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INVESTMENTS (Tables)
 6 Months Ended
Jun. 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 June 30, 2018
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
1,692,025

 
$
556

 
$
(23,160
)
 
$
1,669,421

 
$
—

 
 
Non-U.S. government
596,802

 
4,475

 
(16,114
)
 
585,163

 
—

 
 
Corporate debt
4,945,251

 
18,686

 
(92,965
)
 
4,870,972

 
—

 
 
Agency RMBS(1)
1,738,740

 
3,903

 
(42,915
)
 
1,699,728

 
—

 
 
CMBS(2)
1,142,204

 
1,086

 
(21,323
)
 
1,121,967

 
—

 
 
Non-Agency RMBS
38,572

 
1,574

 
(842
)
 
39,304

 
(884
)
 
 
ABS(3)
1,617,950

 
2,509

 
(6,425
)
 
1,614,034

 
—

 
 
Municipals(4)
140,345

 
706

 
(2,335
)
 
138,716

 
—

 
 
Total fixed maturities
$
11,911,889

 
$
33,495

 
$
(206,079
)
 
$
11,739,305

 
$
(884
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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 June 30, 2018
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
Common stocks
$
13,302

 
$
1,239

 
$
(1,114
)
 
$
13,427

 
 
Exchange-traded funds
211,940

 
53,318

 
(1,413
)
 
263,845

 
 
Bond mutual funds
141,173

 
3

 
(1,236
)
 
139,940

 
 
Total equity securities
$
366,415

 
$
54,560

 
$
(3,763
)
 
$
417,212

 
 
 
 
 
 
 
 
 
 
 
 
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 June 30, 2018
 
 
 
 
 
 
 
Maturity
 
 
 
 
 
 
 
Due in one year or less
$
470,471

 
$
463,126

 
4.0
%
 
 
Due after one year through five years
4,881,214

 
4,828,882

 
41.1
%
 
 
Due after five years through ten years
1,818,888

 
1,769,098

 
15.1
%
 
 
Due after ten years
203,850

 
203,166

 
1.7
%
 
 
 
7,374,423

 
7,264,272

 
61.9
%
 
 
Agency RMBS
1,738,740

 
1,699,728

 
14.5
%
 
 
CMBS
1,142,204

 
1,121,967

 
9.6
%
 
 
Non-Agency RMBS
38,572

 
39,304

 
0.3
%
 
 
ABS
1,617,950

 
1,614,034

 
13.7
%
 
 
Total
$
11,911,889

 
$
11,739,305

 
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 June 30, 2018(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
125,039

 
$
(6,565
)
 
$
1,378,293

 
$
(16,595
)
 
$
1,503,332

 
$
(23,160
)
 
 
Non-U.S. government
63,216

 
(7,352
)
 
326,670

 
(8,762
)
 
389,886

 
(16,114
)
 
 
Corporate debt
325,074

 
(17,362
)
 
3,513,735

 
(75,603
)
 
3,838,809

 
(92,965
)
 
 
Agency RMBS
527,560

 
(23,601
)
 
836,763

 
(19,314
)
 
1,364,323

 
(42,915
)
 
 
CMBS
29,405

 
(1,556
)
 
925,264

 
(19,767
)
 
954,669

 
(21,323
)
 
 
Non-Agency RMBS
7,455

 
(763
)
 
4,320

 
(79
)
 
11,775

 
(842
)
 
 
ABS
27,316

 
(413
)
 
853,002

 
(6,012
)
 
880,318

 
(6,425
)
 
 
Municipals
11,037

 
(414
)
 
97,649

 
(1,921
)
 
108,686

 
(2,335
)
 
 
Total fixed maturities
$
1,116,102

 
$
(58,026
)
 
$
7,935,696

 
$
(148,053
)
 
$
9,051,798

 
$
(206,079
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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 June 30, 2018.
MORTGAGE LOANS NET OF VALUATION ALLOWANCE
The following table provides a breakdown of the Company's mortgage loans held-for-investment:
 
  
June 30, 2018
 
December 31, 2017
 
 
  
Carrying Value
 
% of Total
 
Carrying Value
 
% of Total
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage Loans held-for-investment:
 
 
 
 
 
 
 
 
 
Commercial
$
344,721

 
100
%
 
$
325,062

 
100
%
 
 
Total Mortgage Loans held-for-investment
$
344,721

 
100
%
 
$
325,062

 
100
%
 
 
 
 
 
 
 
 
 
 
 
