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INVESTMENTS (Tables)

3 Months Ended

Mar. 31, 2020

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						Allowance for expected credit losses						Gross unrealized gains						Gross unrealized losses						Fair value
			At March 31, 2020
			Fixed maturities
			U.S. government and agency			$	1,787,739					$	—					$	78,458					$	(57)					$	1,866,140
			Non-U.S. government			613,672						—						4,147						(19,178)						598,641
			Corporate debt			4,917,957						(19,884)						64,712						(183,033)						4,779,752
			Agency RMBS(1)			1,564,292						—						53,183						(965)						1,616,510
			CMBS(2)			1,402,480						—						42,896						(16,693)						1,428,683
			Non-agency RMBS			125,340						(118)						1,258						(3,469)						123,011
			ABS(3)			1,543,933						(17)						2,125						(100,862)						1,445,179
			Municipals(4)			210,713						—						7,728						(171)						218,270
			Total fixed maturities			$	12,166,126					$	(20,019)					$	254,507					$	(324,428)					$	12,076,186
			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

(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 March 31, 2020
			Equity securities
			Common stocks			$	504					$	63					$	(449)					$	118
			Preferred stocks			6,532						787						(11)						7,308
			Exchange-traded funds			200,197						35,729						(13,583)						222,343
			Bond mutual funds			183,708						—						(8,532)						175,176
			Total equity securities			$	390,941					$	36,579					$	(22,575)					$	404,945
			At December 31, 2019
			Equity securities
			Common stocks			$	504					$	77					$	(388)					$	193
			Preferred stocks			—						—						—						—
			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

CONTRACTUAL MATURITIES OF FIXED 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 March 31, 2020
			Maturity
			Due in one year or less			$	420,406					$	418,331					3.5		%
			Due after one year through five years			4,435,933						4,411,851						36.5		%
			Due after five years through ten years			2,347,057						2,301,408						19.1		%
			Due after ten years			326,685						331,213						2.7		%
						7,530,081						7,462,803						61.8		%
			Agency RMBS			1,564,292						1,616,510						13.4		%
			CMBS			1,402,480						1,428,683						11.8		%
			Non-agency RMBS			125,340						123,011						1.0		%
			ABS			1,543,933						1,445,179						12.0		%
			Total			$	12,166,126					$	12,076,186					100.0		%
			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		%

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 March 31, 2020
			Fixed maturities
			U.S. government and agency			$	—					$	—					$	33,246					$	(57)					$	33,246					$	(57)
			Non-U.S. government			56,233						(4,852)						310,184						(14,326)						366,417						(19,178)
			Corporate debt			86,332						(13,220)						2,418,579						(169,813)						2,504,911						(183,033)
			Agency RMBS			8,532						(135)						69,214						(830)						77,746						(965)
			CMBS			9,954						(688)						413,682						(16,005)						423,636						(16,693)
			Non-agency RMBS			4,568						(1,405)						67,711						(2,064)						72,279						(3,469)
			ABS			265,024						(28,221)						971,556						(72,641)						1,236,580						(100,862)
			Municipals			—						—						28,367						(171)						28,367						(171)
			Total fixed maturities			$	430,643					$	(48,521)					$	4,312,539					$	(275,907)					$	4,743,182					$	(324,428)
			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)

MORTGAGE LOANS NET OF VALUATION ALLOWANCE

The following table provides details of the Company's mortgage loans held-for-investment:

						March 31, 2020																		December 31, 2019
						Carrying value						% of Total						Carrying value						% of Total
			Mortgage Loans held-for-investment:
			Commercial			$	517,181					100		%				$	432,748					100		%
			Total Mortgage Loans held-for-investment			$	517,181					100		%				$	432,748					100		%

PORTFOLIO OF OTHER INVESTMENTS

The following tables provide 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 March 31, 2020
			Long/short equity funds			$	22,281					3		%				Annually						60 days
			Multi-strategy funds			140,096						18		%				Quarterly, Semi-annually						60-90 days
			Direct lending funds			289,952						36		%				n/a						n/a
			Private equity funds			83,693						10		%				n/a						n/a
			Real estate funds			157,039						20		%				n/a						n/a
			CLO-Equities			12,793						1		%				n/a						n/a
			Other privately held investments			37,441						5		%				n/a						n/a
			Overseas deposits			54,513						7		%				n/a						n/a
			Total other investments			$	797,808					100		%
			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		%

n/a - not applicable

NET INVESTMENT INCOME

Net investment income was derived from the following sources:

						Three months ended March 31,
						2020						2019
			Fixed maturities			$	89,943					$	91,382
			Other investments			(2,120)						6,895
			Equity securities			2,125						2,328
			Mortgage loans			4,053						3,063
			Cash and cash equivalents			4,930						5,801
			Short-term investments			1,498						3,894
			Gross investment income			100,429						113,363
			Investment expenses			(7,328)						(6,060)
			Net investment income			$	93,101					$	107,303

NET REALIZED INVESTMENT GAINS (LOSSES)

The following table provides an analysis of net investment gains (losses):

						Three months ended March 31,
						2020						2019
			Gross realized investment gains
			Fixed maturities and short-term investments			$	39,931					$	10,437
			Equity securities			1,920						1,445
			Gross realized investment gains			41,851						11,882
			Gross realized investment losses
			Fixed maturities and short-term investments			(22,766)						(20,279)
			Equity securities			(2,682)						(93)
			Gross realized investment losses			(25,448)						(20,372)
			Allowance for expected credit losses			(20,019)						—
			Impairment losses(1)			(1,190)						—
			OTTI losses			—						(4,036)
			Change in fair value of investment derivatives(2)			3,162						(2,102)
			Net unrealized gains (losses) on equity securities			(61,233)						27,395
			Net investment gains (losses)			$	(62,877)					$	12,767

(1) Related to instances where the Company intends to sell securities or it is more likely than not that the Company will be required to sell securities before their anticipated recovery.

(2) Refer to Note 5 'Derivative Instruments'.

ALLOWANCE FOR CREDIT LOSS

The following table provides a reconciliation of the beginning and ending balances of the allowance for expected credit losses on fixed maturities classified as available for sale:

						Three months ended March 31,
						2020
			Balance at beginning of period			$	—
			Expected credit losses on securities where credit losses were not previously recognized			20,019
			Additions (reductions) for expected credit losses on securities where credit losses were previously recognized			—
			Impairments of securities which the Company intends to sell or more likely than not will be required to sell			—
			Securities sold/redeemed/matured/defaults of credit-impaired securities			—
			Balance at end of period			$	20,019

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