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Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2020

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

Schedule of Carrying Values and Estimated Fair Values of Financial Liabilities

		June 30, 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			100,085			—			—
0.68% Borrowings from FHLBNY		85,000				85,051			—			—
0.58% Borrowings from FHLBI		67,000				67,074			—			—
Total short-term debt		252,000				252,210			—			—
Long-term debt:
7.25% Senior Notes		49,912				65,004			49,910			66,365
6.70% Senior Notes		99,490				126,630			99,480			123,104
5.375% Senior Notes		294,198				345,700			294,157			357,025
1.61% borrowings from FHLBNY		25,000				25,306			25,000			24,901
1.56% borrowings from FHLBNY		25,000				25,314			25,000			24,875
3.03% borrowings from FHLBI		60,000				67,820			60,000			63,002
Subtotal long-term debt		553,600				655,774			553,547			659,272
Unamortized debt issuance costs		(3,551		)					(3,687	)
Finance lease obligations		539							737
Total long-term debt		$	550,588						550,597

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

June 30, 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		$	119,723			43,955			75,768			—
Foreign government		17,922				—			17,922			—
Obligations of states and political subdivisions		1,203,414				—			1,200,635			2,779
Corporate securities		2,256,005				—			2,233,652			22,353
CLO and other ABS		839,521				—			804,361			35,160
RMBS		1,318,378				—			1,318,378			—
CMBS		603,193				—			603,193			—
Total AFS fixed income securities		6,358,156				43,955			6,253,909			60,292
Equity securities:
Common stock1		132,441				92,090			—			—
Preferred stock		1,617				1,617			—			—
Total equity securities		134,058				93,707			—			—
Short-term investments		370,390				369,158			1,232			—
Total assets measured at fair value		$	6,862,604			506,820			6,255,141			60,292

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 $40.4 million at June 30, 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

June 30, 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		(111	)		(1,770	)		(367	)		(2,248	)
Net realized and unrealized (losses) gains		—			(384	)		(349	)		(733	)
Net investment income earned		—			—			1			1
Purchases		—			3,002			9,690			12,692
Sales		—			—			—			—
Issuances		—			—			—			—
Settlements		—			(138	)		(1,032	)		(1,170	)
Transfers into Level 3		2,890			4,592			20,107			27,589
Transfers out of Level 3		—			—			(9,924	)		(9,924	)
Fair value, June 30, 2020		2,779			22,353			35,160			60,292
Change in unrealized (losses) gains for the period included in earnings for assets held at period end		—			(384	)		(349	)		(733	)
Change in unrealized gains (losses) for the period included in other comprehensive income for assets held at period end		(111	)		(1,770	)		(367	)		(2,248	)

June 30, 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		(19	)		(118	)		(137	)
Net investment income earned		—			244			244
Purchases		—			15,984			15,984
Sales		—			—			—
Issuances		—			—			—
Settlements		—			(40	)		(40	)
Transfers into Level 3		16,419			13,603			30,022
Transfers out of Level 3		—			(19,662	)		(19,662	)
Fair value, June 30, 2019		16,400			17,420			33,820
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

June 30, 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		$	4,892			—			4,892			—
Corporate securities		15,835				—			15,835			—
Total HTM fixed income securities		$	20,727			—			20,727			—
CMLs		$	17,949			—			3,792			14,157
Financial Liabilities
Short-term debt:
0.78% Borrowings from FHLBNY		$	100,085			—			100,085			—
0.68% Borrowings from FHLBNY		85,051				—			85,051			—
0.58% Borrowings from FHLBI		67,074				—			67,074			—
Total short-term debt		$	252,210			—			252,210			—
Long-term debt:
7.25% Senior Notes		$	65,004			—			65,004			—
6.70% Senior Notes		126,630				—			126,630			—
5.375% Senior Notes		345,700				—			345,700			—
1.61% borrowings from FHLBNY		25,306				—			25,306			—
1.56% borrowings from FHLBNY		25,314				—			25,314			—
3.03% borrowings from FHLBI		67,820				—			67,820			—
Total long-term debt		$	655,774			—			655,774			—

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 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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