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Investments
 12 Months Ended
Dec. 31, 2015
Investments, Debt and Equity Securities [Abstract]  
Investments
Investments
(a) Fixed Maturities, Short-Term Investments and Equity Securities
Classification of Fixed Income Securities
During the second quarter of 2014, fixed maturities with a carrying value of $2.8 billion were reclassified from held to maturity ("HTM") to AFS in conjunction with the sale of XLLR as discussed in Note 3(e), "Acquisitions and Disposals - Sale of Life Reinsurance Subsidiary." Gross unrealized gains and gross unrealized losses, net of tax, of $424.9 million and nil, respectively, related to these securities were recognized in other comprehensive income on the date of transfer. For certain annuity contracts that are subject to the GreyCastle Life Retro Arrangements, policy benefit reserves were historically increased for the impact of changes in unrealized gains on investments supporting such contracts as if the gains had been realized, with a corresponding entry to other comprehensive income ("Shadow Adjustments"). In conjunction with the sale of XLLR and the related reclassification of securities from HTM to AFS, the Company recorded an additional gross charge of $440.5 million, net of tax, as a reduction of comprehensive income for such Shadow Adjustments on the date of the transfer. See Note 20, "Accumulated Other Comprehensive Income (Loss)," for further information.
All of the reclassified securities are included within the Life Funds Withheld Assets, along with certain other available for sale securities as defined in the sale and purchase agreement. The Life Funds Withheld Assets are managed pursuant to agreed upon investment guidelines that meet the contractual commitments of the XL ceding companies and applicable laws and regulations. All of the investment results associated with the Life Funds Withheld Assets ultimately accrue to GCLR. Because the Company no longer shares in the risks and rewards of the underlying performance of the Life Funds Withheld Assets, disclosures within the financial statements and accompanying notes included herein separate the Life Funds Withheld Assets from the rest of the Company's investments.
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 AFS investments at December 31, 2015 and 2014 were as follows:
 
 
 
Included in AOCI
 
 
 
 
December 31, 2015
(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-Related/Supported
$
5,047,621

 
$
52,355

 
$
(34,339
)
 
$
5,065,637

 
$
—

Corporate - Financials
3,535,830

 
49,535

 
(23,456
)
 
3,561,909

 
—

Corporate - Non Financials
6,867,525

 
130,568

 
(97,646
)
 
6,900,447

 
—

RMBS – Agency
3,697,756

 
77,776

 
(17,561
)
 
3,757,971

 
—

RMBS – Non-Agency
319,876

 
25,644

 
(16,980
)
 
328,540

 
(54,200
)
CMBS
401,713

 
7,933

 
(4,330
)
 
405,316

 
(1,182
)
CDO
41,679

 
4

 
(9,273
)
 
32,410

 
(1,208
)
Other asset-backed securities
1,164,426

 
17,665

 
(13,519
)
 
1,168,572

 
(1,144
)
U.S. States and political subdivisions of the States
2,514,048

 
125,395

 
(7,373
)
 
2,632,070

 
—

Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
5,249,148

 
100,383

 
(97,917
)
 
5,251,614

 
—

Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
$
28,839,622

 
$
587,258

 
$
(322,394
)
 
$
29,104,486

 
$
(57,734
)
Total short-term investments - Excluding Life Funds Withheld Assets
618,851

 
967

 
(2,428
)
 
617,390

 
—

Total equity securities
834,079

 
89,993

 
(45,153
)
 
878,919

 
—

Total investments - AFS - Excluding Life Funds Withheld Assets
$
30,292,552

 
$
678,218

 
$
(369,975
)
 
$
30,600,795

 
$
(57,734
)
Fixed maturities - AFS - Life Funds Withheld Assets
 

 
 

 
 

 
 

 
 

U.S. Government and Government-Related/Supported
$
10,721

 
$
2,021

 
$
—

 
$
12,742

 
$
—

Corporate - Financials
531,016

 
67,220

 
—

 
598,236

 
—

Corporate - Non Financials
1,132,926

 
175,702

 
—

 
1,308,628

 
—

RMBS – Agency
591

 
161

 
—

 
752

 
—

RMBS – Non-Agency
24,401

 
2,552

 
—

 
26,953

 
—

CMBS
107,968

 
14,513

 
—

 
122,481

 
—

Other asset-backed securities
132,674

 
17,121

 
—

 
149,795

 
—

Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
737,735

 
195,781

 
—

 
933,516

 
—

Total fixed maturities - AFS - Life Funds Withheld Assets
$
2,678,032

 
$
475,071

 
$
—

 
$
3,153,103

 
$
—

Total investments - AFS
$
32,970,584

 
$
1,153,289

 
$
(369,975
)
 
$
33,753,898

 
$
(57,734
)
 
____________
(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.

December 31, 2014
(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-Related/Supported
$
2,100,851

 
$
77,889

 
$
(6,787
)
 
$
2,171,953

 
$
—

Corporate - Financials
2,687,797

 
87,058

 
(12,939
)
 
2,761,916

 
—

Corporate - Non Financials
5,774,333

 
278,747

 
(36,623
)
 
6,016,457

 
(3,309
)
RMBS – Agency
3,625,171

 
114,188

 
(10,783
)
 
3,728,576

 
—

RMBS – Non-Agency
404,398

 
41,108

 
(18,155
)
 
427,351

 
(67,918
)
CMBS
1,033,819

 
23,987

 
(5,262
)
 
1,052,544

 
(2,033
)
CDOs
717,544

 
1,659

 
(27,169
)
 
692,034

 
(1,663
)
Other asset-backed securities
1,028,528

 
42,810

 
(6,045
)
 
1,065,293

 
(1,797
)
U.S. States and political subdivisions of the States
1,892,566

 
129,910

 
(1,204
)
 
2,021,272

 
—

Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
4,162,425

 
139,484

 
(61,836
)
 
4,240,073

 
—

Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
$
23,427,432

 
$
936,840

 
$
(186,803
)
 
$
24,177,469

 
$
(76,720
)
Total short-term investments - Excluding Life Funds Withheld Assets
$
257,221

 
$
49

 
$
(543
)
 
$
256,727

 
$
—

Total equity securities - Excluding Life Funds Withheld Assets
$
763,833

 
$
130,689

 
$
(26,230
)
 
$
868,292

 
$
—

Total investments - AFS - Excluding Life Funds Withheld Assets
$
24,448,486

 
$
1,067,578

 
$
(213,576
)
 
$
25,302,488

 
$
(76,720
)
Fixed maturities - AFS - Life Funds Withheld Assets
 
 
 
 
 
 
 
 
 
U.S. Government and Government-Related/Supported
$
14,866

 
$
3,858

 
$
—

 
$
18,724

 
$
—

Corporate - Financials
701,587

 
99,432

 
—

 
801,019

 
—

Corporate - Non Financials
1,706,262

 
310,699

 
—

 
2,016,961

 
—

RMBS – Agency
3,301

 
481

 
—

 
3,782

 
—

RMBS – Non-Agency
71,075

 
14,260

 
—

 
85,335

 
—

CMBS
168,886

 
24,281

 
—

 
193,167

 
—

Other asset-backed securities
238,168

 
35,373

 
—

 
273,541

 
—

Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
1,397,194

 
391,842

 
—

 
1,789,036

 
—

Total fixed maturities - AFS - Life Funds Withheld Assets
$
4,301,339

 
$
880,226

 
$
—

 
$
5,181,565

 
$
—

Total investments - AFS
$
28,749,825

 
$
1,947,804

 
$
(213,576
)
 
$
30,484,053

 
$
(76,720
)
 ____________
(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 cost (amortized cost for fixed maturities and short-term investments) and fair value of the Company’s Trading investments at December 31, 2015 and 2014 were as follows:
December 31, 2015
(U.S. dollars in thousands)
Amortized
Cost
 
Fair Value
Fixed maturities - Trading - Life Funds Withheld Assets
 

 
 

U.S. Government and Government-Related/Supported
$
4,957

 
$
4,990

Corporate - Financials
344,070

 
335,956

Corporate - Non Financials
509,441

 
493,621

RMBS – Agency
370

 
368

CMBS
4,874

 
4,803

Other asset-backed securities
26,405

 
25,700

Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
373,492

 
370,261

Total fixed maturities - Trading - Life Funds Withheld Assets
$
1,263,609

 
$
1,235,699

Total short-term investments - Trading - Life Funds Withheld Assets
$
60,176

 
$
60,330

Total investments - Trading - Life Funds Withheld Assets
$
1,323,785

 
$
1,296,029

December 31, 2014
(U.S. dollars in thousands)
Amortized
Cost
 
Fair Value
Fixed maturities - Trading - Life Funds Withheld Assets
 

 
 

Corporate - Non Financials
$
1,180

 
$
1,171

Total investments - Trading - Life Funds Withheld Assets
$
1,180

 
$
1,171


At December 31, 2015 and 2014, approximately 2.0% and 3.0%, respectively, of the Company's fixed income investment portfolio at fair value, excluding Life Funds Withheld Assets, was invested in securities that were below investment grade or not rated. Approximately 14.7% and 24.9% of the gross unrealized losses in the Company's fixed income investment portfolio, excluding Life Funds Withheld Assets, at December 31, 2015 and 2014, respectively, related to securities that were below investment grade or not rated.
Contractual Maturities Summary
The contractual maturities of AFS and Trading fixed income securities at December 31, 2015 and 2014 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.
(U.S. dollars in thousands)
December 31, 2015
 
December 31, 2014
Amortized
Cost
 
Fair
Value
 
Amortized
Cost
 
Fair
Value
Fixed maturities - AFS - Excluding Life Funds Withheld Assets
 
 
 
 
 
 
 
Due less than one year
$
2,106,851

 
$
2,104,106

 
$
1,972,224

 
$
1,980,429

Due after 1 through 5 years
14,051,494

 
14,143,461

 
8,919,037

 
9,113,651

Due after 5 through 10 years
5,680,830

 
5,740,954

 
4,232,396

 
4,412,569

Due after 10 years
1,374,997

 
1,423,156

 
1,494,315

 
1,705,022

 
$
23,214,172

 
$
23,411,677

 
$
16,617,972

 
$
17,211,671

RMBS – Agency
$
3,697,756

 
$
3,757,971

 
$
3,625,171

 
$
3,728,576

RMBS – Non-Agency
319,876

 
328,540

 
404,398

 
427,351

CMBS
401,713

 
405,316

 
1,033,819

 
1,052,544

CDO
41,679

 
32,410

 
717,544

 
692,034

Other asset-backed securities
1,164,426

 
1,168,572

 
1,028,528

 
1,065,293

Total mortgage and asset-backed securities
$
5,625,450

 
$
5,692,809

 
$
6,809,460

 
$
6,965,798

Total fixed maturities - AFS - Excluding Life Funds Withheld Assets
$
28,839,622

 
$
29,104,486

 
$
23,427,432

 
$
24,177,469

Fixed maturities - AFS - Life Funds Withheld Assets
 
 
 
 
 
 
 
Due less than one year
$
81,700

 
$
92,921

 
$
117,048

 
$
125,326

Due after 1 through 5 years
386,810

 
416,743

 
638,526

 
685,787

Due after 5 through 10 years
491,621

 
558,805

 
1,004,698

 
1,165,348

Due after 10 years
1,452,267

 
1,784,653

 
2,059,637

 
2,649,279

 
$
2,412,398

 
$
2,853,122

 
$
3,819,909

 
$
4,625,740

RMBS – Agency
$
591

 
$
752

 
$
3,301

 
$
3,782

RMBS – Non-Agency
24,401

 
26,953

 
71,075

 
85,335

CMBS
107,968

 
122,481

 
168,886

 
193,167

Other asset-backed securities
132,674

 
149,795

 
238,168

 
273,541

Total mortgage and asset-backed securities
$
265,634

 
$
299,981

 
$
481,430

 
$
555,825

Total fixed maturities - AFS - Life Funds Withheld Assets
$
2,678,032

 
$
3,153,103

 
$
4,301,339

 
$
5,181,565

Total fixed maturities - AFS
$
31,517,654

 
$
32,257,589

 
$
27,728,771

 
$
29,359,034

(U.S. dollars in thousands)
December 31, 2015
 
December 31, 2014
Amortized
Cost
 
Fair
Value
 
Amortized
Cost
 
Fair
Value
Fixed maturities - Trading - Life Funds Withheld Assets
 
 
 
 
 
 
 
Due less than one year
$
4,573

 
$
5,096

 
$
—

 
$
—

Due after 1 through 5 years
278,163

 
272,220

 
—

 
—

Due after 5 through 10 years
280,487

 
277,920

 
1,180

 
1,171

Due after 10 years
668,737

 
649,592

 
—

 
—

 
$
1,231,960

 
$
1,204,828

 
$
1,180

 
$
1,171

RMBS – Agency
370

 
368

 
—

 
—

CMBS
4,874

 
4,803

 
—

 
—

Other asset-backed securities
26,405

 
25,700

 
—

 
—

Total mortgage and asset-backed securities
31,649

 
30,871

 
—

 
—

Total fixed maturities - Trading - Life Funds Withheld Assets
$
1,263,609

 
$
1,235,699

 
$
1,180

 
$
1,171


Pledged Assets
Certain of the Company's invested assets are held in trust and 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 3(e), "Acquisitions and Disposals - Sale of Life Reinsurance Subsidiary." Additionally, certain deposit liabilities and annuity contracts require the use of pledged assets. As of December 31, 2015 and December 31, 2014, the Company had $18.3 billion and $15.2 billion in pledged assets, respectively.
(b) Gross Unrealized Losses
The following is an analysis of how long the AFS securities at December 31, 2015 and 2014 had been in a continual unrealized loss position:
December 31, 2015
(U.S. dollars in thousands)
Less than 12 months
 
Equal to or greater
than 12 months
Fair Value
 
Gross
Unrealized
Losses
 
Fair Value
 
Gross
Unrealized
Losses
Fixed maturities and short-term investments - AFS
 
 
 
 
 
 
 
U.S. Government and Government-Related/Supported
$
3,762,869

 
$
(29,339
)
 
$
89,113

 
$
(5,044
)
Corporate - Financials
1,641,021

 
(13,280
)
 
102,022

 
(10,192
)
Corporate - Non Financials
3,275,270

 
(73,069
)
 
227,527

 
(24,706
)
RMBS – Agency
1,065,055

 
(10,046
)
 
221,211

 
(7,515
)
RMBS – Non-Agency
19,614

 
(1,104
)
 
180,146

 
(15,876
)
CMBS
118,605

 
(1,561
)
 
78,651

 
(2,769
)
CDO
12,311

 
(516
)
 
20,096

 
(8,757
)
Other asset-backed securities
572,671

 
(5,252
)
 
57,563

 
(8,268
)
U.S. States and political subdivisions of the States
565,055

 
(6,609
)
 
12,259

 
(765
)
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
1,921,286

 
(53,440
)
 
474,929

 
(46,714
)
Total fixed maturities and short-term investments - AFS
$
12,953,757

 
$
(194,216
)
 
$
1,463,517

 
$
(130,606
)
Total equity securities
$
356,742

 
$
(45,153
)
 
$
—

 
$
—

 
Less than 12 months
 
Equal to or greater
than 12 months
December 31, 2014
(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 and Government-Related/Supported
$
251,091

 
$
(1,196
)
 
$
342,890

 
$
(5,603
)
Corporate – Financials
387,619

 
(5,858
)
 
105,155

 
(7,097
)
Corporate – Non Financials
949,851

 
(28,023
)
 
319,066

 
(8,657
)
RMBS – Agency
134,535

 
(220
)
 
512,652

 
(10,563
)
RMBS – Non-Agency
45,378

 
(1,358
)
 
202,700

 
(16,797
)
CMBS
78,356

 
(385
)
 
169,065

 
(4,877
)
CDOs
249,803

 
(2,666
)
 
414,516

 
(24,503
)
Other asset-backed securities
143,044

 
(2,813
)
 
57,544

 
(3,232
)
U.S. States and political subdivisions of the States
32,187

 
(210
)
 
63,695

 
(994
)
Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported
624,346

 
(19,043
)
 
558,422

 
(43,251
)
Total fixed maturities and short-term investments - AFS
$
2,896,210

 
$
(61,772
)
 
$
2,745,705

 
$
(125,574
)
Total equity securities
$
191,193

 
$
(26,230
)
 
$
—

 
$
—


The Company had gross unrealized losses totaling $370.0 million on 3,248 securities out of a total of 8,729 held at December 31, 2015 in its AFS Excluding Life Funds Withheld Assets portfolio, which either it considers to be temporarily impaired or with respect to which it reflects non-credit losses on other-than-temporarily impaired assets. Individual security positions comprising this balance have been evaluated by management 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 Investment Income
Net investment income for the years ended December 31 is derived from the following sources:
(U.S. dollars in thousands)
2015
 
2014
 
2013
Fixed maturities, short term investments and cash equivalents - Excluding Life Funds Withheld Assets
$
726,161

 
$
809,964

 
$
982,275

Fixed maturities, short term investments and cash equivalents - Life Funds Withheld Assets
187,489

 
129,575

 
—

Equity securities and other investments
28,200

 
42,252

 
35,388

Interest on funds withheld
10,835

 
14,583

 
12,783

Total gross investment income
$
952,685

 
$
996,374

 
$
1,030,446

Investment expenses
(80,315
)
 
(77,749
)
 
(72,730
)
Total net investment income
$
872,370

 
$
918,625

 
$
957,716


(d) Net Realized Gains (Losses)
The following represents an analysis of net realized gains (losses), the change in unrealized gains (losses) on investments and net realized and unrealized gains (losses) on investment related derivative instruments for the years ended December 31:
(U.S. dollars in thousands)
2015
 
2014
 
2013
Fixed maturities, short term investments, cash and cash equivalents - Excluding Life Funds Withheld Assets:
 
 
 
 
 
Gross realized gains
$
187,523

 
$
119,817

 
$
129,479

Gross realized losses on investments sold
(134,441
)
 
(66,892
)
 
(84,703
)
OTTI on investments, net of amounts transferred to other comprehensive income
(54,346
)
 
(12,341
)
 
(16,282
)
Net realized gains (losses)
$
(1,264
)
 
$
40,584

 
$
28,494

Equity securities:
 
 
 
 
 
Gross realized gains
$
79,556

 
$
96,260

 
$
29,402

Gross realized losses on investments sold
(49,223
)
 
(12,270
)
 
(3,185
)
OTTI on investments, net of amounts transferred to other comprehensive income
(15,954
)
 
(10,944
)
 
(17
)
Net realized gains (losses)
$
14,379

 
$
73,046

 
$
26,200

Other investments:
 
 
 
 
 
Gross realized gains
$
39,198

 
$
31,830

 
$
46,934

Gross realized losses on investments sold
(19,656
)
 
(10,011
)
 
(13,851
)
OTTI on investments, net of amounts transferred to other comprehensive income
(12,660
)
 
(12,458
)
 
—

Net realized gains (losses)
$
6,882

 
$
9,361

 
$
33,083

Net realized gains (losses) on investments - Excluding Life Funds Withheld Assets
$
19,997

 
$
122,991

 
$
87,777

Fixed maturities, short term investments, cash and cash equivalents - Life Funds Withheld Assets:
 
 
 
 
 
Gross realized gains
$
259,798

 
$
7,926

 
$
—

Gross realized losses on investments sold
(36,526
)
 
(2,859
)
 
—

Net unrealized gains (losses) on investments, Trading - Life Funds Withheld Assets
(27,734
)
 
(9
)
 
—

OTTI on investments, net of amounts transferred to other comprehensive income
(13,357
)
 
(20,587
)
 
—

Net realized gains (losses) on investments - Life Funds Withheld Assets
$
182,181

 
$
(15,529
)
 
$
—

Net realized gains (losses) on investments
$
202,178

 
$
107,462

 
$
87,777

Net realized and unrealized gains (losses) on investment related derivative instruments
$
(8,616
)
 
$
20,121

 
$
6,367

Net realized gains (losses) on investments and net realized and unrealized gains (losses) on investment related derivative instruments
$
193,562

 
$
127,583

 
$
94,144

Change in unrealized gains (losses):
 
 
 
 
 
Fixed maturities – AFS - Excluding Life Funds Withheld Assets
$
(486,140
)
 
$
360,463

 
$
(913,174
)
Fixed maturities - AFS - Life Funds Withheld Assets
(405,155
)
 
880,226

 
—

Fixed maturities – HTM
—

 
(272,540
)
 
(175,817
)
Equity securities
(59,619
)
 
(32,577
)
 
105,163

Affiliates and other investments
(6,072
)
 
35,143

 
26,636

Net change in unrealized gains (losses) on investments
$
(956,986
)
 
$
970,715

 
$
(957,192
)
Total net realized gains (losses) on investments, net realized and unrealized gains (losses) on investment related derivative instruments, and net change in unrealized gains (losses) on investments
$
(763,424
)
 
$
1,098,298

 
$
(863,048
)

The significant components of OTTI charges of $83.0 million, as defined in Note 2(g), "Significant Accounting Policies - Other-Than-Temporary Impairments of Available for Sale," for investments excluding Life Funds Withheld Assets for the year ended December 31, 2015 were:
▪
$19.4 million related to change of intent to hold Corporate high yield securities.
▪
$16.0 million related to certain equities that were in a loss position for more than 11 months or impaired by more than 50%.
▪
$8.7 million related to other investments.
▪
$8.0 million for structured securities, principally CDOs that we no longer intend to hold for a period sufficient to recover their fair value to amortized cost.
▪
$4.0 million related to hedge funds, included in other investments, that were in a loss position for more than 11 months.
▪
$2.0 million related to certain quasi-government securities that we no longer intend to hold for a period sufficient to recover their fair value to amortized cost.
▪
$1.3 million for structured securities, principally non-Agency RMBS, where we determined that the likely recovery on these securities was below the carrying value and, accordingly, recorded an impairment of the securities to the discounted value of the cash flows expected to be received on these securities.
▪
$23.6 million related to foreign exchange losses.
The significant components of OTTI charges of $35.7 million for investments excluding Life Funds Withheld Assets for the year ended December 31, 2014 were:
▪
$12.5 million related to other investments.
▪
$10.9 million related to certain equities as the holdings were in a loss position for more than 11 months or impaired by more than 50%.
▪
$3.7 million related to change of intent to hold certain Corporate high yield securities.
▪
$4.3 million for structured securities, principally non-Agency RMBS, where we determined that the likely recovery on these securities was below the carrying value and, accordingly, recorded an impairment of the securities to the discounted value of the cash flows expected to be received on these securities.
▪
$4.3 million related to foreign exchange losses.
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 OCI, held by the Company as of the dates or for the periods indicated and the corresponding changes in such amounts.
Credit Loss Impairments
(U.S. dollars in thousands)
2015
 
2014
Opening balance at beginning of indicated period
$
131,942

 
$
174,805

Credit loss impairment recognized in the current period on securities not previously impaired
9,698

 
3,907

Credit loss impairments previously recognized on securities which matured, paid down, prepaid or were sold during the period
(54,648
)
 
(42,671
)
Credit loss impairments previously recognized on securities impaired to fair value during the period
(2,629
)
 
—

Additional credit loss impairments recognized in the current period on securities previously impaired
2,230

 
4,185

Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected
(13,124
)
 
(8,284
)
Closing balance at end of indicated period
$
73,469

 
$
131,942