Cover
Cover - shares | 9 Months Ended | |
Sep. 30, 2021 | Oct. 27, 2021 | |
Cover [Abstract] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Sep. 30, 2021 | |
Document Transition Report | false | |
Entity File Number | 001-40399 | |
Entity Registrant Name | Enact Holdings, Inc. | |
Entity Incorporation, State or Country Code | DE | |
Entity Tax Identification Number | 46-1579166 | |
Entity Address, Address Line One | 8325 Six Forks Road | |
Entity Address, City or Town | Raleigh | |
Entity Address, State or Province | NC | |
Entity Address, Postal Zip Code | 27615 | |
City Area Code | 919 | |
Local Phone Number | 846-4100 | |
Title of 12(b) Security | Common Stock, par value $0.01 per share | |
Trading Symbol | ACT | |
Security Exchange Name | NASDAQ | |
Entity Current Reporting Status | No | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Non-accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 162,840,309 | |
Entity Central Index Key | 0001823529 | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2021 | |
Document Fiscal Period Focus | Q3 | |
Amendment Flag | false |
Condensed Consolidated Balance
Condensed Consolidated Balance Sheets (Statement) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Investments: | ||
Fixed maturity securities available-for-sale, at fair value (amortized cost of $5,205,916 and no allowance for credit losses as of September 30, 2021) | $ 5,376,067 | $ 5,046,596 |
Short-term investments, at fair value | 12,500 | 0 |
Total investments | 5,388,567 | 5,046,596 |
Cash and cash equivalents | 451,582 | 452,794 |
Accrued investment income | 31,372 | 29,210 |
Deferred acquisition costs | 27,788 | 28,872 |
Premiums receivable (allowance for credit losses of $948 as of September 30, 2021) | 43,425 | 46,464 |
Other assets | 48,572 | 48,774 |
Total assets | 5,991,306 | 5,652,710 |
Liabilities: | ||
Loss reserves | 648,365 | 555,679 |
Unearned premiums | 254,806 | 306,945 |
Other liabilities | 129,464 | 133,302 |
Long-term borrowings | 739,838 | 738,162 |
Deferred tax liability | 17,452 | 36,811 |
Total liabilities | 1,789,925 | 1,770,899 |
Equity: | ||
Common stock ($0.01 par value, 600,000 shares authorized, 162,840 shares issued and outstanding) | 1,628 | 1,628 |
Additional paid-in capital | 2,369,822 | 2,368,699 |
Accumulated other comprehensive income | 133,955 | 208,378 |
Retained earnings | 1,695,976 | 1,303,106 |
Total equity | 4,201,381 | 3,881,811 |
Total liabilities and equity | $ 5,991,306 | $ 5,652,710 |
Condensed Consolidated Balanc_2
Condensed Consolidated Balance Sheets (Parenthetical) - USD ($) | Sep. 30, 2021 | Dec. 31, 2020 |
Statement of Financial Position [Abstract] | ||
Amortized cost | $ 5,205,916,000 | $ 4,781,916,000 |
Allowance for credit losses | 0 | $ 0 |
Premiums receivable, allowance for credit losses | $ 948,000 | |
Common stock, par value (in usd per share) | $ 0.01 | $ 0.01 |
Common stock, authorized (in shares) | 600,000,000 | 600,000,000 |
Common stock, issued (in shares) | 162,840,000 | 162,840,000 |
Common stock, outstanding (in shares) | 162,840,000 | 162,840,000 |
Condensed Consolidated Statemen
Condensed Consolidated Statements of Income (Statement) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Revenues: | ||||
Premiums | $ 243,063 | $ 251,423 | $ 738,085 | $ 720,474 |
Net investment income | 35,995 | 33,197 | 105,943 | 97,890 |
Net investment gains (losses) | 580 | (1,609) | (2,129) | (1,953) |
Other income | 671 | 1,325 | 3,114 | 4,534 |
Total revenues | 280,309 | 284,336 | 845,013 | 820,945 |
Losses and expenses: | ||||
Losses incurred | 34,124 | 44,475 | 119,501 | 290,785 |
Acquisition and operating expenses, net of deferrals | 55,151 | 54,994 | 175,823 | 155,473 |
Amortization of deferred acquisition costs and intangibles | 3,669 | 3,873 | 11,104 | 11,453 |
Interest expense | 12,756 | 5,512 | 38,238 | 5,512 |
Total losses and expenses | 105,700 | 108,854 | 344,666 | 463,223 |
Income before income taxes | 174,609 | 175,482 | 500,347 | 357,722 |
Provision for income taxes | 37,401 | 37,467 | 107,196 | 78,482 |
Net income | $ 137,208 | $ 138,015 | $ 393,151 | $ 279,240 |
Net income per common share: | ||||
Basic (in usd per share) | $ 0.84 | $ 0.85 | $ 2.41 | $ 1.71 |
Diluted (in usd per share) | $ 0.84 | $ 0.85 | $ 2.41 | $ 1.71 |
Weighted average common shares outstanding: | ||||
Basic (in shares) | 162,840,000 | 162,840,000 | 162,840,000 | 162,840,000 |
Diluted (in shares) | 162,852,000 | 162,840,000 | 162,844,000 | 162,840,000 |
Condensed Consolidated Statem_2
Condensed Consolidated Statements of Comprehensive Income (Statement) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income | $ 137,208 | $ 138,015 | $ 393,151 | $ 279,240 |
Other comprehensive income (loss), net of taxes: | ||||
Net unrealized gains (losses) on securities without an allowance for credit losses | (25,899) | 0 | (74,704) | 0 |
Net unrealized gains (losses) on securities with an allowance for credit losses | 0 | 0 | 0 | 0 |
Net unrealized gains (losses) on securities not other-than-temporarily impaired | 0 | 30,799 | 0 | 90,316 |
Total comprehensive income | $ 111,309 | $ 168,814 | $ 318,447 | $ 369,556 |
Condensed Consolidated Statem_3
Condensed Consolidated Statements of Changes in Equity (Statement) - USD ($) $ in Thousands | Total | Cumulative effect of change in accounting | Common stock | Additional paid-in capital | Accumulated other comprehensive income (loss) | Accumulated other comprehensive income (loss)Cumulative effect of change in accounting | Retained earnings | Retained earningsCumulative effect of change in accounting |
Stockholders' equity, beginning balance at Dec. 31, 2019 | $ 3,827,075 | $ 1,628 | $ 2,361,978 | $ 93,431 | $ 1,370,038 | |||
Comprehensive income (loss): | ||||||||
Net income | 279,240 | 279,240 | ||||||
Other comprehensive loss, net of taxes | 90,316 | 90,316 | ||||||
Total comprehensive income | 369,556 | |||||||
Dividends to Genworth | (435,654) | (435,654) | ||||||
Capital contributions from Genworth Financial, Inc. | 5,653 | 5,653 | ||||||
Stockholders' equity, ending balance at Sep. 30, 2020 | 3,766,630 | 1,628 | 2,367,631 | 183,747 | 1,213,624 | |||
Stockholders' equity, beginning balance at Jun. 30, 2020 | 4,031,938 | 1,628 | 2,366,099 | 152,948 | 1,511,263 | |||
Comprehensive income (loss): | ||||||||
Net income | 138,015 | 138,015 | ||||||
Other comprehensive loss, net of taxes | 30,799 | 30,799 | ||||||
Total comprehensive income | 168,814 | |||||||
Dividends to Genworth | (435,654) | (435,654) | ||||||
Capital contributions from Genworth Financial, Inc. | 1,532 | 1,532 | ||||||
Stockholders' equity, ending balance at Sep. 30, 2020 | 3,766,630 | 1,628 | 2,367,631 | 183,747 | 1,213,624 | |||
Stockholders' equity, beginning balance at Dec. 31, 2020 | 3,881,811 | $ 0 | 1,628 | 2,368,699 | 208,378 | $ 281 | 1,303,106 | $ (281) |
Comprehensive income (loss): | ||||||||
Net income | 393,151 | 393,151 | ||||||
Other comprehensive loss, net of taxes | (74,704) | (74,704) | ||||||
Total comprehensive income | 318,447 | |||||||
Stock-based compensation expense and exercises and other | 221 | 221 | ||||||
Capital contributions from Genworth Financial, Inc. | 902 | 902 | ||||||
Stockholders' equity, ending balance at Sep. 30, 2021 | 4,201,381 | 1,628 | 2,369,822 | 133,955 | 1,695,976 | |||
Stockholders' equity, beginning balance at Jun. 30, 2021 | 4,089,851 | 1,628 | 2,369,601 | 159,854 | $ 0 | 1,558,768 | ||
Comprehensive income (loss): | ||||||||
Net income | 137,208 | 137,208 | ||||||
Other comprehensive loss, net of taxes | (25,899) | (25,899) | ||||||
Total comprehensive income | 111,309 | |||||||
Stock-based compensation expense and exercises and other | 221 | 221 | ||||||
Stockholders' equity, ending balance at Sep. 30, 2021 | $ 4,201,381 | $ 1,628 | $ 2,369,822 | $ 133,955 | $ 1,695,976 |
Condensed Consolidated Statem_4
Condensed Consolidated Statements of Cash Flows (Statement) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2021 | Sep. 30, 2020 | |
Cash flows from operating activities: | ||
Net income | $ 393,151 | $ 279,240 |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Net investment gains (losses) | 2,129 | 1,953 |
Amortization of fixed maturity securities discounts and premiums | (6,884) | (2,551) |
Amortization of deferred acquisition costs and intangibles | 11,104 | 11,453 |
Acquisition costs deferred | (5,525) | (9,291) |
Deferred income taxes | 824 | 12,593 |
Stock-based compensation expense | 221 | 0 |
Other | 908 | 5,653 |
Change in certain assets and liabilities: | ||
Accrued investment income | (2,162) | (4,806) |
Premiums receivable | 3,039 | 3,244 |
Other assets | (4,666) | 5,173 |
Loss reserves | 92,686 | 239,682 |
Unearned premiums | (52,139) | (55,089) |
Other liabilities | (21,604) | 73,292 |
Net cash provided by operating activities | 411,082 | 560,546 |
Net decrease in cash and cash equivalents | (1,212) | (28,324) |
Cash and cash equivalents at beginning of period | 452,794 | 585,058 |
Cash and cash equivalents at end of period | 451,582 | 556,734 |
Supplementary disclosure of cash flow information: | ||
Non-cash contributions of capital from Genworth Financial, Inc. | 902 | 5,653 |
Cash flows from investing activities: | ||
Purchases of fixed maturity securities available-for-sale | (1,192,098) | (1,494,972) |
Purchases of short-term investments | (12,500) | 0 |
Proceeds from sales of fixed maturity securities available-for-sale | 292,697 | 233,642 |
Proceeds from maturities of fixed maturity securities | 499,607 | 369,361 |
Net Cash Provided by (Used in) Investing Activities | (412,294) | (891,969) |
Cash flows from financing activities: | ||
Proceeds from the issuance of long-term debt | 0 | 738,753 |
Dividends paid | 0 | (435,654) |
Net cash provided by (used in) financing activities | $ 0 | $ 303,099 |
Nature of Business, Organizatio
Nature of Business, Organization Structure and Basis of Presentation | 9 Months Ended |
Sep. 30, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Nature of Business, Organization Structure and Basis of Presentation | Nature of Business, Organization Structure and Basis of Presentation The accompanying unaudited condensed consolidated financial statements include on a consolidated basis the accounts of Enact Holdings, Inc. (“EHI,” together with its subsidiaries, the “Company,” “we,” “us” or “our”) (formerly known as Genworth Mortgage Holdings, Inc.). EHI is a subsidiary of Genworth Financial, Inc. (“Genworth” or “Parent”) and has been since EHI’s incorporation in Delaware in 2012. On May 3, 2021, EHI amended its certificate of incorporation to change its name from Genworth Mortgage Holdings, Inc. This amendment also authorized EHI to issue 600,000,000 shares of common stock, each having a par value of $0.01 per share. Concurrently, we entered into a share exchange agreement with Genworth Holdings, Inc. (“Genworth Holdings”), pursuant to which Genworth Holdings exchanged its 100 shares of common stock, representing all of the previously issued and outstanding capital stock, for 162,840,000 newly-issued shares of common stock, par value $0.01, of EHI. All of the share and per share information presented in the condensed consolidated financial statements and notes to the condensed consolidated financial statements have been adjusted to reflect the share exchange on a retroactive basis for all periods and as of all dates presented. On September 15, 2021, we priced our initial public offering (“IPO”) of common stock, which resulted in the issuance and sale of 13,310,400 shares of common stock at the IPO price of $19.00 per common share. All shares were offered by the selling stockholder, our parent company, Genworth Holdings. In addition to the shares sold in the IPO, 14,655,600 common shares were sold in a concurrent private sale (“Private Sale”) at a price per share of $17.86, which is equal to the IPO price less the underwriting discount share. Genworth Holdings also granted the underwriters a 30-day option to purchase up to an additional 1,996,560 common shares (“Over-Allotment Option”) at the IPO price less the underwriting discount. On September 16, 2021, the underwriters exercised their option to purchase all 1,996,560 common shares permitted under the terms of the underwriting agreement. The IPO, Private Sale and Over-Allotment Option (collectively the “Offering”) closed on September 20, 2021, and Genworth Holdings retained all net proceeds from the Offering. The gross proceeds of the Offering, before payment of underwriter fees and other expenses, were approximately $553 million. Costs directly related to the Offering, including underwriting fees and other expenses, were approximately $24 million. On November 29, 2019, Genworth completed a holding company reorganization whereby Genworth contributed 100% of the issued and outstanding voting securities of the Company to Genworth Holdings. Post-contribution, we were a direct, wholly owned subsidiary of Genworth Holdings, and Genworth Holdings was a direct, wholly owned subsidiary of Genworth. After our IPO, Genworth Holdings is still a wholly owned subsidiary of Genworth but we are no longer a wholly owned subsidiary of Genworth Holdings. We are engaged in the business of writing and assuming residential mortgage guaranty insurance. The insurance protects lenders and investors against certain losses resulting from nonpayment of loans secured by mortgages, deeds of trust, or other instruments constituting a lien on residential real estate. We offer private mortgage insurance products predominantly insuring prime-based, individually underwritten residential mortgage loans (“primary mortgage insurance”). Our primary mortgage insurance enables borrowers to buy homes with a down payment of less than 20% of the home’s value. Primary mortgage insurance also facilitates the sale of these low down payment mortgage loans in the secondary mortgage market, most of which are sold to government sponsored enterprises. We also selectively enter into insurance transactions with lenders and investors, under which we insure a portfolio of loans at or after origination. We operate our business through our primary insurance subsidiary, Genworth Mortgage Insurance Corporation (“GMICO”), with operations in all 50 states and the District of Columbia. GMICO is an approved insurer by the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”). Fannie Mae and Freddie Mac are government-sponsored enterprises and we refer to them collectively as the “GSEs.” We also perform fee-based contract underwriting services for mortgage lenders. The provision of underwriting services by mortgage insurers eliminates the duplicative lender and mortgage insurer underwriting activities and expedites the approval process. We operate our business in a single segment, which is how our chief operating decision maker (who is our chief executive officer) reviews our financial performance and allocates resources. Our segment includes a run-off insurance block with reference properties in Mexico (“run-off business”), which is immaterial to our condensed consolidated financial statements. In April 2021, we entered into an agreement to purchase our Parent’s minority ownership interest in its mortgage guarantee business in India for a cash purchase price that is not material to us. The closing of the transaction is subject to customary closing conditions, including receipt of any required regulatory approvals. The accompanying condensed consolidated financial statements are unaudited and have been prepared in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”). Preparing financial statements in conformity with U.S. GAAP requires us to make estimates and assumptions that affect reported amounts and related disclosures. Actual results could differ from those estimates. These unaudited condensed consolidated financial statements include all adjustments (including normal recurring adjustments) considered necessary by management to present a fair statement of the financial position, results of operations and cash flows for the periods presented. The results reported in these unaudited condensed consolidated financial statements should not be regarded as necessarily indicative of results that may be expected for the entire year. Potential impacts, risks and uncertainties of the coronavirus pandemic (“COVID-19”) may include declines in investment valuations and impairments, deferred acquisition cost (“DAC”) or intangible assets impairments or the acceleration of amortization, deferred tax asset recoverability and increases to loss reserves, among other matters. The unaudited condensed consolidated financial statements included herein should be read in conjunction with the audited consolidated financial statements and related notes for the years ended December 31, 2020 and 2019. On July 20, 2020, Genworth reached a settlement agreement with AXA S.A. (“AXA”) regarding a dispute over payment protection insurance mis-selling claims sold by Genworth’s former lifestyle protection insurance business that was acquired by AXA in 2015. As part of the settlement agreement, Genworth issued a secured promissory note agreeing to pay AXA in two installments in 2022. Under the terms of the secured promissory note, as amended, Genworth pledged as collateral to AXA a 19.9% security interest in our outstanding common stock. On March 3, 2021, Genworth repaid the first installment payment originally due to AXA in June 2022 and a portion of the second installment payment due to AXA in September 2022 from cash proceeds received from the sale of Genworth Mortgage Insurance Australia Limited. On September 21, 2021, Genworth used a portion of the net proceeds from our IPO to repay the remaining outstanding balance of the secured promissory note of approximately £215 million ($296 million), excluding future claims still being processed. Following the full repayment of the secured promissory note, AXA released its 19.9% security interest in our outstanding common shares. |
Accounting Changes
Accounting Changes | 9 Months Ended |
Sep. 30, 2021 | |
Accounting Policies [Abstract] | |
