Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2020

Fair value measurements for items measured at fair value

Assets measured at fair value, by hierarchy level, as of March 31, 2020 and December 31, 2019 are shown in tables 8.1a and 8.1b below. The fair value of the assets is estimated using the process described above, and more fully in Note 3 - “Significant Accounting Policies” of the notes to the consolidated financial statements in our 2019 Annual Report on Form 10-K.



Assets carried at fair value by hierarchy level as of March 31, 2020
Table	8.1a
(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		$	199,717	$	42,091	$	157,626	$	—
Obligations of U.S. states and political subdivisions		1,710,836		—		1,710,836		—
Corporate debt securities		2,511,102		—		2,511,102		—
ABS		206,650		—		206,650		—
RMBS		264,915		—		264,915		—
CMBS		268,587		—		268,587		—
CLOs		297,039		—		297,039		—
Total fixed income securities		5,458,846		42,091		5,416,755		—
Equity securities		28,892		28,892		—		—
Other ⁽¹⁾		365,519		364,517		1,002		—
Real estate acquired ⁽²⁾		6,226		—		—		6,226
Total		$	5,859,483	$	435,500	$	5,417,757	$	6,226



Assets carried at fair value by hierarchy level as of December 31, 2019
Table	8.1b
(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		$	196,203	$	34,240	$	161,963	$	—
Obligations of U.S. states and political subdivisions		1,653,865		—		1,653,865		—
Corporate debt securities		2,785,122		—		2,785,122		—
ABS		229,664		—		229,664		—
RMBS		268,586		—		268,586		—
CMBS		278,986		—		278,986		—
CLOs		325,466		—		325,466		—
Total fixed income securities		5,737,892		34,240		5,703,652		—
Equity securities		17,328		17,328		—		—
Other ⁽¹⁾		164,693		164,693		—		—
Real estate acquired ⁽²⁾		7,252		—		—		7,252
Total		$	5,927,165	$	216,261	$	5,703,652	$	7,252


⁽¹⁾	Consists of money market funds included in “Cash and Cash Equivalents” and “Restricted Cash and Cash Equivalents” on the consolidated balance sheets.


⁽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, 2020 and 2019 is shown in tables 8.2a and 8.2b below. 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.



Fair value roll-forward for financial instruments classified as Level 3 for the three months ended March 31, 2020
Table	8.2a
(In thousands)		Fixed income		Real Estate Acquired
Balance at December 31, 2019		$	—	$	7,252
Purchases		—		4,115
Sales		—		(5,198		)
Included in earnings and reported as losses incurred, net		—		57
Balance at March 31, 2020		$	—	$	6,226



Fair value roll-forward for financial instruments classified as Level 3 for the three months ended March 31, 2019
Table	8.2b
(In thousands)		Fixed income			Real Estate Acquired
Balance at December 31, 2018		$	13		$	14,535
Purchases		—			8,084
Sales		(13		)	(10,872		)
Included in earnings and reported as losses incurred, net		—			(108		)
Balance at March 31, 2019		$	—		$	11,639

Carrying value and fair value of financial assets and liabilities

Table 8.3 presents the carrying value and fair value of our financial assets and liabilities disclosed, but not carried, at fair value at March 31, 2020 and December 31, 2019.



Financial assets and liabilities not measured at fair value
Table	8.3
		March 31, 2020				December 31, 2019
(In thousands)		Carrying Value		Fair Value		Carrying Value		Fair Value
Financial assets
Other invested assets		$	3,100	$	3,100	$	3,100	$	3,100

Financial liabilities
FHLB Advance		$	155,000	$	161,575	$	155,000	$	156,422
5.75% Senior Notes		421,155		395,025		420,867		471,827
9% Convertible Junior Subordinated Debentures		256,872		334,252		256,872		346,289
Total financial liabilities		$	833,027	$	890,852	$	832,739	$	974,538