PORTFOLIO OF OTHER INVESTMENTS
The following tables provide a breakdown 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 June 30, 2018
 

 
 

 
 
 
 
 
 
Long/short equity funds
$
26,693

 
3
%
 
Annually
 
60 days
 
 
Multi-strategy funds
276,914

 
30
%
 
Quarterly, Semi-annually
 
60-95 days
 
 
Event-driven funds
40,107

 
4
%
 
Annually
 
45 days
 
 
Direct lending funds
259,976

 
28
%
 
n/a
 
n/a
 
 
Private equity funds
65,513

 
7
%
 
n/a
 
n/a
 
 
Real estate funds
56,855

 
6
%
 
n/a
 
n/a
 
 
CLO-Equities
26,153

 
4
%
 
n/a
 
n/a
 
 
Other privately held investments
47,613

 
5
%
 
n/a
 
n/a
 
 
Overseas deposits
116,367

 
13
%
 
n/a
 
n/a
 
 
Total other investments
$
916,191

 
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 June 30,
 
Six months ended June 30,
 
 
  
2018
 
2017
 
2018
 
2017
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
$
88,320

 
$
78,218

 
$
172,279

 
$
155,625

 
 
Other investments
14,541

 
23,639

 
28,246

 
42,601

 
 
Equity securities
3,158

 
4,347

 
4,916

 
7,825

 
 
Mortgage loans
3,357

 
2,597

 
6,483

 
5,074

 
 
Cash and cash equivalents
5,627

 
3,433

 
9,779

 
6,529

 
 
Short-term investments
1,645

 
660

 
2,520

 
1,098

 
 
Gross investment income
116,648

 
112,894

 
224,223

 
218,752

 
 
Investment expenses
(6,688
)
 
(6,831
)
 
(13,262
)
 
(14,024
)
 
 
Net investment income
$
109,960

 
$
106,063

 
$
210,961

 
$
204,728

 
 
 
 
 
 
 
 
 
 
 
NET REALIZED INVESTMENT GAINS (LOSSES)
The following table provides an analysis of net investment losses:
 
  
Three months ended June 30,
 
Six months ended June 30,
 
 
  
2018
 
2017
 
2018
 
2017
 
 
 
 
 
 
 
 
 
 
 
 
Gross realized investment gains
 
 
 
 
 
 
 
 
 
Fixed maturities and short-term investments
$
5,761

 
$
17,451

 
$
37,389

 
$
38,228

 
 
Equity securities
1,147

 
30

 
18,662

 
15,813

 
 
Gross realized investment gains
6,908

 
17,481

 
56,051

 
54,041

 
 
Gross realized investment losses
 
 
 
 
 
 
 
 
 
Fixed maturities and short-term investments
(44,442
)
 
(14,354
)
 
(87,977
)
 
(67,289
)
 
 
Equity securities
—

 
(24
)
 
(1,234
)
 
(213
)
 
 
Gross realized investment losses
(44,442
)
 
(14,378
)
 
(89,211
)
 
(67,502
)
 
 
Net OTTI recognized in net income
(1,674
)
 
(1,528
)
 
(2,088
)
 
(8,082
)
 
 
Change in fair value of investment derivatives(1)
5,134

 
(5,967
)
 
7,157

 
(7,900
)
 
 
Net unrealized gains (losses) on equity securities(2)
(11,019
)
 
—

 
(31,832
)
 
—

 
 
Net investment losses
$
(45,093
)
 
$
(4,392
)
 
$
(59,923
)
 
$
(29,443
)
 
 
 
 
 
 
 
 
 
 
 
(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 June 30,
 
Six months ended June 30,
 
 
  
2018
 
2017
 
2018
 
2017
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
Non-U.S. government
$
22

 
$
—

 
$
22

 
$
4,282

 
 
Corporate debt
1,652

 
1,528

 
2,066

 
3,800

 
 
Total OTTI recognized in net income
$
1,674

 
$
1,528

 
$
2,088

 
$
8,082

 
 
 
 
 
 
 
 
 
 
 
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 June 30,
 
Six months ended June 30,
 
 
  
2018
 
2017
 
2018
 
2017
 
 
 
 
 
 
 
 
 
 
 
 
Balance at beginning of period
$
1,484

 
$
1,483

 
$
1,494

 
$
1,493

 
 
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
(12
)
 
(2
)
 
(22
)
 
(12
)
 
 
Balance at end of period
$
1,472

 
$
1,481

 
$
1,472

 
$
1,481