Fair Value (Tables)

3 Months Ended

Mar. 31, 2023

Fair Value Disclosures [Abstract]

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, 2023
(in thousands)	Total		Level 1		Level 2		Level 3
Available-for-sale securities:
Corporate debt securities	$	568,531	$	0	$	564,028	$	4,503
Collateralized debt obligations	105,027		0		105,027		0
Commercial mortgage-backed securities	66,432		0		60,017		6,415
Residential mortgage-backed securities	157,302		0		157,269		33
Other debt securities	18,374		0		18,374		0
Total available-for-sale securities	915,666		0		904,715		10,951
Equity securities:
Financial services sector	59,484		496		54,789		4,199
Utilities sector	6,261		0		6,261		0
Energy sector	4,068		0		4,068		0
Consumer sector	2,235		0		2,235		0
Technology sector	500		0		0		500
Communications sector	267		0		267		0
Industrial sector	148		0		148		0
Total equity securities	72,963		496		67,768		4,699
Total	$	988,629	$	496	$	972,483	$	15,650

	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

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

Level 3 Assets – 2023 Year-to-Date Change:

(in thousands)	Beginning balance at December 31, 2022		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, 2023
Available-for-sale securities:
Corporate debt securities	$	3,686	$	(28)	$	85	$	753	$	(645)	$	1,498	$	(846)	$	4,503
Commercial mortgage-backed securities	10,910		(191)		217		589		0		137		(5,247)		6,415
Residential mortgage-backed securities	4,184		(5)		96		0		(87)		33		(4,188)		33
Total available-for-sale securities	18,780		(224)		398		1,342		(732)		1,668		(10,281)		10,951
Equity securities	3,779		(38)		0		958		0		0		0		4,699
Total Level 3 securities	$	22,559	$	(262)	$	398	$	2,300	$	(732)	$	1,668	$	(10,281)	$	15,650

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 March 31, 2022
Available-for-sale securities:
Corporate debt securities	$	5,256	$	13	$	(55)	$	3,984	$	(508)	$	3,549	$	(1,312)	$	10,927
Commercial mortgage-backed securities	15,728		(116)		(839)		0		(500)		1,460		(5,136)		10,597
Residential mortgage-backed securities	8,814		25		(336)		0		(2,755)		0		(5,536)		212
Total available-for-sale securities	29,798		(78)		(1,230)		3,984		(3,763)		5,009		(11,984)		21,736
Equity securities	2,083		(66)		0		0		0		0		0		2,017
Total Level 3 securities	$	31,881	$	(144)	$	(1,230)	$	3,984	$	(3,763)	$	5,009	$	(11,984)	$	23,753

(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:

	March 31, 2023				December 31, 2022
(in thousands)	Carrying value		Fair value		Carrying value		Fair value
Agent loans (1)	$	68,054	$	62,452	$	69,476	$	62,954

(1)The discount rate used to calculate fair value at March 31, 2023 is reflective of a decrease in the BB+ financial yield curve from December 31, 2022.