XML 35 R28.htm IDEA: XBRL DOCUMENT v2.4.0.8
Investment Information (Tables)
 3 Months Ended
Mar. 31, 2014
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)
March 31, 2014
 

 
 

 
 

 
 

 
 

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

 
 

 
 

 
 

 
 

Corporate bonds
$
2,514,129

 
$
39,704

 
$
(20,047
)
 
$
2,494,472

 
$
(16
)
Mortgage backed securities
1,087,840

 
21,700

 
(14,253
)
 
1,080,393

 
(8,217
)
Municipal bonds
1,410,043

 
28,494

 
(3,742
)
 
1,385,291

 
(17
)
Commercial mortgage backed securities
1,023,055

 
11,769

 
(9,031
)
 
1,020,317

 
—

U.S. government and government agencies
1,153,120

 
4,048

 
(5,932
)
 
1,155,004

 
(19
)
Non-U.S. government securities
1,114,382

 
14,538

 
(12,978
)
 
1,112,822

 
—

Asset backed securities
1,573,751

 
11,143

 
(12,385
)
 
1,574,993

 
(2,902
)
Total
9,876,320

 
131,396

 
(78,368
)
 
9,823,292

 
(11,171
)
 
 
 
 
 
 
 
 
 
 
Equity securities
548,168

 
78,896

 
(6,596
)
 
475,868

 
—

Other investments
426,917

 
24,398

 
(15,243
)
 
417,762

 
—

Short-term investments
1,484,280

 
955

 
(2,053
)
 
1,485,378

 
—

Total
$
12,335,685

 
$
235,645

 
$
(102,260
)
 
$
12,202,300

 
$
(11,171
)
 
 
 
 
 
 
 
 
 
 
December 31, 2013
 

 
 

 
 

 
 

 
 

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

 
 

 
 

 
 

 
 

Corporate bonds
$
2,267,263

 
$
35,289

 
$
(35,537
)
 
$
2,267,511

 
$
(16
)
Mortgage backed securities
1,133,095

 
16,270

 
(22,209
)
 
1,139,034

 
(9,269
)
Municipal bonds
1,481,738

 
29,378

 
(9,730
)
 
1,462,090

 
(17
)
Commercial mortgage backed securities
1,074,497

 
13,972

 
(15,224
)
 
1,075,749

 
(199
)
U.S. government and government agencies
1,301,809

 
3,779

 
(11,242
)
 
1,309,272

 
(19
)
Non-U.S. government securities
1,085,861

 
14,729

 
(19,363
)
 
1,090,495

 
—

Asset backed securities
1,332,594

 
20,033

 
(13,795
)
 
1,326,356

 
(3,422
)
Total
9,676,857

 
133,450

 
(127,100
)
 
9,670,507

 
(12,942
)
 
 
 
 
 
 
 
 
 
 
Equity securities
496,824

 
69,487

 
(5,938
)
 
433,275

 
—

Other investments
498,310

 
28,082

 
(18,459
)
 
488,687

 
—

Short-term investments
1,478,367

 
1,654

 
(871
)
 
1,477,584

 
—

Total
$
12,150,358

 
$
232,673

 
$
(152,368
)
 
$
12,070,053

 
$
(12,942
)
_________________________________________________
(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 March 31, 2014, the net unrealized gain related to securities for which a non-credit OTTI was recognized in AOCI was $4.8 million, compared to a net unrealized gain of $6.0 million at December 31, 2013.
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
March 31, 2014
 

 
 

 
 

 
 

 
 

 
 

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

 
 

 
 

 
 

 
 

 
 

Corporate bonds
$
1,012,076

 
$
(17,780
)
 
$
40,352

 
$
(2,267
)
 
$
1,052,428

 
$
(20,047
)
Mortgage backed securities
434,286

 
(11,841
)
 
23,033

 
(2,412
)
 
