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Fair Value Measurements

12 Months Ended

Dec. 31, 2017

Fair Value Disclosures [Abstract]

Fair Value Measurements

Fair Value Measurements

The following table presents the carrying amounts and estimated fair values of our financial instruments as of December 31, 2017 and 2016:

		December 31, 2017							December 31, 2016
($ in thousands)		Carrying Amount				Fair Value			Carrying Amount			Fair Value
Financial Assets
Fixed income securities:
HTM		$	42,129			44,100			101,556			105,211
AFS		5,162,522				5,162,522			4,792,540			4,792,540
Equity securities, AFS		182,705				182,705			146,753			146,753
Short-term investments		165,555				165,555			221,701			221,701
Long-term debt:
7.25% Senior Notes		49,904				61,391			49,901			56,148
6.70% Senior Notes		99,446				116,597			99,430			108,333
5.875% Senior Notes		185,000				186,332			185,000			176,860
1.61% Borrowings from FHLBNY		25,000				24,270			25,000			24,286
1.56% Borrowings from FHLBNY		25,000				24,210			25,000			24,219
3.03% Borrowings from FHLBI		60,000				60,334			60,000			59,313
Subtotal long-term debt		444,350				473,134			444,331			449,159
Unamortized debt issuance costs		(5,234		)					(5,664	)
Total long-term debt		$	439,116						438,667

For discussion regarding the fair value techniques of our financial instruments, refer to Note 2. "Summary of Significant Accounting Policies" in this Form 10-K.

The following tables provide quantitative disclosures of our financial assets that were measured and recorded at fair value at December 31, 2017 and 2016:

December 31, 2017						Fair Value Measurements Using
($ in thousands)		Assets Measured at Fair Value				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		$	49,740			24,652			25,088			—
Foreign government		18,555				—			18,555			—
Obligations of states and political subdivisions		1,582,970				—			1,582,970			—
Corporate securities		1,617,468				—			1,617,468			—
CLO and other ABS		795,458				—			795,458			—
CMBS		383,449				—			376,895			6,554
RMBS		714,882				—			714,882			—
Total AFS fixed income securities		5,162,522				24,652			5,131,316			6,554
AFS equity securities:
Common stock2		167,757				138,640			—			5,398
Preferred stock		14,948				14,948			—			—
Total AFS equity securities		182,705				153,588			—			5,398
Total AFS securities		5,345,227				178,240			5,131,316			11,952
Short-term investments		165,555				165,555			—			—
Total assets measured at fair value		$	5,510,782			343,795			5,131,316			11,952

December 31, 2016						Fair Value Measurements Using
($ in thousands)		Assets Measured at Fair Value				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		$	77,333			27,520			49,813			—
Foreign government		26,865				—			26,865			—
Obligations of states and political subdivisions		1,379,593				—			1,379,593			—
Corporate securities		1,997,753				—			1,997,753			—
CLO and other ABS		528,960				—			528,960			—
CMBS		256,842				—			256,842			—
RMBS		525,194				—			525,194			—
Total AFS fixed income securities		4,792,540				27,520			4,765,020			—
AFS equity securities:
Common stock		130,608				122,932			—			7,676
Preferred stock		16,145				16,145			—			—
Total AFS equity securities		146,753				139,077			—			7,676
Total AFS securities		4,939,293				166,597			4,765,020			7,676
Short-term investments		221,701				221,701			—			—
Total assets measured at fair value		$	5,160,994			388,298			4,765,020			7,676

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

² In accordance with ASU 2015-07, investments amounting to $23.7 million at December 31, 2017, respectively, were measured at fair value using the net asset value per share (or its practical expedient) and have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to total assets measured at fair value.

The following table provides a summary of the changes in the fair value of securities measured using Level 3 inputs and related quantitative information during 2017:

2017
($ in thousands)		CMBS				Common Stock
Fair value, December 31, 2016		$	—			7,676
Total net (losses) gains for the period included in:
OCI		4				—
Net income		—				—
Purchases		6,550				3,780
Sales		—				(3,958		)
Issuances		—				—
Settlements		—				—
Transfers into Level 3		—				—
Transfers out of Level 3		—				(2,100		)
Fair value, December 31, 2017		$	6,554			$	5,398

The following tables provide quantitative information regarding our financial assets and liabilities that were not measured, but were disclosed at fair value at December 31, 2017 and 2016:

December 31, 2017						Fair Value Measurements Using
($ in thousands)		Assets/Liabilities Disclosed at Fair Value				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		$	26,261			—			26,261			—
Corporate securities		17,839				—			12,306			5,533
Total HTM fixed income securities		$	44,100			—			38,567			5,533
Financial Liabilities
Long-term debt:
7.25% Senior Notes		$	61,391			—			61,391			—
6.70% Senior Notes		116,597				—			116,597			—
5.875% Senior Notes		186,332				186,332			—			—
1.61% Borrowings from FHLBNY		24,270				—			24,270			—
1.56% Borrowings from FHLBNY		24,210				—			24,210			—
3.03% Borrowings from FHLBI		60,334				—			60,334			—
Total long-term debt		$	473,134			186,332			286,802			—

December 31, 2016						Fair Value Measurements Using
($ in thousands)		Assets/Liabilities Disclosed at Fair Value				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		$	79,916			—			79,916			—
Corporate securities		24,075				—			16,565			7,510
CMBS		1,220				—			1,220			—
Total HTM fixed income securities		$	105,211			—			97,701			7,510
Financial Liabilities
Long-term debt:
7.25% Senior Notes		$	56,148			—			56,148			—
6.70% Senior Notes		108,333				—			108,333			—
5.875% Senior Notes		176,860				176,860			—			—
1.61% Borrowings from FHLBNY		24,286				—			24,286			—
1.56% Borrowings from FHLBNY		24,219				—			24,219			—
3.03% Borrowings from FHLBI		59,313				—			59,313			—
Total long-term debt		$	449,159			176,860			272,299			—

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- References

No definition available.

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- 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/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-URI http://asc.fasb.org/topic&trid=2155941

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