Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2015

Company's Invested Assets and Derivative Instruments Measured at Fair Value on Recurring Basis

The following table presents information about the Company’s invested assets and derivative instruments measured at fair value on a recurring basis as of June 30, 2015 and December 31, 2014, and indicates the fair value hierarchy of the valuation techniques utilized by the Company to determine such fair value.


As of June 30, 2015	Fair Value Measurements
(Dollars in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Fixed maturities:
U.S. treasury and agency obligations	$	80,256	$	10,000	$	—	$	90,256
Obligations of states and political subdivisions		—		232,532		—		232,532
Mortgage-backed securities		—		203,980		—		203,980
Commercial mortgage-backed securities		—		170,968		—		170,968
Asset-backed securities		—		258,171		—		258,171
Corporate bonds		—		455,848		—		455,848
Foreign corporate bonds		—		138,867		—		138,867

Total fixed maturities		80,256		1,470,366		—		1,550,622
Common stock		121,238		—		—		121,238
Other invested assets		—		—		31,176		31,176

Total assets measured at fair value	$	201,494	$	1,470,366	$	31,176	$	1,703,036

Liabilities:
Derivative instruments	$	—	$	11,801	$	—	$	11,801

Total liabilities measured at fair value	$	—	$	11,801	$	—	$	11,801


As of December 31, 2014	Fair Value Measurements
(Dollars in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Fixed maturities:
U.S. treasury and agency obligations	$	74,765	$	6,002	$	—	$	80,767
Obligations of states and political subdivisions		—		191,473		—		191,473
Mortgage-backed securities		—		208,759		—		208,759
Commercial mortgage-backed securities		—		133,158		—		133,158
Asset-backed securities		—		178,263		—		178,263
Corporate bonds		—		383,416		—		383,416
Foreign corporate bonds		—		107,639		—		107,639

Total fixed maturities		74,765		1,208,710		—		1,283,475
Common stock		122,048		—		—		122,048
Other invested assets		—		—		33,663		33,663

Total assets measured at fair value	$	196,813	$	1,208,710	$	33,663	$	1,439,186

Liabilities:
Derivative instruments	$	—	$	13,675	$	—	$	13,675

Total liabilities measured at fair value	$	—	$	13,675	$	—	$	13,675

Changes in Level 3 Investments Measured at Fair Value on a Recurring Basis

The following table presents changes in Level 3 investments measured at fair value on a recurring basis for the quarters and six months ended June 30, 2015 and 2014:


	Quarters Ended June 30,					Six Months Ended June 30,
(Dollars in thousands)	2015		2014			2015			2014
Beginning balance	$	29,992	$	5,364		$	33,663		$	3,489
Total gains (losses) (realized / unrealized):
Included in accumulated other comprehensive income (loss)		95		(204	)		458			(430	)
Investment Income:
Equity in Limited Partnership		1,089		—			1,342			—
Purchases		—		9,874			—			11,975
Distributions		—		—			(4,287	)		—

Ending balance	$	31,176	$	15,034		$	31,176		$	15,034

Fair Value and Future Funding Commitments Related to These Investments

The following table provides the fair value and future funding commitments related to these investments at June 30, 2015 and December 31, 2014.


	June 30, 2015				December 31, 2014
(Dollars in thousands)	Fair Value		Future Funding Commitment		Fair Value		Future Funding Commitment
Equity Fund, LP (1)	$	3,325	$	2,391	$	3,401	$	2,436
Real Estate Fund, LP (2)		—		—		—		—
European Non-Performing Loan Fund, LP (3)		27,851		23,564		30,262		20,064

Total	$	31,176	$	25,955	$	33,663	$	22,500

(1)

This limited partnership invests in companies from various business sectors whereby the partnership has acquired control of the operating business as a lead or organizing investor. The Company does not have the contractual option to redeem its limited partnership interest but receives distributions based on the liquidation of the underlying assets. The Company does not have the ability to sell or transfer its limited partnership interest without consent from the general partner.

(2)

This limited partnership invests in real estate assets through a combination of direct or indirect investments in partnerships, limited liability companies, mortgage loans, and lines of credit. The Company does not have the contractual option to redeem its limited partnership interest but receives distributions based on the liquidation of the underlying assets. The Company does not have the ability to sell or transfer its limited partnership interest without consent from the general partner. The Company continues to hold an investment in this limited partnership and has written the fair value down to zero.

(3)

This limited partnership invests in distressed securities and assets through senior and subordinated, secured and unsecured debt and equity, in both public and private large-cap and middle-market companies. The Company does not have the contractual option to redeem its limited partnership interest but receives distributions based on the liquidation of the underlying assets. The Company does not have the ability to sell or transfer its limited partnership interest without consent from the general partner.