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INVESTMENTS
 6 Months Ended
Jun. 30, 2018
Investments, Debt and Equity Securities [Abstract]  
INVESTMENTS
a)     Fixed Maturities and Equity securities

Fixed maturities

The amortized cost and fair values of the Company's fixed maturities classified as available for sale were as follows:
 
 
Amortized
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair
Value
 
Non-credit
OTTI
in AOCI(5)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At June 30, 2018
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
1,692,025

 
$
556

 
$
(23,160
)
 
$
1,669,421

 
$
—

 
 
Non-U.S. government
596,802

 
4,475

 
(16,114
)
 
585,163

 
—

 
 
Corporate debt
4,945,251

 
18,686

 
(92,965
)
 
4,870,972

 
—

 
 
Agency RMBS(1)
1,738,740

 
3,903

 
(42,915
)
 
1,699,728

 
—

 
 
CMBS(2)
1,142,204

 
1,086

 
(21,323
)
 
1,121,967

 
—

 
 
Non-Agency RMBS
38,572

 
1,574

 
(842
)
 
39,304

 
(884
)
 
 
ABS(3)
1,617,950

 
2,509

 
(6,425
)
 
1,614,034

 
—

 
 
Municipals(4)
140,345

 
706

 
(2,335
)
 
138,716

 
—

 
 
Total fixed maturities
$
11,911,889

 
$
33,495

 
$
(206,079
)
 
$
11,739,305

 
$
(884
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2017
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
1,727,643

 
$
1,735

 
$
(16,909
)
 
$
1,712,469

 
$
—

 
 
Non-U.S. government
798,582

 
17,240

 
(9,523
)
 
806,299

 
—

 
 
Corporate debt
5,265,795

 
61,922

 
(29,851
)
 
5,297,866

 
—

 
 
Agency RMBS(1)
2,414,720

 
8,132

 
(27,700
)
 
2,395,152

 
—

 
 
CMBS(2)
776,715

 
4,138

 
(3,125
)
 
777,728

 
—

 
 
Non-Agency RMBS
45,713

 
1,917

 
(799
)
 
46,831

 
(853
)
 
 
ABS(3)
1,432,884

 
5,391

 
(1,994
)
 
1,436,281

 
—

 
 
Municipals(4)
149,167

 
1,185

 
(972
)
 
149,380

 
—

 
 
Total fixed maturities
$
12,611,219

 
$
101,660

 
$
(90,873
)
 
$
12,622,006

 
$
(853
)
 
 
 
 
 
 
 
 
 
 
 
 
 
(1)
Residential mortgage-backed securities ("RMBS") originated by U.S. government-sponsored agencies.
(2)
Commercial mortgage-backed securities ("CMBS").
(3)
Asset-backed securities (ABS) include debt tranched securities collateralized primarily by auto loans, student loans, credit card receivables, collateralized debt obligations ("CDOs") and collateralized loan obligations ("CLOs").
(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, maturities and redemptions. It does not include the change in fair value subsequent to the impairment measurement date.




Equity Securities

The cost and fair values of the Company's equity securities were as follows:
 
 
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair
Value
 
 
At June 30, 2018
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
Common stocks
$
13,302

 
$
1,239

 
$
(1,114
)
 
$
13,427

 
 
Exchange-traded funds
211,940

 
53,318

 
(1,413
)
 
263,845

 
 
Bond mutual funds
141,173

 
3

 
(1,236
)
 
139,940

 
 
Total equity securities
$
366,415

 
$
54,560

 
$
(3,763
)
 
$
417,212

 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2017
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
Common stocks
$
22,836

 
$
3,412

 
$
(590
)
 
$
25,658

 
 
Exchange-traded funds
356,252

 
71,675

 
(294
)
 
427,633

 
 
Bond mutual funds
173,779

 
9,440

 
(999
)
 
182,220

 
 
Total equity securities
$
552,867

 
$
84,527

 
$
(1,883
)
 
$
635,511

 
 
 
 
 
 
 
 
 
 
 


In the normal course of investing activities, the Company actively manages allocations to non-controlling tranches of structured securities (variable interests) issued by Variable Interest Entities ("VIEs"). These structured securities include RMBS, CMBS and ABS. The Company also invests in limited partnerships (hedge funds, direct lending funds, private equity funds and real estate funds) and CLO equity tranched securities, which are all variable interests issued by VIEs (see Note 3(c) 'Other Investments'). The Company does not have the power to direct the activities that are most significant to the economic performance of the VIEs therefore the Company is not the primary beneficiary of any of these VIEs. The maximum exposure to loss on these interests is limited to the amount of investment made by the Company. The Company has not provided financial or other support with respect to these structured securities other than the original investment.

