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INVESTMENTS (Tables)

3 Months Ended

Mar. 31, 2022

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, 2022
			Available for sale
			U.S. government and agency			$	2,340,104					$	—					$	1,077					$	(67,978)					$	2,273,203
			Non-U.S. government			761,463						—						2,051						(24,381)						739,133
			Corporate debt			4,658,246						(284)						15,787						(200,198)						4,473,551
			Agency RMBS(1)			972,244						—						2,670						(39,077)						935,837
			CMBS(2)			1,188,811						—						1,333						(30,759)						1,159,385
			Non-agency RMBS			181,171						(79)						1,250						(7,454)						174,888
			ABS(3)			1,566,692						(20)						1,198						(33,865)						1,534,005
			Municipals(4)			171,370						—						828						(6,176)						166,022
			Total fixed maturities, available for sale			$	11,840,101					$	(383)					$	26,194					$	(409,888)					$	11,456,024
			At December 31, 2021
			Available for sale
			U.S. government and agency			$	2,693,319					$	—					$	9,776					$	(20,647)					$	2,682,448
			Non-U.S. government			794,705						—						10,158						(9,685)						795,178
			Corporate debt			4,446,585						(236)						87,075						(38,112)						4,495,312
			Agency RMBS(1)			1,065,973						—						17,397						(8,781)						1,074,589
			CMBS(2)			1,223,051						—						29,827						(4,687)						1,248,191
			Non-agency RMBS			185,854						(77)						2,410						(2,023)						186,164
			ABS(3)			1,628,739						—						3,406						(9,665)						1,622,480
			Municipals(4)			203,556						—						5,928						(646)						208,838
			Total fixed maturities, available for sale			$	12,241,782					$	(313)					$	165,977					$	(94,246)					$	12,313,200

(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, 2022
			Held to maturity
			Corporate debt			$	55,200					$	—					$	55,200					$	—					$	(3,917)					$	51,283
			ABS(1)			438,309						—						438,309						—						(3,160)						435,149
			Total fixed maturities, held to maturity			$	493,509					$	—					$	493,509					$	—					$	(7,077)					$	486,432
			At December 31, 2021
			Held to maturity
			Corporate debt			$	37,700					$	—					$	37,700					$	18					$	(146)					$	37,572
			ABS(1)			408,316						—						408,316						81						(936)						407,461
			Total fixed maturities, held to maturity			$	446,016					$	—					$	446,016					$	99					$	(1,082)					$	445,033

(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, 2022
			Equity securities
			Common stocks			$	1,373					$	578					$	(442)					$	1,509
			Preferred stocks			115						76						—						191
			Exchange-traded funds			203,455						117,952						(1,151)						320,256
			Bond mutual funds			275,816						—						(33,822)						241,994
			Total equity securities			$	480,759					$	118,606					$	(35,415)					$	563,950
			At December 31, 2021
			Equity securities
			Common stocks			$	1,264					$	585					$	(485)					$	1,364
			Preferred stocks			115						64						—						179
			Exchange-traded funds			203,455						134,037						(677)						336,815
			Bond mutual funds			324,030						544						(7,257)						317,317
			Total equity securities			$	528,864					$	135,230					$	(8,419)					$	655,675

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, 2022
			Maturity
			Due in one year or less			$	500,557					$	498,580					4.4		%
			Due after one year through five years			4,702,609						4,583,979						40.0		%
			Due after five years through ten years			2,440,295						2,300,432						20.1		%
			Due after ten years			287,722						268,918						2.3		%
						7,931,183						7,651,909						66.8		%
			Agency RMBS			972,244						935,837						8.2		%
			CMBS			1,188,811						1,159,385						10.1		%
			Non-agency RMBS			181,171						174,888						1.5		%
			ABS			1,566,692						1,534,005						13.4		%
			Total			$	11,840,101					$	11,456,024					100.0		%
			At December 31, 2021
			Maturity
			Due in one year or less			$	503,716					$	505,602					4.1		%
			Due after one year through five years			4,878,151						4,908,640						39.9		%
			Due after five years through ten years			2,478,542						2,488,478						20.2		%
			Due after ten years			277,756						279,056						2.3		%
						8,138,165						8,181,776						66.5		%
			Agency RMBS			1,065,973						1,074,589						8.7		%
			CMBS			1,223,051						1,248,191						10.1		%
			Non-agency RMBS			185,854						186,164						1.5		%
			ABS			1,628,739						1,622,480						13.2		%
			Total			$	12,241,782					$	12,313,200					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, 2022
			Fixed maturities, available for sale
			U.S. government and agency			$	96,611					$	(6,205)					$	2,117,861					$	(61,773)					$	2,214,472					$	(67,978)
			Non-U.S. government			18,215						(3,125)						615,157						(21,256)						633,372						(24,381)
			Corporate debt			249,273						(26,795)						3,275,044						(173,403)						3,524,317						(200,198)
			Agency RMBS			88,941						(8,801)						668,456						(30,276)						757,397						(39,077)
			CMBS			43,381						(4,206)						911,339						(26,553)						954,720						(30,759)
			Non-agency RMBS			22,667						(1,650)						124,172						(5,804)						146,839						(7,454)
			ABS			49,967						(1,976)						1,354,834						(31,889)						1,404,801						(33,865)
			Municipals			5,010						(413)						115,092						(5,763)						120,102						(6,176)
			Total fixed maturities, available for sale			$	574,065					$	(53,171)					$	9,181,955					$	(356,717)					$	9,756,020					$	(409,888)
			At December 31, 2021
			Fixed maturities, available for sale
			U.S. government and agency			$	101,776					$	(4,852)					$	2,014,880					$	(15,795)					$	2,116,656					$	(20,647)
			Non-U.S. government			11,011						(1,830)						463,498						(7,855)						474,509						(9,685)
			Corporate debt			152,962						(6,542)						1,681,859						(31,570)						1,834,821						(38,112)
			Agency RMBS			41,024						(1,678)						503,988						(7,103)						545,012						(8,781)
			CMBS			30,128						(1,001)						347,515						(3,686)						377,643						(4,687)
			Non-agency RMBS			4,481						(523)						109,937						(1,500)						114,418						(2,023)
			ABS			43,466						(1,152)						1,040,363						(8,513)						1,083,829						(9,665)
			Municipals			5,293						(137)						35,649						(509)						40,942						(646)
			Total fixed maturities, available for sale			$	390,141					$	(17,715)					$	6,197,689					$	(76,531)					$	6,587,830					$	(94,246)

