2.	Investments

The amortized cost and estimated fair value of investments were as follows as of March 31, 2018 and December 31, 2017:


(Dollars in thousands)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value		Other than temporary impairments recognized in AOCI ⁽¹⁾
As of March 31, 2018
Fixed maturities:
U.S. treasury and agency obligations	$	99,713	$	476	$	(2,060	)	$	98,129	$	—
Obligations of states and political subdivisions		95,708		304		(601	)		95,411		—
Mortgage-backed securities		176,983		313		(3,511	)		173,785		—
Asset-backed securities		203,834		115		(1,204	)		202,745		(1)
Commercial mortgage-backed securities		151,337		58		(3,554	)		147,841		—
Corporate bonds		431,814		417		(7,424	)		424,807		—
Foreign corporate bonds		122,565		9		(2,296	)		120,278		—

Total fixed maturities		1,281,954		1,692		(20,650	)		1,262,996		(1)
Common stock		133,911		—		—			133,911		—
Other invested assets		82,159		—		—			82,159		—

Total	$	1,498,024	$	1,692	$	(20,650	)	$	1,479,066	$	(1)

(1)	Represents the total amount of other than temporary impairment losses relating to factors other than credit losses recognized in accumulated other comprehensive income (“AOCI”).


(Dollars in thousands)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value		Other than temporary impairments recognized in AOCI ⁽¹⁾
As of December 31, 2017
Fixed maturities:
U.S. treasury and agency obligations	$	105,311	$	562	$	(1,193	)	$	104,680	$	—
Obligations of states and political subdivisions		94,947		441		(274	)		95,114		—
Mortgage-backed securities		150,237		404		(1,291	)		149,350		—
Asset-backed securities		203,827		267		(393	)		203,701		(1	)
Commercial mortgage-backed securities		140,761		101		(1,067	)		139,795		—
Corporate bonds		422,486		2,295		(1,391	)		423,390		—
Foreign corporate bonds		125,575		377		(545	)		125,407		—

Total fixed maturities		1,243,144		4,447		(6,154	)		1,241,437		(1	)
Common stock		124,915		18,574		(3,260	)		140,229		—
Other invested assets		77,820		—		—			77,820		—

Total	$	1,445,879	$	23,021	$	(9,414	)	$	1,459,486	$	(1	)

(1)	Represents the total amount of other than temporary impairment losses relating to factors other than credit losses recognized in accumulated other comprehensive income (“AOCI”).

Excluding U.S. treasuries and agency bonds, the Company did not hold any debt or equity investments in a single issuer that was in excess of 6% and 5% of shareholders’ equity at March 31, 2018 and December 31, 2017, respectively.

The amortized cost and estimated fair value of the Company’s fixed maturities portfolio classified as available for sale at March 31, 2018, by contractual maturity, are shown below. Actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.


(Dollars in thousands)	Amortized Cost		Estimated Fair Value
Due in one year or less	$	68,903	$	68,736
Due in one year through five years		431,430		425,571
Due in five years through ten years		240,272		235,140
Due in ten years through fifteen years		4,215		4,170
Due after fifteen years		4,980		5,008
Mortgage-backed securities		176,983		173,785
Asset-backed securities		203,834		202,745
Commercial mortgage-backed securities		151,337		147,841

Total	$	1,281,954	$	1,262,996

The following table contains an analysis of the Company’s fixed income securities with gross unrealized losses, categorized by the period that the securities were in a continuous loss position as of March 31, 2018. Due to new accounting guidance implemented in 2018 regarding the treatment of gains and losses on equity securities, common stock is no longer included in the table:


	Less than 12 months					12 months or longer ⁽¹⁾					Total
(Dollars in thousands)	Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses
Fixed maturities:
U.S. treasury and agency obligations	$	69,992	$	(1,813	)	$	20,223	$	(247	)	$	90,215	$	(2,060	)
Obligations of states and political subdivisions		46,524		(454	)		7,711		(147	)		54,235		(601	)
Mortgage-backed securities		165,295		(3,453	)		1,756		(58	)		167,051		(3,511	)
Asset-backed securities		148,609		(1,158	)		6,399		(46	)		155,008		(1,204	)
Commercial mortgage-backed securities		113,728		(2,766	)		27,292		(788	)		141,020		(3,554	)
Corporate bonds		320,235		(6,429	)		52,303		(995	)		372,538		(7,424	)
Foreign corporate bonds		93,828		(1,951	)		16,452		(345	)		110,280		(2,296	)

Total fixed maturities	$	958,211	$	(18,024	)	$	132,136	$	(2,626	)	$	1,090,347	$	(20,650	)

(1)

Fixed maturities in a gross unrealized loss position for twelve months or longer are primarily comprised of non-credit losses on investment grade securities where management does not intend to sell, and it is more likely than not that the Company will not be forced to sell the security before recovery. The Company has analyzed these securities and has determined that they are not other than temporarily impaired.

