INVESTMENTS (Tables)

9 Months Ended

Sep. 30, 2015

INVESTMENTS

Schedule of securities in an unrealized loss position segregated by type and length of time in an unrealized loss position

	September 30,  2015						December 31,  2014
(in thousands)	< 12 Mos.		12 Mos. &  Greater		Total		< 12 Mos.		12 Mos. &  Greater		Total
U.S. Government
Fair value	$	—	$	—	$	—	$	4,416	$	—	$	4,416
Cost or amortized cost		—		—		—		4,427		—		4,427
Unrealized Loss	$	—	$	—	$	—	$	(11)	$	—	$	(11)
U.S. Agency
Fair value	$	2,073	$	—	$	2,073	$	—	$	—	$	—
Cost or amortized cost		2,091		—		2,091		—		—		—
Unrealized Loss	$	(18)	$	—	$	(18)	$	—	$	—	$	—
Non-U.S. government
Fair value	$	4,664	$	—	$	4,664	$	—	$	—	$	—
Cost or amortized cost		5,042		—		5,042		—		—		—
Unrealized Loss	$	(378)	$	—	$	(378)	$	—	$	—	$	—
Agency MBS
Fair value	$	43,665	$	19,294	$	62,959	$	12,840	$	61,534	$	74,374
Cost or amortized cost		43,841		19,657		63,498		12,947		62,803		75,750
Unrealized Loss	$	(176)	$	(363)	$	(539)	$	(107)	$	(1,269)	$	(1,376)
ABS/CMBS*
Fair value	$	18,525	$	2,571	$	21,096	$	63,782	$	11,616	$	75,398
Cost or amortized cost		18,675		2,593		21,268		64,084		11,725		75,809
Unrealized Loss	$	(150)	$	(22)	$	(172)	$	(302)	$	(109)	$	(411)
Corporate
Fair value	$	214,761	$	15,876	$	230,637	$	123,617	$	14,488	$	138,105
Cost or amortized cost		222,647		19,479		242,126		127,634		14,661		142,295
Unrealized Loss	$	(7,886)	$	(3,603)	$	(11,489)	$	(4,017)	$	(173)	$	(4,190)
Municipal
Fair value	$	52,040	$	—	$	52,040	$	12,382	$	19,019	$	31,401
Cost or amortized cost		52,639		—		52,639		12,411		19,123		31,534
Unrealized Loss	$	(599)	$	—	$	(599)	$	(29)	$	(104)	$	(133)
Subtotal, fixed income
Fair value	$	335,728	$	37,741	$	373,469	$	217,037	$	106,657	$	323,694
Cost or amortized cost		344,935		41,729		386,664		221,503		108,312		329,815
Unrealized Loss	$	(9,207)	$	(3,988)	$	(13,195)	$	(4,466)	$	(1,655)	$	(6,121)
Equity securities
Fair value	$	28,021	$	—	$	28,021	$	10,837	$	—	$	10,837
Cost or amortized cost		30,948		—		30,948		11,835		—		11,835
Unrealized Loss	$	(2,927)	$	—	$	(2,927)	$	(998)	$	—	$	(998)
Total
Fair value	$	363,749	$	37,741	$	401,490	$	227,874	$	106,657	$	334,531
Cost or amortized cost		375,883		41,729		417,612		233,338		108,312		341,650
Unrealized Loss	$	(12,134)	$	(3,988)	$	(16,122)	$	(5,464)	$	(1,655)	$	(7,119)

* 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	$	232,521	$	228,112	$	(4,409)	33.4	%
2	BBB	Baa		88,387		83,492		(4,895)	37.1	%
3	BB	Ba		33,320		31,700		(1,620)	12.3	%
4	B	B		31,846		29,677		(2,169)	16.4	%
5	CCC orlower	Caa or lower		590		488		(102)	0.8	%
6				—		—		—	—
		Total	$	386,664	$	373,469	$	(13,195)	100.0	%

Available for sale securities

INVESTMENTS

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

Available-for-sale
(in thousands)
	9/30/2015
	Cost or		Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
Asset Class	Cost		Gains		Losses		Value
U.S. government	$	32,708	$	328	$	-	$	33,036
U.S. agency		13,455		430		(18)		13,867
Non-U.S. govt. & agency		5,042		-		(378)		4,664
Agency MBS		253,499		8,312		(539)		261,272
ABS/CMBS*		83,203		1,778		(172)		84,809
Corporate		599,808		13,704		(11,489)		602,023
Municipal		516,618		16,614		(599)		532,633
Total Fixed Income	$	1,504,333	$	41,166	$	(13,195)	$	1,532,304
Equity	$	206,546	$	165,428	$	(2,927)	$	369,047

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

Available-for-sale
(in thousands)
	12/31/2014
	Cost or		Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
Asset Class	Cost		Gains		Losses		Value
U.S. government	$	33,668	$	131	$	(11)	$	33,788
U.S. agency		6,385		362		-		6,747
Non-U.S. govt. & agency		9,862		803		-		10,665
Agency MBS		256,443		9,401		(1,376)		264,468
ABS/CMBS*		133,894		1,821		(411)		135,304
Corporate		543,183		23,697		(4,190)		562,690
Municipal		464,769		16,789		(133)		481,425
Total Fixed Income	$	1,448,204	$	53,004	$	(6,121)	$	1,495,087
Equity	$	193,535	$	218,105	$	(998)	$	410,642

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

Schedule of contractual maturity of securities

	9/30/2015
Available-for-sale	Amortized		Fair
(in thousands)	Cost		Value
Due in one year or less	$	12,229	$	12,407
Due after one year through five years		286,581		292,120
Due after five years through 10 years		562,899		572,555
Due after 10 years		305,922		309,142
Mtge/ABS/CMBS*		336,702		346,080
Total available-for-sale	$	1,504,333	$	1,532,304

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