Investments (Tables)

6 Months Ended

Jun. 30, 2016

Schedule of Fair Value of Fixed Maturity Investments Trading

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




	June 30, 2016		December 31, 2015
U.S. treasuries	$	2,660,051	$	2,064,944
Agencies	126,549		137,976
Municipal	561,456		583,282
Non-U.S. government (Sovereign debt)	313,699		334,981
Non-U.S. government-backed corporate	157,606		138,994
Corporate	1,840,407		2,055,323
Agency mortgage-backed	513,517		504,368
Non-agency mortgage-backed	251,015		262,235
Commercial mortgage-backed	498,682		554,625
Asset-backed	150,147		128,277
Total fixed maturity investments trading	$	7,073,129	$	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
June 30, 2016	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		Non-Credit Other-Than- Temporary Impairments (1)
Agency mortgage-backed	$	139	$	10	$	—	$	149	$	—
Non-agency mortgage-backed	6,214		1,278		—		7,492		503
Commercial mortgage-backed	4,570		223		—		4,793		—
Total fixed maturity investments available for sale	$	10,923	$	1,511	$	—	$	12,434	$	503




			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
June 30, 2016	Amortized Cost		Fair Value		Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in less than one year	$	273,579	$	266,356	$	—	$	—	$	273,579	$	266,356
Due after one through five years	4,136,965		4,163,134		—		—		4,136,965		4,163,134
Due after five through ten years	1,026,303		1,049,939		—		—		1,026,303		1,049,939
Due after ten years	171,187		180,339		—		—		171,187		180,339
Mortgage-backed	1,244,139		1,263,214		10,923		12,434		1,255,062		1,275,648
Asset-backed	155,028		150,147		—		—		155,028		150,147
Total	$	7,007,201	$	7,073,129	$	10,923	$	12,434	$	7,018,124	$	7,085,563

Schedule of Fair Value of Equity Investments Trading

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




	June 30, 2016		December 31, 2015
Financials	$	196,662	$	193,716
Communications and technology	33,704		65,833
Industrial, utilities and energy	28,585		51,168
Consumer	21,047		40,918
Healthcare	17,949		36,148
Basic materials	3,351		6,094
Total	$	301,298	$	393,877

Schedule of Net Investment Income

The components of net investment income are as follows:




	Three months ended						Six months ended
	June 30, 2016			June 30, 2015			June 30, 2016			June 30, 2015
Fixed maturity investments	$	46,091		$	33,791		$	82,097		$	59,730
Short term investments	1,227			297			2,227			494
Equity investments	865			1,913			2,528			4,517
Other investments
Private equity investments	4,356			5,425			(5,002		)	15,838
Other	5,035			674			8,344			4,182
Cash and cash equivalents	209			127			338			275
	57,783			42,227			90,532			85,036
Investment expenses	(3,659		)	(3,623		)	(7,545		)	(6,725		)
Net investment income	$	54,124		$	38,604		$	82,987		$	78,311

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						Six months ended
	June 30, 2016			June 30, 2015			June 30, 2016			June 30, 2015
Gross realized gains	$	22,661		$	8,672		$	40,411		$	30,204
Gross realized losses	(7,804		)	(21,552		)	(22,469		)	(26,423		)
Net realized gains (losses) on fixed maturity investments	14,857			(12,880		)	17,942			3,781
Net unrealized gains (losses) on fixed maturity investments trading	44,271			(48,104		)	129,736			(22,132		)
Net realized and unrealized (losses) gains on investments-related derivatives	(9,151		)	19,816			(28,600		)	15,608
Net realized gains on equity investments trading	14,729			8,832			13,911			16,313
Net unrealized gains (losses) on equity investments trading	5,066			5,624			(1,564		)	1,467
Net realized and unrealized gains (losses) on investments	$	69,772		$	(26,712	)	$	131,425		$	15,037

- 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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