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Investments (Tables)
 12 Months Ended
Dec. 31, 2015
Estimated Fair Values of Investments in Fixed Maturity Investments, Short-Term Investments and Equities, Trading Securities
The fair values of our fixed maturity investments, short-term investments and equities classified as trading were as follows:
 
December 31,
2015
 
December 31,
2014
U.S. government and agency
$
750,957

 
$
744,660

Non-U.S. government
359,002

 
368,945

Corporate
2,631,682

 
1,986,873

Municipal
22,247

 
25,607

Residential mortgage-backed
391,247

 
308,621

Commercial mortgage-backed
284,575

 
139,907

Asset-backed
638,434

 
388,194

Total fixed maturity and short-term investments
5,078,144

 
3,962,807

Equities — U.S.
108,793

 
106,895

Equities — International
7,148

 
43,235

 
$
5,194,085

 
$
4,112,937
Amortized Cost and Estimated Fair Values of Company's Fixed Maturity Investments Classified as Held-to-Maturity
The amortized cost and fair values of our fixed maturity investments classified as held-to-maturity were as follows: 
As at December 31, 2015
 
Amortized
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
Non-OTTI
 
Fair
Value
U.S. government and agency
 
$
19,771

 
$
8

 
$
(458
)
 
$
19,321

Non-U.S. government
 
40,503

 
48

 
(1,493
)
 
39,058

Corporate
 
730,592

 
3,398

 
(23,298
)
 
710,692

 
 
$
790,866

 
$
3,454

 
$
(25,249
)
 
$
769,071

 
As at December 31, 2014
 
Amortized
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
Non-OTTI
 
Fair Value
U.S. government and agency
 
$
20,257

 
$
322

 
$
(20
)
 
$
20,559

Non-U.S. government
 
38,613

 
325

 
(249
)
 
38,689

Corporate
 
754,363

 
16,182

 
(3,421
)
 
767,124

 
 
$
813,233

 
$
16,829

 
$
(3,690
)
 
$
826,372
Amortized Cost and Estimated Fair Values of Company's Fixed Maturity and Short-Term Investments Classified as Available-for-Sale
The amortized cost and fair values of our short-term and fixed maturity investments classified as available-for-sale were as follows:
As at December 31, 2015
 
Amortized
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
Non-OTTI
 
Fair
Value
U.S. government and agency
 
$
25,102

 
$
80

 
$
(341
)
 
$
24,841

Non-U.S. government
 
89,631

 
42

 
(3,889
)
 
85,784

Corporate
 
182,773

 
1,040

 
(3,429
)
 
180,384

Municipal
 
5,959

 
4

 
(36
)
 
5,927

Residential mortgage-backed
 
665

 
51

 
(1
)
 
715

Asset-backed
 
4,660

 
—

 
(10
)
 
4,650

 
 
$
308,790

 
$
1,217

 
$
(7,706
)
 
$
302,301

 
As at December 31, 2014
 
Amortized
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
Non-OTTI
 
Fair
Value
U.S. government and agency
 
$
24,167

 
$
182

 
$
(7
)
 
$
24,342

Non-U.S. government
 
72,913

 
386

 
(2,805
)
 
70,494

Corporate
 
101,745

 
964

 
(1,653
)
 
101,056

Residential mortgage-backed
 
3,305

 
76

 
(138
)
 
3,243

Asset-backed
 
41,980

 
15

 
(19
)
 
41,976

 
 
$
244,110

 
$
1,623

 
$
(4,622
)
 
$
241,111
Summary of Investments Classified as Available-for-Sale in Unrealized Loss Position as Well as Aggregate Fair Value and Gross Unrealized Loss by Length of Time
The following tables summarize our fixed maturity and short-term investments in a gross unrealized loss position:
 
 
 
12 Months or Greater
 
Less Than 12 Months
 
Total
As at December 31, 2015
 
Fair
Value
 
Gross Unrealized
Losses
 
Fair
Value
 
Gross Unrealized
Losses
 
Fair
Value
 
Gross Unrealized
Losses
Fixed maturity and short-term investments, at fair value
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
 
$
523


$
(2
)

$
21,694


$
(339
)

$
22,217

 
$
(341
)
 
Non-U.S. government
 
18,995


(2,633
)

50,080


(1,256
)

69,075

 
(3,889
)
 
Corporate
 
54,295


(2,394
)

81,047


(1,035
)

135,342

 
(3,429
)
 
Municipal
 
—


—


4,609


(36
)

4,609

 
(36
)
 
Residential mortgage-backed
 
71


(1
)

—


—


71

 
(1
)
 
Asset-backed
 
4,649


(10
)

—


—


4,649

 
(10
)
Total
 
$
78,533

 
$
(5,040
)
 
$
157,430

 
$
(2,666
)
 
$
235,963

 
$
(7,706
)
Fixed maturity investments, at amortized cost
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
 
$
7,221


$
(48
)

$
12,024


$
(410
)

$
19,245

 
$
(458
)
 
Non-U.S. government
 
24,424


(1,255
)

8,885


(238
)

33,309

 
(1,493
)
 
Corporate
 
209,000


(9,038
)

330,833


(14,260
)

539,833

 
(23,298
)
Total
 
240,645

 
(10,341
)
 
351,742

 
(14,908
)
 
592,387

 
(25,249
)
Total fixed maturity and short-term investments
 
$
319,178

 
$
(15,381
)
 
$
509,172

 
$
(17,574
)
 
$
828,350

 
$
(32,955
)
  
 
 
 
12 Months or Greater
 
Less Than 12 Months
 
Total
As at December 31, 2014
 
Fair
Value
 
Gross Unrealized
Losses
 
Fair
Value
 
Gross Unrealized
Losses
 
Fair
Value
 
Gross Unrealized
Losses
Fixed maturity and short-term investments, at fair value
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
 
$
528

 
$
(1
)
 
$
3,678

 
$
(6
)
 
$
4,206

 
$
(7
)
 
Non-U.S. government
 
17,051

 
(1,534
)
 
20,300

 
(1,271
)
 
37,351

 
(2,805
)
 
Corporate
 
39,964

 
(1,003
)
 
40,072

 
(650
)
 
80,036

 
(1,653
)
 
Residential mortgage-backed
 
2,073

 
(138
)
 
—

 
—

 
2,073

 
(138
)
 
Asset-backed
 
11,215

 
(12
)
 
14,720

 
(7
)
 
25,935

 
(19
)
Total
 
$
70,831

 
$
(2,688
)
 
$
78,770

 
$
(1,934
)
 
$
149,601

 
$
(4,622
)
Fixed maturity investments, at amortized cost
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
 
$
7,312

 
$
(19
)
 
$
245

 
$
(1
)
 
$
7,557

 
$
(20
)
 
Non-U.S. government
 
25,960

 
(249
)
 
—

 
—

 
25,960

 
(249
)
 
Corporate
 
243,908

 
(3,377
)
 
6,030

 
(44
)
 
249,938

 
(3,421
)
Total
 
277,180

 
(3,645
)
 
6,275

 
(45
)
 
283,455

 
(3,690
)
Total fixed maturity and short-term investments

 
$
348,011

 
$
(6,333
)
 
$
85,045

 
$
(1,979
)
 
$
433,056

 
$
(8,312
)
Credit Ratings Company's Fixed Maturity and Short-Term Investments Available-for-Sale
The following table sets forth the credit ratings of our fixed maturity and short-term investments as of December 31, 2015:
 
 
Amortized
Cost
 
Fair Value
 
% of Total
Investments
 
AAA
Rated
 
AA Rated
 
A Rated
 
BBB
Rated
 
Non-
Investment
Grade
 
Not Rated
Fixed maturity and short-term investments, at fair value
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
 
$
776,614

 
$
775,798

 
12.6
%
 
$
760,063

 
$
8,588

 
$
7,147

 
$
—

 
$
—

 
$
—

Non-U.S. government
 
457,518

 
444,786

 
7.2
%
 
135,419

 
212,238

 
48,450

 
19,888

 
28,791

 
—

Corporate
 
2,850,063

 
2,812,066

 
45.7
%
 
157,809

 
451,247

 
1,360,378

 
703,877

 
135,051

 
3,704

Municipal
 
28,323

 
28,174

 
0.5
%
 
4,671

 
10,815

 
12,688

 
—

 
—

 
—

Residential mortgage-backed
 
394,675

 
391,962

 
6.4
%
 
377,011

 
992

 
7,369

 
5,437

 
1,149

 
4

Commercial mortgage-backed
 
286,373

 
284,575

 
4.6
%
 
114,380

 
39,976

 
61,679

 
25,173

 
3,357

 
40,010

Asset-backed
 
664,056

 
643,084

 
10.5
%
 
240,033

 
150,936

 
139,357

 
46,954

 
65,620

 
184

Total
 
$
5,457,622

 
5,380,445

 
87.5
%
 
1,789,386

 
874,792

 
1,637,068

 
801,329

 
233,968

 
43,902

% of total fair value
 
 
 
