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INVESTMENTS (TABLES)
 6 Months Ended
Jun. 30, 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 June 30, 2016
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
1,484,802

 
$
32,471

 
$
(1,895
)
 
$
1,515,378

 
$
—

 
 
Non-U.S. government
691,649

 
5,178

 
(54,012
)
 
642,815

 
—

 
 
Corporate debt
4,366,370

 
83,692

 
(47,771
)
 
4,402,291

 
—

 
 
Agency RMBS(1)
2,328,647

 
55,587

 
(652
)
 
2,383,582

 
—

 
 
CMBS(2)
1,060,897

 
22,727

 
(2,589
)
 
1,081,035

 
—

 
 
Non-Agency RMBS
85,450

 
1,594

 
(1,686
)
 
85,358

 
(831
)
 
 
ABS(3)
1,307,495

 
2,590

 
(12,195
)
 
1,297,890

 
—

 
 
Municipals(4)
149,983

 
5,371

 
(487
)
 
154,867

 
—

 
 
Total fixed maturities
$
11,475,293

 
$
209,210

 
$
(121,287
)
 
$
11,563,216

 
$
(831
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
Common stocks
$
379

 
$
26

 
$
(318
)
 
$
87

 
 
 
 
Exchange-traded funds
467,032

 
28,412

 
(4,125
)
 
491,319

 
 
 
 
Bond mutual funds
133,909

 
1,056

 
—

 
134,965

 
 
 
 
Total equity securities
$
601,320

 
$
29,494

 
$
(4,443
)
 
$
626,371

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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 June 30, 2016
 
 
 
 
 
 
 
Maturity
 
 
 
 
 
 
 
Due in one year or less
$
328,830

 
$
320,923

 
2.9
%
 
 
Due after one year through five years
3,778,226

 
3,773,989

 
32.6
%
 
 
Due after five years through ten years
2,260,438

 
2,286,068

 
19.8
%
 
 
Due after ten years
325,310

 
334,371

 
2.9
%
 
 
 
6,692,804

 
6,715,351

 
58.2
%
 
 
Agency RMBS
2,328,647

 
2,383,582

 
20.6
%
 
 
CMBS
1,060,897

 
1,081,035

 
9.3
%
 
 
Non-Agency RMBS
85,450

 
85,358

 
0.7
%
 
 
ABS
1,307,495

 
1,297,890

 
11.2
%
 
 
Total
$
11,475,293

 
$
11,563,216

 
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 June 30, 2016
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
66,551

 
$
(1,864
)
 
$
80,664

 
$
(31
)
 
$
147,215

 
$
(1,895
)
 
 
Non-U.S. government
127,388

 
(36,001
)
 
271,036

 
(18,011
)
 
398,424

 
(54,012
)
 
 
Corporate debt
342,184

 
(28,316
)
 
673,041

 
(19,455
)
 
1,015,225

 
(47,771
)
 
 
Agency RMBS
74,590

 
(449
)
 
54,383

 
(203
)
 
128,973

 
(652
)
 
 
CMBS
113,021

 
(1,573
)
 
230,571

 
(1,016
)
 
343,592

 
(2,589
)
 
 
Non-Agency RMBS
10,366

 
(331
)
 
11,773

 
(1,355
)
 
22,139

 
(1,686
)
 
 
ABS
765,201

 
(10,568
)
 
215,552

 
(1,627
)
 
980,753

 
(12,195
)
 
 
Municipals
14,954

 
(479
)
 
2,402

 
(8
)
 
17,356

 
(487
)
 
 
Total fixed maturities
$
1,514,255

 
$
(79,581
)
 
$
1,539,422

 
$
(41,706
)
 
$
3,053,677

 
$
(121,287
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
 
 
Common stocks
$
—

 
$
—

 
$
61

 
$
(318
)
 
$
61

 
$
(318
)
 
 
Exchange-traded funds
5,337

 
(327
)
 
86,292

 
(3,798
)
 
91,629

 
(4,125
)
 
 
Bond mutual funds
—

 
—

 
—

 
—

 
—

 
—

 
 
Total equity securities
$
5,337

 
$
(327
)
 
$
86,353

 
$
(4,116
)
 
$
91,690

 
$
(4,443
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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:
 
  
June 30, 2016
 
December 31, 2015
 
 
  
Carrying Value
 
% of Total
 
Carrying Value
 
% of Total
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage Loans held-for-investment:
 
 
 
 
 
 
 
 
 
Commercial
$
327,315

 
100
%
 
$
206,277

 
100
%
 
 
 
327,315

 
100
%
 
206,277

 
100
%
 
 
Valuation allowances
—

 
—
%
 
—

 
—
%
 
 
Total Mortgage Loans held-for-investment
$
327,315

 
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, CLO Equities and other privately held investments, together with additional information relating to the liquidity of each category:
 
 
Fair Value
 
Redemption Frequency
(if currently eligible)
 
  Redemption  
  Notice Period  
 
 
 
