XML 90 R23.htm IDEA: XBRL DOCUMENT v2.4.0.8
Investment Information (Tables)
 6 Months Ended
Jun. 30, 2013
Disclosure Investment Information [Abstract]  
Summary of fair value and cost or amortized cost of available for sale securities
The following table summarizes the fair value and cost or amortized cost of the Company’s investments classified as available for sale:
 
 
Fair
Value
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Cost or
Amortized
Cost
 
OTTI
Unrealized
Losses (2)
June 30, 2013
 

 
 

 
 

 
 

 
 

Fixed maturities and fixed maturities pledged under securities lending agreements (1):
 

 
 

 
 

 
 

 
 

Corporate bonds
$
2,473,130

 
$
33,423

 
$
(60,264
)
 
$
2,499,971

 
$
—

Mortgage backed securities
1,592,207

 
16,874

 
(46,562
)
 
1,621,895

 
(9,330
)
Municipal bonds
1,507,924

 
35,880

 
(14,222
)
 
1,486,266

 
(17
)
Commercial mortgage backed securities
838,471

 
15,687

 
(13,340
)
 
836,124

 
(231
)
U.S. government and government agencies
975,345

 
8,744

 
(7,251
)
 
973,852

 
(19
)
Non-U.S. government securities
1,002,989

 
9,671

 
(27,927
)
 
1,021,245

 
—

Asset backed securities
1,225,183

 
17,677

 
(17,948
)
 
1,225,454

 
(3,348
)
Total
9,615,249

 
137,956

 
(187,514
)
 
9,664,807

 
(12,945
)
 
 
 
 
 
 
 
 
 
 
Equity securities
438,038

 
44,653

 
(16,834
)
 
410,219

 
—

Other investments
569,407

 
32,313

 
(18,328
)
 
555,422

 
—

Short-term investments
1,094,129

 
174

 
(4,650
)
 
1,098,605

 
—

Total
$
11,716,823

 
$
215,096

 
$
(227,326
)
 
$
11,729,053

 
$
(12,945
)
 
 
 
 
 
 
 
 
 
 
December 31, 2012
 

 
 

 
 

 
 

 
 

Fixed maturities and fixed maturities pledged under securities lending agreements (1):
 

 
 

 
 

 
 

 
 

Corporate bonds
$
2,857,513

 
$
105,798

 
$
(6,710
)
 
$
2,758,425

 
$
(62
)
Mortgage backed securities
1,532,736

 
24,809

 
(7,484
)
 
1,515,411

 
(9,329
)
Municipal bonds
1,463,586

 
62,322

 
(1,421
)
 
1,402,685

 
(17
)
Commercial mortgage backed securities
824,165

 
37,514

 
(4,468
)
 
791,119

 
(270
)
U.S. government and government agencies
1,131,688

 
20,178

 
(1,095
)
 
1,112,605

 
(19
)
Non-U.S. government securities
998,901

 
33,701

 
(8,860
)
 
974,060

 
—

Asset backed securities
1,073,999

 
25,528

 
(5,838
)
 
1,054,309

 
(3,346
)
Total
9,882,588

 
309,850

 
(35,876
)
 
9,608,614

 
(13,043
)
 
 
 
 
 
 
 
 
 
 
Equity securities
312,749

 
26,625

 
(12,290
)
 
298,414

 
—

Other investments
549,280

 
32,582

 
(3,257
)
 
519,955

 
—

Short-term investments
730,369

 
3,521

 
(1,248
)
 
728,096

 
—

Total
$
11,474,986

 
$
372,578

 
$
(52,671
)
 
$
11,155,079

 
$
(13,043
)
_________________________________________________
(1)
In securities lending transactions, the Company receives collateral in excess of the fair value of the fixed maturities and short-term investments pledged. For purposes of this table, the Company has excluded the collateral received and reinvested and included the fixed maturities and short-term investments pledged. See “—Securities Lending Agreements.”
(2)
Represents the total other-than-temporary impairments (“OTTI”) recognized in accumulated other comprehensive income (“AOCI”). It does not include the change in fair value subsequent to the impairment measurement date. At June 30, 2013, the net unrealized gain related to securities for which a non-credit OTTI was recognized in AOCI was $4.2 million, compared to a net unrealized gain of $2.0 million at December 31, 2012.
Summary of available for sale securities in a continual unrealized loss position
The following table summarizes, for all available for sale securities in an unrealized loss position, the fair value and gross unrealized loss by length of time the security has been in a continual unrealized loss position:
 
