XML 21 R10.htm IDEA: XBRL DOCUMENT
v3.4.0.3

INVESTMENTS | 3 Months Ended
--- | ---
Mar. 31, 2016
Investments, Debt and Equity Securities [Abstract] |
INVESTMENTS | a) Fixed Maturities and Equities The amortized cost or cost and fair values of our fixed maturities and equities were as follows:
|  | Amortized Cost or Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Fair Value |  | Non-credit OTTI in AOCI(5) |
| At March 31, 2016 |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |
| U.S. government and agency | $ | 1,552,689 |  |  | $ | 20,614 |  |  | $ | (3,123 | ) |  | $ | 1,570,180 |  |  | $ | — |  |
| Non-U.S. government | 753,923 |  |  | 6,718 |  |  | (39,918 | ) |  | 720,723 |  |  | — |  |
| Corporate debt | 4,423,369 |  |  | 55,031 |  |  | (53,358 | ) |  | 4,425,042 |  |  | — |  |
| Agency RMBS(1) | 2,377,262 |  |  | 45,420 |  |  | (1,381 | ) |  | 2,421,301 |  |  | — |  |
| CMBS(2) | 1,099,346 |  |  | 13,221 |  |  | (5,883 | ) |  | 1,106,684 |  |  | — |  |
| Non-Agency RMBS | 94,704 |  |  | 1,584 |  |  | (1,266 | ) |  | 95,022 |  |  | (862 | ) |
| ABS(3) | 1,359,752 |  |  | 1,199 |  |  | (17,801 | ) |  | 1,343,150 |  |  | — |  |
| Municipals(4) | 151,737 |  |  | 4,758 |  |  | (529 | ) |  | 155,966 |  |  | — |  |
| Total fixed maturities | $ | 11,812,782 |  |  | $ | 148,545 |  |  | $ | (123,259 | ) |  | $ | 11,838,068 |  |  | $ | (862 | ) |
| Equity securities |  |  |  |  |  |  |  |  |  |
| Common stocks | $ | 292 |  |  | $ | 96 |  |  | $ | (210 | ) |  | $ | 178 |  |  |  |
| Exchange-traded funds | 471,879 |  |  | 32,339 |  |  | (3,550 | ) |  | 500,668 |  |  |  |
| Bond mutual funds | 133,120 |  |  | 3,359 |  |  | — |  |  | 136,479 |  |  |  |
| Total equity securities | $ | 605,291 |  |  | $ | 35,794 |  |  | $ | (3,760 | ) |  | $ | 637,325 |  |  |  |
| At December 31, 2015 |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |
| U.S. government and agency | $ | 1,673,617 |  |  | $ | 1,545 |  |  | $ | (23,213 | ) |  | $ | 1,651,949 |  |  | $ | — |  |
| Non-U.S. government | 809,025 |  |  | 2,312 |  |  | (72,332 | ) |  | 739,005 |  |  | — |  |
| Corporate debt | 4,442,315 |  |  | 16,740 |  |  | (96,286 | ) |  | 4,362,769 |  |  | — |  |
| Agency RMBS(1) | 2,236,138 |  |  | 22,773 |  |  | (9,675 | ) |  | 2,249,236 |  |  | — |  |
| CMBS(2) | 1,088,595 |  |  | 3,885 |  |  | (9,182 | ) |  | 1,083,298 |  |  | — |  |
| Non-Agency RMBS | 99,989 |  |  | 1,992 |  |  | (973 | ) |  | 101,008 |  |  | (875 | ) |
| ABS(3) | 1,387,919 |  |  | 952 |  |  | (17,601 | ) |  | 1,371,270 |  |  | — |  |
| Municipals(4) | 160,041 |  |  | 2,319 |  |  | (1,146 | ) |  | 161,214 |  |  | — |  |
| Total fixed maturities | $ | 11,897,639 |  |  | $ | 52,518 |  |  | $ | (230,408 | ) |  | $ | 11,719,749 |  |  | $ | (875 | ) |
| Equity securities |  |  |  |  |  |  |  |  |  |
| Common stocks | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  |
| Exchange-traded funds | 447,524 |  |  | 31,211 |  |  | (4,762 | ) |  | 473,973 |  |  |  |
| Bond mutual funds | 128,252 |  |  | — |  |  | (4,227 | ) |  | 124,025 |  |  |  |
| Total equity securities | $ | 575,776 |  |  | $ | 31,211 |  |  | $ | (8,989 | ) |  | $ | 597,998 |  |  |  |
(1) | Residential mortgage-backed securities (RMBS) originated by U.S. agencies.
