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INVESTMENTS (Tables)
 9 Months Ended
Sep. 30, 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 September 30, 2018
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
1,625,114

 
$
414

 
$
(20,063
)
 
$
1,605,465

 
$
—

 
 
Non-U.S. government
558,862

 
3,013

 
(13,750
)
 
548,125

 
—

 
 
Corporate debt
5,144,747

 
23,714

 
(87,376
)
 
5,081,085

 
—

 
 
Agency RMBS(1)
1,688,977

 
2,140

 
(51,886
)
 
1,639,231

 
—

 
 
CMBS(2)
1,099,728

 
729

 
(23,502
)
 
1,076,955

 
—

 
 
Non-Agency RMBS
41,273

 
1,475

 
(962
)
 
41,786

 
(868
)
 
 
ABS(3)
1,651,271

 
1,520

 
(6,980
)
 
1,645,811

 
—

 
 
Municipals(4)
131,583

 
557

 
(2,901
)
 
129,239

 
—

 
 
Total fixed maturities
$
11,941,555

 
$
33,562

 
$
(207,420
)
 
$
11,767,697

 
$
(868
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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 September 30, 2018
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
Common stocks
$
13,392

 
$
1,345

 
$
(1,232
)
 
$
13,505

 
 
Exchange-traded funds
211,940

 
63,543

 
(2,035
)
 
273,448

 
 
Bond mutual funds
150,675

 
—

 
(4,317
)
 
146,358

 
 
Total equity securities
$
376,007

 
$
64,888

 
$
(7,584
)
 
$
433,311

 
 
 
 
 
 
 
 
 
 
 
 
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 September 30, 2018
 
 
 
 
 
 
 
Maturity
 
 
 
 
 
 
 
Due in one year or less
$
496,968

 
$
492,752

 
4.1
%
 
 
Due after one year through five years
4,926,538

 
4,881,185

 
41.5
%
 
 
Due after five years through ten years
1,821,059

 
1,774,813

 
15.1
%
 
 
Due after ten years
215,741

 
215,164

 
1.8
%
 
 
 
7,460,306

 
7,363,914

 
62.5
%
 
 
Agency RMBS
1,688,977

 
1,639,231

 
13.9
%
 
 
CMBS
1,099,728

 
1,076,955

 
9.2
%
 
 
Non-Agency RMBS
41,273

 
41,786

 
0.4
%
 
 
ABS
1,651,271

 
1,645,811

 
14.0
%
 
 
Total
$
11,941,555

 
$
11,767,697

 
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 September 30, 2018(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
311,591

 
$
(10,619
)
 
$
1,228,100

 
$
(9,444
)
 
$
1,539,691

 
$
(20,063
)
 
 
Non-U.S. government
34,550

 
(2,086
)
 
382,172

 
(11,664
)
 
416,722

 
(13,750
)
 
 
Corporate debt
621,298

 
(28,190
)
 
3,256,619

 
(59,186
)
 
3,877,917

 
(87,376
)
 
 
Agency RMBS
722,287

 
(33,738
)
 
780,730

 
(18,148
)
 
1,503,017

 
(51,886
)
 
 
CMBS
105,887

 
(3,944
)
 
832,183

 
(19,558
)
 
938,070

 
(23,502
)
 
 
Non-Agency RMBS
10,821

 
(946
)
 
6,067

 
(16
)
 
16,888

 
(962
)
 
 
ABS
157,894

 
(2,115
)
 
844,190

 
(4,865
)
 
1,002,084

 
(6,980
)
 
 
Municipals
33,043

 
(1,327
)
 
71,150

 
(1,574
)
 
104,193

 
(2,901
)
 
 
Total fixed maturities
$
1,997,371

 
$
(82,965
)
 
$
7,401,211

 
$
(124,455
)
 
$
9,398,582

 
$
(207,420
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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 September 30, 2018.
MORTGAGE LOANS NET OF VALUATION ALLOWANCE
The following table provides details of the Company's mortgage loans held-for-investment:
 
  
September 30, 2018
 
December 31, 2017
 
 
  
Carrying Value
 
% of Total
 
Carrying Value
 
% of Total
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage Loans held-for-investment:
 
 
 
 
 
 
 
 
 
Commercial
$
333,018

 
100
%
 
$
325,062

 
100
%
 
 
Total Mortgage Loans held-for-investment
$
333,018

 
100
%
 
$
325,062

 
100
%
 
 
 
 
 
 
 
 
 
 
 
PORTFOLIO OF OTHER INVESTMENTS
The following tables provide a summary 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 September 30, 2018
 

 
 

 
 
 
 
 
 
