v3.22.1

Fair Value of Financial Instruments (Tables) | 3 Months Ended
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Mar. 31, 2022
Fair Value Disclosures [Abstract] |
Fair value hierarchy of financial assets and financial liabilities measured on a recurring basis | At March 31, 2022 and December 31, 2021, the Company classified its financial instruments measured at fair value on a recurring basis in the following valuation hierarchy:
March 31, 2022 |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Fair Value Based on NAV Practical Expedient |  | Total Fair Value
Fixed maturities |  |  |  |  |  |  |  |  |  |
U.S. treasury bonds |  | $ | 65,730 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 65,730 |
U.S. agency bonds – mortgage-backed |  | — |  |  | 83,389 |  |  | — |  |  | — |  |  | 83,389 |
Collateralized mortgage-backed bonds |  | — |  |  | 7,119 |  |  | — |  |  | — |  |  | 7,119 |
Non-U.S. government bonds |  | — |  |  | 3,009 |  |  | — |  |  | — |  |  | 3,009 |
Collateralized loan obligations |  | — |  |  | 165,760 |  |  | — |  |  | — |  |  | 165,760 |
Corporate bonds |  | — |  |  | 146,223 |  |  | — |  |  | — |  |  | 146,223 |
Equity securities |  | 708 |  |  | — |  |  | 27,660 |  |  | 20,564 |  |  | 48,932 |
Other investments |  | — |  |  | — |  |  | 2,000 |  |  | 59,986 |  |  | 61,986 |
Total |  | $ | 66,438 |  |  | $ | 405,500 |  |  | $ | 29,660 |  |  | $ | 80,550 |  |  | $ | 582,148 |
As a percentage of total assets |  | 3.0 | % |  | 18.3 | % |  | 1.3 | % |  | 3.6 | % |  | 26.2 | %
December 31, 2021 |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Fair Value Based on NAV Practical Expedient |  | Total Fair Value
Fixed maturities |  |  |  |  |  |  |  |  |  |
U.S. treasury bonds |  | $ | 59,879 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 59,879 |
U.S. agency bonds – mortgage-backed |  | — |  |  | 98,790 |  |  | — |  |  | — |  |  | 98,790 |
Collateralized mortgage-backed bonds |  | — |  |  | 15,537 |  |  | — |  |  | — |  |  | 15,537 |
Non-U.S. government bonds |  | — |  |  | 3,276 |  |  | — |  |  | — |  |  | 3,276 |
Collateralized loan obligations |  | — |  |  | 179,021 |  |  | — |  |  | — |  |  | 179,021 |
Corporate bonds |  | — |  |  | 240,642 |  |  | — |  |  | — |  |  | 240,642 |
Equity securities |  | 1,174 |  |  | — |  |  | 25,094 |  |  | 17,794 |  |  | 44,062 |
Other investments |  | — |  |  | — |  |  | 2,000 |  |  | 52,687 |  |  | 54,687 |
Total |  | $ | 59,879 |  |  | $ | 537,266 |  |  | $ | 27,094 |  |  | $ | 70,481 |  |  | $ | 695,894 |
As a percentage of total assets |  | 2.6 | % |  | 23.1 | % |  | 1.2 | % |  | 3.0 | % |  | 29.9 | %
Significant unobservable inputs for determining fair value of other investments | The following table provides a summary of quantitative information regarding the significant unobservable inputs used in determining the fair value of other investments measured at fair value on a recurring basis under the Level 3 classification at March 31, 2022:
|  | Fair Value |  | Valuation Technique |  | Unobservable Inputs |  | Range
Private equity investments |  | $ | 27,860 |  |  | Quarterly financial statements |  | Estimated maturity dates |  | 1.0 years | to | 3.0 years
Others including start-ups |  | 1,800 |  |  | Recent market transactions |  | Liquidity discount rates |  |  |  |
Total Level 3 investments |  | $ | 29,660 |  |  |  |  |  |  |  |  |
Reconciliation of other investments measured at fair value on a recurring basis using Level 3 inputs | The following table shows the reconciliation of the beginning and ending balances for investments measured at fair value on a recurring basis using Level 3 inputs for the three months ended March 31, 2022 and 2021. The Company includes any related interest and dividend income in net investment income and are excluded from the reconciliation in the table below:
|  | For the Three Months Ended March 31, |  |
|  | 2022 |  | 2021 |  |  |  |
Balance - beginning of period |  | $ | 27,094 |  |  | $ | 26,094 |  |  |  |  |
Purchases |  | 2,566 |  |  | 4,250 |  |  |  |  |
Transfers out of Level 3 |  | — |  |  | (1,000) |  |  |  |  |
Total Level 3 investments - end of period |  | $ | 29,660 |  |  | $ | 29,344 |  |  |  |  |
Carrying values and fair values of financial instruments not measured at fair value | The following table presents the respective carrying value and fair value for the Senior Notes as at March 31, 2022 and December 31, 2021:
|  | March 31, 2022 |  | December 31, 2021
|  | Carrying Value |  | Fair Value |  | Carrying Value |  | Fair Value
Senior Notes - MHLA – 6.625% |  | $ | 110,000 |  |  | $ | 80,071 |  |  | $ | 110,000 |  |  | $ | 94,820 |
Senior Notes - MHNC – 7.75% |  | 152,500 |  |  | 128,039 |  |  | 152,500 |  |  | 140,300 |
Total Senior Notes |  | $ | 262,500 |  |  | $ | 208,110 |  |  | $ | 262,500 |  |  | $ | 235,120 |

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- Definition Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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- 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. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19279-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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- Definition 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). + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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