(2) | Commercial mortgage-backed securities (CMBS).
(3) | Asset-backed securities (ABS) include debt tranched securities collateralized primarily by auto loans, student loans, credit cards, and other asset types. This asset class also includes collateralized loan obligations (CLOs) and collateralized debt obligations (CDOs).
(4) | Municipals include bonds issued by states, municipalities and political subdivisions.
(5) | Represents the non-credit component of the other-than-temporary impairment (OTTI) losses, adjusted for subsequent sales of securities. It does not include the change in fair value subsequent to the impairment measurement date.
In the normal course of investing activities, we actively manage allocations to non-controlling tranches of structured securities (variable interests) issued by VIEs. These structured securities include RMBS, CMBS and ABS and are included in the above table. Additionally, within our other investments portfolio, we also invest in limited partnerships (hedge funds, direct lending funds and private equity funds) and CLO equity tranched securities, which are all variable interests issued by VIEs (see Note 4(c)). For these variable interests, we do not have the power to direct the activities that are most significant to the economic performance of the VIEs and accordingly we are not the primary beneficiary for any of these VIEs. Our maximum exposure to loss on these interests is limited to the amount of our investment. We have not provided financial or other support with respect to these structured securities other than our original investment. Contractual Maturities The contractual maturities of fixed maturities are shown below. Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.
|  | Amortized Cost |  | Fair Value |  | % of Total Fair Value |
| At March 31, 2016 |  |  |  |  |  |
| Maturity |  |  |  |  |  |
| Due in one year or less | $ | 295,599 |  |  | $ | 291,510 |  |  | 2.5 | % |
| Due after one year through five years | 3,994,127 |  |  | 3,985,100 |  |  | 33.7 | % |
| Due after five years through ten years | 2,263,573 |  |  | 2,264,238 |  |  | 19.1 | % |
| Due after ten years | 328,419 |  |  | 331,063 |  |  | 2.8 | % |
|  | 6,881,718 |  |  | 6,871,911 |  |  | 58.1 | % |
| Agency RMBS | 2,377,262 |  |  | 2,421,301 |  |  | 20.5 | % |
| CMBS | 1,099,346 |  |  | 1,106,684 |  |  | 9.3 | % |
| Non-Agency RMBS | 94,704 |  |  | 95,022 |  |  | 0.8 | % |
| ABS | 1,359,752 |  |  | 1,343,150 |  |  | 11.3 | % |
| Total | $ | 11,812,782 |  |  | $ | 11,838,068 |  |  | 100.0 | % |
| At December 31, 2015 |  |  |  |  |  |
| Maturity |  |  |  |  |  |
| Due in one year or less | $ | 291,368 |  |  | $ | 289,571 |  |  | 2.5 | % |
| Due after one year through five years | 4,217,515 |  |  | 4,142,802 |  |  | 35.3 | % |
| Due after five years through ten years | 2,263,684 |  |  | 2,181,525 |  |  | 18.6 | % |
| Due after ten years | 312,431 |  |  | 301,039 |  |  | 2.6 | % |
|  | 7,084,998 |  |  | 6,914,937 |  |  | 59.0 | % |
| Agency RMBS | 2,236,138 |  |  | 2,249,236 |  |  | 19.2 | % |
| CMBS | 1,088,595 |  |  | 1,083,298 |  |  | 9.2 | % |
| Non-Agency RMBS | 99,989 |  |  | 101,008 |  |  | 0.9 | % |
| ABS | 1,387,919 |  |  | 1,371,270 |  |  | 11.7 | % |
| Total | $ | 11,897,639 |  |  | $ | 11,719,749 |  |  | 100.0 | % |
Gross Unrealized Losses The following table summarizes fixed maturities and equities in an unrealized loss position and the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position:
|  | 12 months or greater |  | Less than 12 months |  | Total |
|  | Fair Value |  | Unrealized Losses |  | Fair Value |  | Unrealized Losses |  | Fair Value |  | Unrealized Losses |
| At March 31, 2016 |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |  |  |
| U.S. government and agency | $ | 84,342 |  |  | $ | (3,030 | ) |  | $ | 146,502 |  |  | $ | (93 | ) |  | $ | 230,844 |  |  | $ | (3,123 | ) |
| Non-U.S. government | 135,920 |  |  | (30,440 | ) |  | 220,140 |  |  | (9,478 | ) |  | 356,060 |  |  | (39,918 | ) |
| Corporate debt | 388,621 |  |  | (24,425 | ) |  | 1,019,187 |  |  | (28,933 | ) |  | 1,407,808 |  |  | (53,358 | ) |
| Agency RMBS | 179,155 |  |  | (850 | ) |  | 143,472 |  |  | (531 | ) |  | 322,627 |  |  | (1,381 | ) |
| CMBS | 102,506 |  |  | (1,775 | ) |  | 392,674 |  |  | (4,108 | ) |  | 495,180 |  |  | (5,883 | ) |
| Non-Agency RMBS | 5,419 |  |  | (275 | ) |  | 58,771 |  |  | (991 | ) |  | 64,190 |  |  | (1,266 | ) |
| ABS | 579,638 |  |  | (11,397 | ) |  | 536,264 |  |  | (6,404 | ) |  | 1,115,902 |  |  | (17,801 | ) |
| Municipals | 14,966 |  |  | (509 | ) |  | 2,635 |  |  | (20 | ) |  | 17,601 |  |  | (529 | ) |
| Total fixed maturities | $ | 1,490,567 |  |  | $ | (72,701 | ) |  | $ | 2,519,645 |  |  | $ | (50,558 | ) |  | $ | 4,010,212 |  |  | $ | (123,259 | ) |
| Equity securities |  |  |  |  |  |  |  |  |  |  |  |
| Common stocks | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (210 | ) |  | $ | — |  |  | $ | (210 | ) |
| Exchange-traded funds | — |  |  | — |  |  | 72,146 |  |  | (3,550 | ) |  | 72,146 |  |  | (3,550 | ) |
| Bond mutual funds | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
| Total equity securities | $ | — |  |  | $ | — |  |  | $ | 72,146 |  |  | $ | (3,760 | ) |  | $ | 72,146 |  |  | $ | (3,760 | ) |
| At December 31, 2015 |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |  |  |
| U.S. government and agency | $ | 84,179 |  |  | $ | (7,622 | ) |  | $ | 1,474,202 |  |  | $ | (15,591 | ) |  | $ | 1,558,381 |  |  | $ | (23,213 | ) |
| Non-U.S. government | 170,269 |  |  | (50,841 | ) |  | 317,693 |  |  | (21,491 | ) |  | 487,962 |  |  | (72,332 | ) |
| Corporate debt | 340,831 |  |  | (33,441 | ) |  | 2,845,375 |  |  | (62,845 | ) |  | 3,186,206 |  |  | (96,286 | ) |
| Agency RMBS | 64,792 |  |  | (1,609 | ) |  | 1,073,566 |  |  | (8,066 | ) |  | 1,138,358 |  |  | (9,675 | ) |
| CMBS | 75,627 |  |  | (1,579 | ) |  | 659,480 |  |  | (7,603 | ) |  | 735,107 |  |  | (9,182 | ) |
| Non-Agency RMBS | 5,283 |  |  | (210 | ) |  | 43,199 |  |  | (763 | ) |  | 48,482 |  |  | (973 | ) |
| ABS | 562,599 |  |  | (11,158 | ) |  | 667,448 |  |  | (6,443 | ) |  | 1,230,047 |  |  | (17,601 | ) |
| Municipals | 14,214 |  |  | (310 | ) |  | 64,104 |  |  | (836 | ) |  | 78,318 |  |  | (1,146 | ) |
| Total fixed maturities | $ | 1,317,794 |  |  | $ | (106,770 | ) |  | $ | 7,145,067 |  |  | $ | (123,638 | ) |  | $ | 8,462,861 |  |  | $ | (230,408 | ) |
| Equity securities |  |  |  |  |  |  |  |  |  |  |  |
| Common stocks | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |
| Exchange-traded funds | 2,331 |  |  | (313 | ) |  | 110,972 |  |  | (4,449 | ) |  | 113,303 |  |  | (4,762 | ) |
| Bond mutual funds | — |  |  | — |  |  | 124,025 |  |  | (4,227 | ) |  | 124,025 |  |  | (4,227 | ) |
| Total equity securities | $ | 2,331 |  |  | $ | (313 | ) |  | $ | 234,997 |  |  | $ | (8,676 | ) |  | $ | 237,328 |  |  | $ | (8,989 | ) |
Fixed Maturities At March 31, 2016, 1,382 fixed maturities (2015: 2,314) were in an unrealized loss position of $123 million (2015: $230 million), of which $26 million (2015: $39 million) was related to securities below investment grade or not rated. At March 31, 2016, 438 (2015: 383) securities had been in a continuous unrealized loss position for 12 months or greater and had a fair value of $1,491 million (2015: $1,318 million). Following our credit impairment review, we concluded that these securities as well as the remaining securities in an unrealized loss position in the above table were temporarily impaired at March 31, 2016, and were expected to recover in value as the securities approach maturity. Further, at March 31, 2016, we did not intend to sell these securities in an unrealized loss position and it is more likely than not that we will not be required to sell these securities before the anticipated recovery of their amortized costs. Equity Securities At March 31, 2016, 29 securities (2015: 35) were in an unrealized loss position of $4 million (2015: $9 million). At March 31, 2016, there were no securities (2015: 1) in a continuous unrealized loss position for 12 months or greater. Based on our impairment review process and our ability and intent to hold these securities for a reasonable period of time sufficient for a full recovery, we concluded that the above equities in an unrealized loss position were temporarily impaired at March 31, 2016. b) Mortgage Loans The following table provides a breakdown of our mortgage loans held-for-investment:
|  | March 31, 2016 |  | December 31, 2015 |
|  | Carrying Value |  | % of Total |  | Carrying Value |  | % of Total |
| Mortgage Loans held-for-investment: |  |  |  |  |  |  |  |
| Commercial | $ | 267,589 |  |  | 100 | % |  | $ | 206,277 |  |  | 100 | % |
|  | 267,589 |  |  | 100 | % |  | 206,277 |  |  | 100 | % |
| Valuation allowances | — |  |  | — | % |  | — |  |  | — | % |
| Total Mortgage Loans held-for-investment | $ | 267,589 |  |  | 100 | % |  | $ | 206,277 |  |  | 100 | % |
For commercial mortgage loans, the primary credit quality indicator is the debt service coverage ratio (which compares a property’s net operating income to amounts needed to service the principal and interest due under the loan, generally, the lower the debt service coverage ratio, the higher the risk of experiencing a credit loss) and the loan-to-value ratio (loan-to-value ratios compare the unpaid principal balance of the loan to the estimated fair value of the underlying collateral, generally, the higher the loan-to-value ratio, the higher the risk of experiencing a credit loss). The debt service coverage ratio and loan-to-value ratio, as well as the values utilized in calculating these ratios, are updated annually, on a rolling basis. We have a high quality mortgage portfolio with debt service coverage ratios in excess of 1.3 x and loan-to-value ratios of less than 65%; there are no credit losses associated with the commercial mortgage loans that we hold at March 31, 2016. There are no past due amounts at March 31, 2016. c) Other Investments The following table provides a breakdown of our investments in hedge funds, direct lending funds, private equity funds, real estate funds and CLO Equities, together with additional information relating to the liquidity of each category:
|  | Fair Value |  | Redemption Frequency (if currently eligible) |  | Redemption Notice Period |
| At March 31, 2016 |  |  |  |  |  |  |  |  |  |
| Long/short equity funds | $ | 128,502 |  |  | 15 | % |  | Quarterly, Semi-annually, Annually |  | 45-60 days |
| Multi-strategy funds | 312,211 |  |  | 36 | % |  | Quarterly, Semi-annually |  | 60-95 days |
| Event-driven funds | 146,428 |  |  | 17 | % |  | Quarterly, Annually |  | 45-60 days |
| Leveraged bank loan funds | 65 |  |  | — | % |  | n/a |  | n/a |
| Direct lending funds | 112,889 |  |  | 13 | % |  | n/a |  | n/a |
| Private equity funds | 93,783 |  |  | 11 | % |  | n/a |  | n/a |
| Real estate funds | 5,390 |  |  | 1 | % |  | n/a |  | n/a |
| CLO - Equities | 60,371 |  |  | 7 | % |  | n/a |  | n/a |
| Total other investments | $ | 859,639 |  |  | 100 | % |  |  |  |  |
| At December 31, 2015 |  |  |  |  |  |  |  |  |  |
| Long/short equity funds | $ | 154,348 |  |  | 19 | % |  | Quarterly, Semi-annually, Annually |  | 45-60 days |
| Multi-strategy funds | 355,073 |  |  | 43 | % |  | Quarterly, Semi-annually |  | 60-95 days |
| Event-driven funds | 147,287 |  |  | 18 | % |  | Quarterly, Annually |  | 45-60 days |
| Leveraged bank loan funds | 65 |  |  | — | % |  | n/a |  | n/a |
| Direct lending funds | 90,120 |  |  | 11 | % |  | n/a |  | n/a |
| Private equity funds | — |  |  | — | % |  | n/a |  | n/a |
| Real estate funds | 4,929 |  |  | 1 | % |  | n/a |  | n/a |
| CLO - Equities | 64,934 |  |  | 8 | % |  | n/a |  | n/a |
| Total other investments | $ | 816,756 |  |  | 100 | % |  |  |  |  |
n/a - not applicable The investment strategies for the above funds are as follows:
• | Long/short equity funds: Seek to achieve attractive returns primarily by executing an equity trading strategy involving both long and short investments in publicly-traded equities.
