The amortized cost and estimated fair value of investments were as follows as of September 30, 2015 and December 31, 2014:


(Dollars in thousands)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value		Other than temporary impairments recognized in AOCI (1)
As of September 30, 2015
Fixed maturities:
U.S. treasury and agency obligations	$	95,312	$	1,972	$	(9	)	$	97,275	$	—
Obligations of states and political subdivisions		232,532		3,538		(670	)		235,400		—
Mortgage-backed securities		185,359		3,203		(159	)		188,403		—
Asset-backed securities		278,059		1,391		(616	)		278,834		(10	)
Commercial mortgage-backed securities		160,829		74		(827	)		160,076		—
Corporate bonds		459,840		2,526		(1,072	)		461,294		—
Foreign corporate bonds		127,261		573		(231	)		127,603		—

Total fixed maturities		1,539,192		13,277		(3,584	)		1,548,885		(10	)
Common stock		99,257		12,359		(4,950	)		106,666		—
Other invested assets		31,137		2,418		—			33,555		—

Total	$	1,669,586	$	28,054	$	(8,534	)	$	1,689,106	$	(10	)

(1)

Represents the total amount of other than temporary impairment losses relating to factors other than credit losses recognized in accumulated other comprehensive income (“AOCI”).


(Dollars in thousands)	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value		Other than temporary impairments recognized in AOCI (2)
As of December 31, 2014
Fixed maturities:
U.S. treasury and agency obligations	$	78,569	$	2,281	$	(83	)	$	80,767	$	—
Obligations of states and political subdivisions		188,452		3,718		(697	)		191,473		—
Mortgage-backed securities		205,814		3,709		(764	)		208,759		(4	)
Asset-backed securities		177,853		713		(303	)		178,263		(13	)
Commercial mortgage-backed securities		133,984		21		(847	)		133,158		—
Corporate bonds		380,704		3,421		(709	)		383,416		—
Foreign corporate bonds		107,572		625		(558	)		107,639		—

Total fixed maturities		1,272,948		14,488		(3,961	)		1,283,475		(17	)
Common stock		99,297		25,689		(2,938	)		122,048		—
Other invested assets		33,174		489		—			33,663		—

Total	$	1,405,419	$	40,666	$	(6,899	)	$	1,439,186	$	(17	)

(2)

Represents the total amount of other than temporary impairment losses relating to factors other than credit losses recognized in accumulated other comprehensive income (“AOCI”).

Excluding U.S. treasuries and agency bonds, the Company did not hold any debt or equity investments in a single issuer that was in excess of 4% of shareholders’ equity at September 30, 2015 or December 31, 2014.

The amortized cost and estimated fair value of the Company’s fixed maturities portfolio classified as available for sale at September 30, 2015, by contractual maturity, are shown below. Actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.


(Dollars in thousands)	Amortized Cost		Estimated Fair Value
Due in one year or less	$	142,231	$	143,283
Due in one year through five years		701,239		705,430
Due in five years through ten years		49,986		50,812
Due in ten years through fifteen years		3,799		4,277
Due after fifteen years		17,690		17,770
Mortgage-backed securities		185,359		188,403
Asset-backed securities		278,059		278,834
Commercial mortgage-backed securities		160,829		160,076

Total	$	1,539,192	$	1,548,885

The following table contains an analysis of the Company’s securities with gross unrealized losses, categorized by the period that the securities were in a continuous loss position as of September 30, 2015:


	Less than 12 months					12 months or longer (1)					Total
(Dollars in thousands)	Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses
Fixed maturities:
U.S. treasury and agency obligations	$	—	$	—		$	3,413	$	(9	)	$	3,413	$	(9	)
Obligations of states and political subdivisions		43,194		(573	)		9,510		(97	)		52,704		(670	)
Mortgage-backed securities		23,004		(114	)		255		(45	)		23,259		(159	)
Asset-backed securities		107,361		(588	)		4,531		(28	)		111,892		(616	)
Commercial mortgage-backed securities		110,702		(687	)		15,453		(140	)		126,155		(827	)
Corporate bonds		145,181		(1,051	)		2,974		(21	)		148,155		(1,072	)
Foreign corporate bonds		42,441		(231	)		—		—			42,441		(231	)

