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INVESTMENTS | 12 Months Ended
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Dec. 31, 2019
Investments, Debt and Equity Securities [Abstract] |
INVESTMENTS | a) Fixed Maturities and Equity Securities Fixed Maturities The following table provides the amortized cost and fair values of the Company's fixed maturities classified as available for sale:
|  | Amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Fair value |
| At December 31, 2019 |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |
| U.S. government and agency | $ | 2,102,849 |  |  | $ | 16,345 |  |  | $ | (6,313 | ) |  | $ | 2,112,881 |  |
| Non-U.S. government | 564,505 |  |  | 14,535 |  |  | (2,448 | ) |  | 576,592 |  |
| Corporate debt | 4,797,384 |  |  | 140,426 |  |  | (7,556 | ) |  | 4,930,254 |  |
| Agency RMBS(1) | 1,570,823 |  |  | 25,215 |  |  | (3,454 | ) |  | 1,592,584 |  |
| CMBS(2) | 1,340,156 |  |  | 29,838 |  |  | (4,942 | ) |  | 1,365,052 |  |
| Non-Agency RMBS | 84,381 |  |  | 1,393 |  |  | (852 | ) |  | 84,922 |  |
| ABS(3) | 1,599,867 |  |  | 4,706 |  |  | (5,880 | ) |  | 1,598,693 |  |
| Municipals(4) | 203,275 |  |  | 4,359 |  |  | (407 | ) |  | 207,227 |  |
| Total fixed maturities | $ | 12,263,240 |  |  | $ | 236,817 |  |  | $ | (31,852 | ) |  | $ | 12,468,205 |  |
| At December 31, 2018 |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |
| U.S. government and agency | $ | 1,520,142 |  |  | $ | 4,232 |  |  | $ | (8,677 | ) |  | $ | 1,515,697 |  |
| Non-U.S. government | 507,550 |  |  | 1,586 |  |  | (16,120 | ) |  | 493,016 |  |
| Corporate debt | 4,990,279 |  |  | 15,086 |  |  | (128,444 | ) |  | 4,876,921 |  |
| Agency RMBS(1) | 1,666,684 |  |  | 6,508 |  |  | (29,884 | ) |  | 1,643,308 |  |
| CMBS(2) | 1,103,507 |  |  | 2,818 |  |  | (13,795 | ) |  | 1,092,530 |  |
| Non-Agency RMBS | 40,732 |  |  | 1,237 |  |  | (1,282 | ) |  | 40,687 |  |
| ABS(3) | 1,651,350 |  |  | 1,493 |  |  | (15,240 | ) |  | 1,637,603 |  |
| Municipals(4) | 136,068 |  |  | 914 |  |  | (1,397 | ) |  | 135,585 |  |
| Total fixed maturities | $ | 11,616,312 |  |  | $ | 33,874 |  |  | $ | (214,839 | ) |  | $ | 11,435,347 |  |
(1) | Residential mortgage-backed securities ("RMBS") originated by U.S. government-sponsored agencies.
(2) | Commercial mortgage-backed securities ("CMBS").
(3) | Asset-backed securities ("ABS") include debt tranched securities collateralized primarily by auto loans, student loans, credit card receivables and collateralized loan obligations ("CLOs").
(4) | Municipals include bonds issued by states, municipalities and political subdivisions.
Equity Securities The following table provides the cost and fair values of the Company's equity securities:
|  | Cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Fair value |
| At December 31, 2019 |  |  |  |  |  |  |  |
| Equity securities |  |  |  |  |  |  |  |
| Common stocks | $ | 504 |  |  | $ | 77 |  |  | $ | (388 | ) |  | $ | 193 |  |
| Exchange-traded funds | 215,986 |  |  | 81,444 |  |  | (105 | ) |  | 297,325 |  |
| Bond mutual funds | 182,466 |  |  | — |  |  | (5,777 | ) |  | 176,689 |  |
| Total equity securities | $ | 398,956 |  |  | $ | 81,521 |  |  | $ | (6,270 | ) |  | $ | 474,207 |  |
| At December 31, 2018 |  |  |  |  |  |  |  |
| Equity securities |  |  |  |  |  |  |  |
| Common stocks | $ | 790 |  |  | $ | 112 |  |  | $ | (375 | ) |  | $ | 527 |  |
| Exchange-traded funds | 213,420 |  |  | 33,498 |  |  | (10,079 | ) |  | 236,839 |  |
| Bond mutual funds | 151,695 |  |  | — |  |  | (7,428 | ) |  | 144,267 |  |
| Total equity securities | $ | 365,905 |  |  | $ | 33,610 |  |  | $ | (17,882 | ) |  | $ | 381,633 |  |
In the normal course of investing activities, the Company actively manages allocations to non-controlling tranches of structured securities which are variable interests issued by Variable Interest Entities ("VIEs"). These structured securities include RMBS, CMBS and ABS. The Company also invests in limited partnerships which represent 55% of the Company's other investments. The investments in limited partnerships include hedge funds, direct lending funds, private equity funds and real estate funds as well as CLO equity tranched securities, which are variable interests issued by VIEs (refer to Note 5(c) 'Other Investments'). The Company does not have the power to direct the activities that are most significant to the economic performance of these VIEs therefore the Company is not the primary beneficiary of these VIEs. The maximum exposure to loss on these interests is limited to the amount of investment made by the Company. The Company has not provided financial or other support to these structured securities other than the original investment. Contractual Maturities Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. The table below provides the contractual maturities of fixed maturities:
|  | Amortized cost |  | Fair value |  | % of Total fair value |
| At December 31, 2019 |  |  |  |  |  |
| Maturity |  |  |  |  |  |
| Due in one year or less | $ | 438,881 |  |  | $ | 443,228 |  |  | 3.6 | % |
| Due after one year through five years | 4,810,202 |  |  | 4,884,837 |  |  | 39.2 | % |
| Due after five years through ten years | 2,091,486 |  |  | 2,157,157 |  |  | 17.3 | % |
| Due after ten years | 327,444 |  |  | 341,732 |  |  | 2.7 | % |
|  | 7,668,013 |  |  | 7,826,954 |  |  | 62.8 | % |
| Agency RMBS | 1,570,823 |  |  | 1,592,584 |  |  | 12.8 | % |
| CMBS | 1,340,156 |  |  | 1,365,052 |  |  | 10.9 | % |
| Non-Agency RMBS | 84,381 |  |  | 84,922 |  |  | 0.7 | % |
| ABS | 1,599,867 |  |  | 1,598,693 |  |  | 12.8 | % |
| Total | $ | 12,263,240 |  |  | $ | 12,468,205 |  |  | 100.0 | % |
| At December 31, 2018 |  |  |  |  |  |
| Maturity |  |  |  |  |  |
| Due in one year or less | $ | 430,390 |  |  | $ | 426,142 |  |  | 3.7 | % |
| Due after one year through five years | 4,751,064 |  |  | 4,691,263 |  |  | 41.0 | % |
| Due after five years through ten years | 1,762,452 |  |  | 1,697,737 |  |  | 14.8 | % |
| Due after ten years | 210,133 |  |  | 206,077 |  |  | 1.8 | % |
|  | 7,154,039 |  |  | 7,021,219 |  |  | 61.3 | % |
| Agency RMBS | 1,666,684 |  |  | 1,643,308 |  |  | 14.4 | % |
| CMBS | 1,103,507 |  |  | 1,092,530 |  |  | 9.6 | % |
| Non-Agency RMBS | 40,732 |  |  | 40,687 |  |  | 0.4 | % |