The following table contains an analysis of the Company’s securities with gross unrealized losses, categorized by the period that the securities were in a continuous loss position as of December 31, 2017:


	Less than 12 months					12 months or longer ⁽¹⁾					Total
(Dollars in thousands)	Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses
Fixed maturities:
U.S. treasury and agency obligations	$	79,403	$	(962	)	$	17,469	$	(231	)	$	96,872	$	(1,193	)
Obligations of states and political subdivisions		34,537		(149	)		12,060		(125	)		46,597		(274	)
Mortgage-backed securities		127,991		(1,247	)		1,866		(44	)		129,857		(1,291	)
Asset-backed securities		97,817		(371	)		6,423		(22	)		104,240		(393	)
Commercial mortgage-backed securities		83,051		(523	)		27,976		(544	)		111,027		(1,067	)
Corporate bonds		147,064		(754	)		53,024		(637	)		200,088		(1,391	)
Foreign corporate bonds		53,320		(305	)		20,582		(240	)		73,902		(545	)

Total fixed maturities		623,183		(4,311	)		139,400		(1,843	)		762,583		(6,154	)
Common stock		32,759		(3,260	)		—		—			32,759		(3,260	)

Total	$	655,942	$	(7,571	)	$	139,400	$	(1,843	)	$	795,342	$	(9,414	)

(1)

The Company regularly performs various analytical valuation procedures with respect to its investments, including reviewing each fixed maturity security in an unrealized loss position to assess whether the security has a credit loss. Specifically, the Company considers credit rating, market price, and issuer specific financial information, among other factors, to assess the likelihood of collection of all principal and interest as contractually due. Securities for which the Company determines that a credit loss is likely are subjected to further analysis through discounted cash flow testing to estimate the credit loss to be recognized in earnings, if any. The specific methodologies and significant assumptions used by asset class are discussed below. Upon identification of such securities and periodically thereafter, a detailed review is performed to determine whether the decline is considered other than temporary. This review includes an analysis of several factors, including but not limited to, the credit ratings and cash flows of the securities and the magnitude and length of time that the fair value of such securities is below cost.

For fixed maturities, the factors considered in reaching the conclusion that a decline below cost is other than temporary include, among others, whether:

(1)

the issuer is in financial distress;

(2)

the investment is secured;

(3)

a significant credit rating action occurred;

(4)

scheduled interest payments were delayed or missed;

(5)

changes in laws or regulations have affected an issuer or industry;

(6)

the investment has an unrealized loss and was identified by the Company’s investment manager as an investment to be sold before recovery or maturity; and

(7)

the investment failed cash flow projection testing to determine if anticipated principal and interest payments will be realized.

According to accounting guidance for debt securities in an unrealized loss position, the Company is required to assess whether it has the intent to sell the debt security or more likely than not will be required to sell the debt security before the anticipated recovery. If either of these conditions is met the Company must recognize an other than temporary impairment with the entire unrealized loss being recorded through earnings. For debt securities in an unrealized loss position not meeting these conditions, the Company assesses whether the impairment of a security is other than temporary. If the impairment is deemed to be other than temporary, the Company must separate the other than temporary impairment into two components: the amount representing the credit loss and the amount related to all other factors, such as changes in interest rates. The credit loss represents the portion of the amortized book value in excess of the net present value of the projected future cash flows discounted at the effective interest rate implicit in the debt security prior to impairment. The credit loss component of the other than temporary impairment is recorded through earnings, whereas the amount relating to factors other than credit losses is recorded in other comprehensive income, net of taxes.

The following is a description, by asset type, of the methodology and significant inputs that the Company used to measure the amount of credit loss recognized in earnings, if any:

U.S. treasury and agency obligations – As of March 31, 2018, gross unrealized losses related to U.S. treasury and agency obligations were $2.060 million. Of this amount, $0.247 million have been in an unrealized loss position for twelve months or greater and are rated AA+. Macroeconomic and market analysis is conducted in evaluating these securities. Consideration is given to the interest rate environment, duration and yield curve management of the portfolio, sector allocation and security selection.

Obligations of states and political subdivisions – As of March 31, 2018, gross unrealized losses related to obligations of states and political subdivisions were $0.601 million. Of this amount, $0.147 million have been in an unrealized loss position for twelve months or greater and are rated investment grade or better. All factors that influence performance of the municipal bond market are considered in evaluating these securities. The aforementioned factors include investor expectations, supply and demand patterns, and current versus historical yield and spread relationships. The analysis relies on the output of fixed income credit analysts, as well as dedicated municipal bond analysts who perform extensive in-house fundamental analysis on each issuer, regardless of their rating by the major agencies.

Mortgage-backed securities (“MBS”) – As of March 31, 2018, gross unrealized losses related to mortgage-backed securities were $3.511 million. Of this amount, $0.058 million have been in an unrealized loss position for twelve months or greater. 97.3% of the unrealized losses for twelve months or greater are related to securities rated AA+ or better. Mortgage-backed securities are modeled to project principal losses under downside, base, and upside scenarios for the economy and home prices. The primary assumption that drives the security and loan level modeling is the Home Price Index (“HPI”) projection. These forecasts incorporate not just national macro-economic trends, but also regional impacts to arrive at the most granular and accurate projections. These assumptions are incorporated into the model as a basis to generate delinquency probabilities, default curves, loss severity curves, and voluntary prepayment curves at the loan level within each deal. The model utilizes HPI-adjusted current LTV, payment history, loan terms, loan modification history, and borrower characteristics as inputs to generate expected cash flows and principal loss for each bond under various scenarios.

Asset backed securities (“ABS”) – As of March 31, 2018, gross unrealized losses related to asset backed securities were $1.204 million. Of this amount, $0.046 million have been in an unrealized loss position for twelve months or greater and are rated AA+ or better. The weighted average credit enhancement for the Company’s asset backed portfolio is 23.9. This represents the percentage of pool losses that can occur before an asset backed security will incur its first dollar of principal losses. Every ABS transaction is analyzed on a stand-alone basis. This analysis involves a thorough review of the collateral, prepayment, and structural risk in each transaction. Additionally, the analysis includes an in-depth credit analysis of the originator and servicer of the collateral. The analysis projects an expected loss for a deal given a set of assumptions specific to the asset type. These assumptions are used to calculate at what level of losses the deal will incur its first dollar of principal loss. The major assumptions used to calculate this ratio are loss severities, recovery lags, and no advances on principal and interest.

Commercial mortgage-backed securities (“CMBS”) – As of March 31, 2018, gross unrealized losses related to the CMBS portfolio were $3.554 million. Of this amount, $0.788 million have been in an unrealized loss position for twelve months or greater and are rated AA+ or better. The weighted average credit enhancement for the Company’s CMBS portfolio is 28.4. This represents the percentage of pool losses that can occur before a mortgage-backed security will incur its first dollar of principal loss. For the Company’s CMBS portfolio, a loan level analysis is utilized where every underlying CMBS loan is re-underwritten based on a set of assumptions reflecting expectations for the future path of the economy. Each loan is analyzed over time using a series of tests to determine if a credit event will occur during the life of the loan. Inherent in this process are several economic scenarios and their corresponding rent/vacancy and capital market states. The five primary credit events that frame the analysis include loan modifications, term default, balloon default, extension, and ability to pay off at balloon. The resulting output is the expected loss adjusted cash flows for each bond under the base case and distressed scenarios.

Corporate bonds – As of March 31, 2018, gross unrealized losses related to corporate bonds were $7.424 million. Of this amount, $0.995 million have been in an unrealized loss position for twelve months or greater and are rated investment grade or better. The analysis for this asset class includes maintaining detailed financial models that include a projection of each issuer’s future financial performance, including prospective debt servicing capabilities, capital structure composition, and the value of the collateral. The analysis incorporates the macroeconomic environment, industry conditions in which the issuer operates, the issuer’s current competitive position, its vulnerability to changes in the competitive and regulatory environment, issuer liquidity, issuer commitment to bondholders, issuer creditworthiness, and asset protection. Part of the process also includes running downside scenarios to evaluate the expected likelihood of default as well as potential losses in the event of default.

Foreign bonds – As of March 31, 2018, gross unrealized losses related to foreign bonds were $2.296 million. Of this amount, $0.345 million have been in an unrealized loss position for twelve months or greater. 78.3% of the unrealized losses for twelve months or greater are related to securities rated investment grade or better. For this asset class, detailed financial models are maintained that include a projection of each issuer’s future financial performance, including prospective debt servicing capabilities, capital structure composition, and the value of the collateral. The analysis incorporates the macroeconomic environment, industry conditions in which the issuer operates, the issuer’s current competitive position, its vulnerability to changes in the competitive and regulatory environment, issuer liquidity, issuer commitment to bondholders, issuer creditworthiness, and asset protection. Part of the process also includes running downside scenarios to evaluate the expected likelihood of default as well as potential losses in the event of default.

The Company recorded the following other than temporary impairments (“OTTI”) on its investment portfolio for the quarters ended March 31, 2018 and 2017:


	Quarters Ended March 31,
(Dollars in thousands)	2018		2017
Fixed maturities:
OTTI losses, gross	$	—	$	(31	)
Portion of loss recognized in other comprehensive income (pre-tax)		—		—

Net impairment losses on fixed maturities recognized in earnings		—		(31	)
Equity securities		—		(79	)

Total	$	—	$	(110	)

The following table is an analysis of the credit losses recognized in earnings on fixed maturities held by the Company as of March 31, 2018 and 2017 for which a portion of the OTTI loss was recognized in other comprehensive income.


	Quarters Ended March 31,
(Dollars in thousands)	2018		2017
Balance at beginning of period	$	13	$	31
Additions where no OTTI was previously recorded		—		—
Additions where an OTTI was previously recorded		—		—
Reductions for securities for which the company intends to sell or more likely than not will be required to sell before recovery		—		—
Reductions reflecting increases in expected cash flows to be collected		—		—
Reductions for securities sold during the period		—		—

Balance at end of period	$	13	$	31

Accumulated Other Comprehensive Income, Net of Tax

Accumulated other comprehensive income, net of tax, as of March 31, 2018 and December 31, 2017 was as follows:


(Dollars in thousands)	March 31, 2018			December 31, 2017
Net unrealized gains (losses) from:
Fixed maturities	$	(18,958	)	$	(1,707	)
Common stock		—			15,314
Foreign currency fluctuations		179			551
Deferred taxes		2,248			(5,175	)

Accumulated other comprehensive income, net of tax	$	(16,531	)	$	8,983

The following tables present the changes in accumulated other comprehensive income, net of tax, by component for the quarters ended March 31, 2018 and 2017:


Quarter Ended March 31, 2018 (Dollars in thousands)	Unrealized Gains and Losses on Available for Sale Securities, Net of Tax			Foreign Currency Items, Net of Tax			Accumulated Other Comprehensive Income, Net of Tax
Beginning balance	$	8,272		$	711		$	8,983
Other comprehensive income (loss) before reclassification		(15,189	)		(372	)		(15,561	)
Amounts reclassified from accumulated other comprehensive income (loss)		75			—			75

Other comprehensive income (loss)		(15,114	)		(372	)		(15,486	)

Cumulative-effect adjustment		(9,868	)		(160	)		(10,028	)

Ending balance	$	(16,710	)	$	179		$	(16,531	)


Quarter Ended March 31, 2017 (Dollars in thousands)	Unrealized Gains and Losses on Available for Sale Securities, Net of Tax			Foreign Currency Items, Net of Tax			Accumulated Other Comprehensive Income, Net of Tax
Beginning balance	$	(554	)	$	(64	)	$	(618	)
Other comprehensive income (loss) before reclassification		5,171			185			5,356
Amounts reclassified from accumulated other comprehensive income (loss)		(399	)		(7	)		(406	)

Other comprehensive income (loss)		4,772			178			4,950

Ending balance	$	4,218		$	114		$	4,332

The reclassifications out of accumulated other comprehensive income for the quarters ended March 31, 2018 and 2017 were as follows:


(Dollars in thousands) Details about Accumulated Other Comprehensive Income Components	Affected Line Item in the Consolidated Statements of Operations	Amounts Reclassified from Accumulated Other Comprehensive Income Quarters Ended March 31,
		2018			2017
Unrealized gains and losses on available for sale securities	Other net realized investment (gains) losses	$	93		$	(701	)
	Other than temporary impairment losses on investments		—			110

	Total before tax		93			(591	)
	Income tax (benefit)		(18	)		192

	Unrealized gains and losses on available for sale securities, net of tax		75			(399	)

Foreign currency items	Other net realized investment (gains)		—			(11	)
	Income tax expense		—			4

	Foreign currency items, net of tax		—			(7	)

Total reclassifications	Total reclassifications, net of tax	$	75		$	(406	)

Net Realized Investment Gains (Losses)

The components of net realized investment gains (losses) for the quarters ended March 31, 2018 and 2017 were as follows:


	Quarters Ended March 31,
(Dollars in thousands)	2018			2017
Fixed maturities:
Gross realized gains	$	24		$	189
Gross realized losses		(117	)		(83	)

Net realized gains (losses)		(93	)		106

Common stock:
Gross realized gains		3,453			575
Gross realized losses		(7,827	)		(79	)

Net realized gains (losses)		(4,374	)		496

Derivatives:
Gross realized gains		4,801			1,236
Gross realized losses		(650	)		(1,063	)

Net realized gains ⁽¹⁾		4,151			173

Total net realized investment gains (losses)	$	(316	)	$	775

(1)	Includes $0.7 million and $1.1 million of periodic net interest settlements related to the derivatives for the quarters ended March 31, 2018 and 2017, respectively.

New accounting guidance regarding equity securities was implemented during the quarter ended March 31, 2018 which requires companies to disclose realized gains and losses for equity securities still held at period end and gains and losses from securities sold during the period. See Note 13 for additional information regarding new accounting pronouncements. The following table shows the calculation of the portion of realized gains and losses related to common stock being held as of March 31, 2018:


	Quarter Ended March 31,
(Dollars in thousands)	2018
Net gains and losses recognized during the period on equity securities	$	(4,374	)
Less: Net gains and losses recognized during the period on equity securities sold during the period		554

Unrealized gains and losses recognized during the reporting period on equity securities still held at the reporting date	$	(4,928	)

The proceeds from sales and redemptions of available for sale and equity securities resulting in net realized investment gains (losses) for the quarters ended March 31, 2018 and 2017 were as follows:


	Quarters Ended March 31,
(Dollars in thousands)	2018		2017
Fixed maturities	$	47,148	$	139,350
Equity securities		9,283		5,626

Net Investment Income

The sources of net investment income for the quarters ended March 31, 2018 and 2017 were as follows:


	Quarters Ended March 31,
(Dollars in thousands)	2018			2017
Fixed maturities	$	8,528		$	6,678
Equity securities		999			990
Cash and cash equivalents		264			84
Other invested assets		2,323			1,692

Total investment income		12,114			9,444
Investment expense		(710	)		(800	)

Net investment income	$	11,404		$	8,644

The Company’s total investment return on a pre-tax basis for the quarters ended March 31, 2018 and 2017 were as follows:


	Quarters Ended March 31,
(Dollars in thousands)	2018			2017
Net investment income	$	11,404		$	8,644

Net realized investment gains (losses)		(316	)		775
Change in unrealized holding gains (losses)		(17,623	)		7,017

Net realized and unrealized investment returns		(17,939	)		7,792

Total investment return	$	(6,535	)	$	16,436

Total investment return % ⁽¹⁾		(0.4	%)		1.1	%

Average investment portfolio ⁽²⁾	$	1,538,651		$	1,559,965

(1)	Not annualized.

(2)	Average of total cash and invested assets, net of receivable/payable for securities purchased and sold, as of the beginning and end of the period.

Insurance Enhanced Asset-Backed and Credit Securities

As of March 31, 2018, the Company held insurance enhanced asset-backed, commercial mortgage-backed, and credit securities with a market value of approximately $33.0 million. Approximately $1.1 million of these securities were tax-free municipal bonds, which represented approximately 0.1% of the Company’s total cash and invested assets, net of payable/ receivable for securities purchased and sold. These securities had an average rating of “AA.” None of these bonds are pre-refunded with U.S. treasury securities, nor would they have carried a lower credit rating had they not been insured.

