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Investments (Tables)
 9 Months Ended
Sep. 30, 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 September 30, 2016 and December 31, 2015 were as follows:
 
 
 
Included in AOCI
 
 
 
 
September 30, 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 - Excluding Life Funds Withheld Assets
 
 
 
 
 
 
 
 
 
U.S. Government
$
3,828,005

 
$
108,504

 
$
(3,150
)
 
$
3,933,359

 
$
—

Corporate - Financials
3,687,552

 
104,004

 
(13,212
)
 
3,778,344

 
—

Corporate - Non Financials
6,693,500

 
256,933

 
(51,564
)
 
6,898,869

 
(39
)
RMBS – Agency
4,469,725

 
124,185

 
(2,136
)
 
4,591,774

 
—

RMBS – Non-Agency
279,130

 
21,381

 
(14,584
)
 
285,927

 
(48,731
)
CMBS
288,544

 
10,226

 
(2,666
)
 
296,104

 
(1,223
)
CDO
143,783

 
175

 
(2,677
)
 
141,281

 
(1,208
)
Other asset-backed securities
959,675

 
20,715

 
(7,220
)
 
973,170

 
(914
)
U.S. States and political subdivisions of the States
2,437,321

 
162,609

 
(1,076
)
 
2,598,854

 
—

Non-U.S. Governments
5,513,697

 
207,178

 
(78,734
)
 
5,642,141

 
—

Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
$
28,300,932

 
$
1,015,910

 
$
(177,019
)
 
$
29,139,823

 
$
(52,115
)
Total short-term investments - Excluding Life Funds Withheld Assets
655,792

 
815

 
(3,835
)
 
652,772

 
—

Total equity securities - Excluding Life Funds Withheld Assets
968,040

 
80,050

 
(9,925
)
 
1,038,165

 
—

Total investments - AFS - Excluding Life Funds Withheld Assets
$
29,924,764

 
$
1,096,775

 
$
(190,779
)
 
$
30,830,760

 
$
(52,115
)
Fixed maturities - AFS - Life Funds Withheld Assets
 

 
 

 
 

 
 

 
 

U.S. Government
$
9,405

 
$
2,986

 
$
—

 
$
12,391

 
$
—

Corporate - Financials
417,040

 
81,034

 
—

 
498,074

 
—

Corporate - Non Financials
888,588

 
296,434

 
—

 
1,185,022

 
—

RMBS – Agency
537

 
134

 
—

 
671

 
—

RMBS – Non-Agency
49

 
16

 
—

 
65

 
—

CMBS
83,828

 
22,141

 
—

 
105,969

 
—

Other asset-backed securities
112,446

 
25,483

 
—

 
137,929

 
—

Non-U.S. Governments
589,194

 
264,997

 
—

 
854,191

 
—

Total fixed maturities - AFS - Life Funds Withheld Assets
$
2,101,087

 
$
693,225

 
$
—

 
$
2,794,312

 
$
—

Total investments - AFS
$
32,025,851

 
$
1,790,000

 
$
(190,779
)
 
$
33,625,072

 
$
(52,115
)
 
____________
(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:
September 30, 2016
(U.S. dollars in thousands)
Amortized
Cost
 
Fair Value
Fixed maturities - Trading - Life Funds Withheld Assets
 

 
 

U.S. Government
$
16,438

 
$
16,866

Corporate - Financials
458,097

 
487,472

Corporate - Non Financials
616,770

 
675,644

RMBS – Agency
1,674

 
1,680

RMBS – Non-Agency
148

 
151

CMBS
5,198

 
5,614

Other asset-backed securities
25,744

 
27,699

Non-U.S. Governments
356,365

 
393,756

Total fixed maturities - Trading - Life Funds Withheld Assets
$
1,480,434

 
$
1,608,882

Total short-term investments - Trading - Life Funds Withheld Assets
$
24,179

 
$
24,169

Total investments - Trading - Life Funds Withheld Assets
$
1,504,613

 
$
1,633,051

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 as of September 30, 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.

September 30, 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
$
2,132,413

 
$
2,137,838

 
$
2,106,851

 
$
2,104,106

Due after 1 through 5 years
12,900,781

 
13,142,832

 
14,051,494

 
14,143,461

Due after 5 through 10 years
5,663,250

 
5,927,235

 
5,680,830

 
5,740,954

Due after 10 years
1,463,631

 
1,643,662

 
1,374,997

 
1,423,156

 
$
22,160,075

 
$
22,851,567

 
$
23,214,172

 
$
23,411,677

RMBS – Agency
4,469,725

 
4,591,774

 
3,697,756

 
3,757,971

RMBS – Non-Agency
279,130

 
285,927

 
319,876

 
328,540

CMBS
288,544

 
296,104

 
401,713

 
405,316

CDOs
143,783

 
141,281

 
41,679

 
32,410

Other asset-backed securities
959,675

 
973,170

 
1,164,426

 
1,168,572

Total mortgage and asset-backed securities
$
6,140,857

 
$
6,288,256

 
$
5,625,450

 
$
5,692,809

Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
$
28,300,932

 
$
29,139,823

 
$
28,839,622

 
$
29,104,486

Fixed maturities - AFS - Life Funds Withheld Assets
 

 
 

 
 

 
 

