XML 28 R13.htm IDEA: XBRL DOCUMENT
v3.22.0.1

Investments | 12 Months Ended
--- | ---
Dec. 31, 2021
Investments [Abstract] |
Investments | INVESTMENTS Fixed Maturity Investments Trading The following table summarizes the fair value of fixed maturity investments trading:
| At December 31. | 2021 |  | 2020 |
| U.S. treasuries | $ | 6,247,779 |  |  | $ | 4,960,409 |  |
| Agencies | 361,684 |  |  | 368,032 |  |
| Non-U.S. government | 549,613 |  |  | 491,531 |  |
| Non-U.S. government-backed corporate | 474,848 |  |  | 338,014 |  |
| Corporate | 3,214,438 |  |  | 4,261,025 |  |
| Agency mortgage-backed | 721,955 |  |  | 1,113,792 |  |
| Non-agency mortgage-backed | 233,346 |  |  | 291,444 |  |
| Commercial mortgage-backed | 634,925 |  |  | 791,272 |  |
| Asset-backed | 1,068,543 |  |  | 890,984 |  |
| Total fixed maturity investments trading | $ | 13,507,131 |  |  | $ | 13,506,503 |  |
Contractual maturities of fixed maturity investments trading are described in the following table. Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.
| At December 31, 2021 | Amortized Cost |  | Fair Value |  |  |  |  |  |  |  |  |
| Due in less than one year | $ | 363,795 |  |  | $ | 365,418 |  |  |  |  |  |  |  |  |  |
| Due after one through five years | 6,317,351 |  |  | 6,297,063 |  |  |  |  |  |  |  |  |  |
| Due after five through ten years | 3,911,221 |  |  | 3,877,715 |  |  |  |  |  |  |  |  |  |
| Due after ten years | 306,123 |  |  | 308,166 |  |  |  |  |  |  |  |  |  |
| Mortgage-backed | 1,584,871 |  |  | 1,590,226 |  |  |  |  |  |  |  |  |  |
| Asset-backed | 1,069,218 |  |  | 1,068,543 |  |  |  |  |  |  |  |  |  |
| Total | $ | 13,552,579 |  |  | $ | 13,507,131 |  |  |  |  |  |  |  |  |  |
Equity Investments Trading The following table summarizes the fair value of equity investments trading:
| At December 31. | 2021 |  | 2020 |
| Financials | $ | 146,615 |  |  | $ | 452,765 |  |
| Communications and technology | 82,444 |  |  | 119,592 |  |
| Consumer | 51,083 |  |  | 44,477 |  |
| Industrial, utilities and energy | 26,645 |  |  | 43,380 |  |
| Healthcare | 28,796 |  |  | 35,140 |  |
| Basic materials | 5,092 |  |  | 7,263 |  |
| Equity exchange traded funds | 114,919 |  |  | — |  |
| Fixed income exchange traded funds | 90,422 |  |  | — |  |
| Total | $ | 546,016 |  |  | $ | 702,617 |  |
Pledged Investments At December 31, 2021, $8.7 billion (2020 - $8.1 billion) of cash and investments at fair value were on deposit with, or in trust accounts for the benefit of, various counterparties, including with respect to the Company’s letter of credit facilities. Of this amount, $1.8 billion (2020 - $2.5 billion) is on deposit with, or in trust accounts for the benefit of, U.S. state regulatory authorities. Reverse Repurchase Agreements At December 31, 2021, the Company held $5.1 million (2020 - $126.5 million) of reverse repurchase agreements. These loans are fully collateralized, are generally outstanding for a short period of time and are presented on a gross basis as part of short term investments on the Company’s consolidated balance sheets. The required collateral for these loans typically includes high-quality, readily marketable instruments at a minimum amount of 102% of the loan principal. Upon maturity, the Company receives principal and interest income. Net Investment Income The components of net investment income are as follows:
| Year ended December 31, | 2021 |  | 2020 |  | 2019 |
| Fixed maturity investments | $ | 234,911 |  |  | $ | 278,215 |  |  | $ | 318,503 |  |
| Short term investments | 2,333 |  |  | 20,799 |  |  | 56,264 |  |
| Equity investments | 9,017 |  |  | 6,404 |  |  | 4,808 |  |
| Other investments |  |  |  |  |  |
| Catastrophe bonds | 64,860 |  |  | 54,784 |  |  | 46,154 |  |
| Other | 28,811 |  |  | 9,417 |  |  | 8,447 |  |
| Cash and cash equivalents | 297 |  |  | 2,974 |  |  | 7,676 |  |
|  | 340,229 |  |  | 372,593 |  |  | 441,852 |  |
| Investment expenses | (20,750) |  |  | (18,555) |  |  | (17,645) |  |
| Net investment income | $ | 319,479 |  |  | $ | 354,038 |  |  | $ | 424,207 |  |
Net Realized and Unrealized Gains (Losses) on Investments Net realized and unrealized gains (losses) on investments are as follows:
| Year ended December 31, | 2021 |  | 2020 |  | 2019 |
| Net realized gains (losses) on fixed maturity investments | $ | 79,588 |  |  | $ | 276,901 |  |  | $ | 90,260 |  |
| Net unrealized gains (losses) on fixed maturity investments trading | (389,376) |  |  | 216,859 |  |  | 170,183 |  |
| Net realized and unrealized gains (loss) on fixed maturity investments trading | (309,788) |  |  | 493,760 |  |  | 260,443 |  |
| Net realized and unrealized gains (losses) on investments-related derivatives (1) | (12,237) |  |  | 68,608 |  |  | 58,891 |  |
| Net realized gains (losses) on equity investments trading sold during the period | 335,491 |  |  | 3,532 |  |  | 31,062 |  |
| Net unrealized gains (losses) on equity investments trading still held at reporting date | (285,882) |  |  | 262,064 |  |  | 64,087 |  |
| Net realized and unrealized gains (losses) on equity investments trading | 49,609 |  |  | 265,596 |  |  | 95,149 |  |
| Net realized and unrealized gains (losses) on other investments - catastrophe bonds | (35,033) |  |  | (7,031) |  |  | (9,392) |  |
| Net realized and unrealized gains (losses) on other investments - other | 89,315 |  |  | (297) |  |  | 9,018 |  |
