INVESTMENTS (Tables)

9 Months Ended

Sep. 30, 2019

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

Available-for-sale	September 30, 2019
(in thousands)	Cost or		Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
Asset Class	Cost		Gains		Losses		Value
U.S. government	$	232,269	$	8,705	$	(61)	$	240,913
U.S. agency		29,703		2,776		-		32,479
Non-U.S. govt. & agency		9,241		290		(189)		9,342
Agency MBS		421,448		10,632		(571)		431,509
ABS/CMBS*		173,469		3,230		(144)		176,555
Corporate		675,463		34,148		(1,509)		708,102
Municipal		340,370		17,781		(26)		358,125
Total Fixed Income	$	1,881,963	$	77,562	$	(2,500)	$	1,957,025

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

	September 30, 2019						December 31, 2018
(in thousands)	< 12 Mos.		12 Mos. &  Greater		Total		< 12 Mos.		12 Mos. &  Greater		Total
U.S. government
Fair value	$	998	$	15,717	$	16,715	$	7,249	$	76,073	$	83,322
Amortized cost		999		15,777		16,776		7,270		77,037		84,307
Unrealized Loss	$	(1)	$	(60)	$	(61)	$	(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	$	—	$	1,710	$	1,710	$	5,432	$	2,207	$	7,639
Amortized cost		—		1,899		1,899		5,571		2,599		8,170
Unrealized Loss	$	—	$	(189)	$	(189)	$	(139)	$	(392)	$	(531)
Agency MBS
Fair value	$	6,209	$	49,352	$	55,561	$	25,345	$	261,325	$	286,670
Amortized cost		6,215		49,917		56,132		25,486		270,632		296,118
Unrealized Loss	$	(6)	$	(565)	$	(571)	$	(141)	$	(9,307)	$	(9,448)
ABS/CMBS*
Fair value	$	26,521	$	8,101	$	34,622	$	46,918	$	32,137	$	79,055
Amortized cost		26,600		8,166		34,766		47,146		32,785		79,931
Unrealized Loss	$	(79)	$	(65)	$	(144)	$	(228)	$	(648)	$	(876)
Corporate
Fair value	$	32,584	$	16,226	$	48,810	$	306,177	$	147,751	$	453,928
Amortized cost		33,341		16,978		50,319		315,428		154,624		470,052
Unrealized Loss	$	(757)	$	(752)	$	(1,509)	$	(9,251)	$	(6,873)	$	(16,124)
Municipal
Fair value	$	8,579	$	—	$	8,579	$	6,036	$	55,681	$	61,717
Amortized cost		8,605		—		8,605		6,052		56,975		63,027
Unrealized Loss	$	(26)	$	—	$	(26)	$	(16)	$	(1,294)	$	(1,310)
Total fixed income
Fair value	$	74,891	$	91,106	$	165,997	$	397,157	$	584,017	$	981,174
Amortized cost		75,760		92,737		168,497		406,953		603,710		1,010,663
Unrealized Loss	$	(869)	$	(1,631)	$	(2,500)	$	(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	$	122,495	$	121,660	$	(835)	33.4	%
2	BBB	Baa		12,031		11,683		(348)	13.9	%
3	BB	Ba		12,481		11,981		(500)	20.0	%
4	B	B		20,977		20,245		(732)	29.3	%
5	CCC	Caa		513		428		(85)	3.4	%
6	CC or lower	Ca or lower		-		-		-	-	%
		Total	$	168,497	$	165,997	$	(2,500)	100.0	%

Available for sale securities

Schedule of contractual maturity of securities

	September 30, 2019
Available-for-sale	Amortized		Fair
(in thousands)	Cost		Value
Due in one year or less	$	87,635	$	87,812
Due after one year through five years		397,448		408,691
Due after five years through 10 years		593,686		627,483
Due after 10 years		208,277		224,975
Mtge/ABS/CMBS*		594,917		608,064
Total available-for-sale	$	1,881,963	$	1,957,025

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