Investments (Tables)

3 Months Ended

Mar. 31, 2016

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:

	March 31, 2016		December 31, 2015
U.S. government and agency	$	806,426	$	750,957
Non-U.S. government	349,935		359,002
Corporate	2,685,453		2,631,682
Municipal	11,416		22,247
Residential mortgage-backed	450,720		391,247
Commercial mortgage-backed	276,134		284,575
Asset-backed	620,844		638,434
Total fixed maturity and short-term investments	5,200,928		5,078,144
Equities — U.S.	110,987		108,793
Equities — International	7,273		7,148
	$	5,319,188	$	5,194,085

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 March 31, 2016	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses Non-OTTI			Fair Value
U.S. government and agency	$	19,955	$	324	$	(50	)	$	20,229
Non-U.S. government	40,338		186		(574		)	39,950
Corporate	727,897		17,160		(7,594		)	737,463
	$	788,190	$	17,670	$	(8,218	)	$	797,642

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

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 March 31, 2016	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses Non-OTTI			Fair Value
U.S. government and agency	$	12,651	$	127	$	—		$	12,778
Non-U.S. government	90,610		1,609		(2,276		)	89,943
Corporate	175,621		2,819		(1,950		)	176,490
Municipal	5,946		59		—			6,005
Residential mortgage-backed	590		51		—			641
Asset-backed	4,616		14		—			4,630
	$	290,034	$	4,679	$	(4,226	)	$	290,487

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

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 March 31, 2016	Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses
Fixed maturity and short-term investments, at fair value
Non-U.S. government	$	14,821	$	(1,995	)	$	10,222	$	(281	)	$	25,043	$	(2,276	)
Corporate	28,331		(1,737		)	21,342		(213		)	49,673		(1,950		)
Total	$	43,152	$	(3,732	)	$	31,564	$	(494	)	$	74,716	$	(4,226	)
Fixed maturity investments, at amortized cost
U.S. government and agency	$	—	$	—		$	458	$	(50	)	$	458	$	(50	)
Non-U.S. government	6,323		(248		)	14,706		(326		)	21,029		(574		)
Corporate	33,646		(2,327		)	140,928		(5,267		)	174,574		(7,594		)
Total	39,969		(2,575		)	156,092		(5,643		)	196,061		(8,218		)
Total fixed maturity and short-term investments	$	83,121	$	(6,307	)	$	187,656	$	(6,137	)	$	270,777	$	(12,444	)

	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	)

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 March 31, 2016:

	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	$	809,975	$	819,204	13.0	%	$	812,731		$	6,473		$	—		$	—		$	—		$	—
Non-U.S. government	444,600		439,878		7.0	%	132,415			198,483			65,524			21,926			21,530			—
Corporate	2,858,804		2,861,943		45.6	%	182,580			443,654			1,345,139			733,329			155,018			2,223
Municipal	17,209		17,421		0.3	%	5,117			8,835			3,469			—			—			—
Residential mortgage-backed	450,645		451,361		7.2	%	438,487			471			8,916			2,443			1,040			4
Commercial mortgage-backed	278,868		276,134		4.4	%	119,984			34,359			61,460			18,866			3,266			38,199
Asset-backed	651,523		625,474		9.9	%	237,526			135,991			145,566			49,652			56,553			186
Total	5,511,624		5,491,415		87.4	%	1,928,840			828,266			1,630,074			826,216			237,407			40,612
% of total fair value							35.1		%	15.1		%	29.7		%	15.1		%	4.3		%	0.7		%
Fixed maturity investments, at amortized cost
U.S. government and agency	19,955		20,229		0.3	%	18,826			1,376			—			—			—			27
Non-U.S. government	40,338		39,950		0.6	%	—			11,320			28,630			—			—			—
Corporate	727,897		737,463		11.7	%	47,698			109,845			488,176			91,624			—			120
Total	788,190		797,642		12.6	%	66,524			122,541			516,806			91,624			—			147
% of total fair value							8.3		%	15.4		%	64.7		%	11.5		%	—		%	0.1		%
Total fixed maturity and short-term investments	$	6,299,814	$	6,289,057	100.0	%	$	1,995,364		$	950,807		$	2,146,880		$	917,840		$	237,407		$	40,759
% of total fair value							31.7		%	15.1		%	34.1		%	14.6		%	3.8		%	0.7		%

Other Investments

The following table summarizes our other investments carried at fair value:

	March 31, 2016		December 31, 2015
Private equities and private equity funds	$	249,398	$	254,883
Fixed income funds	267,839		291,736
Fixed income hedge funds	109,636		109,400
Equity funds	150,348		147,390
Multi-strategy hedge fund	98,432		99,020
Real estate debt fund	—		54,829
CLO equities	58,975		61,702
CLO equity funds	12,167		13,928
Call options on equities	6,060		—
Other	1,136		1,144
	$	953,991	$	1,034,032

Schedule of Life Settlement Contracts, Investment Method

The following table presents further information regarding our investments in life settlements as of March 31, 2016 and December 31, 2015.

