Fair Value (Tables)

9 Months Ended

Sep. 30, 2021

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: 

	September 30, 2021
(in thousands)	Total		Level 1		Level 2		Level 3
Available-for-sale securities:
Corporate debt securities	$	567,966	$	555	$	561,214	$	6,197
Collateralized debt obligations	114,004		0		114,004		0
Commercial mortgage-backed securities	96,827		0		87,133		9,694
Residential mortgage-backed securities	127,231		0		122,943		4,288
Other debt securities	25,727		0		25,273		454
U.S. Treasury	5,749		0		5,749		0
Total available-for-sale securities	937,504		555		916,316		20,633
Equity securities - nonredeemable preferred and common stock:
Financial services sector	70,432		4,850		63,476		2,106
Utilities sector	7,046		1,210		5,836		0
Energy sector	5,316		10		5,306		0
Consumer sector	2,218		0		2,218		0
Communications sector	1,013		0		1,013		0
Industrial sector	255		255		0		0
Total equity securities	86,280		6,325		77,849		2,106
Total	$	1,023,784	$	6,880	$	994,165	$	22,739

	December 31, 2020
(in thousands)	Total		Level 1		Level 2		Level 3
Available-for-sale securities:
Corporate debt securities	$	566,425	$	1,281	$	559,319	$	5,825
Collateralized debt obligations	110,447		0		110,447		0
Commercial mortgage-backed securities	120,201		0		100,739		19,462
Residential mortgage-backed securities	112,179		0		111,242		937
Other debt securities	18,984		0		18,984		0
Total available-for-sale securities	928,236		1,281		900,731		26,224
Equity securities - nonredeemable preferred and common stock:
Financial services sector	76,575		24,981		51,594		0
Utilities sector	8,742		3,957		4,785		0
Energy sector	2,206		676		1,530		0
Consumer sector	3,068		576		2,492		0
Communications sector	2,699		2,699		0		0
Industrial sector	800		800		0		0
Total equity securities	94,090		33,689		60,401		0
Total	$	1,022,326	$	34,970	$	961,132	$	26,224

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

Level 3 Assets – 2021 Quarterly Change:

(in thousands)	Beginning balance at June 30, 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 September 30, 2021
Available-for-sale securities:
Corporate debt securities	$	6,078	$	7	$	3	$	1,995	$	(1,213)	$	1,129	$	(1,802)	$	6,197
Collateralized debt obligations	750		0		0		0		0		0		(750)		0
Commercial mortgage-backed securities	17,133		(90)		(143)		229		(2,912)		0		(4,523)		9,694
Residential mortgage-backed securities	3,041		(5)		(26)		0		(366)		4,288		(2,644)		4,288
Other debt securities	2,544		0		1		0		(757)		0		(1,334)		454
Total available-for-sale securities	29,546		(88)		(165)		2,224		(5,248)		5,417		(11,053)		20,633
Nonredeemable preferred stock	1,000		13		0		0		0		1,093		0		2,106
Total Level 3 securities	$	30,546	$	(75)	$	(165)	$	2,224	$	(5,248)	$	6,510	$	(11,053)	$	22,739

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 September 30, 2021
Available-for-sale securities:
Corporate debt securities	$	5,825	$	27	$	82	$	4,253	$	(1,886)	$	3,678	$	(5,782)	$	6,197
Collateralized debt obligations	0		0		0		750		0		0		(750)		0
Commercial mortgage-backed securities	19,462		(287)		(590)		3,073		(3,878)		3,854		(11,940)		9,694
Residential mortgage-backed securities	937		(11)		(26)		0		(842)		7,318		(3,088)		4,288
Other debt securities	0		0		(1)		2,588		(799)		0		(1,334)		454
Total available-for-sale securities	26,224		(271)		(535)		10,664		(7,405)		14,850		(22,894)		20,633
Nonredeemable preferred stock	0		18		0		1,000		0		2,183		(1,095)		2,106
Total Level 3 securities	$	26,224	$	(253)	$	(535)	$	11,664	$	(7,405)	$	17,033	$	(23,989)	$	22,739

Level 3 Assets – 2020 Quarterly Change:

(in thousands)	Beginning balance at June 30, 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 September 30, 2020
Available-for-sale securities:
Corporate debt securities	$	4,916	$	4	$	157	$	2,258	$	(198)	$	1,644	$	(1,751)	$	7,030
Collateralized debt obligations	259		0		(9)		0		0		0		(250)		0
Commercial mortgage-backed securities	18,066		(47)		351		2,077		0		29,786		0		50,233
Residential mortgage-backed securities	0		0		0		287		0		10,559		0		10,846
Total available-for-sale securities	23,241		(43)		499		4,622		(198)		41,989		(2,001)		68,109
Nonredeemable preferred stock	795		194		0		2,016		0		0		0		3,005
Total Level 3 securities	$	24,036	$	151	$	499	$	6,638	$	(198)	$	41,989	$	(2,001)	$	71,114

Level 3 Assets – 2020 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 September 30, 2020
Available-for-sale securities:
Corporate debt securities	$	8,324	$	9	$	(354)	$	4,759	$	(740)	$	9,681	$	(14,649)	$	7,030
Collateralized debt obligations	0		0		3		247		0		0		(250)		0
Commercial mortgage-backed securities	3,321		(89)		471		9,281		(287)		38,677		(1,141)		50,233
Residential mortgage-backed securities	0		0		0		287		0		10,559		0		10,846
Total available-for-sale securities	11,645		(80)		120		14,574		(1,027)		58,917		(16,040)		68,109
Nonredeemable preferred stock	0		169		0		2,836		0		0		0		3,005
Total Level 3 securities	$	11,645	$	89	$	120	$	17,410	$	(1,027)	$	58,917	$	(16,040)	$	71,114

(1)These amounts are reported as net investment income and net realized investment gains (losses) 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 Fair Value Disclosure of Asset and Liability Not Measured 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:

	September 30, 2021				December 31, 2020
(in thousands)	Carrying value		Fair value		Carrying value		Fair value
Agent loans (1)	$	67,789	$	69,805	$	69,212	$	73,854
Long-term borrowings (2)	94,589		103,283		96,113		113,054

(1)The discount rate used to calculate fair value at September 30, 2021 is reflective of a decrease in the BB+ financial yield curve.

(2)The discount rate used to calculate fair value at September 30, 2021 is reflective of an increase in U.S. Treasury bond yields.