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Investment Information (Tables)
9 Months Ended
Sep. 30, 2019
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 securities classified as available for sale:
 
Estimated
Fair
Value
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Cost or
Amortized
Cost
 
OTTI
Unrealized
Losses (2)
September 30, 2019
 
 
 
 
 
 
 
 
 
Fixed maturities (1):
 
 
 
 
 
 
 
 
 
Corporate bonds
$
6,269,993

 
$
198,742

 
$
(18,420
)
 
$
6,089,671

 
$

Mortgage backed securities
544,033

 
11,185

 
(918
)
 
533,766

 
(6
)
Municipal bonds
653,346

 
27,095

 
(379
)
 
626,630

 

Commercial mortgage backed securities
754,306

 
27,523

 
(158
)
 
726,941

 

U.S. government and government agencies
5,127,290

 
67,957

 
(6,671
)
 
5,066,004

 

Non-U.S. government securities
1,873,856

 
48,212

 
(52,767
)
 
1,878,411

 

Asset backed securities
1,657,494

 
29,838

 
(5,931
)
 
1,633,587

 

Total
16,880,318

 
410,552

 
(85,244
)
 
16,555,010

 
(6
)
Short-term investments
751,989

 
227

 
(445
)
 
752,207

 

Total
$
17,632,307

 
$
410,779

 
$
(85,689
)
 
$
17,307,217

 
$
(6
)
 
 
 
 
 
 
 
 
 
 
December 31, 2018
 
 
 
 
 
 
 
 
 
Fixed maturities (1):
 
 
 
 
 
 
 
 
 
Corporate bonds
$
5,537,548

 
$
14,476

 
$
(105,428
)
 
$
5,628,500

 
$
(69
)
Mortgage backed securities
541,193

 
3,991

 
(3,216
)
 
540,418

 
(6
)
Municipal bonds
1,013,395

 
5,380

 
(11,891
)
 
1,019,906

 

Commercial mortgage backed securities
729,442

 
2,650

 
(10,751
)
 
737,543

 

U.S. government and government agencies
3,758,698

 
27,189

 
(8,474
)
 
3,739,983

 

Non-U.S. government securities
1,771,338

 
14,477

 
(50,948
)
 
1,807,809

 

Asset backed securities
1,600,896

 
8,060

 
(14,798
)
 
1,607,634

 

Total
14,952,510

 
76,223

 
(205,506
)
 
15,081,793

 
(75
)
Short-term investments
955,880

 
36

 
(394
)
 
956,238

 

Total
$
15,908,390

 
$
76,259

 
$
(205,900
)
 
$
16,038,031

 
$
(75
)
(1)
In securities lending transactions, the Company receives collateral in excess of the fair value of the fixed maturities pledged. For purposes of this table, the Company has excluded the collateral received under securities lending, at fair value and included the securities pledged under securities lending, at fair value. 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 September 30, 2019 the net unrealized loss related to securities for which a non-credit OTTI was recognized in AOCI was $0.01 million, compared to net unrealized loss of $0.04 million at December 31, 2018
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
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
 
Estimated
Fair
Value
 
Gross
Unrealized
Losses
September 30, 2019
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities (1):
 
 
 
 
 
 
 
 
 
 
 
Corporate bonds
$
538,471

 
$
(11,128
)
 
$
113,987

 
$
(7,292
)
 
$
652,458

 
$
(18,420
)
Mortgage backed securities
97,288

 
(905
)
 
200

 
(13
)
 
97,488

 
(918
)
Municipal bonds
43,627

 
(379
)
 

 

 
43,627

 
(379
)
Commercial mortgage backed securities
47,219

 
(151
)
 
1,872

 
(7
)
 
49,091

 
(158
)
U.S. government and government agencies
1,592,232

 
(6,531
)
 
47,416

 
(140
)
 
1,639,648

 
(6,671
)
Non-U.S. government securities
1,214,128

 
(51,742
)
 
47,576

 
(1,025
)
 
1,261,704

 
(52,767
)
Asset backed securities
375,936

 
(4,600
)
 
48,743

 
(1,331
)
 
424,679

 
(5,931
)
Total
3,908,901

 
(75,436
)
 
259,794

 
(9,808
)
 
4,168,695

 
(85,244
)
Short-term investments
43,007

 
(445
)
 

 

 
43,007

 
(445
)
Total
$
3,951,908

 
$
(75,881
)
 
$
259,794

 
$
(9,808
)
 
$
4,211,702

 
$
(85,689
)
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2018
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities (1):
 
 
 
 
 
 
 
 
 
 
 
Corporate bonds
$
2,983,195

 
$
(68,910
)
 
$
1,234,865

 
$
(36,518
)
 
$
4,218,060

 
$
(105,428
)
Mortgage backed securities
84,296

 
(695
)
 
109,009

 
(2,521
)
 
193,305

 
(3,216
)
Municipal bonds
233,081

 
(2,074
)
 
408,155

 
(9,817
)
 
641,236

 
(11,891
)
Commercial mortgage backed securities
223,341

 
(2,831
)
 
193,956

 
(7,920
)
 
417,297

 
(10,751
)
U.S. government and government agencies
635,049

 
(1,354
)
 
391,102

 
(7,120
)
 
1,026,151

 
(8,474
)
Non-U.S. government securities
1,028,340

 
(35,524
)
 
389,671

 
(15,424
)
 
1,418,011

 
(50,948
)
Asset backed securities
533,592

 
(8,832
)
 
368,095

 
(5,966
)
 
901,687

 
(14,798
)
Total
5,720,894

 
(120,220
)
 
3,094,853

 
(85,286
)
 
8,815,747

 
(205,506
)
Short-term investments
122,878

 
(394
)
 

 

 
122,878

 
(394
)
Total
$
5,843,772

 
$
(120,614
)
 
$
3,094,853

 
$
(85,286
)
 
$
8,938,625

 
$
(205,900
)
(1)
In securities lending transactions, the Company receives collateral in excess of the fair value of the fixed maturities pledged. For purposes of this table, the Company has excluded the collateral received under securities lending, at fair value and included the securities pledged under securities lending, at fair value. 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 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.
 
 
September 30, 2019
 
December 31, 2018
Maturity
 
Estimated
Fair
Value
 
Amortized
Cost
 
Estimated
Fair
Value
 
Amortized
Cost
Due in one year or less
 
$
545,056

 
$
538,903

 
$
276,682

 
$
279,135

Due after one year through five years
 
10,096,867

 
9,971,896

 
8,666,297

 
8,738,944

Due after five years through 10 years
 
3,075,318

 
2,952,478

 
2,919,232

 
2,951,582

Due after 10 years
 
207,244

 
197,439

 
218,768

 
226,537

 
 
13,924,485

 
13,660,716

 
12,080,979

 
12,196,198

Mortgage backed securities
 
544,033

 
533,766

 
541,193

 
540,418

Commercial mortgage backed securities
 
754,306

 
726,941

 
729,442

 
737,543

Asset backed securities
 
1,657,494

 
1,633,587

 
1,600,896

 
1,607,634

Total (1)
 
$
16,880,318

 
$
16,555,010

 
$
14,952,510

 
$
15,081,793


(1)
In securities lending transactions, the Company receives collateral in excess of the fair value of the securities pledged. For purposes of this table, the Company has excluded the collateral received under securities lending, at fair value and included the securities pledged under securities lending, at fair value.
See “—Securities Lending Agreements.”
Securities lending transactions accounted for as secured borrowings, by significant investment category
The Company’s securities lending transactions were accounted for as secured borrowings with significant investment categories as follows:
 
 
Remaining Contractual Maturity of the Agreements
 
 
Overnight and Continuous
 
Less than 30 Days
 
30-90 Days
 
90 Days or More
 
Total
September 30, 2019
 
 
 
 
 
 
 
 
 
 
U.S. government and government agencies
 
$
257,979

 
$

 
$
156,541

 
$

 
$
414,520

Corporate bonds
 
4,820

 

 

 

 
4,820

Equity securities
 
10,915

 

 

 

 
10,915

Total
 
$
273,714

 
$

 
$
156,541

 
$

 
$
430,255

Gross amount of recognized liabilities for securities lending in offsetting disclosure in note 8
 
$

Amounts related to securities lending not included in offsetting disclosure in note 8
 
