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INVESTMENTS | 6 Months Ended
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Jun. 30, 2022
Investments, Debt and Equity Securities [Abstract] |
INVESTMENTS | a) Fixed Maturities and Equity Securities 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 June 30, 2022 |  |  |  |  |  |  |  |  |  |  |  |
| Available for sale |  |  |  |  |  |  |  |  |  |  |  |
| U.S. government and agency | $ | 2,529,109 |  |  | $ | — |  |  | $ | 974 |  |  | $ | (91,774) |  |  | $ | 2,438,309 |  |  |  |
| Non-U.S. government | 705,258 |  |  | — |  |  | 172 |  |  | (50,710) |  |  | 654,720 |  |  |  |
| Corporate debt | 4,764,585 |  |  | (7,180) |  |  | 2,415 |  |  | (418,763) |  |  | 4,341,057 |  |  |  |
| Agency RMBS(1) | 1,082,381 |  |  | — |  |  | 1,112 |  |  | (64,369) |  |  | 1,019,124 |  |  |  |
| CMBS(2) | 1,143,767 |  |  | — |  |  | 45 |  |  | (60,772) |  |  | 1,083,040 |  |  |  |
| Non-agency RMBS | 162,101 |  |  | (86) |  |  | 431 |  |  | (14,342) |  |  | 148,104 |  |  |  |
| ABS(3) | 1,524,417 |  |  | (28) |  |  | 339 |  |  | (68,578) |  |  | 1,456,150 |  |  |  |
| Municipals(4) | 174,511 |  |  | — |  |  | 29 |  |  | (10,362) |  |  | 164,178 |  |  |  |
| Total fixed maturities, available for sale | $ | 12,086,129 |  |  | $ | (7,294) |  |  | $ | 5,517 |  |  | $ | (779,670) |  |  | $ | 11,304,682 |  |  |  |
| 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. 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 June 30, 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Held to maturity |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Corporate debt | $ | 67,200 |  |  | $ | — |  |  | $ | 67,200 |  |  | $ | — |  |  | $ | (7,519) |  |  | $ | 59,681 |  |  |  |
| ABS(1) | 574,228 |  |  | — |  |  | 574,228 |  |  | — |  |  | (14,018) |  |  | 560,210 |  |  |  |
| Total fixed maturities, held to maturity | $ | 641,428 |  |  | $ | — |  |  | $ | 641,428 |  |  | $ | — |  |  | $ | (21,537) |  |  | $ | 619,891 |  |  |  |
| 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"). On March 1, 2021, the Company transferred ABS with total fair value of $405 million from fixed maturities, available for sale to fixed maturities, held to maturity. These securities, which the Company has the intent and ability to hold to maturity, were transferred in order to better align the accounting classification with their management strategy. The net unrealized gain at the date of the transfer, March 1, 2021, continues to be reported in the carrying value of the transferred securities and is amortized over the remaining life of the securities using the effective yield method. At June 30, 2022, fixed maturities, held to maturity of $641 million (2021: $446 million) were presented net of an allowance for expected credit losses of $nil (2021: $nil). The Company's ABS, held to maturity consist of CLO debt tranched securities. The Company uses a scenario-based approach to review its CLO debt portfolio and reviews subordination levels of these securities to determine their ability to absorb credit losses of the underlying collateral. If losses are forecast to be below the subordination level for a tranche held by the Company, the security is determined not to have a credit loss. At June 30, 2022, the allowance for credit losses expected to be recognized over the life of the Company's ABS, held to maturity was $nil. To estimate expected credit losses for corporate debt securities, held to maturity, the Company's projected cash flows are primarily driven by assumptions regarding the severity of loss, which is a function of the probability of default and projected recovery rates. The Company's default and recovery rates are based on credit ratings, credit analysis and macroeconomic forecasts. At June 30, 2022, the allowance for credit losses expected to be recognized over the life of the Company's corporate debt, held to maturity was $nil. 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 June 30, 2022 |  |  |  |  |  |  |  |
