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INVESTMENTS (Tables)
 12 Months Ended
Dec. 31, 2021
Investments, Debt and Equity Securities [Abstract]  
AMORTIZED COST AND FAIR VALUES OF 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 lossesGross
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. government794,705 — 10,158 (9,685)795,178 
Corporate debt4,446,585 (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 RMBS185,854 (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. 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 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 
(1)Asset-backed securities ("ABS") include debt tranched securities collateralized primarily by collateralized loan obligations ("CLOs").
COST AND FAIR VALUE OF EQUITY SECURITIES The following table provides the cost and fair values of the Company's equity securities:
CostGross
unrealized
gains		Gross
unrealized
losses		Fair
value
At December 31, 2021
Equity securities
Common stocks$1,264 $585 $(485)$1,364 
Preferred stocks115 64 — 179 
Exchange-traded funds203,455 134,037 (677)336,815 
Bond mutual funds324,030 544 (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 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 December 31, 2021
Maturity
Due in one year or less$503,716 $505,602 4.1 %
Due after one year through five years4,878,151 4,908,640 39.9 %
Due after five years through ten years2,478,542 2,488,478 20.2 %
Due after ten years277,756 279,056 2.3 %
 8,138,165 8,181,776 66.5 %
Agency RMBS1,065,973 1,074,589 8.7 %
CMBS1,223,051 1,248,191 10.1 %
Non-agency RMBS185,854 186,164 1.5 %
ABS1,628,739 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 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 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. government11,011 (1,830)463,498 (7,855)474,509 (9,685)
Corporate debt152,962 (6,542)1,681,859 (31,570)1,834,821 (38,112)
Agency RMBS41,024 (1,678)503,988 (7,103)545,012 (8,781)
CMBS30,128 (1,001)347,515 (3,686)377,643 (4,687)
Non-agency RMBS4,481 (523)109,937 (1,500)114,418 (2,023)
ABS43,466 (1,152)1,040,363 (8,513)1,083,829 (9,665)
Municipals5,293 (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. 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:
  
December 31, 2021December 31, 2020
  
Carrying value% of TotalCarrying 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 %
PORTFOLIO OF OTHER INVESTMENTS
The following table provides a summary of the Company's other investments, together with additional information relating to the liquidity of each category:
  Fair valueRedemption frequency
(if currently eligible)		Redemption
notice period
At December 31, 2021
Long/short equity funds$3,476 — %Annually60 days
Multi-strategy funds56,012 6 %Quarterly
60-90 days
Direct lending funds289,867 31 %
Quarterly(1)
90 days
Private equity funds249,974 26 %n/an/a
Real estate funds238,222 25 %
Quarterly(2)
45 days
CLO-Equities5,910 1 %n/an/a
Other privately held investments104,521 11 %n/an/a
Overseas deposits— — %n/an/a
Total other investments$947,982 100 %
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 $47 million (2020: $38 million).
(2)Applies to one fund with a fair value of $73 million (2020: $61 million).
NET INVESTMENT INCOME Net investment income was derived from the following sources:
Year ended December 31,202120202019
Fixed maturities$262,049 $317,121 $384,053 
Other investments181,906 16,059 60,038 
Equity securities12,752 9,328 10,434 
Mortgage loans17,427 15,432 14,712 
Cash and cash equivalents4,454 13,582 26,882 
Short-term investments664 2,749 7,053 
Gross investment income479,252 374,271 503,172 
Investment expenses(24,951)(24,670)(24,600)
Net investment income$454,301 $349,601 $478,572 
NET REALIZED INVESTMENT GAINS (LOSSES)
The following table provides an analysis of net investment gains (losses):
Year ended December 31,202120202019
Gross realized investment gains
Fixed maturities and short-term investments$137,729 $186,726 $93,160 
Equity securities5,413 25,648 3,449 
Gross realized investment gains143,142 212,374 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 losses11 (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 securities30,111 21,449 60,269 
Net investment gains$134,279 $129,133 $91,233 
(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 7 '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:
Year ended December 31,202120202019
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 $— 
OTTI RECOGNIZED IN EARNINGS BY ASSET CLASS
The following table summarizes the OTTI charge recognized in net income by asset class:
Year ended December 31,202120202019
Fixed maturities:
Non-U.S. government
$— $— $90 
Corporate debt
— — 6,894 
Non-agency CMBS— — — 
Total OTTI recognized in net income$— $— $6,984 
RESTRICTED INVESTMENTS The table below provides the fair values of the Company's restricted investments and cash:
At December 31,20212020
Collateral in Trust for inter-company agreements$886,903 $1,153,157 
Collateral for secured letter of credit facility402,478 434,845 
Funds at Lloyd's936,862 1,155,832 
Collateral in Trust for third-party agreements 2,412,882 1,903,274 
Securities on deposit or in trust with regulatory authorities729,072 265,959 
Total restricted investments and cash$5,368,197 $4,913,067