v3.22.1

Investments (Tables) | 3 Months Ended
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Mar. 31, 2022
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 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 |
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.
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 |  |  |  |  |
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
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) |
|  | 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) |
Summary of the credit ratings of fixed maturities | 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
Portfolio of 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 | %
Schedule of cost and fair values of the equity securities | 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 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 | %
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 |  |  |  |  |
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 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 |
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 |  |  |  |  |
Net unrealized gains on fixed maturity investments | 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) |
Fair value of restricted assets | 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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