| Equity securities |  |  |  |  |  |  |  |
| Common stocks | $ | 2,998 |  |  | $ | 434 |  |  | $ | (454) |  |  | $ | 2,978 |  |
| Preferred stocks | 115 |  |  | — |  |  | (19) |  |  | 96 |  |
| Exchange-traded funds | 242,992 |  |  | 71,393 |  |  | (8,328) |  |  | 306,057 |  |
| Bond mutual funds | 277,093 |  |  | — |  |  | (64,063) |  |  | 213,030 |  |
| Total equity securities | $ | 523,198 |  |  | $ | 71,827 |  |  | $ | (72,864) |  |  | $ | 522,161 |  |
| 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 |  |
Variable Interest Entities In the normal course of investing activities, the Company actively manages allocations to non-controlling tranches of structured securities which are variable interests issued by Variable Interest Entities ("VIEs"). These structured securities include RMBS, CMBS and ABS. The Company also invests in limited partnerships which represent 71% of the Company's other investments. The investments in limited partnerships include hedge funds, direct lending funds, private equity funds and real estate funds and CLO equity tranched securities, which are variable interests issued by VIEs (refer to Note 3(c) 'Other Investments'). The Company does not have the power to direct the activities that are most significant to the economic performance of these VIEs therefore the Company is not the primary beneficiary of these VIEs. The maximum exposure to loss on these interests is limited to the amount of commitment made by the Company. The Company has not provided financial or other support to these structured securities other than the original investment. 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 classified as available for sale:
|  | Amortized cost |  | Fair value |  | % of Total fair value |
| At June 30, 2022 |  |  |  |  |  |
| Maturity |  |  |  |  |  |
| Due in one year or less | $ | 591,635 |  |  | $ | 584,080 |  |  | 5.1 | % |
| Due after one year through five years | 4,913,936 |  |  | 4,654,847 |  |  | 41.2 | % |
| Due after five years through ten years | 2,405,936 |  |  | 2,125,717 |  |  | 18.8 | % |
| Due after ten years | 261,956 |  |  | 233,620 |  |  | 2.1 | % |
|  | 8,173,463 |  |  | 7,598,264 |  |  | 67.2 | % |
| Agency RMBS | 1,082,381 |  |  | 1,019,124 |  |  | 9.0 | % |
| CMBS | 1,143,767 |  |  | 1,083,040 |  |  | 9.6 | % |
| Non-agency RMBS | 162,101 |  |  | 148,104 |  |  | 1.3 | % |
| ABS | 1,524,417 |  |  | 1,456,150 |  |  | 12.9 | % |
| Total | $ | 12,086,129 |  |  | $ | 11,304,682 |  |  | 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 | % |
ABS classified as held to maturity with a net carrying value of $574 million (2021: $408 million) do not have a single maturity date and cannot be allocated over several maturity groupings. Corporate debt classified as held to maturity with a net carrying value of $63 million (2021: $34 million) is due between 3 years and 10 years and corporate debt classified as held to maturity with a net carrying value of $4 million (2021: $4 million) is due after ten years. Gross Unrealized Losses 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 June 30, 2022 |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities, available for sale |  |  |  |  |  |  |  |  |  |  |  |
| U.S. government and agency | $ | 122,651 |  |  | $ | (7,887) |  |  | $ | 2,195,005 |  |  | $ | (83,887) |  |  | $ | 2,317,656 |  |  | $ | (91,774) |  |
| Non-U.S. government | 110,395 |  |  | (4,730) |  |  | 518,117 |  |  | (45,980) |  |  | 628,512 |  |  | (50,710) |  |
| Corporate debt | 292,790 |  |  | (52,735) |  |  | 3,811,687 |  |  | (366,028) |  |  | 4,104,477 |  |  | (418,763) |  |
| Agency RMBS | 83,182 |  |  | (11,443) |  |  | 848,929 |  |  | (52,926) |  |  | 932,111 |  |  | (64,369) |  |
| CMBS | 53,589 |  |  | (7,560) |  |  | 1,020,626 |  |  | (53,212) |  |  | 1,074,215 |  |  | (60,772) |  |
| Non-agency RMBS | 26,816 |  |  | (3,089) |  |  | 117,424 |  |  | (11,253) |  |  | 144,240 |  |  | (14,342) |  |