A summary of the Company’s insurance enhanced municipal bonds that are backed by financial guarantors, including the pre-refunded bonds that are escrowed in U.S. government obligations, as of March 31, 2018, is as follows:


(Dollars in thousands) Financial Guarantor	Total		Pre-refunded Securities		Government Guaranteed Securities		Exposure Net of Pre-refunded & Government Guaranteed Securities
Municipal Bond Insurance Association	$	1,136	$	—	$	—	$	1,136

Total backed by financial guarantors		1,136		—		—		1,136
Other credit enhanced municipal bonds		—		—		—		—

Total	$	1,136	$	—	$	—	$	1,136

In addition to the tax-free municipal bonds, the Company held $31.9 million of insurance enhanced bonds, which represented approximately 2.1% of the Company’s total invested assets, net of receivable/payable for securities purchased and sold. The insurance enhanced bonds are comprised of $21.6 million of taxable municipal bonds, $10.2 million of commercial mortgage-backed securities, and $0.1 million of asset-backed securities. The financial guarantors of the Company’s $31.9 million of insurance enhanced asset-backed, commercial-mortgage-backed, and taxable municipal securities include Municipal Bond Insurance Association ($6.3 million), Assured Guaranty Corporation ($15.4 million), and Federal Home Loan Mortgage Corporation ($10.2 million).

The Company had no direct investments in the entities that have provided financial guarantees or other credit support to any security held by the Company at March 31, 2018.

Bonds Held on Deposit

Certain cash balances, cash equivalents, equity securities, and bonds available for sale were deposited with various governmental authorities in accordance with statutory requirements, were held as collateral pursuant to borrowing arrangements, or were held in trust pursuant to intercompany reinsurance agreements. The fair values were as follows as of March 31, 2018 and December 31, 2017:


	Estimated Fair Value
(Dollars in thousands)	March 31, 2018		December 31, 2017
On deposit with governmental authorities	$	26,412	$	26,852
Intercompany trusts held for the benefit of U.S. policyholders		291,974		328,494
Held in trust pursuant to third party requirements		96,803		94,098
Letter of credit held for third party requirements		2,707		3,944
Securities held as collateral for borrowing arrangements⁽¹⁾		78,053		88,040

Total	$	495,949	$	541,428

(1)	Amount required to collateralize margin borrowing facility.

Variable Interest Entities

A Variable Interest Entity (VIE) refers to an investment in which an investor holds a controlling interest that is not based on the majority of voting rights. Under the VIE model, the party that has the power to exercise significant management influence and maintain a controlling financial interest in the entity’s economics is said to be the primary beneficiary, and is required to consolidate the entity within their results. Other entities that participate in a VIE, for which their financial interests fluctuate with changes in the fair value of the investment entity’s net assets but do not have significant management influence and the ability to direct the VIE’s significant economic activities are said to have a variable interest in the VIE but do not consolidate the VIE in their financial results.

The Company has variable interests in three VIE’s for which it is not the primary beneficiary. These investments are accounted for under the equity method of accounting as their ownership interest exceeds 3% of their respective investments.

The fair value of one of the Company’s VIE’s, which invests in distressed securities and assets, was $22.9 million and $26.3 million as of March 31, 2018 and December 31, 2017, respectively. The Company’s maximum exposure to loss from this VIE, which factors in future funding commitments, was $37.2 million and $40.5 million at March 31, 2018 and December 31, 2017, respectively. The fair value of a second VIE that provides financing for middle market companies, was $36.4 million and $33.8 million at March 31, 2018 and December 31, 2017, respectively. The Company’s maximum exposure to loss from this VIE, which factors in future funding commitments, was $41.6 million and $43.8 million at March 31, 2018 and December 31, 2017, respectively. The fair value of a third VIE that also invests in distressed securities and assets, was $22.9 million and $17.8 million as of March 31, 2018 and December 31, 2017, respectively. The Company’s maximum exposure to loss from this VIE, which factors in future funding commitments, was $52.1 million and $51.3 million at March 31, 2018 and December 31, 2017, respectively. The Company’s investment in VIEs is included in other invested assets on the consolidated balance sheet with changes in fair value recorded in the consolidated statements of operations.