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INVESTMENTS (TABLES)
 9 Months Ended
Sep. 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 September 30, 2016
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
1,542,943

 
$
22,349

 
$
(2,415
)
 
$
1,562,877

 
$
—

 
 
Non-U.S. government
620,601

 
4,799

 
(43,344
)
 
582,056

 
—

 
 
Corporate debt
4,516,290

 
87,184

 
(34,974
)
 
4,568,500

 
—

 
 
Agency RMBS(1)
2,473,832

 
49,661

 
(762
)
 
2,522,731

 
—

 
 
CMBS(2)
877,732

 
18,546

 
(2,003
)
 
894,275

 
—

 
 
Non-Agency RMBS
71,842

 
1,636

 
(1,648
)
 
71,830

 
(870
)
 
 
ABS(3)
1,234,292

 
4,028

 
(2,724
)
 
1,235,596

 
—

 
 
Municipals(4)
124,867

 
4,215

 
(87
)
 
128,995

 
—

 
 
Total fixed maturities
$
11,462,399

 
$
192,418

 
$
(87,957
)
 
$
11,566,860

 
$
(870
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
Common stocks
$
379

 
$
38

 
$
(348
)
 
$
69

 
 
 
 
Exchange-traded funds
463,655

 
41,611

 
(1,060
)
 
504,206

 
 
 
 
Bond mutual funds
136,570

 
3,499

 
—

 
140,069

 
 
 
 
Total equity securities
$
600,604

 
$
45,148

 
$
(1,408
)
 
$
644,344

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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, maturities and redemptions. 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, 2016
 
 
 
 
 
 
 
Maturity
 
 
 
 
 
 
 
Due in one year or less
$
363,821

 
$
356,706

 
3.0
%
 
 
Due after one year through five years
3,809,515

 
3,801,104

 
32.9
%
 
 
Due after five years through ten years
2,286,970

 
2,330,895

 
20.2
%
 
 
Due after ten years
344,395

 
353,723

 
3.1
%
 
 
 
6,804,701

 
6,842,428

 
59.2
%
 
 
Agency RMBS
2,473,832

 
2,522,731

 
21.8
%
 
 
CMBS
877,732

 
894,275

 
7.7
%
 
 
Non-Agency RMBS
71,842

 
71,830

 
0.6
%
 
 
ABS
1,234,292

 
1,235,596

 
10.7
%
 
 
Total
$
11,462,399

 
$
11,566,860

 
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 September 30, 2016
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
55,000

 
$
(1,635
)
 
$
422,681

 
$
(780
)
 
$
477,681

 
$
(2,415
)
 
 
Non-U.S. government
104,441

 
(24,061
)
 
254,694

 
(19,283
)
 
359,135

 
(43,344
)
 
 
Corporate debt
285,848

 
(26,202
)
 
639,722

 
(8,772
)
 
925,570

 
(34,974
)
 
 
Agency RMBS
80,375

 
(556
)
 
121,203

 
(206
)
 
201,578

 
(762
)
 
 
CMBS
99,004

 
(1,260
)
 
173,795

 
(743
)
 
272,799

 
(2,003
)
 
 
Non-Agency RMBS
10,184

 
(1,306
)
 
5,187

 
(342
)
 
15,371

 
(1,648
)
 
 
ABS
518,647

 
(2,253
)
 
50,402

 
(471
)
 
569,049

 
(2,724
)
 
 
Municipals
2,384

 
(18
)
 
15,567

 
(69
)
 
17,951

 
(87
)
 
 
Total fixed maturities
$
1,155,883

 
$
(57,291
)
 
$
1,683,251

 
$
(30,666
)
 
$
2,839,134

 
$
(87,957
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
 
 
Common stocks
$
—

 
$
—

 
$
31

 
$
(348
)
 
$
31

 
$
(348
)
 
 
Exchange-traded funds
6,153

 
(425
)
 
39,097

 
(635
)
 
45,250

 
(1,060
)
 
 
Bond mutual funds
—

 
—

 
—

 
—

 
—

 
—

 
 
Total equity securities
$
6,153

 
$
(425
)
 
$
39,128

 
$
(983
)
 
$
45,281

 
$
(1,408
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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:
 
  
September 30, 2016
 
December 31, 2015
 
 
  
Carrying Value
 
% of Total
 
Carrying Value
 
% of Total
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage Loans held-for-investment:
 
 
 
 
 
 
 
 
 
Commercial
$
332,753

 
100
%
 
$
206,277

 
100
%
 
 
 
332,753

 
100
%
 
206,277

 
100
%
 
 
Valuation allowances
—

 
—
%
 
—

 
—
%
 
 
Total Mortgage Loans held-for-investment
$
332,753

 
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 September 30, 2016
 

 
 

 
 
