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INVESTMENTS (Tables)
 9 Months Ended
Sep. 30, 2017
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, 2017
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
1,556,963

 
$
2,729

 
$
(12,374
)
 
$
1,547,318

 
$
—

 
 
Non-U.S. government
568,223

 
13,961

 
(8,544
)
 
573,640

 
—

 
 
Corporate debt
4,460,337

 
65,230

 
(21,600
)
 
4,503,967

 
—

 
 
Agency RMBS(1)
2,313,096

 
12,218

 
(18,492
)
 
2,306,822

 
—

 
 
CMBS(2)
665,520

 
5,954

 
(1,738
)
 
669,736

 
—

 
 
Non-Agency RMBS
42,653

 
1,968

 
(804
)
 
43,817

 
(867
)
 
 
ABS(3)
1,285,080

 
4,572

 
(782
)
 
1,288,870

 
—

 
 
Municipals(4)
151,522

 
1,379

 
(685
)
 
152,216

 
—

 
 
Total fixed maturities
$
11,043,394

 
$
108,011

 
$
(65,019
)
 
$
11,086,386

 
$
(867
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
Common stocks
$
13,980

 
$
1,415

 
$
(569
)
 
$
14,826

 
 
 
 
Exchange-traded funds
365,412

 
88,782

 
—

 
454,194

 
 
 
 
Bond mutual funds
183,718

 
8,686

 
(1,673
)
 
190,731

 
 
 
 
Total equity securities
$
563,110

 
$
98,883

 
$
(2,242
)
 
$
659,751

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2016
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
1,681,425

 
$
1,648

 
$
(27,004
)
 
$
1,656,069

 
$
—

 
 
Non-U.S. government
613,282

 
2,206

 
(49,654
)
 
565,834

 
—

 
 
Corporate debt
4,633,834

 
42,049

 
(75,140
)
 
4,600,743

 
—

 
 
Agency RMBS(1)
2,487,837

 
13,275

 
(35,977
)
 
2,465,135

 
—

 
 
CMBS(2)
664,368

 
5,433

 
(3,564
)
 
666,237

 
—

 
 
Non-Agency RMBS
57,316

 
1,628

 
(2,023
)
 
56,921

 
(823
)
 
 
ABS(3)
1,221,813

 
3,244

 
(2,843
)
 
1,222,214

 
—

 
 
Municipals(4)
163,441

 
1,510

 
(990
)
 
163,961

 
—

 
 
Total fixed maturities
$
11,523,316

 
$
70,993

 
$
(197,195
)
 
$
11,397,114

 
$
(823
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
Common stocks
$
379

 
$
41

 
$
(342
)
 
$
78

 
 
 
 
Exchange-traded funds
463,936

 
53,405

 
(2,634
)
 
514,707

 
 
 
 
Bond mutual funds
133,051

 
—

 
(9,092
)
 
123,959

 
 
 
 
Total equity securities
$
597,366

 
$
53,446

 
$
(12,068
)
 
$
638,744

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(1)
Residential mortgage-backed securities (RMBS) originated by U.S. government-sponsored 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, 2017
 
 
 
 
 
 
 
Maturity
 
 
 
 
 
 
 
Due in one year or less
$
434,283

 
$
432,662

 
4.0
%
 
 
Due after one year through five years
3,834,452

 
3,850,174

 
34.7
%
 
 
Due after five years through ten years
2,258,136

 
2,276,190

 
20.5
%
 
 
Due after ten years
210,174

 
218,115

 
2.0
%
 
 
 
6,737,045

 
6,777,141

 
61.2
%
 
 
Agency RMBS
2,313,096

 
2,306,822

 
20.8
%
 
 
CMBS
665,520

 
669,736

 
6.0
%
 
 
Non-Agency RMBS
42,653

 
43,817

 
0.4
%
 
 
ABS
1,285,080

 
1,288,870

 
11.6
%
 
 
Total
$
11,043,394

 
$
11,086,386

 
100.0
%
 
 
 
 
 
 
 
 
 
 
At December 31, 2016
 
 
 
 
 
 
 
Maturity
 
 
 
 
 
 
 
Due in one year or less
$
313,287

 
$
305,972

 
2.8
%
 
 
Due after one year through five years
3,906,190

 
3,850,149

 
33.8
%
 
 
Due after five years through ten years
2,546,299

 
2,510,975

 
22.0
%
 
 
Due after ten years
326,206

 
319,511

 
2.8
%
 
 
 
7,091,982

 
6,986,607

 
61.4
%
 
 
Agency RMBS
2,487,837

 
2,465,135

 
21.6
%
 
 
CMBS
664,368

 
666,237

 
5.8
%
 
 
Non-Agency RMBS
57,316

 
56,921

 
0.5
%
 
 
ABS
1,221,813

 
1,222,214

 
10.7
%
 
 
Total
$
11,523,316

 
$
11,397,114

 
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, 2017
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
161,425

 
$
(5,641
)
 
$
1,207,943

 
$
(6,733
)
 
$
1,369,368

 
$
(12,374
)
 
 
Non-U.S. government
61,872

 
(7,354
)
 
163,477

 
(1,190
)
 
225,349

 
(8,544
)
 
 
Corporate debt
412,832

 
(12,553
)
 
990,308

 
(9,047
)
 
1,403,140

 
(21,600
)
 
 
Agency RMBS
350,010

 
(8,130
)
 
1,126,956

 
(10,362
)
 
1,476,966

 
(18,492
)
 
 
CMBS
13,919

 
(238
)
 
221,941

 
(1,500
)
 
235,860

 
(1,738
)
 
 
Non-Agency RMBS
8,342

 
(803
)
 
222

 
(1
)
 
8,564

 
(804
)
 
 
ABS
16,816

 
(409
)
 
323,886

 
(373
)
 
340,702

 
(782
)
 
 
Municipals
23,339

 
(474
)
 
40,913

 
(211
)
 
64,252

 
(685
)
 
 
Total fixed maturities
$
1,048,555

 
$
(35,602
)
 
$
4,075,646

 
$
(29,417
)
 
$
5,124,201

 
$
(65,019
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
 
 
Common stocks
$
33

 
$
(135
)
 
$
2,939

 
$
(434
)
 
$
2,972

 
$
(569
)
 
 
Exchange-traded funds
—

 
—

 
—

 
—

 
—

 
—

 
 
Bond mutual funds
—

 
—

 
24,145

 
(1,673
)
 
24,145

 
(1,673
)
 
 
Total equity securities
$
33

 
$
(135
)
 
$
27,084

 
$
(2,107
)
 
$
27,117

 
$
(2,242
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2016
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
54,051

 
$
(2,729
)
 
$
1,340,719

 
$
(24,275
)
 
$
1,394,770

 
$
(27,004
)
 
 
Non-U.S. government
149,360

 
(38,683
)
 
283,796

 
(10,971
)
 
433,156

 
(49,654
)
 
 
Corporate debt
230,218

 
(30,652
)
 
1,948,976

 
(44,488
)
 
2,179,194

 
(75,140
)
 
 
Agency RMBS
76,694

 
(1,101
)
 
1,724,170

 
(34,876
)
 
1,800,864

 
(35,977
)
 
 
CMBS
84,640

 
(749
)
 
193,499

 
(2,815
)
 
278,139

 
(3,564
)
 
 
Non-Agency RMBS
13,642

 
(1,752
)
 
7,194

 
(271
)
 
20,836

 
(2,023
)
 
 
ABS
362,110

 
(1,950
)
 
266,763

 
(893
)
 
628,873

 
(2,843
)
 
 
Municipals
774

 
(29
)
 
68,598

 
(961
)
 
69,372

 
(990
)
 
 
Total fixed maturities
$
971,489

 
$
(77,645
)
 
$
5,833,715

 
$
(119,550
)
 
$
6,805,204

 
$
(197,195
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
 
 
Common stocks
$
—

 
$
—

 
$
37

 
$
(342
)
 
$
37

 
$
(342
)
 
 
Exchange-traded funds
4,959

 
(461
)
 
87,760

 
(2,173
)
 
92,719

 
(2,634
)
 
 
Bond mutual funds
—

 
—

 
123,954

 
(9,092
)
 
123,954

 
(9,092
)
 
 
Total equity securities
$
4,959

 
$
(461
)
 
$
211,751

 
$
(11,607
)
 
$
216,710

 
$
(12,068
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
MORTGAGE LOANS NET OF VALUATION ALLOWANCE
The following table provides a breakdown of our mortgage loans held-for-investment:
 
  
September 30, 2017
 
December 31, 2016
 
 
  
Carrying Value
 
% of Total
 
Carrying Value
 
% of Total
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage Loans held-for-investment:
 
 
 
 
 
 
 
 
 
Commercial
$
360,381

 
100
%
 
$
349,969

 
100
%
 
 
 
360,381

 
100
%
 
349,969

 
100
%
 
 
Valuation allowances
—

 
—
%
 
—

 
—
%
 
 
Total Mortgage Loans held-for-investment
$
360,381

 
100
%
 
$
349,969

 
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, 2017
 

 
 

 
 
 
 
 
 
Long/short equity funds
$
64,067

 
8
%
 
Annually
 
60 days
 
 
Multi-strategy funds
286,452

 
35
%
 
Quarterly, Semi-annually
 
60-95 days
 
 
Event-driven funds
48,578

 
6
%
 
Annually
 
45 days
 
 
Direct lending funds
232,389

 
28
%
 
n/a
 
n/a
 
 
Private equity funds
71,896

 
9
%
 
n/a
 
n/a
 
 
Real estate funds
46,691

 
6
%
 
n/a
 
n/a
 
 
CLO-Equities
36,782

 
3
%
 
n/a
 
n/a
 
 
Other privately held investments
43,398

 
5
%
 
n/a
 
n/a
 
 
Total other investments
$
830,253

 
100
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2016
 

 
 

 
 
 
 
 
 
Long/short equity funds
$
118,619

 
14
%
 
Semi-annually, Annually
 
45-60 days
 
 
Multi-strategy funds
285,992

 
34
%
 
Quarterly, Semi-annually
 
60-95 days
 
 
Event-driven funds
93,539

 
11
%
 
Annually
 
45 days
 
 
Direct lending funds
134,650

 
16
%
 
n/a
 
n/a
 
 
Private equity funds
81,223

 
10
%
 
n/a
 
n/a
 
 
Real estate funds
13,354

 
2
%
 
n/a
 
n/a
 
 
CLO-Equities
60,700

 
8
%
 
n/a
 
n/a
 
 
Other privately held investments
42,142

 
5
%
 
n/a
 
n/a
 
 
Total other investments
$
830,219

 
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,
 
 
  
2017
 
2016
 
2017
 
2016
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
$
74,978

 
$
75,827

 
$
230,603

 
$
229,423

 
 
Other investments
17,373

 
38,248

 
59,973

 
25,770

 
 
Equity securities
3,223

 
4,633

 
11,048

 
12,843

 
 
Mortgage loans
2,895

 
2,191

 
7,970

 
5,683

 
 
Cash and cash equivalents
3,111

 
3,768

 
9,640

 
7,071

 
 
Short-term investments
698

 
337

 
1,797

 
708

 
 
Gross investment income
102,278

 
125,004

 
321,031

 
281,498

 
 
Investment expenses
(7,109
)
 
(8,081
)
 
(21,132
)
 
(23,680
)
 
 
Net investment income
$
95,169

 
$
116,923

 
$
299,899

 
$
257,818

 
 
 
 
 
 
 
 
 
 
 
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,
 
 
  
2017
 
2016
 
2017
 
2016
 
 
 
 
 
 
 
 
 
 
 
 
Gross realized gains
 
 
 
 
 
 
 
 
 
Fixed maturities and short-term investments
$
19,297

 
$
26,211

 
$
57,524

 
$
67,833

 
 
Equities
17,980

 
5,570

 
33,794

 
18,804

 
 
Gross realized gains
37,277

 
31,781

 
91,318

 
86,637

 
 
Gross realized losses
 
 
 
 
 
 
 
 
 
Fixed maturities and short-term investments
(15,893
)
 
(21,908
)
 
(83,183
)
 
(90,702
)
 
 
Equities
(45
)
 
(576
)
 
(258
)
 
(15,923
)
 
 
Gross realized losses
(15,938
)
 
(22,484
)
 
(83,441
)
 
(106,625
)
 
 
Net OTTI recognized in earnings
(5,412
)
 
(4,247
)
 
(13,493
)
 
(20,346
)
 
 
Change in fair value of investment derivatives(1)
(1,295
)
 
155

 
(9,195
)
 
39

 
 
Net realized investment gains (losses)
$
14,632

 
$
5,205

 
$
(14,811
)
 
$
(40,295
)
 
 
 
 
 
 
 
 
 
 
 
(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,
 
 
  
2017
 
2016
 
2017
 
2016
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
Non-U.S. government
$
3,905

 
$
2,456

 
$
8,187

 
$
2,953

 
 
Corporate debt
1,507

 
1,791

 
5,306

 
14,833

 
 
 
5,412

 
4,247

 
13,493

 
17,786

 
 
Equity Securities
 
 
 
 
 
 
 
 
 
Exchange-traded funds
—

 
—

 
—

 
2,560

 
 
 
—

 
—

 
—

 
2,560

 
 
Total OTTI recognized in earnings
$
5,412

 
$
4,247

 
$
13,493

 
$
20,346

 
 
 
 
 
 
 
 
 
 
 
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,
 
 
  
2017
 
2016
 
2017
 
2016
 
 
 
 
 
 
 
 
 
 
 
 
Balance at beginning of period
$
1,481

 
$
1,513

 
$
1,493

 
$
1,506

 
 
Credit impairments recognized on securities not previously impaired
—

 
—

 
—

 
—

 
 
Additional credit impairments recognized on securities previously impaired
2

 
—

 
2

 
7

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

 
—

 
—

 
—

 
 
Intent to sell of securities previously impaired
—

 
—

 
—

 
—

 
 
Securities sold/redeemed/matured
—

 
(33
)
 
(12
)
 
(33
)
 
 
Balance at end of period
$
1,483

 
$
1,480

 
$
1,483

 
$
1,480