v3.8.0.1

Investments (Tables)

9 Months Ended

Sep. 30, 2017

Schedule of Investments [Abstract]

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 fixed maturities and other investments at September 30, 2017 and December 31, 2016, are as follows:

September 30, 2017		Original or amortized cost				Gross unrealized gains				Gross unrealized losses				Fair value
Available-for-sale ("AFS") fixed maturities :
U.S. treasury bonds		$	5,194			$	150			$	(8	)		$	5,336
U.S. agency bonds – mortgage-backed		2,004,645				14,208				(12,451		)		2,006,402
Non-U.S. government and supranational bonds		33,392				216				(2,012		)		31,596
Asset-backed securities		257,969				4,456				(164		)		262,261
Corporate bonds		1,541,296				52,717				(17,624		)		1,576,389
Municipal bonds		2,500				103				—				2,603
Total AFS fixed maturities		3,844,996				71,850				(32,259		)		3,884,587
Held-to-maturity ("HTM") fixed maturities:
Corporate bonds		1,057,943				34,027				(748		)		1,091,222
Municipal bonds		60,425				459				—				60,884
Total HTM fixed maturities		1,118,368				34,486				(748		)		1,152,106
Other investments		5,640				1,401				—				7,041
Total investments		$	4,969,004			$	107,737			$	(33,007	)		$	5,043,734

December 31, 2016		Original or amortized cost				Gross unrealized gains				Gross unrealized losses				Fair value
AFS fixed maturities:
U.S. treasury bonds		$	5,186			$	238			$	(11	)		$	5,413
U.S. agency bonds – mortgage-backed		1,720,436				12,867				(17,265		)		1,716,038
U.S. agency bonds – other		18,082				20				—				18,102
Non-U.S. government and supranational bonds		35,158				73				(5,297		)		29,934
Asset-backed securities		217,232				3,713				(69		)		220,876
Corporate bonds		1,947,347				30,951				(62,093		)		1,916,205
Municipal bonds		62,201				2,897				—				65,098
Total AFS fixed maturities		4,005,642				50,759				(84,735		)		3,971,666
HTM fixed maturities:
Corporate bonds		752,212				16,370				(2,447		)		766,135
Total HTM fixed maturities		752,212				16,370				(2,447		)		766,135
Other investments		10,057				3,003				—				13,060
Total investments		$	4,767,911			$	70,132			$	(87,182	)		$	4,750,861

Contractual maturities of fixed maturities, available-for-sale

The contractual maturities of our fixed maturities are shown below. Actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

		AFS fixed maturities								HTM fixed maturities
September 30, 2017		Amortized cost				Fair value				Amortized cost				Fair value
Maturity
Due in one year or less		$	40,440			$	38,784			$	49,293			$	49,298
Due after one year through five years		577,760				583,569				335,922				346,747
Due after five years through ten years		961,682				990,968				723,297				746,131
Due after ten years		2,500				2,603				9,856				9,930
		1,582,382				1,615,924				1,118,368				1,152,106
U.S. agency bonds – mortgage-backed		2,004,645				2,006,402				—				—
Asset-backed securities		257,969				262,261				—				—
Total fixed maturities		$	3,844,996			$	3,884,587			$	1,118,368			$	1,152,106

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

		Less than 12 Months								12 Months or More								Total
December 31, 2016		Fair value				Unrealized losses				Fair value				Unrealized losses				Fair value				Unrealized losses
Fixed maturities
U.S. treasury bonds		$	589			$	(11	)		$	—			$	—			$	589			$	(11	)
U.S. agency bonds – mortgage-backed		997,943				(14,440		)		47,969				(2,825		)		1,045,912				(17,265		)
Non-U.S. government and supranational bonds		3,169				(160		)		25,236				(5,137		)		28,405				(5,297		)
Asset-backed securities		30,589				(69		)		—				—				30,589				(69		)
Corporate bonds		642,599				(15,058		)		357,954				(49,482		)		1,000,553				(64,540		)
Total temporarily impaired fixed maturities		$	1,674,889			$	(29,738	)		$	431,159			$	(57,444	)		$	2,106,048			$	(87,182	)

The following tables summarize fixed maturities 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:

		Less than 12 Months								12 Months or More								Total
September 30, 2017		Fair value				Unrealized losses				Fair value				Unrealized losses				Fair value				Unrealized losses
Fixed maturities
U.S. treasury bonds		$	—			$	—			$	592			$	(8	)		$	592			$	(8	)
U.S. agency bonds – mortgage-backed		700,173				(5,545		)		390,211				(6,906		)		1,090,384				(12,451		)
Non–U.S. government and supranational bonds		12,678				(1,116		)		15,132				(896		)		27,810				(2,012		)
Asset-backed securities		21,499				(105		)		3,323				(59		)		24,822				(164		)
Corporate bonds		152,959				(4,437		)		262,782				(13,935		)		415,741				(18,372		)
Total temporarily impaired fixed maturities		$	887,309			$	(11,203	)		$	672,040			$	(21,804	)		$	1,559,349			$	(33,007	)

Summary of the credit ratings of fixed maturities

The following summarizes the credit ratings of our fixed maturities:

Ratings(1) at September 30, 2017		Amortized cost				Fair value				% of Total fair value
U.S. treasury bonds		$	5,194			$	5,336			0.1	%
U.S. agency bonds		2,004,645				2,006,402				39.8	%
AAA		169,514				173,589				3.4	%
AA+, AA, AA-		238,268				244,507				4.9	%
A+, A, A-		1,395,001				1,421,504				28.3	%
BBB+, BBB, BBB-		1,093,491				1,125,119				22.3	%
BB+ or lower		57,251				60,236				1.2	%
Total fixed maturities		$	4,963,364			$	5,036,693			100.0	%

4. Investments (continued)

Ratings(1) at December 31, 2016		Amortized cost				Fair value				% of Total fair value
U.S. treasury bonds		$	5,186			$	5,413			0.1	%
U.S. agency bonds		1,738,518				1,734,140				36.6	%
AAA		170,515				171,090				3.6	%
AA+, AA, AA-		238,315				237,169				5.0	%
A+, A, A-		1,386,023				1,374,860				29.0	%
BBB+, BBB, BBB-		1,053,529				1,047,376				22.2	%
BB+ or lower		165,768				167,753				3.5	%
Total fixed maturities		$	4,757,854			$	4,737,801			100.0	%

(1) Based on Standard & Poor’s ("S&P"), or equivalent, ratings

Portfolio of other investments

The table below shows our portfolio of other investments:

		September 30, 2017							December 31, 2016
		Fair value				% of Total fair value			Fair value				% of Total fair value
Investment in limited partnerships		$	5,541			78.7	%		$	5,474			41.9	%
Investment in quoted equity		—				—	%		6,586				50.4	%
Other		1,500				21.3	%		1,000				7.7	%
Total other investments		$	7,041			100.0	%		$	13,060			100.0	%

Net investment income

Net investment income was derived from the following sources:

		For the Three Months Ended September 30,								For the Nine Months Ended September 30,
		2017				2016				2017				2016
Fixed maturities		$	40,369			$	35,769			$	123,849			$	108,018
Cash and cash equivalents		899				506				1,328				1,147
Loan to related party		913				599				2,441				1,729
Other		569				572				1,460				1,519
		42,750				37,446				129,078				112,413
Investment expenses		(1,927		)		(1,780		)		(5,586		)		(5,122		)
Net investment income		$	40,823			$	35,666			$	123,492			$	107,291

Analysis of realized and unrealized gains (losses) on investment

Realized gains or losses on the sale of investments are determined on the basis of the first in first out cost method. The following provides an analysis of net realized gains on investment included in the Condensed Consolidated Statements of Income:

For the Three Months Ended September 30, 2017		Gross gains				Gross losses				Net
AFS fixed maturities		$	1,366			$	(997	)		$	369
Other investments		5,490				—				5,490
Net realized gains on investment		$	6,856			$	(997	)		$	5,859
For the Three Months Ended September 30, 2016		Gross gains				Gross losses				Net
AFS fixed maturities		$	1,813			$	—			$	1,813
Other investments		87				—				87
Net realized gains on investment		$	1,900			$	—			$	1,900
For the Nine Months Ended September 30, 2017		Gross gains				Gross losses				Net
AFS fixed maturities		$	3,854			$	(1,253	)		$	2,601
Other investments		5,715				—				5,715
Net realized gains on investment		$	9,569			$	(1,253	)		$	8,316
For the Nine Months Ended September 30, 2016		Gross gains				Gross losses				Net
AFS fixed maturities		$	4,953			$	(891	)		$	4,062
Other investments		449				—				449
Net realized gains on investment		$	5,402			$	(891	)		$	4,511

Net unrealized (losses) gains on available-for-sale securities and other investments

Net unrealized (losses) gains were as follows:

		September 30, 2017				December 31, 2016
Fixed maturities		$	47,888			$	(23,635	)
Other investments		1,401				3,003
Total net unrealized gains (losses)		49,289				(20,632		)
Deferred income tax		(79		)		(84		)
Net unrealized gains (losses), net of deferred income tax		$	49,210			$	(20,716	)
Change, net of deferred income tax		$	69,926

Fair value of restricted assets

The assets in trust as collateral are primarily cash and highly rated fixed maturities. The fair value of our restricted assets was as follows:

		September 30, 2017				December 31, 2016
Restricted cash – third party agreements		$	80,999			$	56,891
Restricted cash – related party agreements		50,467				46,777
Restricted cash – U.S. state regulatory authorities		132				120
Total restricted cash		131,598				103,788
Restricted investments – in trust for third party agreements at fair value (Amortized cost: 2017 – $1,337,185; 2016 – $1,307,926)		1,354,548				1,299,569
Restricted investments AFS– in trust for related party agreements at fair value (Amortized cost: 2017 – $2,193,678; 2016 – $2,242,565)		2,218,382				2,225,066
Restricted investments HTM– in trust for related party agreements at fair value (Amortized cost: 2017 – $1,118,368; 2016 – $752,212)		1,152,106				766,135
Restricted investments – in trust for U.S. state regulatory authorities (Amortized cost: 2017 – $4,071; 2016 – $4,059)		4,188				4,238
Total restricted investments		4,729,224				4,295,008
Total restricted cash and investments		$	4,860,822			$	4,398,796

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