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Investment Information (Tables)
 6 Months Ended
Jun. 30, 2020
Disclosure Investment Information [Abstract]  
Summary of fair value and cost or amortized cost of available for sale securities
The following table summarizes the fair value and cost or amortized cost of the Company’s securities classified as available for sale:
 
Estimated
Fair
Value
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Allowance for Expected Credit Losses (2)
 
Cost or
Amortized
Cost
June 30, 2020
 
 
 
 
 
 
 
 
 
Fixed maturities (1):
 
 
 
 
 
 
 
 
 
Corporate bonds
$
7,143,600

 
$
405,579

 
$
(34,700
)
 
$
(4,116
)
 
$
6,776,837

Mortgage backed securities
610,839

 
12,417

 
(5,245
)
 
(222
)
 
603,889

Municipal bonds
517,089

 
25,222

 
(542
)
 
(28
)
 
492,437

Commercial mortgage backed securities
395,682

 
7,603

 
(8,005
)
 
(109
)
 
396,193

U.S. government and government agencies
5,192,991

 
64,502

 
(2,708
)
 
—

 
5,131,197

Non-U.S. government securities
2,171,955

 
71,666

 
(43,928
)
 
—

 
2,144,217

Asset backed securities
1,633,481

 
31,410

 
(39,421
)
 
(1,394
)
 
1,642,886

Total
17,665,637

 
618,399

 
(134,549
)
 
(5,869
)
 
17,187,656

Short-term investments
2,277,866

 
2,087

 
(634
)
 
—

 
2,276,413

Total
$
19,943,503

 
$
620,486

 
$
(135,183
)
 
$
(5,869
)
 
$
19,464,069

 
 
 
 
 
 
 
 
 
 
December 31, 2019
 
 
 
 
 
 
 
 
 
Fixed maturities (1):
 
 
 
 
 
 
 
 
 
Corporate bonds
$
6,406,591

 
$
191,889

 
$
(12,793
)
 
 
 
$
6,227,495

Mortgage backed securities
562,309

 
9,669

 
(931
)
 
 
 
553,571

Municipal bonds
881,926

 
24,628

 
(2,213
)
 
 
 
859,511

Commercial mortgage backed securities
733,108

 
14,951

 
(2,330
)
 
 
 
720,487

U.S. government and government agencies
4,916,592

 
36,600

 
(10,134
)
 
 
 
4,890,126

Non-U.S. government securities
2,078,757

 
48,549

 
(20,330
)
 
 
 
2,050,538

Asset backed securities
1,683,753

 
24,017

 
(4,724
)
 
 
 
1,664,460

Total
17,263,036

 
350,303

 
(53,455
)
 
 
 
16,966,188

Short-term investments
956,546

 
811

 
(1,548
)
 
 
 
957,283

Total
$
18,219,582

 
$
351,114

 
$
(55,003
)
 
 
 
$
17,923,471

(1)
In securities lending transactions, the Company receives collateral in excess of the fair value of the fixed maturities pledged. For purposes of this table, the Company has excluded the collateral received under securities lending, at fair value and included the securities pledged under securities lending, at fair value. See “—Securities Lending Agreements.”
(2)
Effective January 1, 2020, the Company adopted ASU 2016-13 and as a result any credit impairment losses on the Company’s available-for-sale investments are recorded as an allowance, subject to reversal.
Summary of available for sale securities in a continual unrealized loss position
The following table summarizes, for all available for sale securities in an unrealized loss position, the fair value and gross unrealized loss by length of time the security has been in a continual unrealized loss position:
 
Less than 12 Months
 
12 Months or More
 
Total
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
June 30, 2020
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities (1):
 
 
 
 
 
 
 
 
 
 
 
Corporate bonds
$
737,840

 
$
(32,848
)
 
$
8,726

 
$
(1,852
)
 
$
746,566

 
$
(34,700
)
Mortgage backed securities
150,547

 
(5,212
)
 
108

 
(33
)
 
150,655

 
(5,245
)
Municipal bonds
46,969

 
(542
)
 
—

 
—

 
46,969

 
(542
)
Commercial mortgage backed securities
205,336

 
(7,858
)
 
2,523

 
(147
)
 
207,859

 
(8,005
)
U.S. government and government agencies
412,319

 
(2,708
)
 
—

 
—

 
412,319

 
(2,708
)
Non-U.S. government securities
1,371,109

 
(43,928
)
 
—

 
—

 
1,371,109

 
(43,928
)
Asset backed securities
721,451

 
(37,069
)
 
32,198

 
(2,352
)
 
