XML 105 R45.htm IDEA: XBRL DOCUMENT v2.4.1.9
Investments (Tables)
 12 Months Ended
Dec. 31, 2014
Investments, Debt and Equity Securities [Abstract]  
Amortized cost and fair value summary
The cost (amortized cost for fixed maturities and short-term investments), fair value, gross unrealized gains and gross unrealized (losses), including OTTI recorded in accumulated other comprehensive income (“AOCI”) of the Company’s AFS and HTM investments at December 31, 2014 and 2013, were as follows:
 
 
 
Included in AOCI
 
 
 
 
December 31, 2014
(U.S. dollars in thousands)
Cost or
Amortized
Cost
 
Gross
Unrealized
Gains
 
Gross Unrealized Losses
 
Fair Value
 
Non-credit Related OTTI (1)
Fixed maturities - AFS
 
 
 
 
 
 
 
 
 
U.S. Government and Government-Related/Supported
$
2,100,851

 
$
77,889

 
$
(6,787
)
 
$
2,171,953

 
$
—

Corporate (2)
8,462,130

 
365,805

 
(49,562
)
 
8,778,373

 
(3,309
)
RMBS – Agency
3,625,171

 
114,188

 
(10,783
)
 
3,728,576

 
—

RMBS – Non-Agency
404,398

 
41,108

 
(18,155
)
 
427,351

 
(67,918
)
CMBS
1,033,819

 
23,987

 
(5,262
)
 
1,052,544

 
(2,033
)
CDO
717,544

 
1,659

 
(27,169
)
 
692,034

 
(1,663
)
Other asset-backed securities (2)
1,028,528

 
42,810

 
(6,045
)
 
1,065,293

 
(1,797
)
U.S. States and political subdivisions of the States
1,892,566

 
129,910

 
(1,204
)
 
2,021,272

 
—

Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
4,162,425

 
139,484

 
(61,836
)
 
4,240,073

 
—

Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
$
23,427,432

 
$
936,840

 
$
(186,803
)
 
$
24,177,469

 
$
(76,720
)
Total short-term investments
257,221

 
49

 
(543
)
 
256,727

 
—

Total equity securities
763,833

 
130,689

 
(26,230
)
 
868,292

 
—

Total investments - AFS - Excluding Life Funds Withheld Assets
$
24,448,486

 
$
1,067,578

 
$
(213,576
)
 
$
25,302,488

 
$
(76,720
)
Fixed maturities - AFS - Life Funds Withheld Assets
 

 
 

 
 

 
 

 
 

U.S. Government and Government-Related/Supported
$
14,866

 
$
3,858

 
$
—

 
$
18,724

 
$
—

Corporate
2,407,849

 
410,131

 
—

 
2,817,980

 
—

RMBS – Agency
3,301

 
481

 
—

 
3,782

 
—

RMBS – Non-Agency
71,075

 
14,260

 
—

 
85,335

 
—

CMBS
168,886

 
24,281

 
—

 
193,167

 
—

CDO
—

 
—

 
—

 
—

 
—

Other asset-backed securities
238,168

 
35,373

 
—

 
273,541

 
—

U.S. States and political subdivisions of the States
—

 
—

 
—

 
—

 
—

Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
1,397,194

 
391,842

 
—

 
1,789,036

 
—

Total fixed maturities - AFS - Life Funds Withheld Assets
$
4,301,339

 
$
880,226

 
$
—

 
$
5,181,565

 
$
—

Total investments - AFS
$
28,749,825

 
$
1,947,804

 
$
(213,576
)
 
$
30,484,053

 
$
(76,720
)
Total fixed maturities - HTM
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
 
 
 
 
 
 
 
 
 
December 31, 2014
(U.S. dollars in thousands)
 
 
 
 
 
 
Amortized
Cost
 
Fair Value
Fixed maturities - Trading - Life Funds Withheld Assets
 

 
 

 
 

 
 

 
 

Corporate
 
 
 
 
 
 
1,180

 
1,171

Total investments - Trading - Life Funds Withheld Assets
 
 
 
 
 
 
$
1,180

 
$
1,171

 
____________
(1)
Represents the non-credit component of OTTI losses, adjusted for subsequent sales of securities. It does not include the change in fair value subsequent to the impairment measurement date.
(2)
Included are certain medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage. The notes have a fair value of $79.9 million and an amortized cost of $68.4 million. These notes allow the investor to participate in cash flows of the underlying bonds including certain residual values, which could serve to either decrease or increase the ultimate values of these notes.