	March 31, 2016					December 31, 2015
	Number of Contracts	Carrying Value		Face Value (Death Benefits)		Number of Contracts	Carrying Value		Face Value (Death Benefits)
Remaining Life Expectancy of Insureds:
0 – 1 year	2	$	425	$	700	2	$	417	$	700
1 – 2 years	3	2,601		4,500		4	3,032		5,000
2 – 3 years	16	24,226		50,407		19	24,072		39,123
3 – 4 years	17	13,306		29,960		14	9,695		20,932
4 – 5 years	17	8,126		20,348		16	9,025		22,457
Thereafter	205	82,484		451,305		221	86,830		491,499
Total	260	$	131,168	$	557,220	276	$	133,071	$	579,711

Components of Net Realized and Unrealized Gains (Losses)

Components of net realized and unrealized gains (losses) for the three months ended March 31, 2016 and 2015 are summarized as follows:

	Three Months Ended March 31,
	2016			2015
Net realized gains (losses) on sale:
Gross realized gains on fixed maturity securities, available-for-sale	$	265		$	114
Gross realized (losses) on fixed maturity securities, available-for-sale	(243		)	(8		)
Net realized investment gains (losses) on fixed maturity securities, trading	(1,912		)	1,866
Net realized investment gains on equity securities, trading	473			10,717
Total net realized gains (losses) on sale	(1,417		)	12,689
Net unrealized gains (losses):
Fixed maturity securities, trading	41,740			13,888
Equity securities, trading	1,606			(7,119		)
Other investments	(3,965		)	23,562
Total net unrealized gains	39,381			30,331
Net realized and unrealized gains	$	37,964		$	43,020

Major Categories of Net Investment Income

Major categories of net investment income for the three months ended March 31, 2016 and 2015 are summarized as follows:

	Three Months Ended March 31,
	2016			2015
Fixed maturity investments	$	36,578		$	26,249
Short-term investments and cash and cash equivalents	1,179			2,719
Equity securities	1,122			1,681
Other investments	6,034			882
Funds held	7,604			174
Life settlements and other	8,826			305
Gross investment income	61,343			32,010
Investment expenses	(1,280		)	(1,595		)
Net investment income	$	60,063		$	30,415

Schedule of Carrying Value of Restricted Investments

The carrying value of our restricted assets, including restricted cash of $506.9 million and $511.3 million, as of March 31, 2016 and December 31, 2015, respectively, was as follows:

	March 31, 2016		December 31, 2015
Collateral in trust for third party agreements	$	2,896,984	$	3,053,692
Assets on deposit with regulatory authorities	956,879		915,346
Collateral for secured letter of credit facilities	202,923		212,544
Funds at Lloyd's (1)	318,525		382,624
	$	4,375,311	$	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 March 31, 2016, our combined Funds at Lloyd's were comprised of cash and investments of $279.4 million and letters of credit supported by collateral of $39.2 million.

Held-to-maturity Securities

Summary of Amortized Cost and Estimated Fair Value of Fixed Maturities by Contractual Maturity

The contractual maturities of 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 March 31, 2016	Amortized Cost		Fair Value		% of Total Fair Value
One year or less	$	20,271	$	20,281	2.5	%
More than one year through two years	13,348		13,376		1.7	%
More than two years through five years	69,041		70,127		8.8	%
More than five years through ten years	115,637		115,896		14.5	%
More than ten years	569,893		577,962		72.5	%
	$	788,190	$	797,642	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 March 31, 2016	Amortized Cost		Fair Value		% of Total Fair Value
One year or less	$	56,628	$	55,194	19.0	%
More than one year through two years	65,181		64,237		22.1	%
More than two years through five years	88,747		88,172		30.3	%
More than five years through ten years	38,113		39,088		13.5	%
More than ten years	36,159		38,525		13.3	%
Residential mortgage-backed	590		641		0.2	%
Asset-backed	4,616		4,630		1.6	%
	$	290,034	$	290,487	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 March 31, 2016	Amortized Cost		Fair Value		% of Total Fair Value
One year or less	$	752,003	$	743,560	14.3	%
More than one year through two years	941,118		940,001		18.1	%
More than two years through five years	1,392,710		1,403,136		27.0	%
More than five years through ten years	563,722		568,004		10.9	%
More than ten years	196,207		198,529		3.8	%
Residential mortgage-backed	450,055		450,720		8.7	%
Commercial mortgage-backed	278,868		276,134		5.3	%
Asset-backed	646,907		620,844		11.9	%
	$	5,221,590	$	5,200,928	100.0	%