v3.22.1

Investments | 3 Months Ended
--- | ---
Mar. 31, 2022
Schedule of Investments [Abstract] |
Investments | Investments The Company holds: (i) available-for-sale ("AFS") portfolios of fixed maturity and equity securities, carried at fair value; (ii) other investments, of which certain investments are carried at fair value and investments in direct lending entities are carried at cost less impairment; (iii) equity method investments; and (iv) funds held - directly managed. a)Fixed Maturities The amortized cost, gross unrealized gains and losses, and fair value of fixed maturities at March 31, 2022 and December 31, 2021 are as follows:
March 31, 2022 |  | Original or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Fair value
U.S. treasury bonds |  | $ | 66,109 |  |  | $ | 1 |  |  | $ | (380) |  |  | $ | 65,730 |
U.S. agency bonds – mortgage-backed |  | 85,607 |  |  | 75 |  |  | (2,293) |  |  | 83,389 |
Collateralized mortgage-backed securities |  | 7,199 |  |  | — |  |  | (80) |  |  | 7,119 |
Non-U.S. government bonds |  | 3,160 |  |  | — |  |  | (151) |  |  | 3,009 |
Collateralized loan obligations |  | 174,842 |  |  | 22 |  |  | (9,104) |  |  | 165,760 |
Corporate bonds |  | 155,214 |  |  | 1,668 |  |  | (10,659) |  |  | 146,223 |
Total fixed maturity investments |  | $ | 492,131 |  |  | $ | 1,766 |  |  | $ | (22,667) |  |  | $ | 471,230 |
December 31, 2021 |  | Original or amortized cost |  | Gross unrealized gains |  | Gross unrealized losses |  | Fair value
U.S. treasury bonds |  | $ | 59,989 |  |  | $ | — |  |  | $ | (110) |  |  | $ | 59,879 |
U.S. agency bonds – mortgage-backed |  | 96,554 |  |  | 2,429 |  |  | (193) |  |  | 98,790 |
Collateralized mortgage-backed securities |  | 14,972 |  |  | 565 |  |  | — |  |  | 15,537 |
Non-U.S. government bonds |  | 3,163 |  |  | 113 |  |  | — |  |  | 3,276 |
Collateralized loan obligations |  | 183,974 |  |  | 140 |  |  | (5,093) |  |  | 179,021 |
Corporate bonds |  | 236,692 |  |  | 10,094 |  |  | (6,144) |  |  | 240,642 |
Total fixed maturity investments |  | $ | 595,344 |  |  | $ | 13,341 |  |  | $ | (11,540) |  |  | $ | 597,145 |
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.
March 31, 2022 |  | Amortized cost |  | Fair value |  |  |  |
Due in one year or less |  | $ | 73,590 |  |  | $ | 72,518 |  |  |  |  |
Due after one year through five years |  | 129,427 |  |  | 122,915 |  |  |  |  |
Due after five years through ten years |  | 21,466 |  |  | 19,529 |  |  |  |  |
|  | 224,483 |  |  | 214,962 |  |  |  |  |
U.S. agency bonds – mortgage-backed |  | 85,607 |  |  | 83,389 |  |  |  |  |
Collateralized mortgage-backed securities |  | 7,199 |  |  | 7,119 |  |  |  |  |
Collateralized loan obligations |  | 174,842 |  |  | 165,760 |  |  |  |  |
Total fixed maturity investments |  | $ | 492,131 |  |  | $ | 471,230 |  |  |  |  |
4. Investments (continued) 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
March 31, 2022 |  | Fair value |  | Unrealized losses |  | Fair value |  | Unrealized losses |  | Fair value |  | Unrealized losses
U.S. treasury bonds |  | $ | 58,613 |  |  | $ | (347) |  |  | $ | 2,117 |  |  | $ | (33) |  |  | $ | 60,730 |  |  | $ | (380) |
U.S. agency bonds – mortgage-backed |  | 74,447 |  |  | (1,906) |  |  | 3,661 |  |  | (387) |  |  | 78,108 |  |  | (2,293) |
Collateralized mortgage-backed securities |  | 7,119 |  |  | (80) |  |  | — |  |  | — |  |  | 7,119 |  |  | (80) |
Non-U.S. government bonds |  | 3,009 |  |  | (151) |  |  | — |  |  | — |  |  | 3,009 |  |  | (151) |
Collateralized loan obligations |  | 156,371 |  |  | (9,058) |  |  | 5,055 |  |  | (46) |  |  | 161,426 |  |  | (9,104) |
Corporate bonds |  | 52,593 |  |  | (2,610) |  |  | 49,920 |  |  | (8,049) |  |  | 102,513 |  |  | (10,659) |
