XML 42 R28.htm IDEA: XBRL DOCUMENT v3.22.1
Fair Value Measurements (Tables)
 3 Months Ended
Mar. 31, 2022
Fair Value Disclosures [Abstract]  
Fair value measurements for items measured at fair value
Assets measured at fair value, by hierarchy level, as of March 31, 2022 and December 31, 2021 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 2021 Annual Report on Form 10-K.
Assets carried at fair value by hierarchy level as of March 31, 2022
Table8.1a
(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$115,581 $90,816 $24,765 $— 
Obligations of U.S. states and political subdivisions2,331,913 — 2,331,913 — 
Corporate debt securities2,502,292 — 2,502,292 — 
ABS114,144 — 114,144 — 
RMBS248,311 — 248,311 — 
CMBS289,317 — 289,317 — 
CLOs330,249 — 330,249 — 
Foreign government debt4,109 — 4,109 — 
Total fixed income securities5,935,916 90,816 5,845,100 — 
Equity securities15,191 15,191 — — 
Cash Equivalents473,712 473,712 — — 
Real estate acquired (1)
1,052 — — 1,052 
Total$6,425,871 $579,719 $5,845,100 $1,052 
Assets carried at fair value by hierarchy level as of December 31, 2021
Table8.1b
(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$133,407 $102,153 $31,254 $— 
Obligations of U.S. states and political subdivisions2,534,653 — 2,534,653 — 
Corporate debt securities2,765,982 — 2,765,982 — 
ABS150,710 — 150,710 — 
RMBS309,110 — 309,110 — 
CMBS319,130 — 319,130 — 
CLOs360,939 — 360,939 — 
Foreign government debt13,650 — 13,650 — 
Total fixed income securities6,587,581 102,153 6,485,428 — 
Equity securities16,068 16,068 — — 
Cash Equivalents254,230 254,230 — — 
Real estate acquired (1)
1,507 — — 1,507 
Total$6,859,386 $372,451 $6,485,428 $1,507 
(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 months ended March 31, 2022 and 2021 is shown in table 8.2 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,
Table8.2
Real Estate Acquired
(In thousands)20222021
Balance at December 31,$1,507 $1,092 
Purchases502 2,008 
Sales(1,026)(1,431)
Included in earnings and reported as losses incurred, net69 125 
Balance at March 31,$1,052 $1,794 
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, 2022 and December 31, 2021.
Financial assets and liabilities not measured at fair value
Table8.3
March 31, 2022December 31, 2021
(In thousands)Carrying ValueFair ValueCarrying ValueFair Value
Financial assets
Other invested assets$850 $850 $3,100 $3,100 
Financial liabilities
FHLB Advance— — 155,000 157,585 
5.75% Senior Notes241,419 251,009 241,255 256,213 
5.25% Senior Notes640,621 642,941 640,253 686,875 
9% Convertible Junior Subordinated Debentures53,239 71,597 110,204 151,000 
Total financial liabilities$935,279 $965,547 $1,146,712 $1,251,673