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Fair Value Measurements | 6 Months Ended
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Jun. 30, 2021
Fair Value Disclosures [Abstract] |
Fair Value Measurements | Fair Value Measurements 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 June 30, 2021 and December 31, 2020:
|  | June 30, 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 |  |  | 64,485 |  |  | 49,914 |  |  | 66,148 |
6.70% Senior Notes |  | 99,509 |  |  | 124,997 |  |  | 99,499 |  |  | 127,886 |
5.375% Senior Notes |  | 294,285 |  |  | 372,432 |  |  | 294,241 |  |  | 383,669 |
1.61% borrowings from FHLBNY |  | 25,000 |  |  | 25,026 |  |  | 25,000 |  |  | 25,182 |
1.56% borrowings from FHLBNY |  | 25,000 |  |  | 25,050 |  |  | 25,000 |  |  | 25,198 |
3.03% borrowings from FHLBI |  | 60,000 |  |  | 65,549 |  |  | 60,000 |  |  | 67,513 |
Subtotal long-term debt |  | 553,709 |  |  | 677,539 |  |  | 553,654 |  |  | 695,596 |
Unamortized debt issuance costs |  | (3,291) |  |  |  |  | (3,419) |  |  |
Finance lease obligations |  | 463 |  |  |  |  | 508 |  |  |
Total long-term debt |  | $ | 550,881 |  |  |  |  | 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 June 30, 2021, and December 31, 2020:
June 30, 2021 |  |  |  | Fair Value Measurements Using
($ in thousands) |  | Assets Measured 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)
Description |  |  |  |  |  |  |  |
Measured on a recurring basis: |  |  |  |  |  |  |  |
AFS fixed income securities: |  |  |  |  |  |  |  |
U.S. government and government agencies |  | $ | 136,194 |  |  | 59,569 |  |  | 76,625 |  |  | — |
Foreign government |  | 15,275 |  |  | — |  |  | 15,275 |  |  | — |
Obligations of states and political subdivisions |  | 1,199,901 |  |  | — |  |  | 1,191,919 |  |  | 7,982 |
Corporate securities |  | 2,466,887 |  |  | — |  |  | 2,376,482 |  |  | 90,405 |
CLO and other ABS |  | 1,282,223 |  |  | — |  |  | 1,211,486 |  |  | 70,737 |
RMBS |  | 854,497 |  |  | — |  |  | 854,497 |  |  | — |
CMBS |  | 671,423 |  |  | — |  |  | 671,423 |  |  | — |
Total AFS fixed income securities |  | 6,626,400 |  |  | 59,569 |  |  | 6,397,707 |  |  | 169,124 |
Equity securities: |  |  |  |  |  |  |  |
Common stock 1 |  | 346,232 |  |  | 260,971 |  |  | — |  |  | — |
Preferred stock |  | 2,110 |  |  | 2,110 |  |  | — |  |  | — |
Total equity securities |  | 348,342 |  |  | 263,081 |  |  | — |  |  | — |
Short-term investments |  | 351,230 |  |  | 351,133 |  |  | 97 |  |  | — |
Total assets measured at fair value |  | $ | 7,325,972 |  |  | 673,783 |  |  | 6,397,804 |  |  | 169,124 |
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) |  | Significant Other Observable Inputs (Level 2) |  | 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 stock 1 |  | 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 |
1 Investments amounting to $85.3 million at June 30, 2021, and $46.8 million at December 31, 2020, were measured at fair value using net asset value per share (or its practical expedient) and are not classified in the fair value hierarchy. These investments are not redeemable and the timing of liquidations of the underlying assets is unknown at each reporting period. The fair value amounts in this table enables reconciliation of the fair value hierarchy to total assets measured at fair value. The following table provides a summary of Level 3 changes in Six Months 2021 and Six Months 2020:
June 30, 2021 |  |  |  |  |  |  |  |  |
($ 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 |  |  | (13) |  |  | 1,899 |  |  | 396 |  |  | 2,282 |
Net realized and unrealized (losses) gains |  |  | — |  |  | 11 |  |  | (82) |  |  | (71) |
Net investment income earned |  |  | — |  |  | 13 |  |  | 6 |  |  | 19 |
Purchases |  |  | — |  |  | 25,403 |  |  | 17,639 |  |  | 43,042 |
Sales |  |  | — |  |  | — |  |  | — |  |  | — |
Issuances |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements |  |  | — |  |  | (167) |  |  | (1,429) |  |  | (1,596) |
Transfers into Level 3 |  |  | 5,101 |  |  | — |  |  | 3,226 |  |  | 8,327 |
Transfers out of Level 3 |  |  | — |  |  | (7,454) |  |  | (5,394) |  |  | (12,848) |
Fair value, June 30, 2021 |  |  | $ | 7,982 |  |  | 90,405 |  |  | 70,737 |  |  | 169,124 |
Change in unrealized (losses) gains for the period included in earnings for assets held at period end |  |  | — |  |  | 11 |  |  | (82) |  |  | (71) |
Change in unrealized gains (losses) for the period included in OCI for assets held at period end |  |  | (13) |  |  | 1,899 |  |  | 396 |  |  | 2,282 |
June 30, 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 | (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 gains (losses) 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 OCI for assets held at period end | (111) |  |  | (1,770) |  |  | (367) |  |  | (2,248) |
The following tables provide quantitative information regarding our financial assets and liabilities that were disclosed at fair value at June 30, 2021, and December 31, 2020:
June 30, 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 |  | $ | 4,665 |  |  | — |  |  | 4,665 |  |  | — |
Corporate securities |  | 23,217 |  |  | — |  |  | 23,217 |  |  | — |
Total HTM fixed income securities |  | $ | 27,882 |  |  | — |  |  | 27,882 |  |  | — |
CMLs |  | $ | 73,559 |  |  | — |  |  | — |  |  | 73,559 |
Financial Liabilities |  |  |  |  |  |  |  |
Long-term debt: |  |  |  |  |  |  |  |
7.25% Senior Notes |  | $ | 64,485 |  |  | — |  |  | 64,485 |  |  | — |
6.70% Senior Notes |  | 124,997 |  |  | — |  |  | 124,997 |  |  | — |
5.375% Senior Notes |  | 372,432 |  |  | — |  |  | 372,432 |  |  | — |
1.61% borrowings from FHLBNY |  | 25,026 |  |  | — |  |  | 25,026 |  |  | — |
1.56% borrowings from FHLBNY |  | 25,050 |  |  | — |  |  | 25,050 |  |  | — |
3.03% borrowings from FHLBI |  | 65,549 |  |  | — |  |  | 65,549 |  |  | — |
Total long-term debt |  | $ | 677,539 |  |  | — |  |  | 677,539 |  |  | — |
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 |  |  | — |

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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/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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