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INVESTMENTS (Tables)

3 Months Ended

Mar. 31, 2021

Investments, Debt and Equity Securities [Abstract]

AMORTIZED 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, 2021
			Available for sale
			U.S. government and agency			$	2,181,808					$	—					$	20,184					$	(14,899)					$	2,187,093
			Non-U.S. government			689,358						—						28,789						(3,426)						714,721
			Corporate debt			4,364,800						(164)						157,099						(26,457)						4,495,278
			Agency RMBS(1)			1,186,277						—						29,602						(7,385)						1,208,494
			CMBS(2)			1,227,004						—						50,586						(3,541)						1,274,049
			Non-agency RMBS			163,617						(70)						4,505						(883)						167,169
			ABS(3)			1,396,130						—						9,693						(2,862)						1,402,961
			Municipals(4)			271,513						—						8,872						(1,539)						278,846
			Total fixed maturities, available for sale			$	11,480,507					$	(234)					$	309,330					$	(60,992)					$	11,728,611
			At December 31, 2020
			Available for sale
			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, available for sale			$	11,566,930					$	(323)					$	494,103					$	(18,911)					$	12,041,799

(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.

DEBT SECURITIES, HELD-TO-MATURITY

The following table provides the amortized cost and fair values of the Company's fixed maturities classified as held to maturity:

						Amortized cost						Allowance for expected credit losses						Net carrying value						Gross unrealized gains						Gross unrealized losses						Fair value
			At March 31, 2021
			Held to maturity
			ABS(1)			$	404,690					$	—					$	404,690					$	46					$	(214)					$	404,522
			Total fixed maturities, held to maturity			$	404,690					$	—					$	404,690					$	46					$	(214)					$	404,522

(1)Asset-backed securities ("ABS") include debt tranched securities collateralized primarily by collateralized loan obligations ("CLOs").

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, 2021
			Equity securities
			Common stocks			$	8,470					$	1,682					$	(435)					$	9,717
			Preferred stocks			5,519						1,430						—						6,949
			Exchange-traded funds			182,544						87,184						(342)						269,386
			Bond mutual funds			257,918						3,706						—						261,624
			Total equity securities			$	454,451					$	94,002					$	(777)					$	547,676
			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

CONTRACTUAL MATURITIES OF FIXED MATURITIES

The table below provides the contractual maturities of fixed maturities classified as available for sale:

						Amortized cost						Fair value						% of Total fair value
			At March 31, 2021
			Maturity
			Due in one year or less			$	584,411					$	593,485					5.0		%
			Due after one year through five years			4,361,986						4,482,143						38.2		%
			Due after five years through ten years			2,324,428						2,363,912						20.2		%
			Due after ten years			236,654						236,398						2.0		%
						7,507,479						7,675,938						65.4		%
			Agency RMBS			1,186,277						1,208,494						10.3		%
			CMBS			1,227,004						1,274,049						10.9		%
			Non-agency RMBS			163,617						167,169						1.4		%
			ABS			1,396,130						1,402,961						12.0		%
			Total			$	11,480,507					$	11,728,611					100.0		%
			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		%

FIXED MATURITIES AND EQUITIES IN AN UNREALIZED LOSS POSITION

The following table summarizes fixed maturities available for sale 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, 2021
			Fixed maturities, available for sale
			U.S. government and agency			$	—					$	—					$	973,758					$	(14,899)					$	973,758					$	(14,899)
			Non-U.S. government			2,257						(485)						156,529						(2,941)						158,786						(3,426)
			Corporate debt			62,713						(1,576)						1,036,713						(24,881)						1,099,426						(26,457)
			Agency RMBS			154						(4)						447,303						(7,381)						447,457						(7,385)
			CMBS			18,422						(140)						133,199						(3,401)						151,621						(3,541)
			Non-agency RMBS			6,153						(478)						59,008						(405)						65,161						(883)
			ABS			95,782						(1,537)						241,242						(1,325)						337,024						(2,862)
			Municipals			—						—						80,414						(1,539)						80,414						(1,539)
			Total fixed maturities, available for sale			$	185,481					$	(4,220)					$	3,128,166					$	(56,772)					$	3,313,647					$	(60,992)
			At December 31, 2020
			Fixed maturities, available for sale
			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, available for sale			$	436,616					$	(8,147)					$	1,020,397					$	(10,764)					$	1,457,013					$	(18,911)

MORTGAGE LOANS NET OF VALUATION ALLOWANCE

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

						March 31, 2021												December 31, 2020
						Carrying value						% of Total						Carrying value						% of Total
			Mortgage loans, held for investment:
			Commercial			$	629,576					100		%				$	593,290					100		%
			Total mortgage loans, held for investment			$	629,576					100		%				$	593,290					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, 2021
			Long/short equity funds			$	19,033					2		%				Annually						60 days
			Multi-strategy funds			106,971						14		%				Quarterly, Semi-annually						60-95 days
			Direct lending funds			279,324						35		%				Quarterly(1)						90 days
			Private equity funds			153,515						19		%				n/a						n/a
			Real estate funds			163,635						21		%				Quarterly(2)						45 days
			CLO-Equities			6,269						1		%				n/a						n/a
			Other privately held investments			61,783						8		%				n/a						n/a
			Overseas deposits			—						—		%				n/a						n/a
			Total other investments			$	790,530					100		%
			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		%

n/a - not applicable

(1) Applies to one fund with a fair value of $38 million (2020: $38 million).

(2) Applies to one fund with a fair value of $66 million (2020: $61 million).

NET INVESTMENT INCOME

Net investment income was derived from the following sources:

						Three months ended March 31,
						2021						2020
			Fixed maturities			$	69,470					$	89,943
			Other investments			41,833						(2,120)
			Equity securities			2,498						2,125
			Mortgage loans			4,187						4,053
			Cash and cash equivalents			2,336						4,930
			Short-term investments			133						1,498
			Gross investment income			120,457						100,429
			Investment expenses			(6,292)						(7,328)
			Net investment income			$	114,165					$	93,101

NET INVESTMENT GAINS (LOSSES)

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

						Three months ended March 31,
						2021						2020
			Gross realized investment gains
			Fixed maturities and short-term investments			$	50,170					$	39,931
			Equity securities			569						1,920
			Gross realized investment gains			50,739						41,851
			Gross realized investment losses
			Fixed maturities and short-term investments			(19,368)						(22,766)
			Equity securities			(89)						(2,682)
			Gross realized investment losses			(19,457)						(25,448)
			Allowance for expected credit losses			89						(20,019)
			Impairment losses(1)			—						(1,190)
			Change in fair value of investment derivatives(2)			1,749						3,162
			Net unrealized gains (losses) on equity securities			(3,475)						(61,233)
			Net investment gains (losses)			$	29,645					$	(62,877)

(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,
						2021						2020
			Balance at beginning of period			$	323					$	—
			Expected credit losses on securities where credit losses were not previously recognized			63						20,019
			Additions (reductions) for expected credit losses on securities where credit losses were previously recognized			(105)						—
			Impairments of securities which the Company intends to sell or more likely than not will be required to sell			—						—
			Securities sold/redeemed/matured			(47)						—
			Balance at end of period			$	234					$	20,019

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