MORTGAGE LOANS NET OF VALUATION ALLOWANCE

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

						March 31, 2022												December 31, 2021
						Carrying value						% of Total						Carrying value						% of Total
			Mortgage loans, held for investment:
			Commercial			$	627,063					100		%				$	594,088					100		%
			Total mortgage loans, held for investment			$	627,063					100		%				$	594,088					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 March 31, 2022
			Long/short equity funds			$	3,056					—		%				Annually						60 days
			Multi-strategy funds			48,561						5		%				Quarterly						60-90 days
			Direct lending funds			276,211						29		%				Quarterly(1)						90 days
			Private equity funds			260,596						27		%				n/a						n/a
			Real estate funds			245,823						26		%				Quarterly, Annually(2)						45-90 days
			CLO-Equities			4,881						1		%				n/a						n/a
			Other privately held investments			115,474						12		%				n/a						n/a
			Total other investments			$	954,602					100		%
			At December 31, 2021
			Long/short equity funds			$	3,476					—		%				Annually						60 days
			Multi-strategy funds			56,012						6		%				Quarterly						60-90 days
			Direct lending funds			289,867						31		%				Quarterly(1)						90 days
			Private equity funds			249,974						26		%				n/a						n/a
			Real estate funds			238,222						25		%				Quarterly(2)						45 days
			CLO-Equities			5,910						1		%				n/a						n/a
			Other privately held investments			104,521						11		%				n/a						n/a
			Total other investments			$	947,982					100		%

n/a - not applicable

(1) Applies to one fund with a fair value of $48 million (2021: $47 million).

(2) Applies to two funds with a fair value of $76 million (2021: $73 million).

NET INVESTMENT INCOME

Net investment income was derived from the following sources:

						Three months ended March 31,
						2022						2021
			Fixed maturities			$	64,809					$	69,470
			Other investments			26,050						41,833
			Equity securities			2,172						2,498
			Mortgage loans			4,163						4,187
			Cash and cash equivalents			1,118						2,336
			Short-term investments			166						133
			Gross investment income			98,478						120,457
			Investment expenses			(7,123)						(6,292)
			Net investment income			$	91,355					$	114,165

NET INVESTMENT GAINS (LOSSES)

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

									Three months ended March 31,
									2022						2021
						Gross realized investment gains
						Fixed maturities and short-term investments			$	10,422					$	50,170
						Equity securities			—						569
						Gross realized investment gains			10,422						50,739
						Gross realized investment losses
						Fixed maturities and short-term investments			(63,146)						(19,368)
						Equity securities			(225)						(89)
						Gross realized investment losses			(63,371)						(19,457)
						Change in allowance for expected credit losses			(70)						89
						Impairment losses(1)			(109)						—
						Change in fair value of investment derivatives(2)			2,242						1,749
						Net unrealized gains (losses) on equity securities			(43,622)						(3,475)
						Net investment gains			$	(94,508)					$	29,645

(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,
									2022						2021
						Balance at beginning of period			$	313					$	323
						Expected credit losses on securities where credit losses were not previously recognized			9						63
						Additions (reductions) for expected credit losses on securities where credit losses were previously recognized			78						(105)
						Impairments of securities which the Company intends to sell or more likely than not will be required to sell			—						—
						Securities sold/redeemed/matured			(17)						(47)
						Balance at end of period			$	383					$	234

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