v3.21.2

Investments (Tables)

6 Months Ended

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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