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INVESTMENTS (Tables)
 9 Months Ended
Sep. 30, 2020
Investments, Debt and Equity Securities [Abstract]  
AMORTIZED 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 September 30, 2020
Fixed maturities
U.S. government and agency$1,929,224 $— $62,872 $(630)$1,991,466 
Non-U.S. government659,744 — 18,099 (4,042)673,801 
Corporate debt4,607,629 (2,462)214,924 (23,360)4,796,731 
Agency RMBS(1)
1,630,014 — 48,465 (1,373)1,677,106 
CMBS(2)
1,291,291 — 92,012 (2,565)1,380,738 
Non-agency RMBS131,937 (36)2,733 (1,104)133,530 
ABS(3)
1,679,839 — 12,374 (20,038)1,672,175 
Municipals(4)
272,154 — 11,982 (442)283,694 
Total fixed maturities$12,201,832 $(2,498)$463,461 $(53,554)$12,609,241 
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 September 30, 2020
Equity securities
Common stocks$10,679 $35 $(1,419)$9,295 
Preferred stocks6,249 1,505 — 7,754 
Exchange-traded funds141,748 51,920 (1,466)192,202 
Bond mutual funds197,500 11,135 — 208,635 
Total equity securities$356,176 $64,595 $(2,885)$417,886 
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 September 30, 2020
Maturity
Due in one year or less$367,208 $371,864 2.8 %
Due after one year through five years4,318,770 4,446,778 35.3 %
Due after five years through ten years2,524,796 2,660,506 21.1 %
Due after ten years257,977 266,544 2.1 %
 7,468,751 7,745,692 61.3 %
Agency RMBS1,630,014 1,677,106 13.3 %
CMBS1,291,291 1,380,738 11.0 %
Non-agency RMBS131,937 133,530 1.1 %
ABS1,679,839 1,672,175 13.3 %
Total$12,201,832 $12,609,241 100.0 %
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 September 30, 2020
Fixed maturities
U.S. government and agency$— $— $237,349 $(630)$237,349 $(630)
Non-U.S. government28,253 (1,675)99,028 (2,367)127,281 (4,042)
Corporate debt57,768 (3,924)821,430 (19,436)879,198 (23,360)
Agency RMBS9,231 (21)242,263 (1,352)251,494 (1,373)
CMBS9,467 (907)121,193 (1,658)130,660 (2,565)
Non-agency RMBS5,048 (873)22,552 (231)27,600 (1,104)
ABS313,666 (9,127)667,236 (10,911)980,902 (20,038)
Municipals— — 70,036 (442)70,036 (442)
Total fixed maturities$423,433 $(16,527)$2,281,087 $(37,027)$2,704,520 $(53,554)
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:
  
September 30, 2020December 31, 2019
  
Carrying value% of TotalCarrying value% of Total
Mortgage Loans held-for-investment:
Commercial$544,095 100 %$432,748 100 %
Total Mortgage Loans held-for-investment$544,095 100 %$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 September 30, 2020    
Long/short equity funds$24,815 3 %Annually60 days
Multi-strategy funds111,980 15 %Quarterly, Semi-annually60-95 days
Direct lending funds269,783 35 %n/an/a
Private equity funds106,701 14 %n/an/a
Real estate funds153,163 20 %n/an/a
CLO-Equities9,189 2 %n/an/a
Other privately held investments39,493 5 %n/an/a
Overseas deposits45,082 6 %n/an/a
Total other investments$760,206 100 % 
  
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 September 30,Nine months ended September 30,
  
2020201920202019
Fixed maturities$73,992 $96,311 $244,394 $285,062 
Other investments25,125 11,143 (14,574)49,271 
Equity securities1,871 2,232 6,258 7,757 
Mortgage loans3,609 3,984 11,322 10,735 
Cash and cash equivalents2,491 7,034 9,814 20,974 
Short-term investments440 973 2,303 5,975 
Gross investment income
107,528 121,677 259,517 379,774 
Investment expenses(5,572)(5,914)(19,419)(18,760)
Net investment income$101,956 $115,763 $240,098 $361,014 
NET INVESTMENT GAINS (LOSSES)
The following table provides an analysis of net investment gains:
  Three months ended September 30,Nine months ended September 30,
  2020201920202019
Gross realized investment gains
Fixed maturities and short-term investments$39,926 $32,475 $130,874 $61,882 
Equity securities556 1,825 24,514 3,424 
Gross realized investment gains40,482 34,300 155,388 65,306 
Gross realized investment losses
Fixed maturities and short-term investments(10,394)(14,557)(88,216)(44,813)
Equity securities(37)(80)(5,839)(203)
Gross realized investment losses(10,431)(14,637)(94,055)(45,016)
Allowance for expected credit losses3,759 — (2,498)— 
Impairment losses(1)
(184)— (1,486)— 
OTTI losses— (1,458)— (6,328)
Change in fair value of investment derivatives(2)
(1,346)2,592 1,970 287 
Net unrealized gains (losses) on equity securities23,329 (6,270)(13,542)34,273 
Net investment gains$55,609 $14,527 $45,777 $48,522 
(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 September 30,Nine months ended September 30,
  2020201920202019
Balance at beginning of period$6,257 $— $— $— 
Expected credit losses on securities where credit losses were not previously recognized
194 — 22,570 — 
Additions (reductions) for expected credit losses on securities where credit losses were previously recognized
(2,545)— (9,424)— 
Impairments of securities which the Company intends to sell or more likely than not will be required to sell— — — — 
Securities sold/redeemed/matured(1,408)— (10,648)— 
Balance at end of period$2,498 $— $2,498 $—