
	Amortized cost		Allowance for expected credit losses		Gross unrealized gains		Gross unrealized losses		Fair value

At June 30, 2020
Fixed maturities
U.S. government and agency	$	1,942,952	$	—	$	70,341	$	(26)	$	2,013,267
Non-U.S. government	608,375		—		9,519		(9,797)		608,097
Corporate debt	4,513,997		(4,643)		200,202		(47,145)		4,662,411
Agency RMBS⁽¹⁾	1,483,883		—		51,466		(276)		1,535,073
CMBS⁽²⁾	1,302,049		—		79,241		(4,026)		1,377,264
Non-agency RMBS	118,085		(20)		2,396		(2,242)		118,219
ABS⁽³⁾	1,558,578		(1,594)		9,798		(32,218)		1,534,564
Municipals⁽⁴⁾	187,966		—		9,730		(176)		197,520
Total fixed maturities	$	11,715,885	$	(6,257)	$	432,693	$	(95,906)	$	12,046,415







At December 31, 2019
Fixed maturities
U.S. government and agency	$	2,102,849	$	—	$	16,345	$	(6,313)	$	2,112,881
Non-U.S. government	564,505		—		14,535		(2,448)		576,592
Corporate debt	4,797,384		—		140,426		(7,556)		4,930,254
Agency RMBS⁽¹⁾	1,570,823		—		25,215		(3,454)		1,592,584
CMBS⁽²⁾	1,340,156		—		29,838		(4,942)		1,365,052
Non-agency RMBS	84,381		—		1,393		(852)		84,922
ABS⁽³⁾	1,599,867		—		4,706		(5,880)		1,598,693
Municipals⁽⁴⁾	203,275		—		4,359		(407)		207,227
Total fixed maturities	$	12,263,240	$	—	$	236,817	$	(31,852)	$	12,468,205


	Cost		Gross unrealized gains		Gross unrealized losses		Fair value
At June 30, 2020
Equity securities
Common stocks	$	422	$	13	$	(371)	$	64
Preferred stocks	6,249		1,183		(1)		7,431
Exchange-traded funds	141,748		37,825		(2,152)		177,421
Bond mutual funds	192,091		1,853		—		193,944
Total equity securities	$	340,510	$	40,874	$	(2,524)	$	378,860

At December 31, 2019
Equity securities
Common stocks	$	504	$	77	$	(388)	$	193
Preferred stocks	—		—		—		—
Exchange-traded funds	215,986		81,444		(105)		297,325
Bond mutual funds	182,466		—		(5,777)		176,689
Total equity securities	$	398,956	$	81,521	$	(6,270)	$	474,207

In the normal course of investing activities, the Company actively manages allocations to non-controlling tranches of structured securities which are variable interests issued by Variable Interest Entities ("VIEs"). These structured securities include RMBS, CMBS and ABS.

The Company also invests in limited partnerships which represent 58% of the Company's other investments. The investments in limited partnerships include hedge funds, direct lending funds, private equity funds and real estate funds as well as CLO equity tranched securities, which are variable interests issued by VIEs (refer to Note 3(c) 'Other Investments'). 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.


	Amortized cost		Fair value		% of Total fair value

At June 30, 2020
Maturity
Due in one year or less	$	399,074	$	401,389	3.4	%
Due after one year through five years	4,272,644		4,374,575		36.3	%
Due after five years through ten years	2,371,695		2,489,188		20.7	%
Due after ten years	209,877		216,143		1.8	%
	7,253,290		7,481,295		62.2	%
Agency RMBS	1,483,883		1,535,073		12.7	%
CMBS	1,302,049		1,377,264		11.4	%
Non-agency RMBS	118,085		118,219		1.0	%
ABS	1,558,578		1,534,564		12.7	%
Total	$	11,715,885	$	12,046,415	100.0	%

At December 31, 2019
Maturity
Due in one year or less	$	438,881	$	443,228	3.6	%
Due after one year through five years	4,810,202		4,884,837		39.2	%
Due after five years through ten years	2,091,486		2,157,157		17.3	%
Due after ten years	327,444		341,732		2.7	%
	7,668,013		7,826,954		62.8	%
Agency RMBS	1,570,823		1,592,584		12.8	%
CMBS	1,340,156		1,365,052		10.9	%
Non-agency RMBS	84,381		84,922		0.7	%
ABS	1,599,867		1,598,693		12.8	%
Total	$	12,263,240	$	12,468,205	100.0	%


	12 months or greater						Less than 12 months						Total
	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses

At June 30, 2020
Fixed maturities
U.S. government and agency	$	—	$	—	$	145,664	$	(26)	$	145,664	$	(26)
Non-U.S. government	58,470		(4,522)		221,511		(5,275)		279,981		(9,797)
Corporate debt	104,368		(6,648)		910,430		(40,497)		1,014,798		(47,145)
Agency RMBS	10,288		(50)		48,970		(226)		59,258		(276)
CMBS	10,374		(931)		132,310		(3,095)		142,684		(4,026)
Non-agency RMBS	4,836		(1,075)		26,659		(1,167)		31,495		(2,242)
ABS	275,127		(10,585)		745,695		(21,633)		1,020,822		(32,218)
Municipals	—		—		14,905		(176)		14,905		(176)
Total fixed maturities	$	463,463	$	(23,811)	$	2,246,144	$	(72,095)	$	2,709,607	$	(95,906)







At December 31, 2019
Fixed maturities
U.S. government and agency	$	9,536	$	(67)	$	614,705	$	(6,246)	$	624,241	$	(6,313)
Non-U.S. government	99,466		(2,036)		18,361		(412)		117,827		(2,448)
Corporate debt	121,635		(3,847)		375,858		(3,709)		497,493		(7,556)
Agency RMBS	195,395		(1,816)		326,402		(1,638)		521,797		(3,454)
CMBS	24,281		(64)		364,641		(4,878)		388,922		(4,942)
Non-agency RMBS	6,345		(792)		25,816		(60)		32,161		(852)
ABS	535,780		(4,667)		404,641		(1,213)		940,421		(5,880)
Municipals	5,418		(34)		46,684		(373)		52,102		(407)
Total fixed maturities	$	997,856	$	(13,323)	$	2,177,108	$	(18,529)	$	3,174,964	$	(31,852)

At June 30, 2020, 351 fixed maturities (2019: 497) had been in a continuous unrealized loss position for twelve months or greater and had a fair value of $463 million (2019: $998 million). The Company concluded that the unrealized loss on these securities as well as the remaining securities in an unrealized loss position were due to non-credit factors at June 30, 2020, and were expected to recover in value as the securities approach maturity. At June 30, 2020, the Company did not intend to sell the securities in an unrealized loss position and it is more likely than not that the Company will not be required to sell these securities before the anticipated recovery of their amortized costs.

The primary credit quality indicator for commercial mortgage loans is the debt service coverage ratio which compares a property’s net operating income to amounts needed to service the principal and interest due under the loan, (generally, the lower the debt service coverage ratio, the higher the risk of experiencing a credit loss) and the loan-to-value ratio which compares the unpaid principal balance of the loan to the estimated fair value of the underlying collateral (generally, the higher the loan-to-value ratio, the higher the risk of experiencing a credit loss). The debt service coverage ratio and loan-to-value ratio, as well as the values utilized in calculating these ratios, are updated annually, on a rolling basis.

The Company has a high quality mortgage loan portfolio with a weighted average debt service coverage ratio of 2.0x and a weighted average loan-to-value ratio of 59%. At June 30, 2020, there are no credit losses or past due amounts associated with the commercial mortgage loans held by the Company.


	Fair value					Redemption frequency (if currently eligible)	Redemption notice period

At June 30, 2020
Long/short equity funds	$	23,299	3	%	Annually	60 days
Multi-strategy funds	142,625		19	%	Quarterly, Semi-annually	60-90 days


Direct lending funds	262,802		34	%	n/a	n/a
Private equity funds	101,485		13	%	n/a	n/a
Real estate funds	144,003		19	%	n/a	n/a
CLO-Equities	9,943		1	%	n/a	n/a
Other privately held investments	37,420		5	%	n/a	n/a
Overseas deposits	47,058		6	%	n/a	n/a
Total other investments	$	768,635	100	%

At December 31, 2019
Long/short equity funds	$	31,248	4	%	Annually	60 days
Multi-strategy funds	136,542		18	%	Quarterly, Semi-annually	60-90 days


Direct lending funds	277,395		36	%	n/a	n/a
Private equity funds	80,412		10	%	n/a	n/a
Real estate funds	130,112		17	%	n/a	n/a
CLO-Equities	14,328		2	%	n/a	n/a
Other privately held investments	36,934		5	%	n/a	n/a
Overseas deposits	63,952		8	%	n/a	n/a
Total other investments	$	770,923	100	%

Two common redemption restrictions which may impact the Company's ability to redeem hedge funds are gates and lockups. A gate is a suspension of redemptions which may be implemented by the general partner or investment manager of the fund in order to defer, in whole or in part, the redemption request in the event the aggregate amount of redemption requests exceeds a predetermined percentage of the fund's net assets which may otherwise hinder the general partner or investment manager's ability to liquidate holdings in an orderly fashion in order to generate the cash necessary to fund extraordinarily large redemption payouts. A lockup period is the initial amount of time an investor is contractually required to hold the security before having the ability to redeem. During the six months ended June 30, 2020 and 2019, neither of these restrictions impacted the Company's redemption requests. At June 30, 2020, $74 million (2019: $69 million), representing 44% (2019: 41%) of total hedge funds, relate to holdings where the Company is still within the lockup period. The expiration of these lockup periods range from October 2020 to March 2022.

