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INVESTMENTS (TABLES)
 3 Months Ended
Mar. 31, 2015
Investments, Debt and Equity Securities [Abstract]  
AMORTIZED COST/COST AND FAIR VALUES OF FIXED MATURITIES AND EQUITIES
The amortized cost or cost and fair values of our fixed maturities and equities were as follows:
 
 
Amortized
Cost or
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair
Value
 
Non-credit
OTTI
in AOCI(5)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At March 31, 2015
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
1,490,502

 
$
9,183

 
$
(5,528
)
 
$
1,494,157

 
$
—

 
 
Non-U.S. government
932,741

 
7,041

 
(66,685
)
 
873,097

 
—

 
 
Corporate debt
4,549,974

 
58,133

 
(73,829
)
 
4,534,278

 
—

 
 
Agency RMBS(1)
2,150,598

 
51,061

 
(1,416
)
 
2,200,243

 
—

 
 
CMBS(2)
1,111,327

 
21,219

 
(1,223
)
 
1,131,323

 
—

 
 
Non-Agency RMBS
77,185

 
2,560

 
(1,744
)
 
78,001

 
(865
)
 
 
ABS(3)
1,500,493

 
3,438

 
(8,102
)
 
1,495,829

 
—

 
 
Municipals(4)
199,813

 
6,649

 
(496
)
 
205,966

 
—

 
 
Total fixed maturities
$
12,012,633

 
$
159,284

 
$
(159,023
)
 
$
12,012,894

 
$
(865
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
Exchange-traded funds
453,978

 
46,224

 
(2,155
)
 
498,047

 
 
 
 
Non-U.S. bond mutual funds
118,339

 
—

 
(15,057
)
 
103,282

 
 
 
 
Total equity securities
$
572,317

 
$
46,224

 
$
(17,212
)
 
$
601,329

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2014
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
1,645,068

 
$
3,337

 
$
(28,328
)
 
$
1,620,077

 
$
—

 
 
Non-U.S. government
1,080,601

 
7,383

 
(54,441
)
 
1,033,543

 
—

 
 
Corporate debt
4,386,432

 
40,972

 
(66,280
)
 
4,361,124

 
—

 
 
Agency RMBS(1)
2,241,581

 
40,762

 
(4,235
)
 
2,278,108

 
—

 
 
CMBS(2)
1,085,618

 
13,289

 
(2,019
)
 
1,096,888

 
—

 
 
Non-Agency RMBS
71,236

 
2,765

 
(915
)
 
73,086

 
(889
)
 
 
ABS(3)
1,475,026

 
2,748

 
(16,188
)
 
1,461,586

 
—

 
 
Municipals(4)
200,411

 
5,282

 
(832
)
 
204,861

 
—

 
 
Total fixed maturities
$
12,185,973

 
$
116,538

 
$
(173,238
)
 
$
12,129,273

 
$
(889
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
Exchange-traded funds
416,063

 
43,583

 
(4,756
)
 
454,890

 
 
 
 
Non-U.S. bond mutual funds
115,585

 
—

 
(2,768
)
 
112,817

 
 
 
 
Total equity securities
$
531,648

 
$
43,583

 
$
(7,524
)
 
$
567,707

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(1)
Residential mortgage-backed securities (RMBS) originated by U.S. agencies.
(2)
Commercial mortgage-backed securities (CMBS).
(3)
Asset-backed securities (ABS) include debt tranched securities collateralized primarily by auto loans, student loans, credit cards, and other asset types. This asset class also includes collateralized loan obligations (CLOs) and collateralized debt obligations (CDOs).
(4)
Municipals include bonds issued by states, municipalities and political subdivisions.
(5)
Represents the non-credit component of the other-than-temporary impairment (OTTI) losses, 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 MATURITIES
The contractual maturities of fixed maturities are shown below. Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.
 
 
Amortized
Cost
 
Fair
Value
 
% of Total
Fair Value
 
 
 
 
 
 
 
 
 
 
At March 31, 2015
 
 
 
 
 
 
 
Maturity
 
 
 
 
 
 
 
Due in one year or less
$
508,448

 
$
503,179

 
4.2
%
 
 
Due after one year through five years
4,387,194

 
4,349,800

 
36.2
%
 
 
Due after five years through ten years
2,042,045

 
2,016,713

 
16.8
%
 
 
Due after ten years
235,343

 
237,806

 
2.0
%
 
 
 
7,173,030

 
7,107,498

 
59.2
%
 
 
Agency RMBS
2,150,598

 
2,200,243

 
18.3
%
 
 
CMBS
1,111,327

 
1,131,323

 
9.4
%
 
 
Non-Agency RMBS
77,185

 
78,001

 
0.6
%
 
 
ABS
1,500,493

 
1,495,829

 
12.5
%
 
 
Total
$
12,012,633

 
$
12,012,894

 
100.0
%
 
 
 
 
 
 
 
 
 
 
At December 31, 2014
 
 
 
 
 
 
 
Maturity
 
 
 
 
 
 
 
Due in one year or less
$
424,077

 
$
423,265

 
3.5
%
 
 
Due after one year through five years
4,925,780

 
4,892,411

 
40.3
%
 
 
Due after five years through ten years
1,755,248

 
1,695,641

 
14.0
%
 
 
Due after ten years
207,407

 
208,288

 
1.7
%
 
 
 
7,312,512

 
7,219,605

 
59.5
%
 
 
Agency RMBS
2,241,581

 
2,278,108

 
18.8
%
 
 
CMBS
1,085,618

 
1,096,888

 
9.0
%
 
 
Non-Agency RMBS
71,236

 
73,086

 
0.6
%
 
 
ABS
1,475,026

 
1,461,586

 
12.1
%
 
 
Total
$
12,185,973

 
$
12,129,273

 
100.0
%
 
 
 
 
 
 
 
 
 
FIXED MATURITIES AND EQUITIES IN AN UNREALIZED LOSS POSITION
The following table summarizes fixed maturities and equities in an unrealized loss position and the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position:
 
  
12 months or greater
 
Less than 12 months
 
Total
 
 
  
Fair
Value
 
Unrealized
Losses
 
Fair
Value
 
Unrealized
Losses
 
Fair
Value
 
Unrealized
Losses
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At March 31, 2015
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
94,248

 
$
(4,525
)
 
$
329,487

 
$
(1,003
)
 
$
423,735

 
$
(5,528
)
 
 
Non-U.S. government
112,581

 
(31,924
)
 
349,284

 
(34,761
)
 
461,865

 
(66,685
)
 
 
Corporate debt
53,901

 
(5,679
)
 
1,263,181

 
(68,150
)
 
1,317,082

 
(73,829
)
 
 
Agency RMBS
55,492

 
(748
)
 
208,699

 
(668
)
 
264,191

 
(1,416
)
 
 
CMBS
54,293

 
(719
)
 
145,716

 
(504
)
 
200,009

 
(1,223
)
 
 
Non-Agency RMBS
5,685

 
(762
)
 
17,917

 
(982
)
 
23,602

 
(1,744
)
 
 
ABS
449,335

 
(6,367
)
 
544,239

 
(1,735
)
 
993,574

 
(8,102
)
 
 
Municipals
14,528

 
(139
)
 
16,297

 
(357
)
 
30,825

 
(496
)
 
 
Total fixed maturities
$
840,063

 
$
(50,863
)
 
$
2,874,820

 
$
(108,160
)
 
$
3,714,883

 
$
(159,023
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
 
 
Exchange-traded funds
—

 
—

 
80,230

 
(2,155
)
 
80,230

 
(2,155
)
 
 
Non-U.S. bond mutual funds
—

 
—

 
103,282

 
(15,057
)
 
103,282

 
(15,057
)
 
 
Total equity securities
$
—

 
$
—

 
$
183,512

 
$
(17,212
)
 
$
183,512

 
$
(17,212
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2014
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
388,551

 
$
(24,319
)
 
$
786,850

 
$
(4,009
)
 
$
1,175,401

 
$
(28,328
)
 
 
Non-U.S. government
143,602

 
(29,171
)
 
435,670

 
(25,270
)
 
579,272

 
(54,441
)
 
 
Corporate debt
26,708

 
(2,221
)
 
2,199,672

 
(64,059
)
 
2,226,380

 
(66,280
)
 
 
Agency RMBS
259,914

 
(3,084
)
 
333,288

 
(1,151
)
 
593,202

 
(4,235
)
 
 
CMBS
68,624

 
(925
)
 
256,225

 
(1,094
)
 
324,849

 
(2,019
)
 
 
Non-Agency RMBS
6,689

 
(613
)
 
13,442

 
(302
)
 
20,131

 
(915
)
 
 
ABS
425,663

 
(10,325
)
 
750,679

 
(5,863
)
 
1,176,342

 
(16,188
)
 
 
Municipals
34,462

 
(644
)
 
25,284

 
(188
)
 
59,746

 
(832
)
 
 
Total fixed maturities
$
1,354,213

 
$
(71,302
)
 
$
4,801,110

 
$
(101,936
)
 
$
6,155,323

 
$
(173,238
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
 
 
Exchange-traded funds
—

 
—

 
91,275

 
(4,756
)
 
91,275

 
(4,756
)
 
 
Non-U.S. bond mutual funds
—

 
—

 
112,817

 
(2,768
)
 
112,817

 
(2,768
)
 
 
Total equity securities
$
—

 
$
—

 
$
204,092

 
$
(7,524
)
 
$
204,092

 
$
(7,524
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
PORTFOLIO OF OTHER INVESTMENTS
The following table provides a breakdown of our investments in hedge funds, direct lending funds and CLO Equities, together with additional information relating to the liquidity of each category:
 
 
Fair Value
 
Redemption Frequency
(if currently eligible)
 
  Redemption  
  Notice Period  
 
 
 
 
 
 
 
 
 
 
 
 
At March 31, 2015
 

 
 

 
 
 
 
 
 
Long/short equity funds
$
242,096

 
26
%
 
Quarterly, Semi-annually
 
30-60 days
 
 
Multi-strategy funds
336,342

 
36
%
 
Quarterly, Semi-annually
 
60-95 days
 
 
Event-driven funds
189,212

 
20
%
 
Quarterly, Annually
 
45-60 days
 
 
Leveraged bank loan funds
9,616

 
1
%
 
Quarterly
 
65 days
 
 
Direct lending funds
69,682

 
7
%
 
n/a
 
n/a
 
 
CLO - Equities
92,058

 
10
%
 
n/a
 
n/a
 
 
Total other investments
$
939,006

 
100
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2014
 

 
 

 
 
 
 
 
 
Long/short equity funds
$
298,907

 
31
%
 
Quarterly, Semi-annually
 
30-60 days
 
 
Multi-strategy funds
324,020

 
34
%
 
Quarterly, Semi-annually
 
60-95 days
 
 
Event-driven funds
185,899

 
19
%
 
Quarterly, Annually
 
45-60 days
 
 
Leveraged bank loan funds
9,713

 
1
%
 
Quarterly
 
65 days
 
 
Direct lending funds
54,438

 
6
%
 
n/a
 
n/a
 
 
CLO - Equities
92,488

 
9
%
 
n/a
 
n/a
 
 
Total other investments
$
965,465

 
100
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
n/a - not applicable

NET INVESTMENT INCOME
Net investment income was derived from the following sources:
 
  
Three months ended March 31,
 
 
  
2015
 
2014
 
 
 
 
 
 
 
 
Fixed maturities
$
66,101

 
$
72,957

 
 
Other investments
30,935

 
16,760

 
 
Equity securities
1,676

 
2,286

 
 
Cash and cash equivalents
1,102

 
863

 
 
Short-term investments
69

 
214

 
 
Gross investment income
99,883

 
93,080

 
 
Investment expenses
(7,773
)
 
(10,336
)
 
 
Net investment income
$
92,110

 
$
82,744

 
 
 
 
 
 
 
NET REALIZED INVESTMENT GAINS (LOSSES)
The following table provides an analysis of net realized investment gains (losses):
 
  
Three months ended March 31,
 
 
  
2015
 
2014
 
 
 
 
 
 
 
 
Gross realized gains
 
 
 
 
 
Fixed maturities and short-term investments
$
15,661

 
$
33,770

 
 
Equities
38

 
19,267

 
 
Gross realized gains
15,699

 
53,037

 
 
Gross realized losses
 
 
 
 
 
Fixed maturities and short-term investments
(43,091
)
 
(33,704
)
 
 
Equities
(124
)
 
(2,438
)
 
 
Gross realized losses
(43,215
)
 
(36,142
)
 
 
Net OTTI recognized in earnings
(17,568
)
 
(786
)
 
 
Change in fair value of investment derivatives(1)
2,531

 
(5,489
)
 
 
Net realized investment gains (losses)
$
(42,553
)
 
$
10,620

 
 
 
 
 
 
 
(1) Refer to Note 5 – Derivative Instruments
OTTI RECOGNIZED IN EARNINGS BY ASSET CLASS
The following table summarizes the OTTI recognized in earnings by asset class:
 
  
Three months ended March 31,
 
 
  
2015
 
2014
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
Non-U.S. government
$
1,422

 
$
38

 
 
Corporate debt
16,120

 
15

 
 
Non-Agency RMBS
4

 
—

 
 
ABS
22

 
56

 
 
 
17,568

 
109

 
 
Equity Securities
 
 
 
 
 
Common stocks
—

 
677

 
 
 
—

 
677

 
 
Total OTTI recognized in earnings
$
17,568

 
$
786

 
 
 
 
 
 
 
ROLL FORWARD OF CREDIT LOSSES FOR WHICH A PORTION OF OTTI RECOGNIZED IN AOCI
The following table provides a roll forward of the credit losses, before income taxes, for which a portion of the OTTI was recognized in AOCI:
 
  
Three months ended March 31,
 
 
  
2015
 
2014
 
 
 
 
 
 
 
 
Balance at beginning of period
$
1,531

 
$
1,594

 
 
Credit impairments recognized on securities not previously impaired
—

 
—

 
 
Additional credit impairments recognized on securities previously impaired
10

 
—

 
 
Change in timing of future cash flows on securities previously impaired
—

 
—

 
 
Intent to sell of securities previously impaired
—

 
—

 
 
Securities sold/redeemed/matured
—

 
(4
)
 
 
Balance at end of period
$
1,541

 
$
1,590