Long/short equity funds
$
28,593

 
3
%
 
Annually
 
60 days
 
 
Multi-strategy funds
185,255

 
22
%
 
Quarterly, Semi-annually
 
60-95 days
 
 
Event-driven funds
38,084

 
5
%
 
Annually
 
45 days
 
 
Direct lending funds
268,210

 
32
%
 
n/a
 
n/a
 
 
Private equity funds
67,840

 
8
%
 
n/a
 
n/a
 
 
Real estate funds
63,764

 
8
%
 
n/a
 
n/a
 
 
CLO-Equities
24,264

 
3
%
 
n/a
 
n/a
 
 
Other privately held investments
47,389

 
6
%
 
n/a
 
n/a
 
 
Overseas deposits
110,164

 
13
%
 
n/a
 
n/a
 
 
Total other investments
$
833,563

 
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 September 30,
 
Nine months ended September 30,
 
 
  
2018
 
2017
 
2018
 
2017
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
$
89,887

 
$
74,978

 
$
262,165

 
$
230,603

 
 
Other investments
15,933

 
17,373

 
44,179

 
59,973

 
 
Equity securities
2,099

 
3,223

 
7,015

 
11,048

 
 
Mortgage loans
3,322

 
2,895

 
9,805

 
7,970

 
 
Cash and cash equivalents
6,992

 
3,111

 
16,770

 
9,640

 
 
Short-term investments
3,413

 
698

 
5,933

 
1,797

 
 
Gross investment income
121,646

 
102,278

 
345,867

 
321,031

 
 
Investment expenses
(7,225
)
 
(7,109
)
 
(20,487
)
 
(21,132
)
 
 
Net investment income
$
114,421

 
$
95,169

 
$
325,380

 
$
299,899

 
 
 
 
 
 
 
 
 
 
 
NET REALIZED INVESTMENT GAINS (LOSSES)
The following table provides an analysis of net investment gains (losses):
 
  
Three months ended September 30,
 
Nine months ended September 30,
 
 
  
2018
 
2017
 
2018
 
2017
 
 
 
 
 
 
 
 
 
 
 
 
Gross realized investment gains
 
 
 
 
 
 
 
 
 
Fixed maturities and short-term investments
$
4,543

 
$
19,297

 
$
41,932

 
$
57,524

 
 
Equity securities
15

 
17,980

 
18,675

 
33,794

 
 
Gross realized investment gains
4,558

 
37,277

 
60,607

 
91,318

 
 
Gross realized investment losses
 
 
 
 
 
 
 
 
 
Fixed maturities and short-term investments
(25,926
)
 
(15,893
)
 
(113,903
)
 
(83,183
)
 
 
Equity securities
—

 
(45
)
 
(1,231
)
 
(258
)
 
 
Gross realized investment losses
(25,926
)
 
(15,938
)
 
(115,134
)
 
(83,441
)
 
 
Net OTTI recognized in net income
(5,546
)
 
(5,412
)
 
(7,634
)
 
(13,493
)
 
 
Change in fair value of investment derivatives(1)
2,626

 
(1,295
)
 
9,782

 
(9,195
)
 
 
Net unrealized gains (losses) on equity securities(2)
6,660

 
—

 
(25,172
)
 
—

 
 
Net investment gains (losses)
$
(17,628
)
 
$
14,632

 
$
(77,551
)
 
$
(14,811
)
 
 
 
 
 
 
 
 
 
 
 
(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 September 30,
 
Nine months ended September 30,
 
 
  
2018
 
2017
 
2018
 
2017
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
Non-U.S. government
$
4,426

 
$
3,905

 
$
4,448

 
$
8,187

 
 
Corporate debt
1,079

 
1,507

 
3,145

 
5,306

 
 
CMBS
41

 
—

 
41

 
—

 
 
Total OTTI recognized in net income
$
5,546

 
$
5,412

 
$
7,634

 
$
13,493

 
 
 
 
 
 
 
 
 
 
 
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 September 30,
 
Nine months ended September 30,
 
 
  
2018
 
2017
 
2018
 
2017
 
 
 
 
 
 
 
 
 
 
 
 
Balance at beginning of period
$
1,472

 
$
1,481

 
$
1,494

 
$
1,493

 
 
Credit impairments recognized on securities not previously impaired
—

 
—

 
—

 
—

 
 
Additional credit impairments recognized on securities previously impaired
8

 
2

 
8

 
2

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

 
—

 
—

 
—

 
 
Intent to sell of securities previously impaired
—

 
—

 
—

 
—

 
 
Securities sold/redeemed/matured
—

 
—

 
(22
)
 
(12
)
 
 
Balance at end of period
$
1,480

 
$
1,483

 
$
1,480

 
$
1,483