Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2013

Fair value hierarchy of financial assets and financial liabilities measured on a recurring basis

At September 30, 2013 and December 31, 2012, we classified our financial instruments measured at fair value on a recurring basis in the following valuation hierarchy:

5. Fair Value of Financial Instruments (continued)



September 30, 2013	Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Total Fair Value
Fixed maturities
U.S. treasury bonds	$	17,374		$	—		$	—		$	17,374
U.S. agency bonds – mortgage-backed	—			1,130,713			—			1,130,713
U.S. agency bonds – other	—			8,298			—			8,298
Non-U.S. government bonds	—			67,282			—			67,282
Other mortgage-backed bonds	—			22,662			—			22,662
Corporate bonds	—			1,381,646			—			1,381,646
Municipal bonds	—			46,330			—			46,330
Other investments	—			—			5,006			5,006
Total	$	17,374		$	2,656,931		$	5,006		$	2,679,311
As a percentage of total assets	0.4		%	59.7		%	0.1		%	60.2		%



December 31, 2012	Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Total Fair Value
Fixed maturities
U.S. treasury bonds	$	43,931		$	—		$	—		$	43,931
U.S. agency bonds – mortgage-backed	—			992,174			—			992,174
U.S. agency bonds – other	—			13,089			—			13,089
Non-U.S. government bonds	—			57,433			—			57,433
Other mortgage-backed bonds	—			24,068			—			24,068
Corporate bonds	—			1,354,154			—			1,354,154
Municipal bonds	—			133,848			—			133,848
Other investments	—			—			2,901			2,901
Total	$	43,931		$	2,574,766		$	2,901		$	2,621,598
As a percentage of total assets	1.1		%	62.2		%	0.1		%	63.4		%

Changes in Level 3 for financial instruments measured at fair value on a recurring basis

The following table presents changes in Level 3 for our financial instruments measured at fair value on a recurring basis for the three and nine months ended September 30, 2013 and 2012:



	For the Three Months Ended
Other investments:	September 30, 2013			September 30, 2012
Balance at beginning of period	$	4,438		$	2,697
Net realized gains – included in net income	29			36
Net realized losses – included in net income	—			—
Change in net unrealized gains – included in other comprehensive income	155			7
Change in net unrealized losses – included in other comprehensive income	—			—
Purchases	475			200
Sales and redemptions	(91		)	(114		)
Transfers into Level 3	—			—
Transfers out of Level 3	—			—
Balance at end of period	$	5,006		$	2,826
Level 3 gains (losses) included in net income attributable to the change in unrealized gains (losses) relating to assets held at the reporting date	$	—		$	—



	For the Nine Months Ended
Other investments:	September 30, 2013			September 30, 2012
Balance at beginning of period	$	2,901		$	2,192
Net realized gains – included in net income	147			55
Net realized losses – included in net income	—			—
Change in net unrealized gains – included in other comprehensive income	204			59
Change in net unrealized losses – included in other comprehensive income	—			—
Purchases	2,013			794
Sales and redemptions	(259		)	(274		)
Transfers into Level 3	—			—
Transfers out of Level 3	—			—
Balance at end of period	$	5,006		$	2,826
Level 3 gains (losses) included in net income attributable to the change in unrealized gains (losses) relating to assets held at the reporting date	$	—		$	—

Carrying values and fair values of the Senior Notes and Junior Subordinated debt

The following table presents the carrying values and fair values of the Senior Notes and Junior Subordinated debt as of September 30, 2013 and December 31, 2012:



			September 30, 2013				December 31, 2012
	Interest Rate		Carrying Value		Fair Value		Carrying Value		Fair Value
2011 Senior Notes	8.25	%	$	107,500	$	110,252	$	107,500	$	112,832
2012 Senior Notes	8.00	%	100,000		101,760		100,000		105,600
Junior Subordinated Debt	14.00	%	126,364		156,506		126,317		166,919

- Definition

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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- Definition

Tabular disclosure of liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring and/or nonrecurring 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). Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset.

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