v3.21.2

Investments (Tables) | 6 Months Ended
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Jun. 30, 2021
Schedule of Investments [Abstract] |
Amortized cost, gross unrealized gains and losses and fair value on fixed maturities | The amortized cost, gross unrealized gains and losses, and fair value of fixed maturities at June 30, 2021 and December 31, 2020 are as follows:
June 30, 2021 |  | Original or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Fair value
U.S. treasury bonds |  | $ | 78,481 |  |  | $ | — |  |  | $ | (27) |  |  | $ | 78,454 |
U.S. agency bonds – mortgage-backed |  | 148,520 |  |  | 5,028 |  |  | (95) |  |  | 153,453 |
Non-U.S. government bonds |  | 3,167 |  |  | 273 |  |  | — |  |  | 3,440 |
Asset-backed securities |  | 194,648 |  |  | 1,242 |  |  | (598) |  |  | 195,292 |
Corporate bonds |  | 486,731 |  |  | 25,657 |  |  | (4,342) |  |  | 508,046 |
Total fixed maturity investments |  | $ | 911,547 |  |  | $ | 32,200 |  |  | $ | (5,062) |  |  | $ | 938,685 |
December 31, 2020 |  | Original or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Fair value
U.S. treasury bonds |  | $ | 94,468 |  |  | $ | 34 |  |  | $ | — |  |  | $ | 94,502 |
U.S. agency bonds – mortgage-backed |  | 272,124 |  |  | 9,439 |  |  | (126) |  |  | 281,437 |
Non-U.S. government bonds |  | 8,641 |  |  | 1,067 |  |  | — |  |  | 9,708 |
Asset-backed securities |  | 184,227 |  |  | 1,611 |  |  | (406) |  |  | 185,432 |
Corporate bonds |  | 604,463 |  |  | 40,904 |  |  | (3,035) |  |  | 642,332 |
Total fixed maturity investments |  | $ | 1,163,923 |  |  | $ | 53,055 |  |  | $ | (3,567) |  |  | $ | 1,213,411 |
Contractual maturities of fixed maturities | 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, 2021 |  | Amortized cost |  | Fair value |  |  |  |
Due in one year or less |  | $ | 60,592 |  |  | $ | 59,782 |  |  |  |  |
Due after one year through five years |  | 435,090 |  |  | 454,445 |  |  |  |  |
Due after five years through ten years |  | 65,363 |  |  | 68,361 |  |  |  |  |
Due after ten years |  | 7,334 |  |  | 7,352 |  |  |  |  |
|  | 568,379 |  |  | 589,940 |  |  |  |  |
U.S. agency bonds – mortgage-backed |  | 148,520 |  |  | 153,453 |  |  |  |  |
Asset-backed securities |  | 194,648 |  |  | 195,292 |  |  |  |  |
Total fixed maturity investments |  | $ | 911,547 |  |  | $ | 938,685 |  |  |  |  |
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, 2021 |  | Fair value |  | Unrealized losses |  | Fair value |  | Unrealized losses |  | Fair value |  | Unrealized losses
U.S. treasury bonds |  | $ | 78,454 |  |  | $ | (27) |  |  | $ | — |  |  | $ | — |  |  | $ | 78,454 |  |  | $ | (27) |
U.S. agency bonds – mortgage-backed |  | 8,175 |  |  | (95) |  |  | — |  |  | — |  |  | 8,175 |  |  | (95) |
Asset-backed securities |  | 42,265 |  |  | (536) |  |  | 11,288 |  |  | (62) |  |  | 53,553 |  |  | (598) |
Corporate bonds |  | 36,244 |  |  | (1,311) |  |  | 53,475 |  |  | (3,031) |  |  | 89,719 |  |  | (4,342) |
Total temporarily impaired fixed maturities |  | $ | 165,138 |  |  | $ | (1,969) |  |  | $ | 64,763 |  |  | $ | (3,093) |  |  | $ | 229,901 |  |  | $ | (5,062) |
|  | Less than 12 Months |  | 12 Months or More |  | Total
December 31, 2020 |  | Fair value |  | Unrealized losses |  | Fair value |  | Unrealized losses |  | Fair value |  | Unrealized losses
U.S. agency bonds – mortgage-backed |  | $ | 19,360 |  |  | $ | (85) |  |  | $ | 5,646 |  |  | $ | (41) |  |  | $ | 25,006 |  |  | $ | (126) |
Asset-backed securities |  | 13,371 |  |  | (217) |  |  | 31,052 |  |  | (189) |  |  | 44,423 |  |  | (406) |
Corporate bonds |  | 31,839 |  |  | (890) |  |  | 65,296 |  |  | (2,145) |  |  | 97,135 |  |  | (3,035) |
Total temporarily impaired fixed maturities |  | $ | 64,570 |  |  | $ | (1,192) |  |  | $ | 101,994 |  |  | $ | (2,375) |  |  | $ | 166,564 |  |  | $ | (3,567) |
Summary of the credit ratings of fixed maturities | The following tables summarize the credit ratings of our fixed maturities as at June 30, 2021 and December 31, 2020:
June 30, 2021 |  | Amortized cost |  | Fair value |  | % of Total fair value
