XML 75 R26.htm IDEA: XBRL DOCUMENT v3.2.0.727
INVESTMENTS (TABLES)
 6 Months Ended
Jun. 30, 2015
Investments, Debt and Equity Securities [Abstract]  
AMORTIZED COST/COST AND FAIR VALUES OF FIXED MATURITIES AND EQUITIES
The amortized cost or cost and fair values of our fixed maturities and equities were as follows:
 
 
Amortized
Cost or
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair
Value
 
Non-credit
OTTI
in AOCI(5)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At June 30, 2015
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
1,699,826

 
$
3,731

 
$
(20,448
)
 
$
1,683,109

 
$
—

 
 
Non-U.S. government
958,293

 
6,242

 
(64,000
)
 
900,535

 
—

 
 
Corporate debt
4,444,087

 
32,273

 
(72,408
)
 
4,403,952

 
—

 
 
Agency RMBS(1)
2,114,217

 
30,038

 
(9,279
)
 
2,134,976

 
—

 
 
CMBS(2)
1,093,612

 
9,814

 
(3,856
)
 
1,099,570

 
—

 
 
Non-Agency RMBS
99,590

 
2,667

 
(983
)
 
101,274

 
(839
)
 
 
ABS(3)
1,429,667

 
3,372

 
(5,978
)
 
1,427,061

 
—

 
 
Municipals(4)
254,074

 
3,405

 
(2,220
)
 
255,259

 
—

 
 
Total fixed maturities
$
12,093,366

 
$
91,542

 
$
(179,172
)
 
$
12,005,736

 
$
(839
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
Exchange-traded funds
495,590

 
44,153

 
(3,763
)
 
535,980

 
 
 
 
Bond mutual funds
123,279

 
—

 
(78
)
 
123,201

 
 
 
 
Total equity securities
$
618,869

 
$
44,153

 
$
(3,841
)
 
$
659,181

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2014
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
1,645,068

 
$
3,337

 
$
(28,328
)
 
$
1,620,077

 
$
—

 
 
Non-U.S. government
1,080,601

 
7,383

 
(54,441
)
 
1,033,543

 
—

 
 
Corporate debt
4,386,432

 
40,972

 
(66,280
)
 
4,361,124

 
—

 
 
Agency RMBS(1)
2,241,581

 
40,762

 
(4,235
)
 
2,278,108

 
—

 
 
CMBS(2)
1,085,618

 
13,289

 
(2,019
)
 
1,096,888

 
—

 
 
Non-Agency RMBS
71,236

 
2,765

 
(915
)
 
73,086

 
(889
)
 
 
ABS(3)
1,475,026

 
2,748

 
(16,188
)
 
1,461,586

 
—

 
 
Municipals(4)
200,411

 
5,282

 
(832
)
 
204,861

 
—

 
 
Total fixed maturities
$
12,185,973

 
$
116,538

 
$
(173,238
)
 
$
12,129,273

 
$
(889
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
Exchange-traded funds
416,063

 
43,583

 
(4,756
)
 
454,890

 
 
 
 
Bond mutual funds
115,585

 
—

 
(2,768
)
 
112,817

 
 
 
 
Total equity securities
$
531,648

 
$
43,583

 
$
(7,524
)
 
$
567,707

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(1)
Residential mortgage-backed securities (RMBS) originated by U.S. agencies.
(2)
Commercial mortgage-backed securities (CMBS).
(3)
Asset-backed securities (ABS) include debt tranched securities collateralized primarily by auto loans, student loans, credit cards, and other asset types. This asset class also includes collateralized loan obligations (CLOs) and collateralized debt obligations (CDOs).
(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 of securities. It does not include the change in fair value subsequent to the impairment measurement date.
CONTRACTUAL MATURITIES OF FIXED MATURITIES
The contractual maturities of fixed maturities are shown below. 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.
 
 
Amortized
Cost
 
Fair
Value
 
% of Total
Fair Value
 
 
 
 
 
 
 
 
 
 
At June 30, 2015
 
 
 
 
 
 
 
Maturity
 
 
 
 
 
 
 
Due in one year or less
$
553,743

 
$
543,896

 
4.5
%
 
 
Due after one year through five years
4,407,166

 
4,373,414

 
36.4
%
 
 
Due after five years through ten years
2,069,297

 
2,005,587

 
16.7
%
 
 
Due after ten years
326,074

 
319,958

 
2.7
%
 
 
 
7,356,280

 
7,242,855

 
60.3
%
 
 
Agency RMBS
2,114,217

 
2,134,976

 
17.8
%
 
 
CMBS
1,093,612

 
1,099,570

 
9.2
%
 
 
Non-Agency RMBS
99,590

 
101,274

 
0.8
%
 
 
ABS
1,429,667

 
1,427,061

 
11.9
%
 
 
Total
$
12,093,366

 
$
12,005,736

 
100.0
%
 
 
 
 
 
 
 
 
 
 
At December 31, 2014
 
 
 
 
 
 
 
Maturity
 
 
 
 
 
 
 
Due in one year or less
$
424,077

 
$
423,265

 
3.5
%
 
 
Due after one year through five years
4,925,780

 
4,892,411

 
40.3
%
 
 
Due after five years through ten years
1,755,248

 
1,695,641

 
14.0
%
 
 
Due after ten years
207,407

 
208,288

 
1.7
%
 
 
 
7,312,512

 
7,219,605

 
59.5
%
 
 
Agency RMBS
2,241,581

 
2,278,108

 
18.8
%
 
 
CMBS
1,085,618

 
1,096,888

 
9.0
%
 
 
Non-Agency RMBS
71,236

 
73,086

 
0.6
%
 
 
ABS
1,475,026

 
1,461,586

 
12.1
%
 
 
Total
$
12,185,973

 
$
12,129,273

 
100.0
%
 
 
 
 
 
 
 
 
 
FIXED MATURITIES AND EQUITIES IN AN UNREALIZED LOSS POSITION
The following table summarizes fixed maturities and equities 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 June 30, 2015
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
128,916

 
$
(6,688
)
 
$
881,631

 
$
(13,760
)
 
$
1,010,547

 
$
(20,448
)
 
 
Non-U.S. government
163,690

 
(46,219
)
 
298,542

 
(17,781
)
 
462,232

 
(64,000
)
 
 
Corporate debt
229,078

 
(19,633
)
 
2,326,826

 
(52,775
)
 
2,555,904

 
(72,408
)
 
 
Agency RMBS
65,726

 
(1,740
)
 
763,509

 
(7,539
)
 
829,235

 
(9,279
)
 
 
CMBS
64,037

 
(784
)
 
297,266

 
(3,072
)
 
361,303

 
(3,856
)
 
 
Non-Agency RMBS
4,963

 
(600
)
 
44,753

 
(383
)
 
49,716

 
(983
)
 
 
ABS
495,889

 
(5,090
)
 
336,672

 
(888
)
 
832,561

 
(5,978
)
 
 
Municipals
14,478

 
(405
)
 
148,681

 
(1,815
)
 
163,159

 
(2,220
)
 
 
Total fixed maturities
$
1,166,777

 
$
(81,159
)
 
$
5,097,880

 
$
(98,013
)
 
$
6,264,657

 
$
(179,172
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
 
 
Exchange-traded funds
—

 
—

 
115,026

 
(3,763
)
 
115,026

 
(3,763
)
 
 
Bond mutual funds
—

 
—

 
16,692

 
(78
)
 
16,692

 
(78
)
 
 
Total equity securities
$
—

 
$
—

 
$
131,718

 
$
(3,841
)
 
$
131,718

 
$
(3,841
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2014
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
388,551

 
$
(24,319
)
 
$
786,850

 
$
(4,009
)
 
$
1,175,401

 
$
(28,328
)
 
 
Non-U.S. government
143,602

 
(29,171
)
 
435,670

 
(25,270
)
 
579,272

 
(54,441
)
 
 
Corporate debt
26,708

 
(2,221
)
 
2,199,672

 
(64,059
)
 
2,226,380

 
(66,280
)
 
 
Agency RMBS
259,914

 
(3,084
)
 
333,288

 
(1,151
)
 
593,202

 
(4,235
)
 
 
CMBS
68,624

 
(925
)
 
256,225

 
(1,094
)
 
324,849

 
(2,019
)
 
 
Non-Agency RMBS
6,689

 
(613
)
 
13,442

 
(302
)
 
20,131

 
(915
)
 
 
ABS
425,663

 
(10,325
)
 
750,679

 
(5,863
)
 
1,176,342

 
(16,188
)
 
 
Municipals
34,462

 
(644
)
 
25,284

 
(188
)
 
59,746

 
(832
)
 
 
Total fixed maturities
$
1,354,213

 
$
(71,302
)
 
$
4,801,110

 
$
(101,936
)
 
$
6,155,323

 
$
(173,238
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
 
 
Exchange-traded funds
—

 
—

 
91,275

 
(4,756
)
 
91,275

 
(4,756
)
 
 
Bond mutual funds
—

 
—

 
112,817

 
(2,768
)
 
112,817

 
(2,768
)
 
 
Total equity securities
$
—

 
$
—

 
$
204,092

 
$
(7,524
)
 
$
204,092

 
$
(7,524
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
MORTGAGE LOANS NET OF VALUATION ALLOWANCE
The following table provides a breakdown of our mortgage loans held-for-investment:
 
  
June 30, 2015
 
December 31, 2014
 
 
  
Carrying Value
 
% of Total
 
Carrying Value
 
% of Total
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage Loans held-for-investment:
 
 
 
 
 
 
 
 
 
Commercial
$
79,606

 
100
%
 
$
—

 
—
%
 
 
 
79,606

 
100
%
 
—

 
—
%
 
 
Valuation allowances
—

 
—
%
 
—

 
—
%
 
 
Total Mortgage Loans held-for-investment
$
79,606

 
100
%
 
$
—

 
—
%
 
 
 
 
 
 
 
 
 
 
 
PORTFOLIO OF OTHER INVESTMENTS
The following table provides a breakdown of our investments in hedge funds, direct lending funds, real estate funds and CLO Equities, together with additional information relating to the liquidity of each category:
 
 
Fair Value
 
Redemption Frequency
(if currently eligible)
 
  Redemption  
  Notice Period  
 
 
 
 
 
 
 
 
 
 
 
 
At June 30, 2015
 

 
 

 
 
 
 
 
 
Long/short equity funds
$
192,622

 
23
%
 
Quarterly, Semi-annually, Annually
 
30-60 days
 
 
Multi-strategy funds
345,726

 
41
%
 
Quarterly, Semi-annually
 
60-95 days
 
 
Event-driven funds
147,236

 
17
%
 
Quarterly, Annually
 
45-60 days
 
 
Leveraged bank loan funds
75

 
—
%
 
n/a
 
n/a
 
 
Direct lending funds
73,628

 
9
%
 
n/a
 
n/a
 
 
Real estate funds
3,000

 
—
%
 
n/a
 
n/a
 
 
CLO - Equities
90,814

 
10
%
 
n/a
 
n/a
 
 
Total other investments
$
853,101

 
100
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2014
 

 
 

 
 
 
 
 
 
Long/short equity funds
$
298,907

 
31
%
 
Quarterly, Semi-annually
 
30-60 days
 
 
Multi-strategy funds
324,020

 
34
%
 
Quarterly, Semi-annually
 
60-95 days
 
 
Event-driven funds
185,899

 
19
%
 
Quarterly, Annually
 
45-60 days
 
 
Leveraged bank loan funds
9,713

 
1
%
 
Quarterly
 
65 days
 
 
Direct lending funds
54,438

 
6
%
 
n/a
 
n/a
 
 
Real estate funds
—

 
—
%
 
n/a
 
n/a
 
 
CLO - Equities
92,488

 
9
%
 
n/a
 
n/a
 
 
Total other investments
$
965,465

 
100
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
n/a - not applicable

NET INVESTMENT INCOME
Net investment income was derived from the following sources:
 
  
Three months ended June 30,
 
Six months ended June 30,
 
 
  
2015
 
2014
 
2015
 
2014
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
$
77,998

 
$
78,523

 
$
144,086

 
$
151,480

 
 
Other investments
14,102

 
32,492

 
45,037

 
49,252

 
 
Equity securities
2,674

 
5,301

 
4,350

 
7,587

 
 
Mortgage loans
281

 
—

 
294

 
—

 
 
Cash and cash equivalents
1,678

 
6,183

 
2,777

 
7,046

 
 
Short-term investments
125

 
246

 
194

 
459

 
 
Gross investment income
96,858

 
122,745

 
196,738

 
215,824

 
 
Investment expenses
(8,314
)
 
(7,878
)
 
(16,087
)
 
(18,214
)
 
 
Net investment income
$
88,544

 
$
114,867

 
$
180,651

 
$
197,610

 
 
 
 
 
 
 
 
 
 
 
NET REALIZED INVESTMENT GAINS (LOSSES)
The following table provides an analysis of net realized investment gains (losses):
 
  
Three months ended June 30,
 
Six months ended June 30,
 
 
  
2015
 
2014
 
2015
 
2014
 
 
 
 
 
 
 
 
 
 
 
 
Gross realized gains
 
 
 
 
 
 
 
 
 
Fixed maturities and short-term investments
$
17,066

 
$
26,650

 
$
32,727

 
$
60,420

 
 
Equities
177

 
32,609

 
215

 
51,876

 
 
Gross realized gains
17,243

 
59,259

 
32,942

 
112,296

 
 
Gross realized losses
 
 
 
 
 
 
 
 
 
Fixed maturities and short-term investments
(13,474
)
 
(14,392
)
 
(56,565
)
 
(48,096
)
 
 
Equities
(270
)
 
(2,546
)
 
(394
)
 
(4,984
)
 
 
Gross realized losses
(13,744
)
 
(16,938
)
 
(56,959
)
 
(53,080
)
 
 
Net OTTI recognized in earnings
(12,893
)
 
(1,905
)
 
(30,461
)
 
(2,690
)
 
 
Change in fair value of investment derivatives(1)
(1,716
)
 
(7,155
)
 
816

 
(12,644
)
 
 
Net realized investment gains (losses)
$
(11,110
)
 
$
33,261

 
$
(53,662
)
 
$
43,882

 
 
 
 
 
 
 
 
 
 
 
(1) Refer to Note 6 – Derivative Instruments
OTTI RECOGNIZED IN EARNINGS BY ASSET CLASS
The following table summarizes the OTTI recognized in earnings by asset class:
 
  
Three months ended June 30,
 
Six months ended June 30,
 
 
  
2015
 
2014
 
2015
 
2014
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
Non-U.S. government
$
—

 
$
1,774

 
$
1,422

 
$
1,812

 
 
Corporate debt
1,689

 
67

 
17,808

 
81

 
 
Non-Agency RMBS
—

 
—

 
4

 
—

 
 
ABS
18

 
—

 
41

 
56

 
 
 
1,707

 
1,841

 
19,275

 
1,949

 
 
Equity Securities
 
 
 
 
 
 
 
 
 
Common stocks
—

 
64

 
—

 
741

 
 
Bond mutual funds

11,186

 
—

 
11,186

 
—

 
 
 
11,186

 
64

 
11,186

 
741

 
 
Total OTTI recognized in earnings
$
12,893

 
$
1,905

 
$
30,461

 
$
2,690

 
 
 
 
 
 
 
 
 
 
 
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, before income taxes, for which a portion of the OTTI was recognized in AOCI:
 
  
Three months ended June 30,
 
Six months ended June 30,
 
 
  
2015
 
2014
 
2015
 
2014
 
 
 
 
 
 
 
 
 
 
 
 
Balance at beginning of period
$
1,541

 
$
1,590

 
$
1,531

 
$
1,594

 
 
Credit impairments recognized on securities not previously impaired
—

 
—

 
—

 
—

 
 
Additional credit impairments recognized on securities previously impaired
23

 
—

 
33

 
—

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

 
—

 
—

 
—

 
 
Intent to sell of securities previously impaired
—

 
—

 
—

 
—

 
 
Securities sold/redeemed/matured
—

 
(9
)
 
—

 
(13
)
 
 
Balance at end of period
$
1,564

 
$
1,581

 
$
1,564

 
$
1,581