Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2016

Schedule of estimated fair values and related carrying amounts of financial instruments

The estimated fair values and related carrying amounts of our financial instruments were as follows:



March 31, 2016 (In thousands)	Carrying Amount		Fair Value
Financial Assets:
U.S. Treasury securities	$	211,780	$	211,780
U.S. agency securities	14,657		14,657
U.S. agency mortgage-backed securities	178,003		178,003
Municipal debt securities	304,111		304,111
Corporate debt securities	416,688		416,688
Mortgage-backed securities	53,046		53,046
Asset-backed securities	121,729		121,729
Money market funds	68,488		68,488
Total investments	$	1,368,502	$	1,368,502
Financial Liabilities:
Derivative liabilities	$	898	$	898



December 31, 2015 (In thousands)	Carrying Amount		Fair Value
Financial Assets:
U.S. Treasury securities	$	177,607	$	177,607
U.S. agency securities	13,782		13,782
U.S. agency mortgage-backed securities	159,602		159,602
Municipal debt securities	279,828		279,828
Corporate debt securities	396,732		396,732
Mortgage-backed securities	55,356		55,356
Asset-backed securities	126,629		126,629
Money market funds	67,098		67,098
Total investments	$	1,276,634	$	1,276,634
Financial Liabilities:
Derivative liabilities	$	1,232	$	1,232

Schedule of assets and liabilities measured at fair vale on a recurring basis

All assets measured at fair value are categorized in the table below based upon the lowest level of significant input to the valuations. All fair value measurements at the reporting date were on a recurring basis.



March 31, 2016 (In thousands)	Quoted Prices in Active Markets for Identical Instruments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Recurring fair value measurements
Financial Assets:
U.S. Treasury securities	$	211,780	$	—	$	—	$	211,780
U.S. agency securities	—		14,657		—		14,657
U.S. agency mortgage-backed securities	—		178,003		—		178,003
Municipal debt securities	—		304,111		—		304,111
Corporate debt securities	—		416,688		—		416,688
Mortgage-backed securities	—		53,046		—		53,046
Asset-backed securities	—		121,729		—		121,729
Money market funds	68,488		—		—		68,488
Total assets at fair value	$	280,268	$	1,088,234	$	—	$	1,368,502
Financial Liabilities:
Derivative liabilities	$	—	$	—	$	898	$	898
Total liabilities at fair value	$	—	$	—	$	898	$	898



December 31, 2015 (In thousands)	Quoted Prices in Active Markets for Identical Instruments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Recurring fair value measurements
Financial Assets:
U.S. Treasury securities	$	177,607	$	—	$	—	$	177,607
U.S. agency securities	—		13,782		—		13,782
U.S. agency mortgage-backed securities	—		159,602		—		159,602
Municipal debt securities	—		279,828		—		279,828
Corporate debt securities	—		396,732		—		396,732
Mortgage-backed securities	—		55,356		—		55,356
Asset-backed securities	—		126,629		—		126,629
Money market funds	67,098		—		—		67,098
Total assets at fair value	$	244,705	$	1,031,929	$	—	$	1,276,634
Financial Liabilities:
Derivative liabilities	$	—	$	—	$	1,232	$	1,232
Total liabilities at fair value	$	—	$	—	$	1,232	$	1,232

Schedule of changes during period in Level 3 liabilities measured at fair value on a recurring basis, and realized and unrealized gains (losses) related to Level 3 liabilities

The following tables presents changes during the three months ended March 31, 2016 and 2015 in Level 3 liabilities measured at fair value on a recurring basis, and the realized and unrealized gains (losses) related to the Level 3 liabilities in the condensed consolidated balance sheets at March 31, 2016 and 2015. During the three months ended March 31, 2016, and in the year ended December 31, 2015, we had no Level 3 assets.



Three Months Ended March 31, 2016 (In thousands)	Fair Value Beginning of Period		Net Realized and Unrealized Gains (Losses) Included in Income		Other Comprehensive Income (Loss)		Purchases, Sales, Issues and Settlements, Net		Gross Transfers In		Gross Transfers Out		Fair Value End of Period		Changes in Unrealized Gains (Losses) Included in Income on Instruments Held at End of Period
Derivative Liabilities	$	1,232	$	677	$	—	$	343	$	—	$	—	$	898	$	677

Total Level 3 Liabilities	$	1,232	$	677	$	—	$	343	$	—	$	—	$	898	$	677



Three Months Ended March 31, 2015 (In thousands)	Fair Value Beginning of Year		Net Realized and Unrealized Gains (Losses) Included in Income			Other Comprehensive Income (Loss)		Purchases, Sales, Issues and Settlements, Net		Gross Transfers In		Gross Transfers Out		Fair Value End of Period		Changes in Unrealized Gains (Losses) Included in Income on Instruments Held at End of Period
Derivative Liabilities	$	661	$	(749	)	$	—	$	549	$	—	$	—	$	1,959	$	(749	)

Total Level 3 Liabilities	$	661	$	(749	)	$	—	$	549	$	—	$	—	$	1,959	$	(749	)

Summary of significant unobservable inputs used in recurring Level 3 fair value measurements

The following table summarizes the significant unobservable inputs used in our recurring Level 3 fair value measurements as of March 31, 2016 and December 31, 2015:



March 31, 2016
($ in thousands)	Fair Value		Valuation Technique	Unobservable Input	Weighted Average
Derivative Liabilities	$	898	Discounted cash flows	Constant prepayment rate	9.17	%
				Default rate	0.37	%
				Reference STACR credit spread	4.16	%



December 31, 2015
($ in thousands)	Fair Value		Valuation Technique	Unobservable Input	Weighted Average
Derivative Liabilities	$	1,232	Discounted cash flows	Constant prepayment rate	10.60	%
				Default rate	0.50	%
				Reference STACR credit spread	3.93	%