 
Less than 12 Months
 
12 Months or More
 
Total
 
Fair
Value
 
Gross
Unrealized
Losses
 
Fair
Value
 
Gross
Unrealized
Losses
 
Fair
Value
 
Gross
Unrealized
Losses
June 30, 2013
 

 
 

 
 

 
 

 
 

 
 

Fixed maturities and fixed maturities pledged under securities lending agreements (1):
 

 
 

 
 

 
 

 
 

 
 

Corporate bonds
$
1,737,631

 
$
(58,235
)
 
$
17,492

 
$
(2,029
)
 
$
1,755,123

 
$
(60,264
)
Mortgage backed securities
1,015,422

 
(45,242
)
 
22,558

 
(1,320
)
 
1,037,980

 
(46,562
)
Municipal bonds
578,711

 
(13,690
)
 
10,380

 
(532
)
 
589,091

 
(14,222
)
Commercial mortgage backed securities
450,164

 
(13,132
)
 
2,111

 
(208
)
 
452,275

 
(13,340
)
U.S. government and government agencies
621,953

 
(7,251
)
 
—

 
—

 
621,953

 
(7,251
)
Non-U.S. government securities
726,472

 
(25,265
)
 
23,796

 
(2,662
)
 
750,268

 
(27,927
)
Asset backed securities
815,150

 
(14,822
)
 
31,177

 
(3,126
)
 
846,327

 
(17,948
)
Total
5,945,503

 
(177,637
)
 
107,514

 
(9,877
)
 
6,053,017

 
(187,514
)
Equity securities
181,248

 
(16,499
)
 
2,996

 
(335
)
 
184,244

 
(16,834
)
Other investments
197,537

 
(15,113
)
 
23,195

 
(3,215
)
 
220,732

 
(18,328
)
Short-term investments
161,476

 
(4,650
)
 
—

 
—

 
161,476

 
(4,650
)
Total
$
6,485,764

 
$
(213,899
)
 
$
133,705

 
$
(13,427
)
 
$
6,619,469

 
$
(227,326
)
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2012
 

 
 

 
 

 
 

 
 

 
 

Fixed maturities and fixed maturities pledged under securities lending agreements (1):
 

 
 

 
 

 
 

 
 

 
 

Corporate bonds
$
490,784

 
$
(3,692
)
 
$
52,334

 
$
(3,018
)
 
$
543,118

 
$
(6,710
)
Mortgage backed securities
537,883

 
(4,290
)
 
60,574

 
(3,194
)
 
598,457

 
(7,484
)
Municipal bonds
147,766

 
(1,120
)
 
7,052

 
(301
)
 
154,818

 
(1,421
)
Commercial mortgage backed securities
36,649

 
(2,261
)
 
8,878

 
(2,207
)
 
45,527

 
(4,468
)
U.S. government and government agencies
146,526

 
(1,095
)
 
—

 
—

 
146,526

 
(1,095
)
Non-U.S. government securities
244,827

 
(1,070
)
 
135,564

 
(7,790
)
 
380,391

 
(8,860
)
Asset backed securities
234,584

 
(1,508
)
 
57,371

 
(4,330
)
 
291,955

 
(5,838
)
Total
1,839,019

 
(15,036
)
 
321,773

 
(20,840
)
 
2,160,792

 
(35,876
)
Equity securities
130,385

 
(10,200
)
 
16,469

 
(2,090
)
 
146,854

 
(12,290
)
Other investments
23,849

 
(2,474
)
 
35,083

 
(783
)
 
58,932

 
(3,257
)
Short-term investments
57,415

 
(1,248
)
 