Contractual Maturities

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. The contractual maturities of fixed maturities are shown below:
 
 
Amortized
Cost
 
Fair
Value
 
% of Total
Fair Value
 
 
 
 
 
 
 
 
 
 
At June 30, 2018
 
 
 
 
 
 
 
Maturity
 
 
 
 
 
 
 
Due in one year or less
$
470,471

 
$
463,126

 
4.0
%
 
 
Due after one year through five years
4,881,214

 
4,828,882

 
41.1
%
 
 
Due after five years through ten years
1,818,888

 
1,769,098

 
15.1
%
 
 
Due after ten years
203,850

 
203,166

 
1.7
%
 
 
 
7,374,423

 
7,264,272

 
61.9
%
 
 
Agency RMBS
1,738,740

 
1,699,728

 
14.5
%
 
 
CMBS
1,142,204

 
1,121,967

 
9.6
%
 
 
Non-Agency RMBS
38,572

 
39,304

 
0.3
%
 
 
ABS
1,617,950

 
1,614,034

 
13.7
%
 
 
Total
$
11,911,889

 
$
11,739,305

 
100.0
%
 
 
 
 
 
 
 
 
 
 
At December 31, 2017
 
 
 
 
 
 
 
Maturity
 
 
 
 
 
 
 
Due in one year or less
$
486,659

 
$
484,663

 
3.8
%
 
 
Due after one year through five years
4,906,207

 
4,912,189

 
38.9
%
 
 
Due after five years through ten years
2,338,964

 
2,350,433

 
18.6
%
 
 
Due after ten years
209,357

 
218,729

 
1.7
%
 
 
 
7,941,187

 
7,966,014

 
63.0
%
 
 
Agency RMBS
2,414,720

 
2,395,152

 
19.0
%
 
 
CMBS
776,715

 
777,728

 
6.2
%
 
 
Non-Agency RMBS
45,713

 
46,831

 
0.4
%
 
 
ABS
1,432,884

 
1,436,281

 
11.4
%
 
 
Total
$
12,611,219

 
$
12,622,006

 
100.0
%
 
 
 
 
 
 
 
 
 


 Gross Unrealized Losses

The following table summarizes fixed maturities and equity securities 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 June 30, 2018(1)
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
125,039

 
$
(6,565
)
 
$
1,378,293

 
$
(16,595
)
 
$
1,503,332

 
$
(23,160
)
 
 
Non-U.S. government
63,216

 
(7,352
)
 
326,670

 
(8,762
)
 
389,886

 
(16,114
)
 
 
Corporate debt
325,074

 
(17,362
)
 
3,513,735

 
(75,603
)
 
3,838,809

 
(92,965
)
 
 
Agency RMBS
527,560

 
(23,601
)
 
836,763

 
(19,314
)
 
1,364,323

 
(42,915
)
 
 
CMBS
29,405

 
(1,556
)
 
925,264

 
(19,767
)
 
954,669

 
(21,323
)
 
 
Non-Agency RMBS
7,455

 
(763
)
 
4,320

 
(79
)
 
11,775

 
(842
)
 
 
ABS
27,316

 
(413
)
 
853,002

 
(6,012
)
 
880,318

 
(6,425
)
 
 
Municipals
11,037

 
(414
)
 
97,649

 
(1,921
)
 
108,686

 
(2,335
)
 
 
Total fixed maturities
$
1,116,102

 
$
(58,026
)
 
$
7,935,696

 
$
(148,053
)
 
$
9,051,798

 
$
(206,079
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2017
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
194,916

 
$
(5,963
)
 
$
1,389,792

 
$
(10,946
)
 
$
1,584,708

 
$
(16,909
)
 
 
Non-U.S. government
62,878

 
(6,806
)
 
204,110

 
(2,717
)
 
266,988

 
(9,523
)
 
 
Corporate debt
407,300

 
(11,800
)
 
2,041,845

 
(18,051
)
 
2,449,145

 
(29,851
)
 
 
Agency RMBS
759,255

 
(17,453
)
 
1,172,313

 
(10,247
)
 
1,931,568

 
(27,700
)
 
 
CMBS
31,607

 
(703
)
 
348,943

 
(2,422
)
 
380,550

 
(3,125
)
 
 
Non-Agency RMBS
8,029

 
(788
)
 
4,197

 
(11
)
 
12,226

 
(799
)
 
 
ABS
57,298

 
(570
)
 
392,170

 
(1,424
)
 
449,468

 
(1,994
)
 
 
Municipals
11,230

 
(269
)
 
65,632

 
(703
)
 
76,862

 
(972
)
 
 
Total fixed maturities
$
1,532,513

 
$
(44,352
)
 
$
5,619,002

 
$
(46,521
)
 
$
7,151,515

 
$
(90,873
)
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
 
 
Common stocks
$
—

 
$
—

 
$
3,202

 
$
(590
)
 
$
3,202

 
$
(590
)
 
 
Exchange-traded funds
—

 
—

 
12,323

 
(294
)
 
12,323

 
(294
)
 
 
Bond mutual funds
—

 
—

 
12,184

 
(999
)
 
12,184

 
(999
)
 
 
Total equity securities
$
—

 
$
—

 
$
27,709

 
$
(1,883
)
 
$
27,709

 
$
(1,883
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

(1)
Effective January 1, 2018, the Company adopted ASU No. 2016-01 which requires equity securities to be measured at fair value with changes in fair value recognized in net income therefore equity securities at fair value are excluded from the table above at June 30, 2018.

Fixed Maturities

At June 30, 2018, 3,364 fixed maturities (2017: 2,424) were in an unrealized loss position of $206 million (2017: $91 million), of which $17 million (2017: $7 million) was related to securities below investment grade or not rated.

At June 30, 2018, 563 fixed maturities (2017: 627) had been in a continuous unrealized loss position for twelve months or greater and had a fair value of $1,116 million (2017: $1,533 million). Following a credit impairment review, it was concluded that these securities as well as the remaining securities in an unrealized loss position were temporarily impaired at June 30, 2018, and were expected to recover in value as the securities approach maturity. At June 30, 2018, the Company did not intend to sell the securities in an unrealized loss position and it is more likely than not that the Company will not be required to sell these securities before the anticipated recovery of their amortized costs.

b) Mortgage Loans

The following table provides a breakdown of the Company's mortgage loans held-for-investment:
 
  
June 30, 2018
 
December 31, 2017
 
 
  
Carrying Value
 
% of Total
 
Carrying Value
 
% of Total
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage Loans held-for-investment:
 
 
 
 
 
 
 
 
 
Commercial
$
344,721

 
100
%
 
$
325,062

 
100
%
 
 
Total Mortgage Loans held-for-investment
$
344,721

 
100
%
 
$
325,062

 
100
%
 
 
 
 
 
 
 
 
 
 
 


The primary credit quality indicator for commercial mortgage loans 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 which compares 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.

The Company has a high quality mortgage loan portfolio with weighted average debt service coverage ratios in excess of 2.8x and weighted average loan-to-value ratios of less than 60%. At June 30, 2018 there are no credit losses associated with the commercial mortgage loans held by the Company.

At June 30, 2018, there are no past due amounts.
 
c) Other Investments

The following tables provide a breakdown of the Company's other investments, together with additional information relating to the liquidity of each category:
 
 
Fair Value
 
Redemption Frequency
(if currently eligible)
 
  Redemption  
  Notice Period  
 
 
 
 
 
 
 
 
 
 
 
 
At June 30, 2018
 

 
 

 
 
 
 
 
 
Long/short equity funds
$
26,693

 
3
%
 
Annually
 
60 days
 
 
Multi-strategy funds
276,914

 
30
%
 
Quarterly, Semi-annually
 
60-95 days
 
 
Event-driven funds
40,107

 
4
%
 
Annually
 
45 days
 
 
Direct lending funds
259,976

 
28
%
 
n/a
 
n/a
 
 
Private equity funds
65,513

 
7
%
 
n/a
 
n/a
 
 
Real estate funds
56,855

 
6
%
 
n/a
 
n/a
 
 
CLO-Equities
26,153

 
4
%
 
n/a
 
n/a
 
 
Other privately held investments
47,613

 
5
%
 
n/a
 
n/a
 
 
Overseas deposits
116,367

 
13
%
 
n/a
 
n/a
 
 
Total other investments
$
916,191

 
100
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2017
 

 
 

 
 
 
 
 
 
Long/short equity funds
$
38,470

 
4
%
 
Annually
 
60 days
 
 
Multi-strategy funds
286,164

 
28
%
 
Quarterly, Semi-annually
 
60-95 days
 
 
Event-driven funds
39,177

 
4
%
 
Annually
 
45 days
 
 
Direct lending funds
250,681

 
25
%
 
n/a
 
n/a
 
 
Private equity funds
68,812

 
7
%
 
n/a
 
n/a
 
 
Real estate funds
50,009

 
5
%
 
n/a
 
n/a
 
 
CLO-Equities
31,413

 
2
%
 
n/a
 
n/a
 
 
Other privately held investments
46,430

 
5
%
 
n/a
 
n/a
 
 
Overseas deposits
198,217

 
20
%
 
n/a
 
n/a
 
 
Total other investments
$
1,009,373

 
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 equity securities.

•
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.

•
Direct lending funds: Seek to achieve attractive risk-adjusted returns, including current income generation, by investing in funds which provide financing directly to borrowers.

•
Private equity funds: Seek to achieve attractive risk-adjusted returns by investing in private transactions over the course of several years.

•
Real estate funds: Seek to achieve attractive risk-adjusted returns by making and managing investments in real estate and real estate securities and businesses.

Two common redemption restrictions which may impact the Company's ability to redeem 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 the six months ended June 30, 2018 and 2017, neither of these restrictions impacted the Company's redemption requests. At June 30, 2018, $40 million (2017: $38 million), representing 11% (2017: 11%) of total hedge funds, relate to a holding where the Company is still within the lockup period. The expiration of these lockup periods range from March 2019 to May 2020. 

At June 30, 2018, the Company had $235 million (2017: $137 million) of unfunded commitments as a limited partner 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 five to ten years and the General Partners of certain funds have the option to extend the term by up to three years.
At June 30, 2018, the Company had $54 million (2017: $16 million) of unfunded commitments as a limited partner in multi-strategy hedge 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 after the completion of the funds' investment term. These funds have investment terms ranging from two years to the dissolution of the underlying fund.
At June 30, 2018, the Company had $175 million (2017: $115 million) of unfunded commitments as a limited partner in funds which invest in real estate and real estate securities and businesses. These funds include an open-ended fund and funds with investment terms ranging from seven years to the dissolution of the underlying fund.
 
At June 30, 2018, the Company had $18 million (2017: $21 million) of unfunded commitments as a limited partner in a private equity fund. The life of the fund is subject to the dissolution of the underlying funds. The Company expects the overall holding period to be over ten years.

During 2015, the Company made a $50 million commitment as a limited partner of a bank revolver opportunity fund. The fund has an investment term of seven years and the General Partners have the option to extend the term by up to two years. At June 30, 2018, this commitment remains unfunded. It is not anticipated that the full amount of this fund will be drawn.

Syndicate 2007 holds overseas deposits which include investments in private funds where the underlying investments are primarily U.S. government, Non-U.S. government and corporate debt securities. The funds do not trade on an exchange therefore are not included within available for sale investments.
d) Equity Method Investments

During 2016, the Company paid $108 million including direct transaction costs to acquire 19% of the common equity of Harrington Reinsurance Holdings Limited ("Harrington"), the parent company of Harrington Re Ltd. ("Harrington Re"), an independent reinsurance company jointly sponsored by AXIS Capital and The Blackstone Group L.P. ("Blackstone"). Through long-term service agreements, AXIS Capital will serve as Harrington Re's reinsurance underwriting manager and Blackstone will serve as exclusive investment management service provider. As an investor, the Company expects to benefit from underwriting profit generated by Harrington Re and the income and capital appreciation Blackstone seeks to deliver through its investment management services. In addition, the Company has entered into an arrangement with Blackstone under which underwriting and investment related fees will be shared equally. Harrington is not a variable interest entity. Given that the Company exercises significant influence over the operating and financial policies of this investee, the Company accounts for its ownership in Harrington under the equity method of accounting. The Company's proportionate share of the underlying equity in net assets resulted in a basis difference of $5 million which represents initial transactions costs.

During the six months ended June 30, 2017, the Company recorded an impairment charge of $9 million, related to a U.S. based insurance company, which reduced the carrying value of the investment to $nil. This charge was included in interest in income (loss) of equity method investments in the Consolidated Statement of Operations.

e) Net Investment Income

Net investment income was derived from the following sources:
 
  
Three months ended June 30,
 
Six months ended June 30,
 
 
  
2018
 
2017
 
2018
 
2017
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
$
88,320

 
$
78,218

 
$
172,279

 
$
155,625

 
 
Other investments
14,541

 
23,639

 
28,246

 
42,601

 
 
Equity securities
3,158

 
4,347

 
4,916

 
7,825

 
 
Mortgage loans
3,357

 
2,597

 
6,483

 
5,074

 
 
Cash and cash equivalents
5,627

 
3,433

 
9,779

 
6,529

 
 
Short-term investments
1,645

 
660

 
2,520

 
1,098

 
 
Gross investment income
116,648

 
112,894

 
224,223

 
218,752

 
 
Investment expenses
(6,688
)
 
(6,831
)
 
(13,262
)
 
(14,024
)
 
 
Net investment income
$
109,960

 
$
106,063

 
$
210,961

 
$
204,728

 
 
 
 
 
 
 
 
 
 
 


f) Net Investment Losses

The following table provides an analysis of net investment losses:
 
  
Three months ended June 30,
 
Six months ended June 30,
 
 
  
2018
 
2017
 
2018
 
2017
 
 
 
 
 
 
 
 
 
 
 
 
Gross realized investment gains
 
 
 
 
 
 
 
 
 
Fixed maturities and short-term investments
$
5,761

 
$
17,451

 
$
37,389

 
$
38,228

 
 
Equity securities
1,147

 
30

 
18,662

 
15,813

 
 
Gross realized investment gains
6,908

 
17,481

 
56,051

 
54,041

 
 
Gross realized investment losses
 
 
 
 
 
 
 
 
 
Fixed maturities and short-term investments
(44,442
)
 
(14,354
)
 
(87,977
)
 
(67,289
)
 
 
Equity securities
—

 
(24
)
 
(1,234
)
 
(213
)
 
 
Gross realized investment losses
(44,442
)
 
(14,378
)
 
(89,211
)
 
(67,502
)
 
 
Net OTTI recognized in net income
(1,674
)
 
(1,528
)
 
(2,088
)
 
(8,082
)
 
 
Change in fair value of investment derivatives(1)
5,134

 
(5,967
)
 
7,157

 
(7,900
)
 
 
Net unrealized gains (losses) on equity securities(2)
(11,019
)
 
—

 
(31,832
)
 
—

 
 
Net investment losses
$
(45,093
)
 
$
(4,392
)
 
$
(59,923
)
 
$
(29,443
)
 
 
 
 
 
 
 
 
 
 
 
(1) Refer to Note 5 'Derivative Instruments'.
(2) Effective January 1, 2018, the Company adopted ASU No. 2016-01. The change in fair value of equity securities is now recognized in net investment losses.

The following table summarizes the OTTI recognized in net income by asset class:
 
  
Three months ended June 30,
 
Six months ended June 30,
 
 
  
2018
 
2017
 
2018
 
2017
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
Non-U.S. government
$
22

 
$
—

 
$
22

 
$
4,282

 
 
Corporate debt
1,652

 
1,528

 
2,066

 
3,800

 
 
Total OTTI recognized in net income
$
1,674

 
$
1,528

 
$
2,088

 
$
8,082

 
 
 
 
 
 
 
 
 
 
 


The following table provides a roll forward of the credit losses ("credit loss table"), before income taxes, for which a portion of the OTTI was recognized in AOCI:
 
  
Three months ended June 30,
 
Six months ended June 30,
 
 
  
2018
 
2017
 
2018
 
2017
 
 
 
 
 
 
 
 
 
 
 
 
Balance at beginning of period
$
1,484

 
$
1,483

 
$
1,494

 
$
1,493

 
 
Credit impairments recognized on securities not previously impaired
—

 
—

 
—

 
—

 
 
Additional credit impairments recognized on securities previously impaired
—

 
—

 
—

 
—

 
 
Change in timing of future cash flows on securities previously impaired
—

 
—

 
—

 
—

 
 
Intent to sell of securities previously impaired
—

 
—

 
—

 
—

 
 
Securities sold/redeemed/matured
(12
)
 
(2
)
 
(22
)
 
(12
)
 
 
Balance at end of period
$
1,472

 
$
1,481

 
$
1,472

 
$
1,481

 
 
 
 
 
 
 
 
 
 
 


g) Reverse Repurchase Agreements

At June 30, 2018, the Company held $86 million (2017: $37 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 in the Company's Consolidated Balance Sheets. 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, the Company receives principal and interest income. The Company monitors 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.