457,319

 
(14,253
)
Municipal bonds
340,349

 
(3,484
)
 
3,741

 
(258
)
 
344,090

 
(3,742
)
Commercial mortgage backed securities
398,428

 
(8,977
)
 
581

 
(54
)
 
399,009

 
(9,031
)
U.S. government and government agencies
764,802

 
(5,932
)
 
—

 
—

 
764,802

 
(5,932
)
Non-U.S. government securities
541,534

 
(10,940
)
 
36,298

 
(2,038
)
 
577,832

 
(12,978
)
Asset backed securities
904,539

 
(8,424
)
 
99,179

 
(3,961
)
 
1,003,718

 
(12,385
)
Total
4,396,014

 
(67,378
)
 
203,184

 
(10,990
)
 
4,599,198

 
(78,368
)
Equity securities
102,589

 
(6,596
)
 
—

 
—

 
102,589

 
(6,596
)
Other investments
156,468

 
(15,243
)
 
—

 
—

 
156,468

 
(15,243
)
Short-term investments
180,233

 
(2,053
)
 
—

 
—

 
180,233

 
(2,053
)
Total
$
4,835,304

 
$
(91,270
)
 
$
203,184

 
$
(10,990
)
 
$
5,038,488

 
$
(102,260
)
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2013
 

 
 

 
 

 
 

 
 

 
 

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

 
 

 
 

 
 

 
 

 
 

Corporate bonds
$
1,183,625

 
$
(32,837
)
 
$
46,673

 
$
(2,700
)
 
$
1,230,298

 
$
(35,537
)
Mortgage backed securities
778,693

 
(20,253
)
 
43,634

 
(1,956
)
 
822,327

 
(22,209
)
Municipal bonds
589,009

 
(9,422
)
 
6,092

 
(308
)
 
595,101

 
(9,730
)
Commercial mortgage backed securities
677,617

 
(15,110
)
 
1,612

 
(114
)
 
679,229

 
(15,224
)
U.S. government and government agencies
1,144,809

 
(11,242
)
 
—

 
—

 
1,144,809

 
(11,242
)
Non-U.S. government securities
821,506

 
(15,776
)
 
24,334

 
(3,587
)
 
845,840

 
(19,363
)
Asset backed securities
692,362

 
(10,431
)
 
88,629

 
(3,364
)
 
780,991

 
(13,795
)
Total
5,887,621

 
(115,071
)
 
210,974

 
(12,029
)
 
6,098,595

 
(127,100
)
Equity securities
76,563

 
(5,938
)
 
—

 
—

 
76,563

 
(5,938
)
Other investments
165,891

 
(15,775
)
 
47,316

 
(2,684
)
 
213,207

 
(18,459
)
Short-term investments
28,170

 
(871
)
 
—

 
—

 
28,170

 
(871
)
Total
$
6,158,245

 
$
(137,655
)
 
$
258,290

 
$
(14,713
)
 
$
6,416,535

 
$
(152,368
)
_________________________________________________
(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
The contractual maturities of the Company’s fixed maturities and fixed maturities pledged under securities lending agreements are shown in the following table. Expected maturities, which are management’s best estimates, will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.
 
 
March 31, 2014
 
December 31, 2013
Maturity
 
Fair Value
 
Amortized
Cost
 
Fair Value
 
Amortized
Cost
Due in one year or less
 
$
286,950

 
$
282,281

 
$
235,330

 
$
232,652

Due after one year through five years
 
3,757,966

 
3,731,777

 
3,738,500

 
3,718,920

Due after five years through 10 years
 
1,883,374

 
1,872,047

 
1,966,536

 
1,979,510

Due after 10 years
 
263,384

 
261,484

 
196,305

 
198,286

 
 
