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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2021

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

Schedule of Carrying Values and Estimated Fair Values of Financial Liabilities

						September 30, 2021												December 31, 2020
($ in thousands)						Carrying Amount						Fair Value						Carrying Amount						Fair Value
Financial Liabilities
Long-term debt:
7.25% Senior Notes						$	49,917					64,955						49,914						66,148
6.70% Senior Notes						99,514						127,279						99,499						127,886
5.375% Senior Notes						294,307						382,961						294,241						383,669
1.61% borrowings from FHLBNY						—						—						25,000						25,182
1.56% borrowings from FHLBNY						—						—						25,000						25,198
3.03% borrowings from FHLBI						60,000						65,109						60,000						67,513
Subtotal long-term debt						503,738						640,304						553,654						695,596
Unamortized debt issuance costs						(3,228)												(3,419)
Finance lease obligations						394												508
Total long-term debt						$	500,904											550,743

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

September 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						$	131,058					59,264						71,794						—
Foreign government						15,140						—						15,140						—
Obligations of states and political subdivisions						1,165,924						—						1,157,920						8,004
Corporate securities						2,544,526						—						2,434,240						110,286
CLO and other ABS						1,339,801						—						1,277,372						62,429
RMBS						816,782						—						816,782						—
CMBS						663,839						—						663,839						—
Total AFS fixed income securities						6,677,070						59,264						6,437,087						180,719
Equity securities:
Common stock1						322,074						225,911						—						—
Preferred stock						2,112						2,112						—						—
Total equity securities						324,186						228,023						—						—
Short-term investments						355,937						355,937						—						—
Total assets measured at fair value						$	7,357,193					643,224						6,437,087						180,719

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 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 $96.2 million at September 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

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

September 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									9						2,607						206						2,822
Net realized and unrealized (losses) gains									—						(185)						(35)						(220)
Net investment income earned									—						14						9						23
Purchases									—						43,833						19,041						62,874
Sales									—						—						—						—
Issuances									—						—						—						—
Settlements									—						(210)						(1,750)						(1,960)
Transfers into Level 3									5,101						981						3,226						9,308
Transfers out of Level 3									—						(7,454)						(14,643)						(22,097)
Fair value, September 30, 2021									$	8,004					110,286						62,429						180,719
Change in unrealized losses for the period included in earnings for assets held at period end									—						(185)						(35)						(220)
Change in unrealized gains for the period included in OCI for assets held at period end									9						2,607						206						2,822

September 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			(36)						(2,415)						732						(1,719)
Net realized and unrealized (losses) gains			—						(456)						(247)						(703)
Net investment income earned			—						—						3						3
Purchases			—						19,002						11,751						30,753
Sales			—						—						—						—
Issuances			—						—						—						—
Settlements			—						(138)						(1,030)						(1,168)
Transfers into Level 3			2,890						4,592						26,401						33,883
Transfers out of Level 3			—						—						(9,924)						(9,924)
Fair value, September 30, 2020			$	2,854					37,636						44,720						85,210
Change in unrealized gains (losses) for the period included in earnings for assets held at period end			—						(456)						(247)						(703)
Change in unrealized gains (losses) for the period included in OCI for assets held at period end			(36)						(2,415)						732						(1,719)

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

September 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						$	3,619					—						3,619						—
Corporate securities						22,418						—						22,418						—
Total HTM fixed income securities						$	26,037					—						26,037						—
CMLs						$	86,001					—						—						86,001
Financial Liabilities
Long-term debt:
7.25% Senior Notes						$	64,955					—						64,955						—
6.70% Senior Notes						127,279						—						127,279						—
5.375% Senior Notes						382,961						—						382,961						—
3.03% borrowings from FHLBI						65,109						—						65,109						—
Total long-term debt						$	640,304					—						640,304						—

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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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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