Accounting Changes | Accounting Changes Accounting Pronouncements Recently Adopted On January 1, 2021, we adopted new accounting guidance related to simplifying the accounting for income taxes. The guidance eliminates certain exceptions related to the approach for intraperiod tax allocation, the methodology for calculating income taxes in an interim period and the recognition of deferred tax liabilities for outside basis differences. We adopted this new accounting guidance using the retrospective method or modified retrospective method for certain changes and prospective method for all other changes, which did not have a significant impact on our consolidated financial statements and disclosures. On January 1, 2021, we early adopted new accounting guidance related to accounting for credit losses on financial instruments. The guidance requires entities to recognize an allowance equal to its estimate of lifetime expected credit losses and applies to most debt instruments not measured at fair value. The new guidance retains most of the existing impairment guidance for available-for-sale fixed maturity securities but amends the presentation of credit losses to be presented as an allowance as opposed to a write-down and permits the reversal of credit losses when reassessing changes in the credit losses each reporting period. Available-for-sale fixed maturity securities in an unrealized loss position are evaluated to determine whether the decline in fair value is related to credit losses or other factors. In making this assessment, we consider the extent to which fair value is less than amortized cost, any changes to the rating of the security by a rating agency/agencies and adverse conditions specifically related to the security, among other factors. If a credit loss exists, the present value of cash flows expected to be collected from the security are compared to the amortized cost basis of the security. If the present value of cash flows expected to be collected is less than the amortized cost basis, an allowance for credit losses is recorded, limited by the amount that the fair value is less than the amortized cost basis. Estimating the cash flows expected to be collected is a quantitative and qualitative process that incorporates information received from third-party sources along with internal assumptions and judgments. When developing the estimate of cash flows expected to be collected, we utilize an analytical model that provides for various loss scenarios and consider the industry sector, current levels of subordination, geographic location and other relevant characteristics of the security or underlying assets, as well as reasonable and supportable forecasts. Losses are written off against the allowance when deemed uncollectible or when we intend to sell or expect we will be required to sell a security prior to recovering our amortized cost. We exclude accrued interest related to available-for-sale fixed maturity securities from the estimate of allowance for credit losses. Accrued interest is included in accrued investment income in our condensed consolidated balance sheet. We do not measure an allowance for credit losses related to accrued interest as uncollectible accrued interest related to our available-for-sale fixed maturity securities is written off after 90 days and once collectability is determined to be uncertain and not probable. Amounts written off related to accrued interest are recorded as a credit loss expense included in net investment gains (losses). We adopted the guidance related to our available-for-sale fixed maturity securities using the modified retrospective method, which did not have a significant impact on our consolidated financial statements. The new guidance further requires that expected credit losses on premiums receivable are measured in accordance with the credit loss requirements for financial instruments measured at amortized cost. Due to the short-term nature of our premiums receivable, we consider lifetime expected credit losses on premiums receivable to be consistent with our current allowance and as a result the new accounting guidance did not have an impact on premiums receivable upon adoption. The new guidance also requires the recognition of an allowance for expected credit losses as a liability in our consolidated balance sheet for off-balance sheet credit exposures, including private placement investments. We adopted the guidance related to our off-balance sheet credit exposures using the modified retrospective method, which did not have an impact on our consolidated financial statements. |
Investments
Investments | 9 Months Ended |
Sep. 30, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments | Investments Net Investment Income Sources of net investment income were as follows for the periods indicated: Three months ended Nine months ended (Amounts in thousands) 2021 2020 2021 2020 Fixed maturity securities available-for-sale $ 37,055 $ 34,512 $ 110,007 $ 99,621 Cash, cash equivalents and short-term investments 13 86 65 2,135 Gross investment income before expenses and fees 37,068 34,598 110,072 101,756 Investment expenses and fees (1,073) (1,401) (4,129) (3,866) Net investment income $ 35,995 $ 33,197 $ 105,943 $ 97,890 Net Investment Gains (Losses) The following table sets forth net investment gains (losses) for the periods indicated: Three months ended Nine months ended (Amounts in thousands) 2021 2020 2021 2020 Fixed maturity securities available-for-sale: Gross realized gains $ 839 $ 158 $ 1,423 $ 906 Gross realized (losses) (128) (37) (1,261) (1,129) Net realized gains (losses) 711 121 162 (223) Impairments: Total other-than-temporary impairments — (1,730) — (1,730) Portion of other-than-temporary impairments included in other comprehensive income (loss) — — — — Net other-than-temporary impairments — (1,730) — (1,730) Net change in allowance for credit losses on fixed maturity securities available-for-sale (131) — (2,291) — Net investment gains (losses) $ 580 $ (1,609) $ (2,129) $ (1,953) The following table represents the allowance for credit losses aggregated by security type for fixed maturity available-for-sale securities as of and for the three months ended September 30, 2021: (Amounts in thousands) Beginning balance Cumulative effect of change in accounting Increase from securities without allowance in previous periods Securities sold Ending balance Fixed maturity securities: Non-U.S. corporate $ — $ — $ — $ — $ — Total fixed maturity securities available-for-sale $ — $ — $ — $ — $ — The following table represents the allowance for credit losses aggregated by security type for fixed maturity available-for-sale securities as of and for the nine months ended September 30, 2021: (Amounts in thousands) Beginning balance Cumulative effect of change in accounting Increase from securities without allowance in previous periods Securities sold Ending balance Fixed maturity securities: Non-U.S. corporate $ — $ 357 $ 2,157 $ (2,514) $ — Total fixed maturity securities available-for-sale $ — $ 357 $ 2,157 $ (2,514) $ — Unrealized Investment Gains (Losses) Net unrealized gains and losses on available-for-sale securities reflected as a separate component of accumulated other comprehensive income (“OCI”) were as follows as of the dates indicated: (Amounts in thousands) September 30, 2021 December 31, 2020 Net unrealized gains (losses) on fixed maturity securities without an allowance for credit losses $ 170,151 $ — Net unrealized gains (losses) on fixed maturity securities with an allowance for credit losses — — Net unrealized gains (losses) on fixed maturity securities not other-than-temporarily impaired — 264,680 Net unrealized gains (losses) on fixed maturity securities other-than-temporarily impaired — — Subtotal 170,151 264,680 Income taxes (36,196) (56,302) Net unrealized investment gains (losses) $ 133,955 $ 208,378 The change in net unrealized gains (losses) on available-for-sale securities reported in accumulated other comprehensive income was as follows as of and for the periods indicated: Three months ended (Amounts in thousands) 2021 2020 Beginning balance $ 159,854 $ 152,948 Cumulative effect of change in accounting, net of taxes — — Unrealized gains (losses) arising during the period: Unrealized gains (losses) on investment securities (32,185) 37,225 Provision for income taxes 6,848 (7,697) Change in unrealized gains (losses) on investment securities (25,337) 29,528 Reclassification adjustments to net investment (gains) losses, net of taxes of $149 and $(339), respectively (562) 1,271 Change in net unrealized investment gains (losses) (25,899) 30,799 Ending balance $ 133,955 $ 183,747 Nine months ended (Amounts in thousands) 2021 2020 Beginning balance $ 208,378 $ 93,431 Cumulative effect of change in accounting, net of taxes 281 — Unrealized gains (losses) arising during the period: Unrealized gains (losses) on investment securities (94,724) 109,822 Provision for income taxes 20,148 (21,063) Change in unrealized gains (losses) on investment securities (74,576) 88,759 Reclassification adjustments to net investment (gains) losses, net of taxes of $34 and $(414), respectively (128) 1,557 Change in net unrealized investment gains (losses) (74,704) 90,316 Ending balance $ 133,955 $ 183,747 Amounts reclassified out of accumulated other comprehensive income to net investment gains (losses) include realized gains (losses) on sales of securities, which are determined on a specific identification basis. Fixed Maturity Securities Available-For-Sale As of September 30, 2021, the amortized cost, gross unrealized gains (losses), allowance for credit losses and fair value of our fixed maturity securities classified as available-for-sale were as follows: (Amounts in thousands) Amortized cost Gross unrealized gains Gross unrealized losses Allowance for credit losses Fair value U.S. government, agencies and GSEs $ 62,579 $ 2,539 $ (1) $ — $ 65,117 State and political subdivisions 449,370 12,650 (2,237) — 459,783 Non-U.S. government 22,423 343 (8) — 22,758 U.S. corporate 2,825,145 132,821 (9,860) — 2,948,106 Non-U.S. corporate 690,717 23,390 (1,504) — 712,603 Other asset-backed 1,155,682 13,216 (1,198) — 1,167,700 Total fixed maturity securities available-for-sale $ 5,205,916 $ 184,959 $ (14,808) $ — $ 5,376,067 As of December 31, 2020, the amortized cost, gross unrealized gains (losses) and fair value of our fixed maturity securities classified as available-for-sale were as follows: Gross unrealized gains Gross unrealized losses (Amounts in thousands) Amortized cost Not other-than- temporarily impaired Other-than- temporarily impaired Not other-than- temporarily impaired Other-than- temporarily impaired Fair value U.S. government, agencies and GSEs $ 134,215 $ 4,009 $ — $ — $ — $ 138,224 State and political subdivisions 172,631 14,749 — (3) — 187,377 Non-U.S. government 29,592 1,439 — — — 31,031 U.S. corporate 2,695,009 194,961 — (1,345) — 2,888,625 Non-U.S. corporate 578,295 32,251 — (2,877) — 607,669 Other asset-backed 1,172,174 21,830 — (334) — 1,193,670 Total fixed maturity securities available-for-sale $ 4,781,916 $ 269,239 $ — $ (4,559) $ — $ 5,046,596 Gross Unrealized Losses and Fair Values of Fixed Maturity Securities Available-For-Sale The following table presents the gross unrealized losses and fair values of our fixed maturity securities for which an allowance for credit losses has not been recorded, aggregated by investment type and length of time that individual fixed maturity securities have been in a continuous unrealized loss position, as of September 30, 2021: Less than 12 months 12 months or more Total (Amounts in thousands) Fair value Gross unrealized losses Number of securities Fair value Gross unrealized losses Number of securities Fair value Gross unrealized losses Number of securities Fixed maturity securities: U.S. government, agencies and GSEs $ 104 $ (1) 1 $ — $ — — $ 104 $ (1) 1 State and political subdivisions 170,402 (2,237) 33 — — — 170,402 (2,237) 33 Non-U.S. government 10,777 (8) 1 — — — 10,777 (8) 1 U.S. corporate 409,396 (8,433) 61 21,543 (1,427) 2 430,939 (9,860) 63 Non-U.S. corporate 145,571 (1,477) 23 2,183 (27) 1 147,754 (1,504) 24 Other asset-backed 255,275 (1,174) 44 3,726 (24) 1 259,001 (1,198) 45 Total for fixed maturity securities in an unrealized loss position $ 991,525 $ (13,330) 163 $ 27,452 $ (1,478) 4 $ 1,018,977 $ (14,808) 167 % Below cost: <20% Below cost $ 991,525 $ (13,330) 163 $ 27,452 $ (1,478) 4 $ 1,018,977 $ (14,808) 167 Total for fixed maturity securities in an unrealized loss position $ 991,525 $ (13,330) 163 $ 27,452 $ (1,478) 4 $ 1,018,977 $ (14,808) 167 Investment grade $ 963,517 $ (12,835) 155 $ 27,452 $ (1,478) 4 $ 990,969 $ (14,313) 159 Below investment grade 28,008 (495) 8 — — — 28,008 (495) 8 Total for fixed maturity securities in an unrealized loss position $ 991,525 $ (13,330) 163 $ 27,452 $ (1,478) 4 $ 1,018,977 $ (14,808) 167 We did not recognize an allowance for credit losses on securities in an unrealized loss position included in the table above. Based on a qualitative and quantitative review of the issuers of the securities, we believe the decline in fair value is largely due to recent market volatility and is not indicative of credit losses. The issuers continue to make timely principal and interest payments. For all securities in an unrealized loss position without an allowance for credit losses, we expect to recover the amortized cost based on our estimate of the amount and timing of cash flows to be collected. We do not intend to sell nor do we expect that we will be required to sell these securities prior to recovering our amortized cost. The following table presents the gross unrealized losses and fair values of our fixed maturity securities, aggregated by investment type and length of time that individual fixed maturity securities have been in a continuous unrealized loss position, as of December 31, 2020: Less than 12 months 12 months or more Total (Amounts in thousands) Fair value Gross unrealized losses Number of securities Fair value Gross unrealized losses Number of securities Fair value Gross unrealized losses Number of securities Fixed maturity securities: U.S. government, agencies and GSEs $ — $ — — $ — $ — — $ — $ — — State and political subdivisions 4,717 (3) 2 — — — 4,717 (3) 2 Non-U.S. government — — — — — — — — — U.S. corporate 44,296 (1,231) 8 2,886 (114) 1 47,182 (1,345) 9 Non-U.S. corporate 32,533 (2,877) 8 — — — 32,533 (2,877) 8 Other asset-backed 24,823 (60) 5 26,028 (274) 6 50,851 (334) 11 Total for fixed maturity securities in an unrealized loss position $ 106,369 $ (4,171) 23 $ 28,914 $ (388) 7 $ 135,283 $ (4,559) 30 % Below cost: <20% Below cost $ 98,694 $ (1,846) 22 $ 28,914 $ (388) 7 $ 127,608 $ (2,234) 29 20%-50% Below cost 7,675 (2,325) 1 — — — 7,675 (2,325) 1 Total for fixed maturity securities in an unrealized loss position $ 106,369 $ (4,171) 23 $ 28,914 $ (388) 7 $ — $ 135,283 $ (4,559) 30 Investment grade $ 98,694 $ (1,846) 22 $ 26,028 $ (274) 6 $ 124,722 $ (2,120) 28 Below investment grade 7,675 (2,325) 1 2,886 (114) 1 10,561 (2,439) 2 Total for fixed maturity securities in an unrealized loss position $ 106,369 $ (4,171) 23 $ 28,914 $ (388) 7 $ — $ 135,283 $ (4,559) 30 Contractual Maturities of Fixed Maturity Securities Available-For-Sale The scheduled maturity distribution of fixed maturity securities as of September 30, 2021, is set forth below. Actual maturities may differ from contractual maturities because issuers of securities may have the right to call or prepay obligations with or without call or prepayment penalties. (Amounts in thousands) Amortized cost Fair value Due one year or less $ 249,955 $ 253,601 Due after one year through five years 2,089,009 2,214,808 Due after five years through ten years 1,433,056 1,462,586 Due after ten years 278,214 277,372 Subtotal 4,050,234 4,208,367 Other asset-backed 1,155,682 1,167,700 Total fixed maturity securities available-for-sale $ 5,205,916 $ 5,376,067 As of September 30, 2021, securities issued by finance and insurance, consumer—non-cyclical and technology and communications industry groups represented approximately 28%, 16%, and 14%, respectively, of our domestic and foreign corporate fixed maturity securities portfolio. No other industry group comprised more than 9% of our investment portfolio. |
Fair Value
Fair Value | 9 Months Ended |
Sep. 30, 2021 | |
Fair Value Disclosures [Abstract] | |
Fair Value | Fair Value Recurring Fair Value Measurements We have fixed maturity securities and short-term investments, which are carried at fair value. The fair value of fixed maturity securities and short-term investments are estimated primarily based on information derived from third-party pricing services (“pricing services”), internal models and/or broker quotes, which use a market approach, income approach or a combination of the market and income approach depending on the type of instrument and availability of information. In general, a market approach is utilized if there is readily available and relevant market activity for an individual security. In certain cases where market information is not available for a specific security but is available for similar securities, that security is valued using market information for similar securities, which is also a market approach. When market information is not available for a specific security (or similar securities) or is available but such information is less relevant or reliable, an income approach or a combination of a market and income approach is utilized. For securities with optionality, such as call or prepayment features (including asset-backed securities), an income approach may be used. In addition, a combination of the results from market and income approaches may be used to estimate fair value. These valuation techniques may change from period to period, based on the relevance and availability of market data. Further, while we consider the valuations provided by pricing services and broker quotes to be of high quality, management determines the fair value of our investment securities after considering all relevant and available information. In general, we first obtain valuations from pricing services. If prices are unavailable for public securities, we obtain broker quotes. For all securities, excluding certain private fixed maturity securities, if neither a pricing service nor broker quotes valuation is available, we determine fair value using internal models. For certain private fixed maturity securities where we do not obtain valuations from pricing services, we utilize an internal model to determine fair value since transactions for similar securities are not readily observable and these securities are not typically valued by pricing services. Given our understanding of the pricing methodologies and procedures of pricing services, the securities valued by pricing services are typically classified as Level 2 unless we determine the valuation process for a security or group of securities utilizes significant unobservable inputs, which would result in the valuation being classified as Level 3. Broker quotes are typically based on an income approach given the lack of available market data. As the valuation typically includes significant unobservable inputs, we classify the securities where fair value is based on our consideration of broker quotes as Level 3 measurements. For private fixed maturity securities, we utilize an income approach where we obtain public bond spreads and utilize those in an internal model to determine fair value. Other inputs to the model include rating and weighted-average life, as well as sector which is used to assign the spread. We then add an additional premium, which represents an unobservable input, to the public bond spread to adjust for the liquidity and other features of our private placements. We utilize the estimated market yield to discount the expected cash flows of the security to determine fair value. We utilize price caps for securities where the estimated market yield results in a valuation that may exceed the amount that would be received in a market transaction. When a security does not have an external rating, we assign the security an internal rating to determine the appropriate public bond spread that should be utilized in the valuation. While we generally consider the public bond spreads by sector and maturity to be observable inputs, we evaluate the similarities of our private placement with the public bonds, any price caps