| ABS | 1,651,350 |  |  | 1,637,603 |  |  | 14.3 | % |
| Total | $ | 11,616,312 |  |  | $ | 11,435,347 |  |  | 100.0 | % |
Gross Unrealized Losses The following table summarizes fixed maturities and equity securities in an unrealized loss position and the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position:
|  | 12 months or greater |  | Less than 12 months |  | Total |
|  | Fair value |  | Unrealized losses |  | Fair value |  | Unrealized losses |  | Fair value |  | Unrealized losses |
| At December 31, 2019 |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |  |  |
| U.S. government and agency | $ | 9,536 |  |  | $ | (67 | ) |  | $ | 614,705 |  |  | $ | (6,246 | ) |  | $ | 624,241 |  |  | $ | (6,313 | ) |
| Non-U.S. government | 99,466 |  |  | (2,036 | ) |  | 18,361 |  |  | (412 | ) |  | 117,827 |  |  | (2,448 | ) |
| Corporate debt | 121,635 |  |  | (3,847 | ) |  | 375,858 |  |  | (3,709 | ) |  | 497,493 |  |  | (7,556 | ) |
| Agency RMBS | 195,395 |  |  | (1,816 | ) |  | 326,402 |  |  | (1,638 | ) |  | 521,797 |  |  | (3,454 | ) |
| CMBS | 24,281 |  |  | (64 | ) |  | 364,641 |  |  | (4,878 | ) |  | 388,922 |  |  | (4,942 | ) |
| Non-Agency RMBS | 6,345 |  |  | (792 | ) |  | 25,816 |  |  | (60 | ) |  | 32,161 |  |  | (852 | ) |
| ABS | 535,780 |  |  | (4,667 | ) |  | 404,641 |  |  | (1,213 | ) |  | 940,421 |  |  | (5,880 | ) |
| Municipals | 5,418 |  |  | (34 | ) |  | 46,684 |  |  | (373 | ) |  | 52,102 |  |  | (407 | ) |
| Total fixed maturities | $ | 997,856 |  |  | $ | (13,323 | ) |  | $ | 2,177,108 |  |  | $ | (18,529 | ) |  | $ | 3,174,964 |  |  | $ | (31,852 | ) |
| At December 31, 2018 |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |  |  |
| U.S. government and agency | $ | 374,030 |  |  | $ | (7,659 | ) |  | $ | 424,439 |  |  | $ | (1,018 | ) |  | $ | 798,469 |  |  | $ | (8,677 | ) |
| Non-U.S. government | 44,339 |  |  | (2,004 | ) |  | 303,376 |  |  | (14,116 | ) |  | 347,715 |  |  | (16,120 | ) |
| Corporate debt | 1,439,378 |  |  | (58,915 | ) |  | 2,547,135 |  |  | (69,529 | ) |  | 3,986,513 |  |  | (128,444 | ) |
| Agency RMBS | 940,645 |  |  | (29,255 | ) |  | 117,181 |  |  | (629 | ) |  | 1,057,826 |  |  | (29,884 | ) |
| CMBS | 455,582 |  |  | (11,430 | ) |  | 353,802 |  |  | (2,365 | ) |  | 809,384 |  |  | (13,795 | ) |
| Non-Agency RMBS | 9,494 |  |  | (1,170 | ) |  | 11,432 |  |  | (112 | ) |  | 20,926 |  |  | (1,282 | ) |
| ABS | 237,237 |  |  | (2,755 | ) |  | 1,150,692 |  |  | (12,485 | ) |  | 1,387,929 |  |  | (15,240 | ) |
| Municipals | 68,814 |  |  | (1,373 | ) |  | 9,894 |  |  | (24 | ) |  | 78,708 |  |  | (1,397 | ) |
| Total fixed maturities | $ | 3,569,519 |  |  | $ | (114,561 | ) |  | $ | 4,917,951 |  |  | $ | (100,278 | ) |  | $ | 8,487,470 |  |  | $ | (214,839 | ) |
Fixed Maturities At December 31, 2019, 1,190 fixed maturities (2018: 3,599) were in an unrealized loss position of $32 million (2018: $215 million) of which $5 million (2018: $49 million) was related to securities below investment grade or not rated. At December 31, 2019, 497 fixed maturities (2018: 1,656) had been in a continuous unrealized loss position for twelve months or greater and had a fair value of $998 million (2018: $3,570 million). Following a credit impairment review, it was concluded that these securities as well as the remaining securities in an unrealized loss position were temporarily impaired at December 31, 2019, and were expected to recover in value as the securities approach maturity. At December 31, 2019, the Company did not intend to sell the securities in an unrealized loss position and it is more likely than not that the Company will not be required to sell these securities before the anticipated recovery of their amortized costs.
