Investments (Tables)

12 Months Ended

Dec. 31, 2015

Amortized cost (or cost), gross unrealized gains and (losses) and estimated fair value of investments

The amortized cost (or cost), gross unrealized gains and (losses) and estimated fair value of investments as at December 31, 2015 were as follows:



	Amortized Cost or Cost		Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
Managed investments
U.S. government and government agency	$	940,428	$	333	$	(3,559	)	$	937,202
Non-U.S. government and government agency	241,549		257		(3,838		)	237,968
U.S. states, municipalities and political subdivisions	299,929		2,322		(962		)	301,289
Agency residential mortgage-backed securities	606,676		6,361		(2,455		)	610,582
Non-agency residential mortgage-backed securities	27,025		310		(415		)	26,920
U.S. corporate	1,503,614		1,594		(15,257		)	1,489,951
Non-U.S. corporate	453,178		797		(7,405		)	446,570
Bank loans	592,981		275		(17,045		)	576,211
Asset-backed securities	440,363		344		(3,583		)	437,124
Commercial mortgage-backed securities	263,310		131		(3,306		)	260,135
Total fixed maturities	5,369,053		12,724		(57,825		)	5,323,952
Short-term investments	237,349		20		—			237,369
Other investments
Fund of hedge funds	1,457		—		(40		)	1,417
Hedge funds	14,018		6,962		—			20,980
Private equity investments	53,489		12,751		(2,469		)	63,771
Investment funds	188,121		600		—			188,721
Overseas deposits	54,484		—		—			54,484
Mutual funds	4,394		3,089		—			7,483
Total other investments	315,963		23,402		(2,509		)	336,856
Total managed investments	$	5,922,365	$	36,146	$	(60,334	)	$	5,898,177
Non-managed investments
Catastrophe bonds	$	187,847	$	635	$	(2,103	)	$	186,379
Short-term investments	1,704,266		—		—			1,704,266
Total non-managed investments	1,892,113		635		(2,103		)	1,890,645
Total investments	$	7,814,478	$	36,781	$	(62,437	)	$	7,788,822

The amortized cost (or cost), gross unrealized gains and (losses) and estimated fair value of investments as at December 31, 2014 were as follows:



	Amortized Cost or Cost		Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
Managed investments
U.S. government and government agency	$	759,232	$	1,755	$	(901	)	$	760,086
Non-U.S. government and government agency	279,493		1,215		(1,980		)	278,728
U.S. states, municipalities and political subdivisions	448,668		1,780		(825		)	449,623
Agency residential mortgage-backed securities	520,685		9,697		(1,151		)	529,231
Non-agency residential mortgage-backed securities	37,954		369		(516		)	37,807
U.S. corporate	1,500,963		3,960		(5,217		)	1,499,706
Non-U.S. corporate	564,386		2,765		(3,989		)	563,162
Bank loans	457,537		200		(8,733		)	449,004
Asset-backed securities	647,422		1,250		(1,190		)	647,482
Commercial mortgage-backed securities	242,332		598		(692		)	242,238
Total fixed maturities	5,458,672		23,589		(25,194		)	5,457,067
Short-term investments	318,440		13		(161		)	318,292
Other investments
Fund of hedge funds	2,570		125		(920		)	1,775
Preferred stock	6,535		—		(201		)	6,334
Hedge funds	11,671		6,963		—			18,634
Private equity investments	48,995		4,987		(611		)	53,371
Investment funds	177,898		437		(111		)	178,224
Overseas deposits	66,608		—		—			66,608
Mutual funds	6,199		3,540		—			9,739
Total other investments	320,476		16,052		(1,843		)	334,685
Total managed investments	$	6,097,588	$	39,654	$	(27,198	)	$	6,110,044
Non-managed investments
Catastrophe bonds	$	88,322	$	768	$	(926	)	$	88,164
Short-term investments	1,182,920		—		—			1,182,920
Total non-managed investments	1,271,242		768		(926		)	1,271,084
Total investments	$	7,368,830	$	40,422	$	(28,124	)	$	7,381,128

Investment ratings on fixed maturities

The following table sets forth certain information regarding the investment ratings of the Company’s fixed maturities portfolio as at December 31, 2015 and 2014.



	As at December 31, 2015				As at December 31, 2014
	Estimated Fair Value		% of Total		Estimated Fair Value		% of Total
Managed fixed maturities
AAA	$	2,367,642	43.0	%	$	2,494,239	45.0	%
AA	569,386		10.3	%	848,226		15.3	%
A	1,031,326		18.7	%	1,086,091		19.6	%
BBB	691,538		12.6	%	505,208		9.1	%
Total investment grade managed fixed maturities	4,659,892		84.6	%	4,933,764		89.0	%

BB	235,724		4.3	%	338,108		6.1	%
B	179,069		3.2	%	113,863		2.0	%
CCC	5,706		0.1	%	12,733		0.2	%
CC	1,015		0.0	%	3,926		0.1	%
C	—		0.0	%	1,344		0.0	%
NR	242,546		4.4	%	53,329		1.0	%
Total non-investment grade managed fixed maturities	664,060		12.0	%	523,303		9.4	%
Total managed fixed maturities	$	5,323,952	96.6	%	$	5,457,067	98.4	%

Non-managed catastrophe bonds
BBB	$	1,911	0.0	%	$	—	0.0	%

BB	70,962		1.3	%	24,864		0.4	%
B	30,698		0.6	%	31,377		0.6	%
NR	82,808		1.5	%	31,923		0.6	%
Total non-investment grade non-managed catastrophe bonds	184,468		3.4	%	88,164		1.6	%
Total non-managed fixed maturities	186,379		3.4	%	88,164		1.6	%
Total fixed maturities	$	5,510,331	100.0	%	$	5,545,231	100.0	%

Fixed maturities investments by contractual maturity

The amortized cost and estimated fair value amounts for fixed maturity securities held at December 31, 2015 and 2014 are shown below by contractual maturity. Actual maturity may differ from contractual maturity because certain borrowers may have the right to call or prepay certain obligations with or without call or prepayment penalties.



	As at December 31, 2015				As at December 31, 2014
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Managed investments
Due in one year or less	$	367,132	$	366,019	$	312,843	$	313,248
Due after one year through five years	2,965,920		2,936,053		3,088,653		3,084,790
Due after five years through ten years	548,183		539,083		495,925		490,616
Due after ten years	150,444		148,036		112,858		111,655
	4,031,679		3,989,191		4,010,279		4,000,309
Asset-backed and mortgage-backed securities	1,337,374		1,334,761		1,448,393		1,456,758
Total managed fixed maturities	$	5,369,053	$	5,323,952	$	5,458,672	$	5,457,067

Non-managed catastrophe bonds
Due in one year or less	$	7,504	$	7,544	$	—	$	—
Due after one year through five years	165,093		163,575		87,072		86,910
Due after five years through ten years	15,250		15,260		1,250		1,254
Due after ten years	—		—		—		—
Total non-managed fixed maturities	187,847		186,379		88,322		88,164
Total fixed maturities	$	5,556,900	$	5,510,331	$	5,546,994	$	5,545,231

Other investments

The following tables set forth certain information regarding the Company's other investment portfolio as at December 31, 2015 and 2014:



Other investments	Estimated Fair Value as at December 31, 2015		Investments with redemption restrictions		Investments without redemption restrictions		Redemption frequency (a)	Redemption notice period (a)
Fund of hedge funds	$	1,417	$	1,417	$	—
Hedge funds	20,980		20,980		—
Private equity investments	63,771		63,771		—
Investment funds	188,721		167,910		20,811		Daily	2 days
Overseas deposits	54,484		54,484		—
Mutual funds	7,483		—		7,483		Daily	Daily
Total other investments	$	336,856	$	308,562	$	28,294


(a)	The redemption frequency and notice periods only apply to investments without redemption restrictions.



Other investments	Estimated Fair value as at December 31, 2014		Investments with redemption restrictions		Investments without redemption restrictions		Redemption frequency (a)	Redemption notice period (a)
Fund of hedge funds	$	1,775	$	1,775	$	—
Preferred stock	6,334		—		6,334		Daily	n/a
Hedge funds	18,634		18,634		—
Private equity investments	53,371		53,371		—
Investment funds	178,224		104,787		73,437		Daily	1-2 days
Overseas deposits	66,608		66,608		—
Mutual funds	9,739		—		9,739		Daily	Daily
Total other investments	$	334,685	$	245,175	$	89,510


(a)	The redemption frequency and notice periods only apply to investments without redemption restrictions.

Net investment income

Net investment income was derived from the following sources:



	Years Ended December 31,
	2015			2014			2013
Managed investments
Fixed maturities and short-term investments	$	113,627		$	93,044		$	95,386
Other investments	13,307			5,111			—
Cash and cash equivalents	1,911			5,106			4,678
Securities lending income	16			11			6
Total gross investment income	128,861			103,272			100,070
Investment expenses	(7,695		)	(7,472		)	(7,863		)
Total managed net investment income	$	121,166		$	95,800		$	92,207
Non managed investments
Fixed maturities and short-term investments	$	6,528		$	4,204		$	3,847
Restricted cash, cash and cash equivalents	130			82			35
Total non-managed net investment income	6,658			4,286			3,882
Total net investment income	$	127,824		$	100,086		$	96,089

Analysis of net realized gains (losses) and the change in net unrealized (losses) gains on investments

The following represents an analysis of net realized gains (losses) and the change in net unrealized losses on investments:



	Years Ended December 31,
	2015			2014			2013
Managed fixed maturities, short-term and other investments
Gross realized gains	$	15,678		$	20,201		$	27,318
Gross realized (losses)	(13,980		)	(8,041		)	(28,144		)
Net realized gains (losses) on investments	1,698			12,160			(826		)
Change in net unrealized losses on investments	(32,007		)	(1,030		)	(54,588		)
Total net realized and change in net unrealized (losses) gains on managed investments	$	(30,309	)	$	11,130		$	(55,414	)
Non-managed fixed maturities, short-term and other investments
Gross realized gains	$	600		$	2,757		$	62
Gross realized (losses)	—			—			—
Net realized gains on investments	600			2,757			62
Change in net unrealized (losses) gains on investments	(388		)	(1,812		)	2,169
Total net realized and change in net unrealized gains on non-managed investments	212			945			2,231
Total net realized and change in net unrealized (losses) gains on total investments	$	(30,097	)	$	12,075		$	(53,183	)

Investments pledged as collateral under credit facilities

The following tables outline investments and cash pledged as collateral under the Company's credit facilities. For further details on the credit facilities, refer to Note 20, “Debt and financing arrangements”:



	As at December 31, 2015
Description	Commitment		Issued and Outstanding		Investments and cash pledged as collateral
$85,000 syndicated unsecured letter of credit facility	$	85,000	$	—	$	—
$300,000 syndicated secured letter of credit facility	300,000		235,540		370,909
$24,000 secured bi-lateral letter of credit facility	24,000		10,543		47,607
AlphaCat Re secured letter of credit facility	30,000		30,000		30,153
IPC bi-lateral facility	25,000		9,241		—
$236,000 Flagstone bi-lateral facility	236,000		193,764		377,866
Total	$	700,000	$	479,088	$	826,535



	As at December 31, 2014
Description	Commitment		Issued and Outstanding		Investments and cash pledged as collateral
$400,000 syndicated unsecured letter of credit facility	$	400,000	$	—	$	—
$525,000 syndicated secured letter of credit facility	525,000		276,455		395,750
$200,000 secured bi-lateral letter of credit facility	200,000		15,649		35,645
Talbot FAL facility	25,000		25,000		31,048
AlphaCat Re secured letter of credit facility	30,000		30,000		30,078
IPC bi-lateral facility	40,000		15,897		99,437
$375,000 Flagstone bi-lateral facility	375,000		198,389		430,782
Total	$	1,595,000	$	561,390	$	1,022,740

- Definition

Tabular disclosure of the realized and unrealized gains and losses reported in the statement of income which have resulted from the sale and holding of marketable securities, respectively, as well as the sale or disposal of cost method investments. Such amounts would include realized gains and losses on the sale or disposal of trading, available-for-sale, and held-to-maturity securities, unrealized gains and losses on trading securities, unrealized gains and losses on available-for-sale and held-to-maturity securities transferred to the trading securities category, realized gains and losses on the sale or disposal of cost method investments, and losses recognized for other than temporary impairments (OTTI) of such investments.

+ References + Details