Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2017

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, 2017 and December 31, 2016:

September 30, 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	$	103,700	$	13,312	$	90,388	$	—
Obligations of U.S. states and political subdivisions	2,113,283		—		2,112,903		380
Corporate debt securities	1,875,255		—		1,875,255		—
ABS	9,860		—		9,860		—
RMBS	192,896		—		192,896		—
CMBS	305,425		—		305,425		—
CLOs	109,734		—		109,734		—
Total debt securities	4,710,153		13,312		4,696,461		380
Equity securities ⁽¹⁾	7,239		2,971		—		4,268
Total investment portfolio	$	4,717,392	$	16,283	$	4,696,461	$	4,648
Real estate acquired ⁽²⁾	$	11,728	$	—	$	—	$	11,728


⁽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 and nine months ended September 30, 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 September 30, 2017
(In thousands)	Debt Securities			Equity Securities		Total Investments			Real Estate Acquired
Balance at June 30, 2017	$	577		$	4,268	$	4,845		$	10,271
Total realized/unrealized gains (losses):
Included in earnings and reported as losses incurred, net	—			—		—			(592		)
Purchases	—			—		—			8,881
Sales	(197		)	—		(197		)	(6,832		)
Balance at September 30, 2017	$	380		$	4,268	$	4,648		$	11,728



Three Months Ended September 30, 2016
(In thousands)	Debt Securities			Equity Securities			Total Investments			Real Estate Acquired
Balance at June 30, 2016	$	1,056		$	6,940		$	7,996		$	9,642
Total realized/unrealized gains (losses):
Included in other comprehensive income	—			(3,519		)	(3,519		)	—
Included in earnings and reported as net realized investment gains	—			3,579			3,579			—
Included in earnings and reported as losses incurred, net	—			—			—			(501		)
Purchases	—			1,167			1,167			8,938
Sales	(226		)	(3,899		)	(4,125		)	(7,515		)
Balance at September 30, 2016	$	830		$	4,268		$	5,098		$	10,564



Nine Months Ended September 30, 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	—			—		—			(818		)
Purchases	—			—		—			26,985
Sales	(311		)	—		(311		)	(26,187		)
Balance at September 30, 2017	$	380		$	4,268	$	4,648		$	11,728



Nine Months Ended September 30, 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 net realized investment gains	—			3,579			3,579			—
Included in earnings and reported as losses incurred, net	—			—			—			(143		)
Purchases	—			4,258			4,258			27,953
Sales	(398		)	(6,424		)	(6,822		)	(29,395		)
Balance at September 30, 2016	$	830		$	4,268		$	5,098		$	10,564

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 September 30, 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. In all cases the fair values of the financial liabilities below are categorized as Level 2.



	September 30, 2017				December 31, 2016
(In thousands)	Carrying Value		Fair Value		Carrying Value		Fair Value
FHLB Advance	155,000		154,175		$	155,000	$	151,905
5% Notes	—		—		144,789		147,679
2% Notes	—		—		204,672		308,605
5.75% Notes	418,271		468,248		417,406		445,987
9% Debentures	256,872		349,798		256,872		323,040
Total financial liabilities	$	830,143	$	972,221	$	1,178,739	$	1,377,216