Total temporarily impaired fixed maturities |  | $ | 352,152 |  |  | $ | (14,152) |  |  | $ | 60,753 |  |  | $ | (8,515) |  |  | $ | 412,905 |  |  | $ | (22,667) |
At March 31, 2022, there were 109 securities in an unrealized loss position with a fair value of $412,905 and unrealized losses of $22,667. Of these securities in an unrealized loss position, there were 13 securities in our portfolio that have been in an unrealized loss position for twelve months or greater with a fair value of $60,753 and unrealized losses of $8,515.
|  | Less than 12 Months |  | 12 Months or More |  | Total
December 31, 2021 |  | Fair value |  | Unrealized losses |  | Fair value |  | Unrealized losses |  | Fair value |  | Unrealized losses
U.S. treasury bonds |  | $ | 59,879 |  |  | $ | (110) |  |  | $ | — |  |  | $ | — |  |  | $ | 59,879 |  |  | $ | (110) |
U.S. agency bonds – mortgage-backed |  | 4,415 |  |  | (193) |  |  | — |  |  | — |  |  | 4,415 |  |  | (193) |
Collateralized loan obligations |  | 117,148 |  |  | (5,057) |  |  | 5,064 |  |  | (36) |  |  | 122,212 |  |  | (5,093) |
Corporate bonds |  | 38,537 |  |  | (2,775) |  |  | 27,852 |  |  | (3,369) |  |  | 66,389 |  |  | (6,144) |
Total temporarily impaired fixed maturities |  | $ | 219,979 |  |  | $ | (8,135) |  |  | $ | 32,916 |  |  | $ | (3,405) |  |  | $ | 252,895 |  |  | $ | (11,540) |
At December 31, 2021, there were 44 securities in an unrealized loss position with a fair value of $252,895 and unrealized losses of $11,540. Of these securities in an unrealized loss position, there were 8 securities in our portfolio that have been in an unrealized loss position for twelve months or greater with a fair value of $32,916 and unrealized losses of $3,405. Other-than-temporarily impaired ("OTTI") The Company performs quarterly reviews of its fixed maturities in order to determine whether declines in fair value below the amortized cost basis were considered other-than-temporary in accordance with applicable guidance. At March 31, 2022, we determined that unrealized losses on fixed maturities were primarily due to changes in interest rates as well as the impact of foreign exchange rate changes on certain foreign currency denominated fixed maturities since their date of purchase. All fixed maturity securities continue to pay the expected coupon payments under the contractual terms of the securities. Any credit-related impairment related to fixed maturity securities that the Company does not intend to sell or is not more likely than not that the Company will be required to sell before its anticipated recovery of their amortized cost basis is recognized in net income, with the non-credit related impairment recognized in comprehensive income. Based on the Company's analysis, our fixed maturity portfolio is of high credit quality and we believe the amortized cost basis of the securities will ultimately be recovered. The Company continually monitors the credit quality of the fixed maturity investments to assess if it is probable that it will receive contractual or estimated cash flows in the form of principal and interest. There was no impairment recorded for the three months ended March 31, 2022 and 2021, respectively. 4. Investments (continued) The following tables summarize the credit ratings of our fixed maturities as at March 31, 2022 and December 31, 2021:
March 31, 2022 |  | Amortized cost |  | Fair value |  | % of Total fair value
U.S. treasury bonds |  | $ | 66,109 |  |  | $ | 65,730 |  |  | 13.9 | %
U.S. agency bonds |  | 85,607 |  |  | 83,389 |  |  | 17.7 | %
AAA |  | 147,966 |  |  | 138,999 |  |  | 29.5 | %
AA+, AA, AA- |  | 35,298 |  |  | 34,864 |  |  | 7.4 | %
A+, A, A- |  | 49,221 |  |  | 46,267 |  |  | 9.8 | %
