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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended March 31, 2022
or
Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the transition period from _______ to _______
 
Commission File Number: 001-36777
JAMES RIVER GROUP HOLDINGS, LTD.
 
(Exact name of registrant as specified in its charter)
Bermuda 98-0585280
(State or other jurisdiction of
incorporation or organization)
 
(I.R.S. Employer
Identification No.)
 
Wellesley House, 2nd Floor, 90 Pitts Bay Road, Pembroke HM08, Bermuda
(Address of principal executive offices)
(Zip Code)
(441) 278-4580
(Registrant's telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Act:
Title of each classTrading Symbol(s)Names of each exchange on which registered
Common Shares, par value $0.0002 per shareJRVRNASDAQGlobal Select Market
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    Yes   x    No   ¨
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).    Yes  x    No   ¨
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filerxAccelerated filerNon-accelerated filer Smaller reporting companyEmerging growth company
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.  ¨
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
Yes       No   x
Number of shares of the registrant's common shares outstanding at May 6, 2022: 37,450,264



James River Group Holdings, Ltd.
Form 10-Q
Index
 Page
Number
 
   
 
   
 
   
 
   
 
   
 
   
 
   
   
 
   
   
  
 
   
  
 
2


SPECIAL NOTE REGARDING FORWARD-LOOKING STATEMENTS
 
This Quarterly Report on Form 10-Q, or Quarterly Report, contains forward-looking statements within the meaning of Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934. These statements may be identified by the fact that they do not relate strictly to historical or current facts. You may identify forward-looking statements in this Quarterly Report by the use of words such as “anticipates,” “estimates,” “expects,” “intends,” “plans”, “seeks” and “believes,” and similar expressions or future or conditional verbs such as “will,” “should,” “would,” “may” and “could.” These forward-looking statements include, among others, all statements relating to our future financial performance, our business prospects and strategy, anticipated financial position and financial strength ratings, liquidity and capital needs and other similar matters. These forward-looking statements are based on management’s current expectations and assumptions about future events, which are inherently subject to uncertainties, risks and changes in circumstances that are difficult to predict.
 
Our actual results may differ materially from those expressed in, or implied by, the forward-looking statements included in this Quarterly Report as a result of various factors, many of which are beyond our control, including, among others:
 
the inherent uncertainty of estimating reserves and the possibility that incurred losses may be greater than our loss and loss adjustment expense reserves;
inaccurate estimates and judgments in our risk management may expose us to greater risks than intended;
the downgrade in the financial strength rating of our regulated insurance subsidiaries announced May 7, 2021, or further downgrades, impacting our ability to attract and retain insurance and reinsurance business that our subsidiaries write, our competitive position, and our financial condition;
the potential loss of key members of our management team or key employees, and our ability to attract and retain personnel;
adverse economic factors resulting in the sale of fewer policies than expected or an increase in the frequency or severity of claims, or both;
a persistent high inflationary environment could have a negative impact on our reserves, the values of our investments and investment returns, and our compensation expenses;
reliance on a select group of brokers and agents for a significant portion of our business and the impact of our potential failure to maintain such relationships;
reliance on a select group of customers for a significant portion of our business and the impact of our potential failure to maintain, or decision to terminate, such relationships;
our ability to obtain reinsurance coverage at prices and on terms that allow us to transfer risk and adequately protect our Company against financial loss;
losses resulting from reinsurance counterparties failing to pay us on reinsurance claims, insurance companies with whom we have a fronting arrangement failing to pay us for claims, or a former customer with whom we have an indemnification arrangement that fails to perform their reimbursement obligations;
inadequacy of premiums we charge to compensate us for our losses incurred;
changes in laws or government regulation, including tax or insurance law and regulations;
the ongoing effect of Public Law No. 115-97, informally titled the Tax Cuts and Jobs Act, which may have a significant effect on us including, among other things, by potentially increasing our tax rate, as well as on our shareholders;
in the event we do not qualify for the insurance company exception to the passive foreign investment company (“PFIC”) rules and are therefore considered a PFIC, there could be material adverse tax consequences to an investor that is subject to U.S. federal income taxation;
the Company or any of its foreign subsidiaries becoming subject to U.S. federal income taxation;
a failure of any of the loss limitations or exclusions we utilize to shield us from unanticipated financial losses or legal exposures, or other liabilities;
losses from catastrophic events, such as natural disasters and terrorist acts, which substantially exceed our expectations and/or exceed the amount of reinsurance we have purchased to protect us from such events;
3


