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Investments (Tables)

9 Months Ended

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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