v2.4.0.6
Investments (Tables)
 3 Months Ended
Mar. 31, 2013
Investments [Abstract]  
Schedule of Fair Value of Fixed Maturity Investments Trading
The following table summarizes the fair value of fixed maturity investments trading:
 
 
 
 
 
 
 
 
March 31,
2013
 
December 31,
2012
 
 
U.S. treasuries
$
1,186,742

 
$
1,259,800

 
 
Agencies
285,969

 
315,154

 
 
Non-U.S. government (Sovereign debt)
199,561

 
133,198

 
 
Non-U.S. government-backed corporate
291,077

 
349,514

 
 
Corporate
1,598,749

 
1,607,233

 
 
Agency mortgage-backed
433,661

 
399,619

 
 
Non-agency mortgage-backed
223,392

 
230,747

 
 
Commercial mortgage-backed
284,825

 
361,645

 
 
Asset-backed
7,909

 
8,511

 
 
Total fixed maturity investments trading
$
4,511,885

 
$
4,665,421

 
 
 
 
 
 
 
Schedule of Fair Value of Fixed Maturity Investments Available For Sale
The following table summarizes the amortized cost, fair value and related unrealized gains and losses and non-credit other-than-temporary impairments of fixed maturity investments available for sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Included in Accumulated
Other Comprehensive Income
 
 
 
 
 
 
At March 31, 2013
Amortized 
Cost
 
Gross
Unrealized    
Gains
 
Gross
Unrealized    
Losses
 
Fair Value
 
Non-Credit
Other-Than-
Temporary
Impairments 
(1)  
 
 
Corporate
$
4,253

 
$
626

 
$
(57
)
 
$
4,822

 
$
(62
)
 
 
Agency mortgage-backed
6,378

 
500

 
(1
)
 
6,877

 
—

 
 
Non-agency mortgage-backed
13,889

 
2,946

 
(10
)
 
16,825

 
(808
)
 
 
Commercial mortgage-backed
10,730

 
1,546

 
—

 
12,276

 
—

 
 
Asset-backed
4,074

 
380

 
—

 
4,454

 
—

 
 
Total fixed maturity investments available for sale
$
39,324

 
$
5,998

 
$
(68
)
 
$
45,254

 
$
(870
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Included in Accumulated
Other Comprehensive Income
 
 
 
 
 
 
At December 31, 2012
Amortized Cost
 
Gross
Unrealized    
Gains
 
Gross
Unrealized    
Losses
 
Fair Value
 
Non-Credit
Other-Than-
Temporary
Impairments
 (1)  
 
 
Corporate
$
7,065

 
$
1,002

 
$
(93
)
 
$
7,974

 
$
(85
)
 
 
Agency mortgage-backed
8,280

 
632

 
—

 
8,912

 
—

 
 
Non-agency mortgage-backed
14,613

 
2,989

 
(10
)
 
17,592

 
(835
)
 
 
Commercial mortgage-backed
37,292

 
7,229

 
—

 
44,521

 
—

 
 
Asset-backed
4,195

 
248

 
—

 
4,443

 
—

 
 
Total fixed maturity investments available for sale
$
71,445

 
$
12,100

 
$
(103
)
 
$
83,442

 
$
(920
)
 
 
 
 
 
 
 
 
 
 
 
 
 
(1)
Represents the non-credit component of other-than-temporary impairments recognized in accumulated other comprehensive income since the adoption of guidance related to the recognition and presentation of other-than-temporary impairments under FASB ASC Topic Financial Instruments – Debt and Equity Securities, during the second quarter of 2009, adjusted for subsequent sales of securities. It does not include the change in fair value subsequent to the impairment measurement date.
Schedule of Contractual Maturities of Fixed Maturity Investments
Contractual maturities of fixed maturity investments are as follows. 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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading
 
Available for Sale
 
Total Fixed Maturity Investments
 
 
At March 31, 2013
Amortized 
Cost
 
Fair Value
 
Amortized Cost
 
Fair Value
 
Amortized Cost
 
Fair Value
 
 
Due in less than one year
$
216,198

 
$
215,538

 
$
—

 
$
—

 
$
216,198

 
$
215,538

 
 
Due after one through five years
2,613,378

 
2,636,410

 
2,312

 
2,648

 
2,615,690

 
2,639,058

 
 
Due after five through ten years
549,292

 
568,695

 
1,155

 
1,234

 
550,447

 
569,929

 
 
Due after ten years
129,104

 
141,455

 
786

 
940

 
129,890

 
142,395

 
 
Mortgage-backed
914,832

 
941,878

 
30,998

 
35,978

 
945,830

 
977,856

 
 
Asset-backed
7,481

 
7,909

 
4,073

 
4,454

 
11,554

 
12,363

 
 
Total
$
4,430,285

 
$
4,511,885

 
$
39,324

 
$
45,254

 
$
4,469,609

 
$
4,557,139

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Schedule of Fair Value of Equity Investments Trading
The following table summarizes the fair value of equity investments trading:
 
 
 
 
 
 
 
 
March 31,
2013
 
December 31,
2012
 
 
Financial institution securities
$
555

 
$
58,186

 
 
 
 
 
 
 
Schedule of Net Investment Income (Loss)
The components of net investment income are as follows:
 
 
 
 
 
 
 
 
Three months ended March 31,
 
 
 
2013
 
2012
 
 
Fixed maturity investments
$
24,310

 
$
26,333

 
 
