Fair Value (Tables)

3 Months Ended

Mar. 31, 2017

Schedule of 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 March 31, 2017
	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:
U.S. treasury	$	5,038	$	0	$	5,038	$	0
Government sponsored entities	2,004		0		2,004		0
States & political subdivisions	255,128		0		255,128		0
Corporate debt securities	326,169		0		316,366		9,803
Residential mortgage-backed securities	14,799		0		14,799		0
Commercial mortgage-backed securities	37,905		0		37,905		0
Collateralized debt obligations	70,832		0		70,832		0
Other debt securities	2,002		0		2,002		0
Total fixed maturities	713,877		0		704,074		9,803
Common stock	5,992		5,992		0		0
Total available-for-sale securities	719,869		5,992		704,074		9,803
Other investments ⁽¹⁾	4,376		—		—		—
Total	$	724,245	$	5,992	$	704,074	$	9,803



	At December 31, 2016
	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:
U.S. treasury	$	5,031	$	0	$	5,031	$	0
Government sponsored entities	2,026		0		2,026		0
States & political subdivisions	253,132		0		253,132		0
Corporate debt securities	322,948		0		313,596		9,352
Residential mortgage-backed securities	16,102		0		16,102		0
Commercial mortgage-backed securities	36,849		0		36,849		0
Collateralized debt obligations	69,253		0		69,253		0
Other debt securities	2,000		0		2,000		0
Total fixed maturities	707,341		0		697,989		9,352
Common stock	5,950		5,950		0		0
Total available-for-sale securities	713,291		5,950		697,989		9,352
Other investments ⁽¹⁾	4,412		—		—		—
Total	$	717,703	$	5,950	$	697,989	$	9,352

(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 March 31, 2017 and December 31, 2016. During the three months ended March 31, 2017, no contributions were made and no distributions were received from these investments. During the year ended December 31, 2016, no contributions were made and distributions totaling $0.9 million were received from these investments. There were no unfunded commitments related to the investments as of March 31, 2017, and $0.3 million as of December 31, 2016.

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

Level 3 Assets – Year-to-Date Change:





(in thousands)	Beginning balance at December 31, 2015		Included in earnings ⁽¹⁾		Included in other comprehensive income			Purchases		Sales			Transfers in and (out) of Level 3		Ending balance at March 31, 2016
Available-for-sale securities:
Corporate debt securities	$	69	$	15	$	27		$	3,539	$	(55	)	$	1,226	$	4,821
Collateralized debt obligations	8,577		4		(12		)	3,522		(54		)	0		12,037
Total fixed maturities	8,646		19		15			7,061		(109		)	1,226		16,858
Total available-for-sale securities	8,646		19		15			7,061		(109		)	1,226		16,858
Total Level 3 assets	$	8,646	$	19	$	15		$	7,061	$	(109	)	$	1,226	$	16,858


(1)	These amounts are reported in the Statement of Operations as net investment income and net realized investment gains (losses) for the three months ended March 31, 2016 on Level 3 securities.

Level 3 Assets – Year-to-Date Change:





(in thousands)	Beginning balance at December 31, 2016		Included in earnings ⁽¹⁾			Included in other comprehensive income			Purchases		Sales			Transfers in and (out) of Level 3		Ending balance at March 31, 2017
Available-for-sale securities:
Corporate debt securities	$	9,352	$	(50	)	$	(25	)	$	1,871	$	(1,849	)	$	504	$	9,803
Total fixed maturities	9,352		(50		)	(25		)	1,871		(1,849		)	504		9,803
Total available-for-sale securities	9,352		(50		)	(25		)	1,871		(1,849		)	504		9,803
Total Level 3 assets	$	9,352	$	(50	)	$	(25	)	$	1,871	$	(1,849	)	$	504	$	9,803


(1)	These amounts are reported in the Statement of Operations as net investment income and net realized investment gains (losses) for the three months ended March 31, 2017 on Level 3 securities.

Schedule of 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 March 31, 2017
	Total		Level 1		Level 2		Level 3
Fixed maturities:
Priced via pricing services	$	712,319	$	0	$	702,516	$	9,803
Priced via market comparables/broker quotes	1,558		0		1,558		0
Total fixed maturities	713,877		0		704,074		9,803
Common stock:
Priced via pricing services	5,992		5,992		0		0
Total common stock	5,992		5,992		0		0
Other investments:
Priced via unobservable inputs ⁽¹⁾	4,376		—		—		—
Total other investments	4,376		—		—		—
Total	$	724,245	$	5,992	$	704,074	$	9,803

(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 NAV information provided by the general partner.