 
 
 
 
Long/short equity funds
$
139,460

 
16
%
 
Quarterly, Semi-annually, Annually
 
45-60 days
 
 
Multi-strategy funds
281,153

 
33
%
 
Quarterly, Semi-annually
 
60-95 days
 
 
Event-driven funds
94,012

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

 
—
%
 
n/a
 
n/a
 
 
Direct lending funds
125,002

 
15
%
 
n/a
 
n/a
 
 
Private equity funds
89,170

 
11
%
 
n/a
 
n/a
 
 
Real estate funds
11,782

 
1
%
 
n/a
 
n/a
 
 
CLO - Equities
63,783

 
8
%
 
n/a
 
n/a
 
 
Other privately held investments
42,900

 
5
%
 
n/a
 
n/a
 
 
Total other investments
$
847,262

 
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 September 30,
 
Nine months ended September 30,
 
 
  
2016
 
2015
 
2016
 
2015
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
$
75,827

 
$
75,980

 
$
229,423

 
$
220,066

 
 
Other investments
38,248

 
(27,421
)
 
25,770

 
17,616

 
 
Equity securities
4,633

 
3,445

 
12,843

 
7,795

 
 
Mortgage loans
2,191

 
482

 
5,683

 
776

 
 
Cash and cash equivalents
3,768

 
993

 
7,071

 
3,770

 
 
Short-term investments
337

 
83

 
708

 
277

 
 
Gross investment income
125,004

 
53,562

 
281,498

 
250,300

 
 
Investment expenses
(8,081
)
 
(7,877
)
 
(23,680
)
 
(23,964
)
 
 
Net investment income
$
116,923

 
$
45,685

 
$
257,818

 
$
226,336

 
 
 
 
 
 
 
 
 
 
 
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,
 
 
  
2016
 
2015
 
2016
 
2015
 
 
 
 
 
 
 
 
 
 
 
 
Gross realized gains
 
 
 
 
 
 
 
 
 
Fixed maturities and short-term investments
$
26,211

 
$
12,126

 
$
67,833

 
$
44,853

 
 
Equities
5,570

 
232

 
18,804

 
447

 
 
Gross realized gains
31,781

 
12,358

 
86,637

 
45,300

 
 
Gross realized losses
 
 
 
 
 
 
 
 
 
Fixed maturities and short-term investments
(21,908
)
 
(54,867
)
 
(90,702
)
 
(111,432
)
 
 
Equities
(576
)
 
(1,559
)
 
(15,923
)
 
(1,952
)
 
 
Gross realized losses
(22,484
)
 
(56,426
)
 
(106,625
)
 
(113,384
)
 
 
Net OTTI recognized in earnings
(4,247
)
 
(32,301
)
 
(20,346
)
 
(62,762
)
 
 
Change in fair value of investment derivatives(1)
155

 
6,412

 
39

 
7,228

 
 
Net realized investment gains (losses)
$
5,205

 
$
(69,957
)
 
$
(40,295
)
 
$
(123,618
)
 
 
 
 
 
 
 
 
 
 
 
(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 September 30,
 
Nine months ended September 30,
 
 
  
2016
 
2015
 
2016
 
2015
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
Non-U.S. government
$
2,456

 
$
1,295

 
$
2,953

 
$
2,717

 
 
Corporate debt
1,791

 
20,587

 
14,833

 
38,396

 
 
Non-Agency RMBS
—

 
—

 
—

 
4

 
 
ABS
—

 
84

 
—

 
124

 
 
 
4,247

 
21,966

 
17,786

 
41,241

 
 
Equity Securities
 
 
 
 
 
 
 
 
 
Exchange-traded funds
—

 
10,335

 
2,560

 
10,335

 
 
Bond mutual funds

—

 
—

 
—

 
11,186

 
 
 
—

 
10,335

 
2,560

 
21,521

 
 
Total OTTI recognized in earnings
$
4,247

 
$
32,301

 
$
20,346

 
$
62,762

 
 
 
 
 
 
 
 
 
 
 
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,
 
 
  
2016
 
2015
 
2016
 
2015
 
 
 
 
 
 
 
 
 
 
 
 
Balance at beginning of period
$
1,513

 
$
1,564

 
$
1,506

 
$
1,531

 
 
Credit impairments recognized on securities not previously impaired
—

 
—

 
—

 
—

 
 
Additional credit impairments recognized on securities previously impaired
—

 
—

 
7

 
33

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

 
—

 
—

 
—

 
 
Intent to sell of securities previously impaired
—

 
—

 
—

 
—

 
 
Securities sold/redeemed/matured
(33
)
 
(43
)
 
(33
)
 
(43
)
 
 
Balance at end of period
$
1,480

 
$
1,521

 
$
1,480

 
$
1,521