INVESTMENTS (Tables)

3 Months Ended

Mar. 31, 2016

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

	March 31,  2016						December 31,  2015
(in thousands)	< 12 Mos.		12 Mos. &  Greater		Total		< 12 Mos.		12 Mos. &  Greater		Total
U.S. Government
Fair value	$	—	$	—	$	—	$	36,000	$	—	$	36,000
Cost or amortized cost		—		—		—		36,112		—		36,112
Unrealized Loss	$	—	$	—	$	—	$	(112)	$	—	$	(112)
U.S. Agency
Fair value	$	4,001	$	—	$	4,001	$	8,070	$	—	$	8,070
Cost or amortized cost		4,002		—		4,002		8,117		—		8,117
Unrealized Loss	$	(1)	$	—	$	(1)	$	(47)	$	—	$	(47)
Non-U.S. government
Fair value	$	3,737	$	—	$	3,737	$	4,478	$	—	$	4,478
Cost or amortized cost		4,054		—		4,054		5,035		—		5,035
Unrealized Loss	$	(317)	$	—	$	(317)	$	(557)	$	—	$	(557)
Agency MBS
Fair value	$	5,779	$	25,039	$	30,818	$	100,424	$	18,520	$	118,944
Cost or amortized cost		5,815		25,301		31,116		101,473		19,090		120,563
Unrealized Loss	$	(36)	$	(262)	$	(298)	$	(1,049)	$	(570)	$	(1,619)
ABS/CMBS*
Fair value	$	12,833	$	7,221	$	20,054	$	51,091	$	8,364	$	59,455
Cost or amortized cost		12,862		7,315		20,177		51,562		8,499		60,061
Unrealized Loss	$	(29)	$	(94)	$	(123)	$	(471)	$	(135)	$	(606)
Corporate
Fair value	$	101,587	$	47,606	$	149,193	$	275,404	$	15,174	$	290,578
Cost or amortized cost		105,798		53,927		159,725		285,515		19,870		305,385
Unrealized Loss	$	(4,211)	$	(6,321)	$	(10,532)	$	(10,111)	$	(4,696)	$	(14,807)
Municipal
Fair value	$	1,902	$	—	$	1,902	$	8,462	$	2,418	$	10,880
Cost or amortized cost		1,903		—		1,903		8,504		2,424		10,928
Unrealized Loss	$	(1)	$	—	$	(1)	$	(42)	$	(6)	$	(48)
Subtotal, fixed income
Fair value	$	129,839	$	79,866	$	209,705	$	483,929	$	44,476	$	528,405
Cost or amortized cost		134,434		86,543		220,977		496,318		49,883		546,201
Unrealized Loss	$	(4,595)	$	(6,677)	$	(11,272)	$	(12,389)	$	(5,407)	$	(17,796)
Equity securities
Fair value	$	8,624	$	—	$	8,624	$	16,476	$	—	$	16,476
Cost or amortized cost		9,395		—		9,395		17,932		—		17,932
Unrealized Loss	$	(771)	$	—	$	(771)	$	(1,456)	$	—	$	(1,456)
Total
Fair value	$	138,463	$	79,866	$	218,329	$	500,405	$	44,476	$	544,881
Cost or amortized cost		143,829		86,543		230,372		514,250		49,883		564,133
Unrealized Loss	$	(5,366)	$	(6,677)	$	(12,043)	$	(13,845)	$	(5,407)	$	(19,252)

* 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	$	102,457	$	101,196	$	(1,261)	11.2	%
2	BBB	Baa		58,657		55,757		(2,900)	25.7	%
3	BB	Ba		21,337		18,745		(2,592)	23.0	%
4	B	B		35,942		32,230		(3,712)	32.9	%
5	CCC orlower	Caa or lower		2,584		1,777		(807)	7.2	%
6				—		—		—	—
		Total	$	220,977	$	209,705	$	(11,272)	100.0	%

Available for sale securities

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

Available-for-sale
(in thousands)
	3/31/2016
	Cost or		Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
Asset Class	Cost		Gains		Losses		Value
U.S. government	$	86,872	$	1,333	$	-	$	88,205
U.S. agency		15,482		761		(1)		16,242
Non-U.S. govt. & agency		7,009		87		(317)		6,779
Agency MBS		242,377		8,736		(298)		250,815
ABS/CMBS*		89,522		1,899		(123)		91,298
Corporate		554,865		15,656		(10,532)		559,989
Municipal		516,679		26,962		(1)		543,640
Total Fixed Income	$	1,512,806	$	55,434	$	(11,272)	$	1,556,968
Equity	$	207,302	$	183,020	$	(771)	$	389,551

Available-for-sale
(in thousands)
	12/31/2015
	Cost or		Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
Asset Class	Cost		Gains		Losses		Value
U.S. government	$	43,597	$	58	$	(112)	$	43,543
U.S. agency		15,481		306		(47)		15,740
Non-U.S. govt. & agency		5,035		-		(557)		4,478
Agency MBS		250,060		6,451		(1,619)		254,892
ABS/CMBS*		91,559		995		(606)		91,948
Corporate		523,351		8,565		(14,807)		517,109
Municipal		589,073		21,375		(48)		610,400
Total Fixed Income	$	1,518,156	$	37,750	$	(17,796)	$	1,538,110
Equity	$	202,437	$	174,443	$	(1,456)	$	375,424

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

Schedule of contractual maturity of securities

	3/31/2016
Available-for-sale	Amortized		Fair
(in thousands)	Cost		Value
Due in one year or less	$	22,792	$	22,975
Due after one year through five years		304,023		307,732
Due after five years through 10 years		567,054		585,434
Due after 10 years		287,038		298,714
Mtge/ABS/CMBS*		331,899		342,113
Total available-for-sale	$	1,512,806	$	1,556,968

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