INVESTMENTS (Tables)

6 Months Ended

Jun. 30, 2019

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

Available-for-sale	June 30, 2019
(in thousands)	Cost or		Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
Asset Class	Cost		Gains		Losses		Value
U.S. government	$	194,712	$	6,774	$	(101)	$	201,385
U.S. agency		29,708		1,987		-		31,695
Non-U.S. govt. & agency		9,249		192		(329)		9,112
Agency MBS		402,993		6,603		(1,400)		408,196
ABS/CMBS*		149,583		2,440		(147)		151,876
Corporate		701,358		27,072		(1,632)		726,798
Municipal		321,826		14,750		(25)		336,551
Total Fixed Income	$	1,809,429	$	59,818	$	(3,634)	$	1,865,613

Available-for-sale	December 31, 2018
(in thousands)	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

	June 30, 2019						December 31, 2018
(in thousands)	< 12 Mos.		12 Mos. &  Greater		Total		< 12 Mos.		12 Mos. &  Greater		Total
U.S. government
Fair value	$	—	$	23,525	$	23,525	$	7,249	$	76,073	$	83,322
Amortized cost		—		23,626		23,626		7,270		77,037		84,307
Unrealized Loss	$	—	$	(101)	$	(101)	$	(21)	$	(964)	$	(985)
U.S. agency
Fair value	$	—	$	—	$	—	$	—	$	8,843	$	8,843
Amortized cost		—		—		—		—		9,058		9,058
Unrealized Loss	$	—	$	—	$	—	$	—	$	(215)	$	(215)
Non-U.S. government
Fair value	$	—	$	3,625	$	3,625	$	5,432	$	2,207	$	7,639
Amortized cost		—		3,954		3,954		5,571		2,599		8,170
Unrealized Loss	$	—	$	(329)	$	(329)	$	(139)	$	(392)	$	(531)
Agency MBS
Fair value	$	1	$	129,203	$	129,204	$	25,345	$	261,325	$	286,670
Amortized cost		1		130,603		130,604		25,486		270,632		296,118
Unrealized Loss	$	—	$	(1,400)	$	(1,400)	$	(141)	$	(9,307)	$	(9,448)
ABS/CMBS*
Fair value	$	16,755	$	11,628	$	28,383	$	46,918	$	32,137	$	79,055
Amortized cost		16,823		11,707		28,530		47,146		32,785		79,931
Unrealized Loss	$	(68)	$	(79)	$	(147)	$	(228)	$	(648)	$	(876)
Corporate
Fair value	$	44,618	$	32,689	$	77,307	$	306,177	$	147,751	$	453,928
Amortized cost		45,578		33,361		78,939		315,428		154,624		470,052
Unrealized Loss	$	(960)	$	(672)	$	(1,632)	$	(9,251)	$	(6,873)	$	(16,124)
Municipal
Fair value	$	—	$	8,146	$	8,146	$	6,036	$	55,681	$	61,717
Amortized cost		—		8,171		8,171		6,052		56,975		63,027
Unrealized Loss	$	—	$	(25)	$	(25)	$	(16)	$	(1,294)	$	(1,310)
Total fixed income
Fair value	$	61,374	$	208,816	$	270,190	$	397,157	$	584,017	$	981,174
Amortized cost		62,402		211,422		273,824		406,953		603,710		1,010,663
Unrealized Loss	$	(1,028)	$	(2,606)	$	(3,634)	$	(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	$	203,150	$	201,403	$	(1,747)	48.1	%
2	BBB	Baa		21,914		21,213		(701)	19.3	%
3	BB	Ba		22,336		21,950		(386)	10.6	%
4	B	B		24,877		24,148		(729)	20.1	%
5	CCC	Caa		1,547		1,476		(71)	2.0	%
6	CC or lower	Ca or lower		-		-		-	-	%
		Total	$	273,824	$	270,190	$	(3,634)	100.0	%

Available for sale securities

Schedule of contractual maturity of securities

	June 30, 2019
Available-for-sale	Amortized		Fair
(in thousands)	Cost		Value
Due in one year or less	$	51,149	$	51,233
Due after one year through five years		400,628		410,544
Due after five years through 10 years		615,648		643,270
Due after 10 years		189,428		200,494
Mtge/ABS/CMBS*		552,576		560,072
Total available-for-sale	$	1,809,429	$	1,865,613

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