10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

☒        QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2021

OR

☐        TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

Commission file number 001-31721

AXIS CAPITAL HOLDINGS LIMITED

(Exact name of registrant as specified in its charter)

Bermuda

(State or other jurisdiction of incorporation or organization)

98-0395986

(I.R.S. Employer Identification No.)

92 Pitts Bay Road, Pembroke, Bermuda HM 08

(Address of principal executive offices and zip code)

(441) 496-2600

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Exchange Act:

Title of each class	Trading Symbol(s)	Name of each exchange on which registered
Common shares, par value $0.0125 per share	AXS	New York Stock Exchange
Depositary Shares, each representing a 1/100th interest in a 5.50% Series E preferred share	AXS PRE	New York Stock Exchange

Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.  Yes  ☒    No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).  Yes  ☒  No  ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of "large accelerated filer", "accelerated filer", "smaller reporting company", and "emerging growth company" in Rule 12b-2 of the Exchange Act.

Large accelerated filer	☒	Accelerated filer	☐
Non-accelerated filer	☐	Smaller reporting company	☐
		Emerging growth company	☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).  Yes  ☐  No  ☒

At April 26, 2021, there were 84,760,169 common shares outstanding, $0.0125 par value per share, of the registrant.

AXIS CAPITAL HOLDINGS LIMITED

INDEX TO FORM 10-Q

		Page
	PART I
	Financial Information	3
Item 1.	Consolidated Financial Statements	5
Item 2.	Management's Discussion and Analysis of Financial Condition and Results of Operations	46
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	74
Item 4.	Controls and Procedures	75
	PART II
	Other Information	76
Item 1.	Legal Proceedings	76
Item 1A.	Risk Factors	76
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	76
Item 5.	Other Information	77
Item 6.	Exhibits	78
	Signatures	79

2

PART I     FINANCIAL INFORMATION

This Quarterly Report on Form 10-Q contains forward-looking statements within the meaning of section 27A of the Securities Act of 1933 and section 21E of the Securities Exchange Act of 1934. All statements, other than statements of historical facts included in this report, including statements regarding our estimates, beliefs, expectations, intentions, strategies or projections are forward-looking statements. We intend these forward-looking statements to be covered by the safe harbor provisions for forward-looking statements in the United States ("U.S.") federal securities laws. In some cases, these statements can be identified by the use of forward-looking words such as "may", "should", "could", "anticipate", "estimate", "expect", "plan", "believe", "predict", "potential", "intend" or similar expressions. These forward-looking statements are not historical facts, and are based on current expectations, estimates and projections, and various assumptions, many of which, by their nature, are inherently uncertain and beyond management's control.

Forward-looking statements contained in this report may include, but are not limited to, information regarding our estimates for catastrophes and other weather-related losses including losses related to the COVID-19 pandemic, measurements of potential losses in the fair market value of our investment portfolio and derivative contracts, our expectations regarding the performance of our business, our financial results, our liquidity and capital resources, the outcome of our strategic initiatives, our expectations regarding pricing and other market conditions, our growth prospects, and valuations of the potential impact of movements in interest rates, credit spreads, equity securities' prices and foreign currency rates.

Forward-looking statements only reflect our expectations and are not guarantees of performance. These statements involve risks, uncertainties and assumptions. Accordingly, there are or will be important factors that could cause actual events or results to differ materially from those indicated in such statements. We believe that these factors include, but are not limited to, the following: 

•the adverse impact of the ongoing COVID-19 pandemic on our business, results of operations, financial condition and liquidity;

•the cyclical nature of the insurance and reinsurance business leading to periods with excess underwriting capacity and unfavorable premium rates;

•the occurrence and magnitude of natural and man-made disasters;

•the impact of global climate change on our business, including the possibility that we do not adequately assess or reserve for the increased frequency and severity of natural catastrophes;

•losses from war, terrorism and political unrest or other unanticipated losses;

•actual claims exceeding loss reserves;

•general economic, capital and credit market conditions, including fluctuations in interest rates, credit spreads, equity securities' prices and/or foreign currency values;

•the failure of any of the loss limitation methods we employ;

•the effects of emerging claims, coverage and regulatory issues, including uncertainty related to coverage definitions, limits, terms and conditions;

•the inability to purchase reinsurance or collect amounts due to us from reinsurance we have purchased;

•the loss of business provided to us by major brokers;

•breaches by third parties in our program business of their obligations to us;

•difficulties with technology and/or data security;

•the failure of our policyholders or intermediaries to pay premiums;

•the failure of our cedants to adequately evaluate risks;

•the inability to obtain additional capital on favorable terms, or at all;

•the loss of one or more of our key executives;

•a decline in our ratings with rating agencies;

•changes in accounting policies or practices;

•the use of industry models and changes to these models;

3

•changes in governmental regulations and potential government intervention in our industry;

•inadvertent failure to comply with certain laws and regulations relating to sanctions and foreign corrupt practices;

•changes in the political environment of certain countries in which we operate or underwrite business, including the United Kingdom's withdrawal from the European Union;

•changes in tax laws; and

•other factors including but not limited to those described under Item 1A, 'Risk Factors' in our most recent Annual Report on Form 10-K filed with the Securities and Exchange Commission ("SEC"), as those factors may be updated from time to time in our periodic and other filings with the SEC, which are accessible on the SEC's website at www.sec.gov. Readers are urged to carefully consider all such factors as the COVID-19 pandemic may have the effect of heightening many of the other risks and uncertainties described.

We undertake no obligation to update or revise publicly any forward-looking statements, whether as a result of new information, future events or otherwise.

Website and Social Media Disclosure

We use our website (www.axiscapital.com) and our corporate Twitter (@AXIS_Capital) and LinkedIn (AXIS Capital) accounts as channels of distribution of Company information. The information we post through these channels may be deemed material. Accordingly, investors should monitor these channels, in addition to following our press releases, SEC filings and public conference calls and webcasts. In addition, e-mail alerts and other information about AXIS Capital may be received when enrolled in our "E-mail Alerts" program, which can be found in the Investor Information section of our website (www.axiscapital.com). The contents of our website and social media channels are not part of this Quarterly Report on Form 10-Q.

4

ITEM 1.     CONSOLIDATED FINANCIAL STATEMENTS

	Page
Consolidated Balance Sheets at March 31, 2021 (Unaudited) and December 31, 2020	6
Consolidated Statements of Operations for the three months ended March 31, 2021 and 2020 (Unaudited)	7
Consolidated Statements of Comprehensive Income for the three months ended March 31, 2021 and 2020 (Unaudited)	8
Consolidated Statements of Changes in Shareholders' Equity for the three months ended March 31, 2021 and 2020 (Unaudited)	9
Consolidated Statements of Cash Flows for the three months ended March 31, 2021 and 2020 (Unaudited)	10
Notes to Consolidated Financial Statements (Unaudited)	12
Note 1 - Basis of Presentation and Significant Accounting Policies	12
Note 2 - Segment Information	13
Note 3 - Investments	14
Note 4 - Fair Value Measurements	23
Note 5 - Derivative Instruments	33
Note 6 - Reserve for Losses and Loss Expenses	35
Note 7 - Earnings Per Common Share	39
Note 8 - Share-Based Compensation	40
Note 9 - Shareholders' Equity	43
Note 10 - Debt and Financing Arrangements	44
Note 11 - Commitments and Contingencies	44
Note 12 - Other Comprehensive Income (Loss)	45

5

AXIS CAPITAL HOLDINGS LIMITED

CONSOLIDATED BALANCE SHEETS

MARCH 31, 2021 (UNAUDITED) AND DECEMBER 31, 2020  

	2021		2020
	(in thousands)
Assets
Investments:
Fixed maturities, available for sale, at fair value     (Amortized cost 2021: $11,480,507; 2020: $11,566,930     Allowance for expected credit losses 2021: $234; 2020: $323)	$	11,728,611	$	12,041,799
Fixed maturities, held to maturity, at amortized cost     (Fair value 2021: $404,522     Allowance for expected credit losses 2021: $nil)	404,690		—
Equity securities, at fair value     (Cost 2021: $454,451; 2020: $421,744)	547,676		518,445
Mortgage loans, held for investment, at fair value      (Allowance for expected credit losses 2021: $nil; 2020: $nil)	629,576		593,290
Other investments, at fair value	790,530		829,156
Equity method investments	123,370		114,209
Short-term investments, at fair value	185,699		161,897
Total investments	14,410,152		14,258,796
Cash and cash equivalents	895,932		902,831
Restricted cash and cash equivalents	664,347		600,401
Accrued interest receivable	61,222		65,020
Insurance and reinsurance premium balances receivable      (Allowance for expected credit losses 2021: $12,218; 2020: $8,836)	3,367,142		2,738,342
Reinsurance recoverable on unpaid losses and loss expenses      (Allowance for expected credit losses 2021: $25,118; 2020: $23,711)	4,533,232		4,496,641
Reinsurance recoverable on paid losses and loss expenses	459,411		434,201
Deferred acquisition costs	577,509		431,439
Prepaid reinsurance premiums	1,379,450		1,194,455
Receivable for investments sold	1,450		2,150
Goodwill	100,801		100,801
Intangible assets	216,904		219,633
Value of business acquired	2,826		3,854
Operating lease right-of-use assets	116,693		123,579
Other assets	298,756		305,544
Total assets	$	27,085,827	$	25,877,687
Liabilities
Reserve for losses and loss expenses	$	14,025,274	$	13,926,766
Unearned premiums	4,551,424		3,685,886
Insurance and reinsurance balances payable	1,231,403		1,092,042
Debt	1,310,009		1,309,695
Payable for investments purchased	389,925		104,777
Operating lease liabilities	134,002		140,263
Other liabilities	267,400		322,564
Total liabilities	21,909,437		20,581,993
Shareholders’ equity
Preferred shares	550,000		550,000
Common shares (shares issued 2021: 176,580; 2020: 176,580     shares outstanding 2021: 84,753; 2020: 84,353)	2,206		2,206
Additional paid-in capital	2,316,147		2,330,054
Accumulated other comprehensive income	214,861		414,395
Retained earnings	5,842,850		5,763,607
Treasury shares, at cost (2021: 91,827; 2020: 92,227)	(3,749,674)		(3,764,568)
Total shareholders’ equity	5,176,390		5,295,694
Total liabilities and shareholders’ equity	$	27,085,827	$	25,877,687

See accompanying notes to Consolidated Financial Statements.

6

AXIS CAPITAL HOLDINGS LIMITED

CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED)

FOR THE THREE MONTHS ENDED MARCH 31, 2021 AND 2020

	Three months ended
	2021		2020
	(in thousands, except for per share amounts)
Revenues
Net premiums earned	$	1,103,722	$	1,088,625
Net investment income	114,165		93,101
Other insurance related income (loss)	2,781		(8,707)
Net investment gains (losses):
Allowance for expected credit losses	89		(20,019)
Impairment losses	—		(1,190)
Other realized and unrealized investment gains (losses)	29,556		(41,668)
Total net investment gains (losses)	29,645		(62,877)
Total revenues	1,250,313		1,110,142
Expenses
Net losses and loss expenses	714,718		908,073
Acquisition costs	218,871		238,650
General and administrative expenses	158,408		157,060
Foreign exchange losses (gains)	4,113		(61,683)
Interest expense and financing costs	15,571		23,472
Reorganization expenses	—		(982)
Amortization of value of business acquired	1,028		1,799
Amortization of intangible assets	2,690		2,870
Total expenses	1,115,399		1,269,259
Income (loss) before income taxes and interest in income (loss) of equity method investments	134,914		(159,117)
Income tax (expense) benefit	(20,776)		4,867
Interest in income (loss) of equity method investments	9,162		(23,577)
Net income (loss)	123,300		(177,827)
Preferred share dividends	7,563		7,563
Net income (loss) available (attributable) to common shareholders	$	115,737	$	(185,390)
Per share data
Earnings (loss) per common share:
Earnings (loss) per common share	$	1.37	$	(2.20)
Earnings (loss) per diluted common share	$	1.36	$	(2.20)
Weighted average common shares outstanding	84,514		84,094
Weighted average diluted common shares outstanding	84,965		84,094

See accompanying notes to Consolidated Financial Statements.

7

AXIS CAPITAL HOLDINGS LIMITED

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (UNAUDITED)

FOR THE THREE MONTHS ENDED MARCH 31, 2021 AND 2020

	Three months ended
	2021		2020
	(in thousands)
Net income (loss)	$	123,300	$	(177,827)
Other comprehensive income (loss), net of tax:
Available for sale investments:
Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has not been recognized	(171,831)		(242,962)
Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has been recognized	47		(16,590)
Adjustment for reclassification of net realized (gains) losses and impairment losses recognized in net income (loss)	(28,999)		5,648
Unrealized gains (losses) arising during the period, net of reclassification adjustment	(200,783)		(253,904)
Foreign currency translation adjustment	1,249		(7,725)
Total other comprehensive income (loss), net of tax	(199,534)		(261,629)
Comprehensive income (loss)	$	(76,234)	$	(439,456)

See accompanying notes to Consolidated Financial Statements.

8

AXIS CAPITAL HOLDINGS LIMITED

CONSOLIDATED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY (UNAUDITED)

FOR THE THREE MONTHS ENDED MARCH 31, 2021 AND 2020

	Three months ended
	2021		2020
	(in thousands)
Preferred shares
Balance at beginning of period	$	550,000	$	775,000
Shares repurchased	—		(225,000)
Balance at end of period	550,000		$	550,000
Common shares (par value)
Balance at beginning and end of period	2,206		2,206
Additional paid-in capital
Balance at beginning of period	2,330,054		2,317,212
Treasury shares reissued	(23,129)		(18,695)
Share-based compensation expense	9,222		9,481
Balance at end of period	2,316,147		2,307,998
Accumulated other comprehensive income (loss)
Balance at beginning of period	414,395		171,710
Unrealized gains (losses) on available for sale investments, net of tax:
Balance at beginning of period	420,635		181,521
Unrealized gains (losses) arising during the period, net of reclassification adjustment	(200,783)		(253,904)
Balance at end of period	219,852		(72,383)
Cumulative foreign currency translation adjustments, net of tax:
Balance at beginning of period	(6,240)		(9,811)
Foreign currency translation adjustment	1,249		(7,725)
Balance at end of period	(4,991)		(17,536)
Balance at end of period	214,861		(89,919)
Retained earnings
Balance at beginning of period	5,763,607		6,056,686
Net income (loss)	123,300		(177,827)
Preferred share dividends (1)	(7,563)		(7,563)
Common share dividends (1)	(36,494)		(35,289)
Balance at end of period	5,842,850		5,836,007
Treasury shares, at cost
Balance at beginning of period	(3,764,568)		(3,778,806)
Shares repurchased	(9,380)		(8,492)
Shares reissued	24,274		20,584
Balance at end of period	(3,749,674)		(3,766,714)
Total shareholders’ equity	$	5,176,390	$	4,839,578

(1) Refer to Note 9 'Shareholder's Equity' for details on dividends declared and paid related to the Company's common and preferred shares.

See accompanying notes to Consolidated Financial Statements.

9

AXIS CAPITAL HOLDINGS LIMITED

CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED)

FOR THE THREE MONTHS ENDED MARCH 31, 2021 AND 2020

	Three months ended
	2021		2020
	(in thousands)
Cash flows from operating activities:
Net income (loss)	$	123,300	$	(177,827)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Net investment (gains) losses	(29,645)		62,877
Net realized and unrealized (gains) losses on other investments	(41,833)		2,119
Amortization of fixed maturities	7,965		6,359
Interest in (income) loss of equity method investments	(9,162)		23,577
Amortization of value of business acquired	1,028		1,799
Other amortization and depreciation	15,096		15,612
Share-based compensation expense, net of cash payments	1,721		(4,650)
Changes in:
Accrued interest receivable	3,585		1,234
Reinsurance recoverable balances on unpaid and paid losses	(61,380)		(260,131)
Deferred acquisition costs	(147,129)		(119,796)
Prepaid reinsurance premiums	(184,288)		(181,055)
Reserve for losses and loss expenses	97,161		348,285
Unearned premiums	867,277		774,703
Insurance and reinsurance balances, net	(491,151)		(502,437)
Other items	(7,399)		(40,413)
Net cash provided by (used in) operating activities	145,146		(49,744)
Cash flows from investing activities:
Purchases of:
Fixed maturities, available for sale	(4,671,969)		(2,777,053)
Fixed maturities, held to maturity	(60,749)		—
Equity securities	(35,668)		(16,132)
Mortgage loans	(45,498)		(84,738)
Other investments	(46,324)		(20,858)
Short-term investments	(109,597)		(94,352)
Proceeds from the sale of:
Fixed maturities, available for sale	4,188,525		2,506,490
Equity securities	(6,550)		10,308
Other investments	127,385		32,355
Short-term investments	63,657		54,105
Proceeds from the redemption of fixed maturities, available for sale	486,401		424,207
Proceeds from the redemption of fixed maturities, held to maturity	61,170		—
Proceeds from redemption of short-term investments	21,886		1,775
Proceeds from the repayment of mortgage loans	9,321		399
Purchase of other assets	(6,216)		(13,485)
Net cash provided by (used in) investing activities	(24,226)		23,021
Cash flows from financing activities:
Taxes paid on withholding shares	(9,381)		(8,491)
Dividends paid - common shares	(38,583)		(37,318)
Repurchase of preferred shares	—		(225,000)
Dividends paid - preferred shares	(7,563)		(9,144)
Net cash used in financing activities	(55,527)		(279,953)
Effect of exchange rate changes on foreign currency cash, cash equivalents and restricted cash	(8,346)		(28,718)
Increase (decrease) in cash, cash equivalents and restricted cash	57,047		(335,394)
Cash, cash equivalents and restricted cash - beginning of period	1,503,232		1,576,457
Cash, cash equivalents and restricted cash - end of period	$	1,560,279	$	1,241,063
Supplemental disclosures of cash flow information:
Income taxes paid (refund)	$	8,981	$	(2,131)
Interest paid	$	22,700	$	13,133

See accompanying notes to Consolidated Financial Statements.

10

Supplemental disclosures of cash flow information: In 2021, the transfer of securities with a fair value of $405 million from fixed maturities, available for sale to fixed maturities, held to maturity was treated as a non-cash activity in the consolidated statement of cash flows (refer to Note 3 'Investments').

See accompanying notes to Consolidated Financial Statements.

11

AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

1.    BASIS OF PRESENTATION AND SIGNIFICANT ACCOUNTING POLICIES

Basis of Presentation

These unaudited consolidated financial statements (the "financial statements") have been prepared in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") for interim financial information and with the U.S. Securities and Exchange Commission's ("SEC") instructions to Form 10-Q and Article 10 of Regulation S-X and include AXIS Capital Holdings Limited ("AXIS Capital") and its subsidiaries (the "Company"). Accordingly, they do not include all of the information and notes required by U.S. GAAP for complete financial statements. This Quarterly Report on Form 10-Q should be read in conjunction with the financial statements and related notes included in AXIS Capital's Annual Report on Form 10-K for the year ended December 31, 2020, as filed with the SEC.

In the opinion of management, these financial statements reflect all adjustments (consisting of normal recurring adjustments) considered necessary for a fair presentation of the Company's financial position and results of operations for the periods presented.

The results of operations for any interim period are not necessarily indicative of the results for a full year. All inter-company accounts and transactions have been eliminated.

Tabular dollar and share amounts are in thousands, with the exception of per share amounts. All amounts are reported in U.S. dollars.

Significant Accounting Policies

Changes to the Company's significant accounting policies subsequent to its Annual Report on Form 10-K for the year ended December 31, 2020 are noted below:

a)    Investments

Fixed Maturities, Held to maturity, at Fair Value

Fixed maturities are classified as held to maturity when the Company has the positive intent and ability to hold the securities to maturity or redemption. Fixed maturities classified as held to maturity are reported at amortized cost and are presented net of an allowance for expected credit losses. The allowance for expected credit losses is estimated based on the Company’s analysis of projected lifetime losses. The allowance for expected credit losses is recognized in net investment gains (losses) in the consolidated statements of operations. Any adjustment to the allowance for expected credit losses is recognized in the period in which it is determined.

b)    Share-based Compensation

The Company is authorized to issue restricted shares, restricted stock units, performance restricted stock units, stock options, stock appreciation rights and other equity-based awards to its employees and directors. The Company's plan includes share-settled and cash-settled service awards and performance awards.

Restricted Stock Units - Share-Settled and Cash-Settled

The fair value of share-settled and cash-settled service awards is based on market value of the Company's common shares measured at the grant date and is expensed over the requisite service period. The fair value of the cash-settled service awards is recognized as a liability in the consolidated balance sheets and is remeasured at the end of each reporting period. The Company recognizes forfeitures when they occur.

Performance Restricted Stock Units - Share-Settled and Cash-Settled

The fair value of share-settled performance awards which include a market condition is measured on the grant date using a Monte Carlo simulation model which requires inputs including share price, expected volatility, expected term, expected dividend yield and risk-free interest rates. The fair value of share-settled and cash-settled performance awards which include a performance condition is based on market value of the Company's common shares measured at the grant date. The fair value of share-settled and cash-settled performance awards is recognized on a straight-line basis over the requisite service period. The fair value of the cash-settled performance awards is recognized as a liability in the consolidated balance sheets and is remeasured at the end of each reporting period. The Company recognizes forfeitures when they occur.

12

AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

2.    SEGMENT INFORMATION

AXIS Capital's underwriting operations are organized around its global underwriting platforms, AXIS Insurance and AXIS Re. The Company has determined that it has two reportable segments, insurance and reinsurance. The Company does not allocate its assets by segment, with the exception of goodwill and intangible assets.

Insurance

The Company's insurance segment offers specialty insurance products to a variety of niche markets on a worldwide basis. The product lines in this segment are property, marine, terrorism, aviation, credit and political risk, professional lines, liability, accident and health, and discontinued lines - Novae.

Reinsurance

The Company's reinsurance segment provides treaty reinsurance to insurance companies on a worldwide basis. The product lines in this segment are catastrophe, property, credit and surety, professional lines, motor, liability, engineering, agriculture, marine and aviation, accident and health, and discontinued lines - Novae.

The following tables present the underwriting results of the Company's reportable segments, as well as the carrying amounts of allocated goodwill and intangible assets:

	2021									2020
Three months ended and at March 31,	Insurance			Reinsurance			Total			Insurance			Reinsurance			Total
Gross premiums written	$	1,103,198		$	1,432,283		$	2,535,481		$	940,715		$	1,490,443		$	2,431,158
Net premiums written	707,814			1,071,072			1,778,886			581,650			1,097,394			1,679,044
Net premiums earned	616,286			487,436			1,103,722			562,064			526,561			1,088,625
Other insurance related income (loss)	415			2,366			2,781			647			(9,354)			(8,707)
Net losses and loss expenses	(356,898)			(357,820)			(714,718)			(471,812)			(436,261)			(908,073)
Acquisition costs	(117,679)			(101,192)			(218,871)			(112,751)			(125,899)			(238,650)
Underwriting-related general and administrative expenses	(103,303)			(29,365)			(132,668)			(100,778)			(29,184)			(129,962)
Underwriting income (loss)	$	38,821		$	1,425		40,246			$	(122,630)		$	(74,137)		(196,767)
Net investment income							114,165									93,101
Net investment gains (losses)							29,645									(62,877)
Corporate expenses							(25,740)									(27,098)
Foreign exchange (losses) gains							(4,113)									61,683
Interest expense and financing costs							(15,571)									(23,472)
Reorganization expenses							—									982
Amortization of value of business acquired							(1,028)									(1,799)
Amortization of intangible assets							(2,690)									(2,870)
Income (loss) before income taxes and interest in income (loss) of equity method investments							$	134,914								$	(159,117)
Net losses and loss expenses ratio	57.9		%	73.4		%	64.8		%	83.9		%	82.9		%	83.4		%
Acquisition cost ratio	19.1		%	20.8		%	19.8		%	20.1		%	23.9		%	21.9		%
General and administrative expense ratio	16.8		%	6.0		%	14.3		%	17.9		%	5.5		%	14.5		%
Combined ratio	93.8		%	100.2		%	98.9		%	121.9		%	112.3		%	119.8		%
Goodwill and intangible assets	$	317,705		$	—		$	317,705		$	329,824		$	—		$	329,824

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

3.    INVESTMENTS

a)     Fixed Maturities and Equity securities

Fixed maturities

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 losses		Gross unrealized gains		Gross unrealized losses		Fair value
At March 31, 2021
Available for sale
U.S. government and agency	$	2,181,808	$	—	$	20,184	$	(14,899)	$	2,187,093
Non-U.S. government	689,358		—		28,789		(3,426)		714,721
Corporate debt	4,364,800		(164)		157,099		(26,457)		4,495,278
Agency RMBS(1)	1,186,277		—		29,602		(7,385)		1,208,494
CMBS(2)	1,227,004		—		50,586		(3,541)		1,274,049
Non-agency RMBS	163,617		(70)		4,505		(883)		167,169
ABS(3)	1,396,130		—		9,693		(2,862)		1,402,961
Municipals(4)	271,513		—		8,872		(1,539)		278,846
Total fixed maturities, available for sale	$	11,480,507	$	(234)	$	309,330	$	(60,992)	$	11,728,611
At December 31, 2020
Available for sale
U.S. government and agency	$	1,881,489	$	—	$	38,969	$	(1,759)	$	1,918,699
Non-U.S. government	632,875		—		38,826		(428)		671,273
Corporate debt	4,408,351		(303)		254,261		(6,358)		4,655,951
Agency RMBS(1)	1,244,727		—		42,170		(688)		1,286,209
CMBS(2)	1,268,273		—		87,598		(2,284)		1,353,587
Non-agency RMBS	136,198		(20)		4,604		(678)		140,104
ABS(3)	1,712,236		—		14,527		(6,685)		1,720,078
Municipals(4)	282,781		—		13,148		(31)		295,898
Total fixed maturities, available for sale	$	11,566,930	$	(323)	$	494,103	$	(18,911)	$	12,041,799

(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.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

3.    INVESTMENTS (CONTINUED)

The following table provides the amortized cost and fair values of the Company's fixed maturities classified as held to maturity:

	Amortized cost		Allowance for expected credit losses		Net carrying value		Gross unrealized gains		Gross unrealized losses		Fair value
At March 31, 2021
Held to maturity
ABS(1)	$	404,690	$	—	$	404,690	$	46	$	(214)	$	404,522
Total fixed maturities, held to maturity	$	404,690	$	—	$	404,690	$	46	$	(214)	$	404,522

(1)Asset-backed securities ("ABS") include debt tranched securities collateralized primarily by collateralized loan obligations ("CLOs").

On March 1, 2021, the Company transferred securities with total fair value of $405 million from fixed maturities, available for sale to fixed maturities, held to maturity. These securities, which the Company has the intent and ability to hold to maturity, were transferred in order to better align the accounting classification with their management strategy. The net unrealized gain at the date of the transfer, March 1, 2021, continues to be reported in the carrying value of the transferred securities and is amortized over the remaining life of the securities using the effective yield method.

Fixed maturities, held to maturity of $405 million at March 31, 2021 were presented net of an allowance for expected credit losses. The Company's ABS, held to maturity consist of CLO debt tranched securities. The Company uses a scenario-based approach to review its CLO debt portfolio and reviews subordination levels of these securities to determine their ability to absorb credit losses of the underlying collateral. If losses are forecast to be below the subordination level for a tranche held by the Company, the security is determined not to have a credit loss. At March 31, 2021, the allowance for credit losses expected to be recognized over the life of our ABS, held to maturity was $nil.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

3.    INVESTMENTS (CONTINUED)

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 March 31, 2021
Equity securities
Common stocks	$	8,470	$	1,682	$	(435)	$	9,717
Preferred stocks	5,519		1,430		—		6,949
Exchange-traded funds	182,544		87,184		(342)		269,386
Bond mutual funds	257,918		3,706		—		261,624
Total equity securities	$	454,451	$	94,002	$	(777)	$	547,676
At December 31, 2020
Equity securities
Common stocks	$	10,810	$	689	$	(557)	$	10,942
Preferred stocks	6,301		1,767		—		8,068
Exchange-traded funds	147,794		74,314		(390)		221,718
Bond mutual funds	256,839		20,878		—		277,717
Total equity securities	$	421,744	$	97,648	$	(947)	$	518,445

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 64% 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.

The maximum exposure to loss on these interests is limited to the amount of commitment made by the Company. The Company has not provided financial or other support to these structured securities other than the original investment.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

3.    INVESTMENTS (CONTINUED)

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 classified as available for sale:

	Amortized cost		Fair value		% of Total fair value
At March 31, 2021
Maturity
Due in one year or less	$	584,411	$	593,485	5.0	%
Due after one year through five years	4,361,986		4,482,143		38.2	%
Due after five years through ten years	2,324,428		2,363,912		20.2	%
Due after ten years	236,654		236,398		2.0	%
	7,507,479		7,675,938		65.4	%
Agency RMBS	1,186,277		1,208,494		10.3	%
CMBS	1,227,004		1,274,049		10.9	%
Non-agency RMBS	163,617		167,169		1.4	%
ABS	1,396,130		1,402,961		12.0	%
Total	$	11,480,507	$	11,728,611	100.0	%
At December 31, 2020
Maturity
Due in one year or less	$	436,287	$	444,527	3.6	%
Due after one year through five years	4,165,696		4,335,219		36.0	%
Due after five years through ten years	2,344,859		2,489,050		20.7	%
Due after ten years	258,654		273,025		2.3	%
	7,205,496		7,541,821		62.6	%
Agency RMBS	1,244,727		1,286,209		10.7	%
CMBS	1,268,273		1,353,587		11.2	%
Non-agency RMBS	136,198		140,104		1.2	%
ABS	1,712,236		1,720,078		14.3	%
Total	$	11,566,930	$	12,041,799	100.0	%

ABS classified as held to maturity with a net carrying value of $405 million (2020: $nil) do not have a single maturity date and cannot be allocated over several maturity groupings.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

3.    INVESTMENTS (CONTINUED)

 Gross Unrealized Losses

The following table summarizes fixed maturities available for sale 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 greater				Less than 12 months				Total
	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
At March 31, 2021
Fixed maturities, available for sale
U.S. government and agency	$	—	$	—	$	973,758	$	(14,899)	$	973,758	$	(14,899)
Non-U.S. government	2,257		(485)		156,529		(2,941)		158,786		(3,426)
Corporate debt	62,713		(1,576)		1,036,713		(24,881)		1,099,426		(26,457)
Agency RMBS	154		(4)		447,303		(7,381)		447,457		(7,385)
CMBS	18,422		(140)		133,199		(3,401)		151,621		(3,541)
Non-agency RMBS	6,153		(478)		59,008		(405)		65,161		(883)
ABS	95,782		(1,537)		241,242		(1,325)		337,024		(2,862)
Municipals	—		—		80,414		(1,539)		80,414		(1,539)
Total fixed maturities, available for sale	$	185,481	$	(4,220)	$	3,128,166	$	(56,772)	$	3,313,647	$	(60,992)
At December 31, 2020
Fixed maturities, available for sale
U.S. government and agency	$	—	$	—	$	251,606	$	(1,759)	$	251,606	$	(1,759)
Non-U.S. government	16,115		(262)		3,652		(166)		19,767		(428)
Corporate debt	63,640		(2,244)		233,970		(4,114)		297,610		(6,358)
Agency RMBS	6,580		(20)		78,672		(668)		85,252		(688)
CMBS	19,736		(1,012)		70,656		(1,272)		90,392		(2,284)
Non-agency RMBS	5,109		(598)		9,558		(80)		14,667		(678)
ABS	325,436		(4,011)		360,402		(2,674)		685,838		(6,685)
Municipals	—		—		11,881		(31)		11,881		(31)
Total fixed maturities, available for sale	$	436,616	$	(8,147)	$	1,020,397	$	(10,764)	$	1,457,013	$	(18,911)

Fixed Maturities

At March 31, 2021, 1,553 fixed maturities (2020: 719) were in an unrealized loss position of $61 million (2020: $19 million), of which $5 million (2020: $7 million) was related to securities below investment grade or not rated.

At March 31, 2021, 205 fixed maturities (2020: 249) had been in a continuous unrealized loss position for twelve months or greater and had a fair value of $185 million (2020: $437 million).

The unrealized losses of $61 million (2020: $19 million) were due to non-credit factors and were expected to be recovered as the related securities approach maturity.

At March 31, 2021, 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.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

3.    INVESTMENTS (CONTINUED)

b) Mortgage Loans

The following table provides details of the Company's mortgage loans, held for investment:

	March 31, 2021				December 31, 2020
	Carrying value		% of Total		Carrying value		% of Total
Mortgage loans, held for investment:
Commercial	$	629,576	100	%	$	593,290	100	%
Total mortgage loans, held for investment	$	629,576	100	%	$	593,290	100	%

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 2.4x (2020: 2.4x) and a weighted average loan-to-value ratio of 60% (2020: 60%). At March 31, 2021, there are no credit losses or past due amounts associated with the commercial mortgage loans held by the Company.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

3.    INVESTMENTS (CONTINUED)

c) 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 March 31, 2021
Long/short equity funds	$	19,033	2	%	Annually	60 days
Multi-strategy funds	106,971		14	%	Quarterly, Semi-annually	60-95 days
Direct lending funds	279,324		35	%	Quarterly(1)	90 days
Private equity funds	153,515		19	%	n/a	n/a
Real estate funds	163,635		21	%	Quarterly(2)	45 days
CLO-Equities	6,269		1	%	n/a	n/a
Other privately held investments	61,783		8	%	n/a	n/a
Overseas deposits	—		—	%	n/a	n/a
Total other investments	$	790,530	100	%
At December 31, 2020
Long/short equity funds	$	25,300	3	%	Annually	60 days
Multi-strategy funds	121,420		15	%	Quarterly, Semi-annually	60-95 days
Direct lending funds	272,131		33	%	Quarterly(1)	90 days
Private equity funds	124,706		15	%	n/a	n/a
Real estate funds	164,250		20	%	Quarterly(2)	45 days
CLO-Equities	6,173		1	%	n/a	n/a
Other privately held investments	70,011		8	%	n/a	n/a
Overseas deposits	45,165		5	%	n/a	n/a
Total other investments	$	829,156	100	%

n/a - not applicable

(1) Applies to one fund with a fair value of $38 million (2020: $38 million).

(2) Applies to one fund with a fair value of $66 million (2020: $61 million).

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 three months ended March 31, 2021 and 2020, neither of these restrictions impacted the Company's redemption requests. At March 31, 2021, $19 million (2020: $25 million), representing 15% (2020: 17%) of total hedge funds, relate to holdings where the Company is still within the lockup period. The expiration of these lockup periods range from April 2021 to March 2022. 

At March 31, 2021, the Company had $187 million (2020: $151 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 March 31, 2021, the Company had $20 million (2020: $20 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.

20

AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

3.    INVESTMENTS (CONTINUED)

At March 31, 2021, the Company had $191 million (2020: $201 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 March 31, 2021, the Company had $137 million (2020: $166 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 March 31, 2021, this commitment remains unfunded. It is not anticipated that the full amount of this fund will be drawn.

d) Equity Method 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.

e) Net Investment Income

Net investment income was derived from the following sources:

	Three months ended March 31,
	2021		2020
Fixed maturities	$	69,470	$	89,943
Other investments	41,833		(2,120)
Equity securities	2,498		2,125
Mortgage loans	4,187		4,053
Cash and cash equivalents	2,336		4,930
Short-term investments	133		1,498
Gross investment income	120,457		100,429
Investment expenses	(6,292)		(7,328)
Net investment income	$	114,165	$	93,101

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

3.    INVESTMENTS (CONTINUED)

f) Net Investment Gains (Losses)

The following table provides an analysis of net investment gains (losses):

	Three months ended March 31,
	2021		2020
Gross realized investment gains
Fixed maturities and short-term investments	$	50,170	$	39,931
Equity securities	569		1,920
Gross realized investment gains	50,739		41,851
Gross realized investment losses
Fixed maturities and short-term investments	(19,368)		(22,766)
Equity securities	(89)		(2,682)
Gross realized investment losses	(19,457)		(25,448)
Allowance for expected credit losses	89		(20,019)
Impairment losses(1)	—		(1,190)
Change in fair value of investment derivatives(2)	1,749		3,162
Net unrealized gains (losses) on equity securities	(3,475)		(61,233)
Net investment gains (losses)	$	29,645	$	(62,877)

(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'.

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 March 31,
	2021		2020
Balance at beginning of period	$	323	$	—
Expected credit losses on securities where credit losses were not previously recognized	63		20,019
Additions (reductions) for expected credit losses on securities where credit losses were previously recognized	(105)		—
Impairments of securities which the Company intends to sell or more likely than not will be required to sell	—		—
Securities sold/redeemed/matured	(47)		—
Balance at end of period	$	234	$	20,019

g) Reverse Repurchase Agreements

At March 31, 2021, the Company held $46 million (2020: $91 million) of reverse repurchase agreements. These loans are fully collateralized, are generally outstanding for a short period of time and are presented on a gross basis as part of cash and cash equivalents in the Company's consolidated balance sheets. The required collateral for these loans is either cash or U.S. Treasuries at a minimum rate of 102% of the loan principal. Upon maturity, the Company receives principal and interest income. The Company monitors the estimated fair value of the securities loaned and borrowed on a daily basis with additional collateral obtained as necessary throughout the duration of the transaction.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

4.    FAIR VALUE MEASUREMENTS

Fair Value Hierarchy

Fair value is defined as the price to sell an asset or transfer a liability (i.e. the "exit price") in an orderly transaction between market participants. U.S. GAAP prescribes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to quoted prices in active markets and the lowest priority to unobservable data. The level in the hierarchy within which a given fair value measurement falls is determined based on the lowest level input that is significant to the measurement. The hierarchy is broken down into three levels as follows:

•Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Company has the ability to access.

•Level 2 - Valuations based on quoted prices in active markets for similar assets or liabilities, quoted prices for identical assets or liabilities in inactive markets, or for which significant inputs are observable (e.g. interest rates, yield curves, prepayment speeds, default rates, loss severities, etc.) or can be corroborated by observable market data.

•Level 3 - Valuations based on inputs that are unobservable and significant to the overall fair value measurement. The unobservable inputs reflect the Company's judgments about assumptions that market participants might use.

The availability of observable inputs can vary from financial instrument to financial instrument and is affected by a wide variety of factors including, for example, the type of financial instrument, whether the financial instrument is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires significantly more judgment.

Accordingly, the degree of judgment exercised by management in determining fair value is greatest for financial instruments categorized as Level 3. In periods of market dislocation, the observability of prices and inputs may be reduced for many financial instruments. This may lead the Company to change the selection of valuation technique (from market to cash flow approach) or may cause the Company to use multiple valuation techniques to estimate the fair value of a financial instrument. This circumstance could cause an instrument to be reclassified between levels within the fair value hierarchy.

Valuation Techniques

The valuation techniques, including significant inputs and assumptions generally used to determine the fair values of the Company's financial instruments as well as the classification of the fair values of its financial instruments in the fair value hierarchy are described in detail below.

Fixed Maturities

At each valuation date, the Company uses the market approach valuation technique to estimate the fair value of its fixed maturities portfolio, where possible. The market approach includes, but is not limited to, prices obtained from third-party pricing services for identical or comparable securities and the use of "pricing matrix models" using observable market inputs such as yield curves, credit risks and spreads, measures of volatility, and prepayment speeds. Pricing from third-party pricing services is sourced from multiple vendors, where available, and the Company maintains a vendor hierarchy by asset type based on historical pricing experience and vendor expertise. Where prices are unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers who are active in the corresponding markets. The valuation techniques including significant inputs and assumptions generally used to determine the fair values of the Company's fixed maturities by asset class as well as the classifications of the fair values of these securities in the fair value hierarchy are described in detail below.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

4.    FAIR VALUE MEASUREMENTS (CONTINUED)

U.S. Government and Agency

U.S. government and agency securities consist primarily of bonds issued by the U.S. Treasury and mortgage pass-through agencies such as the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation and the Government National Mortgage Association. As the fair values of U.S. Treasury securities are based on unadjusted quoted market prices in active markets, the fair values of these securities are classified as Level 1. The fair values of U.S. government agency securities are determined using the spread above the risk-free yield curve. As the yields for the risk-free yield curve and the spreads are observable market inputs, the fair values of U.S. government agency securities are classified as Level 2.

Non-U.S. Government

Non-U.S. government securities include bonds issued by non-U.S. governments and their agencies along with supranational organizations (collectively also known as sovereign debt securities). The fair values of these securities are based on prices obtained from international indices or valuation models that include inputs such as interest rate yield curves, cross-currency basis index spreads, and country credit spreads for structures similar to the sovereign bond in terms of issuer, maturity and seniority. As the significant inputs used to price these securities are observable market inputs, the fair values of non-U.S. government securities are classified as Level 2.

Corporate Debt

Corporate debt securities consist primarily of investment-grade debt of a wide variety of corporate issuers and industries. The fair values of these securities are generally determined using the spread above the risk-free yield curve. These spreads are generally obtained from the new issue market, secondary trading and broker-dealer quotes. As the yields for the risk-free yield curve and the spreads are observable market inputs, the fair values of corporate debt securities are generally classified as Level 2. Where pricing is unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers to estimate fair value. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. In this event, the fair values of these securities are classified as Level 3.

