
	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
	(in thousands)
September 30, 2020
Fixed maturity securities:
State and municipal	$	271,218	$	17,484	$	(106)	$	288,596
Residential mortgage-backed	297,932		8,591		(54)		306,469
Corporate	727,678		50,067		(790)		776,955
Commercial mortgage and asset-backed	324,966		12,535		(1,667)		335,834

U.S. Treasury securities and obligations guaranteed by the U.S. government	100,742		2,852		—		103,594
Redeemable preferred stock	2,025		—		(2)		2,023
Total fixed maturity securities, available-for-sale	$	1,724,561	$	91,529	$	(2,619)	$	1,813,471
December 31, 2019
Fixed maturity securities:
State and municipal	$	159,894	$	7,949	$	(742)	$	167,101
Residential mortgage-backed	261,524		3,244		(622)		264,146
Corporate	611,304		21,306		(389)		632,221
Commercial mortgage and asset-backed	249,309		3,954		(806)		252,457

U.S. Treasury securities and obligations guaranteed by the U.S. government	114,477		1,229		(39)		115,667
Redeemable preferred stock	2,025		9		—		2,034
Total fixed maturity securities, available-for-sale	$	1,398,533	$	37,691	$	(2,598)	$	1,433,626


	Cost or Amortized Cost		Fair Value
	(in thousands)
One year or less	$	104,099	$	105,328
After one year through five years	456,660		483,155
After five years through ten years	306,679		330,510
After ten years	232,200		250,152
Residential mortgage-backed	297,932		306,469
Commercial mortgage and asset-backed	324,966		335,834
Redeemable preferred stock	2,025		2,023
Total	$	1,724,561	$	1,813,471


	Less Than 12 Months				12 Months or More				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
	(in thousands)
September 30, 2020
Fixed maturity securities:
State and municipal	$	17,967	$	(106)	$	—	$	—	$	17,967	$	(106)
Residential mortgage-backed	14,601		(54)		—		—		14,601		(54)
Corporate	41,182		(790)		—		—		41,182		(790)
Commercial mortgage and asset-backed	23,964		(1,118)		38,344		(549)		62,308		(1,667)


Redeemable preferred stock	2,023		(2)		—		—		2,023		(2)
Total fixed maturity securities, available-for-sale	$	99,737	$	(2,070)	$	38,344	$	(549)	$	138,081	$	(2,619)
December 31, 2019
Fixed maturity securities:
State and municipal	$	30,028	$	(741)	$	667	$	(1)	$	30,695	$	(742)
Residential mortgage-backed	23,632		(78)		37,363		(544)		60,995		(622)
Corporate	45,550		(365)		9,933		(24)		55,483		(389)
Commercial mortgage and asset-backed	46,434		(406)		56,720		(400)		103,154		(806)

U.S. Treasury securities and obligations guaranteed by the U.S. government	8,474		(22)		7,168		(17)		15,642		(39)

Total fixed maturity securities, available-for-sale	$	154,118	$	(1,612)	$	111,851	$	(986)	$	265,969	$	(2,598)

At September 30, 2020, the Company held fixed maturity securities of 27 issuers that were in an unrealized loss position with a total fair value of $138.1 million and gross unrealized losses of $2.6 million. None of the fixed maturity securities with unrealized losses has ever missed, or been delinquent on, a scheduled principal or interest payment. At September 30, 2020, 99.5% of the Company’s fixed maturity security portfolio was rated “BBB-” or better (“investment grade”) by Standard & Poor’s or received an equivalent rating from another nationally recognized rating agency. Fixed maturity securities with ratings below investment grade by Standard & Poor’s or another nationally recognized rating agency at September 30, 2020 had an aggregate fair value of $8.8 million and an aggregate net unrealized gain of $56,000.

The Company adopted ASU 2016-13, Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments on January 1, 2020. This update changed the impairment model for available-for-sale fixed maturities and requires the Company to determine whether unrealized losses on available-for-sale fixed maturities are due to credit-related factors. An allowance for credit losses is established for any credit-related impairments, limited to the amount by which fair value is below amortized cost. Changes in the allowance for credit losses are recognized in earnings and included in net realized and unrealized gains (losses) on investments. Unrealized losses that are not credit-related will continue to be recognized in other comprehensive income.