Due less than one year
$
70,372

 
$
82,442

 
$
81,700

 
$
92,921

Due after 1 through 5 years
316,288

 
348,173

 
386,810

 
416,743

Due after 5 through 10 years
369,152

 
453,723

 
491,621

 
558,805

Due after 10 years
1,148,415

 
1,665,340

 
1,452,267

 
1,784,653

 
$
1,904,227

 
$
2,549,678

 
$
2,412,398

 
$
2,853,122

RMBS – Agency
537

 
671

 
591

 
752

RMBS – Non-Agency
49

 
65

 
24,401

 
26,953

CMBS
83,828

 
105,969

 
107,968

 
122,481

Other asset-backed securities
112,446

 
137,929

 
132,674

 
149,795

Total mortgage and asset-backed securities
$
196,860

 
$
244,634

 
$
265,634

 
$
299,981

Total fixed maturities - AFS - Life Funds Withheld Assets
$
2,101,087

 
$
2,794,312

 
$
2,678,032

 
$
3,153,103

Total fixed maturities - AFS
$
30,402,019

 
$
31,934,135

 
$
31,517,654

 
$
32,257,589


September 30, 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
$
47,425

 
$
48,617

 
$
4,573

 
$
5,096

Due after 1 through 5 years
316,116

 
321,982

 
278,163

 
272,220

Due after 5 through 10 years
408,421

 
429,326

 
280,487

 
277,920

Due after 10 years
675,709

 
773,813

 
668,737

 
649,592

 
$
1,447,671

 
$
1,573,738

 
$
1,231,960

 
$
1,204,828

RMBS – Agency
1,674

 
1,680

 
370

 
368

RMBS – Non-Agency
148

 
151

 
—

 
—

CMBS
5,198

 
5,614

 
4,874

 
4,803

Other asset-backed securities
25,744

 
27,699

 
26,405

 
25,700

Total mortgage and asset-backed securities
$
32,764

 
$
35,144

 
$
31,649

 
$
30,871

Total fixed maturities - Trading - Life Funds Withheld Assets
$
1,480,435

 
$
1,608,882

 
$
1,263,609

 
$
1,235,699
Summary of unrealized losses
The following is an analysis of how long the AFS securities as of September 30, 2016 and December 31, 2015 had been in a continual unrealized loss position:
 
Less than 12 months
 
Equal to or greater
than 12 months
September 30, 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
$
545,749

 
$
(1,815
)
 
$
42,332

 
$
(1,341
)
Corporate – Financials
227,180

 
(8,009
)
 
70,183

 
(5,205
)
Corporate – Non Financials
822,596

 
(27,034
)
 
248,323

 
(24,598
)
RMBS – Agency
289,418

 
(574
)
 
157,061

 
(1,562
)
RMBS – Non-Agency
7,916

 
(238
)
 
172,875

 
(14,346
)
CMBS
85,587

 
(1,070
)
 
17,959

 
(1,596
)
CDOs
3,646

 
(315
)
 
3,574

 
(2,362
)
Other asset-backed securities
499,412

 
(1,172
)
 
60,103

 
(6,213
)
U.S. States and political subdivisions of the States
52,272

 
(977
)
 
9,909

 
(99
)
Non-U.S. Governments
983,007

 
(46,450
)
 
313,460

 
(35,878
)
Total fixed maturities and short-term investments - AFS
$
3,516,783

 
$
(87,654
)
 
$
1,095,779

 
$
(93,200
)
Total equity securities
$
309,423

 
$
(9,925
)
 
$
—

 
$
—

 
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
September 30,
 
Nine months ended
September 30,
(U.S. dollars in thousands)
2016
 
2015
 
2016
 
2015
Net realized gains (losses) on investments - excluding Life Funds Withheld Assets:
 
 
 
 
 
 
 
Gross realized gains
$
98,452

 
$
88,224

 
$
241,855

 
$
199,070

Gross realized losses on investments sold
(30,038
)
 
(45,711
)
 
(110,287
)
 
(120,440
)
OTTI on investments, net of amounts transferred to other comprehensive income
(10,019
)
 
(42,714
)
 
(62,121
)
 
(69,878
)
 
$
58,395

 
$
(201
)
 
$
69,447

 
$
8,752

Net realized gains (losses) on investments and net unrealized gains (losses) on investments, Trading - Life Funds Withheld Assets:
 
 
 
 
 
 
 
Gross realized gains
$
44,183

 
$
60,643

 
$
140,703

 
$
198,412

Gross realized losses on investments sold
(172
)
 
(6,863
)
 
(32,162
)
 
(23,857
)
OTTI on investments, net of amounts transferred to other comprehensive income
—

 
(2,023
)
 
(2,598
)
 
(10,110
)
Net unrealized gains (losses) on trading securities
$
41,270

 
$
(149
)
 
$
165,653

 
$
(18,932
)
 
$
85,281

 
$
51,608

 
$
271,596

 
$
145,513

Total net realized gains (losses) on investments
$
143,676

 
$
51,407

 
$
341,043

 
$
154,265
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 September 30,
 
Nine months ended September 30,
(U.S. dollars in thousands)
2016
 
2015
 
2016
 
2015
Opening balance as of beginning of indicated period
$
73,391

 
$
94,219

 
$
73,469

 
$
131,942

Credit loss impairment recognized in the current period on securities not previously impaired
811

 
2,004

 
12,049

 
9,565

Credit loss impairments previously recognized on securities that matured or were paid down, prepaid or sold during the period
(7,760
)
 
(1,531
)
 
(15,579
)
 
(38,564
)
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
911

 
945

 
2,014

 
1,331

Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected
(2,003
)
 
(2,165
)
 
(6,603
)
 
(8,173
)
Balance as of September 30,
$
65,350

 
$
93,472

 
$
65,350

 
$
93,472