Investments (Tables)

12 Months Ended

Dec. 31, 2019

Investments

Summary of the Company’s investment components

	December 31
($ in thousands)	2019				2018
Fixed income securities, AFS (fair value):
U.S. Treasury securities	$	49,985	2.3	%	$	90,328	5.0	%
Government agency securities		6,531	0.3	%		-	‐	%
Corporate debt securities		1,338,812	61.8	%		1,192,430	66.3	%
Municipal debt obligations		79,815	3.7	%		6,085	0.3	%
ABS		73,582	3.4	%		83,581	4.7	%
CLO		179,549	8.3	%		156,913	8.7	%
CMBS		97,526	4.5	%		53,843	3.0	%
RMBS – non-agency		71,610	3.3	%		79,551	4.4	%
RMBS – agency		143,272	6.6	%		30,651	1.7	%
Total fixed income securities, AFS		2,040,682	94.2	%		1,693,382	94.1	%
Short-term investments		43,873	2.0	%		36,661	2.0	%
Commercial levered loans (amortized cost)		14,069	0.7	%		16,915	0.9	%
Limited partnerships and limited liability companies (fair value)		66,660	3.1	%		53,432	3.0	%
Total investments	$	2,165,284	100.0	%	$	1,800,390	100.0	%

Summary of gross unrealized gains and losses on AFS securities included in assets

The gross unrealized gains and losses on AFS securities included in assets from continuing operations at December 31, 2019, are as follows:

	Cost/		Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
($ in thousands)	Cost		Gains		Losses		Value
Fixed income securities:
U.S. Treasury securities	$	49,161	$	838	$	(14)	$	49,985
Government agency securities		6,522		23		(14)		6,531
Corporate debt securities		1,308,094		33,743		(3,025)		1,338,812
Municipal debt obligations		80,338		243		(766)		79,815
ABS		73,068		854		(340)		73,582
CLO		181,704		125		(2,280)		179,549
CMBS		95,810		1,863		(147)		97,526
RMBS - non-agency		62,343		9,458		(191)		71,610
RMBS - agency		142,363		1,256		(347)		143,272
Total fixed income securities	$	1,999,403	$	48,403	$	(7,124)	$	2,040,682

The gross unrealized gains and losses on AFS securities included in assets from continuing operations at December 31, 2018, are as follows:

	Cost/		Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
($ in thousands)	Cost		Gains		Losses		Value
Fixed income securities:
U.S. Treasury securities	$	92,219	$	126	$	(2,017)	$	90,328
Corporate debt securities		1,231,352		1,216		(40,138)		1,192,430
Municipal debt obligations		6,238		—		(153)		6,085
ABS		82,603		1,095		(117)		83,581
CLO		161,421		160		(4,668)		156,913
CMBS		55,980		—		(2,137)		53,843
RMBS - non-agency		68,594		11,078		(121)		79,551
RMBS - agency		31,348		—		(697)		30,651
Total fixed income securities	$	1,729,755	$	13,675	$	(50,048)	$	1,693,382

Summary of all securities in an unrealized loss position, the fair value and gross unrealized loss by asset class and by length of time those securities have been in a loss position

The following table summarizes all securities in an unrealized loss position at December 31, 2019, the fair value and gross unrealized loss by asset class and by length of time those securities have been in a loss position:

	Less Than 12 Months				Greater Than 12 Months				Total
											Total
	Fair		Unrealized		Fair		Unrealized		Total		Unrealized
($ in thousands)	Value		Losses		Value		Losses		Fair Value		Losses
U.S. Treasury securities	$	—	$	—	$	7,469	$	(14)	$	7,469	$	(14)
Government agency securities		3,192		(14)		—		—		3,192		(14)
Corporate debt securities		133,341		(2,509)		50,695		(516)		184,036		(3,025)
Municipal debt obligations		66,355		(766)		—		—		66,355		(766)
ABS		27,884		(175)		11,165		(165)		39,049		(340)
CLO		28,485		(338)		110,825		(1,942)		139,310		(2,280)
CMBS		18,307		(102)		6,053		(45)		24,360		(147)
RMBS - non-agency		2,173		(14)		2,418		(177)		4,591		(191)
RMBS - agency		10,450		(12)		12,367		(335)		22,817		(347)
Total	$	290,187	$	(3,930)	$	200,992	$	(3,194)	$	491,179	$	(7,124)

The following table summarizes all securities in an unrealized loss position at December 31, 2018, the fair value and gross unrealized loss by asset class and by length of time those securities have been in a loss position:

	Less Than 12 Months				Greater Than 12 Months				Total
											Total
	Fair		Unrealized		Fair		Unrealized		Total		Unrealized
($ in thousands)	Value		Losses		Value		Losses		Fair Value		Losses
U.S. Treasury securities	$	8,263	$	(82)	$	69,727	$	(1,935)	$	77,990	$	(2,017)
Corporate debt securities		393,931		(10,241)		710,482		(29,897)		1,104,413		(40,138)
Municipal debt obligations		—		—		6,085		(153)		6,085		(153)
ABS		25,258		(61)		4,249		(56)		29,507		(117)
CLO		146,004		(4,668)		—		—		146,004		(4,668)
CMBS		—		—		53,843		(2,137)		53,843		(2,137)
RMBS - non-agency		529		(13)		2,449		(108)		2,978		(121)
RMBS - agency		27,150		(513)		3,502		(184)		30,652		(697)
Total	$	601,135	$	(15,578)	$	850,337	$	(34,470)	$	1,451,472	$	(50,048)

Summary of amortized cost and fair value of fixed income securities

	December 31, 2019
	Amortized		Fair
($ in thousands)	Cost		Value
Due in one year or less	$	99,035	$	99,326
Due after one through five years		679,649		692,219
Due after five through ten years		507,803		523,276
Due after ten years		157,628		160,322
		1,444,115		1,475,143
Structured securities:
ABS		73,068		73,582
CLO		181,704		179,549
CMBS		95,810		97,526
RMBS - non-agency		62,343		71,610
RMBS - agency		142,363		143,272
Totals	$	1,999,403	$	2,040,682

Summary of net investment income included in net income from continuing operations

($ in thousands)	2019		2018		2017
Fixed income securities	$	66,975	$	55,765	$	33,467
Commercial levered loans		765		1,114		1,153
Net limited partnerships gains		3,101		1,081		3,240
Other		358		176		216
Total investment income		71,199		58,136		38,076
Less: investment income attributable to funds withheld liabilities		(655)		(912)		—
Less: expenses		(1,647)		(1,253)		(1,880)
Net investment income	$	68,897	$	55,971	$	36,196