b) | Mortgage Loans
The following table provides details of the Company's mortgage loans held-for-investment:
|  | December 31, 2019 |  | December 31, 2018 |
|  | Carrying value |  | % of Total |  | Carrying value |  | % of Total |
| Mortgage Loans held-for-investment: |  |  |  |  |  |  |  |
| Commercial | $ | 432,748 |  |  | 100 | % |  | $ | 298,650 |  |  | 100 | % |
| Total Mortgage Loans held-for-investment | $ | 432,748 |  |  | 100 | % |  | $ | 298,650 |  |  | 100 | % |
The primary credit quality indicator for commercial mortgage loans is the debt service coverage ratio which compares a property’s net operating income to amounts needed to service the principal and interest due under the loan, (generally, the lower the debt service coverage ratio, the higher the risk of experiencing a credit loss) and the loan-to-value ratio which compares the unpaid principal balance of the loan to the estimated fair value of the underlying collateral (generally, the higher the loan-to-value ratio, the higher the risk of experiencing a credit loss). The debt service coverage ratio and loan-to-value ratio, as well as the values utilized in calculating these ratios, are updated annually, on a rolling basis. The Company has a high quality mortgage loan portfolio with a weighted average debt service coverage ratio of 2.1x and a weighted average loan-to-value ratio of 57%. At December 31, 2019 and 2018, there were no credit losses or past due amounts associated with the commercial mortgage loans held by the Company.
c) | Other Investments
The following table provides a summary of the Company's other investments, together with additional information relating to the liquidity of each category:
|  | Fair value |  | Redemption frequency (if currently eligible) |  | Redemption notice period |
| At December 31, 2019 |  |  |  |  |  |  |  |
| Long/short equity funds | $ | 31,248 |  |  | 4 | % |  | Annually |  | 60 days |
| Multi-strategy funds | 136,542 |  |  | 18 | % |  | Quarterly, Semi-annually |  | 60-90 days |
| Direct lending funds | 277,395 |  |  | 36 | % |  | n/a |  | n/a |
| Private equity funds | 80,412 |  |  | 10 | % |  | n/a |  | n/a |
| Real estate funds | 130,112 |  |  | 17 | % |  | n/a |  | n/a |
| CLO-Equities | 14,328 |  |  | 2 | % |  | n/a |  | n/a |
| Other privately held investments | 36,934 |  |  | 5 | % |  | n/a |  | n/a |
| Overseas deposits | 63,952 |  |  | 8 | % |  | n/a |  | n/a |
| Total other investments | $ | 770,923 |  |  | 100 | % |  |  |  |  |
| At December 31, 2018 |  |  |  |  |  |  |  |
| Long/short equity funds | $ | 26,779 |  |  | 3 | % |  | Annually |  | 60 days |
| Multi-strategy funds | 167,819 |  |  | 22 | % |  | Quarterly, Semi-annually, Annually |  | 45-95 days |
| Direct lending funds | 274,478 |  |  | 35 | % |  | n/a |  | n/a |
| Private equity funds | 64,566 |  |  | 8 | % |  | n/a |  | n/a |
| Real estate funds | 84,202 |  |  | 11 | % |  | n/a |  | n/a |
| CLO-Equities | 21,271 |  |  | 2 | % |  | n/a |  | n/a |
| Other privately held investments | 44,518 |  |  | 6 | % |  | n/a |  | n/a |
| Overseas deposits | 104,154 |  |  | 13 | % |  | n/a |  | n/a |
| Total other investments | $ | 787,787 |  |  | 100 | % |  |  |  |  |
n/a – not applicable The investment strategies for the above funds are as follows:
• | Long/short equity funds: Seek to achieve attractive returns primarily by executing an equity trading strategy involving long and short investments in publicly-traded equity securities.
• | Multi-strategy funds: Seek to achieve above-market returns by pursuing multiple investment strategies to diversify risks and reduce volatility. This category includes funds of hedge funds which invest in a large pool of hedge funds across a diversified range of hedge fund strategies.
• | Direct lending funds: Seek to achieve attractive risk-adjusted returns, including current income generation, by investing in funds which provide financing directly to borrowers.
• | Private equity funds: Seek to achieve attractive risk-adjusted returns by investing in private transactions over the course of several years.
• | Real estate funds: Seek to achieve attractive risk-adjusted returns by making and managing investments in real estate and real estate securities and businesses.
