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v3.23.3

Investments (Tables) | 9 Months Ended
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Sep. 30, 2023
Investments, Debt and Equity Securities [Abstract] |
Schedule of Fixed Maturity and Short-Term Investments | The Company’s fixed maturity and short-term investments at September 30, 2023 and December 31, 2022 are as follows:
| 2023
(Expressed in thousands of U.S. Dollars) | Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Fair Value
Fixed maturities: |  |  |  |  |  |  |
U.S. government treasuries | $ | 651,446 |  |  | $ | 21 |  |  | $ | (32,381) |  |  | $ | 619,086 |
U.S. states, territories and municipalities | 4,729 |  |  | — |  |  | (375) |  |  | 4,354 |
Non-U.S. sovereign governments and supranationals | 44,759 |  |  | 413 |  |  | (1,840) |  |  | 43,332 |
Corporate | 853,433 |  |  | 81 |  |  | (42,177) |  |  | 811,337 |
Residential mortgage-backed securities - Agency | 148,097 |  |  | — |  |  | (20,117) |  |  | 127,980 |
Residential mortgage-backed securities - Non-agency | 4,763 |  |  | 2 |  |  | (821) |  |  | 3,944 |
Commercial mortgage-backed securities - Non-agency | 10,188 |  |  | — |  |  | (1,295) |  |  | 8,893 |
Other asset-backed securities | 12,847 |  |  | 15 |  |  | (317) |  |  | 12,545 |
Total fixed maturities | 1,730,262 |  |  | 532 |  |  | (99,323) |  |  | 1,631,471 |
Short-term investments | 347,623 |  |  | 1,345 |  |  | — |  |  | 348,968 |
Total | $ | 2,077,885 |  |  | $ | 1,877 |  |  | $ | (99,323) |  |  | $ | 1,980,439 |
| 2022
(Expressed in thousands of U.S. Dollars) | Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Fair Value
Fixed maturities: |  |  |  |  |  |  |
U.S. government treasuries | $ | 498,841 |  |  | $ | 99 |  |  | $ | (27,089) |  |  | $ | 471,851 |
U.S. states, territories and municipalities | 4,741 |  |  | — |  |  | (434) |  |  | 4,307 |
Non-U.S. sovereign governments and supranationals | 14,191 |  |  | 363 |  |  | (1,602) |  |  | 12,952 |
Corporate | 690,900 |  |  | 363 |  |  | (43,786) |  |  | 647,477 |
Residential mortgage-backed securities - Agency | 111,234 |  |  | — |  |  | (14,824) |  |  | 96,410 |
Residential mortgage-backed securities - Non-agency | 5,147 |  |  | — |  |  | (772) |  |  | 4,375 |
Commercial mortgage-backed securities - Non-agency | 10,283 |  |  | — |  |  | (1,064) |  |  | 9,219 |
Other asset-backed securities | 13,347 |  |  | 1 |  |  | (463) |  |  | 12,885 |
Total fixed maturities | 1,348,684 |  |  | 826 |  |  | (90,034) |  |  | 1,259,476 |
Short-term investments | 285,130 |  |  | 986 |  |  | (5) |  |  | 286,111 |
Total | $ | 1,633,814 |  |  | $ | 1,812 |  |  | $ | (90,039) |  |  | $ | 1,545,587 |
Schedule of Contractual Maturities of Fixed Maturity Securities | The following table presents contractual maturities of fixed maturity securities at September 30, 2023. Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.
| 2023
(Expressed in thousands of U.S. Dollars) | Amortized Cost |  | Fair Value
Due less than one year | $ | 139,886 |  |  | $ | 135,950 |
Due after one through five years | 1,164,512 |  |  | 1,107,734 |
Due after five through ten years | 245,255 |  |  | 230,867 |
Due after ten years | 4,714 |  |  | 3,558 |
Mortgage-backed | 163,048 |  |  | 140,817 |
Asset-backed | 12,847 |  |  | 12,545 |
Total | $ | 1,730,262 |  |  | $ | 1,631,471 |
Schedule of Investments in Two Sigma Funds | The Company’s investments in Two Sigma Funds at September 30, 2023 and December 31, 2022 are as follows:
| 2023 |  | 2022
(Expressed in thousands of U.S. Dollars) | Cost |  | Net Unrealized Gains (Losses) |  | Fair Value |  | Cost |  | Net Unrealized Gains (Losses) |  | Fair Value
Two Sigma Futures Portfolio, LLC (FTV) | $ | 469,379 |  |  | $ | (7,212) |  |  | $ | 462,167 |  |  | $ | 438,625 |  |  | $ | (95,213) |  |  | $ | 343,412 |
Two Sigma Spectrum Portfolio, LLC (STV) | 239,819 |  |  | 54,115 |  |  | 293,934 |  |  | 171,135 |  |  | 57,982 |  |  | 229,117 |
Two Sigma Equity Spectrum Portfolio, LLC (ESTV) | 182,593 |  |  | 41,292 |  |  | 223,885 |  |  | 121,340 |  |  | 46,867 |  |  | 168,207 |
Total | $ | 891,791 |  |  | $ | 88,195 |  |  | $ | 979,986 |  |  | $ | 731,100 |  |  | $ | 9,636 |  |  | $ | 740,736 |
Summary of Certain Investments of FTV, STV and ESTV | The following table summarizes certain investments of FTV, STV and ESTV where TS Hamilton Fund’s proportionate share of the fair value of the investment represents more than 5% of TS Hamilton Fund’s members’ equity at September 30, 2023:
| 2023
(Expressed in thousands of U.S. Dollars) | Principal / Shares (1) |  | Fair Value (1) |  | % of Members' Equity
State Street Treasury Obligations Money Market Fund | 126,802 |  |  | $ | 126,802 |  |  | 7.5 | %
U.S. Treasury Securities, 0.0000% - 4.6250%, due 10/5/2023 - 8/15/2043 | 710,830 |  |  | $ | 704,227 |  |  | 41.5 | %
U.K. Gilt Securities, 1.6250%, due 10/22/2028 | 604 |  |  | $ | 650 |  |  | — | %
U.K. Gilt Securities, 3.2500% - 3.7500%, due 1/31/2033 - 10/22/2053 | (82,909) |  |  | $ | (89,773) |  |  | (5.3) | %
U.S. Treasury Securities, 3.8750% - 5.0000%, due 9/30/2025 - 8/15/2023 | (240,013) |  |  | $ | (236,195) |  |  | (13.9) | %
(1) Values represent TS Hamilton Fund’s proportionate share of the aggregate of FTV, STV and ESTV total holdings.