Short term investments
318

 
500

 
 
Equity investments
—

 
170

 
 
Other investments
 
 
 
 
 
Hedge funds and private equity investments
14,880

 
28,473

 
 
Other
6,995

 
14,170

 
 
Cash and cash equivalents
52

 
26

 
 
 
46,555

 
69,672

 
 
Investment expenses
(2,940
)
 
(2,701
)
 
 
Net investment income
$
43,615

 
$
66,971

 
 
 
 
 
 
 
Schedule of Net Realized and Unrealized Gains On Investments and Net Other-Than-Temporary Impairments
Net realized and unrealized gains on investments and net other-than-temporary impairments are as follows:
 
 
 
 
 
 
 
 
Three months ended March 31,
 
 
 
2013
 
2012
 
 
Gross realized gains
$
34,080

 
$
36,286

 
 
Gross realized losses
(4,554
)
 
(6,950
)
 
 
Net realized gains on fixed maturity investments
29,526

 
29,336

 
 
Net unrealized (losses) gains on fixed maturity investments trading
(23,065
)
 
14,257

 
 
Net realized gains on equity investments trading
17,561

 
—

 
 
Net unrealized (losses) gains on equity investments trading
(10,172
)
 
2,520

 
 
Net realized and unrealized gains on investments
$
13,850

 
$
46,113

 
 
Total other-than-temporary impairments
$
—

 
$
(161
)
 
 
Portion recognized in other comprehensive income, before taxes
—

 
27

 
 
Net other-than-temporary impairments
$
—

 
$
(134
)
 
 
 
 
 
 
 
Reclassification out of Accumulated Other Comprehensive Income [Table Text Block]
The following table provides an analysis of the components of other comprehensive income and reclassifications out of accumulated other comprehensive income.
 
 
 
 
 
 
 
 
 
 
Three months ended March 31, 2013
 
 
 
Investments in other ventures
 
Fixed maturity investments available for sale
 
Total
 
 
Beginning balance
$
1,625

 
$
11,997

 
$
13,622

 
 
Other comprehensive loss before reclassifications
(1,505
)
 
(206
)
 
(1,711
)
 
 
Amounts reclassified from accumulated other comprehensive income by statement of operations line item:
 
 
 
 
 
 
 
Realized gains reclassified from accumulated other comprehensive income to net realized and unrealized gains on investments
—

 
(5,861
)
 
(5,861
)
 
 
Net current-period other comprehensive loss
(1,505
)
 
(6,067
)
 
(7,572
)
 
 
Ending balance
$
120

 
$
5,930

 
$
6,050

 
 
 
 
 
 
 
 
 
Schedule of Fixed Maturity Investments Available For Sale In Continual Unrealized Loss Position
The following table provides an analysis of the length of time the Company’s fixed maturity investments available for sale in an unrealized loss have been in a continual unrealized loss position.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Less than 12 Months
 
12 Months or Greater
 
Total
 
 
At March 31, 2013
Fair Value
 
Unrealized
Losses
 
Fair Value
 
Unrealized
Losses
 
Fair Value
 
Unrealized
Losses
 
 
Corporate
$
387

 
$
(24
)
 
$
87

 
$
(33
)
 
$
474

 
$
(57
)
 
 
Agency mortgage-backed
854

 
(1
)
 
—

 
—

 
854

 
(1
)
 
 
Non-agency mortgage-backed
—

 
—

 
101

 
(10
)
 
101

 
(10
)
 
 
Total
$
1,241

 
$
(25
)
 
$
188

 
$
(43
)
 
$
1,429

 
$
(68
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Less than 12 Months
 
12 Months or Greater
 
Total
 
 
At December 31, 2012
Fair Value
 
Unrealized
Losses
 
Fair Value
 
Unrealized
Losses
 
Fair Value
 
Unrealized
Losses
 
 
Corporate
$
598

 
$
(30
)
 
$
440

 
$
(63
)
 
$
1,038

 
$
(93
)
 
 
Non-agency mortgage-backed
—

 
—

 
101

 
(10
)
 
101

 
(10
)
 
 
Total
$
598

 
$
(30
)
 
$
541

 
$
(73
)
 
$
1,139

 
$
(103
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Rollforward of the Amount of Other-Than-Temporary Impairments Related To Credit Losses Recognized in Earnings For Which A Portion Of An Other-Than-Temporary Impairment Was Recognized In Accumulated Other Comprehensive Income
The following table provides a rollforward of the amount of other-than-temporary impairments related to credit losses recognized in earnings for which a portion of an other-than-temporary impairment was recognized in accumulated other comprehensive income:
 
 
 
 
 
 
 
 
2013
 
2012
 
 
Balance – January 1
$
838

 
$
2,370

 
 
Additions:
 
 
 
 
 
Amount related to credit loss for which an other-than-temporary impairment was not previously recognized
—

 
—

 
 
Amount related to credit loss for which an other-than-temporary impairment was previously recognized
—

 
66

 
 
Reductions:
 
 
 
 
 
Securities sold during the period
(27
)
 
(248
)
 
 
Securities for which the amount previously recognized in other comprehensive income was recognized in earnings, because the Company intends to sell the security or is more likely than not the Company will be required to sell the security
—

 
—

 
 
Increases in cash flows expected to be collected that are recognized over the remaining life of the security
—

 
—

 
 
Balance – March 31
$
811

 
$
2,188