
	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
	(in thousands)
September 30, 2021
Fixed maturity securities:
State and municipal	$	324,050	$	13,032	$	(1,447)	$	335,635
Residential mortgage-backed	258,302		3,877		(1,104)		261,075
Corporate	698,454		31,511		(4,093)		725,872
Commercial mortgage and asset-backed	307,223		6,899		(964)		313,158

U.S. Treasury securities and obligations guaranteed by the U.S. government	85,252		1,032		(297)		85,987

Total fixed maturity securities, available-for-sale	$	1,673,281	$	56,351	$	(7,905)	$	1,721,727
December 31, 2020
Fixed maturity securities:
State and municipal	$	277,241	$	19,203	$	(39)	$	296,405
Residential mortgage-backed	286,104		7,784		(40)		293,848
Corporate	715,145		52,098		(421)		766,822
Commercial mortgage and asset-backed	314,911		12,611		(803)		326,719

U.S. Treasury securities and obligations guaranteed by the U.S. government	97,489		2,360		(1)		99,848

Total fixed maturity securities, available-for-sale	$	1,690,890	$	94,056	$	(1,304)	$	1,783,642


	Cost or Amortized Cost		Fair Value
	(in thousands)
One year or less	$	103,777	$	104,859
After one year through five years	458,454		477,708
After five years through ten years	303,453		310,034
After ten years	242,072		254,893
Residential mortgage-backed	258,302		261,075
Commercial mortgage and asset-backed	307,223		313,158

Total	$	1,673,281	$	1,721,727


	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, 2021
Fixed maturity securities:
State and municipal	$	85,803	$	(1,402)	$	1,155	$	(45)	$	86,958	$	(1,447)
Residential mortgage-backed	126,424		(1,100)		311		(4)		126,735		(1,104)
Corporate	160,709		(3,186)		9,060		(907)		169,769		(4,093)
Commercial mortgage and asset-backed	110,471		(956)		2,438		(8)		112,909		(964)

U.S. Treasury securities and obligations guaranteed by the U.S. government	24,600		(297)		—		—		24,600		(297)

Total fixed maturity securities, available-for-sale	$	508,007	$	(6,941)	$	12,964	$	(964)	$	520,971	$	(7,905)
December 31, 2020
Fixed maturity securities:
State and municipal	$	7,193	$	(39)	$	—	$	—	$	7,193	$	(39)
Residential mortgage-backed	3,649		(40)		—		—		3,649		(40)
Corporate	28,607		(421)		—		—		28,607		(421)
Commercial mortgage and asset-backed	18,427		(447)		38,802		(356)		57,229		(803)

U.S. Treasury securities and obligations guaranteed by the U.S. government	2,291		(1)		—		—		2,291		(1)

Total fixed maturity securities, available-for-sale	$	60,167	$	(948)	$	38,802	$	(356)	$	98,969	$	(1,304)

At September 30, 2021, the Company held fixed maturity securities of 200 issuers that were in an unrealized loss position with a total fair value of $521.0 million and gross unrealized losses of $7.9 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, 2021, 99.4% 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, 2021 had an aggregate fair value of $10.0 million and an aggregate net unrealized gain of $96,000.

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 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, 2021, December 31, 2020, or 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.

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, 2021, the Company's bank loan portfolio had an aggregate fair value of $155.0 million and unpaid principal of $158.5 million. Investment income on bank loan participations included in net investment income was $2.8 million and $8.2 million for the three and nine months ended September 30, 2021, respectively ($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 $375,000 and $6.6 million for the three and nine months ended September 30, 2021, respectively, related to changes in unrealized gains and losses on bank loan participations (gains of $9.7 million and losses of $7.6 million in the three and nine months ended September 30, 2020, respectively). For the three and nine months ended September 30, 2021, management concluded that none of the unrealized losses were due to credit-related impairments. Management concluded that $437,000 and $8.2 million of unrealized losses in the three and nine months ended September 30, 2020, respectively, were due to credit-related impairments. Losses due to credit-related impairments are 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.

