XML 52 R39.htm IDEA: XBRL DOCUMENT v3.6.0.2
Investments (Tables)
 12 Months Ended
Dec. 31, 2016
Investments, Debt and Equity Securities [Abstract]  
Amortized cost and fair value summary - AFS
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 at December 31, 2016 and 2015 were as follows:
 
 
 
Included in AOCI
 
 
 
 
December 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 - Available for Sale ("AFS") - Excluding Life Funds Withheld Assets
 
 
 
 
 
 
 
 
 
U.S. Government and Government-Related/Supported ("U.S. Government")
$
3,874,038

 
$
53,172

 
$
(32,822
)
 
$
3,894,388

 
$
—

Corporate - Financials
3,587,557

 
59,968

 
(25,235
)
 
3,622,290

 
—

Corporate - Non Financials
6,468,200

 
138,114

 
(93,875
)
 
6,512,439

 
(36
)
Residential mortgage-backed securities - Agency ("RMBS – Agency")
4,213,845

 
49,913

 
(45,391
)
 
4,218,367

 
—

Residential mortgage-backed securities - Non-Agency ("RMBS – Non-Agency")
265,877

 
21,132

 
(12,751
)
 
274,258

 
(47,879
)
Commercial mortgage-backed securities ("CMBS")
670,005

 
5,955

 
(10,774
)
 
665,186

 
(1,191
)
Collateralized debt obligations ("CDO")
379,532

 
498

 
(2,539
)
 
377,491

 
(1,208
)
Other asset-backed securities
872,903

 
12,697

 
(9,703
)
 
875,897

 
(821
)
U.S. States and political subdivisions of the States
2,399,490

 
86,041

 
(7,419
)
 
2,478,112

 
—

Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported ("Non-U.S. Government")
5,037,482

 
112,772

 
(120,122
)
 
5,030,132

 
—

Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
$
27,768,929

 
$
540,262

 
$
(360,631
)
 
$
27,948,560

 
$
(51,135
)
Total short-term investments - Excluding Life Funds Withheld Assets
626,142

 
227

 
(1,176
)
 
625,193

 
—

Total equity securities - Excluding Life Funds Withheld Assets
996,610

 
48,931

 
(8,210
)
 
1,037,331

 
—

Total investments - AFS - Excluding Life Funds Withheld Assets
$
29,391,681

 
$
589,420

 
$
(370,017
)
 
$
29,611,084

 
$
(51,135
)
 
 
 
Included in AOCI
 
 
 
 
December 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 - Life Funds Withheld Assets
 

 
 

 
 

 
 

 
 

U.S. Government
$
8,468

 
$
2,109

 
$
—

 
$
10,577

 
$
—

Corporate - Financials
376,018

 
63,249

 
—

 
439,267

 
—

Corporate - Non Financials
797,652

 
217,689

 
—

 
1,015,341

 
—

RMBS – Agency
470

 
143

 
—

 
613

 
—

RMBS – Non-Agency
19,121

 
2,646

 
—

 
21,767

 
—

CMBS
77,762

 
16,478

 
—

 
94,240

 
—

Other asset-backed securities
84,541

 
17,019

 
—

 
101,560

 
—

Non--U.S. Government
454,695

 
169,982

 
—

 
624,677

 
—

Total fixed maturities - AFS - Life Funds Withheld Assets
$
1,818,727

 
$
489,315

 
$
—

 
$
2,308,042

 
$
—

Total investments - AFS
$
31,210,408

 
$
1,078,735

 
$
(370,017
)
 
$
31,919,126

 
$
(51,135
)
 
____________
(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. Government
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.
Amortized cost and fair value summary - Trading
The cost (amortized cost for fixed maturities and short-term investments) and fair value of trading investments at December 31, 2016 and 2015 were as follows:
December 31, 2016
(U.S. dollars in thousands)
Amortized
Cost
 
Fair Value
Fixed maturities - Trading - Life Funds Withheld Assets
 

 
 