 
 
 
 
33.3
%
 
16.3
%
 
30.4
%
 
14.9
%
 
4.3
%
 
0.8
%
Fixed maturity investments, at amortized cost
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
 
19,771

 
19,321

 
0.3
%
 
19,288

 
—

 
—

 
—

 
—

 
33

Non-U.S. government
 
40,503

 
39,058

 
0.6
%
 
—

 
31,743

 
7,315

 
—

 
—

 
—

Corporate
 
730,592

 
710,692

 
11.6
%
 
46,294

 
127,800

 
456,778

 
79,674

 
—

 
146

Total
 
790,866

 
769,071

 
12.5
%
 
65,582

 
159,543

 
464,093

 
79,674

 
—

 
179

% of total fair value
 
 
 
 
 
 
 
8.5
%
 
20.7
%
 
60.3
%
 
10.4
%
 
—
%
 
0.1
%
Total fixed maturity and short-term investments
 
$
6,248,488

 
$
6,149,516

 
100.0
%
 
$
1,854,968

 
$
1,034,335

 
$
2,101,161

 
$
881,003

 
$
233,968

 
$
44,081

% of total fair value
 
 
 
 
 
 
 
30.2
%
 
16.8
%
 
34.2
%
 
14.3
%
 
3.8
%
 
0.7
%
Other Investments
The following table summarizes our other investments carried at fair value:
 
 
December 31,
2015
 
December 31,
2014
Private equities and private equity funds
 
$
254,883

 
$
197,269

Fixed income funds
 
291,736

 
335,026

Fixed income hedge funds
 
109,400

 
59,627

Equity funds
 
147,390

 
150,053

Multi-strategy hedge fund
 
99,020

 
—

Real estate debt fund
 
54,829

 
33,902

CLO equities
 
61,702

 
41,271

CLO equity funds
 
13,928

 
16,022

Other
 
1,144

 
3,698

 
 
$
1,034,032

 
$
836,868
Schedule of Life Settlement Contracts, Investment Method
The following table presents further information regarding our investments in life settlements as of December 31, 2015.

 
Number of Contracts
 
Carrying
Value
 
Face Value (Death Benefits)
Remaining Life Expectancy of Insureds:
 


 


 


0 – 1 year
 
2

 
$
417

 
$
700

1 – 2 years
 
4

 
3,032

 
5,000

2 – 3 years
 
19

 
24,072

 
39,123

3 – 4 years
 
14

 
9,695

 
20,932

4 – 5 years
 
16

 
9,025

 
22,457

Thereafter
 
221

 
86,830

 
491,499

Total
 
276

 
$
133,071

 
$
579,711
Components of Net Realized and Unrealized Gains (Losses)
Components of net realized and unrealized gains (losses) for the years ended December 31, 2015, 2014 and 2013 were as follows:
 
 
2015
 
2014
 
2013
Net realized gains on sale:
 


 


 


Gross realized gains on fixed maturity securities, available-for-sale
 
$
396

 
$
196

 
$
705

Gross realized (losses) on fixed maturity securities, available-for-sale securities
 
(130
)
 
(138
)
 
(214
)
Net realized investment gains (losses) on fixed maturity securities, trading
 
(4,240
)
 
5,143

 
(2,425
)
Net realized investment gains on equity securities, trading
 
19,884

 
18,738

 
15,913

Total net realized gains on sale
 
15,910

 
23,939

 
13,979

Net unrealized gains (losses):
 


 

 


Fixed maturity securities, trading
 
(53,193
)
 
17,283

 
(26,384
)
Equity securities, trading
 
(22,269
)
 
(8,571
)
 
12,593

Other investments
 
18,300

 
29,968

 
70,463

Total net unrealized gains (losses)
 
(57,162
)
 
38,680

 
56,672

Net realized and unrealized gains (losses)
 
$
(41,252
)
 