the effects of the COVID-19 pandemic and associated government actions on our operations and financial  performance;
potential effects on our business of emerging claim and coverage issues;
exposure to credit risk, interest rate risk and other market risk in our investment portfolio;
the potential impact of internal or external fraud, operational errors, systems malfunctions or cyber security incidents;
our ability to manage our growth effectively;
failure to maintain effective internal controls in accordance with Sarbanes-Oxley Act of 2002, as amended (“Sarbanes-Oxley”);
changes in our financial condition, regulations or other factors that may restrict our subsidiaries’ ability to pay us dividends; and
other risks and uncertainties discussed elsewhere in this Quarterly Report.
Additional information about these risks and uncertainties, as well as others that may cause actual results to differ materially from those in the forward-looking statements, is contained in our filings with the U.S. Securities and Exchange Commission (“SEC”), including our Annual Report on Form 10-K for the year ended December 31, 2021 filed with the SEC on March 1, 2022.
Forward-looking statements speak only as of the date of this Quarterly Report. Except as expressly required under federal securities laws and the rules and regulations of the SEC, we do not have any obligation, and do not undertake, to update any forward-looking statements to reflect events or circumstances arising after the date of this Quarterly Report, whether as a result of new information or future events or otherwise. You should not place undue reliance on the forward-looking statements included in this Quarterly Report or that may be made elsewhere from time to time by us, or on our behalf. All forward-looking statements attributable to us are expressly qualified by these cautionary statements.

4

Table of Contents
 
PART 1. FINANCIAL INFORMATION

Item 1. Financial Statements
 
 
JAMES RIVER GROUP HOLDINGS, LTD. AND SUBSIDIARIES
 
Condensed Consolidated Balance Sheets
(Unaudited) March 31,
2022
December 31,
2021
 (in thousands)
Assets  
Invested assets:  
Fixed maturity securities, available-for-sale, at fair value (amortized cost: 2022 – $1,726,202; 2021 – $1,643,865)
$1,662,278 $1,677,561 
Equity securities, at fair value (cost: 2022 – $93,089; 2021 – $95,783)
102,973 108,410 
Bank loan participations, at fair value159,084 156,043 
Short-term investments147,334 136,563 
Other invested assets53,298 51,908 
Total invested assets2,124,967 2,130,485 
Cash and cash equivalents270,195 190,123 
Restricted cash equivalents102,009 102,005 
Accrued investment income11,730 11,037 
Premiums receivable and agents’ balances, net367,991 393,967 
Reinsurance recoverable on unpaid losses, net1,617,884 1,348,628 
Reinsurance recoverable on paid losses87,595 82,235 
Prepaid reinsurance premiums284,686 291,498 
Deferred policy acquisition costs66,028 68,526 
Intangible assets, net35,948 36,039 
Goodwill181,831 181,831 
Other assets116,354 112,176 
Total assets$5,267,218 $4,948,550 
 
See accompanying notes.
 

5

Table of Contents
 
JAMES RIVER GROUP HOLDINGS, LTD. AND SUBSIDIARIES
 
Condensed Consolidated Balance Sheets (continued)
  
(Unaudited) March 31,
2022
December 31,
2021
 (in thousands, except share amounts)
Liabilities and Shareholders’ Equity  
Liabilities:  
Reserve for losses and loss adjustment expenses$2,750,188 $2,748,473 
Unearned premiums706,770 727,552 
Payables to reinsurers127,012 135,617 
Funds held371,853 97,360 
Senior debt222,300 262,300 
Junior subordinated debt104,055 104,055 
Accrued expenses48,229 57,920 
Other liabilities144,236 89,911 
Total liabilities4,474,643 4,223,188 
Commitments and contingent liabilities
Series A redeemable preferred shares – 2022 and 2021: $0.00125 par value; 20,000,000 shares authorized; 150,000 and no shares issued and outstanding, respectively
144,898  
Shareholders’ equity:  
Common shares – 2022 and 2021: $0.0002 par value; 200,000,000 shares authorized; 37,448,314 and 37,373,066 shares issued and outstanding, respectively
7 7 
Additional paid-in capital862,904 862,040 
Retained deficit(159,241)(166,663)
Accumulated other comprehensive (loss) income(55,993)29,978 
Total shareholders’ equity647,677 725,362 
Total liabilities, Series A redeemable preferred shares, and shareholders’ equity$5,267,218 $4,948,550 
 
See accompanying notes.

