Schedule of Fair value Hierarchy of Financial Assets and Financial Liabilities Measured on a Recurring Basis |
At March 31, 2024 and December 31, 2023, the Company classified its financial instruments measured at fair value on a recurring basis in the following valuation hierarchy: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2024 | | Quoted 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 Expedient | | Total Fair Value | Fixed maturities | | | | | | | | | | | U.S. treasury bonds | | $ | 66,444 | | | $ | — | | | $ | — | | | $ | — | | | $ | 66,444 | | U.S. agency bonds – mortgage-backed | | — | | | 25,618 | | | — | | | — | | | 25,618 | | | | | | | | | | | | | Non-U.S. government bonds | | — | | | 41,573 | | | — | | | — | | | 41,573 | | Collateralized loan obligations | | — | | | 63,195 | | | — | | | — | | | 63,195 | | Corporate bonds | | — | | | 57,307 | | | 5,314 | | | — | | | 62,621 | | | | | | | | | | | | | Equity securities | | 82 | | | — | | | 18,333 | | | 26,013 | | | 44,428 | | Other investments | | — | | | — | | | 34,347 | | | 93,398 | | | 127,745 | | Total investments | | $ | 66,526 | | | $ | 187,693 | | | $ | 57,994 | | | $ | 119,411 | | | $ | 431,624 | | As a percentage of total assets | | 4.5% | | 12.8% | | 3.9% | | 8.1% | | 29.3% | | | | | | | | | | | | Underwriting-related derivative liability | | $ | — | | | $ | — | | | $ | 3,984 | | | $ | — | | | $ | 3,984 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2023 | | Quoted 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 Expedient | | Total Fair Value | Fixed maturities | | | | | | | | | | | U.S. treasury bonds | | $ | 55,052 | | | $ | — | | | $ | — | | | $ | — | | | $ | 55,052 | | U.S. agency bonds – mortgage-backed | | — | | | 26,651 | | | — | | | — | | | 26,651 | | | | | | | | | | | | | Non-U.S. government bonds | | — | | | 20,751 | | | — | | | — | | | 20,751 | | Collateralized loan obligations | | — | | | 78,803 | | | — | | | — | | | 78,803 | | Corporate bonds | | — | | | 63,962 | | | 5,382 | | | — | | | 69,344 | | | | | | | | | | | | | Equity securities | | 81 | | | — | | | 19,351 | | | 25,867 | | | 45,299 | | Other investments | | — | | | — | | | 27,750 | | | 86,056 | | | 113,806 | | Total investments | | $ | 55,133 | | | $ | 190,167 | | | $ | 52,483 | | | $ | 111,923 | | | $ | 409,706 | | As a percentage of total assets | | 3.6% | | 12.5% | | 3.5% | | 7.4% | | 27.0% | | | | | | | | | | | | Underwriting-related derivative liability | | $ | — | | | $ | — | | | $ | 3,984 | | | $ | — | | | $ | 3,984 | |
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Schedule of 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 March 31, 2024: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value | | Valuation Technique | | Unobservable Inputs | | Range | Privately held equity securities - common shares | | $ | 39,749 | | | Quarterly financial statements | | Price/book ratios of comparable public companies | | | | | Privately held equity securities - preferred shares | | 11,331 | | | Quarterly financial statements | | Privately calculated enterprise valuations | | | | | Other investments - Private credit funds | | 1,600 | | | Quarterly financial statements | | Price/book ratios of comparable public companies | | | | | Corporate bonds | | 5,314 | | | Non-binding broker dealer quotation | | | | | | | Total Level 3 investments | | $ | 57,994 | | | | | | | | | | | | | | | | | | | | | Underwriting-related derivative liability | | $ | 3,984 | | | Discounted cash flows | | Duration matched discount rates | | 5.0% | to | 6.0% |
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Schedule of Reconciliation of Other Investments Measured at Fair value on a Recurring Basis Using Level 3 Inputs |
The following table shows the reconciliation of beginning and ending balances for investments measured at fair value on a recurring basis using Level 3 inputs for the three months ended March 31, 2024 and 2023. 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 March 31, | | | | | 2024 | | 2023 | | | | | Balance - beginning of period | | $ | 52,483 | | | $ | 18,806 | | | | | | | | | | | | | | | | | | | | | | | | Net realized and unrealized gains recognized in the statement of income | | 5,511 | | | 1,392 | | | | | | Purchases | | — | | | 1,000 | | | | | | | | | | | | | | | Total Level 3 investments - end of period | | $ | 57,994 | | | $ | 21,198 | | | | | |
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Schedule of 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 March 31, 2024 and December 31, 2023: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2024 | | December 31, 2023 | | | Carrying Value | | Fair Value | | Carrying Value | | Fair Value | | | | | | | | | | Senior Notes - MHLA – 6.625% | | $ | 110,000 | | | $ | 73,392 | | | $ | 110,000 | | | $ | 73,744 | | Senior Notes - MHNC – 7.75% | | 152,361 | | | 111,772 | | | 152,361 | | | 115,855 | | Total Senior Notes | | $ | 262,361 | | | $ | 185,164 | | | $ | 262,361 | | | $ | 189,599 | |
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