v3.26.1
Note 4 - Fair Value Measurements
 6 Months Ended
Jun. 30, 2026
Fair Value Disclosures [Abstract]  
Fair Value Disclosures [Text Block]

4. Fair Value Measurements

Fair value is defined as the price that the Company would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment.

The three‑tier hierarchy of inputs is summarized in the three broad levels listed below:

Level 1—Unadjusted quoted prices are available in active markets for identical investments as of the reporting date.

Level 2—Pricing inputs are quoted prices for similar investments in active markets; quoted prices for identical or similar investments in inactive markets; or valuations based on models where the significant inputs are observable or can be corroborated by observable market data.

Level 3—Pricing inputs into models are unobservable for the investment. The unobservable inputs require significant management judgment or estimation.

To measure fair value, the Company obtains quoted market prices for its investment securities from its outside investment managers. If a quoted market price is not available, the Company uses prices of similar securities. The fair values obtained from the outside investment managers are reviewed for reasonableness and any discrepancies are investigated for final valuation.

The fair value of the Company’s investments in fixed maturity securities is estimated using relevant inputs, including available market information, benchmark curves, benchmarking of like securities, sector groupings, and matrix pricing. An option adjusted spread model is also used to develop prepayment and interest rate scenarios. Industry standard models are used to analyze and value securities with embedded options or prepayment sensitivities. These fair value measurements are estimated based on observable, objectively verifiable market information rather than market quotes. Therefore, these investments are classified and disclosed in Level 2 of the hierarchy.

The following tables present the hierarchy for financial assets and liabilities measured at fair value on a recurring basis as of June 30, 2026 and December 31, 2025:

 

June 30, 2026

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

 

 

($ in thousands)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Governments

 

$

—

 

 

$

23,535

 

 

$

—

 

 

$

23,535

 

U.S. States, Territories, and Political Subdivisions

 

 

—

 

 

 

16,905

 

 

 

—

 

 

 

16,905

 

Special revenue excluding mortgage/asset-backed securities

 

 

—

 

 

 

18,429

 

 

 

—

 

 

 

18,429

 

Corporate and other

 

 

—

 

 

 

741,655

 

 

 

—

 

 

 

741,655

 

Mortgage/asset-backed securities

 

 

—

 

 

 

702,336

 

 

 

—

 

 

 

702,336

 

Equity securities

 

 

128,391

 

 

 

1,124

 

 

 

—

 

 

 

129,515

 

Cash, cash equivalents, and restricted cash

 

 

62,704

 

 

 

—

 

 

 

—

 

 

 

62,704

 

Derivative assets

 

 

5,007

 

 

 

—

 

 

 

—

 

 

 

5,007

 

Total assets

 

$

196,102

 

 

$

1,503,984

 

 

$

—

 

 

$

1,700,086

 

 

December 31, 2025

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

 

 

($ in thousands)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity securities

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Governments

 

$

—

 

 

$

23,587

 

 

$

—

 

 

$

23,587

 

U.S. States, Territories, and Political Subdivisions

 

 

—

 

 

 

18,862

 

 

 

—

 

 

 

18,862

 

Special revenue excluding mortgage/asset-backed securities

 

 

—

 

 

 

17,465

 

 

 

—

 

 

 

17,465

 

Corporate and other

 

 

—

 

 

 

608,235

 

 

 

—

 

 

 

608,235

 

Mortgage/asset-backed securities

 

 

—

 

 

 

556,038

 

 

 

—

 

 

 

556,038

 

Equity securities

 

 

99,333

 

 

 

—

 

 

 

—

 

 

 

99,333

 

Cash, cash equivalents, and restricted cash

 

 

106,892

 

 

 

—

 

 

 

—

 

 

 

106,892

 

Derivative assets

 

 

9,934

 

 

 

—

 

 

 

—

 

 

 

9,934

 

Total assets

 

$

216,159

 

 

$

1,224,187

 

 

$

—

 

 

$

1,440,346

 

The carrying amounts of financial assets and liabilities reported in the accompanying condensed consolidated balance sheet including cash and cash equivalents, restricted cash, receivables, reinsurance recoverable, and accounts payable and other accrued liabilities approximate fair value due to their short-term maturity.

The Company’s derivative assets are measured at fair value in accordance with ASC 815, and are included on the unaudited condensed consolidated balance sheets within “Other investments” with any changes in fair value recorded in earnings in “Losses and loss adjustment expenses.” See Note 3 for further information regarding the Company’s derivative assets.

The carrying amount of any borrowings under the Federal Home Loan Bank (“FHLB”) line of credit and U.S. Bank revolving facility (the “Revolving Facility”) approximate fair value as the credit agreements have variable rates which frequently reprice at market rates.

Transfers between Level 3 and Level 2 securities result from changes in the availability of observable market inputs and are recorded at the beginning of the reporting period. As of June 30, 2026 and December 31, 2025, the Company had no securities classified as Level 3.