—

 
—

 
57,415

 
(1,248
)
Total
$
2,050,668

 
$
(28,958
)
 
$
373,325

 
$
(23,713
)
 
$
2,423,993

 
$
(52,671
)
_________________________________________________
(1)
In securities lending transactions, the Company receives collateral in excess of the fair value of the fixed maturities and short-term investments pledged. For purposes of this table, the Company has excluded the collateral received and reinvested and included the fixed maturities and short-term investments pledged. See “—Securities Lending Agreements.”
Contractual maturities of the Company's fixed maturities and fixed maturities pledged under securities lending arrangements
 
 
June 30, 2013
 
December 31, 2012
Maturity
 
Fair Value
 
Amortized
Cost
 
Fair Value
 
Amortized
Cost
Due in one year or less
 
$
281,901

 
$
276,338

 
$
446,402

 
$
436,376

Due after one year through five years
 
3,358,388

 
3,356,354

 
3,876,062

 
3,769,426

Due after five years through 10 years
 
2,082,358

 
2,108,760

 
1,949,297

 
1,869,698

Due after 10 years
 
236,741

 
239,882

 
179,927

 
172,275

 
 
5,959,388

 
5,981,334

 
6,451,688

 
6,247,775

Mortgage backed securities
 
1,592,207

 
1,621,895

 
1,532,736

 
1,515,411

Commercial mortgage backed securities
 
838,471

 
836,124

 
824,165

 
791,119

Asset backed securities
 
1,225,183

 
1,225,454

 
1,073,999

 
1,054,309

Total
 
$
9,615,249

 
$
9,664,807

 
$
9,882,588

 
$
9,608,614
Summary of other investments, including available for sale and fair value option components
The following table summarizes the Company's other investments, including available for sale and fair value option components:

 
June 30,
2013
 
December 31,
2012
Available for sale:
 
 
 
Asian and emerging markets
$
343,535

 
$
316,860

Investment grade fixed income
219,068

 
220,410

Other
6,804

 
12,010

Total available for sale
569,407

 
549,280

Fair value option:
 
 
 
Term loan investments (par value: $475,397 and $307,016)
481,773

 
308,596

Asian and emerging markets
28,932

 
24,035

Investment grade fixed income
74,320

 
67,624

Non-investment grade fixed income
9,331

 
11,093

Other (1)
118,018

 
116,623

Total fair value option
$
712,374

 
$
527,971

Total
$
1,281,781

 
$
1,077,251
Summary of assets and liabilities accounted for using the fair value option
The following table summarizes the Company’s assets and liabilities which are accounted for using the fair value option:
 
 
June 30,
2013
 
December 31,
2012
Fixed maturities
$
353,310

 
$
363,541

Other investments
712,374

 
527,971

Equity securities
—

 
25,954

Investments accounted for using the fair value option
1,065,684

 
917,466

Securities sold but not yet purchased (1)
—

 
(6,924
)
Net assets accounted for using the fair value option
$
1,065,684

 
$
910,542

_________________________________________________
(1)
Represents the Company’s obligation to deliver equity securities that it did not own at the time of sale. Such amounts are included in “other liabilities” on the Company’s consolidated balance sheets.
Components of net investment income
The components of net investment income were derived from the following sources:
 
 
Three Months Ended
 
Six Months Ended
 
June 30,
 
June 30,
 
2013
 
2012
 
2013
 
2012
Fixed maturities
$
62,004

 
$
70,290

 
$
124,010

 
$
143,740

Term loan investments (1)
6,026

 
3,557

 
10,243

 
5,856

Equity securities
3,164

 
2,425

 
4,587

 
4,089

Short-term investments
364

 
760

 
756

 
1,132

Other (2)
4,734

 
2,980

 
11,033

 
6,173

Gross investment income
76,292

 
80,012

 
150,629

 
160,990

Investment expenses
(7,923
)
 
(6,404
)
 
(16,588
)
 
