XML 37 R26.htm IDEA: XBRL DOCUMENT v3.19.1
INVESTMENTS (Tables)
 3 Months Ended
Mar. 31, 2019
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, 2019
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
1,965,801

 
$
12,365

 
$
(4,512
)
 
$
1,973,654

 
$
—

 
 
Non-U.S. government
488,056

 
6,448

 
(6,841
)
 
487,663

 
—

 
 
Corporate debt
4,809,079

 
62,910

 
(33,724
)
 
4,838,265

 
—

 
 
Agency RMBS(1)
1,708,610

 
14,430

 
(17,078
)
 
1,705,962

 
—

 
 
CMBS(2)
1,040,474

 
13,491

 
(1,825
)
 
1,052,140

 
—

 
 
Non-Agency RMBS
47,125

 
1,307

 
(1,021
)
 
47,411

 
(819
)
 
 
ABS(3)
1,619,648

 
2,710

 
(9,348
)
 
1,613,010

 
—

 
 
Municipals(4)
155,414

 
1,481

 
(482
)
 
156,413

 
—

 
 
Total fixed maturities
$
11,834,207

 
$
115,142

 
$
(74,831
)
 
$
11,874,518

 
$
(819
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2018
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
1,520,142

 
$
4,232

 
$
(8,677
)
 
$
1,515,697

 
$
—

 
 
Non-U.S. government
507,550

 
1,586

 
(16,120
)
 
493,016

 
—

 
 
Corporate debt
4,990,279

 
15,086

 
(128,444
)
 
4,876,921

 
—

 
 
Agency RMBS(1)
1,666,684

 
6,508

 
(29,884
)
 
1,643,308

 
—

 
 
CMBS(2)
1,103,507

 
2,818

 
(13,795
)
 
1,092,530

 
—

 
 
Non-Agency RMBS
40,732

 
1,237

 
(1,282
)
 
40,687

 
(857
)
 
 
ABS(3)
1,651,350

 
1,493

 
(15,240
)
 
1,637,603

 
—

 
 
Municipals(4)
136,068

 
914

 
(1,397
)
 
135,585

 
—

 
 
Total fixed maturities
$
11,616,312

 
$
33,874

 
$
(214,839
)
 
$
11,435,347

 
$
(857
)
 
 
 
 
 
 
 
 
 
 
 
 
 
(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, 2019
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
Common stocks
$
693

 
$
207

 
$
(315
)
 
$
585

 
 
Exchange-traded funds
221,337

 
54,511

 
(4,240
)
 
271,608

 
 
Bond mutual funds
154,463

 
—

 
(7,793
)
 
146,670

 
 
Total equity securities
$
376,493

 
$
54,718

 
$
(12,348
)
 
$
418,863

 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2018
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
Common stocks
$
790

 
$
112

 
$
(375
)
 
$
527

 
 
Exchange-traded funds
213,420

 
33,498

 
(10,079
)
 
236,839

 
 
Bond mutual funds
151,695

 
—

 
(7,428
)
 
144,267

 
 
Total equity securities
$
365,905

 
$
33,610

 
$
(17,882
)
 
$
381,633

 
 
 
 
 
 
 
 
 
 
 
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, 2019
 
 
 
 
 
 
 
Maturity
 
 
 
 
 
 
 
Due in one year or less
$
408,537

 
$
407,667

 
3.4
%
 
 
Due after one year through five years
4,952,184

 
4,978,429

 
41.9
%
 
 
Due after five years through ten years
1,710,102

 
1,719,806

 
14.5
%
 
 
Due after ten years
347,527

 
350,093

 
2.9
%
 
 
 
7,418,350

 
7,455,995

 
62.7
%
 
 
Agency RMBS
1,708,610

 
1,705,962

 
14.4
%
 
 
CMBS
1,040,474

 
1,052,140

 
8.9
%
 
 
Non-Agency RMBS
47,125

 
47,411

 
0.4
%
 
 
ABS
1,619,648

 
1,613,010

 
13.6
%
 
 
Total
$
11,834,207

 
$
11,874,518

 
100.0
%
 
 
 
 
 
 
 
 
 
 
At December 31, 2018
 
 
 
 
 
 
 
Maturity
 
 
 
 
 
 
 
Due in one year or less
$
430,390

 
$
426,142

 
3.7
%
 
 
Due after one year through five years
4,751,064

 
4,691,263

 
41.0
%
 
 
Due after five years through ten years
1,762,452

 
1,697,737

 
14.8
%
 
 
Due after ten years
210,133

 
206,077

 
1.8
%
 
 
 
7,154,039

 
7,021,219

 
61.3
%
 
 
Agency RMBS
1,666,684

 
1,643,308

 
14.4
%
 
 
CMBS
1,103,507

 
1,092,530

 
9.6
%
 
 
Non-Agency RMBS
40,732

 
40,687

 
0.4
%
 
 
ABS
1,651,350

 
1,637,603

 
14.3
%
 
 
Total
$
11,616,312

 
$
11,435,347

 
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, 2019(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
371,995

 
$
(4,194
)
 
$
220,718

 
$
(318
)
 
$
592,713

 
$
(4,512
)
 
 
Non-U.S. government
95,715

 
(3,368
)
 
136,310

 
(3,473
)
 
232,025

 
(6,841
)
 
 
Corporate debt
1,134,227

 
(20,122
)
 
727,267

 
(13,602
)
 
1,861,494

 
(33,724
)
 
 
Agency RMBS
849,681

 
(16,949
)
 
26,971

 
(129
)
 
876,652

 
(17,078
)
 
 
CMBS
244,188

 
(1,500
)
 
85,473

 
(325
)
 
329,661

 
(1,825
)
 
 
Non-Agency RMBS
9,360

 
(905
)
 
12,111

 
(116
)
 
21,471

 
(1,021
)
 
 
ABS
273,759

 
(2,757
)
 
846,715

 
(6,591
)
 
1,120,474

 
(9,348
)
 
 
Municipals
42,745

 
(452
)
 
15,779

 
(30
)
 
58,524

 
(482
)
 
 
Total fixed maturities
$
3,021,670

 
$
(50,247
)
 
$
2,071,344

 
$
(24,584
)
 
$
5,093,014

 
$
(74,831
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2018
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
374,030

 
$
(7,659
)
 
$
424,439

 
$
(1,018
)
 
$
798,469

 
$
(8,677
)
 
 
Non-U.S. government
44,339

 
(2,004
)
 
303,376

 
(14,116
)
 
347,715

 
(16,120
)
 
 
Corporate debt
1,439,378

 
(58,915
)
 
2,547,135

 
(69,529
)
 
3,986,513

 
(128,444
)
 
 
Agency RMBS
940,645

 
(29,255
)
 
117,181

 
(629
)
 
1,057,826

 
(29,884
)
 
 
CMBS
455,582

 
(11,430
)
 
353,802

 
(2,365
)
 
809,384

 
(13,795
)
 
 
Non-Agency RMBS
9,494

 
(1,170
)
 
11,432

 
(112
)
 
20,926

 
(1,282
)
 
 
ABS
237,237

 
(2,755
)
 
1,150,692

 
(12,485
)
 
1,387,929

 
(15,240
)
 
 
Municipals
68,814

 
(1,373
)
 
9,894

 
(24
)
 
78,708

 
(1,397
)
 
 
Total fixed maturities
$
3,569,519

 
$
(114,561
)
 
$
4,917,951

 
$
(100,278
)
 
$
8,487,470

 
$
(214,839
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
MORTGAGE LOANS NET OF VALUATION ALLOWANCE
The following table provides details of the Company's mortgage loans held-for-investment:
 
  
March 31, 2019
 
December 31, 2018
 
 
  
Carrying value
 
% of Total
 
Carrying value
 
% of Total
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage Loans held-for-investment:
 
 
 
 
 
 
 
 
 
Commercial
$
313,421

 
100
%
 
$
298,650

 
100
%
 
 
Total Mortgage Loans held-for-investment
$
313,421

 
100
%
 
$
298,650

 
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 March 31, 2019
 

 
 

 
 
 
 
 
 
Long/short equity funds
$
29,324

 
4
%
 
Annually
 
60 days
 
 
Multi-strategy funds
149,509

 
19
%
 
Quarterly, Semi-annually
 
60-90 days
 
 
Event-driven funds
5,914

 
1
%
 
n/a
 
n/a
 
 
Direct lending funds
272,752

 
34
%
 
n/a
 
n/a
 
 
Private equity funds
61,526

 
8
%
 
n/a
 
n/a
 
 
Real estate funds
111,169

 
14
%
 
n/a
 
n/a
 
 
CLO-Equities
18,022

 
1
%
 
n/a
 
n/a
 
 
Other privately held investments
47,685

 
6
%
 
n/a
 
n/a
 
 
Overseas deposits
99,430

 
13
%
 
n/a
 
n/a
 
 
Total other investments
$
795,331

 
100
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2018
 

 
 

 
 
 
 
 
 
Long/short equity funds
$
26,779

 
3
%
 
Annually
 
60 days
 
 
Multi-strategy funds
153,883

 
20
%
 
Quarterly, Semi-annually
 
60-95 days
 
 
Event-driven funds
13,936

 
2
%
 
Annually
 
45 days
 
 
Direct lending funds
274,478

 
35
%
 
n/a
 
n/a
 
 
Private equity funds
64,566

 
8
%
 
n/a
 
n/a
 
 
Real estate funds
84,202

 
11
%
 
n/a
 
n/a
 
 
CLO-Equities
21,271

 
2
%
 
n/a
 
n/a
 
 
Other privately held investments
44,518

 
6
%
 
n/a
 
n/a
 
 
Overseas deposits
104,154

 
13
%
 
n/a
 
n/a
 
 
Total other investments
$
787,787

 
100
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
n/a - not applicable

NET INVESTMENT INCOME
Net investment income was derived from the following sources:
 
  
Three months ended March 31,
 
 
  
2019
 
2018
 
 
 
 
 
 
 
 
Fixed maturities
$
91,382

 
$
83,958

 
 
Other investments
6,895

 
13,704

 
 
Equity securities
2,328

 
1,758

 
 
Mortgage loans
3,063

 
3,125

 
 
Cash and cash equivalents
5,801

 
4,153

 
 
Short-term investments
3,894

 
875

 
 
Gross investment income
113,363

 
107,573

 
 
Investment expenses
(6,060
)
 
(6,574
)
 
 
Net investment income
$
107,303

 
$
100,999

 
 
 
 
 
 
 
NET REALIZED INVESTMENT GAINS (LOSSES)
The following table provides an analysis of net investment gains (losses):
 
  
Three months ended March 31,
 
 
  
2019
 
2018
 
 
 
 
 
 
 
 
Gross realized investment gains
 
 
 
 
 
Fixed maturities and short-term investments
$
10,437

 
$
31,628

 
 
Equity securities
1,445

 
17,557

 
 
Gross realized investment gains
11,882

 
49,185

 
 
Gross realized investment losses
 
 
 
 
 
Fixed maturities and short-term investments
(20,279
)
 
(43,535
)
 
 
Equity securities
(93
)
 
(1,276
)
 
 
Gross realized investment losses
(20,372
)
 
(44,811
)
 
 
Net OTTI recognized in net income
(4,036
)
 
(414
)
 
 
Change in fair value of investment derivatives(1)
(2,102
)
 
2,023

 
 
Net unrealized gains (losses) on equity securities
27,395

 
(20,813
)
 
 
Net investment gains (losses)
$
12,767

 
$
(14,830
)
 
 
 
 
 
 
 
(1) Refer to Note 5 'Derivative Instruments'.
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,
 
 
  
2019
 
2018
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
Non-U.S. government
$
60

 
$
—

 
 
Corporate debt
3,976

 
414

 
 
Total OTTI recognized in net income
$
4,036

 
$
414

 
 
 
 
 
 
 
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 component of the OTTI charge was recognized in AOCI:
 
  
Three months ended March 31,
 
 
  
2019
 
2018
 
 
 
 
 
 
 
 
Balance at beginning of period
$
510

 
$
1,494

 
 
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
(38
)
 
(10
)
 
 
Balance at end of period
$
472

 
$
1,484