Agency RMBS

Agency RMBS consist of bonds issued by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation and the Government National Mortgage Association. The fair values of these securities are priced using a mortgage pool specific model which uses daily inputs from the active to be announced market and the spread associated with each mortgage pool based on vintage. As the significant inputs used to price these securities are observable market inputs, the fair values of Agency RMBS are classified as Level 2.

CMBS

CMBS mainly include investment-grade bonds originated by non-agencies. The fair values of these securities are determined using a pricing model which uses dealer quotes and other available trade information along with security level characteristics to determine deal specific spreads. As the significant inputs used to price these securities are observable market inputs, the fair values of CMBS are generally classified as Level 2. Where pricing is unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers to estimate fair value. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. In this event, the fair values of these securities are classified as Level 3.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

4.    FAIR VALUE MEASUREMENTS (CONTINUED)

Non-agency RMBS

Non-agency RMBS mainly include investment-grade bonds originated by non-agencies. The fair values of these securities are determined using an option adjusted spread model or other relevant models, which use inputs including available trade information or broker quotes, prepayment and default projections based on historical statistics of the underlying collateral and current market data. As the significant inputs used to price these securities are observable market inputs, the fair values of non-agency RMBS are generally classified as Level 2. Where pricing is unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers to estimate fair value. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. In this event, the fair values of these securities are classified as Level 3.

ABS

ABS mainly include investment-grade bonds backed by pools of loans with a variety of underlying collateral, including auto loans, student loans, credit card receivables and collateralized loan obligations ("CLOs"), originated by a variety of financial institutions. The fair values of these securities are determined using a model which uses prepayment speeds and spreads sourced primarily from the new issue market. As the significant inputs used to price these securities are observable market inputs, the fair values of ABS are generally classified as Level 2. Where pricing is unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers to estimate fair value. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. In this event, the fair values of these securities are classified as Level 3.

Municipals

Municipals comprise revenue bonds and general obligation bonds issued by U.S. domiciled state and municipal entities. The fair values of these securities are determined using spreads obtained from the new issue market, trade prices and broker-dealers quotes. As the significant inputs used to price these securities are observable market inputs, the fair values of municipals are classified as Level 2.

Equity Securities

Equity securities include common stocks, preferred stocks, exchange-traded funds and bond mutual funds. As the fair values of common stocks, preferred stocks and exchange-traded funds are based on unadjusted quoted market prices in active markets, the fair values of these securities are classified as Level 1. As bond mutual funds have daily liquidity, the fair values of these securities are classified as Level 2.

Other Investments

The fair value of an indirect investment in CLO-Equities is estimated using an income approach valuation technique, specifically an externally developed discounted cash flow model due to the lack of observable and relevant trades in secondary markets. As the significant inputs used to price this security are unobservable, the fair value of the indirect investment in CLO-Equities is classified as Level 3.

Other privately held investments include convertible preferred shares, common shares, convertible notes and a variable yield security. These investments are initially valued at cost, which approximates fair value. In subsequent measurement periods, the fair values of these investments are generally determined using capital statements obtained from each investee company. In order to assess the reasonableness of the information received from each investee company, the Company maintains an understanding of current market conditions, historical results, and emerging trends that may impact the results of operations, financial condition or liquidity of investee companies. In addition, the Company engages in regular communication with management at the investee companies. The fair value of the variable yield security was determined using an externally developed discounted cash flow model. As the significant inputs used to price these investments are unobservable, the fair values of other privately held investments are classified as Level 3.

Overseas deposits include investments in private funds held by Syndicate 2007 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, therefore, they are not included in available for sale investments. As the significant inputs used to price the underlying investments are observable market inputs, the fair values of overseas deposits are classified as Level 2.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

4.    FAIR VALUE MEASUREMENTS (CONTINUED)

Short-term Investments

Short-term investments primarily comprise highly liquid securities with maturities greater than three months but less than one year from the date of purchase. These securities are typically not actively traded due to their approaching maturity, therefore their amortized cost approximates fair value. The fair values of short-term investments are classified as Level 2.

Derivative Instruments

Derivative instruments include foreign exchange forward contracts that are customized to the Company's economic hedging strategies and trade in the over-the-counter derivative market. The fair values of these derivatives are determined using a market approach valuation technique based on significant observable market inputs from third-party pricing vendors, non-binding broker-dealer quotes and/or recent trading activity. As the significant inputs used to price these derivatives are observable market inputs, the fair values of these derivatives are classified as Level 2.

Other underwriting-related derivatives include insurance and reinsurance contracts that are accounted for as derivatives. These derivative contracts are initially valued at cost which approximates fair value. In subsequent measurement periods, the fair values of these derivatives are determined using internally developed discounted cash flow models. As the significant inputs used to price these derivatives are unobservable, the fair values of these contracts are classified as Level 3.

Cash Settled Awards

Cash settled awards comprise restricted stock units that form part of the Company's compensation program. Although the fair values of these awards are determined using observable quoted market prices in active markets, the restricted stock units are not actively traded. As the significant inputs used to price these securities are observable market inputs, the fair values of these liabilities are classified as Level 2.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

4.    FAIR VALUE MEASUREMENTS (CONTINUED)

The tables below present the financial instruments measured at fair value on a recurring basis for the periods indicated:

	Quoted prices in active markets for identical assets (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Fair value based on NAV practical expedient		Total fair value
At March 31, 2021
Assets
Fixed maturities, available for sale
U.S. government and agency	$	2,121,183	$	65,910	$	—	$	—	$	2,187,093
Non-U.S. government	—		714,721		—		—		714,721
Corporate debt	—		4,492,873		2,405		—		4,495,278
Agency RMBS	—		1,208,494		—		—		1,208,494
CMBS	—		1,273,144		905		—		1,274,049
Non-agency RMBS	—		167,169		—		—		167,169
ABS	—		1,395,786		7,175		—		1,402,961
Municipals	—		278,846		—		—		278,846
	2,121,183		9,596,943		10,485		—		11,728,611
Equity securities
Common stocks	9,717		—		—		—		9,717
Preferred stocks	6,949		—		—		—		6,949
Exchange-traded funds	269,386		—		—		—		269,386
Bond mutual funds	—		261,624		—		—		261,624
	286,052		261,624		—		—		547,676
Other investments
Hedge funds (1)	—		—		—		126,004		126,004
Direct lending funds	—		—		—		279,324		279,324
Private equity funds	—		—		—		153,515		153,515
Real estate funds	—		—		—		163,635		163,635
CLO-Equities	—		—		6,269		—		6,269
Other privately held investments	—		—		61,783		—		61,783
Overseas deposits	—		—		—		—		—
	—		—		68,052		722,478		790,530
Short-term investments	—		185,699		—		—		185,699
Other assets
Derivative instruments (refer to Note 5)	—		3,254		—		—		3,254
Total Assets	$	2,407,235	$	10,047,520	$	78,537	$	722,478	$	13,255,770
Liabilities
Derivative instruments (refer to Note 5)	$	—	$	19,705	$	8,462	$	—	$	28,167
Cash settled awards (refer to Note 8)	—		4,626		—		—		4,626
Total Liabilities	$	—	$	24,331	$	8,462	$	—	$	32,793

(1) Includes Long/short equity and Multi-strategy funds.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

4.    FAIR VALUE MEASUREMENTS (CONTINUED)

	Quoted prices in active markets for identical assets (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Fair value based on NAV practical expedient		Total fair value
At December 31, 2020
Assets
Fixed maturities, available for sale
U.S. government and agency	$	1,861,240	$	57,459	$	—	$	—	$	1,918,699
Non-U.S. government	—		671,273		—		—		671,273
Corporate debt	—		4,653,447		2,504		—		4,655,951
Agency RMBS	—		1,286,209		—		—		1,286,209
CMBS	—		1,351,847		1,740		—		1,353,587
Non-agency RMBS	—		140,104		—		—		140,104
ABS	—		1,709,413		10,665		—		1,720,078
Municipals	—		295,898		—		—		295,898
	1,861,240		10,165,650		14,909		—		12,041,799
Equity securities
Common stocks	$	10,942	$	—	$	—	$	—	$	10,942
Preferred stocks	8,068		—		—		—		8,068
Exchange-traded funds	221,718		—		—		—		221,718
Bond mutual funds	—		277,717		—		—		277,717
	240,728		277,717		—		—		518,445
Other investments
Hedge funds (1)	—		—		—		146,720		146,720
Direct lending funds	—		—		—		272,131		272,131
Private equity funds	—		—		—		124,706		124,706
Real estate funds	—		—		—		164,250		164,250
CLO-Equities	—		—		6,173		—		6,173
Other privately held investments	—		—		70,011		—		70,011
Overseas deposits	—		45,165		—		—		45,165
	—		45,165		76,184		707,807		829,156
Short-term investments	—		161,897		—		—		161,897
Other assets
Derivative instruments (refer to Note 5)	—		18,875		—		—		18,875
Total Assets	$	2,101,968	$	10,669,304	$	91,093	$	707,807	$	13,570,172
Liabilities
Derivative instruments (refer to Note 5)	$	—	$	2,364	$	9,122	$	—	$	11,486
Cash settled awards (refer to Note 8)	—		13,273		—		—		13,273
Total Liabilities	$	—	$	15,637	$	9,122	$	—	$	24,759

(1) Includes Long/short equity and Multi-strategy funds.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

4.    FAIR VALUE MEASUREMENTS (CONTINUED)

The following table quantifies the significant unobservable inputs used in estimating fair values at March 31, 2021 of investments classified as Level 3 in the fair value hierarchy:

	Fair value		Valuation technique	Unobservable input	Range	Weighted average
Other investments - CLO-Equities	$	6,269	Discounted cash flow	Default rates	4.5%	4.5%
				Loss severity rate	50.0%	50.0%
				Collateral spreads	3.0%	3.0%
				Estimated maturity dates	5 years	5 years
Other investments - Other privately held investments	$	21,643	Discounted cash flow	Discount rate	1.3%	1.3%
				Default rate	0.5%	0.5%
				Loss absorption yield	1.0%	1.0%
				Estimated maturity date	5 years	5 years
Derivatives - Other underwriting-related derivatives	$	(8,462)	Discounted cash flow	Discount rate	0.9%	0.9%

Note: Fixed maturities of $10 million that are classified as Level 3 are excluded from the above table as these securities are priced using broker-dealer quotes. In addition, other privately held investments of $40 million that are classified as Level 3 are excluded from the above table as these investments are priced using capital statements received from investee companies.

Other Investments - CLO-Equities

The CLO-Equities market continues to be relatively inactive with only a small number of transactions being observed, particularly related to transactions involving CLO-Equities held by the Company. Accordingly, the fair value of the Company's indirect investment in CLO-Equities is determined using a discounted cash flow model prepared by an external investment manager.

The default and loss severity rates are the most judgmental unobservable market inputs to the discounted cash flow model to which the valuation of the Company's indirect investment in CLO-Equities is most sensitive. A significant increase (decrease) in either of these significant inputs in isolation would result in a lower (higher) fair value estimate for the investment in CLO-Equities and, in general, a change in default rate assumptions would be accompanied by a directionally similar change in loss severity rate assumptions. Collateral spreads and estimated maturity dates are less judgmental inputs as they are based on the historical average of actual spreads and the weighted average life of the current underlying portfolios, respectively. A significant increase (decrease) in either of these significant inputs in isolation would result in a higher (lower) fair value estimate for the investment in CLO-Equities. In general, these inputs have no significant interrelationship with each other or with default and loss severity rates.

On a quarterly basis, the Company's valuation process for its indirect investment in CLO-Equities includes a review of the underlying cash flows and key assumptions used in the discounted cash flow model. The above significant unobservable inputs are reviewed and updated based on information obtained from secondary markets, including information received from the managers of the Company's CLO-Equities investment. In order to assess the reasonableness of the inputs the Company uses in the discounted cash flow model, the Company maintains an understanding of current market conditions, historical results, and emerging trends that may impact future cash flows. In addition, the assumptions the Company uses in its models are updated through regular communication with industry participants and ongoing monitoring of the deals in which the Company participates.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

4.    FAIR VALUE MEASUREMENTS (CONTINUED)

Other Investments - Other Privately Held Securities

Other privately held securities are initially valued at cost which approximates fair value. In subsequent measurement periods, the fair value of the variable yield security was determined using an externally developed discounted cash flow model. This model includes inputs that are specific to that investment. The inputs used in the fair value measurement include an appropriate discount rate, default rate, loss absorption rate and estimated maturity date. The selection of an appropriate discount rate is judgmental and is the most significant unobservable input used in the valuation of this investment. A significant increase (decrease) in this input in isolation could result in significantly lower (higher) fair value measurement for this investment. In order to assess the reasonableness of the inputs the Company uses in the discounted cash flow model, the Company maintains an understanding of current market conditions, historical results, as well as investee specific information that may impact future cash flows.

Derivatives - Other Underwriting-related Derivatives

Other underwriting-related derivatives are initially valued at cost which approximates fair value. In subsequent measurement periods, the fair values of these derivatives are determined using internally developed discounted cash flow models which use appropriate discount rates. The selection of an appropriate discount rate is judgmental and is the most significant unobservable input used in the valuation of these derivatives. A significant increase (decrease) in this input in isolation could result in a significantly lower (higher) fair value measurement for the derivative contracts. In order to assess the reasonableness of the inputs the Company uses in the discounted cash flow model, the Company maintains an understanding of current market conditions, historical results, as well as contract specific information that may impact future cash flows.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

4.    FAIR VALUE MEASUREMENTS (CONTINUED)

The following tables present changes in Level 3 for financial instruments measured at fair value on a recurring basis:

	Opening balance		Transfers into Level 3		Transfers out of Level 3		Included in net income(1)		Included in OCI (2)		Purchases		Sales		Settlements/ distributions		Closing balance		Change in unrealized gains/(losses) (3)
Three months ended March 31, 2021
Fixed maturities, available for sale
Corporate debt	$	2,504	$	—	$	—	$	—	$	(99)	$	—	$	—	$	—	$	2,405	$	—
CMBS	1,740		—		—		—		14		—		—		(849)		905		—
Non-agency RMBS	—		—		—		—		—		—		—		—		—		—
ABS	10,665		6,184		(9,203)		—		29		—		—		(500)		7,175		—
	14,909		6,184		(9,203)		—		(56)		—		—		(1,349)		10,485		—
Other investments
CLO-Equities	6,173		—		—		570		—		—		—		(474)		6,269		570
Other privately held investments	70,011		—		—		18,479		—		273		(26,980)		—		61,783		1,098
	76,184		—		—		19,049		—		273		(26,980)		(474)		68,052		1,668
Total assets	$	91,093	$	6,184	$	(9,203)	$	19,049	$	(56)	$	273	$	(26,980)	$	(1,823)	$	78,537	$	1,668
Other liabilities
Derivative instruments	$	9,122	$	—	$	—	$	(660)	$	—	$	—	$	—	$	—	$	8,462	$	(660)
Total liabilities	$	9,122	$	—	$	—	$	(660)	$	—	$	—	$	—	$	—	$	8,462	$	(660)

	Opening balance		Transfers into Level 3		Transfers out of Level 3		Included in net income(1)		Included in OCI (2)		Purchases		Sales		Settlements/ distributions		Closing balance		Change in unrealized gains/(losses)(3)
Three months ended March 31, 2020
Fixed maturities, available for sale
Corporate debt	$	2,297	$	—	$	—	$	—	$	(52)	$	—	$	—	$	—	$	2,245	$	—
CMBS	5,235		—		—		—		(293)		—		—		(571)		4,371		—
Non-agency RMBS	—		9,185		—		—		—		—		—		—		9,185		—
ABS	489		—		—		—		(153)		—		—		—		336		—
	8,021		9,185		—		—		(498)		—		—		(571)		16,137		—
Other investments
CLO-Equities	14,328		—		—		(847)		—		—		—		(688)		12,793		(847)
Other privately held investments	36,934		—		—		80		—		427		—		—		37,441		80
	51,262		—		—		(767)		—		427		—		(688)		50,234		(767)
Total assets	$	59,283	$	9,185	$	—	$	(767)	$	(498)	$	427	$	—	$	(1,259)	$	66,371	$	(767)
Other liabilities
Derivative instruments	$	9,672	$	—	$	—	$	10,492	$	—	$	—	$	—	$	—	$	20,164	$	10,492
Total liabilities	$	9,672	$	—	$	—	$	10,492	$	—	$	—	$	—	$	—	$	20,164	$	10,492

(1) Realized gains (losses) on fixed maturities and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income.

(2) Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI").

(3) Change in unrealized gains (losses) relating to assets and liabilities held at the reporting date.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

4.    FAIR VALUE MEASUREMENTS (CONTINUED)

Transfers into Level 3 from Level 2

The transfers into Level 3 from Level 2 during the three months ended March 31, 2021 and 2020 were primarily due to the lack of observable market inputs and multiple quotes from pricing vendors and broker-dealers for certain fixed maturities.

Transfers out of Level 3 into Level 2

The transfers out of Level 3 into Level 2 during the three months ended March 31, 2021 were primarily due to the availability of observable market inputs and multiple quotes from pricing vendors for certain fixed maturities. There were no transfers out of Level 3 into Level 2 during the three months ended March 31, 2020.

Measuring the Fair Value of Other Investments Using Net Asset Valuations

The fair values of hedge funds, direct lending funds, private equity funds and real estate funds are estimated using net asset valuations ("NAVs") as advised by external fund managers or third-party administrators. For these funds, NAVs are based on the manager's or administrator's valuation of the underlying holdings in accordance with the fund's governing documents and in accordance with U.S. GAAP.

For hedge funds, direct lending funds, private equity funds and real estate funds, valuation statements are typically released on a reporting lag. Therefore, the Company estimates the fair value of these funds by starting with the most recent fund valuations and adjusting for capital calls, redemptions, drawdowns and distributions. Return estimates are not available from the relevant fund managers for these funds, therefore the Company typically has a reporting lag in its fair value measurements of these funds. At March 31, 2021 and December 31, 2020 all funds measured at fair value using NAVs are reported on a lag.

The Company often does not have access to financial information relating to the underlying securities held within the funds, therefore, management is unable to corroborate the fair values placed on the securities underlying the asset valuations provided by fund managers or fund administrators. In order to assess the reasonableness of the NAVs, the Company performs a number of monitoring procedures on a quarterly basis, to assess the quality of the information provided by fund managers and fund administrators. These procedures include, but are not limited to, regular review and discussion of each fund's performance with its manager, regular evaluation of fund performance against applicable benchmarks and the backtesting of the Company's fair value estimates against subsequently received NAVs. Backtesting involves comparing the Company's previously reported fair values for each fund against NAVs per audited financial statements (for year-end values) and final NAVs from fund managers and fund administrators (for interim values).

The fair values of hedge funds, direct lending funds, private equity funds and real estate funds are measured using the NAV practical expedient, therefore the fair values of these funds have not been categorized within the fair value hierarchy.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

4.    FAIR VALUE MEASUREMENTS (CONTINUED)

Financial Instruments Disclosed, But Not Carried, at Fair Value

The fair value of financial instruments accounting guidance also applies to financial instruments disclosed, but not carried, at fair value, except for certain financial instruments, including insurance contracts.

At March 31, 2021, the carrying values of cash and cash equivalents including restricted amounts, accrued investment income, receivable for investments sold, certain other assets, payable for investments purchased and certain other liabilities approximated fair values due to their short maturities. As these financial instruments are not actively traded, their fair values are classified as Level 2.

At March 31, 2021, the Company's ABS fixed maturities held to maturity, were recorded at amortized cost with a carrying value of $405 million (2020: $nil) and a fair value of $405 million (2020: $nil). The fair values of these securities are determined using a model which uses prepayment speeds and spreads sourced primarily from the new issue market. As the significant inputs used to price these securities are observable market inputs, their fair values are classified as Level 2.

At March 31, 2021, the carrying value of mortgage loans, held for investment, approximated fair value. The fair values of mortgage loans are primarily determined by estimating expected future cash flows and discounting them using current interest rates for similar mortgage loans with similar credit risk or are determined from pricing for similar loans. As mortgage loans are not actively traded, their fair values are classified as Level 3.

At March 31, 2021, the Company's debt was recorded at amortized cost with a carrying value of $1,310 million (2020: $1,310 million) and a fair value of $1,425 million (2020: $1,485 million). The fair value of the Company's debt is based on prices obtained from a third-party pricing service and is determined using the spread above the risk-free yield curve. These spreads are generally obtained from the new issue market, secondary trading and broker-dealer quotes. As the yields for the risk-free yield curve and the spreads are observable market inputs, the fair value of the Company's debt is classified as Level 2.

5.    DERIVATIVE INSTRUMENTS

The following table provides the balance sheet classifications of derivatives recorded at fair value:

	March 31, 2021						December 31, 2020
	Derivative notional amount		Derivative asset fair value(1)		Derivative liability fair value(1)		Derivative notional amount		Derivative asset fair value(1)		Derivative liability fair value(1)
Relating to investment portfolio:
Foreign exchange forward contracts	$	313,081	$	3,026	$	198	$	105,781	$	2	$	2,364
Relating to underwriting portfolio:
Foreign exchange forward contracts	1,159,353		228		19,507		1,197,012		18,873		—
Other underwriting-related contracts	75,000		—		8,462		75,000		—		9,122
Total derivatives			$	3,254	$	28,167			$	18,875	$	11,486

(1)Derivative assets and derivative liabilities are classified within other assets and other liabilities in the consolidated balance sheets.

The notional amounts of derivative contracts represent the basis on which amounts paid or received are calculated and are presented in the above table to quantify the volume of the Company's derivative activities. Notional amounts are not reflective of credit risk.

None of the Company's derivative instruments are designated as hedges under current accounting guidance.

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AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

5.    DERIVATIVE INSTRUMENTS (CONTINUED)

Offsetting Assets and Liabilities

The Company's derivative instruments are generally traded under International Swaps and Derivatives Association master netting agreements which establish terms that apply to all transactions. In the event of a bankruptcy or other stipulated event, master netting agreements provide that individual positions be replaced with a new amount, usually referred to as the termination amount, determined by taking into account market prices and converting into a single currency. Effectively, this contractual close-out netting reduces credit exposure from gross to net exposure.

The following table provides a reconciliation of gross derivative assets and liabilities to the net amounts presented in the consolidated balance sheets, with the difference being attributable to the impact of master netting agreements:

	March 31, 2021						December 31, 2020
	Gross amounts		Gross amounts offset		Net amounts(1)		Gross amounts		Gross amounts offset		Net amounts(1)
Derivative assets	$	5,557	$	(2,303)	$	3,254	$	27,765	$	(8,890)	$	18,875
Derivative liabilities	$	30,470	$	(2,303)	$	28,167	$	20,376	$	(8,890)	$	11,486

(1)Net asset and liability derivatives are classified within other assets and other liabilities in the consolidated balance sheets.

Refer to Note 3 'Investments' for information on reverse repurchase agreements.

a) Relating to Investment Portfolio

Foreign Currency Risk

The Company's investment portfolio is exposed to foreign currency risk therefore the fair values of its investments are partially influenced by changes in foreign exchange rates. The Company may enter into foreign exchange forward contracts to manage the effect of this foreign currency risk. These foreign currency hedging activities are not designated as specific hedges for financial reporting purposes.

b) Relating to Underwriting Portfolio

Foreign Currency Risk

The Company's insurance and reinsurance subsidiaries and branches operate in various countries. Some of its business is written in currencies other than the U.S. dollar, therefore the underwriting portfolio is exposed to significant foreign currency risk. The Company manages foreign currency risk by seeking to match its foreign-denominated net liabilities under insurance and reinsurance contracts with cash and investments that are denominated in the same currencies. The Company uses derivative instruments, specifically, forward contracts to economically hedge foreign currency exposures.

Other Underwriting-related Risks

The Company enters into insurance and reinsurance contracts that are accounted for as derivatives. These insurance or reinsurance contracts provide indemnification to an insured or cedant as a result of a change in a variable as opposed to an identifiable insurable event. The Company considers these contracts to be part of its underwriting operations.

34

AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

5.    DERIVATIVE INSTRUMENTS (CONTINUED)

The following table provides the total unrealized and realized gains (losses) recognized in net income for derivatives not designated as hedges:  

	Consolidated statement of operations line item that includes gain (loss) recognized in net income	Three months ended March 31,
		2021		2020
Relating to investment portfolio:
Foreign exchange forward contracts	Net investment gains (losses)	$	1,749	$	3,162
Relating to underwriting portfolio:
Foreign exchange forward contracts	Foreign exchange gains (losses)	(26,056)		(690)
Other underwriting-related contracts	Other insurance related income (losses)	661		(10,201)
Total		$	(23,646)	$	(7,729)

6.    RESERVE FOR LOSSES AND LOSS EXPENSES

Reserve Roll-Forward

The following table presents a reconciliation of the Company's beginning and ending gross reserve for losses and loss expenses and net reserves for unpaid losses and loss expenses:

	Three months ended March 31,
	2021		2020
Gross reserve for losses and loss expenses, beginning of period	$	13,926,766	$	12,752,081
Less reinsurance recoverable on unpaid losses and loss expenses, beginning of period	(4,496,641)		(3,877,756)
Net reserve for unpaid losses and loss expenses, beginning of period	9,430,125		8,874,325
Net incurred losses and loss expenses related to:
Current year	720,035		914,186
Prior years	(5,317)		(6,113)
	714,718		908,073
Net paid losses and loss expenses related to:
Current year	(26,944)		(19,081)
Prior years	(666,139)		(652,014)
	(693,083)		(671,095)
Foreign exchange and other	40,282		(130,609)
Net reserve for unpaid losses and loss expenses, end of period	9,492,042		8,980,694
Reinsurance recoverable on unpaid losses and loss expenses, end of period	4,533,232		4,101,579
Gross reserve for losses and loss expenses, end of period	$	14,025,274	$	13,082,273

35

AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

6.    RESERVE FOR LOSSES AND LOSS EXPENSES (CONTINUED)

The Company writes business with loss experience generally characterized as low frequency and high severity in nature, which can result in volatility in its financial results. During the three months ended March 31, 2021, the Company recognized catastrophe and weather-related losses, net of reinstatement premiums of $110 million (2020: $300 million).

At March 31, 2021, foreign exchange and other included a reduction in reinsurance recoverable on unpaid losses of $49 million related to the Reinsurance to Close of the 2018 year of account of Syndicate 2007.

Estimates for Significant Catastrophe Events

At March 31, 2021, net reserves for losses and loss expenses included estimated amounts for numerous catastrophe events. The magnitude and complexity of losses arising from certain of these events inherently increase the level of uncertainty and, therefore, the level of management judgment involved in arriving at estimated net reserves for losses and loss expenses. These events include the U.S. Winter Storms Uri and Viola in 2021, the COVID-19 pandemic, Hurricanes Laura, Sally, Zeta and Delta, the Midwest derecho and wildfires across the West Coast of the United States in 2020, Japanese Typhoons Hagibis, Faxai and Tapah, Hurricane Dorian and the Australia Wildfires in 2019 and Hurricanes Michael and Florence, California Wildfires and Typhoon Jebi in 2018. As a result, actual losses for these events may ultimately differ materially from current estimates.

Prior Year Reserve Development

The Company's net favorable prior year reserve development arises from changes to estimates of losses and loss expenses related to loss events that occurred in previous calendar years. The following table presents net prior year reserve development by segment:

	Three months ended March 31,
	2021		2020
	Favorable (Adverse)		Favorable (Adverse)
Insurance	$	1,505	$	3,832
Reinsurance	3,812		2,281
Total	$	5,317	$	6,113

The following sections provide further details on net prior year reserve development by segment, reserving class and accident year.

36

AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

6.    RESERVE FOR LOSSES AND LOSS EXPENSES (CONTINUED)

Insurance Segment:

The following table maps lines of business to reserve classes and the expected claim tails:

Insurance segment
	Reserve class and tail
	Property and other	Marine	Aviation	Credit and political risk	Professional lines	Liability
	Short	Short	Short/Medium	Medium	Medium	Long
Reported lines of business
Property	X
Marine		X
Terrorism	X
Aviation			X
Credit and political risk				X
Professional lines					X
Liability						X
Accident and health	X
Discontinued lines - Novae	X				X	X

Prior year reserve development by reserve class was as follows:

	Three months ended March 31,
	2021		2020
	Favorable (Adverse)		Favorable (Adverse)
Property and other	$	15,391	$	12,491
Marine	11,875		(2,202)
Aviation	1,035		3,991
Credit and political risk	(5,371)		(916)
Professional lines	(14,593)		(5,087)
Liability	(6,832)		(4,445)
Total	$	1,505	$	3,832

For the three months ended March 31, 2021, we recognized $2 million of net favorable prior year reserve development, the principal components of which were: 

•$15 million of net favorable prior year reserve development on property and other business primarily due to better than expected loss emergence attributable to the 2017, 2019 and 2020 catastrophe events.

•$12 million of net favorable prior year reserve development on marine business primarily due better than expected loss emergence attributable to cargo and energy offshore books of business mainly related to the 2017 and 2020 accident years.

•$15 million of net adverse prior year reserve development on professional lines business primarily due to reserve strengthening within the commercial management solutions, European program and European management liability solutions books of business mainly related to the 2018 accident year.

•$7 million of net adverse prior year reserve development on liability business primarily due to reserve strengthening within the program book of business mainly related to the 2018 accident year.

37

AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

6.    RESERVE FOR LOSSES AND LOSS EXPENSES (CONTINUED)

For the three months ended March 31, 2020, we recognized $4 million of net favorable prior year reserve development, the principal components of which were: 

•$12 million of net favorable prior year reserve development on property and other business primarily due to better than expected loss emergence attributable to the 2017 and 2018 catastrophe events.

•$5 million of net adverse prior year reserve development on professional lines business primarily due to reserve strengthening related to the 2016 and 2017 accident years.

Reinsurance Segment:

The following table maps lines of business to reserve classes and the expected claim tails:

Reinsurance segment
	Reserve class and tail
	Property and other	Credit and surety	Professional lines	Motor	Liability
	Short	Medium	Medium	Long	Long
Reported lines of business
Catastrophe	X
Property	X
Credit and surety		X
Professional lines			X
Motor				X
Liability					X
Engineering	X
Agriculture	X
Marine and aviation	X
Accident and health	X
Discontinued lines - Novae	X			X	X

Prior year reserve development by reserve class was as follows:

	Three months ended March 31,
	2021		2020
Property and other	$	969	$	(3,905)
Credit and surety	(4,939)		4,854
Professional lines	(2,204)		5,162
Motor	17,140		13,085
Liability	(7,154)		(16,915)
Total	$	3,812	$	2,281

For the three months ended March 31, 2021, we recognized $4 million of net favorable prior year reserve development, the principal components of which were:

•$17 million of net favorable prior year reserve development on motor business primarily due to non-proportional treaty business related to several accident years.

•$7 million of net adverse prior year reserve development on liability business primarily due to an increase in the loss estimate attributable to a specific large loss related to the 2017 accident year.

•$5 million of net adverse prior year reserve development on credit and surety business primarily due to an increase in the loss estimate attributable to a specific large loss related to the 2020 accident year.

38

AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

6.    RESERVE FOR LOSSES AND LOSS EXPENSES (CONTINUED)

For the three months ended March 31, 2020, we recognized $2 million of net favorable prior year reserve development, the principal components of which were:

•$13 million of net favorable prior year reserve development on motor business primarily due to non-proportional treaty business related to 2014 and prior accident years.

•$5 million of net favorable prior year reserve development on professional lines business reflecting generally favorable experience on older accident years as the Company continued to transition to more experience based actuarial methods.

•$5 million of net favorable prior year reserve development on credit and surety business primarily due to better than expected loss emergence related to the 2016 accident year.

•$17 million of net adverse prior year development on liability business primarily due to reserve strengthening within the European proportional and non-proportional books of business and the U.S. proportional book of business related to the 2016 and 2017 accident years.

7.    EARNINGS PER COMMON SHARE

The following table presents a comparison of earnings (loss) per common share and earnings (loss) per diluted common share:

	Three months ended March 31,
	2021		2020
Earnings (loss) per common share
Net income (loss)	$	123,300	$	(177,827)
Less: Preferred share dividends	7,563		7,563
Net income (loss) available (attributable) to common shareholders	115,737		(185,390)
Weighted average common shares outstanding	84,514		84,094
Earnings (loss) per common share	$	1.37	$	(2.20)
Earnings (loss) per diluted common share
Net income (loss) available (attributable) to common shareholders	$	115,737	$	(185,390)
Weighted average common shares outstanding	84,514		84,094
Share-based compensation plans(1)	451		—
Weighted average diluted common shares outstanding	84,965		84,094
Earnings (loss) per diluted common share	$	1.36	$	(2.20)
Weighted average anti-dilutive shares excluded from the dilutive computation	1,697		806

(1) Due to the net loss attributable to common shareholders recognized for the three months ended March 31, 2020, the share equivalents were anti-dilutive.

39

AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

8.    SHARE-BASED COMPENSATION

Performance Restricted Stock Units

Performance Restricted Stock Units granted in 2021

Performance restricted stock units granted in 2021 include a market condition which is the Company’s total shareholder return relative to its peer group ("Relative TSR") over the performance period. Relative TSR is calculated in accordance with the terms of the applicable award agreement. If performance goals are achieved, these awards will cliff vest at the end of a three year performance period within a range of 0% to 200% of target. Performance restricted stock units granted in 2021 were share-settled awards.

Valuation assumptions

The fair value of performance restricted stock units granted in 2021 was measured on the grant date using a Monte Carlo simulation model.

The following table provides details of the inputs used in the Monte Carlo simulation model:

Three months ended March 31,	2021
Expected volatility	32.99%
Expected term (in years)	3.0
Expected dividend yield	n/a
Risk-free interest rate	0.17%

Beginning share price: The beginning share price is based on the average closing share price over the 10 trading days preceding and including the start of the performance period

Ending share price: The ending share price is based on the average closing share price over the 10 trading days preceding and including the end of the performance period.

Expected volatility: The expected volatility is estimated based on the Company's historical share price volatility.

Expected term: Performance is measured from January 1, 2021 to December 31, 2023

Expected dividend yield: The expected dividend yield is not applicable to the performance restricted stock units as dividends are paid at the end of the vesting period and do not affect the value of the performance restricted stock units.

Risk-free interest rate: The risk free rate is estimated based on the yield on a U.S. treasury zero-coupon bond issued with a remaining term equal to the vesting period of the performance restricted stock units.

Compensation expense associated with performance restricted stock units granted in 2021 is determined on the grant date based on the fair value calculated by the Monte Carlo simulation model. The fair value of these awards is recognized on a straight-line basis over the requisite service period.

Performance Restricted Stock Units granted in 2020 and 2019

Performance restricted stock units granted in 2020 and 2019 include a market condition which is the Company’s total shareholder return relative to its peer group ("Relative TSR") over the performance period. Relative TSR is calculated in accordance with the terms of the applicable award agreement. If performance goals are achieved, these awards will cliff vest at the end of a three year performance period within a range of 75% to 125% of target. Performance restricted stock units granted in 2020 and 2019 were share-settled awards.

40

AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

8.    SHARE-BASED COMPENSATION (CONTINUED)

Compensation expense associated with performance restricted stock units granted in 2020 and 2019 is determined based on market value of the Company's common shares measured at the grant date. The fair value of these awards is recognized on a straight-line basis over the requisite service period and is subject to periodic adjustment based on the achievement of established performance criteria during the performance period.

Performance Restricted Stock Units granted in 2018

Performance restricted stock units granted in 2018 included a performance condition which was growth in the Company’s book value per diluted common share adjusted for dividends over three years compared to its peer group. Growth in book value per diluted common share adjusted for dividends was calculated in accordance with the terms of the applicable award agreements. Where performance goals were achieved, these awards cliff vested at the end of a three year performance period within a range of 0% to 200% of target. Performance restricted stock units granted in 2018 were share-settled awards.

Compensation expense associated with performance restricted stock units granted in 2018 was determined based on market value of the Company's common shares measured at the grant date. The fair value of these awards was recognized on a straight-line basis over the requisite service period and was subject to periodic adjustment based on the achievement of established performance criteria during the performance period.

Share-Settled Awards

The following table provides an activity summary of the Company's share-settled restricted stock units for the three months ended March 31, 2021:

	Share-Settled Performance Restricted Stock Units			Share-Settled Service Restricted Stock Units
	Number of restricted stock units	Weighted  average grant date fair value		Number of restricted stock units	Weighted  average grant date fair value
Non-vested restricted stock units - beginning of period	289	$	55.92	1,501	$	56.50
Granted	122	49.04		1,180	47.88
Vested	(66)	48.89		(523)	56.38
Forfeited	—	—		(20)	56.58
Non-vested restricted stock units - end of period	345	$	54.84	2,138	$	51.77

41

AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

8.    SHARE-BASED COMPENSATION (CONTINUED)

Cash-Settled awards

The following table provides an activity summary of the Company's cash-settled restricted stock units for the three months ended March 31, 2021:

	Cash-Settled Service Restricted Stock Units
	Number of restricted stock units
Non-vested restricted stock units - beginning of period	471
Granted	—
Vested	(213)
Forfeited	(9)
Non-vested restricted stock units - end of period	248

The following table provides additional information related to share-based compensation:

Three months ended March 31,	2021		2020
Share-based compensation expense(1)	$	12,339	$	13,132
Tax benefits associated with share-based compensation expense	$	1,771	$	1,889
Liability for cash-settled restricted stock units(2)	$	4,626	$	5,711
Fair value of restricted stock units vested(3)	$	39,981	$	45,565
Unrecognized share-based compensation expense	$	122,163	$	111,909
Expected weighted average period associated with the recognition of unrecognized share-based compensation expense	3.0 years		2.8 years

(1) Related to share-settled restricted stock units and cash-settled restricted stock units.

(2) Included in other liabilities in the consolidated balance sheets.

(3) Fair value is based on the closing price of the Company's common shares on the vest date.

42

AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

9.    SHAREHOLDERS' EQUITY

The following table presents changes in common shares issued and outstanding:

	Three months ended March 31,
	2021	2020
Shares issued, balance at beginning of period	176,580	176,580
Shares issued	—	—
Total shares issued at end of period	176,580	176,580
Treasury shares, balance at beginning of period	(92,227)	(92,621)
Shares repurchased	(189)	(150)
Shares reissued	589	489
Total treasury shares at end of period	(91,827)	(92,282)
Total shares outstanding	84,753	84,298

Treasury Shares

The following table presents common shares repurchased from shares held in Treasury:

	Three months ended March 31,
	2021		2020
In the open market:
Total shares	—		—
Total cost	$	—	$	—
Average price per share(1)	$	—	$	—
From employees:(2)
Total shares	189		150
Total cost	$	9,380	$	8,492
Average price per share(1)	$	49.73	$	56.43
Total shares repurchased:
Total shares	189		150
Total cost	$	9,380	$	8,492
Average price per share(1)	$	49.73	$	56.43

(1) Calculated using whole numbers.

(2)  Shares are repurchased from employees to satisfy withholding tax liabilities related to the vesting of share-settled restricted stock units.

Dividends

The following table presents dividends declared and paid related to the Company's common and preferred shares:

	Per share data
	Dividends declared		Dividends paid in period of declaration		Dividends paid in period following declaration
Three months ended March 31, 2021
Common shares	$	0.42	$	—	$	0.42
Series E preferred shares	$	34.38	$	—	$	34.38
Three months ended March 31, 2020
Common shares	$	0.41	$	—	$	0.41
Series E preferred shares	$	34.38	$	—	$	34.38

43

AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

10.    DEBT AND FINANCING ARRANGEMENTS

a)Letters of Credit

Effective March 31, 2021, certain of AXIS Capital’s operating subsidiaries (the "Participating Subsidiaries") amended their existing $750 million secured letter of credit facility to: (i) extend the expiration date of the $250 million secured letter of credit facility to March 31, 2022, with each letter of credit provided pursuant to such credit facility having a tenor not to extend beyond March 31, 2023; (ii) reduce the utilization capacity available under the $250 million secured letter of credit facility to $150 million, reducing the maximum aggregate utilization capacity of the credit facility from $750 million to $650 million; and (iii) make administrative changes to the remaining $500 million secured letter of credit facility.

Letters of credit issued under the secured letter of credit facility are principally used to support the reinsurance obligations of the Participating Subsidiaries. The Participating Subsidiaries are subject to certain covenants, including the requirement to maintain sufficient collateral to cover the obligations outstanding under the facilities. Such obligations include contingent reimbursement obligations for outstanding letters of credit and fees payable to Citibank Europe plc. In the event of default, Citibank Europe plc may exercise certain remedies, including the exercise of control over pledged collateral and the termination facility to any or all of the Participating Subsidiaries.

11.    COMMITMENTS AND CONTINGENCIES

Legal Proceedings

From time to time, the Company is subject to routine legal proceedings, including arbitrations, arising in the ordinary course of business. These legal proceedings generally relate to claims asserted by or against the Company in the ordinary course of insurance or reinsurance operations. Estimated amounts payable under such proceedings are included in the reserve for losses and loss expenses in the consolidated balance sheets.

The Company is not party to any material legal proceedings arising outside the ordinary course of business.

Investments

Refer to Note 3 - 'Investments' for information on the Company's unfunded investment commitments related to the Company's other investment portfolio.