Two common redemption restrictions which may impact the Company's ability to redeem hedge funds are gates and lockups. A gate is a suspension of redemptions which may be implemented by the general partner or investment manager of the fund in order to defer, in whole or in part, the redemption request in the event the aggregate amount of redemption requests exceeds a predetermined percentage of the fund’s net assets which may otherwise hinder the general partner or investment manager’s ability to liquidate holdings in an orderly fashion in order to generate the cash necessary to fund extraordinarily large redemption payouts. A lockup period is the initial amount of time an investor is contractually required to hold the security before having the ability to redeem. During 2019 and 2018, neither of these restrictions impacted the Company's redemption requests. At December 31, 2019, $69 million (2018: $27 million), representing 41% (2018: 14%) of total hedge funds, relate to holdings where the Company is still within the lockup period. The expiration of these lockup periods range from October 2020 to March 2022. At December 31, 2019, the Company had $170 million (2018: $210 million) of unfunded commitments as a limited partner in direct lending funds. Once the full amount of committed capital has been called by the General Partner of each of these funds, the assets will not be fully returned until the completion of the fund's investment term. These funds have investment terms ranging from five to ten years and the General Partners of certain funds have the option to extend the term by up to three years. At December 31, 2019, the Company had $24 million (2018: $84 million) of unfunded commitments as a limited partner in multi-strategy hedge funds. Once the full amount of committed capital has been called by the General Partner of each of these funds, the assets will not be fully returned until after the completion of the funds' investment term. These funds have investment terms ranging from two years to the dissolution of the underlying fund. At December 31, 2019, the Company had $82 million (2018: $147 million) of unfunded commitments as a limited partner in funds which invest in real estate and real estate securities and businesses. These funds include an open-ended fund and funds with investment terms ranging from seven years to the dissolution of the underlying fund. At December 31, 2019, the Company had $261 million (2018: $16 million) of unfunded commitments as a limited partner in private equity funds. The life of the funds is subject to the dissolution of the underlying funds. The Company expects the overall holding period to be over five years. During 2015, the Company made a $50 million commitment as a limited partner of a bank revolver opportunity fund. The fund has an investment term of seven years and the General Partners have the option to extend the term by up to two years. At December 31, 2019, this commitment remains unfunded. It is not anticipated that the full amount of this fund will be drawn. Syndicate 2007 holds overseas deposits which include investments in private funds where the underlying investments are primarily U.S. government, non-U.S. government and corporate debt securities. The funds do not trade on an exchange and therefore are not included within available for sale investments.
d) | Equity Method Investments
During 2016, the Company paid $108 million including direct transaction costs to acquire 19% of the common equity of Harrington Reinsurance Holdings Limited ("Harrington"), the parent company of Harrington Re Ltd. ("Harrington Re"), an independent reinsurance company jointly sponsored by the Company and The Blackstone Group L.P. ("Blackstone"). Through long-term service agreements, the Company will serve as Harrington Re's reinsurance underwriting manager and Blackstone will serve as exclusive investment management service provider. As an investor, the Company expects to benefit from underwriting profit generated by Harrington Re and the income and capital appreciation Blackstone seeks to deliver through its investment management services. In addition, the Company has entered into an arrangement with Blackstone under which underwriting and investment related fees will be shared equally. Harrington is not a VIE that is required to be included in the Company's consolidated financial statements. The Company accounts for its ownership interest in Harrington under the equity method of accounting. The Company's proportionate share of the underlying equity in net assets resulted in a basis difference of $5 million which represents initial transactions costs. For the year ended December 31, 2017, the Company recorded an impairment charge of $9 million, related to a U.S. based insurance company, which reduced the carrying value of the investment to $nil. This charge was included in interest in income (loss) of equity method investments in the consolidated statement of operations. e) Net Investment Income Net investment income was derived from the following sources:
| Year ended December 31, | 2019 |  | 2018 |  | 2017 |
