Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2020

Fair Value Disclosures [Abstract]

Schedule of assets measured at fair value on a recurring basis

Assets measured at fair value on a recurring basis as of September 30, 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	$	—	$	288,596	$	—	$	288,596
Residential mortgage-backed	—		306,469		—		306,469
Corporate	—		776,955		—		776,955
Commercial mortgage and asset-backed	—		335,834		—		335,834
U.S. Treasury securities and obligations guaranteed by the U.S. government	103,130		464		—		103,594
Redeemable preferred stock	—		2,023		—		2,023
Total fixed maturity securities, available-for-sale	$	103,130	$	1,710,341	$	—	$	1,813,471
Equity securities:
Preferred stock	—		65,576		—		65,576
Common stock	9,305		5,015		—		14,320
Total equity securities	$	9,305	$	70,591	$	—	$	79,896
Bank loan participations	$	—	$	130,890	$	308	$	131,198
Short-term investments	$	—	$	71,986	$	—	$	71,986

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 using significant unobservable inputs

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				Nine Months Ended
	September 30, 2020		September 30, 2019		September 30, 2020		September 30, 2019
	(in thousands)				(in thousands)
Beginning balance	$	312	$	3,099	$	43	$	4,442
Transfers out of Level 3	(8)		(3,010)		(729)		(7,238)
Transfers in to Level 3	—		—		358		3,010
Purchases	—		—		703		—
Sales	—		—		—		—
Maturities, calls and paydowns	—		—		(17)		—
Amortization of discount	—		—		3		—
Total gains or losses (realized/unrealized):							—
Included in earnings	4		(45)		(53)		(170)
Included in other comprehensive income	—		—		—		—
Ending balance	$	308	$	44	$	308	$	44

Schedule of assets measured at fair value on a nonrecurring basis that were determined to be impaired

Bank loan participations held-for-investment that were determined to be impaired were written down to their fair value at December 31, 2019 as shown 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)
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:

	September 30, 2020				December 31, 2019
	Carrying Value		Fair Value		Carrying Value		Fair Value
	(in thousands)
Assets
Fixed maturity securities, available-for-sale	$	1,813,471	$	1,813,471	$	1,433,626	$	1,433,626
Equity securities	79,896		79,896		80,735		80,735
Bank loan participations	131,198		131,198		260,864		252,423
Cash and cash equivalents	139,969		139,969		206,912		206,912
Restricted cash equivalents	940,221		940,221		1,199,164		1,199,164
Short-term investments	71,986		71,986		156,925		156,925
Other invested assets – notes receivable	4,500		5,275		13,250		18,756
Liabilities
Senior debt	217,300		204,601		158,300		158,043
Junior subordinated debt	104,055		106,203		104,055		122,193