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 JAMES RIVER GROUP HOLDINGS, LTD. AND SUBSIDIARIES
 
Condensed Consolidated Statements of Income (Loss) and Comprehensive Loss (Unaudited)

 Three Months Ended
March 31,
 20222021
 (in thousands, except share amounts)
Revenues  
Gross written premiums$359,936 $373,255 
Ceded written premiums(184,077)(198,656)
Net written premiums175,859 174,599 
Change in net unearned premiums13,965 (14,006)
Net earned premiums189,824 160,593 
Net investment income16,267 15,089 
Net realized and unrealized (losses) gains on investments(5,010)6,272 
Other income867 1,026 
Total revenues201,948 182,980 
Expenses 
Losses and loss adjustment expenses135,608 273,500 
Other operating expenses50,061 47,381 
Other expenses368 621 
Interest expense2,292 2,216 
Amortization of intangible assets91 91 
Total expenses188,420 323,809 
Income (loss) before taxes13,528 (140,829)
Income tax expense (benefit)3,323 (37,369)
Net income (loss)10,205 (103,460)
Dividends on Series A preferred shares(875) 
Net income (loss) available to common shareholders$9,330 $(103,460)
Other comprehensive loss: 
Net unrealized losses, net of taxes of $(11,649) in 2022 and $(5,647) in 2021
(85,971)(42,688)
Total comprehensive loss$(75,766)$(146,148)
Net income (loss) per common share: 
Basic$0.25 $(3.37)
Diluted$0.25 $(3.37)
Dividend declared per common share$0.05 $0.30 
Weighted-average common shares outstanding: 
Basic37,406,913 30,713,986 
Diluted37,554,662 30,713,986 

 
See accompanying notes.
 

 
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JAMES RIVER GROUP HOLDINGS, LTD. AND SUBSIDIARIES

Condensed Consolidated Statements of Changes in Shareholders’ Equity (Unaudited)


 

 
 Number of
Common
Shares
Outstanding
Common
Shares (Par)
Additional
Paid-in
Capital
Retained
(Deficit) Earnings
Accumulated
Other
Comprehensive
Income (Loss)
Total
 (in thousands, except share amounts)
Balances at December 31, 202137,373,066 $7 $862,040 $(166,663)$29,978 $725,362 
Net income— — — 10,205 — 10,205 
Other comprehensive loss— — — — (85,971)(85,971)
Vesting of RSUs75,248 — (922)— — (922)
Compensation expense under share incentive plans— — 1,786 — — 1,786 
Dividends on Series A preferred shares— — — (875)— (875)
Dividends on common shares— — — (1,908)— (1,908)
Balances at March 31, 202237,448,314 $7 $862,904 $(159,241)$(55,993)$647,677 
Balances at December 31, 202030,649,261 $6 $664,476 $49,227 $81,899 $795,608 
Net loss— — — (103,460)— (103,460)
Other comprehensive loss— — — — (42,688)(42,688)
Exercise of stock options16,471 — 159 — — 159 
Vesting of RSUs109,198 — (2,553)— — (2,553)
Compensation expense under share incentive plans— — 1,905 — — 1,905 
Dividends on common shares— — — (9,343)— (9,343)
Balances at March 31, 202130,774,930 $6 $663,987 $(63,576)$39,211 $639,628 

See accompanying notes.
 
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 JAMES RIVER GROUP HOLDINGS, LTD. AND SUBSIDIARIES
 
Condensed Consolidated Statements of Cash Flows (Unaudited)

 Three Months Ended March 31,
 20222021
 (in thousands)
Operating activities  
Net cash provided by (used in) operating activities (a)$65,355 $(81,005)
Investing activities  
Securities available-for-sale:  
Purchases – fixed maturity securities(154,091)(171,178)
Sales – fixed maturity securities22,450 33,041 
Maturities and calls – fixed maturity securities48,781 73,530 
Purchases – equity securities(2,747)(4,305)
Sales – equity securities5,089 3,776 
Bank loan participations:  
Purchases(33,536)(35,832)
Sales20,983 15,527 
Maturities7,571 11,190 
Other invested assets:  
Purchases (9,795)
Return of capital214 249 
Short-term investments, net(10,771)79,091 
Securities receivable or payable, net10,652 10,694 
Purchases of property and equipment(1,729) 
Net cash (used in) provided by investing activities(87,134)5,988 
Financing activities  
Senior debt repayments(40,000) 
Issuance of Series A preferred shares144,898  
Issuance of common shares under equity incentive plans 159 
Common share repurchases(922)(2,553)
Dividends on common shares(2,121)(9,610)
Net cash provided by (used in) financing activities101,855 (12,004)
Change in cash, cash equivalents, and restricted cash equivalents80,076 (87,021)
Cash, cash equivalents, and restricted cash equivalents at beginning of period292,128 1,022,180 
Cash, cash equivalents, and restricted cash equivalents at end of period$372,204 $935,159 
Supplemental information  
Interest paid$2,495 $2,482 
Restricted cash equivalents at beginning of period$102,005 $859,920 
Restricted cash equivalents at end of period$102,009 $751,668 
Change in restricted cash equivalents$4 $(108,252)