Total fixed maturities		471,883		(3,244	)		36,136		(340	)		508,019		(3,584	)
Common stock		38,128		(4,950	)		—		—			38,128		(4,950	)

Total	$	510,011	$	(8,194	)	$	36,136	$	(340	)	$	546,147	$	(8,534	)

(1)

Fixed maturities in a gross unrealized loss position for twelve months or longer are primarily comprised of non-credit losses on investment grade securities where management does not intend to sell, and it is more likely than not that the Company will not be forced to sell the security before recovery. The Company has analyzed these securities and has determined that they are not other than temporarily impaired.


	Less than 12 months					12 months or longer (1)					Total
(Dollars in thousands)	Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses
Fixed maturities:
U.S. treasury and agency obligations	$	11,728	$	(9	)	$	3,343	$	(74	)	$	15,071	$	(83	)
Obligations of states and political subdivisions		28,684		(314	)		28,061		(383	)		56,745		(697	)
Mortgage-backed securities		2,818		(7	)		51,203		(757	)		54,021		(764	)
Asset-backed securities		92,123		(283	)		1,683		(20	)		93,806		(303	)
Commercial mortgage-backed securities		92,664		(525	)		26,280		(322	)		118,944		(847	)
Corporate bonds		144,505		(656	)		3,216		(53	)		147,721		(709	)
Foreign corporate bonds		60,518		(558	)		—		—			60,518		(558	)

Total fixed maturities		433,040		(2,352	)		113,786		(1,609	)		546,826		(3,961	)
Common stock		20,002		(2,808	)		1,577		(130	)		21,579		(2,938	)

Total	$	453,042	$	(5,160	)	$	115,363	$	(1,739	)	$	568,405	$	(6,899	)

(1)

The Company regularly performs various analytical valuation procedures with respect to its investments, including reviewing each fixed maturity security in an unrealized loss position to assess whether the security is a candidate for credit loss. Specifically, the Company considers credit rating, market price, and issuer specific financial information, among other factors, to assess the likelihood of collection of all principal and interest as contractually due. Securities for which the Company determines that a credit loss is likely are subjected to further analysis through discounted cash flow testing to estimate the credit loss to be recognized in earnings, if any. The specific methodologies and significant assumptions used by asset class are discussed below. Upon identification of such securities and periodically thereafter, a detailed review is performed to determine whether the decline is considered other than temporary. This review includes an analysis of several factors, including but not limited to, the credit ratings and cash flows of the securities and the magnitude and length of time that the fair value of such securities is below cost.

For fixed maturities, the factors considered in reaching the conclusion that a decline below cost is other than temporary include, among others, whether:

(1)

the issuer is in financial distress;

(2)

the investment is secured;

(3)

a significant credit rating action occurred;

(4)

scheduled interest payments were delayed or missed;

(5)

changes in laws or regulations have affected an issuer or industry;

(6)

the investment has an unrealized loss and was identified by the Company’s investment manager as an investment to be sold before recovery or maturity; and

(7)

the investment failed cash flow projection testing to determine if anticipated principal and interest payments will be realized.

According to accounting guidance for debt securities in an unrealized loss position, the Company is required to assess whether it has the intent to sell the debt security or more likely than not will be required to sell the debt security before the anticipated recovery. If either of these conditions is met, the Company must recognize an other than temporary impairment with the entire unrealized loss being recorded through earnings. For debt securities in an unrealized loss position not meeting these conditions, the Company assesses whether the impairment of a security is other than temporary. If the impairment is deemed to be other than temporary, the Company must separate the other than temporary impairment into two components: the amount representing the credit loss and the amount related to all other factors, such as changes in interest rates. The credit loss represents the portion of the amortized book value in excess of the net present value of the projected future cash flows discounted at the effective interest rate implicit in the debt security prior to impairment. The credit loss component of the other than temporary impairment is recorded through earnings, whereas the amount relating to factors other than credit losses is recorded in other comprehensive income, net of taxes.

