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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2024

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, 2024 and December 31, 2023 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, 2024 (Dollars in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Fixed maturities:
U.S. treasuries	$	890,588	$	—	$	—	$	890,588
Obligations of states and political subdivisions		—		17,173		—		17,173
Mortgage-backed securities		—		47,477		—		47,477
Commercial mortgage-backed securities		—		74,226		—		74,226
Asset-backed securities		—		157,668		—		157,668
Corporate bonds		—		147,397		—		147,397
Foreign corporate bonds		—		60,700		—		60,700
Total fixed maturities		890,588		504,641		—		1,395,229
Equity securities		—		12,347		—		12,347
Total assets measured at fair value	$	890,588	$	516,988	$	—	$	1,407,576


	Fair Value Measurements
As of December 31, 2023 (Dollars in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Fixed maturities:
U.S. treasuries	$	494,223	$	—	$	—	$	494,223
Obligations of states and political subdivisions		—		26,150		—		26,150
Mortgage-backed securities		—		58,927		—		58,927
Commercial mortgage-backed securities		—		79,080		—		79,080
Asset-backed securities		—		202,952		—		202,952
Corporate bonds		—		291,713		—		291,713
Foreign corporate bonds		—		140,748		—		140,748
Total fixed maturities		494,223		799,570		—		1,293,793
Equity securities		—		16,508		—		16,508
Total assets measured at fair value	$	494,223	$	816,078	$	—	$	1,310,301

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, 2024 and 2023:


	Quarters Ended September 30,					Nine Months Ended September 30,
(Dollars in thousands)	2024		2023			2024		2023
Beginning balance	$	—	$	3,787		$	—	$	4,571
Total gains / (losses) (realized / unrealized):
Included in accumulated other comprehensive income (loss)		—		3			—		10
Included in earnings attributable to realized gains / losses		—		24			—		(148	)
Amortization of bond premium and discount, net		—		1			—		5
Purchases		—		182			—		295
Sales		—		(428	)		—		(1,164	)
Ending balance	$	—	$	3,569		$	—	$	3,569
Gains (losses) included in earnings attributable to the change in unrealized gains (losses) related to assets still held at end of reporting period	$	—	$	31		$	—	$	(131	)

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, 2024 and December 31, 2023.


	September 30, 2024				December 31, 2023
(Dollars in thousands)	Fair Value		Future Funding Commitment		Fair Value		Future Funding Commitment
European Non-Performing Loan Fund, LP (1)	$	3,406	$	14,214	$	4,048	$	14,214
Mortgage Debt Fund, LP (2)		8,588		—		8,172		—
Global Debt Fund, LP (3)		17,465		—		26,016		—
Total	$	29,459	$	14,214	$	38,236	$	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. As of September 30, 2024, the Company has funded $35.8 million of this commitment leaving $14.2 million as unfunded. Since the investment period has concluded, the Company does not expect any capital calls will be made prospectively.

(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. On July 31, 2023, the Company provided the Global Debt Fund, LP with a formal withdrawal request to fully redeem the partnership interest. Partial redemption proceeds of $8.7 million were received during the nine months ended September 30, 2024.

- 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.

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