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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2023

Fair Value Disclosures [Abstract]

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

The following table presents information about the Company’s invested assets measured at fair value on a recurring basis as of September 30, 2023 and December 31, 2022 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, 2023 (Dollars in thousands)		Level 1				Level 2				Level 3				Total
Assets:
Fixed maturities:
U.S. treasuries		$	445,171			$	—			$	—			$	445,171
Obligations of states and political subdivisions			—				26,215				—				26,215
Mortgage-backed securities			—				58,153				949				59,102
Commercial mortgage-backed securities			—				78,760				—				78,760
Asset-backed securities			—				200,974				—				200,974
Corporate bonds			—				319,056				1,431				320,487
Foreign corporate bonds			—				156,386				—				156,386
Total fixed maturities			445,171				839,544				2,380				1,287,095
Equity securities			—				15,765				1,189				16,954
Total assets measured at fair value		$	445,171			$	855,309			$	3,569			$	1,304,049

		Fair Value Measurements
As of December 31, 2022 (Dollars in thousands)		Level 1				Level 2				Level 3				Total
Assets:
Fixed maturities:
U.S. treasuries		$	344,103			$	—			$	—			$	344,103
Obligations of states and political subdivisions			—				31,595				—				31,595
Mortgage-backed securities			—				61,156				960				62,116
Commercial mortgage-backed securities			—				98,664				—				98,664
Asset-backed securities			—				189,073				327				189,400
Corporate bonds			—				336,767				2,013				338,780
Foreign corporate bonds			—				183,540				—				183,540
Total fixed maturities			344,103				900,795				3,300				1,248,198
Equity securities			—				16,249				1,271				17,520
Total assets measured at fair value		$	344,103			$	917,044			$	4,571			$	1,265,718

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

The following table presents changes in Level 3 investments measured at fair value on a recurring basis for the quarters and nine months ended September 30, 2023 and 2022:

		Quarters Ended September 30,								Nine Months Ended September 30,
(Dollars in thousands)		2023				2022				2023				2022
Beginning balance		$	3,787			$	4,350			$	4,571			$	2,769
Total gains (realized / unrealized):
Included in accumulated other comprehensive income			3				(45	)			10				(29	)
Included in earnings attributable to realized gains / losses			24				(4	)			(148	)			(175	)
Transfers into level 3			—				—				—				857
Amortization of bond premium and discount, net			1				2				5				4
Purchases			182				596				295				2,075
Sales			(428	)			(652	)			(1,164	)			(1,254	)
Ending balance			3,569				4,247				3,569				4,247
Gains (losses) included in earnings attributable to the change in unrealized gains (losses) related to assets still held at end of reporting period		$	31			$	(4	)		$	(131	)		$	(19	)

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, 2023 and December 31, 2022.

		September 30, 2023								December 31, 2022
(Dollars in thousands)		Fair Value				Future Funding Commitment				Fair Value				Future Funding Commitment
European Non-Performing Loan Fund, LP (1)		$	4,110			$	14,214			$	4,832			$	14,214
Mortgage Debt Fund, LP (2)			9,064				—				9,771				—
Global Debt Fund, LP (3)			23,694				—				23,573				—
Total		$	36,868			$	14,214			$	38,176			$	14,214

(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 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.

(3)This limited partnership invests in performing, stressed or distressed securities and loans across the global fixed income markets. The Company does have the contractual option to withdraw all or a portion of its limited partnership interest by providing notice to the fund.

X

- 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
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

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-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (b)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

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- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (c)
-SubTopic 10
-Topic 820
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Name Accounting Standards Codification
-Topic 820
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-Section 50
-Paragraph 3
-Publisher FASB
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- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 11
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482907/825-10-50-11

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