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INVESTMENTS
 6 Months Ended
Jun. 30, 2017
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 June 30, 2017
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
1,644,697

 
$
2,822

 
$
(15,507
)
 
$
1,632,012

 
$
—

 
 
Non-U.S. government
545,812

 
9,988

 
(18,279
)
 
537,521

 
—

 
 
Corporate debt
4,707,988

 
60,389

 
(32,210
)
 
4,736,167

 
—

 
 
Agency RMBS(1)
2,314,585

 
11,654

 
(23,983
)
 
2,302,256

 
—

 
 
CMBS(2)
649,645

 
6,312

 
(2,150
)
 
653,807

 
—

 
 
Non-Agency RMBS
46,658

 
1,831

 
(1,071
)
 
47,418

 
(868
)
 
 
ABS(3)
1,370,118

 
3,772

 
(1,000
)
 
1,372,890

 
—

 
 
Municipals(4)
141,307

 
1,471

 
(554
)
 
142,224

 
—

 
 
Total fixed maturities
$
11,420,810

 
$
98,239

 
$
(94,754
)
 
$
11,424,295

 
$
(868
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
Common stocks
$
13,533

 
$
779

 
$
(565
)
 
$
13,747

 
 
 
 
Exchange-traded funds
457,562

 
84,472

 
—

 
542,034

 
 
 
 
Bond mutual funds
180,561

 
3,325

 
(1,178
)
 
182,708

 
 
 
 
Total equity securities
$
651,656

 
$
88,576

 
$
(1,743
)
 
$
738,489

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2016
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
1,681,425

 
$
1,648

 
$
(27,004
)
 
$
1,656,069

 
$
—

 
 
Non-U.S. government
613,282

 
2,206

 
(49,654
)
 
565,834

 
—

 
 
Corporate debt
4,633,834

 
42,049

 
(75,140
)
 
4,600,743

 
—

 
 
Agency RMBS(1)
2,487,837

 
13,275

 
(35,977
)
 
2,465,135

 
—

 
 
CMBS(2)
664,368

 
5,433

 
(3,564
)
 
666,237

 
—

 
 
Non-Agency RMBS
57,316

 
1,628

 
(2,023
)
 
56,921

 
(823
)
 
 
ABS(3)
1,221,813

 
3,244

 
(2,843
)
 
1,222,214

 
—

 
 
Municipals(4)
163,441

 
1,510

 
(990
)
 
163,961

 
—

 
 
Total fixed maturities
$
11,523,316

 
$
70,993

 
$
(197,195
)
 
$
11,397,114

 
$
(823
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
Common stocks
$
379

 
$
41

 
$
(342
)
 
$
78

 
 
 
 
Exchange-traded funds
463,936

 
53,405

 
(2,634
)
 
514,707

 
 
 
 
Bond mutual funds
133,051

 
—

 
(9,092
)
 
123,959

 
 
 
 
Total equity securities
$
597,366

 
$
53,446

 
$
(12,068
)
 
$
638,744

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(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 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, maturities and redemptions. 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 Variable Interest Entities ("VIEs"). These structured securities include RMBS, CMBS and ABS and are included in the above table. Additionally, within our other investments portfolio, we invest in limited partnerships (hedge funds, direct lending funds, private equity funds and real estate funds) and CLO equity tranched securities, which are 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 therefore we are not the primary beneficiary of 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 June 30, 2017
 
 
 
 
 
 
 
Maturity
 
 
 
 
 
 
 
Due in one year or less
$
413,461

 
$
405,807

 
3.5
%
 
 
Due after one year through five years
4,128,650

 
4,131,253

 
36.2
%
 
 
Due after five years through ten years
2,272,956

 
2,279,703

 
20.0
%
 
 
Due after ten years
224,737

 
231,161

 
2.0
%
 
 
 
7,039,804

 
7,047,924

 
61.7
%
 
 
Agency RMBS
2,314,585

 
2,302,256

 
20.2
%
 
 
CMBS
649,645

 
653,807

 
5.7
%
 
 
Non-Agency RMBS
46,658

 
47,418

 
0.4
%
 
 
ABS
1,370,118

 
1,372,890

 
12.0
%
 
 
Total
$
11,420,810

 
$
11,424,295

 
100.0
%
 
 
 
 
 
 
 
 
 
 
At December 31, 2016
 
 
 
 
 
 
 
Maturity
 
 
 
 
 
 
 