utilized, liquidity premiums applied, and whether external ratings are available for our private placements to determine whether the spreads utilized would be considered observable inputs. We classify private securities without an external rating or public bond spread as Level 3. In general, a significant increase (decrease) in credit spreads would have resulted in a significant decrease (increase) in the fair value for our fixed maturity securities as of September 30, 2021. For remaining securities priced using internal models, we determine fair value using an income approach. We maximize the use of observable inputs but typically utilize significant unobservable inputs to determine fair value. Accordingly, the valuations are typically classified as Level 3. Our assessment of whether or not there were significant unobservable inputs related to fixed maturity securities was based on our observations obtained through the course of managing our investment portfolio, including interaction with other market participants, observations related to the availability and consistency of pricing and/or rating, and understanding of general market activity such as new issuance and the level of secondary market trading for a class of securities. Additionally, we considered data obtained from pricing services to determine whether our estimated values incorporate significant unobservable inputs that would result in the valuation being classified as Level 3. A summary of the inputs used for our fixed maturity securities and short-term investments based on the level in which instruments are classified is included below. We have combined certain classes of instruments together as the nature of the inputs is similar. Level 1 measurements There were no fixed maturity securities classified as Level 1 as of September 30, 2021, and December 31, 2020. Level 2 measurements Fixed maturity securities: Third-party pricing services In estimating the fair value of fixed maturity securities, approximately 90% of our portfolio was priced using third-party pricing services as of September 30, 2021. These pricing services utilize industry-standard valuation techniques that include market-based approaches, income-based approaches, a combination of market-based and income-based approaches or other proprietary, internally generated models as part of the valuation processes. These third-party pricing vendors maximize the use of publicly available data inputs to generate valuations for each asset class. Priority and type of inputs used may change frequently as certain inputs may be more direct drivers of valuation at the time of pricing. Examples of significant inputs incorporated by pricing services may include sector and issuer spreads, seasoning, capital structure, security optionality, collateral data, prepayment assumptions, default assumptions, delinquencies, debt covenants, benchmark yields, trade data, dealer quotes, credit ratings, maturity and weighted-average life. We conduct regular meetings with our pricing services for the purpose of understanding the methodologies, techniques and inputs used by the third-party pricing providers. The following table presents a summary of the significant inputs used by our pricing services for certain fair value measurements of fixed maturity securities that are classified as Level 2 as of September 30, 2021: (Amounts in thousands) Fair value Primary methodologies Significant inputs U.S. government, agencies and GSEs $ 65,117 Price quotes from trading desk, broker feeds Bid side prices, trade prices, Option Adjusted Spread (“OAS”) to swap curve, Bond Market Association OAS, Treasury Curve, Agency Bullet Curve, maturity to issuer spread State and political subdivisions $ 459,783 Multi-dimensional attribute-based modeling systems, third-party pricing vendors Trade prices, material event notices, Municipal Market Data benchmark yields, broker quotes Non-U.S. government $ 22,758 Matrix pricing, spread priced to benchmark curves, price quotes from market makers Benchmark yields, trade prices, broker quotes, comparative transactions, issuer spreads, bid-offer spread, market research publications, third-party pricing sources U.S. corporate $ 2,584,949 Multi-dimensional attribute-based modeling systems, broker quotes, price quotes from market makers, internal models, OAS-based models Bid side prices to Treasury Curve, Issuer Curve, which includes sector, quality, duration, OAS percentage and change for spread matrix, trade prices, comparative transactions, Trade Reporting and Compliance Engine (“TRACE”) reports Non-U.S. corporate $ 541,755 Multi-dimensional attribute-based modeling systems, OAS-based models, price quotes from market makers Benchmark yields, trade prices, broker quotes, comparative transactions, issuer spreads, bid-offer spread, market research publications, third-party pricing sources Other asset-backed $ 1,149,314 Multi-dimensional attribute-based modeling systems, spread matrix priced to swap curves, price quotes from market makers Spreads to daily updated swap curves, spreads derived from trade prices and broker quotes, bid side prices, new issue data, collateral performance, analysis of prepayment speeds, cash flows, collateral loss analytics, historical issue analysis, trade data from market makers, TRACE reports Internal models A portion of our U.S. corporate and non-U.S. corporate securities are valued using internal models. The fair value of these fixed maturity securities was $185.5 million and $84.5 million, respectively, as of September 30, 2021. Internally modeled securities are primarily private fixed maturity securities where we use market observable inputs such as an interest rate yield curve, published credit spreads for similar securities based on the external ratings of the instrument and related industry sector of the issuer. Additionally, we may apply certain price caps and liquidity premiums in the valuation of private fixed maturity securities. Price caps and liquidity premiums are established using inputs from market participants. Short-term investments: The fair value of short-term investments classified as Level 2 is determined after considering prices obtained by pricing services. Level 3 measurements Broker quotes A portion of our U.S. corporate, non-U.S. corporate and other asset-backed securities are valued using broker quotes. Broker quotes are obtained from third-party providers that have current market knowledge to provide a reasonable price for securities not routinely priced by pricing services. Brokers utilized for valuation of assets are reviewed annually. The fair value of our Level 3 fixed maturity securities priced by broker quotes was $30.4 million as of September 30, 2021. Internal models A portion of our U.S. corporate, non-U.S. corporate and other asset-backed securities are valued using internal models. The primary inputs to the valuation of the bond population include quoted prices for identical assets, or similar assets in markets that are not active, contractual cash flows, duration, call provisions, issuer rating, benchmark yields and credit spreads. Certain private fixed maturity securities are valued using an internal model using market observable inputs such as the interest rate yield curve, as well as published credit spreads for similar securities, which includes significant unobservable inputs. Additionally, we may apply certain price caps and liquidity premiums in the valuation of private fixed maturity securities. Price caps are established using inputs from market participants. For structured securities, the primary inputs to the valuation include quoted prices for identical assets, or similar assets in markets that are not active, contractual cash flows, weighted-average coupon, weighted-average maturity, issuer rating, structure of the security, expected prepayment speeds and volumes, collateral type, current and forecasted loss severity, average delinquency rates, vintage of the loans, geographic region, debt service coverage ratios, payment priority with the tranche, benchmark yields and credit spreads. The fair value of our Level 3 fixed maturity securities priced using internal models was $252.0 million as of September 30, 2021. The following tables set forth our assets by class of instrument that are measured at fair value on a recurring basis as of the dates indicated: September 30, 2021 (Amounts in thousands) Total Level 1 Level 2 Level 3 Fixed maturity securities: U.S. government, agencies and GSEs $ 65,117 $ — $ 65,117 $ — State and political subdivisions 459,783 — 459,783 — Non-U.S. government 22,758 — 22,758 — U.S. corporate 2,948,106 — 2,770,419 177,687 Non-U.S. corporate 712,603 — 626,270 86,333 Other asset-backed 1,167,700 — 1,149,314 18,386 Total fixed maturity securities 5,376,067 — 5,093,661 282,406 Short-term investments 12,500 — 12,500 — Total $ 5,388,567 $ — $ 5,106,161 $ 282,406 December 31, 2020 (Amounts in thousands) Total Level 1 Level 2 Level 3 Fixed maturity securities: U.S. government, agencies and GSEs $ 138,224 $ — $ 138,224 $ — State and political subdivisions 187,377 — 187,377 — Non-U.S. government 31,031 — 31,031 — U.S. corporate 2,888,625 — 2,769,252 119,373 Non-U.S. corporate 607,669 — 511,918 95,751 Other asset-backed 1,193,670 — 1,179,889 13,781 Total fixed maturity securities 5,046,596 — 4,817,691 228,905 Total $ 5,046,596 $ — $ 4,817,691 $ 228,905 We did not have any liabilities recorded at fair value as of September 30, 2021, and December 31, 2020. The following tables present additional information about assets measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value as of or for the dates indicated: Beginning balance as of July 1, 2021 Total realized and unrealized gains (losses) Purchases Sales Issuances Settlements Transfer into Level 3 (1) Transfer out of Level 3 (1) Ending balance as of September 30, 2021 Total gains (losses) attributable to assets still held (Amounts in thousands) Included in net income Included in OCI Included in net income Included in OCI Fixed maturity securities: U.S. corporate $ 129,613 $ (30) $ (2,778) $ 53,000 $ — $ — $ (3,426) $ 4,318 $ (3,010) $ 177,687 $ (30) $ (2,769) Non-U.S. corporate 91,157 958 (644) 6,000 — — (14,148) 3,010 — 86,333 (83) 235 Other asset-backed 10,015 — (170) 10,000 — — (1,459) — — 18,386 — (146) Total $ 230,785 $ 928 $ (3,592) $ 69,000 $ — $ — $ (19,033) $ 7,328 $ (3,010) $ 282,406 $ (113) $ (2,680) (1) The transfers into and out of Level 3 for fixed maturity securities were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value, such as external ratings or credit spreads. Beginning balance as of July 1, 2020 Total realized and unrealized gains (losses) Purchases Sales Issuances Settlements Transfer into Level 3 (1) Transfer out of Level 3 (1) Ending balance as of September 30, 2020 Total gains (losses) attributable to assets still held (Amounts in thousands) Included in net income Included in OCI Included in net income Included in OCI Fixed maturity securities: U.S. corporate $ 108,868 $ 246 $ 1,778 $ 26,999 $ — $ — $ (4,899) $ — $ (5,500) $ 127,492 $ (31) $ 1,948 Non-U.S. corporate 99,074 (5) (519) 3,000 — — (105) — — 101,445 (5) (519) Other asset-backed 8,515 — 328 24,993 — — (1,182) — (4,846) 27,808 — 212 Total $ 216,457 $ 241 $ 1,587 $ 54,992 $ — $ — $ (6,186) $ — $ (10,346) $ 256,745 $ (36) $ 1,641 (1) The transfers into and out of Level 3 for fixed maturity securities were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value, such as external ratings or credit spreads. Beginning balance as of January 1, 2021 Total realized and unrealized gains (losses) Purchases Sales Issuances Settlements Transfer into Level 3 (1) Transfer out of Level 3 (1) Ending balance as of September 30, 2021 Total gains (losses) attributable to assets still held (Amounts in thousands) Included in net income Included in OCI Included in net income Included in OCI Fixed maturity securities: U.S. corporate $ 119,373 $ (92) $ (3,750) $ 71,000 $ — $ — $ (8,914) $ 7,397 $ (7,327) $ 177,687 $ (92) $ (4,029) Non-U.S. corporate 95,751 868 3,147 42,786 — — (25,044) 3,010 (34,185) 86,333 (168) (683) Other asset-backed 13,781 — (104) 10,000 — — (2,723) — (2,568) 18,386 — (130) Total $ 228,905 $ 776 $ (707) $ 123,786 $ — $ — $ (36,681) $ 10,407 $ (44,080) $ 282,406 $ (260) $ (4,842) ______________ (1) The transfers into and out of Level 3 for fixed maturity securities were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value, such as external ratings or credit spreads. (Amounts in thousands) Beginning balance as of January 1, 2020 Total realized and unrealized gains (losses) Purchases Sales Issuances Settlements Transfer into Level 3 (1) Transfer out of Level 3 (1) Ending balance as of September 30, 2020 Total gains (losses) attributable to assets still held Included in net income Included in OCI Included in net income Included in OCI Fixed maturity securities: U.S. corporate $ 99,862 $ 193 $ 3,120 $ 46,553 $ — $ — $ (5,333) $ 5,016 $ (21,919) $ 127,492 $ (73) $ 4,330 Non-U.S. corporate 77,189 (14) (1,987) 25,000 — — (981) 23,468 (21,230) 101,445 (14) (3,278) Other asset-backed 4,038 — (69) 29,867 — — (1,182) — (4,846) 27,808 — (185) Total $ 181,089 $ 179 $ 1,064 $ 101,420 $ — $ — $ (7,496) $ 28,484 $ (47,995) $ 256,745 $ (87) $ 867 ______________ (1) The transfers into and out of Level 3 for fixed maturity securities were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value, such as external ratings or credit spreads. The following table presents the gains and losses included in net income (loss) from assets measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value and the related income statement line item in which these gains and losses were presented for the periods indicated: Three months ended Nine months ended (Amounts in thousands) 2021 2020 2021 2020 Total realized and unrealized gains (losses) included in net income: Net investment income $ 928 $ 241 $ 776 $ 179 Net investment gains (losses) — — — — Total $ 928 $ 241 $ 776 $ 179 Total gains (losses) included in net income attributable to assets still held: Net investment income $ (113) $ (36) $ (260) $ (87) Net investment gains (losses) — — — — Total $ (113) $ (36) $ (260) $ (87) The amount presented for realized and unrealized gains (losses) included in net income for fixed maturity securities primarily represents amortization and accretion of premiums and discounts on certain fixed maturity securities. The following table presents a summary of the significant unobservable inputs used for certain asset fair value measurements that are based on internal models and classified as Level 3 as of September 30, 2021: (Amounts in thousands) Valuation technique Fair value (1) Unobservable input Range (bps) Weighted- average (2) (bps) Fixed maturity securities: U.S. corporate Internal models $ 157,800 Credit spreads 52 - 148 90 Non-U.S. corporate Internal models $ 78,134 Credit spreads 67 - 126 95 ______________ (1) Certain classes of instruments classified as Level 3 are excluded as a result of not being material or due to limitations in being able to obtain the underlying inputs used by certain third-party sources, such as broker quotes, used as an input in determining fair value. (2) Unobservable inputs weighted by the relative fair value of the associated instrument. Liabilities Not Required to Be Carried at Fair Value The following table provides fair value information for financial instruments that are reflected in the accompanying unaudited condensed consolidated financial statements at amounts other than fair value. We have certain financial instruments that are not recorded at fair value, including cash and cash equivalents and accrued investment income, the carrying value of which approximate fair value due to the short-term nature of these instruments and are not included in this disclosure. The following represents our estimated fair value of financial liabilities that are not required to be carried at fair value, classified as Level 2, as of the dates indicated: September 30, 2021 December 31, 2020 (Amounts in thousands) Carrying amount Fair value Carrying amount Fair value Long-term borrowings $ 739,838 $ 810,480 $ 738,162 $ 800,367 As of September 30, 2021, we were also committed to fund $29.9 million in private placement investments. |
Loss Reserves
Loss Reserves | 9 Months Ended |
Sep. 30, 2021 | |
Insurance [Abstract] | |
Loss Reserves | Loss Reserves Activity for the liability for loss reserves for the nine months ended September 30 is summarized as follows: (Amounts in thousands) 2021 2020 Loss reserves, beginning balance $ 555,679 $ 235,062 Run-off reserves (654) (1,597) Net loss reserves, beginning balance 555,025 233,465 Losses and LAE incurred related to current accident year 104,939 281,621 Losses and LAE incurred related to prior accident years 14,468 10,222 Total incurred (1) 119,407 291,843 Losses and LAE paid related to current accident year (1,574) (1,130) Losses and LAE paid related to prior accident years (25,194) (49,889) Total paid (1) (26,768) (51,019) Net loss reserves, ending balance 647,664 474,289 Run-off reserves 701 455 Loss reserves, ending balance $ 648,365 $ 474,744 ______________ (1) Losses and loss adjustment expenses (“LAE”) incurred and paid exclude losses related to our run-off business. The liability for loss reserves represents our current best estimate; however, there may be future adjustments to this estimate and related assumptions. Such adjustments, reflecting any variety of new and adverse trends, could possibly be significant, and result in future increases to reserves by amounts that could be material to our results of operations, financial condition and liquidity. Losses incurred related to insured events of the current accident year relate to defaults that occurred in that year and represent the estimated ultimate amount of losses to be paid on such defaults. Losses incurred related to insured events of prior accident years represent the (favorable) or unfavorable development of reserves as a result of the actual rates at which delinquencies go to claim (“claim rates”) and claim amounts being different than those we estimated when originally establishing the reserves. Such estimates are based on our historical experience, which we believe is representative of expected future losses at the time of estimation. As a result of the extended period of time that may exist between the reporting of a delinquency and the claim payment, as well as changes in economic conditions and the real estate market, significant uncertainty and variability exist on amounts ultimately paid. |
Reinsurance
Reinsurance | 9 Months Ended |
Sep. 30, 2021 | |
SEC Schedule, 12-17, Insurance Companies, Reinsurance [Abstract] | |
