Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2022

Fair value measurements for items measured at fair value

Assets measured at fair value, by hierarchy level, as of September 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 September 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)
U.S. Treasury securities and obligations of U.S. government corporations and agencies		$	170,672	$	151,741	$	18,931
Obligations of U.S. states and political subdivisions		2,151,038		—		2,151,038
Corporate debt securities		2,165,845		—		2,165,845
ABS		128,495		—		128,495
RMBS		202,640		—		202,640
CMBS		245,645		—		245,645
CLOs		325,498		—		325,498
Foreign government debt		3,572		—		3,572
Commercial paper		7,577		—		7,577
Total fixed income securities		5,400,982		151,741		5,249,241
Equity securities		13,885		13,885		—
Cash equivalents		236,940		198,397		38,543
Total		$	5,651,807	$	364,023	$	5,287,784


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)
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 September 30, 2022 and December 31, 2021.


Financial assets and liabilities not measured at fair value
Table	8.2
		September 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		—		—		241,255		256,213
5.25% Senior Notes		641,357		580,931		640,253		686,875
9% Convertible Junior Subordinated Debentures		21,296		28,475		110,204		151,000
Total financial liabilities		$	662,653	$	609,406	$	1,146,712	$	1,251,673