(13,085
)
Net investment income
$
68,369

 
$
73,608

 
$
134,041

 
$
147,905

_________________________________________________
(1)
Included in “investments accounted for using the fair value option” on the Company’s consolidated balance sheets.
(2)
Amounts include dividends on investment funds and other items.
Summary of net realized gains (losses)
Net realized gains (losses) were as follows, excluding other-than-temporary impairment provisions:
 
 
Three Months Ended
 
Six Months Ended
 
June 30,
 
June 30,
 
2013
 
2012
 
2013
 
2012
Available for sale securities:
 

 
 

 
 

 
 

Gross gains on investment sales
$
68,853

 
$
67,936

 
$
135,873

 
$
115,948

Gross losses on investment sales
(54,783
)
 
(20,757
)
 
(79,839
)
 
(38,693
)
Change in fair value of assets and liabilities accounted for using the fair value option:
 

 
 

 
 

 
 

Fixed maturities
(6,702
)
 
(4,810
)
 
(1,644
)
 
3,407

Equity securities
5

 
(3,589
)
 
704

 
(202
)
Other investments
(9,502
)
 
(1,744
)
 
449

 
2,009

TALF investments
—

 
(1,274
)
 
—

 
(50
)
TALF borrowings
—

 
(176
)
 
—

 
895

Derivative instruments (1)
15,646

 
277

 
15,268

 
(4,392
)
Other
(865
)
 
(996
)
 
181

 
66

Net realized gains
$
12,652

 
$
34,867

 
$
70,992

 
$
78,988

_________________________________________________
(1)
See Note 9 for information on the Company’s derivative instruments.
Summary of OTTI recognized in earnings by asset class
The following table details the net impairment losses recognized in earnings by asset class:
 
 
Three Months Ended
 
Six Months Ended
 
June 30,
 
June 30,
 
2013
 
2012
 
2013
 
2012
Fixed maturities:
 

 
 

 
 

 
 

Mortgage backed securities
$
—

 
$
(146
)
 
$
(15
)
 
$
(892
)
Corporate bonds
—

 
(1,166
)
 
—

 
(1,362
)
Non-U.S. government securities
—

 
(261
)
 
—

 
(261
)
Asset backed securities
—

 
(106
)
 
(20
)
 
(106
)
U.S. government and government agencies
—

 
(10
)
 
—

 
(10
)
Total
—

 
(1,689
)
 
(35
)
 
(2,631
)
Investment of funds received under securities lending agreements
—

 
(6
)
 
—

 
(87
)
Equity securities
(724
)
 
(256
)
 
(2,935
)
 
(256
)
Net impairment losses recognized in earnings
$
(724
)
 
$
(1,951
)
 
$
(2,970
)
 
$
(2,974
)
Rollforward of the amount related to credit losses recognized in earnings for which a portion was recognized in AOCI
The following table provides a roll forward of the amount related to credit losses recognized in earnings for which a portion of an OTTI was recognized in accumulated other comprehensive income:
 
 
Three Months Ended
 
Six Months Ended
 
June 30,
 
June 30,
 
2013
 
2012
 
2013
 
2012
Balance at start of period
$
61,956

 
$
67,086

 
$
62,001

 
$
66,545

Credit loss impairments recognized on securities not previously impaired
—

 
1,693

 
33

 
1,905

Credit loss impairments recognized on securities previously impaired
—

 
258

 
2

 
1,069

Reductions for increases in cash flows expected to be collected that are recognized over the remaining life of the security
—

 
—

 
—

 
—

Reductions for securities sold during the period
(507
)
 
(6,511
)
 
(587
)
 
(6,993
)
Balance at end of period
$
61,449

 
$
62,526

 
$
61,449

 
$
62,526
Summary of restricted assets
The following table details the value of the Company’s restricted assets:
 
 
June 30,
2013
 
December 31,
2012
Assets used for collateral or guarantees:
 

 
 

Affiliated transactions
$
4,226,334

 
$
4,062,097

Third party agreements
793,162

 
771,631

Deposits with U.S. regulatory authorities
302,572

 
290,441

Deposits with non-U.S. regulatory authorities
6,591

 
247,321

Trust funds
103,021

 
96,342

Total restricted assets
$
5,431,680

 
$
5,467,832