Reinsurance | Reinsurance We reinsure a portion of our policy risks to other companies in order to reduce our ultimate losses, diversify our exposures and comply with regulatory requirements. We also assume certain policy risks written by other companies. Reinsurance does not relieve us from our obligations to policyholders. In the event that the reinsurers are unable to meet their obligations, we remain liable for the reinsured claims. We monitor both the financial condition of individual reinsurers and risk concentrations arising from similar geographic regions, activities and economic characteristics of reinsurers to lessen the risk of default by such reinsurers. The following table sets forth the effects of reinsurance on premiums written and earned for the periods indicated: Three months ended Nine months ended (Amounts in thousands) 2021 2020 2021 2020 Net premiums written: Direct $ 252,719 $ 252,259 $ 738,848 $ 698,628 Assumed 78 102 249 343 Ceded (18,500) (12,537) (53,150) (33,586) Net premiums written $ 234,297 $ 239,824 $ 685,947 $ 665,385 Net premiums earned: Direct $ 261,485 $ 263,858 $ 790,986 $ 753,717 Assumed 78 102 249 343 Ceded (18,500) (12,537) (53,150) (33,586) Net premiums earned $ 243,063 $ 251,423 $ 738,085 $ 720,474 The difference between written premiums of $685.9 million and earned premiums of $738.1 million represents the decrease in unearned premiums for the nine months ended September 30, 2021. The decrease in unearned premiums was primarily the result of elevated policy cancellations in our single premium mortgage insurance product driven by low interest rates and higher mortgage refinancing for the nine months ended September 30, 2021. Insurance-linked note excess of loss reinsurance treaties On September 2, 2021, we obtained $371.5 million of excess of loss reinsurance coverage from Triangle Re 2021-3 Ltd. (“Triangle Re 2021-3”) on a portfolio of existing mortgage insurance policies written from January 2021 through June 2021. In connection with entering into the reinsurance agreement with Triangle Re 2021-3, we believe that the risk transfer requirements for reinsurance accounting were met as Triangle Re 2021-3 is assuming significant insurance risk and a reasonable possibility of significant loss. At closing, we retain the first layer of aggregate losses up to $303.5 million. Triangle Re 2021-3 provides 72% reinsurance coverage for losses above our retained layer up to $371.5 million. On April 16, 2021, we obtained $302.7 million of excess of loss reinsurance coverage from Triangle Re 2021-2 Ltd. (“Triangle Re 2021-2”) on a portfolio of existing mortgage insurance policies written from September 2020 through December 2020. In connection with entering into the reinsurance agreement with Triangle Re 2021-2, we believe that the risk transfer requirements for reinsurance accounting were met as Triangle Re 2021-2 is assuming significant insurance risk and a reasonable possibility of significant loss. For the reinsurance coverage, we retain the first layer of aggregate losses up to $188.6 million. Triangle Re 2021-2 provides 76% reinsurance coverage for losses above our retained first layer up to $302.7 million. On March 2, 2021, we obtained $495.0 million of excess of loss reinsurance coverage from Triangle Re 2021-1 Ltd. (“Triangle Re 2021-1”) on a portfolio of existing seasoned mortgage insurance policies written from January 2014 through December 2018 and from October 2019 through December 2019. In connection with entering into the reinsurance agreement with Triangle Re 2021-1, we believe that the risk transfer requirements for reinsurance accounting were met as Triangle Re 2021-1 is assuming significant insurance risk and a reasonable possibility of significant loss. Triangle Re 2021-1 reinsurance coverage is derived by applying a reinsurance cession percentage to the mortgage insurance coverage for each loan to get to an Aggregate Exposed Principal Balance (“AEPB”). This AEPB accounts for any existing reinsurance and ensures we retain a minimum 5% vertical risk retention on each loan. For the reinsurance coverage, we retain the first layer of aggregate losses up to $212.1 million. Triangle Re 2021-1 provides 100% reinsurance coverage for losses above our retained first layer up to $495.0 million. On October 22, 2020, we obtained $349.6 million of excess of loss reinsurance coverage from Triangle Re 2020-1 Ltd. (“Triangle Re 2020-1”) on a portfolio of existing mortgage insurance policies written from January 2020 through August 2020. In connection with entering into the reinsurance agreement with Triangle Re 2020-1, we concluded that the risk transfer requirements for reinsurance accounting were met as Triangle Re 2020-1 is assuming significant insurance risk and a reasonable possibility of significant loss. For the reinsurance coverage, we retain the first layer of aggregate losses up to $521.8 million. Triangle Re 2020-1 provides 67% reinsurance coverage for losses above our retained first layer up to $349.6 million. Other excess of loss reinsurance treaties On February 4, 2021, we executed an excess of loss reinsurance transaction with a panel of reinsurers, which provides up to $210.4 million of reinsurance coverage on a portion of current and expected new insurance written (“NIW”) for the 2021 book year, effective January 1, 2021. Effective April 1, 2020, we executed an excess of loss reinsurance transaction with a panel of reinsurers covering a portion of the loss tier on subject loans written between book years 2009 and 2019 to help mitigate higher levels of delinquencies as a result of COVID-19. Effective January 1, 2020, we executed an excess of loss reinsurance transaction with a panel of reinsurers covering a portion of the loss tier on the then current and expected NIW for the 2020 book year. We also entered into excess of loss reinsurance agreements with other external panels of reinsurers covering our 2016 through 2019 books of business. |
Borrowings
Borrowings | 9 Months Ended |
Sep. 30, 2021 | |
Debt Disclosure [Abstract] | |
Borrowings | Borrowings In 2020, we issued $750 million aggregate principal amount of 6.5% senior notes due in 2025 (the “2025 Senior Notes”). Interest on the 2025 Senior Notes is payable semi-annually in arrears on February 15 and August 15 of each year. The 2025 Senior Notes mature on August 15, 2025. The first two interest payments of approximately $23.6 million and $24.4 million were paid in February 2021 and August 2021, respectively. The following table sets forth long-term borrowings as of the dates indicated: (Amounts in thousands) September 30, December 31, 6.5% Senior Notes, due 2025 $ 750,000 $ 750,000 Deferred borrowing charges (10,162) (11,838) Total $ 739,838 $ 738,162 |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2021 | |
Income Tax Disclosure [Abstract] | |
Income Tax Disclosure | Income Taxes We compute the provision for income taxes on a separate return with benefits for loss method. If during the nine months ended September 30, 2021 and 2020, we had computed taxes using the separate return method, the provision for income taxes would have been unchanged. |
Related Party Transactions
Related Party Transactions | 9 Months Ended |
Sep. 30, 2021 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions We have various agreements with Genworth that provide for reimbursement to and from Genworth of certain administrative and operating expenses that include, but are not limited to, information technology services and administrative services (such as finance, human resources, employee benefit administration and legal). These agreements provide for an allocation of corporate expenses to all Genworth businesses or subsidiaries. We incurred costs for these services of $37.2 million and $35.1 million for the nine months ended September 30, 2021 and 2020, respectively. Reimbursement was not required for certain of these administrative and operating expenses. As a result, we recorded capital contributions from Genworth of $0.9 million and $5.7 million for the nine months ended September 30, 2021 and 2020, respectively. Our investment portfolio is managed by Genworth. Under the terms of the investment management agreement we are charged a fee by Genworth. All fees paid to Genworth are charged to investment expense and are included in net investment income in the condensed consolidated statements of income. The total investment expenses paid to Genworth were $4.2 million and $3.9 million for the nine months ended September 30, 2021 and 2020, respectively. Our employees participate in certain benefit plans sponsored by Genworth and certain share-based compensation plans that utilize shares of Genworth common stock and other incentive plans. We provide certain information technology and administrative services (such as facilities and maintenance) to Genworth. We charged Genworth $0.2 million and $1.1 million for these services for the nine months ended September 30, 2021 and 2020, respectively. We have a tax sharing agreement in place with Genworth, such that we participate in a single U.S. consolidated income tax return filing. All intercompany balances related to this agreement are settled at least annually. The condensed consolidated financial statements include the following amounts due to and from Genworth relating to recurring service and expense agreements as of September 30: (Amounts in thousands) 2021 2020 Amounts payable to Genworth $ 7,294 $ 9,588 Amounts receivable from Genworth $ 150 $ 1,318 |
Net Income (Loss) Per Share
Net Income (Loss) Per Share | 9 Months Ended |
Sep. 30, 2021 | |
Earnings Per Share [Abstract] | |
Net Income (Loss) Per Share | Net Income (Loss) Per Share Basic net income (loss) per share is computed by dividing net income (loss) by the weighted-average number of common shares outstanding. Diluted net income (loss) per share is computed by dividing net income (loss) attributable to common shareholders by the sum of the weighted-average number of common shares outstanding and the weighted-average number of dilutive potential common shares. Dilutive potential common shares relate to our share-based compensation arrangements. The calculation of basic and diluted net income per share is as follows. Three months ended Nine months ended (Amounts in thousands) 2021 2020 2021 2020 Net income (loss) $ 137,208 $ 138,015 $ 393,151 $ 279,240 Average common shares outstanding - basic 162,840 162,840 162,840 162,840 Dilutive effect of share-based compensation arrangements 12 — 4 — Adjusted average common shares outstanding - diluted 162,852 162,840 162,844 162,840 Net income (loss) per share: Basic $ 0.84 $ 0.85 $ 2.41 $ 1.71 Diluted $ 0.84 $ 0.85 $ 2.41 $ 1.71 |
Changes in Accumulated Other Co
Changes in Accumulated Other Comprehensive Income | 9 Months Ended |
Sep. 30, 2021 | |
Equity [Abstract] | |
Changes in Accumulated Other Comprehensive Income | Changes in Accumulated Other Comprehensive Income The following tables present a rollforward of accumulated other comprehensive income for the periods indicated: (Amounts in thousands) Net unrealized investment gains (losses) Total Balance as of July 1, 2021, net of tax $ 159,854 $ 159,854 Cumulative effect of change in accounting, net of taxes — — Other comprehensive income (loss) before reclassifications (25,337) (25,337) Amounts reclassified (from) to other comprehensive income (loss) (562) (562) Total other comprehensive income (loss) (25,899) (25,899) Balance as of September 30, 2021, net of tax $ 133,955 $ 133,955 (Amounts in thousands) Net unrealized Total Balance as of July 1, 2020, net of tax $ 152,948 $ 152,948 Other comprehensive income (loss) before reclassifications 29,528 29,528 Amounts reclassified (from) to other comprehensive income (loss) 1,271 1,271 Total other comprehensive income (loss) 30,799 30,799 Balance as of September 30, 2020, net of tax $ 183,747 $ 183,747 (Amounts in thousands) Net unrealized investment gains (losses) Total Balance as of January 1, 2021, net of tax $ 208,378 $ 208,378 Cumulative effect of change in accounting, net of taxes 281 281 Other comprehensive income (loss) before reclassifications (74,576) (74,576) Amounts reclassified (from) to other comprehensive income (loss) (128) (128) Total other comprehensive income (loss) (74,704) (74,704) Balance as of September 30, 2021, net of tax $ 133,955 $ 133,955 (Amounts in thousands) Net unrealized Total Balance as of January 1, 2020, net of tax $ 93,431 $ 93,431 Other comprehensive income (loss) before reclassifications 88,759 88,759 Amounts reclassified (from) to other comprehensive income (loss) 1,557 1,557 Total other comprehensive income (loss) 90,316 90,316 Balance as of September 30, 2020, net of tax $ 183,747 $ 183,747 The following table presents the effect of the reclassifications of significant items out of accumulated other comprehensive income on the respective line items of the consolidated statements of income, for the periods indicated: Amount reclassified from accumulated other comprehensive income Affected line item in the condensed consolidated statements of income Three months ended September 30, Nine months ended September 30, (Amounts in thousands) 2021 2020 2021 2020 Net unrealized gains (losses) on investments $ 711 $ (1,610) $ 162 $ (1,971) Net investment gains (losses) Benefit (expense) from income taxes (149) 339 (34) 414 Provision for income taxes |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2021 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent EventsIn April 2021, we entered into an agreement to purchase Genworth’s minority ownership interest in a mortgage guarantee business in India. On November 1, 2021, we completed the purchase for a cash purchase price that is not material to us. |
Accounting Policies (Policies)
Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2021 | |
Accounting Policies [Abstract] | |
Accounting Pronouncements Recently Adopted | Accounting Pronouncements Recently Adopted On January 1, 2021, we adopted new accounting guidance related to simplifying the accounting for income taxes. The guidance eliminates certain exceptions related to the approach for intraperiod tax allocation, the methodology for calculating income taxes in an interim period and the recognition of deferred tax liabilities for outside basis differences. We adopted this new accounting guidance using the retrospective method or modified retrospective method for certain changes and prospective method for all other changes, which did not have a significant impact on our consolidated financial statements and disclosures. On January 1, 2021, we early adopted new accounting guidance related to accounting for credit losses on financial instruments. The guidance requires entities to recognize an allowance equal to its estimate of lifetime expected credit losses and applies to most debt instruments not measured at fair value. The new guidance retains most of the existing impairment guidance for available-for-sale fixed maturity securities but amends the presentation of credit losses to be presented as an allowance as opposed to a write-down and permits the reversal of credit losses when reassessing changes in the credit losses each reporting period. Available-for-sale fixed maturity securities in an unrealized loss position are evaluated to determine whether the decline in fair value is related to credit losses or other factors. In making this assessment, we consider the extent to which fair value is less than amortized cost, any changes to the rating of the security by a rating agency/agencies and adverse conditions specifically related to the security, among other factors. If a credit loss exists, the present value of cash flows expected to be collected from the security are compared to the amortized cost basis of the security. If the present value of cash flows expected to be collected is less than the amortized cost basis, an allowance for credit losses is recorded, limited by the amount that the fair value is less than the amortized cost basis. Estimating the cash flows expected to be collected is a quantitative and qualitative process that incorporates information received from third-party sources along with internal assumptions and judgments. When developing the estimate of cash flows expected to be collected, we utilize an analytical model that provides for various loss scenarios and consider the industry sector, current levels of subordination, geographic location and other relevant characteristics of the security or underlying assets, as well as reasonable and supportable forecasts. Losses are written off against the allowance when deemed uncollectible or when we intend to sell or expect we will be required to sell a security prior to recovering our amortized cost. We exclude accrued interest related to available-for-sale fixed maturity securities from the estimate of allowance for credit losses. Accrued interest is included in accrued investment income in our condensed consolidated balance sheet. We do not measure an allowance for credit losses related to accrued interest as uncollectible accrued interest related to our available-for-sale fixed maturity securities is written off after 90 days and once collectability is determined to be uncertain and not probable. Amounts written off related to accrued interest are recorded as a credit loss expense included in net investment gains (losses). We adopted the guidance related to our available-for-sale fixed maturity securities using the modified retrospective method, which did not have a significant impact on our consolidated financial statements. The new guidance further requires that expected credit losses on premiums receivable are measured in accordance with the credit loss requirements for financial instruments measured at amortized cost. Due to the short-term nature of our premiums receivable, we consider lifetime expected credit losses on premiums receivable to be consistent with our current allowance and as a result the new accounting guidance did not have an impact on premiums receivable upon adoption. The new guidance also requires the recognition of an allowance for expected credit losses as a liability in our consolidated balance sheet for off-balance sheet credit exposures, including private placement investments. We adopted the guidance related to our off-balance sheet credit exposures using the modified retrospective method, which did not have an impact on our consolidated financial statements. |