44

AXIS CAPITAL HOLDINGS LIMITED

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

12.    OTHER COMPREHENSIVE INCOME (LOSS)

The following table presents the tax effects allocated to each component of other comprehensive income (loss):

	2021						2020
	Before tax amount		Income tax (expense) benefit		Net of tax amount		Before tax amount		Income tax (expense) benefit		Net of Tax Amount
Three months ended March 31,
Available for sale investments:
Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has not been recognized	$	(196,066)	$	24,235	$	(171,831)	$	(260,758)	$	17,796	$	(242,962)
Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has been recognized	47		—		47		(18,125)		1,535		(16,590)
Adjustment for reclassification of net realized (gains) losses and impairment losses recognized in net income (loss)	(30,876)		1,877		(28,999)		4,126		1,522		5,648
Unrealized gains (losses) arising during the period, net of reclassification adjustment	(226,895)		26,112		(200,783)		(274,757)		20,853		(253,904)
Foreign currency translation adjustment	1,249		—		1,249		(7,725)		—		(7,725)
Total comprehensive income (loss)	$	(225,646)	$	26,112	$	(199,534)	$	(282,482)	$	20,853	$	(261,629)

The following table presents details of amounts reclassified from accumulated other comprehensive income ("AOCI") to net income (loss):

		Amount reclassified from AOCI(1)
AOCI Components	Consolidated statement of operations line item that includes reclassification adjustment	Three months ended March 31,
		2021		2020
Unrealized gains (losses) on available for sale investments
	Other realized gains (losses)	$	30,876	$	(2,936)
	Impairment losses	—		(1,190)
	Total before tax	30,876		(4,126)
	Income tax (expense) benefit	(1,877)		(1,522)
	Net of tax	$	28,999	$	(5,648)

(1)     Amounts in parentheses are charges to net income (loss).

45

ITEM 2.     MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

The following is a discussion and analysis of our results of operations for the three months ended March 31, 2021 and 2020 and our financial condition at March 31, 2021 and December 31, 2020. This should be read in conjunction with Item 1 'Consolidated Financial Statements' of this report and our Management’s Discussion and Analysis of Financial Condition and Results of Operations included in our Annual Report on Form 10-K for the year ended December 31, 2020. Tabular dollars are in thousands, except per share amounts. Amounts in tables may not reconcile due to rounding differences.

	Page
First Quarter 2021 Financial Highlights	47
Overview	48
Consolidated Results of Operations	50
Results by Segment:
i) Insurance Segment	52
ii) Reinsurance Segment	56
Net Investment Income and Net Investment Gains (Losses)	60
Other Expenses (Revenues), Net	62
Financial Measures	64
Non-GAAP Financial Measures Reconciliation	66
Cash and Investments	69
Liquidity and Capital Resources	72
Critical Accounting Estimates	73
Recent Accounting Pronouncements	73
Off-Balance Sheet and Special Purpose Entity Arrangements	73

46

FIRST QUARTER 2021 FINANCIAL HIGHLIGHTS

First Quarter 2021 Consolidated Results of Operations

•Net income available to common shareholders of $116 million, or $1.37 per common share, and $1.36 per diluted common share

•Operating income(1) of $83 million, or $0.97 per diluted common share(1)

•Gross premiums written of $2.5 billion

•Net premiums written of $1.8 billion

•Net premiums earned of $1.1 billion

•Pre-tax catastrophe and weather-related losses, net of reinsurance and reinstatement premiums, of $110 million (Insurance: $36 million and Reinsurance: $74 million), or 10.1 points on the current accident year loss ratio, primarily attributable to Winter Storms Uri and Viola, principally related to the state of Texas, and other weather-related events.

•Net favorable prior year reserve development of $5 million

•Underwriting income(2) of $40 million and combined ratio of 98.9%

•Net investment income of $114 million

•Net investment gains of $30 million

•Foreign exchange losses of $4 million

First Quarter 2021 Consolidated Financial Condition 

•Total cash and investments of $15.6 billion; fixed maturities, cash and short-term securities comprise 89% of total cash and investments and have an average credit rating of AA-

•Total assets of $27.1 billion

•Reserve for losses and loss expenses of $14.0 billion and reinsurance recoverable on unpaid and paid losses and loss expenses of $5.0 billion

•Total debt of $1.3 billion and debt to total capital ratio(3) of 20.2%

•Common shareholders’ equity of $4.6 billion; book value per diluted common share of $53.03

(1)Operating income (loss) and operating income (loss) per diluted common share are non-GAAP financial measures as defined in Item 10(e) of SEC Regulation S-K. The reconciliations to the most comparable GAAP financial measures, net income (loss) available (attributable) to common shareholders and earnings (loss) per diluted common share, respectively, and a discussion of the rationale for the presentation of these items are provided in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Non-GAAP Financial Measures Reconciliation'.

(2)Consolidated underwriting income (loss) is a non-GAAP financial measure as defined in Item 10(e) of SEC Regulation S-K. The reconciliation to net income (loss), the most comparable GAAP financial measure, is presented in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Consolidated Results of Operations'.    

(3)The debt to total capital ratio is calculated by dividing debt by total capital. Total capital represents the sum of total shareholders’ equity and debt.

47

OVERVIEW

Business Overview

AXIS Capital Holdings Limited ("AXIS Capital"), through its operating subsidiaries, is a global provider of specialty lines insurance and treaty reinsurance with operations in Bermuda, the U.S., Europe, Singapore and Canada. Our underwriting operations are organized around our global underwriting platforms, AXIS Insurance and AXIS Re.

We provide our clients and distribution partners with a broad range of risk transfer products and services, and meaningful capacity, backed by excellent financial strength. We manage our portfolio holistically, aiming to construct the optimum portfolio of risks, consistent with our risk appetite and the development of our franchise. We nurture an ethical, entrepreneurial, disciplined and diverse culture that promotes outstanding client service, intelligent risk taking and the achievement of superior risk-adjusted returns for our shareholders. We believe that the achievement of our objectives will position us as a global leader in specialty risks. The execution of our business strategy for the first three months of 2021 included the following:

•implementing a global response strategy to help manage and mitigate the impact of COVID-19, spanning underwriting, investments, capital and liquidity, operations and employee welfare;

•increasing our relevance in a select number of attractive specialty lines insurance and treaty reinsurance markets, and continuing the implementation of a more focused distribution strategy;

•continuing to grow a leadership position in the areas of our business with strong potential for profitable growth including U.S. excess and surplus lines, North America professional lines and Lloyd's specialty insurance business;

•re-balancing our portfolio towards less volatile lines of business that carry attractive rates;

•improving the effectiveness and efficiency of our operating platforms and processes;

•investing in data and technology capabilities, and tools to empower our underwriters and enhance the service that we provide to our customers;

•broadening risk-funding sources and the development of vehicles that utilize third-party capital; and

•growing our corporate citizenship program to give back to our communities and help contribute to a more sustainable future.

48

Outlook

We are committed to leadership in specialty insurance and global reinsurance, where we have depth of talent and expertise. We believe we are well-positioned to succeed in the rapidly evolving marketplace. Through our hybrid strategy, we have developed substantial platforms, providing us with both balance and diversification, enabling us to take advantage of positive opportunities in either market to generate the most attractive risk-return portfolio for our shareholders. We believe our market positioning, underwriting expertise, best-in-class claims management capabilities and strong relationships with our distributors and clients will provide opportunities for increased profitability, with differences among our lines driven by our tactical response to market conditions.

Rates, terms and conditions across virtually all insurance lines and geographies continued to see improvement through the first quarter of 2021. We expect many specialty segments will continue to experience further pricing improvements through the course of 2021 as carriers assess pricing adequacy, portfolio construction and account preferences. As insurance market conditions continue to improve, capacity and capital remains available and willing to support business across a broad range of return hurdles. In this market environment, we are focusing on those lines of business and market segments that are adequately priced, and we are trading off growth for profitability in other areas.

The reinsurance market is also experiencing an improvement in rates and terms and conditions. These improvements are due to a combination of pressures on the industry, including near-term drivers such as the failure of the industry to meet the cost of capital in the last four years, the increased frequency of natural catastrophe events, together with long term drivers such as the pressure on reserve adequacy levels, low interest rates and the looming uncertainty related to social inflation. Balanced with the case for change is the strong industry capitalization, which dampens the impact. We believe the improvements will translate into a healthier and more profitable market. This environment requires a combination of strong underwriting and portfolio management mixed with smart incremental growth where returns are attractive. We have repositioned our portfolio during the last several years and believe our business is well-positioned for the current market environment.

We are encouraged by the pricing improvements that we are seeing across both the insurance and reinsurance segments. While there is positive rate momentum across most lines and markets, not all lines are at adequate levels and, in multiple cases, more rate is needed to deliver adequate returns, particularly given recent high loss experience in the market, the COVID-19 pandemic and lower interest rates. Where prices appropriately reflect these trends to deliver adequate profitability we will look to grow within our risk and volatility guidelines. With the most balanced book in the history of our company, we believe AXIS is well positioned to drive profitable growth within the current market environment.

49

CONSOLIDATED RESULTS OF OPERATIONS

	Three months ended March 31,
	2021		% Change	2020
Underwriting revenues:
Gross premiums written	$	2,535,481	4%	$	2,431,158
Net premiums written	1,778,886		6%	1,679,044
Net premiums earned	1,103,722		1%	1,088,625
Other insurance related income (loss)	2,781		nm	(8,707)
Underwriting expenses:
Net losses and loss expenses	(714,718)		(21%)	(908,073)
Acquisition costs	(218,871)		(8%)	(238,650)
Underwriting-related general and administrative expenses(1)	(132,668)		2%	(129,962)
Underwriting income (loss)	$	40,246		$	(196,767)
Net investment income	114,165		23%	93,101
Net investment gains (losses)	29,645		nm	(62,877)
Corporate expenses(1)	(25,740)		(5%)	(27,098)
Foreign exchange (losses) gains	(4,113)		nm	61,683
Interest expense and financing costs	(15,571)		(34%)	(23,472)
Reorganization expenses	—		nm	982
Amortization of value of business acquired	(1,028)		(43%)	(1,799)
Amortization of intangible assets	(2,690)		(6%)	(2,870)
Income (loss) before income taxes and interest in income (loss) of equity method investments	134,914			(159,117)
Income tax (expense) benefit	(20,776)		nm	4,867
Interest in income (loss) of equity method investments	9,162		nm	(23,577)
Net income (loss)	$	123,300		$	(177,827)
Preferred share dividends	(7,563)		—%	(7,563)
Net income (loss) available (attributable) to common shareholders	$	115,737		$	(185,390)

nm – not meaningful - defined as a variance greater than +/-100%

(1)Underwriting-related general and administrative expenses is a non-GAAP financial measure as defined in Item 10(e) of SEC Regulation S-K. The reconciliation to general and administrative expenses, the most comparable GAAP financial measure, also included corporate expenses of $25,740 and $27,098 for the three months ended March 31, 2021 and 2020, respectively. Refer to 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Other Expenses (Revenues), Net' for further details on corporate expenses. Refer also to 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Non-GAAP Financial Measures Reconciliation' for further details.

50

Underwriting Revenues

Underwriting revenues by segment were as follows:

	Three months ended March 31,
	2021		% Change	2020
Gross premiums written:
Insurance	$	1,103,198	17%	$	940,715
Reinsurance	1,432,283		(4%)	1,490,443
Total gross premiums written	$	2,535,481	4%	$	2,431,158
Percent of gross premiums written ceded
Insurance	36%		(2 pts)	38%
Reinsurance	25%		(1 pts)	26%
Total percent of gross premiums ceded	30%		(1 pts)	31%
Net premiums written:
Insurance	$	707,814	22%	$	581,650
Reinsurance	1,071,072		(2%)	1,097,394
Total net premiums written	$	1,778,886	6%	$	1,679,044
Net premiums earned:
Insurance	$	616,286	10%	$	562,064
Reinsurance	487,436		(7%)	526,561
Total net premiums earned	$	1,103,722	1%	$	1,088,625

Refer to 'Management's Discussion and Analysis of Financial Condition and Results of Operations - Results by Segment' for further details on underwriting revenues.

Underwriting Expenses

The components of the combined ratio were as follows:

	Three months ended March 31,
	2021		% Point Change	2020
Current accident year loss ratio excluding catastrophe and weather-related losses	55.1	%	(2.0)	57.1	%
Catastrophe and weather-related losses ratio	10.1	%	(16.8)	26.9	%
Current accident year loss ratio	65.2	%	(18.8)	84.0	%
Prior year reserve development ratio	(0.4	%)	0.2	(0.6	%)
Net losses and loss expenses ratio	64.8	%	(18.6)	83.4	%
Acquisition cost ratio	19.8	%	(2.1)	21.9	%
General and administrative expense ratio(1)	14.3	%	(0.2)	14.5	%
Combined ratio	98.9	%	(20.9)	119.8	%

(1) The general and administrative expense ratio included corporate expenses not allocated to underwriting segments of 2.3% and 2.5% for the three months ended March 31, 2021 and 2020, respectively. Refer to 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Other Expenses (Revenues), Net' for further details.

Refer to 'Management's Discussion and Analysis of Financial Condition and Results of Operations - Results by Segment' for further details on underwriting expenses.

51

RESULTS BY SEGMENT

Insurance Segment

Results for the insurance segment were as follows:

	Three months ended March 31,
	2021			% Change	2020
Revenues:
Gross premiums written	$	1,103,198		17%	$	940,715
Net premiums written	707,814			22%	581,650
Net premiums earned	616,286			10%	562,064
Other insurance related income	415			(36%)	647
Expenses:
Current accident year net losses and loss expenses	(358,403)				(475,644)
Prior year reserve development	1,505				3,832
Acquisition costs	(117,679)				(112,751)
Underwriting-related general and administrative expenses	(103,303)				(100,778)
Underwriting income (loss)	$	38,821			$	(122,630)
Ratios:				% Point Change
Current accident year loss ratio excluding catastrophe and weather-related losses	52.3		%	(1.9)	54.2		%
Catastrophe and weather-related losses ratio	5.9		%	(24.5)	30.4		%
Current accident year loss ratio	58.2		%	(26.4)	84.6		%
Prior year reserve development ratio	(0.3		%)	0.4	(0.7		%)
Net losses and loss expenses ratio	57.9		%	(26.0)	83.9		%
Acquisition cost ratio	19.1		%	(1.0)	20.1		%
Underwriting-related general and administrative expense ratio	16.8		%	(1.1)	17.9		%
Combined ratio	93.8		%	(28.1)	121.9		%

nm – not meaningful

52

Gross Premiums Written

Gross premiums written by line of business were as follows:

	Three months ended March 31,
	2021				2020				% Change
Property	$	261,786	23	%	$	223,603	24	%	17%
Marine	187,948		17	%	156,296		17	%	20%
Terrorism	19,744		2	%	16,520		2	%	20%
Aviation	20,402		2	%	17,230		2	%	18%
Credit and political risk	37,451		3	%	47,675		5	%	(21%)
Professional lines	337,765		31	%	258,391		27	%	31%
Liability	193,151		18	%	170,878		18	%	13%
Accident and health	44,847		4	%	51,062		5	%	(12%)
Discontinued lines - Novae	104		—	%	(940)		—	%	nm
Total	$	1,103,198	100	%	$	940,715	100	%	17%

nm – not meaningful

Gross premiums written for the three months ended March 31, 2021 increased by $162 million, or 17% ($154 million, or 16%, on a constant currency basis(1)), compared to the three months ended March 31, 2020. The increase was primarily attributable to professional lines, property, marine, and liability lines, partially offset by decreases in credit and political risk, and accident and health lines.

The increase in professional lines was due to new business, favorable rate changes and timing differences. The increases in property, marine and liability lines were due to new business and favorable rate changes. The decrease in credit and political risk lines was due to reduced business opportunities related to the current economic climate. The decrease in accident and health lines was due to timing differences.

Ceded Premiums Written

Ceded premiums written for the three months ended March 31, 2021 was $395 million, or 36%, of gross premiums written, compared to $359 million, or 38%, of gross premiums written for the three months ended March 31, 2020. The increase in ceded premiums written of $36 million, or 10%, was primarily driven by increases in professional lines and liability lines, partially offset by a decrease in marine lines.

(1) Amounts presented on a constant currency basis are non-GAAP financial measures as defined in Item10 (e) of SEC Regulation S-K. The constant currency basis is calculated by applying the average foreign exchange rate from the current year to the prior year balance.

53

Net Premiums Earned

Net premiums earned by line of business were as follows:

	Three months ended March 31,
	2021				2020				% Change
Property	$	161,099	26	%	$	150,282	26	%	7%
Marine	85,390		14	%	67,944		12	%	26%
Terrorism	13,781		2	%	12,363		2	%	11%
Aviation	17,722		3	%	14,776		3	%	20%
Credit and political risk	20,998		3	%	26,086		5	%	(20)%
Professional lines	203,261		33	%	179,071		32	%	14%
Liability	77,712		13	%	78,568		14	%	(1)%
Accident and health	36,192		6	%	33,561		6	%	8%
Discontinued lines - Novae	131		—	%	(587)		—	%	nm
Total	$	616,286	100	%	$	562,064	100	%	10%

nm – not meaningful

Net premiums earned for the three months ended March 31, 2021 increased by $54 million, or 10% ($46 million, or 8%, on a constant currency basis), compared to the three months ended March 31, 2020. The increase was primarily driven by increases in gross premiums earned in professional lines, marine and property lines, together with a decrease in ceded premiums earned in marine and property lines, partially offset by increases in ceded premiums earned in professional lines and credit and political risk lines.

Loss Ratio

The components of the loss ratio were as follows:

	Three months ended March 31,
	2021		% Point Change	2020
Current accident year loss ratio	58.2	%	(26.4)	84.6	%
Prior year reserve development ratio	(0.3	%)	0.4	(0.7	%)
Loss ratio	57.9	%	(26.0)	83.9	%

Current Accident Year Loss Ratio

The current accident year loss ratio decreased to 58.2% for the three months ended March 31, 2021, from 84.6% for the three months ended March 31, 2020.

During the three months ended March 31, 2021, catastrophe and weather-related losses were $36 million, or 5.9 points, primarily attributable to Winter Storms Uri and Viola and other weather-related events. Comparatively, during the three months ended March 31, 2020, catastrophe and weather-related losses, net of reinstatement premiums, were $178 million, or 30.4 points.

After adjusting for the impact of the catastrophe and weather-related losses, the current accident year loss ratio decreased to 52.3% for the three months ended March 31, 2021, from 54.2% for the three months ended March 31, 2020. The decrease in the current accident year loss ratio, after adjusting for the impact of the catastrophe and weather-related losses, was principally due to the impact of favorable pricing over loss trends, changes in business mix and improved loss experience in property lines largely associated with the repositioning of the portfolio, partially offset by an increase in loss experience in marine lines.

54

Prior Year Reserve Development

Refer to Item 1, Note 6 to the Consolidated Financial Statements 'Reserve for losses and loss expenses' for details on the reserve classes, the expected claims tails and prior year development.

Acquisition Cost Ratio

The acquisition cost ratio decreased to 19.1% for the three months ended March 31, 2021, from 20.1% for the three months ended March 31, 2020, principally related to an increase in ceding commissions.

Underwriting-Related General and Administrative Expense Ratio

The underwriting-related general and administrative expense ratio decreased to 16.8% for the three months ended March 31, 2021, from 17.9% for the three months ended March 31, 2020, mainly driven by an increase in net premiums earned.

55

Reinsurance Segment

Results from the reinsurance segment were as follows:

	Three months ended March 31,
	2021			% Change	2020
Revenues:
Gross premiums written	$	1,432,283		(4%)	$	1,490,443
Net premiums written	1,071,072			(2%)	1,097,394
Net premiums earned	487,436			(7%)	526,561
Other insurance related income (loss)	2,366			nm	(9,354)
Expenses:
Current accident year net losses and loss expenses	(361,632)				(438,542)
Prior year reserve development	3,812				2,281
Acquisition costs	(101,192)				(125,899)
Underwriting-related general and administrative expenses	(29,365)				(29,184)
Underwriting income (loss)	$	1,425			$	(74,137)
Ratios:				% Point Change
Current accident year loss ratio excluding catastrophe and weather-related losses	58.6		%	(1.6)	60.2		%
Catastrophe and weather-related losses ratio	15.6		%	(7.5)	23.1		%
Current accident year loss ratio	74.2		%	(9.1)	83.3		%
Prior year reserve development ratio	(0.8		%)	(0.4)	(0.4		%)
Net losses and loss expenses ratio	73.4		%	(9.5)	82.9		%
Acquisition cost ratio	20.8		%	(3.1)	23.9		%
Underwriting-related general and administrative expense ratio	6.0		%	0.5	5.5		%
Combined ratio	100.2		%	(12.1)	112.3		%

nm – not meaningful

56

Gross Premiums Written

Gross premiums written by line of business were as follows:

	Three months ended March 31,
	2021				2020				%  Change
Catastrophe	$	250,956	17	%	$	262,283	17	%	(4%)
Property	126,455		9	%	133,189		9	%	(5%)
Credit and surety	83,221		6	%	100,739		7	%	(17%)
Professional lines	131,255		9	%	123,570		8	%	6%
Motor	223,524		16	%	279,132		19	%	(20%)
Liability	269,201		19	%	218,896		15	%	23%
Engineering	(2,428)		—	%	15,920		1	%	nm
Agriculture	16,441		1	%	18,248		1	%	(10%)
Marine and aviation	32,340		2	%	29,993		2	%	8%
Accident and health	301,318		21	%	307,678		21	%	(2%)
Discontinued lines - Novae	—		—	%	795		—	%	nm
Total	$	1,432,283	100	%	$	1,490,443	100	%	(4%)

nm – not meaningful

Gross premiums written for the three months ended March 31, 2021 decreased by $58 million, or 4% ($82 million, or 5%, on a constant currency basis), compared to the three months ended March 31, 2020. The decrease was primarily attributable to motor, engineering, credit and surety, catastrophe and property lines, partially offset by increases in liability and professional lines.

The decreases in motor, engineering and catastrophe lines were driven by non-renewals and decreased line sizes associated with the repositioning of the portfolio. The decrease in credit and surety lines was driven by premium adjustments and a reduced line size on a significant contract. The decrease in property lines was driven by premium adjustments.

The increases in liability and professional lines were driven by favorable market conditions associated with renewals and new business.

Ceded Premiums Written

Ceded premiums written for the three months ended March 31, 2021 was $361 million, or 25%, of gross premiums written, compared to $393 million, or 26%, of gross premiums written for the three months ended March 31, 2020.

The decrease in ceded premiums written of $32 million, or 8%, was primarily driven by catastrophe, property, credit and surety, and professional lines, partially offset by an increase in liability lines. The decrease in catastrophe lines was attributable to a non-renewal of a significant excess of loss treaty, partially offset by additional costs associated with the purchase of catastrophe bond protection. The decrease in property lines was attributable to a non-renewal of a fronting arrangement. The decrease in credit and surety lines was attributable to premium adjustments. The decrease in professional lines was attributable to the restructuring of an existing quota share retrocessional treaty. The increase in liability lines was attributable to an increase in premiums ceded to the retrocessional cover with Harrington Re.

.

57

Net Premiums Earned

Net premiums earned by line of business were as follows:

	Three months ended March 31,
	2021				2020				% Change
Catastrophe	$	80,782	19	%	$	74,474	14	%	8%
Property	55,337		11	%	66,729		13	%	(17%)
Credit and surety	35,433		7	%	43,514		8	%	(19%)
Professional lines	50,847		10	%	48,963		9	%	4%
Motor	54,952		11	%	61,968		12	%	(11%)
Liability	92,040		19	%	96,913		18	%	(5%)
Engineering	7,143		1	%	13,333		3	%	(46%)
Agriculture	15,316		3	%	22,292		4	%	(31%)
Marine and aviation	11,228		2	%	9,851		2	%	14%
Accident and health	84,358		17	%	87,619		17	%	(4%)
Discontinued lines - Novae	—		—	%	905		—	%	nm
Total	$	487,436	100	%	$	526,561	100	%	(7%)

nm – not meaningful

Net premiums earned for the three months ended March 31, 2021 decreased by $39 million, or 7% ($40 million, or 8%, on a constant currency basis), compared to the three months ended March 31, 2020. The decrease was primarily driven by decreases in gross premiums earned in credit and surety, property, agriculture, engineering and motor lines, partially offset by decreases in ceded premiums earned in credit and surety, and property lines.

Other Insurance Related Income (Loss)

Other insurance related income was $2 million for the three months ended March 31, 2021, compared to other insurance related loss of $9 million for the three months ended March 31, 2020. The other insurance related income for the three months ended March 31, 2021

was primarily related to fees associated with arrangements with strategic capital partners. The other insurance related loss for the three months ended March 31, 2020 was primarily due to the recognition of a full limit loss of $10 million associated with the WHO pandemic risk-linked swap.

Loss Ratio

The components of the loss ratio were as follows:

	Three months ended March 31,
	2021		% Point Change	2020
Current accident year loss ratio	74.2	%	(9.1)	83.3	%
Prior year reserve development ratio	(0.8	%)	(0.4)	(0.4	%)
Loss ratio	73.4	%	(9.5)	82.9	%

58

Current Accident Year Loss Ratio

The current accident year loss ratio decreased to 74.2% for the three months ended March 31, 2021, from 83.3% for the three months ended March 31, 2020.

During the three months ended March 31, 2021, catastrophe and weather-related losses, net of reinstatement premiums, were $74 million, or 15.6 points, primarily attributable to Winter Storms Uri and Viola and other weather-related events. Comparatively, during the three months ended March 31, 2020, catastrophe and weather-related losses were $122 million, or 23.1 points.

After adjusting for the impact of the catastrophe and weather-related losses, the current accident year loss ratio decreased to 58.6% for the three months ended March 31, 2021, from 60.2% for the three months ended March 31, 2020. The decrease in the current accident year loss ratio after adjusting for the impact of catastrophe and weather-related losses was principally due to the impact of favorable pricing over loss trends and changes in business mix, partially offset by an increase in loss experience in property lines.

Prior Year Reserve Development

Refer to Item 1, Note 6 to the Consolidated Financial Statements 'Reserve for losses and loss expenses' for details on the reserve classes, the expected claims tails and prior year development.

Acquisition Cost Ratio

The acquisition cost ratio decreased to 20.8% for the three months ended March 31, 2021, from 23.9% for the three months ended March 31, 2020, principally related to changes in business mix and the impact of retrocessional contracts.

Underwriting-Related General and Administrative Expense Ratio:

The underwriting-related general and administrative expense increased to 6.0% for the three months ended March 31, 2021, from 5.5% for the three months ended March 31, 2020, mainly driven by a decrease in net premiums earned.

59

NET INVESTMENT INCOME AND NET INVESTMENT GAINS (LOSSES)

Net Investment Income

Net investment income from our cash and investment portfolio by major asset class was as follows:

	Three months ended March 31,
	2021			% Change	2020
Fixed maturities	$	69,470		(23%)	$	89,943
Other investments	41,833			nm	(2,120)
Equity securities	2,498			18%	2,125
Mortgage loans	4,187			3%	4,053
Cash and cash equivalents	2,336			(53%)	4,930
Short-term investments	133			(91%)	1,498
Gross investment income	120,457			20%	100,429
Investment expense	(6,292)			(14%)	(7,328)
Net investment income	$	114,165		23%	$	93,101
Pre-tax yield:(1)
Fixed maturities	2.4		%		2.9		%

nm - not meaningful

(1) Pre-tax yield is calculated by dividing annualized net investment income by the average month-end amortized cost balances.

Fixed Maturities

Net investment income attributable to fixed maturities for the three months ended March 31, 2021 was $69 million, compared to net investment income of $90 million for the three months ended March 31, 2020. The decrease for the three months ended March 31, 2021, compared to the same period in 2020, was due to the decrease in yields.

Other Investments

Net investment income from other investments was as follows:

	Three months ended March 31,
	2021			2020
Hedge, direct lending, private equity and real estate funds	$	22,773		$	(1,352)
Other privately held investments	18,478			80
CLO-Equities	582			(848)
Net investment income (loss) from other investments (1)	$	41,833		$	(2,120)
Pre-tax return on other investments(2)	5.3		%	(0.3)		%

(1)Excluding overseas deposits.

(2)The pre-tax return on other investments is calculated by dividing total net investment income from other investments (non-annualized) by the average month-end fair value balances held for the periods indicated, excluding overseas deposits.

60

Net investment income attributable to other investments for the three months ended March 31, 2021 was $42 million, compared to net investment loss of $2 million for the three months ended March 31, 2020. The increase for the three months ended March 31, 2021, compared to the same period in 2020, was due to higher returns from private equity and hedge funds, and a realized gain of $17 million associated with the sale of a privately held investment.

Net Investment Gains (Losses)

Net investment gains (losses) were as follows:

	Three months ended March 31,
	2021		2020
On sale of investments:
Fixed maturities and short-term investments	$	30,802	$	17,165
Equity securities	480		(762)
	31,282		16,403
Allowance for expected credit losses	89		(20,019)
Impairment losses	—		(1,190)
Change in fair value of investment derivatives	1,749		3,162
Net unrealized gains (losses) on equity securities	(3,475)		(61,233)
Net investment gains (losses)	$	29,645	$	(62,877)

Net investment gains for the three months ended March 31, 2021 were $30 million, compared to net investment losses of $63 million for the three months ended March 31, 2020. For the three months ended March 31, 2021, the net investment gains were primarily due to net realized gains on the sale of corporate debt and U.S. government securities, partially offset by net unrealized losses on equity securities. For the three months ended March 31, 2020, the net investment losses were primarily due to net unrealized losses on equity securities and expected credit losses on corporate debt securities, partially offset by net realized gains on the sale of U.S. government and agency RMBS securities.

On Sale of Investments

Generally, sales of individual securities occur when there are changes in the relative value, credit quality or duration of a particular issue. We may also sell securities to re-balance our investment portfolio in order to change exposure to particular asset classes or sectors.

Impairment Losses

The impairment losses for the three months ended March 31, 2021 were $nil, compared to impairment losses of $1 million for the three months ended March 31, 2020. For the three months ended March 31, 2020, these losses were principally due to impairments of non-investment grade corporate debt securities that we intend to sell or more likely than not will be required to sell.

Change in Fair Value of Investment Derivatives

From time to time, we economically hedge foreign exchange exposure with derivative contracts.

For the three months ended March 31, 2021, we recorded gains of $2 million related to foreign exchange contracts. For the three months ended March 31, 2020, we recorded gains of $3 million related to foreign exchange contracts.

61

Total Return

Total return on cash and investments was as follows:

	Three months ended March 31,
	2021			2020
Net investment income	$	114,165		$	93,101
Net investments gains (losses)	29,645			(62,877)
Change in net unrealized gains (losses) on fixed maturities (1)	(226,895)			(274,757)
Interest in income (loss) of equity method investments	9,162			(23,577)
Total	$	(73,923)		$	(268,110)
Average cash and investments(2)	$	15,727,085		$	15,711,614
Total return on average cash and investments, pre-tax:
Including investment related foreign exchange movements	(0.5		%)	(1.7		%)
Excluding investment related foreign exchange movements(3)	(0.4		%)	(1.3		%)

(1)Change in net unrealized gains (losses) on fixed maturities is calculated by taking net unrealized gains (losses) at period end less net unrealized gains (losses) at the prior period end.

(2)The average cash and investments balance is calculated by taking the average of the period end fair value balances.

(3)Pre-tax total return on cash and investments excluding foreign exchange movements is a non-GAAP financial measure as defined in Item 10(e) of SEC Regulation S-K. The reconciliation to pre-tax total return on cash and investments, the most comparable GAAP financial measure, included foreign exchange gains (losses) of $(12) million and $(61) million for the three months ended March 31, 2021 and 2020, respectively.

OTHER EXPENSES (REVENUES), NET

The following table provides a summary of other expenses (revenues), net:

	Three months ended March 31,
	2021		% Change	2020
Corporate expenses	$	25,740	(5%)	$	27,098
Foreign exchange losses (gains)	4,113		nm	(61,683)
Interest expense and financing costs	15,571		(34%)	23,472
Income tax expense (benefit)	20,776		nm	(4,867)
Total	$	66,200		$	(15,980)

nm – not meaningful

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Corporate Expenses

Corporate expenses include holding company costs necessary to support our worldwide insurance and reinsurance operations and costs associated with operating as a publicly-traded company. As a percentage of net premiums earned, corporate expenses decreased to 2.3% for the three months ended March 31, 2021, from 2.5% for the three months ended March 31, 2020.

The decrease in corporate expenses for the three months ended March 31, 2021 was primarily related to decreases in information technology costs, partially offset by a decrease in the allocation of corporate costs to the insurance and reinsurance segments.

Foreign Exchange Losses (Gains)

Some of our business is written in currencies other than the U.S. dollar. Foreign exchange losses of $4 million for the three months ended March 31, 2021 were mainly driven by the impact of the weakening of the U.S. dollar on the remeasurement of net insurance-related liabilities denominated in pound sterling and Canadian dollar, offset by the strengthening of the U.S. dollar on the remeasurement of net insurance-related liabilities denominated in euro.

Foreign exchange gains of $62 million for the three months ended March 31, 2020 were mainly driven by the impact of the strengthening of the U.S. dollar on the remeasurement of net insurance-related liabilities denominated in pound sterling and euro.

Interest Expense and Financing Costs

Interest expense and financing costs are related to interest due on the 5.150% senior unsecured notes ("5.150% Senior Notes") issued in 2014, the 4.000% senior unsecured notes ("4.000% Senior Notes") issued in 2017, the 3.900% senior unsecured notes ("3.900% Senior Notes"), and the 4.900% fixed-rate reset junior subordinated notes ("Junior Subordinated Notes") issued in 2019.

Interest expense and financing costs decreased by $8 million for the three months ended March 31, 2021, compared to the same period in 2020, due to the repayment of the 5.875% Senior Notes on June 1, 2020.

Income Tax Expense (Benefit)

Income tax expense (benefit) primarily results from income (loss) generated by our foreign operations in the U.S. and Europe. Our effective tax rate is calculated as income tax expense (benefit) divided by income (loss) before tax including interest in income (loss) of equity method investments. This effective rate can vary between periods depending on the distribution of net income (loss) among tax jurisdictions, as well as other factors.

The tax expense of $21 million for the three months ended March 31, 2021 was principally due to the generation of pre-tax income in our U.S., European, and U.K. operations.

The tax benefit of $5 million for the three months ended March 31, 2020 was principally due to the generation of pre-tax losses in our U.K. and European operations, partially offset by pre-tax income in our U.S. operations.

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FINANCIAL MEASURES

We believe the following financial indicators are important in evaluating performance and measuring the overall growth in value generated for common shareholders:

	Three months ended March 31,
	2021			2020
Annualized return on average common equity(1)	9.9		%	nm
Annualized operating return on average common equity(2)	7.1		%	nm
Book value per diluted common share(3)	$	53.03		$	49.78
Cash dividends declared per common share	$	0.42		$	0.41
Increase (decrease) in book value per diluted common share adjusted for dividends	$	(1.64)		$	(5.60)

(1)Annualized return on average common equity ("ROACE") is calculated by dividing annualized net income (loss) available (attributable) to common shareholders for the period by the average common shareholders' equity determined using the common shareholders' equity balances at the beginning and end of the period.

(2)Annualized operating return on average common equity ("operating ROACE") is a non-GAAP financial measures as defined in Item 10(e) of SEC Regulation S-K. The reconciliation to the most comparable GAAP financial measure, annualized ROACE, and a discussion of the rationale for the presentation of this item is provided in 'Management's Discussion and Analysis of Financial Condition and Results of Operations - Non-GAAP Financial Measures Reconciliation'.

(3)Book value per diluted common share represents total common shareholders’ equity divided by diluted common shares outstanding, determined using the treasury stock method. Cash-settled restricted stock units are excluded.

Return on Average Common Equity

Our objective is to generate superior returns on capital that appropriately reward common shareholders for the risks we assume and to grow revenue only when we expect the returns will meet or exceed our requirements. We recognize that the nature of underwriting cycles and the frequency or severity of large loss events in any one year may challenge the ability to achieve a profitability target in any specific period.

ROACE reflects the impact of net income (loss) available (attributable) to common shareholders including net investment gains (losses), foreign exchange losses (gains), reorganization expenses, and interest in income (loss) of equity method investments.

The increase in ROACE for the three months ended March 31, 2021, compared to the three months ended March 31, 2020, was primarily driven by increases in underwriting income, net investment gains, interest in income of equity method investments, and net investment income, together with a decrease in interest expense and financing costs, partially offset by the foreign exchange losses and income tax expense.

Operating ROACE excludes the impact of net investment gains (losses), foreign exchange losses (gains), reorganization expenses, and interest in income (loss) of equity method investments.

The increase in operating ROACE for the three months ended March 31, 2021, compared to the three months ended March 31, 2020, was primarily driven by increases in underwriting income and net investment income, together with a decrease in interest expense and financing costs, partially offset by the income tax expense.

Book Value per Diluted Common Share

We consider book value per diluted common share to be an appropriate measure of returns to common shareholders, as we believe growth in book value on a diluted basis will ultimately translate into appreciation of stock price.

During the three months ended March 31, 2021, book value per diluted common share decreased by 4% due to a decrease in net unrealized gains reported in accumulated other comprehensive income and common dividends declared, partially offset by the net income generated.

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Cash Dividends Declared per Common Share

We believe in returning excess capital to shareholders by way of dividends and share repurchases. Accordingly, dividend policy is an integral part of the value we create for shareholders. Our cumulative strong earnings have permitted our Board of Directors to approve seventeen successive annual increases in quarterly common share dividends.

Book Value per Diluted Common Share Adjusted for Dividends

Taken together, we believe that growth in book value per diluted common share and common share dividends declared represent the total value created for common shareholders. As companies in the insurance industry have differing dividend payout policies, we believe investors use the book value per diluted common share adjusted for dividends metric to measure comparable performance across the industry.

During the three months ended March 31, 2021, the decrease in total value of $1.64, or 3%, was driven by a decrease in unrealized investment gains reported in accumulated other comprehensive income, partially offset by the net income generated in the period.

During the three months ended March 31, 2020, the decrease in total value of $5.60, or 10%, was driven by the net loss generated in the period and unrealized investment losses reported in accumulated other comprehensive income.

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NON-GAAP FINANCIAL MEASURES RECONCILIATION

	Three months ended March 31,
	2021			2020
Net income (loss) available (attributable) to common shareholders	$	115,737		$	(185,390)
Net investment (gains) losses(1)	(29,645)			62,877
Foreign exchange losses (gains)(2)	4,113			(61,683)
Reorganization expenses(3)	—			(982)
Interest in (income) loss of equity method investments(4)	(9,162)			23,577
Income tax expense (benefit)	1,694			(2,811)
Operating income (loss)	$	82,737		$	(164,412)
Earnings (loss) per diluted common share	$	1.36		$	(2.20)
Net investment (gains) losses	(0.35)			0.75
Foreign exchange losses (gains)	0.05			(0.73)
Reorganization expenses	—			(0.01)
Interest in (income) loss of equity method investments	(0.11)			0.28
Income tax expense (benefit)	0.02			(0.03)
Operating income (loss) per diluted common share(5)	$	0.97		$	(1.94)
Weighted average diluted common shares outstanding(6)	84,965			84,094
Average common shareholders' equity	$	4,686,042		$	4,529,293
Annualized return on average common equity	9.9		%	nm
Annualized operating return on average common equity(7)	7.1		%	nm

(1)Tax cost (benefit) of $1,484 and ($5,677) for the three months ended March 31, 2021 and 2020, respectively. Tax impact is estimated by applying the statutory rates of applicable jurisdictions, after consideration of other relevant factors including the ability to utilize capital losses.

(2)Tax cost (benefit) of $210 and $2,527 for the three months ended March 31, 2021 and 2020, respectively. Tax impact is estimated by applying the statutory rates of applicable jurisdictions, after consideration of other relevant factors including the tax status of specific foreign exchange transactions.

(3)Tax cost of $339 for the three months ended March 31, 2020. Tax impact is estimated by applying the statutory rates of applicable jurisdictions.

(4)Tax cost (benefit) of $nil for the three months ended March 31, 2021 and 2020, respectively. Tax impact is estimated by applying the statutory rates of applicable jurisdictions.

(5)Loss per diluted common share and operating loss per diluted common share for the three months ended March 31, 2020 were calculated using weighted average common shares outstanding due to the net loss attributable to common shareholders and the operating loss recognized in the period.

(6)Refer to Item 1, Note 7 to our Consolidated Financial Statements 'Earnings per Common Share' for further details.

(7)Annualized operating ROACE is a non-GAAP financial measures as defined in Item 10(e) of SEC Regulation S-K. The reconciliation to the most comparable GAAP financial measure, annualized ROACE, is presented in the table above, and a discussion of the rationale for its presentation is provided below.

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Rationale for the Use of Non-GAAP Financial Measures

We present our results of operations in a way we believe will be meaningful and useful to investors, analysts, rating agencies and others who use our financial information to evaluate our performance. Some of the measurements we use are considered non-GAAP financial measures under SEC rules and regulations. In this Management's Discussion and Analysis of Financial Condition and Results of Operations ("MD&A"), we present underwriting-related general and administrative expenses, consolidated underwriting income (loss), operating income (loss) (in total and on a per share basis), annualized operating return on average common equity ("operating ROACE"), amounts presented on a constant currency basis and pre-tax total return on cash and investments excluding foreign exchange movements which are non-GAAP financial measures as defined in Item 10(e) of SEC Regulation S-K. We believe that these non-GAAP financial measures, which may be defined and calculated differently by other companies, help explain and enhance the understanding of our results of operations. However, these measures should not be viewed as a substitute for those determined in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP").

