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INVESTMENTS
 9 Months Ended
Sep. 30, 2023
Investments, Debt and Equity Securities [Abstract]  
INVESTMENTS INVESTMENTS
a)     Fixed Maturities, Available for Sale

The following table provides the amortized cost and fair values of the Company's fixed maturities classified as available for sale:
Amortized
cost
Allowance for expected credit lossesGross
unrealized
gains
Gross
unrealized
losses
Fair
value
At September 30, 2023
Available for sale
U.S. government and agency$2,976,548 $— $117 $(116,032)$2,860,633 
Non-U.S. government718,298 (17)854 (48,880)670,255 
Corporate debt4,610,179 (8,684)5,737 (377,369)4,229,863 
Agency RMBS(1)
1,707,603 — 44 (166,142)1,541,505 
CMBS(2)
947,370 — 36 (82,355)865,051 
Non-agency RMBS155,437 (133)123 (17,623)137,804 
ABS(3)
1,304,644 (38)711 (38,449)1,266,868 
Municipals(4)
167,248 (61)42 (15,840)151,389 
Total fixed maturities, available for sale$12,587,327 $(8,933)$7,664 $(862,690)$11,723,368 
At December 31, 2022    
Available for sale
U.S. government and agency$2,731,733 $— $5,386 $(97,789)$2,639,330 
Non-U.S. government612,546 — 2,395 (52,912)562,029 
Corporate debt4,680,798 (11,521)5,269 (418,990)4,255,556 
Agency RMBS(1)
1,297,423 — 4,663 (99,301)1,202,785 
CMBS(2)
1,029,863 — 60 (82,145)947,778 
Non-agency RMBS151,907 (123)275 (18,525)133,534 
ABS(3)
1,499,728 (35)555 (70,721)1,429,527 
Municipals(4)
172,475 (54)139 (16,205)156,355 
Total fixed maturities, available for sale$12,176,473 $(11,733)$18,742 $(856,588)$11,326,894 
(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.
Contractual 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 September 30, 2023
Maturity
Due in one year or less$571,440 $553,369 4.8 %
Due after one year through five years5,607,949 5,335,096 45.5 %
Due after five years through ten years2,144,195 1,892,237 16.1 %
Due after ten years148,689 131,438 1.1 %
 8,472,273 7,912,140 67.5 %
Agency RMBS1,707,603 1,541,505 13.1 %
CMBS947,370 865,051 7.4 %
Non-agency RMBS155,437 137,804 1.2 %
ABS1,304,644 1,266,868 10.8 %
Total$12,587,327 $11,723,368 100.0 %
At December 31, 2022
Maturity
Due in one year or less$422,039 $409,972 3.7 %
Due after one year through five years5,349,123 5,078,273 44.8 %
Due after five years through ten years2,192,344 1,919,450 16.9 %
Due after ten years234,046 205,575 1.8 %
 8,197,552 7,613,270 67.2 %
Agency RMBS1,297,423 1,202,785 10.6 %
CMBS1,029,863 947,778 8.4 %
Non-agency RMBS151,907 133,534 1.2 %
ABS1,499,728 1,429,527 12.6 %
Total$12,176,473 $11,326,894 100.0 %
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 greaterLess than 12 monthsTotal
  
Fair
value
Unrealized
losses
Fair
value
Unrealized
losses
Fair
value
Unrealized
losses
At September 30, 2023
Fixed maturities, available for sale
U.S. government and agency$933,401 $(68,216)$1,841,396 $(47,816)$2,774,797 $(116,032)
Non-U.S. government236,921 (31,958)400,356 (16,922)637,277 (48,880)
Corporate debt2,705,183 (333,349)1,207,859 (44,020)3,913,042 (377,369)
Agency RMBS751,020 (128,711)783,310 (37,431)1,534,330 (166,142)
CMBS732,637 (75,522)121,722 (6,833)854,359 (82,355)
Non-agency RMBS92,894 (16,856)37,539 (767)130,433 (17,623)
ABS975,560 (36,001)216,048 (2,448)1,191,608 (38,449)
Municipals128,209 (15,116)21,510 (724)149,719 (15,840)
Total fixed maturities, available for sale$6,555,825 $(705,729)$4,629,740 $(156,961)$11,185,565 $(862,690)
At December 31, 2022      
Fixed maturities, available for sale
U.S. government and agency$467,032 $(41,365)$1,414,181 $(56,424)$1,881,213 $(97,789)
Non-U.S. government207,637 (33,027)298,048 (19,885)505,685 (52,912)
Corporate debt1,562,355 (268,289)2,350,504 (150,701)3,912,859 (418,990)
Agency RMBS220,595 (40,469)771,191 (58,832)991,786 (99,301)
CMBS343,494 (40,888)599,877 (41,257)943,371 (82,145)
Non-agency RMBS75,137 (14,691)53,484 (3,834)128,621 (18,525)
ABS685,990 (48,913)686,190 (21,808)1,372,180 (70,721)
Municipals52,994 (10,120)96,003 (6,085)148,997 (16,205)
Total fixed maturities, available for sale$3,615,234 $(497,762)$6,269,478 $(358,826)$9,884,712 $(856,588)

At September 30, 2023, 4,856 fixed maturities (2022: 4,525) were in an unrealized loss position of $863 million (2022: $857 million), of which $39 million (2022: $64 million) was related to securities below investment grade or not rated.

At September 30, 2023, 3,386 fixed maturities (2022: 1,842) had been in a continuous unrealized loss position for twelve months or greater and had a fair value of $6,556 million (2022: $3,615 million).

The unrealized losses of $863 million (2022: $857 million) were due to non-credit factors and were expected to be recovered as the related securities approach maturity.

At September 30, 2023, 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)     Fixed Maturities, 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 September 30, 2023
Held to maturity
Corporate debt$90,200 $— $90,200 $— $(12,779)$77,421 
ABS(1)
622,640 — 622,640 41 (3,463)619,218 
Total fixed maturities, held to maturity$712,840 $— $712,840 $41 $(16,242)$696,639 
At December 31, 2022    
Held to maturity
Corporate debt$85,200 $— $85,200 $— $(11,428)$73,772 
ABS(1)
613,151 — 613,151 — (12,180)600,971 
Total fixed maturities, held to maturity$698,351 $— $698,351 $— $(23,608)$674,743 
(1)Asset-backed securities ("ABS") include debt tranched securities collateralized primarily by collateralized loan obligations ("CLOs").

At September 30, 2023, fixed maturities, held to maturity of $713 million (2022: $698 million) were presented net of an allowance for expected credit losses of $nil (2022: $nil).

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 September 30, 2023, 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 September 30, 2023, the allowance for credit losses expected to be recognized over the life of the Company's corporate debt, held to maturity was $nil.
Contractual Maturities
ABS classified as held to maturity with a net carrying value of $623 million (2022: $613 million) do not have a single maturity date and cannot be allocated over several maturity groupings.

Corporate debt classified as held to maturity with a net carrying value of $86 million (2022: $81 million) is due between 3 years and 10 years and corporate debt classified as held to maturity with a net carrying value of $4 million (2022: $4 million) is due after ten years.
c)     Equity Securities
The following table provides the cost and fair values of the Company's equity securities:
Cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
At September 30, 2023
Equity securities
Common stocks$3,130 $327 $(407)$3,050 
Preferred stocks5,339 — (253)5,086 
Exchange-traded funds191,711 85,115 (3,032)273,794 
Bond mutual funds361,378 — (87,046)274,332 
Total equity securities$561,558 $85,442 $(90,738)$556,262 
At December 31, 2022   
Equity securities
Common stocks$7,279 $636 $(442)$7,473 
Preferred stocks115 — (43)72 
Exchange-traded funds207,505 68,058 (5,757)269,806 
Bond mutual funds279,457 — (71,555)207,902 
Total equity securities$494,356 $68,694 $(77,797)$485,253 


d)     Mortgage Loans

The following table provides details of the Company's mortgage loans, held for investment:
  
September 30, 2023December 31, 2022
  
Carrying value% of TotalCarrying value% of Total
Mortgage loans, held for investment:
Commercial$614,456 101 %$627,437 100 %
Allowance for expected credit losses (4,179)(1 %)— — %
Total mortgage loans, held for investment$610,277 100 %$627,437 100 %

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 quarterly.

The Company has a high quality mortgage loan portfolio with a weighted average debt service coverage ratio of 1.9x (2022: 2.3x) and a weighted average loan-to-value ratio of 68% (2022: 60%). At September 30, 2023, and 2022 there were no past due amounts associated with the commercial mortgage loans held by the Company.

On a quarterly basis, collateral dependent mortgage loans (e.g., when the borrower is experiencing financial difficulty, including when foreclosure is reasonably possible or probable) are evaluated individually for credit losses. The allowance for expected credit losses for a collateral dependent loan is established as the excess of amortized cost over the estimated fair value of the loan's underlying collateral, less selling cost when foreclosure is probable. Accordingly, the change in the estimated fair value of collateral dependent
loans, which are evaluated individually for credit losses, is recognized as a change in the allowance for expected credit losses which is recorded in net investment gains (losses).

At September 30, 2023, there are two collateral dependent loans with estimated loan-to-value ratios in excess of 100%, resulting in an allowance for expected credit loss of $4 million.

e)     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 value% of Total
Redemption frequency
(if currently eligible)
  Redemption  
  notice period  
At September 30, 2023    
Multi-strategy funds$25,465 3 %Quarterly
60-90 days
Direct lending funds229,235 24 %
Quarterly(1)
90 days
Private equity funds283,838 30 %n/an/a
Real estate funds307,177 32 %
Quarterly(2), Annually(3)
45-90 days
CLO-Equities4,684 — %n/an/a
Other privately held investments104,172 11 %n/an/a
Total other investments$954,571 100 % 
At December 31, 2022    
Multi-strategy funds$32,616 3 %Quarterly
60-90 days
Direct lending funds258,626 26 %
Quarterly(1)
90 days
Private equity funds265,836 27 %n/an/a
Real estate funds298,499 30 %
Quarterly(2), Annually(3)
45-90 days
CLO-Equities5,016 — %n/an/a
Other privately held investments136,158 14 %n/an/a
Total other investments$996,751 100 %  
     
n/a - not applicable
(1) Applies to one fund with a fair value of $22 million (2022: $39 million).
(2) Applies to one fund with a fair value of $67 million (2022: $73 million).
(3) Applies to one fund with a fair value of $24 million (2022: $27 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 nine months ended September 30, 2023 and 2022, neither of these restrictions impacted the Company's redemption requests. At September 30, 2023, there were no hedge fund holdings (2022: $nil) where the Company is still within the lockup period. 

At September 30, 2023, the Company had $28 million (2022: $26 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 September 30, 2023, the Company had $191 million (2022: $183 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 September 30, 2023, the Company had $153 million (2022: $158 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 six years.
At September 30, 2023, the Company had $119 million (2022: $141 million) of unfunded commitments as a limited partner in real estate funds. These funds include an open-ended fund and funds with investment terms ranging from two years to the dissolution of the underlying fund.
At September 30, 2023, the Company had $15 million (2022: $16 million) of unfunded commitments as a limited partner in two early-stage venture capital funds focusing on financial services technology with an emphasis on insurance technology. These funds have investment terms of 5 years.

f)     Equity Method Investments

During May 2023, the Company paid $11 million to acquire 18% of the common equity of Monarch Point Re (ISAC) Ltd. and Monarch Point Re (ISA 2023) Ltd., a collateralized reinsurance company formed under the laws of Bermuda as an incorporated segregated accounts company under the Incorporated Segregated Accounts Companies Act 2019, as amended (the “ISAC Act”). Monarch Point Re is an independent reinsurer jointly sponsored by the Company and Stone Point Credit, LLC ("Stone Point").

The Company will retrocede a diversified portfolio of casualty reinsurance business to Monarch Point Re and Stone Point will serve as its investment manager. The Company expects to benefit from underwriting fees generated by Monarch Point Re and the income and capital appreciation Stone Point seeks to deliver through its investment management services.

Monarch Point Re is not a Variable Interest Entity ("VIE") that is required to be included in the Company's consolidated financial statements. The Company accounts for its ownership interest in Monarch Point Re under the equity method of accounting.

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 Variable Interest Entity ("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.

g)     Variable Interest Entities

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 75% of the Company's other investments. The investments in limited partnerships include hedge funds, direct lending funds, private equity funds and real estate funds and CLO equity tranched securities, which are variable interests issued by VIEs (refer to Note 3(e) '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.

h)     Net Investment Income

Net investment income was derived from the following sources:
  
Three months ended September 30,Nine months ended September 30,
  
2023202220232022
Fixed maturities$133,006 $87,364 $375,659 $224,780 
Other investments312 (7,576)(4,543)32,801 
Equity securities3,050 2,490 8,495 7,349 
Mortgage loans8,892 6,256 26,158 15,323 
Cash and cash equivalents14,465 5,350 35,638 10,147 
Short-term investments2,195 1,004 5,984 1,571 
Gross investment income
161,920 94,888 447,391 291,971 
Investment expenses(7,719)(6,711)(22,589)(20,227)
Net investment income$154,201 $88,177 $424,802 $271,744 

i)     Net Investment Gains (Losses)

The following table provides an analysis of net investment gains (losses):
  Three months ended September 30,Nine months ended September 30,
  2023202220232022
Gross realized investment gains
Fixed maturities and short-term investments$4,143 $1,095 $27,973 $11,390 
Equity securities8,433 6,997 9,968 6,997 
Gross realized investment gains12,576 8,092 37,941 18,387 
Gross realized investment losses
Fixed maturities and short-term investments(31,390)(100,021)(128,733)(249,514)
Equity securities(4)(178)(400)(403)
Gross realized investment losses(31,394)(100,199)(129,133)(249,917)
(Increase) decrease in allowance for expected credit losses, fixed maturities, available for sale1,618 (3,210)2,800 (10,191)
(Increase) decrease in allowance for expected credit losses, mortgage loans(541)— (4,179)— 
Impairment losses(1)
(41)(6,491)(9,124)(7,074)
Change in fair value of investment derivatives(2)
1,692 4,400 218 11,463 
Net unrealized gains (losses) on equity securities(37,024)(49,050)3,806 (176,899)
Net investment losses$(53,114)$(146,458)$(97,671)$(414,231)
(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 September 30,Nine months ended September 30,
  2023202220232022
Balance at beginning of period$10,551 $7,294 $11,733 $313 
Expected credit losses on securities where credit losses were not previously recognized
21 6,320 4,376 13,228 
Additions (reductions) for expected credit losses on securities where credit losses were previously recognized
708 (592)404 (500)
Impairments of securities which the Company intends to sell or more likely than not will be required to sell— — — — 
Securities sold/redeemed/matured(2,347)(2,518)(7,580)(2,537)
Balance at end of period$8,933 $10,504 $8,933 $10,504