Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2020

Assets measured at fair value on a recurring basis are as follows:


	June 30, 2020
	Level 1		Level 2		Level 3		Total
Debt securities, available-for-sale:
U.S. Treasury	$	61,022	$	—	$	—	$	61,022
Federal agencies	565		—		—		565
States and political subdivision bonds	—		302,814		2,519		305,333
Foreign government	—		1,845		—		1,845
Corporate bonds	—		2,168,133		5,306		2,173,439
Residential mortgage-backed securities	—		1,150,462		—		1,150,462
Commercial mortgage-backed securities	—		643,419		—		643,419
Asset-backed securities	—		42,997		—		42,997
Structured securities	—		202,449		—		202,449
Total debt securities, available-for-sale	61,587		4,512,119		7,825		4,581,531
Short-term investments	196,484		20,000		—		216,484
Other investments	4,811		—		3,921		8,732
Total	$	262,882	$	4,532,119	$	11,746	$	4,806,747
NGHC	$	229,695	$	4,225,203	$	11,746	$	4,466,644
Reciprocal Exchanges	33,187		306,916		—		340,103
Total	$	262,882	$	4,532,119	$	11,746	$	4,806,747


	December 31, 2019
	Level 1		Level 2		Level 3		Total
Debt securities, available-for-sale:
U.S. Treasury	$	67,006	$	—	$	—	$	67,006
Federal agencies	3,915		—		—		3,915
States and political subdivision bonds	—		298,582		3,100		301,682
Foreign government	—		1,802		—		1,802
Corporate bonds	—		1,908,235		8,328		1,916,563
Residential mortgage-backed securities	—		1,277,460		—		1,277,460
Commercial mortgage-backed securities	—		612,193		—		612,193
Asset-backed securities	—		75,611		—		75,611
Structured securities	—		220,126		—		220,126
Total debt securities, available-for-sale	70,921		4,394,009		11,428		4,476,358
Short-term investments	59,953		7,400		—		67,353
Other investments	4,881		—		4,484		9,365
Total	$	135,755	$	4,401,409	$	15,912	$	4,553,076
NGHC	$	116,602	$	4,091,068	$	15,912	$	4,223,582
Reciprocal Exchanges	19,153		310,341		—		329,494
Total	$	135,755	$	4,401,409	$	15,912	$	4,553,076

Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation

The following tables provide a reconciliation of recurring fair value measurements of the Level 3 financial assets:


	States and political subdivision bonds		Corporate bonds		Other investments		Total
Balance as of January 1, 2020	$	3,100	$	8,328	$	4,484	$	15,912


Total gains (losses) for the period:
Included in net income	—		—		(66)		(66)
Included in other comprehensive income	(581)		(3,022)		—		(3,603)

Sales	—		—		(497)		(497)
Balance as of June 30, 2020	$	2,519	$	5,306	$	3,921	$	11,746
Change in unrealized gains (losses) for the period included in net income for assets held at the end of the reporting period					$	(66)	$	(66)
Change in unrealized gains (losses) for the period included in other comprehensive income for assets held at the end of the reporting period	$	(581)	$	(3,022)			$	(3,603)


	States and political subdivision bonds		Corporate bonds		Other investments		Total
Balance as of January 1, 2019	$	3,596	$	11,767	$	7,593	$	22,956


Total gains (losses) for the period:
Included in net income	—		—		(1,414)		(1,414)
Included in other comprehensive income	(496)		(2,726)		—		(3,222)


Balance as of June 30, 2019	$	3,100	$	9,041	$	6,179	$	18,320
Change in unrealized gains (losses) for the period included in net income for assets held at the end of the reporting period					$	(1,414)	$	(1,414)
Change in unrealized gains (losses) for the period included in other comprehensive income for assets held at the end of the reporting period	$	(496)	$	(2,726)			$	(3,222)

Schedule of Carrying Values and Estimated Fair Values of Debt Instruments

The following table presents the carrying amount and estimated fair value of debt not carried at fair value, excluding finance lease and other liabilities, as well as the input level used to determine the fair value:


		June 30, 2020						December 31, 2019
	Input Level	Carrying amount		Fair value		Carrying amount		Fair value
7.625% Notes	Level 2	$	96,972	$	101,000	$	96,928	$	103,560
6.75% Notes	Level 3	347,414		384,305		347,091		371,366
Subordinated Debentures	Level 3	72,168		71,209		72,168		72,103
2019 Credit Agreement	Level 3	140,000		144,461		140,000		148,272