INVESTMENTS (Tables)

3 Months Ended

Mar. 31, 2019

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

Available-for-sale
(in thousands)
	March 31, 2019
	Cost or		Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
Asset Class	Cost		Gains		Losses		Value
U.S. government	$	192,148	$	2,964	$	(384)	$	194,728
U.S. agency		31,712		1,043		(17)		32,738
Non-U.S. govt. & agency		8,162		74		(293)		7,943
Agency MBS		396,248		3,211		(5,493)		393,966
ABS/CMBS*		146,164		983		(341)		146,806
Corporate		684,492		12,934		(3,910)		693,516
Municipal		313,171		10,664		(189)		323,646
Total Fixed Income	$	1,772,097	$	31,873	$	(10,627)	$	1,793,343

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

Available-for-sale
(in thousands)
	December 31, 2018
	Cost or		Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
Asset Class	Cost		Gains		Losses		Value
U.S. government	$	199,982	$	1,232	$	(985)	$	200,229
U.S. agency		31,716		403		(215)		31,904
Non-U.S. govt. & agency		8,170		-		(531)		7,639
Agency MBS		402,992		1,709		(9,448)		395,253
ABS/CMBS*		137,224		375		(876)		136,723
Corporate		681,909		2,894		(16,124)		668,679
Municipal		314,472		6,926		(1,310)		320,088
Total Fixed Income	$	1,776,465	$	13,539	$	(29,489)	$	1,760,515

*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

	March 31, 2019						December 31, 2018
(in thousands)	< 12 Mos.		12 Mos. &  Greater		Total		< 12 Mos.		12 Mos. &  Greater		Total
U.S. Government
Fair value	$	—	$	46,641	$	46,641	$	7,249	$	76,073	$	83,322
Amortized cost		—		47,025		47,025		7,270		77,037		84,307
Unrealized Loss	$	—	$	(384)	$	(384)	$	(21)	$	(964)	$	(985)
U.S. Agency
Fair value	$	—	$	3,988	$	3,988	$	—	$	8,843	$	8,843
Amortized cost		—		4,005		4,005		—		9,058		9,058
Unrealized Loss	$	—	$	(17)	$	(17)	$	—	$	(215)	$	(215)
Non-U.S. government
Fair value	$	—	$	3,669	$	3,669	$	5,432	$	2,207	$	7,639
Amortized cost		—		3,962		3,962		5,571		2,599		8,170
Unrealized Loss	$	—	$	(293)	$	(293)	$	(139)	$	(392)	$	(531)
Agency MBS
Fair value	$	1,388	$	239,998	$	241,386	$	25,345	$	261,325	$	286,670
Amortized cost		1,389		245,490		246,879		25,486		270,632		296,118
Unrealized Loss	$	(1)	$	(5,492)	$	(5,493)	$	(141)	$	(9,307)	$	(9,448)
ABS/CMBS*
Fair value	$	20,570	$	30,341	$	50,911	$	46,918	$	32,137	$	79,055
Amortized cost		20,689		30,563		51,252		47,146		32,785		79,931
Unrealized Loss	$	(119)	$	(222)	$	(341)	$	(228)	$	(648)	$	(876)
Corporate
Fair value	$	70,935	$	120,782	$	191,717	$	306,177	$	147,751	$	453,928
Amortized cost		72,528		123,099		195,627		315,428		154,624		470,052
Unrealized Loss	$	(1,593)	$	(2,317)	$	(3,910)	$	(9,251)	$	(6,873)	$	(16,124)
Municipal
Fair value	$	—	$	18,229	$	18,229	$	6,036	$	55,681	$	61,717
Amortized cost		—		18,418		18,418		6,052		56,975		63,027
Unrealized Loss	$	—	$	(189)	$	(189)	$	(16)	$	(1,294)	$	(1,310)
Total fixed income
Fair value	$	92,893	$	463,648	$	556,541	$	397,157	$	584,017	$	981,174
Amortized cost		94,606		472,562		567,168		406,953		603,710		1,010,663
Unrealized Loss	$	(1,713)	$	(8,914)	$	(10,627)	$	(9,796)	$	(19,693)	$	(29,489)

* 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	$	434,824	$	427,442	$	(7,382)	69.5	%
2	BBB	Baa		59,320		57,548		(1,772)	16.7	%
3	BB	Ba		34,925		34,375		(550)	5.2	%
4	B	B		36,178		35,408		(770)	7.2	%
5	CCC	Caa		1,921		1,768		(153)	1.4	%
6	CC or lower	Ca or lower		-		-		-	-	%
		Total	$	567,168	$	556,541	$	(10,627)	100.0	%

Available for sale securities

Schedule of contractual maturity of securities

	March 31, 2019
Available-for-sale	Amortized		Fair
(in thousands)	Cost		Value
Due in one year or less	$	42,428	$	42,477
Due after one year through five years		390,764		395,761
Due after five years through 10 years		615,405		627,475
Due after 10 years		181,088		186,858
Mtge/ABS/CMBS*		542,412		540,772
Total available-for-sale	$	1,772,097	$	1,793,343

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