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Investments (Tables)
 6 Months Ended
Jun. 30, 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 non-credit related OTTI recorded in accumulated other comprehensive income ("AOCI"), of the Company’s AFS investments as of June 30, 2015 and December 31, 2014, were as follows:
June 30, 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
$
3,786,878

 
$
56,994

 
$
(16,766
)
 
$
3,827,106

 
$
—

Corporate - Financials
3,194,676

 
61,404

 
(20,567
)
 
3,235,513

 
—

Corporate - Non Financials (2)
6,792,840

 
209,968

 
(50,744
)
 
6,952,064

 
(3,309
)
RMBS – Agency
3,890,265

 
88,699

 
(20,820
)
 
3,958,144

 
—

RMBS – Non-Agency
361,661

 
28,531

 
(17,921
)
 
372,271

 
(57,074
)
CMBS
929,466

 
14,903

 
(8,311
)
 
936,058

 
(1,598
)
CDO
505,865

 
6,733

 
(24,573
)
 
488,025

 
(1,625
)
Other asset-backed securities (2)
2,326,633

 
35,669

 
(11,915
)
 
2,350,387

 
(1,516
)
U.S. States and political subdivisions of the States
2,301,628

 
101,435

 
(11,790
)
 
2,391,273

 
—

Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
5,220,879

 
111,046

 
(71,863
)
 
5,260,062

 
—

Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
$
29,310,791

 
$
715,382

 
$
(255,270
)
 
$
29,770,903

 
$
(65,122
)
Total short-term investments - Excluding Life Funds Withheld Assets
$
806,990

 
$
1,190

 
$
(694
)
 
$
807,486

 
$
—

Total equity securities - Excluding Life Funds Withheld Assets
$
964,038

 
$
136,219

 
$
(26,787
)
 
$
1,073,470

 
$
—

Total investments - AFS - Excluding Life Funds Withheld Assets
$
31,081,819

 
$
852,791

 
$
(282,751
)
 
$
31,651,859

 
$
(65,122
)
Fixed maturities - AFS - Life Funds Withheld Assets
 
 
 
 
 
 
 
 
 
U.S. Government and Government-Related/Supported
$
11,501

 
$
2,177

 
$
—

 
$
13,678

 
$
—

Corporate - Financials
639,699

 
83,223

 
—

 
722,922

 
—

Corporate - Non Financials
1,439,134

 
226,544

 
—

 
1,665,678

 
—

RMBS – Agency
674

 
163

 
—

 
837

 
—

RMBS – Non-Agency
26,377

 
3,214

 
—

 
29,591

 
—

CMBS
126,539

 
19,078

 
—

 
145,617

 
—

Other asset-backed securities
164,779

 
22,758

 
—

 
187,537

 
—

Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
980,215

 
251,013

 
—

 
1,231,228

 
—

Total fixed maturities - AFS - Life Funds Withheld Assets
$
3,388,918

 
$
608,170

 
$
—

 
$
3,997,088

 
$
—

Total investments - AFS
$
34,470,737

 
$
1,460,961

 
$
(282,751
)
 
$
35,648,947

 
$
(65,122
)
 
 
 
 
 
 
 
 
 
 
Fixed maturities - Trading - Life Funds Withheld Assets
 
 
 
 
 
 
Amortized Cost
 
Fair Value
U.S. Government and Government-Related/Supported
 
 
 
 
 
 
$
3,628

 
$
3,596

Corporate - Financials
 
 
 
 
 
 
194,385

 
187,169

Corporate - Non Financials
 
 
 
 
 
 
343,658

 
332,654

CMBS
 
 
 
 
 
 
262

 
261

Other asset-backed securities
 
 
 
 
 
 
15,016

 
14,823

Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
 
 
 
 
 
 
254,100

 
252,981

Total investments - Trading - Life Funds Withheld Assets
 
 
 
 
 
 
$
811,049

 
$
791,484

___________
(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 $75.3 million and an amortized cost of $64.5 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 value 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 - Financials
2,687,797

 
87,058

 
(12,939
)
 
2,761,916

 
—

Corporate - Non Financials (2)
5,774,333

 
278,747

 
(36,623
)
 
6,016,457

 
(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 - Financials
701,587

 
99,432

 
—

 
801,019

 
—

Corporate - Non Financials
1,706,262

 
310,699

 
—

 
2,016,961

 
—

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 - Excluding 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 - Non Financials
 
 
 
 
 
 
$
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 value of these notes.
Contractual maturities summary
The contractual maturities of AFS fixed income securities at June 30, 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.

