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INVESTMENTS (Tables)

12 Months Ended

Dec. 31, 2020

Investments, Debt and Equity Securities [Abstract]

AMORTIZED COST AND FAIR VALUES OF 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						Allowance for expected credit losses						Gross unrealized gains						Gross unrealized losses						Fair value
			At December 31, 2020
			Fixed maturities
			U.S. government and agency			$	1,881,489					$	—					$	38,969					$	(1,759)					$	1,918,699
			Non-U.S. government			632,875						—						38,826						(428)						671,273
			Corporate debt			4,408,351						(303)						254,261						(6,358)						4,655,951
			Agency RMBS(1)			1,244,727						—						42,170						(688)						1,286,209
			CMBS(2)			1,268,273						—						87,598						(2,284)						1,353,587
			Non-agency RMBS			136,198						(20)						4,604						(678)						140,104
			ABS(3)			1,712,236						—						14,527						(6,685)						1,720,078
			Municipals(4)			282,781						—						13,148						(31)						295,898
			Total fixed maturities			$	11,566,930					$	(323)					$	494,103					$	(18,911)					$	12,041,799
			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.

COST AND FAIR VALUE OF 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, 2020
			Equity securities
			Common stocks			$	10,810					$	689					$	(557)					$	10,942
			Preferred stocks			6,301						1,767						—						8,068
			Exchange-traded funds			147,794						74,314						(390)						221,718
			Bond mutual funds			256,839						20,878						—						277,717
			Total equity securities			$	421,744					$	97,648					$	(947)					$	518,445
			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

The table below provides the contractual maturities of fixed maturities:

						Amortized cost						Fair value						% of Total fair value
			At December 31, 2020
			Maturity
			Due in one year or less			$	436,287					$	444,527					3.6		%
			Due after one year through five years			4,165,696						4,335,219						36.0		%
			Due after five years through ten years			2,344,859						2,489,050						20.7		%
			Due after ten years			258,654						273,025						2.3		%
						7,205,496						7,541,821						62.6		%
			Agency RMBS			1,244,727						1,286,209						10.7		%
			CMBS			1,268,273						1,353,587						11.2		%
			Non-agency RMBS			136,198						140,104						1.2		%
			ABS			1,712,236						1,720,078						14.3		%
			Total			$	11,566,930					$	12,041,799					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 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, 2020
			Fixed maturities
			U.S. government and agency			$	—					$	—					$	251,606					$	(1,759)					$	251,606					$	(1,759)
			Non-U.S. government			16,115						(262)						3,652						(166)						19,767						(428)
			Corporate debt			63,640						(2,244)						233,970						(4,114)						297,610						(6,358)
			Agency RMBS			6,580						(20)						78,672						(668)						85,252						(688)
			CMBS			19,736						(1,012)						70,656						(1,272)						90,392						(2,284)
			Non-agency RMBS			5,109						(598)						9,558						(80)						14,667						(678)
			ABS			325,436						(4,011)						360,402						(2,674)						685,838						(6,685)
			Municipals			—						—						11,881						(31)						11,881						(31)
			Total fixed maturities			$	436,616					$	(8,147)					$	1,020,397					$	(10,764)					$	1,457,013					$	(18,911)
			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:

						December 31, 2020												December 31, 2019
						Carrying value						% of Total						Carrying value						% of Total
			Mortgage loans held for investment:
			Commercial			$	593,290					100		%				$	432,748					100		%
			Total mortgage loans held for investment			$	593,290					100		%				$	432,748					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, 2020
			Long/short equity funds			$	25,300					3		%				Annually						60 days
			Multi-strategy funds			121,420						15		%				Quarterly, Semi-annually						60-95 days
			Direct lending funds			272,131						33		%				Quarterly(1)						90 days
			Private equity funds			124,706						15		%				n/a						n/a
			Real estate funds			164,250						20		%				Quarterly(2)						45 days
			CLO-Equities			6,173						1		%				n/a						n/a
			Other privately held investments			70,011						8		%				n/a						n/a
			Overseas deposits			45,165						5		%				n/a						n/a
			Total other investments			$	829,156					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

(1)Applies to one fund with a fair value of $38 million.

(2)Applies to one fund with a fair value of $61 million.

NET INVESTMENT INCOME

Net investment income was derived from the following sources:

			Year ended December 31,			2020						2019						2018
			Fixed maturities			$	317,121					$	384,053					$	356,273
			Other investments			16,059						60,038						48,959
			Equity securities			9,328						10,434						10,077
			Mortgage loans			15,432						14,712						13,566
			Cash and cash equivalents			13,582						26,882						27,566
			Short-term investments			2,749						7,053						9,365
			Gross investment income			374,271						503,172						465,806
			Investment expenses			(24,670)						(24,600)						(27,299)
			Net investment income			$	349,601					$	478,572					$	438,507

NET REALIZED INVESTMENT GAINS (LOSSES)

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

			Year ended December 31,			2020						2019						2018
			Gross realized investment gains
			Fixed maturities and short-term investments			$	186,726					$	93,160					$	46,067
			Equity securities			25,648						3,449						20,435
			Gross realized investment gains			212,374						96,609						66,502
			Gross realized investment losses
			Fixed maturities and short-term investments			(94,607)						(56,515)						(142,153)
			Equity securities			(5,840)						(323)						(3,389)
			Gross realized investment losses			(100,447)						(56,838)						(145,542)
			Allowance for expected credit losses			(323)						—						—
			Impairment losses(1)			(1,486)						—						—
			OTTI losses			—						(6,984)						(9,733)
			Change in fair value of investment derivatives(2)			(2,434)						(1,823)						5,445
			Net unrealized gains (losses) on equity securities			21,449						60,269						(66,890)
			Net investment gains (losses)			$	129,133					$	91,233					$	(150,218)

(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 7 '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:

			Year ended December 31,			2020						2019						2018
			Balance at beginning of period			$	—					$	—					$	—
			Expected credit losses on securities where credit losses were not previously recognized			22,570						—						—
			Additions (reductions) for expected credit losses on securities where credit losses were previously recognized			(11,542)						—						—
			Impairments of securities which the Company intends to sell or more likely than not will be required to sell			—						—						—
			Securities sold/redeemed/matured			(10,705)						—						—
			Balance at end of period			$	323					$	—					$	—

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,			2020						2019						2018
			Fixed maturities:
			Non-U.S. government			$	—					$	90					$	4,697
			Corporate debt			—						6,894						4,995
			Non-agency CMBS			—						—						41
			Total OTTI recognized in net income			$	—					$	6,984					$	9,733

RESTRICTED INVESTMENTS

The table below provides the fair values of the Company's restricted investments and cash:

			At December 31,						2020						2019
			Collateral in Trust for inter-company agreements						$	1,153,157					$	1,580,689
			Collateral for secured letter of credit facility						434,845						473,187
			Funds at Lloyd's						1,155,832						1,314,345
			Collateral in Trust for third-party agreements						1,903,274						1,856,327
			Securities on deposit or in trust with regulatory authorities						265,959						76,229
			Total restricted investments						$	4,913,067					$	5,300,777

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