Due in one year or less
$
313,287

 
$
305,972

 
2.8
%
 
 
Due after one year through five years
3,906,190

 
3,850,149

 
33.8
%
 
 
Due after five years through ten years
2,546,299

 
2,510,975

 
22.0
%
 
 
Due after ten years
326,206

 
319,511

 
2.8
%
 
 
 
7,091,982

 
6,986,607

 
61.4
%
 
 
Agency RMBS
2,487,837

 
2,465,135

 
21.6
%
 
 
CMBS
664,368

 
666,237

 
5.8
%
 
 
Non-Agency RMBS
57,316

 
56,921

 
0.5
%
 
 
ABS
1,221,813

 
1,222,214

 
10.7
%
 
 
Total
$
11,523,316

 
$
11,397,114

 
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 June 30, 2017
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
65,015

 
$
(2,795
)
 
$
1,303,677

 
$
(12,712
)
 
$
1,368,692

 
$
(15,507
)
 
 
Non-U.S. government
103,740

 
(16,923
)
 
180,768

 
(1,356
)
 
284,508

 
(18,279
)
 
 
Corporate debt
163,247

 
(14,667
)
 
1,532,619

 
(17,543
)
 
1,695,866

 
(32,210
)
 
 
Agency RMBS
93,978

 
(1,760
)
 
1,539,025

 
(22,223
)
 
1,633,003

 
(23,983
)
 
 
CMBS
22,821

 
(502
)
 
190,379

 
(1,648
)
 
213,200

 
(2,150
)
 
 
Non-Agency RMBS
8,563

 
(1,070
)
 
61

 
(1
)
 
8,624

 
(1,071
)
 
 
ABS
58,106

 
(576
)
 
318,030

 
(424
)
 
376,136

 
(1,000
)
 
 
Municipals
763

 
(37
)
 
44,800

 
(517
)
 
45,563

 
(554
)
 
 
Total fixed maturities
$
516,233

 
$
(38,330
)
 
$
5,109,359

 
$
(56,424
)
 
$
5,625,592

 
$
(94,754
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
 
 
Common stocks
$
40

 
$
(128
)
 
$
4,438

 
$
(437
)
 
$
4,478

 
$
(565
)
 
 
Exchange-traded funds
—

 
—

 
—

 
—

 
—

 
—

 
 
Bond mutual funds
—

 
—

 
23,718

 
(1,178
)
 
23,718

 
(1,178
)
 
 
Total equity securities
$
40

 
$
(128
)
 
$
28,156

 
$
(1,615
)
 
$
28,196

 
$
(1,743
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2016
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agency
$
54,051

 
$
(2,729
)
 
$
1,340,719

 
$
(24,275
)
 
$
1,394,770

 
$
(27,004
)
 
 
Non-U.S. government
149,360

 
(38,683
)
 
283,796

 
(10,971
)
 
433,156

 
(49,654
)
 
 
Corporate debt
230,218

 
(30,652
)
 
1,948,976

 
(44,488
)
 
2,179,194

 
(75,140
)
 
 
Agency RMBS
76,694

 
(1,101
)
 
1,724,170

 
(34,876
)
 
1,800,864

 
(35,977
)
 
 
CMBS
84,640

 
(749
)
 
193,499

 
(2,815
)
 
278,139

 
(3,564
)
 
 
Non-Agency RMBS
13,642

 
(1,752
)
 
7,194

 
(271
)
 
20,836

 
(2,023
)
 
 
ABS
362,110

 
(1,950
)
 
266,763

 
(893
)
 
628,873

 
(2,843
)
 
 
Municipals
774

 
(29
)
 
68,598

 
(961
)
 
69,372

 
(990
)
 
 
Total fixed maturities
$
971,489

 
$
(77,645
)
 
$
5,833,715

 
$
(119,550
)
 
$
6,805,204

 
$
(197,195
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Equity securities
 
 
 
 
 
 
 
 
 
 
 
 
 
Common stocks
$
—

 
$
—

 
$
37

 
$
(342
)
 
$
37

 
$
(342
)
 
 
Exchange-traded funds
4,959

 
(461
)
 
87,760

 
(2,173
)
 
92,719

 
(2,634
)
 
 
Bond mutual funds
—

 
—

 
123,954

 
(9,092
)
 
123,954

 
(9,092
)
 
 
Total equity securities
$
4,959

 
$
(461
)
 
$
211,751

 
$
(11,607
)
 
$
216,710

 
$
(12,068
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


Fixed Maturities

At June 30, 2017, 1,690 fixed maturities (2016: 1,881) were in an unrealized loss position of $95 million (2016: $197 million), of which $7 million (2016: $15 million) was related to securities below investment grade or not rated.

