Fair Value Measurements (Tables)

At March 31, 2014 and December 31, 2013, we classified our financial instruments measured at fair value on a recurring basis in the following valuation hierarchy:



March 31, 2014	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	$	17,135		$	—		$	—		$	17,135
U.S. agency bonds – mortgage-backed	—			1,235,470			—			1,235,470
U.S. agency bonds – other	—			8,196			—			8,196
Non-U.S. government bonds	—			73,965			—			73,965
Other mortgage-backed securities	—			44,368			—			44,368
Corporate bonds	—			1,725,768			—			1,725,768
Municipal bonds – other	—			63,917			—			63,917
Other investments	—			—			5,773			5,773
Total	$	17,135		$	3,151,684		$	5,773		$	3,174,592
As a percentage of total assets	0.4		%	64.7		%	0.1		%	65.2		%



December 31, 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	$	17,209		$	—		$	—		$	17,209
U.S. agency bonds – mortgage-backed	—			1,262,655			—			1,262,655
U.S. agency bonds – other	—			8,108			—			8,108
Non-U.S. government bonds	—			73,212			—			73,212
Other mortgage-backed securities	—			33,444			—			33,444
Corporate bonds	—			1,606,700			—			1,606,700
Municipal bonds – auction rate	—			99,170			—			99,170
Municipal bonds – other	—			61,569			—			61,569
Other investments	—			—			5,092			5,092
Total	$	17,209		$	3,144,858		$	5,092		$	3,167,159
As a percentage of total assets	0.4		%	66.7		%	0.1		%	67.2		%

The following table presents changes in Level 3 for our financial instruments measured at fair value on a recurring basis for the three months ended March 31, 2014 and 2013:



	For the Three Months Ended
Other investments:	March 31, 2014			March 31, 2013
Balance at beginning of period	$	5,092		$	2,901
Total realized gains – included in net realized gains on investment	87			171
Total realized losses – included in net realized gains on investment	—			—
Change in total unrealized gains – included in other comprehensive income (loss)	120			—
Change in total unrealized losses – included in other comprehensive income (loss)	—			(69		)
Purchases	787			290
Sales and redemptions	(313		)	(73		)
Transfers into Level 3	—			—
Transfers out of Level 3	—			—
Balance at end of period	$	5,773		$	3,220
Level 3 gains (losses) included in net income attributable to the change in unrealized gains (losses) relating to assets held at the reporting date	$	—		$	—

The following table presents the carrying values and fair values of the Senior Notes and Junior Subordinated debt as of March 31, 2014 and December 31, 2013:



			March 31, 2014				December 31, 2013
	Interest Rate		Carrying Value		Fair Value		Carrying Value		Fair Value
2011 Senior Notes	8.25	%	$	107,500	$	111,585	$	107,500	$	101,480
2012 Senior Notes	8.00	%	100,000		104,200		100,000		89,760
2013 Senior Notes	7.75	%	152,500		152,439		152,500		126,209
Junior Subordinated Debt	14.00	%	—		—		126,381		152,500

- 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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