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Investments (Tables)
 9 Months Ended
Sep. 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 September 30, 2015 and December 31, 2014, were as follows:
September 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
$
4,241,444

 
$
72,193

 
$
(14,914
)
 
$
4,298,723

 
$
—

Corporate - Financials
3,029,683

 
60,655

 
(17,808
)
 
3,072,530

 
—

Corporate - Non Financials (2)
6,735,784

 
191,026

 
(71,220
)
 
6,855,590

 
(3,309
)
RMBS – Agency
3,831,823

 
100,257

 
(8,591
)
 
3,923,489

 
—

RMBS – Non-Agency
351,793

 
27,528

 
(16,356
)
 
362,965

 
(55,474
)
CMBS
837,416

 
17,642

 
(4,974
)
 
850,084

 
(1,210
)
CDOs
419,019

 
1,486

 
(10,342
)
 
410,163

 
(1,460
)
Other asset-backed securities (2)
2,072,017

 
34,317

 
(10,736
)
 
2,095,598

 
(1,351
)
U.S. States and political subdivisions of the States
2,536,974

 
118,345

 
(6,649
)
 
2,648,670

 
—

Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
5,088,447

 
113,073

 
(81,371
)
 
5,120,149

 
—

Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
$
29,144,400

 
$
736,522

 
$
(242,961
)
 
$
29,637,961

 
$
(62,804
)
Total short-term investments - Excluding Life Funds Withheld Assets
$
545,979

 
$
1,589

 
$
(1,548
)
 
$
546,020

 
$
—

Total equity securities - Excluding Life Funds Withheld Assets
$
984,192

 
$
66,786

 
$
(81,272
)
 
$
969,706

 
$
—

Total investments - AFS - Excluding Life Funds Withheld Assets
$
30,674,571

 
$
804,897

 
$
(325,781
)
 
$
31,153,687

 
$
(62,804
)
Fixed maturities - AFS - Life Funds Withheld Assets
 
 
 
 
 
 
 
 
 
U.S. Government and Government-Related/Supported
$
10,998

 
$
2,414

 
$
—

 
$
13,412

 
$
—

Corporate - Financials
596,259

 
73,529

 
—

 
669,788

 
—

Corporate - Non Financials
1,273,946

 
206,166

 
—

 
1,480,112

 
—

RMBS – Agency
652

 
162

 
—

 
814

 
—

RMBS – Non-Agency
25,341

 
3,492

 
—

 
28,833

 
—

CMBS
121,266

 
19,900

 
—

 
141,166

 
—

Other asset-backed securities
141,774

 
21,097

 
—

 
162,871

 
—

Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
892,383

 
248,982

 
—

 
1,141,365

 
—

Total fixed maturities - AFS - Life Funds Withheld Assets
$
3,062,619

 
$
575,742

 
$
—

 
$
3,638,361

 
$
—

Total investments - AFS
$
33,737,190

 
$
1,380,639

 
$
(325,781
)
 
$
34,792,048

 
$
(62,804
)
 
 
 
 
 
 
 
 
 
 
Fixed maturities - Trading - Life Funds Withheld Assets
 
 
 
 
 
 
Amortized Cost
 
Fair Value
U.S. Government and Government-Related/Supported
 
 
 
 
 
 
$
4,614

 
$
4,610

Corporate - Financials
 
 
 
 
 
 
228,026

 
219,767

Corporate - Non Financials
 
 
 
 
 
 
409,745

 
393,246

CMBS
 
 
 
 
 
 
5,002

 
4,982

Other asset-backed securities
 
 
 
 
 
 
20,119

 
19,872

Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
 
 
 
 
 
 
337,249

 
342,746

Total investments - Trading - Life Funds Withheld Assets
 
 
 
 
 
 
$
1,004,755

 
$
985,223

___________
(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 $74.3 million and an amortized cost of $64.6 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
)
CDOs
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 - 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 September 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.

September 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
$
2,235,684

 
$
2,240,138

 
$
1,972,224

 
$
1,980,429

Due after 1 through 5 years
12,528,098

 
12,699,855

 
8,919,037

 
9,113,651

Due after 5 through 10 years
5,429,115

 
5,518,600

 
4,232,396

 
4,412,569

Due after 10 years
1,439,435

 
1,537,069

 
1,494,315

 
1,705,022

 
$
21,632,332

 
$
21,995,662

 
$
16,617,972

 
$
17,211,671

RMBS – Agency
3,831,823

 
3,923,489

 
3,625,171

 
3,728,576

RMBS – Non-Agency
351,793

 
362,965

 
404,398

 
427,351

CMBS
837,416

 
850,084

 
1,033,819

 
1,052,544

CDOs
419,019

 
410,163

 
717,544

 
692,034

Other asset-backed securities
2,072,017

 
2,095,598

 
1,028,528

 
1,065,293

Total mortgage and asset-backed securities
$
7,512,068

 
$
7,642,299

 
$
6,809,460

 
$
6,965,798

Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
$
29,144,400

 
$
29,637,961

 
$
23,427,432

 
$
24,177,469

Fixed maturities - AFS - Life Funds Withheld Assets
 

 
 

 
 

 
 

Due less than one year
$
93,671

 
$
104,481

 
$
117,048

 
$
125,326

Due after 1 through 5 years
441,114

 
472,560

 
638,526

 
685,787

Due after 5 through 10 years
585,388

 
671,738

 
1,004,698

 
1,165,348

Due after 10 years
1,653,413

 
2,055,898

 
2,059,637

 
2,649,279

 
$
2,773,586

 
$
3,304,677

 
$
3,819,909

 
$
4,625,740

RMBS – Agency
652

 
814

 
3,301

 
3,782

RMBS – Non-Agency
25,341

 
28,833

 
71,075

 
85,335

CMBS
121,266

 
141,166

 
168,886

 
193,167

Other asset-backed securities
141,774

 
162,871

 
238,168

 
273,541

Total mortgage and asset-backed securities
$
289,033

 
$
333,684

 
$
481,430

 
$
555,825

Total fixed maturities - AFS - Life Funds Withheld Assets
$
3,062,619

 
$
3,638,361

 
$
4,301,339

 
$
5,181,565

Total fixed maturities - AFS
$
32,207,019

 
$
33,276,322

 
$
27,728,771

 
$
29,359,034

Fixed maturities - Trading - Life Funds Withheld Assets
 

 
 

 
 

 
 

Due less than one year
$
71,135

 
$
71,139

 
$
—

 
$
—

Due after 1 through 5 years
239,984

 
233,244

 
—

 
—

Due after 5 through 10 years
178,020

 
176,077

 
1,180

 
1,171

Due after 10 years
490,495

 
479,909

 
—

 
—

 
$
979,634

 
$
960,369

 
$
1,180

 
$
1,171

CMBS
5,002

 
4,982

 
—

 
—

Other asset-backed securities
20,119

 
19,872

 
—

 
—

Total mortgage and asset-backed securities
$
25,121

 
$
24,854

 
$
—

 
$
—

Total fixed maturities - Trading - Life Funds Withheld Assets
$
1,004,755

 
$
985,223

 
$
1,180

 
$
1,171
Summary of unrealized losses
The following is an analysis of how long the AFS securities as of September 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
September 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
$
1,257,855

 
$
(10,402
)
 
$
89,971

 
$
(4,524
)
Corporate – Financials
862,043

 
(10,486
)
 
83,008

 
(7,327
)
Corporate – Non Financials
2,181,253

 
(51,087
)
 
218,856

 
(21,219
)
RMBS – Agency
590,089

 
(3,386
)
 
237,798

 
(5,205
)
RMBS – Non-Agency
28,054

 
(1,022
)
 
206,549

 
(15,334
)
CMBS
250,635

 
(2,361
)
 
87,257

 
(2,613
)
CDOs
118,002

 
(286
)
 
194,633

 
(10,056
)
Other asset-backed securities
639,048

 
(4,403
)
 
57,445

 
(6,342
)
U.S. States and political subdivisions of the States
444,195

 
(5,520
)
 
17,840

 
(1,131
)
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
1,379,798

 
(47,122
)
 
454,537

 
(34,683
)
Total fixed maturities and short-term investments - AFS
$
7,750,972

 
$
(136,075
)
 
$
1,647,894

 
$
(108,434
)
Total equity securities
$
524,692

 
$
(81,272
)
 
$
—

 
$
—


 
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
)
CDOs
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 September 30,
 
Nine months ended September 30,
(U.S. dollars in thousands)
2015
 
2014
 
2015
 
2014
Net realized gains (losses) on investments - excluding Life Funds Withheld Assets:
 
 
 
 
 
 
 
Gross realized gains
$
88,224

 
$
37,875

 
$
199,070

 
$
208,035

Gross realized losses on investments sold
(45,711
)
 
(26,918
)
 
(120,440
)
 
(68,662
)
OTTI on investments, net of amounts transferred to other comprehensive income
(42,714
)
 
(1,144
)
 
(69,878
)
 
(29,487
)
 
$
(201
)
 
$
9,813

 
$
8,752

 
$
109,886

Net realized gains (losses) on investments and net unrealized gains (losses) on investments, Trading - Life Funds Withheld Assets:
 
 
 
 
 
 
 
Gross realized gains
$
60,643

 
$
4,511

 
$
198,412

 
$
5,135

Gross realized losses on investments sold
(6,863
)
 
(2,489
)
 
(23,857
)
 
(2,489
)
OTTI on investments, net of amounts transferred to other comprehensive income
(2,023
)
 
(7,494
)
 
(10,110
)
 
(16,265
)
Net unrealized gains (losses) on trading securities
$
(149
)
 
$
—

 
$
(18,932
)
 
$
—

 
$
51,608

 
$
(5,472
)
 
$
145,513

 
$
(13,619
)
Total net realized gains (losses) on investments
$
51,407

 
$
4,341

 
$
154,265

 
$
96,267
Credit loss impairments on fixed inmcome securities rollforward
The following table sets forth the amount of credit loss impairments on fixed income securities for which a portion of the OTTI loss was recognized in OCI, held by the Company as of the dates or for the periods indicated and the corresponding changes in such amounts.
Credit Loss Impairments
Three months ended September 30,
 
Nine months ended September 30,
(U.S. dollars in thousands)
2015
 
2014
 
2015
 
2014
Opening balance as of beginning of indicated period
$
94,219

 
$
165,876

 
$
131,942

 
$
174,805

Credit loss impairment recognized in the current period on securities not previously impaired
2,004

 
93

 
9,565

 
134

Credit loss impairments previously recognized on securities that matured, paid down, prepaid or were sold during the period
(1,531
)
 
(1,840
)
 
(38,564
)
 
(10,042
)
Credit loss impairments previously recognized on securities impaired to fair value during the period
—

 
—

 
(2,629
)
 
—

Additional credit loss impairments recognized in the current period on securities previously impaired
945

 
729

 
1,331

 
3,882

Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected
(2,165
)
 
(2,471
)
 
(8,173
)
 
(6,392
)
Balance as of September 30,
$
93,472

 
$
162,387

 
$
93,472

 
$
162,387