At June 30, 2017, 216 (2016: 330) securities had been in a continuous unrealized loss position for 12 months or greater and had a fair value of $516 million (2016: $971 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 June 30, 2017, and were expected to recover in value as the securities approach maturity. Further, at June 30, 2017, 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 June 30, 2017, 45 securities (2016: 23) were in an unrealized loss position of $2 million (2016: $12 million).

At June 30, 2017, 2 securities (2016: 3) was 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 June 30, 2017.

b) Mortgage Loans

The following table provides a breakdown of our mortgage loans held-for-investment:
 
  
June 30, 2017
 
December 31, 2016
 
 
  
Carrying Value
 
% of Total
 
Carrying Value
 
% of Total
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage Loans held-for-investment:
 
 
 
 
 
 
 
 
 
Commercial
$
349,916

 
100
%
 
$
349,969

 
100
%
 
 
 
349,916

 
100
%
 
349,969

 
100
%
 
 
Valuation allowances
—

 
—
%
 
—

 
—
%
 
 
Total Mortgage Loans held-for-investment
$
349,916

 
100
%
 
$
349,969

 
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 weighted average debt service coverage ratios in excess of 3.0x and weighted average loan-to-value ratios of less than 60%. There are no credit losses associated with the commercial mortgage loans that we hold at June 30, 2017.

There are no past due amounts at June 30, 2017.
 
c) Other Investments

The following table provides a breakdown of our investments in hedge funds, direct lending funds, private equity funds, real estate funds, CLO-Equities and other privately held 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, 2017
 

 
 

 
 
 
 
 
 
Long/short equity funds
$
61,372

 
8
%
 
Annually
 
60 days
 
 
Multi-strategy funds
284,028

 
35
%
 
Quarterly, Semi-annually
 
60-95 days
 
 
Event-driven funds
49,763

 
6
%
 
Annually
 
45 days
 
 
Direct lending funds
209,316

 
26
%
 
n/a
 
n/a
 
 
Private equity funds
74,740

 
9
%
 
n/a
 
n/a
 
 
Real estate funds
44,384

 
5
%
 
n/a
 
n/a
 
 
CLO-Equities
47,076

 
6
%
 
n/a
 
n/a
 
 
Other privately held investments
42,938

 
5
%
 
n/a
 
n/a
 
 
Total other investments
$
813,617

 
100
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2016
 

 
 

 
 
 
 
 
 
Long/short equity funds
$
118,619

 
14
%
 
Semi-annually, Annually
 
45-60 days
 
 
Multi-strategy funds
285,992

 
34
%
 
Quarterly, Semi-annually
 
60-95 days
 
 
Event-driven funds
93,539

 
11
%
 
Annually
 
45 days
 
 
Direct lending funds
134,650

 
16
%
 
n/a
 
n/a
 
 
Private equity funds
81,223

 
10
%
 
n/a
 
n/a
 
 
Real estate funds
13,354

 
2
%
 
n/a
 
n/a
 
 
CLO-Equities
60,700

 
8
%
 
n/a
 
n/a
 
 
Other privately held investments
42,142

 
5
%
 
n/a
 
n/a
 
 
Total other investments
$
830,219

 
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.

•
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 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 2017 and 2016, neither of these restrictions impacted our redemption requests. At June 30, 2017, $61 million (2016: $60 million), representing 16% (2016: 12%) of our total hedge funds, relate to holdings where we are still within the lockup period. The expiration of these lockup periods range from September 2017 to March 2019. 

At June 30, 2017, we had $151 million (2016: $176 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 5-10 years and the General Partners of certain funds have the option to extend the term by up to 3 years.
At June 30, 2017, we had $16 million (2016: $12 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 the completion of the funds' investment term. These funds have investment terms ranging from 2 years to the dissolution of the underlying fund.
At June 30, 2017, we had $122 million (2016: $140 million) of unfunded commitments as a limited partner in funds which invest in real estate and real estate securities and businesses. These funds have investment terms ranging from 7 years to the dissolution of the underlying fund.
 
At June 30, 2017, we had $21 million (2016: $24 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. We expect the overall holding period to be over 10 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 7 years and the General Partners have the option to extend the term by up to 2 years. At June 30, 2017, this commitment remains unfunded. It is not anticipated that the full amount of this fund will be drawn.

d) Equity Method Investments

During 2016, we 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, we expect 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, we have 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 we exercise significant influence over the operating and financial policies of this investee we account for our 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, we 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 is 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,
 
 
  
2017
 
2016
 
2017
 
2016
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities
$
78,218

 
$
77,621

 
$
155,625

 
$
153,596

 
 
Other investments
23,639

 
14,401

 
42,601

 
(12,477
)
 
 
Equity securities
4,347

 
3,065

 
7,825

 
8,210

 
 
Mortgage loans
2,597

 
1,807

 
5,074

 
3,492

 
 
Cash and cash equivalents
3,433

 
1,868

 
6,529

 
3,303

 
 
Short-term investments
660

 
165

 
1,098

 
371

 
 
Gross investment income
112,894

 
98,927

 
218,752

 
156,495

 
 
Investment expenses
(6,831
)
 
(7,197
)
 
(14,024
)
 
(15,599
)
 
 
Net investment income
$
106,063

 
$
91,730

 
$
204,728

 
$
140,896

 
 
 
 
 
 
 
 
 
 
 


f) Net Realized Investment Gains (Losses)

The following table provides an analysis of net realized investment gains (losses):
 
  
Three months ended June 30,
 
Six months ended June 30,
 
 
  
2017
 
2016
 
2017
 
2016
 
 
 
 
 
 
 
 
 
 
 
 
Gross realized gains
 
 
 
 
 
 
 
 
 
Fixed maturities and short-term investments
$
17,451

 
$
25,458

 
$
38,228

 
$
41,622

 
 
Equities
30

 
9,693

 
15,813

 
13,234

 
 
Gross realized gains
17,481

 
35,151

 
54,041

 
54,856

 
 
Gross realized losses
 
 
 
 
 
 
 
 
 
Fixed maturities and short-term investments
(14,354
)
 
(9,617
)
 
(67,289
)
 
(68,794
)
 
 
Equities
(24
)
 
(559
)
 
(213
)
 
(15,347
)
 
 
Gross realized losses
(14,378
)
 
(10,176
)
 
(67,502
)
 
(84,141
)
 
 
Net OTTI recognized in earnings
(1,528
)
 
(6,369
)
 
(8,082
)
 
(16,099
)
 
 
Change in fair value of investment derivatives(1)
(5,967
)
 
2,404

 
(7,900
)
 
(116
)
 
 
Net realized investment gains (losses)
$
(4,392
)
 
$
21,010

 
$
(29,443
)
 
$
(45,500
)
 
 
 
 
 
 
 
 
 
 
 
(1) Refer to Note 6 'Derivative Instruments'

The following table summarizes the OTTI recognized in earnings by asset class:
 
  
Three months ended June 30,
 
Six months ended June 30,
 
 
  
2017
 
2016
 
2017
 
2016
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities:
 
 
 
 
 
 
 
 
 
Non-U.S. government
$
—

 
$
497

 
$
4,282

 
$
497

 
 
Corporate debt
1,528

 
5,872

 
3,800

 
13,042

 
 
 
1,528

 
6,369

 
8,082

 
13,539

 
 
Equity Securities
 
 
 
 
 
 
 
 
 
Exchange-traded funds
—

 
—

 
—

 
2,560

 
 
 
—

 
—

 
—

 
2,560

 
 
Total OTTI recognized in earnings
$
1,528

 
$
6,369

 
$
8,082

 
$
16,099

 
 
 
 
 
 
 
 
 
 
 

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 June 30,
 
Six months ended June 30,
 
 
  
2017
 
2016
 
2017
 
2016
 
 
 
 
 
 
 
 
 
 
 
 
Balance at beginning of period
$
1,483

 
$
1,506

 
$
1,493

 
$
1,506

 
 
Credit impairments recognized on securities not previously impaired
—

 
—

 
—

 
—

 
 
Additional credit impairments recognized on securities previously impaired
—

 
7

 
—

 
7

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

 
—

 
—

 
—

 
 
Intent to sell of securities previously impaired
—

 
—

 
—

 
—

 
 
Securities sold/redeemed/matured
(2
)
 
—

 
(12
)
 
—

 
 
Balance at end of period
$
1,481

 
$
1,513

 
$
1,481

 
$
1,513

 
 
 
 
 
 
 
 
 
 
 


g) Reverse Repurchase Agreements

At June 30, 2017, we held $41 million (December 31, 2016: $176 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 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.