Schedule of Realized and Unrealized Gains (Losses) on Investments and Net Investment Income (Loss) | The components of total realized and unrealized gains (losses) on investments and net investment income (loss) for the three and nine months ended September 30, 2023 and 2022 are as follows:
|  |  |  | Three Months Ended |  | Nine Months Ended |  |  |  |  |  |
|  |  |  | September 30, |  | September 30, |  |  |  |  |  |
(Expressed in thousands of U.S. Dollars) |  |  |  | 2023 |  | 2022 |  | 2023 |  | 2022 |  |  |  |  |  |
Net realized and unrealized gains (losses) on investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net realized gains (losses) on investments |  |  |  | $ | 42,403 |  |  | $ | 115,129 |  |  | $ | 32,363 |  |  | $ | 267,140 |  |  |  |  |  |  |
Change in net unrealized gains (losses) on investments |  |  |  | 4,940 |  |  | (182,509) |  |  | 69,518 |  |  | (120,500) |  |  |  |  |  |  |
Net realized and unrealized gains (losses) on investments |  |  |  | 47,343 |  |  | (67,380) |  |  | 101,881 |  |  | 146,640 |  |  |  |  |  |  |
Net investment income (loss): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturities |  |  |  | 12,208 |  |  | 5,880 |  |  | 31,178 |  |  | 14,343 |  |  |  |  |  |  |
Short-term investments |  |  |  | 38 |  |  | 334 |  |  | 287 |  |  | 737 |  |  |  |  |  |  |
TS Hamilton Fund |  |  |  | 3,121 |  |  | 3,095 |  |  | 13,033 |  |  | 4,603 |  |  |  |  |  |  |
Cash and cash equivalents |  |  |  | 4,029 |  |  | 544 |  |  | 8,752 |  |  | 696 |  |  |  |  |  |  |
Other |  |  |  | (104) |  |  | (431) |  |  | 1,015 |  |  | (1,230) |  |  |  |  |  |  |
Interest and other |  |  |  | 19,292 |  |  | 9,422 |  |  | 54,265 |  |  | 19,149 |  |  |  |  |  |  |
Management fees |  |  |  | (10,958) |  |  | (14,420) |  |  | (35,806) |  |  | (40,601) |  |  |  |  |  |  |
Other expenses |  |  |  | (265) |  |  | (257) |  |  | (740) |  |  | (733) |  |  |  |  |  |  |
Net investment income (loss) |  |  |  | 8,069 |  |  | (5,255) |  |  | 17,719 |  |  | (22,185) |  |  |  |  |  |  |
Total realized and unrealized gains (losses) on investments and net investment income (loss) |  |  |  | $ | 55,412 |  |  | $ | (72,635) |  |  | $ | 119,600 |  |  | $ | 124,455 |  |  |  |  |  |  |
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Schedule of Realized Gain (Loss) on Investments | The components of net realized gains (losses) on investments for the three and nine months ended September 30, 2023 and 2022 are as follows:
| Three Months Ended |  | Nine Months Ended |  |  |  |  |  |  |
| September 30, |  | September 30, |  |  |  |  |  |  |
(Expressed in thousands of U.S. Dollars) | 2023 |  | 2022 |  | 2023 |  | 2022 |  |  |  |  |  |  |
Fixed maturities and short-term investments | $ | (7,688) |  |  | $ | (3,313) |  |  | $ | (10,796) |  |  | $ | (13,684) |  |  |  |  |  |  |  |
TS Hamilton Fund | 50,091 |  |  | 118,442 |  |  | 42,948 |  |  | 279,977 |  |  |  |  |  |  |  |
Other | — |  |  | — |  |  | 211 |  |  | 847 |  |  |  |  |  |  |  |
Net realized gains (losses) on investments | $ | 42,403 |  |  | $ | 115,129 |  |  | $ | 32,363 |  |  | $ | 267,140 |  |  |  |  |  |  |  |
Schedule of Unrealized Gain (Loss) on Investments | The components of net unrealized gains (losses) on investments for the three and nine months ended September 30, 2023 and 2022 are as follows:
| Three Months Ended |  | Nine Months Ended |  |  |  |  |  |  |
| September 30, |  | September 30, |  |  |  |  |  |  |
(Expressed in thousands of U.S. Dollars) | 2023 |  | 2022 |  | 2023 |  | 2022 |  |  |  |  |  |  |
Fixed maturities and short-term investments | $ | (12,818) |  |  | $ | (38,556) |  |  | $ | (9,800) |  |  | $ | (101,760) |  |  |  |  |  |  |  |
TS Hamilton Fund | 17,758 |  |  | (143,953) |  |  | 79,318 |  |  | (18,740) |  |  |  |  |  |  |  |
Net realized gains (losses) on investments | $ | 4,940 |  |  | $ | (182,509) |  |  | $ | 69,518 |  |  | $ | (120,500) |  |  |  |  |  |  |  |

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