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Investments
 3 Months Ended
Mar. 31, 2018
Investments, Debt and Equity Securities [Abstract]  
Investments
Investments
(a) Fixed Maturities, Short-Term Investments and Equity Securities
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 investments AFS at March 31, 2018 and December 31, 2017 were as follows:
 
 
 
Included in AOCI
 
 
 
 
March 31, 2018
(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")
$
4,207,380

 
$
29,290

 
$
(48,711
)
 
$
4,187,959

 
$
—

U.S. States, municipalities and political subdivisions
1,953,202

 
63,586

 
(3,626
)
 
2,013,162

 
—

Non-U.S. Governments
5,260,650

 
98,496

 
(52,495
)
 
5,306,651

 
—

Corporate
9,759,732

 
131,175

 
(148,237
)
 
9,742,670

 
—

Residential mortgage-backed securities ("RMBS")
4,606,275

 
26,883

 
(103,435
)
 
4,529,723

 
(8,434
)
Commercial mortgage-backed securities ("CMBS")
1,292,559

 
2,263

 
(35,303
)
 
1,259,519

 
(736
)
Other asset-backed securities
1,588,637

 
26,172

 
(6,413
)
 
1,608,396

 
(30,764
)
Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
$
28,668,435

 
$
377,865

 
$
(398,220
)
 
$
28,648,080

 
$
(39,934
)
Total short-term investments - Excluding Life Funds Withheld Assets
500,844

 
773

 
(1,447
)
 
500,170

 
—

Total investments - AFS - Excluding Life Funds Withheld Assets
$
29,169,279

 
$
378,638

 
$
(399,667
)
 
$
29,148,250

 
$
(39,934
)
Fixed maturities - AFS - Life Funds Withheld Assets
 

 
 

 
 

 
 

 
 

U.S. Government
$
9,420

 
$
2,196

 
$
—

 
$
11,616

 
$
—

Non-U.S. Governments
432,390

 
152,016

 
—

 
584,406

 
—

Corporate
919,151

 
202,052

 
—

 
1,121,203

 
—

RMBS
455

 
48

 
—

 
503

 
—

CMBS
105,505

 
24,565

 
—

 
130,070

 
—

Other asset-backed securities
132,990

 
27,760

 
—

 
160,750

 
—

Total fixed maturities - AFS - Life Funds Withheld Assets
$
1,599,911

 
$
408,637

 
$
—

 
$
2,008,548

 
$
—

Total investments - AFS
$
30,769,190

 
$
787,275

 
$
(399,667
)
 
$
31,156,798

 
$
(39,934
)
 
____________
(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, 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
$
4,358,503

 
$
37,782

 
$
(33,545
)
 
$
4,362,740

 
$
—

U.S. States, municipalities and political subdivisions
1,977,796

 
87,832

 
(988
)
 
2,064,640

 
—

Non-U.S. Governments
5,135,526

 
114,918

 
(48,863
)
 
5,201,581

 
—

Corporate
9,644,799

 
207,668

 
(57,334
)
 
9,795,133

 
(18
)
RMBS
4,717,542

 
41,983

 
(35,123
)
 
4,724,402

 
(8,795
)
CMBS
1,246,406

 
7,468

 
(9,857
)
 
1,244,017

 
(817
)
Other asset-backed securities
1,488,958

 
26,877

 
(6,472
)
 
1,509,363

 
(34,016
)
Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
$
28,569,530

 
$
524,528

 
$
(192,182
)
 
$
28,901,876

 
$
(43,646
)
Total short-term investments - Excluding Life Funds Withheld Assets
816,638

 
744

 
(1,901
)
 
815,481

 
—

Total equity securities - Excluding Life Funds Withheld Assets
638,455

 
80,679

 
(5,167
)
 
713,967

 
—

Total investments - AFS - Excluding Life Funds Withheld Assets
$
30,024,623

 
$
605,951

 
$
(199,250
)
 
$
30,431,324

 
$
(43,646
)
Fixed maturities - AFS - Life Funds Withheld Assets
 
 
 
 
 
 
 
 
 
