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INVESTMENTS

9 Months Ended

Sep. 30, 2024

Investments, Debt and Equity Securities [Abstract]

a) Fixed Maturities, Available for Sale

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, 2024
Available for sale
U.S. government and agency	$	2,793,879	$	—	$	37,888	$	(20,967)	$	2,810,800
Non-U.S. government	798,756		(17)		25,806		(7,914)		816,631
Corporate debt	5,740,096		(4,164)		111,523		(124,069)		5,723,386
Agency RMBS(1)	1,764,991		—		29,026		(46,954)		1,747,063
CMBS(2)	839,795		—		3,553		(32,591)		810,757
Non-agency RMBS	132,009		(190)		1,128		(8,502)		124,445
ABS(3)	1,582,069		(51)		11,689		(8,605)		1,585,102
Municipals(4)	155,197		—		1,138		(6,326)		150,009
Total fixed maturities, available for sale	$	13,806,792	$	(4,422)	$	221,751	$	(255,928)	$	13,768,193







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. government	729,761		(30)		13,089		(18,861)		723,959
Corporate debt	4,651,654		(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 RMBS	165,910		(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.

Contractual 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 September 30, 2024
Maturity
Due in one year or less	$	752,064	$	748,123	5.5	%
Due after one year through five years	6,089,410		6,132,217		44.5	%
Due after five years through ten years	2,408,029		2,380,767		17.3	%
Due after ten years	238,425		239,719		1.7	%
	9,487,928		9,500,826		69.0	%
Agency RMBS	1,764,991		1,747,063		12.7	%
CMBS	839,795		810,757		5.9	%
Non-agency RMBS	132,009		124,445		0.9	%
ABS	1,582,069		1,585,102		11.5	%
Total	$	13,806,792	$	13,768,193	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 years	5,902,571		5,790,493		47.3	%
Due after five years through ten years	2,064,619		1,954,449		16.0	%
Due after ten years	157,653		155,287		1.3	%
	8,599,400		8,364,018		68.2	%
Agency RMBS	1,706,204		1,634,661		13.4	%
CMBS	897,553		839,696		6.9	%
Non-agency RMBS	165,910		153,396		1.3	%
ABS	1,265,187		1,242,971		10.2	%
Total	$	12,634,254	$	12,234,742	100.0	%

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 September 30, 2024
Fixed maturities, available for sale
U.S. government and agency	$	427,033	$	(20,361)	$	259,245	$	(606)	$	686,278	$	(20,967)
Non-U.S. government	150,570		(7,512)		17,874		(402)		168,444		(7,914)
Corporate debt	1,878,476		(117,310)		361,048		(6,759)		2,239,524		(124,069)
Agency RMBS	653,678		(46,088)		113,908		(866)		767,586		(46,954)
CMBS	641,584		(32,567)		9,869		(24)		651,453		(32,591)
Non-agency RMBS	74,745		(8,497)		1,166		(5)		75,911		(8,502)
ABS	209,382		(8,532)		73,236		(73)		282,618		(8,605)
Municipals	117,076		(6,307)		1,474		(19)		118,550		(6,326)
Total fixed maturities, available for sale	$	4,152,544	$	(247,174)	$	837,820	$	(8,754)	$	4,990,364	$	(255,928)







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. government	233,038		(18,178)		115,112		(683)		348,150		(18,861)
Corporate debt	2,623,304		(210,512)		240,813		(5,966)		2,864,117		(216,478)
Agency RMBS	778,656		(80,070)		218,606		(2,968)		997,262		(83,038)
CMBS	703,411		(54,856)		75,242		(3,552)		778,653		(58,408)
Non-agency RMBS	98,483		(13,013)		10,017		(20)		108,500		(13,033)
ABS	879,743		(24,747)		83,582		(274)		963,325		(25,021)
Municipals	129,969		(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)

At September 30, 2024, 2,897 fixed maturities (2023: 3,535) were in an unrealized loss position of $256 million (2023: $481 million), of which $9 million (2023: $13 million) was related to securities below investment grade or not rated.

At September 30, 2024, 2,525 fixed maturities (2023: 3,212) had been in a continuous unrealized loss position for twelve months or greater and had a fair value of $4,153 million (2023: $6,293 million).

The unrealized losses of $256 million (2023: $481 million) were due to non-credit factors and were expected to be recovered as the related securities approach maturity.

At September 30, 2024, 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) 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 losses		Net carrying value		Gross unrealized gains		Gross unrealized losses		Fair value

At September 30, 2024
Held to maturity
Corporate debt	$	123,992	$	—	$	123,992	$	1,654	$	(6,327)	$	119,319
ABS(1)	379,784		—		379,784		566		(131)		380,219
Total fixed maturities, held to maturity	$	503,776	$	—	$	503,776	$	2,220	$	(6,458)	$	499,538

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").

At September 30, 2024, fixed maturities, held to maturity of $504 million (2023: $686 million) were presented net of an allowance for expected credit losses of $nil (2023: $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 September 30, 2024, 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 September 30, 2024, the allowance for credit losses expected to be recognized over the life of the Company's corporate debt, held to maturity was $nil.

