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INVESTMENTS (Tables)
 6 Months Ended
Jun. 30, 2020
Investments, Debt and Equity Securities [Abstract]  
AMORTIZED COST/COST AND FAIR VALUES OF FIXED MATURITIES AND EQUITIES
The following table provides the amortized cost and fair values of the Company's fixed maturities classified as available for sale:
Amortized
cost
Allowance for expected credit lossesGross
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. government608,375  —  9,519  (9,797) 608,097  
Corporate debt4,513,997  (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 RMBS118,085  (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. government564,505  —  14,535  (2,448) 576,592  
Corporate debt4,797,384  —  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 RMBS84,381  —  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  
(1)Residential mortgage-backed securities ("RMBS") originated by U.S. government-sponsored agencies.
(2)Commercial mortgage-backed securities ("CMBS").
(3)Asset-backed securities ("ABS") include debt tranched securities collateralized primarily by auto loans, student loans, credit card receivables and collateralized loan obligations ("CLOs").
(4)Municipals include bonds issued by states, municipalities and political subdivisions.
EQUITY SECURITIES
The following table provides the cost and fair values of the Company's equity securities:
Cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
At June 30, 2020
Equity securities
Common stocks$422  $13  $(371) $64  
Preferred stocks6,249  1,183  (1) 7,431  
Exchange-traded funds141,748  37,825  (2,152) 177,421  
Bond mutual funds192,091  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 funds215,986  81,444  (105) 297,325  
Bond mutual funds182,466  —  (5,777) 176,689  
Total equity securities$398,956  $81,521  $(6,270) $474,207  
CONTRACTUAL MATURITIES OF FIXED MATURITIES
Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties. The table below provides the contractual maturities of fixed maturities:
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 years4,272,644  4,374,575  36.3 %
Due after five years through ten years2,371,695  2,489,188  20.7 %
Due after ten years209,877  216,143  1.8 %
 7,253,290  7,481,295  62.2 %
Agency RMBS1,483,883  1,535,073  12.7 %
CMBS1,302,049  1,377,264  11.4 %
Non-agency RMBS118,085  118,219  1.0 %
ABS1,558,578  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 years4,810,202  4,884,837  39.2 %
Due after five years through ten years2,091,486  2,157,157  17.3 %
Due after ten years327,444  341,732  2.7 %
 7,668,013  7,826,954  62.8 %
Agency RMBS1,570,823  1,592,584  12.8 %
CMBS1,340,156  1,365,052  10.9 %
Non-agency RMBS84,381  84,922  0.7 %
ABS1,599,867  1,598,693  12.8 %
Total$12,263,240  $12,468,205  100.0 %
FIXED MATURITIES AND EQUITIES IN AN UNREALIZED LOSS POSITION
The following table summarizes 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:
  12 months or greaterLess than 12 monthsTotal
  
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. government58,470  (4,522) 221,511  (5,275) 279,981  (9,797) 
Corporate debt104,368  (6,648) 910,430  (40,497) 1,014,798  (47,145) 
Agency RMBS10,288  (50) 48,970  (226) 59,258  (276) 
CMBS10,374  (931) 132,310  (3,095) 142,684  (4,026) 
Non-agency RMBS4,836  (1,075) 26,659  (1,167) 31,495  (2,242) 
ABS275,127  (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. government99,466  (2,036) 18,361  (412) 117,827  (2,448) 
Corporate debt121,635  (3,847) 375,858  (3,709) 497,493  (7,556) 
Agency RMBS195,395  (1,816) 326,402  (1,638) 521,797  (3,454) 
CMBS24,281  (64) 364,641  (4,878) 388,922  (4,942) 
Non-agency RMBS6,345  (792) 25,816  (60) 32,161  (852) 
ABS535,780  (4,667) 404,641  (1,213) 940,421  (5,880) 
Municipals5,418  (34) 46,684  (373) 52,102  (407) 
Total fixed maturities$997,856  $(13,323) $2,177,108  $(18,529) $3,174,964  $(31,852) 
MORTGAGE LOANS NET OF VALUATION ALLOWANCE
The following table provides details of the Company's mortgage loans held-for-investment:
  
June 30, 2020December 31, 2019
  
Carrying value% of TotalCarrying value% of Total
Mortgage Loans held-for-investment:
Commercial$524,757  100 %$432,748  100 %
Total Mortgage Loans held-for-investment$524,757  100 %$432,748  100 %
PORTFOLIO OF OTHER INVESTMENTS
The following tables provide a summary of the Company's other investments, together with additional information relating to the liquidity of each category:
Fair value
Redemption frequency
(if currently eligible)
  Redemption  
  notice period  
At June 30, 2020    
Long/short equity funds$23,299  3 %Annually60 days
Multi-strategy funds142,625  19 %Quarterly, Semi-annually60-90 days
Direct lending funds262,802  34 %n/an/a
Private equity funds101,485  13 %n/an/a
Real estate funds144,003  19 %n/an/a
CLO-Equities9,943  1 %n/an/a
Other privately held investments37,420  5 %n/an/a
Overseas deposits47,058  6 %n/an/a
Total other investments$768,635  100 % 
  
At December 31, 2019    
Long/short equity funds$31,248  4 %Annually60 days
Multi-strategy funds136,542  18 %Quarterly, Semi-annually60-90 days
Direct lending funds277,395  36 %n/an/a
Private equity funds80,412  10 %n/an/a
Real estate funds130,112  17 %n/an/a
CLO-Equities14,328  2 %n/an/a
Other privately held investments36,934  5 %n/an/a
Overseas deposits63,952  8 %n/an/a
Total other investments$770,923  100 %  
     
n/a - not applicable
NET INVESTMENT INCOME
Net investment income was derived from the following sources:
  
Three months ended June 30,Six months ended June 30,
  
2020201920202019
Fixed maturities$80,459  $97,370  $170,402  $188,752  
Other investments(37,580) 31,232  (39,700) 38,128  
Equity securities2,263  3,197  4,387  5,525  
Mortgage loans3,660  3,689  7,713  6,752  
Cash and cash equivalents2,392  8,138  7,323  13,940  
Short-term investments366  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  
NET INVESTMENT GAINS (LOSSES)
The following table provides an analysis of net investment gains (losses):
  Three months ended June 30,Six months ended June 30,
  2020201920202019
Gross realized investment gains
Fixed maturities and short-term investments$51,017  $18,971  $90,948  $29,409  
Equity securities22,038  154  23,958  1,598  
Gross realized investment gains73,055  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 losses13,761  —  (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 securities24,361  13,145  (36,871) 40,543  
Net investment gains (losses)$53,043  $21,225  $(9,831) $33,996  
(1) Related to instances where the Company intends to sell securities or it is more likely than not that the Company will be required to sell securities before their anticipated recovery.
(2) Refer to Note 5 'Derivative Instruments'.
ALLOWANCE FOR CREDIT LOSS
The following table provides a reconciliation of the beginning and ending balances of the allowance for expected credit losses on fixed maturities classified as available for sale:
  Three months ended June 30,Six months ended June 30,
  2020201920202019
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  $—