Recurring Fair Value Measurements | We have fixed maturity securities and short-term investments, which are carried at fair value. The fair value of fixed maturity securities and short-term investments are estimated primarily based on information derived from third-party pricing services (“pricing services”), internal models and/or broker quotes, which use a market approach, income approach or a combination of the market and income approach depending on the type of instrument and availability of information. In general, a market approach is utilized if there is readily available and relevant market activity for an individual security. In certain cases where market information is not available for a specific security but is available for similar securities, that security is valued using market information for similar securities, which is also a market approach. When market information is not available for a specific security (or similar securities) or is available but such information is less relevant or reliable, an income approach or a combination of a market and income approach is utilized. For securities with optionality, such as call or prepayment features (including asset-backed securities), an income approach may be used. In addition, a combination of the results from market and income approaches may be used to estimate fair value. These valuation techniques may change from period to period, based on the relevance and availability of market data. Further, while we consider the valuations provided by pricing services and broker quotes to be of high quality, management determines the fair value of our investment securities after considering all relevant and available information. In general, we first obtain valuations from pricing services. If prices are unavailable for public securities, we obtain broker quotes. For all securities, excluding certain private fixed maturity securities, if neither a pricing service nor broker quotes valuation is available, we determine fair value using internal models. For certain private fixed maturity securities where we do not obtain valuations from pricing services, we utilize an internal model to determine fair value since transactions for similar securities are not readily observable and these securities are not typically valued by pricing services. Given our understanding of the pricing methodologies and procedures of pricing services, the securities valued by pricing services are typically classified as Level 2 unless we determine the valuation process for a security or group of securities utilizes significant unobservable inputs, which would result in the valuation being classified as Level 3. Broker quotes are typically based on an income approach given the lack of available market data. As the valuation typically includes significant unobservable inputs, we classify the securities where fair value is based on our consideration of broker quotes as Level 3 measurements. For private fixed maturity securities, we utilize an income approach where we obtain public bond spreads and utilize those in an internal model to determine fair value. Other inputs to the model include rating and weighted-average life, as well as sector which is used to assign the spread. We then add an additional premium, which represents an unobservable input, to the public bond spread to adjust for the liquidity and other features of our private placements. We utilize the estimated market yield to discount the expected cash flows of the security to determine fair value. We utilize price caps for securities where the estimated market yield results in a valuation that may exceed the amount that would be received in a market transaction. When a security does not have an external rating, we assign the security an internal rating to determine the appropriate public bond spread that should be utilized in the valuation. While we generally consider the public bond spreads by sector and maturity to be observable inputs, we evaluate the similarities of our private placement with the public bonds, any price caps utilized, liquidity premiums applied, and whether external ratings are available for our private placements to determine whether the spreads utilized would be considered observable inputs. We classify private securities without an external rating or public bond spread as Level 3. In general, a significant increase (decrease) in credit spreads would have resulted in a significant decrease (increase) in the fair value for our fixed maturity securities as of September 30, 2021. For remaining securities priced using internal models, we determine fair value using an income approach. We maximize the use of observable inputs but typically utilize significant unobservable inputs to determine fair value. Accordingly, the valuations are typically classified as Level 3. |
Investments (Tables)
Investments (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary Investment Income | Sources of net investment income were as follows for the periods indicated: Three months ended Nine months ended (Amounts in thousands) 2021 2020 2021 2020 Fixed maturity securities available-for-sale $ 37,055 $ 34,512 $ 110,007 $ 99,621 Cash, cash equivalents and short-term investments 13 86 65 2,135 Gross investment income before expenses and fees 37,068 34,598 110,072 101,756 Investment expenses and fees (1,073) (1,401) (4,129) (3,866) Net investment income $ 35,995 $ 33,197 $ 105,943 $ 97,890 |
Debt Securities, Available-for-sale | As of September 30, 2021, the amortized cost, gross unrealized gains (losses), allowance for credit losses and fair value of our fixed maturity securities classified as available-for-sale were as follows: (Amounts in thousands) Amortized cost Gross unrealized gains Gross unrealized losses Allowance for credit losses Fair value U.S. government, agencies and GSEs $ 62,579 $ 2,539 $ (1) $ — $ 65,117 State and political subdivisions 449,370 12,650 (2,237) — 459,783 Non-U.S. government 22,423 343 (8) — 22,758 U.S. corporate 2,825,145 132,821 (9,860) — 2,948,106 Non-U.S. corporate 690,717 23,390 (1,504) — 712,603 Other asset-backed 1,155,682 13,216 (1,198) — 1,167,700 Total fixed maturity securities available-for-sale $ 5,205,916 $ 184,959 $ (14,808) $ — $ 5,376,067 As of December 31, 2020, the amortized cost, gross unrealized gains (losses) and fair value of our fixed maturity securities classified as available-for-sale were as follows: Gross unrealized gains Gross unrealized losses (Amounts in thousands) Amortized cost Not other-than- temporarily impaired Other-than- temporarily impaired Not other-than- temporarily impaired Other-than- temporarily impaired Fair value U.S. government, agencies and GSEs $ 134,215 $ 4,009 $ — $ — $ — $ 138,224 State and political subdivisions 172,631 14,749 — (3) — 187,377 Non-U.S. government 29,592 1,439 — — — 31,031 U.S. corporate 2,695,009 194,961 — (1,345) — 2,888,625 Non-U.S. corporate 578,295 32,251 — (2,877) — 607,669 Other asset-backed 1,172,174 21,830 — (334) — 1,193,670 Total fixed maturity securities available-for-sale $ 4,781,916 $ 269,239 $ — $ (4,559) $ — $ 5,046,596 |
Summary of Net Investment Gains (Losses) | The following table sets forth net investment gains (losses) for the periods indicated: Three months ended Nine months ended (Amounts in thousands) 2021 2020 2021 2020 Fixed maturity securities available-for-sale: Gross realized gains $ 839 $ 158 $ 1,423 $ 906 Gross realized (losses) (128) (37) (1,261) (1,129) Net realized gains (losses) 711 121 162 (223) Impairments: Total other-than-temporary impairments — (1,730) — (1,730) Portion of other-than-temporary impairments included in other comprehensive income (loss) — — — — Net other-than-temporary impairments — (1,730) — (1,730) Net change in allowance for credit losses on fixed maturity securities available-for-sale (131) — (2,291) — Net investment gains (losses) $ 580 $ (1,609) $ (2,129) $ (1,953) |
Schedule of Allowance for Credit Losses by Security Type | The following table represents the allowance for credit losses aggregated by security type for fixed maturity available-for-sale securities as of and for the three months ended September 30, 2021: (Amounts in thousands) Beginning balance Cumulative effect of change in accounting Increase from securities without allowance in previous periods Securities sold Ending balance Fixed maturity securities: Non-U.S. corporate $ — $ — $ — $ — $ — Total fixed maturity securities available-for-sale $ — $ — $ — $ — $ — The following table represents the allowance for credit losses aggregated by security type for fixed maturity available-for-sale securities as of and for the nine months ended September 30, 2021: (Amounts in thousands) Beginning balance Cumulative effect of change in accounting Increase from securities without allowance in previous periods Securities sold Ending balance Fixed maturity securities: Non-U.S. corporate $ — $ 357 $ 2,157 $ (2,514) $ — Total fixed maturity securities available-for-sale $ — $ 357 $ 2,157 $ (2,514) $ — |
Schedule of Unrealized Gain (Loss) on Investments | Net unrealized gains and losses on available-for-sale securities reflected as a separate component of accumulated other comprehensive income (“OCI”) were as follows as of the dates indicated: (Amounts in thousands) September 30, 2021 December 31, 2020 Net unrealized gains (losses) on fixed maturity securities without an allowance for credit losses $ 170,151 $ — Net unrealized gains (losses) on fixed maturity securities with an allowance for credit losses — — Net unrealized gains (losses) on fixed maturity securities not other-than-temporarily impaired — 264,680 Net unrealized gains (losses) on fixed maturity securities other-than-temporarily impaired — — Subtotal 170,151 264,680 Income taxes (36,196) (56,302) Net unrealized investment gains (losses) $ 133,955 $ 208,378 The change in net unrealized gains (losses) on available-for-sale securities reported in accumulated other comprehensive income was as follows as of and for the periods indicated: Three months ended (Amounts in thousands) 2021 2020 Beginning balance $ 159,854 $ 152,948 Cumulative effect of change in accounting, net of taxes — — Unrealized gains (losses) arising during the period: Unrealized gains (losses) on investment securities (32,185) 37,225 Provision for income taxes 6,848 (7,697) Change in unrealized gains (losses) on investment securities (25,337) 29,528 Reclassification adjustments to net investment (gains) losses, net of taxes of $149 and $(339), respectively (562) 1,271 Change in net unrealized investment gains (losses) (25,899) 30,799 Ending balance $ 133,955 $ 183,747 Nine months ended (Amounts in thousands) 2021 2020 Beginning balance $ 208,378 $ 93,431 Cumulative effect of change in accounting, net of taxes 281 — Unrealized gains (losses) arising during the period: Unrealized gains (losses) on investment securities (94,724) 109,822 Provision for income taxes 20,148 (21,063) Change in unrealized gains (losses) on investment securities (74,576) 88,759 Reclassification adjustments to net investment (gains) losses, net of taxes of $34 and $(414), respectively (128) 1,557 Change in net unrealized investment gains (losses) (74,704) 90,316 Ending balance $ 133,955 $ 183,747 |
Schedule of Unrealized Losses on Investments | The following table presents the gross unrealized losses and fair values of our fixed maturity securities for which an allowance for credit losses has not been recorded, aggregated by investment type and length of time that individual fixed maturity securities have been in a continuous unrealized loss position, as of September 30, 2021: Less than 12 months 12 months or more Total (Amounts in thousands) Fair value Gross unrealized losses Number of securities Fair value Gross unrealized losses Number of securities Fair value Gross unrealized losses Number of securities Fixed maturity securities: U.S. government, agencies and GSEs $ 104 $ (1) 1 $ — $ — — $ 104 $ (1) 1 State and political subdivisions 170,402 (2,237) 33 — — — 170,402 (2,237) 33 Non-U.S. government 10,777 (8) 1 — — — 10,777 (8) 1 U.S. corporate 409,396 (8,433) 61 21,543 (1,427) 2 430,939 (9,860) 63 Non-U.S. corporate 145,571 (1,477) 23 2,183 (27) 1 147,754 (1,504) 24 Other asset-backed 255,275 (1,174) 44 3,726 (24) 1 259,001 (1,198) 45 Total for fixed maturity securities in an unrealized loss position $ 991,525 $ (13,330) 163 $ 27,452 $ (1,478) 4 $ 1,018,977 $ (14,808) 167 % Below cost: <20% Below cost $ 991,525 $ (13,330) 163 $ 27,452 $ (1,478) 4 $ 1,018,977 $ (14,808) 167 Total for fixed maturity securities in an unrealized loss position $ 991,525 $ (13,330) 163 $ 27,452 $ (1,478) 4 $ 1,018,977 $ (14,808) 167 Investment grade $ 963,517 $ (12,835) 155 $ 27,452 $ (1,478) 4 $ 990,969 $ (14,313) 159 Below investment grade 28,008 (495) 8 — — — 28,008 (495) 8 Total for fixed maturity securities in an unrealized loss position $ 991,525 $ (13,330) 163 $ 27,452 $ (1,478) 4 $ 1,018,977 $ (14,808) 167 The following table presents the gross unrealized losses and fair values of our fixed maturity securities, aggregated by investment type and length of time that individual fixed maturity securities have been in a continuous unrealized loss position, as of December 31, 2020: Less than 12 months 12 months or more Total (Amounts in thousands) Fair value Gross unrealized losses Number of securities Fair value Gross unrealized losses Number of securities Fair value Gross unrealized losses Number of securities Fixed maturity securities: U.S. government, agencies and GSEs $ — $ — — $ — $ — — $ — $ — — State and political subdivisions 4,717 (3) 2 — — — 4,717 (3) 2 Non-U.S. government — — — — — — — — — U.S. corporate 44,296 (1,231) 8 2,886 (114) 1 47,182 (1,345) 9 Non-U.S. corporate 32,533 (2,877) 8 — — — 32,533 (2,877) 8 Other asset-backed 24,823 (60) 5 26,028 (274) 6 50,851 (334) 11 Total for fixed maturity securities in an unrealized loss position $ 106,369 $ (4,171) 23 $ 28,914 $ (388) 7 $ 135,283 $ (4,559) 30 % Below cost: <20% Below cost $ 98,694 $ (1,846) 22 $ 28,914 $ (388) 7 $ 127,608 $ (2,234) 29 20%-50% Below cost 7,675 (2,325) 1 — — — 7,675 (2,325) 1 Total for fixed maturity securities in an unrealized loss position $ 106,369 $ (4,171) 23 $ 28,914 $ (388) 7 $ — $ 135,283 $ (4,559) 30 Investment grade $ 98,694 $ (1,846) 22 $ 26,028 $ (274) 6 $ 124,722 $ (2,120) 28 Below investment grade 7,675 (2,325) 1 2,886 (114) 1 10,561 (2,439) 2 Total for fixed maturity securities in an unrealized loss position $ 106,369 $ (4,171) 23 $ 28,914 $ (388) 7 $ — $ 135,283 $ (4,559) 30 |
Contractual Maturities of Fixed Maturity Securities Available-For-Sale | The scheduled maturity distribution of fixed maturity securities as of September 30, 2021, is set forth below. Actual maturities may differ from contractual maturities because issuers of securities may have the right to call or prepay obligations with or without call or prepayment penalties. (Amounts in thousands) Amortized cost Fair value Due one year or less $ 249,955 $ 253,601 Due after one year through five years 2,089,009 2,214,808 Due after five years through ten years 1,433,056 1,462,586 Due after ten years 278,214 277,372 Subtotal 4,050,234 4,208,367 Other asset-backed 1,155,682 1,167,700 Total fixed maturity securities available-for-sale $ 5,205,916 $ 5,376,067 |
Fair Value (Tables)
Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Fair Value Disclosures [Abstract] | |
Summary of Significant Inputs used for Fair Value Measurement of Fixed Maturity Securities | The following table presents a summary of the significant inputs used by our pricing services for certain fair value measurements of fixed maturity securities that are classified as Level 2 as of September 30, 2021: (Amounts in thousands) Fair value Primary methodologies Significant inputs U.S. government, agencies and GSEs $ 65,117 Price quotes from trading desk, broker feeds Bid side prices, trade prices, Option Adjusted Spread (“OAS”) to swap curve, Bond Market Association OAS, Treasury Curve, Agency Bullet Curve, maturity to issuer spread State and political subdivisions $ 459,783 Multi-dimensional attribute-based modeling systems, third-party pricing vendors Trade prices, material event notices, Municipal Market Data benchmark yields, broker quotes Non-U.S. government $ 22,758 Matrix pricing, spread priced to benchmark curves, price quotes from market makers Benchmark yields, trade prices, broker quotes, comparative transactions, issuer spreads, bid-offer spread, market research publications, third-party pricing sources U.S. corporate $ 2,584,949 Multi-dimensional attribute-based modeling systems, broker quotes, price quotes from market makers, internal models, OAS-based models Bid side prices to Treasury Curve, Issuer Curve, which includes sector, quality, duration, OAS percentage and change for spread matrix, trade prices, comparative transactions, Trade Reporting and Compliance Engine (“TRACE”) reports Non-U.S. corporate $ 541,755 Multi-dimensional attribute-based modeling systems, OAS-based models, price quotes from market makers Benchmark yields, trade prices, broker quotes, comparative transactions, issuer spreads, bid-offer spread, market research publications, third-party pricing sources Other asset-backed $ 1,149,314 Multi-dimensional attribute-based modeling systems, spread matrix priced to swap curves, price quotes from market makers Spreads to daily updated swap curves, spreads derived from trade prices and broker quotes, bid side prices, new issue data, collateral performance, analysis of prepayment speeds, cash flows, collateral loss analytics, historical issue analysis, trade data from market makers, TRACE reports |
Schedule of Fair Value Assets Measured on Recurring Basis | The following tables set forth our assets by class of instrument that are measured at fair value on a recurring basis as of the dates indicated: September 30, 2021 (Amounts in thousands) Total Level 1 Level 2 Level 3 Fixed maturity securities: U.S. government, agencies and GSEs $ 65,117 $ — $ 65,117 $ — State and political subdivisions 459,783 — 459,783 — Non-U.S. government 22,758 — 22,758 — U.S. corporate 2,948,106 — 2,770,419 177,687 Non-U.S. corporate 712,603 — 626,270 86,333 Other asset-backed 1,167,700 — 1,149,314 18,386 Total fixed maturity securities 5,376,067 — 5,093,661 282,406 Short-term investments 12,500 — 12,500 — Total $ 5,388,567 $ — $ 5,106,161 $ 282,406 December 31, 2020 (Amounts in thousands) Total Level 1 Level 2 Level 3 Fixed maturity securities: U.S. government, agencies and GSEs $ 138,224 $ — $ 138,224 $ — State and political subdivisions 187,377 — 187,377 — Non-U.S. government 31,031 — 31,031 — U.S. corporate 2,888,625 — 2,769,252 119,373 Non-U.S. corporate 607,669 — 511,918 95,751 Other asset-backed 1,193,670 — 1,179,889 13,781 Total fixed maturity securities 5,046,596 — 4,817,691 228,905 Total $ 5,046,596 $ — $ 4,817,691 $ 228,905 |
