INVESTMENTS (Tables)

9 Months Ended

Sep. 30, 2017

Schedule of securities in an unrealized loss position segregated by type and length of time in an unrealized loss position

	September 30,  2017						December 31,  2016
(in thousands)	< 12 Mos.		12 Mos. &  Greater		Total		< 12 Mos.		12 Mos. &  Greater		Total
U.S. Government
Fair value	$	54,686	$	3,008	$	57,694	$	48,500	$	—	$	48,500
Cost or amortized cost		55,028		3,040		58,068		49,079		—		49,079
Unrealized Loss	$	(342)	$	(32)	$	(374)	$	(579)	$	—	$	(579)
U.S. Agency
Fair value	$	7,921	$	—	$	7,921	$	—	$	—	$	—
Cost or amortized cost		8,007		—		8,007		—		—		—
Unrealized Loss	$	(86)	$	—	$	(86)	$	—	$	—	$	—
Non-U.S. government
Fair value	$	1,973	$	1,865	$	3,838	$	7,647	$	—	$	7,647
Cost or amortized cost		1,988		1,896		3,884		8,015		—		8,015
Unrealized Loss	$	(15)	$	(31)	$	(46)	$	(368)	$	—	$	(368)
Agency MBS
Fair value	$	156,908	$	56,025	$	212,933	$	175,858	$	5,737	$	181,595
Cost or amortized cost		158,567		57,319		215,886		179,238		5,925		185,163
Unrealized Loss	$	(1,659)	$	(1,294)	$	(2,953)	$	(3,380)	$	(188)	$	(3,568)
ABS/CMBS*
Fair value	$	22,971	$	15,577	$	38,548	$	48,907	$	5,272	$	54,179
Cost or amortized cost		23,032		15,732		38,764		49,372		5,364		54,736
Unrealized Loss	$	(61)	$	(155)	$	(216)	$	(465)	$	(92)	$	(557)
Corporate
Fair value	$	58,328	$	24,028	$	82,356	$	144,353	$	15,535	$	159,888
Cost or amortized cost		58,881		25,509		84,390		146,979		18,579		165,558
Unrealized Loss	$	(553)	$	(1,481)	$	(2,034)	$	(2,626)	$	(3,044)	$	(5,670)
Municipal
Fair value	$	61,840	$	54,964	$	116,804	$	250,930	$	—	$	250,930
Cost or amortized cost		62,387		55,769		118,156		257,518		—		257,518
Unrealized Loss	$	(547)	$	(805)	$	(1,352)	$	(6,588)	$	—	$	(6,588)
Subtotal, fixed income
Fair value	$	364,627	$	155,467	$	520,094	$	676,195	$	26,544	$	702,739
Cost or amortized cost		367,890		159,265		527,155		690,201		29,868		720,069
Unrealized Loss	$	(3,263)	$	(3,798)	$	(7,061)	$	(14,006)	$	(3,324)	$	(17,330)
Equity securities
Fair value	$	8,696	$	4,506	$	13,202	$	7,438	$	1,973	$	9,411
Cost or amortized cost		9,716		5,178		14,894		8,029		2,648		10,677
Unrealized Loss	$	(1,020)	$	(672)	$	(1,692)	$	(591)	$	(675)	$	(1,266)
Total
Fair value	$	373,323	$	159,973	$	533,296	$	683,633	$	28,517	$	712,150
Cost or amortized cost		377,606		164,443		542,049		698,230		32,516		730,746
Unrealized Loss	$	(4,283)	$	(4,470)	$	(8,753)	$	(14,597)	$	(3,999)	$	(18,596)

* Non-agency asset-backed and commercial mortgage-backed

Schedule of credit quality indicators for investments in unrealized loss positions

	Equivalent	Equivalent	(dollars in thousands)
NAIC	S&P	Moody’s	Amortized				Unrealized		Percent
Rating	Rating	Rating	Cost		Fair Value		Loss		to Total
1	AAA/AA/A	Aaa/Aa/A	$	483,555	$	478,024	$	(5,531)	78.3	%
2	BBB	Baa		27,896		27,669		(227)	3.2	%
3	BB	Ba		5,693		5,639		(54)	0.8	%
4	B	B		7,945		7,171		(774)	11.0	%
5	CCC orlower	Caa or lower		2,066		1,591		(475)	6.7	%
6				—		—		—	—
		Total	$	527,155	$	520,094	$	(7,061)	100.0	%

Available for sale securities

Schedule of amortized cost and fair value of available-for-sale securities

Available-for-sale
(in thousands)
	September 30,  2017
	Cost or		Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
Asset Class	Cost		Gains		Losses		Value
U.S. government	$	88,660	$	159	$	(374)	$	88,445
U.S. agency		13,482		350		(86)		13,746
Non-U.S. govt. & agency		9,497		185		(46)		9,636
Agency MBS		330,257		4,254		(2,953)		331,558
ABS/CMBS*		74,589		616		(216)		74,989
Corporate		532,893		14,496		(2,034)		545,355
Municipal		630,943		20,238		(1,352)		649,829
Total Fixed Income	$	1,680,321	$	40,298	$	(7,061)	$	1,713,558
Equity	$	189,212	$	205,693	$	(1,692)	$	393,213

*Non-agency asset-backed and commercial mortgage-backed

Available-for-sale
(in thousands)
	December 31,  2016
	Cost or		Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
Asset Class	Cost		Gains		Losses		Value
U.S. government	$	77,054	$	88	$	(579)	$	76,563
U.S. agency		5,473		340		-		5,813
Non-U.S. govt. & agency		9,517		2		(368)		9,151
Agency MBS		283,002		4,635		(3,568)		284,069
ABS/CMBS*		93,791		676		(557)		93,910
Corporate		503,041		10,996		(5,670)		508,367
Municipal		624,349		9,575		(6,588)		627,336
Total Fixed Income	$	1,596,227	$	26,312	$	(17,330)	$	1,605,209
Equity	$	187,573	$	182,912	$	(1,266)	$	369,219

*Non-agency asset-backed and commercial mortgage-backed

Schedule of contractual maturity of securities

	September 30,  2017
Available-for-sale	Amortized		Fair
(in thousands)	Cost		Value
Due in one year or less	$	21,240	$	20,984
Due after one year through five years		339,233		346,408
Due after five years through 10 years		571,384		586,385
Due after 10 years		343,618		353,234
Mtge/ABS/CMBS*		404,846		406,547
Total available-for-sale	$	1,680,321	$	1,713,558

*Mortgage-backed, asset-backed and commercial mortgage-backed