INVESTMENTS (Tables)

6 Months Ended

Jun. 30, 2018

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

Available-for-sale
(in thousands)
	June 30, 2018
	Cost or		Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
Asset Class	Cost		Gains		Losses		Value
U.S. government	$	151,446	$	96	$	(2,377)	$	149,165
U.S. agency		30,650		213		(607)		30,256
Non-U.S. govt. & agency		8,186		-		(291)		7,895
Agency MBS		364,298		1,685		(11,638)		354,345
ABS/CMBS*		101,075		152		(1,033)		100,194
Corporate		633,159		3,061		(11,534)		624,686
Municipal		438,261		8,198		(2,388)		444,071
Total Fixed Income	$	1,727,075	$	13,405	$	(29,868)	$	1,710,612

Available-for-sale
(in thousands)
	December 31, 2017
	Cost or		Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
Asset Class	Cost		Gains		Losses		Value
U.S. government	$	92,561	$	23	$	(895)	$	91,689
U.S. agency		18,541		347		(110)		18,778
Non-U.S. govt. & agency		7,501		143		(56)		7,588
Agency MBS		329,129		3,420		(4,078)		328,471
ABS/CMBS*		70,405		436		(315)		70,526
Corporate		508,128		12,575		(1,681)		519,022
Municipal		620,146		17,272		(1,253)		636,165
Total Fixed Income	$	1,646,411	$	34,216	$	(8,388)	$	1,672,239

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

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

	June 30, 2018						December 31, 2017
(in thousands)	< 12 Mos.		12 Mos. &  Greater		Total		< 12 Mos.		12 Mos. &  Greater		Total
U.S. Government
Fair value	$	104,958	$	33,589	$	138,547	$	58,009	$	30,888	$	88,897
Cost or amortized cost		106,718		34,206		140,924		58,443		31,349		89,792
Unrealized Loss	$	(1,760)	$	(617)	$	(2,377)	$	(434)	$	(461)	$	(895)
U.S. Agency
Fair value	$	15,422	$	—	$	15,422	$	10,917	$	—	$	10,917
Cost or amortized cost		16,029		—		16,029		11,027		—		11,027
Unrealized Loss	$	(607)	$	—	$	(607)	$	(110)	$	—	$	(110)
Non-U.S. government
Fair value	$	6,208	$	1,687	$	7,895	$	—	$	1,840	$	1,840
Cost or amortized cost		6,289		1,897		8,186		—		1,896		1,896
Unrealized Loss	$	(81)	$	(210)	$	(291)	$	—	$	(56)	$	(56)
Agency MBS
Fair value	$	199,344	$	106,745	$	306,089	$	122,130	$	111,306	$	233,436
Cost or amortized cost		205,847		111,880		317,727		123,559		113,955		237,514
Unrealized Loss	$	(6,503)	$	(5,135)	$	(11,638)	$	(1,429)	$	(2,649)	$	(4,078)
ABS/CMBS*
Fair value	$	66,925	$	18,028	$	84,953	$	23,406	$	21,587	$	44,993
Cost or amortized cost		67,707		18,279		85,986		23,491		21,817		45,308
Unrealized Loss	$	(782)	$	(251)	$	(1,033)	$	(85)	$	(230)	$	(315)
Corporate
Fair value	$	391,379	$	34,255	$	425,634	$	86,946	$	28,600	$	115,546
Cost or amortized cost		400,716		36,452		437,168		87,736		29,491		117,227
Unrealized Loss	$	(9,337)	$	(2,197)	$	(11,534)	$	(790)	$	(891)	$	(1,681)
Municipal
Fair value	$	85,824	$	22,227	$	108,051	$	71,059	$	60,049	$	131,108
Cost or amortized cost		87,458		22,981		110,439		71,534		60,827		132,361
Unrealized Loss	$	(1,634)	$	(754)	$	(2,388)	$	(475)	$	(778)	$	(1,253)
Total fixed income
Fair value	$	870,060	$	216,531	$	1,086,591	$	372,467	$	254,270	$	626,737
Cost or amortized cost		890,764		225,695		1,116,459		375,790		259,335		635,125
Unrealized Loss	$	(20,704)	$	(9,164)	$	(29,868)	$	(3,323)	$	(5,065)	$	(8,388)

* 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	$	932,315	$	908,318	$	(23,997)	80.3	%
2	BBB	Baa		124,031		119,785		(4,246)	14.2	%
3	BB	Ba		36,317		35,400		(917)	3.1	%
4	B	B		21,826		21,267		(559)	1.9	%
5	CCC	Caa		1,354		1,243		(111)	0.4	%
6	CC or lower	Ca or lower		616		578		(38)	0.1	%
		Total	$	1,116,459	$	1,086,591	$	(29,868)	100.0	%

Available for sale securities

Schedule of contractual maturity of securities

	June 30, 2018
Available-for-sale	Amortized		Fair
(in thousands)	Cost		Value
Due in one year or less	$	37,920	$	37,787
Due after one year through five years		349,532		349,582
Due after five years through 10 years		653,536		648,164
Due after 10 years		220,714		220,540
Mtge/ABS/CMBS*		465,373		454,539
Total available-for-sale	$	1,727,075	$	1,710,612

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