| ABS | 183,000 |  |  | (14,795) |  |  | 1,254,295 |  |  | (53,783) |  |  | 1,437,295 |  |  | (68,578) |  |
| Municipals | 4,416 |  |  | (499) |  |  | 143,714 |  |  | (9,863) |  |  | 148,130 |  |  | (10,362) |  |
| Total fixed maturities, available for sale | $ | 876,839 |  |  | $ | (102,738) |  |  | $ | 9,909,797 |  |  | $ | (676,932) |  |  | $ | 10,786,636 |  |  | $ | (779,670) |  |
| 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) |  |
Fixed Maturities At June 30, 2022, 4,683 fixed maturities (2021: 2,333) were in an unrealized loss position of $780 million (2021: $94 million), of which $112 million (2021: $8 million) was related to securities below investment grade or not rated. At June 30, 2022, 596 fixed maturities (2021: 344) had been in a continuous unrealized loss position for twelve months or greater and had a fair value of $877 million (2021: $390 million). The unrealized losses of $780 million (2021: $94 million) were due to non-credit factors and were expected to be recovered as the related securities approach maturity. At June 30, 2022, the Company did not intend to sell the securities in an unrealized loss position and it is more likely than not that the Company will not be required to sell these securities before the anticipated recovery of their amortized costs. b) Mortgage Loans The following table provides details of the Company's mortgage loans, held for investment:
|  | June 30, 2022 |  | December 31, 2021 |
|  | Carrying value |  | % of Total |  | Carrying value |  | % of Total |
| Mortgage loans, held for investment: |  |  |  |  |  |  |  |
| Commercial | $ | 656,112 |  |  | 100 | % |  | $ | 594,088 |  |  | 100 | % |
| Total mortgage loans, held for investment | $ | 656,112 |  |  | 100 | % |  | $ | 594,088 |  |  | 100 | % |
The primary credit quality indicators for commercial mortgage loans are the debt service coverage ratio which compares a property’s net operating income to amounts needed to service the principal and interest due under the loan, (generally, the lower the debt service coverage ratio, the higher the risk of experiencing a credit loss) and the loan-to-value ratio which compares the unpaid principal balance of the loan to the estimated fair value of the underlying collateral (generally, the higher the loan-to-value ratio, the higher the risk of experiencing a credit loss). The debt service coverage ratio and loan-to-value ratio, as well as the values utilized in calculating these ratios, are updated annually, on a rolling basis. The Company has a high quality mortgage loan portfolio with a weighted average debt service coverage ratio of 2.5x (2021: 2.5x) and a weighted average loan-to-value ratio of 59% (2021: 60%). At June 30, 2022, there are no credit losses or past due amounts associated with the commercial mortgage loans held by the Company. c) 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 |  | % of Total |  | Redemption frequency (if currently eligible) |  | Redemption notice period |
| At June 30, 2022 |  |  |  |  |  |  |  |
| Long/short equity funds | $ | — |  |  | — | % |  | n/a |  | n/a |
| Multi-strategy funds | 44,653 |  |  | 5 | % |  | Quarterly |  | 60-90 days |
| Direct lending funds | 260,120 |  |  | 26 | % |  | Quarterly(1) |  | 90 days |
| Private equity funds | 266,412 |  |  | 27 | % |  | n/a |  | n/a |
| Real estate funds | 289,811 |  |  | 30 | % |  | Quarterly(2), Annually(3) |  | 45-90 days |
| CLO-Equities | 4,808 |  |  | — | % |  | n/a |  | n/a |
| Other privately held investments | 115,970 |  |  | 12 | % |  | n/a |  | n/a |
