(1,886

)

 

$

(5,105

)

Municipal

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value

 

$

350,366

 

 

$

32,880

 

 

$

383,246

 

 

$

162,998

 

 

$

15,037

 

 

$

178,035

 

Amortized cost

 

 

380,619

 

 

 

38,521

 

 

 

419,140

 

 

 

166,602

 

 

 

15,714

 

 

 

182,316

 

Unrealized loss

 

$

(30,253

)

 

$

(5,641

)

 

$

(35,894

)

 

$

(3,604

)

 

$

(677

)

 

$

(4,281

)

Total fixed income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value

 

$

1,261,565

 

 

$

183,458

 

 

$

1,445,023

 

 

$

642,717

 

 

$

135,459

 

 

$

778,176

 

Amortized cost

 

 

1,339,290

 

 

 

203,719

 

 

 

1,543,009

 

 

 

654,184

 

 

 

140,883

 

 

 

795,067

 

Unrealized loss

 

$

(77,725

)

 

$

(20,261

)

 

$

(97,986

)

 

$

(11,467

)

 

$

(5,424

)

 

$

(16,891

)

 

*

Non-agency asset-backed, commercial mortgage-backed and mortgage-backed securities

 
Schedule of Credit Quality Indicators for Investments in Unrealized Loss Positions

 

 

Equivalent

 

Equivalent

 

(dollars in thousands)

 

 

 

 

 

 

NAIC

 

S&P

 

Moody’s

 

Amortized

 

 

 

 

 

 

Unrealized

 

 

Percent

 

 

Rating

 

Rating

 

Rating

 

Cost

 

 

Fair Value

 

 

Loss

 

 

to Total

 

 

1

 

AAA/AA/A

 

Aaa/Aa/A

 

$

1,199,156

 

 

$

1,119,133

 

 

$

(80,023

)

 

 

81.7

 

%

2

 

BBB

 

Baa

 

 

232,808

 

 

 

217,951

 

 

 

(14,857

)

 

 

15.2

 

%

3

 

BB

 

Ba

 

 

64,217

 

 

 

62,216

 

 

 

(2,001

)

 

 

2.0

 

%

4

 

B

 

B

 

 

45,409

 

 

 

44,376

 

 

 

(1,033

)

 

 

1.0

 

%

5

 

CCC

 

Caa

 

 

1,419

 

 

 

1,347

 

 

 

(72

)

 

 

0.1

 

%

6

 

CC or lower

 

Ca or lower

 

 

-

 

 

 

-

 

 

 

-

 

 

 

0.0

 

%

 

 

 

 

Total

 

$

1,543,009

 

 

$

1,445,023

 

 

$

(97,986

)

 

 

100.0

 

%