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INVESTMENTS (Tables)
 9 Months Ended
Sep. 30, 2023
Investments, Debt and Equity Securities [Abstract]  
AMORTIZED COST AND FAIR VALUES OF 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 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 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 %
FIXED MATURITIES AVAILABLE FOR SALE 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 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)
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").
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 
MORTGAGE LOANS NET OF VALUATION ALLOWANCE
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 %
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 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).
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 
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'.
ALLOWANCE FOR EXPECTED CREDIT LOSSES ON FIXED MATURITIES AVAILABLE FOR SALE
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