Fair Value (Tables)

12 Months Ended

Dec. 31, 2022

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:



	December 31, 2022

(in thousands)	Total		Level 1		Level 2		Level 3

Available-for-sale securities:



Corporate debt securities	$	553,382	$	0	$	549,696	$	3,686
Collateralized debt obligations	102,537		0		102,537		0
Commercial mortgage-backed securities	66,054		0		55,144		10,910
Residential mortgage-backed securities	150,415		0		146,231		4,184
Other debt securities	22,273		0		22,273		0

Total available-for-sale securities	894,661		0		875,881		18,780
Equity securities:
Financial services sector	61,084		0		57,305		3,779
Utilities sector	5,708		0		5,708		0
Energy sector	3,576		0		3,576		0
Consumer sector	1,854		0		1,854		0
Communications sector	338		0		338		0

Total equity securities	72,560		0		68,781		3,779
Total	$	967,221	$	0	$	944,662	$	22,559



	December 31, 2021

(in thousands)	Total		Level 1		Level 2		Level 3

Available-for-sale securities:



Corporate debt securities	$	573,165	$	0	$	567,909	$	5,256
Collateralized debt obligations	115,462		0		115,462		0
Commercial mortgage-backed securities	89,324		0		73,596		15,728
Residential mortgage-backed securities	139,922		0		131,108		8,814
Other debt securities	23,920		0		23,920		0
U.S. Treasury	4,292		0		4,292		0
Total available-for-sale securities	946,085		0		916,287		29,798
Equity securities:
Financial services sector	71,722		1,624		68,015		2,083
Utilities sector	6,259		0		6,259		0
Energy sector	6,448		10		6,438		0
Consumer sector	3,314		0		3,314		0


Total equity securities	87,743		1,634		84,026		2,083
Total	$	1,033,828	$	1,634	$	1,000,313	$	31,881

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

Level 3 Assets – 2022 Year-to-Date Change:



(in thousands)	Beginning balance at December 31, 2021		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 December 31, 2022
Available-for-sale securities:



Corporate debt securities	$	5,256	$	2	$	(437)	$	6,290	$	(4,810)	$	9,689	$	(12,304)	$	3,686

Commercial mortgage-backed securities	15,728		(1,060)		(1,132)		0		(3,825)		11,494		(10,295)		10,910
Residential mortgage-backed securities	8,814		(693)		(1,951)		4,887		(10,229)		39,452		(36,096)		4,184

Total available-for-sale securities	29,798		(1,751)		(3,520)		11,177		(18,864)		60,635		(58,695)		18,780
Equity securities	2,083		(304)		0		2,000		0		0		0		3,779
Total Level 3 securities	$	31,881	$	(2,055)	$	(3,520)	$	13,177	$	(18,864)	$	60,635	$	(58,695)	$	22,559

Level 3 Assets – 2021 Year-to-Date Change:



(in thousands)	Beginning balance at December 31, 2020		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 December 31, 2021
Available-for-sale securities:



Corporate debt securities	$	5,825	$	34	$	68	$	5,502	$	(2,681)	$	4,290	$	(7,782)	$	5,256
Collateralized debt obligations	0		0		0		750		0		0		(750)		0
Commercial mortgage-backed securities	19,462		(375)		(782)		3,073		(5,378)		11,933		(12,205)		15,728
Residential mortgage-backed securities	937		(5)		(69)		576		(2,229)		12,692		(3,088)		8,814
Other debt securities	0		0		0		2,588		(832)		0		(1,756)		0
Total available-for-sale securities	26,224		(346)		(783)		12,489		(11,120)		28,915		(25,581)		29,798
Equity securities	0		(5)		0		1,000		0		2,183		(1,095)		2,083
Total Level 3 securities	$	26,224	$	(351)	$	(783)	$	13,489	$	(11,120)	$	31,098	$	(26,676)	$	31,881

(1) These amounts are reported as net investment income and net realized and unrealized 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:



	December 31, 2022				December 31, 2021
(in thousands)	Carrying Value		Fair Value		Carrying Value		Fair Value

Agent loans (1)	$	69,476	$	62,954	$	66,368	$	68,957
Long-term borrowings	—		—		94,070		103,981

(1)The discount rate used to calculate fair value at December 31, 2022 is reflective of an increase in the BB+ financial yield curve from December 31, 2021.