INVESTMENTS (Tables)

3 Months Ended

Mar. 31, 2020

Schedule of disposition of fixed maturities and equities

SALES	Proceeds		Gross Realized				Net Realized
(in thousands)	From Sales		Gains		Losses		Gain (Loss)
2020
Available-for-sale	$	19,858	$	2,270	$	(102)	$	2,168
Equities		38,042		17,792		(2,633)		15,159
2019
Available-for-sale	$	92,277	$	1,356	$	(723)	$	633
Equities		26,347		9,034		(592)		8,442

CALLS/MATURITIES			Gross Realized				Net Realized
(in thousands)	Proceeds		Gains		Losses		Gain (Loss)
2020
Available-for-sale	$	54,890	$	145	$	(7)	$	138
2019
Available-for-sale	$	24,745	$	1	$	(9)	$	(8)

Fair Value, Assets Measured on Recurring Basis

	As of March 31, 2020
	Fair Value Measurements Using
	Quoted Prices in		Significant Other		Significant
	Active Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
(in thousands)	(Level 1)		(Level 2)		(Level 3)		Total
Fixed income securities - available-for-sale
U.S. government	$	—	$	186,974	$	—	$	186,974
U.S. agency		—		37,042		—		37,042
Non-U.S. govt. & agency		—		7,316		—		7,316
Agency MBS		—		414,262		—		414,262
ABS/CMBS*		—		223,601		—		223,601
Corporate		—		683,615		4,803		688,418
Municipal		—		405,972		—		405,972
Total fixed income securities - available-for-sale	$	—	$	1,958,782	$	4,803	$	1,963,585
Equity securities		356,403		—		—		356,403
Other invested assets		12,056		—		—		12,056
Total	$	368,459	$	1,958,782	$	4,803	$	2,332,044

	As of December 31, 2019
	Fair Value Measurements Using
	Quoted Prices in		Significant Other		Significant
	Active Markets for		Observable		Unobservable
	Identical Assets		Inputs		Inputs
(in thousands)	(Level 1)		(Level 2)		(Level 3)		Total
Fixed income securities - available-for-sale
U.S. government	$	—	$	193,661	$	—	$	193,661
U.S. agency		—		38,855		—		38,855
Non-U.S. govt. & agency		—		7,628		—		7,628
Agency MBS		—		420,165		—		420,165
ABS/CMBS*		—		224,870		—		224,870
Corporate		—		690,297		1,770		692,067
Municipal		—		405,840		—		405,840
Total fixed income securities - available-for-sale	$	—	$	1,981,316	$	1,770	$	1,983,086
Equity securities		460,630		—		—		460,630
Total	$	460,630	$	1,981,316	$	1,770	$	2,443,716

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

Summary of changes in balance of Level 3 securities

	Level 3
(in thousands)	Securities
Balance as of January 1, 2020	$	1,770
Net realized and unrealized gains (losses)
Included in net earnings (loss) as a part of:
Net investment income		(5)
Net realized gains		(16)
Included in other comprehensive earnings (loss)		(1,048)
Total net realized and unrealized gains (losses)	$	(1,069)
Purchases		4,102
Balance as of March 31, 2020	$	4,803
Change in unrealized gains (losses) during the period for Level 3 assets held at period-end - included in net realized gains	$	(16)
Change in unrealized gains (losses) during the period for Level 3 assets held at period-end - included in other comprehensive earnings (loss)	$	(1,048)

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

Available-for-sale	March 31, 2020
(in thousands)	Cost or		Allowance		Gross		Gross
	Amortized		for Credit		Unrealized		Unrealized		Fair
Asset Class	Cost		Losses		Gains		Losses		Value
U.S. government	$	171,026	$	-	$	15,948	$	-	$	186,974
U.S. agency		32,236		-		4,806		-		37,042
Non-U.S. govt. & agency		7,324		-		105		(113)		7,316
Agency MBS		396,474		-		17,807		(19)		414,262
ABS/CMBS*		230,830		(21)		1,908		(9,116)		223,601
Corporate		685,116		(857)		23,364		(19,205)		688,418
Municipal		389,845		-		16,203		(76)		405,972
Total Fixed Income	$	1,912,851	$	(878)	$	80,141	$	(28,529)	$	1,963,585

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

Available-for-sale	December 31, 2019
(in thousands)	Cost or		Allowance		Gross		Gross
	Amortized		for Credit		Unrealized		Unrealized		Fair
Asset Class	Cost		Losses		Gains		Losses		Value
U.S. government	$	186,699	$	-	$	6,994	$	(32)	$	193,661
U.S. agency		36,535		-		2,362		(42)		38,855
Non-U.S. govt. & agency		7,333		-		295		-		7,628
Agency MBS		411,808		-		8,920		(563)		420,165
ABS/CMBS*		222,832		-		2,514		(476)		224,870
Corporate		659,640		-		33,245		(818)		692,067
Municipal		390,431		-		16,131		(722)		405,840
Total Fixed Income	$	1,915,278	$	-	$	70,461	$	(2,653)	$	1,983,086

*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, 2020						December 31, 2019
(in thousands)	< 12 Mos.		12 Mos. &  Greater		Total		< 12 Mos.		12 Mos. &  Greater		Total
U.S. government
Fair value	$	—	$	—	$	—	$	2,505	$	8,463	$	10,968
Amortized cost		—		—		—		2,506		8,494		11,000
Unrealized Loss	$	—	$	—	$	—	$	(1)	$	(31)	$	(32)
U.S. agency
Fair value	$	—	$	—	$	—	$	6,794	$	—	$	6,794
Amortized cost		—		—		—		6,836		—		6,836
Unrealized Loss	$	—	$	—	$	—	$	(42)	$	—	$	(42)
Non-U.S. government
Fair value	$	3,011	$	—	$	3,011	$	—	$	—	$	—
Amortized cost		3,124		—		3,124		—		—		—
Unrealized Loss	$	(113)	$	—	$	(113)	$	—	$	—	$	—
Agency MBS
Fair value	$	249	$	1,296	$	1,545	$	21,548	$	41,718	$	63,266
Amortized cost		249		1,315		1,564		21,664		42,165		63,829
Unrealized Loss	$	—	$	(19)	$	(19)	$	(116)	$	(447)	$	(563)
ABS/CMBS*
Fair value	$	126,540	$	15,405	$	141,945	$	74,968	$	18,036	$	93,004
Amortized cost		134,660		16,401		151,061		75,332		18,148		93,480
Unrealized Loss	$	(8,120)	$	(996)	$	(9,116)	$	(364)	$	(112)	$	(476)
Corporate
Fair value	$	220,349	$	4,182	$	224,531	$	16,478	$	9,348	$	25,826
Amortized cost		238,510		5,226		243,736		16,950		9,694		26,644
Unrealized Loss	$	(18,161)	$	(1,044)	$	(19,205)	$	(472)	$	(346)	$	(818)
Municipal
Fair value	$	7,301	$	—	$	7,301	$	47,018	$	—	$	47,018
Amortized cost		7,377		—		7,377		47,740		—		47,740
Unrealized Loss	$	(76)	$	—	$	(76)	$	(722)	$	—	$	(722)
Total fixed income
Fair value	$	357,450	$	20,883	$	378,333	$	169,311	$	77,565	$	246,876
Amortized cost		383,920		22,942		406,862		171,028		78,501		249,529
Unrealized Loss	$	(26,470)	$	(2,059)	$	(28,529)	$	(1,717)	$	(936)	$	(2,653)

* 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	$	202,517	$	191,912	$	(10,605)	37.2	%
2	BBB	Baa		85,785		80,759		(5,026)	17.6	%
3	BB	Ba		65,256		59,398		(5,858)	20.5	%
4	B	B		50,630		44,392		(6,238)	21.9	%
5	CCC	Caa		2,674		1,872		(802)	2.8	%
6	CC or lower	Ca or lower		-		-		-	-	%
		Total	$	406,862	$	378,333	$	(28,529)	100.0	%

Available for sale securities

Schedule of contractual maturity of securities

	March 31, 2020
Available-for-sale	Amortized		Fair
(in thousands)	Cost		Value
Due in one year or less	$	56,844	$	56,702
Due after one year through five years		442,572		449,447
Due after five years through 10 years		549,193		569,898
Due after 10 years		236,938		249,675
Mtge/ABS/CMBS*		627,304		637,863
Total available-for-sale	$	1,912,851	$	1,963,585

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