Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value Measurements

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

	March 31, 2020
($ in thousands)	Level 1		Level 2		Level 3		Total
Fixed maturity securities:
U.S. Treasury securities	$	—	$	43,322	$	—	$	43,322
Government agency securities		—		28,589		—		28,589
Corporate debt securities		—		1,149,269		152,418		1,301,687
Municipal debt obligations		—		100,641		—		100,641
ABS		—		46,020		—		46,020
CLO		—		157,563		—		157,563
CMBS		—		94,474		—		94,474
RMBS - non agency		—		90,633		—		90,633
RMBS - agency		—		139,491		—		139,491
Total fixed maturity securities		—		1,850,002		152,418		2,002,420
Non-redeemable preferred stock securities		—		11,378		—		11,378
Total investments measured at fair value	$	—	$	1,861,380	$	152,418		2,013,798
Investments measured at net asset value:
Limited partnerships and limited liability companies								65,011
Total assets at fair value							$	2,078,809

	December 31, 2019
($ in thousands)	Level 1		Level 2		Level 3		Total
Fixed maturity securities:
U.S. Treasury securities	$	—	$	49,985	$	—	$	49,985
Government agency securities		—		6,531		—		6,531
Corporate debt securities		—		1,189,181		149,631		1,338,812
Municipal debt obligations		—		79,815		—		79,815
ABS		—		73,582		—		73,582
CLO		—		179,549		—		179,549
CMBS		—		97,526		—		97,526
RMBS - non agency		—		71,610		—		71,610
RMBS - agency		—		143,272		—		143,272
Total investments measured at fair value	$	—	$	1,891,051	$	149,631		2,040,682
Investments measured at net asset value:
Limited partnerships and limited liability companies								66,660
Total assets at fair value							$	2,107,342

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

	March 31, 2020
	Carrying		Fair Value
($ in thousands)	Value		Total		Level 1		Level 2		Level 3
Assets
Commercial levered loans	$	13,725	$	12,246	$	—	$	—	$	12,246
Liabilities
Notes payable	$	165,000	$	166,288	$	—	$	166,288	$	—
Unamortized debt issuance costs		(222)
Notes payable, net of debt issuance costs	$	164,778

	December 31, 2019
	Carrying		Fair Value
($ in thousands)	Value		Total		Level 1		Level 2		Level 3
Assets
Commercial levered loans	$	14,069	$	13,950	$	—	$	—	$	13,950
Liabilities
Notes payable	$	165,000	$	167,507	$	—	$	167,507	$	—
Unamortized debt issuance costs		(307)
Notes payable, net of debt issuance costs	$	164,693

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

	Level 3
	Corporate Debt
($ in thousands)	Securities
Fair value, December 31, 2019	$	149,631
Total net (losses) gains for the period included in:
Other comprehensive loss		(10,703)
Net realized gain		1
Purchases		14,241
Sales		—
Issuances		—
Settlements		(752)
Transfers into Level 3		—
Transfers out of Level 3		—
Fair value, March 31, 2020	$	152,418

	Level 3
	Corporate Debt
($ in thousands)	Securities
Fair value, December 31, 2018	$	126,497
Total net losses for the period included in:
Other comprehensive loss		(1,273)
Net realized loss		(40)
Purchases		2,329
Sales		—
Issuances		—
Settlements		(1,373)
Transfers into Level 3		—
Transfers out of Level 3		—
Fair value, March 31, 2019	$	126,140