Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2020

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)					March 31, 2020
	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	$	5,629	$	—	$	5,629	$	—	$	—
States, municipalities and political subdivisions	603		—		603		—		—
Mortgage-backed	4,054		—		4,054		—		—
Corporate	4,961		—		4,961		—		—
Total fixed maturities	15,247		—		15,247		—		—
Equity investments:
Common stock	1,817		1,817		—		—		—
Warrants	8		3		5		—		—
Total equity investments	1,825		1,820		5		—		—
Limited liability investments, at fair value	30,986		—		—		4,413		26,573
Real estate investments	10,662		—		—		10,662		—
Other investments	841		—		841		—		—
Short-term investments	156		—		156		—		—
Total assets	$	59,717	$	1,820	$	16,249	$	15,075	$	26,573

Liabilities:
Subordinated debt	$	40,387	$	—	$	40,387	$	—	$	—
Warrant liability	216		—		—		216		—
Total liabilities	$	40,603	$	—	$	40,387	$	216	$	—



(in thousands)					December 31, 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	$	13,316	$	—	$	13,316	$	—	$	—
States municipalities and political subdivisions	600		—		600		—		—
Mortgage-backed	2,939		—		2,939		—		—
Corporate	5,340		—		5,340		—		—
Total fixed maturities	22,195		—		22,195		—		—
Equity investments:
Common stock	2,406		2,406		—		—		—
Warrants	15		5		10		—		—
Total equity investments	2,421		2,411		10		—		—
Limited liability investments, at fair value	29,078		—		—		4,392		24,686
Real estate investments	10,662		—		—		10,662		—
Other investments	1,009		—		1,009		—		—
Short-term investments	155		—		155		—		—
Total assets	$	65,520	$	2,411	$	23,369	$	15,054	$	24,686

Liabilities:
Subordinated debt	$	54,655	$	—	$	54,655	$	—	$	—
Warranty liability	249		—		—		249		—
Total liabilities	$	54,904	$	—	$	54,655	$	249	$	—

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 months ended March 31, 2020 and March 31, 2019:



(in thousands)	Three months ended March 31,
	2020			2019
Assets:
Limited liability investments, at fair value:
Beginning balance	$	4,392		$	4,124
Purchases	—			75
Distributions received	(77		)	(324		)
Realized gains included in net (loss) income	86			69
Change in fair value of limited liability investments, at fair value included in net (loss) income	12			116
Ending balance	$	4,413		$	4,060
Unrealized gains on limited liability investments, at fair value held at end of period:
Included in net (loss) income	$	12		$	116
Included in other comprehensive income (loss)	$	—		$	—
Real estate investments:
Beginning balance	$	10,662		$	10,662
Change in fair value of real estate investments included in net (loss) income	—			—
Ending balance	$	10,662		$	10,662
Unrealized gains recognized on real estate investments held at end of period:
Included in net (loss) income	—			—
Included in other comprehensive income (loss)	—			—
Ending balance - assets	$	15,075		$	14,722
Liabilities:
Warrant liability:
Beginning balance	$	249		$	—
Issuance of warrants	—			361
Change in fair value of warrant liability included in net (loss) income	(33		)	(44		)
Ending balance - liabilities	$	216		$	317
Unrealized gains recognized on warrant liability held at end of period:
Included in net (loss) income	$	(33	)	$	(44	)
Included in other comprehensive income (loss)	$	—		$	—

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 March 31, 2020 :



Categories	Fair Value		Valuation Techniques	Unobservable Inputs	Input Value(s)
Limited liability investments, at fair value	$	4,413	Market approach	Valuation multiples	3.1x-7.0x
Real estate investments	$	10,662	Market and income approach	Cap rates	7.5	%
Warrant liability	$	216	Market approach	Valuation multiple	6.0x



Categories	Fair Value		Valuation Techniques	Unobservable Inputs	Input Value(s)
Limited liability investments, at fair value	$	4,392	Market approach	Valuation multiples	3.1x-7.0x
Real estate investments	$	10,662	Market and income approach	Cap rates	7.5	%
Warrant liability	$	249	Market approach	Valuation multiple	6.0x

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 March 31, 2020:



Category	Fair Value (in thousands)		Unfunded Commitments	Redemption Frequency	Redemption Notice Period
Limited liability investments, at fair value	$	26,573	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, 2019:



Category	Fair Value (in thousands)		Unfunded Commitments	Redemption Frequency	Redemption Notice Period
Limited liability investments, at fair value	$	24,686	n/a	n/a	n/a