For equity securities, management carefully reviews all securities with unrealized losses to determine if a security should be impaired and further focuses on securities that have either:

(1)

persisted with unrealized losses for more than twelve consecutive months or

(2)

the value of the investment has been 20% or more below cost for six continuous months or more.

The amount of any write-down, including those that are deemed to be other than temporary, is included in earnings as a realized loss in the period in which the impairment arose.

The following is a description, by asset type, of the methodology and significant inputs that the Company used to measure the amount of credit loss recognized in earnings, if any:

U.S. treasury and agency obligations – As of September 30, 2015, gross unrealized losses related to U.S. treasury and agency obligations were $0.009 million. All unrealized losses have been in an unrealized loss position for twelve months or greater and are rated AA+. Macroeconomic and market analysis is conducted in evaluating these securities. The analysis is driven by moderate interest rate anticipation, yield curve management, and security selection.

Obligations of states and political subdivisions – As of September 30, 2015, gross unrealized losses related to obligations of states and political subdivisions were $0.670 million. Of this amount, $0.097 million have been in an unrealized loss position for twelve months or greater and are rated A or better. All factors that influence performance of the municipal bond market are considered in evaluating these securities. The aforementioned factors include investor expectations, supply and demand patterns, and current versus historical yield and spread relationships. The analysis relies on the output of fixed income credit analysts, as well as dedicated municipal bond analysts who perform extensive in-house fundamental analysis on each issuer, regardless of their rating by the major agencies.

Mortgage-backed securities (“MBS”) – As of September 30, 2015, gross unrealized losses related to mortgage-backed securities were $0.159 million. Of this amount, $0.045 million have been in an unrealized loss position for twelve months or greater and are rated CC. Mortgage-backed securities are modeled to project principal losses under downside, base, and upside scenarios for the economy and home prices. The primary assumption that drives the security and loan level modeling is the Home Price Index (“HPI”) projection. The model first projects HPI at the national level, then at the zip-code level based on the historical relationship between the individual zip code HPI and the national HPI. The model utilizes loan level data and borrower characteristics including FICO score, geographic location, original and current loan size, loan age, mortgage rate and type (fixed rate / interest-only / adjustable rate mortgage), issuer / originator, residential type (owner occupied / investor property), dwelling type (single family / multi-family), loan purpose, level of documentation, and delinquency status as inputs. The model also includes the explicit treatment of silent second liens, utilization of loan modification history, and the application of roll rate adjustments.

Asset-backed securities (“ABS”) – As of September 30, 2015, gross unrealized losses related to asset backed securities were $0.616 million. Of this amount, $0.028 million has been in an unrealized loss position for 12 months or greater and are rated AAA. The weighted average credit enhancement for the Company’s asset backed portfolio is 21.9. This represents the percentage of pool losses that can occur before an asset backed security will incur its first dollar of principal losses. Every ABS transaction is analyzed on a stand-alone basis. This analysis involves a thorough review of the collateral, prepayment, and structural risk in each transaction. Additionally, the analysis includes an in-depth credit analysis of the originator and servicer of the collateral. The analysis projects an expected loss for a deal given a set of assumptions specific to the asset type. These assumptions are used to calculate at what level of losses the deal will incur its first dollar of principal loss. The major assumptions used to calculate this ratio are loss severities, recovery lags, and no advances on principal and interest.

