Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2020

Fair value measurements for items measured at fair value

Assets carried at fair value included those listed, by hierarchy level, in the following tables as of December 31, 2020 and 2019:


Assets carried at fair value by hierarchy level as of December 31, 2020
Table	6.1a
(In thousands)		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		$	265,693	$	149,339	$	116,354	$	—
Obligations of U.S. states and political subdivisions		2,249,869		—		2,249,869		—
Corporate debt securities		2,844,288		—		2,844,288		—
ABS		206,686		—		206,686		—
RMBS		431,166		—		431,166		—
CMBS		327,502		—		327,502		—
CLOs		310,490		—		310,490		—
Debt foreign government		4,709		—		4,709		—
Other Investments (1)		21,193		—		21,193		—
Total fixed income securities		6,661,596		149,339		6,512,257		—
Equity securities		18,215		18,215		—		—
Cash Equivalents		288,941		275,668		13,273		—
Real estate acquired (2)		1,092		—		—		1,092
Total		$	6,969,844	$	443,222	$	6,525,530	$	1,092


Assets carried at fair value by hierarchy level as of December 31, 2019
Table	6.1b
(In thousands)		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		—		—
Cash Equivalents		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 commercial paper included in "Investment Portfolio: Fixed income" with original maturities greater than ninety days.

(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 years ended December 31, 2020 and 2019 is shown in tables 6.2a and 6.2b below. There were no losses included in earnings for the years ended December 31, 2020 and 2019 attributable to the change in unrealized losses on assets still held at the end of each applicable year.


Fair value roll-forward for financial instruments classified as Level 3 for the year ended December 31, 2020
Table	6.2a
(In thousands)		Debt Securities		Real Estate Acquired
Balance at December 31, 2019		$	—	$	7,252

Total realized/unrealized gains (losses):

Included in earnings and reported as losses incurred, net		—		660
Acquisitions		—		8,609
Sales		—		(15,429)
Balance at December 31, 2020		$	—	$	1,092


Fair value roll-forward for financial instruments classified as Level 3 for the year ended December 31, 2019
Table	6.2b
(In thousands)		Debt Securities		Real Estate Acquired
Balance at December 31, 2018		$	13	$	14,535
Total realized/unrealized gains (losses):
Included in earnings and reported as losses incurred, net		—		(476)
Acquisitions		—		24,204
Sales		(13)		(31,011)
Balance at December 31, 2019		$	—	$	7,252

Schedule of carrying value and fair value of financial liabilities measured on a recurring basis

Table 6.3 compares the carrying value and fair value of our financial liabilities disclosed, but not carried, at fair value as of December 31, 2020 and 2019.


Financial liabilities not carried at fair value
Table	6.3
		December 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	$	160,865	$	155,000	$	156,422
5.75% Notes		240,597		261,752		420,867		471,827
5.25% Notes		638,782		696,449		—		—
9% Debentures		208,814		273,569		256,872		346,289
Total financial liabilities		$	1,243,193	$	1,392,635	$	832,739	$	974,538