Fair Value (Tables)

12 Months Ended

Dec. 31, 2017

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



	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 December 31, 2017 and December 31, 2016. During the years ended December 31, 2017 and 2016, no contributions were made and distributions totaling $0.5 million and $0.9 million, respectively, were received from these investments. There were no unfunded commitments related to the investments as of December 31, 2017 and $0.3 million as of December 31, 2016.

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



	At December 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	$	11,734	$	0	$	11,734	$	0
States & political subdivisions	259,264		0		259,264		0
Foreign government securities	503		0		503		0
Corporate debt securities	346,523		0		338,644		7,879
Residential mortgage-backed securities	25,571		0		25,571		0
Commercial mortgage-backed securities	32,804		0		32,804		0
Collateralized debt obligations	58,034		0		55,834		2,200
Other debt securities	11,528		0		11,528		0
Total fixed maturities	745,961		0		735,882		10,079
Nonredeemable preferred stock	12,752		2,015		10,737		0
Total available-for-sale securities	758,713		2,015		746,619		10,079
Other investments ⁽¹⁾	4,816		—		—		—
Total	$	763,529	$	2,015	$	746,619	$	10,079

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 into Level 3⁽²⁾		Transfers out of Level 3⁽²⁾			Ending balance at December 31, 2016
Available-for-sale securities:
Corporate debt securities	$	69	$	173	$	107		$	13,935	$	(1,854	)	$	7,532	$	(10,610	)	$	9,352
Commercial mortgage-backed securities	0		0		3			1,000		0			0		(1,003		)	0
Collateralized debt obligations	8,577		4		(5		)	7,722		(54		)	2,114		(18,358		)	0
Total fixed maturities	8,646		177		105			22,657		(1,908		)	9,646		(29,971		)	9,352
Total available-for-sale securities	8,646		177		105			22,657		(1,908		)	9,646		(29,971		)	9,352
Total Level 3 assets	$	8,646	$	177	$	105		$	22,657	$	(1,908	)	$	9,646	$	(29,971	)	$	9,352


(1)	These amounts are reported in the Statements of Operations as net investment income and net realized investment gains (losses) for each of the periods presented above.


(2)	Transfers into and/or (out) of Level 3 are primarily attributable to the availability of market observable information and the re-evaluation of the observability of pricing inputs.

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 into Level 3⁽²⁾		Transfers out of Level 3⁽²⁾			Ending balance at December 31, 2017
Available-for-sale securities:
Corporate debt securities	$	9,352	$	(85	)	$	(41	)	$	4,954	$	(5,411	)	$	11,196	$	(12,086	)	$	7,879
Collateralized debt obligations	0		0			0			2,200		0			0		0			2,200
Total fixed maturities	9,352		(85		)	(41		)	7,154		(5,411		)	11,196		(12,086		)	10,079
Total available-for-sale securities	9,352		(85		)	(41		)	7,154		(5,411		)	11,196		(12,086		)	10,079
Total Level 3 assets	$	9,352	$	(85	)	$	(41	)	$	7,154	$	(5,411	)	$	11,196	$	(12,086	)	$	10,079

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 December 31, 2017
	Total		Level 1		Level 2		Level 3
Fixed maturities:
Priced via pricing services	$	743,761	$	0	$	735,882	$	7,879
Priced via market comparables/broker quotes	2,200		0		0		2,200
Total fixed maturities	745,961		0		735,882		10,079
Nonredeemable preferred stock:
Priced via pricing services	12,752		2,015		10,737		0
Total nonredeemable preferred stock	12,752		2,015		10,737		0
Other investments:
Priced via unobservable inputs ⁽¹⁾	4,816		—		—		—
Total other investments	4,816		—		—		—
Total	$	763,529	$	2,015	$	746,619	$	10,079


(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 NAV 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.