Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2022

Fair Value Disclosures [Abstract]

Company's Invested Assets and Derivative Instruments Measured at Fair Value on Recurring Basis

The following table presents information about the Company’s invested assets and derivative instruments measured at fair value on a recurring basis as of December 31, 2022 and 2021 and indicates the fair value hierarchy of the valuation techniques utilized by the Company to determine such fair value.

As of December 31, 2022	Fair Value Measurements
(Dollars in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Fixed maturities:
U.S. treasuries	$	344,103	$	—	$	—	$	344,103
Obligations of states and political subdivisions		—		31,595		—		31,595
Mortgage-backed securities		—		61,156		960		62,116
Commercial mortgage-backed securities		—		98,664		—		98,664
Asset-backed securities		—		189,073		327		189,400
Corporate bonds		—		336,767		2,013		338,780
Foreign corporate bonds		—		183,540		—		183,540
Total fixed maturities		344,103		900,795		3,300		1,248,198
Equity securities		—		16,249		1,271		17,520
Total assets measured at fair value	$	344,103	$	917,044	$	4,571	$	1,265,718

As of December 31, 2021	Fair Value Measurements
(Dollars in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Fixed maturities:
U.S. treasuries	$	150,118	$	—	$	—	$	150,118
Agency obligations		—		5,630		—		5,630
Obligations of states and political subdivisions		—		54,721		—		54,721
Mortgage-backed securities		—		250,341		—		250,341
Commercial mortgage-backed securities		—		136,893		—		136,893
Asset-backed securities		—		171,686		956		172,642
Corporate bonds		—		290,807		1,576		292,383
Foreign corporate bonds		—		139,138		—		139,138
Total fixed maturities		150,118		1,049,216		2,532		1,201,866
Equity securities		75,750		23,991		237		99,978
Total assets measured at fair value	$	225,868	$	1,073,207	$	2,769	$	1,301,844
Liabilities:
Derivative instruments	$	—	$	8,395	$	—	$	8,395
Total liabilities measured at fair value	$	—	$	8,395	$	—	$	8,395

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 years ended December 31, 2022, 2021, and 2020:

	Years Ended December 31,
(Dollars in thousands)	2022			2021			2020
Beginning balance	$	2,769		$	—		$	—
Total gains (realized / unrealized):
Included in accumulated other comprehensive income		(21	)		(35	)		—
Included in earnings attributable to realized gains / losses		(61	)		60			—
Transfers into level 3		857			1,400			—
Transfers out of level 3		—			(1,815	)		—
Amortization of bond premium and discount, net		6			1			—
Purchases		2,304			3,286			—
Sales		(1,283	)		(128	)		—
Ending balance		4,571			2,769			—
Gains included in earnings attributable to the change in unrealized gains (losses) related to assets still held at end of reporting period	$	95		$	—		$	—

Current Fair Value of Debt

For the Company’s material debt arrangements, the current fair value of the Company’s debt at December 31, 2022 and 2021 was as follows:

	December 31, 2022				December 31, 2021
(Dollars in thousands)	Carrying Value		Fair Value		Carrying Value		Fair Value
7.875% Subordinated Notes due 2047 (1)	$	—	$	—	$	126,430	$	129,238
Total	$	—	$	—	$	126,430	$	129,238

(1)As of December 31, 2021, the carrying value and fair value of the 7.875% Subordinated Notes due 2047 are net of unamortized debt issuance cost of $3.6 million. In April 2022, the Company redeemed all of its outstanding 7.875% subordinated notes due 2047 and unamortized debt issuance cost of $3.5 million was written off and included in the consolidated statements of operations as loss on extinguishment of debt.

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 December 31, 2022 and 2021.

	December 31, 2022				December 31, 2021
(Dollars in thousands)	Fair Value		Future Funding Commitment		Fair Value		Future Funding Commitment
European Non-Performing Loan Fund, LP (1)	$	4,832	$	14,214	$	8,636	$	14,214
Distressed Debt Fund, LP (2)		—		—		349		17,000
Mortgage Debt Fund, LP (3)		9,771		—		11,707		—
Credit Fund, LLC (4)		—		—		106,162		—
Global Debt Fund, LP (5)		23,573		—		25,797		—
Total	$	38,176	$	14,214	$	152,651	$	31,214

(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.

(2)This limited partnership invested in stressed and distressed securities and structured products. The Company received a final distribution from the limited partnership during the fourth quarter of 2022.

(3)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.

(4)This limited liability company invests in a broad portfolio of non-investment grade loans, secured and unsecured corporate debt, credit default swaps, reverse repurchase agreements and synthetic indices. During the second quarter of 2022, the Company provided the fund with formal withdrawal requests in full and received a final distribution during the third quarter.

(5)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.