June 30, 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
$
1,957,896

 
$
1,962,391

 
$
1,972,224

 
$
1,980,429

Due after 1 through 5 years
12,409,937

 
12,584,530

 
8,919,037

 
9,113,651

Due after 5 through 10 years
5,231,268

 
5,305,166

 
4,232,396

 
4,412,569

Due after 10 years
1,697,800

 
1,813,931

 
1,494,315

 
1,705,022

 
$
21,296,901

 
$
21,666,018

 
$
16,617,972

 
$
17,211,671

RMBS – Agency
3,890,265

 
3,958,144

 
3,625,171

 
3,728,576

RMBS – Non-Agency
361,661

 
372,271

 
404,398

 
427,351

CMBS
929,466

 
936,058

 
1,033,819

 
1,052,544

CDO
505,865

 
488,025

 
717,544

 
692,034

Other asset-backed securities
2,326,633

 
2,350,387

 
1,028,528

 
1,065,293

Total mortgage and asset-backed securities
$
8,013,890

 
$
8,104,885

 
$
6,809,460

 
$
6,965,798

Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
$
29,310,791

 
$
29,770,903

 
$
23,427,432

 
$
24,177,469

Fixed maturities - AFS - Life Funds Withheld Assets
 

 
 

 
 

 
 

Due less than one year
$
87,963

 
$
96,402

 
$
117,048

 
$
125,326

Due after 1 through 5 years
468,476

 
505,063

 
638,526

 
685,787

Due after 5 through 10 years
705,507

 
808,909

 
1,004,698

 
1,165,348

Due after 10 years
1,808,603

 
2,223,132

 
2,059,637

 
2,649,279

 
$
3,070,549

 
$
3,633,506

 
$
3,819,909

 
$
4,625,740

RMBS – Agency
674

 
837

 
3,301

 
3,782

RMBS – Non-Agency
26,377

 
29,591

 
71,075

 
85,335

CMBS
126,539

 
145,617

 
168,886

 
193,167

Other asset-backed securities
164,779

 
187,537

 
238,168

 
273,541

Total mortgage and asset-backed securities
$
318,369

 
$
363,582

 
$
481,430

 
$
555,825

Total fixed maturities - AFS - Life Funds Withheld Assets
$
3,388,918

 
$
3,997,088

 
$
4,301,339

 
$
5,181,565

Total fixed maturities - AFS
$
32,699,709

 
$
33,767,991

 
$
27,728,771

 
$
29,359,034

Fixed maturities - Trading - Life Funds Withheld Assets
 

 
 

 
 

 
 

Due less than one year
$
42,557

 
$
42,553

 
$
—

 
$
—

Due after 1 through 5 years
221,522

 
220,727

 
—

 
—

Due after 5 through 10 years
162,877

 
160,923

 
1,180

 
1,171

Due after 10 years
368,815

 
352,197

 
—

 
—

 
$
795,771

 
$
776,400

 
$
1,180

 
$
1,171

CMBS
262

 
261

 
—

 
—

Other asset-backed securities
15,016

 
14,823

 
—

 
—

Total mortgage and asset-backed securities
$
15,278

 
$
15,084

 
$
—

 
$
—

Total fixed maturities - Trading - Life Funds Withheld Assets
$
811,049

 
$
791,484

 
$
1,180

 
$
1,171
Summary of unrealized losses
The following is an analysis of how long the AFS securities as of June 30, 2015 and December 31, 2014 had been in a continual unrealized loss position:
 
Less than 12 months
 
Equal to or greater
than 12 months
June 30, 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
$
1,721,385

 
$
(12,211
)
 
$
109,027

 
$
(4,666
)
Corporate – Financials
1,054,854

 
(13,737
)
 
76,450

 
(6,846
)
Corporate – Non Financials
2,305,696

 
(41,526
)
 
146,220

 
(9,582
)
RMBS – Agency
1,136,559

 
(12,171
)
 
245,806

 
(8,649
)
RMBS – Non-Agency
45,052

 
(1,959
)
 
197,361

 
(15,962
)
CMBS
295,914

 
(5,263
)
 
100,100

 
(3,048
)
CDO
39,969

 
(5,506
)
 
322,684

 
(19,067
)
Other asset-backed securities
1,014,257

 
(6,535
)
 
59,985

 
(5,392
)
U.S. States and political subdivisions of the States
706,360

 
(10,617
)
 
17,546

 
(1,181
)
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
1,736,079

 
(38,213
)
 
459,362

 
(33,833
)
Total fixed maturities and short-term investments - AFS
$
10,056,125

 
$
(147,738
)
 
$
1,734,541

 
$
(108,226
)
Total equity securities
$
267,759

 
$
(26,787
)
 
$
—

 
$
—


 
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 – Financials
387,619

 
(5,858
)
 
105,155

 
(7,097
)
Corporate – Non Financials
949,851

 
(28,023
)
 
319,066

 
(8,657
)
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 June 30,
 
Six months ended June 30,
(U.S. dollars in thousands)
2015
 
2014
 
2015
 
2014
Net realized gains (losses) on investments - excluding Life Funds Withheld Assets:
 
 
 
 
 
 
 
Gross realized gains
$
48,547

 
$
118,947

 
$
110,845

 
$
170,160

Gross realized losses on investments sold
(27,608
)
 
(13,487
)
 
(74,728
)
 
(41,744
)
OTTI on investments, net of amounts transferred to other comprehensive income
(16,588
)
 
(24,616
)
 
(27,164
)
 
(28,343
)
 
$
4,351

 
$
80,844

 
$
8,953

 
$
100,073

Net realized gains (losses) on investments and net unrealized gains (losses) on investments, Trading - Life Funds Withheld Assets:
 
 
 
 
 
 
 
Gross realized gains
$
84,641

 
$
624

 
$
137,769

 
$
624

Gross realized losses on investments sold
(16,604
)
 
—

 
(16,994
)
 
—

OTTI on investments, net of amounts transferred to other comprehensive income
(2,878
)
 
(8,771
)
 
(8,087
)
 
(8,771
)
Net unrealized gains (losses) on trading securities
$
(19,543
)
 
$
—

 
$
(18,783
)
 
$
—

 
$
45,616

 
$
(8,147
)
 
$
93,905

 
$
(8,147
)
Total net realized gains (losses) on investments
$
49,967

 
$
72,697

 
$
102,858

 
$
91,926
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 June 30,
 
Six months ended June 30,
(U.S. dollars in thousands)
2015
 
2014
 
2015
 
2014
Opening balance as of beginning of indicated period
$
108,458

 
$
171,382

 
$
131,942

 
$
174,805

Credit loss impairment recognized in the current period on securities not previously impaired
—

 
30

 
7,560

 
41

Credit loss impairments previously recognized on securities which matured, paid down, prepaid or were sold during the period
(8,495
)
 
(3,322
)
 
(37,034
)
 
(7,571
)
Credit loss impairments previously recognized on securities impaired to fair value during the period
(2,629
)
 
—

 
(2,629
)
 
—

Additional credit loss impairments recognized in the current period on securities previously impaired
246

 
892

 
387

 
3,153

Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected
(3,361
)
 
(3,105
)
 
(6,007
)
 
(4,551
)
Balance as of June 30,
$
94,219

 
$
165,877

 
$
94,219

 
$
165,877