The amortized cost and estimated fair value of the Company’s fixed maturities securities were as follows as of June 30, 2021 and December 31, 2020:

(Dollars in thousands)	Amortized Cost		Allowance for Expected Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
As of June 30, 2021
Fixed maturities:
U.S. treasuries	$	148,611	$	—	$	1,278	$	(2,840	)	$	147,049
Agency obligations		10,628		—		5		(56	)		10,577
Obligations of states and political subdivisions		62,666		—		2,829		(9	)		65,486
Mortgage-backed securities		306,158		—		4,190		(2,151	)		308,197
Asset-backed securities		131,543		—		1,301		(229	)		132,615
Commercial mortgage-backed securities		106,120		—		4,160		(247	)		110,033
Corporate bonds		265,316		—		12,097		(973	)		276,440
Foreign corporate bonds		119,561		—		4,374		(235	)		123,700
Total fixed maturities	$	1,150,603	$	—	$	30,234	$	(6,740	)	$	1,174,097

(Dollars in thousands)	Amortized Cost		Allowance for Expected Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
As of December 31, 2020
Fixed maturities:
U.S. treasuries	$	195,444	$	—	$	3,125	$	(1,089	)	$	197,480
Obligations of states and political subdivisions		58,140		—		3,170		(67	)		61,243
Mortgage-backed securities		351,453		—		7,876		(551	)		358,778
Asset-backed securities		116,349		—		1,890		(646	)		117,593
Commercial mortgage-backed securities		105,509		—		6,094		(644	)		110,959
Corporate bonds		223,387		—		17,703		(373	)		240,717
Foreign corporate bonds		98,727		—		5,716		(27	)		104,416
Total fixed maturities	$	1,149,009	$	—	$	45,574	$	(3,397	)	$	1,191,186

As of June 30, 2021 and December 31, 2020, the Company’s investments in equity securities consist of the following:

As of June 30, 2021 and December 31, 2020, the Company held Fannie Mae mortgage pools that totaled 2.6% and 3.9% of shareholders’ equity, respectively. Excluding the Fannie Mae pools, U.S. treasuries, agency bonds, index funds, limited liability companies, and limited partnerships, the Company did not hold any debt or equity investments in a single issuer in excess of 2.2% and 1.9% of shareholders' equity at June 30, 2021 and December 31, 2020, respectively.

The amortized cost and estimated fair value of the Company’s fixed maturities portfolio classified as available for sale at June 30, 2021, 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	$	39,545	$	39,976
Due in one year through five years		181,497		189,605
Due in five years through ten years		294,129		298,071
Due in ten years through fifteen years		31,684		32,641
Due after fifteen years		59,927		62,959
Mortgage-backed securities		306,158		308,197
Asset-backed securities		131,543		132,615
Commercial mortgage-backed securities		106,120		110,033
Total	$	1,150,603	$	1,174,097

The following table contains an analysis of the Company’s fixed income securities with gross unrealized losses that are not deemed to have credit losses, categorized by the period that the securities were in a continuous loss position as of June 30, 2021. The fair value amounts reported in the table are estimates that are prepared using the process described in Note 5.

	Less than 12 months					12 months or longer					Total
(Dollars in thousands)	Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses
Fixed maturities:
U.S. treasuries	$	92,627	$	(2,840	)	$	—	$	—		$	92,627	$	(2,840	)
Agency obligations		4,962		(56	)		—		—			4,962		(56	)
Obligations of states and political subdivisions		951		(9	)		—		—			951		(9	)
Mortgage-backed securities		124,366		(2,142	)		1,236		(9	)		125,602		(2,151	)
Asset-backed securities		38,554		(90	)		10,923		(139	)		49,477		(229	)
Commercial mortgage-backed securities		17,787		(104	)		1,391		(143	)		19,178		(247	)
Corporate bonds		50,347		(885	)		2,666		(88	)		53,013		(973	)
Foreign corporate bonds		17,720		(227	)		379		(8	)		18,099		(235	)
Total fixed maturities	$	347,314	$	(6,353	)	$	16,595	$	(387	)	$	363,909	$	(6,740	)

The following table contains an analysis of the Company’s fixed income securities with gross unrealized losses that are not deemed to have credit losses, categorized by the period that the securities were in a continuous loss position as of December 31, 2020. The fair value amounts reported in the table are estimates that are prepared using the process described in Note 5.