 
 
 
Included in AOCI
 
 
 
 
December 31, 2013
(U.S. dollars in thousands)
Cost or
Amortized
Cost
 
Gross
Unrealized
Gains
 
Gross Unrealized Losses
 
Fair Value
 
Non-credit Related OTTI (1)
Fixed maturities - AFS
 
 
 
 
 
 
 
 
 
U.S. Government and Government-Related/Supported
$
2,484,193

 
$
51,701

 
$
(34,043
)
 
$
2,501,851

 
$
—

Corporate (2)
10,802,332

 
433,097

 
(109,599
)
 
11,125,830

 
(4,758
)
RMBS – Agency
3,540,101

 
68,098

 
(62,077
)
 
3,546,122

 
—

RMBS – Non-Agency
396,798

 
33,096

 
(31,126
)
 
398,768

 
(74,528
)
CMBS
1,223,313

 
39,255

 
(15,773
)
 
1,246,795

 
(2,753
)
CDO
754,414

 
5,833

 
(42,934
)
 
717,313

 
(2,036
)
Other asset-backed securities (2)
1,210,384

 
40,560

 
(8,840
)
 
1,242,104

 
(2,807
)
U.S. States and political subdivisions of the States
1,821,499

 
55,083

 
(30,770
)
 
1,845,812

 
—

Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
4,878,840

 
80,961

 
(84,260
)
 
4,875,541

 
—

Total fixed maturities - AFS
$
27,111,874

 
$
807,684

 
$
(419,422
)
 
$
27,500,136

 
$
(86,882
)
Total short-term investments
455,470

 
962

 
(144
)
 
456,288

 
—

Total equity securities
903,201

 
154,506

 
(17,470
)
 
1,040,237

 
—

Total investments - AFS
$
28,470,545

 
$
963,152

 
$
(437,036
)
 
$
28,996,661

 
$
(86,882
)
Fixed maturities - HTM
 
 
 
 
 
 
 
 
 
U.S. Government and Government-Related/Supported
$
10,993

 
$
629

 
$
—

 
$
11,622

 
$
—

Corporate
1,386,863

 
113,179

 
(968
)
 
1,499,074

 
—

RMBS – Non-Agency
66,987

 
4,985

 
—

 
71,972

 
—

CMBS
144,924

 
11,864

 
—

 
156,788

 
—

Other asset-backed securities
106,540

 
6,908

 
—

 
113,448

 
—

Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
1,142,388

 
136,585

 
(642
)
 
1,278,331

 
—

Total investments - HTM
$
2,858,695

 
$
274,150

 
$
(1,610
)
 
$
3,131,235

 
$
—

 
____________
(1)
Represents the non-credit component of OTTI losses, adjusted for subsequent sales of securities. It does not include the change in fair value subsequent to the impairment measurement date.
(2)
Included are certain medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage. The notes have a fair value of $154.6 million and an amortized cost of $147.7 million. These notes allow the investor to participate in cash flows of the underlying bonds including certain residual values, which could serve to either decrease or increase the ultimate values of these notes.
Contractual maturities summary
The contractual maturities of AFS and HTM fixed income securities at December 31, 2014 and 2013 are shown below. Actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.
(U.S. dollars in thousands)
December 31, 2014
 
December 31, 2013
Amortized
Cost
 
Fair
Value
 
Amortized
Cost
 
Fair
Value
Fixed maturities - AFS
 
 
 
 
 
 
 
