Investment Information (Tables)

3 Months Ended

Mar. 31, 2021

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
March 31, 2021
Fixed maturities (1):
Corporate bonds	$	8,072,883	$	242,832	$	(83,961)	$	(2,569)	$	7,916,581
Mortgage backed securities	571,071		7,066		(11,165)		(325)		575,495
Municipal bonds	457,329		19,942		(4,814)		(2)		442,203
Commercial mortgage backed securities	255,373		2,755		(1,721)		(5)		254,344
U.S. government and government agencies	5,042,208		15,102		(30,545)		—		5,057,651
Non-U.S. government securities	2,425,882		127,886		(19,267)		(51)		2,317,314
Asset backed securities	2,028,441		18,817		(4,962)		(878)		2,015,464
Total	18,853,187		434,400		(156,435)		(3,830)		18,579,052
Short-term investments	1,269,631		920		(601)		—		1,269,312
Total	$	20,122,818	$	435,320	$	(157,036)	$	(3,830)	$	19,848,364
December 31, 2020
Fixed maturities (1):
Corporate bonds	$	7,856,571	$	414,247	$	(34,388)	$	(896)	$	7,477,608
Mortgage backed securities	630,001		8,939		(5,028)		(278)		626,368
Municipal bonds	494,522		27,291		(3,835)		(11)		471,077
Commercial mortgage backed securities	389,900		8,722		(2,954)		(122)		384,254
U.S. government and government agencies	5,557,077		22,612		(12,611)		—		5,547,076
Non-U.S. government securities	2,433,733		153,891		(8,060)		—		2,287,902
Asset backed securities	1,634,804		19,225		(10,715)		(1,090)		1,627,384
Total	18,996,608		654,927		(77,591)		(2,397)		18,421,669
Short-term investments	1,924,922		2,693		(2,063)		—		1,924,292
Total	$	20,921,530	$	657,620	$	(79,654)	$	(2,397)	$	20,345,961

(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
March 31, 2021
Fixed maturities (1):
Corporate bonds	$	3,253,030	$	(82,735)	$	15,894	$	(1,226)	$	3,268,924	$	(83,961)
Mortgage backed securities	383,760		(10,271)		20,648		(894)		404,408		(11,165)
Municipal bonds	90,634		(4,737)		1,827		(77)		92,461		(4,814)
Commercial mortgage backed securities	39,863		(759)		23,421		(962)		63,284		(1,721)
U.S. government and government agencies	3,920,377		(30,545)		—		—		3,920,377		(30,545)
Non-U.S. government securities	911,609		(18,433)		16,841		(834)		928,450		(19,267)
Asset backed securities	502,300		(2,391)		142,331		(2,571)		644,631		(4,962)
Total	9,101,573		(149,871)		220,962		(6,564)		9,322,535		(156,435)
Short-term investments	95,579		(601)		—		—		95,579		(601)
Total	$	9,197,152	$	(150,472)	$	220,962	$	(6,564)	$	9,418,114	$	(157,036)
December 31, 2020
Fixed maturities (1):
Corporate bonds	$	747,442	$	(33,086)	$	3,934	$	(1,302)	$	751,376	$	(34,388)
Mortgage backed securities	284,619		(4,788)		3,637		(240)		288,256		(5,028)
Municipal bonds	67,937		(3,835)		—		—		67,937		(3,835)
Commercial mortgage backed securities	126,624		(2,916)		2,655		(38)		129,279		(2,954)
U.S. government and government agencies	1,285,907		(12,611)		—		—		1,285,907		(12,611)
Non-U.S. government securities	543,844		(7,658)		2,441		(402)		546,285		(8,060)
Asset backed securities	634,470		(9,110)		57,737		(1,605)		692,207		(10,715)
Total	3,690,843		(74,004)		70,404		(3,587)		3,761,247		(77,591)
Short-term investments	97,920		(2,063)		—		—		97,920		(2,063)
Total	$	3,788,763	$	(76,067)	$	70,404	$	(3,587)	$	3,859,167	$	(79,654)

(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.

	March 31, 2021				December 31, 2020
Maturity	Estimated Fair Value		Amortized Cost		Estimated Fair Value		Amortized Cost
Due in one year or less	$	381,212	$	370,798	$	348,200	$	339,951
Due after one year through five years	11,124,344		10,918,279		10,629,959		10,340,819
Due after five years through 10 years	4,052,472		4,008,520		4,881,564		4,654,754
Due after 10 years	440,274		436,152		482,180		448,139
	15,998,302		15,733,749		16,341,903		15,783,663
Mortgage backed securities	571,071		575,495		630,001		626,368
Commercial mortgage backed securities	255,373		254,344		389,900		384,254
Asset backed securities	2,028,441		2,015,464		1,634,804		1,627,384
Total (1)	$	18,853,187	$	18,579,052	$	18,996,608	$	18,421,669

(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
March 31, 2021
U.S. government and government agencies	$	16,397	$	—	$	102,743	$	—	$	119,140
Corporate bonds	13,724		—		—		—		13,724
Equity securities	11,022		—		—		—		11,022
Total	$	41,143	$	—	$	102,743	$	—	$	143,886
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									$	143,886
December 31, 2020
U.S. government and government agencies	$	142,317	$	—	$	139,290	$	—	$	281,607
Corporate bonds	3,021		—		—		—		3,021
Equity securities	16,461		—		—		—		16,461
Total	$	161,799	$	—	$	139,290	$	—	$	301,089
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									$	301,089

Summary of assets and liabilities accounted for using the fair value option

The following table summarizes the Company’s other investments and other investable assets:

	March 31, 2021		December 31, 2020
Fixed maturities	$	900,304	$	843,354
Other investments	2,318,185		2,331,885
Short-term investments	623,930		557,008
Equity securities	92,935		92,549
Investments accounted for using the fair value option	$	3,935,354	$	3,824,796
Other investable assets (1)	500,000		500,000
Total other investments	$	4,435,354	$	4,324,796

(1) Participation interests in a receivable of a reverse repurchase agreement.

