Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2017

Fair value measurements for items measured at fair value

Fair value measurements for assets measured at fair value included the following as of March 31, 2017 and December 31, 2016:

March 31, 2017

(In thousands)	Total Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
U.S. Treasury securities and obligations of U.S. government corporations and agencies	$	60,818	$	12,431	$	48,387	$	—
Obligations of U.S. states and political subdivisions	2,168,450		—		2,167,767		683
Corporate debt securities	1,747,340		—		1,747,340		—
ABS	37,117		—		37,117		—
RMBS	212,909		—		212,909		—
CMBS	294,117		—		294,117		—
CLOs	121,368		—		121,368		—
Total debt securities	4,642,119		12,431		4,629,005		683
Equity securities ⁽¹⁾	7,162		2,894				4,268
Total investment portfolio	$	4,649,281	$	15,325	$	4,629,005	$	4,951
Real estate acquired ⁽²⁾	$	10,730	$	—	$	—	$	10,730


⁽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.

December 31, 2016

(In thousands)	Total Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
U.S. Treasury securities and obligations of U.S. government corporations and agencies	$	73,530	$	30,690	$	42,840	$	—
Obligations of U.S. states and political subdivisions	2,143,016		—		2,142,325		691
Corporate debt securities	1,743,910		—		1,743,910		—
ABS	59,565		—		59,565		—
RMBS	224,209		—		224,209		—
CMBS	319,817		—		319,817		—
CLOs	121,175		—		121,175		—
Total debt securities	4,685,222		30,690		4,653,841		691
Equity securities ⁽¹⁾	7,128		2,860		—		4,268
Total investment portfolio	$	4,692,350	$	33,550	$	4,653,841	$	4,959
Real estate acquired ⁽²⁾	$	11,748	$	—	$	—	$	11,748


⁽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 months ended March 31, 2017 and 2016 is shown in the following tables. There were no transfers into or out of Level 3 in those periods and there were no losses included in earnings for those periods attributable to the change in unrealized losses on assets still held at the end of the applicable period.



Three Months Ended March 31, 2017
(In thousands)	Debt Securities			Equity Securities		Total Investments			Real Estate Acquired
Balance at December 31, 2016	$	691		$	4,268	$	4,959		$	11,748
Total realized/unrealized gains (losses):
Included in earnings and reported as losses incurred, net	—			—		—			(163		)
Purchases	—			—		—			8,683
Sales	(8		)	—		(8		)	(9,538		)
Balance at March 31, 2017	$	683		$	4,268	$	4,951		$	10,730



Three Months Ended March 31, 2016
(In thousands)	Debt Securities			Equity Securities			Total Investments			Real Estate Acquired
Balance at December 31, 2015	$	1,228		$	2,855		$	4,083		$	12,149
Total realized/unrealized gains (losses):
Included in earnings and reported as losses incurred, net	—			—			—			(293		)
Purchases	—			3,091			3,091			12,267
Sales	(36		)	(2,525		)	(2,561		)	(11,274		)
Balance at March 31, 2016	$	1,192		$	3,421		$	4,613		$	12,849

Carrying value and fair value of debt

The following table presents the carrying value and fair value of our financial liabilities disclosed, but not carried, at fair value at March 31, 2017 and December 31, 2016. The fair values of our 5% Notes, 2% Notes, 5.75% Notes, and 9% Debentures were based on observable market prices. The fair value of the FHLB Advance was estimated using discounted cash flows on current incremental borrowing rates for similar borrowing arrangements. The fair value of the amount borrowed under our credit facility approximates its carrying value. In all cases the fair values of the financial liabilities below are categorized as Level 2.



	March 31, 2017				December 31, 2016
(In thousands)	Carrying Value		Fair Value		Carrying Value		Fair Value
Financial liabilities:
Revolving credit facility	$	150,000	$	150,000	n/a		n/a
FHLB Advance	155,000		152,757		$	155,000	$	151,905
5% Notes	144,948		145,051		144,789		147,679
2% Notes	204,900		302,165		204,672		308,605
5.75% Notes	417,695		448,906		417,406		445,987
9% Debentures	256,872		332,436		256,872		323,040
Total financial liabilities	$	1,329,415	$	1,531,315	$	1,178,739	$	1,377,216