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Investments (Tables)
 6 Months Ended
Jun. 30, 2018
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 accumulated other comprehensive income ("AOCI"), of the Company's investments AFS at June 30, 2018 and December 31, 2017 were as follows:
 
 
 
Included in AOCI
 
 
 
 
June 30, 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")
$
3,984,381

 
$
23,802

 
$
(47,892
)
 
$
3,960,291

 
$
—

U.S. States, municipalities and political subdivisions
1,810,556

 
51,485

 
(3,899
)
 
1,858,142

 
—

Non-U.S. Governments
5,117,027

 
74,297

 
(75,464
)
 
5,115,860

 
—

Corporate
10,059,449

 
96,627

 
(205,981
)
 
9,950,095

 
(5
)
Residential mortgage-backed securities ("RMBS")
4,348,536

 
22,531

 
(117,031
)
 
4,254,036

 
(8,158
)
Commercial mortgage-backed securities ("CMBS")
1,410,363

 
1,901

 
(48,414
)
 
1,363,850

 
(406
)
Other asset-backed securities
1,683,029

 
23,438

 
(7,324
)
 
1,699,143

 
(29,367
)
Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
$
28,413,341

 
$
294,081

 
$
(506,005
)
 
$
28,201,417

 
$
(37,936
)
Total short-term investments - Excluding Life Funds Withheld Assets
623,158

 
652

 
(697
)
 
623,113

 
—

Total investments - AFS - Excluding Life Funds Withheld Assets
$
29,036,499

 
$
294,733

 
$
(506,702
)
 
$
28,824,530

 
$
(37,936
)
Fixed maturities - AFS - Life Funds Withheld Assets
 

 
 

 
 

 
 

 
 

U.S. Government
$
8,801

 
$
2,133

 
$
—

 
$
10,934

 
$
—

Non-U.S. Governments
347,074

 
120,846

 
—

 
467,920

 
—

Corporate
719,866

 
149,728

 
—

 
869,594

 
—

RMBS
412

 
71

 
—

 
483

 
—

CMBS
97,003

 
22,608

 
—

 
119,611

 
—

Other asset-backed securities
102,825

 
20,367

 
—

 
123,192

 
—

Total fixed maturities - AFS - Life Funds Withheld Assets
$
1,275,981

 
$
315,753

 
$
—

 
$
1,591,734

 
$
—

Total investments - AFS
$
30,312,480

 
$
610,486

 
$
(506,702
)
 
$
30,416,264

 
$
(37,936
)
 
____________
(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 June 30, 2018 and December 31, 2017 were as follows:
June 30, 2018
(U.S. dollars in thousands)
Amortized
Cost
 
Fair Value
Fixed maturities trading - Life Funds Withheld Assets
 

 
 

U.S. Government
$
9,524

 
$
9,633

Non-U.S. Governments
476,698

 
489,276

Corporate
1,428,176

 
1,440,572

RMBS
985

 
919

CMBS
7,227

 
7,411

Other asset-backed securities
42,762

 
42,533

Total fixed maturities trading - Life Funds Withheld Assets
$
1,965,372

 
$
1,990,344

Total short-term investments trading - Life Funds Withheld Assets
$
5,777

 
$
5,788

Total investments trading - Life Funds Withheld Assets
$
1,971,149

 
$
1,996,132

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
Contractual maturities summary
The contractual maturities of AFS fixed maturity securities at June 30, 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.

June 30, 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
$
1,763,966

 
$
1,764,182

 
$
1,556,688

 
$
1,564,360

Due after 1 through 5 years
12,570,233

 
12,501,952

 
12,243,590

 
12,309,732

Due after 5 through 10 years
5,728,279

 
5,658,654

 
6,268,217

 
6,362,314

Due after 10 years
908,935

 
959,600

 
1,048,129

 
1,187,688

 
$
20,971,413

 
$
20,884,388

 
$
21,116,624

 
$
21,424,094

RMBS
4,348,536

 
4,254,036

 
4,717,542

 
4,724,402

CMBS
1,410,363

 
1,363,850

 
1,246,406

 
1,244,017

Other asset-backed securities
1,683,029

 
1,699,143

 
1,488,958

 
1,509,363

Total mortgage and asset-backed securities
$
7,441,928

 
$
7,317,029

 
$
7,452,906

 
$
7,477,782

Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
$
28,413,341

 
$
28,201,417

 
$
28,569,530

 
$
28,901,876

Fixed maturities - AFS - Life Funds Withheld Assets
 

 
 

 
 

 
 

Due less than one year
$
47,308

 
$
48,710

 
$
47,143

 
$
49,233

Due after 1 through 5 years
218,872

 
235,681

 
286,524

 
313,227

Due after 5 through 10 years
146,695

 
174,746

 
168,897

 
205,536

Due after 10 years
662,866

 
889,311

 
849,739

 
1,165,067

 
$
1,075,741

 
$
1,348,448

 
$
1,352,303

 
$
1,733,063

RMBS
412

 
483

 
448

 
515

CMBS
97,003

 
119,611

 
97,356

 
122,272

Other asset-backed securities
102,825

 
123,192

 
137,944

 
171,262

Total mortgage and asset-backed securities
$
200,240

 
$
243,286

 
$
235,748

 
$
294,049

Total fixed maturities - AFS - Life Funds Withheld Assets
$
1,275,981

 
$
1,591,734

 
$
1,588,051

 
$
2,027,112

Total fixed maturities - AFS
$
29,689,322

 
$
29,793,151

 
$
30,157,581

 
$
30,928,988

 
 
 
 
 
 
 
 

June 30, 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
$
48,626

 
$
47,686

 
$
59,962

 
$
59,605

Due after 1 through 5 years
519,812

 
522,579

 
486,847

 
492,998

Due after 5 through 10 years
664,273

 
665,029

 
645,573

 
657,093

Due after 10 years
681,687

 
704,187

 
705,983

 
746,840

 
$
1,914,398

 
$
1,939,481

 
$
1,898,365

 
$
1,956,536

RMBS
985

 
919

 
1,020

 
932

CMBS
7,227

 
7,411

 
7,345

 
7,580

Other asset-backed securities
42,762

 
42,533

 
39,771

 
41,337

Total mortgage and asset-backed securities
$
50,974

 
$
50,863

 
$
48,136

 
$
49,849

Total fixed maturities trading - Life Funds Withheld Assets
$
1,965,372

 
$
1,990,344

 
$
1,946,501

 
$
2,006,385
Summary of unrealized losses
The following table sets forth the fair value, gross unrealized loss and length of time AFS securities had been in a continual unrealized loss position at June 30, 2018 and December 31, 2017:
 
Less than 12 months
 
Equal to or greater
than 12 months
June 30, 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
$
3,206,426

 
$
(35,641
)
 
$
597,622

 
$
(12,672
)
U.S. States, municipalities and political subdivisions
302,220

 
(3,496
)
 
15,479

 
(403
)
Non-U.S. Governments
2,050,935

 
(30,310
)
 
693,514

 
(45,414
)
Corporate
6,489,744

 
(154,483
)
 
730,166

 
(51,514
)
RMBS
2,921,798

 
(79,813
)
 
799,053

 
(37,218
)
CMBS
1,081,418

 
(38,410
)
 
128,671

 
(10,004
)
Other asset-backed securities
510,637

 
(3,572
)
 
129,668

 
(3,752
)
Total fixed maturities and short-term investments - AFS
$
16,563,178

 
$
(345,725
)
 
$
3,094,173

 
$
(160,977
)
 
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
)
Analysis of net realized gains (losses) on investments
The following table sets forth the gross and net realized gains (losses) on investments and unrealized gains (losses) on mark to market investments for the periods presented:
Net Realized Investment Gains (Losses)
Three months ended June 30,
 
Six months ended June 30,
(U.S. dollars in thousands)
2018
 
2017
 
2018
 
2017
Net realized gains (losses) on investments AFS - excluding Life Funds Withheld Assets: (1)
 
 
 
 
 
 
 
Gross realized gains
$
25,288

 
$
91,771

 
$
44,618

 
$
131,168

Gross realized losses
(39,388
)
 
(41,392
)
 
(90,390
)
 
(69,697
)
OTTI, net of amounts transferred to other comprehensive income
(3,000
)
 
(1,210
)
 
(4,806
)
 
(8,084
)
Total
$
(17,100
)
 
$
49,169

 
$
(50,578
)
 
$
53,387

Net realized and change in net unrealized gains (losses) on equity securities - excluding Life Funds Withheld Assets:
 
 
 
 
 
 
 
Gross realized gains
$
4,556

 
$
—

 
$
14,249

 
$
—

Gross realized losses
(97
)
 
—

 
(223
)
 
—

Change in net unrealized gains (losses) on equity securities
30,735

 
—

 
(14,846
)
 
—

Total
$
35,194

 
$
—

 
$
(820
)
 
$
—

Net realized and change in net unrealized gains (losses) on other investments - excluding Life Funds Withheld Assets:
 
 
 
 
 
 
 
Gross realized gains
$
17,208

 
$
—

 
$
20,212

 
$
—

Gross realized losses
(1,261
)
 
—

 
(2,424
)
 
—

Change in net unrealized gains (losses) on other investments
(6,645
)
 
—

 
163

 
—

Total
$
9,302

 
$
—

 
$
17,951

 
$
—

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
$
67,749

 
$
30,100

 
$
80,658

 
$
65,251

Gross realized losses
(2,444
)
 
(322
)
 
(4,995
)
 
(999
)
OTTI
—

 
—

 
(1,203
)
 
—

Change in net unrealized gains (losses) on trading securities
$
(1,896
)
 
$
(22,319
)
 
$
(33,563
)
 
$
(23,725
)
Total
$
63,409

 
$
7,459

 
$
40,897

 
$
40,527

Total realized investment gains (losses)
$
90,805

 
$
56,628

 
$
7,450

 
$
93,914


 ____________
(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 noted in Note 1(b), "Significant Accounting Policies - Recent Accounting Pronouncements," the movements on these investments are now shown separately.
Schedule of other than temporary impairments
The components of OTTI charges for the three and six months ended June 30, 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 June 30,
 
Six months ended June 30,
(U.S. dollars in thousands)
2018
 
2017
 
2018
 
2017
Fixed maturities:
 
 
 
 
 
 
 
Credit loss impairments
$
748

 
$
162

 
$
1,513

 
$
388

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

 
—

 
—

 
4,975

Currency Losses
2,252

 
1,048

 
3,293

 
2,721

OTTI, net of amounts transferred to other comprehensive income
$
3,000

 
$
1,210

 
$
4,806

 
$
8,084
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 June 30,
 
Six months ended June 30,
(U.S. dollars in thousands)
2018
 
2017
 
2018
 
2017
Opening balance at beginning of indicated period
$
41,466

 
$
58,628

 
$
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
(436
)
 
(3,071
)
 
(1,592
)
 
(3,907
)
Additional credit loss impairments recognized in the current period on securities previously impaired
748

 
162

 
923

 
264

Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected
(1,042
)
 
(1,282
)
 
(2,517
)
 
(3,639
)
Closing balance at end of indicated period
$
40,736

 
$
54,437

 
$
40,736

 
$
54,437