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Investments (Tables)

9 Months Ended

Sep. 30, 2020

Original or amortized cost, estimated fair value and gross unrealized gains and losses of fixed maturities

The original or amortized cost, estimated fair value and gross unrealized gains and losses of fixed maturities at September 30, 2020 and December 31, 2019 are as follows:


September 30, 2020	Original or amortized cost		Gross unrealized gains		Gross unrealized losses		Fair value
U.S. treasury bonds	$	100,930	$	197	$	—	$	101,127
U.S. agency bonds – mortgage-backed	339,144		11,567		(361)		350,350

Non-U.S. government and supranational bonds	8,649		605		(32)		9,222
Asset-backed securities	184,982		1,233		(1,225)		184,990
Corporate bonds	625,210		27,782		(10,714)		642,278


Total fixed maturity investments	$	1,258,915	$	41,384	$	(12,332)	$	1,287,967


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

Contractual maturities of fixed maturities, available-for-sale

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.



September 30, 2020	Amortized cost		Fair value
Due in one year or less	$	161,459	$	160,918
Due after one year through five years	445,698		459,737
Due after five years through ten years	127,632		131,972

	734,789		752,627
U.S. agency bonds – mortgage-backed	339,144		350,350
Asset-backed securities	184,982		184,990
Total fixed maturity investments	$	1,258,915	$	1,287,967

Summary of fixed maturities in an unrealized loss position and the aggregate fair value and gross unrealized loss by length of time the securities have continuously been in an unrealized loss position

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
September 30, 2020	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses

U.S. agency bonds – mortgage-backed	$	25,644	$	(252)	$	9,871	$	(109)	$	35,515	$	(361)
Non-U.S. government and supranational bonds	1,481		(11)		597		(21)		2,078		(32)
Asset-backed securities	35,748		(450)		60,211		(775)		95,959		(1,225)
Corporate bonds	100,944		(4,857)		76,452		(5,857)		177,396		(10,714)

Total temporarily impaired fixed maturities	$	163,817	$	(5,570)	$	147,131	$	(6,762)	$	310,948	$	(12,332)


	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)

Summary of the credit ratings of fixed maturities

The following tables summarize the credit ratings of our fixed maturities as at September 30, 2020 and December 31, 2019:


September 30, 2020	Amortized cost		Fair value		% of Total fair value
U.S. treasury bonds	$	100,930	$	101,127	7.8	%
U.S. agency bonds	339,144		350,350		27.2	%
AAA	97,188		97,508		7.6	%
AA+, AA, AA-	114,808		116,591		9.1	%
A+, A, A-	280,518		288,467		22.4	%
BBB+, BBB, BBB-	280,263		289,970		22.5	%
BB+ or lower	46,064		43,954		3.4	%
Total fixed maturities (1)	$	1,258,915	$	1,287,967	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

Portfolio of other investments

The table below shows the fair value of the Company's other investments as at September 30, 2020 and December 31, 2019:


	September 30, 2020				December 31, 2019
	Fair value		% of Total fair value		Fair value		% of Total fair value
Hedge fund investments	$	25,376	60.4	%	$	—	—	%
Investment in limited partnerships	13,850		33.0	%	3,077		63.1	%
Other	2,800		6.6	%	1,800		36.9	%
Total other investments	$	42,026	100.0	%	$	4,877	100.0	%

Net investment income

Net investment income was derived from the following sources:


	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2020		2019		2020		2019
Fixed maturities	$	7,647	$	19,798	$	29,933	$	69,540
Funds withheld interest	3,981		5,267		11,843		14,973
Loan to related party	886		1,777		3,111		5,441
Cash and cash equivalents and other	548		599		1,203		2,190
	13,062		27,441		46,090		92,144
Interest paid on LPT/ADC and Commutation (1)	—		(13,596)		—		(13,596)
Investment expenses	(376)		(622)		(1,131)		(2,181)
Net investment income	$	12,686	$	13,223	$	44,959	$	76,367

(1) Interest expense paid on LPT/ADC Agreement and Commutation Payment includes: a) Maiden Reinsurance paid Enstar approximately $7,261 in interest related to the LPT/ADC Agreement premium, calculated at the rate of 2.64% per annum from January 1, 2019 through August 12, 2019; and b) Maiden Reinsurance paid AII approximately $6,335 in interest related to the Commutation Payment premium, calculated at the rate of 3.30% per annum from January 1, 2019 through August 12, 2019. Settlement of funding for the LPT/ADC Agreement and Commutation Payment occurred on August 12, 2019 by Maiden Reinsurance's transfer of cash and invested assets as described in Part I of our Annual Report on Form 10-K for the year ended December 31, 2019.

Analysis of realized and unrealized 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 September 30, 2020	Gross gains		Gross losses		Net
Fixed maturities	$	3,948	$	—	$	3,948
Other investments	715		(530)		185
Net realized gains (losses) on investment	$	4,663	$	(530)	$	4,133

For the Three Months Ended September 30, 2019	Gross gains		Gross losses		Net
Fixed maturities	$	13,506	$	(904)	$	12,602
Other investments	98		—		98
Net realized gains (losses) on investment	$	13,604	$	(904)	$	12,700

For the Nine Months Ended September 30, 2020	Gross gains		Gross losses		Net
AFS fixed maturities	$	23,939	$	(1)	$	23,938
Other investments	822		(714)		108
Net realized gains (losses) on investment	$	24,761	$	(715)	$	24,046

For the Nine Months Ended September 30, 2019	Gross gains		Gross losses		Net
AFS fixed maturities	$	41,366	$	(15,785)	$	25,581
Other investments	249		(145)		104
Net realized gains (losses) on investment	$	41,615	$	(15,930)	$	25,685

Net unrealized gains on available-for-sale securities and other investments

Net unrealized gains on investments were as follows at September 30, 2020 and December 31, 2019, respectively:


	September 30, 2020		December 31, 2019
Fixed maturities	$	29,052	$	22,092


Deferred income tax	(114)		(96)
Net unrealized gains, net of deferred income tax	$	28,938	$	21,996
Change, net of deferred income tax	$	6,942	$	81,758

Fair value of restricted assets

The fair values of these restricted assets were as follows at September 30, 2020 and December 31, 2019:


	September 30, 2020		December 31, 2019
Restricted cash – third party agreements	$	22,669	$	21,447
Restricted cash – related party agreements	75,505		37,634
Total restricted cash	98,174		59,081
Restricted investments – in trust for third party agreements at fair value (amortized cost: 2020 – $62,013; 2019 – $65,539)	62,059		65,678
Restricted investments – in trust for related party agreements at fair value (amortized cost: 2020 – $972,375; 2019 – $1,366,873)	997,935		1,382,994

Total restricted investments	1,059,994		1,448,672
Total restricted cash and investments	$	1,158,168	$	1,507,753