XML 32 R21.htm IDEA: XBRL DOCUMENT v3.4.0.3
INVESTMENTS (TABLES)
 3 Months Ended
Mar. 31, 2016
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, 2016
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
1,552,689

 
$
20,614

 
$
(3,123
)
 
$
1,570,180

 
$
—

 
 
Non-U.S. government
753,923

 
6,718

 
(39,918
)
 
720,723

 
—

 
 
Corporate debt
4,423,369

 
55,031

 
(53,358
)
 
4,425,042

 
—

 
 
Agency RMBS(1)
2,377,262

 
45,420

 
(1,381
)
 
2,421,301

 
—

 
 
CMBS(2)
1,099,346

 
13,221

 
(5,883
)
 
1,106,684

 
—

 
 
Non-Agency RMBS
94,704

 
1,584

 
(1,266
)
 
95,022

 
(862
)
 
 
ABS(3)
1,359,752

 
1,199

 
(17,801
)
 
1,343,150

 
—

 
 
Municipals(4)
151,737

 
4,758

 
(529
)
 
155,966

 
—

 
 
Total fixed maturities
$
11,812,782

 
$
148,545

 
$
(123,259
)
 
$
11,838,068

 
$
(862
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
Common stocks
$
292

 
$
96

 
$
(210
)
 
$
178

 
 
 
 
Exchange-traded funds
471,879

 
32,339

 
(3,550
)
 
500,668

 
 
 
 
Bond mutual funds
133,120

 
3,359

 
—

 
136,479

 
 
 
 
Total equity securities
$
605,291

 
$
35,794

 
$
(3,760
)
 
$
637,325

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2015
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
1,673,617

 
$
1,545

 
$
(23,213
)
 
$
1,651,949

 
$
—

 
 
Non-U.S. government
809,025

 
2,312

 
(72,332
)
 
739,005

 
—

 
 
Corporate debt
4,442,315

 
16,740

 
(96,286
)
 
4,362,769

 
—

 
 
Agency RMBS(1)
2,236,138

 
22,773

 
(9,675
)
 
2,249,236

 
—

 
 
CMBS(2)
1,088,595

 
3,885

 
(9,182
)
 
1,083,298

 
—

 
 
Non-Agency RMBS
99,989

 
1,992

 
(973
)
 
101,008

 
(875
)
 
 
ABS(3)
1,387,919

 
952

 
(17,601
)
 
1,371,270

 
—

 
 
Municipals(4)
160,041

 
2,319

 
(1,146
)
 
161,214

 
—

 
 
Total fixed maturities
$
11,897,639

 
$
52,518

 
$
(230,408
)
 
$
11,719,749

 
$
(875
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
Common stocks
$
—

 
$
—

 
$
—

 
$
—

 
 
 
 
Exchange-traded funds
447,524

 
31,211

 
(4,762
)
 
473,973

 
 
 
 
Bond mutual funds
128,252

 
—

 
(4,227
)
 
124,025

 
 
 
 
Total equity securities
$
575,776

 
$
31,211

 
$
(8,989
)
 
$
597,998

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(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, 2016
 
 
 
 
 
 
 
Maturity
 
 
 
 
 
 
 
Due in one year or less
$
295,599

 
$
291,510

 
2.5
%
 
 
Due after one year through five years
3,994,127

 
3,985,100

 
33.7
%
 
 
Due after five years through ten years
2,263,573

 
2,264,238

 
19.1
%
 
 
Due after ten years
328,419

 
331,063

 
2.8
%
 
 
 
6,881,718

 
6,871,911

 
58.1
%
 
 
Agency RMBS
2,377,262

 
2,421,301

 
20.5
%
 
 
CMBS
1,099,346

 
1,106,684

 
9.3
%
 
 
Non-Agency RMBS
94,704

 
95,022

 
0.8
%
 
 
ABS
1,359,752

 
1,343,150

 
11.3
%
 
 
Total
$
11,812,782

 
$
11,838,068

 
100.0
%
 
 
 
 
 
 
 
 
 
 
At December 31, 2015
 
 
 
 
 
 
 
Maturity
 
 
 
 
 
 
 
Due in one year or less
$
291,368

 
$
289,571

 
2.5
%
 
 
Due after one year through five years
4,217,515

 
4,142,802

 
35.3
%
 
 
Due after five years through ten years
2,263,684

 
2,181,525

 
18.6
%
 
 
Due after ten years
312,431

 
301,039

 
2.6
%
 
 
 
7,084,998

 
6,914,937

 
59.0
%
 
 
Agency RMBS
2,236,138

 
2,249,236

 
19.2
%
 
 
CMBS
1,088,595

 
1,083,298

 
9.2
%
 
 
Non-Agency RMBS
99,989

 
101,008

 
0.9
%
 
 
ABS
1,387,919

 
1,371,270

 
11.7
%
 
 
Total
$
11,897,639

 
$
11,719,749

 
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, 2016
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
84,342

 
$
(3,030
)
 
$
146,502

 
$
(93
)
 
$
230,844

 
$
(3,123
)
 
 
Non-U.S. government
135,920

 
(30,440
)
 
220,140

 
(9,478
)
 
356,060

 
(39,918
)
 
 
Corporate debt
388,621

 
(24,425
)
 
1,019,187

 
(28,933
)
 
1,407,808

 
(53,358
)
 
 
Agency RMBS
179,155

 
(850
)
 
143,472

 
(531
)
 
322,627

 
(1,381
)
 
 
CMBS
102,506

 
(1,775
)
 
392,674

 
(4,108
)
 
495,180

 
(5,883
)
 
 
Non-Agency RMBS
5,419

 
(275
)
 
58,771

 
(991
)
 
64,190

 
(1,266
)
 
 
ABS
579,638

 
(11,397
)
 
536,264

 
(6,404
)
 
1,115,902

 
(17,801
)
 
 
Municipals
14,966

 
(509
)
 
2,635

 
(20
)
 
17,601

 
(529
)
 
 
Total fixed maturities
$
1,490,567

 
$
(72,701
)
 
$
2,519,645

 
$
(50,558
)
 
$
4,010,212

 
$
(123,259
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
 
 
Common stocks
$
—

 
$
—

 
$
—

 
$
(210
)
 
$
—

 
$
(210
)
 
 
Exchange-traded funds
—

 
—

 
72,146

 
(3,550
)
 
72,146

 
(3,550
)
 
 
Bond mutual funds
—

 
—

 
—

 
—

 
—

 
—

 
 
Total equity securities
$
—

 
$
—

 
$
72,146

 
$
(3,760
)
 
$
72,146

 
$
(3,760
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2015
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
84,179

 
$
(7,622
)
 
$
1,474,202

 
$
(15,591
)
 
$
1,558,381

 
$
(23,213
)
 
 
Non-U.S. government
170,269

 
(50,841
)
 
317,693

 
(21,491
)
 
487,962

 
(72,332
)
 
 
Corporate debt
340,831

 
(33,441
)
 
2,845,375

 
(62,845
)
 
3,186,206

 
(96,286
)
 
 
Agency RMBS
64,792

 
(1,609
)
 
1,073,566

 
(8,066
)
 
1,138,358

 
(9,675
)
 
 
CMBS
75,627

 
(1,579
)
 
659,480

 
(7,603
)
 
735,107

 
(9,182
)
 
 
Non-Agency RMBS
5,283

 
(210
)
 
43,199

 
(763
)
 
48,482

 
(973
)
 
 
ABS
562,599

 
(11,158
)
 
667,448

 
(6,443
)
 
1,230,047

 
(17,601
)
 
 
Municipals
14,214

 
(310
)
 
64,104

 
(836
)
 
78,318

 
(1,146
)
 
 
Total fixed maturities
$
1,317,794

 
$
(106,770
)
 
$
7,145,067

 
$
(123,638
)
 
$
8,462,861

 
$
(230,408
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
 
 
Common stocks
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
 
Exchange-traded funds
2,331

 
(313
)
 
110,972

 
(4,449
)
 
113,303

 
(4,762
)
 
 
Bond mutual funds
—

 
—

 
124,025

 
(4,227
)
 
124,025

 
(4,227
)
 
 
Total equity securities
$
2,331

 
$
(313
)
 
$
234,997

 
$
(8,676
)
 
$
237,328

 
$
(8,989
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
MORTGAGE LOANS NET OF VALUATION ALLOWANCE
The following table provides a breakdown of our mortgage loans held-for-investment:
 
  
March 31, 2016
 
December 31, 2015
 
 
  
Carrying Value
 
% of Total
 
Carrying Value
 
% of Total
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage Loans held-for-investment:
 
 
 
 
 
 
 
 
 
Commercial
$
267,589

 
100
%
 
$
206,277

 
100
%
 
 
 
267,589

 
100
%
 
206,277

 
100
%
 
 
Valuation allowances
—

 
—
%
 
—

 
—
%
 
 
Total Mortgage Loans held-for-investment
$
267,589

 
100
%
 
$
206,277

 
100
%
 
 
 