BBB+, BBB, BBB- |  | 102,157 |  |  | 96,386 |  |  | 20.5 | %
BB+ or lower |  | 5,773 |  |  | 5,595 |  |  | 1.2 | %
Total fixed maturities (1) |  | $ | 492,131 |  |  | $ | 471,230 |  |  | 100.0 | %
December 31, 2021 |  | Amortized cost |  | Fair value |  | % of Total fair value
U.S. treasury bonds |  | $ | 59,989 |  |  | $ | 59,879 |  |  | 10.0 | %
U.S. agency bonds |  | 96,554 |  |  | 98,790 |  |  | 16.6 | %
AAA |  | 161,179 |  |  | 156,706 |  |  | 26.2 | %
AA+, AA, AA- |  | 38,999 |  |  | 39,140 |  |  | 6.6 | %
A+, A, A- |  | 99,748 |  |  | 99,962 |  |  | 16.7 | %
BBB+, BBB, BBB- |  | 126,770 |  |  | 129,618 |  |  | 21.7 | %
BB+ or lower |  | 12,105 |  |  | 13,050 |  |  | 2.2 | %
Total fixed maturities(1) |  | $ | 595,344 |  |  | $ | 597,145 |  |  | 100.0 | %
(1)Ratings above are based on Standard & Poor’s ("S&P"), or equivalent, ratings. b)Other Investments, Equity Securities and Equity Method Investments Certain of the Company's other investments and equity method investments are subject to restrictions on redemptions and sales that are determined by the governing documents, which could limit our ability to liquidate those investments. These restrictions may include lock-ups, redemption gates, restricted share classes, restrictions on the frequency of redemption and notice periods. A gate is the ability to deny or delay a redemption request. Certain other investments and equity method investments may not have any restrictions governing their sale, but there is no active market and no guarantee that we will be able to execute a sale in a timely manner. In addition, even if certain other investments and equity method investments are not eligible for redemption or sales are restricted, the Company may still receive income distributions from those investments. Other investments The table shows the composition of the Company's other investments as of March 31, 2022 and December 31, 2021:
|  | March 31, 2022 |  | December 31, 2021
|  | Carrying value |  | % of Total |  | Carrying value |  | % of Total
Private equity funds |  | $ | 27,608 |  |  | 25.5 | % |  | $ | 23,324 |  |  | 23.9 | %
Private credit funds |  | 21,781 |  |  | 20.1 | % |  | 20,863 |  |  | 21.3 | %
Other privately held investments |  | 12,597 |  |  | 11.7 | % |  | 10,500 |  |  | 10.8 | %
Total other investments at fair value |  | 61,986 |  |  | 57.3 | % |  | 54,687 |  |  | 56.0 | %
Investments in direct lending entities (at cost) |  | 46,175 |  |  | 42.7 | % |  | 42,976 |  |  | 44.0 | %
Total other investments |  | $ | 108,161 |  |  | 100.0 | % |  | $ | 97,663 |  |  | 100.0 | %
The Company's investments in direct lending entities of $46,175 at March 31, 2022 (December 31, 2021 - $42,976) are carried at cost less impairment, if any, with any indication of impairment recognized in net income when determined. Please see "Note 5(d). Fair Value Measurements" for additional information regarding this investment. 4. Investments (continued) Equity Securities Equity securities include publicly traded common stocks and privately held common and preferred stocks. The Company's publicly traded equity investments in common stocks trade on major exchanges. The Company's privately held equity investments in common and preferred stocks are direct investments in companies that the Company believes offer attractive risk adjusted returns or offer other strategic advantages. Each investment may have its own unique terms and conditions and there may be restrictions on disposals. There is no active market for these investments. The following table provides the fair values of the equity securities held at March 31, 2022 and December 31, 2021:
|  |  | March 31, 2022 |  |  | December 31, 2021
|  |  |  | Fair Value |  |  |  | Fair Value