At June 30, 2020, the Company had $153 million (2019: $170 million) of unfunded commitments as a limited partner in direct lending funds. Once the full amount of committed capital has been called by the General Partner of each of these funds, the assets will not be fully returned until the completion of the fund's investment term. These funds have investment terms ranging from five to fifteen years and the General Partners of certain funds have the option to extend the term by up to three years.

At June 30, 2020, the Company had $20 million (2019: $24 million) of unfunded commitments as a limited partner in multi-strategy hedge funds. Once the full amount of committed capital has been called by the General Partner of each of these funds, the assets will not be fully returned until after the completion of the funds' investment term. These funds have investment terms ranging from two years to the dissolution of the underlying fund.

At June 30, 2020, the Company had $162 million (2019: $82 million) of unfunded commitments as a limited partner in funds which invest in real estate and real estate securities and businesses. These funds include an open-ended fund and funds with investment terms ranging from seven years to the dissolution of the underlying fund.

At June 30, 2020, the Company had $172 million (2019: $261 million) of unfunded commitments as a limited partner in private equity funds. The life of the funds is subject to the dissolution of the underlying funds. The Company expects the overall holding period to be over five years.

During 2015, the Company made a $50 million commitment as a limited partner of a bank revolver opportunity fund. The fund has an investment term of seven years and the General Partners have the option to extend the term by up to two years. At June 30, 2020, this commitment remains unfunded. It is not anticipated that the full amount of this fund will be drawn.

Syndicate 2007 holds overseas deposits which include investments in private funds where the underlying investments are primarily U.S. government, non-U.S. government and corporate debt securities. The funds do not trade on an exchange and therefore are not included within available for sale investments.

During 2016, the Company paid $108 million including direct transaction costs to acquire 19% of the common equity of Harrington Reinsurance Holdings Limited ("Harrington"), the parent company of Harrington Re Ltd. ("Harrington Re"), an independent reinsurance company jointly sponsored by AXIS Capital and The Blackstone Group L.P. ("Blackstone"). Through long-term service agreements, AXIS Capital will serve as Harrington Re's reinsurance underwriting manager and Blackstone will serve as exclusive investment management service provider. As an investor, the Company expects to benefit from underwriting profit generated by Harrington Re and the income and capital appreciation Blackstone seeks to deliver through its investment management services. In addition, the Company has entered into an arrangement with Blackstone under which underwriting and investment related fees will be shared equally. Harrington is not a VIE that is required to be included in the Company's consolidated financial statements. The Company accounts for its ownership interest in Harrington under the equity method of accounting. The Company's proportionate share of the underlying equity in net assets resulted in a basis difference of $5 million which represents initial transactions costs.


	Three months ended June 30,						Six months ended June 30,
	2020		2019		2020		2019

Fixed maturities	$	80,459	$	97,370	$	170,402	$	188,752
Other investments	(37,580)		31,232		(39,700)		38,128
Equity securities	2,263		3,197		4,387		5,525
Mortgage loans	3,660		3,689		7,713		6,752
Cash and cash equivalents	2,392		8,138		7,323		13,940
Short-term investments	366		1,108		1,863		5,002
Gross investment income	51,560		144,734		151,988		258,099
Investment expenses	(6,520)		(6,785)		(13,848)		(12,845)
Net investment income	$	45,040	$	137,949	$	138,140	$	245,254


	Three months ended June 30,						Six months ended June 30,
	2020		2019		2020		2019

Gross realized investment gains
Fixed maturities and short-term investments	$	51,017	$	18,971	$	90,948	$	29,409
Equity securities	22,038		154		23,958		1,598
Gross realized investment gains	73,055		19,125		114,906		31,007
Gross realized investment losses
Fixed maturities and short-term investments	(55,056)		(9,978)		(77,821)		(30,257)
Equity securities	(3,120)		(29)		(5,802)		(122)
Gross realized investment losses	(58,176)		(10,007)		(83,623)		(30,379)
Allowance for expected credit losses	13,761		—		(6,257)		—
Impairment losses⁽¹⁾	(112)		—		(1,302)		—
OTTI losses	—		(834)		—		(4,870)
Change in fair value of investment derivatives⁽²⁾	154		(204)		3,316		(2,305)
Net unrealized gains (losses) on equity securities	24,361		13,145		(36,871)		40,543

Net investment gains (losses)	$	53,043	$	21,225	$	(9,831)	$	33,996


	Three months ended June 30,						Six months ended June 30,
	2020		2019		2020		2019

Balance at beginning of period	$	20,019	$	—	$	—	$	—
Expected credit losses on securities where credit losses were not previously recognized	2,357		—		22,376		—
Additions (reductions) for expected credit losses on securities where credit losses were previously recognized	(6,879)		—		(6,879)		—
Impairments of securities which the Company intends to sell or more likely than not will be required to sell	—		—		—		—
Securities sold/redeemed/matured	(9,240)		—		(9,240)		—
Balance at end of period	$	6,257	$	—	$	6,257	$	—