Due less than one year
$
1,972,224

 
$
1,980,429

 
$
2,052,251

 
$
2,060,365

Due after 1 through 5 years
8,919,037

 
9,113,651

 
10,075,087

 
10,305,986

Due after 5 through 10 years
4,232,396

 
4,412,569

 
5,474,120

 
5,507,450

Due after 10 years
1,494,315

 
1,705,022

 
2,385,406

 
2,475,233

 
$
16,617,972

 
$
17,211,671

 
$
19,986,864

 
$
20,349,034

RMBS – Agency
$
3,625,171

 
$
3,728,576

 
$
3,540,101

 
$
3,546,122

RMBS – Non-Agency
404,398

 
427,351

 
396,798

 
398,768

CMBS
1,033,819

 
1,052,544

 
1,223,313

 
1,246,795

CDO
717,544

 
692,034

 
754,414

 
717,313

Other asset-backed securities
1,028,528

 
1,065,293

 
1,210,384

 
1,242,104

Total mortgage and asset-backed securities
$
6,809,460

 
$
6,965,798

 
$
7,125,010

 
$
7,151,102

Total fixed maturities - AFS
$
23,427,432

 
$
24,177,469

 
$
27,111,874

 
$
27,500,136

Fixed maturities - AFS - Life Funds Withheld Assets
 
 
 
 
 
 
 
Due less than one year
$
117,048

 
$
125,326

 
$
—

 
$
—

Due after 1 through 5 years
638,526

 
685,787

 
—

 
—

Due after 5 through 10 years
1,004,698

 
1,165,348

 
—

 
—

Due after 10 years
2,059,637

 
2,649,279

 
—

 
—

 
$
3,819,909

 
$
4,625,740

 
$
—

 
$
—

RMBS – Agency
$
3,301

 
$
3,782

 
$
—

 
$
—

RMBS – Non-Agency
71,075

 
85,335

 
—

 
—

CMBS
168,886

 
193,167

 
—

 
—

CDO
—

 
—

 
—

 
—

Other asset-backed securities
238,168

 
273,541

 
—

 
—

Total mortgage and asset-backed securities
$
481,430

 
$
555,825

 
$
—

 
$
—

Total fixed maturities - AFS - Life Funds Withheld Assets
$
4,301,339

 
$
5,181,565

 
$
—

 
$
—

Total fixed maturities - AFS
$
27,728,771

 
$
29,359,034

 
$
27,111,874

 
$
27,500,136

Fixed maturities - Trading - Life Funds Withheld Assets
 
 
 
 
 
 
 
Due less than one year
$
—

 
$
—

 
$
—

 
$
—

Due after 1 through 5 years
—

 
—

 
—

 
—

Due after 5 through 10 years
1,180

 
1,171

 
—

 
—

Due after 10 years
—

 
—

 
—

 
—

Total fixed maturities - Trading - Life Funds Withheld Assets
$
1,180

 
$
1,171

 
$
—

 
$
—

Fixed maturities - HTM
 
 
 
 
 
 
 
Due less than one year
$
—

 
$
—

 
$
65,651

 
$
66,766

Due after 1 through 5 years
—

 
—

 
240,802

 
255,322

Due after 5 through 10 years
—

 
—

 
455,633

 
492,095

Due after 10 years
—

 
—

 
1,778,158

 
1,974,844

 
$
—

 
$
—

 
$
2,540,244

 
$
2,789,027

RMBS – Non-Agency
—

 
—

 
66,987

 
71,972

CMBS
—

 
—

 
144,924

 
156,788

Other asset-backed securities
—

 
—

 
106,540

 
113,448

Total mortgage and asset-backed securities
$
—

 
$
—

 
$
318,451

 
$
342,208

Total fixed maturities - HTM
$
—

 
$
—

 
$
2,858,695

 
$
3,131,235
Gross unrealized losses
The following is an analysis of how long the AFS and HTM securities at December 31, 2014 and 2013 had been in a continual unrealized loss position:
December 31, 2014
(U.S. dollars in thousands)
Less than 12 months
 
Equal to or greater
than 12 months
Fair Value
 
Gross
Unrealized
Losses
 
Fair Value
 
Gross
Unrealized
Losses
Fixed maturities and short-term investments - AFS
 
 
 
 
 
 
 