Commercial mortgage-backed securities (“CMBS”) – As of September 30, 2015, gross unrealized losses related to the CMBS portfolio were $0.827 million. Of this amount, $0.140 million have been in an unrealized loss position for twelve months or greater, of which, 81.0% are rated AA- or better. The weighted average credit enhancement for the Company’s CMBS portfolio is 35.7. This represents the percentage of pool losses that can occur before a mortgage-backed security will incur its first dollar of principal loss. For the Company’s CMBS portfolio, a loan level analysis is utilized where every underlying CMBS loan is re-underwritten based on a set of assumptions reflecting expectations for the future path of the economy. In the analysis, the focus is centered on stressing the significant variables that influence commercial loan defaults and collateral losses in CMBS deals. These variables include: (1) a projected drop in occupancies; (2) capitalization rates that vary by property type and are forecasted to return to more normalized levels as the capital markets repair and capital begins to flow again; and (3) property value stress testing using projected property performance and projected capitalization rates. Term risk is triggered if the projected debt service coverage rate falls below 1x. Balloon risk is triggered if a property’s projected performance does not satisfy new tighter mortgage standards.

Corporate bonds – As of September 30, 2015, gross unrealized losses related to corporate bonds were $1.072 million. Of this amount, $0.021 million have been in an unrealized loss position for twelve months or greater and are rated BBB or better. The analysis for this sector includes maintaining detailed financial models that include a projection of each issuer’s future financial performance, including prospective debt servicing capabilities, capital structure composition, and the value of the collateral. The analysis incorporates the macroeconomic environment, industry conditions in which the issuer operates, the issuer’s current competitive position, its vulnerability to changes in the competitive and regulatory environment, issuer liquidity, issuer commitment to bondholders, issuer creditworthiness, and asset protection. Part of the process also includes running downside scenarios to evaluate the expected likelihood of default as well as potential losses in the event of default.

Foreign bonds – As of September 30, 2015, gross unrealized losses related to foreign bonds were $0.231 million. All unrealized losses have been in an unrealized loss position for less than twelve months. For this sector, detailed financial models are maintained that include a projection of each issuer’s future financial performance, including prospective debt servicing capabilities, capital structure composition, and the value of the collateral. The analysis incorporates the macroeconomic environment, industry conditions in which the issuer operates, the issuer’s current competitive position, its vulnerability to changes in the competitive and regulatory environment, issuer liquidity, issuer commitment to bondholders, issuer creditworthiness, and asset protection. Part of the process also includes running downside scenarios to evaluate the expected likelihood of default as well as potential losses in the event of default.

Common stock – As of September 30, 2015, gross unrealized losses related to common stock were $4.950 million. All unrealized losses have been in an unrealized loss position for less than 12 months. To determine if an other than temporary impairment of an equity security has occurred, the Company considers, among other things, the severity and duration of the decline in fair value of the equity security. The Company also examines other factors to determine if the equity security could recover its value in a reasonable period of time.

The Company recorded the following other than temporary impairments (“OTTI”) on its investment portfolio for the quarters and nine months ended September 30, 2015 and 2014:


	Quarters Ended September 30,						Nine Months Ended September 30,
(Dollars in thousands)	2015			2014			2015			2014
Fixed maturities:
OTTI losses, gross	$	—		$	(6	)	$	(23	)	$	(31	)
Portion of loss recognized in other comprehensive income (pre-tax)		—			—			—			—

Net impairment losses on fixed maturities recognized in earnings		—			(6	)		(23	)		(31	)
Equity securities		(4,641	)		—			(6,856	)		(37	)

Total	$	(4,641	)	$	(6	)	$	(6,879	)	$	(68	)

The following table is an analysis of the credit losses recognized in earnings on fixed maturities held by the Company for the quarters and nine months ended September 30, 2015 and 2014 for which a portion of the OTTI loss was recognized in other comprehensive income.