(a) Cash used in operating activities for the three months ended March 31, 2021 primarily reflects restricted cash equivalents returned to a former insured, per the terms of a collateral trust. See “Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Amounts Recoverable from an Indemnifying Party and Reinsurer on Legacy Commercial Auto Book”. Excluding the restricted cash activity above, cash provided by operating activities was $65.4 million and $27.2 million for the three months ended March 31, 2022 and 2021, respectively.
See accompanying notes.
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 JAMES RIVER GROUP HOLDING, LTD. AND SUBSIDIARIES
Notes to Condensed Consolidated Financial Statements

1.    Accounting Policies
Organization
James River Group Holdings, Ltd. (referred to as “JRG Holdings” or, with its subsidiaries, the “Company”) is an exempted holding company registered in Bermuda, organized for the purpose of acquiring and managing insurance and reinsurance entities.
The Company owns five insurance companies based in the United States (“U.S.”) focused on specialty insurance niches and two Bermuda-based reinsurance companies as described below:
James River Group Holdings UK Limited (“James River UK”) is an insurance holding company formed in 2015 in the United Kingdom (“U.K.”). JRG Holdings contributed James River Group, Inc. (“James River Group”), a U.S. insurance holding company, to James River UK in 2015.
James River Group is a Delaware domiciled insurance holding company formed in 2002 which owns all of the Company’s U.S.-based subsidiaries, either directly or indirectly through one of its wholly-owned U.S. subsidiaries. James River Group oversees the Company’s U.S. insurance operations and maintains all of the outstanding debt in the U.S.
James River Insurance Company is an Ohio domiciled excess and surplus lines insurance company that, with its wholly-owned insurance subsidiary, James River Casualty Company, a Virginia domiciled company, is authorized to write business in every state and the District of Columbia.
Falls Lake National Insurance Company (“Falls Lake National”) is an Ohio domiciled insurance company which wholly owns Stonewood Insurance Company (“Stonewood Insurance”), a North Carolina domiciled company, and Falls Lake Fire and Casualty Company, a California domiciled company. Falls Lake National and its subsidiaries primarily write specialty admitted fronting and program business and individual risk workers' compensation insurance.
JRG Reinsurance Company Ltd. (“JRG Re”) was formed in 2007 and commenced operations in 2008. JRG Re, a Bermuda domiciled reinsurer, primarily provides non-catastrophe casualty reinsurance to U.S. third parties and, through December 31, 2017, to the Company’s U.S.-based insurance subsidiaries.
Carolina Re Ltd (“Carolina Re”) was formed in 2018 and as of January 1, 2018 provides reinsurance to the Company’s U.S.-based insurance subsidiaries. Carolina Re was also the cedent on an aggregate stop loss reinsurance treaty with JRG Re through December 31, 2021.
Basis of Presentation
The accompanying condensed consolidated financial statements and notes have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) for interim financial information and do not contain all of the information and footnotes required by U.S. GAAP for complete financial statements. The condensed consolidated financial statements include the results of the Company and its subsidiaries from their respective dates of inception or acquisition, as applicable. Readers are urged to review the Company’s Annual Report on Form 10-K for the year ended December 31, 2021 for a more complete description of the Company’s business and accounting policies. In the opinion of management, all adjustments necessary for a fair presentation of the condensed consolidated financial statements have been included. Such adjustments consist only of normal recurring items. Interim results are not necessarily indicative of results of operations for the full year. The consolidated balance sheet as of December 31, 2021 was derived from the Company’s audited annual consolidated financial statements.
Intercompany transactions and balances have been eliminated.
Estimates and Assumptions
Preparation of the condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the condensed consolidated financial statements and accompanying disclosures. Those estimates are inherently subject to change, and actual results may ultimately differ from those estimates.
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JAMES RIVER GROUP HOLDING, LTD. AND SUBSIDIARIES
Notes to Condensed Consolidated Financial Statements (continued)


