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Investments (Tables)

3 Months Ended

Mar. 31, 2022

Amortized cost, gross unrealized gains and losses and fair value on fixed maturities

The amortized cost, gross unrealized gains and losses, and fair value of fixed maturities at March 31, 2022 and December 31, 2021 are as follows:


March 31, 2022	Original or amortized cost		Gross unrealized gains		Gross unrealized losses		Fair value
U.S. treasury bonds	$	66,109	$	1	$	(380)	$	65,730
U.S. agency bonds – mortgage-backed	85,607		75		(2,293)		83,389
Collateralized mortgage-backed securities	7,199		—		(80)		7,119
Non-U.S. government bonds	3,160		—		(151)		3,009
Collateralized loan obligations	174,842		22		(9,104)		165,760
Corporate bonds	155,214		1,668		(10,659)		146,223


Total fixed maturity investments	$	492,131	$	1,766	$	(22,667)	$	471,230


December 31, 2021	Original or amortized cost		Gross unrealized gains		Gross unrealized losses		Fair value
U.S. treasury bonds	$	59,989	$	—	$	(110)	$	59,879
U.S. agency bonds – mortgage-backed	96,554		2,429		(193)		98,790
Collateralized mortgage-backed securities	14,972		565		—		15,537
Non-U.S. government bonds	3,163		113		—		3,276
Collateralized loan obligations	183,974		140		(5,093)		179,021
Corporate bonds	236,692		10,094		(6,144)		240,642


Total fixed maturity investments	$	595,344	$	13,341	$	(11,540)	$	597,145

Contractual maturities of fixed maturities

The contractual maturities of our fixed maturities are shown 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, 2022	Amortized cost		Fair value
Due in one year or less	$	73,590	$	72,518
Due after one year through five years	129,427		122,915
Due after five years through ten years	21,466		19,529

	224,483		214,962
U.S. agency bonds – mortgage-backed	85,607		83,389
Collateralized mortgage-backed securities	7,199		7,119
Collateralized loan obligations	174,842		165,760
Total fixed maturity investments	$	492,131	$	471,230

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
March 31, 2022	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
U.S. treasury bonds	$	58,613	$	(347)	$	2,117	$	(33)	$	60,730	$	(380)
U.S. agency bonds – mortgage-backed	74,447		(1,906)		3,661		(387)		78,108		(2,293)
Collateralized mortgage-backed securities	7,119		(80)		—		—		7,119		(80)
Non-U.S. government bonds	3,009		(151)		—		—		3,009		(151)
Collateralized loan obligations	156,371		(9,058)		5,055		(46)		161,426		(9,104)
Corporate bonds	52,593		(2,610)		49,920		(8,049)		102,513		(10,659)

Total temporarily impaired fixed maturities	$	352,152	$	(14,152)	$	60,753	$	(8,515)	$	412,905	$	(22,667)


	Less than 12 Months				12 Months or More				Total
December 31, 2021	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
U.S. treasury bonds	$	59,879	$	(110)	$	—	$	—	$	59,879	$	(110)
U.S. agency bonds – mortgage-backed	4,415		(193)		—		—		4,415		(193)


Collateralized loan obligations	117,148		(5,057)		5,064		(36)		122,212		(5,093)
Corporate bonds	38,537		(2,775)		27,852		(3,369)		66,389		(6,144)

Total temporarily impaired fixed maturities	$	219,979	$	(8,135)	$	32,916	$	(3,405)	$	252,895	$	(11,540)

Summary of the credit ratings of fixed maturities

The following tables summarize the credit ratings of our fixed maturities as at March 31, 2022 and December 31, 2021:


March 31, 2022	Amortized cost		Fair value		% of Total fair value
U.S. treasury bonds	$	66,109	$	65,730	13.9	%
U.S. agency bonds	85,607		83,389		17.7	%
AAA	147,966		138,999		29.5	%
AA+, AA, AA-	35,298		34,864		7.4	%
A+, A, A-	49,221		46,267		9.8	%
BBB+, BBB, BBB-	102,157		96,386		20.5	%
BB+ or lower	5,773		5,595		1.2	%
Total fixed maturities (1)	$	492,131	$	471,230	100.0	%


December 31, 2021	Amortized cost		Fair value		% of Total fair value
U.S. treasury bonds	$	59,989	$	59,879	10.0	%
U.S. agency bonds	96,554		98,790		16.6	%
AAA	161,179		156,706		26.2	%
AA+, AA, AA-	38,999		39,140		6.6	%
A+, A, A-	99,748		99,962		16.7	%
BBB+, BBB, BBB-	126,770		129,618		21.7	%
BB+ or lower	12,105		13,050		2.2	%
Total fixed maturities(1)	$	595,344	$	597,145	100.0	%

(1)Ratings above are based on Standard & Poor’s ("S&P"), or equivalent, ratings

Portfolio of other investments

The table shows the composition of the Company's other investments as of March 31, 2022 and December 31, 2021:


	March 31, 2022				December 31, 2021
	Carrying value		% of Total		Carrying value		% of Total
Private equity funds	$	27,608	25.5	%	$	23,324	23.9	%
Private credit funds	21,781		20.1	%	20,863		21.3	%
Other privately held investments	12,597		11.7	%	10,500		10.8	%

Total other investments at fair value	61,986		57.3	%	54,687		56.0	%
Investments in direct lending entities (at cost)	46,175		42.7	%	42,976		44.0	%
Total other investments	$	108,161	100.0	%	$	97,663	100.0	%

Schedule of cost and fair values of the equity securities

The following table provides the fair values of the equity securities held at March 31, 2022 and December 31, 2021:


	March 31, 2022			December 31, 2021
		Fair Value			Fair Value
Privately held equity securities		$	48,224		$	42,888
Publicly traded equity securities		708			1,174
Total equity securities		$	48,932		$	44,062

Equity method investments

The table below shows the carrying value of the Company's equity method investments as of March 31, 2022 and December 31, 2021:


	March 31, 2022				December 31, 2021
	Carrying Value		% of Total		Carrying Value		% of Total
Real estate investments	$	52,210	56.0	%	$	44,050	52.6	%
Hedge fund investments	32,861		35.2	%	32,929		39.3	%
Other investments	8,246		8.8	%	6,763		8.1	%
Total equity method investments	$	93,317	100.0	%	$	83,742	100.0	%

Net investment income

Net investment income was derived from the following sources for the three months ended March 31, 2022 and 2021:


	For the Three Months Ended March 31,
	2022		2021
Fixed maturities	$	2,654	$	6,691
Income on funds withheld	2,624		2,505
Interest income from loan to related party	879		860
Cash and cash equivalents and other investments	593		129
	6,750		10,185

Investment expenses	(183)		(344)
Net investment income	$	6,567	$	9,841

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 and unrealized gains (losses) on investment included in the Condensed Consolidated Statements of Income for the three months ended March 31, 2022 and 2021:

4. Investments (continued)


For the Three Months Ended March 31, 2022	Gross gains		Gross losses		Net
Fixed maturities	$	1,238	$	(95)	$	1,143
Equity securities	—		(492)		(492)
Other investments	1,913		(255)		1,658
Net realized and unrealized gains (losses) on investment	$	3,151	$	(842)	$	2,309

For the Three Months Ended March 31, 2021	Gross gains		Gross losses		Net
Fixed maturities	$	3,043	$	(149)	$	2,894
Equity securities	4,957		(25)		4,932
Other investments	275		—		275
Net realized and unrealized gains (losses) on investment	$	8,275	$	(174)	$	8,101

The unrealized losses recognized in net income for the three months ended March 31, 2022 and 2021 for investments still held at March 31, 2022 and 2021, respectively, were as follows:


	For the Three Months Ended March 31,
	2022		2021
Net (losses) gains recognized for equity securities during the period	$	(492)	$	4,932
Less: Net losses (gains) recognized for equity securities divested during the period	—		(441)
Unrealized (losses) gains recognized for equity securities still held at reporting date	$	(492)	$	4,491

Net unrealized gains on fixed maturity investments

Net unrealized gains on investments were as follows at March 31, 2022 and December 31, 2021, respectively:


	March 31, 2022		December 31, 2021
Fixed maturities	$	(20,901)	$	1,801
Equity method investments	—		(4,414)
Total net unrealized losses	(20,901)		(2,613)
Deferred income tax	49		(80)
Net unrealized losses, net of deferred income tax	$	(20,852)	$	(2,693)
Change, net of deferred income tax	$	(18,159)	$	(52,050)

Fair value of restricted assets

The fair values of restricted assets at March 31, 2022 and December 31, 2021 included:


	March 31, 2022		December 31, 2021
Restricted cash – third party agreements	$	28,953	$	19,177
Restricted cash – related party agreements	5,958		20,242
Total restricted cash	34,911		39,419
Restricted investments – in trust for third party agreements at fair value (amortized cost: 2022 – $58,675; 2021 – $48,860)	58,581		48,845
Restricted investments – in trust for related party agreements at fair value (amortized cost: 2022 – $394,115; 2021 – $493,128)	375,021		493,883

Total restricted investments	433,602		542,728
Total restricted cash and investments	$	468,513	$	582,147