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Fair Value Measurements (Tables) | 9 Months Ended
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Sep. 30, 2020
Fair Value Disclosures [Abstract] |
Fair value measurements for items measured at fair value | Assets measured at fair value, by hierarchy level, as of September 30, 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 September 30, 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 |  | $ | 348,747 |  |  | $ | 212,703 |  |  | $ | 136,044 |  |  | $ | — |
Obligations of U.S. states and political subdivisions |  | 2,032,581 |  |  | — |  |  | 2,032,581 |  |  | — |
Corporate debt securities |  | 2,769,643 |  |  | — |  |  | 2,769,643 |  |  | — |
ABS |  | 204,696 |  |  | — |  |  | 204,696 |  |  | — |
RMBS |  | 403,893 |  |  | — |  |  | 403,893 |  |  | — |
CMBS |  | 271,524 |  |  | — |  |  | 271,524 |  |  | — |
CLOs |  | 309,093 |  |  | — |  |  | 309,093 |  |  | — |
Debt securities issued by foreign sovereign governments |  | 4,541 |  |  | — |  |  | 4,541 |  |  | — |
Total fixed income securities |  | 6,344,718 |  |  | 212,703 |  |  | 6,132,015 |  |  | — |
Equity securities |  | 18,060 |  |  | 18,060 |  |  | — |  |  | — |
Other (1) |  | 380,072 |  |  | 380,072 |  |  | — |  |  | — |
Real estate acquired (2) |  | 1,690 |  |  | — |  |  | — |  |  | 1,690 |
Total |  | $ | 6,744,540 |  |  | $ | 610,835 |  |  | $ | 6,132,015 |  |  | $ | 1,690 |
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)Includes money market funds and short term U.S. Treasury Securities 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 and nine months ended September 30, 2020 and 2019 is shown in tables 8.2a through 8.2d 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 September 30, 2020
Table | 8.2a |  |  |  |
(In thousands) |  | Fixed income |  | Real Estate Acquired
Balance at June 30, 2020 |  | $ | — |  |  | $ | 1,963 |
Purchases |  | — |  |  | 1,990 |
Sales |  | — |  |  | (2,266) |
Included in earnings and reported as losses incurred, net |  | — |  |  | 3 |
Balance at September 30, 2020 |  | $ | — |  |  | $ | 1,690 |
Fair value roll-forward for financial instruments classified as Level 3 for the nine months ended September 30, 2020
Table | 8.2b |  |  |  |
(In thousands) |  | Fixed income |  | Real Estate Acquired
Balance at December 31, 2019 |  | $ | — |  |  | $ | 7,252 |
Purchases |  | — |  |  | 7,911 |
Sales |  | — |  |  | (13,991) |
Included in earnings and reported as losses incurred, net |  | — |  |  | 518 |
Balance at September 30, 2020 |  | $ | — |  |  | $ | 1,690 |
Fair value roll-forward for financial instruments classified as Level 3 for the three months ended September 30, 2019
Table | 8.2c |  |  |  |
(In thousands) |  | Fixed income |  | Real Estate Acquired
Balance at June 30, 2019 |  | $ | — |  |  | $ | 10,250 |
Purchases |  | — |  |  | 4,681 |
Sales |  | — |  |  | (7,173) |
Included in earnings and reported as losses incurred, net |  | — |  |  | 21 |
Balance at September 30, 2019 |  | $ | — |  |  | $ | 7,779 |
Fair value roll-forward for financial instruments classified as Level 3 for the nine months ended September 30, 2019
Table | 8.2d |  |  |  |
(In thousands) |  | Fixed income |  | Real Estate Acquired
Balance at December 31, 2018 |  | $ | 13 |  |  | $ | 14,535 |
Purchases |  | — |  |  | 19,872 |
Sales |  | (13) |  |  | (26,197) |
Included in earnings and reported as losses incurred, net |  | — |  |  | (431) |
Balance at September 30, 2019 |  | $ | — |  |  | $ | 7,779 |
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 September 30, 2020 and December 31, 2019.
Financial assets and liabilities not measured at fair value
Table | 8.3 |  |  |  |  |  |  |  |
|  | September 30, 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 |  |  | 161,436 |  |  | 155,000 |  |  | 156,422 |
5.75% Senior Notes |  | 240,433 |  |  | 257,065 |  |  | 420,867 |  |  | 471,827 |
5.25% Senior Notes |  | 638,405 |  |  | 673,478 |  |  | — |  |  | — |
9% Convertible Junior Subordinated Debentures |  | 208,814 |  |  | 268,397 |  |  | 256,872 |  |  | 346,289 |
Total financial liabilities |  | $ | 1,242,652 |  |  | $ | 1,360,376 |  |  | $ | 832,739 |  |  | $ | 974,538 |

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- 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
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