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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2020

Fair value measurements for items measured at fair value

Assets measured at fair value, by hierarchy level, as of September 30, 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 September 30, 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		$	348,747	$	212,703	$	136,044	$	—
Obligations of U.S. states and political subdivisions		2,032,581		—		2,032,581		—
Corporate debt securities		2,769,643		—		2,769,643		—
ABS		204,696		—		204,696		—
RMBS		403,893		—		403,893		—
CMBS		271,524		—		271,524		—
CLOs		309,093		—		309,093		—
Debt securities issued by foreign sovereign governments		4,541		—		4,541		—
Total fixed income securities		6,344,718		212,703		6,132,015		—
Equity securities		18,060		18,060		—		—
Other (1)		380,072		380,072		—		—
Real estate acquired (2)		1,690		—		—		1,690
Total		$	6,744,540	$	610,835	$	6,132,015	$	1,690


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)Includes money market funds and short term U.S. Treasury Securities 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 and nine months ended September 30, 2020 and 2019 is shown in tables 8.2a through 8.2d 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 September 30, 2020
Table	8.2a

(In thousands)		Fixed income		Real Estate Acquired
Balance at June 30, 2020		$	—	$	1,963
Purchases		—		1,990
Sales		—		(2,266)

Included in earnings and reported as losses incurred, net		—		3
Balance at September 30, 2020		$	—	$	1,690


Fair value roll-forward for financial instruments classified as Level 3 for the nine months ended September 30, 2020
Table	8.2b

(In thousands)		Fixed income		Real Estate Acquired
Balance at December 31, 2019		$	—	$	7,252

Purchases		—		7,911
Sales		—		(13,991)

Included in earnings and reported as losses incurred, net		—		518
Balance at September 30, 2020		$	—	$	1,690


Fair value roll-forward for financial instruments classified as Level 3 for the three months ended September 30, 2019
Table	8.2c

(In thousands)		Fixed income		Real Estate Acquired
Balance at June 30, 2019		$	—	$	10,250
Purchases		—		4,681
Sales		—		(7,173)
Included in earnings and reported as losses incurred, net		—		21
Balance at September 30, 2019		$	—	$	7,779


Fair value roll-forward for financial instruments classified as Level 3 for the nine months ended September 30, 2019
Table	8.2d

(In thousands)		Fixed income		Real Estate Acquired
Balance at December 31, 2018		$	13	$	14,535
Purchases		—		19,872
Sales		(13)		(26,197)
Included in earnings and reported as losses incurred, net		—		(431)
Balance at September 30, 2019		$	—	$	7,779

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 September 30, 2020 and December 31, 2019.


Financial assets and liabilities not measured at fair value
Table	8.3
		September 30, 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		161,436		155,000		156,422
5.75% Senior Notes		240,433		257,065		420,867		471,827
5.25% Senior Notes		638,405		673,478		—		—
9% Convertible Junior Subordinated Debentures		208,814		268,397		256,872		346,289
Total financial liabilities		$	1,242,652	$	1,360,376	$	832,739	$	974,538