	Quarters Ended September 30,				Nine Months Ended September 30,
(Dollars in thousands)	2015		2014		2015			2014
Balance at beginning of period	$	31	$	50	$	50		$	54
Additions where no OTTI was previously recorded		—		—		—			—
Additions where an OTTI was previously recorded		—		—		—			—
Reductions for securities for which the company intends to sell or more likely than not will be required to sell before recovery		—		—		—			—
Reductions reflecting increases in expected cash flows to be collected		—		—		—			—
Reductions for securities sold during the period		—		—		(19	)		(4	)

Balance at end of period	$	31	$	50	$	31		$	50

Accumulated Other Comprehensive Income, Net of Tax

Accumulated other comprehensive income, net of tax, as of September 30, 2015 and December 31, 2014 was as follows:


(Dollars in thousands)	September 30, 2015			December 31, 2014
Net unrealized gains from:
Fixed maturities	$	9,693		$	10,527
Common stock		7,409			22,751
Other		970			369
Deferred taxes		(4,827	)		(10,263	)

Accumulated other comprehensive income, net of tax	$	13,245		$	23,384

The following tables present the changes in accumulated other comprehensive income, net of tax, by component for the quarters and nine months ended September 30, 2015 and 2014:


Quarter Ended September 30, 2015 (Dollars in thousands)	Unrealized Gains and Losses on Available for Sale Securities, Net of Tax			Foreign Currency Items, Net of Tax			Accumulated Other Comprehensive Income, Net of Tax
Beginning balance	$	20,201		$	(99)		$	20,102
Other comprehensive income (loss) before reclassification		(9,009	)		(47	)		(9,056	)
Amounts reclassified from accumulated other comprehensive income (loss)		2,129			70			2,199

Other comprehensive income (loss)		(6,880	)		23			(6,857	)

Ending balance	$	13,321		$	(76	)	$	13,245


Quarter Ended September 30, 2014 (Dollars in thousands)	Unrealized Gains and Losses on Available for Sale Securities, Net of Tax			Foreign Currency Items, Net of Tax			Accumulated Other Comprehensive Income, Net of Tax
Beginning balance	$	33,928		$	73		$	34,001
Other comprehensive income (loss) before reclassification		(7,295	)		(228	)		(7,523	)
Amounts reclassified from accumulated other comprehensive income (loss)		(1,523	)		(1	)		(1,524	)

Other comprehensive income (loss)		(8,818	)		(229	)		(9,047	)

Ending balance	$	25,110		$	(156	)	$	24,954


Nine Months Ended September 30, 2015 (Dollars in thousands)	Unrealized Gains and Losses on Available for Sale Securities, Net of Tax			Foreign Currency Items, Net of Tax			Accumulated Other Comprehensive Income, Net of Tax
Beginning balance	$	23,647		$	(263)		$	23,384
Other comprehensive income (loss) before reclassification		(9,413	)		(209	)		(9,622	)
Amounts reclassified from accumulated other comprehensive income (loss)		(913	)		396			(517	)

Other comprehensive income (loss)		(10,326	)		187			(10,139	)

Ending balance	$	13,321		$	(76	)	$	13,245


Nine Months Ended September 30, 2014 (Dollars in thousands)	Unrealized Gains and Losses on Available for Sale Securities, Net of Tax			Foreign Currency Items, Net of Tax			Accumulated Other Comprehensive Income, Net of Tax
Beginning balance	$	53,950		$	78		$	54,028
Other comprehensive income (loss) before reclassification		6,396			(158	)		6,238
Amounts reclassified from accumulated other comprehensive income (loss)		(35,236	)		(76	)		(35,312	)

Other comprehensive income (loss)		(28,840	)		(234	)		(29,074	)

Ending balance	$	25,110		$	(156	)	$	24,954

The reclassifications out of accumulated other comprehensive income for the quarters and nine months ended September 30, 2015 and 2014 were as follows:


		Amounts Reclassified from Accumulated Other Comprehensive Income
		Quarters Ended September 30,
(Dollars in thousands) Details about Accumulated Other Comprehensive Income Components	Affected Line Item in the Consolidated Statements of Operations	2015			2014
Unrealized gains and losses on available for sale securities	Other net realized investment (gains)	$	(2,042	)	$	(2,355	)
	Other than temporary impairment losses on investments		4,641			6

	Total before tax		2,599			(2,349	)
	Income tax expense (benefit)		(470	)		826

	Net of tax	$	2,129		$	(1,523	)