$
430,255

 
 
 
 
 
 
 
 
 
 
 
December 31, 2018
 
 
 
 
 
 
 
 
 
 
U.S. government and government agencies
 
$
219,276

 
$

 
$
32,583

 
$

 
$
251,859

Corporate bonds
 
7,129

 

 

 

 
7,129

Equity securities
 
15,137

 

 

 

 
15,137

Total
 
$
241,542

 
$

 
$
32,583

 
$

 
$
274,125

Gross amount of recognized liabilities for securities lending in offsetting disclosure in note 8
 
$

Amounts related to securities lending not included in offsetting disclosure in note 8
 
$
274,125


Summary of other investments
The following table summarizes the Company’s other investments which are included in investments accounted for using the fair value option, by strategy:
 
September 30,
2019
 
December 31,
2018
Term loan investments (par value: $1,434,328 and $1,369,216)
$
1,330,886

 
$
1,282,287

Lending
624,699

 
524,112

Credit related funds
165,444

 
202,123

Energy
113,791

 
117,509

Investment grade fixed income
83,649

 
101,902

Infrastructure
49,602

 
45,371

Private equity
54,609

 
24,383

Real estate
17,440

 
14,252

Total
$
2,440,120

 
$
2,311,939


Summary of investments accounted for using equity method
The following table summarizes the Company’s investments accounted for using the equity method, by strategy:
 
September 30,
2019
 
December 31,
2018
Credit related funds
$
428,353

 
$
429,402

Equities
284,465

 
375,273

Real estate
265,502

 
232,647

Lending
200,112

 
125,041

Private equity
141,343

 
114,019

Infrastructure
149,005

 
113,748

Energy
107,052

 
103,661

Total
$
1,575,832

 
$
1,493,791


Summary of assets and liabilities accounted for using the fair value option
The following table summarizes the Company’s assets which are accounted for using the fair value option:
 
September 30,
2019
 
December 31,
2018
Fixed maturities
$
908,802

 
$
1,245,562

Other investments
2,440,120

 
2,311,939

Short-term investments
390,980

 
322,177

Equity securities
98,341

 
103,893

Investments accounted for using the fair value option
$
3,838,243

 
$
3,983,571


Summary of investments in limited partnership interests where the Company has a variable interest
The following table summarizes investments in limited partnership interests where the Company has a variable interest by balance sheet line item:
 
September 30,
2019
 
December 31,
2018
Investments accounted for using the equity method (1)
1,575,832

 
1,493,791

Investments accounted for using the fair value option (2)
189,186

 
162,398

Total
$
1,765,018

 
$
1,656,189

(1)
Aggregate unfunded commitments were $1.44 billion at September 30, 2019, compared to $1.22 billion at December 31, 2018.
(2)
Aggregate unfunded commitments were $51.1 million at September 30, 2019, compared to $117.5 million at December 31, 2018.
Components of net investment income
The components of net investment income were derived from the following sources:
 
September 30,
 
2019
 
2018
Three Months Ended
 
 
 
Fixed maturities
$
126,889

 
$
120,516

Term loans
24,236

 
21,903

Equity securities
3,992

 
3,165

Short-term investments
3,834

 
4,547

Other (1)
22,704

 
17,195

Gross investment income
181,655

 
167,326

Investment expenses
(20,167
)
 
(23,302
)
Net investment income
$
161,488

 
$
144,024

 
 
 
 
Nine Months Ended
 
 
 
Fixed maturities
$
381,706

 
$
343,513

Term loans
73,582

 
62,430

Equity securities
11,348

 
10,510

Short-term investments
11,872

 
13,799

Other (1)
62,423

 
52,210

Gross investment income
540,931

 
482,462

Investment expenses
(67,456
)
 
(76,046
)
Net investment income
$
473,475

 
$
406,416

(1)
Includes income distributions from investment funds and other items.
Summary of net realized gains (losses), excluding other-than-temporary impairment provisions
Net realized gains (losses) were as follows, excluding net impairment losses recognized in earnings:
 
September 30,
 
2019
 
2018
Three Months Ended
 
 
 
Available for sale securities:
 

 
 