Variable Interest Entities
Entities that do not have sufficient equity at risk to allow the entity to finance its activities without additional financial support or in which the equity investors, as a group, do not have the characteristic of a controlling financial interest are referred to as variable interest entities (“VIE”). A VIE is consolidated by the variable interest holder that is determined to have the controlling financial interest (primary beneficiary) as a result of having both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE. The Company determines whether it is the primary beneficiary of an entity subject to consolidation based on a qualitative assessment of the VIE’s capital structure, contractual terms, nature of the VIE’s operations and purpose, and the Company’s relative exposure to the related risks of the VIE on the date it becomes initially involved in the VIE. The Company reassesses its VIE determination with respect to an entity on an ongoing basis.
The Company holds interests in VIEs through certain equity method investments included in “other invested assets” in the accompanying condensed consolidated balance sheets. The Company has determined that it should not consolidate any of the VIEs as it is not the primary beneficiary in any of the relationships. Although the investments resulted in the Company holding variable interests in the entities, they did not empower the Company to direct the activities that most significantly impact the economic performance of the entities. The Company’s investments related to these VIEs totaled $28.5 million and $26.9 million at March 31, 2022 and December 31, 2021, respectively, representing the Company’s maximum exposure to loss.
Income Tax Expense
Our effective tax rate fluctuates from period to period based on the relative mix of income reported by country and the respective tax rates imposed by each tax jurisdiction. For U.S.-sourced income, the Company’s U.S. federal income tax expense differs from the amounts computed by applying the federal statutory income tax rate to income before taxes due primarily to interest income on tax-advantaged state and municipal securities, dividends received income, and excess tax benefits on share based compensation. For the three months ended March 31, 2022, our U.S. federal income tax expense was 24.6% of the income before taxes. The effective rate exceeded the 21.0% U.S. statutory rate due to a projected annual loss in Bermuda that does not provide a tax benefit and due to discreet items for the quarter primarily related to excess tax expenses associated with vested restricted share units (“RSUs”) in the three months ended March 31, 2022. The Company had a pre-tax loss of $140.8 million for the three months ended March 31, 2021 and recorded a U.S. federal income tax benefit of $37.4 million. The pre-tax loss was largely driven by the $170.1 million of net adverse reserve development on prior accident years, including $168.7 million of net adverse development from the Excess and Surplus Lines segment that was primarily related to a former commercial auto account. For the three months ended March 31, 2021, our U.S. federal income tax benefit was 26.5% of the loss before taxes.
Adopted Accounting Standards
In August 2020, the FASB issued ASU 2020-06, Debt — Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging — Contracts in Entity’s Own Equity (Subtopic 815-40), Accounting for Convertible Instruments and Contracts in an Entity’s Own Equity. ASU 2020-06 simplifies the accounting for convertible debt instruments and convertible preferred stock and became effective for interim and annual periods beginning after December 15, 2021. The Company adopted the new standard concurrent with the issuance of our Series A preferred shares on March 1, 2022. Under ASU 2020-06, embedded conversion features are no longer separated from the host contract for convertible instruments with conversion features that are not required to be accounted for as derivatives under Topic 815, or that do not result in substantial premiums accounted for as paid-in capital. The new guidance also requires entities to use the if-converted method for all convertible instruments in the diluted earnings per share calculation and generally requires them to include the effect of potential share settlement for instruments that may be settled in cash or shares. Adoption of the new standard did not materially impact our financial position, results of operations, or earnings per share for the three months ended March 31, 2022.
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Notes to Condensed Consolidated Financial Statements (continued)


2.    Investments
The Company’s available-for-sale fixed maturity securities are summarized as follows:
 Cost or
Amortized
Cost
Gross
Unrealized
Gains
Gross
Unrealized
Losses
Fair
Value
 (in thousands)
March 31, 2022    
Fixed maturity securities:    
State and municipal
$337,908 $2,865 $(21,281)$319,492 
Residential mortgage-backed
260,942 462 (13,503)247,901 
Corporate
736,153 5,059 (25,837)715,375 
Commercial mortgage and asset-backed
315,566 277 (10,086)305,757 
U.S. Treasury securities and obligations guaranteed by the U.S. government
75,633 168 (2,048)73,753 
Total fixed maturity securities, available-for-sale$1,726,202 $8,831 $(72,755)$1,662,278 
December 31, 2021    
Fixed maturity securities:    
State and municipal
$323,773 $12,156 $(2,212)$333,717 
Residential mortgage-backed
246,586 2,384 (2,339)246,631 
Corporate
711,930 26,119 (5,714)732,335 
Commercial mortgage and asset-backed
301,247 4,941 (1,700)304,488 
U.S. Treasury securities and obligations guaranteed by the U.S. government
60,329 653 (592)60,390 
Total fixed maturity securities, available-for-sale$1,643,865 $46,253 $(12,557)$1,677,561 
The amortized cost and fair value of available-for-sale investments in fixed maturity securities at March 31, 2022 are summarized, by contractual maturity, as follows:
 Cost or
Amortized
Cost
Fair
Value
 (in thousands)
One year or less$103,147 $103,369 
After one year through five years464,925 458,531 
After five years through ten years332,124 311,381 
After ten years249,498 235,339 
Residential mortgage-backed260,942 247,901 
Commercial mortgage and asset-backed315,566 305,757 
Total$1,726,202 $1,662,278 
 
Actual maturities may differ for some securities because borrowers have the right to call or prepay obligations with or without penalties.
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Notes to Condensed Consolidated Financial Statements (continued)


The following table shows the Company’s gross unrealized losses and fair value for available-for-sale securities aggregated by investment category and the length of time that individual securities have been in a continuous unrealized loss position:
 Less Than 12 Months12 Months or MoreTotal
 Fair
Value
Gross
Unrealized
Losses
Fair
Value
Gross
Unrealized
Losses
Fair
Value
Gross
Unrealized
Losses
 (in thousands)
March 31, 2022      
Fixed maturity securities:      
State and municipal$241,369 $(20,170)$7,019 $(1,111)$248,388 $(21,281)
Residential mortgage-backed174,854 (9,524)47,740 (3,979)222,594 (13,503)
Corporate292,795 (17,462)66,603 (8,375)359,398 (25,837)
Commercial mortgage and asset-backed261,381 (9,355)8,159 (731)269,540 (10,086)
U.S. Treasury securities and obligations guaranteed by the U.S. government
27,557 (1,095)15,749 (953)43,306 (2,048)
Total fixed maturity securities, available-for-sale$997,956 $(57,606)$145,270 $(15,149)$1,143,226 $(72,755)
December 31, 2021      
Fixed maturity securities:      
State and municipal$93,313 $(2,162)$1,150 $(50)$94,463 $(2,212)
Residential mortgage-backed140,386 (2,337)147 (2)140,533 (2,339)
Corporate179,078 (4,232)18,635 (1,482)197,713 (5,714)
Commercial mortgage and asset-backed159,289 (1,695)1,229 (5)160,518 (1,700)
U.S. Treasury securities and obligations guaranteed by the U.S. government
24,378 (592)  24,378 (592)
Total fixed maturity securities, available-for-sale$596,444 $(11,018)$21,161 $(1,539)$617,605 $(12,557)
 
At March 31, 2022, the Company held fixed maturity securities of 435 issuers that were in an unrealized loss position with a total fair value of $1,143.2 million and gross unrealized losses of $72.8 million. None of the fixed maturity securities with unrealized losses has ever missed, or been delinquent on, a scheduled principal or interest payment. At March 31, 2022, 99.3% of the Company’s fixed maturity security portfolio was rated “BBB-” or better (“investment grade”) by Standard & Poor’s or received an equivalent rating from another nationally recognized rating agency. Fixed maturity securities with ratings below investment grade by Standard & Poor’s or another nationally recognized rating agency at March 31, 2022 had an aggregate fair value of $11.2 million and an aggregate net unrealized gain of $1,200.
The Company reviews its available-for-sale fixed maturities to determine whether unrealized losses are due to credit-related factors. An allowance for credit losses is established for any credit-related impairments, limited to the amount by which fair value is below amortized cost. Changes in the allowance for credit losses are recognized in earnings and included in net realized and unrealized gains (losses) on investments. Unrealized losses that are not credit-related are recognized in other comprehensive income.
The Company considers the extent to which fair value is below amortized cost in determining whether a credit-related loss exists. The Company also considers the credit quality rating of the security, with a special emphasis on securities downgraded below investment grade. A comparison is made between the present value of expected future cash flows for a security and its amortized cost. If the present value of future expected cash flows is less than amortized cost, a credit loss is presumed to exist and an allowance for credit losses is established. Management may conclude that a qualitative analysis is sufficient to support its conclusion that the present value of the expected cash flows equals or exceeds a security’s amortized cost. As a result of this review, management concluded that there were no credit-related impairments of fixed maturity securities at March 31, 2022, December 31, 2021, or March 31, 2021. Management does not intend to sell the securities in an unrealized loss position, and it is not “more likely than not” that the Company will be required to sell these securities before a recovery in their value to their amortized cost basis occurs.
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Notes to Condensed Consolidated Financial Statements (continued)


Bank loan participations are measured at fair value pursuant to the Company's election of the fair value option, and changes in unrealized gains and losses in bank loan participations are reported in our income statement as net realized and unrealized gains (losses) on investments. Applying the fair value option to the bank loan portfolio increases volatility in the Company's financial statements, but management believes it is less subjective and less burdensome to implement and maintain than the requirements of ASU 2016-13. At March 31, 2022, the Company's bank loan portfolio had an aggregate fair value of $159.1 million and unpaid principal of $164.1 million. Investment income on bank loan participations included in net investment income was $2.4 million and $2.9 million for the three months ended March 31, 2022 and 2021, respectively. Net realized and unrealized gains (losses) on investments includes losses of $2.1 million and gains of $3.8 million for the three months ended March 31, 2022 and 2021, respectively. For the three months ended March 31, 2022 and 2021, management concluded that none of the unrealized losses were due to credit-related impairments. Losses due to credit-related impairments are determined based upon consultations and advice from the Company's specialized investment manager and consideration of any adverse situations that could affect the borrower's ability to repay, the estimated value of underlying collateral, and other relevant factors.
Bank loan participations generally provide a higher yield than our portfolio of fixed maturities and have a credit rating that is below investment grade (i.e. below “BBB-” for Standard & Poor’s) at the date of purchase. These bank loans are primarily senior, secured floating-rate debt rated “BB”, “B”, or “CCC” by Standard & Poor’s or an equivalent rating from another nationally recognized rating agency. These bank loans include assignments of, and participations in, performing and non-performing senior corporate debt generally acquired through primary bank syndications and in secondary markets. Bank loans consist of, but are not limited to, term loans, the funded and unfunded portions of revolving credit loans, and other similar loans and investments. Management believed that it was probable at the time that these loans were acquired that the Company would be able to collect all contractually required payments receivable.
Interest income on bank loan participations is accrued on the unpaid principal balance, and discounts and premiums on bank loan participations are amortized to income using the interest method. Generally, the accrual of interest on a bank loan participation is discontinued when the contractual payment of principal or interest has become 90 days past due or management has serious doubts about further collectability of principal or interest. A bank loan participation may remain on accrual status if it is in the process of collection and is either guaranteed or well secured. Generally, bank loan participations are restored to accrual status when the obligation is brought current, has performed in accordance with the contractual terms for a reasonable period of time, and the ultimate collectability of the total contractual principal and interest is no longer in doubt. Interest received on nonaccrual loans generally is reported as investment income. There were no bank loans on nonaccrual status at March 31, 2022 or December 31, 2021.
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Notes to Condensed Consolidated Financial Statements (continued)


The Company’s net realized and unrealized gains and losses on investments are summarized as follows:
 Three Months Ended
March 31,
 20222021
 (in thousands)
Fixed maturity securities:  
Gross realized gains$366 $1,056 
Gross realized losses(164)(22)
 202 1,034 
Bank loan participations:  
Gross realized gains95 198 
Gross realized losses(184)(260)
Changes in fair values of bank loan participations(2,009)3,911 
 (2,098)3,849 
Equity securities:  
Gross realized gains24 29 
Gross realized losses(381)(401)
Changes in fair values of equity securities(2,742)1,745 
 (3,099)1,373 
Short-term investments and other:  
Gross realized gains 5 
Gross realized losses(15) 
Changes in fair values of short-term investments and other 11 
 (15)16 
Total$(5,010)$6,272 
  
Realized investment gains or losses are determined on a specific identification basis.
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Notes to Condensed Consolidated Financial Statements (continued)


The Company invests selectively in private debt and equity opportunities. These investments, which together comprise the Company’s other invested assets, are primarily focused in renewable energy, limited partnerships, and bank holding companies.
 Carrying ValueInvestment Income
 March 31,December 31,Three Months Ended
March 31,
 2022202120222021
 (in thousands)
Renewable energy LLCs (a)
Excess and Surplus Lines$25,655 $24,211 $2,280 $ 
Corporate & Other2,838 2,709 244 (915)
28,493 26,920 2,524 (915)
Renewable energy notes receivable (b)
Excess and Surplus Lines2,329 2,329 70 104 
Corporate & Other2,911 2,911 87 130 
5,240 5,240 157 234 
Limited partnerships (c)
Excess and Surplus Lines12,915 13,098 132 175 
Corporate & Other2,150 2,150  754 
15,065 15,248 132 929 
Bank holding companies (d)
Excess and Surplus Lines4,500 4,500 86  
Corporate & Other   86 
4,500 4,500 86 86 
Total other invested assets
Excess and Surplus Lines45,399 44,138 2,568 279 
Corporate & Other7,899 7,770 331 55 
$53,298 $51,908 $2,899 $334 
 
