Investments (Tables)

3 Months Ended

Mar. 31, 2016

Schedule of Fair Value of Fixed Maturity Investments Trading

The following table summarizes the fair value of fixed maturity investments trading:




	March 31, 2016		December 31, 2015
U.S. treasuries	$	2,475,747	$	2,064,944
Agencies	85,270		137,976
Municipal	564,555		583,282
Non-U.S. government (Sovereign debt)	353,756		334,981
Non-U.S. government-backed corporate	164,724		138,994
Corporate	1,833,825		2,055,323
Agency mortgage-backed	497,943		504,368
Non-agency mortgage-backed	248,609		262,235
Commercial mortgage-backed	535,068		554,625
Asset-backed	131,095		128,277
Total fixed maturity investments trading	$	6,890,592	$	6,765,005

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
March 31, 2016	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		Non-Credit Other-Than- Temporary Impairments (1)
Agency mortgage-backed	$	141	$	9	$	—	$	150	$	—
Non-agency mortgage-backed	6,627		1,336		—		7,963		525
Commercial mortgage-backed	5,616		256		—		5,872		—
Total fixed maturity investments available for sale	$	12,384	$	1,601	$	—	$	13,985	$	525




			Included in Accumulated Other Comprehensive Income
December 31, 2015	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		Non-Credit Other-Than- Temporary Impairments (1)
Agency mortgage-backed	$	143	$	7	$	—	$	150	$	—
Non-agency mortgage-backed	7,005		1,523		—		8,528		550
Commercial mortgage-backed	6,578		293		—		6,871		—
Asset-backed	2,217		47		—		2,264		—
Total fixed maturity investments available for sale	$	15,943	$	1,870	$	—	$	17,813	$	550


(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.

Schedule of Contractual Maturities of Fixed Maturity Investments

Contractual maturities of fixed maturity investments 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.




	Trading				Available for Sale				Total Fixed Maturity Investments
March 31, 2016	Amortized Cost		Fair Value		Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in less than one year	$	217,858	$	215,975	$	—	$	—	$	217,858	$	215,975
Due after one through five years	4,002,809		4,011,832		—		—		4,002,809		4,011,832
Due after five through ten years	1,028,014		1,035,877		—		—		1,028,014		1,035,877
Due after ten years	207,716		214,193		—		—		207,716		214,193
Mortgage-backed	1,270,780		1,281,620		12,384		13,985		1,283,164		1,295,605
Asset-backed	131,077		131,095		—		—		131,077		131,095
Total	$	6,858,254	$	6,890,592	$	12,384	$	13,985	$	6,870,638	$	6,904,577

Schedule of Fair Value of Equity Investments Trading

The following table summarizes the fair value of equity investments trading:




	March 31, 2016		December 31, 2015
Financials	$	190,916	$	193,716
Communications and technology	47,751		65,833
Industrial, utilities and energy	37,956		51,168
Consumer	29,997		40,918
Healthcare	24,374		36,148
Basic materials	4,515		6,094
Total	$	335,509	$	393,877

Schedule of Net Investment Income

The components of net investment income are as follows:




	Three months ended
	March 31, 2016			March 31, 2015
Fixed maturity investments	$	36,006		$	25,939
Short term investments	1,000			197
Equity investments	1,663			2,604
Other investments
Private equity investments	(9,358		)	10,413
Other	3,309			3,508
Cash and cash equivalents	129			148
	32,749			42,809
Investment expenses	(3,886		)	(3,102		)
Net investment income	$	28,863		$	39,707

Schedule of Net Realized and Unrealized Gains On Investments and Net Other-Than-Temporary Impairments

Net realized and unrealized gains on investments are as follows:




	Three months ended
	March 31, 2016			March 31, 2015
Gross realized gains	$	17,750		$	21,532
Gross realized losses	(14,665		)	(4,871		)
Net realized gains on fixed maturity investments	3,085			16,661
Net unrealized gains on fixed maturity investments trading	85,465			25,972
Net realized and unrealized losses on investments-related derivatives	(19,449		)	(4,208		)
Net realized (losses) gains on equity investments trading	(818		)	7,481
Net unrealized losses on equity investments trading	(6,630		)	(4,157		)
Net realized and unrealized gains on investments	$	61,653		$	41,749

- Definition

Tabular disclosure of the realized and unrealized gains and losses reported in the statement of income which have resulted from the sale and holding of marketable securities, respectively, as well as the sale or disposal of cost method investments. Such amounts would include realized gains and losses on the sale or disposal of trading, available-for-sale, and held-to-maturity securities, unrealized gains and losses on trading securities, unrealized gains and losses on available-for-sale and held-to-maturity securities transferred to the trading securities category, realized gains and losses on the sale or disposal of cost method investments, and losses recognized for other than temporary impairments (OTTI) of such investments.

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