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Fair Value Measurements
 9 Months Ended
Sep. 30, 2024
Fair Value Disclosures [Abstract]  
Fair Value Measurements
4 — Fair Value Measurements

Fair value measurements are classified within one of three levels in the fair value hierarchy. The level assigned to a fair value measurement is based on the lowest level input that is significant to the fair value measurement in its entirety. Assessing the significance of a particular input requires judgment.

The three levels of the fair value hierarchy are as follows:

•Level 1 — Quoted prices are available in active markets for identical assets or liabilities as of the reporting date. Active markets are those in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
•Level 2 — Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date for substantially the full term of the asset or liability.
•Level 3 — Pricing inputs are unobservable, but management believes that such inputs are predicated on the assumptions market participants would use to measure the asset or liability at fair value.

The Company's policy is to recognize significant transfers between levels, if any, at the end of the reporting period. There were no transfers between levels during the current and prior reporting periods.
Investments

Fixed maturity securities are classified as Level 2 within the fair value hierarchy and equity securities are classified as Level 1. The fair value of these investments is determined after considering various sources of information, including information provided by a third-party pricing service, which provides prices for substantially all of the Company's fixed maturity securities and equity securities. In determining fair value, the Company generally does not adjust the prices obtained from the pricing service. The Company obtains an understanding of the pricing service's valuation methodologies and related inputs, which include, but are not limited to, reported trades, benchmark yields, issuer spreads, bids, offers, duration, credit ratings, estimated cash flows, and prepayment speeds.

Refer to Note 3 — Investments for additional information related to the Company's investment portfolio.
Interest rate swap

In December 2020, the Company entered into an interest rate swap with an original notional amount of $35.0 million, a fixed swap rate of 0.81%, and a maturity date in December 2025. The interest rate swap was designated as a cash flow hedge and the Company formally documented the relationship between the interest rate swap and its variable rate borrowings, as well as its risk management objective and strategy for undertaking the hedge transaction. The Company also assessed whether the interest rate swap was highly effective in offsetting variability in the cash flows of its variable rate borrowings. The hedge was deemed effective at inception and on an ongoing basis; therefore, any changes in fair value were recorded within "Change in unrealized gain (loss) on interest rate swap" in the Condensed Consolidated Statements of Comprehensive Income. The differential paid or received on the interest rate swap agreement was recognized as an adjustment to interest expense within "Interest and other income (expense), net" in the Condensed Consolidated Statements of Operations.

As of December 31, 2023, the interest rate swap was in an asset position and had a fair value of $2.2 million, which was recorded within "Other long-term assets" on the Condensed Consolidated Balance Sheets. The interest rate swap was classified as Level 2 within the fair value hierarchy. The significant inputs used to determine the fair value of the interest rate swap, such as the Secured Overnight Financing Rate ("SOFR") forward curve, are considered observable market inputs.

In the second quarter of 2024, the Company reduced its borrowings under the JPM Credit Facility (as defined in Note 14 — Long-Term Debt) below the $35.0 million notional amount of the interest rate swap and, as a result, the interest rate swap was settled prior to its maturity date. In connection with the settlement of the interest rate swap, the Company received $2.3 million in cash proceeds and recognized a $2.3 million gain in the second quarter of 2024 within "Interest and other income (expense), net" in the Condensed Consolidated Statements of Operations, with a corresponding amount reclassified from Accumulated other comprehensive income (loss).
Warrant liabilities

As of December 31, 2023, the Company's Public Warrants were classified as Level 1 within the fair value hierarchy as they were measured utilizing quoted market prices. The Company's Private Warrants, Underwriter Warrants, OTM Warrants (together with the Private Warrants and Underwriter Warrants, the "Private Placement Warrants"), and PIPE Warrants were classified as Level 3 within the fair value hierarchy. The Company utilized a Monte Carlo simulation model to measure the fair value of the Level 3 warrants. The Company's Monte Carlo simulation model included assumptions related to the expected stock price volatility, expected term, dividend yield, and risk-free interest rate.

In the third quarter of 2024, the Company completed the Warrant Exchange, which resulted in the settlement of all outstanding warrants. Refer to Note 17 — Warrant Exchange for additional information related to the Warrant Exchange.
Summary of assets and liabilities measured at fair value

The fair values of the Company's financial assets and liabilities as of September 30, 2024 and December 31, 2023 are shown in the following tables:

Estimated Fair Value as of September 30, 2024
TotalLevel 1Level 2Level 3
in thousands
Financial Assets
Investments:
Corporate $213,964 $— $213,964 $— 
U.S. Treasury109,561 — 109,561 — 
States and municipalities39,929 — 39,929 — 
Foreign 18,634 — 18,634 — 
Asset-backed securities25,767 — 25,767 — 
Mortgage-backed securities114,357 — 114,357 — 
Common stocks11,580 11,580 — — 
Total$533,792 $11,580 $522,212 $— 
Estimated Fair Value as of December 31, 2023
TotalLevel 1Level 2Level 3
in thousands
Financial Assets
Fixed maturity securities, held to maturity:
Foreign$16,472 $— $16,472 $— 
Interest rate swap2,234 — 2,234 — 
Total$18,706 $— $18,706 $— 
Financial Liabilities
Public Warrants$9,488 $9,488 $— $— 
Private Warrants476 — — 476 
Underwriter Warrants53 — — 53 
OTM Warrants3,981 — — 3,981 
PIPE Warrants20,020 — — 20,020 
Total$34,018 $9,488 $— $24,530 

The following table presents a reconciliation of the Company's warrant liabilities that are classified as Level 3 within the fair value hierarchy for the nine months ended September 30, 2024 and 2023:

Private WarrantsUnderwriter WarrantsOTM WarrantsPIPE WarrantsTotal
in thousands
Balance at December 31, 2023
$476 $53 $3,981 $20,020 $24,530 
Change in fair value of warrant liabilities55 5 546 4,056 4,662 
Warrant Exchange (see Note 17)(531)(58)(4,527)(24,076)(29,192)
Balance at September 30, 2024
$— $— $— $— $— 
Balance at December 31, 2022
$673 $75 $4,706 $27,227 $32,681 
Change in fair value of warrant liabilities33 4 541 554 1,132 
Balance at September 30, 2023
$706 $79 $5,247 $27,781 $33,813