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Fair Value Measurements

3 Months Ended

Mar. 31, 2021

The financial assets in our investment portfolio are primarily measured at fair value as disclosed on the Consolidated Balance Sheets. The following table presents the carrying amounts and estimated fair values of our financial liabilities as of March 31, 2021, and December 31, 2020:


	March 31, 2021			December 31, 2020
($ in thousands)	Carrying Amount		Fair Value	Carrying Amount	Fair Value
Financial Liabilities







Long-term debt:
7.25% Senior Notes	49,915		60,613	49,914	66,148
6.70% Senior Notes	99,504		119,818	99,499	127,886

5.375% Senior Notes	294,263		347,155	294,241	383,669
1.61% borrowings from FHLBNY	25,000		25,107	25,000	25,182
1.56% borrowings from FHLBNY	25,000		25,127	25,000	25,198
3.03% borrowings from FHLBI	60,000		65,337	60,000	67,513
Subtotal long-term debt	553,682		643,157	553,654	695,596
Unamortized debt issuance costs	(3,355)			(3,419)
Finance lease obligations	577			508
Total long-term debt	$	550,904		550,743

For a discussion of the fair value hierarchy and 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 2020 Annual Report.

The following tables provide quantitative disclosures of our financial assets that were measured and recorded at fair value at March 31, 2021, and December 31, 2020:


March 31, 2021			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	$	136,274	58,540	77,734	—
Foreign government	19,702		—	19,702	—
Obligations of states and political subdivisions	1,214,093		—	1,206,197	7,896
Corporate securities	2,345,791		—	2,256,469	89,322
CLO and other ABS	1,202,065		—	1,137,176	64,889
RMBS	947,540		—	947,540	—
CMBS	656,176		—	656,176	—
Total AFS fixed income securities	6,521,641		58,540	6,300,994	162,107
Equity securities:
Common stock1	322,557		269,017	—	—
Preferred stock	1,698		1,698	—	—
Total equity securities	324,255		270,715	—	—
Short-term investments	337,807		337,075	732	—
Total assets measured at fair value	$	7,183,703	666,330	6,301,726	162,107


December 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	$	116,140	40,960	75,180	—
Foreign government	18,366		—	18,366	—
Obligations of states and political subdivisions	1,247,137		—	1,244,243	2,894
Corporate securities	2,328,052		—	2,257,352	70,700
CLO and other ABS	1,026,551		—	970,176	56,375
RMBS	1,051,788		—	1,051,788	—
CMBS	667,894		—	667,894	—
Total AFS fixed income securities	6,455,928		40,960	6,284,999	129,969
Equity securities:
Common stock1	308,632		261,846	—	—
Preferred stock	1,735		1,735	—	—
Total equity securities	310,367		263,581	—	—
Short-term investments	409,852		405,400	4,452	—
Total assets measured at fair value	$	7,176,147	709,941	6,289,451	129,969

1Investments amounting to $53.5 million at March 31, 2021, and $46.8 million at December 31, 2020, 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. 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 Level 3 changes in First Quarter 2021 and First Quarter 2020:


March 31, 2021
($ in thousands)	Obligations of States and Political Subdivisions		Corporate Securities	CLO and Other ABS	Total
Fair value, December 31, 2020	$	2,894	70,700	56,375	129,969
Total net (losses) gains for the period included in:
OCI	(99)		(2,388)	(1,116)	(3,603)
Net realized and unrealized (losses) gains	—		(91)	(143)	(234)
Net investment income earned	—		1	3	4
Purchases	—		21,100	10,672	31,772
Sales	—		—	—	—
Issuances	—		—	—	—
Settlements	—		—	(412)	(412)
Transfers into Level 3	5,101		—	—	5,101
Transfers out of Level 3	—		—	(490)	(490)
Fair value, March 31, 2021	7,896		89,322	64,889	162,107

Change in unrealized (losses) gains for the period included in earnings for assets held at period end	—		(91)	(143)	(234)
Change in unrealized gains (losses) for the period included in OCI for assets held at period end	(99)		(2,388)	(1,116)	(3,603)


March 31, 2020
($ in thousands)	Obligation of state 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)
Net investment income earned	—		—	—	—
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 gains (losses) 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 OCI for assets held at period end	—		1	(1,756)	(1,755)

The following tables provide quantitative information regarding our financial assets and liabilities that were disclosed at fair value at March 31, 2021, and December 31, 2020:


March 31, 2021			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	$	4,738	—	4,738	—
Corporate securities	20,466		—	20,466	—


Total HTM fixed income securities	$	25,204	—	25,204	—

CMLs	$	62,233	—	—	62,233

Financial Liabilities











Long-term debt:
7.25% Senior Notes	$	60,613	—	60,613	—
6.70% Senior Notes	119,818		—	119,818	—
5.375% Senior Notes	347,155		—	347,155	—
1.61% borrowings from FHLBNY	25,107		—	25,107	—
1.56% borrowings from FHLBNY	25,127		—	25,127	—

3.03% borrowings from FHLBI	65,337		—	65,337	—
Total long-term debt	$	643,157	—	643,157	—


December 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	$	4,795	—	4,795	—
Corporate securities	13,206		—	13,206	—


Total HTM fixed income securities	$	18,001	—	18,001	—

CMLs	$	47,289	—	—	47,289

Financial Liabilities





Long-term debt:
7.25% Senior Notes	$	66,148	—	66,148	—
6.70% Senior Notes	127,886		—	127,886	—
5.375% Senior Notes	383,669		—	383,669	—
1.61% borrowings from FHLBNY	25,182		—	25,182	—
1.56% borrowings from FHLBNY	25,198		—	25,198	—
3.03% borrowings from FHLBI	67,513		—	67,513	—
Total long-term debt	$	695,596	—	695,596	—

- 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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