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Fair Value Measurements (Tables) | 9 Months Ended
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Sep. 30, 2020
Fair Value Disclosures [Abstract] |
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 September 30, 2020 and December 31, 2019 and indicates the fair value hierarchy of the valuation techniques utilized by the Company to determine such fair value.
|  | Fair Value Measurements |
As of September 30, 2020 (Dollars in thousands) |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. treasury and agency obligations |  | $ | 200,457 |  |  | $ | 1,500 |  |  | $ | — |  |  | $ | 201,957 |
Obligations of states and political subdivisions |  |  | — |  |  |  | 62,001 |  |  |  | — |  |  |  | 62,001 |
Mortgage-backed securities |  |  | — |  |  |  | 401,084 |  |  |  | — |  |  |  | 401,084 |
Commercial mortgage-backed securities |  |  | — |  |  |  | 138,911 |  |  |  | — |  |  |  | 138,911 |
Asset-backed securities |  |  | — |  |  |  | 139,150 |  |  |  | — |  |  |  | 139,150 |
Corporate bonds |  |  | — |  |  |  | 258,861 |  |  |  | — |  |  |  | 258,861 |
Foreign corporate bonds |  |  | — |  |  |  | 101,811 |  |  |  | — |  |  |  | 101,811 |
Total fixed maturities |  |  | 200,457 |  |  |  | 1,103,318 |  |  |  | — |  |  |  | 1,303,775 |
Equity securities |  |  | 64,673 |  |  |  | 11,268 |  |  |  | — |  |  |  | 75,941 |
Total assets measured at fair value |  | $ | 265,130 |  |  | $ | 1,114,586 |  |  | $ | — |  |  | $ | 1,379,716 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative instruments |  | $ | — |  |  | $ | 17,931 |  |  | $ | — |  |  | $ | 17,931 |
Total liabilities measured at fair value |  | $ | — |  |  | $ | 17,931 |  |  | $ | — |  |  | $ | 17,931 |
|  | Fair Value Measurements |
As of December 31, 2019 (Dollars in thousands) |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. treasury and agency obligations |  | $ | 156,689 |  |  | $ | — |  |  | $ | — |  |  | $ | 156,689 |
Obligations of states and political subdivisions |  |  | — |  |  |  | 63,838 |  |  |  | — |  |  |  | 63,838 |
Mortgage-backed securities |  |  | — |  |  |  | 328,374 |  |  |  | — |  |  |  | 328,374 |
Commercial mortgage-backed securities |  |  | — |  |  |  | 188,104 |  |  |  | — |  |  |  | 188,104 |
Asset-backed securities |  |  | — |  |  |  | 168,537 |  |  |  | — |  |  |  | 168,537 |
Corporate bonds |  |  | — |  |  |  | 248,259 |  |  |  | — |  |  |  | 248,259 |
Foreign corporate bonds |  |  | — |  |  |  | 99,358 |  |  |  | — |  |  |  | 99,358 |
Total fixed maturities |  |  | 156,689 |  |  |  | 1,096,470 |  |  |  | — |  |  |  | 1,253,159 |
Equity securities |  |  | 251,448 |  |  |  | 11,656 |  |  |  | — |  |  |  | 263,104 |
Total assets measured at fair value |  | $ | 408,137 |  |  | $ | 1,108,126 |  |  | $ | — |  |  | $ | 1,516,263 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative instruments |  | $ | — |  |  | $ | 10,275 |  |  | $ | — |  |  | $ | 10,275 |
Total liabilities measured at fair value |  | $ | — |  |  | $ | 10,275 |  |  | $ | — |  |  | $ | 10,275 |
Current Fair Value of Debt | For the Company’s material debt arrangements, the current fair value of the Company’s debt at September 30, 2020 and December 31, 2019 was as follows:
|  | September 30, 2020 |  |  | December 31, 2019 |
(Dollars in thousands) |  | Carrying Value |  |  | Fair Value |  |  | Carrying Value |  |  | Fair Value |
Margin Borrowing Facility (1) |  | $ | — |  |  | $ | — |  |  | $ | 73,629 |  |  | $ | 73,629 |
7.75% Subordinated Notes due 2045 (2) |  |  | — |  |  |  | — |  |  |  | 96,864 |  |  |  | 100,264 |
7.875% Subordinated Notes due 2047 (3) |  |  | 126,253 |  |  |  | 130,153 |  |  |  | 126,147 |  |  |  | 134,462 |
Total |  | $ | 126,253 |  |  | $ | 130,153 |  |  | $ | 296,640 |  |  | $ | 308,355 |
(1) | The Margin Borrowing Facility was fully paid down in August 2020.
(2) | As of December 31, 2019, the carrying value and fair value of the 7.75% Subordinated Notes due 2045 are net of unamortized debt issuance cost of $3.1 million. In August 2020, the Company redeemed all of its outstanding 7.75% subordinated notes due 2045 and unamortized debt issuance cost of $3.1 million was written off and included in the consolidated statements of operations as loss on the extinguishment of debt.
(3) | As of September 30, 2020 and December 31, 2019, the carrying value and fair value of the 7.875% Subordinated Notes due 2047 are net of unamortized debt issuance cost of $3.7 million and $3.9 million, respectively.
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 September 30, 2020 and December 31, 2019.
|  | September 30, 2020 |  |  | December 31, 2019 |
(Dollars in thousands) |  | Fair Value |  |  | Future Funding Commitment |  |  | Fair Value |  |  | Future Funding Commitment |
European Non-Performing Loan Fund, LP (1) |  | $ | 11,283 |  |  | $ | 14,214 |  |  | $ | 13,530 |  |  | $ | 14,214 |
Distressed Debt Fund, LP (2) |  |  | 16,979 |  |  |  | 17,000 |  |  |  | 23,966 |  |  |  | 17,000 |
Mortgage Debt Fund, LP (3) |  |  | 9,487 |  |  |  | — |  |  |  | 9,783 |  |  |  | 506 |
Total |  | $ | 37,749 |  |  | $ | 31,214 |  |  | $ | 47,279 |  |  | $ | 31,720 |
(1) | 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 ability to sell or transfer its limited partnership interest without consent from the general partner. 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.
(2) | This limited partnership invests in stressed and distressed securities and structured products. The Company does not have the ability to sell or transfer its limited partnership interest without consent from the general partner. 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.
(3) | This limited partnership invests in REIT qualifying assets such as mortgage loans, investor property loans, and commercial mortgage loans. The Company does not have the ability to sell or transfer its limited partnership interest without consent from the general partner. 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.

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- Definition Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2C -URI http://asc.fasb.org/extlink&oid=117815213&loc=SL7498348-110258 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bb) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of assets, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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