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INVESTMENTS (Tables)
 3 Months Ended
Mar. 31, 2018
Investments, Debt and Equity Securities [Abstract]  
AMORTIZED COST/COST AND FAIR VALUES OF FIXED MATURITIES AND EQUITIES
The amortized cost and fair values of the Company's fixed maturities classified as available for sale were as follows:
 
 
Amortized
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair
Value
 
Non-credit
OTTI
in AOCI(5)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At March 31, 2018
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
1,821,951

 
$
908

 
$
(25,894
)
 
$
1,796,965

 
$
—

 
 
Non-U.S. government
649,396

 
21,084

 
(9,256
)
 
661,224

 
—

 
 
Corporate debt
4,670,815

 
40,698

 
(71,082
)
 
4,640,431

 
—

 
 
Agency RMBS(1)
1,956,394

 
4,644

 
(46,193
)
 
1,914,845

 
—

 
 
CMBS(2)
1,042,704

 
1,964

 
(14,047
)
 
1,030,621

 
—

 
 
Non-Agency RMBS
39,930

 
1,997

 
(530
)
 
41,397

 
(866
)
 
 
ABS(3)
1,566,484

 
4,932

 
(4,718
)
 
1,566,698

 
—

 
 
Municipals(4)
150,386

 
781

 
(1,952
)
 
149,215

 
—

 
 
Total fixed maturities
$
11,898,060

 
$
77,008

 
$
(173,672
)
 
$
11,801,396

 
$
(866
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2017
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
1,727,643

 
$
1,735

 
$
(16,909
)
 
$
1,712,469

 
$
—

 
 
Non-U.S. government
798,582

 
17,240

 
(9,523
)
 
806,299

 
—

 
 
Corporate debt
5,265,795

 
61,922

 
(29,851
)
 
5,297,866

 
—

 
 
Agency RMBS(1)
2,414,720

 
8,132

 
(27,700
)
 
2,395,152

 
—

 
 
CMBS(2)
776,715

 
4,138

 
(3,125
)
 
777,728

 
—

 
 
Non-Agency RMBS
45,713

 
1,917

 
(799
)
 
46,831

 
(853
)
 
 
ABS(3)
1,432,884

 
5,391

 
(1,994
)
 
1,436,281

 
—

 
 
Municipals(4)
149,167

 
1,185

 
(972
)
 
149,380

 
—

 
 
Total fixed maturities
$
12,611,219

 
$
101,660

 
$
(90,873
)
 
$
12,622,006

 
$
(853
)
 
 
 
 
 
 
 
 
 
 
 
 
 
(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 card receivables collateralized debt obligations ("CDOs") and collateralized loan obligations ("CLOs").
(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.
EQUITY SECURITIES
The cost and fair values of the Company's equity securities were as follows:
 
 
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair
Value
 
 
 
 
 
 
 
 
 
 
 
 
At March 31, 2018
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
Common stocks
$
23,251

 
$
1,668

 
$
(977
)
 
$
23,942

 
 
Exchange-traded funds
211,301

 
51,843

 
(514
)
 
262,630

 
 
Bond mutual funds
139,539

 
9,631

 
—

 
149,170

 
 
Total equity securities
$
374,091

 
$
63,142

 
$
(1,491
)
 
$
435,742

 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2017
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
Common stocks
$
22,836

 
$
3,412

 
$
(590
)
 
$
25,658

 
 
Exchange-traded funds
356,252

 
71,675

 
(294
)
 
427,633

 
 
Bond mutual funds
173,779

 
9,440

 
(999
)
 
182,220

 
 
Total equity securities
$
552,867

 
$
84,527

 
$
(1,883
)
 
$
635,511

 
 
 
 
 
 
 
 
 
 
 
CONTRACTUAL MATURITIES OF FIXED MATURITIES
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. The contractual maturities of fixed maturities are shown below:
 
 
Amortized
Cost
 
Fair
Value
 
% of Total
Fair Value
 
 
 
 
 
 
 
 
 
 
At March 31, 2018
 
 
 
 
 
 
 
Maturity
 
 
 
 
 
 
 
Due in one year or less
$
513,226

 
$
507,980

 
4.3
%
 
 
Due after one year through five years
4,642,999

 
4,626,323

 
39.2
%
 
 
Due after five years through ten years
1,942,501

 
1,911,664

 
16.2
%
 
 
Due after ten years
193,822

 
201,868

 
1.7
%
 
 
 
7,292,548

 
7,247,835

 
61.4
%
 
 
Agency RMBS
1,956,394

 
1,914,845

 
16.2
%
 
 
CMBS
1,042,704

 
1,030,621

 
8.7
%
 
 
Non-Agency RMBS
39,930

 
41,397

 
0.4
%
 
 
ABS
1,566,484

 
1,566,698

 
13.3
%
 
 
Total
$
11,898,060

 
$
11,801,396

 
100.0
%
 
 
 
 
 
 
 
 
 
 
At December 31, 2017
 
 
 
 
 
 
 
Maturity
 
 
 
 
 
 
 
Due in one year or less
$
486,659

 
$
484,663

 
3.8
%
 
 
Due after one year through five years
4,906,207

 
4,912,189

 
38.9
%
 
 
Due after five years through ten years
2,338,964

 
2,350,433

 
18.6
%
 
 
Due after ten years
209,357

 
218,729

 
1.7
%
 
 
 
7,941,187

 
7,966,014

 
63.0
%
 
 
Agency RMBS
2,414,720

 
2,395,152

 
19.0
%
 
 
CMBS
776,715

 
777,728

 
6.2
%
 
 
Non-Agency RMBS
45,713

 
46,831

 
0.4
%
 
 
ABS
1,432,884

 
1,436,281

 
11.4
%
 
 
Total
$
12,611,219

 
$
12,622,006

 
100.0
%
 
 
 
 
 
 
 
 
 
FIXED MATURITIES AND EQUITIES IN AN UNREALIZED LOSS POSITION
The following table summarizes fixed maturities and equity securities 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, 2018(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
179,214

 
$
(7,184
)
 
$
1,219,143

 
$
(18,710
)
 
$
1,398,357

 
$
(25,894
)
 
 
Non-U.S. government
47,017

 
(4,693
)
 
214,545

 
(4,563
)
 
261,562

 
(9,256
)
 
 
Corporate debt
335,415

 
(15,212
)
 
2,853,336

 
(55,870
)
 
3,188,751

 
(71,082
)
 
 
Agency RMBS
603,008

 
(24,241
)
 
1,011,088

 
(21,952
)
 
1,614,096

 
(46,193
)
 
 
CMBS
29,098

 
(1,272
)
 
684,264

 
(12,775
)
 
713,362

 
(14,047
)
 
 
Non-Agency RMBS
8,089

 
(453
)
 
108,548

 
(77
)
 
116,637

 
(530
)
 
 
ABS
43,804

 
(455
)
 
547,077

 
(4,263
)
 
590,881

 
(4,718
)
 
 
Municipals
11,101

 
(375
)
 
93,140

 
(1,577
)
 
104,241

 
(1,952
)
 
 
Total fixed maturities
$
1,256,746

 
$
(53,885
)
 
$
6,731,141

 
$
(119,787
)
 
$
7,987,887

 
$
(173,672
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2017
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
194,916

 
$
(5,963
)
 
$
1,389,792

 
$
(10,946
)
 
$
1,584,708

 
$
(16,909
)
 
 
Non-U.S. government
62,878

 
(6,806
)
 
204,110

 
(2,717
)
 
266,988

 
(9,523
)
 
 
Corporate debt
407,300

 
(11,800
)
 
2,041,845

 
(18,051
)
 
2,449,145

 
(29,851
)
 
 
Agency RMBS
759,255

 
(17,453
)
 
1,172,313

 
(10,247
)
 
1,931,568

 
(27,700
)
 
 
CMBS
31,607

 
(703
)
 
348,943

 
(2,422
)
 
380,550

 
(3,125
)
 
 
Non-Agency RMBS
8,029

 
(788
)
 
4,197

 
(11
)
 
12,226

 
(799
)
 
 
ABS
57,298

 
(570
)
 
392,170

 
(1,424
)
 
449,468

 
(1,994
)
 
 
Municipals
11,230

 
(269
)
 
65,632

 
(703
)
 
76,862

 
(972
)
 
 
Total fixed maturities
$
1,532,513

 
$
(44,352
)
 
$
5,619,002

 
$
(46,521
)
 
$
7,151,515

 
$
(90,873
)
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
 
 
Common stocks
$
—

 
$
—

 
$
3,202

 
$
(590
)
 
$
3,202

 
$
(590
)
 
 
Exchange-traded funds
—

 
—

 
12,323

 
(294
)
 
12,323

 
(294
)
 
 
Bond mutual funds
—

 
—

 
12,184

 
(999
)
 
12,184

 
(999
)
 
 
Total equity securities
$
—

 
$
—

 
$
27,709

 
$
(1,883
)
 
$
27,709

 
$
(1,883
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

(1)
Effective January 1, 2018, the Company adopted ASU No. 2016-01 which requires equity securities to be measured at fair value with changes in fair value recognized in net income therefore equity securities at fair value are excluded from the table above at March 31, 2018.
MORTGAGE LOANS NET OF VALUATION ALLOWANCE
The following table provides a breakdown of the Company's mortgage loans held-for-investment:
 
  
March 31, 2018
 
December 31, 2017
 
 
  
Carrying Value
 
% of Total
 
Carrying Value
 
% of Total
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage Loans held-for-investment:
 
 
 
 
 
 
 
 
 
Commercial
$
364,769

 
100
%
 
$
325,062

 
100
%
 
 
 
364,769

 
100
%
 
325,062

 
100
%
 
 
Valuation allowances
—

 
—
%
 
—

 
—
%
 
 
Total Mortgage Loans held-for-investment
$
364,769

 
100
%
 
$
325,062

 
100
%
 
 
 
 
 
 
 
 
 
 
 
PORTFOLIO OF OTHER INVESTMENTS
The following tables provide a breakdown of the Company's other investments, together with additional information relating to the liquidity of each category:
 
 
Fair Value
 
Redemption Frequency
(if currently eligible)
 
  Redemption  
  Notice Period  
 
 
 
 
 
 
 
 
 
 
 
 
At March 31, 2018
 

 
 

 
 
 
 
 
 
Long/short equity funds
$
25,489

 
3
%
 
Annually
 
60 days
 
 
Multi-strategy funds
283,298

 
28
%
 
Quarterly, Semi-annually
 
60-95 days
 
 
Event-driven funds
37,680

 
4
%
 
Annually
 
45 days
 
 
Direct lending funds
261,902

 
26
%
 
n/a
 
n/a
 
 
Private equity funds
65,811

 
7
%
 
n/a
 
n/a
 
 
Real estate funds
54,720

 
5
%
 
n/a
 
n/a
 
 
CLO-Equities
28,556

 
2
%
 
n/a
 
n/a
 
 
Other privately held investments
48,787

 
5
%
 
n/a
 
n/a
 
 
Overseas deposits
203,344

 
20
%
 
n/a
 
n/a
 
 
Total other investments
$
1,009,587

 
100
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2017
 

 
 

 
 
 
 
 
 
Long/short equity funds
$
38,470

 
4
%
 
Annually
 
60 days
 
 
Multi-strategy funds
286,164

 
28
%
 
Quarterly, Semi-annually
 
60-95 days
 
 
Event-driven funds
39,177

 
4
%
 
Annually
 
45 days
 
 
Direct lending funds
250,681

 
25
%
 
n/a
 
n/a
 
 
Private equity funds
68,812

 
7
%
 
n/a
 
n/a
 
 
Real estate funds
50,009

 
5
%
 
n/a
 
n/a
 
 
CLO-Equities
31,413

 
2
%
 
n/a
 
n/a
 
 
Other privately held investments
46,430

 
5
%
 
n/a
 
n/a
 
 
Overseas deposits
198,217

 
20
%
 
n/a
 
n/a
 
 
Total other investments
$
1,009,373

 
100
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
n/a - not applicable

NET INVESTMENT INCOME
Net investment income was derived from the following sources:
 
  
Three months ended March 31,
 
 
  
2018
 
2017
 
 
 
 
 
 
 
 
Fixed maturities
$
83,958

 
$
77,407

 
 
Other investments
13,704

 
18,962

 
 
Equity securities
1,758

 
3,478

 
 
Mortgage loans
3,125

 
2,477

 
 
Cash and cash equivalents
4,153

 
3,095

 
 
Short-term investments
875

 
438

 
 
Gross investment income
107,573

 
105,857

 
 
Investment expenses
(6,574
)
 
(7,193
)
 
 
Net investment income
$
100,999

 
$
98,664

 
 
 
 
 
 
 
NET REALIZED INVESTMENT GAINS (LOSSES)
The following table provides an analysis of net investment losses:
 
  
Three months ended March 31,
 
 
  
2018
 
2017
 
 
 
 
 
 
 
 
Gross realized investment gains
 
 
 
 
 
Fixed maturities and short-term investments
$
31,628

 
$
20,777

 
 
Equity securities
17,557

 
15,783

 
 
Gross realized investment gains
49,185

 
36,560

 
 
Gross realized investment losses
 
 
 
 
 
Fixed maturities and short-term investments
(43,535
)
 
(52,935
)
 
 
Equity securities
(1,276
)
 
(189
)
 
 
Gross realized investment losses
(44,811
)
 
(53,124
)
 
 
Net OTTI recognized in net income
(414
)
 
(6,553
)
 
 
Change in fair value of investment derivatives(1)
2,023

 
(1,933
)
 
 
Net unrealized gains (losses) on equity securities(2)
(20,813
)
 
—

 
 
Net investment losses
$
(14,830
)
 
$
(25,050
)
 
 
 
 
 
 
 
(1) Refer to Note 5 'Derivative Instruments'.
(2) Effective January 1, 2018, the Company adopted ASU No. 2016-01.  The change in fair value of equity securities is now recognized in net investment losses.
OTTI RECOGNIZED IN EARNINGS BY ASSET CLASS
The following table summarizes the OTTI recognized in net income by asset class:
 
  
Three months ended March 31,
 
 
  
2018
 
2017
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
Non-U.S. government
$
—

 
$
4,282

 
 
Corporate debt
414

 
2,271

 
 
Total OTTI recognized in net income
$
414

 
$
6,553

 
 
 
 
 
 
 
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 ("credit loss table"), before income taxes, for which a portion of the OTTI was recognized in AOCI:
 
  
Three months ended March 31,
 
 
  
2018
 
2017
 
 
 
 
 
 
 
 
Balance at beginning of period
$
1,494

 
$
1,493

 
 
Credit impairments recognized on securities not previously impaired
—

 
—

 
 
Additional credit impairments recognized on securities previously impaired
—

 
—

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

 
—

 
 
Intent to sell of securities previously impaired
—

 
—

 
 
Securities sold/redeemed/matured
(10
)
 
(10
)
 
 
Balance at end of period
$
1,484

 
$
1,483