XML 27 R12.htm IDEA: XBRL DOCUMENT
v3.6.0.2

Investments | 12 Months Ended
--- | ---
Dec. 31, 2016
Investments [Abstract] |
Investments | INVESTMENTS Fixed Maturity Investments Trading The following table summarizes the fair value of fixed maturity investments trading:
|  | December 31, 2016 |  | December 31, 2015 |
| U.S. treasuries | $ | 2,617,894 |  |  | $ | 2,064,944 |  |
| Agencies | 90,972 |  |  | 137,976 |  |
| Municipal | 519,069 |  |  | 583,282 |  |
| Non-U.S. government (Sovereign debt) | 333,224 |  |  | 334,981 |  |
| Non-U.S. government-backed corporate | 133,300 |  |  | 138,994 |  |
| Corporate | 1,877,243 |  |  | 2,055,323 |  |
| Agency mortgage-backed | 462,493 |  |  | 504,368 |  |
| Non-agency mortgage-backed | 258,944 |  |  | 262,235 |  |
| Commercial mortgage-backed | 409,747 |  |  | 554,625 |  |
| Asset-backed | 188,358 |  |  | 128,277 |  |
| Total fixed maturity investments trading | $ | 6,891,244 |  |  | $ | 6,765,005 |  |
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.
| At December 31, 2016 | Amortized Cost |  | Fair Value |
| Due in less than one year | $ | 485,939 |  |  | $ | 483,642 |  |
| Due after one through five years | 3,927,373 |  |  | 3,900,915 |  |
| Due after five through ten years | 1,024,285 |  |  | 1,028,249 |  |
| Due after ten years | 161,405 |  |  | 158,896 |  |
| Mortgage-backed | 1,133,746 |  |  | 1,131,184 |  |
| Asset-backed | 187,942 |  |  | 188,358 |  |
| Total | $ | 6,920,690 |  |  | $ | 6,891,244 |  |
Fixed Maturity Investments Available For Sale The Company did not have any fixed maturity investments available for sale at December 31, 2016 and at December 31, 2015, the Company did not have any fixed maturity investments available for sale in an unrealized loss position. 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 at December 31, 2015:
|  |  |  | Included in Accumulated Other Comprehensive Income |  |  |  |  |
| At 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.
Equity Investments Trading The following table summarizes the fair value of equity investments trading:
|  | December 31, 2016 |  | December 31, 2015 |
| Financials | $ | 275,065 |  |  | $ | 193,716 |  |
| Communications and technology | 36,770 |  |  | 65,833 |  |
| Industrial, utilities and energy | 30,303 |  |  | 51,168 |  |
| Consumer | 20,501 |  |  | 40,918 |  |
| Healthcare | 17,245 |  |  | 36,148 |  |
| Basic materials | 3,429 |  |  | 6,094 |  |
| Total | $ | 383,313 |  |  | $ | 393,877 |  |
Pledged Investments At December 31, 2016, $2.7 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 standby letter of credit facility and bilateral letter of credit facility (2015 - $2.5 billion). Of this amount, $842.6 million is on deposit with, or in trust accounts for the benefit of, U.S. state regulatory authorities (2015 - $664.6 million). Reverse Repurchase Agreements At December 31, 2016, the Company held $78.7 million (2015 - $26.2 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 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:
| Year ended December 31, | 2016 |  | 2015 |  | 2014 |
| Fixed maturity investments | $ | 160,661 |  |  | $ | 134,800 |  |  | $ | 100,855 |  |
| Short term investments | 5,127 |  |  | 1,227 |  |  | 944 |  |
| Equity investments | 4,235 |  |  | 8,346 |  |  | 3,450 |  |
| Other investments |  |  |  |  |  |
| Private equity investments | 6,155 |  |  | 9,455 |  |  | 18,974 |  |
| Other | 20,181 |  |  | 12,472 |  |  | 11,037 |  |
| Cash and cash equivalents | 788 |  |  | 467 |  |  | 395 |  |
|  | 197,147 |  |  | 166,767 |  |  | 135,655 |  |
| Investment expenses | (15,421 | ) |  | (14,200 | ) |  | (11,339 | ) |
| Net investment income | $ | 181,726 |  |  | $ | 152,567 |  |  | $ | 124,316 |  |
Net Realized and Unrealized Gains (Losses) on Investments Net realized and unrealized gains (losses) on investments are as follows:
| Year ended December 31, | 2016 |  | 2015 |  | 2014 |
| Gross realized gains | $ | 72,739 |  |  | $ | 50,488 |  |  | $ | 45,568 |  |
| Gross realized losses | (38,315 | ) |  | (53,630 | ) |  | (14,868 | ) |
| Net realized gains (losses) on fixed maturity investments | 34,424 |  |  | (3,142 | ) |  | 30,700 |  |
| Net unrealized gains (losses) on fixed maturity investments trading | 26,954 |  |  | (64,908 | ) |  | 19,680 |  |
| Net realized and unrealized (losses) gains on investments-related derivatives | (15,414 | ) |  | 5,443 |  |  | (30,931 | ) |
| Net realized gains on equity investments trading | 14,190 |  |  | 16,348 |  |  | 10,908 |  |
| Net unrealized gains (losses) on equity investments trading | 81,174 |  |  | (22,659 | ) |  | 11,076 |  |
| Net realized and unrealized gains (losses) on investments | $ | 141,328 |  |  | $ | (68,918 | ) |  | $ | 41,433 |  |
Other Investments The table below shows the fair value of the Company’s portfolio of other investments:
| At December 31, | 2016 |  | 2015 |
| Catastrophe bonds | $ | 335,209 |  |  | $ | 241,253 |  |
| Private equity partnerships | 191,061 |  |  | 214,848 |  |
| Senior secured bank loan funds | 22,040 |  |  | 23,231 |  |
| Hedge funds | 1,495 |  |  | 2,289 |  |
| Total other investments | $ | 549,805 |  |  | $ | 481,621 |  |
Interest income, income distributions and net realized and unrealized gains on other investments are included in net investment income and totaled $26.3 million (2015 – $21.9 million, 2014 – $30.0 million) of which $11.5 million related to net unrealized gains (2015 – gains of $10.4 million, 2014 – gains of $17.7 million). Included in net investment income for 2016 is a loss of $3.4 million (2015 - $2.5 million, 2014 - $0.6 million) representing the change in estimate during the period related to the difference between the Company’s estimated fair value due to the lag in reporting, as discussed in “Note 2. Significant Accounting Policies,” and the actual amount as reported in the final net asset values provided by the Company’s fund managers. The Company has committed capital to private equity partnerships and other entities of $794.2 million, of which $554.7 million has been contributed at December 31, 2016. The Company’s remaining commitments to these funds at December 31, 2016 totaled $249.4 million. In the future, the Company may enter into additional commitments in respect of private equity partnerships or individual portfolio company investment opportunities. Investments in Other Ventures, under Equity Method The table below shows the Company’s portfolio of investments in other ventures, under equity method:
|  | 2016 |  | 2015 |
| At December 31, | Investment |  | Ownership % |  | Carrying Value |  | Investment |  | Ownership % |  | Carrying Value |
| THIG | $ | 50,000 |  |  | 25.0 | % |  | $ | 19,286 |  |  | $ | 50,000 |  |  | 25.0 | % |  | $ | 19,155 |  |
| Tower Hill | 10,000 |  |  | 32.3 | % |  | 21,590 |  |  | 10,000 |  |  | 31.3 | % |  | 19,981 |  |
| Tower Hill Re | 4,250 |  |  | 25.0 | % |  | 2,903 |  |  | 4,250 |  |  | 25.0 | % |  | 4,136 |  |
| Tower Hill Signature | 500 |  |  | 25.0 | % |  | 9,085 |  |  | 500 |  |  | 25.0 | % |  | 7,315 |  |
| Total Tower Hill Companies | 64,750 |  |  |  |  | 52,864 |  |  | 64,750 |  |  |  |  | 50,587 |  |
| Top Layer Re | 65,375 |  |  | 50.0 | % |  | 60,360 |  |  | 65,375 |  |  | 50.0 | % |  | 68,936 |  |
| Other | 23,923 |  |  | 41.8 | % |  | 11,003 |  |  | 23,607 |  |  | 43.5 | % |  | 12,828 |  |
| Total investments in other ventures, under equity method | $ | 154,048 |  |  |  |  | $ | 124,227 |  |  | $ | 153,732 |  |  |  |  | $ | 132,351 |  |
On July 1, 2008, the Company invested $50.0 million in Tower Hill Insurance Group, LLC (“THIG”) representing a 25.0% equity ownership. Included in the purchase price was $40.0 million of other intangibles and $7.8 million of goodwill, which, in accordance with generally accepted accounting principles, are recorded as “Investments in other ventures, under equity method” rather than “Goodwill and other intangibles” on the Company’s consolidated balance sheet. The Company originally invested $13.1 million in Top Layer Re, representing a 50.0% ownership. In December 2010, March 2011 and December 2011, primarily as a result of net claims and claim expenses incurred by Top Layer Re with respect to the September 2010 New Zealand Earthquake, the February 2011 New Zealand Earthquake and the Tohoku Earthquake and Tsunami, respectively, the Company invested an additional $13.8 million, $20.5 million and $18.0 million, respectively, in Top Layer Re, maintaining the Company’s 50.0% ownership interest. The table below shows the Company’s equity in earnings of other ventures, under equity method:
| Year ended December 31, | 2016 |  | 2015 |  | 2014 |
| Tower Hill Companies | $ | 10,379 |  |  | $ | 13,116 |  |  | $ | 18,376 |  |
| Top Layer Re | (8,576 | ) |  | 8,026 |  |  | 10,411 |  |
| Other | (840 | ) |  | (661 | ) |  | (2,712 | ) |
| Total equity in earnings of other ventures | $ | 963 |  |  | $ | 20,481 |  |  | $ | 26,075 |  |
During 2016, the Company received $9.4 million of dividends from its investments in other ventures, under equity method (2015 – $13.3 million, 2014 – $10.3 million). Losses from the Company’s investments in other ventures, under equity method, net of dividends and distributions received, were $5.5 million at December 31, 2016 (2015 - earnings of $10.1 million). Except for Top Layer Re, the equity in earnings of the Company’s investments in other ventures are reported one quarter in arrears.

X
- References No definition available. + Details
Name: | us-gaap_InvestmentsAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- 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 -Glossary Debt Security -URI http://asc.fasb.org/extlink&oid=6509901 Reference 2: 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=73527792&loc=d3e27290-111563 Reference 3: 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 4: 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=73527792&loc=d3e27232-111563 Reference 5: 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 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=73527792&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 9 -URI http://asc.fasb.org/extlink&oid=73527792&loc=d3e27357-111563 Reference 9: 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=73527792&loc=d3e27405-111563 + Details
Name: | us-gaap_InvestmentsInDebtAndMarketableEquitySecuritiesAndCertainTradingAssetsDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration