XML 66 R28.htm IDEA: XBRL DOCUMENT
v3.20.1

Fair Value Measurements (Tables) | 3 Months Ended
--- | ---
Mar. 31, 2020
Fair Value Disclosures [Abstract] |
Fair value measurements for items measured at fair value | Assets measured at fair value, by hierarchy level, as of March 31, 2020 and December 31, 2019 are shown in tables 8.1a and 8.1b below. The fair value of the assets is estimated using the process described above, and more fully in Note 3 - “Significant Accounting Policies” of the notes to the consolidated financial statements in our 2019 Annual Report on Form 10-K.
Assets carried at fair value by hierarchy level as of March 31, 2020
Table | 8.1a |  |  |  |  |  |  |  |
(In thousands) |  | Total Fair Value |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3)
U.S. Treasury securities and obligations of U.S. government corporations and agencies |  | $ | 199,717 |  |  | $ | 42,091 |  |  | $ | 157,626 |  |  | $ | — |
Obligations of U.S. states and political subdivisions |  | 1,710,836 |  |  | — |  |  | 1,710,836 |  |  | — |
Corporate debt securities |  | 2,511,102 |  |  | — |  |  | 2,511,102 |  |  | — |
ABS |  | 206,650 |  |  | — |  |  | 206,650 |  |  | — |
RMBS |  | 264,915 |  |  | — |  |  | 264,915 |  |  | — |
CMBS |  | 268,587 |  |  | — |  |  | 268,587 |  |  | — |
CLOs |  | 297,039 |  |  | — |  |  | 297,039 |  |  | — |
Total fixed income securities |  | 5,458,846 |  |  | 42,091 |  |  | 5,416,755 |  |  | — |
Equity securities |  | 28,892 |  |  | 28,892 |  |  | — |  |  | — |
Other (1) |  | 365,519 |  |  | 364,517 |  |  | 1,002 |  |  | — |
Real estate acquired (2) |  | 6,226 |  |  | — |  |  | — |  |  | 6,226 |
Total |  | $ | 5,859,483 |  |  | $ | 435,500 |  |  | $ | 5,417,757 |  |  | $ | 6,226 |
Assets carried at fair value by hierarchy level as of December 31, 2019
Table | 8.1b |  |  |  |  |  |  |  |
(In thousands) |  | Total Fair Value |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3)
U.S. Treasury securities and obligations of U.S. government corporations and agencies |  | $ | 196,203 |  |  | $ | 34,240 |  |  | $ | 161,963 |  |  | $ | — |
Obligations of U.S. states and political subdivisions |  | 1,653,865 |  |  | — |  |  | 1,653,865 |  |  | — |
Corporate debt securities |  | 2,785,122 |  |  | — |  |  | 2,785,122 |  |  | — |
ABS |  | 229,664 |  |  | — |  |  | 229,664 |  |  | — |
RMBS |  | 268,586 |  |  | — |  |  | 268,586 |  |  | — |
CMBS |  | 278,986 |  |  | — |  |  | 278,986 |  |  | — |
CLOs |  | 325,466 |  |  | — |  |  | 325,466 |  |  | — |
Total fixed income securities |  | 5,737,892 |  |  | 34,240 |  |  | 5,703,652 |  |  | — |
Equity securities |  | 17,328 |  |  | 17,328 |  |  | — |  |  | — |
Other (1) |  | 164,693 |  |  | 164,693 |  |  | — |  |  | — |
Real estate acquired (2) |  | 7,252 |  |  | — |  |  | — |  |  | 7,252 |
Total |  | $ | 5,927,165 |  |  | $ | 216,261 |  |  | $ | 5,703,652 |  |  | $ | 7,252 |
(1) | Consists of money market funds included in “Cash and Cash Equivalents” and “Restricted Cash and Cash Equivalents” on the consolidated balance sheets.
(2) | Real estate acquired through claim settlement, which is held for sale, is reported in “Other assets” on the consolidated balance sheets.
Reconciliation of beginning and ending balance for assets and liabilities measured at fair value with significant unobservable inputs (level 3) | For assets measured at fair value using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances for the three months ended March 31, 2020 and 2019 is shown in tables 8.2a and 8.2b below. There were no losses included in earnings for those periods attributable to the change in unrealized losses on assets still held at the end of the applicable period.
Fair value roll-forward for financial instruments classified as Level 3 for the three months ended March 31, 2020
Table | 8.2a |  |  |  |
(In thousands) |  | Fixed income |  | Real Estate Acquired
Balance at December 31, 2019 |  | $ | — |  |  | $ | 7,252 |
Purchases |  | — |  |  | 4,115 |
Sales |  | — |  |  | (5,198 | )
Included in earnings and reported as losses incurred, net |  | — |  |  | 57 |
Balance at March 31, 2020 |  | $ | — |  |  | $ | 6,226 |
Fair value roll-forward for financial instruments classified as Level 3 for the three months ended March 31, 2019
Table | 8.2b |  |  |  |
(In thousands) |  | Fixed income |  | Real Estate Acquired
Balance at December 31, 2018 |  | $ | 13 |  |  | $ | 14,535 |
Purchases |  | — |  |  | 8,084 |
Sales |  | (13 | ) |  | (10,872 | )
Included in earnings and reported as losses incurred, net |  | — |  |  | (108 | )
Balance at March 31, 2019 |  | $ | — |  |  | $ | 11,639 |
Carrying value and fair value of financial assets and liabilities | Table 8.3 presents the carrying value and fair value of our financial assets and liabilities disclosed, but not carried, at fair value at March 31, 2020 and December 31, 2019.
Financial assets and liabilities not measured at fair value
Table | 8.3 |  |  |  |  |  |  |  |
|  | March 31, 2020 |  | December 31, 2019
(In thousands) |  | Carrying Value |  | Fair Value |  | Carrying Value |  | Fair Value
Financial assets |  |  |  |  |  |  |  |
Other invested assets |  | $ | 3,100 |  |  | $ | 3,100 |  |  | $ | 3,100 |  |  | $ | 3,100 |
Financial liabilities |  |  |  |  |  |  |  |
FHLB Advance |  | $ | 155,000 |  |  | $ | 161,575 |  |  | $ | 155,000 |  |  | $ | 156,422 |
5.75% Senior Notes |  | 421,155 |  |  | 395,025 |  |  | 420,867 |  |  | 471,827 |
9% Convertible Junior Subordinated Debentures |  | 256,872 |  |  | 334,252 |  |  | 256,872 |  |  | 346,289 |
Total financial liabilities |  | $ | 833,027 |  |  | $ | 890,852 |  |  | $ | 832,739 |  |  | $ | 974,538 |

X
- Definition Tabular disclosure of assets, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueAssetsMeasuredOnRecurringBasisTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period 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 asset. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueAssetsMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 11 -URI http://asc.fasb.org/extlink&oid=118260190&loc=d3e13467-108611 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueByBalanceSheetGroupingTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_FairValueDisclosuresAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration