Fair Value (Tables)

9 Months Ended

Sep. 30, 2018

Fair Value Measurements by Level for Assets Measured at Fair Value on Recurring Basis

The following tables summarize fair value measurements by level for assets measured at fair value on a recurring basis:

As of September 30, 2018:

Description	Total		Level 1		Level 2		Level 3
Fixed maturities:
Agency collateralized mortgage obligations	$	10,471	$	–	$	10,471	$	–
Agency mortgage-backed securities		36,181		–		36,181		–
Asset-backed securities		53,881		–		53,881		–
Bank loans		17,067		–		17,067		–
Certificates of deposit		3,126		3,126		–		–
Collateralized mortgage obligations		5,131		–		5,131		–
Corporate securities		193,325		–		193,325		–
Options embedded in convertible securities		5,373		–		5,373		–
Mortgage-backed securities		32,790		–		29,162		3,628
Municipal obligations		30,594		–		30,594		–
Non-U.S. government obligations		39,750		–		39,750		–
U.S. government obligations		163,272		–		163,272		–
Total fixed maturities		590,961		3,126		584,207		3,628
Equity securities:
Consumer		25,632		25,632		–		–
Energy		6,438		6,438		–		–
Financial		39,917		39,917		–		–
Industrial		12,011		12,011		–		–
Technology		3,657		3,657		–		–
Funds (e.g. mutual funds, closed end funds, ETFs)		9,587		9,587		–		–
Other		11,857		11,857		–		–
Total equity securities		109,099		109,099		–		–
Short-term		1,000		1,000		–		–
Cash equivalents		104,662		–		104,662		–
Total	$	805,722	$	113,225	$	688,869	$	3,628

As of December 31, 2017:

Description	Total		Level 1		Level 2		Level 3
Fixed maturities:
Agency collateralized mortgage obligations	$	16,586	$	–	$	16,586	$	–
Agency mortgage-backed securities		27,075		–		27,075		–
Asset-backed securities		43,469		–		43,469		–
Bank loans		19,488		–		19,488		–
Certificates of deposit		3,135		3,135		–		–
Collateralized mortgage obligations		6,492		–		6,492		–
Corporate securities		193,058		–		193,058		–
Options embedded in convertible securities		5,291		–		5,291		–
Mortgage-backed securities		24,204		–		24,204		–
Municipal obligations		96,650		–		96,650		–
Non-U.S. government obligations		37,394		–		37,394		–
U.S. government obligations		49,011		–		49,011		–
Total fixed maturities		521,853		3,135		518,718		–
Equity securities:
Consumer		46,578		46,578		–		–
Energy		10,278		10,278		–		–
Financial		45,470		45,470		–		–
Industrial		25,402		25,402		–		–
Technology		13,061		13,061		–		–
Funds (e.g. mutual funds, closed end funds, ETFs)		50,291		45,276		5,015		–
Other		10,683		10,683		–		–
Total equity securities		201,763		196,748		5,015		–
Short-term		1,000		1,000		–		–
Cash equivalents		59,173		–		59,173		–
Total	$	783,789	$	200,883	$	582,906	$	–

Reconciliation of Beginning and Ending Balances of Assets Measured at Fair Value on Recurring Basis Using Level 3 Inputs

A reconciliation of the beginning and ending balances of assets measured at fair value on a recurring basis using Level 3 inputs is as follows for the nine months ended September 30, 2018 and for the year ended December 31, 2017:

	2018		2017
Beginning of period balance	$	–	$	25,218
Total gains or losses (realized) included in income		–		406
Purchases		3,628		81
Settlements		–		(9,123)
Transfers into Level 3		–		144
Transfers out of Level 3		–		(16,726)
End of period balance	$	3,628	$	–

Carrying Value and Fair Value by Level of Financial Instruments

A summary of the carrying value and fair value by level of financial instruments not recorded at fair value on the Company's condensed consolidated balance sheets at September 30, 2018 and December 31, 2017 is as follows:

	Carrying		Fair Value
	Value		Level 1		Level 2		Level 3		Total
September 30, 2018
Assets: Limited partnerships	$	64,369	$	–	$	–	$	64,369	$	64,369
Liabilities: Short-term borrowings		20,000		–		20,000		–		20,000

December 31, 2017
Assets: Limited partnerships		70,806		–		–		70,806		70,806
Liabilities: Short-term borrowings		20,000		–		20,000		–		20,000