Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2016

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 March 31, 2016 and December 31, 2015, and indicates the fair value hierarchy of the valuation techniques utilized by the Company to determine such fair value.

As of March 31, 2016	Fair Value Measurements
(Dollars in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Fixed maturities:
U.S. treasury and agency obligations	$	85,010	$	3,802	$	—	$	88,812
Obligations of states and political subdivisions		—		187,540		—		187,540
Mortgage-backed securities		—		158,110		—		158,110
Commercial mortgage-backed securities		—		135,802		—		135,802
Asset-backed securities		—		263,485		—		263,485
Corporate bonds		—		360,627		—		360,627
Foreign corporate bonds		—		118,533		—		118,533
Total fixed maturities		85,010		1,227,899		—		1,312,909
Common stock		113,398		—		—		113,398
Total assets measured at fair value (1)	$	198,408	$	1,227,899	$	—	$	1,426,307
Liabilities:
Derivative instruments	$	—	$	22,994	$	—	$	22,994
Total liabilities measured at fair value	$	—	$	22,994	$	—	$	22,994

(1) Excluded from the table above are limited partnerships of $32.6 million at March 31, 2016 whose fair value is based on net asset value as a practical expedient.

As of December 31, 2015	Fair Value Measurements
(Dollars in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Fixed maturities:
U.S. treasury and agency obligations	$	101,264	$	5,858	$	—	$	107,122
Obligations of states and political subdivisions		—		205,240		—		205,240
Mortgage-backed securities		—		159,123		—		159,123
Commercial mortgage-backed securities		—		140,390		—		140,390
Asset-backed securities		—		260,022		—		260,022
Corporate bonds		—		332,111		—		332,111
Foreign corporate bonds		—		102,141		—		102,141
Total fixed maturities		101,264		1,204,885		—		1,306,149
Common stock		110,315		—		—		110,315
Total assets measured at fair value (1)	$	211,579	$	1,204,885	$	—	$	1,416,464
Liabilities:
Derivative instruments	$	—	$	15,256	$	—	$	15,256
Total liabilities measured at fair value	$	—	$	15,256	$	—	$	15,256

(1) Excluded from the table above are limited partnerships of $32.6 million at December 31, 2015 whose fair value is based on net asset value as a practical expedient.

Current Fair Value of Debt

For the Company’s material debt arrangements, the current fair value of the Company’s debt at March 31, 2016 and December 31, 2015 was as follows:

	March 31, 2016				December 31, 2015
(Dollars in thousands)	Carrying Value		Fair Value		Carrying Value		Fair Value
Margin Borrowing Facilities	$	70,332	$	70,332	$	75,646	$	75,646
7.75% Subordinated Notes due 2045 (1)		96,405		92,405		96,388		91,748
Total	$	166,737	$	162,737	$	172,034	$	167,394

(1) As of March 31, 2016 and December 31, 2015, the carrying value and fair value of the 7.75% Subordinated Notes due 2045 are net of unamortized debt issuance cost of $3.6 million.

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 March 31, 2016 and December 31, 2015.

	March 31, 2016				December 31, 2015
(Dollars in thousands)	Fair Value		Future Funding Commitment		Fair Value		Future Funding Commitment
Real Estate Fund, LP (1)	$	—	$	—	$	—	$	—
European Non-Performing Loan Fund, LP (2)		32,626		22,014		32,592		20,014
Total	$	32,626	$	22,014	$	32,592	$	20,014

(1) This limited partnership invests in real estate assets through a combination of direct or indirect investments in partnerships, limited liability companies, mortgage loans, and lines of credit. 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. The Company does not have the ability to sell or transfer its limited partnership interest without consent from the general partner. The Company continues to hold an investment in this limited partnership and has written the fair value down to zero.

(2) 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. Based on the terms of the partnership agreement, the Company anticipates its interest in this partnership to be redeemed in 2020.