Foreign Currency Items	Other net realized investment (gains) losses	$	108		$	(1	)
	Income tax (benefit)		(38	)		—

	Net of tax	$	70		$	(1	)

Total reclassifications	Net of tax	$	2,199		$	(1,524	)


		Amounts Reclassified from Accumulated Other Comprehensive Income
		Nine Months Ended September 30,
(Dollars in thousands) Details about Accumulated Other Comprehensive Income Components	Affected Line Item in the Consolidated Statements of Operations	2015			2014
Unrealized gains and losses on available for sale securities	Other net realized investment (gains)	$	(9,168	)	$	(53,729	)
	Other than temporary impairment losses on investments		6,879			68

	Total before tax		(2,289	)		(53,661	)
	Income tax expense		1,376			18,425

	Net of tax	$	(913	)	$	(35,236	)

Foreign Currency Items	Other net realized investment (gains) losses	$	609		$	(117	)
	Income tax expense (benefit)		(213	)		41

	Net of tax	$	396		$	(76	)

Total reclassifications	Net of tax	$	(517	)	$	(35,312	)

Net Realized Investment Gains (Losses)

Net realized gains and losses on investments are determined based on the specific identification method.

The components of net realized investment gains (losses) for the quarters and nine months ended September 30, 2015 and 2014 were as follows:


	Quarters Ended September 30,						Nine Months Ended September 30,
(Dollars in thousands)	2015			2014			2015			2014
Fixed maturities:
Gross realized gains	$	110		$	262		$	1,589		$	2,651
Gross realized losses		(1,451	)		(471	)		(1,692	)		(697	)

Net realized gains/ (losses)		(1,341	)		(209	)		(103	)		1,954

Common stock:
Gross realized gains		3,494			2,559			9,418			52,434
Gross realized losses		(4,860	)		—			(7,731	)		(610	)

Net realized gains/ (losses)		(1,366	)		2,559			1,687			51,824

Preferred stock:
Gross realized gains		—			—			96			—
Gross realized losses		—			—			—			—

Net realized gains		—			—			96			—

Derivatives:
Gross realized gains		—			147			—			—
Gross realized losses		(8,071	)		(1,339	)		(8,896	)		(13,552	)

Net realized (losses)		(8,071	)		(1,192	)		(8,896	)		(13,552	)

Total net realized investment gains/ (losses)	$	(10,778	)	$	1,158		$	(7,216	)	$	40,226

The proceeds from sales of available-for-sale securities resulting in net realized investment gains (losses) for the nine months ended September 30, 2015 and 2014 were as follows:


	Nine Months Ended September 30,
(Dollars in thousands)	2015		2014
Fixed maturities	$	290,580	$	350,179
Equity securities		34,161		181,203
Preferred stock		1,540		—

Net Investment Income

The sources of net investment income for the quarters and nine months ended September 30, 2015 and 2014 were as follows:


	Quarters Ended September 30,						Nine Months Ended September 30,
(Dollars in thousands)	2015			2014			2015			2014
Fixed maturities	$	8,673		$	6,791		$	24,709		$	20,843
Equity securities		703			780			2,419			4,861
Cash and cash equivalents		32			14			59			42
Other invested assets		193			—			1,535			87

Total investment income		9,601			7,585			28,722			25,833
Investment expense		(749	)		(1,058	)		(2,488	)		(3,345	)

Net investment income	$	8,852		$	6,527		$	26,234		$	22,488

The Company’s total investment return on a pre-tax basis for the quarters and nine months ended September 30, 2015 and 2014 were as follows:


	Quarters Ended September 30,						Nine Months Ended September 30,
(Dollars in thousands)	2015			2014			2015			2014
Net investment income	$	8,852		$	6,527		$	26,234		$	22,488

Net realized investment gains (losses)		(10,778	)		1,158			(7,216	)		40,226
Change in unrealized holding gains and losses		(10,420	)		(11,876	)		(15,575	)		(43,650	)

Net realized and unrealized investment returns		(21,198	)		(10,718	)		(22,791	)		(3,424	)

Total investment return	$	(12,346	)	$	(4,191	)	$	3,443		$	19,064

Total investment return % (1)		(0.7	%)		(0.3	%)		0.2	%		1.2	%

Average investment portfolio (2)	$	1,800,993		$	1,558,501		$	1,788,777		$	1,541,336

(1)

Not annualized.

(2)

Average of total cash and invested assets, net of receivable/payable for securities purchased and sold, as of the beginning and end of the period.

Insurance Enhanced Asset Backed and Credit Securities

As of September 30, 2015, the Company held insurance enhanced asset backed and credit securities with a market value of approximately $45.5 million. Approximately $19.0 million of these securities were tax free municipal bonds, which represented approximately 1.0% of the Company’s total cash and invested assets, net of payable/receivable for securities purchased and sold. These securities had an average rating of “A+.” Approximately $8.3 million of these bonds are pre-refunded with U.S. treasury securities, of which $0.1 million are backed by financial guarantors, meaning that funds have been set aside in escrow to satisfy the future interest and principal obligations of the bond. Of the remaining $10.7 million of insurance enhanced municipal bonds, $0.5 million would have carried a lower credit rating had they not been insured.

The following table provides a breakdown of the ratings for these municipal bonds with and without insurance.


(Dollars in thousands)	Ratings with		Ratings without
Rating	Insurance		Insurance
AA	$	511	$	—
BB		—		511

Total	$	511	$	511

A summary of the Company’s insurance enhanced municipal bonds that are backed by financial guarantors, including the pre-refunded bonds that are escrowed in U.S. government obligations, as of September 30, 2015, is as follows:


(Dollars in thousands) Financial Guarantor	Total		Pre-refunded Securities		Government Guaranteed Securities		Exposure Net of Pre-refunded & Government Guaranteed Securities
Ambac Financial Group	$	1,686	$	136	$	—	$	1,550
Assured Guaranty Corporation		3,661		—		—		3,661
Municipal Bond Insurance Association		4,920		—		—		4,920
Gov’t National Housing Association		553		—		553		—

Total backed by financial guarantors		10,820		136		553		10,131
Other credit enhanced municipal bonds		8,185		8,185		—		—

Total	$	19,005	$	8,321	$	553	$	10,131

In addition to the tax-free municipal bonds, the Company held $26.5 million of insurance enhanced asset-backed and taxable municipal bonds, which represented approximately 1.4% of the Company’s total invested assets, net of receivable/payable for securities purchased and sold. The financial guarantors of the Company’s $26.5 million of insurance enhanced asset-backed and taxable municipal securities include Municipal Bond Insurance Association ($8.4 million), Ambac Financial Group ($1.4 million), Assured Guaranty Corporation ($14.5 million), Financial Guaranty Insurance Group ($0.2 million) and Build America Mutual ($2.0 million).

The Company had no direct investments in the entities that have provided financial guarantees or other credit support to any security held by the Company at September 30, 2015.

Bonds Held on Deposit

Certain cash balances, cash equivalents, equity securities and bonds available for sale were deposited with various governmental authorities in accordance with statutory requirements, were held as collateral pursuant to borrowing arrangements, or were held in trust pursuant to intercompany reinsurance agreements. The fair values were as follows as of September 30, 2015 and December 31, 2014:


	Estimated Fair Value
(Dollars in thousands)	September 30, 2015		December 31, 2014
On deposit with governmental authorities	$	39,763	$	32,790
Intercompany trusts held for the benefit of U.S. policyholders		555,859		495,301
Held in trust pursuant to third party requirements		69,153		95,828
Letter of credit held for third party requirements		6,112		9,340
Securities held as collateral for borrowing arrangements (1)		248,486		222,809

Total	$	919,373	$	856,068

(1)

Amount required to collateralize margin borrowing facilities