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Investments
 3 Months Ended
Mar. 31, 2020
Schedule of Investments [Abstract]  
Investments Investments
a)
Fixed Maturities
The original or amortized cost, estimated fair value and gross unrealized gains and losses of fixed maturities at March 31, 2020 and December 31, 2019 are as follows:
March 31, 2020
 
Original or amortized cost
 
Gross unrealized gains
 
Gross unrealized losses
 
Fair value
U.S. treasury bonds
 
$
84,959

 
$
1,185

 
$
(1
)
 
$
86,143

U.S. agency bonds – mortgage-backed
 
495,747

 
19,510

 
(132
)
 
515,125

Non-U.S. government and supranational bonds
 
7,290

 
93

 
(200
)
 
7,183

Asset-backed securities
 
187,255

 
495

 
(14,715
)
 
173,035

Corporate bonds
 
755,438

 
9,336

 
(37,716
)
 
727,058

Total fixed maturity investments
 
$
1,530,689

 
$
30,619

 
$
(52,764
)
 
$
1,508,544


4. Investments (continued)
December 31, 2019
 
Original or amortized cost
 
Gross unrealized gains
 
Gross unrealized losses
 
Fair value
U.S. treasury bonds
 
$
94,921

 
$
704

 
$
—

 
$
95,625

U.S. agency bonds – mortgage-backed
 
533,296

 
6,717

 
(1,291
)
 
538,722

Non-U.S. government and supranational bonds
 
11,796

 
294

 
(91
)
 
11,999

Asset-backed securities
 
187,881

 
821

 
(532
)
 
188,170

Corporate bonds
 
981,441

 
31,140

 
(15,725
)
 
996,856

Municipal bonds
 
4,091

 
55

 
—

 
4,146

Total fixed maturity investments
 
$
1,813,426

 
$
39,731

 
$
(17,639
)
 
$
1,835,518


The contractual maturities of our fixed maturities are shown in the table below. Actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.
March 31, 2020
 
Amortized cost
 
Fair value
Due in one year or less
 
$
124,415

 
$
123,759

Due after one year through five years
 
527,356

 
508,288

Due after five years through ten years
 
195,916

 
188,337

 
 
847,687

 
820,384

U.S. agency bonds – mortgage-backed
 
495,747

 
515,125

Asset-backed securities
 
187,255

 
173,035

Total fixed maturity investments
 
$
1,530,689

 
$
1,508,544


The following tables summarize fixed maturities 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:
 
 
Less than 12 Months
 
12 Months or More
 
Total
March 31, 2020
 
Fair
value
 
Unrealized
losses
 
Fair
value
 
Unrealized
losses
 
Fair
value
 
Unrealized
losses
U.S. treasury bonds
 
$
9,999

 
$
(1
)
 
$
—

 
$
—

 
$
9,999

 
$
(1
)
U.S. agency bonds – mortgage-backed
 
16,204

 
(132
)
 
—

 
—

 
16,204

 
(132
)
Non-U.S. government and supranational bonds
 
2,307

 
(180
)
 
162

 
(20
)
 
2,469

 
(200
)
Asset-backed securities
 
142,916

 
(12,976
)
 
16,154

 
(1,739
)
 
159,070

 
(14,715
)
Corporate bonds
 
245,591

 
(18,440
)
 
115,797

 
(19,276
)
 
361,388

 
(37,716
)
Total temporarily impaired fixed maturities
 
$
417,017

 
$
(31,729
)
 
$
132,113

 
$
(21,035
)
 
$
549,130

 
$
(52,764
)

At March 31, 2020, there were 184 securities in an unrealized loss position with a fair value of $549,130 and unrealized losses of $52,764. Of these securities, there were 50 securities that have been in an unrealized loss position for twelve months or greater with a fair value of $132,113 and unrealized losses of $21,035.
 
 
Less than 12 Months
 
12 Months or More
 
Total
December 31, 2019
 
Fair
value
 
Unrealized
losses
 
Fair
value
 
Unrealized
losses
 
Fair
value
 
Unrealized
losses
U.S. agency bonds – mortgage-backed
 
$
31,401

 
$
(257
)
 
$
85,008

 
$
(1,034
)
 
$
116,409

 
$
(1,291
)
Non-U.S. government and supranational bonds
 
1,824

 
(22
)
 
701

 
(69
)
 
2,525

 
(91
)
Asset-backed securities
 
60,863

 
(240
)
 
17,594

 
(292
)
 
78,457

 
(532
)
Corporate bonds
 
29,692

 
(305
)
 
159,216

 
(15,420
)
 
188,908

 
(15,725
)
Total temporarily impaired fixed maturities
 
$
123,780

 
$
(824
)
 
$
262,519

 
$
(16,815
)
 
$
386,299

 
$
(17,639
)

At December 31, 2019, there were 104 securities in an unrealized loss position with a fair value of $386,299 and unrealized losses of $17,639. Of these securities, there were 67 securities that have been in an unrealized loss position for twelve months or greater with a fair value of $262,519 and unrealized losses of $16,815.
4. Investments (continued)
Other-than-temporarily impaired
The Company performs quarterly reviews of its fixed maturities in order to determine whether declines in fair value below the amortized cost basis were considered other-than-temporary in accordance with applicable guidance. At March 31, 2020, we determined that unrealized losses on fixed maturities were primarily due to changes in interest rates as well as the impact of foreign exchange rate changes on certain foreign currency denominated fixed maturities since their date of purchase. All fixed maturity securities continue to pay the expected coupon payments under the contractual terms of the securities. Any credit-related impairment related to fixed maturity securities that the Company does not plan to sell and for which the Company is not more likely than not to be required to sell is recognized in net earnings, with the non-credit related impairment recognized in comprehensive earnings.
Based on our analysis, our fixed maturity portfolio is of high credit quality and we believe the amortized cost basis of the securities will ultimately be recovered. The Company continually monitors the credit quality of the fixed maturity investments to assess if it is probable that it will receive contractual or estimated cash flows in the form of principal and interest. For the three months ended March 31, 2020, we recognized $1,506 (2019 - $0) in OTTI charges in earnings on two fixed maturity securities.
The following tables summarize the credit ratings of our fixed maturities as at March 31, 2020 and December 31, 2019:
March 31, 2020
 
Amortized cost
 
Fair value
 
% of Total
fair value
U.S. treasury bonds
 
$
84,959

 
$
86,143

 
5.7
%
U.S. agency bonds
 
495,747

 
515,125

 
34.2
%
AAA
 
97,181

 
92,229

 
6.1
%
AA+, AA, AA-
 
87,667

 
82,028

 
5.4
%
A+, A, A-
 
357,080

 
343,162

 
22.8
%
BBB+, BBB, BBB-
 
382,271

 
371,173

 
24.6
%
BB+ or lower
 
25,784

 
18,684

 
1.2
%
Total fixed maturities (1)
 
$
1,530,689

 
$
1,508,544

 
100.0
%

December 31, 2019
 
Amortized cost
 
Fair value
 
% of Total
fair value
U.S. treasury bonds
 
$
94,921

 
$
95,625

 
5.2
%
U.S. agency bonds
 
533,296

 
538,722

 
29.4
%
AAA
 
99,212

 
99,542

 
5.4
%
AA+, AA, AA-
 
101,491

 
101,467

 
5.5
%
A+, A, A-
 
540,002

 
549,479

 
29.9
%
BBB+, BBB, BBB-
 
438,731

 
445,202

 
24.3
%
BB+ or lower
 
5,773

 
5,481

 
0.3
%
Total fixed maturities(1)
 
$
1,813,426

 
$
1,835,518

 
100.0
%
(1)
Ratings above are based on Standard & Poor’s ("S&P"), or equivalent, ratings.
b)
Other Investments
The table below shows the fair value of the Company's other investments as at March 31, 2020 and December 31, 2019:
 
 
March 31, 2020
 
December 31, 2019
 
 
Fair value
 
% of Total
fair value
 
Fair value
 
% of Total
fair value
Investment in limited partnerships
 
$
3,092

 
63.2
%
 
$
3,077

 
63.1
%
Other
 
1,800

 
36.8
%
 
1,800

 
36.9
%
Total other investments
 
$
4,892

 
100.0
%
 
$
4,877

 
100.0
%

The Company also holds other investments made by special purpose vehicles related to lending activities of $29,196 at March 31, 2020 (December 31, 2019 - $26,871). These investments are carried at cost less impairment, if any, with any indication of impairment recognized in income when determined. Because these investments are carried at cost, they are not included in the table above. Please see "Note 5 - Fair Value Measurements" for additional information. The Company has remaining unfunded commitments on its investment in limited partnerships of $333 at March 31, 2020 (December 31, 2019 - $340). The Company also has a remaining
unfunded commitment on its investment in special purpose vehicles focused on lending activities of $1,296 at March 31, 2020 (December 31, 2019 - $767).
4. Investments (continued)
c)
Net Investment Income
Net investment income was derived from the following sources:
 
 
For the Three Months Ended March 31,
 
 
2020
 
2019
Fixed maturities
 
$
12,651

 
$
26,220

Funds withheld interest
 
3,853

 
4,537

Loan to related party
 
1,365

 
1,822

Cash and cash equivalents and other
 
496

 
275

 
 
18,365

 
32,854

Investment expenses
 
(401
)
 
(832
)
Net investment income
 
$
17,964

 
$
32,022


d)
Realized Gains (Losses) on Investment
Realized gains or losses on the sale of investments are determined on the basis of the first in first out cost method. The following tables show the net realized gains (losses) on investment included in the Condensed Consolidated Statements of Income:
For the Three Months Ended March 31, 2020
 
Gross gains
 
Gross losses
 
Net
Fixed maturities
 
$
10,932

 
$
(1
)
 
$
10,931

Other investments
 
107

 
—

 
107

Net realized gains (losses) on investment
 
$
11,039

 
$
(1
)
 
$
11,038

 
 
 
 
 
 
 
For the Three Months Ended March 31, 2019
 
Gross gains
 
Gross losses
 
Net
Fixed maturities
 
$
2,424

 
$
(13,380
)
 
$
(10,956
)
Other investments
 
—

 
(145
)
 
(145
)
Net realized gains (losses) on investment
 
$
2,424

 
$
(13,525
)
 
$
(11,101
)

Proceeds from sales of fixed maturities were $224,471 for the three months ended March 31, 2020 (2019 - $84,361).
Net unrealized (losses) gains on investments were as follows at March 31, 2020 and December 31, 2019, respectively:
 
 
March 31, 2020
 
December 31, 2019
Fixed maturities
 
$
(22,144
)
 
$
22,092

Deferred income tax
 
19

 
(96
)
Net unrealized gains (losses), net of deferred income tax
 
$
(22,125
)
 
$
21,996

Change, net of deferred income tax
 
$
(44,121
)
 
$
81,758


e)
Restricted Cash and Cash Equivalents and Investments
The Company is required to provide collateral for its reinsurance liabilities under various reinsurance agreements and utilizes trust accounts to collateralize business with reinsurance counterparties. The assets in trust as collateral are primarily cash and highly rated fixed maturities. The fair values of these restricted assets were as follows at March 31, 2020 and December 31, 2019:
 
 
March 31, 2020
 
December 31, 2019
Restricted cash – third party agreements
 
$
21,454

 
$
21,447

Restricted cash – related party agreements
 
96,449

 
37,634

Total restricted cash
 
117,903

 
59,081

Restricted investments – in trust for third party agreements at fair value (amortized cost: 2020 – $66,307; 2019 – $65,539)
 
66,369

 
65,678

Restricted investments – in trust for related party agreements at fair value (amortized cost: 2020 – $1,121,189; 2019 – $1,366,873)
 
1,113,184

 
1,382,994

Total restricted investments
 
1,179,553

 
1,448,672

Total restricted cash and investments
 
$
1,297,456

 
$
1,507,753