Summary of other investments

The following table summarizes the Company’s other investments, as detailed in the previous table, by strategy:

	March 31, 2021		December 31, 2020
Term loan investments	$	1,187,752	$	1,231,731
Lending	606,207		572,636
Credit related funds	79,355		90,780
Energy	78,500		65,813
Investment grade fixed income	142,630		138,646
Infrastructure	152,352		165,516
Private equity	52,064		48,750
Real estate	19,325		18,013
Total	$	2,318,185	$	2,331,885

Summary of investments accounted for using equity method

The following table summarizes the Company’s investments accounted for using the equity method, by strategy:

	March 31, 2021		December 31, 2020
Credit related funds	$	818,344	$	740,060
Equities	357,641		343,058
Real estate	292,424		258,518
Lending	199,913		179,629
Private equity	288,657		235,289
Infrastructure	179,225		175,882
Energy	120,123		115,453
Total	$	2,256,327	$	2,047,889

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:

	March 31, 2021		December 31, 2020
Investments accounted for using the equity method (1)	2,256,327		2,047,889
Investments accounted for using the fair value option (2)	196,087		184,720
Total	$	2,452,414	$	2,232,609

(1)    Aggregate unfunded commitments were $2.0 billion at March 31, 2021, compared to $1.8 billion at December 31, 2020.

(2)    Aggregate unfunded commitments were $36.1 million at March 31, 2021, compared to $35.6 million at December 31, 2020.

Components of net investment income

The components of net investment income were derived from the following sources:

	March 31,
	2021		2020
Three Months Ended
Fixed maturities	$	90,626	$	114,847
Term loans	14,728		23,170
Equity securities	5,650		6,007
Short-term investments	607		4,896
Other (1)	14,355		19,406
Gross investment income	125,966		168,326
Investment expenses	(27,110)		(23,173)
Net investment income	$	98,856	$	145,153

(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:

	March 31,
	2021		2020
Three Months Ended
Available for sale securities:
Gross gains on investment sales	$	65,002	$	178,200
Gross losses on investment sales	(62,998)		(31,968)
Change in fair value of assets and liabilities accounted for using the fair value option:
Fixed maturities	16,553		(127,666)
Other investments	46,855		(307,800)
Equity securities	2,065		(4,909)
Short-term investments	736		(8,681)
Equity securities, at fair value:
Net realized gains (losses) on sales during the period	37,849		(539)
Net unrealized gains (losses) on equity securities still held at reporting date	19,708		(175,566)
Allowance for credit losses:
Investments related	(1,648)		(9,320)
Underwriting related	5,268		(3,270)
Net impairment losses	—		(533)
Derivative instruments (1)	36,116		127,189
Other	(23,045)		(2,097)
Net realized gains (losses)	$	142,461	$	(366,960)

(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:

	Structured Securities (1)		Municipal Bonds		Corporate Bonds		Total
March 31, 2021
Balance at beginning of period	$	1,490	$	11	$	896	$	2,397
Additions for current-period provision for expected credit losses	182		—		2,421		2,603
Additions (reductions) for previously recognized expected credit losses	(382)		(9)		(540)		(931)
Reductions due to disposals	(83)		—		(156)		(239)
Write-offs charged against the allowance	—		—		—		—
Balance at end of period	$	1,207	$	2	$	2,621	$	3,830
December 31, 2020
Balance at beginning of period	$	—	$	—	$	—	$	—
Cumulative effect of accounting change (2)	517		—		117		634
Additions for current-period provision for expected credit losses	2,942		67		7,644		10,653
Additions (reductions) for previously recognized expected credit losses	(1,398)		6		(5,638)		(7,030)
Reductions due to disposals	(571)		(62)		(1,227)		(1,860)
Write-offs charged against the allowance	—		—		—		—
Balance at end of period	$	1,490	$	11	$	896	$	2,397

(1)    Includes asset backed securities, mortgage backed securities and commercial mortgage backed securities.

(2)    Adoption of ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326)”.

Summary of restricted assets

The following table details the value of the Company’s restricted assets:

	March 31, 2021		December 31, 2020
Assets used for collateral or guarantees:
Affiliated transactions	$	4,815,120	$	4,643,334
Third party agreements	3,366,016		3,083,324
Deposits with U.S. regulatory authorities	819,444		827,552
Deposits with non-U.S. regulatory authorities	330,197		179,099
Total restricted assets	$	9,330,777	$	8,733,309

Reconciliation of cash and restricted cash

The following table details reconciliation of cash and restricted cash within the Consolidated Balance Sheets:

	March 31, 2021		December 31, 2020
Cash	$	941,951	$	906,448
Restricted cash (included in ‘other assets’)	$	425,563	$	384,096
Cash and restricted cash	$	1,367,514	$	1,290,544