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 December 31, 2021
Available for sale
U.S. government and agency	$	2,693,319	$	—	$	9,776	$	(20,647)	$	2,682,448
Non-U.S. government	794,705		—		10,158		(9,685)		795,178
Corporate debt	4,446,585		(236)		87,075		(38,112)		4,495,312
Agency RMBS(1)	1,065,973		—		17,397		(8,781)		1,074,589
CMBS(2)	1,223,051		—		29,827		(4,687)		1,248,191
Non-agency RMBS	185,854		(77)		2,410		(2,023)		186,164
ABS(3)	1,628,739		—		3,406		(9,665)		1,622,480
Municipals(4)	203,556		—		5,928		(646)		208,838
Total fixed maturities, available for sale	$	12,241,782	$	(313)	$	165,977	$	(94,246)	$	12,313,200

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

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 December 31, 2021
Held to maturity
Corporate debt	$	37,700	$	—	$	37,700	$	18	$	(146)	$	37,572
ABS(1)	408,316		—		408,316		81		(936)		407,461
Total fixed maturities, held to maturity	$	446,016	$	—	$	446,016	$	99	$	(1,082)	$	445,033

On March 1, 2021, the Company transferred ABS 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.

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 December 31, 2021, the allowance for credit losses expected to be recognized over the life of the Company's ABS, held to maturity was $nil.

To estimate expected credit losses for corporate debt securities, held to maturity, the Company's projected cash flows are primarily driven by assumptions regarding the severity of loss, which is a function of the probability of default and projected recovery rates. The Company's default and recovery rates are based on credit ratings, credit analysis and macroeconomic forecasts. At December 31, 2021, the allowance for credit losses expected to be recognized over the life of the Company's corporate debt, held to maturity was $nil.

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 December 31, 2021
Equity securities
Common stocks	$	1,264	$	585	$	(485)	$	1,364
Preferred stocks	115		64		—		179
Exchange-traded funds	203,455		134,037		(677)		336,815
Bond mutual funds	324,030		544		(7,257)		317,317
Total equity securities	$	528,864	$	135,230	$	(8,419)	$	655,675

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

The Company also invests in limited partnerships which represent 71% of the Company's other investments. The investments in limited partnerships include hedge funds, direct lending funds, private equity funds, real estate funds and CLO equity tranched securities, which are variable interests issued by VIEs (refer to Note 5(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 table below provides the contractual maturities of fixed maturities classified as available for sale:



	Amortized cost		Fair value		% of Total fair value

At December 31, 2021
Maturity
Due in one year or less	$	503,716	$	505,602	4.1	%
Due after one year through five years	4,878,151		4,908,640		39.9	%
Due after five years through ten years	2,478,542		2,488,478		20.2	%
Due after ten years	277,756		279,056		2.3	%
	8,138,165		8,181,776		66.5	%
Agency RMBS	1,065,973		1,074,589		8.7	%
CMBS	1,223,051		1,248,191		10.1	%
Non-agency RMBS	185,854		186,164		1.5	%
ABS	1,628,739		1,622,480		13.2	%
Total	$	12,241,782	$	12,313,200	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	%



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

At December 31, 2021
Fixed maturities, available for sale
U.S. government and agency	$	101,776	$	(4,852)	$	2,014,880	$	(15,795)	$	2,116,656	$	(20,647)
Non-U.S. government	11,011		(1,830)		463,498		(7,855)		474,509		(9,685)
Corporate debt	152,962		(6,542)		1,681,859		(31,570)		1,834,821		(38,112)
Agency RMBS	41,024		(1,678)		503,988		(7,103)		545,012		(8,781)
CMBS	30,128		(1,001)		347,515		(3,686)		377,643		(4,687)
Non-agency RMBS	4,481		(523)		109,937		(1,500)		114,418		(2,023)
ABS	43,466		(1,152)		1,040,363		(8,513)		1,083,829		(9,665)
Municipals	5,293		(137)		35,649		(509)		40,942		(646)
Total fixed maturities, available for sale	$	390,141	$	(17,715)	$	6,197,689	$	(76,531)	$	6,587,830	$	(94,246)






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)

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


	December 31, 2021				December 31, 2020
	Carrying value		% of Total		Carrying value		% of Total

Mortgage loans held for investment:
Commercial	$	594,088	100	%	$	593,290	100	%


Total mortgage loans held for investment	$	594,088	100	%	$	593,290	100	%

The primary credit quality indicators for commercial mortgage loans are 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 2.5x (2020: 2.4x) and a weighted average loan-to-value ratio of 60% (2020: 60%). At December 31, 2021 and 2020, there were no credit losses or past due amounts associated with the commercial mortgage loans held by the Company.

The following table provides 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 December 31, 2021
Long/short equity funds	$	3,476	—	%	Annually	60 days
Multi-strategy funds	56,012		6	%	Quarterly	60-90 days

Direct lending funds	289,867		31	%	Quarterly(1)	90 days
Private equity funds	249,974		26	%	n/a	n/a
Real estate funds	238,222		25	%	Quarterly(2)	45 days
CLO-Equities	5,910		1	%	n/a	n/a
Other privately held investments	104,521		11	%	n/a	n/a
Overseas deposits	—		—	%	n/a	n/a
Total other investments	$	947,982	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	%

•Multi-strategy funds: Seek to achieve above-market returns by pursuing multiple investment strategies to diversify risks and reduce volatility. This category includes funds of hedge funds which invest in a large pool of hedge funds across a diversified range of hedge fund strategies.

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 2021 and 2020, neither of these restrictions impacted the Company's redemption requests. At December 31, 2021, $3 million (2020: $25 million), representing 6% (2020: 17%) of total hedge funds, relate to holdings where the Company is still within the lockup period. The expiration of this lockup period is March 2022.

At December 31, 2021, the Company had $224 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 four to ten years and the General Partners of certain funds have the option to extend the term by up to three years.

At December 31, 2021, the Company had $23 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 December 31, 2021, the Company had $173 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 two years to the dissolution of the underlying fund.

At December 31, 2021, the Company had $178 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 December 31, 2021, this commitment remains unfunded. It is not anticipated that the full amount of this fund will be drawn.

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 the Company and The Blackstone Group L.P. ("Blackstone"). Through long-term service agreements, the Company 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.

Net investment income was derived from the following sources:



Year ended December 31,	2021		2020		2019

Fixed maturities	$	262,049	$	317,121	$	384,053
Other investments	181,906		16,059		60,038
Equity securities	12,752		9,328		10,434
Mortgage loans	17,427		15,432		14,712
Cash and cash equivalents	4,454		13,582		26,882
Short-term investments	664		2,749		7,053
Gross investment income	479,252		374,271		503,172
Investment expenses	(24,951)		(24,670)		(24,600)
Net investment income	$	454,301	$	349,601	$	478,572

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



Year ended December 31,	2021		2020		2019

Gross realized investment gains
Fixed maturities and short-term investments	$	137,729	$	186,726	$	93,160
Equity securities	5,413		25,648		3,449
Gross realized investment gains	143,142		212,374		96,609
Gross realized investment losses
Fixed maturities and short-term investments	(42,613)		(94,607)		(56,515)
Equity securities	(696)		(5,840)		(323)
Gross realized investment losses	(43,309)		(100,447)		(56,838)
Change in allowance for expected credit losses	11		(323)		—
Impairment losses(1)	(22)		(1,486)		—
OTTI losses	—		—		(6,984)
Change in fair value of investment derivatives(2)	4,346		(2,434)		(1,823)
Net unrealized gains (losses) on equity securities	30,111		21,449		60,269
Net investment gains	$	134,279	$	129,133	$	91,233

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:



Year ended December 31,	2021		2020		2019

Balance at beginning of period	$	323	$	—	$	—
Expected credit losses on securities where credit losses were not previously recognized	95		22,570		—
Additions (reductions) for expected credit losses on securities where credit losses were previously recognized	50		(11,542)		—
Impairments of securities which the Company intends to sell or more likely than not will be required to sell	—		—		—
Securities sold/redeemed/matured	(155)		(10,705)		—
Balance at end of period	$	313	$	323	$	—

The Company evaluates available for sale securities for expected credit losses when fair value is below amortized cost. If the Company intends to sell or will be required to sell the security before its anticipated recovery, the full amount of the impairment loss is charged to net income. If the Company does not intend to sell or will not be required to sell the security before its anticipated recovery, an allowance for expected credit losses is established and the portion of the loss that relates to credit losses is recorded in net income.

Effective January 1, 2020, the Company adopted the targeted changes to the impairment model for available for sale securities. The updated guidance amends the previous OTTI impairment model by requiring the recognition of impairments related to credit losses through an allowance account and limits the amount of credit loss to the difference between a security's amortized cost basis and its fair value. In addition, the length of time a security has been in an unrealized loss position no longer impacts the determination of whether a credit loss exists.

Unrealized losses on securities issued or backed, either explicitly or implicitly by the U.S. government are not analyzed for credit losses. The Company has concluded that the possibility of a credit loss on these securities is highly unlikely due to the explicit U.S. government guarantee related to certain securities (e.g. Government National Mortgage Association issuances) and the implicit guarantee related to other securities that has been validated by past actions (e.g. U.S. government bailout of Federal National Mortgage Association and Federal Home Loan Mortgage Corporation during the 2008 credit crisis).

Non-U.S. government securities are evaluated for expected credit losses primarily through qualitative assessments of the likelihood of credit losses using information such as severity of unrealized losses, credit ratings and price volatility. At December 31, 2021, the gross unrealized losses of $10 million were mainly due to foreign exchange losses. At December 31, 2021, the Company does not anticipate any credit losses on its non-U.S. government fixed maturities.

To estimate expected credit losses for corporate debt securities, the Company's projected cash flows are primarily driven by assumptions regarding the severity of loss, probability of default and projected recovery rates. The Company's default and loss severity rates are based on credit rating, credit analysis and macroeconomic forecasts. In 2021 and 2020, the allowance for expected credit losses on corporate debt securities mainly related to loss severity where the forecasted recovery to amortized cost was uncertain.

The Company's investments in CMBS are diversified and primarily rated AA or better. At December 31, 2021, CMBS had a weighted average estimated subordination percentage of 37% (2020: 29%). Based on discounted cash flows at December 31, 2021 and 2020, the current level of subordination is sufficient to cover the estimated loan losses on the underlying collateral of the CMBS.

To estimate expected credit losses for non-agency RMBS, the Company's projected cash flows incorporated underlying data from widely accepted third-party data sources along with certain internal assumptions and judgments regarding the future performance of the security. These assumptions included default, delinquency, loss severity and prepayment rates. The assumptions used to calculate credit losses in 2021 have not changed significantly since December 31, 2020.

At December 31, 2021, the fair value of the Company's non-agency RMBS was $186 million (2020: $140 million), consisting primarily of $87 million (2020: $85 million) of Prime and $74 million (2020: $23 million) of Alt-A MBS. At December 31, 2021, the allowance for expected credit losses on non-agency RMBS related to loss severity where the forecasted recovery to amortized cost is uncertain.

The Company's investments in ABS consist mainly of CLO debt tranched securities ("CLO Debt") purchased primarily as new issues between 2018 and 2021. Substantially all of these new issues had credit ratings of AA or better. The Company utilizes a scenario-based approach to review its CLO Debt portfolio based on the current asset market price. The Company also reviews subordination levels of these securities to determine their ability to absorb credit losses of 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 December 31, 2021 and 2020, the Company does not anticipate any credit losses on its CLO Debt.

In order to support the Company's obligations in regulatory jurisdictions where it operates as a non-admitted carrier, the Company provides collateral in the form of assets held in trust and, to a lesser extent, letters of credit (refer to Note 10(b) 'Debt and Financing Arrangements').

In addition, the Company operates in the Lloyd’s market through its corporate members, AXIS Corporate Capital UK Limited and AXIS Corporate Capital UK II Limited, which provide 70% and 30%, respectively of Syndicate 1686's capital support. Lloyd’s sets capital requirements for corporate members annually through the application of a capital model that is based on regulatory rules pursuant to Directive 2009/138/EC of the European Parliament and of the Council of 25 November 2009 on the taking up and pursuit of business of Insurance and Reinsurance (Solvency II) ("Solvency II").

At December 31, 2021 collateral held in trust for third-party agreements of $2,413 million (2020: $1,903 million) included $507 million (2020: $297 million) of fixed maturities and equity securities, and cash of $326 million (2020: $178 million) held on deposit to support the underwriting activities of Syndicate 1686.

The table below provides the fair values of the Company's restricted investments and cash:



At December 31,	2021		2020

Collateral in Trust for inter-company agreements	$	886,903	$	1,153,157
Collateral for secured letter of credit facility	402,478		434,845
Funds at Lloyd's	936,862		1,155,832
Collateral in Trust for third-party agreements	2,412,882		1,903,274
Securities on deposit or in trust with regulatory authorities	729,072		265,959
Total restricted investments and cash	$	5,368,197	$	4,913,067

At December 31, 2021, the Company held no (2020: $91 million) 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. At 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.