U.S. Government and Government-Related/Supported
$
251,091

 
$
(1,196
)
 
$
342,890

 
$
(5,603
)
Corporate
1,337,470

 
(33,881
)
 
424,221

 
(15,754
)
RMBS – Agency
134,535

 
(220
)
 
512,652

 
(10,563
)
RMBS – Non-Agency
45,378

 
(1,358
)
 
202,700

 
(16,797
)
CMBS
78,356

 
(385
)
 
169,065

 
(4,877
)
CDO
249,803

 
(2,666
)
 
414,516

 
(24,503
)
Other asset-backed securities
143,044

 
(2,813
)
 
57,544

 
(3,232
)
U.S. States and political subdivisions of the States
32,187

 
(210
)
 
63,695

 
(994
)
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
624,346

 
(19,043
)
 
558,422

 
(43,251
)
Total fixed maturities and short-term investments - AFS
$
2,896,210

 
$
(61,772
)
 
$
2,745,705

 
$
(125,574
)
Total equity securities
$
191,193

 
$
(26,230
)
 
$
—

 
$
—

Total fixed maturities - HTM
$
—

 
$
—

 
$
—

 
$
—


December 31, 2013
(U.S. dollars in thousands)
Less than 12 months
 
Equal to or greater
than 12 months
Fair Value
 
Gross
Unrealized
Losses
 
Fair Value
 
Gross
Unrealized
Losses
Fixed maturities and short-term investments - AFS
 
 
 
 
 
 
 
U.S. Government and Government-Related/Supported
$
1,333,704

 
$
(30,474
)
 
$
44,158

 
$
(3,614
)
Corporate
2,756,235

 
(59,497
)
 
513,106

 
(50,160
)
RMBS – Agency
1,485,261

 
(50,362
)
 
169,704

 
(11,715
)
RMBS – Non-Agency
14,204

 
(604
)
 
240,946

 
(30,522
)
CMBS
432,820

 
(6,816
)
 
107,192

 
(8,957
)
CDO
58,239

 
(217
)
 
574,613

 
(42,717
)
Other asset-backed securities
196,639

 
(2,149
)
 
96,528

 
(6,691
)
U.S. States and political subdivisions of the States
463,974

 
(23,124
)
 
64,324

 
(7,646
)
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
2,130,792

 
(56,866
)
 
306,873

 
(27,435
)
Total fixed maturities and short-term investments - AFS
$
8,871,868

 
$
(230,109
)
 
$
2,117,444

 
$
(189,457
)
Total equity securities
$
155,453

 
$
(17,470
)
 
$
—

 
$
—

Fixed maturities -HTM
 
 
 
 
 
 
 
Corporate
$
46,034

 
$
(941
)
 
$
642

 
$
(27
)
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
—

 
—

 
11,894

 
(642
)
Total fixed maturities - HTM
$
46,034

 
$
(941
)
 
$
12,536

 
$
(669
)
Net investment income
Net investment income for the years ended December 31 is derived from the following sources:
(U.S. dollars in thousands)
2014
 
2013
 
2012
Fixed maturities, short term investments and cash equivalents - Excluding Life Funds Withheld Assets
$
809,964

 
$
982,275

 
$
1,046,255

Fixed maturities, short term investments and cash equivalents - Life Funds Withheld Assets
129,575

 
—

 
—

Equity securities and other investments
42,252

 
35,388

 
29,807

Funds withheld
14,583

 
12,783

 
12,090

Total gross investment income
$
996,374

 
$
1,030,446

 
$
1,088,152

Investment expenses
(77,749
)
 
(72,730
)
 
(75,804
)
Total net investment income
$
918,625

 
$
957,716

 
$
1,012,348
Net realized gains (losses)
The following represents an analysis of net realized gains (losses), the change in unrealized gains (losses) on investments and net realized and unrealized gains (losses) on investment related derivative instruments for the years ended December 31:
(U.S. dollars in thousands)
2014
 
2013
 
2012
Net realized gains (losses):
 
 
 
 
 
Fixed maturities, short term investments, cash and cash equivalents - Excluding Life Funds Withheld Assets:
 
 
 
 
 
Gross realized gains
$
119,817

 
$
129,479

 
$
163,328

Gross realized losses on investments sold
(66,892
)
 
(84,703
)
 
(107,033
)
OTTI on investments, net of amounts transferred to other comprehensive income
(12,341
)
 
(16,282
)
 
(74,245
)
Net realized gains (losses)
$
40,584

 
$
28,494

 
$
(17,950
)
Equity securities:
 
 
 
 
 
Gross realized gains
$
96,260

 
$
29,402

 
$
42,009

Gross realized losses on investments sold
(12,270
)
 
(3,185
)
 
(7,121
)
OTTI on investments, net of amounts transferred to other comprehensive income
(10,944
)
 
(17
)
 
(3,746
)
Net realized gains (losses)
$
73,046

 
$
26,200

 
$
31,142

Other investments:
 
 
 
 
 
Gross realized gains
$
31,830

 
$
46,934

 
$
11,610

Gross realized losses on investments sold
(10,011
)
 
(13,851
)
 
(7,983
)
OTTI on investments, net of amounts transferred to other comprehensive income
(12,458
)
 
—

 
(2,721
)
Net realized gains (losses)
$
9,361

 
$
33,083

 
$
906

Net realized gains (losses) on investments - Excluding Life Funds Withheld Assets
$
122,991

 
$
87,777

 
$
14,098

Fixed maturities, short term investments, cash and cash equivalents - Life Funds Withheld Assets:
 
 
 
 
 
Gross realized gains
$
7,926

 
$
—

 
$
—

Gross realized losses on investments sold
(2,859
)
 
—

 
—

Net unrealized gains (losses) on investments, Trading - Life Funds Withheld Assets
(9
)
 
—

 
—

OTTI on investments, net of amounts transferred to other comprehensive income
(20,587
)
 
—

 
—

Net realized gains (losses) on investments - Life Funds Withheld Assets
$
(15,529
)
 
$
—

 
$
—

Net realized gains (losses) on investments
$
107,462

 
$
87,777

 
$
14,098

Net realized and unrealized gains (losses) on investment related derivative instruments
$
20,121

 
$
6,367

 
$
(1,228
)
Net realized gains (losses) on investments and net realized and unrealized gains (losses) on investment related derivative instruments
$
127,583

 
$
94,144

 
$
12,870

Change in unrealized gains (losses):
 
 
 
 
 
Fixed maturities – AFS - Excluding Life Funds Withheld Assets
$
360,463

 
$
(913,174
)
 
$
884,259

Fixed maturities - AFS - Life Funds Withheld Assets
880,226

 
—

 
—

Fixed maturities – HTM
(272,540
)
 
(175,817
)
 
221,647

Equity securities
(32,577
)
 
105,163

 
44,361

Affiliates and other investments
35,143

 
26,636

 
46,163

Net change in unrealized gains (losses) on investments
$
970,715

 
$
(957,192
)
 
$
1,196,430

Total net realized gains (losses) on investments, net realized and unrealized gains (losses) on investment related derivative instruments, and net change in unrealized gains (losses) on investments
$
1,098,298

 
$
(863,048
)
 
$
1,209,300
Credit loss impairments
The following table sets forth the amount of credit loss impairments on fixed income securities held by the Company as of the dates or for the periods indicated, for which a portion of the OTTI loss was recognized in OCI, and the corresponding changes in such amounts.
Credit Loss Impairments
(U.S. dollars in thousands)
2014
 
2013
Opening balance at beginning of indicated period
$
174,805

 
$
268,708

Credit loss impairment recognized in the current period on securities not previously impaired
3,907

 
806

Credit loss impairments previously recognized on securities which matured, paid down, prepaid or were sold during the period
(42,671
)
 
(92,167
)
Credit loss impairments previously recognized on securities impaired to fair value during the period
—

 
—

Additional credit loss impairments recognized in the current period on securities previously impaired
4,185

 
11,182

Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected
(8,284
)
 
(13,724
)
Closing balance at end of indicated period
$
131,942

 
$
174,805