v3.22.1

Fair Value of Financial Instruments (Tables)

3 Months Ended

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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Financial Instruments Not Measured At Fair Value [Table Text Block]

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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.

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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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-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
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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).

+ 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)
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-Publisher FASB
-Name Accounting Standards Codification
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