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Investments (Tables)
 3 Months Ended
Mar. 31, 2015
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 investments as of March 31, 2015 and December 31, 2014, were as follows:

March 31, 2015
(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 - Excluding Life Funds Withheld Assets
 

 
 

 
 

 
 

 
 

U.S. Government and Government-Related/Supported
$
3,299,458

 
$
87,025

 
$
(8,141
)
 
$
3,378,342

 
$
—

Corporate (2)
7,806,607

 
398,357

 
(50,326
)
 
8,154,638

 
(3,309
)
RMBS – Agency
3,585,638

 
131,468

 
(5,772
)
 
3,711,334

 
—

RMBS – Non-Agency
368,317

 
29,770

 
(17,952
)
 
380,135

 
(58,364
)
CMBS
1,010,518

 
25,603

 
(3,401
)
 
1,032,720

 
(1,801
)
CDO
520,929

 
1,675

 
(21,630
)
 
500,974

 
(1,648
)
Other asset-backed securities (2)
1,134,928

 
41,386

 
(8,947
)
 
1,167,367

 
(1,662
)
U.S. States and political subdivisions of the States
1,842,561

 
131,843

 
(1,264
)
 
1,973,140

 
—

Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
4,010,656

 
154,829

 
(71,714
)
 
4,093,771

 
—

Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
$
23,579,612

 
$
1,001,956

 
$
(189,147
)
 
$
24,392,421

 
$
(66,784
)
Total short-term investments - Excluding Life Funds Withheld Assets
$
169,903

 
$
149

 
$
(1,190
)
 
$
168,862

 
$
—

Total equity securities - Excluding Life Funds Withheld Assets
$
665,682

 
$
132,731

 
$
(14,942
)
 
$
783,471

 
$
—

Total investments - AFS - Excluding Life Funds Withheld Assets
$
24,415,197

 
$
1,134,836

 
$
(205,279
)
 
$
25,344,754

 
$
(66,784
)
Fixed maturities - AFS - Life Funds Withheld Assets
 
 
 
 
 
 
 
 
 
  U.S. Government and Government-Related/Supported
$
13,163

 
$
4,450

 
$
—

 
$
17,613

 
$
—

  Corporate (2)
2,277,295

 
468,931

 
—

 
2,746,226

 
—

  RMBS – Agency
1,641

 
489

 
—

 
2,130

 
—

  RMBS – Non-Agency
32,880

 
5,928

 
—

 
38,808

 
—

  CMBS
131,830

 
27,427

 
—

 
159,257

 
—

  Other asset-backed securities
209,714

 
34,426

 
—

 
244,140

 
—

  Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
1,123,966

 
385,839

 
—

 
1,509,805

 
—

Total fixed maturities - AFS - Life Funds Withheld Assets
$
3,790,489

 
$
927,490

 
$
—

 
$
4,717,979

 
$
—

Total investments - AFS
$
28,205,686

 
$
2,062,326

 
$
(205,279
)
 
$
30,062,733

 
$
(66,784
)
 
 
 
 
 
 
 
 
 
 
Fixed maturities - Trading - Life Funds Withheld Assets
 
 
 
 
 
 
Amortized Cost
 
Fair Value
  Corporate
 
 
 
 
 
 
$
136,681

 
$
137,438

  Other asset-backed securities
 
 
 
 
 
 
1,966

 
1,939

Total investments - Trading - Life Funds Withheld Assets
 
 
 
 
 
 
$
138,647

 
$
139,377

___________
(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 date an impairment was recorded.
(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 $74.8 million and an amortized cost of $63.8 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.
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 - Excluding Life Funds Withheld Assets
 

 
 

 
 

 
 

 
 

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 - Excluding Life Funds Withheld Assets
$
257,221

 
$
49

 
$
(543
)
 
$
256,727

 
$
—

Total equity securities - Excluding Life Funds Withheld Assets
$
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)
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

 
—

  Other asset-backed securities
238,168

 
35,373

 
—

 
273,541

 
—

  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
)
 
 
 
 
 
 
 
 
 
 
Fixed maturities - Trading - Life Funds Withheld Assets
 
 
 
 
 
 
Amortized Cost
 
Fair Value
  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 date an impairment was recorded.
(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.
Contractual maturities summary
The contractual maturities of AFS fixed income securities at March 31, 2015 and December 31, 2014 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.

March 31, 2015

December 31, 2014
(U.S. dollars in thousands)
Amortized
Cost

Fair
Value

Amortized
Cost

Fair
Value
Fixed maturities - AFS - Excluding Life Funds Withheld Assets
 


 


 


 

Due less than one year
$
1,770,647

 
$
1,781,224

 
$
1,972,224

 
$
1,980,429

Due after 1 through 5 years
9,698,659

 
9,923,517

 
8,919,037

 
9,113,651

Due after 5 through 10 years
4,049,907

 
4,226,001

 
4,232,396

 
4,412,569

Due after 10 years
1,440,069

 
1,669,149

 
1,494,315

 
1,705,022

 
$
16,959,282

 
$
17,599,891

 
$
16,617,972

 
$
17,211,671

RMBS – Agency
3,585,638

 
3,711,334

 
3,625,171

 
3,728,576

RMBS – Non-Agency
368,317

 
380,135

 
404,398

 
427,351

CMBS
1,010,518

 
1,032,720

 
1,033,819

 
1,052,544

CDO
520,929

 
500,974

 
717,544

 
692,034

Other asset-backed securities
1,134,928

 
1,167,367

 
1,028,528

 
1,065,293

Total mortgage and asset-backed securities
$
6,620,330

 
$
6,792,530

 
$
6,809,460

 
$
6,965,798

Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
$
23,579,612

 
$
24,392,421

 
$
23,427,432

 
$
24,177,469

Fixed maturities - AFS - Life Funds Withheld Assets
 

 
 

 
 

 
 

Due less than one year
$
97,637

 
$
107,530

 
$
117,048

 
$
125,326

Due after 1 through 5 years
626,869

 
676,507

 
638,526

 
685,787

Due after 5 through 10 years
798,923

 
933,986

 
1,004,698

 
1,165,348

Due after 10 years
1,890,995

 
2,555,621

 
2,059,637

 
2,649,279

 
$
3,414,424

 
$
4,273,644

 
$
3,819,909

 
$
4,625,740

RMBS – Agency
1,641

 
2,130

 
3,301

 
3,782

RMBS – Non-Agency
32,880

 
38,808

 
71,075

 
85,335

CMBS
131,830

 
159,257

 
168,886

 
193,167

Other asset-backed securities
209,714

 
244,140

 
238,168

 
273,541

Total mortgage and asset-backed securities
$
376,065

 
$
444,335

 
$
481,430

 
$
555,825

Total fixed maturities - AFS - Life Funds Withheld Assets
$
3,790,489

 
$
4,717,979

 
$
4,301,339

 
$
5,181,565

Total fixed maturities - AFS
$
27,370,101

 
$
29,110,400

 
$
27,728,771

 
$
29,359,034

Fixed maturities - Trading - Life Funds Withheld Assets
 

 
 

 
 

 
 

Due less than one year
$
—

 
$
—

 
$
—

 
$
—

Due after 1 through 5 years
64,739

 
64,733

 
—

 
—

Due after 5 through 10 years
5,188

 
5,131

 
1,180

 
1,171

Due after 10 years
66,754

 
67,574

 
—

 
—

 
$
136,681

 
$
137,438

 
$
1,180

 
$
1,171

Other asset-backed securities
1,966

 
1,939

 
—

 
—

Total mortgage and asset-backed securities
$
1,966

 
$
1,939

 
$
—

 
$
—

Total fixed maturities - Trading - Life Funds Withheld Assets
$
138,647

 
$
139,377

 
$
1,180

 
$
1,171
Summary of unrealized losses
The following is an analysis of how long the AFS securities as of March 31, 2015 and December 31, 2014 had been in a continual unrealized loss position:
 
Less than 12 months
 
Equal to or greater
than 12 months
March 31, 2015
(U.S. dollars in thousands)
Fair
Value
 
Gross
Unrealized
Losses
 
Fair
Value
 
Gross
Unrealized
Losses
Fixed maturities and short-term investments - AFS
 

 
 

 
 

 
 

U.S. Government and Government-Related/Supported
$
249,646

 
$
(3,541
)
 
$
143,891

 
$
(4,619
)
Corporate
688,725

 
(40,874
)
 
190,397

 
(9,730
)
RMBS – Agency
177,627

 
(914
)
 
279,354

 
(4,858
)
RMBS – Non-Agency
51,876

 
(1,815
)
 
188,932

 
(16,137
)
CMBS
120,862

 
(393
)
 
109,324

 
(3,008
)
CDO
92,517

 
(294
)
 
346,372

 
(21,336
)
Other asset-backed securities
92,193

 
(6,219
)
 
37,357

 
(2,728
)
U.S. States and political subdivisions of the States
55,707

 
(695
)
 
15,310

 
(569
)
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
681,300

 
(39,085
)
 
322,974

 
(33,522
)
Total fixed maturities and short-term investments - AFS
$
2,210,453

 
$
(93,830
)
 
$
1,633,911

 
$
(96,507
)
Total equity securities
$
119,625

 
$
(14,942
)
 
$
—

 
$
—


 
Less than 12 months
 
Equal to or greater
than 12 months
December 31, 2014
(U.S. dollars in thousands)
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
)
 
$
—

 
$
—
Analysis of net realized gains (losses) on investments
The following represents an analysis of net realized gains (losses) on investments:
Net Realized Gains (Losses) on Investments
Three months ended March 31,
(U.S. dollars in thousands)
2015
 
2014
Net realized gains (losses) on investments - excluding Life Funds Withheld Assets:
 
 
 
Gross realized gains
$
62,300

 
$
51,213

Gross realized losses on investments sold
(47,122
)
 
(28,257
)
OTTI on investments, net of amounts transferred to other comprehensive income
(10,576
)
 
(3,727
)
 
$
4,602

 
$
19,229

Net realized gains (losses) on investments and net unrealized gains (losses) on investments, Trading - Life Funds Withheld Assets:
 
 
 
Gross realized gains
$
53,128

 
$
—

Gross realized losses on investments sold
(390
)
 
—

OTTI on investments, net of amounts transferred to other comprehensive income
(5,209
)
 
—

Net unrealized gains (losses) on trading securities
$
760

 
$
—

 
$
48,289

 
$
—

Total net realized gains (losses) on investments
$
52,891

 
$
19,229
Credit loss impairments on fixed inmcome securities rollforward
The following table sets forth the amount of credit loss impairments on fixed income securities held by the Company for which a portion of the OTTI loss was recognized in OCI, as of the dates or for the periods indicated and the corresponding changes in such amounts.
Credit Loss Impairments
Three months ended March 31,
(U.S. dollars in thousands)
2015
 
2014
Opening balance as of beginning of indicated period
$
131,942

 
$
174,805

Credit loss impairment recognized in the current period on securities not previously impaired
7,560

 
12

Credit loss impairments previously recognized on securities which matured, paid down, prepaid or were sold during the period
(28,539
)
 
(3,348
)
Additional credit loss impairments recognized in the current period on securities previously impaired
141

 
2,261

Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected
(2,646
)
 
(2,347
)
Balance as of March 31,
$
108,458

 
$
171,383