The Company considers the extent to which fair value is below amortized cost in determining whether a credit-related loss exists. The Company also considers the credit quality rating of the security, with a special emphasis on securities downgraded below investment grade. A comparison is made between the present value of expected future cash flows for a security and its amortized cost. If the present value of future expected cash flows is less than amortized cost, a credit loss is presumed to exist and an allowance for credit losses is established. Management may conclude that a qualitative analysis is sufficient to support its conclusion that the present value of the expected cash flows equals or exceeds a security’s amortized cost. As a result of this review, management concluded that there were no credit-related impairments of fixed maturity securities at September 30, 2020. Management does not intend to sell the securities in an unrealized loss position, and it is not “more likely than not” that the Company will be required to sell these securities before a recovery in their value to their amortized cost basis occurs.

securities from one issuer that we intended to sell at a loss in the second quarter were impaired. The Company recorded impairment losses on these securities of $271,000 in the three months ended March 31, 2019. Management concluded that none of the fixed maturity securities with an unrealized loss at September 30, 2019 had experienced an other-than-temporary impairment.

In connection with the adoption of ASU 2016-13, the Company elected the fair value option in accounting for bank loan participations effective January 1, 2020. The targeted transition relief offered by ASU 2019-05, Financial Instruments - Credit Losses (Topic 326): Targeted Transition Relief was applied to elect the fair value option to account for bank loan participations already held at the January 1, 2020 date of adoption. Under the fair value option, bank loan participations are measured at fair value, and changes in unrealized gains and losses in bank loan participations are reported in our income statement as net realized and unrealized gains (losses) on investments. At adoption on January 1, 2020, the Company applied the amendments on a modified retrospective basis, reducing the carrying value of its bank loan portfolio to fair value through an $8.4 million adjustment with a $7.8 million (net of tax) cumulative effect adjustment to reduce retained earnings.

Applying the fair value option to the bank loan portfolio increases volatility in the Company's financial statements, but management believes it is less subjective and less burdensome to implement and maintain than ASU 2016-13, which would have otherwise been required. At September 30, 2020, the Company's bank loan portfolio had an aggregate fair value of $131.2 million and unpaid principal of $151.8 million. Investment income on bank loan participations included in net investment income was $2.4 million and $9.7 million for the three and nine months ended September 30, 2020, respectively. Net realized and unrealized gains (losses) on investments includes gains of $9.7 million and losses of $7.6 million related to changes in unrealized gains and losses on bank loan participations in the three and nine months ended September 30, 2020, respectively, and management concluded that $437,000 and $8.2 million of unrealized losses were due to credit-related impairments for the three and nine months ended September 30, 2020, respectively. Losses due to credit-related impairments were determined based upon consultations and advice from the Company's specialized investment manager and consideration of any adverse situations that could affect the borrower's ability to repay, the estimated value of underlying collateral, and other relevant factors.

Prior to the election of the fair value option on January 1, 2020, bank loan participations were classified as held-for-investment and carried at amortized cost net of any allowance for credit losses. Under the prior accounting method, management concluded that seven loans from six issuers in the Company's bank loan portfolio were impaired at December 31, 2019. At December 31, 2019, the impaired loans had a carrying value of $6.9 million, unpaid principal of $14.3 million, and an allowance for credit losses of $7.2 million, $5.1 million of which related to two loans from one issuer that was experiencing liquidity concerns resulting from revenue declines and poor growth prospects in its most profitable segment. Management concluded that five of the loans in the Company’s loan portfolio were impaired at September 30, 2019. At September 30, 2019, the impaired loans had a carrying value of $6.4 million, unpaid principal of $12.3 million, and an allowance for credit losses of $5.9 million, $4.2 million of which related to two loans from one issuer that was experiencing liquidity concerns resulting from revenue declines and poor growth prospects in its most profitable segment.

Bank loan participations generally provide a higher yield than our portfolio of fixed maturities and have a credit rating that is below investment grade (i.e. below “BBB-” for Standard & Poor’s) at the date of purchase. These bank loans are primarily senior, secured floating-rate debt rated “BB”, “B”, or “CCC” by Standard & Poor’s or an equivalent rating from another nationally recognized rating agency. These bank loans include assignments of, and participations in, performing and non-performing senior corporate debt generally acquired through primary bank syndications and in secondary markets. Bank loans consist of, but are not limited to, term loans, the funded and unfunded portions of revolving credit loans, and other similar loans and investments. Management believed that it was probable at the time that these loans were acquired that the Company would be able to collect all contractually required payments receivable.

Interest income on bank loan participations is accrued on the unpaid principal balance, and discounts and premiums on bank loan participations are amortized to income using the interest method. Generally, the accrual of interest on a bank loan participation is discontinued when the contractual payment of principal or interest has become 90 days past due or management has serious doubts about further collectability of principal or interest. A bank loan participation may remain on accrual status if it is in the process of collection and is either guaranteed or well secured. Generally, bank loan participations are restored to accrual status when the obligation is brought current, has performed in accordance with the contractual terms for a reasonable period of time, and the ultimate collectability of the total contractual principal and interest is no longer in doubt. Interest received on nonaccrual loans generally is reported as investment income. There were no bank loans on nonaccrual status at September 30, 2020 or December 31, 2019.


