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Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2021

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, 2021 and December 31, 2020 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 2020 Annual Report on Form 10-K.

Assets carried at fair value by hierarchy level as of March 31, 2021
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									$	253,457					$	143,231					$	110,226					$	—
Obligations of U.S. states and political subdivisions									2,368,018						—						2,368,018						—
Corporate debt securities									2,861,128						—						2,861,128						—
ABS									187,141						—						187,141						—
RMBS									436,008						—						436,008						—
CMBS									327,850						—						327,850						—
CLOs									373,327						—						373,327						—
Foreign government debt									4,389						—						4,389						—
Total fixed income securities									6,811,318						143,231						6,668,087						—
Equity securities									15,319						15,319						—						—
Cash Equivalents									183,960						183,960						—						—
Real estate acquired (1)									1,794						—						—						1,794
Total									$	7,012,391					$	342,510					$	6,668,087					$	1,794

Assets carried at fair value by hierarchy level as of December 31, 2020
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									$	265,693					$	149,339					$	116,354					$	—
Obligations of U.S. states and political subdivisions									2,249,869						—						2,249,869						—
Corporate debt securities									2,844,288						—						2,844,288						—
ABS									206,686						—						206,686						—
RMBS									431,166						—						431,166						—
CMBS									327,502						—						327,502						—
CLOs									310,490						—						310,490						—
Foreign government debt									4,709						—						4,709						—
Commercial paper									21,193						—						21,193						—
Total fixed income securities									6,661,596						149,339						6,512,257						—
Equity securities									18,215						18,215						—						—
Cash Equivalents									288,941						275,668						13,273						—
Real estate acquired (1)									1,092						—						—						1,092
Total									$	6,969,844					$	443,222					$	6,525,530					$	1,092

(1)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, 2021 and 2020 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, 2021
Table			8.2a
(In thousands)									Real Estate Acquired
Balance at December 31, 2020									$	1,092
Purchases									2,008
Sales									(1,431)
Included in earnings and reported as losses incurred, net									125
Balance at March 31, 2021									$	1,794

Fair value roll-forward for financial instruments classified as Level 3 for the three months ended March 31, 2020
Table			8.2b
(In thousands)									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

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, 2021 and December 31, 2020.

Financial assets and liabilities not measured at fair value
Table			8.3
									March 31, 2021												December 31, 2020
(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						160,136						155,000						160,865
5.75% Senior Notes									240,762						261,248						240,597						261,752
5.25% Senior Notes									639,150						677,235						638,782						696,449
9% Convertible Junior Subordinated Debentures									208,814						282,312						208,814						273,569
Total financial liabilities									$	1,243,726					$	1,380,931					$	1,243,193					$	1,392,635

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).

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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.

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