| Total other investments | $ | 981,774 |  |  | 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 $44 million (2021: $47 million). (2) Applies to one fund with a fair value of $74 million (2021: $73 million). (3) Applies to one fund with a fair value of $28 million (2021: $nil). Two common redemption restrictions which may impact the Company's ability to redeem hedge funds are gates and lockups. A gate is a suspension of redemptions which may be implemented by the general partner or investment manager of the fund in order to defer, in whole or in part, the redemption request in the event the aggregate amount of redemption requests exceeds a predetermined percentage of the fund's net assets which may otherwise hinder the general partner or investment manager's ability to liquidate holdings in an orderly fashion in order to generate the cash necessary to fund extraordinarily large redemption payouts. A lockup period is the initial amount of time an investor is contractually required to hold the security before having the ability to redeem. During the six months ended June 30, 2022 and 2021, neither of these restrictions impacted the Company's redemption requests. At June 30, 2022, there were no hedge fund holdings (2021: $3 million) where the Company is still within the lockup period. At June 30, 2022, the Company had $26 million (2021: $23 million) of unfunded commitments as a limited partner in multi-strategy hedge funds. Once the full amount of committed capital has been called by the General Partner of each of these funds, the assets will not be fully returned until after the completion of the funds' investment term. These funds have investment terms ranging from two years to the dissolution of the underlying fund. At June 30, 2022, the Company had $198 million (2021: $224 million) of unfunded commitments as a limited partner in direct lending funds. Once the full amount of committed capital has been called by the General Partner of each of these funds, the assets will not be fully returned until the completion of the fund's investment term. These funds have investment terms ranging from four to ten years and the General Partners of certain funds have the option to extend the term by up to three years. At June 30, 2022, the Company had $178 million (2021: $178 million) of unfunded commitments as a limited partner in private equity funds. The life of the funds is subject to the dissolution of the underlying funds. The Company expects the overall holding period to be over five years. At June 30, 2022, the Company had $155 million (2021: $173 million) of unfunded commitments as a limited partner in real estate funds. These funds include an open-ended fund and funds with investment terms ranging from two years to the dissolution of the underlying fund. During 2015, the Company made a $50 million commitment as a limited partner of a bank revolver opportunity fund. The fund has an investment term of seven years which expires in November 2022, and the General Partners have the option to extend the term by up to two years. At June 30, 2022, this commitment remains unfunded. It is not anticipated that the full amount of this fund will be drawn. d) Equity Method Investments During 2016, the Company paid $108 million including direct transaction costs to acquire 19% of the common equity of Harrington Reinsurance Holdings Limited ("Harrington"), the parent company of Harrington Re Ltd. ("Harrington Re"), an independent reinsurance company jointly sponsored by AXIS Capital and The Blackstone Group L.P. ("Blackstone"). Through long-term service agreements, AXIS Capital will serve as Harrington Re's reinsurance underwriting manager and Blackstone will serve as exclusive investment management service provider. As an investor, the Company expects to benefit from underwriting profit generated by Harrington Re and the income and capital appreciation Blackstone seeks to deliver through its investment management services. In addition, the Company has entered into an arrangement with Blackstone under which underwriting and investment related fees will be shared equally. Harrington is not a VIE that is required to be included in the Company's consolidated financial statements. The Company accounts for its ownership interest in Harrington under the equity method of accounting. The Company's proportionate share of the underlying equity in net assets resulted in a basis difference of $5 million which represents initial transactions costs. e) Net Investment Income Net investment income was derived from the following sources:
|  | Three months ended June 30, |  | Six months ended June 30, |  |  |  |
|  | 2022 |  | 2021 |  | 2022 |  | 2021 |  |  |  |  |  |
| Fixed maturities | $ | 72,607 |  |  | $ | 61,244 |  |  | $ | 137,416 |  |  | $ | 130,714 |  |  |  |  |  |  |
| Other investments | 14,327 |  |  | 41,414 |  |  | 40,377 |  |  | 83,248 |  |  |  |  |  |  |
| Equity securities | 2,688 |  |  | 3,100 |  |  | 4,860 |  |  | 5,598 |  |  |  |  |  |  |
| Mortgage loans | 4,903 |  |  | 4,355 |  |  | 9,067 |  |  | 8,541 |  |  |  |  |  |  |
| Cash and cash equivalents | 3,679 |  |  | 617 |  |  | 4,797 |  |  | 2,953 |  |  |  |  |  |  |
| Short-term investments | 402 |  |  | 66 |  |  | 567 |  |  | 199 |  |  |  |  |  |  |
| Gross investment income | 98,606 |  |  | 110,796 |  |  | 197,084 |  |  | 231,253 |  |  |  |  |  |  |
| Investment expenses | (6,392) |  |  | (6,124) |  |  | (13,515) |  |  | (12,417) |  |  |  |  |  |  |
| Net investment income | $ | 92,214 |  |  | $ | 104,672 |  |  | $ | 183,569 |  |  | $ | 218,836 |  |  |  |  |  |  |
f) Net Investment Gains (Losses) The following table provides an analysis of net investment gains (losses):
|  |  | Three months ended June 30, |  | Six months ended June 30, |  |  |  |
|  |  | 2022 |  | 2021 |  | 2022 |  | 2021 |  |  |  |  |  |
|  | Gross realized investment gains |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Fixed maturities and short-term investments | $ | 1,127 |  |  | $ | 55,695 |  |  | $ | 11,549 |  |  | $ | 105,865 |  |  |  |  |  |  |
|  | Equity securities | — |  |  | 4,433 |  |  | — |  |  | 5,002 |  |  |  |  |  |  |
|  | Gross realized investment gains | 1,127 |  |  | 60,128 |  |  | 11,549 |  |  | 110,867 |  |  |  |  |  |  |
|  | Gross realized investment losses |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Fixed maturities and short-term investments | (87,601) |  |  | (8,868) |  |  | (150,747) |  |  | (28,237) |  |  |  |  |  |  |
|  | Equity securities | — |  |  | (27) |  |  | (224) |  |  | (116) |  |  |  |  |  |  |
|  | Gross realized investment losses | (87,601) |  |  | (8,895) |  |  | (150,971) |  |  | (28,353) |  |  |  |  |  |  |
|  | Change in allowance for expected credit losses | (6,911) |  |  | 150 |  |  | (6,981) |  |  | 239 |  |  |  |  |  |  |
|  | Impairment losses(1) | (473) |  |  | — |  |  | (582) |  |  | — |  |  |  |  |  |  |
|  | Change in fair value of investment derivatives(2) | 4,822 |  |  | (847) |  |  | 7,063 |  |  | 901 |  |  |  |  |  |  |
|  | Net unrealized gains (losses) on equity securities | (84,227) |  |  | 22,757 |  |  | (127,849) |  |  | 19,282 |  |  |  |  |  |  |
|  | Net investment gains (losses) | $ | (173,263) |  |  | $ | 73,293 |  |  | $ | (267,771) |  |  | $ | 102,936 |  |  |  |  |  |  |
(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'. 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 June 30, |  | Six months ended June 30, |  |  |  |
|  |  | 2022 |  | 2021 |  | 2022 |  | 2021 |  |  |  |  |  |
|  | Balance at beginning of period | $ | 383 |  |  | $ | 234 |  |  | $ | 313 |  |  | $ | 323 |  |  |  |  |  |  |
|  | Expected credit losses on securities where credit losses were not previously recognized | 6,899 |  |  | 1 |  |  | 6,908 |  |  | 64 |  |  |  |  |  |  |
|  | Additions (reductions) for expected credit losses on securities where credit losses were previously recognized | 14 |  |  | (151) |  |  | 92 |  |  | (256) |  |  |  |  |  |  |
|  | Impairments of securities which the Company intends to sell or more likely than not will be required to sell | — |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  |
|  | Securities sold/redeemed/matured | (2) |  |  | — |  |  | (19) |  |  | (47) |  |  |  |  |  |  |
|  | Balance at end of period | $ | 7,294 |  |  | $ | 84 |  |  | $ | 7,294 |  |  | $ | 84 |  |  |  |  |  |  |

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