| Fixed maturities | $ | 384,053 |  |  | $ | 356,273 |  |  | $ | 312,662 |  |
| Other investments | 60,038 |  |  | 48,959 |  |  | 76,858 |  |
| Equity securities | 10,434 |  |  | 10,077 |  |  | 14,919 |  |
| Mortgage loans | 14,712 |  |  | 13,566 |  |  | 10,780 |  |
| Cash and cash equivalents | 26,882 |  |  | 27,566 |  |  | 10,057 |  |
| Short-term investments | 7,053 |  |  | 9,365 |  |  | 2,718 |  |
| Gross investment income | 503,172 |  |  | 465,806 |  |  | 427,994 |  |
| Investment expenses | (24,600 | ) |  | (27,299 | ) |  | (27,189 | ) |
| Net investment income | $ | 478,572 |  |  | $ | 438,507 |  |  | $ | 400,805 |  |
f) | Net Investment Gains (Losses)
The following table provides an analysis of net investment gains (losses):
| Year ended December 31, | 2019 |  | 2018 |  | 2017 |
| Gross realized investment gains |  |  |  |  |  |
| Fixed maturities and short-term investments | $ | 93,160 |  |  | $ | 46,067 |  |  | $ | 72,046 |  |
| Equity securities | 3,449 |  |  | 20,435 |  |  | 78,343 |  |
| Gross realized investment gains | 96,609 |  |  | 66,502 |  |  | 150,389 |  |
| Gross realized investment losses |  |  |  |  |  |
| Fixed maturities and short-term investments | (56,515 | ) |  | (142,153 | ) |  | (98,442 | ) |
| Equity securities | (323 | ) |  | (3,389 | ) |  | (959 | ) |
| Gross realized investment losses | (56,838 | ) |  | (145,542 | ) |  | (99,401 | ) |
| Net OTTI charge recognized in net income | (6,984 | ) |  | (9,733 | ) |  | (14,493 | ) |
| Change in fair value of investment derivatives(1) | (1,823 | ) |  | 5,445 |  |  | (8,269 | ) |
| Net unrealized gains (losses) on equity securities(2) | 60,269 |  |  | (66,890 | ) |  | — |  |
| Net investment gains (losses) | $ | 91,233 |  |  | $ | (150,218 | ) |  | $ | 28,226 |  |
(1) | Refer to Note 7 'Derivative Instruments'
(2) | Effective January 1, 2018, the Company adopted ASU No. 2016-01 which requires the change in fair value of equity securities to be recognized in net income.
The following table summarizes the OTTI charge recognized in net income by asset class:
| Year ended December 31, | 2019 |  | 2018 |  | 2017 |
| Fixed maturities: |  |  |  |  |  |
| Non-U.S. government | $ | 90 |  |  | $ | 4,697 |  |  | $ | 8,187 |  |
| Corporate debt | 6,894 |  |  | 4,995 |  |  | 6,306 |  |
| Non-Agency CMBS | — |  |  | 41 |  |  | — |  |
| Total OTTI recognized in net income | $ | 6,984 |  |  | $ | 9,733 |  |  | $ | 14,493 |  |
Fixed Maturities The credit loss component of an OTTI charge recognized in net income is calculated based on the difference between the amortized cost of the security and the net present value of its projected future cash flows. A summary of credit loss activity by asset class, the significant inputs and the methodology used to estimate credit losses are described below. U.S. Government, U.S. Agency and U.S. Agency RMBS: Unrealized losses on securities issued or backed, either explicitly or implicitly by the U.S. government are not analyzed for OTTI. The Company has concluded that the possibility of a credit loss on these securities is highly unlikely due to the explicit U.S. government guarantee related to certain securities (e.g. Government National Mortgage Association issuances) and the implicit guarantee related to other securities that has been validated by past actions (e.g. U.S. government bailout of Federal National Mortgage Association and Federal Home Loan Mortgage Corporation during the 2008 credit crisis). Although these securities are not analyzed for credit losses, they are evaluated for intention to sell and likely requirement to sell. Non-U.S. Government: Non-U.S. government securities are evaluated for credit losses primarily through qualitative assessments of the likelihood of credit losses using information such as duration, severity of unrealized losses, credit ratings and price volatility. At December 31, 2019, the Company's holdings of non-U.S. government securities, including $37 million (2018: $29 million) relating to the eurozone countries, were substantially all investment-grade securities. At December 31, 2019, the gross unrealized losses of $2 million (2018: $16 million) were mainly due to foreign exchange losses. At December 31, 2019, the Company does not anticipate any credit losses on its non-U.S. government fixed maturities. In 2019, the OTTI charge on non-U.S. government fixed maturities mainly related to unrealized foreign exchange losses on certain securities where the forecasted recovery of the amortized cost of these securities was uncertain. Corporate Debt: To estimate credit losses for corporate debt securities, the Company's projected cash flows are primarily driven by assumptions regarding the probability of default and the severity associated with those defaults. The Company's default and loss severity rates are based on credit rating, credit analysis, industry analyst reports and forecasts, Moody’s historical default data and any other data relevant to the recoverability of the security. In 2019, the OTTI charge on corporate debt securities mainly related to loss severity, unrealized foreign exchange losses on certain securities where the forecasted recovery of the amortized cost of these securities was uncertain, and instances where the Company intended to sell securities before the forecasted recovery of the amortized cost of these securities. CMBS: The Company's investments in CMBS are diversified and primarily rated AA or better. At December 31, 2019, CMBS had a weighted average estimated subordination percentage of 29% (2018: 31%). Based on discounted cash flows at December 31, 2019, the current level of subordination is sufficient to cover the estimated loan losses on the underlying collateral of the CMBS. Non-agency RMBS: To estimate credit losses for non-agency RMBS, the Company's projected cash flows incorporated underlying data from widely accepted third-party data sources along with certain internal assumptions and judgments regarding the future performance of the security. These assumptions included default, delinquency, loss severity and prepayment rates. The assumptions used to calculate credit losses in 2019 have not changed significantly since December 31, 2018. At December 31, 2019, the fair value of the Company's non-agency RMBS was $85 million (2018: $41 million), consisting primarily of $54 million (2018: $31 million) of Prime and $11 million (2018: $5 million) of Alt-A MBS. At December 31, 2019, the Company does not anticipate any credit losses on its non-agency RMBS. ABS: The Company's investments in ABS consist mainly of CLO debt tranched securities ("CLO Debt") purchased primarily as new issues during 2017 and 2018. Substantially all of these new issues had credit ratings of AA or better. The Company utilizes a scenario-based approach to review its CLO Debt portfolio based on the current asset market price. The Company also reviews subordination levels of these securities to determine their ability to absorb credit losses of underlying collateral. If losses are forecast to be below the subordination level for a tranche held by the Company, the security is determined not to be impaired. At December 31, 2019, the Company does not anticipate any credit losses on its CLO Debt.
g) | Restricted Assets
In order to support the Company's obligations in regulatory jurisdictions where it operates as a non-admitted carrier, the Company provides collateral in the form of assets held in trust and, to a lesser extent, letters of credit (refer to Note 10(b) 'Debt and Financing Arrangements'). In addition, the Company operates in the Lloyd’s market through its corporate members, AXIS Corporate Capital UK Limited and AXIS Corporate Capital UK II Limited, which provide 70% and 30%, respectively of Syndicate 1686's capital support. AXIS Corporate Capital UK II Limited is the sole corporate member of Syndicate 2007. Lloyd’s sets capital requirements for corporate members annually through the application of a capital model that is based on regulatory rules pursuant to Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking up and pursuit of business of Insurance and Reinsurance (Solvency II) ("Solvency II"). The capital provided to support underwriting, or Funds at Lloyd’s ("FAL"), may be satisfied by cash, certain investments and letters of credit provided by approved banks (refer to Note 11 'Commitments and Contingencies' and Note 21 'Statutory Financial Information'). At December 31, 2019 collateral held in trust for third-party agreements of $1,856 million included $365 million (2018: $403 million) of fixed maturities and equity securities, and cash of $16 million (2018: $39 million) held on deposit to support the underwriting activities of Syndicate 2007, and also included $169 million (2018: $nil) of fixed maturities and equity securities, and cash of $181 million (2018: $154 million) held on deposit to support the underwriting activities of Syndicate 1686. The Company's restricted investments and cash primarily consist of high-quality fixed maturity and short-term investment securities. The table below provides the fair values of the Company's restricted investments and cash:
| At December 31, |  | 2019 |  | 2018 |
| Collateral in Trust for inter-company agreements |  | $ | 1,580,689 |  |  | $ | 2,121,522 |  |
| Collateral for secured letter of credit facility |  | 473,187 |  |  | 470,051 |  |
| Funds at Lloyd's |  | 1,314,345 |  |  | 1,307,945 |  |
| Collateral in Trust for third-party agreements |  | 1,856,327 |  |  | 1,510,416 |  |
| Securities on deposit with regulatory authorities |  | 76,229 |  |  | 64,360 |  |
| Total restricted investments |  | $ | 5,300,777 |  |  | $ | 5,474,294 |  |
h) | Reverse Repurchase Agreements
At December 31, 2019, the Company held no (2018: $189 million) 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 cash and cash equivalents in the Company's consolidated balance sheets. The required collateral for these loans is either cash or U.S. Treasuries at a minimum rate of 102% of the loan principal. At maturity, the Company receives principal and interest income. The Company monitors the estimated fair value of the securities loaned and borrowed on a daily basis with additional collateral obtained as necessary throughout the duration of the transaction.

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