Fair Value Measurements (Tables)

The following tables present the balances of assets and liabilities measured at fair value on a recurring basis by level within the fair value hierarchy.



	September 30, 2012
(dollars in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Investments available-for-sale:
Fixed maturities:
U.S. Treasury securities and obligations of U.S. government agencies	$	—	$	321,953	$	—	$	321,953
Obligations of states, municipalities and political subdivisions	—		2,910,418		—		2,910,418
Foreign governments	—		602,216		—		602,216
Residential mortgage-backed securities	—		278,343		—		278,343
Asset-backed securities	—		15,008		—		15,008
Public utilities	—		61,653		—		61,653
All other corporate bonds	—		1,090,958		—		1,090,958
Total fixed maturities	—		5,280,549		—		5,280,549
Equity securities:
Insurance companies, banks and trusts	823,718		—		—		823,718
Industrial, consumer and all other	1,517,535		—		—		1,517,535
Total equity securities	2,341,253		—		—		2,341,253
Short-term investments	650,472		78,570		—		729,042
Total investments available-for-sale	2,991,725		5,359,119		—		8,350,844
Liabilities:
Derivative contracts	$	—	$	—	$	15,650	$	15,650



	December 31, 2011
(dollars in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Investments available-for-sale:
Fixed maturities:
U.S. Treasury securities and obligations of U.S. government agencies	$	—	$	322,193	$	—	$	322,193
Obligations of states, municipalities and political subdivisions	—		2,930,521		—		2,930,521
Foreign governments	—		616,814		—		616,814
Residential mortgage-backed securities	—		389,184		—		389,184
Asset-backed securities	—		16,818		—		16,818
Public utilities	—		69,427		—		69,427
All other corporate bonds	—		1,193,217		—		1,193,217
Total fixed maturities	—		5,538,174		—		5,538,174
Equity securities:
Insurance companies, banks and trusts	684,703		—		—		684,703
Industrial, consumer and all other	1,189,224		—		—		1,189,224
Total equity securities	1,873,927		—		—		1,873,927
Short-term investments	477,348		63,666		—		541,014
Total investments available-for-sale	2,351,275		5,601,840		—		7,953,115
Liabilities:
Derivative contracts	$	—	$	—	$	29,331	$	29,331

The following table summarizes changes in Level 3 liabilities measured at fair value on a recurring basis.



	Quarter Ended September 30,					Nine Months Ended September 30,
(dollars in thousands)	2012			2011		2012			2011
Derivatives, beginning of period	$	17,130		$	24,596	$	29,331		$	25,228
Total losses (gains) included in:
Net income	(1,480		)	3,319		(13,681		)	2,687
Other comprehensive income (loss)	—			—		—			—
Transfers into Level 3	—			—		—			—
Transfers out of Level 3	—			—		—			—
Derivatives, end of period	$	15,650		$	27,915	$	15,650		$	27,915
Net unrealized losses (gains) included in net income relating to liabilities held at September 30, 2012 and 2011 ⁽¹⁾	$	(1,480	)	$	3,319	$	(13,681	)	$	2,687


(1)	Included in net investment income in the consolidated statements of income and comprehensive income (loss).

- Definition

Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

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