U.S. Government
$
9,050

 
$
2,266

 
$
—

 
$
11,316

 
$
—

Non-U.S. Governments
433,664

 
150,870

 
—

 
584,534

 
—

Corporate
909,589

 
227,624

 
—

 
1,137,213

 
—

RMBS
448

 
67

 
—

 
515

 
—

CMBS
97,356

 
24,916

 
—

 
122,272

 
—

Other asset-backed securities
137,944

 
33,318

 
—

 
171,262

 
—

Total fixed maturities - AFS - Life Funds Withheld Assets
$
1,588,051

 
$
439,061

 
$
—

 
$
2,027,112

 
$
—

Total investments - AFS
$
31,612,674

 
$
1,045,012

 
$
(199,250
)
 
$
32,458,436

 
$
(43,646
)
 ____________
(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 amortized cost and fair value of trading investments at March 31, 2018 and December 31, 2017 were as follows:
March 31, 2018
(U.S. dollars in thousands)
Amortized
Cost
 
Fair Value
Fixed maturities trading - Life Funds Withheld Assets
 

 
 

U.S. Government
$
9,729

 
$
9,320

Non-U.S. Governments
485,495

 
497,108

Corporate
1,507,879

 
1,525,761

RMBS
1,023

 
893

CMBS
7,358

 
7,472

Other asset-backed securities
44,238

 
43,697

Total fixed maturities trading - Life Funds Withheld Assets
$
2,055,722

 
$
2,084,251

Total short-term investments trading - Life Funds Withheld Assets
$
7,428

 
$
7,425

Total investments trading - Life Funds Withheld Assets
$
2,063,150

 
$
2,091,676

December 31, 2017
(U.S. dollars in thousands)
Amortized
Cost
 
Fair Value
Fixed maturities trading - Life Funds Withheld Assets
 

 
 

U.S. Government
$
11,640

 
$
11,042

U.S. States, municipalities and political subdivisions
30

 
31

Non-U.S. Governments
473,849

 
485,171

Corporate
1,412,846

 
1,460,292

RMBS
1,020

 
932

CMBS
7,345

 
7,580

Other asset-backed securities
39,771

 
41,337

Total fixed maturities trading - Life Funds Withheld Assets
$
1,946,501

 
$
2,006,385

Total short-term investments trading - Life Funds Withheld Assets
$
14,969

 
$
14,965

Total investments trading - Life Funds Withheld Assets
$
1,961,470

 
$
2,021,350


At March 31, 2018 and December 31, 2017, approximately 3.5% and 3.3%, respectively, of the Company's fixed income investment portfolio at fair value, excluding cash and Life Funds Withheld Assets, was invested in securities that were below investment grade or not rated. Approximately 3.5% and 4.2% of the gross unrealized losses in the Company's fixed income investment portfolio, excluding cash and Life Funds Withheld Assets, at March 31, 2018 and December 31, 2017, respectively, related to securities that were below investment grade or not rated.
Contractual Maturities Summary
The contractual maturities of AFS fixed maturity securities at March 31, 2018 and December 31, 2017 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, 2018

December 31, 2017
(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
$
1,716,039

 
$
1,717,129

 
$
1,556,688

 
$
1,564,360

Due after 1 through 5 years
12,520,942

 
12,501,887

 
12,243,590

 
12,309,732

Due after 5 through 10 years
5,882,207

 
5,876,041

 
6,268,217

 
6,362,314

Due after 10 years
1,061,776

 
1,155,385

 
1,048,129

 
1,187,688

 
$
21,180,964

 
$
21,250,442

 
$
21,116,624

 
$
21,424,094

RMBS
4,606,275

 
4,529,723

 
4,717,542

 
4,724,402

CMBS
1,292,559

 
1,259,519

 
1,246,406

 
1,244,017

Other asset-backed securities
1,588,637

 
1,608,396

 
1,488,958

 
1,509,363

Total mortgage and asset-backed securities
$
7,487,471

 
$
7,397,638

 
$
7,452,906

 
$
7,477,782

Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
$
28,668,435

 
$
28,648,080

 
$
28,569,530

 
$
28,901,876

Fixed maturities - AFS - Life Funds Withheld Assets
 

 
 

 
 

 
 

Due less than one year
$
66,237

 
$
68,315

 
$
47,143

 
$
49,233

Due after 1 through 5 years
274,247

 
296,715

 
286,524

 
313,227

Due after 5 through 10 years
167,949

 
201,133

 
168,897

 
205,536

Due after 10 years
852,528

 
1,151,062

 
849,739

 
1,165,067

 
$
1,360,961

 
$
1,717,225

 
$
1,352,303

 
$
1,733,063

RMBS
455

 
503

 
448

 
515

CMBS
105,505

 
130,070

 
97,356

 
122,272

Other asset-backed securities
132,990

 
160,750

 
137,944

 
171,262

Total mortgage and asset-backed securities
$
238,950

 
$
291,323

 
$
235,748

 
$
294,049

Total fixed maturities - AFS - Life Funds Withheld Assets
$
1,599,911

 
$
2,008,548

 
$
1,588,051

 
$
2,027,112

Total fixed maturities - AFS
$
30,268,346

 
$
30,656,628

 
$
30,157,581

 
$
30,928,988

 
 
 
 
 
 
 
 

March 31, 2018

December 31, 2017
(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
$
66,532

 
$
65,428

 
$
59,962

 
$
59,605

Due after 1 through 5 years
493,369

 
495,899

 
486,847

 
492,998

Due after 5 through 10 years
691,074

 
690,354

 
645,573

 
657,093

Due after 10 years
752,128

 
780,508

 
705,983

 
746,840

 
$
2,003,103

 
$
2,032,189

 
$
1,898,365

 
$
1,956,536

RMBS
1,023

 
893

 
1,020

 
932

CMBS
7,358

 
7,472

 
7,345

 
7,580

Other asset-backed securities
44,238

 
43,697

 
39,771

 
41,337

Total mortgage and asset-backed securities
$
52,619

 
$
52,062

 
$
48,136

 
$
49,849

Total fixed maturities trading - Life Funds Withheld Assets
$
2,055,722

 
$
2,084,251

 
$
1,946,501

 
$
2,006,385


Pledged Assets
Certain of the Company's invested assets are pledged in support of insurance and reinsurance liabilities as well as to collateralize our credit facilities. Such pledges are largely required by the Company's operating subsidiaries that are "non-admitted" under U.S. state insurance regulations, in order for the U.S. cedant to receive statutory credit for reinsurance. Also included in pledged assets are Life Funds Withheld Assets, as noted in Note 1(a), "Significant Accounting Policies - Basis of Preparation and Consolidation." Additionally, certain deposit liabilities and annuity contracts require the use of pledged assets. At March 31, 2018 and December 31, 2017, the Company had $17.9 billion and $18.8 billion in pledged assets, respectively.
(b) Gross Unrealized Losses
The following is an analysis of how long the AFS securities at March 31, 2018 and December 31, 2017 had been in a continual unrealized loss position:
 
Less than 12 months
 
Equal to or greater
than 12 months
March 31, 2018
(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
$
3,080,855

 
$
(38,758
)
 
$
515,999

 
$
(11,350
)
U.S. States, municipalities and political subdivisions
278,946

 
(3,222
)
 
15,869

 
(404
)
Non-U.S. Governments
2,061,869

 
(25,703
)
 
487,103

 
(26,836
)
Corporate
5,509,770

 
(114,092
)
 
510,757

 
(34,148
)
RMBS
2,973,309

 
(68,157
)
 
846,423

 
(35,278
)
CMBS
991,765

 
(26,681
)
 
131,116

 
(8,622
)
Other asset-backed securities
396,287

 
(2,502
)
 
132,119

 
(3,914
)
Total fixed maturities and short-term investments - AFS
$
15,292,801

 
$
(279,115
)
 
$
2,639,386

 
$
(120,552
)
 
Less than 12 months
 
Equal to or greater
than 12 months
December 31, 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
$
2,687,083

 
$
(21,514
)
 
$
727,246

 
$
(13,902
)
U.S. States, municipalities and political subdivisions
88,235

 
(622
)
 
19,583

 
(366
)
Non-U.S. Governments
1,527,323

 
(14,959
)
 
560,648

 
(33,931
)
Corporate
2,959,416

 
(25,757
)
 
543,973

 
(31,577
)
RMBS
2,198,391

 
(14,030
)
 
925,191

 
(21,093
)
CMBS
583,656

 
(4,117
)
 
138,065

 
(5,740
)
Other asset-backed securities
256,823

 
(1,111
)
 
175,146

 
(5,364
)
Total fixed maturities and short-term investments - AFS
$
10,300,927

 
$
(82,110
)
 
$
3,089,852

 
$
(111,973
)

The Company had gross unrealized losses totaling $399.7 million on 4,061 securities out of a total of 7,851 held at March 31, 2018 in its AFS - Excluding Life Funds Withheld Assets portfolio, which either it considers to be temporarily impaired or reflects non-credit losses on other-than-temporarily impaired assets. Individual security positions comprising this balance have been evaluated by management, in conjunction with our investment managers, to determine the severity of these impairments and whether they should be considered other-than-temporary. Management believes it is more likely than not that the issuer will be able to fund sufficient principal and interest payments to support the current amortized cost.
(c) Net Realized and Unrealized Gains (Losses)
The following represents an analysis of net realized and unrealized gains (losses) on investments:
Net Realized Investment Gains (Losses)
Three months ended March 31,
(U.S. dollars in thousands)
2018
 
2017
Net realized gains (losses) on investments AFS - excluding Life Funds Withheld Assets: (1)
 
 
 
Gross realized gains
$
19,330

 
$
39,397

Gross realized losses
(51,002
)
 
(28,305
)
OTTI, net of amounts transferred to other comprehensive income
(1,806
)
 
(6,874
)
Total
$
(33,478
)
 
$
4,218

Net realized and change in net unrealized gains (losses) on equities securities - excluding Life Funds Withheld Assets:
 
 
 
Gross realized gains
$
9,693

 
$
—

Gross realized losses
(126
)
 
—

Change in net unrealized gains (losses) on equity securities
(45,581
)
 
—

Total
$
(36,014
)
 
$
—

Net realized and change in net unrealized gains (losses) on other investments - excluding Life Funds Withheld Assets:
 
 
 
Gross realized gains
$
3,004

 
$
—

Gross realized losses
(1,163
)
 
—

Change in net unrealized gains (losses) on other investments
6,808

 
—

Total
$
8,649

 
$
—

Net realized gains (losses) on investments and change in net unrealized gains (losses) on investments on trading securities - Life Funds Withheld Assets:
 
 
 
Gross realized gains
$
12,909

 
$
35,151

Gross realized losses
(2,551
)
 
(677
)
OTTI, net of amounts transferred to other comprehensive income
(1,203
)
 
—

Change in net unrealized gains (losses) on trading securities
$
(31,667
)
 
$
(1,406
)
Total
$
(22,512
)
 
$
33,068

Total realized investment gains (losses)
$
(83,355
)
 
$
37,286


 ____________
(1)
AFS in the prior year includes net realized gains (losses) on equity securities and other investments. Due to the implementation of ASU 2016-01, as described in in Note 1(b), "Significant Accounting Policies - Recent Accounting Pronouncements," the net realized gains (losses) on these investments are shown separately.
The components of OTTI charges for the three months ended March 31, 2018 and 2017, as defined in Note 1(g), "Significant Accounting Policies - Other-Than-Temporary Impairments of Available for Sale," to the Consolidated Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2017, for investments excluding Life Funds Withheld Assets were:
 
Three months ended March 31,
(U.S. dollars in thousands)
2018
 
2017
Fixed maturities:
 
 
 
Credit loss impairments
$
765

 
$
226

Equities and other investments:
 
 
 
Impaired more than 11 months or more than 50%
—

 
4,975

Currency Losses
1,041

 
1,673

OTTI, net of amounts transferred to other comprehensive income
$
1,806

 
$
6,874


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 March 31,
(U.S. dollars in thousands)
2018
 
2017
Opening balance at beginning of indicated period
$
43,332

 
$
61,595

Credit loss impairment recognized in the current period on securities not previously impaired
590

 
124

Credit loss impairments previously recognized on securities that matured or were paid down, prepaid or sold during the period
(1,156
)
 
(836
)
Additional credit loss impairments recognized in the current period on securities previously impaired
175

 
102

Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected
(1,475
)
 
(2,357
)
Closing balance at end of indicated period
$
41,466

 
$
58,628