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INVESTMENTS (TABLES)
 9 Months Ended
Sep. 30, 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 September 30, 2015
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
1,867,800

 
$
9,517

 
$
(12,859
)
 
$
1,864,458

 
$
—

 
 
Non-U.S. government
835,965

 
3,888

 
(67,139
)
 
772,714

 
—

 
 
Corporate debt
4,540,189

 
29,437

 
(77,543
)
 
4,492,083

 
—

 
 
Agency RMBS(1)
2,172,782

 
38,239

 
(3,313
)
 
2,207,708

 
—

 
 
CMBS(2)
1,069,887

 
11,623

 
(3,651
)
 
1,077,859

 
—

 
 
Non-Agency RMBS
103,180

 
2,173

 
(1,456
)
 
103,897

 
(886
)
 
 
ABS(3)
1,448,536

 
2,138

 
(11,451
)
 
1,439,223

 
—

 
 
Municipals(4)
178,919

 
3,780

 
(1,046
)
 
181,653

 
—

 
 
Total fixed maturities
$
12,217,258

 
$
100,795

 
$
(178,458
)
 
$
12,139,595

 
$
(886
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
Exchange-traded funds
563,262

 
21,835

 
(17,704
)
 
567,393

 
 
 
 
Bond mutual funds
122,200

 
—

 
(436
)
 
121,764

 
 
 
 
Total equity securities
$
685,462

 
$
21,835

 
$
(18,140
)
 
$
689,157

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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

 
 
 
 
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 September 30, 2015
 
 
 
 
 
 
 
Maturity
 
 
 
 
 
 
 
Due in one year or less
$
430,729

 
$
428,014

 
3.4
%
 
 
Due after one year through five years
4,472,042

 
4,429,743

 
36.5
%
 
 
Due after five years through ten years
2,209,980

 
2,149,330

 
17.7
%
 
 
Due after ten years
310,122

 
303,821

 
2.5
%
 
 
 
7,422,873

 
7,310,908

 
60.1
%
 
 
Agency RMBS
2,172,782

 
2,207,708

 
18.2
%
 
 
CMBS
1,069,887

 
1,077,859

 
8.9
%
 
 
Non-Agency RMBS
103,180

 
103,897

 
0.9
%
 
 
ABS
1,448,536

 
1,439,223

 
11.9
%
 
 
Total
$
12,217,258

 
$
12,139,595

 
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 September 30, 2015
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
121,077

 
$
(8,479
)
 
$
582,387

 
$
(4,380
)
 
$
703,464

 
$
(12,859
)
 
 
Non-U.S. government
137,816

 
(46,343
)
 
269,400

 
(20,796
)
 
407,216

 
(67,139
)
 
 
Corporate debt
368,525

 
(34,296
)
 
2,056,431

 
(43,247
)
 
2,424,956

 
(77,543
)
 
 
Agency RMBS
67,859

 
(1,063
)
 
493,436

 
(2,250
)
 
561,295

 
(3,313
)
 
 
CMBS
75,560

 
(971
)
 
271,340

 
(2,680
)
 
346,900

 
(3,651
)
 
 
Non-Agency RMBS
6,294

 
(675
)
 
59,911

 
(781
)
 
66,205

 
(1,456
)
 
 
ABS
553,123

 
(8,703
)
 
489,771

 
(2,748
)
 
1,042,894

 
(11,451
)
 
 
Municipals
14,950

 
(647
)
 
32,970

 
(399
)
 
47,920

 
(1,046
)
 
 
Total fixed maturities
$
1,345,204

 
$
(101,177
)
 
$
4,255,646

 
$
(77,281
)
 
$
5,600,850

 
$
(178,458
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
 
 
Exchange-traded funds
25,984

 
(4,141
)
 
281,414

 
(13,563
)
 
307,398

 
(17,704
)
 
 
Bond mutual funds
—

 
—

 
121,733

 
(436
)
 
121,733

 
(436
)
 
 
Total equity securities
$
25,984

 
$
(4,141
)
 
$
403,147

 
$
(13,999
)
 
$
429,131

 
$
(18,140
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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
)
 
 
Bond mutual funds
—

 
—

 
112,817

 
(2,768
)
 
112,817

 
(2,768
)
 
 
Total equity securities
$
—

 
$
—

 
$
204,092

 
$
(7,524
)
 
$
204,092

 
$
(7,524
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
MORTGAGE LOANS NET OF VALUATION ALLOWANCE
The following table provides a breakdown of our mortgage loans held-for-investment:
 
  
September 30, 2015
 
December 31, 2014
 
 
  
Carrying Value
 
% of Total
 
Carrying Value
 
% of Total
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage Loans held-for-investment:
 
 
 
 
 
 
 
 
 
Commercial
$
129,431

 
100
%
 
$
—

 
—
%
 
 
 
129,431

 
100
%
 
—

 
—
%
 
 
Valuation allowances
—

 
—
%
 
—

 
—
%
 
 
Total Mortgage Loans held-for-investment
$
129,431

 
100
%
 
$
—

 
—
%
 
 
 
 
 
 
 
 
 
 
 
PORTFOLIO OF OTHER INVESTMENTS
The following table provides a breakdown of our investments in hedge funds, direct lending funds, real estate 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 September 30, 2015
 

 
 

 
 
 
 
 
 
Long/short equity funds
$
154,099

 
19
%
 
Quarterly, Semi-annually, Annually
 
45-60 days
 
 
Multi-strategy funds
341,452

 
43
%
 
Quarterly, Semi-annually
 
60-95 days
 
 
Event-driven funds
140,343

 
18
%
 
Quarterly, Annually
 
45-60 days
 
 
Leveraged bank loan funds
75

 
—
%
 
n/a
 
n/a
 
 
Direct lending funds
79,283

 
10
%
 
n/a
 
n/a
 
 
Real estate funds
4,369

 
1
%
 
n/a
 
n/a
 
 
CLO - Equities
80,698

 
9
%
 
n/a
 
n/a
 
 
Total other investments
$
800,319

 
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
 
 
Real estate funds
—

 
—
%
 
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 September 30,
 
Nine months ended September 30,
 
 
  
2015
 
2014
 
2015
 
2014
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
$
75,980

 
$
74,996

 
$
220,066

 
$
226,475

 
 
Other investments
(27,421
)
 
(3,384
)
 
17,616

 
45,868

 
 
Equity securities
3,445

 
2,022

 
7,795

 
9,609

 
 
Mortgage loans
482

 
—

 
776

 
—

 
 
Cash and cash equivalents
993

 
2,081

 
3,770

 
9,127

 
 
Short-term investments
83

 
141

 
277

 
600

 
 
Gross investment income
53,562

 
75,856

 
250,300

 
291,679

 
 
Investment expenses
(7,877
)
 
(9,294
)
 
(23,964
)
 
(27,508
)
 
 
Net investment income
$
45,685

 
$
66,562

 
$
226,336

 
$
264,171

 
 
 
 
 
 
 
 
 
 
 
NET REALIZED INVESTMENT GAINS (LOSSES)
The following table provides an analysis of net realized investment gains (losses):
 
  
Three months ended September 30,
 
Nine months ended September 30,
 
 
  
2015
 
2014
 
2015
 
2014
 
 
 
 
 
 
 
 
 
 
 
 
Gross realized gains
 
 
 
 
 
 
 
 
 
Fixed maturities and short-term investments
$
12,126

 
$
17,638

 
$
44,853

 
$
78,057

 
 
Equities
232

 
81,888

 
447

 
133,764

 
 
Gross realized gains
12,358

 
99,526

 
45,300

 
211,821

 
 
Gross realized losses
 
 
 
 
 
 
 
 
 
Fixed maturities and short-term investments
(54,867
)
 
(8,527
)
 
(111,432
)
 
(56,623
)
 
 
Equities
(1,559
)
 
(7,120
)
 
(1,952
)
 
(12,104
)
 
 
Gross realized losses
(56,426
)
 
(15,647
)
 
(113,384
)
 
(68,727
)
 
 
Net OTTI recognized in earnings
(32,301
)
 
(9,431
)
 
(62,762
)
 
(12,121
)
 
 
Change in fair value of investment derivatives(1)
6,412

 
3,000

 
7,228

 
(9,644
)
 
 
Net realized investment gains (losses)
$
(69,957
)
 
$
77,448

 
$
(123,618
)
 
$
121,329

 
 
 
 
 
 
 
 
 
 
 
(1) Refer to Note 6 – Derivative Instruments
OTTI RECOGNIZED IN EARNINGS BY ASSET CLASS
The following table summarizes the OTTI recognized in earnings by asset class:
 
  
Three months ended September 30,
 
Nine months ended September 30,
 
 
  
2015
 
2014
 
2015
 
2014
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
Non-U.S. government
$
1,295

 
$
3,380

 
$
2,717

 
$
5,192

 
 
Corporate debt
20,587

 
1,031

 
38,396

 
1,112

 
 
Non-Agency RMBS
—

 
—

 
4

 
—

 
 
ABS
84

 
—

 
124

 
56

 
 
Municipals
—

 
418

 
—

 
418

 
 
 
21,966

 
4,829

 
41,241

 
6,778

 
 
Equity Securities
 
 
 
 
 
 
 
 
 
Common stocks
—

 
—

 
—

 
741

 
 
Exchange-traded funds
10,335

 
4,602

 
10,335

 
4,602

 
 
Bond mutual funds

—

 
—

 
11,186

 
—

 
 
 
10,335

 
4,602

 
21,521

 
5,343

 
 
Total OTTI recognized in earnings
$
32,301

 
$
9,431

 
$
62,762

 
$
12,121

 
 
 
 
 
 
 
 
 
 
 
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 September 30,
 
Nine months ended September 30,
 
 
  
2015
 
2014
 
2015
 
2014
 
 
 
 
 
 
 
 
 
 
 
 
Balance at beginning of period
$
1,564

 
$
1,581

 
$
1,531

 
$
1,594

 
 
Credit impairments recognized on securities not previously impaired
—

 
—

 
—

 
—

 
 
Additional credit impairments recognized on securities previously impaired
—

 
—

 
33

 
—

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

 
—

 
—

 
—

 
 
Intent to sell of securities previously impaired
—

 
—

 
—

 
—

 
 
Securities sold/redeemed/matured
(43
)
 
(23
)
 
(43
)
 
(36
)
 
 
Balance at end of period
$
1,521

 
$
1,558

 
$
1,521

 
$
1,558