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INVESTMENTS (Tables)
 3 Months Ended
Mar. 31, 2024
Investments, Debt and Equity Securities [Abstract]  
Summary of 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 lossesGross
unrealized
gains
Gross
unrealized
losses
Fair
value
At March 31, 2024
Available for sale
U.S. government and agency$2,649,595 $— $1,590 $(57,468)$2,593,717 
Non-U.S. government757,162 (17)4,851 (23,798)738,198 
Corporate debt5,095,372 (3,973)37,431 (212,892)4,915,938 
Agency RMBS(1)
1,684,869 — 4,273 (103,522)1,585,620 
CMBS(2)
870,433 — 545 (50,585)820,393 
Non-agency RMBS152,322 (198)518 (12,650)139,992 
ABS(3)
1,336,681 (49)2,148 (20,875)1,317,905 
Municipals(4)
167,776 — 371 (10,600)157,547 
Total fixed maturities, available for sale$12,714,210 $(4,237)$51,727 $(492,390)$12,269,310 
At December 31, 2023    
Available for sale
U.S. government and agency$3,049,445 $— $13,211 $(55,128)$3,007,528 
Non-U.S. government729,761 (30)13,089 (18,861)723,959 
Corporate debt4,651,654 (10,438)49,434 (216,478)4,474,172 
Agency RMBS(1)
1,706,204 — 11,495 (83,038)1,634,661 
CMBS(2)
897,553 — 551 (58,408)839,696 
Non-agency RMBS165,910 (194)713 (13,033)153,396 
ABS(3)
1,265,187 (50)2,855 (25,021)1,242,971 
Municipals(4)
168,540 (47)414 (10,548)158,359 
Total fixed maturities, available for sale$12,634,254 $(10,759)$91,762 $(480,515)$12,234,742 
(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.
Summary of 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, 2024
Maturity
Due in one year or less$435,592 $427,428 3.6 %
Due after one year through five years5,891,599 5,759,009 46.9 %
Due after five years through ten years2,164,623 2,046,280 16.7 %
Due after ten years178,091 172,683 1.4 %
 8,669,905 8,405,400 68.6 %
Agency RMBS1,684,869 1,585,620 12.9 %
CMBS870,433 820,393 6.7 %
Non-agency RMBS152,322 139,992 1.1 %
ABS1,336,681 1,317,905 10.7 %
Total$12,714,210 $12,269,310 100.0 %
At December 31, 2023
Maturity
Due in one year or less$474,557 $463,789 3.6 %
Due after one year through five years5,902,571 5,790,493 47.3 %
Due after five years through ten years2,064,619 1,954,449 16.0 %
Due after ten years157,653 155,287 1.3 %
 8,599,400 8,364,018 68.2 %
Agency RMBS1,706,204 1,634,661 13.4 %
CMBS897,553 839,696 6.9 %
Non-agency RMBS165,910 153,396 1.3 %
ABS1,265,187 1,242,971 10.2 %
Total$12,634,254 $12,234,742 100.0 %
Summary of 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 greaterLess than 12 monthsTotal
  
Fair
value
Unrealized
losses
Fair
value
Unrealized
losses
Fair
value
Unrealized
losses
At March 31, 2024
Fixed maturities, available for sale
U.S. government and agency$657,958 $(40,409)$1,669,439 $(17,059)$2,327,397 $(57,468)
Non-U.S. government224,688 (20,529)274,043 (3,269)498,731 (23,798)
Corporate debt2,337,348 (202,913)862,666 (9,979)3,200,014 (212,892)
Agency RMBS810,334 (96,973)414,071 (6,549)1,224,405 (103,522)
CMBS665,150 (47,233)86,723 (3,352)751,873 (50,585)
Non-agency RMBS86,352 (12,562)15,966 (88)102,318 (12,650)
ABS447,941 (19,575)343,163 (1,300)791,104 (20,875)
Municipals124,038 (10,203)7,081 (397)131,119 (10,600)
Total fixed maturities, available for sale$5,353,809 $(450,397)$3,673,152 $(41,993)$9,026,961 $(492,390)
At December 31, 2023      
Fixed maturities, available for sale
U.S. government and agency$846,503 $(42,465)$867,733 $(12,663)$1,714,236 $(55,128)
Non-U.S. government233,038 (18,178)115,112 (683)348,150 (18,861)
Corporate debt2,623,304 (210,512)240,813 (5,966)2,864,117 (216,478)
Agency RMBS778,656 (80,070)218,606 (2,968)997,262 (83,038)
CMBS703,411 (54,856)75,242 (3,552)778,653 (58,408)
Non-agency RMBS98,483 (13,013)10,017 (20)108,500 (13,033)
ABS879,743 (24,747)83,582 (274)963,325 (25,021)
Municipals129,969 (10,156)6,238 (392)136,207 (10,548)
Total fixed maturities, available for sale$6,293,107 $(453,997)$1,617,343 $(26,518)$7,910,450 $(480,515)
Summary of Fixed Maturities, 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 lossesNet carrying valueGross
unrealized
gains
Gross
unrealized
losses
Fair
value
At March 31, 2024
Held to maturity
Corporate debt$100,217 $— $100,217 $177 $(9,360)$91,034 
ABS(1)
592,825 — 592,825 270 (403)592,692 
Total fixed maturities, held to maturity$693,042 $— $693,042 $447 $(9,763)$683,726 
At December 31, 2023    
Held to maturity
Corporate debt$95,200 $— $95,200 $298 $(8,827)$86,671 
ABS(1)
591,096 — 591,096 5 (1,921)589,180 
Total fixed maturities, held to maturity$686,296 $— $686,296 $303 $(10,748)$675,851 
(1)Asset-backed securities ("ABS") include debt tranched securities collateralized primarily by collateralized loan obligations ("CLOs").
Summary of 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 March 31, 2024
Equity securities
Common stocks$2,843 $25 $(416)$2,452 
Preferred stocks5,654 161 (113)5,702 
Exchange-traded funds188,548 99,734 (1,116)287,166 
Bond mutual funds348,493 2,327 (63,962)286,858 
Total equity securities$545,538 $102,247 $(65,607)$582,178 
At December 31, 2023   
Equity securities
Common stocks$2,843 $101 $(398)$2,546 
Preferred stocks5,496 218 (113)5,601 
Exchange-traded funds182,989 105,858 (1,572)287,275 
Bond mutual funds352,505 4,119 (63,535)293,089 
Total equity securities$543,833 $110,296 $(65,618)$588,511 
Summary of Mortgage Loans Net of Valuation Allowance
The following table provides details of the Company's mortgage loans, held for investment:
  