U.S. treasury bonds |  | $ | 78,481 |  |  | $ | 78,454 |  |  | 8.4 | %
U.S. agency bonds |  | 148,520 |  |  | 153,453 |  |  | 16.3 | %
AAA |  | 124,254 |  |  | 124,569 |  |  | 13.3 | %
AA+, AA, AA- |  | 72,130 |  |  | 73,304 |  |  | 7.8 | %
A+, A, A- |  | 220,396 |  |  | 227,914 |  |  | 24.3 | %
BBB+, BBB, BBB- |  | 225,475 |  |  | 236,805 |  |  | 25.2 | %
BB+ or lower |  | 42,291 |  |  | 44,186 |  |  | 4.7 | %
Total fixed maturities (1) |  | $ | 911,547 |  |  | $ | 938,685 |  |  | 100.0 | %
December 31, 2020 |  | Amortized cost |  | Fair value |  | % of Total fair value
U.S. treasury bonds |  | $ | 94,468 |  |  | $ | 94,502 |  |  | 7.8 | %
U.S. agency bonds |  | 272,124 |  |  | 281,437 |  |  | 23.2 | %
AAA |  | 96,453 |  |  | 97,515 |  |  | 8.0 | %
AA+, AA, AA- |  | 114,751 |  |  | 118,534 |  |  | 9.8 | %
A+, A, A- |  | 265,725 |  |  | 281,364 |  |  | 23.2 | %
BBB+, BBB, BBB- |  | 274,406 |  |  | 292,493 |  |  | 24.1 | %
BB+ or lower |  | 45,996 |  |  | 47,566 |  |  | 3.9 | %
Total fixed maturities(1) |  | $ | 1,163,923 |  |  | $ | 1,213,411 |  |  | 100.0 | %
(1)Ratings above are based on Standard & Poor’s ("S&P"), or equivalent, ratings
Portfolio of other investments | The table shows the composition of the Company's other investments as at June 30, 2021 and December 31, 2020:
|  | June 30, 2021 |  | December 31, 2020
|  | Carrying value |  | % of Total |  | Carrying value |  | % of Total
Private equity investments |  | $ | 27,544 |  |  | 31.2 | % |  | $ | 23,294 |  |  | 34.8 | %
Private credit lending investments |  | 8,451 |  |  | 9.6 | % |  | 1,301 |  |  | 1.9 | %
Investment in limited partnerships |  | 13,957 |  |  | 15.8 | % |  | 3,044 |  |  | 4.5 | %
Other investments |  | 1,800 |  |  | 2.0 | % |  | 2,800 |  |  | 4.2 | %
Total other investments at fair value |  | 51,752 |  |  | 58.6 | % |  | 30,439 |  |  | 45.4 | %
Investments in direct lending entities (at cost) |  | 36,486 |  |  | 41.4 | % |  | 36,571 |  |  | 54.6 | %
Total other investments |  | $ | 88,238 |  |  | 100.0 | % |  | $ | 67,010 |  |  | 100.0 | %
Remaining unfunded commitments on other investments | The Company's remaining unfunded commitments on other investments as at June 30, 2021 and December 31, 2020 were:
|  | June 30, 2021 |  | December 31, 2020
|  | Fair Value |  | % of Total |  | Fair Value |  | % of Total
Private equity investments |  | $ | 10,076 |  |  | 15.2 | % |  | $ | 9,580 |  |  | 15.2 | %
Private credit lending investments |  | 26,610 |  |  | 40.1 | % |  | 33,584 |  |  | 53.0 | %
Investments in direct lending entities |  | 19,823 |  |  | 29.9 | % |  | 19,823 |  |  | 31.3 | %
Investment in limited partnerships |  | 9,842 |  |  | 14.8 | % |  | 326 |  |  | 0.5 | %
Total unfunded commitments on other investments |  | $ | 66,351 |  |  | 100.0 | % |  | $ | 63,313 |  |  | 100.0 | %
Equity method investments | The table below shows the carrying value of the Company's equity method investments as at June 30, 2021 and December 31, 2020:
|  | June 30, 2021 |  | December 31, 2020
|  | Carrying Value |  | % of Total |  | Carrying Value |  | % of Total
Hedge fund investments |  | $ | 33,058 |  |  | 55.0 | % |  | $ | 29,435 |  |  | 73.8 | %
Investment in limited partnerships |  | 27,055 |  |  | 45.0 | % |  | 10,451 |  |  | 26.2 | %
Total equity method investments |  | $ | 60,113 |  |  | 100.0 | % |  | $ | 39,886 |  |  | 100.0 | %
Net investment income | Net investment income was derived from the following sources for the three and six months ended June 30, 2021 and 2020:
|  | For the Three Months Ended June 30, |  | For the Six Months Ended June 30,
|  | 2021 |  | 2020 |  | 2021 |  | 2020
Fixed maturities |  | $ | 4,395 |  |  | $ | 9,635 |  |  | $ | 11,086 |  |  | $ | 22,286 |
Income on funds withheld |  | 2,715 |  |  | 4,009 |  |  | 5,220 |  |  | 7,862 |
Interest income from loan to related party |  | 866 |  |  | 860 |  |  | 1,726 |  |  | 2,225 |
Cash and cash equivalents and other investments |  | 107 |  |  | 159 |  |  | 236 |  |  | 655 |
|  | 8,083 |  |  | 14,663 |  |  | 18,268 |  |  | 33,028 |
Investment expenses |  | (805) |  |  | (354) |  |  | (1,149) |  |  | (755) |
Net investment income |  | $ | 7,278 |  |  | $ | 14,309 |  |  | $ | 17,119 |  |  | $ | 32,273 |
Analysis of realized and unrealized gains (losses) on investment | Realized gains or losses on the sale of investments are determined on the basis of the first in first out cost method. The following tables show the net realized gains (losses) on investment included in the Condensed Consolidated Statements of Income:
For the Three Months Ended June 30, 2021 |  | Gross gains |  | Gross losses |  | Net
Fixed maturities |  | $ | 1,204 |  |  | $ | (95) |  |  | $ | 1,109 |
Equity securities |  | — |  |  | (611) |  |  | (611) |
Other investments |  | 351 |  |  | — |  |  | 351 |
Net realized gains (losses) on investment |  | $ | 1,555 |  |  | $ | (706) |  |  | $ | 849 |
For the Three Months Ended June 30, 2020 |  | Gross gains |  | Gross losses |  | Net
Fixed maturities |  | $ | 9,059 |  |  | $ | — |  |  | $ | 9,059 |
Other investments |  | — |  |  | (184) |  |  | (184) |
Net realized gains (losses) on investment |  | $ | 9,059 |  |  | $ | (184) |  |  | $ | 8,875 |
For the Six Months Ended June 30, 2021 |  | Gross gains |  | Gross losses |  | Net
AFS fixed maturities |  | $ | 4,247 |  |  | $ | (244) |  |  | $ | 4,003 |
Equity securities |  | 4,957 |  |  | (611) |  |  | 4,346 |
Other investments |  | 626 |  |  | (25) |  |  | 601 |
Net realized gains (losses) on investment |  | $ | 9,830 |  |  | $ | (880) |  |  | $ | 8,950 |
For the Six Months Ended June 30, 2020 |  | Gross gains |  | Gross losses |  | Net
AFS fixed maturities |  | $ | 19,991 |  |  | $ | (1) |  |  | $ | 19,990 |
Other investments |  | 107 |  |  | (184) |  |  | (77) |
Net realized gains (losses) on investment |  | $ | 20,098 |  |  | $ | (185) |  |  | $ | 19,913 |
The portion of unrealized gains recognized in net income for the three and six months ended June 30, 2021 and 2020 for investments still held at the end of June 30, 2021 and 2020, respectively, were as follows:
|  | For the Three Months Ended June 30, |  | For the Six Months Ended June 30,
|  | 2021 |  | 2020 |  | 2021 |  | 2020
Net (losses) gains recognized for equity securities during the period |  | $ | (611) |  |  | $ | — |  |  | $ | 4,346 |  |  | $ | — |
Less: Net gains recognized for equity securities divested during the period |  | — |  |  | — |  |  | (441) |  |  | — |
Unrealized (losses) gains recognized for equity securities still held at reporting date |  | $ | (611) |  |  | $ | — |  |  | $ | 3,905 |  |  | $ | — |
Net unrealized gains on fixed maturity investments | Net unrealized gains on investments was as follows at June 30, 2021 and December 31, 2020, respectively:
|  | June 30, 2021 |  | December 31, 2020
Fixed maturities |  | $ | 27,138 |  |  | $ | 49,488 |
Equity method investments |  | (3,419) |  |  | — |
Total net unrealized gains |  | 23,719 |  |  | 49,488 |
Deferred income tax |  | (87) |  |  | (131) |
Net unrealized gains, net of deferred income tax |  | $ | 23,632 |  |  | $ | 49,357 |
Change, net of deferred income tax |  | $ | (25,725) |  |  | $ | 27,361 |
Fair value of restricted assets | The fair values of these restricted assets were as follows at June 30, 2021 and December 31, 2020:
|  | June 30, 2021 |  | December 31, 2020
Restricted cash – third party agreements |  | $ | 20,425 |  |  | $ | 20,547 |
Restricted cash – related party agreements |  | 11,223 |  |  | 41,239 |
Total restricted cash |  | 31,648 |  |  | 61,786 |
Restricted investments – in trust for third party agreements at fair value (amortized cost: 2021 – $62,589; 2020 – $63,253) |  | 62,560 |  |  | 63,281 |
Restricted investments – in trust for related party agreements at fair value (amortized cost: 2021 – $742,157; 2020 – $913,466) |  | 765,144 |  |  | 954,988 |
Restricted investments – liability for investments purchased for related party agreements |  | (36,215) |  |  | — |
Total restricted investments |  | 791,489 |  |  | 1,018,269 |
Total restricted cash and investments |  | $ | 823,137 |  |  | $ | 1,080,055 |

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