	Less than 12 months					12 months or longer					Total
(Dollars in thousands)	Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses
Fixed maturities:
U.S. treasuries	$	81,999	$	(1,089	)	$	—	$	—		$	81,999	$	(1,089	)
Obligations of states and political subdivisions		2,588		(67	)		—		—			2,588		(67	)
Mortgage-backed securities		57,350		(551	)		4		—			57,354		(551	)
Asset-backed securities		22,268		(389	)		13,354		(257	)		35,622		(646	)
Commercial mortgage-backed securities		10,294		(526	)		1,154		(118	)		11,448		(644	)
Corporate bonds		7,783		(373	)		—		—			7,783		(373	)
Foreign corporate bonds		885		(27	)		—		—			885		(27	)
Total fixed maturities	$	183,167	$	(3,022	)	$	14,512	$	(375	)	$	197,679	$	(3,397	)

The Company regularly performs various analytical valuation procedures with respect to its investments, including reviewing each available for sale debt security in an unrealized loss position to assess whether the decline in fair value below amortized cost basis has resulted from a credit loss or other factors. In assessing whether a credit loss exists, the Company compares the present value of the cash flows expected to be collected from the security to the amortized cost basis of the security. If the present value of the cash flows expected to be collected is less than the amortized cost basis of the security, a credit loss exists and an allowance for expected credit losses is recorded. Subsequent changes in the allowances are recorded in the period of change as either credit loss expense or reversal of credit loss expense. Any impairments related to factors other than credit losses and the intent to sell are recorded through other comprehensive income, net of taxes.

For fixed maturities, the factors considered in reaching the conclusion that a credit loss exists include, among others, whether:

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, any allowance for expected credit losses is written off and the amortized cost basis is written down to the fair value of the fixed maturity security with any incremental impairment reported in earnings. That new amortized cost basis shall not be adjusted for subsequent recoveries in fair value.

The Company elected the practical expedient to exclude accrued interest from both the fair value and the amortized cost basis of the available for sale debt securities for the purposes of identifying and measuring an impairment and to not measure an allowance for expected credit losses for accrued interest receivables. Accrued interest receivable is written off through net realized investment gains (losses) at the time the issuer of the bond defaults or is expected to default on payment. The Company made an accounting policy election to present the accrued interest receivable balance with other assets on the Company’s consolidated statements of financial position. Accrued interest receivable was $5.6 million and $5.7 million as of June 30, 2021 and December 31, 2020, respectively.

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. treasuries – As of June 30, 2021, gross unrealized losses related to U.S. treasuries were $2.840 million. To assess whether the decline in fair value below amortized cost has resulted from a credit loss or other factors, macroeconomic and market analysis is conducted in evaluating these securities. Consideration is given to the interest rate environment, duration and yield curve management of the portfolio, sector allocation and security selection. Based on the analysis performed, the Company did not recognize a credit loss on U.S. treasuries during the period.

Agency obligations – As of June 30, 2021, gross unrealized losses related to agency obligations were $0.056 million. To assess whether the decline in fair value below amortized cost has resulted from a credit loss or other factors, macroeconomic and market analysis is conducted in evaluating these securities. Consideration is given to the interest rate environment, duration and yield curve management of the portfolio, sector allocation and security selection. Based on the analysis performed, the Company did not recognize a credit loss on agency obligations during the period.

Obligations of states and political subdivisions – As of June 30, 2021, gross unrealized losses related to obligations of states and political subdivisions were $0.009 million. To assess whether the decline in fair value below amortized cost has resulted from a credit loss or other factors, elements that may influence the performance of the municipal bond market are considered in evaluating these securities such as 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. Based on the analysis performed, the Company did not recognize a credit loss on obligations of states and political subdivisions during the period.

Mortgage-backed securities (“MBS”) – As of June 30, 2021, gross unrealized losses related to mortgage-backed securities were $2.151 million. To assess whether the decline in fair value below amortized cost has resulted from a credit loss or other factors, 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. These forecasts incorporate not just national macro-economic trends, but also regional impacts to arrive at the most granular and accurate projections. These assumptions are incorporated into the model as a basis to generate delinquency probabilities, default curves, loss severity curves, and voluntary prepayment curves at the loan level within each deal. The model utilizes HPI-adjusted current loan to value, payment history, loan terms, loan modification history, and borrower characteristics as inputs to generate expected cash flows and principal loss for each bond under various scenarios. Based on the analysis performed, the Company did not recognize a credit loss on mortgage-backed securities during the period.