Underwriting-Related General and Administrative Expenses

Underwriting-related general and administrative expenses include those general and administrative expenses that are incremental and/or directly attributable to our underwriting operations. While this measure is presented in Item 1, Note 2 to the Consolidated Financial Statements 'Segment Information', it is considered a non-GAAP financial measure when presented elsewhere on a consolidated basis.

Corporate expenses include holding company costs necessary to support our worldwide insurance and reinsurance operations and costs associated with operating as a publicly-traded company. As these costs are not incremental and/or directly attributable to our underwriting operations, these costs are excluded from underwriting-related general and administrative expenses, and therefore, consolidated underwriting income (loss). General and administrative expenses, the most comparable GAAP financial measure to underwriting-related general and administrative expenses, also includes corporate expenses.

The reconciliation of underwriting-related general and administrative expenses to general and administrative expenses, the most comparable GAAP financial measure, is presented in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Consolidated Results of Operations'.

Consolidated Underwriting Income (Loss)

Consolidated underwriting income (loss) is a pre-tax measure of underwriting profitability that takes into account net premiums earned and other insurance related income (loss) as revenues and net losses and loss expenses, acquisition costs and underwriting-related general and administrative expenses as expenses. While this measure is presented in Item 1, Note 2 to the Consolidated Financial Statements 'Segment Information', it is considered a non-GAAP financial measure when presented elsewhere on a consolidated basis.

We evaluate our underwriting results separately from the performance of our investment portfolio. As a result, we believe it is appropriate to exclude net investment income and net investment gains (losses) from our underwriting profitability measure.

Foreign exchange losses (gains) in our consolidated statements of operations primarily relate to the impact of foreign exchange rate movements on our net insurance-related liabilities. However, we manage our investment portfolio in such a way that unrealized and realized foreign exchange losses (gains) on our investment portfolio generally offset a large portion of the foreign exchange losses (gains) arising from our underwriting portfolio. As a result, we believe that foreign exchange losses (gains) are not a meaningful contributor to our underwriting performance, therefore, foreign exchange losses (gains) are excluded from consolidated underwriting income (loss).

Interest expense and financing costs primarily relate to interest payable on our debt. As these expenses are not incremental and/or directly attributable to our underwriting operations, these expenses are excluded from underwriting-related general and administrative expenses, and therefore, consolidated underwriting income (loss).

Reorganization expenses are related to the transformation program which was launched in 2017. This program encompasses the integration of Novae, which commenced in the fourth quarter of 2017, the realignment of our accident and health business, together with other initiatives designed to increase efficiency and enhance profitability, while delivering a customer-centric operating model. Reorganization expenses are primarily driven by business decisions, the nature and timing of which are not related to the underwriting process, therefore, these expenses are excluded from consolidated underwriting income (loss).

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Amortization of intangible assets including VOBA arose from business decisions, the nature and timing of which are not related to the underwriting process, therefore, these expenses are excluded from consolidated underwriting income (loss).

We believe that the presentation of underwriting-related general and administrative expenses and consolidated underwriting income (loss) provides investors with an enhanced understanding of our results of operations, by highlighting the underlying pre-tax profitability of our underwriting activities. The reconciliation of consolidated underwriting income (loss) to net income (loss), the most comparable GAAP financial measure, is presented in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Consolidated Results of Operations'.

Operating Income (Loss)

Operating income (loss) represents after-tax operational results exclusive of net investment gains (losses), foreign exchange losses (gains), reorganization expenses, and interest in income (loss) of equity method investments.

Although the investment of premiums to generate income and investment gains (losses) is an integral part of our operations, the determination to realize investment gains (losses) is independent of the underwriting process and is heavily influenced by the availability of market opportunities. Furthermore, many users believe that the timing of the realization of investment gains (losses) is somewhat opportunistic for many companies.

Foreign exchange losses (gains) in our consolidated statements of operations primarily relate to the impact of foreign exchange rate movements on net insurance-related liabilities. In addition, we recognize unrealized foreign exchange losses (gains) on our equity securities and foreign exchange losses (gains) realized on the sale of our available for sale investments and equity securities in net investment gains (losses). We also recognize unrealized foreign exchange losses (gains) on our available for sale investments in other comprehensive income (loss). These unrealized foreign exchange losses (gains) generally offset a large portion of the foreign exchange losses (gains) reported in net income (loss), thereby minimizing the impact of foreign exchange rate movements on total shareholders' equity. As a result, foreign exchange losses (gains) in our consolidated statements of operations in isolation are not a meaningful contributor to the performance of our business.

Reorganization expenses are related to the transformation program which was launched in 2017. This program encompasses the integration of Novae, which commenced in the fourth quarter of 2017, the realignment of our accident and health business, together with other initiatives designed to increase efficiency and enhance profitability, while delivering a customer-centric operating model. Reorganization expenses are primarily driven by business decisions, the nature and timing of which are not related to the underwriting process, therefore, these expenses are excluded from operating income (loss).

Interest in income (loss) of equity method investments is primarily driven by business decisions, the nature and timing of which are not related to the underwriting process, therefore, this income (loss) is excluded from operating income (loss).

Certain users of our financial statements evaluate performance exclusive of after-tax net investment gains (losses), foreign exchange losses (gains), reorganization expenses, and interest in income (loss) of equity method investments to understand the profitability of recurring sources of income.

We believe that showing net income (loss) available (attributable) to common shareholders exclusive of after-tax net investment gains (losses), foreign exchange losses (gains), reorganization expenses, and interest in income (loss) of equity method investments reflects the underlying fundamentals of our business. In addition, we believe that this presentation enables investors and other users of our financial information to analyze performance in a manner similar to how our management analyzes the underlying business performance. We also believe this measure follows industry practice and, therefore, facilitates comparison of our performance with our peer group. We believe that equity analysts and certain rating agencies that follow us, and the insurance industry as a whole, generally exclude these items from their analyses for the same reasons. The reconciliation of operating income (loss) to net income (loss) available (attributable) to common shareholders, the most comparable GAAP financial measure, is presented above.

We also present operating income (loss) per diluted common share and annualized operating ROACE, which are derived from the operating income (loss) measure and are reconciled above to the most comparable GAAP financial measures, earnings (loss) per diluted common share and annualized return on average common equity ("ROACE"), respectively.

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Constant Currency Basis

We present gross premiums written, net premiums written and net premiums earned on a constant currency basis in this MD&A. The amounts presented on a constant currency basis are calculated by applying the average foreign exchange rate from the current year to the prior year amounts. We believe this presentation enables investors and other users of our financial information to analyze growth in gross premiums written, net premiums written and net premiums earned on a constant basis. The reconciliation to gross premiums written, net premiums written and net premiums earned on a GAAP basis is presented in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Results by Segment'.

Pre-Tax Total Return on Cash and Investments excluding Foreign Exchange Movement

Pre-tax total return on cash and investments excluding foreign exchange movements measures net investment income (loss), net investments gains (losses), interest in income (loss) of equity method investments, and change in unrealized gains (losses) generated by average cash and investment balances. The reconciliation of pre-tax total return on cash and investments excluding foreign exchange movements to pre-tax total return on cash and investments, the most comparable GAAP financial measure, is presented in 'Management’s Discussion and Analysis of Financial Condition and Results of Operations – Net Investment Income and Net Investment Gains (Losses)'. We believe this presentation enables investors and other users of our financial information to analyze the performance of our investment portfolio.

CASH AND INVESTMENTS

Details of cash and investments are as follows:

	March 31, 2021			December 31, 2020
		Fair Value		Fair Value
Fixed maturities, available for sale		$	11,728,611	$	12,041,799
Fixed maturities, held to maturity(1)		404,522		—
Equity securities		547,676		518,445
Mortgage loans		629,576		593,290
Other investments		790,530		829,156
Equity method investments		123,370		114,209
Short-term investments		185,699		161,897
Total investments		$	14,409,984	$	14,258,796
Cash and cash equivalents(2)		$	1,560,279	$	1,503,232

(1)Presented at net carrying value of $405 million (2020: $nil) in the consolidated balance sheets.

(2)Includes restricted cash and cash equivalents of $664 million and $600 million at March 31, 2021 and at December 31, 2020, respectively.

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Overview

The fair value of total investments increased by $151 million in the three months ended March 31, 2021, driven by cash inflows from operations, partially offset by the decrease in market value of fixed maturities due to the increase in yields.

An analysis of our investment portfolio by asset class is detailed below:

Fixed Maturities

Details of our fixed maturities portfolio are as follows:

	March 31, 2021				December 31, 2020
	Fair Value		% of Total		Fair Value		% of Total
Fixed maturities:
U.S. government and agency	$	2,187,093	18	%	$	1,918,699	16	%
Non-U.S. government	714,721		6	%	671,273		6	%
Corporate debt	4,495,278		37	%	4,655,951		39	%
Agency RMBS	1,208,494		10	%	1,286,209		11	%
CMBS	1,274,049		11	%	1,353,587		11	%
Non-agency RMBS	167,169		1	%	140,104		1	%
ABS	1,807,483		15	%	1,720,078		14	%
Municipals(1)	278,846		2	%	295,898		2	%
Total	$	12,133,133	100	%	$	12,041,799	100	%
Credit ratings:
U.S. government and agency	$	2,187,093	18	%	$	1,918,699	16	%
AAA(2)	4,475,315		37	%	4,551,312		37	%
AA	998,219		8	%	913,707		8	%
A	1,807,738		15	%	1,896,407		16	%
BBB	1,631,335		13	%	1,732,058		14	%
Below BBB(3)	1,033,433		9	%	1,029,616		9	%
Total	$	12,133,133	100	%	$	12,041,799	100	%

(1)Includes bonds issued by states, municipalities, and political subdivisions.

(2)Includes U.S. government-sponsored agencies, residential mortgage-backed securities ("RMBS") and commercial mortgage-backed securities ("CMBS").

(3)Non-investment grade and non-rated securities.

At March 31, 2021, fixed maturities had a weighted average credit rating of AA- (2020: AA-), a book yield of 2.1% (2020: 2.3%) and an average duration of 3.3 years (2020: 3.3 years). At March 31, 2021, fixed maturities together with short-term investments, and cash and cash equivalents (i.e. total investments of $13.9 billion), had an average credit rating of AA- (2020: AA-) and an average duration of 3.0 years (2020: 3.0 years).

At March 31, 2021, net unrealized gains on fixed maturities were $248 million, compared to net unrealized gains of $475 million at December 31, 2020, a decrease of $227 million due to the increase in yields.

Equity Securities

At March 31, 2021, net unrealized gains on equity securities were $93 million, compared to unrealized gains of $97 million at December 31, 2020, a decrease of $4 million driven by the decline in value of our bond mutual funds.

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Mortgage Loans

During the three months ended March 31, 2021, our investment in commercial mortgage loans increased by $36 million. The commercial mortgage loans are high quality and collateralized by a variety of commercial properties and are diversified both geographically throughout the U.S. and by property type to reduce the risk of concentration. At March 31, 2021, there were no credit losses or past due amounts associated with our commercial mortgage loans portfolio.

Other Investments

Details of our other investments portfolio are as follows:

	March 31, 2021				December 31, 2020
	Fair Value		% of Total		Fair Value		% of Total
Hedge funds
Long/short equity funds	$	19,033	2	%	$	25,300	3	%
Multi-strategy funds	106,971		14	%	121,420		15	%
Total hedge funds	126,004		16	%	146,720		18	%
Direct lending funds	279,324		35	%	272,131		33	%
Private equity funds	153,515		19	%	124,706		15	%
Real estate funds	163,635		21	%	164,250		20	%
Total hedge, direct lending, private equity and real estate funds	722,478		91	%	707,807		86	%
CLO-Equities	6,269		1	%	6,173		1	%
Other privately held investments	61,783		8	%	70,011		8	%
Overseas deposits	—		—	%	45,165		5	%
Total other investments	$	790,530	100	%	$	829,156	100	%

Refer to Note 3(c) to the Consolidated Financial Statements 'Investments'.

Equity Method Investments

During 2016, we paid $108 million including direct transactions 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"). Harrington is not a variable interest entity that is required to be included in our consolidated financial statements. We account for our ownership interest in Harrington under the equity method of accounting.

In our consolidated results, our ownership interest in Harrington is reported in interest in income (loss) of equity method investments.

Interest in income of equity method investments was $9 million for the three months ended March 31, 2021, compared to interest in loss of equity method investments of $24 million for the three months ended March 31, 2020. The income for the three months ended March 31, 2021 was attributable to positive investment returns realized by Harrington.

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LIQUIDITY AND CAPITAL RESOURCES

Refer to the ‘Liquidity and Capital Resources’ section included in Item 7 of our Annual Report on Form 10-K for the year ended December 31, 2020 for a general discussion of liquidity and capital resources.

The following table summarizes consolidated capital:

	March 31, 2021			December 31, 2020
Debt	$	1,310,009		$	1,309,695
Preferred shares	550,000			550,000
Common equity	4,626,390			4,745,694
Shareholders’ equity	5,176,390			5,295,694
Total capital	$	6,486,399		$	6,605,389
Ratio of debt to total capital	20.2		%	19.8		%
Ratio of debt and preferred equity to total capital	28.7		%	28.2		%

We finance operations with a combination of debt and equity capital. Debt to total capital and debt, and preferred equity to total capital ratios provide an indication of our capital structure, along with some insight into our financial strength. We believe that our financial flexibility remains strong. Refer to Item 1, Note 10 to the Consolidated Financial Statements 'Debt and Financing Arrangements' for recent changes to our capital structure.

Common Equity

During the three months ended March 31, 2021, common equity decreased by $119 million. The following table reconciles opening and closing common equity positions:

Three months ended March 31,	2021
Common equity - opening	$	4,745,694
Treasury shares reissued	1,145
Share-based compensation expense	9,222
Change in unrealized gains (losses) on available for sale investments, net of tax	(200,783)
Foreign currency translation adjustment	1,249
Net income (loss)	123,300
Preferred share dividends	(7,563)
Common share dividends	(36,494)
Treasury shares repurchased	(9,380)
Common equity - closing	$	4,626,390

During the three months ended March 31, 2021, we repurchased 189,000 common shares from employees to satisfy withholding tax liabilities related to the vesting of share-settled restricted stock units granted under our 2007 and 2017 Long-Term Equity Compensation Plans for a total cost of $9.4 million.

A common share repurchase plan has not been authorized for 2021.

We expect cash flows generated from operations, combined with liquidity provided by our investment portfolio, will be sufficient to cover cash outflows and other contractual commitments through the foreseeable future.

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CRITICAL ACCOUNTING ESTIMATES

The consolidated financial statements include certain amounts that are inherently uncertain and judgmental in nature. As a result, we are required to make assumptions and best estimates in order to determine the reported values. We consider an accounting estimate to be critical if: (1) it requires that significant assumptions be made in order to deal with uncertainties and (2) changes in the estimate could have a material impact on our results of operations, financial condition or liquidity.

We believe the material items requiring such subjective and complex estimates are:

•reserves for losses and loss expenses;

•reinsurance recoverable on unpaid losses and loss expenses, including the allowance for expected credit losses;

•gross premiums written and net premiums earned;

•fair value measurements of financial assets and liabilities; and

•the allowance for expected credit losses associated with fixed maturities, available for sale and fixed maturities, held to maturity securities.

Other than our consideration of the impact of the allowance for expected credit losses associated with fixed maturities, held to maturity securities detailed in Note 1 'Basis of Presentation and Significant Accounting Policies' to the consolidated financial statements, we believe that the critical accounting estimates discussion in Item 7 of our Annual Report on Form 10-K for the year ended December 31, 2020, continue to describe the significant estimates and judgments included in the preparation of the consolidated financial statements.

RECENT ACCOUNTING PRONOUNCEMENTS

At March 31, 2021 and December 31, 2020 there were no recently issued accounting pronouncements that we have not yet adopted that we expect could have a material impact on our results of operations, financial condition or liquidity.

OFF-BALANCE SHEET AND SPECIAL PURPOSE ENTITY ARRANGEMENTS

At March 31, 2021, the Company had not entered into any off-balance sheet arrangements, as defined by Item 303(a)(4) of Regulation S-K.

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ITEM 3.     QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Refer to Item 7A included in our Annual Report on Form 10-K for the year ended December 31, 2020. There have been no material changes to this item since December 31, 2020, with the exception of the changes in exposure to foreign currency risk presented below.

Foreign Currency Risk

The table below provides a sensitivity analysis of total net foreign currency exposures.

	AUD			NZD			CAD			EUR			GBP			JPY			Other			Total
At March 31, 2021
Net managed assets (liabilities), excluding derivatives	$	28,012		$	5,096		$	298,680		$	(371,784)		$	(162,878)		$	(130,299)		$	139,704		$	(193,469)
Foreign currency derivatives, net	(1,523)			4,547			(279,567)			405,475			240,099			115,270			(2,841)			481,460
Net managed foreign currency exposure	26,489			9,643			19,113			33,691			77,221			(15,029)			136,863			287,991
Other net foreign currency exposure	—			—			120			2,664			(924)			—			34,317			36,177
Total net foreign currency exposure	$	26,489		$	9,643		$	19,233		$	36,355		$	76,297		$	(15,029)		$	171,180		$	324,168
Net foreign currency exposure as a percentage of total shareholders’ equity	0.5		%	0.2		%	0.4		%	0.7		%	1.5		%	(0.3		%)	3.3		%	6.3		%
Pre-tax impact of net foreign currency exposure on shareholders’ equity given a hypothetical 10% rate movement(1)	$	2,649		$	964		$	1,923		$	3,636		$	7,630		$	(1,503)		$	17,118		$	32,417

(1)Assumes 10% change in underlying currencies relative to the U.S. dollar.

Total Net Foreign Currency Exposure

At March 31, 2021, total net foreign currency assets were $324 million driven by increases in exposures to the euro, pound sterling and other non-core currencies primarily due to new business written during the three months ended March 31, 2021. In addition, $34 million included in other net foreign currency exposures related to assets managed by specific investment managers who have the discretion to hold foreign currency exposures as part of their total return strategy. An emerging market debt portfolio is the primary contributor to this group of assets.

74

ITEM 4.     CONTROLS AND PROCEDURES

Disclosure Controls and Procedures

The Company’s management has performed an evaluation, with the participation of the Company’s Chief Executive Officer and Chief Financial Officer, of the effectiveness of the Company's disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) of the Securities Exchange Act of 1934 (the "Exchange Act")) at March 31, 2021. Based upon that evaluation, the Company's Chief Executive Officer and Chief Financial Officer concluded that, at March 31, 2021, the Company's disclosure controls and procedures are effective to ensure that information required to be disclosed by the Company in reports that it files or submits under the Exchange Act is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the SEC and is accumulated and communicated to management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control Over Financial Reporting

The Company’s management has performed an evaluation, with the participation of the Company’s Chief Executive Officer and the Company’s Chief Financial Officer, of changes in the Company’s internal control over financial reporting that occurred during the three months ended March 31, 2021.

Based upon that evaluation, there were no changes in the Company's internal control over financial reporting that occurred during the three months ended March 31, 2021 that have materially affected, or are reasonably likely to materially affect, the Company's internal control over financial reporting. The Company has not experienced any material impact to its internal control over financial reporting resulting from the introduction of a remote work model due to the COVID-19 pandemic.

75

PART II     OTHER INFORMATION

ITEM 1.     LEGAL PROCEEDINGS

From time to time, the Company is subject to routine legal proceedings, including arbitrations, arising in the ordinary course of business. These legal proceedings generally relate to claims asserted by or against the Company in the ordinary course of insurance or reinsurance operations. Estimated amounts payable under such proceedings are included in the reserve for losses and loss expenses in the consolidated balance sheets.

The Company is not party to any material legal proceedings arising outside the ordinary course of business.

ITEM 1A.     RISK FACTORS

There were no material changes from the risk factors disclosed in the Company's Annual Report on Form 10-K for the year ended December 31, 2020.

ITEM 2.     UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

Issuer Purchases of Equity Securities

Common Shares

The following table shows information regarding the number of common shares repurchased:

Period	Total number of shares purchased(a) (b)	Average price paid per share	Total number of shares purchased as part of publicly announced plans or programs	Maximum number (or approximate dollar value) of shares that may yet be purchased under the plans or programs(b)
January 1-31, 2021	6	$50.41	—	—
February 1-28, 2021	13	$46.18	—	—
March 1-31, 2021	170	$49.97	—	—
Total	189		—	—

(a)        In thousands.

(b)        Shares are repurchased from employees to satisfy withholding tax liabilities related to the vesting of share-settled restricted stock units.

76

ITEM 5.     OTHER INFORMATION

Disclosure of Certain Activities Under Section 13(r) of the Securities Exchange Act of 1934

Section 13(r) of the Securities Exchange Act of 1934, as amended, requires issuers to disclose in their annual and quarterly reports whether they or any of their affiliates knowingly engaged in certain activities with Iran or with individuals or entities that are subject to certain sanctions under U.S. law. Issuers are required to provide this disclosure even where the activities, transactions or dealings are conducted outside of the U.S. in compliance with applicable law.

As and when allowed by the applicable law and regulations, certain of our non-U.S. subsidiaries provide treaty reinsurance coverage to non-U.S. insurers on a worldwide basis, including insurers of liability, marine, aviation and energy risks, and as a result, these underlying reinsurance portfolios may have some exposure to Iran. In addition, we underwrite insurance and facultative reinsurance on a global basis to non-U.S. insureds and insurers, including for liability, marine, aviation and energy risks. Coverage provided to non-Iranian business may indirectly cover an exposure in Iran. For example, certain of our operations underwrite global marine hull war and cargo policies that provide coverage for vessels navigating into and out of ports worldwide, including Iran. For the quarter ended March 31, 2021, there has been no material amount of premium allocated or apportioned to activities relating to Iran. We intend for our non-U.S. subsidiaries to continue to provide such coverage only to the extent permitted by applicable law.

77

ITEM 6.     EXHIBITS

2.1	Rule 2.7 Announcement, dated July 5, 2017 in connection with acquisition of Novae Group plc (incorporated by reference to Exhibit 2.1 to the Company's Current Report on Form 8-K filed on July 6, 2017).
2.2	Rule 2.7 Announcement, dated August 24, 2017 in connection with acquisition of Novae Group plc (incorporated by reference to Exhibit 2.1 to the Company's Current Report on Form 8-K filed on August 25, 2017).
3.1	Certificate of Incorporation and Memorandum of Association (incorporated by reference to Exhibit 3.1 to the Company’s Registration Statement on Form S-1(Amendment No. 1) (No. 333-103620) filed on April 16, 2003).
3.2	Amended and Restated Bye-Laws (incorporated by reference to Exhibit 4.2 to the Company’s Registration Statement on Form S-8 filed on May 15, 2009).
4.1	Specimen Common Share Certificate (incorporated by reference to Exhibit 4.1 to the Company’s Registration Statement on Form S-1 (Amendment No. 3) (No. 333-103620) filed on June 10, 2003).
4.2	Certificate of Designations establishing the specific rights, preferences, limitations and other terms of the Series E Preferred Shares (incorporated by reference to Exhibit 3.1 to the Company's Current Report on Form 8-K filed on November 7, 2016).
*10.1	Executive Long-Term Equity Compensation Program (incorporated by reference to Exhibit 10.27 to the Company's Annual Report on Form 10-K filed on February 26, 2021).
*10.2	Executive Annual Incentive Plan (incorporated by reference to Exhibit 10.29 to the Company's Annual Report on Form 10-K filed on February 26, 2021).
*10.3	Form of Employee Restricted Stock Unit Award Agreement (Performance Vesting) (incorporated by reference to Exhibit 10.40 to the Company's Annual Report on Form 10-K filed on February 26, 2021).
*10.4	Form of Employee Restricted Stock Unit Award Agreement (incorporated by reference to Exhibit 10.41 to the Company's Annual Report on Form 10-K filed on February 26, 2021).
10.5	Deed of Amendment dated April 1, 2021 to Committed Letter of Credit Facility dated December 18, 2015, as amended, by and among AXIS Specialty Limited, AXIS Re SE, AXIS Specialty Europe SE, AXIS Insurance Company, AXIS Reinsurance Company, AXIS Surplus Insurance Company and Citibank Europe plc (incorporated by reference to Exhibit 10.1 to the Company's Current Report on Form 8-K filed on April 6, 2021).
10.6	Deed of Amendment dated April 1, 2021 to Committed Letter of Credit Facility - Facility Number 2 dated March 27, 2017, as amended, by and among AXIS Specialty Limited, AXIS Re SE, AXIS Specialty Europe SE, AXIS Insurance Company, AXIS Reinsurance Company, AXIS Surplus Insurance Company and Citibank Europe plc (incorporated by reference to Exhibit 10.2 to the Company's Current Report on Form 8-K filed on April 6, 2021).
†31.1	Certification of Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
†31.2	Certification of Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
†32.1	Certification of Chief Executive Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
†32.2	Certification of Chief Financial Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
†101	The following financial information from AXIS Capital Holdings Limited’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2021 formatted in Inline XBRL: (i) Consolidated Balance Sheets at March 31, 2021 and December 31, 2020; (ii) Consolidated Statements of Operations for the three months ended March 31, 2021 and 2020; (iii) Consolidated Statements of Comprehensive Income for the three months ended March 31, 2021 and 2020; (iv) Consolidated Statements of Changes in Shareholders' Equity for the three months ended March 31, 2021 and 2020; (v) Consolidated Statements of Cash Flows for the three months ended March 31, 2021 and 2020; and (vi) Notes to Consolidated Financial Statements, tagged as blocks of text and in detail.
†104	Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101).

* Exhibits 10.1 through 10.4 represent a management contract, compensatory plan or arrangement in which directors and/or executive officers are eligible to participate.

† Filed herewith.

The agreements and other documents filed as exhibits to this report are not intended to provide factual information or other disclosure other than with respect to the terms of the agreements or other documents themselves, and you should not rely on them for that purpose. In particular, any representations and warranties made by us in these agreements or other documents were made solely within the specific context of the relevant agreement or document and may not describe the actual state of affairs as of the date they were made or at any other time.

78

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Dated: April 28, 2021

AXIS CAPITAL HOLDINGS LIMITED
By:	/S/ ALBERT BENCHIMOL
	Albert Benchimol
	President and Chief Executive Officer
	(Principal Executive Officer)
	/S/ PETER VOGT
	Peter Vogt
	Chief Financial Officer
	(Principal Financial Officer)

79

EX-31.1

Exhibit 31.1

CERTIFICATION

AXIS Capital Holdings Limited

Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

I, Albert Benchimol, certify that:

1.I have reviewed this Quarterly Report on Form 10-Q of AXIS Capital Holdings Limited for the period ended March 31, 2021;

2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4.The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

a)Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b)Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c)Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d)Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5.The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

a)All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and

b)Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

		/S/ ALBERT BENCHIMOL
Date:	April 28, 2021	Albert Benchimol President and Chief Executive Officer

EX-31.2

Exhibit 31.2

CERTIFICATION

AXIS Capital Holdings Limited

Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

I, Peter Vogt, certify that:

1.I have reviewed this Quarterly Report on Form 10-Q of AXIS Capital Holdings Limited for the period ended March 31, 2021;

2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4.The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

a)Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b)Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c)Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d)Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5.The registrant's other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

a)All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and

b)Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

		/S/ PETER VOGT
Date:	April 28, 2021	Peter Vogt Chief Financial Officer

EX-32.1

Exhibit 32.1

AXIS CAPITAL HOLDINGS LIMITED

CERTIFICATION PURSUANT TO

18 U.S.C. SECTION 1350, AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report on Form 10-Q of AXIS Capital Holdings Limited (the “Company”) for the quarterly period ended March 31, 2021 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Albert Benchimol, Chief Executive Officer of the Company, hereby certify, to the best of my knowledge, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:

(1)The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2)The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date:	April 28, 2021	/s/ ALBERT BENCHIMOL
		Albert Benchimol
		President and Chief Executive Officer

This certification accompanies this Report pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and shall not, except to the extent required by such Act, be deemed filed by the Company for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933, as amended, or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference.

EX-32.2

Exhibit 32.2

AXIS CAPITAL HOLDINGS LIMITED

CERTIFICATION PURSUANT TO

18 U.S.C. SECTION 1350, AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

In connection with the Quarterly Report on Form 10-Q of AXIS Capital Holdings Limited (the “Company”) for the quarterly period ended March 31, 2021 as filed with the Securities and Exchange Commission on the date hereof (the “Report”), I, Peter Vogt, Chief Financial Officer of the Company, hereby certify, to the best of my knowledge, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:

(1)The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

(2)The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date:	April 28, 2021	/s/ PETER VOGT
		Peter Vogt
		Chief Financial Officer

This certification accompanies this Report pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and shall not, except to the extent required by such Act, be deemed filed by the Company for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933, as amended, or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference.

XML

COVER PAGE - shares	3 Months Ended
	Mar. 31, 2021	Apr. 26, 2021
Document Information [Line Items]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Mar. 31, 2021
Document Transition Report	false
Entity File Number	001-31721
Entity Incorporation, State or Country Code	D0
Entity Tax Identification Number	98-0395986
Entity Address, Address Line One	92 Pitts Bay Road
Entity Address, City or Town	Pembroke
Entity Address, Country	BM
Entity Address, Postal Zip Code	HM 08
City Area Code	441
Local Phone Number	496-2600
Entity Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Filer Category	Large Accelerated Filer
Entity Small Business	false
Entity Emerging Growth Company	false
Entity Shell Company	false
Entity Common Stock, Shares Outstanding		84,760,169
Amendment Flag	false
Document Fiscal Year Focus	2021
Document Fiscal Period Focus	Q1
Entity Registrant Name	AXIS CAPITAL HOLDINGS LTD
Entity Central Index Key	0001214816
Current Fiscal Year End Date	--12-31
Common Stock
Document Information [Line Items]
Title of 12(b) Security	Common shares, par value $0.0125 per share
Trading Symbol	AXS
Security Exchange Name	NYSE
Series E preferred shares
Document Information [Line Items]
Title of 12(b) Security	Depositary Shares, each representing a 1/100th interest in a 5.50% Series E preferred share
Trading Symbol	AXS PRE
Security Exchange Name	NYSE

XML

CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Investments:
Fixed maturities, available for sale, at fair value (Amortized cost 2021: $11,480,507; 2020: $11,566,930 Allowance for expected credit losses 2021: $234; 2020: $323)	$ 11,728,611	$ 12,041,799
Fixed maturities, held to maturity, at amortized cost (Fair value 2021: $404,522 Allowance for expected credit losses 2021: $nil)	404,690	0
Equity securities, at fair value (Cost 2021: $454,451; 2020: $421,744)	547,676	518,445
Mortgage loans, held for investment, at fair value (Allowance for expected credit losses 2021: $nil; 2020: $nil)	629,576	593,290
Other investments, at fair value	790,530	829,156
Equity method investments	123,370	114,209
Short-term investments, at fair value	185,699	161,897
Total investments	14,410,152	14,258,796
Cash and cash equivalents	895,932	902,831
Restricted cash and cash equivalents	664,347	600,401
Accrued interest receivable	61,222	65,020
Insurance and reinsurance premium balances receivable (Allowance for expected credit losses 2021: $12,218; 2020: $8,836)	3,367,142	2,738,342
Reinsurance recoverable on unpaid losses and loss expenses (Allowance for expected credit losses 2021: $25,118; 2020: $23,711)	4,533,232	4,496,641
Reinsurance recoverable on paid losses and loss expenses	459,411	434,201
Deferred acquisition costs	577,509	431,439
Prepaid reinsurance premiums	1,379,450	1,194,455
Receivable for investments sold	1,450	2,150
Goodwill	100,801	100,801
Intangible assets	216,904	219,633
Value of business acquired	2,826	3,854
Operating lease right-of-use assets	116,693	123,579
Other assets	298,756	305,544
Total assets	27,085,827	25,877,687
Liabilities
Reserve for losses and loss expenses	14,025,274	13,926,766
Unearned premiums	4,551,424	3,685,886
Insurance and reinsurance balances payable	1,231,403	1,092,042
Debt	1,310,009	1,309,695
Payable for investments purchased	389,925	104,777
Operating lease liabilities	134,002	140,263
Other liabilities	267,400	322,564
Total liabilities	21,909,437	20,581,993
Shareholders’ equity
Preferred shares	550,000	550,000
Common shares (shares issued 2021: 176,580; 2020: 176,580 shares outstanding 2021: 84,753; 2020: 84,353)	2,206	2,206
Additional paid-in capital	2,316,147	2,330,054
Accumulated other comprehensive income	214,861	414,395
Retained earnings	5,842,850	5,763,607
Treasury shares, at cost (2021: 91,827; 2020: 92,227)	(3,749,674)	(3,764,568)
Total shareholders’ equity	5,176,390	5,295,694
Total liabilities and shareholders’ equity	$ 27,085,827	$ 25,877,687

XML

CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) shares in Thousands	Mar. 31, 2021	Dec. 31, 2020
Statement of Financial Position [Abstract]
Fixed maturities, available for sale, amortized cost	$ 11,480,507,000	$ 11,566,930,000
Fixed maturities, available for sale, allowance for credit loss	234,000	323,000
Fixed maturities, held to maturity, fair value	404,522,000
Fixed maturities, held to maturity, allowance for credit loss	0
Equity securities, cost	454,451,000	421,744,000
Credit losses associated with commercial mortgage loans	0	0
Allowance for expected credit losses on insurance and reinsurance premium balances receivable	12,218,000	8,836,000
Allowance for expected credit losses on reinsurance recoverable for unpaid losses and loss expenses	$ 25,118,000	$ 23,711,000
Common shares, shares issued (in shares)	176,580	176,580
Common shares, shares outstanding (in shares)	84,753	84,353
Treasury shares, shares (in shares)	91,827	92,227

XML

CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED) - USD ($) shares in Thousands, $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Revenues
Net premiums earned	$ 1,103,722	$ 1,088,625
Net investment income	114,165	93,101
Other insurance related income (loss)	2,781	(8,707)
Net investment gains (losses):
Allowance for expected credit losses	89	(20,019)
Impairment losses	0	(1,190)
Other realized and unrealized investment gains (losses)	29,556	(41,668)
Total net investment gains (losses)	29,645	(62,877)
Total revenues	1,250,313	1,110,142
Expenses
Net losses and loss expenses	714,718	908,073
Acquisition costs	218,871	238,650
General and administrative expenses	158,408	157,060
Foreign exchange losses (gains)	4,113	(61,683)
Interest expense and financing costs	15,571	23,472
Reorganization expenses	0	(982)
Amortization of value of business acquired	1,028	1,799
Amortization of intangible assets	2,690	2,870
Total expenses	1,115,399	1,269,259
Income (loss) before income taxes and interest in income (loss) of equity method investments	134,914	(159,117)
Income tax (expense) benefit	(20,776)	4,867
Interest in income (loss) of equity method investments	9,162	(23,577)
Net income (loss)	123,300	(177,827)
Preferred share dividends	7,563	7,563
Net income (loss) available (attributable) to common shareholders	$ 115,737	$ (185,390)
Earnings (loss) per common share:
Earnings (loss) per common share (in usd per share)	$ 1.37	$ (2.20)
Earnings (loss) per diluted common share (in usd per share)	$ 1.36	$ (2.20)
Weighted average common shares outstanding (in shares)	84,514	84,094
Weighted average diluted common shares outstanding (in shares)	84,965	84,094

XML

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (UNAUDITED) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Statement of Comprehensive Income [Abstract]
Net income (loss)	$ 123,300	$ (177,827)
Other comprehensive income (loss), net of tax:
Unrealized gains (losses) arising during the period, net of reclassification adjustment	(200,783)	(253,904)
Foreign currency translation adjustment	1,249	(7,725)
Total other comprehensive income (loss), net of tax	(199,534)	(261,629)
Comprehensive income (loss)	(76,234)	(439,456)
Unrealized gains (losses) on available for sale investments, net of tax:
Other comprehensive income (loss), net of tax:
Adjustment for reclassification of net realized (gains) losses and impairment losses recognized in net income (loss)	(28,999)	5,648
Unrealized gains (losses) arising during the period, net of reclassification adjustment	(200,783)	(253,904)
Unrealized gains (losses) on available for sale investments, net of tax: | Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has not been recognized
Other comprehensive income (loss), net of tax:
Unrealized holding gain (loss) arising during period	(171,831)	(242,962)
Unrealized gains (losses) on available for sale investments, net of tax: | Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has been recognized
Other comprehensive income (loss), net of tax:
Unrealized holding gain (loss) arising during period	$ 47	$ (16,590)

XML

CONSOLIDATED STATEMENTS OF CHANGES IN SHAREHOLDERS' EQUITY (UNAUDITED) - USD ($) $ in Thousands		Total	Preferred shares	Common shares	Additional paid-in capital	Accumulated other comprehensive income (loss)	Unrealized gains (losses) on available for sale investments, net of tax:	Cumulative foreign currency translation adjustments, net of tax:	Retained earnings	Treasury shares, at cost
Balance at beginning of period at Dec. 31, 2019			$ 775,000	$ 2,206	$ 2,317,212	$ 171,710	$ 181,521	$ (9,811)	$ 6,056,686	$ (3,778,806)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Shares repurchased			(225,000)
Shares reissued					(18,695)					20,584
Share-based compensation expense					9,481
Unrealized gains (losses) arising during the period, net of reclassification adjustment		$ (253,904)					(253,904)
Foreign currency translation adjustment		(7,725)						(7,725)
Net income (loss)		(177,827)							(177,827)
Preferred share dividends (1)	[1]								(7,563)
Common share dividends (1)	[1]								(35,289)
Shares repurchased										(8,492)
Balance at end of period at Mar. 31, 2020		4,839,578	550,000	2,206	2,307,998	(89,919)	(72,383)	(17,536)	5,836,007	(3,766,714)
Balance at beginning of period at Dec. 31, 2020		5,295,694	550,000	2,206	2,330,054	414,395	420,635	(6,240)	5,763,607	(3,764,568)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Shares repurchased			0
Shares reissued					(23,129)					24,274
Share-based compensation expense					9,222
Unrealized gains (losses) arising during the period, net of reclassification adjustment		(200,783)					(200,783)
Foreign currency translation adjustment		1,249						1,249
Net income (loss)		123,300							123,300
Preferred share dividends (1)	[1]								(7,563)
Common share dividends (1)	[1]								(36,494)
Shares repurchased										(9,380)
Balance at end of period at Mar. 31, 2021		$ 5,176,390	$ 550,000	$ 2,206	$ 2,316,147	$ 214,861	$ 219,852	$ (4,991)	$ 5,842,850	$ (3,749,674)

[1] Refer to Note 9 'Shareholder's Equity' for details on dividends declared and paid related to the Company's common and preferred shares.

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CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Cash flows from operating activities:
Net income (loss)	$ 123,300	$ (177,827)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Net investment (gains) losses	(29,645)	62,877
Net realized and unrealized (gains) losses on other investments	(41,833)	2,119
Amortization of fixed maturities	7,965	6,359
Interest in (income) loss of equity method investments	(9,162)	23,577
Amortization of value of business acquired	1,028	1,799
Other amortization and depreciation	15,096	15,612
Share-based compensation expense, net of cash payments	1,721	(4,650)
Changes in:
Accrued interest receivable	3,585	1,234
Reinsurance recoverable balances on unpaid and paid losses	(61,380)	(260,131)
Deferred acquisition costs	(147,129)	(119,796)
Prepaid reinsurance premiums	(184,288)	(181,055)
Reserve for losses and loss expenses	97,161	348,285
Unearned premiums	867,277	774,703
Insurance and reinsurance balances, net	(491,151)	(502,437)
Other items	(7,399)	(40,413)
Net cash provided by (used in) operating activities	145,146	(49,744)
Purchases of:
Fixed maturities, available for sale	(4,671,969)	(2,777,053)
Fixed maturities, held to maturity	(60,749)	0
Equity securities	(35,668)	(16,132)
Mortgage loans	(45,498)	(84,738)
Other investments	(46,324)	(20,858)
Short-term investments	(109,597)	(94,352)
Proceeds from the sale of:
Fixed maturities, available for sale	4,188,525	2,506,490
Equity securities	(6,550)	10,308
Other investments	127,385	32,355
Short-term investments	63,657	54,105
Proceeds from the redemption of fixed maturities, available for sale	486,401	424,207
Proceeds from the redemption of fixed maturities, held to maturity	61,170	0
Proceeds from redemption of short-term investments	21,886	1,775
Proceeds from the repayment of mortgage loans	9,321	399
Purchase of other assets	(6,216)	(13,485)
Net cash provided by (used in) investing activities	(24,226)	23,021
Cash flows from financing activities:
Taxes paid on withholding shares	(9,381)	(8,491)
Dividends paid - common shares	(38,583)	(37,318)
Repurchase of preferred shares	0	(225,000)
Dividends paid - preferred shares	(7,563)	(9,144)
Net cash used in financing activities	(55,527)	(279,953)
Effect of exchange rate changes on foreign currency cash, cash equivalents and restricted cash	(8,346)	(28,718)
Increase (decrease) in cash, cash equivalents and restricted cash	57,047	(335,394)
Cash, cash equivalents and restricted cash - beginning of period	1,503,232	1,576,457
Cash, cash equivalents and restricted cash - end of period	1,560,279	1,241,063
Supplemental disclosures of cash flow information:
Income taxes paid (refund)	8,981	(2,131)
Interest paid	$ 22,700	$ 13,133

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CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) (PARENTHETICAL) - USD ($) $ in Millions		3 Months Ended
	Mar. 01, 2021	Mar. 31, 2021
Statement of Cash Flows [Abstract]
Available for sale to fixed maturities, held to maturity fair value	$ 405	$ 405

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BASIS OF PRESENTATION AND SIGNIFICANT ACCOUNTING POLICIES

3 Months Ended

Mar. 31, 2021

Accounting Policies [Abstract]

BASIS OF PRESENTATION AND SIGNIFICANT ACCOUNTING POLICIES

Basis of Presentation

These unaudited consolidated financial statements (the "financial statements") have been prepared in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") for interim financial information and with the U.S. Securities and Exchange Commission's ("SEC") instructions to Form 10-Q and Article 10 of Regulation S-X and include AXIS Capital Holdings Limited ("AXIS Capital") and its subsidiaries (the "Company"). Accordingly, they do not include all of the information and notes required by U.S. GAAP for complete financial statements. This Quarterly Report on Form 10-Q should be read in conjunction with the financial statements and related notes included in AXIS Capital's Annual Report on Form 10-K for the year ended December 31, 2020, as filed with the SEC.

In the opinion of management, these financial statements reflect all adjustments (consisting of normal recurring adjustments) considered necessary for a fair presentation of the Company's financial position and results of operations for the periods presented.

The results of operations for any interim period are not necessarily indicative of the results for a full year. All inter-company accounts and transactions have been eliminated.

Tabular dollar and share amounts are in thousands, with the exception of per share amounts. All amounts are reported in U.S. dollars.

Significant Accounting Policies

Changes to the Company's significant accounting policies subsequent to its Annual Report on Form 10-K for the year ended December 31, 2020 are noted below:

a)    Investments

Fixed Maturities, Held to maturity, at Fair Value

Fixed maturities are classified as held to maturity when the Company has the positive intent and ability to hold the securities to maturity or redemption. Fixed maturities classified as held to maturity are reported at amortized cost and are presented net of an allowance for expected credit losses. The allowance for expected credit losses is estimated based on the Company’s analysis of projected lifetime losses. The allowance for expected credit losses is recognized in net investment gains (losses) in the consolidated statements of operations. Any adjustment to the allowance for expected credit losses is recognized in the period in which it is determined.

b)    Share-based Compensation

The Company is authorized to issue restricted shares, restricted stock units, performance restricted stock units, stock options, stock appreciation rights and other equity-based awards to its employees and directors. The Company's plan includes share-settled and cash-settled service awards and performance awards.

Restricted Stock Units - Share-Settled and Cash-Settled

The fair value of share-settled and cash-settled service awards is based on market value of the Company's common shares measured at the grant date and is expensed over the requisite service period. The fair value of the cash-settled service awards is recognized as a liability in the consolidated balance sheets and is remeasured at the end of each reporting period. The Company recognizes forfeitures when they occur.

Performance Restricted Stock Units - Share-Settled and Cash-Settled

The fair value of share-settled performance awards which include a market condition is measured on the grant date using a Monte Carlo simulation model which requires inputs including share price, expected volatility, expected term, expected dividend yield and risk-free interest rates. The fair value of share-settled and cash-settled performance awards which include a performance condition is based on market value of the Company's common shares measured at the grant date. The fair value of share-settled and cash-settled performance awards is recognized on a straight-line basis over the requisite service period. The fair value of the cash-settled performance awards is recognized as a liability in the consolidated balance sheets and is remeasured at the end of each reporting period. The Company recognizes forfeitures when they occur.

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SEGMENT INFORMATION

3 Months Ended

Mar. 31, 2021

Segment Reporting [Abstract]

SEGMENT INFORMATION

AXIS Capital's underwriting operations are organized around its global underwriting platforms, AXIS Insurance and AXIS Re. The Company has determined that it has two reportable segments, insurance and reinsurance. The Company does not allocate its assets by segment, with the exception of goodwill and intangible assets.

Insurance

The Company's insurance segment offers specialty insurance products to a variety of niche markets on a worldwide basis. The product lines in this segment are property, marine, terrorism, aviation, credit and political risk, professional lines, liability, accident and health, and discontinued lines - Novae.

Reinsurance

The Company's reinsurance segment provides treaty reinsurance to insurance companies on a worldwide basis. The product lines in this segment are catastrophe, property, credit and surety, professional lines, motor, liability, engineering, agriculture, marine and aviation, accident and health, and discontinued lines - Novae.

The following tables present the underwriting results of the Company's reportable segments, as well as the carrying amounts of allocated goodwill and intangible assets:

	2021									2020
Three months ended and at March 31,	Insurance			Reinsurance			Total			Insurance			Reinsurance			Total
Gross premiums written	$	1,103,198		$	1,432,283		$	2,535,481		$	940,715		$	1,490,443		$	2,431,158
Net premiums written	707,814			1,071,072			1,778,886			581,650			1,097,394			1,679,044
Net premiums earned	616,286			487,436			1,103,722			562,064			526,561			1,088,625
Other insurance related income (loss)	415			2,366			2,781			647			(9,354)			(8,707)
Net losses and loss expenses	(356,898)			(357,820)			(714,718)			(471,812)			(436,261)			(908,073)
Acquisition costs	(117,679)			(101,192)			(218,871)			(112,751)			(125,899)			(238,650)
Underwriting-related general and administrative expenses	(103,303)			(29,365)			(132,668)			(100,778)			(29,184)			(129,962)
Underwriting income (loss)	$	38,821		$	1,425		40,246			$	(122,630)		$	(74,137)		(196,767)
Net investment income							114,165									93,101
Net investment gains (losses)							29,645									(62,877)
Corporate expenses							(25,740)									(27,098)
Foreign exchange (losses) gains							(4,113)									61,683
Interest expense and financing costs							(15,571)									(23,472)
Reorganization expenses							—									982
Amortization of value of business acquired							(1,028)									(1,799)
Amortization of intangible assets							(2,690)									(2,870)
Income (loss) before income taxes and interest in income (loss) of equity method investments							$	134,914								$	(159,117)
Net losses and loss expenses ratio	57.9		%	73.4		%	64.8		%	83.9		%	82.9		%	83.4		%
Acquisition cost ratio	19.1		%	20.8		%	19.8		%	20.1		%	23.9		%	21.9		%
General and administrative expense ratio	16.8		%	6.0		%	14.3		%	17.9		%	5.5		%	14.5		%
Combined ratio	93.8		%	100.2		%	98.9		%	121.9		%	112.3		%	119.8		%
Goodwill and intangible assets	$	317,705		$	—		$	317,705		$	329,824		$	—		$	329,824

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INVESTMENTS

3 Months Ended

Mar. 31, 2021

Investments, Debt and Equity Securities [Abstract]

INVESTMENTS

a)     Fixed Maturities and Equity securities

Fixed maturities

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 losses		Gross unrealized gains		Gross unrealized losses		Fair value
At March 31, 2021
Available for sale
U.S. government and agency	$	2,181,808	$	—	$	20,184	$	(14,899)	$	2,187,093
Non-U.S. government	689,358		—		28,789		(3,426)		714,721
Corporate debt	4,364,800		(164)		157,099		(26,457)		4,495,278
Agency RMBS(1)	1,186,277		—		29,602		(7,385)		1,208,494
CMBS(2)	1,227,004		—		50,586		(3,541)		1,274,049
Non-agency RMBS	163,617		(70)		4,505		(883)		167,169
ABS(3)	1,396,130		—		9,693		(2,862)		1,402,961
Municipals(4)	271,513		—		8,872		(1,539)		278,846
Total fixed maturities, available for sale	$	11,480,507	$	(234)	$	309,330	$	(60,992)	$	11,728,611
At December 31, 2020
Available for sale
U.S. government and agency	$	1,881,489	$	—	$	38,969	$	(1,759)	$	1,918,699
Non-U.S. government	632,875		—		38,826		(428)		671,273
Corporate debt	4,408,351		(303)		254,261		(6,358)		4,655,951
Agency RMBS(1)	1,244,727		—		42,170		(688)		1,286,209
CMBS(2)	1,268,273		—		87,598		(2,284)		1,353,587
Non-agency RMBS	136,198		(20)		4,604		(678)		140,104
ABS(3)	1,712,236		—		14,527		(6,685)		1,720,078
Municipals(4)	282,781		—		13,148		(31)		295,898
Total fixed maturities, available for sale	$	11,566,930	$	(323)	$	494,103	$	(18,911)	$	12,041,799

(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.

The following table provides the amortized cost and fair values of the Company's fixed maturities classified as held to maturity:

	Amortized cost		Allowance for expected credit losses		Net carrying value		Gross unrealized gains		Gross unrealized losses		Fair value
At March 31, 2021
Held to maturity
ABS(1)	$	404,690	$	—	$	404,690	$	46	$	(214)	$	404,522
Total fixed maturities, held to maturity	$	404,690	$	—	$	404,690	$	46	$	(214)	$	404,522

(1)Asset-backed securities ("ABS") include debt tranched securities collateralized primarily by collateralized loan obligations ("CLOs").

On March 1, 2021, the Company transferred securities with total fair value of $405 million from fixed maturities, available for sale to fixed maturities, held to maturity. These securities, which the Company has the intent and ability to hold to maturity, were transferred in order to better align the accounting classification with their management strategy. The net unrealized gain at the date of the transfer, March 1, 2021, continues to be reported in the carrying value of the transferred securities and is amortized over the remaining life of the securities using the effective yield method.

Fixed maturities, held to maturity of $405 million at March 31, 2021 were presented net of an allowance for expected credit losses. The Company's ABS, held to maturity consist of CLO debt tranched securities. The Company uses a scenario-based approach to review its CLO debt portfolio and reviews subordination levels of these securities to determine their ability to absorb credit losses of the underlying collateral. If losses are forecast to be below the subordination level for a tranche held by the Company, the security is determined not to have a credit loss. At March 31, 2021, the allowance for credit losses expected to be recognized over the life of our ABS, held to maturity was $nil.

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 March 31, 2021
Equity securities
Common stocks	$	8,470	$	1,682	$	(435)	$	9,717
Preferred stocks	5,519		1,430		—		6,949
Exchange-traded funds	182,544		87,184		(342)		269,386
Bond mutual funds	257,918		3,706		—		261,624
Total equity securities	$	454,451	$	94,002	$	(777)	$	547,676
At December 31, 2020
Equity securities
Common stocks	$	10,810	$	689	$	(557)	$	10,942
Preferred stocks	6,301		1,767		—		8,068
Exchange-traded funds	147,794		74,314		(390)		221,718
Bond mutual funds	256,839		20,878		—		277,717
Total equity securities	$	421,744	$	97,648	$	(947)	$	518,445

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 64% 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.

The maximum exposure to loss on these interests is limited to the amount of commitment made by the Company. The Company has not provided financial or other support to these structured securities other than the original investment.

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 classified as available for sale:

	Amortized cost		Fair value		% of Total fair value
At March 31, 2021
Maturity
Due in one year or less	$	584,411	$	593,485	5.0	%
Due after one year through five years	4,361,986		4,482,143		38.2	%
Due after five years through ten years	2,324,428		2,363,912		20.2	%
Due after ten years	236,654		236,398		2.0	%
	7,507,479		7,675,938		65.4	%
Agency RMBS	1,186,277		1,208,494		10.3	%
CMBS	1,227,004		1,274,049		10.9	%
Non-agency RMBS	163,617		167,169		1.4	%
ABS	1,396,130		1,402,961		12.0	%
Total	$	11,480,507	$	11,728,611	100.0	%
At December 31, 2020
Maturity
Due in one year or less	$	436,287	$	444,527	3.6	%
Due after one year through five years	4,165,696		4,335,219		36.0	%
Due after five years through ten years	2,344,859		2,489,050		20.7	%
Due after ten years	258,654		273,025		2.3	%
	7,205,496		7,541,821		62.6	%
Agency RMBS	1,244,727		1,286,209		10.7	%
CMBS	1,268,273		1,353,587		11.2	%
Non-agency RMBS	136,198		140,104		1.2	%
ABS	1,712,236		1,720,078		14.3	%
Total	$	11,566,930	$	12,041,799	100.0	%

ABS classified as held to maturity with a net carrying value of $405 million (2020: $nil) do not have a single maturity date and cannot be allocated over several maturity groupings.

 Gross Unrealized Losses

The following table summarizes fixed maturities available for sale 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 greater				Less than 12 months				Total
	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
At March 31, 2021
Fixed maturities, available for sale
U.S. government and agency	$	—	$	—	$	973,758	$	(14,899)	$	973,758	$	(14,899)
Non-U.S. government	2,257		(485)		156,529		(2,941)		158,786		(3,426)
Corporate debt	62,713		(1,576)		1,036,713		(24,881)		1,099,426		(26,457)
Agency RMBS	154		(4)		447,303		(7,381)		447,457		(7,385)
CMBS	18,422		(140)		133,199		(3,401)		151,621		(3,541)
Non-agency RMBS	6,153		(478)		59,008		(405)		65,161		(883)
ABS	95,782		(1,537)		241,242		(1,325)		337,024		(2,862)
Municipals	—		—		80,414		(1,539)		80,414		(1,539)
Total fixed maturities, available for sale	$	185,481	$	(4,220)	$	3,128,166	$	(56,772)	$	3,313,647	$	(60,992)
At December 31, 2020
Fixed maturities, available for sale
U.S. government and agency	$	—	$	—	$	251,606	$	(1,759)	$	251,606	$	(1,759)
Non-U.S. government	16,115		(262)		3,652		(166)		19,767		(428)
Corporate debt	63,640		(2,244)		233,970		(4,114)		297,610		(6,358)
Agency RMBS	6,580		(20)		78,672		(668)		85,252		(688)
CMBS	19,736		(1,012)		70,656		(1,272)		90,392		(2,284)
Non-agency RMBS	5,109		(598)		9,558		(80)		14,667		(678)
ABS	325,436		(4,011)		360,402		(2,674)		685,838		(6,685)
Municipals	—		—		11,881		(31)		11,881		(31)
Total fixed maturities, available for sale	$	436,616	$	(8,147)	$	1,020,397	$	(10,764)	$	1,457,013	$	(18,911)

Fixed Maturities

At March 31, 2021, 1,553 fixed maturities (2020: 719) were in an unrealized loss position of $61 million (2020: $19 million), of which $5 million (2020: $7 million) was related to securities below investment grade or not rated.

At March 31, 2021, 205 fixed maturities (2020: 249) had been in a continuous unrealized loss position for twelve months or greater and had a fair value of $185 million (2020: $437 million).

The unrealized losses of $61 million (2020: $19 million) were due to non-credit factors and were expected to be recovered as the related securities approach maturity.

At March 31, 2021, 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.

b) Mortgage Loans

The following table provides details of the Company's mortgage loans, held for investment:

	March 31, 2021				December 31, 2020
	Carrying value		% of Total		Carrying value		% of Total
Mortgage loans, held for investment:
Commercial	$	629,576	100	%	$	593,290	100	%
Total mortgage loans, held for investment	$	629,576	100	%	$	593,290	100	%

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 2.4x (2020: 2.4x) and a weighted average loan-to-value ratio of 60% (2020: 60%). At March 31, 2021, there are no credit losses or past due amounts associated with the commercial mortgage loans held by the Company.

c) 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 March 31, 2021
Long/short equity funds	$	19,033	2	%	Annually	60 days
Multi-strategy funds	106,971		14	%	Quarterly, Semi-annually	60-95 days
Direct lending funds	279,324		35	%	Quarterly(1)	90 days
Private equity funds	153,515		19	%	n/a	n/a
Real estate funds	163,635		21	%	Quarterly(2)	45 days
CLO-Equities	6,269		1	%	n/a	n/a
Other privately held investments	61,783		8	%	n/a	n/a
Overseas deposits	—		—	%	n/a	n/a
Total other investments	$	790,530	100	%
At December 31, 2020
Long/short equity funds	$	25,300	3	%	Annually	60 days
Multi-strategy funds	121,420		15	%	Quarterly, Semi-annually	60-95 days
Direct lending funds	272,131		33	%	Quarterly(1)	90 days
Private equity funds	124,706		15	%	n/a	n/a
Real estate funds	164,250		20	%	Quarterly(2)	45 days
CLO-Equities	6,173		1	%	n/a	n/a
Other privately held investments	70,011		8	%	n/a	n/a
Overseas deposits	45,165		5	%	n/a	n/a
Total other investments	$	829,156	100	%

n/a - not applicable

(1) Applies to one fund with a fair value of $38 million (2020: $38 million).

(2) Applies to one fund with a fair value of $66 million (2020: $61 million).

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 three months ended March 31, 2021 and 2020, neither of these restrictions impacted the Company's redemption requests. At March 31, 2021, $19 million (2020: $25 million), representing 15% (2020: 17%) of total hedge funds, relate to holdings where the Company is still within the lockup period. The expiration of these lockup periods range from April 2021 to March 2022. 

At March 31, 2021, the Company had $187 million (2020: $151 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 March 31, 2021, the Company had $20 million (2020: $20 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 March 31, 2021, the Company had $191 million (2020: $201 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 March 31, 2021, the Company had $137 million (2020: $166 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 March 31, 2021, this commitment remains unfunded. It is not anticipated that the full amount of this fund will be drawn.

d) Equity Method 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.

e) Net Investment Income

Net investment income was derived from the following sources:

	Three months ended March 31,
	2021		2020
Fixed maturities	$	69,470	$	89,943
Other investments	41,833		(2,120)
Equity securities	2,498		2,125
Mortgage loans	4,187		4,053
Cash and cash equivalents	2,336		4,930
Short-term investments	133		1,498
Gross investment income	120,457		100,429
Investment expenses	(6,292)		(7,328)
Net investment income	$	114,165	$	93,101

f) Net Investment Gains (Losses)

The following table provides an analysis of net investment gains (losses):

	Three months ended March 31,
	2021		2020
Gross realized investment gains
Fixed maturities and short-term investments	$	50,170	$	39,931
Equity securities	569		1,920
Gross realized investment gains	50,739		41,851
Gross realized investment losses
Fixed maturities and short-term investments	(19,368)		(22,766)
Equity securities	(89)		(2,682)
Gross realized investment losses	(19,457)		(25,448)
Allowance for expected credit losses	89		(20,019)
Impairment losses(1)	—		(1,190)
Change in fair value of investment derivatives(2)	1,749		3,162
Net unrealized gains (losses) on equity securities	(3,475)		(61,233)
Net investment gains (losses)	$	29,645	$	(62,877)

(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'.

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 March 31,
	2021		2020
Balance at beginning of period	$	323	$	—
Expected credit losses on securities where credit losses were not previously recognized	63		20,019
Additions (reductions) for expected credit losses on securities where credit losses were previously recognized	(105)		—
Impairments of securities which the Company intends to sell or more likely than not will be required to sell	—		—
Securities sold/redeemed/matured	(47)		—
Balance at end of period	$	234	$	20,019

g) Reverse Repurchase Agreements

At March 31, 2021, the Company held $46 million (2020: $91 million) of reverse repurchase agreements. These loans are fully collateralized, are generally outstanding for a short period of time and are presented on a gross basis as part of cash and cash equivalents in the Company's consolidated balance sheets. The required collateral for these loans is either cash or U.S. Treasuries at a minimum rate of 102% of the loan principal. Upon maturity, the Company receives principal and interest income. The Company monitors the estimated fair value of the securities loaned and borrowed on a daily basis with additional collateral obtained as necessary throughout the duration of the transaction.

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FAIR VALUE MEASUREMENTS

3 Months Ended

Mar. 31, 2021

Fair Value Disclosures [Abstract]

FAIR VALUE MEASUREMENTS

Fair Value Hierarchy

Fair value is defined as the price to sell an asset or transfer a liability (i.e. the "exit price") in an orderly transaction between market participants. U.S. GAAP prescribes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to quoted prices in active markets and the lowest priority to unobservable data. The level in the hierarchy within which a given fair value measurement falls is determined based on the lowest level input that is significant to the measurement. The hierarchy is broken down into three levels as follows:

•Level 1 - Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Company has the ability to access.

•Level 2 - Valuations based on quoted prices in active markets for similar assets or liabilities, quoted prices for identical assets or liabilities in inactive markets, or for which significant inputs are observable (e.g. interest rates, yield curves, prepayment speeds, default rates, loss severities, etc.) or can be corroborated by observable market data.

•Level 3 - Valuations based on inputs that are unobservable and significant to the overall fair value measurement. The unobservable inputs reflect the Company's judgments about assumptions that market participants might use.

The availability of observable inputs can vary from financial instrument to financial instrument and is affected by a wide variety of factors including, for example, the type of financial instrument, whether the financial instrument is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires significantly more judgment.

Accordingly, the degree of judgment exercised by management in determining fair value is greatest for financial instruments categorized as Level 3. In periods of market dislocation, the observability of prices and inputs may be reduced for many financial instruments. This may lead the Company to change the selection of valuation technique (from market to cash flow approach) or may cause the Company to use multiple valuation techniques to estimate the fair value of a financial instrument. This circumstance could cause an instrument to be reclassified between levels within the fair value hierarchy.

Valuation Techniques

The valuation techniques, including significant inputs and assumptions generally used to determine the fair values of the Company's financial instruments as well as the classification of the fair values of its financial instruments in the fair value hierarchy are described in detail below.

Fixed Maturities

At each valuation date, the Company uses the market approach valuation technique to estimate the fair value of its fixed maturities portfolio, where possible. The market approach includes, but is not limited to, prices obtained from third-party pricing services for identical or comparable securities and the use of "pricing matrix models" using observable market inputs such as yield curves, credit risks and spreads, measures of volatility, and prepayment speeds. Pricing from third-party pricing services is sourced from multiple vendors, where available, and the Company maintains a vendor hierarchy by asset type based on historical pricing experience and vendor expertise. Where prices are unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers who are active in the corresponding markets. The valuation techniques including significant inputs and assumptions generally used to determine the fair values of the Company's fixed maturities by asset class as well as the classifications of the fair values of these securities in the fair value hierarchy are described in detail below.

U.S. Government and Agency

U.S. government and agency securities consist primarily of bonds issued by the U.S. Treasury and mortgage pass-through agencies such as the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation and the Government National Mortgage Association. As the fair values of U.S. Treasury securities are based on unadjusted quoted market prices in active markets, the fair values of these securities are classified as Level 1. The fair values of U.S. government agency securities are determined using the spread above the risk-free yield curve. As the yields for the risk-free yield curve and the spreads are observable market inputs, the fair values of U.S. government agency securities are classified as Level 2.

Non-U.S. Government

Non-U.S. government securities include bonds issued by non-U.S. governments and their agencies along with supranational organizations (collectively also known as sovereign debt securities). The fair values of these securities are based on prices obtained from international indices or valuation models that include inputs such as interest rate yield curves, cross-currency basis index spreads, and country credit spreads for structures similar to the sovereign bond in terms of issuer, maturity and seniority. As the significant inputs used to price these securities are observable market inputs, the fair values of non-U.S. government securities are classified as Level 2.

Corporate Debt

Corporate debt securities consist primarily of investment-grade debt of a wide variety of corporate issuers and industries. The fair values of these securities are generally determined using the spread above the risk-free yield curve. These spreads are generally obtained from the new issue market, secondary trading and broker-dealer quotes. As the yields for the risk-free yield curve and the spreads are observable market inputs, the fair values of corporate debt securities are generally classified as Level 2. Where pricing is unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers to estimate fair value. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. In this event, the fair values of these securities are classified as Level 3.

Agency RMBS

Agency RMBS consist of bonds issued by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation and the Government National Mortgage Association. The fair values of these securities are priced using a mortgage pool specific model which uses daily inputs from the active to be announced market and the spread associated with each mortgage pool based on vintage. As the significant inputs used to price these securities are observable market inputs, the fair values of Agency RMBS are classified as Level 2.

CMBS

CMBS mainly include investment-grade bonds originated by non-agencies. The fair values of these securities are determined using a pricing model which uses dealer quotes and other available trade information along with security level characteristics to determine deal specific spreads. As the significant inputs used to price these securities are observable market inputs, the fair values of CMBS are generally classified as Level 2. Where pricing is unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers to estimate fair value. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. In this event, the fair values of these securities are classified as Level 3.

Non-agency RMBS

Non-agency RMBS mainly include investment-grade bonds originated by non-agencies. The fair values of these securities are determined using an option adjusted spread model or other relevant models, which use inputs including available trade information or broker quotes, prepayment and default projections based on historical statistics of the underlying collateral and current market data. As the significant inputs used to price these securities are observable market inputs, the fair values of non-agency RMBS are generally classified as Level 2. Where pricing is unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers to estimate fair value. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. In this event, the fair values of these securities are classified as Level 3.

ABS

ABS mainly include investment-grade bonds backed by pools of loans with a variety of underlying collateral, including auto loans, student loans, credit card receivables and collateralized loan obligations ("CLOs"), originated by a variety of financial institutions. The fair values of these securities are determined using a model which uses prepayment speeds and spreads sourced primarily from the new issue market. As the significant inputs used to price these securities are observable market inputs, the fair values of ABS are generally classified as Level 2. Where pricing is unavailable from pricing services, the Company obtains non-binding quotes from broker-dealers to estimate fair value. This is generally the case when there is a low volume of trading activity and current transactions are not orderly. In this event, the fair values of these securities are classified as Level 3.

Municipals

Municipals comprise revenue bonds and general obligation bonds issued by U.S. domiciled state and municipal entities. The fair values of these securities are determined using spreads obtained from the new issue market, trade prices and broker-dealers quotes. As the significant inputs used to price these securities are observable market inputs, the fair values of municipals are classified as Level 2.

Equity Securities

Equity securities include common stocks, preferred stocks, exchange-traded funds and bond mutual funds. As the fair values of common stocks, preferred stocks and exchange-traded funds are based on unadjusted quoted market prices in active markets, the fair values of these securities are classified as Level 1. As bond mutual funds have daily liquidity, the fair values of these securities are classified as Level 2.

Other Investments

The fair value of an indirect investment in CLO-Equities is estimated using an income approach valuation technique, specifically an externally developed discounted cash flow model due to the lack of observable and relevant trades in secondary markets. As the significant inputs used to price this security are unobservable, the fair value of the indirect investment in CLO-Equities is classified as Level 3.

Other privately held investments include convertible preferred shares, common shares, convertible notes and a variable yield security. These investments are initially valued at cost, which approximates fair value. In subsequent measurement periods, the fair values of these investments are generally determined using capital statements obtained from each investee company. In order to assess the reasonableness of the information received from each investee company, the Company maintains an understanding of current market conditions, historical results, and emerging trends that may impact the results of operations, financial condition or liquidity of investee companies. In addition, the Company engages in regular communication with management at the investee companies. The fair value of the variable yield security was determined using an externally developed discounted cash flow model. As the significant inputs used to price these investments are unobservable, the fair values of other privately held investments are classified as Level 3.

Overseas deposits include investments in private funds held by Syndicate 2007 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, therefore, they are not included in available for sale investments. As the significant inputs used to price the underlying investments are observable market inputs, the fair values of overseas deposits are classified as Level 2.

Short-term Investments

Short-term investments primarily comprise highly liquid securities with maturities greater than three months but less than one year from the date of purchase. These securities are typically not actively traded due to their approaching maturity, therefore their amortized cost approximates fair value. The fair values of short-term investments are classified as Level 2.

Derivative Instruments

Derivative instruments include foreign exchange forward contracts that are customized to the Company's economic hedging strategies and trade in the over-the-counter derivative market. The fair values of these derivatives are determined using a market approach valuation technique based on significant observable market inputs from third-party pricing vendors, non-binding broker-dealer quotes and/or recent trading activity. As the significant inputs used to price these derivatives are observable market inputs, the fair values of these derivatives are classified as Level 2.

Other underwriting-related derivatives include insurance and reinsurance contracts that are accounted for as derivatives. These derivative contracts are initially valued at cost which approximates fair value. In subsequent measurement periods, the fair values of these derivatives are determined using internally developed discounted cash flow models. As the significant inputs used to price these derivatives are unobservable, the fair values of these contracts are classified as Level 3.

Cash Settled Awards

Cash settled awards comprise restricted stock units that form part of the Company's compensation program. Although the fair values of these awards are determined using observable quoted market prices in active markets, the restricted stock units are not actively traded. As the significant inputs used to price these securities are observable market inputs, the fair values of these liabilities are classified as Level 2.

The tables below present the financial instruments measured at fair value on a recurring basis for the periods indicated:

	Quoted prices in active markets for identical assets (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Fair value based on NAV practical expedient		Total fair value
At March 31, 2021
Assets
Fixed maturities, available for sale
U.S. government and agency	$	2,121,183	$	65,910	$	—	$	—	$	2,187,093
Non-U.S. government	—		714,721		—		—		714,721
Corporate debt	—		4,492,873		2,405		—		4,495,278
Agency RMBS	—		1,208,494		—		—		1,208,494
CMBS	—		1,273,144		905		—		1,274,049
Non-agency RMBS	—		167,169		—		—		167,169
ABS	—		1,395,786		7,175		—		1,402,961
Municipals	—		278,846		—		—		278,846
	2,121,183		9,596,943		10,485		—		11,728,611
Equity securities
Common stocks	9,717		—		—		—		9,717
Preferred stocks	6,949		—		—		—		6,949
Exchange-traded funds	269,386		—		—		—		269,386
Bond mutual funds	—		261,624		—		—		261,624
	286,052		261,624		—		—		547,676
Other investments
Hedge funds (1)	—		—		—		126,004		126,004
Direct lending funds	—		—		—		279,324		279,324
Private equity funds	—		—		—		153,515		153,515
Real estate funds	—		—		—		163,635		163,635
CLO-Equities	—		—		6,269		—		6,269
Other privately held investments	—		—		61,783		—		61,783
Overseas deposits	—		—		—		—		—
	—		—		68,052		722,478		790,530
Short-term investments	—		185,699		—		—		185,699
Other assets
Derivative instruments (refer to Note 5)	—		3,254		—		—		3,254
Total Assets	$	2,407,235	$	10,047,520	$	78,537	$	722,478	$	13,255,770
Liabilities
Derivative instruments (refer to Note 5)	$	—	$	19,705	$	8,462	$	—	$	28,167
Cash settled awards (refer to Note 8)	—		4,626		—		—		4,626
Total Liabilities	$	—	$	24,331	$	8,462	$	—	$	32,793

(1) Includes Long/short equity and Multi-strategy funds.

	Quoted prices in active markets for identical assets (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Fair value based on NAV practical expedient		Total fair value
At December 31, 2020
Assets
Fixed maturities, available for sale
U.S. government and agency	$	1,861,240	$	57,459	$	—	$	—	$	1,918,699
Non-U.S. government	—		671,273		—		—		671,273
Corporate debt	—		4,653,447		2,504		—		4,655,951
Agency RMBS	—		1,286,209		—		—		1,286,209
CMBS	—		1,351,847		1,740		—		1,353,587
Non-agency RMBS	—		140,104		—		—		140,104
ABS	—		1,709,413		10,665		—		1,720,078
Municipals	—		295,898		—		—		295,898
	1,861,240		10,165,650		14,909		—		12,041,799
Equity securities
Common stocks	$	10,942	$	—	$	—	$	—	$	10,942
Preferred stocks	8,068		—		—		—		8,068
Exchange-traded funds	221,718		—		—		—		221,718
Bond mutual funds	—		277,717		—		—		277,717
	240,728		277,717		—		—		518,445
Other investments
Hedge funds (1)	—		—		—		146,720		146,720
Direct lending funds	—		—		—		272,131		272,131
Private equity funds	—		—		—		124,706		124,706
Real estate funds	—		—		—		164,250		164,250
CLO-Equities	—		—		6,173		—		6,173
Other privately held investments	—		—		70,011		—		70,011
Overseas deposits	—		45,165		—		—		45,165
	—		45,165		76,184		707,807		829,156
Short-term investments	—		161,897		—		—		161,897
Other assets
Derivative instruments (refer to Note 5)	—		18,875		—		—		18,875
Total Assets	$	2,101,968	$	10,669,304	$	91,093	$	707,807	$	13,570,172
Liabilities
Derivative instruments (refer to Note 5)	$	—	$	2,364	$	9,122	$	—	$	11,486
Cash settled awards (refer to Note 8)	—		13,273		—		—		13,273
Total Liabilities	$	—	$	15,637	$	9,122	$	—	$	24,759

(1) Includes Long/short equity and Multi-strategy funds.

The following table quantifies the significant unobservable inputs used in estimating fair values at March 31, 2021 of investments classified as Level 3 in the fair value hierarchy:

	Fair value		Valuation technique	Unobservable input	Range	Weighted average
Other investments - CLO-Equities	$	6,269	Discounted cash flow	Default rates	4.5%	4.5%
				Loss severity rate	50.0%	50.0%
				Collateral spreads	3.0%	3.0%
				Estimated maturity dates	5 years	5 years
Other investments - Other privately held investments	$	21,643	Discounted cash flow	Discount rate	1.3%	1.3%
				Default rate	0.5%	0.5%
				Loss absorption yield	1.0%	1.0%
				Estimated maturity date	5 years	5 years
Derivatives - Other underwriting-related derivatives	$	(8,462)	Discounted cash flow	Discount rate	0.9%	0.9%

Note: Fixed maturities of $10 million that are classified as Level 3 are excluded from the above table as these securities are priced using broker-dealer quotes. In addition, other privately held investments of $40 million that are classified as Level 3 are excluded from the above table as these investments are priced using capital statements received from investee companies.

Other Investments - CLO-Equities

The CLO-Equities market continues to be relatively inactive with only a small number of transactions being observed, particularly related to transactions involving CLO-Equities held by the Company. Accordingly, the fair value of the Company's indirect investment in CLO-Equities is determined using a discounted cash flow model prepared by an external investment manager.

The default and loss severity rates are the most judgmental unobservable market inputs to the discounted cash flow model to which the valuation of the Company's indirect investment in CLO-Equities is most sensitive. A significant increase (decrease) in either of these significant inputs in isolation would result in a lower (higher) fair value estimate for the investment in CLO-Equities and, in general, a change in default rate assumptions would be accompanied by a directionally similar change in loss severity rate assumptions. Collateral spreads and estimated maturity dates are less judgmental inputs as they are based on the historical average of actual spreads and the weighted average life of the current underlying portfolios, respectively. A significant increase (decrease) in either of these significant inputs in isolation would result in a higher (lower) fair value estimate for the investment in CLO-Equities. In general, these inputs have no significant interrelationship with each other or with default and loss severity rates.

On a quarterly basis, the Company's valuation process for its indirect investment in CLO-Equities includes a review of the underlying cash flows and key assumptions used in the discounted cash flow model. The above significant unobservable inputs are reviewed and updated based on information obtained from secondary markets, including information received from the managers of the Company's CLO-Equities investment. In order to assess the reasonableness of the inputs the Company uses in the discounted cash flow model, the Company maintains an understanding of current market conditions, historical results, and emerging trends that may impact future cash flows. In addition, the assumptions the Company uses in its models are updated through regular communication with industry participants and ongoing monitoring of the deals in which the Company participates.

Other Investments - Other Privately Held Securities

Other privately held securities are initially valued at cost which approximates fair value. In subsequent measurement periods, the fair value of the variable yield security was determined using an externally developed discounted cash flow model. This model includes inputs that are specific to that investment. The inputs used in the fair value measurement include an appropriate discount rate, default rate, loss absorption rate and estimated maturity date. The selection of an appropriate discount rate is judgmental and is the most significant unobservable input used in the valuation of this investment. A significant increase (decrease) in this input in isolation could result in significantly lower (higher) fair value measurement for this investment. In order to assess the reasonableness of the inputs the Company uses in the discounted cash flow model, the Company maintains an understanding of current market conditions, historical results, as well as investee specific information that may impact future cash flows.

Derivatives - Other Underwriting-related Derivatives

Other underwriting-related derivatives are initially valued at cost which approximates fair value. In subsequent measurement periods, the fair values of these derivatives are determined using internally developed discounted cash flow models which use appropriate discount rates. The selection of an appropriate discount rate is judgmental and is the most significant unobservable input used in the valuation of these derivatives. A significant increase (decrease) in this input in isolation could result in a significantly lower (higher) fair value measurement for the derivative contracts. In order to assess the reasonableness of the inputs the Company uses in the discounted cash flow model, the Company maintains an understanding of current market conditions, historical results, as well as contract specific information that may impact future cash flows.

The following tables present changes in Level 3 for financial instruments measured at fair value on a recurring basis:

	Opening balance		Transfers into Level 3		Transfers out of Level 3		Included in net income(1)		Included in OCI (2)		Purchases		Sales		Settlements/ distributions		Closing balance		Change in unrealized gains/(losses) (3)
Three months ended March 31, 2021
Fixed maturities, available for sale
Corporate debt	$	2,504	$	—	$	—	$	—	$	(99)	$	—	$	—	$	—	$	2,405	$	—
CMBS	1,740		—		—		—		14		—		—		(849)		905		—
Non-agency RMBS	—		—		—		—		—		—		—		—		—		—
ABS	10,665		6,184		(9,203)		—		29		—		—		(500)		7,175		—
	14,909		6,184		(9,203)		—		(56)		—		—		(1,349)		10,485		—
Other investments
CLO-Equities	6,173		—		—		570		—		—		—		(474)		6,269		570
Other privately held investments	70,011		—		—		18,479		—		273		(26,980)		—		61,783		1,098
	76,184		—		—		19,049		—		273		(26,980)		(474)		68,052		1,668
Total assets	$	91,093	$	6,184	$	(9,203)	$	19,049	$	(56)	$	273	$	(26,980)	$	(1,823)	$	78,537	$	1,668
Other liabilities
Derivative instruments	$	9,122	$	—	$	—	$	(660)	$	—	$	—	$	—	$	—	$	8,462	$	(660)
Total liabilities	$	9,122	$	—	$	—	$	(660)	$	—	$	—	$	—	$	—	$	8,462	$	(660)

	Opening balance		Transfers into Level 3		Transfers out of Level 3		Included in net income(1)		Included in OCI (2)		Purchases		Sales		Settlements/ distributions		Closing balance		Change in unrealized gains/(losses)(3)
Three months ended March 31, 2020
Fixed maturities, available for sale
Corporate debt	$	2,297	$	—	$	—	$	—	$	(52)	$	—	$	—	$	—	$	2,245	$	—
CMBS	5,235		—		—		—		(293)		—		—		(571)		4,371		—
Non-agency RMBS	—		9,185		—		—		—		—		—		—		9,185		—
ABS	489		—		—		—		(153)		—		—		—		336		—
	8,021		9,185		—		—		(498)		—		—		(571)		16,137		—
Other investments
CLO-Equities	14,328		—		—		(847)		—		—		—		(688)		12,793		(847)
Other privately held investments	36,934		—		—		80		—		427		—		—		37,441		80
	51,262		—		—		(767)		—		427		—		(688)		50,234		(767)
Total assets	$	59,283	$	9,185	$	—	$	(767)	$	(498)	$	427	$	—	$	(1,259)	$	66,371	$	(767)
Other liabilities
Derivative instruments	$	9,672	$	—	$	—	$	10,492	$	—	$	—	$	—	$	—	$	20,164	$	10,492
Total liabilities	$	9,672	$	—	$	—	$	10,492	$	—	$	—	$	—	$	—	$	20,164	$	10,492

(1) Realized gains (losses) on fixed maturities and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income.

(2) Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI").

(3) Change in unrealized gains (losses) relating to assets and liabilities held at the reporting date.

Transfers into Level 3 from Level 2

The transfers into Level 3 from Level 2 during the three months ended March 31, 2021 and 2020 were primarily due to the lack of observable market inputs and multiple quotes from pricing vendors and broker-dealers for certain fixed maturities.

Transfers out of Level 3 into Level 2

The transfers out of Level 3 into Level 2 during the three months ended March 31, 2021 were primarily due to the availability of observable market inputs and multiple quotes from pricing vendors for certain fixed maturities. There were no transfers out of Level 3 into Level 2 during the three months ended March 31, 2020.

Measuring the Fair Value of Other Investments Using Net Asset Valuations

The fair values of hedge funds, direct lending funds, private equity funds and real estate funds are estimated using net asset valuations ("NAVs") as advised by external fund managers or third-party administrators. For these funds, NAVs are based on the manager's or administrator's valuation of the underlying holdings in accordance with the fund's governing documents and in accordance with U.S. GAAP.

For hedge funds, direct lending funds, private equity funds and real estate funds, valuation statements are typically released on a reporting lag. Therefore, the Company estimates the fair value of these funds by starting with the most recent fund valuations and adjusting for capital calls, redemptions, drawdowns and distributions. Return estimates are not available from the relevant fund managers for these funds, therefore the Company typically has a reporting lag in its fair value measurements of these funds. At March 31, 2021 and December 31, 2020 all funds measured at fair value using NAVs are reported on a lag.

The Company often does not have access to financial information relating to the underlying securities held within the funds, therefore, management is unable to corroborate the fair values placed on the securities underlying the asset valuations provided by fund managers or fund administrators. In order to assess the reasonableness of the NAVs, the Company performs a number of monitoring procedures on a quarterly basis, to assess the quality of the information provided by fund managers and fund administrators. These procedures include, but are not limited to, regular review and discussion of each fund's performance with its manager, regular evaluation of fund performance against applicable benchmarks and the backtesting of the Company's fair value estimates against subsequently received NAVs. Backtesting involves comparing the Company's previously reported fair values for each fund against NAVs per audited financial statements (for year-end values) and final NAVs from fund managers and fund administrators (for interim values).

The fair values of hedge funds, direct lending funds, private equity funds and real estate funds are measured using the NAV practical expedient, therefore the fair values of these funds have not been categorized within the fair value hierarchy.

Financial Instruments Disclosed, But Not Carried, at Fair Value

The fair value of financial instruments accounting guidance also applies to financial instruments disclosed, but not carried, at fair value, except for certain financial instruments, including insurance contracts.

At March 31, 2021, the carrying values of cash and cash equivalents including restricted amounts, accrued investment income, receivable for investments sold, certain other assets, payable for investments purchased and certain other liabilities approximated fair values due to their short maturities. As these financial instruments are not actively traded, their fair values are classified as Level 2.

At March 31, 2021, the Company's ABS fixed maturities held to maturity, were recorded at amortized cost with a carrying value of $405 million (2020: $nil) and a fair value of $405 million (2020: $nil). The fair values of these securities are determined using a model which uses prepayment speeds and spreads sourced primarily from the new issue market. As the significant inputs used to price these securities are observable market inputs, their fair values are classified as Level 2.

At March 31, 2021, the carrying value of mortgage loans, held for investment, approximated fair value. The fair values of mortgage loans are primarily determined by estimating expected future cash flows and discounting them using current interest rates for similar mortgage loans with similar credit risk or are determined from pricing for similar loans. As mortgage loans are not actively traded, their fair values are classified as Level 3.

At March 31, 2021, the Company's debt was recorded at amortized cost with a carrying value of $1,310 million (2020: $1,310 million) and a fair value of $1,425 million (2020: $1,485 million). The fair value of the Company's debt is based on prices obtained from a third-party pricing service and is determined using the spread above the risk-free yield curve. These spreads are generally obtained from the new issue market, secondary trading and broker-dealer quotes. As the yields for the risk-free yield curve and the spreads are observable market inputs, the fair value of the Company's debt is classified as Level 2.

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DERIVATIVE INSTRUMENTS

3 Months Ended

Mar. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

DERIVATIVE INSTRUMENTS

The following table provides the balance sheet classifications of derivatives recorded at fair value:

	March 31, 2021						December 31, 2020
	Derivative notional amount		Derivative asset fair value(1)		Derivative liability fair value(1)		Derivative notional amount		Derivative asset fair value(1)		Derivative liability fair value(1)
Relating to investment portfolio:
Foreign exchange forward contracts	$	313,081	$	3,026	$	198	$	105,781	$	2	$	2,364
Relating to underwriting portfolio:
Foreign exchange forward contracts	1,159,353		228		19,507		1,197,012		18,873		—
Other underwriting-related contracts	75,000		—		8,462		75,000		—		9,122
Total derivatives			$	3,254	$	28,167			$	18,875	$	11,486

(1)Derivative assets and derivative liabilities are classified within other assets and other liabilities in the consolidated balance sheets.

The notional amounts of derivative contracts represent the basis on which amounts paid or received are calculated and are presented in the above table to quantify the volume of the Company's derivative activities. Notional amounts are not reflective of credit risk.

None of the Company's derivative instruments are designated as hedges under current accounting guidance.

Offsetting Assets and Liabilities

The Company's derivative instruments are generally traded under International Swaps and Derivatives Association master netting agreements which establish terms that apply to all transactions. In the event of a bankruptcy or other stipulated event, master netting agreements provide that individual positions be replaced with a new amount, usually referred to as the termination amount, determined by taking into account market prices and converting into a single currency. Effectively, this contractual close-out netting reduces credit exposure from gross to net exposure.

The following table provides a reconciliation of gross derivative assets and liabilities to the net amounts presented in the consolidated balance sheets, with the difference being attributable to the impact of master netting agreements:

	March 31, 2021						December 31, 2020
	Gross amounts		Gross amounts offset		Net amounts(1)		Gross amounts		Gross amounts offset		Net amounts(1)
Derivative assets	$	5,557	$	(2,303)	$	3,254	$	27,765	$	(8,890)	$	18,875
Derivative liabilities	$	30,470	$	(2,303)	$	28,167	$	20,376	$	(8,890)	$	11,486

(1)Net asset and liability derivatives are classified within other assets and other liabilities in the consolidated balance sheets.

Refer to Note 3 'Investments' for information on reverse repurchase agreements.

a) Relating to Investment Portfolio

Foreign Currency Risk

The Company's investment portfolio is exposed to foreign currency risk therefore the fair values of its investments are partially influenced by changes in foreign exchange rates. The Company may enter into foreign exchange forward contracts to manage the effect of this foreign currency risk. These foreign currency hedging activities are not designated as specific hedges for financial reporting purposes.

b) Relating to Underwriting Portfolio

Foreign Currency Risk

The Company's insurance and reinsurance subsidiaries and branches operate in various countries. Some of its business is written in currencies other than the U.S. dollar, therefore the underwriting portfolio is exposed to significant foreign currency risk. The Company manages foreign currency risk by seeking to match its foreign-denominated net liabilities under insurance and reinsurance contracts with cash and investments that are denominated in the same currencies. The Company uses derivative instruments, specifically, forward contracts to economically hedge foreign currency exposures.

Other Underwriting-related Risks

The Company enters into insurance and reinsurance contracts that are accounted for as derivatives. These insurance or reinsurance contracts provide indemnification to an insured or cedant as a result of a change in a variable as opposed to an identifiable insurable event. The Company considers these contracts to be part of its underwriting operations.

The following table provides the total unrealized and realized gains (losses) recognized in net income for derivatives not designated as hedges:  

	Consolidated statement of operations line item that includes gain (loss) recognized in net income	Three months ended March 31,
		2021		2020
Relating to investment portfolio:
Foreign exchange forward contracts	Net investment gains (losses)	$	1,749	$	3,162
Relating to underwriting portfolio:
Foreign exchange forward contracts	Foreign exchange gains (losses)	(26,056)		(690)
Other underwriting-related contracts	Other insurance related income (losses)	661		(10,201)
Total		$	(23,646)	$	(7,729)

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RESERVE FOR LOSSES AND LOSS EXPENSES

3 Months Ended

Mar. 31, 2021

Insurance [Abstract]

RESERVE FOR LOSSES AND LOSS EXPENSES

Reserve Roll-Forward

The following table presents a reconciliation of the Company's beginning and ending gross reserve for losses and loss expenses and net reserves for unpaid losses and loss expenses:

	Three months ended March 31,
	2021		2020
Gross reserve for losses and loss expenses, beginning of period	$	13,926,766	$	12,752,081
Less reinsurance recoverable on unpaid losses and loss expenses, beginning of period	(4,496,641)		(3,877,756)
Net reserve for unpaid losses and loss expenses, beginning of period	9,430,125		8,874,325
Net incurred losses and loss expenses related to:
Current year	720,035		914,186
Prior years	(5,317)		(6,113)
	714,718		908,073
Net paid losses and loss expenses related to:
Current year	(26,944)		(19,081)
Prior years	(666,139)		(652,014)
	(693,083)		(671,095)
Foreign exchange and other	40,282		(130,609)
Net reserve for unpaid losses and loss expenses, end of period	9,492,042		8,980,694
Reinsurance recoverable on unpaid losses and loss expenses, end of period	4,533,232		4,101,579
Gross reserve for losses and loss expenses, end of period	$	14,025,274	$	13,082,273

The Company writes business with loss experience generally characterized as low frequency and high severity in nature, which can result in volatility in its financial results. During the three months ended March 31, 2021, the Company recognized catastrophe and weather-related losses, net of reinstatement premiums of $110 million (2020: $300 million).

At March 31, 2021, foreign exchange and other included a reduction in reinsurance recoverable on unpaid losses of $49 million related to the Reinsurance to Close of the 2018 year of account of Syndicate 2007.

Estimates for Significant Catastrophe Events

At March 31, 2021, net reserves for losses and loss expenses included estimated amounts for numerous catastrophe events. The magnitude and complexity of losses arising from certain of these events inherently increase the level of uncertainty and, therefore, the level of management judgment involved in arriving at estimated net reserves for losses and loss expenses. These events include the U.S. Winter Storms Uri and Viola in 2021, the COVID-19 pandemic, Hurricanes Laura, Sally, Zeta and Delta, the Midwest derecho and wildfires across the West Coast of the United States in 2020, Japanese Typhoons Hagibis, Faxai and Tapah, Hurricane Dorian and the Australia Wildfires in 2019 and Hurricanes Michael and Florence, California Wildfires and Typhoon Jebi in 2018. As a result, actual losses for these events may ultimately differ materially from current estimates.

Prior Year Reserve Development

The Company's net favorable prior year reserve development arises from changes to estimates of losses and loss expenses related to loss events that occurred in previous calendar years. The following table presents net prior year reserve development by segment:

	Three months ended March 31,
	2021		2020
	Favorable (Adverse)		Favorable (Adverse)
Insurance	$	1,505	$	3,832
Reinsurance	3,812		2,281
Total	$	5,317	$	6,113

The following sections provide further details on net prior year reserve development by segment, reserving class and accident year.

Insurance Segment:

The following table maps lines of business to reserve classes and the expected claim tails:

Insurance segment
	Reserve class and tail
	Property and other	Marine	Aviation	Credit and political risk	Professional lines	Liability
	Short	Short	Short/Medium	Medium	Medium	Long
Reported lines of business
Property	X
Marine		X
Terrorism	X
Aviation			X
Credit and political risk				X
Professional lines					X
Liability						X
Accident and health	X
Discontinued lines - Novae	X				X	X

Prior year reserve development by reserve class was as follows:

	Three months ended March 31,
	2021		2020
	Favorable (Adverse)		Favorable (Adverse)
Property and other	$	15,391	$	12,491
Marine	11,875		(2,202)
Aviation	1,035		3,991
Credit and political risk	(5,371)		(916)
Professional lines	(14,593)		(5,087)
Liability	(6,832)		(4,445)
Total	$	1,505	$	3,832

For the three months ended March 31, 2021, we recognized $2 million of net favorable prior year reserve development, the principal components of which were: 

•$15 million of net favorable prior year reserve development on property and other business primarily due to better than expected loss emergence attributable to the 2017, 2019 and 2020 catastrophe events.

•$12 million of net favorable prior year reserve development on marine business primarily due better than expected loss emergence attributable to cargo and energy offshore books of business mainly related to the 2017 and 2020 accident years.

•$15 million of net adverse prior year reserve development on professional lines business primarily due to reserve strengthening within the commercial management solutions, European program and European management liability solutions books of business mainly related to the 2018 accident year.

•$7 million of net adverse prior year reserve development on liability business primarily due to reserve strengthening within the program book of business mainly related to the 2018 accident year.

For the three months ended March 31, 2020, we recognized $4 million of net favorable prior year reserve development, the principal components of which were: 

•$12 million of net favorable prior year reserve development on property and other business primarily due to better than expected loss emergence attributable to the 2017 and 2018 catastrophe events.

•$5 million of net adverse prior year reserve development on professional lines business primarily due to reserve strengthening related to the 2016 and 2017 accident years.

Reinsurance Segment:

The following table maps lines of business to reserve classes and the expected claim tails:

Reinsurance segment
	Reserve class and tail
	Property and other	Credit and surety	Professional lines	Motor	Liability
	Short	Medium	Medium	Long	Long
Reported lines of business
Catastrophe	X
Property	X
Credit and surety		X
Professional lines			X
Motor				X
Liability					X
Engineering	X
Agriculture	X
Marine and aviation	X
Accident and health	X
Discontinued lines - Novae	X			X	X

Prior year reserve development by reserve class was as follows:

	Three months ended March 31,
	2021		2020
Property and other	$	969	$	(3,905)
Credit and surety	(4,939)		4,854
Professional lines	(2,204)		5,162
Motor	17,140		13,085
Liability	(7,154)		(16,915)
Total	$	3,812	$	2,281

For the three months ended March 31, 2021, we recognized $4 million of net favorable prior year reserve development, the principal components of which were:

•$17 million of net favorable prior year reserve development on motor business primarily due to non-proportional treaty business related to several accident years.

•$7 million of net adverse prior year reserve development on liability business primarily due to an increase in the loss estimate attributable to a specific large loss related to the 2017 accident year.

•$5 million of net adverse prior year reserve development on credit and surety business primarily due to an increase in the loss estimate attributable to a specific large loss related to the 2020 accident year.

For the three months ended March 31, 2020, we recognized $2 million of net favorable prior year reserve development, the principal components of which were:

•$13 million of net favorable prior year reserve development on motor business primarily due to non-proportional treaty business related to 2014 and prior accident years.

•$5 million of net favorable prior year reserve development on professional lines business reflecting generally favorable experience on older accident years as the Company continued to transition to more experience based actuarial methods.

•$5 million of net favorable prior year reserve development on credit and surety business primarily due to better than expected loss emergence related to the 2016 accident year.

•$17 million of net adverse prior year development on liability business primarily due to reserve strengthening within the European proportional and non-proportional books of business and the U.S. proportional book of business related to the 2016 and 2017 accident years.

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EARNINGS PER COMMON SHARE

3 Months Ended

Mar. 31, 2021

Earnings Per Share [Abstract]

EARNINGS PER COMMON SHARE

EARNINGS PER COMMON SHARE

The following table presents a comparison of earnings (loss) per common share and earnings (loss) per diluted common share:

	Three months ended March 31,
	2021		2020
Earnings (loss) per common share
Net income (loss)	$	123,300	$	(177,827)
Less: Preferred share dividends	7,563		7,563
Net income (loss) available (attributable) to common shareholders	115,737		(185,390)
Weighted average common shares outstanding	84,514		84,094
Earnings (loss) per common share	$	1.37	$	(2.20)
Earnings (loss) per diluted common share
Net income (loss) available (attributable) to common shareholders	$	115,737	$	(185,390)
Weighted average common shares outstanding	84,514		84,094
Share-based compensation plans(1)	451		—
Weighted average diluted common shares outstanding	84,965		84,094
Earnings (loss) per diluted common share	$	1.36	$	(2.20)
Weighted average anti-dilutive shares excluded from the dilutive computation	1,697		806

(1) Due to the net loss attributable to common shareholders recognized for the three months ended March 31, 2020, the share equivalents were anti-dilutive.

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SHARE-BASED COMPENSATION

3 Months Ended

Mar. 31, 2021

Share-based Payment Arrangement [Abstract]

SHARE-BASED COMPENSATION

Performance Restricted Stock Units

Performance Restricted Stock Units granted in 2021

Performance restricted stock units granted in 2021 include a market condition which is the Company’s total shareholder return relative to its peer group ("Relative TSR") over the performance period. Relative TSR is calculated in accordance with the terms of the applicable award agreement. If performance goals are achieved, these awards will cliff vest at the end of a three year performance period within a range of 0% to 200% of target. Performance restricted stock units granted in 2021 were share-settled awards.

Valuation assumptions

The fair value of performance restricted stock units granted in 2021 was measured on the grant date using a Monte Carlo simulation model.

The following table provides details of the inputs used in the Monte Carlo simulation model:

Three months ended March 31,	2021
Expected volatility	32.99%
Expected term (in years)	3.0
Expected dividend yield	n/a
Risk-free interest rate	0.17%

Beginning share price: The beginning share price is based on the average closing share price over the 10 trading days preceding and including the start of the performance period

Ending share price: The ending share price is based on the average closing share price over the 10 trading days preceding and including the end of the performance period.

Expected volatility: The expected volatility is estimated based on the Company's historical share price volatility.

Expected term: Performance is measured from January 1, 2021 to December 31, 2023

Expected dividend yield: The expected dividend yield is not applicable to the performance restricted stock units as dividends are paid at the end of the vesting period and do not affect the value of the performance restricted stock units.

Risk-free interest rate: The risk free rate is estimated based on the yield on a U.S. treasury zero-coupon bond issued with a remaining term equal to the vesting period of the performance restricted stock units.

Compensation expense associated with performance restricted stock units granted in 2021 is determined on the grant date based on the fair value calculated by the Monte Carlo simulation model. The fair value of these awards is recognized on a straight-line basis over the requisite service period.

Performance Restricted Stock Units granted in 2020 and 2019

Performance restricted stock units granted in 2020 and 2019 include a market condition which is the Company’s total shareholder return relative to its peer group ("Relative TSR") over the performance period. Relative TSR is calculated in accordance with the terms of the applicable award agreement. If performance goals are achieved, these awards will cliff vest at the end of a three year performance period within a range of 75% to 125% of target. Performance restricted stock units granted in 2020 and 2019 were share-settled awards.

Compensation expense associated with performance restricted stock units granted in 2020 and 2019 is determined based on market value of the Company's common shares measured at the grant date. The fair value of these awards is recognized on a straight-line basis over the requisite service period and is subject to periodic adjustment based on the achievement of established performance criteria during the performance period.

Performance Restricted Stock Units granted in 2018

Performance restricted stock units granted in 2018 included a performance condition which was growth in the Company’s book value per diluted common share adjusted for dividends over three years compared to its peer group. Growth in book value per diluted common share adjusted for dividends was calculated in accordance with the terms of the applicable award agreements. Where performance goals were achieved, these awards cliff vested at the end of a three year performance period within a range of 0% to 200% of target. Performance restricted stock units granted in 2018 were share-settled awards.

Compensation expense associated with performance restricted stock units granted in 2018 was determined based on market value of the Company's common shares measured at the grant date. The fair value of these awards was recognized on a straight-line basis over the requisite service period and was subject to periodic adjustment based on the achievement of established performance criteria during the performance period.

Share-Settled Awards

The following table provides an activity summary of the Company's share-settled restricted stock units for the three months ended March 31, 2021:

	Share-Settled Performance Restricted Stock Units			Share-Settled Service Restricted Stock Units
	Number of restricted stock units	Weighted  average grant date fair value		Number of restricted stock units	Weighted  average grant date fair value
Non-vested restricted stock units - beginning of period	289	$	55.92	1,501	$	56.50
Granted	122	49.04		1,180	47.88
Vested	(66)	48.89		(523)	56.38
Forfeited	—	—		(20)	56.58
Non-vested restricted stock units - end of period	345	$	54.84	2,138	$	51.77

Cash-Settled awards

The following table provides an activity summary of the Company's cash-settled restricted stock units for the three months ended March 31, 2021:

	Cash-Settled Service Restricted Stock Units
	Number of restricted stock units
Non-vested restricted stock units - beginning of period	471
Granted	—
Vested	(213)
Forfeited	(9)
Non-vested restricted stock units - end of period	248

The following table provides additional information related to share-based compensation:

Three months ended March 31,	2021		2020
Share-based compensation expense(1)	$	12,339	$	13,132
Tax benefits associated with share-based compensation expense	$	1,771	$	1,889
Liability for cash-settled restricted stock units(2)	$	4,626	$	5,711
Fair value of restricted stock units vested(3)	$	39,981	$	45,565
Unrecognized share-based compensation expense	$	122,163	$	111,909
Expected weighted average period associated with the recognition of unrecognized share-based compensation expense	3.0 years		2.8 years

(1) Related to share-settled restricted stock units and cash-settled restricted stock units.

(2) Included in other liabilities in the consolidated balance sheets.

(3) Fair value is based on the closing price of the Company's common shares on the vest date.

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SHAREHOLDERS' EQUITY

3 Months Ended

Mar. 31, 2021

Equity [Abstract]

SHAREHOLDERS' EQUITY

The following table presents changes in common shares issued and outstanding:

	Three months ended March 31,
	2021	2020
Shares issued, balance at beginning of period	176,580	176,580
Shares issued	—	—
Total shares issued at end of period	176,580	176,580
Treasury shares, balance at beginning of period	(92,227)	(92,621)
Shares repurchased	(189)	(150)
Shares reissued	589	489
Total treasury shares at end of period	(91,827)	(92,282)
Total shares outstanding	84,753	84,298

Treasury Shares

The following table presents common shares repurchased from shares held in Treasury:

	Three months ended March 31,
	2021		2020
In the open market:
Total shares	—		—
Total cost	$	—	$	—
Average price per share(1)	$	—	$	—
From employees:(2)
Total shares	189		150
Total cost	$	9,380	$	8,492
Average price per share(1)	$	49.73	$	56.43
Total shares repurchased:
Total shares	189		150
Total cost	$	9,380	$	8,492
Average price per share(1)	$	49.73	$	56.43

(1) Calculated using whole numbers.

(2)  Shares are repurchased from employees to satisfy withholding tax liabilities related to the vesting of share-settled restricted stock units.

Dividends

The following table presents dividends declared and paid related to the Company's common and preferred shares:

	Per share data
	Dividends declared		Dividends paid in period of declaration		Dividends paid in period following declaration
Three months ended March 31, 2021
Common shares	$	0.42	$	—	$	0.42
Series E preferred shares	$	34.38	$	—	$	34.38
Three months ended March 31, 2020
Common shares	$	0.41	$	—	$	0.41
Series E preferred shares	$	34.38	$	—	$	34.38

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DEBT AND FINANCING ARRANGEMENTS	3 Months Ended
	Mar. 31, 2021
Debt Disclosure [Abstract]
DEBT AND FINANCING ARRANGEMENTS	Letters of CreditEffective March 31, 2021, certain of AXIS Capital’s operating subsidiaries (the "Participating Subsidiaries") amended their existing $750 million secured letter of credit facility to: (i) extend the expiration date of the $250 million secured letter of credit facility to March 31, 2022, with each letter of credit provided pursuant to such credit facility having a tenor not to extend beyond March 31, 2023; (ii) reduce the utilization capacity available under the $250 million secured letter of credit facility to $150 million, reducing the maximum aggregate utilization capacity of the credit facility from $750 million to $650 million; and (iii) make administrative changes to the remaining $500 million secured letter of credit facility. Letters of credit issued under the secured letter of credit facility are principally used to support the reinsurance obligations of the Participating Subsidiaries. The Participating Subsidiaries are subject to certain covenants, including the requirement to maintain sufficient collateral to cover the obligations outstanding under the facilities. Such obligations include contingent reimbursement obligations for outstanding letters of credit and fees payable to Citibank Europe plc. In the event of default, Citibank Europe plc may exercise certain remedies, including the exercise of control over pledged collateral and the termination facility to any or all of the Participating Subsidiaries.

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COMMITMENTS AND CONTINGENCIES

3 Months Ended

Mar. 31, 2021

Commitments and Contingencies Disclosure [Abstract]

COMMITMENTS AND CONTINGENCIES

Legal Proceedings

From time to time, the Company is subject to routine legal proceedings, including arbitrations, arising in the ordinary course of business. These legal proceedings generally relate to claims asserted by or against the Company in the ordinary course of insurance or reinsurance operations. Estimated amounts payable under such proceedings are included in the reserve for losses and loss expenses in the consolidated balance sheets.

The Company is not party to any material legal proceedings arising outside the ordinary course of business.

Investments

Refer to Note 3 - 'Investments' for information on the Company's unfunded investment commitments related to the Company's other investment portfolio.

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OTHER COMPREHENSIVE INCOME (LOSS)

3 Months Ended

Mar. 31, 2021

Equity [Abstract]

OTHER COMPREHENSIVE INCOME (LOSS)

The following table presents the tax effects allocated to each component of other comprehensive income (loss):

	2021						2020
	Before tax amount		Income tax (expense) benefit		Net of tax amount		Before tax amount		Income tax (expense) benefit		Net of Tax Amount
Three months ended March 31,
Available for sale investments:
Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has not been recognized	$	(196,066)	$	24,235	$	(171,831)	$	(260,758)	$	17,796	$	(242,962)
Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has been recognized	47		—		47		(18,125)		1,535		(16,590)
Adjustment for reclassification of net realized (gains) losses and impairment losses recognized in net income (loss)	(30,876)		1,877		(28,999)		4,126		1,522		5,648
Unrealized gains (losses) arising during the period, net of reclassification adjustment	(226,895)		26,112		(200,783)		(274,757)		20,853		(253,904)
Foreign currency translation adjustment	1,249		—		1,249		(7,725)		—		(7,725)
Total comprehensive income (loss)	$	(225,646)	$	26,112	$	(199,534)	$	(282,482)	$	20,853	$	(261,629)

The following table presents details of amounts reclassified from accumulated other comprehensive income ("AOCI") to net income (loss):

		Amount reclassified from AOCI(1)
AOCI Components	Consolidated statement of operations line item that includes reclassification adjustment	Three months ended March 31,
		2021		2020
Unrealized gains (losses) on available for sale investments
	Other realized gains (losses)	$	30,876	$	(2,936)
	Impairment losses	—		(1,190)
	Total before tax	30,876		(4,126)
	Income tax (expense) benefit	(1,877)		(1,522)
	Net of tax	$	28,999	$	(5,648)

(1)     Amounts in parentheses are charges to net income (loss).

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BASIS OF PRESENTATION AND SIGNIFICANT ACCOUNTING POLICIES (Policies)

3 Months Ended

Mar. 31, 2021

Accounting Policies [Abstract]

Basis of Presentation

Basis of Presentation

These unaudited consolidated financial statements (the "financial statements") have been prepared in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") for interim financial information and with the U.S. Securities and Exchange Commission's ("SEC") instructions to Form 10-Q and Article 10 of Regulation S-X and include AXIS Capital Holdings Limited ("AXIS Capital") and its subsidiaries (the "Company"). Accordingly, they do not include all of the information and notes required by U.S. GAAP for complete financial statements. This Quarterly Report on Form 10-Q should be read in conjunction with the financial statements and related notes included in AXIS Capital's Annual Report on Form 10-K for the year ended December 31, 2020, as filed with the SEC.

In the opinion of management, these financial statements reflect all adjustments (consisting of normal recurring adjustments) considered necessary for a fair presentation of the Company's financial position and results of operations for the periods presented.

The results of operations for any interim period are not necessarily indicative of the results for a full year. All inter-company accounts and transactions have been eliminated.

Tabular dollar and share amounts are in thousands, with the exception of per share amounts. All amounts are reported in U.S. dollars.

New Accounting Standards Adopted and Recently Issued Accounting Standards Not Yet Adopted

Significant Accounting Policies

Changes to the Company's significant accounting policies subsequent to its Annual Report on Form 10-K for the year ended December 31, 2020 are noted below:

a)    Investments

Fixed Maturities, Held to maturity, at Fair Value

Fixed maturities are classified as held to maturity when the Company has the positive intent and ability to hold the securities to maturity or redemption. Fixed maturities classified as held to maturity are reported at amortized cost and are presented net of an allowance for expected credit losses. The allowance for expected credit losses is estimated based on the Company’s analysis of projected lifetime losses. The allowance for expected credit losses is recognized in net investment gains (losses) in the consolidated statements of operations. Any adjustment to the allowance for expected credit losses is recognized in the period in which it is determined.

b)    Share-based Compensation

The Company is authorized to issue restricted shares, restricted stock units, performance restricted stock units, stock options, stock appreciation rights and other equity-based awards to its employees and directors. The Company's plan includes share-settled and cash-settled service awards and performance awards.

Restricted Stock Units - Share-Settled and Cash-Settled

The fair value of share-settled and cash-settled service awards is based on market value of the Company's common shares measured at the grant date and is expensed over the requisite service period. The fair value of the cash-settled service awards is recognized as a liability in the consolidated balance sheets and is remeasured at the end of each reporting period. The Company recognizes forfeitures when they occur.

Performance Restricted Stock Units - Share-Settled and Cash-Settled

The fair value of share-settled performance awards which include a market condition is measured on the grant date using a Monte Carlo simulation model which requires inputs including share price, expected volatility, expected term, expected dividend yield and risk-free interest rates. The fair value of share-settled and cash-settled performance awards which include a performance condition is based on market value of the Company's common shares measured at the grant date. The fair value of share-settled and cash-settled performance awards is recognized on a straight-line basis over the requisite service period. The fair value of the cash-settled performance awards is recognized as a liability in the consolidated balance sheets and is remeasured at the end of each reporting period. The Company recognizes forfeitures when they occur.

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SEGMENT INFORMATION (Tables)

3 Months Ended

Mar. 31, 2021

Segment Reporting [Abstract]

UNDERWRITING RESULTS OF REPORTABLE SEGMENTS

The following tables present the underwriting results of the Company's reportable segments, as well as the carrying amounts of allocated goodwill and intangible assets:

	2021									2020
Three months ended and at March 31,	Insurance			Reinsurance			Total			Insurance			Reinsurance			Total
Gross premiums written	$	1,103,198		$	1,432,283		$	2,535,481		$	940,715		$	1,490,443		$	2,431,158
Net premiums written	707,814			1,071,072			1,778,886			581,650			1,097,394			1,679,044
Net premiums earned	616,286			487,436			1,103,722			562,064			526,561			1,088,625
Other insurance related income (loss)	415			2,366			2,781			647			(9,354)			(8,707)
Net losses and loss expenses	(356,898)			(357,820)			(714,718)			(471,812)			(436,261)			(908,073)
Acquisition costs	(117,679)			(101,192)			(218,871)			(112,751)			(125,899)			(238,650)
Underwriting-related general and administrative expenses	(103,303)			(29,365)			(132,668)			(100,778)			(29,184)			(129,962)
Underwriting income (loss)	$	38,821		$	1,425		40,246			$	(122,630)		$	(74,137)		(196,767)
Net investment income							114,165									93,101
Net investment gains (losses)							29,645									(62,877)
Corporate expenses							(25,740)									(27,098)
Foreign exchange (losses) gains							(4,113)									61,683
Interest expense and financing costs							(15,571)									(23,472)
Reorganization expenses							—									982
Amortization of value of business acquired							(1,028)									(1,799)
Amortization of intangible assets							(2,690)									(2,870)
Income (loss) before income taxes and interest in income (loss) of equity method investments							$	134,914								$	(159,117)
Net losses and loss expenses ratio	57.9		%	73.4		%	64.8		%	83.9		%	82.9		%	83.4		%
Acquisition cost ratio	19.1		%	20.8		%	19.8		%	20.1		%	23.9		%	21.9		%
General and administrative expense ratio	16.8		%	6.0		%	14.3		%	17.9		%	5.5		%	14.5		%
Combined ratio	93.8		%	100.2		%	98.9		%	121.9		%	112.3		%	119.8		%
Goodwill and intangible assets	$	317,705		$	—		$	317,705		$	329,824		$	—		$	329,824

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INVESTMENTS (Tables)

3 Months Ended

Mar. 31, 2021

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 losses		Gross unrealized gains		Gross unrealized losses		Fair value
At March 31, 2021
Available for sale
U.S. government and agency	$	2,181,808	$	—	$	20,184	$	(14,899)	$	2,187,093
Non-U.S. government	689,358		—		28,789		(3,426)		714,721
Corporate debt	4,364,800		(164)		157,099		(26,457)		4,495,278
Agency RMBS(1)	1,186,277		—		29,602		(7,385)		1,208,494
CMBS(2)	1,227,004		—		50,586		(3,541)		1,274,049
Non-agency RMBS	163,617		(70)		4,505		(883)		167,169
ABS(3)	1,396,130		—		9,693		(2,862)		1,402,961
Municipals(4)	271,513		—		8,872		(1,539)		278,846
Total fixed maturities, available for sale	$	11,480,507	$	(234)	$	309,330	$	(60,992)	$	11,728,611
At December 31, 2020
Available for sale
U.S. government and agency	$	1,881,489	$	—	$	38,969	$	(1,759)	$	1,918,699
Non-U.S. government	632,875		—		38,826		(428)		671,273
Corporate debt	4,408,351		(303)		254,261		(6,358)		4,655,951
Agency RMBS(1)	1,244,727		—		42,170		(688)		1,286,209
CMBS(2)	1,268,273		—		87,598		(2,284)		1,353,587
Non-agency RMBS	136,198		(20)		4,604		(678)		140,104
ABS(3)	1,712,236		—		14,527		(6,685)		1,720,078
Municipals(4)	282,781		—		13,148		(31)		295,898
Total fixed maturities, available for sale	$	11,566,930	$	(323)	$	494,103	$	(18,911)	$	12,041,799

(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.

DEBT SECURITIES, HELD-TO-MATURITY

The following table provides the amortized cost and fair values of the Company's fixed maturities classified as held to maturity:

	Amortized cost		Allowance for expected credit losses		Net carrying value		Gross unrealized gains		Gross unrealized losses		Fair value
At March 31, 2021
Held to maturity
ABS(1)	$	404,690	$	—	$	404,690	$	46	$	(214)	$	404,522
Total fixed maturities, held to maturity	$	404,690	$	—	$	404,690	$	46	$	(214)	$	404,522

(1)Asset-backed securities ("ABS") include debt tranched securities collateralized primarily by collateralized loan obligations ("CLOs").

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 March 31, 2021
Equity securities
Common stocks	$	8,470	$	1,682	$	(435)	$	9,717
Preferred stocks	5,519		1,430		—		6,949
Exchange-traded funds	182,544		87,184		(342)		269,386
Bond mutual funds	257,918		3,706		—		261,624
Total equity securities	$	454,451	$	94,002	$	(777)	$	547,676
At December 31, 2020
Equity securities
Common stocks	$	10,810	$	689	$	(557)	$	10,942
Preferred stocks	6,301		1,767		—		8,068
Exchange-traded funds	147,794		74,314		(390)		221,718
Bond mutual funds	256,839		20,878		—		277,717
Total equity securities	$	421,744	$	97,648	$	(947)	$	518,445

CONTRACTUAL MATURITIES OF FIXED MATURITIES

The table below provides the contractual maturities of fixed maturities classified as available for sale:

	Amortized cost		Fair value		% of Total fair value
At March 31, 2021
Maturity
Due in one year or less	$	584,411	$	593,485	5.0	%
Due after one year through five years	4,361,986		4,482,143		38.2	%
Due after five years through ten years	2,324,428		2,363,912		20.2	%
Due after ten years	236,654		236,398		2.0	%
	7,507,479		7,675,938		65.4	%
Agency RMBS	1,186,277		1,208,494		10.3	%
CMBS	1,227,004		1,274,049		10.9	%
Non-agency RMBS	163,617		167,169		1.4	%
ABS	1,396,130		1,402,961		12.0	%
Total	$	11,480,507	$	11,728,611	100.0	%
At December 31, 2020
Maturity
Due in one year or less	$	436,287	$	444,527	3.6	%
Due after one year through five years	4,165,696		4,335,219		36.0	%
Due after five years through ten years	2,344,859		2,489,050		20.7	%
Due after ten years	258,654		273,025		2.3	%
	7,205,496		7,541,821		62.6	%
Agency RMBS	1,244,727		1,286,209		10.7	%
CMBS	1,268,273		1,353,587		11.2	%
Non-agency RMBS	136,198		140,104		1.2	%
ABS	1,712,236		1,720,078		14.3	%
Total	$	11,566,930	$	12,041,799	100.0	%

FIXED MATURITIES AND EQUITIES IN AN UNREALIZED LOSS POSITION

The following table summarizes fixed maturities available for sale 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 greater				Less than 12 months				Total
	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
At March 31, 2021
Fixed maturities, available for sale
U.S. government and agency	$	—	$	—	$	973,758	$	(14,899)	$	973,758	$	(14,899)
Non-U.S. government	2,257		(485)		156,529		(2,941)		158,786		(3,426)
Corporate debt	62,713		(1,576)		1,036,713		(24,881)		1,099,426		(26,457)
Agency RMBS	154		(4)		447,303		(7,381)		447,457		(7,385)
CMBS	18,422		(140)		133,199		(3,401)		151,621		(3,541)
Non-agency RMBS	6,153		(478)		59,008		(405)		65,161		(883)
ABS	95,782		(1,537)		241,242		(1,325)		337,024		(2,862)
Municipals	—		—		80,414		(1,539)		80,414		(1,539)
Total fixed maturities, available for sale	$	185,481	$	(4,220)	$	3,128,166	$	(56,772)	$	3,313,647	$	(60,992)
At December 31, 2020
Fixed maturities, available for sale
U.S. government and agency	$	—	$	—	$	251,606	$	(1,759)	$	251,606	$	(1,759)
Non-U.S. government	16,115		(262)		3,652		(166)		19,767		(428)
Corporate debt	63,640		(2,244)		233,970		(4,114)		297,610		(6,358)
Agency RMBS	6,580		(20)		78,672		(668)		85,252		(688)
CMBS	19,736		(1,012)		70,656		(1,272)		90,392		(2,284)
Non-agency RMBS	5,109		(598)		9,558		(80)		14,667		(678)
ABS	325,436		(4,011)		360,402		(2,674)		685,838		(6,685)
Municipals	—		—		11,881		(31)		11,881		(31)
Total fixed maturities, available for sale	$	436,616	$	(8,147)	$	1,020,397	$	(10,764)	$	1,457,013	$	(18,911)

MORTGAGE LOANS NET OF VALUATION ALLOWANCE

The following table provides details of the Company's mortgage loans, held for investment:

	March 31, 2021				December 31, 2020
	Carrying value		% of Total		Carrying value		% of Total
Mortgage loans, held for investment:
Commercial	$	629,576	100	%	$	593,290	100	%
Total mortgage loans, held for investment	$	629,576	100	%	$	593,290	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 March 31, 2021
Long/short equity funds	$	19,033	2	%	Annually	60 days
Multi-strategy funds	106,971		14	%	Quarterly, Semi-annually	60-95 days
Direct lending funds	279,324		35	%	Quarterly(1)	90 days
Private equity funds	153,515		19	%	n/a	n/a
Real estate funds	163,635		21	%	Quarterly(2)	45 days
CLO-Equities	6,269		1	%	n/a	n/a
Other privately held investments	61,783		8	%	n/a	n/a
Overseas deposits	—		—	%	n/a	n/a
Total other investments	$	790,530	100	%
At December 31, 2020
Long/short equity funds	$	25,300	3	%	Annually	60 days
Multi-strategy funds	121,420		15	%	Quarterly, Semi-annually	60-95 days
Direct lending funds	272,131		33	%	Quarterly(1)	90 days
Private equity funds	124,706		15	%	n/a	n/a
Real estate funds	164,250		20	%	Quarterly(2)	45 days
CLO-Equities	6,173		1	%	n/a	n/a
Other privately held investments	70,011		8	%	n/a	n/a
Overseas deposits	45,165		5	%	n/a	n/a
Total other investments	$	829,156	100	%

n/a - not applicable

(1) Applies to one fund with a fair value of $38 million (2020: $38 million).

(2) Applies to one fund with a fair value of $66 million (2020: $61 million).

NET INVESTMENT INCOME

Net investment income was derived from the following sources:

	Three months ended March 31,
	2021		2020
Fixed maturities	$	69,470	$	89,943
Other investments	41,833		(2,120)
Equity securities	2,498		2,125
Mortgage loans	4,187		4,053
Cash and cash equivalents	2,336		4,930
Short-term investments	133		1,498
Gross investment income	120,457		100,429
Investment expenses	(6,292)		(7,328)
Net investment income	$	114,165	$	93,101

NET INVESTMENT GAINS (LOSSES)

The following table provides an analysis of net investment gains (losses):

	Three months ended March 31,
	2021		2020
Gross realized investment gains
Fixed maturities and short-term investments	$	50,170	$	39,931
Equity securities	569		1,920
Gross realized investment gains	50,739		41,851
Gross realized investment losses
Fixed maturities and short-term investments	(19,368)		(22,766)
Equity securities	(89)		(2,682)
Gross realized investment losses	(19,457)		(25,448)
Allowance for expected credit losses	89		(20,019)
Impairment losses(1)	—		(1,190)
Change in fair value of investment derivatives(2)	1,749		3,162
Net unrealized gains (losses) on equity securities	(3,475)		(61,233)
Net investment gains (losses)	$	29,645	$	(62,877)

(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 March 31,
	2021		2020
Balance at beginning of period	$	323	$	—
Expected credit losses on securities where credit losses were not previously recognized	63		20,019
Additions (reductions) for expected credit losses on securities where credit losses were previously recognized	(105)		—
Impairments of securities which the Company intends to sell or more likely than not will be required to sell	—		—
Securities sold/redeemed/matured	(47)		—
Balance at end of period	$	234	$	20,019

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FAIR VALUE MEASUREMENTS (Tables)

3 Months Ended

Mar. 31, 2021

Fair Value Disclosures [Abstract]

FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS

The tables below present the financial instruments measured at fair value on a recurring basis for the periods indicated:

	Quoted prices in active markets for identical assets (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Fair value based on NAV practical expedient		Total fair value
At March 31, 2021
Assets
Fixed maturities, available for sale
U.S. government and agency	$	2,121,183	$	65,910	$	—	$	—	$	2,187,093
Non-U.S. government	—		714,721		—		—		714,721
Corporate debt	—		4,492,873		2,405		—		4,495,278
Agency RMBS	—		1,208,494		—		—		1,208,494
CMBS	—		1,273,144		905		—		1,274,049
Non-agency RMBS	—		167,169		—		—		167,169
ABS	—		1,395,786		7,175		—		1,402,961
Municipals	—		278,846		—		—		278,846
	2,121,183		9,596,943		10,485		—		11,728,611
Equity securities
Common stocks	9,717		—		—		—		9,717
Preferred stocks	6,949		—		—		—		6,949
Exchange-traded funds	269,386		—		—		—		269,386
Bond mutual funds	—		261,624		—		—		261,624
	286,052		261,624		—		—		547,676
Other investments
Hedge funds (1)	—		—		—		126,004		126,004
Direct lending funds	—		—		—		279,324		279,324
Private equity funds	—		—		—		153,515		153,515
Real estate funds	—		—		—		163,635		163,635
CLO-Equities	—		—		6,269		—		6,269
Other privately held investments	—		—		61,783		—		61,783
Overseas deposits	—		—		—		—		—
	—		—		68,052		722,478		790,530
Short-term investments	—		185,699		—		—		185,699
Other assets
Derivative instruments (refer to Note 5)	—		3,254		—		—		3,254
Total Assets	$	2,407,235	$	10,047,520	$	78,537	$	722,478	$	13,255,770
Liabilities
Derivative instruments (refer to Note 5)	$	—	$	19,705	$	8,462	$	—	$	28,167
Cash settled awards (refer to Note 8)	—		4,626		—		—		4,626
Total Liabilities	$	—	$	24,331	$	8,462	$	—	$	32,793

(1) Includes Long/short equity and Multi-strategy funds.

	Quoted prices in active markets for identical assets (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Fair value based on NAV practical expedient		Total fair value
At December 31, 2020
Assets
Fixed maturities, available for sale
U.S. government and agency	$	1,861,240	$	57,459	$	—	$	—	$	1,918,699
Non-U.S. government	—		671,273		—		—		671,273
Corporate debt	—		4,653,447		2,504		—		4,655,951
Agency RMBS	—		1,286,209		—		—		1,286,209
CMBS	—		1,351,847		1,740		—		1,353,587
Non-agency RMBS	—		140,104		—		—		140,104
ABS	—		1,709,413		10,665		—		1,720,078
Municipals	—		295,898		—		—		295,898
	1,861,240		10,165,650		14,909		—		12,041,799
Equity securities
Common stocks	$	10,942	$	—	$	—	$	—	$	10,942
Preferred stocks	8,068		—		—		—		8,068
Exchange-traded funds	221,718		—		—		—		221,718
Bond mutual funds	—		277,717		—		—		277,717
	240,728		277,717		—		—		518,445
Other investments
Hedge funds (1)	—		—		—		146,720		146,720
Direct lending funds	—		—		—		272,131		272,131
Private equity funds	—		—		—		124,706		124,706
Real estate funds	—		—		—		164,250		164,250
CLO-Equities	—		—		6,173		—		6,173
Other privately held investments	—		—		70,011		—		70,011
Overseas deposits	—		45,165		—		—		45,165
	—		45,165		76,184		707,807		829,156
Short-term investments	—		161,897		—		—		161,897
Other assets
Derivative instruments (refer to Note 5)	—		18,875		—		—		18,875
Total Assets	$	2,101,968	$	10,669,304	$	91,093	$	707,807	$	13,570,172
Liabilities
Derivative instruments (refer to Note 5)	$	—	$	2,364	$	9,122	$	—	$	11,486
Cash settled awards (refer to Note 8)	—		13,273		—		—		13,273
Total Liabilities	$	—	$	15,637	$	9,122	$	—	$	24,759

(1) Includes Long/short equity and Multi-strategy funds.

LEVEL 3 FAIR VALUE MEASUREMENT INPUTS

The following table quantifies the significant unobservable inputs used in estimating fair values at March 31, 2021 of investments classified as Level 3 in the fair value hierarchy:

	Fair value		Valuation technique	Unobservable input	Range	Weighted average
Other investments - CLO-Equities	$	6,269	Discounted cash flow	Default rates	4.5%	4.5%
				Loss severity rate	50.0%	50.0%
				Collateral spreads	3.0%	3.0%
				Estimated maturity dates	5 years	5 years
Other investments - Other privately held investments	$	21,643	Discounted cash flow	Discount rate	1.3%	1.3%
				Default rate	0.5%	0.5%
				Loss absorption yield	1.0%	1.0%
				Estimated maturity date	5 years	5 years
Derivatives - Other underwriting-related derivatives	$	(8,462)	Discounted cash flow	Discount rate	0.9%	0.9%

Note: Fixed maturities of $10 million that are classified as Level 3 are excluded from the above table as these securities are priced using broker-dealer quotes. In addition, other privately held investments of $40 million that are classified as Level 3 are excluded from the above table as these investments are priced using capital statements received from investee companies.

CHANGES IN LEVEL 3 FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS, ASSETS

The following tables present changes in Level 3 for financial instruments measured at fair value on a recurring basis:

	Opening balance		Transfers into Level 3		Transfers out of Level 3		Included in net income(1)		Included in OCI (2)		Purchases		Sales		Settlements/ distributions		Closing balance		Change in unrealized gains/(losses) (3)
Three months ended March 31, 2021
Fixed maturities, available for sale
Corporate debt	$	2,504	$	—	$	—	$	—	$	(99)	$	—	$	—	$	—	$	2,405	$	—
CMBS	1,740		—		—		—		14		—		—		(849)		905		—
Non-agency RMBS	—		—		—		—		—		—		—		—		—		—
ABS	10,665		6,184		(9,203)		—		29		—		—		(500)		7,175		—
	14,909		6,184		(9,203)		—		(56)		—		—		(1,349)		10,485		—
Other investments
CLO-Equities	6,173		—		—		570		—		—		—		(474)		6,269		570
Other privately held investments	70,011		—		—		18,479		—		273		(26,980)		—		61,783		1,098
	76,184		—		—		19,049		—		273		(26,980)		(474)		68,052		1,668
Total assets	$	91,093	$	6,184	$	(9,203)	$	19,049	$	(56)	$	273	$	(26,980)	$	(1,823)	$	78,537	$	1,668
Other liabilities
Derivative instruments	$	9,122	$	—	$	—	$	(660)	$	—	$	—	$	—	$	—	$	8,462	$	(660)
Total liabilities	$	9,122	$	—	$	—	$	(660)	$	—	$	—	$	—	$	—	$	8,462	$	(660)

	Opening balance		Transfers into Level 3		Transfers out of Level 3		Included in net income(1)		Included in OCI (2)		Purchases		Sales		Settlements/ distributions		Closing balance		Change in unrealized gains/(losses)(3)
Three months ended March 31, 2020
Fixed maturities, available for sale
Corporate debt	$	2,297	$	—	$	—	$	—	$	(52)	$	—	$	—	$	—	$	2,245	$	—
CMBS	5,235		—		—		—		(293)		—		—		(571)		4,371		—
Non-agency RMBS	—		9,185		—		—		—		—		—		—		9,185		—
ABS	489		—		—		—		(153)		—		—		—		336		—
	8,021		9,185		—		—		(498)		—		—		(571)		16,137		—
Other investments
CLO-Equities	14,328		—		—		(847)		—		—		—		(688)		12,793		(847)
Other privately held investments	36,934		—		—		80		—		427		—		—		37,441		80
	51,262		—		—		(767)		—		427		—		(688)		50,234		(767)
Total assets	$	59,283	$	9,185	$	—	$	(767)	$	(498)	$	427	$	—	$	(1,259)	$	66,371	$	(767)
Other liabilities
Derivative instruments	$	9,672	$	—	$	—	$	10,492	$	—	$	—	$	—	$	—	$	20,164	$	10,492
Total liabilities	$	9,672	$	—	$	—	$	10,492	$	—	$	—	$	—	$	—	$	20,164	$	10,492

(1) Realized gains (losses) on fixed maturities and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income.

(2) Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI").

(3) Change in unrealized gains (losses) relating to assets and liabilities held at the reporting date.

CHANGES IN LEVEL 3 FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS, LIABILITIES

The following tables present changes in Level 3 for financial instruments measured at fair value on a recurring basis:

	Opening balance		Transfers into Level 3		Transfers out of Level 3		Included in net income(1)		Included in OCI (2)		Purchases		Sales		Settlements/ distributions		Closing balance		Change in unrealized gains/(losses) (3)
Three months ended March 31, 2021
Fixed maturities, available for sale
Corporate debt	$	2,504	$	—	$	—	$	—	$	(99)	$	—	$	—	$	—	$	2,405	$	—
CMBS	1,740		—		—		—		14		—		—		(849)		905		—
Non-agency RMBS	—		—		—		—		—		—		—		—		—		—
ABS	10,665		6,184		(9,203)		—		29		—		—		(500)		7,175		—
	14,909		6,184		(9,203)		—		(56)		—		—		(1,349)		10,485		—
Other investments
CLO-Equities	6,173		—		—		570		—		—		—		(474)		6,269		570
Other privately held investments	70,011		—		—		18,479		—		273		(26,980)		—		61,783		1,098
	76,184		—		—		19,049		—		273		(26,980)		(474)		68,052		1,668
Total assets	$	91,093	$	6,184	$	(9,203)	$	19,049	$	(56)	$	273	$	(26,980)	$	(1,823)	$	78,537	$	1,668
Other liabilities
Derivative instruments	$	9,122	$	—	$	—	$	(660)	$	—	$	—	$	—	$	—	$	8,462	$	(660)
Total liabilities	$	9,122	$	—	$	—	$	(660)	$	—	$	—	$	—	$	—	$	8,462	$	(660)

	Opening balance		Transfers into Level 3		Transfers out of Level 3		Included in net income(1)		Included in OCI (2)		Purchases		Sales		Settlements/ distributions		Closing balance		Change in unrealized gains/(losses)(3)
Three months ended March 31, 2020
Fixed maturities, available for sale
Corporate debt	$	2,297	$	—	$	—	$	—	$	(52)	$	—	$	—	$	—	$	2,245	$	—
CMBS	5,235		—		—		—		(293)		—		—		(571)		4,371		—
Non-agency RMBS	—		9,185		—		—		—		—		—		—		9,185		—
ABS	489		—		—		—		(153)		—		—		—		336		—
	8,021		9,185		—		—		(498)		—		—		(571)		16,137		—
Other investments
CLO-Equities	14,328		—		—		(847)		—		—		—		(688)		12,793		(847)
Other privately held investments	36,934		—		—		80		—		427		—		—		37,441		80
	51,262		—		—		(767)		—		427		—		(688)		50,234		(767)
Total assets	$	59,283	$	9,185	$	—	$	(767)	$	(498)	$	427	$	—	$	(1,259)	$	66,371	$	(767)
Other liabilities
Derivative instruments	$	9,672	$	—	$	—	$	10,492	$	—	$	—	$	—	$	—	$	20,164	$	10,492
Total liabilities	$	9,672	$	—	$	—	$	10,492	$	—	$	—	$	—	$	—	$	20,164	$	10,492

(1) Realized gains (losses) on fixed maturities and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income.

(2) Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI").

(3) Change in unrealized gains (losses) relating to assets and liabilities held at the reporting date.

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DERIVATIVE INSTRUMENTS (Tables)

3 Months Ended

Mar. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

LOCATION AND AMOUNTS OF DERIVATIVE FAIR VALUES ON THE CONSOLIDATED BALANCE SHEET

The following table provides the balance sheet classifications of derivatives recorded at fair value:

	March 31, 2021						December 31, 2020
	Derivative notional amount		Derivative asset fair value(1)		Derivative liability fair value(1)		Derivative notional amount		Derivative asset fair value(1)		Derivative liability fair value(1)
Relating to investment portfolio:
Foreign exchange forward contracts	$	313,081	$	3,026	$	198	$	105,781	$	2	$	2,364
Relating to underwriting portfolio:
Foreign exchange forward contracts	1,159,353		228		19,507		1,197,012		18,873		—
Other underwriting-related contracts	75,000		—		8,462		75,000		—		9,122
Total derivatives			$	3,254	$	28,167			$	18,875	$	11,486

(1)Derivative assets and derivative liabilities are classified within other assets and other liabilities in the consolidated balance sheets.

RECONCILIATION OF GROSS DERIVATIVE ASSETS TO NET AMOUNTS PRESENTED IN BALANCE SHEETS

The following table provides a reconciliation of gross derivative assets and liabilities to the net amounts presented in the consolidated balance sheets, with the difference being attributable to the impact of master netting agreements:

	March 31, 2021						December 31, 2020
	Gross amounts		Gross amounts offset		Net amounts(1)		Gross amounts		Gross amounts offset		Net amounts(1)
Derivative assets	$	5,557	$	(2,303)	$	3,254	$	27,765	$	(8,890)	$	18,875
Derivative liabilities	$	30,470	$	(2,303)	$	28,167	$	20,376	$	(8,890)	$	11,486

(1)Net asset and liability derivatives are classified within other assets and other liabilities in the consolidated balance sheets.

RECONCILIATION OF GROSS DERIVATIVE LIABILITIES TO NET AMOUNTS PRESENTED IN BALANCE SHEETS

The following table provides a reconciliation of gross derivative assets and liabilities to the net amounts presented in the consolidated balance sheets, with the difference being attributable to the impact of master netting agreements:

	March 31, 2021						December 31, 2020
	Gross amounts		Gross amounts offset		Net amounts(1)		Gross amounts		Gross amounts offset		Net amounts(1)
Derivative assets	$	5,557	$	(2,303)	$	3,254	$	27,765	$	(8,890)	$	18,875
Derivative liabilities	$	30,470	$	(2,303)	$	28,167	$	20,376	$	(8,890)	$	11,486

(1)Net asset and liability derivatives are classified within other assets and other liabilities in the consolidated balance sheets.

TOTAL UNREALIZED AND REALIZED GAINS (LOSSES) ON DERIVATIVES NOT DESIGNATED AS HEDGES RECORDED IN EARNINGS

he total unrealized and realized gains (losses) recognized in net income for derivatives not designated as hedges:  

	Consolidated statement of operations line item that includes gain (loss) recognized in net income	Three months ended March 31,
		2021		2020
Relating to investment portfolio:
Foreign exchange forward contracts	Net investment gains (losses)	$	1,749	$	3,162
Relating to underwriting portfolio:
Foreign exchange forward contracts	Foreign exchange gains (losses)	(26,056)		(690)
Other underwriting-related contracts	Other insurance related income (losses)	661		(10,201)
Total		$	(23,646)	$	(7,729)

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RESERVE FOR LOSSES AND LOSS EXPENSES (Tables)

3 Months Ended

Mar. 31, 2021

Insurance [Abstract]

RECONCILIATION OF BEGINNING AND ENDING GROSS RESERVE FOR LOSSES AND LOSS EXPENSES AND NET RESERVE FOR UNPAID LOSSES AND LOSS EXPENSES

The following table presents a reconciliation of the Company's beginning and ending gross reserve for losses and loss expenses and net reserves for unpaid losses and loss expenses:

	Three months ended March 31,
	2021		2020
Gross reserve for losses and loss expenses, beginning of period	$	13,926,766	$	12,752,081
Less reinsurance recoverable on unpaid losses and loss expenses, beginning of period	(4,496,641)		(3,877,756)
Net reserve for unpaid losses and loss expenses, beginning of period	9,430,125		8,874,325
Net incurred losses and loss expenses related to:
Current year	720,035		914,186
Prior years	(5,317)		(6,113)
	714,718		908,073
Net paid losses and loss expenses related to:
Current year	(26,944)		(19,081)
Prior years	(666,139)		(652,014)
	(693,083)		(671,095)
Foreign exchange and other	40,282		(130,609)
Net reserve for unpaid losses and loss expenses, end of period	9,492,042		8,980,694
Reinsurance recoverable on unpaid losses and loss expenses, end of period	4,533,232		4,101,579
Gross reserve for losses and loss expenses, end of period	$	14,025,274	$	13,082,273

NET PRIOR YEAR RESERVE DEVELOPMENT BY SEGMENT

The Company's net favorable prior year reserve development arises from changes to estimates of losses and loss expenses related to loss events that occurred in previous calendar years. The following table presents net prior year reserve development by segment:

	Three months ended March 31,
	2021		2020
	Favorable (Adverse)		Favorable (Adverse)
Insurance	$	1,505	$	3,832
Reinsurance	3,812		2,281
Total	$	5,317	$	6,113

SCHEDULE OF THE LINE OF BUSINESS CATEGORIES AND THE EXPECTED CLAIM TAILS

The following table maps lines of business to reserve classes and the expected claim tails:

Insurance segment
	Reserve class and tail
	Property and other	Marine	Aviation	Credit and political risk	Professional lines	Liability
	Short	Short	Short/Medium	Medium	Medium	Long
Reported lines of business
Property	X
Marine		X
Terrorism	X
Aviation			X
Credit and political risk				X
Professional lines					X
Liability						X
Accident and health	X
Discontinued lines - Novae	X				X	X

The following table maps lines of business to reserve classes and the expected claim tails:

Reinsurance segment
	Reserve class and tail
	Property and other	Credit and surety	Professional lines	Motor	Liability
	Short	Medium	Medium	Long	Long
Reported lines of business
Catastrophe	X
Property	X
Credit and surety		X
Professional lines			X
Motor				X
Liability					X
Engineering	X
Agriculture	X
Marine and aviation	X
Accident and health	X
Discontinued lines - Novae	X			X	X

NET INCURRED AND PAID CLAIMS DEVELOPMENT TABLES BY ACCIDENT YEAR

Prior year reserve development by reserve class was as follows:

	Three months ended March 31,
	2021		2020
	Favorable (Adverse)		Favorable (Adverse)
Property and other	$	15,391	$	12,491
Marine	11,875		(2,202)
Aviation	1,035		3,991
Credit and political risk	(5,371)		(916)
Professional lines	(14,593)		(5,087)
Liability	(6,832)		(4,445)
Total	$	1,505	$	3,832

Prior year reserve development by reserve class was as follows:

	Three months ended March 31,
	2021		2020
Property and other	$	969	$	(3,905)
Credit and surety	(4,939)		4,854
Professional lines	(2,204)		5,162
Motor	17,140		13,085
Liability	(7,154)		(16,915)
Total	$	3,812	$	2,281

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EARNINGS PER COMMON SHARE (Tables)

3 Months Ended

Mar. 31, 2021

Earnings Per Share [Abstract]

BASIC AND DILUTED EARNINGS PER COMMON SHARE

The following table presents a comparison of earnings (loss) per common share and earnings (loss) per diluted common share:

	Three months ended March 31,
	2021		2020
Earnings (loss) per common share
Net income (loss)	$	123,300	$	(177,827)
Less: Preferred share dividends	7,563		7,563
Net income (loss) available (attributable) to common shareholders	115,737		(185,390)
Weighted average common shares outstanding	84,514		84,094
Earnings (loss) per common share	$	1.37	$	(2.20)
Earnings (loss) per diluted common share
Net income (loss) available (attributable) to common shareholders	$	115,737	$	(185,390)
Weighted average common shares outstanding	84,514		84,094
Share-based compensation plans(1)	451		—
Weighted average diluted common shares outstanding	84,965		84,094
Earnings (loss) per diluted common share	$	1.36	$	(2.20)
Weighted average anti-dilutive shares excluded from the dilutive computation	1,697		806

(1) Due to the net loss attributable to common shareholders recognized for the three months ended March 31, 2020, the share equivalents were anti-dilutive.

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SHARE-BASED COMPENSATION (Tables)

3 Months Ended

Mar. 31, 2021

Share-based Payment Arrangement [Abstract]

SCHEDULE OF MONTE CARLO SIMULATION MODEL

The following table provides details of the inputs used in the Monte Carlo simulation model:

Three months ended March 31,	2021
Expected volatility	32.99%
Expected term (in years)	3.0
Expected dividend yield	n/a
Risk-free interest rate	0.17%

RECONCILIATIONS OF BEGINNING AND ENDING BALANCE OF NONVESTED RESTRICTED STOCK (INCLUDING RSUS) TO BE SETTLED IN SHARES AND CASH

The following table provides an activity summary of the Company's share-settled restricted stock units for the three months ended March 31, 2021:

	Share-Settled Performance Restricted Stock Units			Share-Settled Service Restricted Stock Units
	Number of restricted stock units	Weighted  average grant date fair value		Number of restricted stock units	Weighted  average grant date fair value
Non-vested restricted stock units - beginning of period	289	$	55.92	1,501	$	56.50
Granted	122	49.04		1,180	47.88
Vested	(66)	48.89		(523)	56.38
Forfeited	—	—		(20)	56.58
Non-vested restricted stock units - end of period	345	$	54.84	2,138	$	51.77

The following table provides an activity summary of the Company's cash-settled restricted stock units for the three months ended March 31, 2021:

	Cash-Settled Service Restricted Stock Units
	Number of restricted stock units
Non-vested restricted stock units - beginning of period	471
Granted	—
Vested	(213)
Forfeited	(9)
Non-vested restricted stock units - end of period	248

The following table provides additional information related to share-based compensation:

Three months ended March 31,	2021		2020
Share-based compensation expense(1)	$	12,339	$	13,132
Tax benefits associated with share-based compensation expense	$	1,771	$	1,889
Liability for cash-settled restricted stock units(2)	$	4,626	$	5,711
Fair value of restricted stock units vested(3)	$	39,981	$	45,565
Unrecognized share-based compensation expense	$	122,163	$	111,909
Expected weighted average period associated with the recognition of unrecognized share-based compensation expense	3.0 years		2.8 years

(1) Related to share-settled restricted stock units and cash-settled restricted stock units.

(2) Included in other liabilities in the consolidated balance sheets.

(3) Fair value is based on the closing price of the Company's common shares on the vest date.

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SHAREHOLDERS' EQUITY (Tables)

3 Months Ended

Mar. 31, 2021

Equity [Abstract]

COMMON SHARES ISSUED AND OUTSTANDING

The following table presents changes in common shares issued and outstanding:

	Three months ended March 31,
	2021	2020
Shares issued, balance at beginning of period	176,580	176,580
Shares issued	—	—
Total shares issued at end of period	176,580	176,580
Treasury shares, balance at beginning of period	(92,227)	(92,621)
Shares repurchased	(189)	(150)
Shares reissued	589	489
Total treasury shares at end of period	(91,827)	(92,282)
Total shares outstanding	84,753	84,298

SHARE REPURCHASES

The following table presents common shares repurchased from shares held in Treasury:

	Three months ended March 31,
	2021		2020
In the open market:
Total shares	—		—
Total cost	$	—	$	—
Average price per share(1)	$	—	$	—
From employees:(2)
Total shares	189		150
Total cost	$	9,380	$	8,492
Average price per share(1)	$	49.73	$	56.43
Total shares repurchased:
Total shares	189		150
Total cost	$	9,380	$	8,492
Average price per share(1)	$	49.73	$	56.43

(1) Calculated using whole numbers.

(2)  Shares are repurchased from employees to satisfy withholding tax liabilities related to the vesting of share-settled restricted stock units.

DIVIDENDS

The following table presents dividends declared and paid related to the Company's common and preferred shares:

	Per share data
	Dividends declared		Dividends paid in period of declaration		Dividends paid in period following declaration
Three months ended March 31, 2021
Common shares	$	0.42	$	—	$	0.42
Series E preferred shares	$	34.38	$	—	$	34.38
Three months ended March 31, 2020
Common shares	$	0.41	$	—	$	0.41
Series E preferred shares	$	34.38	$	—	$	34.38

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OTHER COMPREHENSIVE INCOME (LOSS) (Tables)

3 Months Ended

Mar. 31, 2021

Equity [Abstract]

TAX EFFECTS ALLOCATED TO EACH COMPONENT OF OTHER COMPREHENSIVE INCOME

The following table presents the tax effects allocated to each component of other comprehensive income (loss):

	2021						2020
	Before tax amount		Income tax (expense) benefit		Net of tax amount		Before tax amount		Income tax (expense) benefit		Net of Tax Amount
Three months ended March 31,
Available for sale investments:
Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has not been recognized	$	(196,066)	$	24,235	$	(171,831)	$	(260,758)	$	17,796	$	(242,962)
Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has been recognized	47		—		47		(18,125)		1,535		(16,590)
Adjustment for reclassification of net realized (gains) losses and impairment losses recognized in net income (loss)	(30,876)		1,877		(28,999)		4,126		1,522		5,648
Unrealized gains (losses) arising during the period, net of reclassification adjustment	(226,895)		26,112		(200,783)		(274,757)		20,853		(253,904)
Foreign currency translation adjustment	1,249		—		1,249		(7,725)		—		(7,725)
Total comprehensive income (loss)	$	(225,646)	$	26,112	$	(199,534)	$	(282,482)	$	20,853	$	(261,629)

DETAILS OF AMOUNTS RECLASSIFIED FROM AOCI TO NET INCOME (LOSS)

The following table presents details of amounts reclassified from accumulated other comprehensive income ("AOCI") to net income (loss):

		Amount reclassified from AOCI(1)
AOCI Components	Consolidated statement of operations line item that includes reclassification adjustment	Three months ended March 31,
		2021		2020
Unrealized gains (losses) on available for sale investments
	Other realized gains (losses)	$	30,876	$	(2,936)
	Impairment losses	—		(1,190)
	Total before tax	30,876		(4,126)
	Income tax (expense) benefit	(1,877)		(1,522)
	Net of tax	$	28,999	$	(5,648)

(1)     Amounts in parentheses are charges to net income (loss).

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SEGMENT INFORMATION (Details) $ in Thousands	3 Months Ended
	Mar. 31, 2021 USD ($) reportable_segment	Mar. 31, 2020 USD ($)
Segment Reporting [Abstract]
Number of reportable segments | reportable_segment	2
Segment Information [Line Items]
Net premiums earned	$ 1,103,722	$ 1,088,625
Other insurance related income (loss)	2,781	(8,707)
Net losses and loss expenses	(714,718)	(908,073)
Acquisition costs	(218,871)	(238,650)
Expenses	(158,408)	(157,060)
Net investment income	114,165	93,101
Net investment gains (losses)	29,645	(62,877)
Foreign exchange (losses) gains	(4,113)	61,683
Interest expense and financing costs	(15,571)	(23,472)
Reorganization expenses	0	982
Amortization of value of business acquired	(1,028)	(1,799)
Amortization of intangible assets	(2,690)	(2,870)
Income (loss) before income taxes and interest in income (loss) of equity method investments	134,914	(159,117)
Operating Segments
Segment Information [Line Items]
Gross premiums written	2,535,481	2,431,158
Net premiums written	1,778,886	1,679,044
Net premiums earned	1,103,722	1,088,625
Other insurance related income (loss)	2,781	(8,707)
Net losses and loss expenses	(714,718)	(908,073)
Acquisition costs	(218,871)	(238,650)
Expenses	(132,668)	(129,962)
Underwriting income (loss)	$ 40,246	$ (196,767)
Net losses and loss expenses ratio	64.80%	83.40%
Acquisition cost ratio	19.80%	21.90%
General and administrative expense ratio	14.30%	14.50%
Combined ratio	98.90%	119.80%
Goodwill and intangible assets	$ 317,705	$ 329,824
Operating Segments | Insurance
Segment Information [Line Items]
Gross premiums written	1,103,198	940,715
Net premiums written	707,814	581,650
Net premiums earned	616,286	562,064
Other insurance related income (loss)	415	647
Net losses and loss expenses	(356,898)	(471,812)
Acquisition costs	(117,679)	(112,751)
Expenses	(103,303)	(100,778)
Underwriting income (loss)	$ 38,821	$ (122,630)
Net losses and loss expenses ratio	57.90%	83.90%
Acquisition cost ratio	19.10%	20.10%
General and administrative expense ratio	16.80%	17.90%
Combined ratio	93.80%	121.90%
Goodwill and intangible assets	$ 317,705	$ 329,824
Operating Segments | Reinsurance
Segment Information [Line Items]
Gross premiums written	1,432,283	1,490,443
Net premiums written	1,071,072	1,097,394
Net premiums earned	487,436	526,561
Other insurance related income (loss)	2,366	(9,354)
Net losses and loss expenses	(357,820)	(436,261)
Acquisition costs	(101,192)	(125,899)
Expenses	(29,365)	(29,184)
Underwriting income (loss)	$ 1,425	$ (74,137)
Net losses and loss expenses ratio	73.40%	82.90%
Acquisition cost ratio	20.80%	23.90%
General and administrative expense ratio	6.00%	5.50%
Combined ratio	100.20%	112.30%
Goodwill and intangible assets	$ 0	$ 0
Corporate Expenses
Segment Information [Line Items]
Expenses	(25,740)	(27,098)
Segment Reconciling Items
Segment Information [Line Items]
Net investment income	114,165	93,101
Net investment gains (losses)	29,645	(62,877)
Foreign exchange (losses) gains	(4,113)	61,683
Interest expense and financing costs	(15,571)	(23,472)
Reorganization expenses	0	982
Amortization of value of business acquired	(1,028)	(1,799)
Amortization of intangible assets	$ (2,690)	$ (2,870)

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INVESTMENTS (Fixed Maturities Available For Sale) (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020	Mar. 31, 2020	Dec. 31, 2019
Available for sale
Amortized cost	$ 11,480,507	$ 11,566,930
Allowance for expected credit losses	(234)	(323)	$ (20,019)	$ 0
Gross unrealized gains	309,330	494,103
Gross unrealized losses	(60,992)	(18,911)
Fair value	11,728,611	12,041,799
U.S. government and agency
Available for sale
Amortized cost	2,181,808	1,881,489
Allowance for expected credit losses	0	0
Gross unrealized gains	20,184	38,969
Gross unrealized losses	(14,899)	(1,759)
Fair value	2,187,093	1,918,699
Non-U.S. government
Available for sale
Amortized cost	689,358	632,875
Allowance for expected credit losses	0	0
Gross unrealized gains	28,789	38,826
Gross unrealized losses	(3,426)	(428)
Fair value	714,721	671,273
Corporate debt
Available for sale
Amortized cost	4,364,800	4,408,351
Allowance for expected credit losses	(164)	(303)
Gross unrealized gains	157,099	254,261
Gross unrealized losses	(26,457)	(6,358)
Fair value	4,495,278	4,655,951
Agency RMBS
Available for sale
Amortized cost	1,186,277	1,244,727
Allowance for expected credit losses	0	0
Gross unrealized gains	29,602	42,170
Gross unrealized losses	(7,385)	(688)
Fair value	1,208,494	1,286,209
CMBS
Available for sale
Amortized cost	1,227,004	1,268,273
Allowance for expected credit losses	0	0
Gross unrealized gains	50,586	87,598
Gross unrealized losses	(3,541)	(2,284)
Fair value	1,274,049	1,353,587
Non-agency RMBS
Available for sale
Amortized cost	163,617	136,198
Allowance for expected credit losses	(70)	(20)
Gross unrealized gains	4,505	4,604
Gross unrealized losses	(883)	(678)
Fair value	167,169	140,104
ABS
Available for sale
Amortized cost	1,396,130	1,712,236
Allowance for expected credit losses	0	0
Gross unrealized gains	9,693	14,527
Gross unrealized losses	(2,862)	(6,685)
Fair value	1,402,961	1,720,078
Municipals
Available for sale
Amortized cost	271,513	282,781
Allowance for expected credit losses	0	0
Gross unrealized gains	8,872	13,148
Gross unrealized losses	(1,539)	(31)
Fair value	$ 278,846	$ 295,898

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INVESTMENTS (Fixed Maturities Held To Maturity) (Details) - USD ($) $ in Thousands		3 Months Ended
	Mar. 01, 2021	Mar. 31, 2021	Dec. 31, 2020
Held to maturity
Amortized cost		$ 404,690	$ 0
Allowance for expected credit losses		0
Net carrying value		404,690
Gross unrealized gains		46
Gross unrealized losses		(214)
Fair value		404,522
Available for sale to fixed maturities, held to maturity fair value	$ 405,000	405,000
ABS
Held to maturity
Amortized cost		404,690
Allowance for expected credit losses		0
Net carrying value		404,690	0
Gross unrealized gains		46
Gross unrealized losses		(214)
Fair value		$ 404,522	$ 0

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INVESTMENTS (Equity Securities) (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2021	Dec. 31, 2020
Debt and Equity Securities, FV-NI [Line Items]
Cost	$ 454,451	$ 421,744
Gross unrealized gains	94,002	97,648
Gross unrealized losses	(777)	(947)
Fair value	$ 547,676	518,445
Limited partnership
Debt and Equity Securities, FV-NI [Line Items]
Percentage of investment composition	64.00%
Common stocks
Debt and Equity Securities, FV-NI [Line Items]
Cost	$ 8,470	10,810
Gross unrealized gains	1,682	689
Gross unrealized losses	(435)	(557)
Fair value	9,717	10,942
Preferred shares
Debt and Equity Securities, FV-NI [Line Items]
Cost	5,519	6,301
Gross unrealized gains	1,430	1,767
Gross unrealized losses	0	0
Fair value	6,949	8,068
Exchange-traded funds
Debt and Equity Securities, FV-NI [Line Items]
Cost	182,544	147,794
Gross unrealized gains	87,184	74,314
Gross unrealized losses	(342)	(390)
Fair value	269,386	221,718
Bond mutual funds
Debt and Equity Securities, FV-NI [Line Items]
Cost	257,918	256,839
Gross unrealized gains	3,706	20,878
Gross unrealized losses	0	0
Fair value	$ 261,624	$ 277,717

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INVESTMENTS (Contractual Maturities) (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Amortized cost
Due in one year or less	$ 584,411	$ 436,287
Due after one year through five years	4,361,986	4,165,696
Due after five years through ten years	2,324,428	2,344,859
Due after ten years	236,654	258,654
Total fixed maturities with a single maturity date	7,507,479	7,205,496
Amortized Cost, Total	11,480,507	11,566,930
Fair value
Due in one year or less	593,485	444,527
Due after one year through five years	4,482,143	4,335,219
Due after five years through ten years	2,363,912	2,489,050
Due after ten years	236,398	273,025
Total fixed maturities with a single maturity date	7,675,938	7,541,821
Fair value	$ 11,728,611	$ 12,041,799
% of Total fair value
Due in one year or less	5.00%	3.60%
Due after one year through five years	38.20%	36.00%
Due after five years through ten years	20.20%	20.70%
Due after ten years	2.00%	2.30%
Fixed maturities with a single maturity date	65.40%	62.60%
Total	100.00%	100.00%
Agency RMBS
Amortized cost
Fixed maturities without a single maturity date	$ 1,186,277	$ 1,244,727
Amortized Cost, Total	1,186,277	1,244,727
Fair value
Fixed maturities without a single maturity date	1,208,494	1,286,209
Fair value	$ 1,208,494	$ 1,286,209
% of Total fair value
Fixed maturities without a single maturity date	10.30%	10.70%
CMBS
Amortized cost
Fixed maturities without a single maturity date	$ 1,227,004	$ 1,268,273
Amortized Cost, Total	1,227,004	1,268,273
Fair value
Fixed maturities without a single maturity date	1,274,049	1,353,587
Fair value	$ 1,274,049	$ 1,353,587
% of Total fair value
Fixed maturities without a single maturity date	10.90%	11.20%
Non-agency RMBS
Amortized cost
Fixed maturities without a single maturity date	$ 163,617	$ 136,198
Amortized Cost, Total	163,617	136,198
Fair value
Fixed maturities without a single maturity date	167,169	140,104
Fair value	$ 167,169	$ 140,104
% of Total fair value
Fixed maturities without a single maturity date	1.40%	1.20%
ABS
Amortized cost
Fixed maturities without a single maturity date	$ 1,396,130	$ 1,712,236
Amortized Cost, Total	1,396,130	1,712,236
Fair value
Fixed maturities without a single maturity date	1,402,961	1,720,078
Fair value	$ 1,402,961	$ 1,720,078
% of Total fair value
Fixed maturities without a single maturity date	12.00%	14.30%

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INVESTMENTS (Gross Unrealized Losses) (Details) $ in Thousands	Mar. 31, 2021 USD ($) security	Dec. 31, 2020 USD ($) security
U.S. government and agency
Fair value
12 months or greater	$ 0	$ 0
Less than 12 months	973,758	251,606
Total	973,758	251,606
Unrealized losses
12 months or greater	0	0
Less than 12 months	(14,899)	(1,759)
Total	(14,899)	(1,759)
Non-U.S. government
Fair value
12 months or greater	2,257	16,115
Less than 12 months	156,529	3,652
Total	158,786	19,767
Unrealized losses
12 months or greater	(485)	(262)
Less than 12 months	(2,941)	(166)
Total	(3,426)	(428)
Corporate debt
Fair value
12 months or greater	62,713	63,640
Less than 12 months	1,036,713	233,970
Total	1,099,426	297,610
Unrealized losses
12 months or greater	(1,576)	(2,244)
Less than 12 months	(24,881)	(4,114)
Total	(26,457)	(6,358)
Agency RMBS
Fair value
12 months or greater	154	6,580
Less than 12 months	447,303	78,672
Total	447,457	85,252
Unrealized losses
12 months or greater	(4)	(20)
Less than 12 months	(7,381)	(668)
Total	(7,385)	(688)
CMBS
Fair value
12 months or greater	18,422	19,736
Less than 12 months	133,199	70,656
Total	151,621	90,392
Unrealized losses
12 months or greater	(140)	(1,012)
Less than 12 months	(3,401)	(1,272)
Total	(3,541)	(2,284)
Non-agency RMBS
Fair value
12 months or greater	6,153	5,109
Less than 12 months	59,008	9,558
Total	65,161	14,667
Unrealized losses
12 months or greater	(478)	(598)
Less than 12 months	(405)	(80)
Total	(883)	(678)
ABS
Fair value
12 months or greater	95,782	325,436
Less than 12 months	241,242	360,402
Total	337,024	685,838
Unrealized losses
12 months or greater	(1,537)	(4,011)
Less than 12 months	(1,325)	(2,674)
Total	(2,862)	(6,685)
Municipals
Fair value
12 months or greater	0	0
Less than 12 months	80,414	11,881
Total	80,414	11,881
Unrealized losses
12 months or greater	0	0
Less than 12 months	(1,539)	(31)
Total	(1,539)	(31)
Fixed maturities, available for sale
Fair value
12 months or greater	185,481	436,616
Less than 12 months	3,128,166	1,020,397
Total	3,313,647	1,457,013
Unrealized losses
12 months or greater	(4,220)	(8,147)
Less than 12 months	(56,772)	(10,764)
Total	$ (60,992)	$ (18,911)
Number of securities in unrealized loss position | security	1,553	719
Number of securities in a continuous unrealized loss position | security	205	249
Fixed maturities, available for sale | Below Investment Grade or Not Rated
Unrealized losses
Total	$ (5,000)	$ (7,000)

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INVESTMENTS (Mortgage Loans) (Details) - USD ($)	Mar. 31, 2021	Dec. 31, 2020
Mortgage loans, held for investment:
Commercial	$ 629,576,000	$ 593,290,000
Commercial, Percent	100.00%	100.00%
Total mortgage loans, held-for-investment	$ 629,576,000	$ 593,290,000
Total mortgage loans, held-for investment, Percent	100.00%	100.00%
Weighted average debt service coverage ratios	2.4	2.4
Weighted average loan-to-value ratios	60.00%	60.00%
Credit losses associated with commercial mortgage loans	$ 0	$ 0

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INVESTMENTS (Other Investments) (Details) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2021 USD ($) fund	Dec. 31, 2020 USD ($)	Dec. 31, 2015 USD ($)
Other Investments [Line Items]
Other investments, at fair value	$ 790,530	$ 829,156
Percentage of total fair value	100.00%	100.00%
Long/short equity funds
Other Investments [Line Items]
Other investments, at fair value	$ 19,033	$ 25,300
Percentage of total fair value	2.00%	3.00%
Redemption notice period	60 days	60 days
Multi-strategy funds
Other Investments [Line Items]
Other investments, at fair value	$ 106,971	$ 121,420
Percentage of total fair value	14.00%	15.00%
Multi-strategy funds | Other Redemption Restriction
Other Investments [Line Items]
Unfunded commitments related to other investments	$ 20,000	$ 20,000
Multi-strategy funds | Minimum
Other Investments [Line Items]
Redemption notice period	60 days	60 days
Multi-strategy funds | Minimum | Other Redemption Restriction
Other Investments [Line Items]
Investment term	2 years
Multi-strategy funds | Maximum
Other Investments [Line Items]
Redemption notice period	95 days	95 days
Direct lending funds
Other Investments [Line Items]
Other investments, at fair value	$ 279,324	$ 272,131
Percentage of total fair value	35.00%	33.00%
Redemption notice period	90 days	90 days
Direct lending funds | Quarterly Redemption
Other Investments [Line Items]
Other investments, at fair value	$ 38,000	$ 38,000
Number of funds | fund	1
Direct lending funds | Other Redemption Restriction
Other Investments [Line Items]
Unfunded commitments related to other investments	$ 187,000	151,000
Optional extension of investment term	3 years
Direct lending funds | Minimum | Other Redemption Restriction
Other Investments [Line Items]
Investment term	5 years
Direct lending funds | Maximum | Other Redemption Restriction
Other Investments [Line Items]
Investment term	15 years
Private equity funds
Other Investments [Line Items]
Other investments, at fair value	$ 153,515	$ 124,706
Percentage of total fair value	19.00%	15.00%
Private equity funds | Other Redemption Restriction
Other Investments [Line Items]
Unfunded commitments related to other investments	$ 137,000	$ 166,000
Investment term	5 years
Real estate funds
Other Investments [Line Items]
Other investments, at fair value	$ 163,635	$ 164,250
Percentage of total fair value	21.00%	20.00%
Redemption notice period	45 days	45 days
Real estate funds | Quarterly Redemption
Other Investments [Line Items]
Other investments, at fair value	$ 66,000	$ 61,000
Number of funds | fund	1
Real estate funds | Other Redemption Restriction
Other Investments [Line Items]
Unfunded commitments related to other investments	$ 191,000	201,000
Real estate funds | Minimum | Other Redemption Restriction
Other Investments [Line Items]
Investment term	7 years
CLO-Equities
Other Investments [Line Items]
Other investments, at fair value	$ 6,269	$ 6,173
Percentage of total fair value	1.00%	1.00%
Other privately held investments
Other Investments [Line Items]
Other investments, at fair value	$ 61,783	$ 70,011
Percentage of total fair value	8.00%	8.00%
Overseas deposits
Other Investments [Line Items]
Other investments, at fair value	$ 0	$ 45,165
Percentage of total fair value	0.00%	5.00%
Hedge funds | Lockup Redemption Restriction
Other Investments [Line Items]
Fair value of other investments subject to redemption restrictions	$ 19,000	$ 25,000
Percentage of fair value of other investments subject to redemption restrictions	15.00%	17.00%
Bank Revolver Opportunity Funds
Other Investments [Line Items]
Unfunded commitments related to other investments			$ 50,000
Investment term	7 years
Optional extension of investment term	2 years

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INVESTMENTS (Equity Method Investments) (Details) - Harrington Reinsurance Holdings Limited $ in Millions	12 Months Ended
	Dec. 31, 2016 USD ($)
Schedule of Equity Method Investments [Line Items]
Payments to acquire equity method investments	$ 108
Equity method investment, ownership percentage	19.00%
Equity method investment, difference between carrying amount and underlying equity	$ 5

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INVESTMENTS (Net Investment Income) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Net Investment Income [Line Items]
Gross investment income	$ 120,457	$ 100,429
Investment expenses	(6,292)	(7,328)
Net investment income	114,165	93,101
Fixed maturities, available for sale
Net Investment Income [Line Items]
Gross investment income	69,470	89,943
Other investments
Net Investment Income [Line Items]
Gross investment income	41,833	(2,120)
Equity securities
Net Investment Income [Line Items]
Gross investment income	2,498	2,125
Mortgage loans
Net Investment Income [Line Items]
Gross investment income	4,187	4,053
Cash and cash equivalents
Net Investment Income [Line Items]
Gross investment income	2,336	4,930
Short-term investments
Net Investment Income [Line Items]
Gross investment income	$ 133	$ 1,498

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INVESTMENTS (Net Investment Gains) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Gross realized investment gains
Fixed maturities and short-term investments	$ 50,170	$ 39,931
Equity securities	569	1,920
Gross realized investment gains	50,739	41,851
Gross realized investment losses
Fixed maturities and short-term investments	(19,368)	(22,766)
Equity securities	(89)	(2,682)
Gross realized investment losses	(19,457)	(25,448)
Allowance for expected credit losses	89	(20,019)
Impairment losses	0	(1,190)
Change in fair value of investment derivatives	1,749	3,162
Net unrealized gains (losses) on equity securities	(3,475)	(61,233)
Total net investment gains (losses)	$ 29,645	$ (62,877)

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INVESTMENTS (Credit Losses on AFS) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward]
Balance at beginning of period	$ 323	$ 0
Expected credit losses on securities where credit losses were not previously recognized	63	20,019
Additions (reductions) for expected credit losses on securities where credit losses were previously recognized	(105)	0
Impairments of securities which the Company intends to sell or more likely than not will be required to sell	0	0
Securities sold/redeemed/matured	(47)	0
Balance at end of period	$ 234	$ 20,019

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INVESTMENTS (Reverse Repurchase Agreements) (Details) - USD ($)	Mar. 31, 2021	Dec. 31, 2020
Investments, Debt and Equity Securities [Abstract]
Value of reverse repurchase agreements	$ 46,000,000	$ 91,000,000
Minimum required collateral for reverse repurchase agreements, expressed as a percentage of loan principal	102.00%

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FAIR VALUE MEASUREMENTS (Financial Instruments Measured at Fair Value) (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Assets
Fixed maturities, available for sale	$ 11,728,611	$ 12,041,799
Equity securities	547,676	518,445
Other investments	790,530	829,156
Short-term investments	185,699	161,897
Derivative instruments (refer to Note 5)	3,254	18,875
Total Assets	13,255,770	13,570,172
Liabilities
Derivative instruments (refer to Note 5)	28,167	11,486
Cash settled awards (refer to Note 8)	4,626	13,273
Total Liabilities	32,793	24,759
U.S. government and agency
Assets
Fixed maturities, available for sale	2,187,093	1,918,699
Non-U.S. government
Assets
Fixed maturities, available for sale	714,721	671,273
Corporate debt
Assets
Fixed maturities, available for sale	4,495,278	4,655,951
Agency RMBS
Assets
Fixed maturities, available for sale	1,208,494	1,286,209
CMBS
Assets
Fixed maturities, available for sale	1,274,049	1,353,587
Non-agency RMBS
Assets
Fixed maturities, available for sale	167,169	140,104
ABS
Assets
Fixed maturities, available for sale	1,402,961	1,720,078
Municipals
Assets
Fixed maturities, available for sale	278,846	295,898
Common stocks
Assets
Equity securities	9,717	10,942
Preferred shares
Assets
Equity securities	6,949	8,068
Exchange-traded funds
Assets
Equity securities	269,386	221,718
Bond mutual funds
Assets
Equity securities	261,624	277,717
Hedge funds
Assets
Other investments	126,004	146,720
Direct lending funds
Assets
Other investments	279,324	272,131
Private equity funds
Assets
Other investments	153,515	124,706
Real estate funds
Assets
Other investments	163,635	164,250
CLO-Equities
Assets
Other investments	6,269	6,173
Other privately held investments
Assets
Other investments	61,783	70,011
Overseas deposits
Assets
Other investments	0	45,165
Quoted prices in active markets for identical assets (Level 1)
Assets
Fixed maturities, available for sale	2,121,183	1,861,240
Equity securities	286,052	240,728
Other investments	0	0
Short-term investments	0	0
Derivative instruments (refer to Note 5)	0	0
Total Assets	2,407,235	2,101,968
Liabilities
Derivative instruments (refer to Note 5)	0	0
Cash settled awards (refer to Note 8)	0	0
Total Liabilities	0	0
Quoted prices in active markets for identical assets (Level 1) | U.S. government and agency
Assets
Fixed maturities, available for sale	2,121,183	1,861,240
Quoted prices in active markets for identical assets (Level 1) | Non-U.S. government
Assets
Fixed maturities, available for sale	0	0
Quoted prices in active markets for identical assets (Level 1) | Corporate debt
Assets
Fixed maturities, available for sale	0	0
Quoted prices in active markets for identical assets (Level 1) | Agency RMBS
Assets
Fixed maturities, available for sale	0	0
Quoted prices in active markets for identical assets (Level 1) | CMBS
Assets
Fixed maturities, available for sale	0	0
Quoted prices in active markets for identical assets (Level 1) | Non-agency RMBS
Assets
Fixed maturities, available for sale	0	0
Quoted prices in active markets for identical assets (Level 1) | ABS
Assets
Fixed maturities, available for sale	0	0
Quoted prices in active markets for identical assets (Level 1) | Municipals
Assets
Fixed maturities, available for sale	0	0
Quoted prices in active markets for identical assets (Level 1) | Common stocks
Assets
Equity securities	9,717	10,942
Quoted prices in active markets for identical assets (Level 1) | Preferred shares
Assets
Equity securities	6,949	8,068
Quoted prices in active markets for identical assets (Level 1) | Exchange-traded funds
Assets
Equity securities	269,386	221,718
Quoted prices in active markets for identical assets (Level 1) | Bond mutual funds
Assets
Equity securities	0	0
Quoted prices in active markets for identical assets (Level 1) | Hedge funds
Assets
Other investments	0	0
Quoted prices in active markets for identical assets (Level 1) | Direct lending funds
Assets
Other investments	0	0
Quoted prices in active markets for identical assets (Level 1) | Private equity funds
Assets
Other investments	0	0
Quoted prices in active markets for identical assets (Level 1) | Real estate funds
Assets
Other investments	0	0
Quoted prices in active markets for identical assets (Level 1) | CLO-Equities
Assets
Other investments	0	0
Quoted prices in active markets for identical assets (Level 1) | Other privately held investments
Assets
Other investments	0	0
Quoted prices in active markets for identical assets (Level 1) | Overseas deposits
Assets
Other investments	0	0
Significant other observable inputs (Level 2)
Assets
Fixed maturities, available for sale	9,596,943	10,165,650
Equity securities	261,624	277,717
Other investments	0	45,165
Short-term investments	185,699	161,897
Derivative instruments (refer to Note 5)	3,254	18,875
Total Assets	10,047,520	10,669,304
Liabilities
Derivative instruments (refer to Note 5)	19,705	2,364
Cash settled awards (refer to Note 8)	4,626	13,273
Total Liabilities	24,331	15,637
Significant other observable inputs (Level 2) | U.S. government and agency
Assets
Fixed maturities, available for sale	65,910	57,459
Significant other observable inputs (Level 2) | Non-U.S. government
Assets
Fixed maturities, available for sale	714,721	671,273
Significant other observable inputs (Level 2) | Corporate debt
Assets
Fixed maturities, available for sale	4,492,873	4,653,447
Significant other observable inputs (Level 2) | Agency RMBS
Assets
Fixed maturities, available for sale	1,208,494	1,286,209
Significant other observable inputs (Level 2) | CMBS
Assets
Fixed maturities, available for sale	1,273,144	1,351,847
Significant other observable inputs (Level 2) | Non-agency RMBS
Assets
Fixed maturities, available for sale	167,169	140,104
Significant other observable inputs (Level 2) | ABS
Assets
Fixed maturities, available for sale	1,395,786	1,709,413
Significant other observable inputs (Level 2) | Municipals
Assets
Fixed maturities, available for sale	278,846	295,898
Significant other observable inputs (Level 2) | Common stocks
Assets
Equity securities	0	0
Significant other observable inputs (Level 2) | Preferred shares
Assets
Equity securities	0	0
Significant other observable inputs (Level 2) | Exchange-traded funds
Assets
Equity securities	0	0
Significant other observable inputs (Level 2) | Bond mutual funds
Assets
Equity securities	261,624	277,717
Significant other observable inputs (Level 2) | Hedge funds
Assets
Other investments	0	0
Significant other observable inputs (Level 2) | Direct lending funds
Assets
Other investments	0	0
Significant other observable inputs (Level 2) | Private equity funds
Assets
Other investments	0	0
Significant other observable inputs (Level 2) | Real estate funds
Assets
Other investments	0	0
Significant other observable inputs (Level 2) | CLO-Equities
Assets
Other investments	0	0
Significant other observable inputs (Level 2) | Other privately held investments
Assets
Other investments	0	0
Significant other observable inputs (Level 2) | Overseas deposits
Assets
Other investments	0	45,165
Significant unobservable inputs (Level 3)
Assets
Fixed maturities, available for sale	10,485	14,909
Equity securities	0	0
Other investments	68,052	76,184
Short-term investments	0	0
Derivative instruments (refer to Note 5)	0	0
Total Assets	78,537	91,093
Liabilities
Derivative instruments (refer to Note 5)	8,462	9,122
Cash settled awards (refer to Note 8)	0	0
Total Liabilities	8,462	9,122
Significant unobservable inputs (Level 3) | U.S. government and agency
Assets
Fixed maturities, available for sale	0	0
Significant unobservable inputs (Level 3) | Non-U.S. government
Assets
Fixed maturities, available for sale	0	0
Significant unobservable inputs (Level 3) | Corporate debt
Assets
Fixed maturities, available for sale	2,405	2,504
Significant unobservable inputs (Level 3) | Agency RMBS
Assets
Fixed maturities, available for sale	0	0
Significant unobservable inputs (Level 3) | CMBS
Assets
Fixed maturities, available for sale	905	1,740
Significant unobservable inputs (Level 3) | Non-agency RMBS
Assets
Fixed maturities, available for sale	0	0
Significant unobservable inputs (Level 3) | ABS
Assets
Fixed maturities, available for sale	7,175	10,665
Significant unobservable inputs (Level 3) | Municipals
Assets
Fixed maturities, available for sale	0	0
Significant unobservable inputs (Level 3) | Common stocks
Assets
Equity securities	0	0
Significant unobservable inputs (Level 3) | Preferred shares
Assets
Equity securities	0	0
Significant unobservable inputs (Level 3) | Exchange-traded funds
Assets
Equity securities	0	0
Significant unobservable inputs (Level 3) | Bond mutual funds
Assets
Equity securities	0	0
Significant unobservable inputs (Level 3) | Hedge funds
Assets
Other investments	0	0
Significant unobservable inputs (Level 3) | Direct lending funds
Assets
Other investments	0	0
Significant unobservable inputs (Level 3) | Private equity funds
Assets
Other investments	0	0
Significant unobservable inputs (Level 3) | Real estate funds
Assets
Other investments	0	0
Significant unobservable inputs (Level 3) | CLO-Equities
Assets
Other investments	6,269	6,173
Significant unobservable inputs (Level 3) | Other privately held investments
Assets
Other investments	61,783	70,011
Significant unobservable inputs (Level 3) | Overseas deposits
Assets
Other investments	0	0
Fair value based on NAV practical expedient
Assets
Other investments	722,478	707,807
Fair value based on NAV practical expedient | Hedge funds
Assets
Other investments	126,004	146,720
Fair value based on NAV practical expedient | Direct lending funds
Assets
Other investments	279,324	272,131
Fair value based on NAV practical expedient | Private equity funds
Assets
Other investments	153,515	124,706
Fair value based on NAV practical expedient | Real estate funds
Assets
Other investments	$ 163,635	$ 164,250

XML

FAIR VALUE MEASUREMENTS (Significant Unobservable Inputs) (Details) $ in Thousands	3 Months Ended
	Mar. 31, 2021 USD ($)	Dec. 31, 2020 USD ($)
Fair Value Inputs Assets Quantitative Information [Line Items]
Other investments, at fair value	$ 790,530	$ 829,156
Derivatives - Other underwriting-related derivatives	(28,167)	(11,486)
Fixed maturities, available for sale	11,728,611	12,041,799
Other privately held investments
Fair Value Inputs Assets Quantitative Information [Line Items]
Other investments, at fair value	61,783	70,011
Significant unobservable inputs (Level 3)
Fair Value Inputs Assets Quantitative Information [Line Items]
Other investments, at fair value	68,052	76,184
Derivatives - Other underwriting-related derivatives	(8,462)	(9,122)
Fixed maturities, available for sale	10,485	14,909
Significant unobservable inputs (Level 3) | Other privately held investments
Fair Value Inputs Assets Quantitative Information [Line Items]
Other investments, at fair value	61,783	$ 70,011
Significant unobservable inputs (Level 3) | Discounted cash flow
Fair Value Inputs Assets Quantitative Information [Line Items]
Derivatives - Other underwriting-related derivatives	$ (8,462)
Significant unobservable inputs (Level 3) | Discounted cash flow | Discount rate
Fair Value Inputs Assets Quantitative Information [Line Items]
Discount rate	0.009
Significant unobservable inputs (Level 3) | Discounted cash flow | Discount rate | Weighted average
Fair Value Inputs Assets Quantitative Information [Line Items]
Discount rate	0.009
Significant unobservable inputs (Level 3) | Valuation, Market Approach | Other privately held investments
Fair Value Inputs Assets Quantitative Information [Line Items]
Other investments, at fair value	$ 40,000
Significant unobservable inputs (Level 3) | Other investments - CLO-Equities | Discounted cash flow
Fair Value Inputs Assets Quantitative Information [Line Items]
Other investments, at fair value	$ 6,269
Estimated maturity dates	5 years
Significant unobservable inputs (Level 3) | Other investments - CLO-Equities | Discounted cash flow | Weighted average
Fair Value Inputs Assets Quantitative Information [Line Items]
Estimated maturity dates	5 years
Significant unobservable inputs (Level 3) | Other investments - CLO-Equities | Discounted cash flow | Default rates
Fair Value Inputs Assets Quantitative Information [Line Items]
Unobservable input	0.045
Significant unobservable inputs (Level 3) | Other investments - CLO-Equities | Discounted cash flow | Default rates | Weighted average
Fair Value Inputs Assets Quantitative Information [Line Items]
Unobservable input	0.045
Significant unobservable inputs (Level 3) | Other investments - CLO-Equities | Discounted cash flow | Loss severity rate
Fair Value Inputs Assets Quantitative Information [Line Items]
Unobservable input	0.500
Significant unobservable inputs (Level 3) | Other investments - CLO-Equities | Discounted cash flow | Loss severity rate | Weighted average
Fair Value Inputs Assets Quantitative Information [Line Items]
Unobservable input	0.500
Significant unobservable inputs (Level 3) | Other investments - CLO-Equities | Discounted cash flow | Collateral spreads
Fair Value Inputs Assets Quantitative Information [Line Items]
Unobservable input	0.030
Significant unobservable inputs (Level 3) | Other investments - CLO-Equities | Discounted cash flow | Collateral spreads | Weighted average
Fair Value Inputs Assets Quantitative Information [Line Items]
Unobservable input	0.030
Significant unobservable inputs (Level 3) | Other privately held investments | Discounted cash flow
Fair Value Inputs Assets Quantitative Information [Line Items]
Other investments, at fair value	$ 21,643
Estimated maturity dates	5 years
Significant unobservable inputs (Level 3) | Other privately held investments | Discounted cash flow | Weighted average
Fair Value Inputs Assets Quantitative Information [Line Items]
Estimated maturity dates	5 years
Significant unobservable inputs (Level 3) | Other privately held investments | Discounted cash flow | Discount rate
Fair Value Inputs Assets Quantitative Information [Line Items]
Discount rate	0.013
Significant unobservable inputs (Level 3) | Other privately held investments | Discounted cash flow | Discount rate | Weighted average
Fair Value Inputs Assets Quantitative Information [Line Items]
Discount rate	0.013
Significant unobservable inputs (Level 3) | Other privately held investments | Discounted cash flow | Default rates
Fair Value Inputs Assets Quantitative Information [Line Items]
Unobservable input	0.005
Significant unobservable inputs (Level 3) | Other privately held investments | Discounted cash flow | Default rates | Weighted average
Fair Value Inputs Assets Quantitative Information [Line Items]
Unobservable input	0.005
Significant unobservable inputs (Level 3) | Other privately held investments | Discounted cash flow | Loss absorption yield
Fair Value Inputs Assets Quantitative Information [Line Items]
Unobservable input	0.010
Significant unobservable inputs (Level 3) | Other privately held investments | Discounted cash flow | Loss absorption yield | Weighted average
Fair Value Inputs Assets Quantitative Information [Line Items]
Unobservable input	0.010

XML

FAIR VALUE MEASUREMENTS (Changes in Level 3 for Financial Instruments) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Opening balance	$ 91,093	$ 59,283
Transfers into Level 3	6,184	9,185
Transfers out of Level 3	(9,203)	0
Included in net income	19,049	(767)
Included in OCI	(56)	(498)
Purchases	273	427
Sales	(26,980)	0
Settlements/ distributions	(1,823)	(1,259)
Closing balance	78,537	66,371
Change in unrealized investment gains/(losses)	1,668	(767)
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Opening balance	9,122	9,672
Transfers into Level 3	0	0
Transfers out of Level 3	0	0
Included in net income	(660)	10,492
Included in OCI	0	0
Purchases	0	0
Sales	0	0
Settlements/ distributions	0	0
Closing balance	8,462	20,164
Change in unrealized investment gains/(losses)	(660)	10,492
Other liabilities | Derivative instruments
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Opening balance	9,122	9,672
Transfers into Level 3	0	0
Transfers out of Level 3	0	0
Included in net income	(660)	10,492
Included in OCI	0	0
Purchases	0	0
Sales	0	0
Settlements/ distributions	0	0
Closing balance	8,462	20,164
Change in unrealized investment gains/(losses)	(660)	10,492
Fixed maturities, available for sale
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Opening balance	14,909	8,021
Transfers into Level 3	6,184	9,185
Transfers out of Level 3	(9,203)	0
Included in net income	0	0
Included in OCI	(56)	(498)
Purchases	0	0
Sales	0	0
Settlements/ distributions	(1,349)	(571)
Closing balance	10,485	16,137
Change in unrealized investment gains/(losses)	0	0
Fixed maturities, available for sale | Corporate debt
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Opening balance	2,504	2,297
Transfers into Level 3	0	0
Transfers out of Level 3	0	0
Included in net income	0	0
Included in OCI	(99)	(52)
Purchases	0	0
Sales	0	0
Settlements/ distributions	0	0
Closing balance	2,405	2,245
Change in unrealized investment gains/(losses)	0	0
Fixed maturities, available for sale | CMBS
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Opening balance	1,740	5,235
Transfers into Level 3	0	0
Transfers out of Level 3	0	0
Included in net income	0	0
Included in OCI	14	(293)
Purchases	0	0
Sales	0	0
Settlements/ distributions	(849)	(571)
Closing balance	905	4,371
Change in unrealized investment gains/(losses)	0	0
Fixed maturities, available for sale | Non-agency RMBS
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Opening balance	0	0
Transfers into Level 3	0	9,185
Transfers out of Level 3	0	0
Included in net income	0	0
Included in OCI	0	0
Purchases	0	0
Sales	0	0
Settlements/ distributions	0	0
Closing balance	0	9,185
Change in unrealized investment gains/(losses)	0	0
Fixed maturities, available for sale | ABS
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Opening balance	10,665	489
Transfers into Level 3	6,184	0
Transfers out of Level 3	(9,203)	0
Included in net income	0	0
Included in OCI	29	(153)
Purchases	0	0
Sales	0	0
Settlements/ distributions	(500)	0
Closing balance	7,175	336
Change in unrealized investment gains/(losses)	0	0
Other investments
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Opening balance	76,184	51,262
Transfers into Level 3	0	0
Transfers out of Level 3	0	0
Included in net income	19,049	(767)
Included in OCI	0	0
Purchases	273	427
Sales	(26,980)	0
Settlements/ distributions	(474)	(688)
Closing balance	68,052	50,234
Change in unrealized investment gains/(losses)	1,668	(767)
Other investments | CLO-Equities
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Opening balance	6,173	14,328
Transfers into Level 3	0	0
Transfers out of Level 3	0	0
Included in net income	570	(847)
Included in OCI	0	0
Purchases	0	0
Sales	0	0
Settlements/ distributions	(474)	(688)
Closing balance	6,269	12,793
Change in unrealized investment gains/(losses)	570	(847)
Other investments | Other privately held investments
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Opening balance	70,011	36,934
Transfers into Level 3	0	0
Transfers out of Level 3	0	0
Included in net income	18,479	80
Included in OCI	0	0
Purchases	273	427
Sales	(26,980)	0
Settlements/ distributions	0	0
Closing balance	61,783	37,441
Change in unrealized investment gains/(losses)	$ 1,098	$ 80

XML

FAIR VALUE MEASUREMENTS (Other Fair Value Narrative) (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items]
Amortized cost	$ 404,690	$ 0
Fair value	404,522
ABS
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items]
Amortized cost	404,690
Fair value	404,522	0
Reported value measurement
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items]
Notes payable	1,310,000	1,310,000
Estimate of fair value measurement
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items]
Notes payable	$ 1,425,000	$ 1,485,000

XML

DERIVATIVE INSTRUMENTS (Schedule of Derivative Instruments) (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Derivative Fair Values on Consolidated Balance Sheet [Line Items]
Derivative asset fair value	$ 3,254	$ 18,875
Derivative liability fair value	28,167	11,486
Not Designated as Hedging Instruments | Other assets
Derivative Fair Values on Consolidated Balance Sheet [Line Items]
Derivative asset fair value	3,254	18,875
Not Designated as Hedging Instruments | Other liabilities
Derivative Fair Values on Consolidated Balance Sheet [Line Items]
Derivative liability fair value	28,167	11,486
Not Designated as Hedging Instruments | Relating to investment portfolio: | Foreign exchange forward contracts
Derivative Fair Values on Consolidated Balance Sheet [Line Items]
Derivative notional amount	313,081	105,781
Not Designated as Hedging Instruments | Relating to investment portfolio: | Foreign exchange forward contracts | Other assets
Derivative Fair Values on Consolidated Balance Sheet [Line Items]
Derivative asset fair value	3,026	2
Not Designated as Hedging Instruments | Relating to investment portfolio: | Foreign exchange forward contracts | Other liabilities
Derivative Fair Values on Consolidated Balance Sheet [Line Items]
Derivative liability fair value	198	2,364
Not Designated as Hedging Instruments | Relating to underwriting portfolio: | Foreign exchange forward contracts
Derivative Fair Values on Consolidated Balance Sheet [Line Items]
Derivative notional amount	1,159,353	1,197,012
Not Designated as Hedging Instruments | Relating to underwriting portfolio: | Foreign exchange forward contracts | Other assets
Derivative Fair Values on Consolidated Balance Sheet [Line Items]
Derivative asset fair value	228	18,873
Not Designated as Hedging Instruments | Relating to underwriting portfolio: | Foreign exchange forward contracts | Other liabilities
Derivative Fair Values on Consolidated Balance Sheet [Line Items]
Derivative liability fair value	19,507	0
Not Designated as Hedging Instruments | Relating to underwriting portfolio: | Other underwriting-related contracts
Derivative Fair Values on Consolidated Balance Sheet [Line Items]
Derivative notional amount	75,000	75,000
Not Designated as Hedging Instruments | Relating to underwriting portfolio: | Other underwriting-related contracts | Other assets
Derivative Fair Values on Consolidated Balance Sheet [Line Items]
Derivative asset fair value	0	0
Not Designated as Hedging Instruments | Relating to underwriting portfolio: | Other underwriting-related contracts | Other liabilities
Derivative Fair Values on Consolidated Balance Sheet [Line Items]
Derivative liability fair value	$ 8,462	$ 9,122

XML

DERIVATIVE INSTRUMENTS (Offsetting Assets and Liabilities) (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Derivative assets
Gross amounts	$ 5,557	$ 27,765
Gross amounts offset	(2,303)	(8,890)
Net amounts	3,254	18,875
Derivative liabilities
Gross amounts	30,470	20,376
Gross amounts offset	(2,303)	(8,890)
Net amounts	$ 28,167	$ 11,486

XML

DERIVATIVE INSTRUMENTS (Other Underwriting-related Risks) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Unrealized and Realized Gains (Losses) Recognized in Earnings for Derivatives Not Designated As Hedges [Line Items]
Unrealized and realized gains (losses) recognized in earnings for derivatives not designated as hedges	$ (23,646)	$ (7,729)
Relating to investment portfolio: | Foreign exchange forward contracts | Net investment gains (losses)
Unrealized and Realized Gains (Losses) Recognized in Earnings for Derivatives Not Designated As Hedges [Line Items]
Unrealized and realized gains (losses) recognized in earnings for derivatives not designated as hedges	1,749	3,162
Relating to underwriting portfolio: | Foreign exchange forward contracts | Foreign exchange gains (losses)
Unrealized and Realized Gains (Losses) Recognized in Earnings for Derivatives Not Designated As Hedges [Line Items]
Unrealized and realized gains (losses) recognized in earnings for derivatives not designated as hedges	(26,056)	(690)
Relating to underwriting portfolio: | Other underwriting-related contracts | Other insurance related income (losses)
Unrealized and Realized Gains (Losses) Recognized in Earnings for Derivatives Not Designated As Hedges [Line Items]
Unrealized and realized gains (losses) recognized in earnings for derivatives not designated as hedges	$ 661	$ (10,201)

XML

RESERVE FOR LOSSES AND LOSS EXPENSES (Reserve Roll-Forward) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Liability for Unpaid Claims and Claims Adjustment Expense [Roll Forward]
Gross reserve for losses and loss expenses, beginning of period	$ 13,926,766	$ 12,752,081
Less reinsurance recoverable on unpaid losses and loss expenses, beginning of period	(4,496,641)	(3,877,756)
Net reserve for unpaid losses and loss expenses, beginning of period	9,430,125	8,874,325
Net incurred losses and loss expenses related to:
Current year	720,035	914,186
Prior years	(5,317)	(6,113)
Net incurred losses and loss expenses	714,718	908,073
Net paid losses and loss expenses related to:
Current year	(26,944)	(19,081)
Prior years	(666,139)	(652,014)
Net paid losses and loss expenses	(693,083)	(671,095)
Foreign exchange and other	40,282	(130,609)
Net reserve for unpaid losses and loss expenses, end of period	9,492,042	8,980,694
Reinsurance recoverable on unpaid losses and loss expenses, end of period	4,533,232	4,101,579
Gross reserve for losses and loss expenses, end of period	$ 14,025,274	$ 13,082,273

XML

RESERVE FOR LOSSES AND LOSS EXPENSES - Prior year development (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Liability for Claims and Claims Adjustment Expense [Line Items]
Prior years	$ 5,317	$ 6,113
Insurance
Liability for Claims and Claims Adjustment Expense [Line Items]
Prior years	1,505	3,832
Reinsurance
Liability for Claims and Claims Adjustment Expense [Line Items]
Prior years	$ 3,812	$ 2,281

XML

RESERVE FOR LOSSES AND LOSS EXPENSES - Prior year reserve development by segment, reserving class and accident year (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Liability for Future Policy Benefit, by Product Segment [Line Items]
Prior years	$ 5,317	$ 6,113
Insurance
Liability for Future Policy Benefit, by Product Segment [Line Items]
Prior years	1,505	3,832
Insurance | Property and other
Liability for Future Policy Benefit, by Product Segment [Line Items]
Prior years	15,391	12,491
Insurance | Marine
Liability for Future Policy Benefit, by Product Segment [Line Items]
Prior years	11,875	(2,202)
Insurance | Aviation
Liability for Future Policy Benefit, by Product Segment [Line Items]
Prior years	1,035	3,991
Insurance | Credit and political risk
Liability for Future Policy Benefit, by Product Segment [Line Items]
Prior years	(5,371)	(916)
Insurance | Professional lines
Liability for Future Policy Benefit, by Product Segment [Line Items]
Prior years	(14,593)	(5,087)
Insurance | Liability
Liability for Future Policy Benefit, by Product Segment [Line Items]
Prior years	(6,832)	(4,445)
Reinsurance
Liability for Future Policy Benefit, by Product Segment [Line Items]
Prior years	3,812	2,281
Reinsurance | Property and other
Liability for Future Policy Benefit, by Product Segment [Line Items]
Prior years	969	(3,905)
Reinsurance | Professional lines
Liability for Future Policy Benefit, by Product Segment [Line Items]
Prior years	(2,204)	5,162
Reinsurance | Liability
Liability for Future Policy Benefit, by Product Segment [Line Items]
Prior years	(7,154)	(16,915)
Reinsurance | Credit and surety
Liability for Future Policy Benefit, by Product Segment [Line Items]
Prior years	(4,939)	4,854
Reinsurance | Motor
Liability for Future Policy Benefit, by Product Segment [Line Items]
Prior years	$ 17,140	$ 13,085

XML

RESERVE FOR LOSSES AND LOSS EXPENSES (Narrative) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020	Mar. 31, 2019
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items]
Net loss and loss expenses	$ 720,035	$ 914,186
Novae Syndicate 2007
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items]
Policyholder benefits and claims incurred, assumed and ceded			$ 49,000
Catastrophe and Weather-related Events
Causes of Increase (Decrease) in Liability for Unpaid Claims and Claims Adjustment Expense [Line Items]
Net loss and loss expenses	$ 110,000	$ 300,000

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EARNINGS PER COMMON SHARE (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Earnings (loss) per common share
Net income (loss)	$ 123,300	$ (177,827)
Less: Preferred share dividends	7,563	7,563
Net income (loss) available (attributable) to common shareholders	$ 115,737	$ (185,390)
Weighted average common shares outstanding (in shares)	84,514	84,094
Earnings (loss) per common share (in usd per share)	$ 1.37	$ (2.20)
Earnings (loss) per diluted common share
Net income (loss) available (attributable) to common shareholders	$ 115,737	$ (185,390)
Weighted average common shares outstanding (in shares)	84,514	84,094
Share-based compensation plans (in shares)	451	0
Weighted average diluted common shares outstanding (in shares)	84,965	84,094
Earnings (loss) per diluted common share (in usd per share)	$ 1.36	$ (2.20)
Weighted average anti-dilutive shares excluded from the dilutive computation (in shares)	1,697	806

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SHARE-BASED COMPENSATION (Narrative) (Details) - trading_day	3 Months Ended
	Mar. 31, 2021	Dec. 31, 2020
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Line Items]
Trading days proceeding and performance period	10	10
Performance Restricted Stock Units | Performance Restricted Stock Units Granted In 2021
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Line Items]
Vesting period	3 years
Performance Restricted Stock Units | Performance Restricted Stock Units Granted In 2021 | Maximum
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Line Items]
Vesting percentage	200.00%
Performance Restricted Stock Units | Performance Restricted Stock Units Granted In 2021 | Minimum
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Line Items]
Vesting percentage	0.00%
Performance Restricted Stock Units | Performance Restricted Stock Units granted in 2020 and 2019
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Line Items]
Vesting period	3 years
Performance Restricted Stock Units | Performance Restricted Stock Units granted in 2020 and 2019 | Maximum
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Line Items]
Vesting percentage	125.00%
Performance Restricted Stock Units | Performance Restricted Stock Units granted in 2020 and 2019 | Minimum
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Line Items]
Vesting percentage	75.00%
Performance Restricted Stock Units | Performance Restricted Stock Units granted in 2018 and prior
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Line Items]
Vesting period	3 years
Performance Restricted Stock Units | Performance Restricted Stock Units granted in 2018 and prior | Maximum
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Line Items]
Vesting percentage	200.00%
Performance Restricted Stock Units | Performance Restricted Stock Units granted in 2018 and prior | Minimum
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Line Items]
Vesting percentage	0.00%

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SHARE-BASED COMPENSATION (Valuation Assumptions) (Details) - Performance Restricted Stock Units	3 Months Ended
	Mar. 31, 2021
Reconcilation of Beginning and Ending Balance of Nonvested Restricted Stock (including RSUs) [Line Items]
Expected volatility	32.99%
Expected term (in years)	3 years
Risk-free interest rate	0.17%

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SHARE-BASED COMPENSATION (Share/Cash Settled Restricted Stock Units) (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020	Dec. 31, 2020
Weighted  average grant date fair value
Liability for cash-settled restricted stock units	$ 4,626		$ 13,273
Performance Vesting Restricted Stock Units | Share Settled
Number of restricted stock units
Nonvested restricted stock units - beginning of period (in shares)	289
Granted (in shares)	122
Vested (in shares)	(66)
Forfeited (in shares)	0
Nonvested restricted stock units - end of period (in shares)	345
Weighted  average grant date fair value
Nonvested restricted stock units - beginning of period (in usd per share)	$ 55.92
Granted (in usd per share)	49.04
Vested (in usd per share)	48.89
Forfeited (in usd per share)	0
Nonvested restricted stock units - end of period (in usd per share)	$ 54.84
Service Based Restricted Stock Units | Share Settled
Number of restricted stock units
Nonvested restricted stock units - beginning of period (in shares)	1,501
Granted (in shares)	1,180
Vested (in shares)	(523)
Forfeited (in shares)	(20)
Nonvested restricted stock units - end of period (in shares)	2,138
Weighted  average grant date fair value
Nonvested restricted stock units - beginning of period (in usd per share)	$ 56.50
Granted (in usd per share)	47.88
Vested (in usd per share)	56.38
Forfeited (in usd per share)	56.58
Nonvested restricted stock units - end of period (in usd per share)	$ 51.77
Service Based Restricted Stock Units | Cash Settled
Number of restricted stock units
Nonvested restricted stock units - beginning of period (in shares)	471
Granted (in shares)	0
Vested (in shares)	(213)
Forfeited (in shares)	(9)
Nonvested restricted stock units - end of period (in shares)	248
Restricted Stock Units (RSUs)
Weighted  average grant date fair value
Share based compensation costs expense	$ 12,339	$ 13,132
Tax benefits associated with share-based compensation expense	1,771	1,889
Fair value of restricted stock units vested	39,981	45,565
Unrecognized share-based compensation expense	$ 122,163	$ 111,909
Expected weighted average period associated with the recognition of unrecognized share-based compensation expense	3 years	2 years 9 months 18 days
Restricted Stock Units (RSUs) | Cash Settled
Weighted  average grant date fair value
Liability for cash-settled restricted stock units	$ 4,626	$ 5,711

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SHAREHOLDERS' EQUITY (Common Shares Issued and Outstanding) (Details) - shares shares in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020	Dec. 31, 2020
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Shares issued, balance at beginning of period (in shares)	176,580
Total shares issued at end of period (in shares)	176,580
Treasury shares, balance at beginning of period (in shares)	(92,227)
Total treasury shares at end of period (in shares)	(91,827)
Total shares outstanding (in shares)	84,753		84,353
Common stocks
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Shares issued, balance at beginning of period (in shares)	176,580	176,580
Shares issued (in shares)	0	0
Total shares issued at end of period (in shares)	176,580	176,580
Treasury shares, balance at beginning of period (in shares)	(92,227)	(92,621)
Shares repurchased (in shares)	(189)	(150)
Shares reissued (in shares)	589	489
Total treasury shares at end of period (in shares)	(91,827)	(92,282)
Total shares outstanding (in shares)	84,753	84,298

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SHAREHOLDERS' EQUITY (Treasury Shares) (Details) - Common stocks - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Treasury Shares [Line Items]
Total shares (in shares)	189	150
Total cost	$ 9,380	$ 8,492
Average price per share (in usd per share)	$ 49.73	$ 56.43
In the open market:
Treasury Shares [Line Items]
Total shares (in shares)	0	0
Total cost	$ 0	$ 0
Average price per share (in usd per share)	$ 0	$ 0
From employees
Treasury Shares [Line Items]
Total shares (in shares)	189	150
Total cost	$ 9,380	$ 8,492
Average price per share (in usd per share)	$ 49.73	$ 56.43

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SHAREHOLDERS' EQUITY (Dividends) (Details) - $ / shares	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Class of Stock [Line Items]
Cash dividends declared per common share (in usd per share)	$ 0.42	$ 0.41
Dividends paid in period of declaration (in usd per share)	0	0
Dividends paid in period following declaration (in usd per share)	0.42	0.41
Series E preferred shares
Class of Stock [Line Items]
Cash dividends declared per preferred share (in usd per share)	34.38	34.38
Dividends paid in period of declaration (in usd per share)	0	0
Dividends paid in period following declaration (in usd per share)	$ 34.38	$ 34.38

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DEBT AND FINANCING ARRANGEMENTS (Details) - Letter of Credit - USD ($)	Mar. 31, 2021	Mar. 30, 2021
Line of Credit Facility [Line Items]
Line of credit facility	$ 750,000,000
LOC Facility
Line of Credit Facility [Line Items]
Line of credit facility, aggregate utilization capacity	650,000,000	$ 750,000,000
Line of credit facility, amount subject to administrative changes	500,000,000
LOC Facility Two
Line of Credit Facility [Line Items]
Line of credit facility	250,000,000
Line of credit facility, utilization capacity	$ 150,000,000	$ 250,000,000

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OTHER COMPREHENSIVE INCOME (LOSS) (Tax Effects of Other Comprehensive Income) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Before tax amount
Total comprehensive income (loss)	$ (225,646)	$ (282,482)
Income tax (expense) benefit
Total comprehensive income (loss)	26,112	20,853
Net of tax amount
Total comprehensive income (loss)	(199,534)	(261,629)
Available for sale investments:
Before tax amount
Adjustment for reclassification of net realized (gains) losses and impairment losses recognized in net income (loss)	(30,876)	4,126
Total comprehensive income (loss)	(226,895)	(274,757)
Income tax (expense) benefit
Adjustment for reclassification of net realized (gains) losses and impairment losses recognized in net income (loss)	1,877	1,522
Total comprehensive income (loss)	26,112	20,853
Net of tax amount
Adjustment for reclassification of net realized (gains) losses and impairment losses recognized in net income (loss)	(28,999)	5,648
Total comprehensive income (loss)	(200,783)	(253,904)
Available for sale investments: | Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has not been recognized
Before tax amount
Unrealized gains (losses) arising during the period	(196,066)	(260,758)
Income tax (expense) benefit
Unrealized gains (losses) arising during the period	24,235	17,796
Net of tax amount
Unrealized gains (losses) arising during the period	(171,831)	(242,962)
Available for sale investments: | Unrealized gains (losses) arising during the period for which an allowance for expected credit losses has been recognized
Before tax amount
Unrealized gains (losses) arising during the period	47	(18,125)
Income tax (expense) benefit
Unrealized gains (losses) arising during the period	0	1,535
Net of tax amount
Unrealized gains (losses) arising during the period	47	(16,590)
Foreign currency translation adjustment
Before tax amount
Total comprehensive income (loss)	1,249	(7,725)
Income tax (expense) benefit
Total comprehensive income (loss)	0	0
Net of tax amount
Total comprehensive income (loss)	$ 1,249	$ (7,725)

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OTHER COMPREHENSIVE INCOME (LOSS) (Reclassifications Out of AOCI Into Net Income (Loss) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Reclassification out of accumulated comprehensive income into net income available to common shareholders [Line Items]
Other realized gains (losses)	$ 29,556	$ (41,668)
Impairment losses	0	(1,190)
Income (loss) before income taxes and interest in income (loss) of equity method investments	134,914	(159,117)
Income tax (expense) benefit	(20,776)	4,867
Net income (loss) available (attributable) to common shareholders	115,737	(185,390)
Unrealized gains (losses) on available for sale investments | Reclassification out of Accumulated Other Comprehensive Income
Reclassification out of accumulated comprehensive income into net income available to common shareholders [Line Items]
Other realized gains (losses)	30,876	(2,936)
Impairment losses	0	(1,190)
Income (loss) before income taxes and interest in income (loss) of equity method investments	30,876	(4,126)
Income tax (expense) benefit	(1,877)	(1,522)
Net income (loss) available (attributable) to common shareholders	$ 28,999	$ (5,648)