(a)The Company's Excess and Surplus Lines and Corporate and Other segments own equity interests ranging from 2.6% to 32.6% in various LLCs whose principal objective is capital appreciation and income generation from owning and operating renewable energy production facilities (wind and solar). The LLCs are managed by an entity for which two former directors served as officers, and the Company’s Non-Executive Chairman has invested in certain of these LLCs. The equity method is used to account for the Company’s LLC investments. Income for the LLCs primarily reflects adjustments to the carrying values of investments in renewable energy projects to their determined fair values. The fair value adjustments are included in revenues for the LLCs. Expenses for the LLCs are not significant and are comprised of administrative and interest expenses. The Company received cash distributions from these investments totaling $951,000 and $265,000 in the three months ended March 31, 2022 and 2021, respectively.
(b)The Company's Excess and Surplus Lines and Corporate and Other segments have invested in notes receivable for renewable energy projects. At March 31, 2022, the Company held two notes issued by an entity for which two of our former directors serve as officers. Interest on the notes, which mature in 2025, is fixed at 12%.
(c)The Company owns investments in limited partnerships that invest in concentrated portfolios including publicly-traded small cap equities, loans of middle market private equity sponsored companies, private equity general partnership interests, commercial mortgage-backed securities, and tranches of distressed home loans. Income from the partnerships is recognized under the equity method of accounting. At March 31, 2022, the Company’s Excess and Surplus Lines segment has outstanding commitments to invest another $5.3 million in these limited partnerships.
(d)The Company's Excess and Surplus Lines segment holds $4.5 million of subordinated notes issued by a bank holding company for which the Company’s Non-Executive Chairman was previously the Lead Independent Director and an investor and for which one of the Company’s directors is also an investor (the "Bank Holding Company"). Interest on the notes, which mature on August 12, 2023, is fixed at 7.6% per annum.
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Notes to Condensed Consolidated Financial Statements (continued)


3.    Goodwill and Intangible Assets
On December 11, 2007, the Company completed an acquisition of James River Group by acquiring 100% of the outstanding shares of James River Group common stock, referred to herein as the “Merger”. The transaction was accounted for under the purchase method of accounting, and goodwill and intangible assets were recognized by the Company as a result of the transaction. Goodwill resulting from the Merger was $181.8 million at March 31, 2022 and December 31, 2021.
The gross carrying amounts and accumulated amortization for each major specifically identifiable intangible asset class were as follows: 
  March 31, 2022December 31, 2021
 Life
(Years)
Gross
Carrying
Amount
Accumulated
Amortization
Gross
Carrying
Amount
Accumulated
Amortization
  ($ in thousands)
Intangible Assets     
TrademarksIndefinite$22,200 $— $22,200 $— 
Insurance licenses and authoritiesIndefinite8,964 — 8,964 — 
Identifiable intangibles not subject to amortization 31,164 — 31,164 — 
Broker relationships24.611,611 6,827 11,611 6,736 
Identifiable intangible assets subject to amortization 11,611 6,827 11,611 6,736 
  $42,775 $6,827 $42,775 $6,736 
 
4.    Earnings (Loss) Per Share
The following represents a reconciliation of the numerator and denominator of the basic and diluted earnings (loss) per common share computations contained in the condensed consolidated financial statements:
Three Months Ended
March 31,
20222021
(in thousands, except share and per share amounts)
Net income (loss)$10,205 $(103,460)
Less: Dividends on Series A preferred shares$(875)$ 
Net income (loss) available to common shareholders$9,330 $(103,460)
Weighted average common shares outstanding:
Basic37,406,913 30,713,986 
Dilutive potential common shares147,749  
Diluted37,554,662 30,713,986 
Earnings (loss) per common share:
Basic$0.25 $(3.37)
Dilutive potential common shares  
Diluted$0.25 $(3.37)
For the three months ended March 31, 2022, potential common shares of 2,230,695 were excluded from the calculation of diluted earnings per common share as their effects were anti-dilutive. Potential common shares of 306,712 were excluded from the calculation of diluted loss per common share for the three months ended March 31, 2021 as a net loss in the period made the effects of all potential common shares anti-dilutive.
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Table of Contents
JAMES RIVER GROUP HOLDING, LTD. AND SUBSIDIARIES
Notes to Condensed Consolidated Financial Statements (continued)


5.    Reserve for Losses and Loss Adjustment Expenses
The following table provides a reconciliation of the beginning and ending reserve balances for losses and loss adjustment expenses, net of reinsurance, to the gross amounts reported in the condensed consolidated balance sheets. Reinsurance recoverables on unpaid losses and loss adjustment expenses are presented gross of an allowance for credit losses on reinsurance balances of $604,000 at March 31, 2022, $631,000 at December 31, 2021, and $