U.S. Government
$
14,361

 
$
14,708

Corporate - Financials
450,990

 
468,175

Corporate - Non Financials
611,863

 
643,030

RMBS – Agency
835

 
852

RMBS – Non-Agency
101

 
109

CMBS
5,242

 
5,526

Other asset-backed securities
38,342

 
39,446

U.S. States and political subdivisions of the States
219

 
224

Non-U.S. Government
426,225

 
444,944

Total fixed maturities - Trading - Life Funds Withheld Assets
$
1,548,178

 
$
1,617,014

Total short-term investments - Trading - Life Funds Withheld Assets
$
9,536

 
$
9,563

Total investments - Trading - Life Funds Withheld Assets
$
1,557,714

 
$
1,626,577

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. Government
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 and Trading fixed income securities at December 31, 2016 and 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.
(U.S. dollars in thousands)
December 31, 2016
 
December 31, 2015
Amortized
Cost
 
Fair
Value
 
Amortized
Cost
 
Fair
Value
Fixed maturities - AFS - Excluding Life Funds Withheld Assets
 
 
 
 
 
 
 
Due less than one year
$
2,121,088

 
$
2,135,262

 
$
2,106,851

 
$
2,104,106

Due after 1 through 5 years
12,400,798

 
12,463,844

 
14,051,494

 
14,143,461

Due after 5 through 10 years
5,509,194

 
5,531,402

 
5,680,830

 
5,740,954

Due after 10 years
1,335,687

 
1,406,853

 
1,374,997

 
1,423,156

 
$
21,366,767

 
$
21,537,361

 
$
23,214,172

 
$
23,411,677

(U.S. dollars in thousands)
December 31, 2016
 
December 31, 2015
Amortized
Cost
 
Fair
Value
 
Amortized
Cost
 
Fair
Value
RMBS – Agency
$
4,213,845

 
$
4,218,367

 
$
3,697,756

 
$
3,757,971

RMBS – Non-Agency
265,877

 
274,258

 
319,876

 
328,540

CMBS
670,005

 
665,186

 
401,713

 
405,316

CDO
379,532

 
377,491

 
41,679

 
32,410

Other asset-backed securities
872,903

 
875,897

 
1,164,426

 
1,168,572

Total mortgage and asset-backed securities
$
6,402,162

 
$
6,411,199

 
$
5,625,450

 
$
5,692,809

Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
$
27,768,929

 
$
27,948,560

 
$
28,839,622

 
$
29,104,486

Fixed maturities - AFS - Life Funds Withheld Assets
 
 
 
 
 
 
 
Due less than one year
$
71,207

 
$
80,749

 
$
81,700

 
$
92,921

Due after 1 through 5 years
289,710

 
318,605

 
386,810

 
416,743

Due after 5 through 10 years
274,727

 
324,759

 
491,621

 
558,805

Due after 10 years
1,001,189

 
1,365,749

 
1,452,267

 
1,784,653

 
$
1,636,833

 
$
2,089,862

 
$
2,412,398

 
$
2,853,122

RMBS – Agency
$
470

 
$
613

 
$
591

 
$
752

RMBS – Non-Agency
19,121

 
21,767

 
24,401

 
26,953

CMBS
77,762

 
94,240

 
107,968

 
122,481

Other asset-backed securities
84,541

 
101,560

 
132,674

 
149,795

Total mortgage and asset-backed securities
$
181,894

 
$
218,180

 
$
265,634

 
$
299,981

Total fixed maturities - AFS - Life Funds Withheld Assets
$
1,818,727

 
$
2,308,042

 
$
2,678,032

 
$
3,153,103

Total fixed maturities - AFS
$
29,587,656

 
$
30,256,602

 
$
31,517,654

 
$
32,257,589

Fixed maturities - Trading - Life Funds Withheld Assets
 
 
 
 
 
 
 
Due less than one year
$
59,138

 
$
59,553

 
$
4,573

 
$
5,096

Due after 1 through 5 years
322,574

 
328,997

 
278,163

 
272,220

Due after 5 through 10 years
507,631

 
521,505

 
280,487

 
277,920

Due after 10 years
614,315

 
661,026

 
668,737

 
649,592

 
$
1,503,658

 
$
1,571,081

 
$
1,231,960

 
$
1,204,828

RMBS – Agency
835

 
852

 
370

 
368

RMBS – Non-Agency
101

 
109

 
—

 
—

CMBS
5,242

 
5,526

 
4,874

 
4,803

Other asset-backed securities
38,342

 
39,446

 
26,405

 
25,700

Total mortgage and asset-backed securities
44,520

 
45,933

 
31,649

 
30,871

Total fixed maturities - Trading - Life Funds Withheld Assets
$
1,548,178

 
$
1,617,014

 
$
1,263,609

 
$
1,235,699
Gross unrealized losses
The following is an analysis of how long the AFS securities at December 31, 2016 and 2015 had been in a continual unrealized loss position:
December 31, 2016
(U.S. dollars in thousands)
Less than 12 months
 
Equal to or greater
than 12 months
Fair Value
 
Gross
Unrealized
Losses
 
Fair Value
 
Gross
Unrealized
Losses
Fixed maturities and short-term investments - AFS
 
 
 
 
 
 
 
U.S. Government
$
2,456,685

 
$
(30,640
)
 
$
43,873

 
$
(2,237
)
Corporate - Financials
1,111,700

 
(19,010
)
 
59,091

 
(6,227
)
Corporate - Non Financials
2,302,552

 
(62,584
)
 
205,829

 
(31,368
)
RMBS – Agency
2,456,028

 
(40,989
)
 
136,014

 
(4,402
)
RMBS – Non-Agency
3,517

 
(205
)
 
166,796

 
(12,546
)
CMBS
467,757

 
(9,470
)
 
9,665

 
(1,304
)
CDO
105,653

 
(58
)
 
2,752

 
(2,481
)
Other asset-backed securities
671,782

 
(3,830
)
 
34,783

 
(5,960
)
U.S. States and political subdivisions of the States
457,288

 
(6,983
)
 
4,287

 
(437
)
Non-U.S. Government
1,797,405

 
(75,596
)
 
288,490

 
(45,480
)
Total fixed maturities and short-term investments - AFS
$
11,830,367

 
$
(249,365
)
 
$
951,580

 
$
(112,442
)
Total equity securities
$
130,487

 
$
(8,210
)
 
$
—

 
$
—

 
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. Government
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
)
 
$
—

 
$
—
Net investment income
Net investment income for the years ended December 31 is derived from the following sources:
(U.S. dollars in thousands)
2016
 
2015
 
2014
Fixed maturities, short term investments and cash equivalents - Excluding Life Funds Withheld Assets
$
713,237

 
$
726,161

 
$
809,964

Fixed maturities, short term investments and cash equivalents - Life Funds Withheld Assets
154,751

 
187,489

 
129,575

Equity securities and other investments
34,620

 
28,200

 
42,252

Interest on funds withheld
10,276

 
10,835

 
14,583

Total gross investment income
$
912,884

 
$
952,685

 
$
996,374

Investment expenses
(85,751
)
 
(80,315
)
 
(77,749
)
Total net investment income
$
827,133

 
$
872,370

 
$
918,625
Net realized gains (losses)
The following represents an analysis of net realized gains (losses), the change in unrealized gains (losses) on trading securities and net realized and unrealized gains (losses) on investment related derivative instruments for the years ended December 31:
(U.S. dollars in thousands)
2016
 
2015
 
2014
Fixed maturities, short term investments, cash and cash equivalents - Excluding Life Funds Withheld Assets:
 
 
 
 
 
Gross realized gains
$
192,119

 
$
187,523

 
$
119,817

Gross realized losses on investments sold
(151,013
)
 
(134,441
)
 
(66,892
)
OTTI on investments, net of amounts transferred to other comprehensive income
(48,432
)
 
(54,346
)
 
(12,341
)
Net realized gains (losses)
$
(7,326
)
 
$
(1,264
)
 
$
40,584

Equity securities:
 
 
 
 
 
Gross realized gains
$
140,864

 
$
79,556

 
$
96,260

Gross realized losses on investments sold
(11,882
)
 
(49,223
)
 
(12,270
)
OTTI on investments, net of amounts transferred to other comprehensive income
(30,126
)
 
(15,954
)
 
(10,944
)
Net realized gains (losses)
$
98,856

 
$
14,379

 
$
73,046

Other investments:
 
 
 
 
 
Gross realized gains
$
37,596

 
$
39,198

 
$
31,830

Gross realized losses on investments sold
(16,437
)
 
(19,656
)
 
(10,011
)
OTTI on investments, net of amounts transferred to other comprehensive income
—

 
(12,660
)
 
(12,458
)
Net realized gains (losses)
$
21,159

 
$
6,882

 
$
9,361

Net realized gains (losses) on investments - Excluding Life Funds Withheld Assets
$
112,689

 
$
19,997

 
$
122,991

Fixed maturities, short term investments, cash and cash equivalents - Life Funds Withheld Assets:
 
 
 
 
 
Gross realized gains
$
185,487

 
$
259,798

 
$
7,926

Gross realized losses on investments sold
(32,898
)
 
(36,526
)
 
(2,859
)
Net unrealized gains (losses) on investments, Trading - Life Funds Withheld Assets
109,458

 
(27,734
)
 
(9
)
OTTI on investments, net of amounts transferred to other comprehensive income
(2,598
)
 
(13,357
)
 
(20,587
)
Net realized gains (losses) on investments - Life Funds Withheld Assets
$
259,449

 
$
182,181

 
$
(15,529
)
Net realized gains (losses) on investments
$
372,138

 
$
202,178

 
$
107,462

Net realized and unrealized gains (losses) on investment related derivative instruments
$
2,521

 
$
(8,616
)
 
$
20,121

Net realized gains (losses) on investments and net realized and unrealized gains (losses) on investment related derivative instruments
$
374,659

 
$
193,562

 
$
127,583

(U.S. dollars in thousands)
2016
 
2015
 
2014
Change in unrealized gains (losses):
 
 
 
 
 
Fixed maturities – AFS - Excluding Life Funds Withheld Assets
$
(84,721
)
 
$
(486,140
)
 
$
360,463

Fixed maturities - AFS - Life Funds Withheld Assets
14,244

 
(405,155
)
 
880,226

Fixed maturities – HTM
—

 
—

 
(272,540
)
Equity securities
(4,119
)
 
(59,619
)
 
(32,577
)
Other investments
(63,096
)
 
(6,072
)
 
35,143

Net change in unrealized gains (losses) on investments
$
(137,692
)
 
$
(956,986
)
 
$
970,715

Total net realized gains (losses) on investments, net realized and unrealized gains (losses) on investment related derivative instruments, and net change in unrealized gains (losses) on investments
$
236,967

 
$
(763,424
)
 
$
1,098,298
Credit loss impairments
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 years ended December 31, 2016 and 2015 and the corresponding changes in such amounts.
Credit Loss Impairments
(U.S. dollars in thousands)
2016
 
2015
Opening balance at beginning of indicated period
$
73,469

 
$
131,942

Credit loss impairment recognized in the current period on securities not previously impaired
12,867

 
9,698

Credit loss impairments previously recognized on securities which matured, paid down, prepaid or were sold during the period
(18,178
)
 
(54,648
)
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
2,233

 
2,230

Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected
(8,796
)
 
(13,124
)
Closing balance at end of indicated period
$
61,595

 
$
73,469