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Investments | 9 Months Ended
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Sep. 30, 2014
Investments [Abstract] |
Investments | INVESTMENTS Fixed Maturity Investments Trading The following table summarizes the fair value of fixed maturity investments trading:
|  | September 30, 2014 |  | December 31, 2013 |
| U.S. treasuries | $ | 1,636,326 |  |  | $ | 1,352,413 |  |
| Agencies | 120,025 |  |  | 186,050 |  |
| Non-U.S. government (Sovereign debt) | 282,326 |  |  | 334,580 |  |
| Non-U.S. government-backed corporate | 141,159 |  |  | 237,479 |  |
| Corporate | 1,572,168 |  |  | 1,803,415 |  |
| Agency mortgage-backed | 320,584 |  |  | 336,661 |  |
| Non-agency mortgage-backed | 252,241 |  |  | 243,795 |  |
| Commercial mortgage-backed | 397,685 |  |  | 303,214 |  |
| Asset-backed | 28,252 |  |  | 11,429 |  |
| Total fixed maturity investments trading | $ | 4,750,766 |  |  | $ | 4,809,036 |  |
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 |  |  |  |  |
| September 30, 2014 | Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Fair Value |  | Non-Credit Other-Than- Temporary Impairments (1) |
| Agency mortgage-backed | $ | 4,174 |  |  | $ | 380 |  |  | $ | — |  |  | $ | 4,554 |  |  | $ | — |  |
| Non-agency mortgage-backed | 9,999 |  |  | 2,218 |  |  | (3 | ) |  | 12,214 |  |  | (677 | ) |
| Commercial mortgage-backed | 7,294 |  |  | 656 |  |  | — |  |  | 7,950 |  |  | — |  |
| Asset-backed | 3,197 |  |  | 154 |  |  | — |  |  | 3,351 |  |  | — |  |
| Total fixed maturity investments available for sale | $ | 24,664 |  |  | $ | 3,408 |  |  | $ | (3 | ) |  | $ | 28,069 |  |  | $ | (677 | ) |
|  |  |  | Included in Accumulated Other Comprehensive Income |  |  |  |  |
| December 31, 2013 | Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Fair Value |  | Non-Credit Other-Than- Temporary Impairments (1) |
| Agency mortgage-backed | $ | 4,880 |  |  | $ | 378 |  |  | $ | (11 | ) |  | $ | 5,247 |  |  | $ | — |  |
| Non-agency mortgage-backed | 11,735 |  |  | 2,414 |  |  | (6 | ) |  | 14,143 |  |  | (742 | ) |
| Commercial mortgage-backed | 10,052 |  |  | 970 |  |  | — |  |  | 11,022 |  |  | — |  |
| Asset-backed | 3,606 |  |  | 223 |  |  | — |  |  | 3,829 |  |  | — |  |
| Total fixed maturity investments available for sale | $ | 30,273 |  |  | $ | 3,985 |  |  | $ | (17 | ) |  | $ | 34,241 |  |  | $ | (742 | ) |
(1) | Represents the non-credit component of other-than-temporary impairments recognized in accumulated other comprehensive income adjusted for subsequent sales of securities. It does not include the change in fair value subsequent to the impairment measurement date.
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 |
| September 30, 2014 | Amortized Cost |  | Fair Value |  | Amortized Cost |  | Fair Value |  | Amortized Cost |  | Fair Value |
| Due in less than one year | $ | 97,830 |  |  | $ | 97,868 |  |  | $ | — |  |  | $ | — |  |  | $ | 97,830 |  |  | $ | 97,868 |  |
| Due after one through five years | 2,951,631 |  |  | 2,949,329 |  |  | — |  |  | — |  |  | 2,951,631 |  |  | 2,949,329 |  |
| Due after five through ten years | 595,874 |  |  | 593,633 |  |  | — |  |  | — |  |  | 595,874 |  |  | 593,633 |  |
| Due after ten years | 108,080 |  |  | 111,174 |  |  | — |  |  | — |  |  | 108,080 |  |  | 111,174 |  |
| Mortgage-backed | 953,480 |  |  | 970,510 |  |  | 21,467 |  |  | 24,718 |  |  | 974,947 |  |  | 995,228 |  |
| Asset-backed | 28,166 |  |  | 28,252 |  |  | 3,197 |  |  | 3,351 |  |  | 31,363 |  |  | 31,603 |  |
| Total | $ | 4,735,061 |  |  | $ | 4,750,766 |  |  | $ | 24,664 |  |  | $ | 28,069 |  |  | $ | 4,759,725 |  |  | $ | 4,778,835 |  |
Equity Investments Trading The following table summarizes the fair value of equity investments trading:
|  | September 30, 2014 |  | December 31, 2013 |
| Financials | $ | 199,798 |  |  | $ | 152,905 |  |
| Communications and technology | 32,377 |  |  | 4,300 |  |
| Industrial, utilities and energy | 30,347 |  |  | 25,350 |  |
| Consumer | 18,796 |  |  | 44,115 |  |
| Healthcare | 16,396 |  |  | 15,340 |  |
| Basic materials | 4,000 |  |  | 12,766 |  |
| Total | $ | 301,714 |  |  | $ | 254,776 |  |
Pledged Investments At September 30, 2014, $2,115.6 million 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 syndicated letter of credit facility and bilateral letter of credit facility (December 31, 2013 - $2,081.1 million). Of this amount, $685.8 million is on deposit with, or in trust accounts for the benefit of, U.S. state regulatory authorities (December 31, 2013 - $652.8 million). Reverse Repurchase Agreements At September 30, 2014, the Company held $18.6 million (December 31, 2013 - $37.3 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 include high-quality, readily marketable instruments at a minimum rate of 102% of the loan principal. Upon maturity, the Company receives principal and interest income. Net Investment Income, Net Realized and Unrealized Gains on Investments and Net Other-Than-Temporary Impairments The components of net investment income are as follows:
|  | Three months ended |  | Nine months ended |
|  | September 30, 2014 |  | September 30, 2013 |  | September 30, 2014 |  | September 30, 2013 |
| Fixed maturity investments | $ | 24,519 |  |  | $ | 24,423 |  |  | $ | 74,751 |  |  | $ | 71,148 |  |
| Short term investments | 251 |  |  | 563 |  |  | 727 |  |  | 1,318 |  |
| Equity investments | 736 |  |  | 706 |  |  | 2,311 |  |  | 1,050 |  |
| Other investments |  |  |  |  |  |  |  |
| Hedge funds and private equity investments | (3,320 | ) |  | 14,179 |  |  | 17,337 |  |  | 31,296 |  |
| Other | 5,547 |  |  | 22,735 |  |  | 11,558 |  |  | 32,874 |  |
| Cash and cash equivalents | 116 |  |  | 47 |  |  | 300 |  |  | 108 |  |
|  | 27,849 |  |  | 62,653 |  |  | 106,984 |  |  | 137,794 |  |
| Investment expenses | (2,908 | ) |  | (2,722 | ) |  | (8,554 | ) |  | (8,498 | ) |
| Net investment income | $ | 24,941 |  |  | $ | 59,931 |  |  | $ | 98,430 |  |  | $ | 129,296 |  |
The following table provides an analysis of the components of net realized and unrealized gains on investments.
|  | Three months ended |  | Nine months ended |
|  | September 30, 2014 |  | September 30, 2013 |  | September 30, 2014 |  | September 30, 2013 |
| Gross realized gains | $ | 7,962 |  |  | $ | 8,813 |  |  | $ | 33,595 |  |  | $ | 60,437 |  |
| Gross realized losses | (2,720 | ) |  | (22,241 | ) |  | (10,871 | ) |  | (41,396 | ) |
| Net realized gains on fixed maturity investments | 5,242 |  |  | (13,428 | ) |  | 22,724 |  |  | 19,041 |  |
| Net unrealized (losses) gains on fixed maturity investments trading | (36,600 | ) |  | 33,405 |  |  | 21,200 |  |  | (85,338 | ) |
| Net realized and unrealized (losses) gains on investments-related derivatives | (1,868 | ) |  | 3,557 |  |  | (19,651 | ) |  | 24,488 |  |
| Net realized gains on equity investments trading | 3,523 |  |  | 560 |  |  | 8,578 |  |  | 18,195 |  |
| Net unrealized (losses) gains on equity investments trading | (1,394 | ) |  | 4,378 |  |  | (21,893 | ) |  | (3,174 | ) |
| Net realized and unrealized (losses) gains on investments | $ | (31,097 | ) |  | $ | 28,472 |  |  | $ | 10,958 |  |  | $ | (26,788 | ) |
The following tables provide an analysis of the components of other comprehensive income and reclassifications out of accumulated other comprehensive income.