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, 2021 or December 31, 2020.


	Three Months Ended September 30,				Nine Months Ended September 30,
	2021		2020		2021		2020
	(in thousands)
Fixed maturity securities:
Gross realized gains	$	3,170	$	386	$	4,361	$	906
Gross realized losses	(3)		—		(27)		(1)
	3,167		386		4,334		905
Bank loan participations:
Gross realized gains	130		24		448		357
Gross realized losses	(310)		(3,506)		(1,093)		(14,484)
Changes in fair values of bank loan participations	375		9,741		6,626		(7,636)
	195		6,259		5,981		(21,763)
Equity securities:
Gross realized gains	—		13		111		13
Gross realized losses	(2)		—		(497)		(170)
Changes in fair values of equity securities	643		2,374		3,803		(6,895)
	641		2,387		3,417		(7,052)
Short-term investments and other:
Gross realized gains	70		27		75		76
Gross realized losses	(150)		—		(150)		(1)
Changes in fair values of short-term investments and other	60		(130)		81		(50)
	(20)		(103)		6		25
Total	$	3,983	$	8,929	$	13,738	$	(27,885)



	Carrying Value				Investment Income
	September 30,		December 31,		Three Months Ended September 30,				Nine Months Ended September 30,
	2021		2020		2021		2020		2021		2020
	(in thousands)
Renewable energy LLCs (a)
Excess and Surplus Lines	$	25,471	$	—	$	634	$	—	$	634	$	—
Corporate & Other	2,762		30,145		14		(526)		(772)		320
	28,233		30,145		648		(526)		(138)		320
Renewable energy notes receivable (b)
Excess and Surplus Lines	4,000		—		120		—		344		—
Corporate & Other	5,000		—		150		547		430		814
	9,000		—		270		547		774		814
Limited partnerships (c)
Excess and Surplus Lines	12,349		4,096		699		125		1,115		2
Corporate & Other	3,662		7,807		58		301		920		100
	16,011		11,903		757		426		2,035		102
Bank holding companies (d)
Excess and Surplus Lines	4,500		—		85		—		114		—
Corporate & Other	—		4,500		—		86		143		258
	4,500		4,500		85		86		257		258
Total other invested assets
Excess and Surplus Lines	46,320		4,096		1,538		125		2,207		2
Corporate & Other	11,424		42,452		222		408		721		1,492
	$	57,744	$	46,548	$	1,760	$	533	$	2,928	$	1,494

(a)The Company's Excess and Surplus Lines and Corporate and Other segments own 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 Non-Executive Chairman 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. During the nine months ended September 30, 2021, the Company transferred $26.3 million of its investments in the LLCs from the Corporate and Other segment to the Excess and Surplus Lines segment. The Company received cash distributions from these investments totaling $1.8 million and $1.0 million in the nine months ended September 30, 2021 and 2020, 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, private equity general partnership interests, commercial mortgage-backed securities, and tranches of distressed home loans. Income from the partnerships is recognized under the equity method of accounting. During the nine months ended September 30, 2021, the Company transferred $5.1 million of its investments in the limited partnerships from the Corporate and Other segment to the Excess and Surplus Lines segment. At September 30, 2021, the Company’s Excess and Surplus Lines segment has outstanding commitments to invest another $6.1 million in these limited partnerships.

(d)The Company's Excess and Surplus Lines segment holds $4.5 million of subordinated notes issued by a bank holding company for which the Company’s Non-Executive Chairman 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"). During the nine months ended September 30, 2021, the Company transferred ownership of the subordinated notes from the Corporate and Other segment to the Excess and Surplus Lines segment. Interest on the notes, which mature on August 12, 2023, is fixed at 7.6% per annum.

At December 31, 2020, 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 $520,000 at December 31, 2020, was classified as an available-for-sale fixed maturity. During the nine months ended September 30, 2021, the Company received the final principal repayment for the investment.