Fair Value (Tables)

12 Months Ended

Dec. 31, 2015

Schedule of consolidated fair value measurements on a recurring basis by asset class and level of input

The following tables present our fair value measurements on a recurring basis by asset class and level of input:



	At December 31, 2015
	Fair value measurements using:
(in thousands)	Total		Quoted prices in active markets for identical assets Level 1		Observable inputs Level 2		Unobservable inputs Level 3
Available-for-sale securities:
States & political subdivisions	$	231,847	$	0	$	231,847	$	0
Corporate debt securities	250,333		0		250,264		69
Residential mortgage-backed securities	13,513		0		13,513		0
Commercial mortgage-backed securities	37,571		0		37,571		0
Collateralized debt obligations	51,745		0		43,168		8,577
Other debt securities	2,200		0		2,200		0
Total fixed maturities	587,209		0		578,563		8,646
Common stock	12,732		12,732		0		0
Total available-for-sale securities	599,941		12,732		578,563		8,646
Other investments ⁽¹⁾	4,526		—		—		—
Total	$	604,467	$	12,732	$	578,563	$	8,646



	At December 31, 2014
	Fair value measurements using:
(in thousands)	Total		Quoted prices in active markets for identical assets Level 1		Observable inputs Level 2		Unobservable inputs Level 3
Available-for-sale securities:
States & political subdivisions	$	231,134	$	0	$	231,134	$	0
Corporate debt securities	234,040		0		234,040		0
Residential mortgage-backed securities	8,375		0		8,375		0
Commercial mortgage-backed securities	51,255		0		51,255		0
Collateralized debt obligations	32,932		0		32,932		0
Other debt securities	6,804		0		6,804		0
Total fixed maturities	564,540		0		564,540		0
Nonredeemable preferred stock	12,541		2,068		10,473		0
Common stock	12,689		12,689		0		0
Total available-for-sale securities	589,770		14,757		575,013		0
Other investments ⁽¹⁾	7,583		—		—		—
Total	$	597,353	$	14,757	$	575,013	$	0

(1) Other investments measured at fair value represent real estate funds included on the balance sheet as limited partnership investments that are reported under the fair value option using the net asset value practical expedient. These amounts are not required to be categorized in the fair value hierarchy. The investments can never be redeemed with the funds. Instead, distributions are received when liquidation of the underlying assets of the funds occur. It is estimated that the underlying assets will generally be liquidated between 5 and 10 years from the inception of the funds. The fair value of these investments is based on the net asset value (NAV) information provided by the general partner. Fair value is based on our proportionate share of the NAV based on the most recent partners' capital statements received from the general partners, which is generally one quarter prior to our balance sheet date. These values are then analyzed to determine if the NAV represents fair value at our balance sheet date, with adjustment being made where appropriate. We consider observable market data and perform a review validating the appropriateness of the NAV at each balance sheet date. It is likely that all of the investments will be redeemed at a future date for an amount different than the NAV of our ownership interest in partners' capital as of December 31, 2015 and December 31, 2014. During the year ended December 31, 2015, no contributions were made and distributions totaling $3.5 million were received from these investments. During the year ended December 31, 2014, no contributions were made and distributions totaling $12.9 million were received from these investments. As of December 31, 2015 and 2014, the amount of unfunded commitments related to the investments was $0.6 million.

Schedule of roll forward of Level 3 consolidated fair value measurements on a recurring basis

Level 3 Assets – Year-to-Date Change:



(in thousands)	Beginning balance at December 31, 2013		Included in earnings ⁽¹⁾			Included in other comprehensive income			Purchases		Sales			Transfers in and (out) of Level 3			Ending balance at December 31, 2014
Available-for-sale securities:
Corporate debt securities	$	1,054	$	0		$	(28	)	$	0	$	(85	)	$	(941	)	$	0
Commercial mortgage-backed securities	0		1			9			2,976		0			(2,986		)	0
Collateralized debt obligations	378		(47		)	(40		)	0		(291		)	0			0
Total fixed maturities	1,432		(46		)	(59		)	2,976		(376		)	(3,927		)	0
Total available-for-sale securities	1,432		(46		)	(59		)	2,976		(376		)	(3,927		)	0
Total Level 3 assets	$	1,432	$	(46	)	$	(59	)	$	2,976	$	(376	)	$	(3,927	)	$	0

(1) These amounts are reported in the Statements of Operations as net realized investment gains (losses) for the year ended December 31, 2014 on Level 3 securities.

Level 3 Assets –Year-to-Date Change:



(in thousands)	Beginning balance at December 31, 2014		Included in earnings ⁽¹⁾			Included in other comprehensive income			Purchases		Sales		Transfers in and (out) of Level 3			Ending balance at December 31, 2015
Available-for-sale securities:
Corporate debt securities	$	0	$	(1	)	$	(59	)	$	180	$	0	$	(51	)	$	69
Collateralized debt obligations	0		3			(7		)	8,581		0		0			8,577
Total fixed maturities	0		2			(66		)	8,761		0		(51		)	8,646
Total available-for-sale securities	0		2			(66		)	8,761		0		(51		)	8,646
Total Level 3 assets	$	0	$	2		$	(66	)	$	8,761	$	0	$	(51	)	$	8,646

(1) These amounts are reported in the Statements of Operations as net investment income (losses) for the year ended December 31, 2015 on Level 3 securities.

Schedule of consolidated fair value measurements on a recurring basis by pricing source

The following table presents our fair value measurements on a recurring basis by pricing source:



(in thousands)	At December 31, 2015
	Total		Level 1		Level 2		Level 3
Fixed maturities:
Priced via pricing services	$	578,516	$	0	$	578,516	$	0
Priced via market comparables/broker quotes	8,693		0		47		8,646
Total fixed maturities	587,209		0		578,563		8,646
Common stock:
Priced via pricing services	12,732		12,732		0		0
Total common stock	12,732		12,732		0		0
Other investments:
Priced via unobservable inputs ⁽¹⁾	4,526		—		—		—
Total other investments	4,526		—		—		—
Total	$	604,467	$	12,732	$	578,563	$	8,646

(1)

Other investments measured at fair value represent real estate funds included on the balance sheet as limited partnership investments that are reported under the fair value option using the net asset value practical expedient. These amounts are not required to be categorized in the fair value hierarchy. The fair value of these investments is based on the net asset value (NAV) information provided by the general partner.