Fair Value

3 Months Ended

Mar. 31, 2021

Fair Value [Abstract]

Fair Value

(8)  Fair Value:

Assets and liabilities recorded at fair value in the condensed consolidated balance sheets are categorized based upon the level of judgment associated with the inputs used to measure their fair value. The following tables summarize fair value measurements by level for assets measured at fair value on a recurring basis:

As of March 31, 2021:

Description	Total		Level 1		Level 2		Level 3
Fixed income securities:
Agency collateralized mortgage obligations	$	11,821	$	–	$	11,821	$	–
Agency mortgage-backed securities		114,822		–		114,822		–
Asset-backed securities		102,638		–		102,638		–
Bank loans		12,073		–		12,073		–
Collateralized mortgage obligations		6,167		–		6,167		–
Corporate securities		351,511		–		351,511		–
Options embedded in convertible securities		10,931		–		10,931		–
Mortgage-backed securities		38,612		–		38,612		–
Municipal obligations		46,464		–		46,464		–
Non-U.S. government obligations		30,648		–		30,648		–
U.S. government obligations		189,262		–		189,262		–
Total fixed income securities		914,949		–		914,949		–
Equity securities:
Consumer		12,373		12,373		–		–
Energy		1,661		1,661		–		–
Financial		34,108		34,108		–		–
Industrial		5,978		5,978		–		–
Technology		3,669		3,669		–		–
Other		9,226		9,226		–		–
Total equity securities		67,015		67,015		–		–
Short-term investments		1,000		1,000		–		–
Cash equivalents		86,961		–		86,961		–
Total	$	1,069,925	$	68,015	$	1,001,910	$	–

As of December 31, 2020:

Description	Total		Level 1		Level 2		Level 3
Fixed income securities:
Agency collateralized mortgage obligations	$	11,931	$	–	$	11,931	$	–
Agency mortgage-backed securities		102,107		–		102,107		–
Asset-backed securities		107,696		–		107,696		–
Bank loans		11,361		–		11,361		–
Collateralized mortgage obligations		5,118		–		5,118		–
Corporate securities		352,837		–		352,837		–
Options embedded in convertible securities		7,404		–		7,404		–
Mortgage-backed securities		38,056		–		38,056		–
Municipal obligations		45,143		–		45,143		–
Non-U.S. government obligations		30,600		–		30,600		–
U.S. government obligations		207,439		–		207,439		–
Total fixed income securities		919,692		–		919,692		–
Equity securities:
Consumer		11,598		11,598		–		–
Energy		1,227		1,227		–		–
Financial		29,064		29,064		–		–
Industrial		5,180		5,180		–		–
Technology		2,851		2,851		–		–
Other		8,249		8,249		–		–
Total equity securities		58,169		58,169		–		–
Short-term investments		1,000		1,000		–		–
Cash equivalents		47,026		–		47,026		–
Total	$	1,025,887	$	59,169	$	966,718	$	–

Level inputs, as defined by the FASB guidance, are as follows:

Level Input:	Input Definition:
Level 1	Inputs are unadjusted, quoted prices for identical assets or liabilities in active markets at the measurement date.
Level 2	Inputs other than quoted prices included in Level 1 that are observable for the asset or liability through corroboration with market data at the measurement date.
Level 3	Unobservable inputs that reflect management's best estimate of what market participants would use in pricing the asset or liability at the measurement date.

The Company did not have any Level 3 assets carried at fair value at March 31, 2021 or December 31, 2020.  Level 3 assets, when present, are valued using various unobservable inputs, including extrapolated data, proprietary models and indicative quotes. 

Quoted market prices are obtained whenever possible.  Where quoted market prices are not available, fair values are estimated using broker/dealer quotes for specific securities.  These techniques are significantly affected by the Company's assumptions, including discount rates and estimates of future cash flows.  Potential taxes and other transaction costs have not been considered in estimating fair values.

In addition to the preceding disclosures on assets recorded at fair value in the condensed consolidated balance sheets, FASB guidance also requires the disclosure of fair values for certain other financial instruments for which it is practicable to estimate fair value, whether or not such values are recognized in the condensed consolidated balance sheets.

Non-financial instruments such as real estate, property and equipment, other assets, deferred income taxes and intangible assets, and certain financial instruments such as policy reserve liabilities are excluded from the fair value disclosures.  Therefore, the fair value amounts cannot be aggregated to determine the underlying economic value of the Company.  The following methods, assumptions and inputs were used to estimate the fair value of each class of financial instrument:

Limited partnerships: The Company accounts for investments in limited partnerships using the equity method of accounting, which requires an investor in a limited partnership to carry the investment at its proportionate share of the limited partnership's equity.   The underlying assets of the Company's investments in limited partnerships are carried primarily at fair value; therefore, the Company's carrying value of limited partnerships approximates fair value.  These investments are not actively traded and the corresponding inputs are based on data provided by the investees.

Commercial mortgage loans:  Commercial mortgage loans are carried primarily at amortized cost along with a valuation allowance for losses when necessary. These investments represent interests in commercial mortgage loans originated and serviced by a third party of which the Company shares, on a pro-rata basis, in all related cash flows of the underlying mortgage loans.  The fair value of the Company’s investment in these commercial mortgage loans is based on expected future cash flows discounted at the current interest rate for origination of similar quality loans, adjusted for specific loan risk.

Short-term borrowings: The fair value of the Company's short-term borrowings is based on quoted market prices for the same or similar debt, or, if no quoted market prices are available, on the current market interest rates available to the Company for debt of similar terms and remaining maturities.

A summary of the carrying value and fair value by level of financial instruments not recorded at fair value on the Company's condensed consolidated balance sheets at March 31, 2021 and December 31, 2020 is as follows:

	Carrying		Fair Value
	Value		Level 1		Level 2		Level 3		Total
March 31, 2021
Assets:
Limited partnerships	$	7,476	$	–	$	–	$	7,476	$	7,476
Commercial mortgage loans		10,866		–		–		11,688		11,688
Liabilities:
Short-term borrowings		20,000		–		20,000		–		20,000
December 31, 2020
Assets:
Limited partnerships	$	7,214	$	–	$	–	$	7,214	$	7,214
Commercial mortgage loans		10,602		–		–		11,425		11,425
Liabilities:
Short-term borrowings		20,000		–		20,000		–		20,000