Investments

3 Months Ended

12 Months Ended

Mar. 31, 2016

Dec. 31, 2015

Investments, Debt and Equity Securities [Abstract]

Investments

Investments

(a) Fixed Maturities, Short-Term Investments and Equity Securities

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 AOCI, of the Company’s AFS investments as of March 31, 2016 and December 31, 2015, were as follows:

			Included in AOCI
March 31, 2016 (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
U.S. Government	$	4,483,796	$	101,066	$	(7,875	)	$	4,576,987	$	—
Corporate - Financials	3,656,521		75,341		(27,547		)	3,704,315		—
Corporate - Non Financials	6,935,636		210,829		(54,955		)	7,091,510		—
RMBS – Agency	4,259,838		112,260		(5,091		)	4,367,007		—
RMBS – Non-Agency	303,377		20,313		(20,847		)	302,843		(52,025		)
CMBS	317,886		10,324		(2,725		)	325,485		(1,163		)
CDO	25,845		2		(4,118		)	21,729		(1,208		)
Other asset-backed securities	1,154,679		19,123		(10,904		)	1,162,898		(1,027		)
U.S. States and political subdivisions of the States	2,436,400		149,140		(793		)	2,584,747		—
Non-U.S. Governments	5,442,418		161,392		(57,115		)	5,546,695		—
Total fixed maturities - AFS - Excluding Life Funds Withheld Assets	$	29,016,396	$	859,790	$	(191,970	)	$	29,684,216	$	(55,423	)
Total short-term investments - Excluding Life Funds Withheld Assets	317,939		433		(1,068		)	317,304		—
Total equity securities	831,543		93,517		(46,653		)	878,407		—
Total investments - AFS - Excluding Life Funds Withheld Assets	$	30,165,878	$	953,740	$	(239,691	)	$	30,879,927	$	(55,423	)
Fixed maturities - AFS - Life Funds Withheld Assets
U.S. Government	$	10,315	$	2,377	$	—		$	12,692	$	—
Corporate - Financials	486,901		60,378		—			547,279		—
Corporate - Non Financials	1,058,886		210,376		—			1,269,262		—
RMBS – Agency	597		136		—			733		—
RMBS – Non-Agency	23,172		2,657		—			25,829		—
CMBS	92,586		16,328		—			108,914		—
Other asset-backed securities	105,635		16,086		—			121,721		—
Non-U.S. Governments	650,259		226,668		—			876,927		—
Total fixed maturities - AFS - Life Funds Withheld Assets	$	2,428,351	$	535,006	$	—		$	2,963,357	$	—
Total investments - AFS	$	32,594,229	$	1,488,746	$	(239,691	)	$	33,843,284	$	(55,423	)

____________

(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, 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	$	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		)
CDOs	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. Government	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 - Excluding Life Funds Withheld Assets	$	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	$	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. Governments	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.

The cost (amortized cost for fixed maturities and short-term investments) and fair value of the Company’s Trading investments at December 31, 2016 and 2015, were as follows:

March 31, 2016 (U.S. dollars in thousands)	Amortized Cost		Fair Value
Fixed maturities - Trading - Life Funds Withheld Assets
U.S. Government	$	15,567	$	15,267
Corporate - Financials	379,848		382,755
Corporate - Non Financials	549,458		558,284
RMBS – Agency	1,917		1,869
CMBS	4,675		4,760
Other asset-backed securities	25,457		25,615
Non-U.S. Governments	390,986		421,033
Total fixed maturities - Trading - Life Funds Withheld Assets	$	1,367,908	$	1,409,583
Total short-term investments - Trading - Life Funds Withheld Assets	$	26,949	$	26,959
Total investments - Trading - Life Funds Withheld Assets	$	1,394,857	$	1,436,542

December 31, 2015 (U.S. dollars in thousands)	Amortized Cost		Fair Value
Fixed maturities - Trading - Life Funds Withheld Assets
U.S. Government	$	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. Governments	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

As of March 31, 2016 and December 31, 2015, approximately 2.1% and 2.0%, 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 18.3% and 14.7% of the gross unrealized losses in the Company's fixed income investment portfolio, excluding Life Funds Withheld Assets, as of March 31, 2016 and December 31, 2015, respectively, related to securities that were below investment grade or not rated.