Schedule of Fair Value Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The following tables present additional information about assets measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value as of or for the dates indicated: Beginning balance as of July 1, 2021 Total realized and unrealized gains (losses) Purchases Sales Issuances Settlements Transfer into Level 3 (1) Transfer out of Level 3 (1) Ending balance as of September 30, 2021 Total gains (losses) attributable to assets still held (Amounts in thousands) Included in net income Included in OCI Included in net income Included in OCI Fixed maturity securities: U.S. corporate $ 129,613 $ (30) $ (2,778) $ 53,000 $ — $ — $ (3,426) $ 4,318 $ (3,010) $ 177,687 $ (30) $ (2,769) Non-U.S. corporate 91,157 958 (644) 6,000 — — (14,148) 3,010 — 86,333 (83) 235 Other asset-backed 10,015 — (170) 10,000 — — (1,459) — — 18,386 — (146) Total $ 230,785 $ 928 $ (3,592) $ 69,000 $ — $ — $ (19,033) $ 7,328 $ (3,010) $ 282,406 $ (113) $ (2,680) (1) The transfers into and out of Level 3 for fixed maturity securities were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value, such as external ratings or credit spreads. Beginning balance as of July 1, 2020 Total realized and unrealized gains (losses) Purchases Sales Issuances Settlements Transfer into Level 3 (1) Transfer out of Level 3 (1) Ending balance as of September 30, 2020 Total gains (losses) attributable to assets still held (Amounts in thousands) Included in net income Included in OCI Included in net income Included in OCI Fixed maturity securities: U.S. corporate $ 108,868 $ 246 $ 1,778 $ 26,999 $ — $ — $ (4,899) $ — $ (5,500) $ 127,492 $ (31) $ 1,948 Non-U.S. corporate 99,074 (5) (519) 3,000 — — (105) — — 101,445 (5) (519) Other asset-backed 8,515 — 328 24,993 — — (1,182) — (4,846) 27,808 — 212 Total $ 216,457 $ 241 $ 1,587 $ 54,992 $ — $ — $ (6,186) $ — $ (10,346) $ 256,745 $ (36) $ 1,641 (1) The transfers into and out of Level 3 for fixed maturity securities were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value, such as external ratings or credit spreads. Beginning balance as of January 1, 2021 Total realized and unrealized gains (losses) Purchases Sales Issuances Settlements Transfer into Level 3 (1) Transfer out of Level 3 (1) Ending balance as of September 30, 2021 Total gains (losses) attributable to assets still held (Amounts in thousands) Included in net income Included in OCI Included in net income Included in OCI Fixed maturity securities: U.S. corporate $ 119,373 $ (92) $ (3,750) $ 71,000 $ — $ — $ (8,914) $ 7,397 $ (7,327) $ 177,687 $ (92) $ (4,029) Non-U.S. corporate 95,751 868 3,147 42,786 — — (25,044) 3,010 (34,185) 86,333 (168) (683) Other asset-backed 13,781 — (104) 10,000 — — (2,723) — (2,568) 18,386 — (130) Total $ 228,905 $ 776 $ (707) $ 123,786 $ — $ — $ (36,681) $ 10,407 $ (44,080) $ 282,406 $ (260) $ (4,842) ______________ (1) The transfers into and out of Level 3 for fixed maturity securities were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value, such as external ratings or credit spreads. (Amounts in thousands) Beginning balance as of January 1, 2020 Total realized and unrealized gains (losses) Purchases Sales Issuances Settlements Transfer into Level 3 (1) Transfer out of Level 3 (1) Ending balance as of September 30, 2020 Total gains (losses) attributable to assets still held Included in net income Included in OCI Included in net income Included in OCI Fixed maturity securities: U.S. corporate $ 99,862 $ 193 $ 3,120 $ 46,553 $ — $ — $ (5,333) $ 5,016 $ (21,919) $ 127,492 $ (73) $ 4,330 Non-U.S. corporate 77,189 (14) (1,987) 25,000 — — (981) 23,468 (21,230) 101,445 (14) (3,278) Other asset-backed 4,038 — (69) 29,867 — — (1,182) — (4,846) 27,808 — (185) Total $ 181,089 $ 179 $ 1,064 $ 101,420 $ — $ — $ (7,496) $ 28,484 $ (47,995) $ 256,745 $ (87) $ 867 ______________ The following table presents a summary of the significant unobservable inputs used for certain asset fair value measurements that are based on internal models and classified as Level 3 as of September 30, 2021: (Amounts in thousands) Valuation technique Fair value (1) Unobservable input Range (bps) Weighted- average (2) (bps) Fixed maturity securities: U.S. corporate Internal models $ 157,800 Credit spreads 52 - 148 90 Non-U.S. corporate Internal models $ 78,134 Credit spreads 67 - 126 95 ______________ (1) Certain classes of instruments classified as Level 3 are excluded as a result of not being material or due to limitations in being able to obtain the underlying inputs used by certain third-party sources, such as broker quotes, used as an input in determining fair value. |
Schedule of Fair Value Assets Measured on Recurring Basis, Gain (Loss) Included in Earnings | The following table presents the gains and losses included in net income (loss) from assets measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value and the related income statement line item in which these gains and losses were presented for the periods indicated: Three months ended Nine months ended (Amounts in thousands) 2021 2020 2021 2020 Total realized and unrealized gains (losses) included in net income: Net investment income $ 928 $ 241 $ 776 $ 179 Net investment gains (losses) — — — — Total $ 928 $ 241 $ 776 $ 179 Total gains (losses) included in net income attributable to assets still held: Net investment income $ (113) $ (36) $ (260) $ (87) Net investment gains (losses) — — — — Total $ (113) $ (36) $ (260) $ (87) |
Schedule of Estimated Fair Value Liabilities | The following represents our estimated fair value of financial liabilities that are not required to be carried at fair value, classified as Level 2, as of the dates indicated: September 30, 2021 December 31, 2020 (Amounts in thousands) Carrying amount Fair value Carrying amount Fair value Long-term borrowings $ 739,838 $ 810,480 $ 738,162 $ 800,367 |
Loss Reserves (Tables)
Loss Reserves (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Insurance [Abstract] | |
Schedule of Liability for Loss Reserves | Activity for the liability for loss reserves for the nine months ended September 30 is summarized as follows: (Amounts in thousands) 2021 2020 Loss reserves, beginning balance $ 555,679 $ 235,062 Run-off reserves (654) (1,597) Net loss reserves, beginning balance 555,025 233,465 Losses and LAE incurred related to current accident year 104,939 281,621 Losses and LAE incurred related to prior accident years 14,468 10,222 Total incurred (1) 119,407 291,843 Losses and LAE paid related to current accident year (1,574) (1,130) Losses and LAE paid related to prior accident years (25,194) (49,889) Total paid (1) (26,768) (51,019) Net loss reserves, ending balance 647,664 474,289 Run-off reserves 701 455 Loss reserves, ending balance $ 648,365 $ 474,744 ______________ (1) Losses and loss adjustment expenses (“LAE”) incurred and paid exclude losses related to our run-off business. |
Reinsurance (Tables)
Reinsurance (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
SEC Schedule, 12-17, Insurance Companies, Reinsurance [Abstract] | |
Effects of Reinsurance | The following table sets forth the effects of reinsurance on premiums written and earned for the periods indicated: Three months ended Nine months ended (Amounts in thousands) 2021 2020 2021 2020 Net premiums written: Direct $ 252,719 $ 252,259 $ 738,848 $ 698,628 Assumed 78 102 249 343 Ceded (18,500) (12,537) (53,150) (33,586) Net premiums written $ 234,297 $ 239,824 $ 685,947 $ 665,385 Net premiums earned: Direct $ 261,485 $ 263,858 $ 790,986 $ 753,717 Assumed 78 102 249 343 Ceded (18,500) (12,537) (53,150) (33,586) Net premiums earned $ 243,063 $ 251,423 $ 738,085 $ 720,474 |
Borrowings (Tables)
Borrowings (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Debt Disclosure [Abstract] | |
Schedule of Long-term Borrowings | The following table sets forth long-term borrowings as of the dates indicated: (Amounts in thousands) September 30, December 31, 6.5% Senior Notes, due 2025 $ 750,000 $ 750,000 Deferred borrowing charges (10,162) (11,838) Total $ 739,838 $ 738,162 |
Related Party Transactions (Tab
Related Party Transactions (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Related Party Transactions [Abstract] | |
Schedule of Related Party Transactions [Table Text Block] | The condensed consolidated financial statements include the following amounts due to and from Genworth relating to recurring service and expense agreements as of September 30: (Amounts in thousands) 2021 2020 Amounts payable to Genworth $ 7,294 $ 9,588 Amounts receivable from Genworth $ 150 $ 1,318 |
Net Income (Loss) Per Share (Ta
Net Income (Loss) Per Share (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Earnings Per Share [Abstract] | |
Schedule of Basic and Diluted Net Income Per Share | The calculation of basic and diluted net income per share is as follows. Three months ended Nine months ended (Amounts in thousands) 2021 2020 2021 2020 Net income (loss) $ 137,208 $ 138,015 $ 393,151 $ 279,240 Average common shares outstanding - basic 162,840 162,840 162,840 162,840 Dilutive effect of share-based compensation arrangements 12 — 4 — Adjusted average common shares outstanding - diluted 162,852 162,840 162,844 162,840 Net income (loss) per share: Basic $ 0.84 $ 0.85 $ 2.41 $ 1.71 Diluted $ 0.84 $ 0.85 $ 2.41 $ 1.71 |
Changes in Accumulated Other _2
Changes in Accumulated Other Comprehensive Income (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Equity [Abstract] | |
Schedule of Accumulated Other Comprehensive Income (Loss) | The following tables present a rollforward of accumulated other comprehensive income for the periods indicated: (Amounts in thousands) Net unrealized investment gains (losses) Total Balance as of July 1, 2021, net of tax $ 159,854 $ 159,854 Cumulative effect of change in accounting, net of taxes — — Other comprehensive income (loss) before reclassifications (25,337) (25,337) Amounts reclassified (from) to other comprehensive income (loss) (562) (562) Total other comprehensive income (loss) (25,899) (25,899) Balance as of September 30, 2021, net of tax $ 133,955 $ 133,955 (Amounts in thousands) Net unrealized Total Balance as of July 1, 2020, net of tax $ 152,948 $ 152,948 Other comprehensive income (loss) before reclassifications 29,528 29,528 Amounts reclassified (from) to other comprehensive income (loss) 1,271 1,271 Total other comprehensive income (loss) 30,799 30,799 Balance as of September 30, 2020, net of tax $ 183,747 $ 183,747 (Amounts in thousands) Net unrealized investment gains (losses) Total Balance as of January 1, 2021, net of tax $ 208,378 $ 208,378 Cumulative effect of change in accounting, net of taxes 281 281 Other comprehensive income (loss) before reclassifications (74,576) (74,576) Amounts reclassified (from) to other comprehensive income (loss) (128) (128) Total other comprehensive income (loss) (74,704) (74,704) Balance as of September 30, 2021, net of tax $ 133,955 $ 133,955 (Amounts in thousands) Net unrealized Total Balance as of January 1, 2020, net of tax $ 93,431 $ 93,431 Other comprehensive income (loss) before reclassifications 88,759 88,759 Amounts reclassified (from) to other comprehensive income (loss) 1,557 1,557 Total other comprehensive income (loss) 90,316 90,316 Balance as of September 30, 2020, net of tax $ 183,747 $ 183,747 |
Reclassification out of Accumulated Other Comprehensive Income | The following table presents the effect of the reclassifications of significant items out of accumulated other comprehensive income on the respective line items of the consolidated statements of income, for the periods indicated: Amount reclassified from accumulated other comprehensive income Affected line item in the condensed consolidated statements of income Three months ended September 30, Nine months ended September 30, (Amounts in thousands) 2021 2020 2021 2020 Net unrealized gains (losses) on investments $ 711 $ (1,610) $ 162 $ (1,971) Net investment gains (losses) Benefit (expense) from income taxes (149) 339 (34) 414 Provision for income taxes |
Nature of Business, Organizat_2
Nature of Business, Organization Structure and Basis of Presentation (Details) $ / shares in Units, € in Millions, $ in Millions | Sep. 21, 2021USD ($) | Sep. 21, 2021EUR (€) | Sep. 20, 2021USD ($) | Sep. 16, 2021shares | Sep. 15, 2021$ / sharesshares | Sep. 30, 2021installmentstate$ / sharesshares | May 03, 2021$ / sharesshares | Dec. 31, 2020$ / sharesshares | Jul. 20, 2020 |
Subsidiary, Sale of Stock [Line Items] | |||||||||
Common stock, authorized (in shares) | 600,000,000 | 600,000,000 | 600,000,000 | ||||||
Common stock, par value (in usd per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | ||||||
Common stock, issued (in shares) | 162,840,000 | 162,840,000 | 162,840,000 | ||||||
Number of states in which entity operates | state | 50 | ||||||||
AXA Settlement Agreement | Secured Debt | |||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||
Number of installment payments | installment | 2 | ||||||||
Collateral pledged, interest in outstanding common stock, percentage | 19.90% | ||||||||
Repayments of debt | $ 296 | € 215 | |||||||
The Offering | |||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||
Gross proceeds on stock offering | $ | $ 553 | ||||||||
Stock issuance costs | $ | $ 24 | ||||||||
IPO | |||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||
Shares issued in transaction (in shares) | 13,310,400 | ||||||||
Price per share (in USD per share) | $ / shares | $ 19 | ||||||||
Private Sale | |||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||
Shares issued in transaction (in shares) | 14,655,600 | ||||||||
Price per share (in USD per share) | $ / shares | $ 17.86 | ||||||||
Over-Allotment Option | |||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||
Shares issued in transaction (in shares) | 1,996,560 | 1,996,560 | |||||||
Genworth Holdings, Inc. | |||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||
Investment owned (in shares) | 100 |
Investments - Net Investment In
Investments - Net Investment Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Net Investment Income [Line Items] | ||||
Gross investment income before expenses and fees | $ 37,068 | $ 34,598 | $ 110,072 | $ 101,756 |
Investment expenses and fees | (1,073) | (1,401) | (4,129) | (3,866) |
Net investment income | 35,995 | 33,197 | 105,943 | 97,890 |
Fixed maturity securities available-for-sale | ||||
Net Investment Income [Line Items] | ||||
Gross investment income before expenses and fees | 37,055 | 34,512 | 110,007 | 99,621 |
Cash, cash equivalents and short-term investments | ||||
Net Investment Income [Line Items] | ||||
Gross investment income before expenses and fees | $ 13 | $ 86 | $ 65 | $ 2,135 |
Investments - Net Investment Ga
Investments - Net Investment Gains (Losses) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Fixed maturity securities available-for-sale: | ||||
Gross realized gains | $ 839 | $ 158 | $ 1,423 | $ 906 |
Gross realized (losses) | (128) | (37) | (1,261) | (1,129) |
Net realized gains (losses) | 711 | 121 | 162 | (223) |
Impairments: | ||||
Total other-than-temporary impairments | 0 | (1,730) | 0 | (1,730) |
Portion of other-than-temporary impairments included in other comprehensive income (loss) | 0 | 0 | 0 | 0 |
Net other-than-temporary impairments | 0 | (1,730) | 0 | (1,730) |
Net change in allowance for credit losses on fixed maturity securities available-for-sale | (131) | 0 | (2,291) | 0 |
Net investment gains (losses) | $ 580 | $ (1,609) | $ (2,129) | $ (1,953) |
Investments - Schedule of Allow
Investments - Schedule of Allowance for Credit Losses (Details) - USD ($) | 3 Months Ended | 9 Months Ended |
Sep. 30, 2021 | Sep. 30, 2021 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | ||
Beginning balance | $ 0 | $ 0 |
Cumulative effect of change in accounting | 0 | 357,000 |
Increase from securities without allowance in previous periods | 0 | 2,157,000 |
Securities sold | 0 | (2,514,000) |
Ending balance | 0 | 0 |
Non-U.S. corporate | ||
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | ||
Beginning balance | 0 | 0 |
Cumulative effect of change in accounting | 0 | 357,000 |
Increase from securities without allowance in previous periods | 0 | 2,157,000 |
Securities sold | 0 | (2,514,000) |
Ending balance | $ 0 | $ 0 |
Investments - Net Unrealized Ga
Investments - Net Unrealized Gains and Losses on Available-for-Sale Securities as a Separate Component of OCI (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Net Investment Income [Line Items] | |||||
Subtotal | $ (32,185) | $ 37,225 | $ (94,724) | $ 109,822 | |
Income taxes | 6,848 | (7,697) | 20,148 | (21,063) | |
Net unrealized investment gains (losses) | $ (25,337) | $ 29,528 | (74,576) | $ 88,759 | |
Fixed maturity securities available-for-sale | |||||
Net Investment Income [Line Items] | |||||
Net unrealized gains (losses) on fixed maturity securities without an allowance for credit losses | 170,151 | $ 0 | |||
Net unrealized gains (losses) on fixed maturity securities with an allowance for credit losses | 0 | 0 | |||
Net unrealized gains (losses) on fixed maturity securities not other-than-temporarily impaired | 0 | 264,680 | |||
Net unrealized gains (losses) on fixed maturity securities other-than-temporarily impaired | 0 | 0 | |||
Subtotal | 170,151 | 264,680 | |||
Income taxes | (36,196) | (56,302) | |||
Net unrealized investment gains (losses) | $ 133,955 | $ 208,378 |
Investments - Change in Net Unr
Investments - Change in Net Unrealized Gains (Losses) on Available-for-Sale Securities (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||||
Sep. 30, 2021 | Jun. 30, 2021 | Sep. 30, 2020 | Jun. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | Dec. 31, 2019 | |
Debt Securities, Available-for-sale, Unrealized Gain (Loss) [Roll Forward] | ||||||||
Beginning balance | $ 133,955 | $ 159,854 | $ 183,747 | $ 152,948 | $ 133,955 | $ 183,747 | $ 208,378 | $ 93,431 |
Unrealized gains (losses) on investment securities | (32,185) | 37,225 | (94,724) | 109,822 | ||||
Income taxes | 6,848 | (7,697) | 20,148 | (21,063) | ||||
Change in unrealized gains (losses) on investment securities | (25,337) | 29,528 | (74,576) | 88,759 | ||||
Reclassification adjustments to net investment (gains) losses, net of taxes | (562) | 1,271 | (128) | 1,557 | ||||
Change in net unrealized investment gains (losses) | (25,899) | 30,799 | (74,704) | 90,316 | ||||
Ending balance | 133,955 | $ 159,854 | 183,747 | $ 152,948 | 133,955 | 183,747 | $ 208,378 | $ 93,431 |
Reclassification adjustments to net investment (gains) losses, tax | $ 149 | $ (339) | 34 | (414) | ||||
Cumulative effect of change in accounting | ||||||||
Debt Securities, Available-for-sale, Unrealized Gain (Loss) [Roll Forward] | ||||||||
Beginning balance | 281 | 0 | ||||||
Ending balance | $ 281 | $ 0 |
Investments - Summary of Fixed
Investments - Summary of Fixed Maturity Securities Classified as Available-for-Sale , CECL (Details) - USD ($) | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 |
Debt Securities, Available-for-sale [Line Items] | |||
Amortized cost | $ 5,205,916,000 | $ 4,781,916,000 | |
Gross unrealized gains | 184,959,000 | ||
Gross unrealized losses | (14,808,000) | ||
Allowance for credit losses | 0 | $ 0 | 0 |
Fair value | 5,376,067,000 | 5,046,596,000 | |
U.S. government, agencies and GSEs | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized cost | 62,579,000 | 134,215,000 | |
Gross unrealized gains | 2,539,000 | ||
Gross unrealized losses | (1,000) | ||
Allowance for credit losses | 0 | ||
Fair value | 65,117,000 | 138,224,000 | |
State and political subdivisions | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized cost | 449,370,000 | 172,631,000 | |
Gross unrealized gains | 12,650,000 | ||
Gross unrealized losses | (2,237,000) | ||
Allowance for credit losses | 0 | ||
Fair value | 459,783,000 | 187,377,000 | |
Non-U.S. government | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized cost | 22,423,000 | 29,592,000 | |
Gross unrealized gains | 343,000 | ||
Gross unrealized losses | (8,000) | ||
Allowance for credit losses | 0 | ||
Fair value | 22,758,000 | 31,031,000 | |
U.S. corporate | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized cost | 2,825,145,000 | 2,695,009,000 | |
Gross unrealized gains | 132,821,000 | ||
Gross unrealized losses | (9,860,000) | ||
Allowance for credit losses | 0 | ||
Fair value | 2,948,106,000 | 2,888,625,000 | |
Non-U.S. corporate | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized cost | 690,717,000 | 578,295,000 | |
Gross unrealized gains | 23,390,000 | ||
Gross unrealized losses | (1,504,000) | ||
Allowance for credit losses | 0 | $ 0 | 0 |
Fair value | 712,603,000 | 607,669,000 | |
Other asset-backed | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized cost | 1,155,682,000 | 1,172,174,000 | |
Gross unrealized gains | 13,216,000 | ||
Gross unrealized losses | (1,198,000) | ||
Allowance for credit losses | 0 | ||
Fair value | $ 1,167,700,000 | $ 1,193,670,000 |
Investments - Summary of Fixe_2
