Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2021

Fair value measurements for items measured at fair value

Assets measured at fair value, by hierarchy level, as of June 30, 2021 and December 31, 2020 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” to the consolidated financial statements in our 2020 Annual Report on Form 10-K.


Assets carried at fair value by hierarchy level as of June 30, 2021
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		$	236,320	$	151,328	$	84,992	$	—
Obligations of U.S. states and political subdivisions		2,498,894		—		2,498,894		—
Corporate debt securities		2,956,061		—		2,956,061		—
ABS		155,733		—		155,733		—
RMBS		379,203		—		379,203		—
CMBS		327,435		—		327,435		—
CLOs		396,957		—		396,957		—
Foreign government debt		13,806		—		13,806		—

Total fixed income securities		6,964,409		151,328		6,813,081		—
Equity securities		15,453		15,453		—		—
Cash Equivalents		170,604		170,604		—		—
Real estate acquired (1)		572		—		—		572
Total		$	7,151,038	$	337,385	$	6,813,081	$	572


Assets carried at fair value by hierarchy level as of December 31, 2020
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		$	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		—
Foreign government debt		4,709		—		4,709		—
Commercial paper		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 (1)		1,092		—		—		1,092
Total		$	6,969,844	$	443,222	$	6,525,530	$	1,092

(1)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 six months ended June 30, 2021 and 2020 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 June 30, 2021
Table	8.2a

(In thousands)		Real Estate Acquired
Balance at March 31, 2021		$	1,794
Purchases		769
Sales		(2,223)
Included in earnings and reported as losses incurred, net		232
Balance at June 30, 2021		$	572

Fair value roll-forward for financial instruments classified as Level 3 for the six months ended June 30, 2021
Table	8.2b

(In thousands)		Real Estate Acquired
Balance at December 31, 2020		$	1,092
Purchases		2,777
Sales		(3,654)
Included in earnings and reported as losses incurred, net		357
Balance at June 30, 2021		$	572


Fair value roll-forward for financial instruments classified as Level 3 for the three months ended June 30, 2020
Table	8.2c
(In thousands)		Real Estate Acquired
Balance at March 31, 2020		$	6,226
Purchases		1,806
Sales		(6,526)
Included in earnings and reported as losses incurred, net		457
Balance at June 30, 2020		$	1,963

Fair value roll-forward for financial instruments classified as Level 3 for the six months ended June 30, 2020
Table	8.2d

(In thousands)		Real Estate Acquired
Balance at December 31, 2019		$	7,252
Purchases		5,921
Sales		(11,725)
Included in earnings and reported as losses incurred, net		515
Balance at June 30, 2020		$	1,963

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 June 30, 2021 and December 31, 2020.


Financial assets and liabilities not measured at fair value
Table	8.3
		June 30, 2021				December 31, 2020
(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		159,381		155,000		160,865
5.75% Senior Notes		240,926		262,012		240,597		261,752
5.25% Senior Notes		639,517		689,813		638,782		696,449
9% Convertible Junior Subordinated Debentures		208,814		276,844		208,814		273,569
Total financial liabilities		$	1,244,257	$	1,388,050	$	1,243,193	$	1,392,635