Contractual 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. ABS classified as held to maturity had a carrying value of $380 million (2023: $591 million).

Corporate debt classified as held to maturity with a net carrying value of $28 million (2023: $nil) is due between 1 year and 3 years and corporate debt classified as held to maturity with a net carrying value of $96 million (2023: $95 million) is due between 3 years and 10 years.

c) 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, 2024
Equity securities
Common stocks	$	2,843	$	76	$	(418)	$	2,501
Preferred stocks	5,843		341		(100)		6,084
Exchange-traded funds	188,625		125,072		(473)		313,224
Bond mutual funds	320,779		4,896		(42,650)		283,025
Total equity securities	$	518,090	$	130,385	$	(43,641)	$	604,834

At December 31, 2023
Equity securities
Common stocks	$	2,843	$	101	$	(398)	$	2,546
Preferred stocks	5,496		218		(113)		5,601
Exchange-traded funds	182,989		105,858		(1,572)		287,275
Bond mutual funds	352,505		4,119		(63,535)		293,089
Total equity securities	$	543,833	$	110,296	$	(65,618)	$	588,511

d) Mortgage Loans

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


	September 30, 2024				December 31, 2023
	Carrying value		% of Total		Carrying value		% of Total

Mortgage loans, held for investment:
Commercial	$	546,953	104	%	$	616,368	101	%
Allowance for expected credit losses	(22,024)		(4	%)	(6,220)		(1)	%


Total mortgage loans, held for investment	$	524,929	100	%	$	610,148	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 quarterly.

The Company has a high quality commercial mortgage loan portfolio with a weighted average debt service coverage ratio of 1.9x (2023: 1.9x) and a weighted average loan-to-value ratio of 78% (2023: 71%). At September 30, 2024, and 2023, there were no past due amounts associated with the commercial mortgage loans held by the Company.

On a quarterly basis the Company's exposure to commercial mortgage loans in the office sector, which represents 44% (2023: 41%) of the total mortgage loan portfolio, is evaluated for credit losses based on inputs unique to this sector. This assessment utilizes historical credit loss experience adjusted to reflect current conditions and management forecasts. Further, collateral dependent commercial mortgage loans (e.g., when the borrower is experiencing financial difficulty, including when foreclosure is reasonably possible or probable) are evaluated individually for credit losses. The allowance for expected credit losses for a collateral dependent loan is established as the excess of amortized cost over the estimated fair value of the loan's underlying collateral, less selling cost when foreclosure is probable.

Accordingly, any change in estimated credit losses are recognized as a change in the allowance for expected credit losses which is recorded in net investment gains (losses).

At September 30, 2024, the Company's mortgage loan portfolio had an allowance for expected credit loss of $22 million (2023: $6 million).

e) 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 September 30, 2024

Multi-strategy funds	$	24,302	3	%	Quarterly	60-90 days


Direct lending funds	174,441		19	%	Quarterly(1)	90 days
Private equity funds	314,444		33	%	n/a	n/a
Real estate funds	310,130		33	%	Quarterly(2), Annually(3)	45-90 days
CLO-Equities	4,133		—	%	n/a	n/a
Other privately held investments	112,284		12	%	n/a	n/a

Total other investments	$	939,734	100	%

At December 31, 2023

Multi-strategy funds	$	24,619	3	%	Quarterly	60-90 days


Direct lending funds	192,270		20	%	Quarterly(1)	90 days
Private equity funds	301,712		32	%	n/a	n/a
Real estate funds	317,325		33	%	Quarterly(2), Annually(3)	45-90 days
CLO-Equities	5,300		1	%	n/a	n/a
Other privately held investments	108,187		11	%	n/a	n/a

Total other investments	$	949,413	100	%

n/a - not applicable

(1) Applies to one fund with a fair value of $4 million (2023: $17 million).

(2) Applies to one fund with a fair value of $54 million (2023: $66 million).

(3) Applies to one fund with a fair value of $23 million (2023: $25 million).

Two common redemption restrictions which may impact the Company's ability to redeem multi-strategy 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 nine months ended September 30, 2024 and 2023, neither of these restrictions impacted the Company's redemption requests. At September 30, 2024, there were no multi-strategy fund holdings (2023: $nil) where the Company is still within the lockup period.

At September 30, 2024, the Company had $28 million (2023: $28 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 September 30, 2024, the Company had $259 million (2023: $192 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 September 30, 2024, the Company had $117 million (2023: $145 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 six years.

At September 30, 2024, the Company had $95 million (2023: $107 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.