Privately held equity securities |  |  |  | $ | 48,224 |  |  |  |  | $ | 42,888 |
Publicly traded equity securities |  |  |  | 708 |  |  |  |  | 1,174 |
Total equity securities |  |  |  | $ | 48,932 |  |  |  |  | $ | 44,062 |
Equity Method Investments The Company's equity method investments include hedge fund investments, real estate investments and other investments. The table below shows the carrying value of the Company's equity method investments as of March 31, 2022 and December 31, 2021:
|  | March 31, 2022 |  | December 31, 2021
|  | Carrying Value |  | % of Total |  | Carrying Value |  | % of Total
Real estate investments |  | $ | 52,210 |  |  | 56.0 | % |  | $ | 44,050 |  |  | 52.6 | %
Hedge fund investments |  | 32,861 |  |  | 35.2 | % |  | 32,929 |  |  | 39.3 | %
Other investments |  | 8,246 |  |  | 8.8 | % |  | 6,763 |  |  | 8.1 | %
Total equity method investments |  | $ | 93,317 |  |  | 100.0 | % |  | $ | 83,742 |  |  | 100.0 | %
The equity method investments above include limited partnerships which are variable interests issued by variable interest entities ("VIEs"). The Company does not have the power to direct the activities that are most significant to the economic performance of these VIEs therefore the Company is not the primary beneficiary of these VIEs. T he Company is deemed to have limited influence over the operating and financial policies of the investee and accordingly these investments are reported under the equity method of accounting. In applying the equity method of accounting, the investments are initially recorded at cost and are subsequently adjusted based on the Company’s proportionate share of the investee's net income or loss. Generally, the maximum exposure to loss on these interests is limited to the amount of commitment made by the Company as more fully described in "Note 11 - Commitments, Contingencies and Guarantees" in these condensed consolidated financial statements. c)Net Investment Income Net investment income was derived from the following sources for the three months ended March 31, 2022 and 2021:
|  | For the Three Months Ended March 31, |  |
|  | 2022 |  | 2021 |  |  |  |
Fixed maturities |  | $ | 2,654 |  |  | $ | 6,691 |  |  |  |  |
Income on funds withheld |  | 2,624 |  |  | 2,505 |  |  |  |  |
Interest income from loan to related party |  | 879 |  |  | 860 |  |  |  |  |
Cash and cash equivalents and other investments |  | 593 |  |  | 129 |  |  |  |  |
|  | 6,750 |  |  | 10,185 |  |  |  |  |
Investment expenses |  | (183) |  |  | (344) |  |  |  |  |
Net investment income |  | $ | 6,567 |  |  | $ | 9,841 |  |  |  |  |
d) Net 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 and unrealized gains (losses) on investment included in the Condensed Consolidated Statements of Income for the three months ended March 31, 2022 and 2021: 4. Investments (continued)
For the Three Months Ended March 31, 2022 |  | Gross gains |  | Gross losses |  | Net
Fixed maturities |  | $ | 1,238 |  |  | $ | (95) |  |  | $ | 1,143 |
Equity securities |  | — |  |  | (492) |  |  | (492) |
Other investments |  | 1,913 |  |  | (255) |  |  | 1,658 |
Net realized and unrealized gains (losses) on investment |  | $ | 3,151 |  |  | $ | (842) |  |  | $ | 2,309 |
For the Three Months Ended March 31, 2021 |  | Gross gains |  | Gross losses |  | Net
Fixed maturities |  | $ | 3,043 |  |  | $ | (149) |  |  | $ | 2,894 |
Equity securities |  | 4,957 |  |  | (25) |  |  | 4,932 |
Other investments |  | 275 |  |  | — |  |  | 275 |
Net realized and unrealized gains (losses) on investment |  | $ | 8,275 |  |  | $ | (174) |  |  | $ | 8,101 |
