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Fair Value (Tables)

3 Months Ended

Mar. 31, 2020

Schedule of Fair Value Measurements on a Recurring Basis by Asset Class and Level of Input

The following tables present our fair value measurements on a recurring basis by asset class and level of input as of:



	March 31, 2020
(in thousands)	Total		Level 1		Level 2		Level 3
Available-for-sale securities:
Corporate debt securities	$	439,297	$	2,243	$	424,998	$	12,056
Residential mortgage-backed securities	127,417		0		127,417		0
Commercial mortgage-backed securities	88,602		0		81,219		7,383
Collateralized debt obligations	87,615		0		87,615		0
Other debt securities	8,722		0		8,722		0
Total available-for-sale securities	751,653		2,243		729,971		19,439
Equity securities - nonredeemable preferred stock:
Financial services sector	47,099		15,637		31,462		0
Utilities sector	6,469		3,411		3,058		0
Communications sector	2,215		2,215		0		0
Energy sector	1,005		0		1,005		0
Other sectors	1,226		897		329		0
Total equity securities	58,014		22,160		35,854		0
Total	$	809,667	$	24,403	$	765,825	$	19,439



	December 31, 2019
(in thousands)	Total		Level 1		Level 2		Level 3
Available-for-sale securities:
Corporate debt securities	$	454,880	$	2,683	$	443,873	$	8,324
Residential mortgage-backed securities	125,343		0		125,343		0
Commercial mortgage-backed securities	67,541		0		64,220		3,321
Collateralized debt obligations	77,856		0		77,856		0
Other debt securities	5,081		0		5,081		0
Total available-for-sale securities	730,701		2,683		716,373		11,645
Equity securities - nonredeemable preferred and common stock:
Financial services sector	53,513		14,927		38,586		0
Utilities sector	6,818		3,190		3,628		0
Communications sector	3,433		3,433		0		0
Energy sector	1,881		0		1,881		0
Other sectors	1,488		0		1,488		0
Total equity securities	67,133		21,550		45,583		0
Total	$	797,834	$	24,233	$	761,956	$	11,645

Schedule of Roll Forward of Level 3 Fair Value Measurements on a Recurring Basis

Level 3 Assets – Year-to-Date Change:



(in thousands)	Beginning balance at December 31, 2019		Included in earnings⁽¹⁾			Included in other comprehensive income			Purchases		Sales			Transfers into Level 3⁽²⁾		Transfers out of Level 3⁽²⁾			Ending balance at March 31, 2020
Available-for-sale securities:
Corporate debt securities	$	8,324	$	7		$	(1,378	)	$	1,718	$	(427	)	$	6,895	$	(3,083	)	$	12,056
Commercial mortgage-backed securities	3,321		(8		)	(148		)	312		(86		)	4,557		(565		)	7,383
Total Level 3 available-for-sale securities	$	11,645	$	(1	)	$	(1,526	)	$	2,030	$	(513	)	$	11,452	$	(3,648	)	$	19,439

Level 3 Assets – Year-to-Date Change:



(in thousands)	Beginning balance at December 31, 2018		Included in earnings⁽¹⁾			Included in other comprehensive income		Purchases		Sales			Transfers into Level 3⁽²⁾		Transfers out of Level 3⁽²⁾			Ending balance at March 31, 2019
Available-for-sale securities:
Corporate debt securities	$	12,577	$	11		$	268	$	734	$	(431	)	$	4,813	$	(6,449	)	$	11,523
Residential mortgage-backed securities	0		0			0		921		(6		)	0		0			915
Commercial mortgage-backed securities	0		(2		)	0		478		0			706		0			1,182
Total Level 3 available-for-sale securities	$	12,577	$	9		$	268	$	2,133	$	(437	)	$	5,519	$	(6,449	)	$	13,620


(1)	These amounts are reported as net investment income and net realized investment (losses) gains for each of the periods presented above.


(2)	Transfers into and/or (out) of Level 3 are primarily attributable to the availability of market observable information and the re-evaluation of the observability of pricing inputs.

Schedule of Financial Instruments Not Carried at Fair Value

The following table presents the carrying values and fair values of financial instruments categorized as Level 3 in the fair value

hierarchy that are recorded at carrying value as of:



	March 31, 2020				December 31, 2019
(in thousands)	Carrying value		Fair value		Carrying value		Fair value
Agent loans ⁽¹⁾	$	66,574	$	61,455	$	67,696	$	71,602
Long-term borrowings ⁽²⁾	97,599		122,557		98,080		101,888


(1)	The discount rate used to calculate fair value at March 31, 2020 is reflective of an increase in the BB+ financial yield curve due to the market volatility resulting from the COVID-19 pandemic.

(2)

The discount rate used to calculate fair value at March 31, 2020 is reflective of a decline in U.S. Treasury bond yields due to the market volatility resulting from the COVID-19 pandemic.