Investments (Tables)

9 Months Ended

Sep. 30, 2016

Schedule of Fair Value of Fixed Maturity Investments Trading

The following table summarizes the fair value of fixed maturity investments trading:




	September 30, 2016		December 31, 2015
U.S. treasuries	$	2,564,635	$	2,064,944
Agencies	120,761		137,976
Municipal	550,062		583,282
Non-U.S. government (Sovereign debt)	313,560		334,981
Non-U.S. government-backed corporate	129,423		138,994
Corporate	1,916,092		2,055,323
Agency mortgage-backed	521,851		504,368
Non-agency mortgage-backed	276,438		262,235
Commercial mortgage-backed	487,621		554,625
Asset-backed	207,976		128,277
Total fixed maturity investments trading	$	7,088,419	$	6,765,005

Schedule of Fair Value of Fixed Maturity Investments Available For Sale

The following table summarizes the amortized cost, fair value and related unrealized gains and losses and non-credit other-than-temporary impairments of fixed maturity investments available for sale:




			Included in Accumulated Other Comprehensive Income
September 30, 2016	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		Non-Credit Other-Than- Temporary Impairments (1)
Agency mortgage-backed	$	136	$	—	$	—	$	136	$	—
Non-agency mortgage-backed	5,683		1,212		—		6,895		474
Commercial mortgage-backed	4,504		186		—		4,690		—
Total fixed maturity investments available for sale	$	10,323	$	1,398	$	—	$	11,721	$	474




			Included in Accumulated Other Comprehensive Income
December 31, 2015	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		Non-Credit Other-Than- Temporary Impairments (1)
Agency mortgage-backed	$	143	$	7	$	—	$	150	$	—
Non-agency mortgage-backed	7,005		1,523		—		8,528		550
Commercial mortgage-backed	6,578		293		—		6,871		—
Asset-backed	2,217		47		—		2,264		—
Total fixed maturity investments available for sale	$	15,943	$	1,870	$	—	$	17,813	$	550


(1)	Represents the non-credit component of other-than-temporary impairments recognized in accumulated other comprehensive income adjusted for subsequent sales of securities. It does not include the change in fair value subsequent to the impairment measurement date.

Schedule of Contractual Maturities of Fixed Maturity Investments

Contractual maturities of fixed maturity investments are described in the following table. Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.




	Trading				Available for Sale				Total Fixed Maturity Investments
September 30, 2016	Amortized Cost		Fair Value		Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in less than one year	$	280,939	$	280,850	$	—	$	—	$	280,939	$	280,850
Due after one through five years	4,083,141		4,102,622		—		—		4,083,141		4,102,622
Due after five through ten years	1,014,691		1,044,737		—		—		1,014,691		1,044,737
Due after ten years	159,118		166,324		—		—		159,118		166,324
Mortgage-backed	1,269,868		1,285,910		10,323		11,721		1,280,191		1,297,631
Asset-backed	206,807		207,976		—		—		206,807		207,976
Total	$	7,014,564	$	7,088,419	$	10,323	$	11,721	$	7,024,887	$	7,100,140

Schedule of Fair Value of Equity Investments Trading

The following table summarizes the fair value of equity investments trading:




	September 30, 2016		December 31, 2015
Financials	$	238,572	$	193,716
Communications and technology	36,421		65,833
Industrial, utilities and energy	28,361		51,168
Consumer	20,846		40,918
Healthcare	17,966		36,148
Basic materials	3,399		6,094
Total	$	345,565	$	393,877

Schedule of Net Investment Income

The components of net investment income are as follows:




	Three months ended						Nine months ended
	September 30, 2016			September 30, 2015			September 30, 2016			September 30, 2015
Fixed maturity investments	$	39,959		$	37,023		$	122,056		$	96,753
Short term investments	1,174			267			3,401			761
Equity investments	797			1,791			3,325			6,308
Other investments
Private equity investments	4,572			(14,505		)	(430		)	1,333
Other	8,765			7,261			17,109			11,443
Cash and cash equivalents	246			80			584			355
	55,513			31,917			146,045			116,953
Investment expenses	(4,090		)	(3,579		)	(11,635		)	(10,304		)
Net investment income	$	51,423		$	28,338		$	134,410		$	106,649

Schedule of Net Realized and Unrealized Gains On Investments and Net Other-Than-Temporary Impairments

Net realized and unrealized gains on investments are as follows:




	Three months ended						Nine months ended
	September 30, 2016			September 30, 2015			September 30, 2016			September 30, 2015
Gross realized gains	$	20,383		$	9,160		$	60,794		$	39,364
Gross realized losses	(3,363		)	(13,720		)	(25,832		)	(40,143		)
Net realized gains (losses) on fixed maturity investments	17,020			(4,560		)	34,962			(779		)
Net unrealized (losses) gains on fixed maturity investments trading	(4,235		)	10,208			125,501			(11,924		)
Net realized and unrealized gains (losses) on investments-related derivatives	1,727			(16,612		)	(26,873		)	(1,004		)
Net realized gains (losses) on equity investments trading	127			(114		)	14,038			16,199
Net unrealized gains (losses) on equity investments trading	45,231			(30,060		)	43,667			(28,593		)
Net realized and unrealized gains (losses) on investments	$	59,870		$	(41,138	)	$	191,295		$	(26,101	)

- 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.

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