| 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.
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| As of March 31, 2016 |
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Fair Value
Measurements |
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| (Dollars in thousands) |
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Level 1 |
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Level 2 |
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Level 3 |
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Total |
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Assets:
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Fixed maturities:
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U.S. treasury and agency obligations
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$ |
85,010 |
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$ |
3,802 |
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$ |
— |
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$ |
88,812 |
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Obligations of states and political subdivisions
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— |
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187,540 |
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— |
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187,540 |
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Mortgage-backed securities
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— |
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158,110 |
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— |
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158,110 |
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Commercial mortgage-backed securities
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— |
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135,802 |
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— |
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135,802 |
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Asset-backed securities
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— |
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263,485 |
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— |
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263,485 |
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Corporate bonds
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— |
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360,627 |
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— |
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360,627 |
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Foreign corporate bonds
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— |
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118,533 |
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— |
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118,533 |
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Total fixed maturities
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85,010 |
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1,227,899 |
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— |
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1,312,909 |
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Common stock
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113,398 |
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— |
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— |
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113,398 |
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Total assets measured at fair value (1)
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$ |
198,408 |
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$ |
1,227,899 |
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$ |
— |
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$ |
1,426,307 |
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Liabilities:
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Derivative instruments
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$ |
— |
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$ |
22,994 |
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$ |
— |
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$ |
22,994 |
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Total liabilities measured at fair value
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$ |
— |
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$ |
22,994 |
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$ |
— |
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$ |
22,994 |
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| (1) |
Excluded from the table above are
limited partnerships of $32.6 million at March 31, 2016 whose fair
value is based on net asset value as a practical expedient. |
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| As of December 31, 2015 |
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Fair Value
Measurements |
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| (Dollars in thousands) |
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Level 1 |
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Level 2 |
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Level 3 |
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Total |
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Assets:
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Fixed maturities:
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U.S. treasury and agency obligations
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$ |
101,264 |
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$ |
5,858 |
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$ |
— |
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$ |
107,122 |
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Obligations of states and political subdivisions
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— |
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205,240 |
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— |
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205,240 |
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Mortgage-backed securities
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— |
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159,123 |
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— |
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159,123 |
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Commercial mortgage-backed securities
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— |
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140,390 |
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— |
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140,390 |
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Asset-backed securities
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— |
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260,022 |
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— |
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260,022 |
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Corporate bonds
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— |
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332,111 |
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— |
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332,111 |
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Foreign corporate bonds
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— |
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102,141 |
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— |
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102,141 |
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Total fixed maturities
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101,264 |
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1,204,885 |
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— |
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1,306,149 |
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Common stock
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110,315 |
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— |
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— |
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110,315 |
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Total assets measured at fair value (1)
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$ |
211,579 |
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$ |
1,204,885 |
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$ |
— |
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$ |
1,416,464 |
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Liabilities:
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Derivative instruments
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$ |
— |
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$ |
15,256 |
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$ |
— |
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$ |
15,256 |
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Total liabilities measured at fair value
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$ |
— |
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$ |
15,256 |
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$ |
— |
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$ |
15,256 |
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| (1) |
Excluded from the table above are
limited partnerships of $32.6 million at December 31, 2015 whose
fair value is based on net asset value as a practical
expedient. |
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| Current Fair Value of Debt |
For the Company’s material debt arrangements, the current
fair value of the Company’s debt at March 31, 2016 and
December 31, 2015 was as follows:
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March 31,
2016 |
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December 31,
2015 |
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| (Dollars in thousands) |
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Carrying Value |
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Fair Value |
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Carrying Value |
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Fair Value |
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Margin Borrowing Facilities
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$ |
70,332 |
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$ |
70,332 |
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$ |
75,646 |
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$ |
75,646 |
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7.75% Subordinated Notes due 2045 (1)
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96,405 |
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92,405 |
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96,388 |
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91,748 |
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Total
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$ |
166,737 |
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$ |
162,737 |
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$ |
172,034 |
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$ |
167,394 |
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| (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 $3.6
million. |
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| Fair Value and Future Funding Commitments Related to These Investments |
The following table provides the fair value and future funding
commitments related to these investments at March 31, 2016 and
December 31, 2015.
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March 31,
2016 |
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December 31,
2015 |
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| (Dollars in thousands) |
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Fair Value |
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Future
Funding
Commitment |
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Fair Value |
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Future
Funding
Commitment |
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Real Estate Fund, LP (1)
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$ |
— |
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$ |
— |
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$ |
— |
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$ |
— |
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European Non-Performing Loan Fund, LP (2)
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32,626 |
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22,014 |
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32,592 |
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20,014 |
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Total
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$ |
32,626 |
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$ |
22,014 |
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$ |
32,592 |
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$ |
20,014 |
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| (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. |
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