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Investments (Tables)
 3 Months Ended
Mar. 31, 2016
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 AOCI, of the Company’s AFS investments as of March 31, 2016 and December 31, 2015, were as follows:
 
 
 
Included in AOCI
 
 
 
 
March 31, 2016
(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
$
4,483,796

 
$
101,066

 
$
(7,875
)
 
$
4,576,987

 
$
—

Corporate - Financials
3,656,521

 
75,341

 
(27,547
)
 
3,704,315

 
—

Corporate - Non Financials
6,935,636

 
210,829

 
(54,955
)
 
7,091,510

 
—

RMBS – Agency
4,259,838

 
112,260

 
(5,091
)
 
4,367,007

 
—

RMBS – Non-Agency
303,377

 
20,313

 
(20,847
)
 
302,843

 
(52,025
)
CMBS
317,886

 
10,324

 
(2,725
)
 
325,485

 
(1,163
)
CDO
25,845

 
2

 
(4,118
)
 
21,729

 
(1,208
)
Other asset-backed securities
1,154,679

 
19,123

 
(10,904
)
 
1,162,898

 
(1,027
)
U.S. States and political subdivisions of the States
2,436,400

 
149,140

 
(793
)
 
2,584,747

 
—

Non-U.S. Governments
5,442,418

 
161,392

 
(57,115
)
 
5,546,695

 
—

Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
$
29,016,396

 
$
859,790

 
$
(191,970
)
 
$
29,684,216

 
$
(55,423
)
Total short-term investments - Excluding Life Funds Withheld Assets
317,939

 
433

 
(1,068
)
 
317,304

 
—

Total equity securities
831,543

 
93,517

 
(46,653
)
 
878,407

 
—

Total investments - AFS - Excluding Life Funds Withheld Assets
$
30,165,878

 
$
953,740

 
$
(239,691
)
 
$
30,879,927

 
$
(55,423
)
Fixed maturities - AFS - Life Funds Withheld Assets
 

 
 

 
 

 
 

 
 

U.S. Government
$
10,315

 
$
2,377

 
$
—

 
$
12,692

 
$
—

Corporate - Financials
486,901

 
60,378

 
—

 
547,279

 
—

Corporate - Non Financials
1,058,886

 
210,376

 
—

 
1,269,262

 
—

RMBS – Agency
597

 
136

 
—

 
733

 
—

RMBS – Non-Agency
23,172

 
2,657

 
—

 
25,829

 
—

CMBS
92,586

 
16,328

 
—

 
108,914

 
—

Other asset-backed securities
105,635

 
16,086

 
—

 
121,721

 
—

Non-U.S. Governments
650,259

 
226,668

 
—

 
876,927

 
—

Total fixed maturities - AFS - Life Funds Withheld Assets
$
2,428,351

 
$
535,006

 
$
—

 
$
2,963,357

 
$
—

Total investments - AFS
$
32,594,229

 
$
1,488,746

 
$
(239,691
)
 
$
33,843,284

 
$
(55,423
)
 
____________
(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.

December 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
$
5,047,621

 
$
52,355

 
$
(34,339
)
 
$
5,065,637

 
$
—

Corporate - Financials
3,535,830

 
49,535

 
(23,456
)
 
3,561,909

 
—

Corporate - Non Financials
6,867,525

 
130,568

 
(97,646
)
 
6,900,447

 
—

RMBS – Agency
3,697,756

 
77,776

 
(17,561
)
 
3,757,971

 
—

RMBS – Non-Agency
319,876

 
25,644

 
(16,980
)
 
328,540

 
(54,200
)
CMBS
401,713

 
7,933

 
(4,330
)
 
405,316

 
(1,182
)
CDOs
41,679

 
4

 
(9,273
)
 
32,410

 
(1,208
)
Other asset-backed securities
1,164,426

 
17,665

 
(13,519
)
 
1,168,572

 
(1,144
)
U.S. States and political subdivisions of the States
2,514,048

 
125,395

 
(7,373
)
 
2,632,070

 
—

Non-U.S. Government
5,249,148

 
100,383

 
(97,917
)
 
5,251,614

 
—

Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
$
28,839,622

 
$
587,258

 
$
(322,394
)
 
$
29,104,486

 
$
(57,734
)
Total short-term investments - Excluding Life Funds Withheld Assets
$
618,851

 
$
967

 
$
(2,428
)
 
$
617,390

 
$
—

Total equity securities - Excluding Life Funds Withheld Assets
$
834,079

 
$
89,993

 
$
(45,153
)
 
$
878,919

 
$
—

Total investments - AFS - Excluding Life Funds Withheld Assets
$
30,292,552

 
$
678,218

 
$
(369,975
)
 
$
30,600,795

 
$
(57,734
)
Fixed maturities - AFS - Life Funds Withheld Assets
 
 
 
 
 
 
 
 
 
U.S. Government
$
10,721

 
$
2,021

 
$
—

 
$
12,742

 
$
—

Corporate - Financials
531,016

 
67,220

 
—

 
598,236

 
—

Corporate - Non Financials
1,132,926

 
175,702

 
—

 
1,308,628

 
—

RMBS – Agency
591

 
161

 
—

 
752

 
—

RMBS – Non-Agency
24,401

 
2,552

 
—

 
26,953

 
—

CMBS
107,968

 
14,513

 
—

 
122,481

 
—

Other asset-backed securities
132,674

 
17,121

 
—

 
149,795

 
—

Non-U.S. Governments
737,735

 
195,781

 
—

 
933,516

 
—

Total fixed maturities - AFS - Life Funds Withheld Assets
$
2,678,032

 
$
475,071

 
$
—

 
$
3,153,103

 
$
—

Total investments - AFS
$
32,970,584

 
$
1,153,289

 
$
(369,975
)
 
$
33,753,898

 
$
(57,734
)
 ____________
(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.
The cost (amortized cost for fixed maturities and short-term investments) and fair value of the Company’s Trading investments at December 31, 2016 and 2015, were as follows:
March 31, 2016
(U.S. dollars in thousands)
Amortized
Cost
 
Fair Value
Fixed maturities - Trading - Life Funds Withheld Assets
 

 
 

U.S. Government
$
15,567

 
$
15,267

Corporate - Financials
379,848

 
382,755

Corporate - Non Financials
549,458

 
558,284

RMBS – Agency
1,917

 
1,869

CMBS
4,675

 
4,760

Other asset-backed securities
25,457

 
25,615

Non-U.S. Governments
390,986

 
421,033

Total fixed maturities - Trading - Life Funds Withheld Assets
$
1,367,908

 
$
1,409,583

Total short-term investments - Trading - Life Funds Withheld Assets
$
26,949

 
$
26,959

Total investments - Trading - Life Funds Withheld Assets
$
1,394,857

 
$
1,436,542

December 31, 2015
(U.S. dollars in thousands)
Amortized
Cost
 
Fair Value
Fixed maturities - Trading - Life Funds Withheld Assets
 

 
 

U.S. Government
$
4,957

 
$
4,990

Corporate - Financials
344,070

 
335,956

Corporate - Non Financials
509,441

 
493,621

RMBS – Agency
370

 
368

CMBS
4,874

 
4,803

Other asset-backed securities
26,405

 
25,700

Non-U.S. Governments
373,492

 
370,261

Total fixed maturities - Trading - Life Funds Withheld Assets
$
1,263,609

 
$
1,235,699

Total short-term investments - Trading - Life Funds Withheld Assets
$
60,176

 
$
60,330

Total investments - Trading - Life Funds Withheld Assets
$
1,323,785

 
$
1,296,029
Contractual maturities summary
The contractual maturities of AFS fixed income securities at March 31, 2016 and December 31, 2015 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, 2016

December 31, 2015
(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
$
2,156,182

 
$
2,151,862

 
$
2,106,851

 
$
2,104,106

Due after 1 through 5 years
13,787,996

 
14,020,514

 
14,051,494

 
14,143,461

Due after 5 through 10 years
5,622,857

 
5,828,464

 
5,680,830

 
5,740,954

Due after 10 years
1,387,736

 
1,503,414

 
1,374,997

 
1,423,156

 
$
22,954,771

 
$
23,504,254

 
$
23,214,172

 
$
23,411,677

RMBS – Agency
4,259,838

 
4,367,007

 
3,697,756

 
3,757,971

RMBS – Non-Agency
303,377

 
302,843

 
319,876

 
328,540

CMBS
317,886

 
325,485

 
401,713

 
405,316

CDOs
25,845

 
21,729

 
41,679

 
32,410

Other asset-backed securities
1,154,679

 
1,162,898

 
1,164,426

 
1,168,572

Total mortgage and asset-backed securities
$
6,061,625

 
$
6,179,962

 
$
5,625,450

 
$
5,692,809

Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
$
29,016,396

 
$
29,684,216

 
$
28,839,622

 
$
29,104,486

Fixed maturities - AFS - Life Funds Withheld Assets
 

 
 

 
 

 
 

Due less than one year
$
78,629

 
$
88,560

 
$
81,700

 
$
92,921

Due after 1 through 5 years
361,106

 
391,528

 
386,810

 
416,743

Due after 5 through 10 years
470,386

 
547,171

 
491,621

 
558,805

Due after 10 years
1,296,240

 
1,678,901

 
1,452,267

 
1,784,653

 
$
2,206,361

 
$
2,706,160

 
$
2,412,398

 
$
2,853,122

RMBS – Agency
597

 
733

 
591

 
752

RMBS – Non-Agency
23,172

 
25,829

 
24,401

 
26,953

CMBS
92,586

 
108,914

 
107,968

 
122,481

Other asset-backed securities
105,635

 
121,721

 
132,674

 
149,795

Total mortgage and asset-backed securities
$
221,990

 
$
257,197

 
$
265,634

 
$
299,981

Total fixed maturities - AFS - Life Funds Withheld Assets
$
2,428,351

 
$
2,963,357

 
$
2,678,032

 
$
3,153,103

Total fixed maturities - AFS
$
31,444,747

 
$
32,647,573

 
$
31,517,654

 
$
32,257,589


March 31, 2016

December 31, 2015
(U.S. dollars in thousands)
Amortized
Cost

Fair
Value

Amortized
Cost

Fair
Value
Fixed maturities - Trading - Life Funds Withheld Assets
 

 
 

 
 

 
 

Due less than one year
$
8,177

 
$
8,831

 
$
4,573

 
$
5,096

Due after 1 through 5 years
290,320

 
291,356

 
278,163

 
272,220

Due after 5 through 10 years
314,590

 
320,720

 
280,487

 
277,920

Due after 10 years
722,772

 
756,432

 
668,737

 
649,592

 
$
1,335,859

 
$
1,377,339

 
$
1,231,960

 
$
1,204,828

RMBS – Agency
1,917

 
1,869

 
370

 
368

CMBS
4,675

 
4,760

 
4,874

 
4,803

Other asset-backed securities
25,457

 
25,615

 
26,405

 
25,700

Total mortgage and asset-backed securities
$
32,049

 
$
32,244

 
$
31,649

 
$
30,871

Total fixed maturities - Trading - Life Funds Withheld Assets
$
1,367,908

 
$
1,409,583

 
$
1,263,609

 
$
1,235,699
Summary of unrealized losses
The following is an analysis of how long the AFS securities as of March 31, 2016 and December 31, 2015 had been in a continual unrealized loss position:
 
Less than 12 months
 
Equal to or greater
than 12 months
March 31, 2016
(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
$
465,423

 
$
(4,923
)
 
$
96,406

 
$
(2,984
)
Corporate – Financials
588,595

 
(18,228
)
 
141,508

 
(9,330
)
Corporate – Non Financials
930,465

 
(29,994
)
 
287,849

 
(25,073
)
RMBS – Agency
151,135

 
(1,128
)
 
327,657

 
(3,963
)
RMBS – Non-Agency
35,930

 
(1,867
)
 
175,881

 
(18,980
)
CMBS
31,661

 
(255
)
 
55,310

 
(2,470
)
CDOs
12,368

 
(509
)
 
9,359

 
(3,609
)
Other asset-backed securities
282,395

 
(2,113
)
 
60,638

 
(8,791
)
U.S. States and political subdivisions of the States
91,846

 
(379
)
 
15,528

 
(414
)
Non-U.S. Governments
965,976

 
(22,116
)
 
370,747

 
(35,912
)
Total fixed maturities and short-term investments - AFS
$
3,555,794

 
$
(81,512
)
 
$
1,540,883

 
$
(111,526
)
Total equity securities
$
365,368

 
$
(46,653
)
 
$
—

 
$
—

 
Less than 12 months
 
Equal to or greater
than 12 months
December 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
$
3,762,869

 
$
(29,339
)
 
$
89,113

 
$
(5,044
)
Corporate – Financials
1,641,021

 
(13,280
)
 
102,022

 
(10,192
)
Corporate – Non Financials
3,275,270

 
(73,069
)
 
227,527

 
(24,706
)
RMBS – Agency
1,065,055

 
(10,046
)
 
221,211

 
(7,515
)
RMBS – Non-Agency
19,614

 
(1,104
)
 
180,146

 
(15,876
)
CMBS
118,605

 
(1,561
)
 
78,651

 
(2,769
)
CDOs
12,311

 
(516
)
 
20,096

 
(8,757
)
Other asset-backed securities
572,671

 
(5,252
)
 
57,563

 
(8,268
)
U.S. States and political subdivisions of the States
565,055

 
(6,609
)
 
12,259

 
(765
)
Non-U.S. Governments
1,921,286

 
(53,440
)
 
474,929

 
(46,714
)
Total fixed maturities and short-term investments - AFS
$
12,953,757

 
$
(194,216
)
 
$
1,463,517

 
$
(130,606
)
Total equity securities
$
356,742

 
$
(45,153
)
 
$
—

 
$
—
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)
2016
 
2015
Net realized gains (losses) on investments - excluding Life Funds Withheld Assets:
 
 
 
Gross realized gains
$
61,227

 
$
62,300

Gross realized losses on investments sold
(50,063
)
 
(47,122
)
OTTI on investments, net of amounts transferred to other comprehensive income
(19,580
)
 
(10,576
)
 
$
(8,416
)
 
$
4,602

Net realized gains (losses) on investments and net unrealized gains (losses) on investments, Trading - Life Funds Withheld Assets:
 
 
 
Gross realized gains
$
62,850

 
$
53,128

Gross realized losses on investments sold
(28,434
)
 
(390
)
OTTI on investments, net of amounts transferred to other comprehensive income
(2,346
)
 
(5,209
)
Net unrealized gains (losses) on trading securities
$
69,096

 
$
760

 
$
101,166

 
$
48,289

Total net realized gains (losses) on investments
$
92,750

 
$
52,891
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 and that were 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 March 31,
(U.S. dollars in thousands)
2016
 
2015
Opening balance as of beginning of indicated period
$
73,469

 
$
131,942

Credit loss impairment recognized in the current period on securities not previously impaired
10,567

 
7,560

Credit loss impairments previously recognized on securities that matured, paid down, prepaid or were sold during the period
(4,877
)
 
(28,539
)
Additional credit loss impairments recognized in the current period on securities previously impaired
230

 
141

Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected
(2,410
)
 
(2,646
)
Balance as of March 31,
$
76,979

 
$
108,458