$
62,619

 
$
70,651
Major Categories of Net Investment Income
Major categories of net investment income for the years ended December 31, 2015, 2014 and 2013 are summarized as follows: 
 
 
2015
 
2014
 
2013
Fixed maturity investments
 
$
123,118

 
$
95,911

 
$
72,050

Short-term investments and cash and cash equivalents
 
6,163

 
6,682

 
13,705

Equity securities
 
5,827

 
5,854

 
4,923

Other investments
 
11,712

 
1,335

 
652

Life settlements and other
 
21,105

 
1,968

 
5,275

Gross investment income
 
167,925

 
111,750

 
96,605

Investment expenses
 
(10,271
)
 
(10,344
)
 
(6,685
)
Net investment income
 
$
157,654

 
$
101,406

 
$
89,920
Schedule of Carrying Value of Restricted Investments
The carrying value of our restricted assets, including restricted cash of $511.3 million, as of December 31, 2015 was as follows: 
Collateral in trust for third party agreements
 
$
3,053,692

Assets on deposit with regulatory authorities
 
915,346

Collateral for secured letter of credit facilities
 
212,544

Funds at Lloyd's (1)
 
382,624

 
 
$
4,564,206

(1) Our underwriting businesses include three Lloyd's syndicates. Lloyd's determines the required capital principally through the annual business plan of each syndicate. This capital is referred to as "Funds at Lloyd's" and will be drawn upon in the event that a syndicate has a loss that cannot be funded from other sources. As at December 31, 2015, our combined Funds at Lloyd's were comprised of cash and investments of $345.6 million and letters of credit supported by collateral of $37.0 million.
Held-to-maturity Securities  
Summary of Amortized Cost and Estimated Fair Value of Fixed Maturities by Contractual Maturity
The contractual maturities of the our fixed maturity investments classified as held-to-maturity are shown below. Actual maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations with or without call or prepayment penalties. 
As at December 31, 2015
 
Amortized
Cost
 
Fair
Value
 
% of Total
Fair
Value
One year or less
 
$
19,240

 
$
19,228

 
2.5
%
More than one year through two years
 
8,011

 
7,988

 
1.0
%
More than two years through five years
 
67,270

 
67,386

 
8.8
%
More than five years through ten years
 
107,632

 
105,642

 
13.7
%
More than ten years
 
588,713

 
568,827

 
74.0
%
 
 
$
790,866

 
$
769,071

 
100.0
%
 
Available-for-sale Securities  
Summary of Amortized Cost and Estimated Fair Value of Fixed Maturities by Contractual Maturity
The contractual maturities of our short-term and fixed maturity investments classified as available-for-sale are shown below. Actual maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations with or without call or prepayment penalties.
As at December 31, 2015
 
Amortized
Cost
 
Fair
Value
 
% of Total
Fair
Value
One year or less
 
$
45,814

 
$
43,567

 
14.4
%
More than one year through two years
 
68,066

 
66,565

 
22.0
%
More than two years through five years
 
115,824

 
112,928

 
37.4
%
More than five years through ten years
 
37,189

 
36,895

 
12.2
%
More than ten years
 
36,572

 
36,981

 
12.2
%
Residential mortgage-backed
 
665

 
715

 
0.2
%
Asset-backed
 
4,660

 
4,650

 
1.6
%
 
 
$
308,790

 
$
302,301

 
100.0
%
Trading Securities  
Summary of Amortized Cost and Estimated Fair Value of Fixed Maturities by Contractual Maturity
The contractual maturities of our fixed maturity and short-term investments classified as trading are shown below. Actual maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations with or without call or prepayment penalties.
 
As at December 31, 2015
 
Amortized
Cost
 
Fair Value
 
% of Total
Fair
Value
One year or less
 
$
633,011

 
$
620,887

 
12.2
%
More than one year through two years
 
957,838

 
948,734

 
18.7
%
More than two years through five years
 
1,538,344

 
1,525,009

 
30.0
%
More than five years through ten years
 
510,271

 
503,108

 
9.9
%
More than ten years
 
169,589

 
166,150

 
3.3
%
Residential mortgage-backed
 
394,010

 
391,247

 
7.7
%
Commercial mortgage-backed
 
286,373

 
284,575

 
5.6
%
Asset-backed
 
659,396

 
638,434

 
12.6
%
 
 
$
5,148,832

 
$
5,078,144

 
100.0
%