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Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis

Schedule of Carrying Values and Estimated Fair Values of Financial Liabilities

		March 31, 2020							December 31, 2019
($ in thousands)		Carrying Amount				Fair Value			Carrying Amount			Fair Value
Financial Liabilities
Short-term debt:
0.78% Borrowings from FHLBNY		$	100,000			100,096			—			—
0.68% Borrowings from FHLBNY		85,000				85,039			—			—
0.58% Borrowings from FHLBI		67,000				67,006			—			—
2.244% Line of Credit1		50,000				—			—			—
Total short-term debt		302,000				252,141			—			—
Long-term debt:
7.25% Senior Notes		49,911				61,134			49,910			66,365
6.70% Senior Notes		99,485				118,561			99,480			123,104
5.375% Senior Notes		294,177				316,400			294,157			357,025
1.61% borrowings from FHLBNY		25,000				25,261			25,000			24,901
1.56% borrowings from FHLBNY		25,000				25,260			25,000			24,875
3.03% borrowings from FHLBI		60,000				65,404			60,000			63,002
Subtotal long-term debt		553,573				612,020			553,547			659,272
Unamortized debt issuance costs		(3,618		)					(3,687	)
Finance lease obligations		622							737
Total long-term debt		$	550,577						550,597

Schedule of Quantitative Disclosures of Our Financial Assets That Were Measured At Fair Value

March 31, 2020						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		$	142,237			44,093			98,144			—
Foreign government		12,886				—			12,886			—
Obligations of states and political subdivisions		1,197,213				—			1,194,323			2,890
Corporate securities		1,909,504				—			1,885,319			24,185
CLO and other ABS		722,261				—			685,889			36,372
RMBS		1,430,226				—			1,430,226			—
CMBS		531,033				—			531,033			—
Total AFS fixed income securities		5,945,360				44,093			5,837,820			63,447
Equity securities:
Common stock1		98,410				59,175			—			—
Preferred stock		1,579				1,579			—			—
Total equity securities		99,989				60,754			—			—
Short-term investments		517,558				504,243			13,315			—
Total assets measured at fair value		$	6,562,907			609,090			5,851,135			63,447

December 31, 2019						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		$	116,186			41,083			75,103			—
Foreign government		18,542				—			18,542			—
Obligations of states and political subdivisions		1,230,090				—			1,230,090			—
Corporate securities		1,947,477				—			1,930,426			17,051
CLO and other ABS		793,012				3,635			772,343			17,034
RMBS		1,451,969				—			1,451,969			—
CMBS		538,344				—			538,344			—
Total AFS fixed income securities		6,095,620				44,718			6,016,817			34,085
Equity securities:
Common stock1		69,900				32,145			—			—
Preferred stock		3,037				3,037			—			—
Total equity securities		72,937				35,182			—			—
Short-term investments		282,490				265,306			17,184			—
Total assets measured at fair value		$	6,451,047			345,206			6,034,001			34,085

¹Investments amounting to $39.2 million at March 31, 2020, and $37.8 million at December 31, 2019, were measured at fair value using net asset value per share (or its practical expedient) and are not classified in the fair value hierarchy. These investments are not redeemable and the timing of liquidations of the underlying assets is unknown at each reporting period disclosed above. 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

Schedule of Changes in Fair Value of Securities Using Level 3 Inputs

March 31, 2020
($ in thousands)		Obligations of states and political subdivisions			Corporate Securities			CLO and Other ABS			Total
Fair value, December 31, 2019		—			17,051			17,034			34,085
Total net (losses) gains for the period included in:
OCI		—			1			(1,756	)		(1,755	)
Net realized and unrealized (losses) gains		—			(61	)		(214	)		(275	)
Purchases		—			3,002			4,831			7,833
Sales		—			—			—			—
Issuances		—			—			—			—
Settlements		—			—			—			—
Transfers into Level 3		2,890			4,192			20,107			27,189
Transfers out of Level 3		—			—			(3,630	)		(3,630	)
Fair value, March 31, 2020		2,890			24,185			36,372			63,447
Change in unrealized (losses) gains for the period included in earnings for assets held at period end		—			(61	)		(214	)		(275	)
Change in unrealized gains (losses) for the period included in other comprehensive income for assets held at period end		—			1			(1,756	)		(1,755	)

March 31, 2019
($ in thousands)		Corporate Securities			CLO and Other ABS			Total
Fair value, December 31, 2018		—			7,409			7,409
Total net (losses) gains for the period included in:
OCI		—			(225	)		(225	)
Net realized and unrealized (losses) gains		—			—			—
Purchases		—			12,434			12,434
Sales		—			—			—
Issuances		—			—			—
Settlements		—			—			—
Transfers into Level 3		16,419			11,674			28,093
Transfers out of Level 3		—			—			—
Fair value, March 31, 2019		16,419			31,292			47,711
Change in unrealized gains (losses) for the period included in earnings for assets held at period end		—			—			—

Schedule of Quantitative Information of Our Financial Assets and Liabilities That Were Disclosed at Fair Value

March 31, 2020						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		$	4,871			—			4,871			—
Corporate securities		17,050				—			17,050			—
Total HTM fixed income securities		$	21,921			—			21,921			—
CMLs		13,856				—			—			13,856
Financial Liabilities
Short-term debt:
0.78% Borrowings from FHLBNY		100,096				—			100,096			—
0.68% Borrowings from FHLBNY		85,039				—			85,039			—
0.58% Borrowings from FHLBI		67,006				—			67,006			—
Total short-term debt		252,141				—			252,141			—
Long-term debt:
7.25% Senior Notes		$	61,134			—			61,134			—
6.70% Senior Notes		118,561				—			118,561			—
5.375% Senior Notes		316,400				—			316,400			—
1.61% borrowings from FHLBNY		25,261				—			25,261			—
1.56% borrowings from FHLBNY		25,260				—			25,260			—
3.03% borrowings from FHLBI		65,404				—			65,404			—
Total long-term debt		$	612,020			—			612,020			—

December 31, 2019						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		$	4,921			—			4,921			—
Corporate securities		17,054				—			17,054			—
Total HTM fixed income securities		$	21,975			—			21,975			—
Financial Liabilities
Long-term debt:
7.25% Senior Notes		$	66,365			—			66,365			—
6.70% Senior Notes		123,104				—			123,104			—
5.375% Senior Notes		357,025				—			357,025			—
1.61% borrowings from FHLBNY		24,901				—			24,901			—
1.56% borrowings from FHLBNY		24,875				—			24,875			—
3.03% borrowings from FHLBI		63,002				—			63,002			—
Total long-term debt		$	659,272			—			659,272			—

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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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Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, 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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