753,649

 
(39,421
)
Total
3,645,571

 
(130,165
)
 
43,555

 
(4,384
)
 
3,689,126

 
(134,549
)
Short-term investments
1,025,993

 
(634
)
 
—

 
—

 
1,025,993

 
(634
)
Total
$
4,671,564

 
$
(130,799
)
 
$
43,555

 
$
(4,384
)
 
$
4,715,119

 
$
(135,183
)
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2019
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities (1):
 
 
 
 
 
 
 
 
 
 
 
Corporate bonds
$
675,131

 
$
(12,350
)
 
$
37,671

 
$
(443
)
 
$
712,802

 
$
(12,793
)
Mortgage backed securities
102,887

 
(927
)
 
203

 
(4
)
 
103,090

 
(931
)
Municipal bonds
220,296

 
(2,213
)
 
—

 
—

 
220,296

 
(2,213
)
Commercial mortgage backed securities
147,290

 
(2,302
)
 
2,683

 
(28
)
 
149,973

 
(2,330
)
U.S. government and government agencies
1,373,127

 
(10,089
)
 
32,058

 
(45
)
 
1,405,185

 
(10,134
)
Non-U.S. government securities
1,224,243

 
(20,163
)
 
37,610

 
(167
)
 
1,261,853

 
(20,330
)
Asset backed securities
441,522

 
(3,334
)
 
48,313

 
(1,390
)
 
489,835

 
(4,724
)
Total
4,184,496

 
(51,378
)
 
158,538

 
(2,077
)
 
4,343,034

 
(53,455
)
Short-term investments
95,777

 
(1,548
)
 
—

 
—

 
95,777

 
(1,548
)
Total
$
4,280,273

 
$
(52,926
)
 
$
158,538

 
$
(2,077
)
 
$
4,438,811

 
$
(55,003
)
(1)
In securities lending transactions, the Company receives collateral in excess of the fair value of the fixed maturities pledged. For purposes of this table, the Company has excluded the collateral received under securities lending, at fair value and included the securities pledged under securities lending, at fair value. See “—Securities Lending Agreements.”
Contractual maturities of the Company's fixed maturities and fixed maturities pledged under securities lending arrangements
The contractual maturities of the Company’s fixed maturities are shown in the following table. Expected maturities, which are management’s best estimates, will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.
 
 
June 30, 2020
 
December 31, 2019
Maturity
 
Estimated
Fair
Value
 
Amortized
Cost
 
Estimated
Fair
Value
 
Amortized
Cost
Due in one year or less
 
$
344,032

 
$
339,451

 
$
428,659

 
$
423,617

Due after one year through five years
 
9,873,345

 
9,645,073

 
10,126,403

 
9,996,206

Due after five years through 10 years
 
4,379,828

 
4,163,392

 
3,317,535

 
3,219,567

Due after 10 years
 
428,430

 
396,772

 
411,269

 
388,280

 
 
15,025,635

 
14,544,688

 
14,283,866

 
14,027,670

Mortgage backed securities
 
610,839

 
603,889

 
562,309

 
553,571

Commercial mortgage backed securities
 
395,682

 
396,193

 
733,108

 
720,487

Asset backed securities
 
1,633,481

 
1,642,886

 
1,683,753

 
1,664,460

Total (1)
 
$
17,665,637

 
$
17,187,656

 
$
17,263,036

 
$
16,966,188


(1)
In securities lending transactions, the Company receives collateral in excess of the fair value of the fixed maturities pledged. For purposes of this table, the Company has excluded the collateral received under securities lending, at fair value and included the securities pledged under securities lending, at fair value.
See “—Securities Lending Agreements.”
Securities lending transactions accounted for as secured borrowings, by significant investment category
The carrying value of collateral held under the Company’s securities lending transactions by significant investment category and remaining contractual maturity of the underlying agreements is as follows:
 
 
Remaining Contractual Maturity of the Agreements
 
 
Overnight and Continuous
 
Less than 30 Days
 
30-90 Days
 
90 Days or More
 
Total
June 30, 2020
 
 
 
 
 
 
 
 
 
 
U.S. government and government agencies
 
$
291,730

 
$
—

 
$
153,552

 
$
—

 
$
445,282

Corporate bonds
 
2,336

 
—

 
—

 
—

 
2,336

Equity securities
 
26,165

 
—

 
—

 
—

 
26,165

Total
 
$
320,231

 
$
—

 
$
153,552

 
$
—

 
$
473,783

Gross amount of recognized liabilities for securities lending in offsetting disclosure in note 9
 
$
—

Amounts related to securities lending not included in offsetting disclosure in note 9
 
$
473,783

 
 
 
 
 
 
 
 
 
 
 
December 31, 2019
 
 
 
 
 
 
 
 
 
 
U.S. government and government agencies
 
$
240,332

 
$
—

 
$
115,973

 
$
—

 
$
356,305

Corporate bonds
 
2,570

 
—

 
—

 
—

 
2,570

Equity securities
 
29,491

 
—

 
—

 
—

 
29,491

Total
 
$
272,393

 
$
—

 
$
115,973

 
$
—

 
$
388,366

Gross amount of recognized liabilities for securities lending in offsetting disclosure in note 9
 
$
—

Amounts related to securities lending not included in offsetting disclosure in note 9
 
$
388,366
Summary of other investments
The following table summarizes the Company’s other investments which are included in investments accounted for using the fair value option, by strategy:
 
June 30,
2020
 
December 31,
2019
Term loan investments
$
1,109,031

 
$
1,326,018

Lending
579,320

 
602,841

Credit related funds
92,970

 
123,020

Energy
66,667

 
97,402

Investment grade fixed income
133,936

 
151,594

Infrastructure
48,427

 
61,786

Private equity
72,888

 
49,376

Real estate
19,251

 
17,279

Total
$
2,122,490

 
$
2,429,316
Summary of investments accounted for using equity method
The following table summarizes the Company’s investments accounted for using the equity method, by strategy:
 
June 30,
2020
 
December 31,
2019
Credit related funds
$
624,382

 
$
428,437

Equities
292,499

 
293,686

Real estate
249,822

 
246,851

Lending
137,270

 
202,690

Private equity
181,492

 
144,983

Infrastructure
141,972

 
235,033

Energy
99,865

 
108,716

Total
$
1,727,302

 
$
1,660,396
Summary of assets and liabilities accounted for using the fair value option
The following table summarizes the Company’s assets which are accounted for using the fair value option:
 
June 30,
2020
 
December 31,
2019
Fixed maturities
$
923,804

 
$
754,452

Other investments
2,122,490

 
2,429,316

Short-term investments
384,382

 
377,014

Equity securities
90,095

 
102,695

Investments accounted for using the fair value option
$
3,520,771

 
$
3,663,477
Summary of investments in limited partnership interests where the Company has a variable interest
The following table summarizes investments in limited partnership interests where the Company has a variable interest by balance sheet line item:
 
June 30,
2020
 
December 31,
2019
Investments accounted for using the equity method (1)
1,727,302

 
1,660,396

Investments accounted for using the fair value option (2)
178,894

 
188,283

Total
$
1,906,196

 
$
1,848,679

(1)
Aggregate unfunded commitments were $1.44 billion at June 30, 2020, compared to $1.36 billion at December 31, 2019.
(2)
Aggregate unfunded commitments were $32.3 million at June 30, 2020, compared to $41.7 million at December 31, 2019.
Components of net investment income
The components of net investment income were derived from the following sources:
 
June 30,
 
2020
 
2019
Three Months Ended
 
 
 
Fixed maturities
$
105,391

 
$
125,018

Term loans
20,512

 
24,730

Equity securities
6,219

 
4,368

Short-term investments
3,383

 
3,859

Other (1)
16,460

 
18,523

Gross investment income
151,965

 
176,498

Investment expenses
(20,480
)
 
(21,460
)
Net investment income
$
131,485

 
$
155,038

 
 
 
 
Six Months Ended
 
 
 
Fixed maturities
$
220,238

 
$
254,817

Term loans
43,682

 
49,346

Equity securities
12,226

 
7,356

Short-term investments
8,279

 
8,038

Other (1)
35,866

 
39,719

Gross investment income
320,291

 
359,276

Investment expenses
(43,653
)
 
(47,289
)
Net investment income
$
276,638

 
$
311,987

(1)
Includes income distributions from investment funds and other items.
Summary of net realized gains (losses), excluding other-than-temporary impairment provisions
Net realized gains (losses), which include changes in the allowance for credit losses on financial assets and net impairment losses recognized in earnings were as follows:
 
June 30,
 
2020
 
2019
Three Months Ended
 
 
 
Available for sale securities:
 

 
 

Gross gains on investment sales
$
232,153

 
$
75,090

Gross losses on investment sales
(49,824
)
 
(15,281
)
Change in fair value of assets and liabilities accounted for using the fair value option:
 
 
 
Fixed maturities
68,181

 
11,429

Other investments
178,570

 
(33,780
)
Equity securities
6,664

 
6,414

Short-term investments
3,368

 
(1,392
)
Equity securities, at fair value:
 