• | Multi-strategy funds: Seek to achieve above-market returns by pursuing multiple investment strategies to diversify risks and reduce volatility. This category includes funds of hedge funds which invest in a large pool of hedge funds across a diversified range of hedge fund strategies.
• | Event-driven funds: Seek to achieve attractive returns by exploiting situations where announced or anticipated events create opportunities.
• | Leveraged bank loan funds: Seek to achieve attractive returns by investing primarily in bank loan collateral that has limited interest rate risk exposure.
• | Direct lending funds: Seek to achieve attractive risk-adjusted returns, including current income generation, by investing in funds which provide financing directly to borrowers.
• | Real estate funds: Seek to achieve attractive risk-adjusted returns by making and managing investments in real estate and real estate securities and businesses.
• | Private equity funds: Seek to achieve attractive risk-adjusted returns by investing in private transactions over the course of several years.
Two common redemption restrictions which may impact our ability to redeem our hedge funds are gates and lockups. A gate is a suspension of redemptions which may be implemented by the general partner or investment manager of the fund in order to defer, in whole or in part, the redemption request in the event the aggregate amount of redemption requests exceeds a predetermined percentage of the fund's net assets which may otherwise hinder the general partner or investment manager's ability to liquidate holdings in an orderly fashion in order to generate the cash necessary to fund extraordinarily large redemption payouts. A lockup period is the initial amount of time an investor is contractually required to hold the security before having the ability to redeem. During 2016 and 2015, neither of these restrictions impacted our redemption requests. At March 31, 2016, $59 million (2015: $66 million), representing 10% (2015: 10%) of our total hedge funds, relate to holdings where we are still within the lockup period. The expiration of these lockup periods range from March 2016 to April 2018. At March 31, 2016, we have $198 million (2015: $222 million) of unfunded commitments within our other investments portfolio relating to our future investments in direct lending funds. Once the full amount of committed capital has been called by the General Partner of each of these funds, the assets will not be fully returned until the completion of the fund's investment term. These funds have investment terms ranging from 5-10 years and the General Partners of certain funds have the option to extend the term by up to three years. At March 31, 2016, we have $12 million (2015: $12 million) of unfunded commitments as a limited partner in a multi-strategy hedge fund. Once the full amount of committed capital has been called by the General Partner, the assets will not be fully returned until the completion of the fund's investment term which ends in March, 2019. The General Partner then has the option to extend the term by up to three years. At March 31, 2016, we have $95 million (2015: $95 million) of unfunded commitments as a limited partner in a fund which invests in real estate and real estate securities and businesses. The fund is subject to a three year commitment period and a total fund life of eight years during which time we are not eligible to redeem our investment. During 2016, we made a $135 million commitment as a limited partner in a private equity fund. At March 31, 2016, $41 million of our commitment remains unfunded and the current fair value of the funds called to date are included in the private equity funds line of the table above. The fund invests in underlying private equity funds and the life of the fund is subject to the dissolution of the underlying funds. We expect the overall holding period to be over ten years. During 2015, we made a $50 million commitment as a limited partner of a bank revolver opportunity fund. The fund is subject to an investment term of seven years and the General Partners have the option to extend the term by up to two years. At March 31, 2016, this commitment remains unfunded. It is not anticipated that the full amount of this fund will be drawn. d) Net Investment Income Net investment income was derived from the following sources:
|  | Three months ended March 31, |
|  | 2016 |  | 2015 |
| Fixed maturities | $ | 75,975 |  |  | $ | 66,088 |  |
| Other investments | (26,878 | ) |  | 30,935 |  |
| Equity securities | 5,145 |  |  | 1,676 |  |
| Mortgage loans | 1,684 |  |  | 13 |  |
| Cash and cash equivalents | 1,434 |  |  | 1,099 |  |
| Short-term investments | 206 |  |  | 69 |  |
| Gross investment income | 57,566 |  |  | 99,880 |  |
| Investment expenses | (8,402 | ) |  | (7,773 | ) |
| Net investment income | $ | 49,164 |  |  | $ | 92,107 |  |
e) Net Realized Investment Losses The following table provides an analysis of net realized investment losses:
|  | Three months ended March 31, |
|  | 2016 |  | 2015 |
| Gross realized gains |  |  |  |
| Fixed maturities and short-term investments | $ | 16,164 |  |  | $ | 15,661 |  |
| Equities | 3,541 |  |  | 38 |  |
| Gross realized gains | 19,705 |  |  | 15,699 |  |
| Gross realized losses |  |  |  |
| Fixed maturities and short-term investments | (59,177 | ) |  | (43,091 | ) |
| Equities | (14,787 | ) |  | (124 | ) |
| Gross realized losses | (73,964 | ) |  | (43,215 | ) |
| Net OTTI recognized in earnings | (9,729 | ) |  | (17,568 | ) |
| Change in fair value of investment derivatives(1) | (2,520 | ) |  | 2,531 |  |
| Net realized investment losses | $ | (66,508 | ) |  | $ | (42,553 | ) |
(1) Refer to Note 5 – Derivative Instruments The following table summarizes the OTTI recognized in earnings by asset class:
|  | Three months ended March 31, |
|  | 2016 |  | 2015 |
| Fixed maturities: |  |  |  |
| Non-U.S. government | $ | — |  |  | $ | 1,422 |  |
| Corporate debt | 7,169 |  |  | 16,120 |  |
| Non-Agency RMBS | — |  |  | 4 |  |
| ABS | — |  |  | 22 |  |
|  | 7,169 |  |  | 17,568 |  |
| Equity Securities |  |  |  |
| Exchange-traded funds | 2,560 |  |  | — |  |
|  | 2,560 |  |  | — |  |
| Total OTTI recognized in earnings | $ | 9,729 |  |  | $ | 17,568 |  |
The following table provides a roll forward of the credit losses, before income taxes, for which a portion of the OTTI was recognized in AOCI:
|  | Three months ended March 31, |
|  | 2016 |  | 2015 |
| Balance at beginning of period | $ | 1,506 |  |  | $ | 1,531 |  |
| Credit impairments recognized on securities not previously impaired | — |  |  | — |  |
| Additional credit impairments recognized on securities previously impaired | — |  |  | 10 |  |
| Change in timing of future cash flows on securities previously impaired | — |  |  | — |  |
| Intent to sell of securities previously impaired | — |  |  | — |  |
| Securities sold/redeemed/matured | — |  |  | — |  |
| Balance at end of period | $ | 1,506 |  |  | $ | 1,541 |  |
f) Reverse Repurchase Agreements At March 31, 2016, we held $77 million (2015: $30 million) of reverse repurchase agreements. These loans are fully collateralized, are generally outstanding for a short period of time and are presented on a gross basis as part of cash and cash equivalents on our consolidated balance sheet. The required collateral for these loans is either cash or U.S. Treasuries at a minimum rate of 102% of the loan principal. Upon maturity, we receive principal and interest income. We monitor the estimated fair value of the securities loaned and borrowed on a daily basis with additional collateral obtained as necessary throughout the duration of the transaction.

X
- References No definition available. + Details
Name: | us-gaap_InvestmentsDebtAndEquitySecuritiesAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for investments in certain debt and equity securities. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -Glossary Debt Security -URI http://asc.fasb.org/extlink&oid=6509901 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 6 -URI http://asc.fasb.org/extlink&oid=27724398&loc=d3e27290-111563 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 310 -SubTopic 30 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=6379141&loc=d3e15032-111544 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=27724398&loc=d3e27232-111563 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -Glossary Equity Security -URI http://asc.fasb.org/extlink&oid=6511694 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=6957658&loc=d3e62557-112803 Reference 7: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=27724398&loc=d3e27161-111563 Reference 8: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 9 -URI http://asc.fasb.org/extlink&oid=27724398&loc=d3e27357-111563 Reference 9: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 10 -URI http://asc.fasb.org/extlink&oid=27724398&loc=d3e27405-111563 + Details
Name: | us-gaap_InvestmentsInDebtAndMarketableEquitySecuritiesAndCertainTradingAssetsDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration