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INVESTMENTS (Tables)
 6 Months Ended
Jun. 30, 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 lossesGross
unrealized
gains
Gross
unrealized
losses
Fair
value
At June 30, 2021
Available for sale
U.S. government and agency$2,542,892 $— $18,830 $(9,782)$2,551,940 
Non-U.S. government658,176 — 25,177 (2,781)680,572 
Corporate debt4,358,107 (42)154,343 (13,014)4,499,394 
Agency RMBS(1)
1,022,259 — 25,789 (3,492)1,044,556 
CMBS(2)
1,097,457 — 48,538 (1,403)1,144,592 
Non-agency RMBS204,437 (42)4,016 (922)207,489 
ABS(3)
1,493,549 — 8,488 (2,398)1,499,639 
Municipals(4)
261,482 — 8,776 (140)270,118 
Total fixed maturities, available for sale$11,638,359 $(84)$293,957 $(33,932)$11,898,300 
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. government632,875 — 38,826 (428)671,273 
Corporate debt4,408,351 (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 RMBS136,198 (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 lossesNet carrying valueGross
unrealized
gains
Gross
unrealized
losses
Fair
value
At June 30, 2021
Held to maturity
ABS(1)
$403,370 $— $403,370 $123 $(459)$403,034 
Total fixed maturities, held to maturity$403,370 $— $403,370 $123 $(459)$403,034 
(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 June 30, 2021
Equity securities
Common stocks$943 $424 $(415)$952 
Preferred stocks115 136 — 251 
Exchange-traded funds203,336 107,019 (370)309,985 
Bond mutual funds267,820 9,188 — 277,008 
Total equity securities$472,214 $116,767 $(785)$588,196 
At December 31, 2020   
Equity securities
Common stocks$10,810 $689 $(557)$10,942 
Preferred stocks6,301 1,767 — 8,068 
Exchange-traded funds147,794 74,314 (390)221,718 
Bond mutual funds256,839 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 June 30, 2021
Maturity
Due in one year or less$524,297 $531,246 4.5 %
Due after one year through five years4,651,630 4,761,285 40.0 %
Due after five years through ten years2,435,663 2,495,245 21.0 %
Due after ten years209,067 214,248 1.8 %
 7,820,657 8,002,024 67.3 %
Agency RMBS1,022,259 1,044,556 8.8 %
CMBS1,097,457 1,144,592 9.6 %
Non-agency RMBS204,437 207,489 1.7 %
ABS1,493,549 1,499,639 12.6 %
Total$11,638,359 $11,898,300 100.0 %
At December 31, 2020
Maturity
Due in one year or less$436,287 $444,527 3.6 %
Due after one year through five years4,165,696 4,335,219 36.0 %
Due after five years through ten years2,344,859 2,489,050 20.7 %
Due after ten years258,654 273,025 2.3 %
 7,205,496 7,541,821 62.6 %
Agency RMBS1,244,727 1,286,209 10.7 %
CMBS1,268,273 1,353,587 11.2 %
Non-agency RMBS136,198 140,104 1.2 %
ABS1,712,236 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 greaterLess than 12 monthsTotal
  
Fair
value
Unrealized
losses
Fair
value
Unrealized
losses
Fair
value
Unrealized
losses
At June 30, 2021
Fixed maturities, available for sale
U.S. government and agency$— $— $1,528,019 $(9,782)$1,528,019 $(9,782)
Non-U.S. government2,678 (540)195,003 (2,241)197,681 (2,781)
Corporate debt48,590 (1,227)862,851 (11,787)911,441 (13,014)
Agency RMBS4,548 (88)313,431 (3,404)317,979 (3,492)
CMBS7,078 (79)96,788 (1,324)103,866 (1,403)
Non-agency RMBS5,058 (457)84,771 (465)89,829 (922)
ABS49,347 (523)465,758 (1,875)515,105 (2,398)
Municipals— — 74,459 (140)74,459 (140)
Total fixed maturities, available for sale$117,299 $(2,914)$3,621,080 $(31,018)$3,738,379 $(33,932)
At December 31, 2020      
Fixed maturities, available for sale
U.S. government and agency$— $— $251,606 $(1,759)$251,606 $(1,759)
Non-U.S. government16,115 (262)3,652 (166)19,767 (428)
Corporate debt63,640 (2,244)233,970 (4,114)297,610 (6,358)
Agency RMBS6,580 (20)78,672 (668)85,252 (688)
CMBS19,736 (1,012)70,656 (1,272)90,392 (2,284)
Non-agency RMBS5,109 (598)9,558 (80)14,667 (678)
ABS325,436 (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:
  
June 30, 2021December 31, 2020
  
Carrying value% of TotalCarrying value% of Total
Mortgage loans, held for investment:
Commercial$656,056 100 %$593,290 100 %
Total mortgage loans, held for investment$656,056 100 %$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 June 30, 2021    
Long/short equity funds$3,774 — %Annually60 days
Multi-strategy funds108,974 13 %Quarterly, Semi-annually
60-95 days
Direct lending funds288,404 33 %
Quarterly(1)
90 days
Private equity funds190,465 22 %n/an/a
Real estate funds201,833 23 %
Quarterly(2)
45 days
CLO-Equities7,002 2 %n/an/a
Other privately held investments64,786 7 %n/an/a
Overseas deposits— — %n/an/a
Total other investments$865,238 100 % 
  
At December 31, 2020    
Long/short equity funds$25,300 3 %Annually60 days
Multi-strategy funds121,420 15 %Quarterly, Semi-annually
60-95 days
Direct lending funds272,131 33 %
Quarterly(1)
90 days
Private equity funds124,706 15 %n/an/a
Real estate funds164,250 20 %
Quarterly(2)
45 days
CLO-Equities6,173 1 %n/an/a
Other privately held investments70,011 8 %n/an/a
Overseas deposits45,165 5 %n/an/a
Total other investments$829,156 100 %  
     
n/a - not applicable
(1) Applies to one fund with a fair value of $43 million (2020: $38 million).
(2) Applies to one fund with a fair value of $74 million (2020: $61 million).
NET INVESTMENT INCOME Net investment income was derived from the following sources:
  
Three months ended June 30,Six months ended June 30,
  
2021202020212020
Fixed maturities$61,244 $80,459 $130,714 $170,402 
Other investments41,414 (37,580)83,248 (39,700)
Equity securities3,100 2,263 5,598 4,387 
Mortgage loans4,355 3,660 8,541 7,713 
Cash and cash equivalents617 2,392 2,953 7,323 
Short-term investments66 366 199 1,863 
Gross investment income
110,796 51,560 231,253 151,988 
Investment expenses(6,124)(6,520)(12,417)(13,848)
Net investment income$104,672 $45,040 $218,836 $138,140 
NET INVESTMENT GAINS (LOSSES)
The following table provides an analysis of net investment gains (losses):
  Three months ended June 30,Six months ended June 30,
  2021202020212020
Gross realized investment gains
Fixed maturities and short-term investments$55,695 $51,017 $105,865 $90,948 
Equity securities4,433 22,038 5,002 23,958 
Gross realized investment gains60,128 73,055 110,867 114,906 
Gross realized investment losses
Fixed maturities and short-term investments(8,868)(55,056)(28,237)(77,821)
Equity securities(27)(3,120)(116)(5,802)
Gross realized investment losses(8,895)(58,176)(28,353)(83,623)
Change in allowance for expected credit losses150 13,761 239 (6,257)
Impairment losses(1)
— (112)— (1,302)
Change in fair value of investment derivatives(2)
(847)154 901 3,316 
Net unrealized gains (losses) on equity securities22,757 24,361 19,282 (36,871)
Net investment gains (losses)$73,293 $53,043 $102,936 $(9,831)
(1) Related to instances where the Company intends to sell securities or it is more likely than not that the Company will be required to sell securities before their anticipated recovery.
(2) Refer to Note 5 'Derivative Instruments'.
ALLOWANCE FOR CREDIT LOSS The following table provides a reconciliation of the beginning and ending balances of the allowance for expected credit losses on fixed maturities classified as available for sale:
  Three months ended June 30,Six months ended June 30,
  2021202020212020
Balance at beginning of period$234 $20,019 $323 $— 
Expected credit losses on securities where credit losses were not previously recognized
1 2,357 64 22,376 
Additions (reductions) for expected credit losses on securities where credit losses were previously recognized
(151)(6,879)(256)(6,879)
Impairments of securities which the Company intends to sell or more likely than not will be required to sell— — — — 
Securities sold/redeemed/matured— (9,240)(47)(9,240)
Balance at end of period$84 $6,257 $84 $6,257