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INVESTMENTS (Tables)
 12 Months Ended
Dec. 31, 2019
Investments, Debt and Equity Securities [Abstract]  
AMORTIZED COST/COST AND FAIR VALUES OF FIXED MATURITIES AND EQUITIES
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

 
 
 
 
 
 
 
 
 
 
 
CONTRACTUAL MATURITIES OF FIXED MATURITIES 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
%
 
 
 
 
 
 
 
 
 
FIXED MATURITIES AND EQUITIES IN AN UNREALIZED LOSS POSITION
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
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
MORTGAGE LOANS NET OF VALUATION ALLOWANCE
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
%
 
 
 
 
 
 
 
 
 
 
 
PORTFOLIO OF 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
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

 
 
 
 
 
 
 
 
 
NET REALIZED 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.
OTTI RECOGNIZED IN EARNINGS BY ASSET CLASS
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

 
 
 
 
 
 
 
 
 
RESTRICTED INVESTMENTS
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