|  | Three months ended September 30, 2014 |
|  | Investments in other ventures |  | Fixed maturity investments available for sale |  | Total |
| Beginning balance | $ | 211 |  |  | $ | 3,707 |  |  | $ | 3,918 |  |
| Other comprehensive income (loss) before reclassifications | 213 |  |  | (302 | ) |  | (89 | ) |
| Ending balance | $ | 424 |  |  | $ | 3,405 |  |  | $ | 3,829 |  |
|  | Nine months ended September 30, 2014 |
|  | Investments in other ventures |  | Fixed maturity investments available for sale |  | Total |
| Beginning balance | $ | 163 |  |  | $ | 3,968 |  |  | $ | 4,131 |  |
| Other comprehensive income (loss) before reclassifications | 261 |  |  | (563 | ) |  | (302 | ) |
| Ending balance | $ | 424 |  |  | $ | 3,405 |  |  | $ | 3,829 |  |
|  | Three months ended September 30, 2013 |
|  | Investments in other ventures |  | Fixed maturity investments available for sale |  | Total |
| Beginning balance | $ | 218 |  |  | $ | 4,691 |  |  | $ | 4,909 |  |
| Other comprehensive (loss) income before reclassifications | (91 | ) |  | 116 |  |  | 25 |  |
| 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 (losses) on investments | — |  |  | (368 | ) |  | (368 | ) |
| Net current-period other comprehensive loss | (91 | ) |  | (252 | ) |  | (343 | ) |
| Ending balance | $ | 127 |  |  | $ | 4,439 |  |  | $ | 4,566 |  |
|  | Nine months ended September 30, 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 | (1,498 | ) |  | (10 | ) |  | (1,508 | ) |
| 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 (losses) on investments | — |  |  | (7,548 | ) |  | (7,548 | ) |
| Net current-period other comprehensive loss | (1,498 | ) |  | (7,558 | ) |  | (9,056 | ) |
| Ending balance | $ | 127 |  |  | $ | 4,439 |  |  | $ | 4,566 |  |
The following tables provide 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 September 30, 2014 | Fair Value |  | Unrealized Losses |  | Fair Value |  | Unrealized Losses |  | Fair Value |  | Unrealized Losses |
| Non-agency mortgage-backed | $ | — |  |  | $ | — |  |  | $ | 73 |  |  | $ | (3 | ) |  | $ | 73 |  |  | $ | (3 | ) |
| Total | $ | — |  |  | $ | — |  |  | $ | 73 |  |  | $ | (3 | ) |  | $ | 73 |  |  | $ | (3 | ) |
|  | Less than 12 Months |  | 12 Months or Greater |  | Total |
| December 31, 2013 | Fair Value |  | Unrealized Losses |  | Fair Value |  | Unrealized Losses |  | Fair Value |  | Unrealized Losses |
| Agency mortgage-backed | $ | 726 |  |  | $ | (11 | ) |  | $ | — |  |  | $ | — |  |  | $ | 726 |  |  | $ | (11 | ) |
| Non-agency mortgage-backed | — |  |  | — |  |  | 89 |  |  | (6 | ) |  | 89 |  |  | (6 | ) |
| Commercial mortgage-backed | 39 |  |  | — |  |  | — |  |  | — |  |  | 39 |  |  | — |  |
| Total | $ | 765 |  |  | $ | (11 | ) |  | $ | 89 |  |  | $ | (6 | ) |  | $ | 854 |  |  | $ | (17 | ) |
At September 30, 2014, the Company held two fixed maturity investments available for sale securities that were in an unrealized loss position (December 31, 2013 - four), including two fixed maturity investments available for sale securities that were in an unrealized loss position for twelve months or greater (December 31, 2013 - two). The Company does not intend to sell these securities and it is not more likely than not that the Company will be required to sell these securities before the anticipated recovery of the remaining amortized cost basis. The Company performed reviews of its fixed maturity investments available for sale for the nine months ended September 30, 2014 and 2013, respectively, in order to determine whether declines in the fair value below the amortized cost basis were considered other-than-temporary in accordance with the applicable guidance, as discussed below. Other-Than-Temporary Impairment Process The Company’s process for assessing whether declines in the fair value of its fixed maturity investments available for sale represent impairments that are other-than-temporary includes reviewing each fixed maturity investment available for sale that is impaired and determining: (i) if the Company has the intent to sell the debt security or (ii) if it is more likely than not that the Company will be required to sell the debt security before its anticipated recovery; and (iii) whether a credit loss exists, that is, where the Company expects that the present value of the cash flows expected to be collected from the security is less than the amortized cost basis of the security. For the nine months ended September 30, 2014, the Company recognized $Nil of other-than-temporary impairments which were recognized in earnings and $Nil related to other factors which were recognized in other comprehensive income (2013 – $Nil and $Nil, respectively). 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:
|  | Three months ended |  | Nine months ended |
|  | September 30, 2014 |  | September 30, 2013 |  | September 30, 2014 |  | September 30, 2013 |
| Beginning balance | $ | 529 |  |  | $ | 791 |  |  | $ | 561 |  |  | $ | 838 |  |
| Reductions: |  |  |  |  |  |  |  |
| Securities sold during the period | (15 | ) |  | (38 | ) |  | (47 | ) |  | (85 | ) |
| Ending balance | $ | 514 |  |  | $ | 753 |  |  | $ | 514 |  |  | $ | 753 |  |

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- Definition The entire disclosure for investments in certain debt and equity securities. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 6 -URI http://asc.fasb.org/extlink&oid=27724398&loc=d3e27290-111563 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 9 -URI http://asc.fasb.org/extlink&oid=27724398&loc=d3e27357-111563 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -Glossary Debt Security -URI http://asc.fasb.org/extlink&oid=6509901 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 310 -SubTopic 30 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=6379141&loc=d3e15032-111544 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=27724398&loc=d3e27232-111563 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=6957658&loc=d3e62557-112803 Reference 7: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=27724398&loc=d3e27161-111563 Reference 8: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 10 -URI http://asc.fasb.org/extlink&oid=27724398&loc=d3e27405-111563 Reference 9: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -Glossary Equity Security -URI http://asc.fasb.org/extlink&oid=6511694 + Details
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