March 31, 2024December 31, 2023
  
Carrying value% of TotalCarrying value% of Total
Mortgage loans, held for investment:
Commercial$617,817 101 %$616,368 101 %
Allowance for expected credit losses (8,113)(1 %)(6,220)(1)%
Total mortgage loans, held for investment$609,704 100 %$610,148 100 %
Summary of 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, 2024    
Multi-strategy funds$24,950 3 %Quarterly
60-90 days
Direct lending funds168,987 18 %
Quarterly(1)
90 days
Private equity funds309,399 33 %n/an/a
Real estate funds309,545 33 %
Quarterly(2), Annually(3)
45-90 days
CLO-Equities4,986 — %n/an/a
Other privately held investments116,857 13 %n/an/a
Total other investments$934,724 100 % 
At December 31, 2023    
Multi-strategy funds$24,619 3 %Quarterly
60-90 days
Direct lending funds192,270 20 %
Quarterly(1)
90 days
Private equity funds301,712 32 %n/an/a
Real estate funds317,325 33 %
Quarterly(2), Annually(3)
45-90 days
CLO-Equities5,300 1 %n/an/a
Other privately held investments108,187 11 %n/an/a
Total other investments$949,413 100 %  
     
n/a - not applicable
(1) Applies to one fund with a fair value of $13 million (2023: $17 million).
(2) Applies to one fund with a fair value of $64 million (2023: $66 million).
(3) Applies to one fund with a fair value of $24 million (2023: $25 million).
Summary of Net Investment Income
Net investment income was derived from the following sources:
  
Three months ended March 31,
  
20242023
Fixed maturities$139,396 $118,262 
Other investments5,673 486 
Equity securities2,762 2,455 
Mortgage loans9,130 8,386 
Cash and cash equivalents13,661 10,012 
Short-term investments3,463 1,660 
Gross investment income
174,085 141,261 
Investment expenses(6,702)(7,490)
Net investment income$167,383 $133,771 
Summary of Net Investment Gains (Losses)
The following table provides an analysis of net investment gains (losses):
  Three months ended March 31,
  20242023
Gross realized investment gains
Fixed maturities and short-term investments$14,399 $12,370 
Equity securities30,626 1,517 
Gross realized investment gains45,025 13,887 
Gross realized investment losses
Fixed maturities and short-term investments(43,932)(53,649)
Equity securities(7,712)(396)
Gross realized investment losses(51,644)(54,045)
(Increase) decrease in allowance for expected credit losses, fixed maturities, available for sale6,522 (911)
(Increase) decrease in allowance for expected credit losses, mortgage loans(1,858)(1,900)
Impairment losses(1)
(8)— 
Change in fair value of investment derivatives(2)
795 (947)
Net unrealized gains (losses) on equity securities(8,039)23,726 
Net investment losses$(9,207)$(20,190)
(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'.
Summary of 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,
  20242023
Balance at beginning of period$10,759 $11,733 
Expected credit losses on securities where credit losses were not previously recognized
31 613 
Additions (reductions) for expected credit losses on securities where credit losses were previously recognized
(1,553)919 
Impairments of securities which the Company intends to sell or more likely than not will be required to sell— — 
Securities sold/redeemed/matured(5,000)(620)
Balance at end of period$4,237 $12,645