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Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2020

Schedule of assets measured at fair value on a recurring basis

Assets measured at fair value on a recurring basis as of March 31, 2020 are summarized below:



	Fair Value Measurements Using
	Quoted Prices in Active Markets for Identical Assets Level 1		Significant Other Observable Inputs Level 2		Significant Unobservable Inputs Level 3		Total
	(in thousands)
Fixed maturity securities, available-for-sale:
State and municipal	$	—	$	181,375	$	—	$	181,375
Residential mortgage-backed	—		307,439		—		307,439
Corporate	—		685,021		—		685,021
Commercial mortgage and asset-backed	—		268,979		—		268,979
U.S. Treasury securities and obligations guaranteed by the U.S. government	125,580		443		—		126,023
Redeemable preferred stock	—		1,768		—		1,768
Total fixed maturity securities, available-for-sale	$	125,580	$	1,445,025	$	—	$	1,570,605
Equity securities:
Preferred stock	—		60,861		—		60,861
Common stock	7,980		2,549		4		10,533
Total equity securities	$	7,980	$	63,410	$	4	$	71,394
Bank loan participations	$	—	$	201,860	$	1,028	$	202,888
Short-term investments	$	—	$	71,058	$	—	$	71,058

Assets measured at fair value on a recurring basis as of December 31, 2019 are summarized below:



	Fair Value Measurements Using
	Quoted Prices in Active Markets for Identical Assets Level 1		Significant Other Observable Inputs Level 2		Significant Unobservable Inputs Level 3		Total
	(in thousands)
Fixed maturity securities, available-for-sale:
State and municipal	$	—	$	167,101	$	—	$	167,101
Residential mortgage-backed	—		264,146		—		264,146
Corporate	—		632,221		—		632,221
Commercial mortgage and asset-backed	—		252,457		—		252,457
U.S. Treasury securities and obligations guaranteed by the U.S. government	115,173		494		—		115,667
Redeemable preferred stock	—		2,034		—		2,034
Total fixed maturity securities, available-for-sale	$	115,173	$	1,318,453	$	—	$	1,433,626
Equity securities:
Preferred stock	—		62,747		—		62,747
Common stock	14,669		3,276		43		17,988
Total equity securities	$	14,669	$	66,023	$	43	$	80,735
Short-term investments	$	—	$	156,925	$	—	$	156,925

Reconciliation of securities measured at fair value on a recurring basis

A reconciliation of the beginning and ending balances of available-for-sale fixed maturity securities, equity securities, and bank loan participations measured at fair value on a recurring basis (as a result of the fair value option effective January 1, 2020) using significant unobservable inputs (Level 3) is shown below:



	Three Months Ended
	March 31, 2020			March 31, 2019
	(in thousands)
Beginning balance	$	43		$	4,442
Transfers out of Level 3	—			(4,228		)
Transfers in to Level 3	358			—
Purchases	703			—
Sales	—			—
Maturities, calls and paydowns	(17		)	—
Amortization of discount	3			—
Total gains or losses (realized/unrealized):				—
Included in earnings	(58		)	(37		)
Included in other comprehensive income	—			—
Ending balance	$	1,032		$	177

Schedule of assets measured at fair value on a nonrecurring basis



	Fair Value Measurements Using
	Quoted Prices In Active Markets for Identical Assets Level 1		Significant Other Observable Inputs Level 2		Significant Unobservable Inputs Level 3		Total
	(in thousands)
December 31, 2019
Bank loan participations held-for-investment	$	—	$	—	$	6,949	$	6,949

Schedule of carrying value and fair value

The carrying values and fair values of financial instruments are summarized below:



	March 31, 2020				December 31, 2019
	Carrying Value		Fair Value		Carrying Value		Fair Value
	(in thousands)
Assets
Fixed maturity securities, available-for-sale	$	1,570,605	$	1,570,605	$	1,433,626	$	1,433,626
Equity securities	71,394		71,394		80,735		80,735
Bank loan participations	202,888		202,888		260,864		252,423
Cash and cash equivalents	291,223		291,223		206,912		206,912
Restricted cash equivalents	1,107,321		1,107,321		1,199,164		1,199,164
Short-term investments	71,058		71,058		156,925		156,925
Other invested assets – notes receivable	7,180		11,458		13,250		18,756
Liabilities
Senior debt	277,300		257,965		158,300		158,043
Junior subordinated debt	104,055		106,618		104,055		122,193