Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2019

Schedule of Financial Assets and Liabilities Measured at Fair Value on Recurring Basis

Certain investments in limited liability companies that are measured at fair value using the net asset value practical expedient are not required to be classified using the fair value hierarchy, but are presented in the following tables to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheets:



(in thousands)					September 30, 2019
	Fair Value Measurements at the End of the Reporting Period Using

	Total		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Measured at Net Asset Value
Recurring fair value measurements:

Assets:
Fixed maturities:
U.S. government, government agencies and authorities	$	11,594	$	—	$	11,594	$	—	$	—
States, municipalities and political subdivisions	602		—		602		—		—
Mortgage-backed	2,122		—		2,122		—		—
Corporate	2,991		—		2,991		—		—
Total fixed maturities	17,309		—		17,309		—		—
Equity investments:
Common stock	150		150		—		—		—
Warrants	7		6		1		—		—
Total equity investments	157		156		1		—		—
Limited liability investments, at fair value	29,559		—		3,565		3,570		22,424
Real estate investments	10,662		—		—		10,662		—
Other investments	750		—		750		—		—
Short-term investments	154		—		154		—		—
Total assets	$	58,591	$	156	$	21,779	$	14,232	$	22,424

Liabilities:
Subordinated debt	$	50,565	$	—	$	50,565	$	—	$	—
Warrant liability	280		—		—		280		—
Total liabilities	$	50,845	$	—	$	50,565	$	280	$	—



(in thousands)					December 31, 2018
			Fair Value Measurements at the End of the Reporting Period Using

	Total		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Measured at Net Asset Value
Recurring fair value measurements:

Assets:
Fixed maturities:
U.S. government, government agencies and authorities	$	5,547	$	—	$	5,547	$	—	$	—
States municipalities and political subdivisions	607		—		607		—		—
Mortgage-backed	3,186		—		3,186		—		—
Corporate	2,920		—		2,920		—		—
Total fixed maturities	12,260		—		12,260		—		—
Equity investments:
Common stock	801		801		—		—		—
Warrants	55		19		36		—		—
Total equity investments	856		820		36		—		—
Limited liability investments, at fair value	26,015		—		206		4,124		21,685
Real estate investments	10,662		—		—		10,662		—
Other investments	2,079		—		2,079		—		—
Short-term investments	152		—		152		—		—
Total assets	$	52,024	$	820	$	14,733	$	14,786	$	21,685

Liabilities:
Subordinated debt	$	50,023	$	—	$	50,023	$	—	$	—
Total liabilities	$	50,023	$	—	$	50,023	$	—	$	—

Schedule of Reconciliation of Fair Value of Recurring Level 3 Measurements

The following table provides a reconciliation of the fair value of recurring Level 3 fair value measurements for the three and nine months ended September 30, 2019 and September 30, 2018:



(in thousands)	Three months ended September 30,						Nine months ended September 30,
	2019			2018			2019			2018
Assets:
Limited liability investments, at fair value:
Beginning balance	$	4,635		$	2,083		$	4,124		$	1,397
Purchases	72			307			746			1,285
Distributions received	(915		)	(34		)	(1,253		)	(596		)
Realized gains included in net loss	711			—			794			251
Change in fair value of limited liability investments, at fair value included in net loss	(933		)	(26		)	(841		)	(7		)
Ending balance	$	3,570		$	2,330		$	3,570		$	2,330
Unrealized (losses) gains recognized in net loss on limited liability investments, at fair value held at end of period	$	(909	)	$	27		$	(793	)	$	65
Real estate investments:
Beginning balance	$	10,662		$	10,662		$	10,662		$	10,662
Change in fair value of real estate investments included in net loss	—			—			—			—
Ending balance	$	10,662		$	10,662		$	10,662		$	10,662
Unrealized gains recognized in net loss on real estate investments held at end of period	$	—		$	—		$	—		$	—
Ending balance - assets	$	14,232		$	12,992		$	14,232		$	12,992
Liabilities:
Warrant liability:
Beginning balance	$	307		$	—		$	—		$	—
Issuance of warrants	—			—			361			—
Change in fair value of warrant liability included in net loss	(27		)	—			(81		)	—
Ending balance - liabilities	$	280		$	—		$	280		$	—
Unrealized gains recognized in net loss on warrant liability held at end of period	$	(27	)	$	—		$	(81	)	$	—

Schedule of Fair Value Valuation Techniques Used to Measure Investments

The following table summarizes the valuation techniques and significant unobservable inputs utilized in determining fair values for the Company's investments that are categorized as Level 3 at September 30, 2019 :



Categories	Fair Value		Valuation Techniques	Unobservable Inputs	Input Value(s)
Limited liability investments, at fair value	$	3,570	Market approach	Valuation multiples	5.0x-8.8x
Real estate investments	$	10,662	Market and income approach	Cap rates	7.5	%
Warrant liability	$	280	Market approach	Valuation multiple	6.0x



Categories	Fair Value		Valuation Techniques	Unobservable Inputs	Input Value(s)
Limited liability investments, at fair value	$	4,124	Market approach	Valuation multiples	5.0x-8.8x
Real estate investments	$	10,662	Market and income approach	Cap rates	7.5	%

Schedule of Investments at Fair Value Using Net Asset Value Per Share as Practical Expedient

The following table summarizes investments for which fair value is measured using the net asset value per share practical expedient at September 30, 2019:



Category	Fair Value (in thousands)		Unfunded Commitments	Redemption Frequency	Redemption Notice Period
Limited liability investments, at fair value	$	22,424	n/a	n/a	n/a

The following table summarizes investments for which fair value is measured using the net asset value per share practical expedient at December 31, 2018:



Category	Fair Value (in thousands)		Unfunded Commitments	Redemption Frequency	Redemption Notice Period
Limited liability investments, at fair value	$	21,685	n/a	n/a	n/a