At September 30, 2024, the Company had $23 million (2023: $30 million) of unfunded commitments as a limited partner in three private company investment funds focusing on financial services technology companies with an emphasis on insurance technology companies ("private company investment funds"). Two of these funds have investment terms of 5 years and one fund has an investment term of 10 years.

f) Equity Method Investments

During 2023, the Company paid $22 million to acquire 18% of the common equity of Monarch Point Re (ISAC) Ltd. and Monarch Point Re (ISA 2023) Ltd., a collateralized reinsurance company formed under the laws of Bermuda as an incorporated segregated accounts company under the Incorporated Segregated Accounts Companies Act 2019, as amended (the "ISAC Act"). During 2024, the Company paid $12 million to acquire 18% of the common equity of Monarch Point Re (ISA 2024) Ltd., (Monarch Point Re (ISAC) Ltd., Monarch Point Re (ISA 2023) Ltd. and Monarch Point Re (ISA 2024) Ltd., individually or collectively "Monarch Point Re").

Monarch Point Re is an independent reinsurer jointly sponsored by the Company and Stone Point Credit, LLC ("Stone Point").

The Company retrocedes a diversified portfolio of casualty reinsurance business to Monarch Point Re and Stone Point serves as its investment manager. As an investor, the Company expects to benefit from underwriting fees generated by Monarch Point Re and the income and capital appreciation Stone Point seeks to deliver through its investment management services.

Monarch Point Re is not a Variable Interest Entity ("VIE") that is required to be included in the Company's consolidated financial statements. The Company accounts for its ownership interest in Monarch Point Re under the equity method of accounting.

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 the Company and The Blackstone Group L.P. ("Blackstone"). During 2023, following a share tender offer, the Company's ownership interest in Harrington increased to 20%.

Through long-term service agreements, the Company serves as Harrington Re's reinsurance underwriting manager and Blackstone serves 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.

g) 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 VIEs. These structured securities include RMBS, CMBS and ABS.

The Company also invests in limited partnerships which represent 76% of the Company's other investments. The investments in limited partnerships include multi-strategy funds, direct lending funds, private equity funds, real estate funds and CLO equity tranched securities, which are variable interests issued by VIEs (refer to Note 4(e) '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.

h) Net Investment Income

Net investment income was derived from the following sources:


	Three months ended September 30,				Nine months ended September 30,
	2024		2023		2024		2023

Fixed maturities	$	163,002	$	133,006	$	456,421	$	375,659
Other investments	19,594		312		39,569		(4,543)
Equity securities	3,529		3,050		9,348		8,495
Mortgage loans	8,175		8,892		26,412		26,158
Cash and cash equivalents	14,402		14,465		41,796		35,638
Short-term investments	3,919		2,195		11,148		5,984
Gross investment income	212,621		161,920		584,694		447,391
Investment expenses	(7,521)		(7,719)		(21,236)		(22,589)
Net investment income	$	205,100	$	154,201	$	563,458	$	424,802

i) 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,
	2024		2023		2024		2023

Gross realized investment gains
Fixed maturities and short-term investments	$	22,649	$	4,143	$	43,232	$	27,973
Equity securities	1,667		8,433		32,292		9,968
Gross realized investment gains	24,316		12,576		75,524		37,941
Gross realized investment losses
Fixed maturities and short-term investments	(22,589)		(31,390)		(119,108)		(128,733)
Equity securities	(7,539)		(4)		(15,251)		(400)
Mortgage loans	(4,275)		—		(4,275)		—
Gross realized investment losses	(34,403)		(31,394)		(138,634)		(129,133)
(Increase) decrease in allowance for expected credit losses, fixed maturities, available for sale	209		1,618		6,338		2,800
(Increase) decrease in allowance for expected credit losses, mortgage loans	(1,343)		(541)		(15,771)		(4,179)
Impairment losses(1)	(14)		(41)		(178)		(9,124)

Change in fair value of investment derivatives(2)	(870)		1,692		153		218
Net unrealized gains (losses) on equity securities	44,287		(37,024)		42,065		3,806

Net investment gains (losses)	$	32,182	$	(53,114)	$	(30,503)	$	(97,671)

(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 6 '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 September 30,				Nine months ended September 30,
	2024		2023			2024		2023

Balance at beginning of period	$	4,631	$	10,551		$	10,759	$	11,733
Expected credit losses on securities where credit losses were not previously recognized	325		21			604		4,376
Additions (reductions) for expected credit losses on securities where credit losses were previously recognized	(451)		708			(1,858)		404
Impairments of securities which the Company intends to sell or more likely than not will be required to sell	—		—			—		—
Securities sold/redeemed/matured	(83)		(2,347)			(5,083)		(7,580)
Balance at end of period	$	4,422	$	8,933		$	4,422	$	8,933

j) Reverse Repurchase Agreements

At September 30, 2024, the Company held $26 million (2023: $12 million) of reverse repurchase agreements. These loans are fully collateralized, are generally outstanding for a short period of time and are presented on a gross basis as part of cash and cash equivalents in the Company's consolidated balance sheets. The required collateral for these loans is either cash or U.S. Treasuries at a minimum rate of 102% of the loan principal. Upon maturity, the Company receives principal and interest income. The Company monitors the estimated fair value of the securities loaned and borrowed on a daily basis with additional collateral obtained as necessary throughout the duration of the transaction.