Fair Value Measurements

9 Months Ended

Sep. 30, 2016

The following table presents the carrying amounts and estimated fair values of our financial instruments as of September 30, 2016 and December 31, 2015:



	September 30, 2016				December 31, 2015
($ in thousands)	Carrying Amount			Fair Value	Carrying Amount		Fair Value
Financial Assets
Fixed income securities:
HTM	$	130,472		136,094	201,354		209,544
AFS	4,832,532			4,832,532	4,408,203		4,408,203
Equity securities, AFS	147,304			147,304	207,051		207,051
Short-term investments	169,604			169,604	194,819		194,819
Financial Liabilities
Short-term debt:
0.63% borrowings from FHLBI	$	—		—	15,000		14,977
1.25% borrowings from FHLBI	45,000			45,072	45,000		45,083
Total short-term debt	$	45,000		45,072	60,000		60,060

Long-term debt:
7.25% Senior Notes	$	49,900		60,682	49,898		56,929
6.70% Senior Notes	99,426			118,192	99,415		110,363
5.875% Senior Notes	185,000			194,324	185,000		192,474
1.61% borrowings from FHLBNY	25,000			25,048	—		—
1.56% borrowings from FHLBNY	25,000			24,990	—		—
Subtotal long-term debt	384,326			423,236	334,313		359,766
Unamortized debt issuance costs	(5,775		)		(6,121	)
Total long-term debt	$	378,551			328,192

For a discussion of the fair value and hierarchy of the techniques used to value our financial assets and liabilities, refer to Note 2. "Summary of Significant Accounting Policies" in Item 8. "Financial Statements and Supplementary Data." of our 2015 Annual Report.

The following tables provide quantitative disclosures of our financial assets that were measured at fair value at September 30, 2016 and December 31, 2015:



September 30, 2016			Fair Value Measurements Using
($ in thousands)	Assets Measured at Fair Value at 9/30/2016		Quoted Prices in Active Markets for Identical Assets/ Liabilities (Level 1)¹	Significant Other Observable Inputs (Level 2)¹	Significant Unobservable Inputs (Level 3)
Description
Measured on a recurring basis:
AFS fixed income securities:
U.S. government and government agencies	$	89,891	35,147	54,744	—
Foreign government	9,484		—	9,484	—
Obligations of states and political subdivisions	1,446,896		—	1,446,896	—
Corporate securities	2,196,118		—	2,196,118	—
ABS	284,453		—	284,453	—
CMBS	266,774		—	266,774	—
RMBS	538,916		—	538,916	—
Total AFS fixed income securities	4,832,532		35,147	4,797,385	—
AFS equity securities:
Common stock	135,489		127,813	—	7,676
Preferred stock	11,815		11,815	—	—
Total AFS equity securities	147,304		139,628	—	7,676
Total AFS securities	4,979,836		174,775	4,797,385	7,676
Short-term investments	169,604		169,604	—	—
Total assets measured at fair value	$	5,149,440	344,379	4,797,385	7,676



December 31, 2015			Fair Value Measurements Using
($ in thousands)	Assets Measured at Fair Value at 12/31/2015		Quoted Prices in Active Markets for Identical Assets/Liabilities (Level 1)¹	Significant Other Observable Inputs (Level 2)¹	Significant Unobservable Inputs (Level 3)
Description
Measured on a recurring basis:
AFS fixed income securities:
U.S. government and government agencies	$	104,115	42,702	61,413	—
Foreign government	15,181		—	15,181	—
Obligations of states and political subdivisions	1,359,142		—	1,359,142	—
Corporate securities	1,900,182		—	1,900,182	—
ABS	244,154		—	244,154	—
CMBS	243,592		—	243,592	—
RMBS	541,837		—	541,837	—
Total AFS fixed income securities	4,408,203		42,702	4,365,501	—
AFS equity securities:
Common stock	194,789		191,517	—	3,272
Preferred stock	12,262		12,262	—	—
Total AFS equity securities	207,051		203,779	—	3,272
Total AFS securities	4,615,254		246,481	4,365,501	3,272
Short-term investments	194,819		194,819	—	—
Total assets measured at fair value	$	4,810,073	441,300	4,365,501	3,272


¹	There were no transfers of securities between Level 1 and Level 2.

The following table provides a summary of the changes in the fair value of securities measured using Level 3 inputs and related

quantitative information for the nine-month period ended September 30, 2016:



September 30, 2016	Common Stock
($ in thousands)	Common Stock
Fair value, December 31, 2015	$	3,272
Total net (losses) gains for the period included in:
OCI	—
Net income	—
Purchases	6,204
Sales	(1,800		)
Issuances	—
Settlements	—
Transfers into Level 3	—
Transfers out of Level 3	—
Fair value, September 30, 2016	$	7,676

The following tables provide quantitative information regarding our financial assets and liabilities that were disclosed at fair value at September 30, 2016 and December 31, 2015:



September 30, 2016			Fair Value Measurements Using
($ in thousands)	Assets/ Liabilities Disclosed at Fair Value at 9/30/2016		Quoted Prices in Active Markets for Identical Assets/ Liabilities (Level 1)	Significant Other Observable Inputs (Level 2)	Significant Unobservable Inputs (Level 3)
Financial Assets
HTM:
Obligations of states and political subdivisions	$	107,829	—	107,829	—
Corporate securities	25,851		—	18,160	7,691
ABS	51		—	51	—
CMBS	2,363		—	2,363	—
Total HTM fixed income securities	$	136,094	—	128,403	7,691
Financial Liabilities
Short-term debt:
1.25% borrowings from FHLBI	$	45,072	—	45,072	—
Total short-term debt	$	45,072	—	45,072	—

Long-term debt:
7.25% Senior Notes	$	60,682	—	60,682	—
6.70% Senior Notes	118,192		—	118,192	—
5.875% Senior Notes	194,324		194,324	—	—
1.61% borrowings from FHLBNY	25,048		—	25,048	—
1.56% borrowings from FHLBNY	24,990		—	24,990	—
Total long-term debt	$	423,236	194,324	228,912	—



December 31, 2015			Fair Value Measurements Using
($ in thousands)	Assets/ Liabilities Disclosed at Fair Value at 12/31/2015		Quoted Prices in Active Markets for Identical Assets/ Liabilities (Level 1)	Significant Other Observable Inputs (Level 2)	Significant Unobservable Inputs (Level 3)
Financial Assets
HTM:
Obligations of states and political subdivisions	$	181,880	—	181,880	—
Corporate securities	22,015		—	18,679	3,336
ABS	1,028		—	1,028	—
CMBS	4,621		—	4,621	—
Total HTM fixed income securities	$	209,544	—	206,208	3,336
Financial Liabilities
Short-term debt:
0.63% borrowings from FHLBI	$	14,977	—	14,977	—
1.25% borrowings from FHLBI	45,083		—	45,083	—
Total short-term debt	$	60,060	—	60,060	—

Long-term debt:
7.25% Senior Notes	$	56,929	—	56,929	—
6.70% Senior Notes	110,363		—	110,363	—
5.875% Senior Notes	192,474		192,474	—	—
Total long-term debt	$	359,766	192,474	167,292	—

- 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.

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