Investments (Tables)
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6 Months Ended |
Jun. 30, 2019 |
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| Schedule of Investments [Abstract] |
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| Original or amortized cost, estimated fair value and gross unrealized gains and losses of fixed maturities |
The original or amortized cost, estimated fair value and gross unrealized gains and losses of fixed maturities at June 30, 2019 and December 31, 2018 are as follows: | | | | | | | | | | | | | | | | | | June 30, 2019 | | Original or amortized cost | | Gross unrealized gains | | Gross unrealized losses | | Fair value | AFS fixed maturities: | | | | | | | | | U.S. treasury bonds | | $ | 365,953 |
| | $ | 1,153 |
| | $ | (3 | ) | | $ | 367,103 |
| U.S. agency bonds – mortgage-backed | | 950,301 |
| | 9,299 |
| | (3,203 | ) | | 956,397 |
| U.S. agency bonds – other | | 51,875 |
| | 4 |
| | (1 | ) | | 51,878 |
| Non-U.S. government and supranational bonds | | 29,321 |
| | 313 |
| | (298 | ) | | 29,336 |
| Asset-backed securities | | 220,938 |
| | 681 |
| | (553 | ) | | 221,066 |
| Corporate bonds | | 1,310,870 |
| | 37,115 |
| | (15,258 | ) | | 1,332,727 |
| Municipal bonds | | 12,949 |
| | 142 |
| | — |
| | 13,091 |
| Total fixed maturity investments | | $ | 2,942,207 |
| | $ | 48,707 |
| | $ | (19,316 | ) | | $ | 2,971,598 |
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| | | | | | | | | | | | | | | | | | December 31, 2018 | | Original or amortized cost | | Gross unrealized gains | | Gross unrealized losses | | Fair value | AFS fixed maturities: | | | | | | | | | U.S. treasury bonds | | $ | 138,625 |
| | $ | 448 |
| | $ | (1 | ) | | $ | 139,072 |
| U.S. agency bonds – mortgage-backed | | 1,485,716 |
| | 3,491 |
| | (36,073 | ) | | 1,453,134 |
| U.S. agency bonds – other | | 129,741 |
| | 40 |
| | (548 | ) | | 129,233 |
| Non-U.S. government and supranational bonds | | 11,212 |
| | 66 |
| | (1,206 | ) | | 10,072 |
| Asset-backed securities | | 216,072 |
| | 425 |
| | (1,415 | ) | | 215,082 |
| Corporate bonds | | 1,128,614 |
| | 6,525 |
| | (30,164 | ) | | 1,104,975 |
| Total AFS fixed maturities | | 3,109,980 |
| | 10,995 |
| | (69,407 | ) | | 3,051,568 |
| HTM fixed maturities: | | | | | | | | | Corporate bonds | | 957,845 |
| | 3,872 |
| | (20,990 | ) | | 940,727 |
| Municipal bonds | | 57,836 |
| | — |
| | (551 | ) | | 57,285 |
| Total HTM fixed maturities | | 1,015,681 |
| | 3,872 |
| | (21,541 | ) | | 998,012 |
| Total fixed maturity investments | | $ | 4,125,661 |
| | $ | 14,867 |
| | $ | (90,948 | ) | | $ | 4,049,580 |
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| Contractual maturities of fixed maturities, available-for-sale |
The contractual maturities of our fixed maturities are shown below. Actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. | | | | | | | | | | June 30, 2019 | | Amortized cost | | Fair value | Maturity | | | | | Due in one year or less | | $ | 403,428 |
| | $ | 402,136 |
| Due after one year through five years | | 791,633 |
| | 798,539 |
| Due after five years through ten years | | 575,907 |
| | 593,460 |
| | | 1,770,968 |
| | 1,794,135 |
| U.S. agency bonds – mortgage-backed | | 950,301 |
| | 956,397 |
| Asset-backed securities | | 220,938 |
| | 221,066 |
| Total fixed maturities | | $ | 2,942,207 |
| | $ | 2,971,598 |
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| Summary of fixed maturities in an unrealized loss position and the aggregate fair value and gross unrealized loss by length of time the securities have continuously been in an unrealized loss position |
The following tables summarize fixed maturities 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: | | | | | | | | | | | | | | | | | | | | | | | | | | | | Less than 12 Months | | 12 Months or More | | Total | June 30, 2019 | | Fair
value | | Unrealized
losses | | Fair
value | | Unrealized
losses | | Fair
value | | Unrealized
losses | Fixed maturities | | | | | | | | | | | | | U.S. treasury bonds | | $ | 249,954 |
| | $ | (3 | ) | | $ | — |
| | $ | — |
| | $ | 249,954 |
| | $ | (3 | ) | U.S. agency bonds – mortgage-backed | | 10,461 |
| | (52 | ) | | 281,302 |
| | (3,151 | ) | | 291,763 |
| | (3,203 | ) | U.S. agency bonds – other | | 49,988 |
| | (1 | ) | | — |
| | — |
| | 49,988 |
| | (1 | ) | Non-U.S. government and supranational bonds | | 14,126 |
| | (181 | ) | | 7,789 |
| | (117 | ) | | 21,915 |
| | (298 | ) | Asset-backed securities | | 83,560 |
| | (419 | ) | | 9,266 |
| | (134 | ) | | 92,826 |
| | (553 | ) | Corporate bonds | | 26,221 |
| | (530 | ) | | 214,237 |
| | (14,728 | ) | | 240,458 |
| | (15,258 | ) | Total temporarily impaired fixed maturities | | $ | 434,310 |
| | $ | (1,186 | ) | | $ | 512,594 |
| | $ | (18,130 | ) | | $ | 946,904 |
| | $ | (19,316 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | Less than 12 Months | | 12 Months or More | | Total | December 31, 2018 | | Fair
value | | Unrealized
losses | | Fair
value | | Unrealized
losses | | Fair
value | | Unrealized
losses | Fixed maturities | | | | | | | | | | | | | U.S. treasury bonds | | $ | 125 |
| | $ | (1 | ) | | $ | — |
| | $ | — |
| | $ | 125 |
| | $ | (1 | ) | U.S. agency bonds – mortgage-backed | | 416,147 |
| | (6,624 | ) | | 838,091 |
| | (29,449 | ) | | 1,254,238 |
| | (36,073 | ) | U.S. agency bonds – other | | 26,838 |
| | (27 | ) | | 17,462 |
| | (521 | ) | | 44,300 |
| | (548 | ) | Non-U.S. government and supranational bonds | | 4,024 |
| | (252 | ) | | 3,770 |
| | (954 | ) | | 7,794 |
| | (1,206 | ) | Asset-backed securities | | 74,801 |
| | (1,196 | ) | | 5,793 |
| | (219 | ) | | 80,594 |
| | (1,415 | ) | Corporate bonds | | 1,052,765 |
| | (30,334 | ) | | 286,542 |
| | (20,820 | ) | | 1,339,307 |
| | (51,154 | ) | Municipal bonds | | 20,379 |
| | (261 | ) | | 36,906 |
| | (290 | ) | | 57,285 |
| | (551 | ) | Total temporarily impaired fixed maturities | | $ | 1,595,079 |
| | $ | (38,695 | ) | | $ | 1,188,564 |
| | $ | (52,253 | ) | | $ | 2,783,643 |
| | $ | (90,948 | ) |
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| Summary of the credit ratings of fixed maturities |
The following summarizes the credit ratings of our fixed maturities: | | | | | | | | | | | | | Ratings(1) at June 30, 2019 | | Amortized cost | | Fair value | | % of Total
fair value | U.S. treasury bonds | | $ | 365,953 |
| | $ | 367,103 |
| | 12.4 | % | U.S. agency bonds | | 1,002,176 |
| | 1,008,275 |
| | 33.9 | % | AAA | | 117,628 |
| | 117,891 |
| | 4.0 | % | AA+, AA, AA- | | 154,929 |
| | 156,037 |
| | 5.2 | % | A+, A, A- | | 784,152 |
| | 800,009 |
| | 26.9 | % | BBB+, BBB, BBB- | | 491,469 |
| | 496,589 |
| | 16.7 | % | BB+ or lower | | 25,900 |
| | 25,694 |
| | 0.9 | % | Total fixed maturities | | $ | 2,942,207 |
| | $ | 2,971,598 |
| | 100.0 | % |
4. Investments (continued) | | | | | | | | | | | | | Ratings(1) at December 31, 2018 | | Amortized cost | | Fair value | | % of Total
fair value | U.S. treasury bonds | | $ | 138,625 |
| | $ | 139,072 |
| | 3.4 | % | U.S. agency bonds | | 1,615,457 |
| | 1,582,367 |
| | 39.1 | % | AAA | | 137,172 |
| | 135,119 |
| | 3.3 | % | AA+, AA, AA- | | 183,142 |
| | 178,674 |
| | 4.4 | % | A+, A, A- | | 1,132,993 |
| | 1,113,710 |
| | 27.5 | % | BBB+, BBB, BBB- | | 866,043 |
| | 848,348 |
| | 21.0 | % | BB+ or lower | | 52,229 |
| | 52,290 |
| | 1.3 | % | Total fixed maturities | | $ | 4,125,661 |
| | $ | 4,049,580 |
| | 100.0 | % |
(1) Based on Standard & Poor’s ("S&P"), or equivalent, ratings
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| Portfolio of other investments |
The table below shows our portfolio of other investments: | | | | | | | | | | | | | | | | | | June 30, 2019 | | December 31, 2018 | | | Fair value | | % of Total
fair value | | Fair value | | % of Total
fair value | Investment in limited partnerships | | $ | 3,258 |
| | 11.5 | % | | $ | 3,833 |
| | 16.2 | % | Investment in special purpose vehicles focused on lending activities | | 23,373 |
| | 82.2 | % | | 18,383 |
| | 77.5 | % | Other | | 1,800 |
| | 6.3 | % | | 1,500 |
| | 6.3 | % | Total other investments | | $ | 28,431 |
| | 100.0 | % | | $ | 23,716 |
| | 100.0 | % |
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| Net investment income |
Net investment income was derived from the following sources: | | | | | | | | | | | | | | | | | | | | For the Three Months Ended June 30, | | For the Six Months Ended June 30, | | | 2019 | | 2018 | | 2019 | | 2018 | Fixed maturities | | $ | 23,522 |
| | $ | 32,914 |
| | $ | 49,742 |
| | $ | 65,042 |
| Funds withheld interest | | 5,169 |
| | 54 |
| | 9,706 |
| | 113 |
| Loan to related party | | 1,842 |
| | 1,565 |
| | 3,664 |
| | 2,993 |
| Cash and cash equivalents and other | | 1,316 |
| | 800 |
| | 1,591 |
| | 1,168 |
| | | 31,849 |
| | 35,333 |
| | 64,703 |
| | 69,316 |
| Investment expenses | | (727 | ) | | (1,073 | ) | | (1,559 | ) | | (2,187 | ) | Net investment income | | $ | 31,122 |
| | $ | 34,260 |
| | $ | 63,144 |
| | $ | 67,129 |
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| Analysis of realized and unrealized gains (losses) on investment |
The portion of net unrealized gains (losses) recognized in net income (loss) for the three and six months ended June 30, 2019 and 2018 that are related to other investments still held at the end of the reporting period were as follows: | | | | | | | | | | For the Three Months Ended June 30, | | 2019 | | 2018 | Net gains recognized in net income on other investments during the period | | $ | 151 |
| | $ | 220 |
| Net realized gains recognized on other investments divested during the period | | (409 | ) | | (287 | ) | Net unrealized losses recognized on other investments still held at end of period | | $ | (258 | ) | | $ | (67 | ) | | | | | | For the Six Months Ended June 30, | | 2019 | | 2018 | Net gains recognized in net income on other investments during the period | | $ | 6 |
| | $ | 1,702 |
| Net realized gains recognized on other investments divested during the period | | (411 | ) | | (879 | ) | Net unrealized (losses) gains recognized on other investments still held at end of period | | $ | (405 | ) | | $ | 823 |
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Realized gains or losses on the sale of investments are determined on the basis of the first in first out cost method. The following provides an analysis of net realized gains (losses) on investment included in the Condensed Consolidated Statements of Income: | | | | | | | | | | | | | | For the Three Months Ended June 30, 2019 | | Gross gains | | Gross losses | | Net | AFS fixed maturities | | $ | 25,436 |
| | $ | (1,501 | ) | | $ | 23,935 |
| Other investments | | 151 |
| | — |
| | 151 |
| Net realized gains (losses) on investment | | $ | 25,587 |
| | $ | (1,501 | ) | | $ | 24,086 |
| | | | | | | | For the Three Months Ended June 30, 2018 | | Gross gains | | Gross losses | | Net | AFS fixed maturities | | $ | 2,287 |
| | $ | (2,921 | ) | | $ | (634 | ) | Other investments | | 220 |
| | — |
| | 220 |
| Net realized gains (losses) on investment | | $ | 2,507 |
| | $ | (2,921 | ) | | $ | (414 | ) | | | | | | | | For the Six Months Ended June 30, 2019 | | Gross gains | | Gross losses | | Net | AFS fixed maturities | | $ | 27,860 |
| | $ | (14,881 | ) | | $ | 12,979 |
| Other investments | | 151 |
| | (145 | ) | | 6 |
| Net realized gains (losses) on investment | | $ | 28,011 |
| | $ | (15,026 | ) | | $ | 12,985 |
| | | | | | | | For the Six Months Ended June 30, 2018 | | Gross gains | | Gross losses | | Net | AFS fixed maturities | | $ | 2,939 |
| | $ | (4,698 | ) | | $ | (1,759 | ) | Other investments | | 1,702 |
| | — |
| | 1,702 |
| Net realized gains (losses) on investment | | $ | 4,641 |
| | $ | (4,698 | ) | | $ | (57 | ) |
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| Net unrealized gains (losses) on available-for-sale securities and other investments |
Net unrealized gains (losses) on investments, including those allocated to discontinued operations and classified as held for sale, were as follows: | | | | | | | | | | | | June 30, 2019 | | December 31, 2018 | Fixed maturities | | $ | 29,392 |
| | $ | (59,729 | ) | Deferred income tax | | (114 | ) | | (33 | ) | Net unrealized gains (losses), net of deferred income tax | | $ | 29,278 |
| | $ | (59,762 | ) | Change, net of deferred income tax | | $ | 89,040 |
| | $ | (81,651 | ) |
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| Fair value of restricted assets |
The fair value of our restricted assets was as follows: | | | | | | | | | | | | June 30, 2019 | | December 31, 2018 | Restricted cash – third party agreements | | $ | 21,299 |
| | $ | 21,420 |
| Restricted cash – related party agreements(1) | | 360,399 |
| | 108,728 |
| Total restricted cash | | 381,698 |
| | 130,148 |
| Restricted investments – in trust for third party agreements at fair value (amortized cost: 2019 – $69,855; 2018 – $88,841) | | 69,999 |
| | 89,596 |
| Restricted investments – in trust for related party agreements at fair value (amortized cost: 2019 – $2,655,683; 2018 – $3,870,731) | | 2,689,179 |
| | 3,804,215 |
| Restricted investments – liability for investments purchased for related party agreements(1) | | (266,946 | ) | | — |
| Total restricted investments | | 2,492,232 |
| | 3,893,811 |
| Total restricted cash and investments | | $ | 2,873,930 |
| | $ | 4,023,959 |
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(1) $266,946 of the restricted cash held for related party agreements as of June 30, 2019 was used to settle the liability for investments purchased of $298,939 as of June 30, 2019 subsequent to the quarter end.
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