Investments - Summary of Fixed Maturity Securities Classified as Available-for-Sale (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Debt Securities, Available-for-sale [Line Items] | ||
Amortized cost | $ 5,205,916 | $ 4,781,916 |
Gross unrealized gains, Not other-than-temporarily impaired | 269,239 | |
Gross unrealized gains, Other-than-temporarily impaired | 0 | |
Gross unrealized losses, Not other-than-temporarily impaired | (4,559) | |
Gross unrealized losses, Other-than-temporarily impaired | 0 | |
Fair value | 5,376,067 | 5,046,596 |
U.S. government, agencies and GSEs | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized cost | 62,579 | 134,215 |
Gross unrealized gains, Not other-than-temporarily impaired | 4,009 | |
Gross unrealized gains, Other-than-temporarily impaired | 0 | |
Gross unrealized losses, Not other-than-temporarily impaired | 0 | |
Gross unrealized losses, Other-than-temporarily impaired | 0 | |
Fair value | 65,117 | 138,224 |
State and political subdivisions | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized cost | 449,370 | 172,631 |
Gross unrealized gains, Not other-than-temporarily impaired | 14,749 | |
Gross unrealized gains, Other-than-temporarily impaired | 0 | |
Gross unrealized losses, Not other-than-temporarily impaired | (3) | |
Gross unrealized losses, Other-than-temporarily impaired | 0 | |
Fair value | 459,783 | 187,377 |
Non-U.S. government | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized cost | 22,423 | 29,592 |
Gross unrealized gains, Not other-than-temporarily impaired | 1,439 | |
Gross unrealized gains, Other-than-temporarily impaired | 0 | |
Gross unrealized losses, Not other-than-temporarily impaired | 0 | |
Gross unrealized losses, Other-than-temporarily impaired | 0 | |
Fair value | 22,758 | 31,031 |
U.S. corporate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized cost | 2,825,145 | 2,695,009 |
Gross unrealized gains, Not other-than-temporarily impaired | 194,961 | |
Gross unrealized gains, Other-than-temporarily impaired | 0 | |
Gross unrealized losses, Not other-than-temporarily impaired | (1,345) | |
Gross unrealized losses, Other-than-temporarily impaired | 0 | |
Fair value | 2,948,106 | 2,888,625 |
Non-U.S. corporate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized cost | 690,717 | 578,295 |
Gross unrealized gains, Not other-than-temporarily impaired | 32,251 | |
Gross unrealized gains, Other-than-temporarily impaired | 0 | |
Gross unrealized losses, Not other-than-temporarily impaired | (2,877) | |
Gross unrealized losses, Other-than-temporarily impaired | 0 | |
Fair value | 712,603 | 607,669 |
Other asset-backed | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized cost | 1,155,682 | 1,172,174 |
Gross unrealized gains, Not other-than-temporarily impaired | 21,830 | |
Gross unrealized gains, Other-than-temporarily impaired | 0 | |
Gross unrealized losses, Not other-than-temporarily impaired | (334) | |
Gross unrealized losses, Other-than-temporarily impaired | 0 | |
Fair value | $ 1,167,700 | $ 1,193,670 |
Investments - Schedule of Fixed
Investments - Schedule of Fixed Maturity Securities in an Continuous Unrealized Loss Position (Details) $ in Thousands | Sep. 30, 2021USD ($)security | Dec. 31, 2020USD ($)security |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss [Abstract] | ||
Less than 12 months, Fair value | $ 991,525 | $ 106,369 |
Less than 12 months, Gross unrealized losses | $ (13,330) | $ (4,171) |
Less than 12 months, Number of securities | security | 163,000 | 23,000 |
12 months or more, Fair value | $ 27,452 | $ 28,914 |
12 months or more, Gross unrealized losses | $ (1,478) | $ (388) |
12 months or more, Number of securities | security | 4,000 | 7,000 |
Fair value | $ 1,018,977 | $ 135,283 |
Gross unrealized losses | $ (14,808) | $ (4,559) |
Number of securities | security | 167,000 | 30,000 |
Investment grade | ||
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss [Abstract] | ||
Less than 12 months, Fair value | $ 963,517 | $ 98,694 |
Less than 12 months, Gross unrealized losses | $ (12,835) | $ (1,846) |
Less than 12 months, Number of securities | security | 155,000 | 22,000 |
12 months or more, Fair value | $ 27,452 | $ 26,028 |
12 months or more, Gross unrealized losses | $ (1,478) | $ (274) |
12 months or more, Number of securities | security | 4,000 | 6,000 |
Fair value | $ 990,969 | $ 124,722 |
Gross unrealized losses | $ (14,313) | $ (2,120) |
Number of securities | security | 159,000 | 28,000 |
Below investment grade | ||
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss [Abstract] | ||
Less than 12 months, Fair value | $ 28,008 | $ 7,675 |
Less than 12 months, Gross unrealized losses | $ (495) | $ (2,325) |
Less than 12 months, Number of securities | security | 8,000 | 1,000 |
12 months or more, Fair value | $ 0 | $ 2,886 |
12 months or more, Gross unrealized losses | $ 0 | $ (114) |
12 months or more, Number of securities | security | 0 | 1,000 |
Fair value | $ 28,008 | $ 10,561 |
Gross unrealized losses | $ (495) | $ (2,439) |
Number of securities | security | 8,000 | 2,000 |
Less than 20% Below cost | ||
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss [Abstract] | ||
Less than 12 months, Fair value | $ 991,525 | $ 98,694 |
Less than 12 months, Gross unrealized losses | $ (13,330) | $ (1,846) |
Less than 12 months, Number of securities | security | 163,000 | 22,000 |
12 months or more, Fair value | $ 27,452 | $ 28,914 |
12 months or more, Gross unrealized losses | $ (1,478) | $ (388) |
12 months or more, Number of securities | security | 4,000 | 7,000 |
Fair value | $ 1,018,977 | $ 127,608 |
Gross unrealized losses | $ (14,808) | $ (2,234) |
Number of securities | security | 167,000 | 29,000 |
20%-50% Below cost | ||
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss [Abstract] | ||
Less than 12 months, Fair value | $ 7,675 | |
Less than 12 months, Gross unrealized losses | $ (2,325) | |
Less than 12 months, Number of securities | security | 1,000 | |
12 months or more, Fair value | $ 0 | |
12 months or more, Gross unrealized losses | $ 0 | |
12 months or more, Number of securities | security | 0 | |
Fair value | $ 7,675 | |
Gross unrealized losses | $ (2,325) | |
Number of securities | security | 1,000 | |
U.S. government, agencies and GSEs | ||
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss [Abstract] | ||
Less than 12 months, Fair value | $ 104 | $ 0 |
Less than 12 months, Gross unrealized losses | $ (1) | $ 0 |
Less than 12 months, Number of securities | security | 1,000 | 0 |
12 months or more, Fair value | $ 0 | $ 0 |
12 months or more, Gross unrealized losses | $ 0 | $ 0 |
12 months or more, Number of securities | security | 0 | 0 |
Fair value | $ 104 | $ 0 |
Gross unrealized losses | $ (1) | $ 0 |
Number of securities | security | 1,000 | 0 |
State and political subdivisions | ||
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss [Abstract] | ||
Less than 12 months, Fair value | $ 170,402 | $ 4,717 |
Less than 12 months, Gross unrealized losses | $ (2,237) | $ (3) |
Less than 12 months, Number of securities | security | 33,000 | 2,000 |
12 months or more, Fair value | $ 0 | $ 0 |
12 months or more, Gross unrealized losses | $ 0 | $ 0 |
12 months or more, Number of securities | security | 0 | 0 |
Fair value | $ 170,402 | $ 4,717 |
Gross unrealized losses | $ (2,237) | $ (3) |
Number of securities | security | 33,000 | 2,000 |
Non-U.S. government | ||
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss [Abstract] | ||
Less than 12 months, Fair value | $ 10,777 | $ 0 |
Less than 12 months, Gross unrealized losses | $ (8) | $ 0 |
Less than 12 months, Number of securities | security | 1,000 | 0 |
12 months or more, Fair value | $ 0 | $ 0 |
12 months or more, Gross unrealized losses | $ 0 | $ 0 |
12 months or more, Number of securities | security | 0 | 0 |
Fair value | $ 10,777 | $ 0 |
Gross unrealized losses | $ (8) | $ 0 |
Number of securities | security | 1,000 | 0 |
U.S. corporate | ||
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss [Abstract] | ||
Less than 12 months, Fair value | $ 409,396 | $ 44,296 |
Less than 12 months, Gross unrealized losses | $ (8,433) | $ (1,231) |
Less than 12 months, Number of securities | security | 61,000 | 8,000 |
12 months or more, Fair value | $ 21,543 | $ 2,886 |
12 months or more, Gross unrealized losses | $ (1,427) | $ (114) |
12 months or more, Number of securities | security | 2,000 | 1,000 |
Fair value | $ 430,939 | $ 47,182 |
Gross unrealized losses | $ (9,860) | $ (1,345) |
Number of securities | security | 63,000 | 9,000 |
Non-U.S. corporate | ||
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss [Abstract] | ||
Less than 12 months, Fair value | $ 145,571 | $ 32,533 |
Less than 12 months, Gross unrealized losses | $ (1,477) | $ (2,877) |
Less than 12 months, Number of securities | security | 23,000 | 8,000 |
12 months or more, Fair value | $ 2,183 | $ 0 |
12 months or more, Gross unrealized losses | $ (27) | $ 0 |
12 months or more, Number of securities | security | 1,000 | 0 |
Fair value | $ 147,754 | $ 32,533 |
Gross unrealized losses | $ (1,504) | $ (2,877) |
Number of securities | security | 24,000 | 8,000 |
Other asset-backed | ||
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss [Abstract] | ||
Less than 12 months, Fair value | $ 255,275 | $ 24,823 |
Less than 12 months, Gross unrealized losses | $ (1,174) | $ (60) |
Less than 12 months, Number of securities | security | 44,000 | 5,000 |
12 months or more, Fair value | $ 3,726 | $ 26,028 |
12 months or more, Gross unrealized losses | $ (24) | $ (274) |
12 months or more, Number of securities | security | 1,000 | 6,000 |
Fair value | $ 259,001 | $ 50,851 |
Gross unrealized losses | $ (1,198) | $ (334) |
Number of securities | security | 45,000 | 11,000 |
Investments - Summary of Contra
Investments - Summary of Contractual Maturities of Fixed Maturity Securities Available-For-Sale (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Amortized cost | ||
Due one year or less | $ 249,955 | |
Due after one year through five years | 2,089,009 | |
Due after five years through ten years | 1,433,056 | |
Due after ten years | 278,214 | |
Subtotal | 4,050,234 | |
Other asset-backed | 1,155,682 | |
Amortized cost | 5,205,916 | |
Fair value | ||
Due one year or less | 253,601 | |
Due after one year through five years | 2,214,808 | |
Due after five years through ten years | 1,462,586 | |
Due after ten years | 277,372 | |
Subtotal | 4,208,367 | |
Other asset-backed | 1,167,700 | |
Fair value | $ 5,376,067 | $ 5,046,596 |
Investments - Narrative (Detail
Investments - Narrative (Details) | Sep. 30, 2021 |
Financial Services Sector | |
Debt Securities, Available-for-sale [Line Items] | |
Fixed maturity securities portfolio, percentage | 28.00% |
Non-Cyclical Consumer Sector | |
Debt Securities, Available-for-sale [Line Items] | |
Fixed maturity securities portfolio, percentage | 16.00% |
Technology And Communications Sector | |
Debt Securities, Available-for-sale [Line Items] | |
Fixed maturity securities portfolio, percentage | 14.00% |
Fair Value - Narrative (Details
Fair Value - Narrative (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | $ 5,376,067 | $ 5,046,596 |
Private Placement Investments | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other Commitment | 29,900 | |
U.S. corporate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 2,948,106 | 2,888,625 |
Non-U.S. corporate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 712,603 | 607,669 |
Fair value, recurring | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 5,376,067 | 5,046,596 |
Liabilities, fair value | 0 | 0 |
Fair value, recurring | U.S. corporate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 2,948,106 | 2,888,625 |
Fair value, recurring | Non-U.S. corporate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 712,603 | 607,669 |
Level 1 | Fair value, recurring | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 0 | 0 |
Level 1 | Fair value, recurring | U.S. corporate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 0 | 0 |
Level 1 | Fair value, recurring | Non-U.S. corporate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 0 | 0 |
Level 2 | Fair value, recurring | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | $ 5,093,661 | 4,817,691 |
Percentage of portfolio priced using third-party pricing services | 90.00% | |
Level 2 | Fair value, recurring | U.S. corporate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | $ 2,770,419 | 2,769,252 |
Level 2 | Fair value, recurring | U.S. corporate | Internal models | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 185,500 | |
Level 2 | Fair value, recurring | Non-U.S. corporate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 626,270 | 511,918 |
Level 2 | Fair value, recurring | Non-U.S. corporate | Internal models | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 84,500 | |
Level 3 | Fair value, recurring | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 282,406 | 228,905 |
Level 3 | Fair value, recurring | Internal models | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 252,000 | |
Level 3 | Fair value, recurring | Valuation technique, broker quotes | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 30,400 | |
Level 3 | Fair value, recurring | U.S. corporate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 177,687 | 119,373 |
Level 3 | Fair value, recurring | U.S. corporate | Internal models | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 157,800 | |
Level 3 | Fair value, recurring | Non-U.S. corporate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 86,333 | $ 95,751 |
Level 3 | Fair value, recurring | Non-U.S. corporate | Internal models | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | $ 78,134 |
Fair Value - Summary of Signifi
Fair Value - Summary of Significant Inputs used for Fair Value Measurement of Fixed Maturity Securities (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | $ 5,376,067 | $ 5,046,596 |
State and political subdivisions | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | 459,783 | 187,377 |
Non-U.S. government | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | 22,758 | 31,031 |
U.S. corporate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | 2,948,106 | 2,888,625 |
Non-U.S. corporate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | 712,603 | 607,669 |
Other asset-backed | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | 1,167,700 | 1,193,670 |
Fair value, recurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | 5,376,067 | 5,046,596 |
Fair value, recurring | U.S. government, agencies and GSEs | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | 65,117 | 138,224 |
Fair value, recurring | State and political subdivisions | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | 459,783 | 187,377 |
Fair value, recurring | Non-U.S. government | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | 22,758 | 31,031 |
Fair value, recurring | U.S. corporate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | 2,948,106 | 2,888,625 |
Fair value, recurring | Non-U.S. corporate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | 712,603 | 607,669 |
Fair value, recurring | Other asset-backed | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | 1,167,700 | 1,193,670 |
Level 2 | Fair value, recurring | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | 5,093,661 | 4,817,691 |
Level 2 | Fair value, recurring | U.S. government, agencies and GSEs | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | 65,117 | 138,224 |
Level 2 | Fair value, recurring | State and political subdivisions | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | 459,783 | 187,377 |
Level 2 | Fair value, recurring | Non-U.S. government | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | 22,758 | 31,031 |
Level 2 | Fair value, recurring | U.S. corporate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | 2,770,419 | 2,769,252 |
Level 2 | Fair value, recurring | Non-U.S. corporate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | 626,270 | 511,918 |
Level 2 | Fair value, recurring | Other asset-backed | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | 1,149,314 | $ 1,179,889 |
Pricing Services | Level 2 | Fair value, recurring | U.S. government, agencies and GSEs | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | 65,117 | |
Pricing Services | Level 2 | Fair value, recurring | State and political subdivisions | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | 459,783 | |
Pricing Services | Level 2 | Fair value, recurring | Non-U.S. government | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | 22,758 | |
Pricing Services | Level 2 | Fair value, recurring | U.S. corporate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | 2,584,949 | |
Pricing Services | Level 2 | Fair value, recurring | Non-U.S. corporate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | 541,755 | |
Pricing Services | Level 2 | Fair value, recurring | Other asset-backed | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Total fixed maturity securities | $ 1,149,314 |
Fair Value - Schedule of Fair V
Fair Value - Schedule of Fair Value Assets Measured on Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | $ 5,376,067 | $ 5,046,596 |
Short-term investments | 12,500 | 0 |
State and political subdivisions | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 459,783 | 187,377 |
Non-U.S. government | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 22,758 | 31,031 |
U.S. corporate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 2,948,106 | 2,888,625 |
Non-U.S. corporate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 712,603 | 607,669 |
Other asset-backed | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 1,167,700 | 1,193,670 |
Fair value, recurring | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 5,376,067 | 5,046,596 |
Short-term investments | 12,500 | |
Total | 5,388,567 | 5,046,596 |
Fair value, recurring | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 0 | 0 |
Short-term investments | 0 | |
Total | 0 | 0 |
Fair value, recurring | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 5,093,661 | 4,817,691 |
Short-term investments | 12,500 | |
Total | 5,106,161 | 4,817,691 |
Fair value, recurring | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 282,406 | 228,905 |
Short-term investments | 0 | |
Total | 282,406 | 228,905 |
Fair value, recurring | U.S. government, agencies and GSEs | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 65,117 | 138,224 |
Fair value, recurring | U.S. government, agencies and GSEs | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 0 | 0 |
Fair value, recurring | U.S. government, agencies and GSEs | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 65,117 | 138,224 |
Fair value, recurring | U.S. government, agencies and GSEs | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 0 | 0 |
Fair value, recurring | State and political subdivisions | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 459,783 | 187,377 |
Fair value, recurring | State and political subdivisions | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 0 | 0 |
Fair value, recurring | State and political subdivisions | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 459,783 | 187,377 |
