v2.4.1.9
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Fair Value Measurements (Tables)
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12 Months Ended |
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| Fair Value Measurements [Abstract] |
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| Fair value measurement of assets and liabilities |
The following table presents the fair value hierarchy for those financial assets measured at fair value on a recurring basis by the Company as of December 31, 2014 and 2013 ($ in thousands): | | | | Fair Value Measurement Using: | | Total | | | Level 1 | | | Level 2 | | | Level 3 | | | | | | | | | | | | | | | | | | Investments: | | | | | | | | | | | | | | | | U.S. Government | $ | 49,485 | | | $ | 49,485 | | | $ | - | | | $ | - | | U.S. Government agencies | | 89,327 | | | | - | | | | 89,327 | | | | - | | Municipal bonds | | 1,206,349 | | | | - | | | | 1,206,349 | | | | - | | Non-U.S. governments | | 115,651 | | | | 49,888 | | | | 65,763 | | | | - | | Corporate bonds | | 210,089 | | | | - | | | | 210,089 | | | | - | | Commercial mortgage-backed securities | | 58,880 | | | | - | | | | 58,880 | | | | - | | Residential mortgage-backed securities | | 124,397 | | | | - | | | | 124,397 | | | | - | | Asset-backed securities | | 18,876 | | | | - | | | | 15,404 | | | | 3,472 | | Total investments | | 1,873,054 | | | | 99,373 | | | | 1,770,209 | | | | 3,472 | | Cash and cash equivalents | | 1,434,984 | | | | 1,417,431 | | | | 17,553 | | | | - | | Reinsurance deposit assets | | 82,937 | | | | - | | | | - | | | | 82,937 | | Total | $ | 3,390,975 | | | $ | 1,516,804 | | | $ | 1,787,762 | | | $ | 86,409 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Investments: | | | | | | | | | | | | | | | | U.S. Government | $ | 4,765 | | | $ | 4,765 | | | $ | - | | | $ | - | | U.S. Government agencies | | 51,122 | | | | - | | | | 51,122 | | | | - | | Municipal bonds | | 1,269,247 | | | | - | | | | 1,269,247 | | | | - | | Non-U.S. governments | | 143,909 | | | | 54,980 | | | | 88,929 | | | | - | | Corporate bonds | | 227,235 | | | | - | | | | 227,235 | | | | - | | Commercial mortgage-backed securities | | 77,491 | | | | - | | | | 77,491 | | | | - | | Residential mortgage-backed securities | | 169,965 | | | | - | | | | 169,372 | | | | 593 | | Asset-backed securities | | 17,531 | | | | - | | | | 15,304 | | | | 2,227 | | Short -term investments | | 66,679 | | | | 8,933 | | | | 57,746 | | | | - | | Total investments | | 2,027,944 | | | | 68,678 | | | | 1,956,446 | | | | 2,820 | | Cash and cash equivalents | | 1,464,418 | | | | 1,464,418 | | | | - | | | | - | | Reinsurance deposit assets | | 79,303 | | | | - | | | | - | | | | 79,303 | | Total | $ | 3,571,665 | | | $ | 1,533,096 | | | $ | 1,956,446 | | | $ | 82,123 | |
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| Fair value assets measured on recurring basis unobservable input reconciliation |
The following table reconciles the beginning and ending balance for our Level 3 financial assets measured at fair value on a recurring basis for the years ended December 31, 2014 and 2013 ($ in thousands): C: | | | Commercial mortgage-backed securities | | | Residential mortgage-backed securities | | | Asset-backed securities | | | Reinsurance deposit assets | | | Total | Balance, beginning of year | $ | - | | | $ | 593 | | | $ | 2,227 | | | $ | 79,303 | | | $82,123 | Sales, maturities and paydowns | | - | | | | (3,207 | ) | | | (236 | ) | | | - | | | (3,443) | Total increase (decrease) in fair value included in net income | | - | | | | - | | | | - | | | | 3,634 | | | 3,634 | Total net unrealized gains (losses) included in other comprehensive income (loss) | | 148 | | | | 2,899 | | | | 1,942 | | | | - | | | 4,989 | Transfers into Level 3 | | 3,768 | | | | 4,704 | | | | 3,630 | | | | - | | | 12,102 | Transfers out of Level 3 | | (3,916 | ) | | | (4,989 | ) | | | (4,091 | ) | | | - | | | (12,996) | Balance, end of year | $ | - | | | $ | - | | | $ | 3,472 | | | $ | 82,937 | | | $86,409 | | | | | | | | | | | | | | | | | | | Total increase (decrease) in fair value of the financial assets included in earnings for the year | $ | - | | | $ | - | | | $ | - | | | $ | 3,634 | | | $3,634 |
| | | Commercial mortgage-backed securities | | | Residential mortgage-backed securities | | | Asset-backed securities | | | Reinsurance deposit assets | | | Total | Balance, beginning of year | $ | 524 | | | $ | 5,374 | | | $ | 1,036 | | | $ | 50,693 | | | $57,627 | Purchases | | - | | | | - | | | | - | | | | 25,000 | | | 25,000 | Sales, maturities and paydowns | | - | | | | (448 | ) | | | (29 | ) | | | - | | | (477) | Total increase (decrease) in fair value included in net income | | - | | | | - | | | | - | | | | 3,610 | | | 3,610 | Total net unrealized gains (losses) included in other comprehensive income (loss) | | 487 | | | | 799 | | | | (4 | ) | | | - | | | 1,282 | Transfers into Level 3 | | - | | | | 4,091 | | | | 3,984 | | | | - | | | 8,075 | Transfers out of Level 3 | | (1,011 | ) | | | (9,223 | ) | | | (2,760 | ) | | | - | | | (12,994) | Balance, end of year | $ | - | | | $ | 593 | | | $ | 2,227 | | | $ | 79,303 | | | $82,123 | | | | | | | | | | | | | | | | | | | Total increase (decrease) in fair value of the financial assets included in earnings for the year | $ | - | | | $ | - | | | $ | - | | | $ | 3,610 | | | $3,610 |
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| Fair value assets quantitative information |
The following table sets forth the weighted average of the significant unobservable quantitative information used for the fair value measurement of our reinsurance deposit assets as of December 31, 2014 and December 31, 2013:
| | | | | | | | 834 days | | | | 1,193 days | | Credit spread above the risk-free rate | | 1.46 | % | | | 1.58 | % | Net losses and LAE ceded inception-to-date | $ | - | | | $ | - | |
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| X |
- Definition
Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.
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Tabular disclosure of quantitative information about the inputs used in the fair value measurement of assets. This disclosure may include, but is not limited to, the fair value of the asset, valuation technique used to measure fair value, the inputs used to measure fair value, the ranges of the inputs, and the weighted averages of the inputs.
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- Definition
Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).
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