 
 
 
 
 
 
 
 
 
At June 30, 2016
 

 
 

 
 
 
 
 
 
Long/short equity funds
$
126,579

 
15
%
 
Quarterly, Semi-annually, Annually
 
45-60 days
 
 
Multi-strategy funds
314,687

 
36
%
 
Quarterly, Semi-annually
 
60-95 days
 
 
Event-driven funds
90,902

 
11
%
 
Quarterly, Annually
 
45-60 days
 
 
Leveraged bank loan funds
65

 
—
%
 
n/a
 
n/a
 
 
Direct lending funds
120,962

 
14
%
 
n/a
 
n/a
 
 
Private equity funds
93,722

 
11
%
 
n/a
 
n/a
 
 
Real estate funds
10,851

 
1
%
 
n/a
 
n/a
 
 
CLO - Equities
65,883

 
7
%
 
n/a
 
n/a
 
 
Other privately held investments
41,755

 
5
%
 
n/a
 
n/a
 
 
Total other investments
$
865,406

 
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
 
 
Other privately held investments
—

 
—
%
 
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 June 30,
 
Six months ended June 30,
 
 
  
2016
 
2015
 
2016
 
2015
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
$
77,621

 
$
77,998

 
$
153,596

 
$
144,086

 
 
Other investments
14,401

 
14,102

 
(12,477
)
 
45,037

 
 
Equity securities
3,065

 
2,674

 
8,210

 
4,350

 
 
Mortgage loans
1,807

 
281

 
3,492

 
294

 
 
Cash and cash equivalents
1,868

 
1,678

 
3,303

 
2,777

 
 
Short-term investments
165

 
125

 
371

 
194

 
 
Gross investment income
98,927

 
96,858

 
156,495

 
196,738

 
 
Investment expenses
(7,197
)
 
(8,314
)
 
(15,599
)
 
(16,087
)
 
 
Net investment income
$
91,730

 
$
88,544

 
$
140,896

 
$
180,651

 
 
 
 
 
 
 
 
 
 
 
NET REALIZED INVESTMENT GAINS (LOSSES)
The following table provides an analysis of net realized investment losses:
 
  
Three months ended June 30,
 
Six months ended June 30,
 
 
  
2016
 
2015
 
2016
 
2015
 
 
 
 
 
 
 
 
 
 
 
 
Gross realized gains
 
 
 
 
 
 
 
 
 
Fixed maturities and short-term investments
$
25,458

 
$
17,066

 
$
41,622

 
$
32,727

 
 
Equities
9,693

 
177

 
13,234

 
215

 
 
Gross realized gains
35,151

 
17,243

 
54,856

 
32,942

 
 
Gross realized losses
 
 
 
 
 
 
 
 
 
Fixed maturities and short-term investments
(9,617
)
 
(13,474
)
 
(68,794
)
 
(56,565
)
 
 
Equities
(559
)
 
(270
)
 
(15,347
)
 
(394
)
 
 
Gross realized losses
(10,176
)
 
(13,744
)
 
(84,141
)
 
(56,959
)
 
 
Net OTTI recognized in earnings
(6,369
)
 
(12,893
)
 
(16,099
)
 
(30,461
)
 
 
Change in fair value of investment derivatives(1)
2,404

 
(1,716
)
 
(116
)
 
816

 
 
Net realized investment gains (losses)
$
21,010

 
$
(11,110
)
 
$
(45,500
)
 
$
(53,662
)
 
 
 
 
 
 
 
 
 
 
 
(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 June 30,
 
Six months ended June 30,
 
 
  
2016
 
2015
 
2016
 
2015
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
Non-U.S. government
$
497

 
$
—

 
$
497

 
$
1,422

 
 
Corporate debt
5,872

 
1,689

 
13,042

 
17,808

 
 
Non-Agency RMBS
—

 
—

 
—

 
4

 
 
ABS
—

 
18

 
—

 
41

 
 
 
6,369

 
1,707

 
13,539

 
19,275

 
 
Equity Securities
 
 
 
 
 
 
 
 
 
Exchange-traded funds
—

 
—

 
2,560

 
—

 
 
Bond mutual funds

—

 
11,186

 
—

 
11,186

 
 
 
—

 
11,186

 
2,560

 
11,186

 
 
Total OTTI recognized in earnings
$
6,369

 
$
12,893

 
$
16,099

 
$
30,461

 
 
 
 
 
 
 
 
 
 
 
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 June 30,
 
Six months ended June 30,
 
 
  
2016
 
2015
 
2016
 
2015
 
 
 
 
 
 
 
 
 
 
 
 
Balance at beginning of period
$
1,506

 
$
1,541

 
$
1,506

 
$
1,531

 
 
Credit impairments recognized on securities not previously impaired
—

 
—

 
—

 
—

 
 
Additional credit impairments recognized on securities previously impaired
7

 
23

 
7

 
33

 
 
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
$
1,513

 
$
1,564

 
$
1,513

 
$
1,564