| Net realized and unrealized gains (losses) on investments | $ | (218,134) |  |  | $ | 820,636 |  |  | $ | 414,109 |  |
(1)Net realized and unrealized gains (losses) on investment-related derivatives includes fixed maturity investments related derivatives (interest rate futures, interest rate swaps, credit default swaps and total return swaps), and equity investments related derivatives (equity futures). See “Note 19. Derivative Instruments” for additional information. Other Investments The table below shows the fair value of the Company’s portfolio of other investments:
| At December 31, | 2021 |  | 2020 |
| Catastrophe bonds | $ | 1,104,034 |  |  | $ | 881,290 |  |
| Direct private equity investments | 88,373 |  |  | 79,807 |  |
| Fund investments | 725,802 |  |  | 295,851 |  |
| Term loans | 74,850 |  |  | — |  |
| Total other investments | $ | 1,993,059 |  |  | $ | 1,256,948 |  |
Included in net realized and unrealized gains (losses) on investments for 2021 is income of $7.0 million (2020 - a loss of $2.4 million, 2019 - loss of $5.5 million) representing the change in estimate during the period related to the difference between the Company’s estimated fair value for those funds for which the reported net asset values had not been received, as discussed in “Note 2. Significant Accounting Policies,” and the actual amount as reported in the final net asset values provided by the Company’s fund managers. The Company has committed capital to direct private equity investments, fund investments, term loans and investments in other ventures of $2.7 billion, of which $1.3 billion has been contributed at December 31, 2021. The Company’s remaining commitments to these investments at December 31, 2021 totaled $1.4 billion. In the future, the Company may enter into additional commitments in respect of direct private equity investments, term loans or fund investment opportunities. Catastrophe bonds Catastrophe bonds are non-investment grade bonds issued by unrelated third parties that generally mature within one to five years. Direct private equity investments Direct private equity investments are the Company’s direct equity investments in companies that are not traded on any nationally recognized equity markets. Fund investments Fund investments are limited partnership or similar interests in private equity funds, private credit funds and hedge funds managed by unrelated third parties. Term loans Term loans represent the Company’s loan participation interest in an underwritten term loan facility. The Company has committed to a loan participation interest of $100 million and as of December 31, 2021 had funded $75 million of its commitment. This facility pays interest, has a 5-year maturity and is fully secured by a diversified pool of primarily private equity assets. Investments in Other Ventures, under Equity Method The table below shows the Company’s portfolio of investments in other ventures, under equity method:
|  |  |  | 2021 |  |  |  | 2020 |
| At December 31, |  |  | Ownership % |  | Carrying Value |  |  |  | Ownership % |  | Carrying Value |
| Tower Hill Companies (1) |  |  | 2.0% - 25.0% |  | 25,575 |  |  |  |  | 2.0% - 25.0% |  | 30,470 |  |
| Top Layer Re |  |  | 50.0% |  | 25,903 |  |  |  |  | 50.0% |  | 26,958 |  |
| Other |  |  | 22.4% |  | 46,590 |  |  |  |  | 25.0% |  | 40,945 |  |
| Total investments in other ventures, under equity method |  |  |  |  | $ | 98,068 |  |  |  |  |  |  | $ | 98,373 |  |
(1) The Company has equity interests in Bluegrass Insurance Management, LLC, Tower Hill Claims Service, LLC, Tower Hill Holdings, Inc., Tower Hill Insurance Group, LLC, Tower Hill Insurance Managers, LLC, Tower Hill Re Holdings, Inc., Tower Hill Signature Insurance Holdings, Inc., Tower Hill Risk Management LLC and Tomoka Re Holdings, Inc. (collectively, the “Tower Hill Companies”). The table below shows the Company’s equity in earnings of other ventures, under equity method:
| Year ended December 31, | 2021 |  | 2020 |  | 2019 |
| Top Layer Re | $ | 8,286 |  |  | $ | 9,595 |  |  | $ | 8,801 |  |
| Tower Hill Companies | (2,073) |  |  | 3,104 |  |  | 10,337 |  |
| Other | 6,096 |  |  | 4,495 |  |  | 4,086 |  |
| Total equity in earnings of other ventures, under equity method | $ | 12,309 |  |  | $ | 17,194 |  |  | $ | 23,224 |  |
During 2021, the Company received $33.9 million of distributions from its investments in other ventures, under equity method (2020 – $30.0 million, 2019 – $36.5 million). Except for Top Layer Re, which is recorded on a current quarter basis, the equity in earnings of the Company’s investments in other ventures are reported one quarter in arrears.

X
- References No definition available. + Details
Name: | us-gaap_InvestmentsAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for investments in certain debt and equity securities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2209399 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2324412 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -URI http://asc.fasb.org/topic&trid=2196928 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2176304 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Publisher SEC -Name Regulation S-K (SK) -Number 229 -Section 1403 -Paragraph (b) + Details
Name: | us-gaap_InvestmentsInDebtAndMarketableEquitySecuritiesAndCertainTradingAssetsDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration