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Investments (Tables)
 9 Months Ended
Sep. 30, 2017
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 Other-Than-Temporary Impairments ("OTTI") recorded in accumulated other comprehensive income ("AOCI"), of the Company's Available for Sale ("AFS") investments at September 30, 2017 and December 31, 2016 were as follows:
 
 
 
Included in AOCI
 
 
 
 
September 30, 2017
(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 Agencies ("U.S. Government")
$
4,291,972

 
$
41,348

 
$
(19,984
)
 
$
4,313,336

 
$
—

U.S. States, municipalities and political subdivisions
2,009,472

 
102,610

 
(865
)
 
2,111,217

 
—

Non-U.S. Governments
5,204,769

 
117,205

 
(61,337
)
 
5,260,637

 
—

Corporate
9,897,084

 
229,162

 
(53,272
)
 
10,072,974

 
(18
)
Residential mortgage-backed securities ("RMBS")
4,907,674

 
56,400

 
(22,372
)
 
4,941,702

 
(10,092
)
Commercial mortgage-backed securities ("CMBS")
1,277,629

 
9,407

 
(9,042
)
 
1,277,994

 
(802
)
Other asset-backed securities
1,546,625

 
27,940

 
(7,050
)
 
1,567,515

 
(35,510
)
Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
$
29,135,225

 
$
584,072

 
$
(173,922
)
 
$
29,545,375

 
$
(46,422
)
Total short-term investments - Excluding Life Funds Withheld Assets
336,071

 
657

 
(674
)
 
336,054

 
—

Total equity securities - Excluding Life Funds Withheld Assets
920,130

 
94,489

 
(2,677
)
 
1,011,942

 
—

Total investments - AFS - Excluding Life Funds Withheld Assets
$
30,391,426

 
$
679,218

 
$
(177,273
)
 
$
30,893,371

 
$
(46,422
)
Fixed maturities - AFS - Life Funds Withheld Assets
 

 
 

 
 

 
 

 
 

U.S. Government
$
9,020

 
$
2,070

 
$
—

 
$
11,090

 
$
—

Non-U.S. Governments
457,936

 
153,907

 
—

 
611,843

 
—

Corporate
981,474

 
230,077

 
—

 
1,211,551

 
—

RMBS
503

 
86

 
—

 
589

 
—

CMBS
98,779

 
23,444

 
—

 
122,223

 
—

Other asset-backed securities
139,999

 
32,839

 
—

 
172,838

 
—

Total fixed maturities - AFS - Life Funds Withheld Assets
$
1,687,711

 
$
442,423

 
$
—

 
$
2,130,134

 
$
—

Total investments - AFS
$
32,079,137

 
$
1,121,641

 
$
(177,273
)
 
$
33,023,505

 
$
(46,422
)
 
____________
(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.

 
 
 
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 - Excluding Life Funds Withheld Assets
 

 
 

 
 

 
 

 
 

U.S. Government
$
3,874,038

 
$
53,172

 
$
(32,822
)
 
$
3,894,388

 
$
—

U.S. States, municipalities and political subdivisions
2,399,490

 
86,041

 
(7,419
)
 
2,478,112

 
—

Non-U.S. Governments
5,037,482

 
112,772

 
(120,122
)
 
5,030,132

 
—

Corporate
10,055,757

 
198,082

 
(119,110
)
 
10,134,729

 
(36
)
RMBS
4,479,722

 
71,045

 
(58,142
)
 
4,492,625

 
(47,879
)
CMBS
670,005

 
5,955

 
(10,774
)
 
665,186

 
(1,191
)
Other asset-backed securities
1,252,435

 
13,195

 
(12,242
)
 
1,253,388

 
(2,029
)
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
)
Fixed maturities - AFS - Life Funds Withheld Assets
 
 
 
 
 
 
 
 
 
U.S. Government
$
8,468

 
$
2,109

 
$
—

 
$
10,577

 
$
—

Non-U.S. Governments
454,695

 
169,982

 
—

 
624,677

 
—

Corporate
1,173,670

 
280,938

 
—

 
1,454,608

 
—

RMBS
19,591

 
2,789

 
—

 
22,380

 
—

CMBS
77,762

 
16,478

 
—

 
94,240

 
—

Other asset-backed securities
84,541

 
17,019

 
—

 
101,560

 
—

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.
The cost (amortized cost for fixed maturities and short-term investments) and fair value of the trading investments at September 30, 2017 and December 31, 2016 were as follows:
September 30, 2017
(U.S. dollars in thousands)
Amortized
Cost
 
Fair Value
Fixed maturities - trading securities ("Trading") - Life Funds Withheld Assets
 

 
 

U.S. Government
$
16,882

 
$
15,815

Non-U.S. Governments
457,983

 
465,262

Corporate
1,299,270

 
1,334,783

RMBS
886

 
818

CMBS
7,453

 
7,581

Other asset-backed securities
40,932

 
42,206

Total fixed maturities - Trading - Life Funds Withheld Assets
$
1,823,406

 
$
1,866,465

Total short-term investments - Trading - Life Funds Withheld Assets
$
9,362

 
$
9,361

Total investments - Trading - Life Funds Withheld Assets
$
1,832,768

 
$
1,875,826

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

U.S. States, municipalities and political subdivisions
219

 
224

Non-U.S. Governments
426,225

 
444,944

Corporate
1,062,853

 
1,111,205

RMBS
936

 
961

CMBS
5,242

 
5,526

Other asset-backed securities
38,342

 
39,446

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
Contractual maturities summary
The contractual maturities of AFS fixed income securities at September 30, 2017 and December 31, 2016 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, 2017

December 31, 2016
(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
$
1,686,672

 
$
1,702,285

 
$
2,121,088

 
$
2,135,262

Due after 1 through 5 years
12,366,653

 
12,483,526

 
12,400,798

 
12,463,844

Due after 5 through 10 years
6,194,107

 
6,294,833

 
5,509,194

 
5,531,402

Due after 10 years
1,155,865

 
1,277,520

 
1,335,687

 
1,406,853

 
$
21,403,297

 
$
21,758,164

 
$
21,366,767

 
$
21,537,361

RMBS
4,907,674

 
4,941,702

 
4,479,722

 
4,492,625

CMBS
1,277,629

 
1,277,994

 
670,005

 
665,186

Other asset-backed securities
1,546,625

 
1,567,515

 
1,252,435

 
1,253,388

Total mortgage and asset-backed securities
$
7,731,928

 
$
7,787,211

 
$
6,402,162

 
$
6,411,199

Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
$
29,135,225

 
$
29,545,375

 
$
27,768,929

 
$
27,948,560

Fixed maturities - AFS - Life Funds Withheld Assets
 

 
 

 
 

 
 

Due less than one year
$
31,584

 
$
33,765

 
$
71,207

 
$
80,749

Due after 1 through 5 years
296,748

 
323,436

 
289,710

 
318,605

Due after 5 through 10 years
216,651

 
258,462

 
274,727

 
324,759

Due after 10 years
903,447

 
1,218,821

 
1,001,189

 
1,365,749

 
$
1,448,430

 
$
1,834,484

 
$
1,636,833

 
$
2,089,862

RMBS
503

 
589

 
19,591

 
22,380

CMBS
98,779

 
122,223

 
77,762

 
94,240

Other asset-backed securities
139,999

 
172,838

 
84,541

 
101,560

Total mortgage and asset-backed securities
$
239,281

 
$
295,650

 
$
181,894

 
$
218,180

Total fixed maturities - AFS - Life Funds Withheld Assets
$
1,687,711

 
$
2,130,134

 
$
1,818,727

 
$
2,308,042

Total fixed maturities - AFS
$
30,822,936

 
$
31,675,509

 
$
29,587,656

 
$
30,256,602

 
 
 
 
 
 
 
 

September 30, 2017

December 31, 2016
(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
$
57,208

 
$
56,657

 
$
59,138

 
$
59,553

Due after 1 through 5 years
481,836

 
487,343

 
322,574

 
328,997

Due after 5 through 10 years
577,671

 
585,182

 
507,631

 
521,505

Due after 10 years
657,420

 
686,678

 
614,315

 
661,026

 
$
1,774,135

 
$
1,815,860

 
$
1,503,658

 
$
1,571,081

RMBS
886

 
818

 
936

 
961

CMBS
7,453

 
7,581

 
5,242

 
5,526

Other asset-backed securities
40,932

 
42,206

 
38,342

 
39,446

Total mortgage and asset-backed securities
$
49,271

 
$
50,605

 
$
44,520

 
$
45,933

Total fixed maturities - Trading - Life Funds Withheld Assets
$
1,823,406

 
$
1,866,465

 
$
1,548,178

 
$
1,617,014
Summary of unrealized losses
The following is an analysis of how long the AFS securities at September 30, 2017 and December 31, 2016 have been in a continual unrealized loss position:
 
Less than 12 months
 
Equal to or greater
than 12 months
September 30, 2017
(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
$
2,744,113

 
$
(14,476
)
 
$
319,287

 
$
(5,938
)
U.S. States, municipalities and political subdivisions
116,193

 
(690
)
 
13,207

 
(174
)
Non-U.S. Governments
1,458,435

 
(18,482
)
 
654,433

 
(43,097
)
Corporate
1,860,565

 
(16,568
)
 
578,271

 
(36,706
)
RMBS
2,079,510

 
(12,193
)
 
412,261

 
(10,179
)
CMBS
569,284

 
(3,959
)
 
109,574

 
(5,082
)
Other asset-backed securities
356,217

 
(1,044
)
 
118,960

 
(6,008
)
Total fixed maturities and short-term investments - AFS
$
9,184,317

 
$
(67,412
)
 
$
2,205,993

 
$
(107,184
)
Total equity securities
$
38,170

 
$
(2,677
)
 
$
—

 
$
—

 
Less than 12 months
 
Equal to or greater
than 12 months
December 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
$
2,456,685

 
$
(30,640
)
 
$
43,873

 
$
(2,237
)
U.S. States, municipalities and political subdivisions
457,288

 
(6,983
)
 
4,287

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

 
(75,596
)
 
288,490

 
(45,480
)
Corporate
3,414,252

 
(81,594
)
 
264,920

 
(37,595
)
RMBS
2,459,545

 
(41,194
)
 
302,810

 
(16,948
)
CMBS
467,757

 
(9,470
)
 
9,665

 
(1,304
)
Other asset-backed securities
777,435

 
(3,888
)
 
37,535

 
(8,441
)
Total fixed maturities and short-term investments - AFS
$
11,830,367

 
$
(249,365
)
 
$
951,580

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

 
$
(8,210
)
 
$
—

 
$
—
Analysis of net realized gains (losses) on investments
The following represents an analysis of net realized and unrealized 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)
2017
 
2016
 
2017
 
2016
Net realized gains (losses) on investments - excluding Life Funds Withheld Assets:
 
 
 
 
 
 
 
Gross realized gains
$
80,313

 
$
98,452

 
$
211,481

 
$
241,855

Gross realized losses on investments sold
(44,926
)
 
(30,038
)
 
(114,623
)
 
(110,287
)
OTTI on investments, net of amounts transferred to other comprehensive income
(3,661
)
 
(10,019
)
 
(11,745
)
 
(62,121
)
 
$
31,726

 
$
58,395

 
$
85,113

 
$
69,447

Net realized gains (losses) on investments and net unrealized gains (losses) on investments, Trading - Life Funds Withheld Assets:
 
 
 
 
 
 
 
Gross realized gains
$
19,284

 
$
44,183

 
$
84,535

 
$
140,703

Gross realized losses on investments sold
(405
)
 
(172
)
 
(1,404
)
 
(32,162
)
OTTI on investments, net of amounts transferred to other comprehensive income
—

 
—

 
—

 
(2,598
)
Net unrealized gains (losses) on trading securities
$
(7,331
)
 
$
41,270

 
$
(31,056
)
 
$
165,653

 
$
11,548

 
$
85,281

 
$
52,075

 
$
271,596

Total net realized gains (losses) on investments
$
43,274

 
$
143,676

 
$
137,188

 
$
341,043
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 Other Comprehensive Income ("OCI"), held by the Company at 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)
2017
 
2016
 
2017
 
2016
Opening balance at beginning of indicated period
$
54,437

 
$
73,391

 
$
61,595

 
$
73,469

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

 
811

 
124

 
12,049

Credit loss impairments previously recognized on securities that matured or were paid down, prepaid or sold during the period
(6,382
)
 
(7,760
)
 
(10,289
)
 
(15,579
)
Additional credit loss impairments recognized in the current period on securities previously impaired
300

 
911

 
564

 
2,014

Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected
(1,577
)
 
(2,003
)
 
(5,216
)
 
(6,603
)
Closing balance at end of indicated period
$
46,778

 
$
65,350

 
$
46,778

 
$
65,350