Fair Value of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2020

Schedule of Assets Measured at Fair Value on a Recurring Basis

Assets measured at fair value on a recurring basis are as follows:


	December 31, 2020
	Level 1		Level 2		Level 3		Total
Debt securities, available-for-sale:
U.S. Treasury	$	54,948	$	—	$	—	$	54,948
Federal agencies	261		—		—		261
States and political subdivision bonds	—		319,921		2,520		322,441
Foreign government	—		1,883		—		1,883
Corporate bonds	—		2,130,977		2,324		2,133,301
Residential mortgage-backed securities	—		1,106,416		—		1,106,416
Commercial mortgage-backed securities	—		654,632		—		654,632
Asset-backed securities	—		28,892		—		28,892
Structured securities	—		194,356		—		194,356
Total debt securities, available-for-sale	55,209		4,437,077		4,844		4,497,130
Short-term investments	171,086		20,000		—		191,086
Other investments	2,907		—		3,029		5,936
Total	$	229,202	$	4,457,077	$	7,873	$	4,694,152
NGHC	$	187,582	$	4,161,595	$	7,873	$	4,357,050
Reciprocal Exchanges	41,620		295,482		—		337,102
Total	$	229,202	$	4,457,077	$	7,873	$	4,694,152


	December 31, 2019
	Level 1		Level 2		Level 3		Total
Debt securities, available-for-sale:
U.S. Treasury	$	67,006	$	—	$	—	$	67,006
Federal agencies	3,915		—		—		3,915
States and political subdivision bonds	—		298,582		3,100		301,682
Foreign government	—		1,802		—		1,802
Corporate bonds	—		1,908,235		8,328		1,916,563
Residential mortgage-backed securities	—		1,277,460		—		1,277,460
Commercial mortgage-backed securities	—		612,193		—		612,193
Asset-backed securities	—		75,611		—		75,611
Structured securities	—		220,126		—		220,126
Total debt securities, available-for-sale:	70,921		4,394,009		11,428		4,476,358
Short-term investments	59,953		7,400		—		67,353
Other investments	4,881		—		4,484		9,365
Total	$	135,755	$	4,401,409	$	15,912	$	4,553,076
NGHC	$	116,602	$	4,091,068	$	15,912	$	4,223,582
Reciprocal Exchanges	19,153		310,341		—		329,494
Total	$	135,755	$	4,401,409	$	15,912	$	4,553,076

Reconciliation of Recurring Fair Value Measurements of Level 3 Financial Assets

The following tables provide a reconciliation of recurring fair value measurements of the Level 3 financial assets:


	States and political subdivision bonds		Corporate bonds		Other investments		Total
Balance as of January 1, 2020	$	3,100	$	8,328	$	4,484	$	15,912


Total gains (losses) for the period:
Included in net income	—		—		(531)		(531)
Included in other comprehensive income	(580)		(6,004)		—		(6,584)

Sales	—		—		(924)		(924)
Balance as of December 31, 2020	$	2,520	$	2,324	$	3,029	$	7,873
Change in unrealized gains (losses) for the period included in net income for assets held at the end of the reporting period					$	(531)	$	(531)
Change in unrealized gains (losses) for the period included in other comprehensive income for assets held at the end of the reporting period	$	(580)	$	(6,004)			$	(6,584)


	States and political subdivision bonds		Corporate bonds		Other investments		Total
Balance as of January 1, 2019	$	3,596	$	11,767	$	7,593	$	22,956


Total gains (losses) for the period:
Included in net income	—		—		(1,851)		(1,851)
Included in other comprehensive income	(496)		(3,439)		—		(3,935)

Sales	—		—		(1,258)		(1,258)
Balance as of December 31, 2019	$	3,100	$	8,328	$	4,484	$	15,912
Change in unrealized gains (losses) for the period included in net income for assets held at the end of the reporting period					$	(1,851)	$	(1,851)
Change in unrealized gains (losses) for the period included in other comprehensive income for assets held at the end of the reporting period	$	(496)	$	(3,439)			$	(3,935)

Schedule of Carrying Values and Estimated Fair Values of Debt not Carried at Fair Value

The following table presents the carrying amount and estimated fair value of debt not carried at fair value, excluding finance lease and other liabilities, as well as the input level used to determine the fair value:


		December 31, 2020				December 31, 2019
	Input Level	Carrying amount		Fair value		Carrying amount		Fair value
7.625% Notes	Level 2	$	97,015	$	101,400	$	96,928	$	103,560
6.75% Notes	Level 3	347,743		386,275		347,091		371,366
Subordinated Debentures	Level 3	72,168		72,139		72,168		72,103
2019 Credit Agreement	Level 3	140,000		144,063		140,000		148,272

National General Holdings Corp. 10-K