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Fair Value of Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2022
Fair Value Disclosures [Abstract]  
Fair value hierarchy of financial assets and financial liabilities measured on a recurring basis
At June 30, 2022 and December 31, 2021, the Company classified its financial instruments measured at fair value on a recurring basis in the following valuation hierarchy:
June 30, 2022Quoted Prices in Active Markets for Identical Assets (Level 1)Significant Other Observable Inputs (Level 2)Significant Unobservable Inputs (Level 3)Fair Value Based on NAV Practical ExpedientTotal Fair Value
Fixed maturities
U.S. treasury bonds$64,575 $— $— $— $64,575 
U.S. agency bonds – mortgage-backed— 74,026 — — 74,026 
Collateralized mortgage-backed bonds— 6,886 — — 6,886 
Non-U.S. government bonds— 16,192 — — 16,192 
Collateralized loan obligations— 154,634 — — 154,634 
Corporate bonds— 119,054 — — 119,054 
Equity securities492 — 35,194 22,006 57,692 
Other investments
— — 1,000 65,537 66,537 
Total investments$65,067 $370,792 $36,194 $87,543 $559,596 
As a percentage of total assets3.0%17.2%1.7%4.1%26.0%
Derivative liability on retroactive reinsurance$— $— $9,341 $— $9,341 
December 31, 2021Quoted Prices in Active Markets for Identical Assets (Level 1)Significant Other Observable Inputs (Level 2)Significant Unobservable Inputs (Level 3)Fair Value Based on NAV Practical ExpedientTotal Fair Value
Fixed maturities
U.S. treasury bonds$59,879 $— $— $— $59,879 
U.S. agency bonds – mortgage-backed— 98,790 — — 98,790 
Collateralized mortgage-backed bonds— 15,537 — — 15,537 
Non-U.S. government bonds— 3,276 — — 3,276 
Collateralized loan obligations— 179,021 — — 179,021 
Corporate bonds— 240,642 — — 240,642 
Equity securities1,174 — 25,094 17,794 44,062 
Other investments
— — 2,000 52,687 54,687 
Total investments$61,053 $537,266 $27,094 $70,481 $695,894 
As a percentage of total assets
2.6%23.1%1.2%3.0%29.9%
Significant unobservable inputs for determining fair value of other investments The following table provides a summary of quantitative information regarding the significant unobservable inputs used in determining the fair value of other investments measured at fair value on a recurring basis under the Level 3 classification at June 30, 2022:
 Fair ValueValuation TechniqueUnobservable InputsRange
Private equity investments$26,860 Quarterly financial statementsEstimated maturity dates1.0 yearsto3.0 years
Others including start-ups9,334 Recent market transactionsLiquidity discount rates
Total Level 3 investments$36,194  
Derivative liability on retroactive reinsurance$9,341 Discounted cash flowsDuration matched discount rates2.0%to3.0%
Reconciliation of other investments measured at fair value on a recurring basis using Level 3 inputs
The following table shows the reconciliation of the beginning and ending balances for investments measured at fair value on a recurring basis using Level 3 inputs for the three and six months ended June 30, 2022 and 2021. The Company includes any related interest and dividend income in net investment income and are excluded from the reconciliation in the table below:
For the Three Months Ended June 30,For the Six Months Ended June 30,
 2022202120222021
Balance - beginning of period$29,660 $29,344 $27,094 $26,094 
Sales(1,000)— (1,000)— 
Net unrealized gains (losses)3,659 — 3,659 — 
Purchases3,875 — 6,441 4,250 
Transfers out of Level 3— — — (1,000)
Total Level 3 investments - end of period$36,194 $29,344 $36,194 $29,344 
Carrying values and fair values of financial instruments not measured at fair value The following table presents the respective carrying value and fair value for the Senior Notes as at June 30, 2022 and December 31, 2021:
June 30, 2022December 31, 2021
 
Carrying ValueFair ValueCarrying ValueFair Value
Senior Notes - MHLA – 6.625%
$110,000 $71,720 $110,000 $94,820 
Senior Notes - MHNC – 7.75%
152,500 106,994 152,500 140,300 
Total Senior Notes$262,500 $178,714 $262,500 $235,120