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 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 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 |