XML 55 R11.htm IDEA: XBRL DOCUMENT
v3.20.1

Note 4 - Fair Value of Financial Instruments | 3 Months Ended
--- | ---
Mar. 31, 2020
Fair Value Disclosures [Abstract] |
Fair Value of Financial Instruments | Fair Value of Financial Instruments For discussion of our valuation methodologies for assets and liabilities measured at fair value and the fair value hierarchy, see Note 5 of Notes to Consolidated Financial Statements in our 2019 Form 10-K. The following is a list of assets that are measured at fair value by hierarchy level as of March 31, 2020:
(In thousands) | Level I |  | Level II |  | Total
Assets at fair value |  |  |  |  |
Investments: |  |  |  |  |
Fixed-maturities available for sale: |  |  |  |  |
U.S. government and agency securities | $ | 155,498 |  |  | $ | 3,742 |  |  | $ | 159,240 |
State and municipal obligations | — |  |  | 116,975 |  |  | 116,975 |
Corporate bonds and notes | — |  |  | 2,265,066 |  |  | 2,265,066 |
RMBS | — |  |  | 779,590 |  |  | 779,590 |
CMBS | — |  |  | 610,877 |  |  | 610,877 |
Other ABS | — |  |  | 666,918 |  |  | 666,918 |
Foreign government and agency securities | — |  |  | 4,947 |  |  | 4,947 |
Total fixed-maturities available for sale | 155,498 |  |  | 4,448,115 |  |  | 4,603,613 |
Trading securities: |  |  |  |  |
State and municipal obligations | — |  |  | 114,511 |  |  | 114,511 |
Corporate bonds and notes | — |  |  | 123,461 |  |  | 123,461 |
RMBS | — |  |  | 15,573 |  |  | 15,573 |
CMBS | — |  |  | 33,725 |  |  | 33,725 |
Total trading securities | — |  |  | 287,270 |  |  | 287,270 |
Equity securities | 67,086 |  |  | 7,767 |  |  | 74,853 |
Short-term investments: |  |  |  |  |
U.S. government and agency securities | 140,667 |  |  | — |  |  | 140,667 |
State and municipal obligations | — |  |  | 10,148 |  |  | 10,148 |
Money market instruments | 295,757 |  |  | — |  |  | 295,757 |
Corporate bonds and notes | — |  |  | 117,836 |  |  | 117,836 |
Other investments (1) | — |  |  | 74,352 |  |  | 74,352 |
Total short-term investments | 436,424 |  |  | 202,336 |  |  | 638,760 |
Total investments at fair value (2) | 659,008 |  |  | 4,945,488 |  |  | 5,604,496 |
Other assets: |  |  |  |  |
Loaned securities: (3) |  |  |  |  |
U.S. government and agency securities | — |  |  | 3,784 |  |  | 3,784 |
Equity securities | 43,736 |  |  | — |  |  | 43,736 |
Total assets at fair value (2) | $ | 702,744 |  |  | $ | 4,949,272 |  |  | $ | 5,652,016 |
______________________
(1) | Comprising short-term certificates of deposit and commercial paper.
(2) | Does not include other invested assets of $2.6 million that are primarily invested in limited partnership investments valued using the net asset value as a practical expedient and $1.5 million invested in a private convertible promissory note.
(3) | Securities loaned to third-party borrowers under securities lending agreements are classified as other assets in our condensed consolidated balance sheets. See Note 5 for more information.
The following is a list of assets that are measured at fair value by hierarchy level as of December 31, 2019:
(In thousands) | Level I |  | Level II |  | Total
Assets at fair value |  |  |  |  |
Investments: |  |  |  |  |
Fixed-maturities available for sale: |  |  |  |  |
U.S. government and agency securities | $ | 143,884 |  |  | $ | 35,700 |  |  | $ | 179,584 |
State and municipal obligations | — |  |  | 119,994 |  |  | 119,994 |
Corporate bonds and notes | — |  |  | 2,237,611 |  |  | 2,237,611 |
RMBS | — |  |  | 779,354 |  |  | 779,354 |
CMBS | — |  |  | 608,015 |  |  | 608,015 |
Other ABS | — |  |  | 759,129 |  |  | 759,129 |
Foreign government and agency securities | — |  |  | 5,224 |  |  | 5,224 |
Total fixed-maturities available for sale | 143,884 |  |  | 4,545,027 |  |  | 4,688,911 |
Trading securities: |  |  |  |  |
State and municipal obligations | — |  |  | 118,949 |  |  | 118,949 |
Corporate bonds and notes | — |  |  | 147,232 |  |  | 147,232 |
RMBS | — |  |  | 16,180 |  |  | 16,180 |
CMBS | — |  |  | 34,789 |  |  | 34,789 |
Total trading securities | — |  |  | 317,150 |  |  | 317,150 |