 
 
Net realized gains (losses) on sales during the period
(18,250
)
 
(6,644
)
Net unrealized gains (losses) on equity securities still held at reporting date
145,686

 
22,632

Allowance for credit losses:
 
 
 
Investments related
3,225

 
—

Underwriting related
(5,834
)
 
—

Net impairment losses
—

 
(49
)
Derivative instruments (1)
(836
)
 
63,966

Other
(6,515
)
 
(1,628
)
Net realized gains (losses)
$
556,588

 
$
120,757

 
 
 
 
Six Months Ended
 
 
 
Available for sale securities:
 
 
 
Gross gains on investment sales
$
410,353

 
$
118,455

Gross losses on investment sales
(81,792
)
 
(46,937
)
Change in fair value of assets and liabilities accounted for using the fair value option:
 
 
 
Fixed maturities
(59,485
)
 
42,577

Other investments
(129,230
)
 
(15,585
)
Equity securities
1,755

 
10,680

Short-term investments
(5,313
)
 
(672
)
Equity securities, at fair value:
 
 
 
Net realized gains (losses) on sales during the period
(18,789
)
 
4,286

Net unrealized gains (losses) on equity securities still held at reporting date
(29,880
)
 
59,768

Allowance for credit losses:
 
 
 
Investments related
(6,095
)
 
—

Underwriting related
(9,104
)
 
—

Net impairments losses
(533
)
 
(1,358
)
Derivative instruments (1)
126,353

 
99,837

Other
(8,612
)
 
(10,038
)
Net realized gains (losses)
$
189,628

 
$
261,013


(1)
See note 9 for information on the Company’s derivative instruments.
Rollforward of the allowance for expected credit losses of securities classified as available for sale
The following table provides a roll forward of the allowance for expected credit losses of the Company’s securities classified as available for sale:
 
 
June 30, 2020
 
 
Structured Securities (1)
 
Municipal
Bonds
 
Corporate
Bonds
 
Short Term Investments
 
Total
Three Months Ended
 
 
 
 
 
 
 
 
Balance at beginning of period
 
$
2,654

 
$
23

 
$
7,232

 
$
29

 
$
9,938

Cumulative effect of accounting change
 
—

 
—

 
—

 
—

 
—

Additions for current-period provision for expected credit losses
 
695

 
44

 
290

 
(29
)
 
1,000

Additions (reductions) for previously recognized expected credit losses
 
(1,304
)
 
(25
)
 
(2,903
)
 
—

 
(4,232
)
Reductions due to disposals
 
(319
)
 
(14
)
 
(504
)
 
—

 
(837
)
Write-offs charged against the allowance
 
—

 
—

 
—

 
—

 
—

Balance at end of period
 
$
1,726

 
$
28

 
$
4,115

 
$
—

 
$
5,869

 
 
 
 
 
 
 
 
 
 
 
Six Months Ended
 
 
 
 
 
 
 
 
 
 
Balance at beginning of period
 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

Cumulative effect of accounting change
 
517

 
—

 
117

 
—

 
634

Additions for current-period provision for expected credit losses
 
2,841

 
67

 
7,441

 
—

 
10,349

Additions (reductions) for previously recognized expected credit losses
 
(1,306
)
 
(25
)
 
(2,924
)
 
—

 
(4,255
)
Reductions due to disposals
 
(326
)
 
(14
)
 
(519
)
 
—

 
(859
)
Write-offs charged against the allowance
 
—

 
—

 
—

 
—

 
—

Balance at end of period
 
$
1,726

 
$
28

 
$
4,115

 
$
—

 
$
5,869

(1)
Includes asset backed securities, mortgage backed securities and commercial mortgage backed securities.
Summary of restricted assets
The following table details the value of the Company’s restricted assets:
 
June 30,
2020
 
December 31,
2019
Assets used for collateral or guarantees:
 

 
 

Affiliated transactions
$
4,633,689

 
$
4,526,761

Third party agreements
2,525,173

 
2,278,248

Deposits with U.S. regulatory authorities
862,859

 
797,371

Deposits with non-U.S. regulatory authorities
189,107

 
119,238

Total restricted assets
$
8,210,828

 
$
7,721,618
Reconciliation of cash and restricted cash
The following table details reconciliation of cash and restricted cash within the Consolidated Balance Sheets:
 
June 30,
2020
 
December 31,
2019
Cash
$
854,259

 
$
726,230

Restricted cash (included in ‘other assets’)
$
210,424

 
$
177,468

Cash and restricted cash
$
1,064,683

 
$
903,698