Gross gains on investment sales
$
73,685

 
$
10,990

Gross losses on investment sales
(30,561
)
 
(34,879
)
Change in fair value of assets and liabilities accounted for using the fair value option:
 
 
 
Fixed maturities
(3,895
)
 
(6,604
)
Other investments
(21,778
)
 
(7,950
)
Equity securities
(1,231
)
 
2,752

Short-term investments
(1,941
)
 
(471
)
Equity securities, at fair value:
 
 
 
Net realized gains (losses) on sales during the period
5,217

 
(2,012
)
Net unrealized gains (losses) on equity securities still held at reporting date
(1,206
)
 
10,798

Derivative instruments (1)
42,893

 
(17,556
)
Other (2)
1,335

 
(6,773
)
Net realized gains (losses)
$
62,518

 
$
(51,705
)
 
 
 
 
Nine Months Ended
 
 
 
Available for sale securities:
 
 
 
Gross gains on investment sales
$
192,140

 
$
44,732

Gross losses on investment sales
(77,498
)
 
(175,141
)
Change in fair value of assets and liabilities accounted for using the fair value option:
 
 
 
Fixed maturities
38,682

 
(47,082
)
Other investments
(37,363
)
 
(14,578
)
Equity securities
9,449

 
10,650

Short-term investments
(2,613
)
 
(758
)
Equity securities, at fair value:
 
 
 
Net realized gains (losses) on sales during the period
9,503

 
(13,298
)
Net unrealized gains (losses) on equity securities still held at reporting date
58,562

 
(4,063
)
Derivative instruments (1)
142,730

 
(23,665
)
Other (2)
(8,703
)
 
(16,111
)
Net realized gains (losses)
$
324,889

 
$
(239,314
)

(1)
See note 8 for information on the Company’s derivative instruments.
(2)
Includes the re-measurement of contingent consideration liability amounts.

Summary of OTTI recognized in earnings by asset class
The following table details the net impairment losses recognized in earnings by asset class:
 
September 30,
 
2019
 
2018
Three Months Ended
 
 
 
Fixed maturities:
 

 
 

Mortgage backed securities
$
(284
)
 
$
(73
)
Corporate bonds
(666
)
 
(270
)
Non-U.S. government securities

 
(149
)
Asset backed securities
(213
)
 

Net impairment losses recognized in earnings
$
(1,163
)
 
$
(492
)
 
 
 
 
Nine Months Ended
 
 
 
Fixed maturities:
 
 
 
Mortgage backed securities
$
(839
)
 
$
(196
)
Corporate bonds
(1,256
)
 
(631
)
Non-U.S. government securities

 
(149
)
Asset backed securities
(426
)
 
(148
)
Net impairment losses recognized in earnings
$
(2,521
)
 
$
(1,124
)
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:
 
September 30,
 
2019
 
2018
Three Months Ended
 
 
 
Balance at start of period
$
346

 
$
698

Credit loss impairments recognized on securities not previously impaired

 

Credit loss impairments recognized on securities previously impaired

 

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

 
(47
)
Balance at end of period
$
346

 
$
651

 
 
 
 
Nine Months Ended
 
 
 
Balance at start of year
$
637

 
$
767

Credit loss impairments recognized on securities not previously impaired

 

Credit loss impairments recognized on securities previously impaired

 

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
(291
)
 
(116
)
Balance at end of period
$
346

 
$
651


Summary of restricted assets The following table details the value of the Company’s restricted assets:
 
September 30,
2019
 
December 31,
2018
Assets used for collateral or guarantees:
 

 
 

Affiliated transactions
$
4,629,369

 
$
4,623,483

Third party agreements
2,605,587

 
2,181,682

Deposits with U.S. regulatory authorities
788,295

 
689,114

Deposits with non-U.S. regulatory authorities
71,800

 
59,624

Total restricted assets
$
8,095,051

 
$
7,553,903


Reconciliation of cash and restricted cash
The following table details reconciliation of cash and restricted cash within the Consolidated Balance Sheets:
 
September 30,
2019
 
December 31,
2018
Cash
$
880,099

 
$
646,556

Restricted cash (included in ‘other assets’)
$
82,376

 
$
78,087

Cash and restricted cash
$
962,475

 
$
724,643