Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2022

Fair value measurements for items measured at fair value

Assets measured at fair value, by hierarchy level, as of June 30, 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 June 30, 2022
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		$	117,319	$	105,652	$	11,667	$	—
Obligations of U.S. states and political subdivisions		2,293,134		—		2,293,134		—
Corporate debt securities		2,375,053		—		2,375,053		—
ABS		103,268		—		103,268		—
RMBS		222,549		—		222,549		—
CMBS		266,611		—		266,611		—
CLOs		327,411		—		327,411		—
Foreign government debt		3,746		—		3,746		—
Commercial paper		3,729		—		3,729		—
Total fixed income securities		5,712,820		105,652		5,607,168		—
Equity securities		14,481		14,481		—		—
Cash equivalents		399,062		394,273		4,789		—
Total		$	6,126,363	$	514,406	$	5,611,957	$	—


Assets carried at fair value by hierarchy level as of December 31, 2021
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		$	133,407	$	102,153	$	31,254	$	—
Obligations of U.S. states and political subdivisions		2,534,653		—		2,534,653		—
Corporate debt securities		2,765,982		—		2,765,982		—
ABS		150,710		—		150,710		—
RMBS		309,110		—		309,110		—
CMBS		319,130		—		319,130		—
CLOs		360,939		—		360,939		—
Foreign government debt		13,650		—		13,650		—
Total fixed income securities		6,587,581		102,153		6,485,428		—
Equity securities		16,068		16,068		—		—
Cash equivalents		254,230		254,230		—		—
Total		$	6,857,879	$	372,451	$	6,485,428	$	—

Carrying value and fair value of financial assets and liabilities

Table 8.2 presents the carrying value and fair value of our financial assets and liabilities disclosed, but not carried, at fair value at June 30, 2022 and December 31, 2021.


Financial assets and liabilities not measured at fair value
Table	8.2
		June 30, 2022				December 31, 2021
(In thousands)		Carrying Value		Fair Value		Carrying Value		Fair Value
Financial assets
Other invested assets		$	850	$	850	$	3,100	$	3,100

Financial liabilities
FHLB Advance		—		—		155,000		157,585
5.75% Senior Notes		241,583		248,191		241,255		256,213
5.25% Senior Notes		640,989		583,044		640,253		686,875
9% Convertible Junior Subordinated Debentures		35,339		47,197		110,204		151,000
Total financial liabilities		$	917,911	$	878,432	$	1,146,712	$	1,251,673