Fair value, recurring | State and political subdivisions | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 0 | 0 |
Fair value, recurring | Non-U.S. government | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 22,758 | 31,031 |
Fair value, recurring | Non-U.S. government | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 0 | 0 |
Fair value, recurring | Non-U.S. government | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 22,758 | 31,031 |
Fair value, recurring | Non-U.S. government | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 0 | 0 |
Fair value, recurring | U.S. corporate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 2,948,106 | 2,888,625 |
Fair value, recurring | U.S. corporate | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 0 | 0 |
Fair value, recurring | U.S. corporate | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 2,770,419 | 2,769,252 |
Fair value, recurring | U.S. corporate | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 177,687 | 119,373 |
Fair value, recurring | Non-U.S. corporate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 712,603 | 607,669 |
Fair value, recurring | Non-U.S. corporate | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 0 | 0 |
Fair value, recurring | Non-U.S. corporate | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 626,270 | 511,918 |
Fair value, recurring | Non-U.S. corporate | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 86,333 | 95,751 |
Fair value, recurring | Other asset-backed | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 1,167,700 | 1,193,670 |
Fair value, recurring | Other asset-backed | Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 0 | 0 |
Fair value, recurring | Other asset-backed | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | 1,149,314 | 1,179,889 |
Fair value, recurring | Other asset-backed | Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total fixed maturity securities | $ 18,386 | $ 13,781 |
Fair Value - Schedule of Additi
Fair Value - Schedule of Additional Information about Fair Value Assets Measured on Recurring Basis, Unobservable Input Reconciliation (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning Balance | $ 230,785 | $ 216,457 | $ 228,905 | $ 181,089 |
Total realized and unrealized gains (losses) included in net income | 928 | 241 | 776 | 179 |
Total realized and unrealized gains (losses) included in OCI | (3,592) | 1,587 | (707) | 1,064 |
Purchases | 69,000 | 54,992 | 123,786 | 101,420 |
Sales | 0 | 0 | 0 | 0 |
Issuances | 0 | 0 | 0 | 0 |
Settlements | (19,033) | (6,186) | (36,681) | (7,496) |
Transfer into Level 3 | 7,328 | 0 | 10,407 | 28,484 |
Transfer out of Level 3 | (3,010) | (10,346) | (44,080) | (47,995) |
Ending Balance | 282,406 | 256,745 | 282,406 | 256,745 |
Total gains (losses) attributable to assets still held included in net income | (113) | (36) | (260) | (87) |
Total gains (losses) attributable to assets still held included in OCI | (2,680) | 1,641 | (4,842) | 867 |
U.S. corporate | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning Balance | 129,613 | 108,868 | 119,373 | 99,862 |
Total realized and unrealized gains (losses) included in net income | (30) | 246 | (92) | 193 |
Total realized and unrealized gains (losses) included in OCI | (2,778) | 1,778 | (3,750) | 3,120 |
Purchases | 53,000 | 26,999 | 71,000 | 46,553 |
Sales | 0 | 0 | 0 | 0 |
Issuances | 0 | 0 | 0 | 0 |
Settlements | (3,426) | (4,899) | (8,914) | (5,333) |
Transfer into Level 3 | 4,318 | 0 | 7,397 | 5,016 |
Transfer out of Level 3 | (3,010) | (5,500) | (7,327) | (21,919) |
Ending Balance | 177,687 | 127,492 | 177,687 | 127,492 |
Total gains (losses) attributable to assets still held included in net income | (30) | (31) | (92) | (73) |
Total gains (losses) attributable to assets still held included in OCI | (2,769) | 1,948 | (4,029) | 4,330 |
Non-U.S. corporate | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning Balance | 91,157 | 99,074 | 95,751 | 77,189 |
Total realized and unrealized gains (losses) included in net income | 958 | (5) | 868 | (14) |
Total realized and unrealized gains (losses) included in OCI | (644) | (519) | 3,147 | (1,987) |
Purchases | 6,000 | 3,000 | 42,786 | 25,000 |
Sales | 0 | 0 | 0 | 0 |
Issuances | 0 | 0 | 0 | 0 |
Settlements | (14,148) | (105) | (25,044) | (981) |
Transfer into Level 3 | 3,010 | 0 | 3,010 | 23,468 |
Transfer out of Level 3 | 0 | 0 | (34,185) | (21,230) |
Ending Balance | 86,333 | 101,445 | 86,333 | 101,445 |
Total gains (losses) attributable to assets still held included in net income | (83) | (5) | (168) | (14) |
Total gains (losses) attributable to assets still held included in OCI | 235 | (519) | (683) | (3,278) |
Other asset-backed | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning Balance | 10,015 | 8,515 | 13,781 | 4,038 |
Total realized and unrealized gains (losses) included in net income | 0 | 0 | 0 | 0 |
Total realized and unrealized gains (losses) included in OCI | (170) | 328 | (104) | (69) |
Purchases | 10,000 | 24,993 | 10,000 | 29,867 |
Sales | 0 | 0 | 0 | 0 |
Issuances | 0 | 0 | 0 | 0 |
Settlements | (1,459) | (1,182) | (2,723) | (1,182) |
Transfer into Level 3 | 0 | 0 | 0 | 0 |
Transfer out of Level 3 | 0 | (4,846) | (2,568) | (4,846) |
Ending Balance | 18,386 | 27,808 | 18,386 | 27,808 |
Total gains (losses) attributable to assets still held included in net income | 0 | 0 | 0 | 0 |
Total gains (losses) attributable to assets still held included in OCI | $ (146) | $ 212 | $ (130) | $ (185) |
Fair Value - Schedule of Fair_2
Fair Value - Schedule of Fair Value Assets Measured on Recurring Basis, Gain (Loss) Included in Earnings (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings [Line Items] | ||||
Total realized and unrealized gains (losses) included in net income | $ 928 | $ 241 | $ 776 | $ 179 |
Total gains (losses) attributable to assets still held included in net income | (113) | (36) | (260) | (87) |
Net investment income | ||||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings [Line Items] | ||||
Total realized and unrealized gains (losses) included in net income | 928 | 241 | 776 | 179 |
Total gains (losses) attributable to assets still held included in net income | (113) | (36) | (260) | (87) |
Net investment gains (losses) | ||||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings [Line Items] | ||||
Total realized and unrealized gains (losses) included in net income | 0 | 0 | 0 | 0 |
Total gains (losses) attributable to assets still held included in net income | $ 0 | $ 0 | $ 0 | $ 0 |
Fair Value - Summary of Fair Va
Fair Value - Summary of Fair Value Assets Measured on Recurring Basis, Significant Unobservable Input (Details) $ in Thousands | Sep. 30, 2021USD ($) | Dec. 31, 2020USD ($) |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total fixed maturity securities | $ 5,376,067 | $ 5,046,596 |
U.S. corporate | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total fixed maturity securities | 2,948,106 | 2,888,625 |
Non-U.S. corporate | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total fixed maturity securities | 712,603 | 607,669 |
Fair value, recurring | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total fixed maturity securities | 5,376,067 | 5,046,596 |
Fair value, recurring | U.S. corporate | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total fixed maturity securities | 2,948,106 | 2,888,625 |
Fair value, recurring | Non-U.S. corporate | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total fixed maturity securities | $ 712,603 | 607,669 |
Level 3 | U.S. corporate | Internal models | Credit spreads | Minimum | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Fixed maturity securities, measurement input (in basis points) | 0.0052 | |
Level 3 | U.S. corporate | Internal models | Credit spreads | Maximum | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Fixed maturity securities, measurement input (in basis points) | 0.0148 | |
Level 3 | U.S. corporate | Internal models | Credit spreads | Weighted average | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Fixed maturity securities, measurement input (in basis points) | 0.0090 | |
Level 3 | Non-U.S. corporate | Internal models | Credit spreads | Minimum | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Fixed maturity securities, measurement input (in basis points) | 0.0067 | |
Level 3 | Non-U.S. corporate | Internal models | Credit spreads | Maximum | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Fixed maturity securities, measurement input (in basis points) | 0.0126 | |
Level 3 | Non-U.S. corporate | Internal models | Credit spreads | Weighted average | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Fixed maturity securities, measurement input (in basis points) | 0.0095 | |
Level 3 | Fair value, recurring | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total fixed maturity securities | $ 282,406 | 228,905 |
Level 3 | Fair value, recurring | Internal models | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total fixed maturity securities | 252,000 | |
Level 3 | Fair value, recurring | U.S. corporate | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total fixed maturity securities | 177,687 | 119,373 |
Level 3 | Fair value, recurring | U.S. corporate | Internal models | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total fixed maturity securities | 157,800 | |
Level 3 | Fair value, recurring | Non-U.S. corporate | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total fixed maturity securities | 86,333 | $ 95,751 |
Level 3 | Fair value, recurring | Non-U.S. corporate | Internal models | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Total fixed maturity securities | $ 78,134 |
Fair Value - Schedule of Estima
Fair Value - Schedule of Estimated Fair Value Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Carrying amount | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Long-term borrowings | $ 739,838 | $ 738,162 |
Fair value | Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Long-term borrowings | $ 810,480 | $ 800,367 |
Loss Reserves - Activity for th
Loss Reserves - Activity for the Liability for Loss Reserves (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2021 | Sep. 30, 2020 | |
Liability for Unpaid Claims and Claims Adjustment Expense [Roll Forward] | ||
Loss reserves, beginning balance | $ 555,679 | $ 235,062 |
Run-off reserves | 654 | 1,597 |
Net loss reserves, beginning balance | 555,025 | 233,465 |
Losses and LAE incurred related to current accident year | 104,939 | 281,621 |
Losses and LAE incurred related to prior accident years | 14,468 | 10,222 |
Total incurred | 119,407 | 291,843 |
Losses and LAE paid related to current accident year | (1,574) | (1,130) |
Losses and LAE paid related to prior accident years | (25,194) | (49,889) |
Total paid | (26,768) | (51,019) |
Net loss reserves, ending balance | 647,664 | 474,289 |
Run-off reserves | 701 | 455 |
Loss reserves, ending balance | $ 648,365 | $ 474,744 |
Loss Reserves - Narrative (Deta
Loss Reserves - Narrative (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2021 | Sep. 30, 2020 | |
Insurance [Abstract] | ||
Losses and LAE incurred | $ 104,939 | $ 281,621 |
Additional reserves in incurred losses | $ 14,500 |
Reinsurance - Summary of Effect
Reinsurance - Summary of Effects of Reinsurance on Premiums Written and Earned (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Net premiums written: | ||||
Direct | $ 252,719 | $ 252,259 | $ 738,848 | $ 698,628 |
Assumed | 78 | 102 | 249 | 343 |
Ceded | (18,500) | (12,537) | (53,150) | (33,586) |
Net premiums written | 234,297 | 239,824 | 685,947 | 665,385 |
Net premiums earned: | ||||
Direct | 261,485 | 263,858 | 790,986 | 753,717 |
Assumed | 78 | 102 | 249 | 343 |
Ceded | (18,500) | (12,537) | (53,150) | (33,586) |
Net premiums earned | $ 243,063 | $ 251,423 | $ 738,085 | $ 720,474 |
Reinsurance - Narrative (Detail
Reinsurance - Narrative (Details) - USD ($) $ in Thousands | Sep. 02, 2021 | Apr. 16, 2021 | Mar. 02, 2021 | Feb. 04, 2021 | Oct. 22, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 |
Reinsurance Retention Policy [Line Items] | |||||||||
Written premiums | $ 234,297 | $ 239,824 | $ 685,947 | $ 665,385 | |||||
Premiums | $ 243,063 | $ 251,423 | $ 738,085 | $ 720,474 | |||||
Triangle Re 2021-3 | |||||||||
Reinsurance Retention Policy [Line Items] | |||||||||
Excess of loss reinsurance coverage | $ 371,500 | ||||||||
First layer of aggregate losses retained | $ 303,500 | ||||||||
Reinsurance coverage for losses above retained first layer, percentage | 72.00% | ||||||||
Triangle Re 2021-2 | |||||||||
Reinsurance Retention Policy [Line Items] | |||||||||
Excess of loss reinsurance coverage | $ 302,700 | ||||||||
First layer of aggregate losses retained | $ 188,600 | ||||||||
Reinsurance coverage for losses above retained first layer, percentage | 76.00% | ||||||||
Triangle Re 2021-1 | |||||||||
Reinsurance Retention Policy [Line Items] | |||||||||
Excess of loss reinsurance coverage | $ 495,000 | ||||||||
First layer of aggregate losses retained | $ 212,100 | ||||||||
Reinsurance coverage for losses above retained first layer, percentage | 100.00% | ||||||||
Vertical risk retention, percentage | 5.00% | ||||||||
Triangle Re 2020-1 | |||||||||
Reinsurance Retention Policy [Line Items] | |||||||||
Excess of loss reinsurance coverage | $ 349,600 | ||||||||
First layer of aggregate losses retained | $ 521,800 | ||||||||
Reinsurance coverage for losses above retained first layer, percentage | 67.00% | ||||||||
NIW | |||||||||
Reinsurance Retention Policy [Line Items] | |||||||||
Excess of loss reinsurance coverage | $ 210,400 |
Borrowings - Narrative (Details
Borrowings - Narrative (Details) - 6.5% Senior Notes, due 2025 - Senior Notes - USD ($) | 1 Months Ended | ||
Aug. 31, 2021 | Feb. 28, 2021 | Dec. 31, 2020 | |
Debt Instrument [Line Items] | |||
Face amount | $ 750,000,000 | ||
Stated interest rate | 6.50% | ||
Interest payments | $ 24,400,000 | $ 23,600,000 |
Borrowings - Schedule of Long-t
Borrowings - Schedule of Long-term Borrowings (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Debt Instrument [Line Items] | ||
Total | $ 739,838 | $ 738,162 |
6.5% Senior Notes, due 2025 | Senior Notes | ||
Debt Instrument [Line Items] | ||
6.5% Senior Notes, due 2025 | 750,000 | 750,000 |
Deferred borrowing charges | (10,162) | (11,838) |
Total | $ 739,838 | $ 738,162 |
Stated interest rate | 6.50% |
Related Party Transactions - Na
Related Party Transactions - Narrative (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |
Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Related Party Transaction [Line Items] | |||
Capital contributions from Genworth Financial, Inc. | $ 1,532 | $ 902 | $ 5,653 |
Genworth Holdings, Inc. | |||
Related Party Transaction [Line Items] | |||
Capital contributions from Genworth Financial, Inc. | 5,700 | ||
Genworth Holdings, Inc. | Corporate Expenses | |||
Related Party Transaction [Line Items] | |||
Administrative and operating expenses | 37,200 | 35,100 | |
Capital contributions from Genworth Financial, Inc. | 900 | ||
Genworth Holdings, Inc. | Investment Expenses | |||
Related Party Transaction [Line Items] | |||
Expenses from transactions with related party | 4,200 | 3,900 | |
Genworth Holdings, Inc. | Information Technology and Administrative Services | |||
Related Party Transaction [Line Items] | |||
Other revenues from transactions with related party | $ 200 | $ 1,100 |
Related Party Transactions - Sc
Related Party Transactions - Schedule of Related Party Transactions (Details) - Genworth Holdings, Inc. - USD ($) $ in Thousands | Sep. 30, 2021 | Sep. 30, 2020 |
Related Party Transaction [Line Items] | ||
Amounts payable to Genworth | $ 7,294 | $ 9,588 |
Amounts receivable from Genworth | $ 150 | $ 1,318 |
Net Income (Loss) Per Share - S
Net Income (Loss) Per Share - Schedule of Basic and Diluted Net Income Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Earnings Per Share [Abstract] | ||||
Net income (loss) | $ 137,208 | $ 138,015 | $ 393,151 | $ 279,240 |
Average common shares outstanding - basic (in shares) | 162,840,000 | 162,840,000 | 162,840,000 | 162,840,000 |
Dilutive effect of share-based compensation arrangements (in shares) | 12,000 | 0 | 4,000 | 0 |
Adjusted average common shares outstanding - diluted (in shares) | 162,852,000 | 162,840,000 | 162,844,000 | 162,840,000 |
Net income per common share, basic (in usd per share) | $ 0.84 | $ 0.85 | $ 2.41 | $ 1.71 |
Net income per common share, diluted (in usd per share) | $ 0.84 | $ 0.85 | $ 2.41 | $ 1.71 |
Changes in Accumulated Other _3
Changes in Accumulated Other Comprehensive Income - Schedule of Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
AOCI Attributable to Parent, Net of Tax [Roll Forward] | ||||
Stockholders' equity, beginning balance | $ 4,089,851 | $ 4,031,938 | $ 3,881,811 | $ 3,827,075 |
Other comprehensive income (loss) before reclassifications | (25,337) | 29,528 | (74,576) | 88,759 |
Amounts reclassified (from) to other comprehensive income (loss) | (562) | 1,271 | (128) | 1,557 |
Total other comprehensive income (loss) | (25,899) | 30,799 | (74,704) | 90,316 |
Stockholders' equity, ending balance | 4,201,381 | 3,766,630 | 4,201,381 | 3,766,630 |
Cumulative effect of change in accounting | ||||
AOCI Attributable to Parent, Net of Tax [Roll Forward] | ||||
Stockholders' equity, beginning balance | 0 | |||
Net unrealized investment gains (losses) | ||||
AOCI Attributable to Parent, Net of Tax [Roll Forward] | ||||
Stockholders' equity, beginning balance | 159,854 | 152,948 | 208,378 | 93,431 |
Other comprehensive income (loss) before reclassifications | (25,337) | 29,528 | (74,576) | 88,759 |
Amounts reclassified (from) to other comprehensive income (loss) | (562) | 1,271 | (128) | 1,557 |
Total other comprehensive income (loss) | (25,899) | 30,799 | (74,704) | 90,316 |
Stockholders' equity, ending balance | 133,955 | 183,747 | 133,955 | 183,747 |
Net unrealized investment gains (losses) | Cumulative effect of change in accounting | ||||
AOCI Attributable to Parent, Net of Tax [Roll Forward] | ||||
Stockholders' equity, beginning balance | 0 | 281 | ||
Accumulated other comprehensive income (loss) | ||||
AOCI Attributable to Parent, Net of Tax [Roll Forward] | ||||
Stockholders' equity, beginning balance | 159,854 | 152,948 | 208,378 | 93,431 |
Total other comprehensive income (loss) | (25,899) | 30,799 | (74,704) | 90,316 |
Stockholders' equity, ending balance | 133,955 | $ 183,747 | 133,955 | $ 183,747 |
Accumulated other comprehensive income (loss) | Cumulative effect of change in accounting | ||||
AOCI Attributable to Parent, Net of Tax [Roll Forward] | ||||
Stockholders' equity, beginning balance | $ 0 | $ 281 |
Changes in Accumulated Other _4
Changes in Accumulated Other Comprehensive Income - Reclassification out of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Benefit (expense) from income taxes | $ (37,401) | $ (37,467) | $ (107,196) | $ (78,482) |
Reclassification out of Accumulated Other Comprehensive Income | Net unrealized investment gains (losses) | ||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Net unrealized gains (losses) on investments | 711 | (1,610) | 162 | (1,971) |
Benefit (expense) from income taxes | $ (149) | $ 339 | $ (34) | $ 414 |