Asset backed securities (“ABS”) - As of June 30, 2021, gross unrealized losses related to asset backed securities were $0.229 million. The weighted average credit enhancement for the Company’s asset backed portfolio is 32.1. This represents the percentage of pool losses that can occur before an asset backed security will incur its first dollar of principal losses. To assess whether the decline in fair value below amortized cost has resulted from a credit loss or other factors, 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. Based on the analysis performed, the Company did not recognize a credit loss on asset backed securities during the period.

Commercial mortgage-backed securities (“CMBS”) - As of June 30, 2021, gross unrealized losses related to the CMBS portfolio were $0.247 million. The weighted average credit enhancement for the Company’s CMBS portfolio is 34.5. This represents the percentage of pool losses that can occur before a commercial mortgage-backed security will incur its first dollar of principal loss. To assess whether the decline in fair value below amortized cost has resulted from a credit loss or other factors, 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. Each loan is analyzed over time using a series of tests to determine if a credit event will occur during the life of the loan. Inherent in this process are several economic scenarios and their corresponding rent/vacancy and capital market states. The five primary credit events that frame the analysis include loan modifications, term default, balloon default, extension, and ability to pay off at balloon. The resulting output is the expected loss adjusted cash flows for each bond under the base case and distressed scenarios. Based on the analysis performed, the Company did not recognize a credit loss on commercial mortgage-backed securities during the period.

Corporate bonds - As of June 30, 2021, gross unrealized losses related to corporate bonds were $0.973 million. To assess whether the decline in fair value below amortized cost has resulted from a credit loss or other factors, analysis for this asset class 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. Based on the analysis performed, the Company did not recognize a credit loss on corporate bonds during the period.

Foreign bonds – As of June 30, 2021, gross unrealized losses related to foreign bonds were $0.235 million. To assess whether the decline in fair value below amortized cost has resulted from a credit loss or other factors, 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. Based on the analysis performed, the Company did not recognize a credit loss on foreign bonds during the period.

The Company has evaluated its investment portfolio and has determined that an allowance for expected credit losses on its investments is not required.

Accumulated other comprehensive income, net of tax, as of June 30, 2021 and December 31, 2020 was as follows:

The following tables present the changes in accumulated other comprehensive income, net of tax, by components, for the quarters and six months ended June 30, 2021 and 2020:

Quarter Ended June 30, 2021 (Dollars In Thousands)	Unrealized Gains and Losses on Available for Sale Securities			Foreign Currency Items			Accumulated Other Comprehensive Income
Beginning balance, net of tax	$	9,819		$	34		$	9,853
Other comprehensive income before reclassification, before tax		11,797			(84	)		11,713
Amounts reclassified from accumulated other comprehensive income, before tax		(453	)		—			(453	)
Other comprehensive income, before tax		11,344			(84	)		11,260
Income tax benefit		(2,162	)		17			(2,145	)
Ending balance, net of tax	$	19,001		$	(33	)	$	18,968

Quarter Ended June 30, 2020 (Dollars In Thousands)	Unrealized Gains and Losses on Available for Sale Securities			Foreign Currency Items			Accumulated Other Comprehensive Income
Beginning balance, net of tax	$	14,895		$	(2,335	)	$	12,560
Other comprehensive income before reclassification, before tax		37,805			1,292			39,097
Amounts reclassified from accumulated other comprehensive income, before tax		(12,820	)		—			(12,820	)
Other comprehensive income, before tax		24,985			1,292			26,277
Income tax expense		(1,144	)		—			(1,144	)
Ending balance, net of tax	$	38,736		$	(1,043	)	$	37,693

Six Months Ended June 30, 2021 (Dollars In Thousands)	Unrealized Gains and Losses on Available for Sale Securities			Foreign Currency Items			Accumulated Other Comprehensive Income
Beginning balance, net of tax	$	34,181		$	127		$	34,308
Other comprehensive income before reclassification, before tax		(19,389	)		(202	)		(19,591	)
Amounts reclassified from accumulated other comprehensive income, before tax		706			—			706
Other comprehensive income, before tax		(18,683	)		(202	)		(18,885	)
Income tax (expense) benefit		3,503			42			3,545
Ending balance, net of tax	$	19,001		$	(33	)	$	18,968

Six Months Ended June 30, 2020 (Dollars In Thousands)	Unrealized Gains and Losses on Available for Sale Securities			Foreign Currency Items			Accumulated Other Comprehensive Income
Beginning balance, net of tax	$	18,641		$	(1,032	)	$	17,609
Other comprehensive income (loss) before reclassification, before tax		36,921			(11	)		36,910
Amounts reclassified from accumulated other comprehensive income, before tax		(14,752	)		—			(14,752	)
Other comprehensive income (loss), before tax		22,169			(11	)		22,158
Income tax expense		(2,074	)		—			(2,074	)
Ending balance, net of tax	$	38,736		$	(1,043	)	$	37,693

The reclassifications out of accumulated other comprehensive income for the quarters and six months ended June 30, 2021 and 2020 were as follows:

		Amounts Reclassified from Accumulated Other Comprehensive Income
(Dollars in thousands)		Quarters Ended June 30,
Details about Accumulated Other Comprehensive Income Components	Affected Line Item in the Consolidated Statements of Operations	2021			2020
Unrealized gains and losses on available for sale securities	Other net realized investment (gains) losses	$	(453	)	$	(12,820	)
	Income tax expense (benefit)		158			3,432
	Total reclassifications, net of tax	$	(295	)	$	(9,388	)

		Amounts Reclassified from Accumulated Other Comprehensive Income
(Dollars in thousands)		Six Months Ended June 30,
Details about Accumulated Other Comprehensive Income Components	Affected Line Item in the Consolidated Statements of Operations	2021			2020
Unrealized gains and losses on available for sale securities	Other net realized investment (gains) losses	$	706		$	(14,752	)
	Income tax expense (benefit)		(185	)		3,651
	Total reclassifications, net of tax	$	521		$	(11,101	)

The components of net realized investment gains (losses) for the quarters and six months ended June 30, 2021 and 2020 were as follows:

	Quarters Ended June 30,						Six Months Ended June 30,
(Dollars in thousands)	2021			2020			2021			2020
Fixed maturities:
Gross realized gains	$	2,300		$	16,738		$	5,678		$	18,980
Gross realized losses		(1,847	)		(3,918	)		(6,384	)		(4,228	)
Net realized gains (losses)		453			12,820			(706	)		14,752
Equity securities:
Gross realized gains		4,338			29,402			8,784			11,507
Gross realized losses		(943	)		(1,508	)		(1,021	)		(33,595	)
Net realized gains (losses)		3,395			27,894			7,763			(22,088	)
Derivatives:
Gross realized gains		1,366			7,625			3,719			19,401
Gross realized losses		(1,381	)		(9,832	)		(3,124	)		(41,720	)
Net realized gains (losses) ₍₁₎		(15	)		(2,207	)		595			(22,319	)
Total net realized investment gains (losses)	$	3,833		$	38,507		$	7,652		$	(29,655	)

The following table shows the calculation of the portion of realized gains and losses related to equity securities held as of June 30, 2021 and 2020:

	Quarters Ended June 30,				Six Months Ended June 30,
(Dollars in thousands)	2021		2020		2021		2020
Net gains (losses) recognized during the period on equity securities	$	3,395	$	27,894	$	7,763	$	(22,088	)
Less: net gains (losses) recognized during the period on equity securities sold during the period		1,429		436		2,805		(3,785	)
Unrealized gains (losses) recognized during the reporting period on equity securities still held at the reporting date	$	1,966	$	27,458	$	4,958	$	(18,303	)

The proceeds from sales and redemptions of available for sale and equity securities resulting in net realized investment gains (losses) for the six months ended June 30, 2021 and 2020 were as follows:

The sources of net investment income for the quarters and six months ended June 30, 2021 and 2020 were as follows:

	Quarters Ended June 30,						Six Months Ended June 30,
(Dollars in thousands)	2021			2020			2021			2020
Fixed maturities	$	6,648		$	8,551		$	13,475		$	17,592
Equity securities		618			1,407			1,293			2,771
Cash and cash equivalents		214			52			264			232
Other invested assets		3,788			(12,022	)		6,785			(11,489	)
Total investment income		11,268			(2,012	)		21,817			9,106
Investment expense		(635	)		(347	)		(1,348	)		(1,336	)
Net investment income	$	10,633		$	(2,359	)	$	20,469		$	7,770

The Company’s total investment return on a pre-tax basis for the quarters and six months ended June 30, 2021 and 2020 were as follows:

	Quarters Ended June 30,						Six Months Ended June 30,
(Dollars in thousands)	2021			2020			2021			2020
Net investment income	$	10,633		$	(2,359	)	$	20,469		$	7,770
Net realized investment gains (losses)		3,833			38,507			7,652			(29,655	)
Change in unrealized holding gains (losses)		11,260			26,277			(18,885	)		22,158
Net realized and unrealized investment returns		15,093			64,784			(11,233	)		(7,497	)
Total investment return	$	25,726		$	62,425		$	9,236		$	273
Total investment return % ₍₁₎		1.8	%		3.9	%		0.6	%		0.0	%
Average investment portfolio ₍₂₎	$	1,452,754		$	1,591,987		$	1,463,027		$	1,620,186

As of June 30, 2021 and December 31, 2020, the Company did not own any fixed maturity securities that were non-income producing for the preceding twelve months.

As of June 30, 2021, the Company held insurance enhanced bonds with a market value of approximately $30.3 million which represented 2.0% of the Company’s total cash and invested assets, net of payable/ receivable for securities purchased and sold.

The insurance enhanced bonds are comprised of $15.3 million of municipal bonds, $7.2 million of commercial mortgage-backed securities, and $7.8 million of collateralized mortgage obligations. The financial guarantors of the Company’s $30.3 million of insurance enhanced commercial-mortgage-backed, municipal securities, and collateralized mortgage obligations include Municipal Bond Insurance Association ($2.8 million), Assured Guaranty Corporation ($9.6 million), Federal Home Loan Mortgage Corporation ($15.0 million), Federal National Mortgage Association ($0.3 million), Ambac Financial Group ($1.9 million), School Bond Guaranty Program ($0.2 million), and Higher Education State Aid Intercept Program ($0.5 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 June 30, 2021.

Certain cash balances, cash equivalents, and bonds available for sale were deposited with various governmental authorities in accordance with statutory requirements, were held as collateral, or were held in trust. The fair values were as follows as of June 30, 2021 and December 31, 2020:

	Estimated Fair Value
(Dollars in thousands)	June 30, 2021		December 31, 2020
On deposit with governmental authorities	$	26,762	$	26,966
Held in trust pursuant to third party requirements		81,033		100,234
Letter of credit held for third party requirements		2,512		3,970
Securities held as collateral		—		494
Total	$	110,307	$	131,664

A Variable Interest Entity (“VIE”) refers to an investment in which an investor holds a controlling interest that is not based on the majority of voting rights. Under the VIE model, the party that has the power to exercise significant management influence and maintain a controlling financial interest in the entity’s economics is said to be the primary beneficiary, and is required to consolidate the entity within their results. Other entities that participate in a VIE, for which their financial interests fluctuate with changes in the fair value of the investment entity’s net assets but do not have significant management influence and the ability to direct the VIE’s significant economic activities are said to have a variable interest in the VIE but do not consolidate the VIE in their financial results.

The Company has variable interests in four VIE’s for which it is not the primary beneficiary. These investments are accounted for under the equity method of accounting as their ownership interest exceeds 3% of their respective investments.

The carrying value of one of the Company’s VIE’s, which invests in distressed securities and assets, was $9.9 million and $10.8 million as of June 30, 2021 and December 31, 2020, respectively. The Company’s maximum exposure to loss from this VIE, which factors in future funding commitments, was $24.1 million and $25.0 million at June 30, 2021 and December 31, 2020, respectively. The carrying value of a second VIE that also invests in distressed securities and assets was $13.7 million and $15.7 million at June 30, 2021 and December 31, 2020, respectively. The Company’s maximum exposure to loss from this VIE, which factors in future funding commitments, was $30.7 million and $32.7 million at June 30, 2021 and December 31, 2020, respectively. The carrying value and maximum exposure to loss of a third VIE that invests in Real Estate Investment Trust (“REIT”) qualifying assets was $11.6 million and $10.5 million as of June 30, 2021 and December 31, 2020, respectively. The carrying value and maximum exposure to loss of a fourth VIE, which invests in a broad portfolio of non-investment grade loans, was $105.7 million and $60.0 million as of June 30, 2021 and December 31, 2020, respectively. The Company’s investment in VIEs is included in other invested assets on the consolidated balance sheet with changes in carrying value recorded in the consolidated statements of operations.