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INVESTMENTS
3 Months Ended
Mar. 31, 2023
Investments, Debt and Equity Securities [Abstract]  
INVESTMENTS INVESTMENTS
Fixed Maturity Investments Trading
The following table summarizes the fair value of fixed maturity investments trading:
March 31,
2023
December 31,
2022
U.S. treasuries$7,331,398 $7,180,129 
Corporate (1)
4,474,372 4,390,568 
Agencies481,850 395,149 
Non-U.S. government364,048 383,838 
Residential mortgage-backed786,680 710,429 
Commercial mortgage-backed215,655 213,987 
Asset-backed1,041,582 1,077,302 
Total fixed maturity investments trading$14,695,585 $14,351,402 
(1)Corporate fixed maturity investments include non-U.S. government-backed corporate fixed maturity investments.
Contractual maturities of fixed maturity investments trading are described in the following table. Expected maturities 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,
2023
December 31,
2022
Amortized 
Cost
Fair ValueAmortized CostFair Value
Due in less than one year
$569,267 $562,042 $364,501 $356,770 
Due after one through five years
8,180,866 8,055,551 8,117,971 7,875,771 
Due after five through ten years
3,882,836 3,770,478 4,072,142 3,805,287 
Due after ten years
289,700 263,597 356,268 311,856 
Mortgage-backed
1,073,453 1,002,335 1,009,205 924,416 
Asset-backed1,071,751 1,041,582 1,118,464 1,077,302 
Total$15,067,873 $14,695,585 $15,038,551 $14,351,402 
Equity Investments
The following table summarizes the fair value of equity investments:
March 31,
2023
December 31,
2022
Fixed income exchange traded funds$296,049 $295,481 
Financials107,455 103,250 
Equity exchange traded funds— 90,510 
Communications and technology58,434 48,687 
Consumer36,532 33,447 
Industrial, utilities and energy25,012 25,326 
Healthcare24,001 24,617 
Basic materials3,911 3,740 
Total$551,394 $625,058 
Pledged Investments
At March 31, 2023, $7.9 billion (December 31, 2022 - $7.9 billion) of cash and investments at fair value were on deposit with, or in trust accounts for the benefit of, various counterparties, including with respect to the Company’s letter of credit facilities. Of this amount, $1.3 billion (December 31, 2022 - $1.2 billion) is on deposit with, or in trust accounts for the benefit of, U.S. state regulatory authorities.
Reverse Repurchase Agreements
At March 31, 2023, the Company held $156.7 million (December 31, 2022 - $38.5 million) of reverse repurchase agreements. These loans are fully collateralized, are generally outstanding for a short period of time and are presented on a gross basis as part of short term investments on the Company’s consolidated balance sheets. The required collateral for these loans typically includes high-quality, readily marketable instruments at a minimum amount of 102% of the loan principal. Upon maturity, the Company receives principal and interest income.
Net Investment Income
The components of net investment income are as follows:
Three months ended
March 31,
2023
March 31,
2022
Fixed maturity investments trading$155,500 $62,417 
Short term investments32,950 1,136 
Equity investments3,399 2,754 
Other investments
Catastrophe bonds38,831 17,360 
Other24,571 5,552 
Cash and cash equivalents4,264 (41)
 259,515 89,178 
Investment expenses(5,137)(5,487)
Net investment income$254,378 $83,691 
Net Realized and Unrealized Gains (Losses) on Investments
Net realized and unrealized gains (losses) on investments are as follows:
Three months ended
March 31,
2023
March 31,
2022
Net realized gains (losses) on fixed maturity investments trading$(104,765)$(121,152)
Net unrealized gains (losses) on fixed maturity investments trading312,026 (464,177)
Net realized and unrealized gains (losses) on fixed maturity investments trading207,261 (585,329)
Net realized and unrealized gains (losses) on investments-related derivatives(1)
12,162 (40,288)
Net realized gains (losses) on equity investments(8,738)(20)
Net unrealized gains (losses) on equity investments39,151 (48,669)
Net realized and unrealized gains (losses) on equity investments30,413 (48,689)
Net realized and unrealized gains (losses) on other investments - catastrophe bonds24,126 (8,261)
Net realized and unrealized gains (losses) on other investments - other5,489 9,550 
Net realized and unrealized gains (losses) on investments$279,451 $(673,017)
(1)Net realized and unrealized gains (losses) on investment-related derivatives includes fixed maturity investments related derivatives (interest rate futures, interest rate swaps, credit default swaps and total return swaps), and equity investments related derivatives (equity futures). See “Note 13. Derivative Instruments” for additional information.
Net Sales (Purchases) of Investments
The tables below show the Company’s cash flows in respect of gross and net purchases and sales of equity investments, short term investments, other investments and investments in other ventures for the three months ended March 31, 2023 and 2022.
Three months ended March 31, 2023Gross PurchasesGross SalesNet
Equity investments$(1,599)105,676 $104,077 
Short term investments$(7,246,835)6,766,410 $(480,425)
Other investments$(212,336)52,814 $(159,523)
Investments in other ventures$(11,250)— $(11,250)
Three months ended March 31, 2022Gross PurchasesGross SalesNet
Equity investments$(396,298)22,006 $(374,292)
Short term investments$(7,138,020)7,764,659 $626,639 
Other investments$(276,668)65,828 $(210,840)
Investments in other ventures$(905)126 $(779)