	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
	(in thousands)
Fixed maturity securities:
Gross realized gains	$	386	$	445	$	906	$	1,033
Gross realized losses	—		(9)		(1)		(494)
	386		436		905		539
Bank loan participations:
Gross realized gains	24		79		357		229
Gross realized losses	(3,506)		(6,056)		(14,484)		(9,056)
Changes in fair values of bank loan participations	9,741		—		(7,636)		—
	6,259		(5,977)		(21,763)		(8,827)
Equity securities:
Gross realized gains	13		11		13		11
Gross realized losses	—		(78)		(170)		(96)
Changes in fair values of equity securities	2,374		3,251		(6,895)		8,700
	2,387		3,184		(7,052)		8,615
Short-term investments and other:
Gross realized gains	27		1		76		5
Gross realized losses	—		(1)		(1)		(1)
Changes in fair values of short-term investments and other	(130)		—		(50)		—
	(103)		—		25		4
Total	$	8,929	$	(2,357)	$	(27,885)	$	331



	Carrying Value				Investment Income
	September 30,		December 31,		Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019		2020		2019
	(in thousands)
Renewable energy LLCs (a)	$	30,520	$	31,219	$	(526)	$	1,602	$	320	$	2,510
Renewable energy notes receivable (b)	—		8,750		547		328		814		984
Limited partnerships (c)	10,601		16,741		426		(631)		102		2,166
Bank holding companies (d)	4,500		4,500		86		85		258		257
Total other invested assets	$	45,621	$	61,210	$	533	$	1,384	$	1,494	$	5,917

(a)The Company’s Corporate and Other segment owns equity interests ranging from 2.6% to 32.6% in various LLCs whose principal objective is capital appreciation and income generation from owning and operating renewable energy production facilities (wind and solar). The LLCs are managed by an entity for which two former directors served as officers, and the Company’s Chairman and Chief Executive Officer ("CEO") has invested in certain of these LLCs. The equity method is used to account for the Company’s LLC investments. Income for the LLCs primarily reflects adjustments to the carrying values of investments in renewable energy projects to their determined fair values. The fair value adjustments are included in revenues

for the LLCs. Expenses for the LLCs are not significant and are comprised of administrative and interest expenses. The Company received cash distributions from these investments totaling $1.0 million and $687,000 in the nine months ended September 30, 2020 and 2019, respectively.

(b)The Company's Corporate and Other segment has invested in notes receivable for renewable energy projects. At December 31, 2019, the Company held an $8.8 million note issued by an entity for which two of our former directors serve as officers. During the nine months ended September 30, 2020, the Company received the total principal balance of $8.8 million for the note issued. Interest on the note was fixed at 15.0%. Interest income on the note was $547,000 and $814,000 for the three and nine months ended September 30, 2020, respectively ($328,000 and $984,000 for the three and nine months ended September 30, 2019, respectively).

(c)The Company owns investments in limited partnerships that invest in concentrated portfolios including publicly-traded small cap equities, loans of middle market private equity sponsored companies, and tranches of distressed home loans. Income from the partnerships is recognized under the equity method of accounting. The Company’s Corporate and Other segment held an investment in a limited partnership with a carrying value of $3.5 million at September 30, 2020. The Company recognized investment income of $100,000 and $182,000 on the investment for the nine months ended September 30, 2020 and 2019, respectively. The Company’s Excess and Surplus Lines segment holds investments in limited partnerships of $7.1 million at September 30, 2020. Investment income of $2,000 and $2.0 million was recognized on the investments for the nine months ended September 30, 2020 and 2019, respectively. At September 30, 2020, the Company’s Excess and Surplus Lines segment has outstanding commitments to invest another $3.9 million in these limited partnerships.

(d)The Company's Corporate and Other segment holds $4.5 million of subordinated notes issued by a bank holding company for which the Company’s Chairman and CEO was previously the Lead Independent Director and an investor and for which one of the Company’s directors was an investor and is currently a holder of the subordinated notes (the "Bank Holding Company"). Interest on the notes, which mature on August 12, 2023, is fixed at 7.6% per annum. Interest income on the notes was $257,000 for both nine month periods ended September 30, 2020 and 2019, respectively.

At September 30, 2020 and December 31, 2019, the Company held an investment in a CLO where one of the underlying loans was issued by the Bank Holding Company. The investment, with a carrying value of $677,000 at September 30, 2020, is classified as an available-for-sale fixed maturity.