Investments (Tables)

9 Months Ended

Sep. 30, 2016

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

The amortized cost (or cost), gross unrealized gains and (losses) and fair value of the Company's investments as at September 30, 2016 were as follows:



	Amortized Cost (or Cost)		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Managed investments:
U.S. government and government agency	$	833,897	$	4,088	$	(439	)	$	837,546
Non-U.S. government and government agency	251,863		1,503		(4,976		)	248,390
U.S. states, municipalities and political subdivisions	278,172		5,585		(396		)	283,361
Agency residential mortgage-backed securities	644,403		13,980		(507		)	657,876
Non-agency residential mortgage-backed securities	21,142		160		(687		)	20,615
U.S. corporate	1,509,117		19,102		(1,542		)	1,526,677
Non-U.S. corporate	434,621		3,611		(6,600		)	431,632
Bank loans	598,847		1,635		(12,945		)	587,537
Asset-backed securities	484,480		2,607		(1,568		)	485,519
Commercial mortgage-backed securities	336,297		5,388		(888		)	340,797
Total fixed maturities	5,392,839		57,659		(30,548		)	5,419,950
Short-term investments	197,970		—		(167		)	197,803
Other investments
Fund of hedge funds	1,457		—		(498		)	959
Hedge funds	12,073		5,983		—			18,056
Private equity investments	69,353		16,157		(1,840		)	83,670
Fixed income investment funds	232,614		823		—			233,437
Overseas deposits	53,246		—		—			53,246
Mutual funds	2,925		2,402		—			5,327
Total other investments	371,668		25,365		(2,338		)	394,695
Total managed investments	$	5,962,477	$	83,024	$	(33,053	)	$	6,012,448
Non-managed investments:
Catastrophe bonds	$	154,999	$	2,890	$	(1,498	)	$	156,391
Short-term investments	2,283,603		—		—			2,283,603
Total non-managed investments	2,438,602		2,890		(1,498		)	2,439,994
Total investments	$	8,401,079	$	85,914	$	(34,551	)	$	8,452,442

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



	Amortized Cost (or Cost)		Gross Unrealized Gains		Gross Unrealized Losses			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
Fixed income 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

Investment ratings on fixed maturities

The following table sets forth certain information regarding the investment ratings of the Company’s fixed maturity investments as at September 30, 2016 and December 31, 2015.



	September 30, 2016				December 31, 2015
	Fair Value		% of Total		Fair Value		% of Total
Managed fixed maturities:
Investment grade fixed maturities
AAA	$	2,417,068	43.3	%	$	2,367,642	43.0	%
AA	526,729		9.5	%	569,386		10.3	%
A	1,084,128		19.4	%	1,031,326		18.7	%
BBB	736,400		13.2	%	691,538		12.6	%
Total investment grade managed fixed maturities	4,764,325		85.4	%	4,659,892		84.6	%
Non-investment grade fixed maturities
BB	228,798		4.1	%	235,724		4.3	%
B	182,261		3.3	%	179,069		3.2	%
CCC	9,561		0.2	%	5,706		0.1	%
CC	—		0.0	%	1,015		0.0	%
NR	235,005		4.2	%	242,546		4.4	%
Total non-investment grade fixed maturities	655,625		11.8	%	664,060		12.0	%
Total managed fixed maturities	$	5,419,950	97.2	%	$	5,323,952	96.6	%

Non-managed fixed maturities:
Investment grade catastrophe bonds
BBB	$	—	0.0	%	$	1,911	0.0	%
Total investment grade catastrophe bonds	—		0.0	%	1,911		0.0	%
Non-investment grade catastrophe bonds
BB	31,052		0.5	%	70,962		1.3	%
B	4,922		0.1	%	30,698		0.6	%
NR	120,417		2.2	%	82,808		1.5	%
Total non-investment grade catastrophe bonds	156,391		2.8	%	184,468		3.4	%
Total non-managed fixed maturities	156,391		2.8	%	186,379		3.4	%
Total fixed maturities	$	5,576,341	100.0	%	$	5,510,331	100.0	%

Fixed maturities investments by contractual maturity

The amortized cost and fair value amounts for the Company's fixed maturity investments held at September 30, 2016 and December 31, 2015 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.