Realized gains and losses from equity securities detailed in the table above include both sales of equity securities and unrealized gains and losses from fair value changes. The unrealized losses recognized in net income for the three months ended March 31, 2022 and 2021 for investments still held at March 31, 2022 and 2021, respectively, were as follows:
|  | For the Three Months Ended March 31, |  |
|  | 2022 |  | 2021 |  |  |  |
Net (losses) gains recognized for equity securities during the period |  | $ | (492) |  |  | $ | 4,932 |  |  |  |  |
Less: Net losses (gains) recognized for equity securities divested during the period |  | — |  |  | (441) |  |  |  |  |
Unrealized (losses) gains recognized for equity securities still held at reporting date |  | $ | (492) |  |  | $ | 4,491 |  |  |  |  |
Proceeds from sales of fixed maturities were $101,604 and $153,816 for the three months ended March 31, 2022 and 2021, respectively. Net unrealized gains on investments were as follows at March 31, 2022 and December 31, 2021, respectively:
|  | March 31, 2022 |  | December 31, 2021
Fixed maturities |  | $ | (20,901) |  |  | $ | 1,801 |
Equity method investments |  | — |  |  | (4,414) |
Total net unrealized losses |  | (20,901) |  |  | (2,613) |
Deferred income tax |  | 49 |  |  | (80) |
Net unrealized losses, net of deferred income tax |  | $ | (20,852) |  |  | $ | (2,693) |
Change, net of deferred income tax |  | $ | (18,159) |  |  | $ | (52,050) |
e)Restricted Cash and Cash Equivalents and Investments The Company is required to provide collateral for its reinsurance liabilities under various reinsurance agreements and utilizes trust accounts to collateralize business with reinsurance counterparties. The assets in trust as collateral are primarily cash and highly rated fixed maturities. The fair values of restricted assets at March 31, 2022 and December 31, 2021 included:
|  | March 31, 2022 |  | December 31, 2021
Restricted cash – third party agreements |  | $ | 28,953 |  |  | $ | 19,177 |
Restricted cash – related party agreements |  | 5,958 |  |  | 20,242 |
Total restricted cash |  | 34,911 |  |  | 39,419 |
Restricted investments – in trust for third party agreements at fair value (amortized cost: 2022 – $58,675; 2021 – $48,860) |  | 58,581 |  |  | 48,845 |
Restricted investments – in trust for related party agreements at fair value (amortized cost: 2022 – $394,115; 2021 – $493,128) |  | 375,021 |  |  | 493,883 |
Total restricted investments |  | 433,602 |  |  | 542,728 |
Total restricted cash and investments |  | $ | 468,513 |  |  | $ | 582,147 |

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- Definition The entire disclosure for investment holdings. This includes the long positions of investments for the entity. It contains investments in affiliated and unaffiliated issuers. The investments include securities and non securities (i.e. commodities and futures contracts). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -Section S99 -Paragraph 6 -Subparagraph (SX 210.12-14) -URI http://asc.fasb.org/extlink&oid=122147990&loc=d3e611322-123010 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -Section S99 -Paragraph 3 -Subparagraph (SX 210.12-12B) -URI http://asc.fasb.org/extlink&oid=122147990&loc=d3e611197-123010 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -Section S99 -Paragraph 5D -Subparagraph (SX 210.12-13D) -URI http://asc.fasb.org/extlink&oid=122147990&loc=SL120429264-123010 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -Section S99 -Paragraph 1 -Subparagraph (SX 210.12-12) -URI http://asc.fasb.org/extlink&oid=122147990&loc=d3e611133-123010 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -Section S99 -Paragraph 5 -Subparagraph (SX 210.12-13) -URI http://asc.fasb.org/extlink&oid=122147990&loc=d3e611282-123010 + Details
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