INVESTMENTS (Tables)

3 Months Ended

Jun. 30, 2020

INVESTMENTS

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	$	42,874	$	3,495	$	(1,162)	$	2,333
Equities		52,533		19,569		(6,732)		12,837
2019
Available-for-sale	$	133,473	$	2,346	$	(1,106)	$	1,240
Equities		33,360		13,016		(711)		12,305

CALLS/MATURITIES			Gross Realized				Net Realized
(in thousands)	Proceeds		Gains		Losses		Gain (Loss)
2020
Available-for-sale	$	121,911	$	294	$	(9)	$	285
2019
Available-for-sale	$	53,113	$	58	$	(9)	$	49

Fair Value, Assets Measured on Recurring Basis

	As of June 30, 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	$	—	$	186,838	$	—	$	186,838
U.S. agency		—		32,091		—		32,091
Non-U.S. govt. & agency		—		7,692		—		7,692
Agency MBS		—		409,167		—		409,167
ABS/CMBS*		—		218,507		—		218,507
Corporate		—		758,066		7,059		765,125
Municipal		—		455,673		—		455,673
Total fixed income securities - available-for-sale	$	—	$	2,068,034	$	7,059	$	2,075,093
Equity securities		422,198		—		—		422,198
Other invested assets		15,792		—		—		15,792
Total	$	437,990	$	2,068,034	$	7,059	$	2,513,083

	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 as a part of:
Net investment income		(10)
Net realized gains (losses)		(96)
Included in other comprehensive earnings		(282)
Total net realized and unrealized gains (losses)	$	(388)
Purchases		5,677
Balance as of June 30, 2020	$	7,059
Change in unrealized gains (losses) during the period for Level 3 assets held at period-end - included in net realized gains	$	(96)
Change in unrealized gains (losses) during the period for Level 3 assets held at period-end - included in other comprehensive earnings (loss)	$	(282)

Schedule of contractual maturity of securities

	June 30, 2020
Available-for-sale	Amortized		Fair
(in thousands)	Cost		Value
Due in one year or less	$	75,077	$	75,888
Due after one year through five years		472,458		495,968
Due after five years through 10 years		526,480		571,103
Due after 10 years		279,538		304,460
Mtge/ABS/CMBS*		602,584		627,674
Total available-for-sale	$	1,956,137	$	2,075,093

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

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

Available-for-sale	June 30, 2020
(in thousands)	Cost or		Allowance		Gross		Gross
	Amortized		for Credit		Unrealized		Unrealized		Fair
Asset Class	Cost		Losses		Gains		Losses		Value
U.S. government	$	171,174	$	-	$	15,664	$	-	$	186,838
U.S. agency		27,913		-		4,178		-		32,091
Non-U.S. govt. & agency		7,316		-		401		(25)		7,692
Agency MBS		388,036		-		21,208		(77)		409,167
ABS/CMBS*		214,548		(54)		5,218		(1,205)		218,507
Corporate		717,748		(931)		54,610		(6,302)		765,125
Municipal		429,402		-		26,341		(70)		455,673
Total Fixed Income	$	1,956,137	$	(985)	$	127,620	$	(7,679)	$	2,075,093

*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

	June 30, 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	$	1,995	$	—	$	1,995	$	—	$	—	$	—
Amortized cost		2,020		—		2,020		—		—		—
Unrealized Loss	$	(25)	$	—	$	(25)	$	—	$	—	$	—
Agency MBS
Fair value	$	22,294	$	468	$	22,762	$	21,548	$	41,718	$	63,266
Amortized cost		22,368		471		22,839		21,664		42,165		63,829
Unrealized Loss	$	(74)	$	(3)	$	(77)	$	(116)	$	(447)	$	(563)
ABS/CMBS*
Fair value	$	34,445	$	15,578	$	50,023	$	74,968	$	18,036	$	93,004
Amortized cost		35,297		15,931		51,228		75,332		18,148		93,480
Unrealized Loss	$	(852)	$	(353)	$	(1,205)	$	(364)	$	(112)	$	(476)
Corporate
Fair value	$	110,503	$	5,185	$	115,688	$	16,478	$	9,348	$	25,826
Amortized cost		116,140		5,850		121,990		16,950		9,694		26,644
Unrealized Loss	$	(5,637)	$	(665)	$	(6,302)	$	(472)	$	(346)	$	(818)
Municipal
Fair value	$	12,038	$	—	$	12,038	$	47,018	$	—	$	47,018
Amortized cost		12,108		—		12,108		47,740		—		47,740
Unrealized Loss	$	(70)	$	—	$	(70)	$	(722)	$	—	$	(722)
Total fixed income
Fair value	$	181,275	$	21,231	$	202,506	$	169,311	$	77,565	$	246,876
Amortized cost		187,933		22,252		210,185		171,028		78,501		249,529
Unrealized Loss	$	(6,658)	$	(1,021)	$	(7,679)	$	(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	$	100,257	$	98,089	$	(2,168)	28.2	%
2	BBB	Baa		10,076		9,860		(216)	2.8	%
3	BB	Ba		51,161		49,264		(1,897)	24.7	%
4	B	B		42,541		40,086		(2,455)	32.0	%
5	CCC	Caa		5,822		5,019		(803)	10.5	%
6	CC or lower	Ca or lower		328		188		(140)	1.8	%
		Total	$	210,185	$	202,506	$	(7,679)	100.0	%