 
 
 
 
 
 
 
 
PORTFOLIO OF OTHER INVESTMENTS
The following table provides a breakdown of our investments in hedge funds, direct lending funds, private equity 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 March 31, 2016
 

 
 

 
 
 
 
 
 
Long/short equity funds
$
128,502

 
15
%
 
Quarterly, Semi-annually, Annually
 
45-60 days
 
 
Multi-strategy funds
312,211

 
36
%
 
Quarterly, Semi-annually
 
60-95 days
 
 
Event-driven funds
146,428

 
17
%
 
Quarterly, Annually
 
45-60 days
 
 
Leveraged bank loan funds
65

 
—
%
 
n/a
 
n/a
 
 
Direct lending funds
112,889

 
13
%
 
n/a
 
n/a
 
 
Private equity funds
93,783

 
11
%
 
n/a
 
n/a
 
 
Real estate funds
5,390

 
1
%
 
n/a
 
n/a
 
 
CLO - Equities
60,371

 
7
%
 
n/a
 
n/a
 
 
Total other investments
$
859,639

 
100
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2015
 

 
 

 
 
 
 
 
 
Long/short equity funds
$
154,348

 
19
%
 
Quarterly, Semi-annually, Annually
 
45-60 days
 
 
Multi-strategy funds
355,073

 
43
%
 
Quarterly, Semi-annually
 
60-95 days
 
 
Event-driven funds
147,287

 
18
%
 
Quarterly, Annually
 
45-60 days
 
 
Leveraged bank loan funds
65

 
—
%
 
n/a
 
n/a
 
 
Direct lending funds
90,120

 
11
%
 
n/a
 
n/a
 
 
Private equity funds
—

 
—
%
 
n/a
 
n/a
 
 
Real estate funds
4,929

 
1
%
 
n/a
 
n/a
 
 
CLO - Equities
64,934

 
8
%
 
n/a
 
n/a
 
 
Total other investments
$
816,756

 
100
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
n/a - not applicable

NET INVESTMENT INCOME
Net investment income was derived from the following sources:
 
  
Three months ended March 31,
 
 
  
2016
 
2015
 
 
 
 
 
 
 
 
Fixed maturities
$
75,975

 
$
66,088

 
 
Other investments
(26,878
)
 
30,935

 
 
Equity securities
5,145

 
1,676

 
 
Mortgage loans
1,684

 
13

 
 
Cash and cash equivalents
1,434

 
1,099

 
 
Short-term investments
206

 
69

 
 
Gross investment income
57,566

 
99,880

 
 
Investment expenses
(8,402
)
 
(7,773
)
 
 
Net investment income
$
49,164

 
$
92,107

 
 
 
 
 
 
 
NET REALIZED INVESTMENT LOSSES
The following table provides an analysis of net realized investment losses:
 
  
Three months ended March 31,
 
 
  
2016
 
2015
 
 
 
 
 
 
 
 
Gross realized gains
 
 
 
 
 
Fixed maturities and short-term investments
$
16,164

 
$
15,661

 
 
Equities
3,541

 
38

 
 
Gross realized gains
19,705

 
15,699

 
 
Gross realized losses
 
 
 
 
 
Fixed maturities and short-term investments
(59,177
)
 
(43,091
)
 
 
Equities
(14,787
)
 
(124
)
 
 
Gross realized losses
(73,964
)
 
(43,215
)
 
 
Net OTTI recognized in earnings
(9,729
)
 
(17,568
)
 
 
Change in fair value of investment derivatives(1)
(2,520
)
 
2,531

 
 
Net realized investment losses
$
(66,508
)
 
$
(42,553
)
 
 
 
 
 
 
 
(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,
 
 
  
2016
 
2015
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
Non-U.S. government
$
—

 
$
1,422

 
 
Corporate debt
7,169

 
16,120

 
 
Non-Agency RMBS
—

 
4

 
 
ABS
—

 
22

 
 
 
7,169

 
17,568

 
 
Equity Securities
 
 
 
 
 
Exchange-traded funds
2,560

 
—

 
 
 
2,560

 
—

 
 
Total OTTI recognized in earnings
$
9,729

 
$
17,568

 
 
 
 
 
 
 
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,
 
 
  
2016
 
2015
 
 
 
 
 
 
 
 
Balance at beginning of period
$
1,506

 
$
1,531

 
 
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
—

 
—

 
 
Balance at end of period
$
1,506

 
$
1,541