Investments (Tables)

9 Months Ended

Sep. 30, 2022

Schedule of Investments [Abstract]

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 September 30, 2022 and December 31, 2021 are as follows:

September 30, 2022	Original or amortized cost		Gross unrealized gains		Gross unrealized losses		Fair value
U.S. treasury bonds	$	58,464	$	—	$	(241)	$	58,223
U.S. agency bonds – mortgage-backed	73,874		—		(7,682)		66,192
Collateralized mortgage-backed securities	7,199		—		(397)		6,802
Non-U.S. government bonds	12,586		—		(1,605)		10,981
Collateralized loan obligations	175,047		—		(30,514)		144,533
Corporate bonds	105,144		—		(19,902)		85,242
Total fixed maturity investments	$	432,314	$	—	$	(60,341)	$	371,973

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.

September 30, 2022	Amortized cost		Fair value
Due in one year or less	$	65,624	$	64,525
Due after one year through five years	92,969		77,117
Due after five years through ten years	17,601		12,804
	176,194		154,446
U.S. agency bonds – mortgage-backed	73,874		66,192
Collateralized mortgage-backed securities	7,199		6,802
Collateralized loan obligations	175,047		144,533
Total fixed maturity investments	$	432,314	$	371,973

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, 2022	Fair value		Unrealized losses		Fair value		Unrealized losses		Fair value		Unrealized losses
U.S. treasury bonds	$	58,076	$	(239)	$	147	$	(2)	$	58,223	$	(241)
U.S. agency bonds – mortgage-backed	63,136		(6,982)		3,056		(700)		66,192		(7,682)
Collateralized mortgage-backed securities	6,802		(397)		—		—		6,802		(397)
Non-U.S. government bonds	10,981		(1,605)		—		—		10,981		(1,605)
Collateralized loan obligations	63,813		(6,602)		80,720		(23,912)		144,533		(30,514)
Corporate bonds	63,739		(11,718)		21,503		(8,184)		85,242		(19,902)
Total temporarily impaired fixed maturities	$	266,547	$	(27,543)	$	105,426	$	(32,798)	$	371,973	$	(60,341)

	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 September 30, 2022 and December 31, 2021:

September 30, 2022	Amortized cost		Fair value		% of Total fair value
U.S. treasury bonds	$	58,464	$	58,223	15.6	%
U.S. agency bonds	73,874		66,192		17.8	%
AAA	147,990		119,653		32.2	%
AA+, AA, AA-	44,766		40,812		11.0	%
A+, A, A-	46,912		37,616		10.1	%
BBB+, BBB, BBB-	54,535		45,066		12.1	%
BB+ or lower	5,773		4,411		1.2	%
Total fixed maturities (1)	$	432,314	$	371,973	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 September 30, 2022 and December 31, 2021:

	September 30, 2022				December 31, 2021
	Carrying value		% of Total		Carrying value		% of Total
Private equity funds	$	31,777	22.6	%	$	23,324	19.8	%
Private credit funds	24,129		17.1	%	20,922		17.8	%
Other privately held investments	32,115		22.8	%	30,500		25.9	%
Total other investments at fair value	88,021		62.5	%	74,746		63.5	%
Investments in direct lending entities (at cost)	52,783		37.5	%	42,976		36.5	%
Total other investments	$	140,804	100.0	%	$	117,722	100.0	%

Schedule of cost and fair values of the equity securities

The following table provides the cost and fair values of the equity securities held at September 30, 2022 and December 31, 2021:

	September 30, 2022				December 31, 2021
	Cost		Fair Value		Cost		Fair Value
Privately held equity securities	$	38,260	$	42,002	$	22,756	$	22,829
Publicly traded equity securities	559		598		559		1,174
Total equity securities	$	38,819	$	42,600	$	23,315	$	24,003

Equity method investments

The table below shows the carrying value of our equity method investments as of September 30, 2022 and December 31, 2021:

	September 30, 2022				December 31, 2021
	Carrying Value		% of Total		Carrying Value		% of Total
Real estate investments	$	44,925	56.0	%	$	44,050	52.6	%
Hedge fund investments	15,447		19.3	%	32,929		39.3	%
Other investments	19,793		24.7	%	6,763		8.1	%
Total equity method investments	$	80,165	100.0	%	$	83,742	100.0	%

Net investment income

Net investment income was derived from the following sources for the three and nine months ended September 30, 2022 and 2021:

	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2022		2021		2022		2021
Fixed maturities	$	2,259	$	4,449	$	7,074	$	15,535
Income on funds withheld	2,616		2,708		8,753		7,928
Interest income from loan to related party	1,771		885		3,808		2,611
Cash and cash equivalents and other investments	930		377		2,292		613
	7,576		8,419		21,927		26,687
Investment expenses	(939)		(942)		(1,056)		(2,091)
Net investment income	$	6,637	$	7,477	$	20,871	$	24,596

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 investment gains (losses) included in the Condensed Consolidated Statements of Income for the three and nine months ended September 30, 2022 and 2021:

4. Investments (continued)

For the Three Months Ended September 30, 2022	Gross gains		Gross losses		Net
Fixed maturities	$	591	$	(495)	$	96
Equity securities	217		(63)		154
Other investments	393		(2,215)		(1,822)
Net realized and unrealized investment gains (losses)	$	1,201	$	(2,773)	$	(1,572)
For the Three Months Ended September 30, 2021	Gross gains		Gross losses		Net
Fixed maturities	$	1,890	$	(99)	$	1,791
Equity securities	106		(3,001)		(2,895)
Other investments	297		(130)		167
Net realized and unrealized investment gains (losses)	$	2,293	$	(3,230)	$	(937)
For the Nine Months Ended September 30, 2022	Gross gains		Gross losses		Net
Fixed maturities	$	1,829	$	(637)	$	1,192
Equity securities	3,876		(875)		3,001
Other investments	2,825		(4,170)		(1,345)
Net realized and unrealized investment gains (losses)	$	8,530	$	(5,682)	$	2,848
For the Nine Months Ended September 30, 2021	Gross gains		Gross losses		Net
Fixed maturities	$	6,137	$	(343)	$	5,794
Equity securities	5,168		(3,638)		1,530
Other investments	838		(149)		689
Net realized and unrealized investment gains (losses)	$	12,143	$	(4,130)	$	8,013

The unrealized gains and losses recognized in net income for the three and nine months ended September 30, 2022 and 2021 for investments still held at September 30, 2022 and 2021, respectively, were as follows:

	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2022		2021		2022		2021
Net gains (losses) recognized for equity securities	$	154	$	(2,895)	$	3,001	$	1,530
Net gains recognized for equity securities divested	—		—		—		(441)
Unrealized gains (losses) recognized for equity securities still held at reporting date	$	154	$	(2,895)	$	3,001	$	1,089

Net unrealized gains on fixed maturity investments

Net unrealized gains (losses) were as follows at September 30, 2022 and December 31, 2021, respectively:

	September 30, 2022		December 31, 2021
Fixed maturity investments	$	(60,341)	$	1,801
Equity method investments	—		(4,414)
Total net unrealized losses	(60,341)		(2,613)
Deferred income tax	216		(80)
Net unrealized losses, net of deferred income tax	$	(60,125)	$	(2,693)
Change, net of deferred income tax	$	(57,432)	$	(52,050)

Fair value of restricted assets

The fair values of restricted assets at September 30, 2022 and December 31, 2021 are:

	September 30, 2022		December 31, 2021
Restricted cash – third party agreements	$	15,297	$	19,177
Restricted cash – related party agreements	32,825		20,242
Total restricted cash	48,122		39,419
Restricted investments – in trust for third party agreements at fair value (amortized cost: 2022 – $50,394; 2021 – $48,860)	50,235		48,845
Restricted investments – in trust for related party agreements at fair value (amortized cost: 2022 – $327,148; 2021 – $493,128)	274,103		493,883
Total restricted investments	324,338		542,728
Total restricted cash and investments	$	372,460	$	582,147