Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2019

Fair Value Measurements

Summary of major categories of assets measured at fair value on a recurring basis

	September 30, 2019
	Quoted Prices in		Significant
	Active Markets		Other		Significant
	for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
($ in thousands)	(Level 1)		(Level 2)		(Level 3)		Total
Fixed income securities:
U.S. Treasury securities	$	—	$	73,351	$	—	$	73,351
Government agency securities		—		4,846		—		4,846
Corporate debt securities		—		1,246,196		129,586		1,375,782
Municipal debt obligations		—		14,756		—		14,756
ABS		—		85,216		—		85,216
CLO		—		179,744		—		179,744
CMBS		—		70,360		—		70,360
RMBS - non agency		—		74,314		—		74,314
RMBS - agency		—		147,586		—		147,586
Total fixed income securities	$	—	$	1,896,369	$	129,586		2,025,955
Investments measured at net asset value:
Limited partnerships and limited liability companies								65,322
Total assets at fair value							$	2,091,277

	December 31, 2018
	Quoted Prices in		Significant
	Active Markets		Other		Significant
	for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
($ in thousands)	(Level 1)		(Level 2)		(Level 3)		Total
Fixed income securities:
U.S. Treasury securities	$	—	$	90,328	$	—	$	90,328
Corporate debt securities		—		1,065,933		126,497		1,192,430
Municipal debt obligations		—		6,085		—		6,085
ABS		—		83,581		—		83,581
CLO		—		156,913		—		156,913
CMBS		—		53,843		—		53,843
RMBS - non agency		—		79,551		—		79,551
RMBS - agency		—		30,651		—		30,651
Total fixed income securities	$	—	$	1,566,885	$	126,497		1,693,382
Investments measured at net asset value:
Limited partnerships and limited liability companies								53,432
Total assets at fair value							$	1,746,814

Summary of carrying value and fair value of financial instruments that are not recognized or are not carried at fair value

	September 30, 2019
	Carrying		Fair Value
($ in thousands)	Value		Total		Level 1		Level 2		Level 3
Assets
Commercial levered loans	$	14,601	$	14,323	$	—	$	—	$	14,323
Liabilities
Notes payable	$	165,000	$	167,736	$	—	$	167,736	$	—
Unamortized debt issuance costs		(391)
Total notes payable	$	164,609

	December 31, 2018
	Carrying		Fair Value
($ in thousands)	Value		Total		Level 1		Level 2		Level 3
Assets
Commercial levered loans	$	16,915	$	15,858	$	—	$	—	$	15,858
Liabilities
Notes payable	$	183,000	$	183,999	$	—	$	183,999	$	—
Unamortized debt issuance costs		(645)
Total notes payable	$	182,355

Summary of the changes in the fair value of securities measured using Level 3 inputs

	Level 3
	Corporate
($ in thousands)	Securities
Fair value, December 31, 2018	$	126,497
Total net gains (losses) for the period included in:
Other comprehensive income		1,514
Net realized loss		(4)
Purchases		4,372
Sales		—
Issuances		—
Settlements		(2,793)
Transfers into Level 3		—
Transfers out of Level 3		—
Fair value, September 30, 2019	$	129,586

	Level 3
	Corporate
($ in thousands)	Securities
Fair value, December 31, 2017	$	—
Total net losses for the period included in:
Other comprehensive loss		(362)
Net realized loss		(9)
Purchases		7,228
Sales		—
Issuances		—
Settlements		(1,333)
Transfers into Level 3		119,004
Transfers out of Level 3		—
Fair value, September 30, 2018	$	124,528