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INVESTMENTS (Tables)

9 Months Ended

Sep. 30, 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 September 30, 2022
			Available for sale
			U.S. government and agency			$	2,524,837					$	—					$	26					$	(138,355)					$	2,386,508
			Non-U.S. government			595,713						—						254						(80,272)						515,695
			Corporate debt			4,688,443						(10,380)						1,167						(539,118)						4,140,112
			Agency RMBS(1)			1,128,676						—						405						(113,073)						1,016,008
			CMBS(2)			1,088,174						—						21						(83,187)						1,005,008
			Non-agency RMBS			160,143						(91)						403						(19,099)						141,356
			ABS(3)			1,520,653						(33)						230						(84,138)						1,436,712
			Municipals(4)			159,296						—						—						(16,342)						142,954
			Total fixed maturities, available for sale			$	11,865,935					$	(10,504)					$	2,506					$	(1,073,584)					$	10,784,353
			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 September 30, 2022
			Held to maturity
			Corporate debt			$	77,200					$	—					$	77,200					$	—					$	(11,347)					$	65,853
			ABS(1)			613,180						—						613,180						—						(15,329)						597,851
			Total fixed maturities, held to maturity			$	690,380					$	—					$	690,380					$	—					$	(26,676)					$	663,704
			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 September 30, 2022
			Equity securities
			Common stocks			$	13,655					$	350					$	(2,718)					$	11,287
			Preferred stocks			115						—						(43)						72
			Exchange-traded funds			227,847						56,783						(14,050)						270,580
			Bond mutual funds			278,309						—						(90,409)						187,900
			Total equity securities			$	519,926					$	57,133					$	(107,220)					$	469,839
			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 September 30, 2022
			Maturity
			Due in one year or less			$	642,398					$	625,398					5.9		%
			Due after one year through five years			4,820,949						4,445,708						41.2		%
			Due after five years through ten years			2,266,898						1,911,316						17.7		%
			Due after ten years			238,044						202,847						1.9		%
						7,968,289						7,185,269						66.7		%
			Agency RMBS			1,128,676						1,016,008						9.4		%
			CMBS			1,088,174						1,005,008						9.3		%
			Non-agency RMBS			160,143						141,356						1.3		%
			ABS			1,520,653						1,436,712						13.3		%
			Total			$	11,865,935					$	10,784,353					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 September 30, 2022
			Fixed maturities, available for sale
			U.S. government and agency			$	456,814					$	(29,770)					$	1,899,250					$	(108,585)					$	2,356,064					$	(138,355)
			Non-U.S. government			174,043						(26,531)						329,691						(53,741)						503,734						(80,272)
			Corporate debt			832,099						(187,235)						3,257,887						(351,883)						4,089,986						(539,118)
			Agency RMBS			159,089						(32,820)						802,339						(80,253)						961,428						(113,073)
			CMBS			195,868						(25,689)						778,826						(57,498)						974,694						(83,187)
			Non-agency RMBS			60,670						(11,360)						74,280						(7,739)						134,950						(19,099)
			ABS			495,725						(42,822)						918,205						(41,316)						1,413,930						(84,138)
			Municipals			25,063						(4,538)						117,826						(11,804)						142,889						(16,342)
			Total fixed maturities, available for sale			$	2,399,371					$	(360,765)					$	8,178,304					$	(712,819)					$	10,577,675					$	(1,073,584)
			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:

						September 30, 2022												December 31, 2021
						Carrying value						% of Total						Carrying value						% of Total
			Mortgage loans, held for investment:
			Commercial			$	653,700					100		%				$	594,088					100		%
			Total mortgage loans, held for investment			$	653,700					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						% of Total						Redemption frequency (if currently eligible)						Redemption     notice period
			At September 30, 2022
			Long/short equity funds			$	—					—		%				n/a						n/a
			Multi-strategy funds			39,138						4		%				Quarterly						60-90 days
			Direct lending funds			249,561						26		%				Quarterly(1)						90 days
			Private equity funds			268,593						28		%				n/a						n/a
			Real estate funds			287,932						30		%				Quarterly(2), Annually(3)						45-90 days
			CLO-Equities			5,167						—		%				n/a						n/a
			Other privately held investments			119,919						12		%				n/a						n/a
			Total other investments			$	970,310					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 $43 million (2021: $47 million).

(2) Applies to one fund with a fair value of $73 million (2021: $73 million).

(3) Applies to one fund with a fair value of $26 million (2021: $nil).

NET INVESTMENT INCOME

Net investment income was derived from the following sources:

						Three months ended September 30,												Nine months ended September 30,
						2022						2021						2022						2021
			Fixed maturities			$	87,364					$	63,712					$	224,780					$	194,426
			Other investments			(7,576)						41,695						32,801						124,941
			Equity securities			2,490						2,724						7,349						8,322
			Mortgage loans			6,256						4,426						15,323						12,967
			Cash and cash equivalents			5,350						692						10,147						3,645
			Short-term investments			1,004						391						1,571						590
			Gross investment income			94,888						113,640						291,971						344,891
			Investment expenses			(6,711)						(6,301)						(20,227)						(18,717)
			Net investment income			$	88,177					$	107,339					$	271,744					$	326,174

NET INVESTMENT GAINS (LOSSES)

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

									Three months ended September 30,												Nine months ended September 30,
									2022						2021						2022						2021
						Gross realized investment gains
						Fixed maturities and short-term investments			$	1,095					$	21,036					$	11,390					$	126,901
						Equity securities			6,997						4						6,997						5,006
						Gross realized investment gains			8,092						21,040						18,387						131,907
						Gross realized investment losses
						Fixed maturities and short-term investments			(100,021)						(4,206)						(249,514)						(32,443)
						Equity securities			(178)						—						(403)						(116)
						Gross realized investment losses			(100,199)						(4,206)						(249,917)						(32,559)
						Change in allowance for expected credit losses			(3,210)						(315)						(10,191)						(76)
						Impairment losses(1)			(6,491)						(22)						(7,074)						(22)
						Change in fair value of investment derivatives(2)			4,400						2,486						11,463						3,388
						Net unrealized gains (losses) on equity securities			(49,050)						(8,051)						(176,899)						11,230
						Net investment gains (losses)			$	(146,458)					$	10,932					$	(414,231)					$	113,868

(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 September 30,												Nine months ended September 30,
									2022						2021						2022						2021
						Balance at beginning of period			$	7,294					$	84					$	313					$	323
						Expected credit losses on securities where credit losses were not previously recognized			6,320						—						13,228						64
						Additions (reductions) for expected credit losses on securities where credit losses were previously recognized			(592)						315						(500)						59
						Impairments of securities which the Company intends to sell or more likely than not will be required to sell			—						—						—						—
						Securities sold/redeemed/matured			(2,518)						—						(2,537)						(47)
						Balance at end of period			$	10,504					$	399					$	10,504					$	399

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