Contractual Maturities Summary

The contractual maturities of AFS fixed income securities at March 31, 2016 and December 31, 2015 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.

	March 31, 2016				December 31, 2015
(U.S. dollars in thousands)	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Fixed maturities - AFS - Excluding Life Funds Withheld Assets
Due less than one year	$	2,156,182	$	2,151,862	$	2,106,851	$	2,104,106
Due after 1 through 5 years	13,787,996		14,020,514		14,051,494		14,143,461
Due after 5 through 10 years	5,622,857		5,828,464		5,680,830		5,740,954
Due after 10 years	1,387,736		1,503,414		1,374,997		1,423,156
	$	22,954,771	$	23,504,254	$	23,214,172	$	23,411,677
RMBS – Agency	4,259,838		4,367,007		3,697,756		3,757,971
RMBS – Non-Agency	303,377		302,843		319,876		328,540
CMBS	317,886		325,485		401,713		405,316
CDOs	25,845		21,729		41,679		32,410
Other asset-backed securities	1,154,679		1,162,898		1,164,426		1,168,572
Total mortgage and asset-backed securities	$	6,061,625	$	6,179,962	$	5,625,450	$	5,692,809
Total fixed maturities - AFS - Excluding Life Funds Withheld Assets	$	29,016,396	$	29,684,216	$	28,839,622	$	29,104,486
Fixed maturities - AFS - Life Funds Withheld Assets
Due less than one year	$	78,629	$	88,560	$	81,700	$	92,921
Due after 1 through 5 years	361,106		391,528		386,810		416,743
Due after 5 through 10 years	470,386		547,171		491,621		558,805
Due after 10 years	1,296,240		1,678,901		1,452,267		1,784,653
	$	2,206,361	$	2,706,160	$	2,412,398	$	2,853,122
RMBS – Agency	597		733		591		752
RMBS – Non-Agency	23,172		25,829		24,401		26,953
CMBS	92,586		108,914		107,968		122,481
Other asset-backed securities	105,635		121,721		132,674		149,795
Total mortgage and asset-backed securities	$	221,990	$	257,197	$	265,634	$	299,981
Total fixed maturities - AFS - Life Funds Withheld Assets	$	2,428,351	$	2,963,357	$	2,678,032	$	3,153,103
Total fixed maturities - AFS	$	31,444,747	$	32,647,573	$	31,517,654	$	32,257,589

	March 31, 2016				December 31, 2015
(U.S. dollars in thousands)	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Fixed maturities - Trading - Life Funds Withheld Assets
Due less than one year	$	8,177	$	8,831	$	4,573	$	5,096
Due after 1 through 5 years	290,320		291,356		278,163		272,220
Due after 5 through 10 years	314,590		320,720		280,487		277,920
Due after 10 years	722,772		756,432		668,737		649,592
	$	1,335,859	$	1,377,339	$	1,231,960	$	1,204,828
RMBS – Agency	1,917		1,869		370		368
CMBS	4,675		4,760		4,874		4,803
Other asset-backed securities	25,457		25,615		26,405		25,700
Total mortgage and asset-backed securities	$	32,049	$	32,244	$	31,649	$	30,871
Total fixed maturities - Trading - Life Funds Withheld Assets	$	1,367,908	$	1,409,583	$	1,263,609	$	1,235,699

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 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 are Life Funds Withheld Assets as noted in Note 1, "Basis of Preparation and Consolidation." Additionally, certain deposit liabilities and annuity contracts require the use of pledged assets. As of March 31, 2016 and December 31, 2015, the Company had $19.0 billion and $18.3 billion in pledged assets, respectively.

(b) Gross Unrealized Losses

The following is an analysis of how long the AFS securities as of March 31, 2016 and December 31, 2015 had been in a continual unrealized loss position:

	Less than 12 months					Equal to or greater than 12 months
March 31, 2016 (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	$	465,423	$	(4,923	)	$	96,406	$	(2,984	)
Corporate – Financials	588,595		(18,228		)	141,508		(9,330		)
Corporate – Non Financials	930,465		(29,994		)	287,849		(25,073		)
RMBS – Agency	151,135		(1,128		)	327,657		(3,963		)
RMBS – Non-Agency	35,930		(1,867		)	175,881		(18,980		)
CMBS	31,661		(255		)	55,310		(2,470		)
CDOs	12,368		(509		)	9,359		(3,609		)
Other asset-backed securities	282,395		(2,113		)	60,638		(8,791		)
U.S. States and political subdivisions of the States	91,846		(379		)	15,528		(414		)
Non-U.S. Governments	965,976		(22,116		)	370,747		(35,912		)
Total fixed maturities and short-term investments - AFS	$	3,555,794	$	(81,512	)	$	1,540,883	$	(111,526	)
Total equity securities	$	365,368	$	(46,653	)	$	—	$	—

	Less than 12 months					Equal to or greater than 12 months
December 31, 2015 (U.S. dollars in thousands)	Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses
Fixed maturities and short-term investments - AFS
U.S. Government	$	3,762,869	$	(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		)
CDOs	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. Governments	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	)	$	—	$	—

The Company had gross unrealized losses totaling $239.7 million on 1,934 securities out of a total of 8,763 held as of March 31, 2016 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 Realized Gains (Losses)

The following represents an analysis of net realized gains (losses) on investments:

Net Realized Gains (Losses) on Investments	Three months ended March 31,
(U.S. dollars in thousands)	2016			2015
Net realized gains (losses) on investments - excluding Life Funds Withheld Assets:
Gross realized gains	$	61,227		$	62,300
Gross realized losses on investments sold	(50,063		)	(47,122		)
OTTI on investments, net of amounts transferred to other comprehensive income	(19,580		)	(10,576		)
	$	(8,416	)	$	4,602
Net realized gains (losses) on investments and net unrealized gains (losses) on investments, Trading - Life Funds Withheld Assets:
Gross realized gains	$	62,850		$	53,128
Gross realized losses on investments sold	(28,434		)	(390		)
OTTI on investments, net of amounts transferred to other comprehensive income	(2,346		)	(5,209		)
Net unrealized gains (losses) on trading securities	$	69,096		$	760
	$	101,166		$	48,289
Total net realized gains (losses) on investments	$	92,750		$	52,891

The significant components of the net impairment charges of $19.6 million for investments excluding Life Funds Withheld Assets for the three months ended March 31, 2016 were:

▪ $9.8 million related to certain high yield securities where we determined that the likely recovery on these securities was below the carrying value.

▪ $7.0 million related to certain equities that were in a loss position for more than 11 months or impaired by more than 50% of their amortized cost.

▪ $0.6 million for structured securities, 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.

▪ $0.3 million related to certain U.S. Municipal securities that we no longer intend to hold for a period sufficient to recover their fair value to amortized cost.

▪ $1.9 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 and that were held by the Company as of the dates or for the periods indicated and the corresponding changes in such amounts.

Credit Loss Impairments	Three months ended March 31,
(U.S. dollars in thousands)	2016			2015
Opening balance as of beginning of indicated period	$	73,469		$	131,942
Credit loss impairment recognized in the current period on securities not previously impaired	10,567			7,560
Credit loss impairments previously recognized on securities that matured, paid down, prepaid or were sold during the period	(4,877		)	(28,539		)
Additional credit loss impairments recognized in the current period on securities previously impaired	230			141
Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected	(2,410		)	(2,646		)
Balance as of March 31,	$	76,979		$	108,458

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