6,191,674

 
6,147,589

 
6,136,671

 
6,129,368

Mortgage backed securities
 
1,087,840

 
1,080,393

 
1,133,095

 
1,139,034

Commercial mortgage backed securities
 
1,023,055

 
1,020,317

 
1,074,497

 
1,075,749

Asset backed securities
 
1,573,751

 
1,574,993

 
1,332,594

 
1,326,356

Total
 
$
9,876,320

 
$
9,823,292

 
$
9,676,857

 
$
9,670,507
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:
 
March 31,
2014
 
December 31,
2013
Available for sale:
 
 
 
Asian and emerging markets
$
266,023

 
$
331,984

Investment grade fixed income
160,894

 
159,115

Other
—

 
7,211

Total available for sale
426,917

 
498,310

Fair value option:
 
 
 
Term loan investments (par value: $403,383 and $494,502)
410,430

 
512,076

Asian and emerging markets
14,817

 
14,054

Investment grade fixed income
91,907

 
75,062

Other (1)
282,670

 
172,088

Total fair value option
799,824

 
773,280

Total
$
1,226,741

 
$
1,271,590


_________________________________________________
(1)
Includes fund investments with strategies in mortgage servicing rights, transportation and infrastructure assets and other.
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:
 
March 31,
2014
 
December 31,
2013
Fixed maturities
$
456,826

 
$
448,254

Other investments
799,824

 
773,280

Investments accounted for using the fair value option
$
1,256,650

 
$
1,221,534
Components of net investment income
The components of net investment income were derived from the following sources:
 
Three Months Ended
 
March 31,
 
2014
 
2013
Fixed maturities
$
62,449

 
$
62,006

Term loan investments
5,669

 
4,217

Equity securities (dividends)
2,921

 
1,423

Short-term investments
406

 
392

Other (1)
4,718

 
6,299

Gross investment income
76,163

 
74,337

Investment expenses
(9,169
)
 
(8,665
)
Net investment income
$
66,994

 
$
65,672

_________________________________________________
(1)
Includes 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
 
March 31,
 
2014
 
2013
Available for sale securities:
 

 
 

Gross gains on investment sales
$
66,051

 
$
67,020

Gross losses on investment sales
(40,013
)
 
(25,056
)
Change in fair value of assets and liabilities accounted for using the fair value option:
 

 
 

Fixed maturities
(1,643
)
 
5,058

Other investments
10,776

 
9,951

Equity securities
—

 
699

Derivative instruments (1)
(12,768
)
 
(378
)
Other (2)
(2,706
)
 
1,046

Net realized gains (losses)
$
19,697

 
$
58,340

_________________________________________________
(1)
See Note 9 for information on the Company’s derivative instruments.
(2)
Includes accretion of contingent liability amounts related to the acquisition of the CMG Entities (see Note 2 for further details).
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
 
March 31,
 
2014
 
2013
Fixed maturities:
 

 
 

Mortgage backed securities
$
—

 
$
(15
)
Asset backed securities
(6
)
 
(20
)
Total
(6
)
 
(35
)
Equity securities
—

 
(2,211
)
Other investments
(2,965
)
 
—

Net impairment losses recognized in earnings
$
(2,971
)
 
$
(2,246
)
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
 
March 31,
 
2014
 
2013
Balance at start of period
$
60,062

 
$
62,001

Credit loss impairments recognized on securities not previously impaired
—

 
33

Credit loss impairments recognized on securities previously impaired
6

 
2

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
(12,812
)
 
(80
)
Balance at end of period
$
47,256

 
$
61,956
Summary of restricted assets
The following table details the value of the Company’s restricted assets:
 
March 31,
2014
 
December 31,
2013
Assets used for collateral or guarantees:
 

 
 

Affiliated transactions
$
4,346,385

 
$
4,060,533

Third party agreements
951,609

 
856,890

Deposits with U.S. regulatory authorities
350,284

 
302,809

Deposits with non-U.S. regulatory authorities
2

 
6,546

Trust funds
92,108

 
75,264

Total restricted assets
$
5,740,388

 
$
5,302,042