Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2015

Fair value measurements for items measured at fair value

Fair value measurements for assets measured at fair value included the following as of September 30, 2015 and December 31, 2014:



September 30, 2015	Total Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
	(In thousands)
U.S. Treasury securities and obligations of U.S. government corporations and agencies	$	104,966	$	18,418	$	86,548	$	—
Obligations of U.S. states and political subdivisions	1,612,521		—		1,611,134		1,387
Corporate debt securities	2,120,572		—		2,120,572		—
Asset-backed securities	132,537		—		132,537		—
Residential mortgage-backed securities	271,471		—		271,471		—
Commercial mortgage-backed securities	252,687		—		252,687		—
Collateralized loan obligations	60,286		—		60,286		—
Debt securities issued by foreign sovereign governments	33,291		33,291		—		—
Total debt securities	4,588,331		51,709		4,535,235		1,387
Equity securities (1)	5,634		2,778		—		2,856
Total investment portfolio	$	4,593,965	$	54,487	$	4,535,235	$	4,243
Real estate acquired (2)	$	10,084	$	—	$	—	$	10,084



December 31, 2014	Total Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
	(In thousands)
U.S. Treasury securities and obligations of U.S. government corporations and agencies	$	346,775	$	188,824	$	157,951	$	—
Obligations of U.S. states and political subdivisions	855,142		—		853,296		1,846
Corporate debt securities	2,425,281		—		2,425,281		—
Asset-backed securities	286,655		—		286,655		—
Residential mortgage-backed securities	321,237		—		321,237		—
Commercial mortgage-backed securities	275,278		—		275,278		—
Collateralized loan obligations	60,076		—		60,076		—
Debt securities issued by foreign sovereign governments	39,170		39,170		—		—
Total debt securities	4,609,614		227,994		4,379,774		1,846
Equity securities (1)	3,055		2,734		—		321
Total investment portfolio	$	4,612,669	$	230,728	$	4,379,774	$	2,167
Real estate acquired (2)	$	12,658	$	—	$	—	$	12,658


(1)	Equity securities in Level 3 are carried at cost, which approximates fair value.


(2)	Real estate acquired through claim settlement, which is held for sale, is reported in Other assets on the consolidated balance sheets.

Reconciliation of beginning and ending balance for assets and liabilities measured at fair value with significant unobservable inputs (level 3)

For assets measured at fair value using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances for the three and nine months ended September 30, 2015 and 2014 is as follows:



	Debt Securities			Equity Securities		Total Investments			Real Estate Acquired
	(In thousands)
Balance at June 30, 2015	$	1,634		$	321	$	1,955		$	7,995
Total realized/unrealized gains (losses):
Included in earnings and reported as losses incurred, net	—			—		—			(1,031		)
Purchases	—			2,535		2,535			9,632
Sales	(247		)	—		(247		)	(6,512		)
Transfers into Level 3	—			—		—			—
Transfers out of Level 3	—			—		—			—
Balance at September 30, 2015	$	1,387		$	2,856	$	4,243		$	10,084

Amount of total losses included in earnings for the three months ended September 30, 2015 attributable to the change in unrealized losses on assets still held at September 30, 2015	$	—		$	—	$	—		$	—



	Debt Securities			Equity Securities		Total Investments			Real Estate Acquired
	(In thousands)
Balance at December 31, 2014	$	1,846		$	321	$	2,167		$	12,658
Total realized/unrealized gains (losses):
Included in earnings and reported as losses incurred, net	—			—		—			(1,503		)
Purchases	7			2,535		2,542			26,346
Sales	(466		)	—		(466		)	(27,417		)
Transfers into Level 3	—			—		—			—
Transfers out of Level 3	—			—		—			—
Balance at September 30, 2015	$	1,387		$	2,856	$	4,243		$	10,084

Amount of total losses included in earnings for the nine months ended September 30, 2015 attributable to the change in unrealized losses on assets still held at September 30, 2015	$	—		$	—	$	—		$	—



	Debt Securities			Equity Securities		Total Investments			Real Estate Acquired
	(In thousands)
Balance at June 30, 2014	$	2,231		$	321	$	2,552		$	10,804
Total realized/unrealized gains (losses):
Included in earnings and reported as losses incurred, net	—			—		—			(2,062		)
Purchases	—			—		—			14,107
Sales	(237		)	—		(237		)	(6,284		)
Transfers into Level 3	—			—		—			—
Transfers out of Level 3	—			—		—			—
Balance at September 30, 2014	$	1,994		$	321	$	2,315		$	16,565

Amount of total losses included in earnings for the three months ended September 30, 2014 attributable to the change in unrealized losses on assets still held at September 30, 2014	$	—		$	—	$	—		$	—



	Debt Securities			Equity Securities		Total Investments			Real Estate Acquired
	(In thousands)
Balance at December 31, 2013	$	2,423		$	321	$	2,744		$	13,280
Total realized/unrealized gains (losses):
Included in earnings and reported as losses incurred, net	—			—		—			(4,378		)
Purchases	30			—		30			33,484
Sales	(459		)	—		(459		)	(25,821		)
Transfers into Level 3	—			—		—			—
Transfers out of Level 3	—			—		—			—
Balance at September 30, 2014	$	1,994		$	321	$	2,315		$	16,565

Amount of total losses included in earnings for the nine months ended September 30, 2014 attributable to the change in unrealized losses on assets still held at September 30, 2014	$	—		$	—	$	—		$	—

Par value and fair value of debt

The following tables present the carrying value and fair value of our financial liabilities disclosed, but not carried, at fair value at September 30, 2015 and December 31, 2014, and the level within the fair value hierarchy at which such liabilities are measured on a recurring basis.



September 30, 2015	Par Value		Total Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
	(In thousands)
Financial liabilities:
Senior Notes	$	61,953	$	62,027	$	—	$	62,027	$	—
Convertible Senior Notes due 2017	345,000		366,749		—		366,749		—
Convertible Senior Notes due 2020	500,000		719,375		—		719,375		—
Convertible Junior Subordinated Debentures	389,522		485,648		—		485,648		—
Total Debt	$	1,296,475	$	1,633,799	$	—	$	1,633,799	$	—



December 31, 2014	Par Value		Total Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
	(In thousands)
Financial liabilities:
Senior Notes	$	61,953	$	63,618	$	—	$	63,618	$	—
Convertible Senior Notes due 2017	345,000		387,997		—		387,997		—
Convertible Senior Notes due 2020	500,000		735,075		—		735,075		—
Convertible Junior Subordinated Debentures	389,522		500,201		—		500,201		—
Total Debt	$	1,296,475	$	1,686,891	$	—	$	1,686,891	$	—