	September 30, 2016				December 31, 2015
	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Managed fixed maturities:
Due in one year or less	$	368,627	$	366,437	$	367,132	$	366,019
Due after one year through five years	2,990,875		2,992,940		2,965,920		2,936,053
Due after five years through ten years	433,478		441,449		548,183		539,083
Due after ten years	113,537		114,317		150,444		148,036
	3,906,517		3,915,143		4,031,679		3,989,191
Asset-backed and mortgage-backed securities	1,486,322		1,504,807		1,337,374		1,334,761
Total managed fixed maturities	$	5,392,839	$	5,419,950	$	5,369,053	$	5,323,952

Non-managed catastrophe bonds:
Due in one year or less	$	40,231	$	41,648	$	7,504	$	7,544
Due after one year through five years	114,018		113,992		165,093		163,575
Due after five years through ten years	750		751		15,250		15,260
Due after ten years	—		—		—		—
Total non-managed fixed maturities	154,999		156,391		187,847		186,379
Total fixed maturities	$	5,547,838	$	5,576,341	$	5,556,900	$	5,510,331

Other investments

The following tables set forth certain information regarding the Company's other investment portfolio as at September 30, 2016 and December 31, 2015:



	Fair Value		Investments with redemption restrictions		Investments without redemption restrictions		Redemption frequency ^(a)	Redemption notice period ^(a)
As at September 30, 2016
Fund of hedge funds	$	959	$	959	$	—
Hedge funds	18,056		18,056		—
Private equity investments	83,670		83,670		—
Fixed income investment funds	233,437		180,695		52,742		Daily	2 days
Overseas deposits	53,246		53,246		—
Mutual funds	5,327		—		5,327		Daily	Daily
Total other investments	$	394,695	$	336,626	$	58,069

As at December 31, 2015
Fund of hedge funds	$	1,417	$	1,417	$	—
Hedge funds	20,980		20,980		—
Private equity investments	63,771		63,771		—
Fixed income 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.

Net investment income

Net investment income was derived from the following sources:



	Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
Managed investments:
Fixed maturities and short-term investments	$	30,572		$	26,621		$	89,210		$	83,727
Other investments	11,768			5,086			20,666			12,288
Restricted cash, cash and cash equivalents	891			336			2,136			1,179
Securities lending income	22			4			39			13
Total gross investment income	43,253			32,047			112,051			97,207
Investment expenses	(2,182		)	(2,056		)	(6,208		)	(5,926		)
Total managed net investment income	$	41,071		$	29,991		$	105,843		$	91,281
Non managed investments:
Fixed maturities and short-term investments	$	1,970		$	1,544		$	5,242		$	4,851
Restricted cash, cash and cash equivalents	473			37			1,147			80
Total non-managed net investment income	2,443			1,581			6,389			4,931
Total net investment income	$	43,514		$	31,572		$	112,232		$	96,212

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

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



	Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
Managed fixed maturities, short-term and other investments:
Gross realized gains	$	4,544		$	1,826		$	11,067		$	14,275
Gross realized (losses)	(464		)	(3,059		)	(5,553		)	(9,224		)
Net realized gains on investments	4,080			(1,233		)	5,514			5,051
Change in net unrealized gains (losses) on investments	4,652			1,765			81,782			2,508
Total net realized and change in net unrealized gains (losses) on managed investments	$	8,732		$	532		$	87,296		$	7,559
Non-managed fixed maturities and short-term investments:
Gross realized gains	$	317		$	46		$	1,032		$	186
Gross realized (losses)	—			—			(9		)	(11		)
Net realized gains on investments	317			46			1,023			175
Change in net unrealized (losses) on investments	807			2,151			2,549			(41		)
Total net realized and change in net unrealized (losses) on non-managed investments	1,124			2,197			3,572			134
Total net realized and change in net unrealized gains (losses) on total investments	$	9,856		$	2,729		$	90,868		$	7,693

- 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