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Investments (Tables)
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6 Months Ended |
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Jun. 30, 2013
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| Schedule of Investments [Abstract] |
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| Original or amortized cost, estimated fair value and gross unrealized gains and losses of available-for-sale and other investments |
The original or amortized cost, estimated fair value and gross unrealized gains and losses of available-for-sale fixed maturities and other investments as of June 30, 2013 and December 31, 2012 are as follows: | | | | | | | | | | | | | | | | | | June 30, 2013 | | Original or
amortized cost | | Gross
unrealized gains | | Gross
unrealized losses | | Fair value | Available-for-sale fixed maturities: | | | | | | | | | U.S. treasury bonds | | $ | 16,635 |
| | $ | 811 |
| | $ | — |
| | $ | 17,446 |
| U.S. agency bonds – mortgage-backed | | 1,221,606 |
| | 16,336 |
| | (19,456 | ) | | 1,218,486 |
| U.S. agency bonds – other | | 11,683 |
| | 1,173 |
| | — |
| | 12,856 |
| Non-U.S. government bonds | | 58,668 |
| | 731 |
| | (918 | ) | | 58,481 |
| Other mortgage-backed bonds | | 27,629 |
| | 28 |
| | (194 | ) | | 27,463 |
| Corporate bonds | | 1,317,054 |
| | 74,091 |
| | (24,505 | ) | | 1,366,640 |
| Municipal bonds | | 12,595 |
| | 900 |
| | — |
| | 13,495 |
| Total available-for-sale fixed maturities | | 2,665,870 |
| | 94,070 |
| | (45,073 | ) | | 2,714,867 |
| Other investments | | 4,087 |
| | 364 |
| | (13 | ) | | 4,438 |
| Total investments | | $ | 2,669,957 |
| | $ | 94,434 |
| | $ | (45,086 | ) | | $ | 2,719,305 |
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| | | | | | | | | | | | | | | | | | December 31, 2012 | | Original or
amortized cost | | Gross
unrealized gains | | Gross
unrealized losses | | Fair value | Available-for-sale fixed maturities: | | | | | | | | | U.S. treasury bonds | | $ | 42,671 |
| | $ | 1,260 |
| | $ | — |
| | $ | 43,931 |
| U.S. agency bonds – mortgage-backed | | 962,649 |
| | 30,998 |
| | (1,473 | ) | | 992,174 |
| U.S. agency bonds – other | | 11,682 |
| | 1,407 |
| | — |
| | 13,089 |
| Non-U.S. government bonds | | 55,169 |
| | 2,264 |
| | — |
| | 57,433 |
| Other mortgage-backed bonds | | 23,167 |
| | 901 |
| | — |
| | 24,068 |
| Corporate bonds | | 1,247,260 |
| | 113,386 |
| | (6,492 | ) | | 1,354,154 |
| Municipal bonds | | 132,604 |
| | 1,244 |
| | — |
| | 133,848 |
| Total available-for-sale fixed maturities | | 2,475,202 |
| | 151,460 |
| | (7,965 | ) | | 2,618,697 |
| Other investments | | 2,599 |
| | 353 |
| | (51 | ) | | 2,901 |
| Total investments | | $ | 2,477,801 |
| | $ | 151,813 |
| | $ | (8,016 | ) | | $ | 2,621,598 |
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| Contractual maturities of fixed maturities, available-for-sale |
The contractual maturities of our fixed maturities, available-for-sale as of June 30, 2013 are shown below. Actual maturities may differ from contractual maturities because borrowers may have the right to call or repay obligations prior to contractual maturity.
4. Investments (continued)
| | | | | | | | | | | | | June 30, 2013 | | Amortized cost | | Fair
value | | % of Total fair value | Maturity | | | | | | | Due in one year or less | | $ | 89,450 |
| | $ | 90,778 |
| | 3.3 | % | Due after one year through five years | | 397,591 |
| | 419,897 |
| | 15.5 | % | Due after five years through ten years | | 880,828 |
| | 907,750 |
| | 33.4 | % | Due after ten years | | 48,766 |
| | 50,493 |
| | 1.9 | % | | | 1,416,635 |
| | 1,468,918 |
| | 54.1 | % | U.S. agency bonds – mortgage-backed | | 1,221,606 |
| | 1,218,486 |
| | 44.9 | % | Other mortgage-backed bonds | | 27,629 |
| | 27,463 |
| | 1.0 | % | Total | | $ | 2,665,870 |
| | $ | 2,714,867 |
| | 100.0 | % |
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| Summary of available-for-sale securities and other investments in an unrealized loss position and the aggregate fair value and gross unrealized loss by length of time the securities have continuously been in an unrealized loss position |
The following tables summarize our available-for-sale fixed maturities and other investments in an unrealized loss position and the aggregate fair value and gross unrealized loss by length of time the securities have continuously been in an unrealized loss position: | | | | | | | | | | | | | | | | | | | | | | | | | | | | Less than 12 Months | | 12 Months or more | | Total | June 30, 2013 | | Fair
value | | Unrealized
losses | | Fair
value | | Unrealized
losses | | Fair
value | | Unrealized
losses | Available-for-sale fixed maturities | | | | | | | | | | | | | U.S. agency bonds – mortgage-backed | | $ | 627,532 |
| | $ | (19,210 | ) | | $ | 9,104 |
| | $ | (246 | ) | | $ | 636,636 |
| | $ | (19,456 | ) | Non–U.S. government bonds | | 27,630 |
| | (918 | ) | | — |
| | — |
| | 27,630 |
| | (918 | ) | Corporate bonds | | 343,524 |
| | (21,309 | ) | | 123,920 |
| | (3,196 | ) | | 467,444 |
| | (24,505 | ) | Other mortgage-backed bonds | | 13,027 |
| | (194 | ) | | — |
| | — |
| | 13,027 |
| | (194 | ) | | | 1,011,713 |
| | (41,631 | ) | | 133,024 |
| | (3,442 | ) | | 1,144,737 |
| | (45,073 | ) | Other investments | | — |
| | — |
| | 2,499 |
| | (13 | ) | | 2,499 |
| | (13 | ) | Total temporarily impaired available-for-sale fixed maturities and other investments | | $ | 1,011,713 |
| | $ | (41,631 | ) | | $ | 135,523 |
| | $ | (3,455 | ) | | $ | 1,147,236 |
| | $ | (45,086 | ) |
As of June 30, 2013, there were approximately 118 securities in an unrealized loss position with a fair value of $1,147,236 and unrealized losses of $45,086. Of these securities, there are 9 securities that have been in an unrealized loss position for 12 months or greater with a fair value of $135,523 and unrealized losses of $3,455.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | Less than 12 Months | | 12 Months or more | | Total | December 31, 2012 | | Fair
value | | Unrealized
losses | | Fair
value | | Unrealized
losses | | Fair
value | | Unrealized
losses | Available-for-sale fixed maturities | | | | | | | | | | | | | U.S. agency bonds – mortgage-backed | | $ | 158,591 |
| | $ | (1,473 | ) | | $ | — |
| | $ | — |
| | $ | 158,591 |
| | $ | (1,473 | ) | Corporate bonds | | 94,742 |
| | (1,098 | ) | | 141,842 |
| | (5,394 | ) | | 236,584 |
| | (6,492 | ) | | | 253,333 |
| | (2,571 | ) | | 141,842 |
| | (5,394 | ) | | 395,175 |
| | (7,965 | ) | Other investments | | — |
| | — |
| | 2,011 |
| | (51 | ) | | 2,011 |
| | (51 | ) | Total temporarily impaired available-for-sale fixed maturities and other investments | | $ | 253,333 |
| | $ | (2,571 | ) | | $ | 143,853 |
| | $ | (5,445 | ) | | $ | 397,186 |
| | $ | (8,016 | ) |
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| Summary of the credit ratings of fixed maturities |
The following summarizes the credit ratings of our fixed maturities: | | | | | | | | | | | | | Rating* as of June 30, 2013 | | Amortized
cost | | Fair
value | | % of Total
fair value | U.S. treasury bonds | | $ | 16,635 |
| | $ | 17,446 |
| | 0.6 | % | U.S. agency bonds | | 1,233,289 |
| | 1,231,342 |
| | 45.4 | % | AAA | | 161,591 |
| | 169,409 |
| | 6.2 | % | AA+, AA, AA- | | 72,411 |
| | 78,688 |
| | 2.9 | % | A+, A, A- | | 477,802 |
| | 501,369 |
| | 18.5 | % | BBB+, BBB, BBB- | | 665,760 |
| | 678,419 |
| | 25.0 | % | BB+ or lower | | 38,382 |
| | 38,194 |
| | 1.4 | % | Total | | $ | 2,665,870 |
| | $ | 2,714,867 |
| | 100.0 | % |
| | | | | | | | | | | | | Rating* as of December 31, 2012 | | Amortized
cost | | Fair
value | | % of Total
fair value | U.S. treasury bonds | | $ | 42,671 |
| | $ | 43,931 |
| | 1.7 | % | U.S. agency bonds | | 974,331 |
| | 1,005,263 |
| | 38.4 | % | AAA | | 171,136 |
| | 183,950 |
| | 7.0 | % | AA+, AA, AA- | | 186,495 |
| | 196,797 |
| | 7.5 | % | A+, A, A- | | 477,236 |
| | 515,383 |
| | 19.7 | % | BBB+, BBB, BBB- | | 587,858 |
| | 637,089 |
| | 24.3 | % | BB+ or lower | | 35,475 |
| | 36,284 |
| | 1.4 | % | Total | | $ | 2,475,202 |
| | $ | 2,618,697 |
| | 100.0 | % |
*Ratings as assigned by Standard & Poor’s ("S&P") |
| Portfolio of other investments |
The table below shows our portfolio of other investments: | | | | | | | | | | | | | | | | | | June 30, 2013 | | December 31, 2012 | Investments in limited partnerships | | $ | 3,438 |
| | 77.5 | % | | $ | 2,901 |
| | 100.0 | % | Other | | 1,000 |
| | 22.5 | % | | — |
| | — | % | Total other investments | | $ | 4,438 |
| | 100.0 | % | | $ | 2,901 |
| | 100.0 | % |
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| Analysis of realized and unrealized gains on investment |
The following provides an analysis of realized gains (losses) on investment for the three and six months ended June 30, 2013 and 2012: | | | | | | | | | | | | | | For the Three Months Ended June 30, 2013 | | Gross gains | | Gross losses | | Net | Other investments | | $ | — |
| | $ | (53 | ) | | $ | (53 | ) | Net realized losses on investment | | $ | — |
| | $ | (53 | ) | | $ | (53 | ) |
| | | | | | | | | | | | | | For the Three Months Ended June 30, 2012 | | Gross gains | | Gross losses | | Net | Trading securities and short sales | | $ | — |
| | $ | (2,948 | ) | | $ | (2,948 | ) | Other investments | | 9 |
| | — |
| | 9 |
| Net realized losses on investment | | $ | 9 |
| | $ | (2,948 | ) | | $ | (2,939 | ) |
| | | | | | | | | | | | | | For the Six Months Ended June 30, 2013 | | Gross gains | | Gross losses | | Net | Available-for-sale fixed maturities | | $ | 3,112 |
| | $ | — |
| | $ | 3,112 |
| Other investments | | 171 |
| | (53 | ) | | 118 |
| Net realized gains on investment | | $ | 3,283 |
| | $ | (53 | ) | | $ | 3,230 |
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| | | | | | | | | | | | | | For the Six Months Ended June 30, 2012 | | Gross gains | | Gross losses | | Net | Trading securities and short sales | | $ | — |
| | $ | (1,593 | ) | | $ | (1,593 | ) | Other investments | | 20 |
| | (1 | ) | | 19 |
| Net realized losses on investment | | $ | 20 |
| | $ | (1,594 | ) | | $ | (1,574 | ) |
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| Net unrealized gains on available-for-sale securities and other investments |
Net unrealized gains on available-for-sale fixed maturities and other investments was as follows: | | | | | | | | | | | | June 30, 2013 | | December 31, 2012 | Available-for-sale fixed maturities | | $ | 48,997 |
| | $ | 143,495 |
| Other investments | | 351 |
| | 302 |
| Total net unrealized gains | | 49,348 |
| | 143,797 |
| Deferred income tax expense | | (101 | ) | | (132 | ) | Net unrealized gains, net of deferred income tax | | $ | 49,247 |
| | $ | 143,665 |
| Change in net unrealized (losses) gains, net of deferred income tax | | $ | (94,418 | ) | | $ | 79,928 |
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| Fair value of restricted assets |
The fair value of our restricted assets was as follows: | | | | | | | | | | | | June 30, 2013 |
| December 31, 2012 | Restricted cash and cash equivalents – third party agreements | | $ | 87,723 |
| | $ | 97,695 |
| Restricted cash and cash equivalents – related party agreements | | 7,647 |
| | 33,882 |
| Restricted cash and cash equivalents – U.S. state regulatory authorities | | 845 |
| | 750 |
| Total restricted cash and cash equivalents | | 96,215 |
| | 132,327 |
| Restricted investments – in trust for third party agreements at fair value (Amortized cost: 2013 – $969,747; 2012 – $1,048,827) | | 989,954 |
| | 1,101,971 |
| Restricted investments – in trust for related party agreements at fair value (Amortized cost: 2013 – $1,027,277; 2012 – $851,873) | | 1,057,570 |
| | 919,557 |
| Restricted investments – in trust for U.S. state regulatory authorities (Amortized cost: 2013 – $12,737; 2012 – $12,744) | | 13,231 |
| | 13,463 |
| Total restricted investments | | 2,060,755 |
| | 2,034,991 |
| Total restricted cash and cash equivalents and investments | | $ | 2,156,970 |
| | $ | 2,167,318 |
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