Equity securities | 124,009 |  |  | 6,212 |  |  | 130,221 |
Short-term investments: |  |  |  |  |
U.S. government and agency securities | 127,152 |  |  | — |  |  | 127,152 |
State and municipal obligations | — |  |  | 21,475 |  |  | 21,475 |
Money market instruments | 202,461 |  |  | — |  |  | 202,461 |
Corporate bonds and notes | — |  |  | 20,298 |  |  | 20,298 |
Other investments (1) | — |  |  | 147,007 |  |  | 147,007 |
Total short-term investments | 329,613 |  |  | 188,780 |  |  | 518,393 |
Total investments at fair value (2) | 597,506 |  |  | 5,057,169 |  |  | 5,654,675 |
Other assets: |  |  |  |  |
Loaned securities: (3) |  |  |  |  |
U.S. government and agency securities | 35,309 |  |  | — |  |  | 35,309 |
Corporate bonds and notes | — |  |  | 3,669 |  |  | 3,669 |
Equity securities | 27,464 |  |  | — |  |  | 27,464 |
Total assets at fair value (2) | $ | 660,279 |  |  | $ | 5,060,838 |  |  | $ | 5,721,117 |
______________________
(1) | Comprising short-term certificates of deposit and commercial paper.
(2) | Does not include other invested assets of $2.6 million that are primarily invested in limited partnership investments valued using the net asset value as a practical expedient and $1.5 million invested in a private convertible promissory note.
(3) | Securities loaned to third-party borrowers under securities lending agreements are classified as other assets in our condensed consolidated balance sheets. See Note 5 for more information.
At March 31, 2020 and December 31, 2019, we had a Level III liability of $5.6 million measured at fair value, included in other liabilities in our condensed consolidated balance sheets, and a Level III asset of $0.4 million measured at fair value, included in other assets in our condensed consolidated balance sheets, respectively. The Level III assets and liabilities represent the embedded derivatives associated with our mortgage insurance-linked note transactions as described in Note 7. The total fair value of the embedded derivatives at March 31, 2020 and December 31, 2019 consists of impacts related to the fair value accounting for derivatives associated with our reinsurance contracts and the related fluctuations from period to period. The estimated fair value related to our embedded derivatives reflects the present value impact of the future variation in premiums we will pay, and includes significant unobservable inputs associated with LIBOR rates and the yield on investments held by trust. There were no investment transfers to or from Level III for the three months ended March 31, 2020 or the year ended December 31, 2019. Except for the activity related to the embedded derivatives described above, activity related to Level III assets and liabilities (including realized and unrealized gains and losses, purchases, sales, issuances, settlements and transfers) was immaterial for the three months ended March 31, 2020 and the year ended December 31, 2019. Other Fair Value Disclosure The carrying value and estimated fair value of other selected liabilities not carried at fair value in our condensed consolidated balance sheets were as follows as of the dates indicated:
| March 31, 2020 |  | December 31, 2019
(In thousands) | Carrying Amount |  | Estimated Fair Value |  | Carrying Amount |  | Estimated Fair Value
Liabilities: |  |  |  |  |  |  |
Senior notes | $ | 887,584 |  |  | $ | 886,500 |  |  | $ | 887,110 |  |  | $ | 949,500 |
FHLB advances | 173,760 |  |  | 176,952 |  |  | 134,875 |  |  | 135,997 |
The fair value of our senior notes is estimated based on their quoted market prices. The fair value of our FHLB advances is estimated based on expected cash flows for similar borrowings. These liabilities are categorized in Level II of the fair value hierarchy. See Note 11 for further information on our senior notes and FHLB advances.

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

X
- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueDisclosuresTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration