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(1)	The closing market price of XL Shares on the Acquisition Date represents the fair value of XL shares issued as part of the Acquisition Consideration.

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Deferred acquisition costs and value of business acquired - The adjustment consists of two components. The first adjustment is the elimination of Catlin's deferred acquisition costs asset. The second adjustment is the establishment of the value of business acquired asset which represents the present value of the expected underwriting profit within the unearned premiums liability, net of reinsurance, less costs to service the related policies and a risk premium. This adjustment will be amortized to underwriting, acquisition and insurance expenses over approximately two years, as the contracts for business in-force as of the Acquisition Date expire. The Company has included $183.3 million in

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•	Intangible assets - Establish the estimated fair value of intangible assets related to Catlin. See Note 8, "Goodwill and Other Intangible Assets" for further information.

•	Other assets - Establish the estimated fair value of Catlin's internally developed software.

•

Unpaid losses and loss adjustment expenses - Unpaid losses and loss adjustment expenses acquired include an increase to adjust the carrying value of Catlin's historical unpaid losses and loss adjustment expenses, net of related reinsurance recoverable, to fair value as of the Acquisition Date. The estimated fair value consists of the present value of the expected net loss and loss adjustment expense payments plus a risk premium. This adjustment, plus the unamortized fair value adjustment included in Catlin's historical unpaid losses and loss adjustment expenses, will be amortized to losses and loss adjustment expenses over a weighted average period of approximately 20 years, based on the estimated payout pattern of net reserves as of the Acquisition Date.

•	Net deferred tax liabilities - The adjustment to deferred tax liabilities is related to the deferred tax impact of the adjustments to fair value as noted above. This net increase of deferred tax liabilities is explained further in "Income Taxes" below.

•	Non-controlling interest - The fair value was determined based on the last trade price of preferred shares issued by Catlin Insurance Company Limited ("Catlin-Bermuda"). See Note 9, "Share Capital" for further information.

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(1)	The underwriting profit of $0.6 million relates to a premium adjustment during the six months ended June 30, 2015 relating to the Life Retro Arrangements transaction. Excluding this transaction, the impact to comprehensive income relating to the Life Retro Arrangements was nil for the three and six months ended June 30, 2015.

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(1)

Included are certain medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage. The notes had a fair value of $75.3 million and $79.9 million and an amortized cost of $64.5 million and $68.4 million as of June 30, 2015 and December 31, 2014, respectively. These notes allow the investor to participate in cash flows of the underlying bonds including certain residual values, which could serve to either decrease or increase the ultimate values of these notes.

(2)	Short-term investments consist primarily of Corporate securities and U.S. and Non-U.S. Government and Government-Related/Supported securities.

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(3)	Cash equivalents balances subject to fair value measurement include certificates of deposit and money market funds. Operating cash balances are not subject to recurring fair value measurement guidance.

(4)

The Other investments balance excludes certain structured transactions including certain investments in project finance transactions, and a payment obligation and liquidity financing provided to a structured credit vehicle as a part of a third party medium term note facility. These investments, which totaled $348.2 million as of June 30, 2015 and $354.4 million at December 31, 2014, are carried at amortized cost. For further information, see Item 8, Note 8, "Other Investments," to the Consolidated Financial Statements included in our Annual Report on Form 10-K for the year ended December 31, 2014.

(5)

Other assets and other liabilities include derivative instruments. The derivative balances included in each category are reported on a gross basis by level with a netting adjustment presented separately in the Collateral and Counterparty Netting column. The fair values of the individual derivative contracts are reported gross in their respective levels based on the fair value hierarchy. For further details regarding derivative fair values and associated collateral received or paid see Note 7, "Derivative Instruments," to the Unaudited Consolidated Financial Statements.

(6)

Funds withheld on life retrocession arrangements (net of future policy benefit reserves recoverable) include balances related to the life retrocession embedded derivative, under which all investment results associated with the Life Funds Withheld Assets related to the Life Retro Arrangements described in Note 3(c), "Acquisition and Disposals - Sale of Life Reinsurance Subsidiary," accrue to the benefit of GCLR.

(7)	Financial instruments sold, but not yet purchased, represent "short sales" and are included within "Payable for investments purchased" on the balance sheets.

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(1)	Corporate and Other includes other items of our revenue and expenditures that are not evaluated at the segment level for reporting purposes, as well as the Company's Run-Off Life Operations.

(2)	The Company has reflected the amortization of certain fair value adjustments recorded in conjunction with the Catlin Acquisition within the respective segments.

(3)	Operating expenses of the segments exclude Corporate operating expenses, shown separately.

(4)	Net investment income - excluding Life Funds Withheld Assets does not include net investment income related to the net results from structured products.

(5)	The net results from P&C structured products include net investment income and interest expense of $16.0 million and $10.6 million, respectively.

(6)	Net fee income and other includes operating expenses from the Company's loss prevention consulting services business.

(7)	The Company generally records the income related to the alternative funds and to the private investment and operating fund affiliates on a one-month and three-month lag, respectively.

(8)	Interest expense excludes interest expense related to deposit liabilities recorded in the Insurance and Reinsurance segments.

(9)	Ratios are based on net premiums earned from P&C operations.

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(1)	Corporate and Other includes other items of our revenue and expenditures that are not evaluated at the segment level for reporting purposes, as well as the Company's Run-Off Life Operations.

(2)	The Company has reflected the amortization of certain fair value adjustments recorded in conjunction with the Catlin Acquisition within the respective segments.

(3)	Operating expenses of the segments exclude Corporate operating expenses, shown separately.

(4)	Net investment income - excluding Life Funds Withheld Assets does not include net investment income related to the net results from structured products.

(5)	The net results from P&C structured products include net investment income and interest credit of $16.9 million and $18.2 million, respectively.

(6)	Net fee income and other includes operating expenses from the Company's loss prevention consulting services business.

(7)	The Company generally records the income related to the alternative funds and to the private investment and operating fund affiliates on a one-month and three-month lag, respectively.

(8)	Interest expense excludes interest expense related to deposit liabilities recorded in the Insurance and Reinsurance segments.

(9)	Ratios are based on net premiums earned from P&C operations.

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(1)	Corporate and Other includes other items of our revenue and expenditures that are not evaluated at the segment level for reporting purposes, as well as the Company's Run-Off Life Operations.

(2)	The Company has reflected the amortization of certain fair value adjustments recorded in conjunction with the Catlin Acquisition within the respective segments.

(3)	Operating expenses of the segments exclude Corporate operating expenses, shown separately.

(4)	Net investment income - excluding Life Funds Withheld Assets does not include net investment income related to the net results from structured products.

(5)	The net results from P&C structured products include net investment income and interest expense of $31.1 million and $20.6 million, respectively.

(6)	Net fee income and other includes operating expenses from the Company's loss prevention consulting services business.

(7)	The Company generally records the income related to the alternative funds and to the private investment and operating fund affiliates on a one-month and three-month lag, respectively.

(8)	Interest expense excludes interest expense related to deposit liabilities recorded in the Insurance and Reinsurance segments.

(9)	Ratios are based on net premiums earned from P&C operations.

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(1)	Corporate and Other includes other items of our revenue and expenditures that are not evaluated at the segment level for reporting purposes, as well as the Company's Run-Off Life Operations.

(2)	The Company has reflected the amortization of certain fair value adjustments recorded in conjunction with the Catlin Acquisition within the respective segments.

(3)	Operating expenses of the segments exclude Corporate operating expenses, shown separately.

(4)	Net investment income - excluding Life Funds Withheld Assets does not include net investment income related to the net results from structured products.

(5)	The net results from P&C structured products include net investment income and interest credit of $35.7 million and $7.4 million, respectively.

(6)	Net fee income and other includes operating expenses from the Company's loss prevention consulting services business.

(7)	The Company generally records the income related to the alternative funds and to the private investment and operating fund affiliates on a one-month and three-month lag, respectively.

(8)	Interest expense excludes interest expense related to deposit liabilities recorded in the Insurance and Reinsurance segments.

(9)	Ratios are based on net premiums earned from P&C operations.

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(1)	Other within the Insurance segment includes: excess and surplus, programs, surety, structured indemnity and certain discontinued lines. Other within the Reinsurance segment includes: whole account contracts, accident and health and other lines.

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(1)	Other within the Insurance segment includes: excess and surplus, programs, surety, structured indemnity and certain discontinued lines. Other within the Reinsurance segment includes: whole account contracts, accident and health and other lines.

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(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 date an impairment was recorded.

(2)

Included are certain medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage. The notes have a fair value of $75.3 million and an amortized cost of $64.5 million. These notes allow the investor to participate in cash flows of the underlying bonds including certain residual values, which could serve to either decrease or increase the ultimate value of these notes.

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(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 date an impairment was recorded.

(2)

Included are certain medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage. The notes have a fair value of $79.9 million and an amortized cost of $68.4 million. These notes allow the investor to participate in cash flows of the underlying bonds including certain residual values, which could serve to either decrease or increase the ultimate value of these notes.

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▪	$6.5 million related to certain Other Investments that we no longer intend to hold for a period sufficient to recover their fair value to amortized cost.

•	$4.8 million related to certain high yield securities which we no longer intend to hold for a period sufficient to recover their fair value to amortized cost.

•	$4.0 million related to certain Alternatives that were in a loss position for more than 11 months.

•	$0.3 million related to certain equities that were in a loss position for more than 11 months.

•	$0.2 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.

•	$0.8 million related to foreign exchange losses.

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(1)	Derivative instruments in an asset or liability position are included within Other assets or Other liabilities, respectively, in the balance sheets on a net basis where the Company has both a legal right of offset and the intention to settle the contracts on a net basis.

(2)

The fair value movements in derivative assets and liabilities relating to modified coinsurance funds withheld contracts are included within the associated asset or liability at each period end on the face of the balance sheets. Notional amounts associated with reinsurance agreements under which the Company assumes reinsurance risk are recorded as asset derivative notional amounts. Notional amounts associated with the Life Retro Arrangements under which the Company cedes reinsurance risk are recorded as liability derivative notional amounts. Included in the liability derivative notional amount as of June 30, 2015 is the cumulative net realized and unrealized loss on life retrocession embedded derivative of $381.3 million.

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(1)	Derivative gains (losses) from derivative instruments designated as hedges of the net investment in a foreign operation are recorded in the cumulative translation adjustment account within AOCI for each period.

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•	Lloyd's - Syndicate capacity - The syndicate capacity of two Lloyd's syndicates, which will allow the Company to write insurance business in the Lloyd's market globally and realize the profits from that business. The value of the syndicate capacity includes the reputational value of participation in the Lloyd's market, and the value of trade names and licenses associated with syndicate ownership.

•	Insurance licenses - U.S. State insurance licenses owned by Catlin at the time of Catlin Acquisition.

•	Lloyds - Managing agent contracts - As the managing agent for certain Lloyd's syndicates, the Company has contracts with the syndicate members to provide underwriting services, for which it earns managing agent fees and a profit commission.

•	Distribution network - A network of hundreds of retail and wholesale brokers worldwide, including specialty and regional brokerages, which allow the Company to form closer relationships with clients and brokers worldwide, which aids business retention.

•	Trademarks / Trade names - The Catlin trademarks / trade names are utilized to attract customers for the turnkey solutions provided under the Company's managing agent contracts, and to generate premium from the non-Lloyd's platform underwriting products for which the Catlin brand is known.

(1)	Includes share buybacks associated with authorized share buyback programs as well as purchases related to satisfying tax withholding obligations of employees in connection with the vesting of restricted shares granted under the Company's equity compensation programs.

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(1)

Excluded from the table are revolving credit facilities of $1.7 billion and $1.6 billion as of June 30, 2015 and December 31, 2014, respectively. As of June 30, 2015 and December 31, 2014, $667.9 million and $606.1 million, respectively, were utilized under these facilities to issue letters of credit, leaving $1.0 billion and $968.9 million, respectively, available for use under the revolving credit facilities.

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Variable rate unsecured subordinated notes in the amounts of €7 million and $27 million due March 2035 and March 2036, respectively, issued by Catlin Underwriting (formerly Wellington Underwriting plc), in May 2006. The notes are subordinated to the claims of all senior creditors, as defined in the agreement governing the notes. The notes pay interest at a floating rate based on the rate on three-month deposits in U.S. dollars plus a margin of 295 basis points and 317 basis points, respectively. Interest is payable quarterly in arrears. The notes are redeemable at the discretion of the issuer.

•

Variable rate unsecured subordinated notes in the amounts of $31 million, $10 million and €11 million due September 2036, issued by Catlin Underwriting, in July 2006. The notes are subordinated to the claims of all senior creditors, as defined in the agreement governing the notes. The notes pay interest at a floating rate based on the rate on three-month deposits in U.S. dollars plus a margin of 310 basis points, 300 basis points and 300 basis points, respectively. Interest is payable quarterly in arrears. The notes are redeemable at the discretion of the issuer.

(1)	As of June 30, 2015 and December 31, 2014, there were eighteen and eight available letter of credit facilities, respectively.

(2)

As of June 30, 2015 and December 31, 2014, $976.1 million and $968.9 million, respectively, of revolving credit was available under the Company's syndicated unsecured credit agreement, which currently provides for up to $1 billion of revolving credit loans. The Company has the option to increase the size of the facilities under the syndicated secured and unsecured credit agreements by an additional $500 million across both facilities. Two bilateral facilities assumed as a result of the Catlin Acquisition with commitments totaling $150.0 million also provide for revolving credit loans. As of June 30, 2015, $56.0 million of revolving credit was available to draw under these facilities.

(3)

The credit agreements initially entered into with Citicorp USA, Inc. in May through November 2013 (the "Citi Agreements") provide for issuance of letters of credit and revolving credit loans up to an aggregate amount of $550.0 million, compared to $575.0 million as of December 31, 2014. As of June 30, 2015, $550.0 million of letters of credit were issued under these agreements, and therefore no amounts are included in this line as available to draw under this facility. The Company also has the option to increase the maximum amount of the letters of credit and revolving credit loans available under the Citi Agreements with the lender's and issuing lender's consent.

(4)	The available letter of credit facilities include approximately $1 billion that is also included in the "revolving credit facilities" line in this table.

•	A $450 million unsecured multi-bank facility available for utilization by certain subsidiaries and guaranteed by Green Holdings. The facility has a termination date of December 31, 2016.

•	A bilateral facility available for utilization by Catlin-Bermuda, collateralized by pledged financial assets. As of June 30, 2015, $147 million of letters of credit were issued under this facility.

•	A bilateral facility available for utilization by Catlin Re Switzerland Ltd, collateralized by pledged financial assets. As of June 30, 2015, $49 million of letters of credit were issued under this facility.

•	Four unsecured bilateral facilities available for utilization by Catlin-Bermuda and guaranteed by Green Holdings for Funds at Lloyd's purposes, amounting to a total of $375 million. One of the facilities has an expiration date of December 31, 2017, while the other three have expiration dates of December 31, 2018.

•	An unsecured bilateral facility valued in Australian dollars at A$50 million, available for utilization by certain subsidiaries of Catlin and guaranteed by Green Holdings, for the purpose of providing collateral to Australian beneficiaries.

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•	Two unsecured bilateral revolving credit and letter of credit facilities, available for utilization by certain subsidiaries of Catlin and guaranteed by Green Holdings amounting to $150 million.

•	A facility managed by Lloyd's, acting for Catlin Syndicate 2003. As of June 30, 2015, $8 million of letters of credit were issued under this facility.

•	Catlin, Inc. has letters of credit amounting to $1 million issued for the benefit of various parties.

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(1)	Included in these amounts is the impact of Shadow Adjustments. As of December 31, 2014 the cumulative impact of the Shadow Adjustments was $445.1 million. During the six months ended June 30, 2015, net movements of $(86.7) million were recorded, resulting in a total cumulative net impact of Shadow Adjustments on future policy benefit reserves of $358.4 million as of June 30, 2015.

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•	changes in the size of our claims relating to natural or man-made catastrophe losses due to the preliminary nature of some reports and estimates of loss and damage to date;

•	trends in rates for property and casualty insurance and reinsurance;

•	the timely and full recoverability of reinsurance placed by us with third parties, or other amounts due to us;

•	changes in the projected amount of ceded reinsurance recoverables and the credit ratings and creditworthiness of reinsurers;

•	actual loss experience from insured or reinsured events and the timing of claims payments being faster or the receipt of reinsurance recoverables being slower than we anticipated;

•	increased competition on the basis of pricing, capacity, coverage terms or other factors, such as the increased inflow of third party capital into reinsurance markets, which could harm our ability to maintain or increase our business volumes or profitability;

•	greater frequency or severity of claims and loss activity than our underwriting, reserving or investment practices anticipate based on historical experience or industry data;

•

the impact of changes in the global financial markets, such as the effects of inflation on our business, including on pricing and reserving, increased government involvement or intervention in the financial services industry, changes in interest rates, credit spreads and foreign currency exchange rates and future volatility in the world's credit, financial and capital markets that adversely affect the performance and valuation of our investments, future financing activities and access to such markets or general financial condition;

•	our ability to successfully implement our business strategy;

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•	our ability to successfully attract and raise additional third party capital for existing or new investment vehicles;

•	the potential impact on us from government-mandated insurance coverage for acts of terrorism and other regulation;

•	changes in credit ratings or rating agency policies or practices;

•	the potential for changes to methodologies, estimations and assumptions that underlie the valuation of our financial instruments that could result in changes to investment valuations;

•	changes to our assessment as to whether it is more likely than not that we will be required to sell, or have the intent to sell, available for sale fixed maturity securities before their anticipated recovery;

•	the availability of borrowings and letters of credit under our credit facilities;

•	the ability of our subsidiaries to pay dividends to XL-Ireland and our wholly-owned subsidiaries XLIT Ltd. ("XL-Cayman") and XL Insurance (Bermuda) Ltd ("XLIB");

•

the potential effect of legislative or regulatory developments applicable to us or our subsidiaries, brokers or customers in the jurisdictions in which we operate, such as those that could impact the financial markets or increase our business costs and required capital levels, including but not limited to changes in regulatory capital balances that must be maintained by our operating subsidiaries and governmental actions for the purpose of stabilizing the financial markets;

•	the effects of business disruption, economic contraction or economic sanctions due to global political and social conditions such as war, terrorism or other hostilities, or pandemics;

•	the actual amount of new and renewal business and acceptance of our products and services, including new products and services and the materialization of risks related to such products and services;

•	changes in the availability, cost or quality of ceded reinsurance;

•	changes in the distribution or placement of risks due to increased consolidation of insurance and reinsurance brokers and bankruptcies or other financial concerns of companies insofar as they affect property and casualty insurance and reinsurance coverages or claims that we may have as a counterparty;

•	inability to retain key personnel, including in connection with the integration of Catlin Group Limited and its consolidated subsidiaries ("Catlin");

•	changes in accounting standards, policies or practices or the application thereof;

•

the effects of mergers, acquisitions and divestitures, including our ability to modify our internal control over financial reporting as a result of any of such transactions, changes to our risk appetite as a result of such transactions and our ability to realize the value or benefits expected as a result of such transactions, including the life retrocession arrangements and the acquisition of Catlin;

•	changes in general economic conditions, including new or continued sovereign debt concerns in Euro-Zone countries or downgrades of U.S. securities by credit rating agencies, which could affect our financial condition, results of operations, liquidity or cash flows;

•	changes in applicable tax laws, tax treaties or tax regulations or the interpretation or enforcement thereof;

•	judicial decisions and rulings, new theories of liability or emerging claims coverage issues, legal tactics and settlement terms;

•	the other factors set forth in Item 1A, "Risk Factors," included in our Annual Report on Form 10-K for the year ended December 31, 2014 and our other documents on file with the SEC.

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(1)	Net investment income - P&C operations includes net investment income related to the net results from structured products and excluding Life Funds Withheld Assets, as defined below.

(2)	Represents a non-GAAP financial measure as discussed further below.

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▪	The combined ratio related to the P&C operations is the sum of the loss and loss expense ratio and the underwriting expense ratio. A combined ratio under 100% represents an underwriting profit and over 100% represents an underwriting loss. In the P&C industry, the combined ratio is a widely used measure of underwriting profitability.

▪	The loss and loss expense ratio related to the P&C operations is calculated by dividing the losses and loss expenses incurred by the net premiums earned for the Insurance and Reinsurance segments.

▪	The underwriting expense ratio related to the P&C operations is the sum of acquisition costs and operating expenses for the Insurance and Reinsurance segments divided by net premiums earned for the Insurance and Reinsurance segments.

▪	The acquisition expense ratio related to the P&C operations is calculated by dividing the acquisition costs incurred by the net premiums earned for the Insurance and Reinsurance segments.

▪	The operating expense ratio related to the P&C operations is calculated by dividing the operating expenses incurred by the net premiums earned for the Insurance and Reinsurance segments.

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(1)

Investment results for the Life Funds Withheld Assets - including interest income, unrealized gains and losses, and gains and losses from sales - are passed directly to the reinsurer pursuant to a contractual arrangement which is accounted for as a derivative. Changes in the fair value of the embedded derivative associated with these Life Retrocession Arrangements are grouped within "Net realized and unrealized (gains) losses on life retrocession embedded derivative and derivative instruments - Life Funds Withheld Assets" in the reconciliation above.

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(1)	Source: Bloomberg Finance L.P.

(2)	Source: Merrill Lynch Global Indices.

(1)	Source: Bloomberg Finance L.P.

(2)	Source: Merrill Lynch Global Indices.

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1.	We impose limits for each natural catastrophe peril region at a 1% tail value at risk (“TVaR”) probability. This statistic indicates the average amount of net loss expected to be incurred if a loss above the 1% exceedance probability level has occurred.

2.	For each event type other than natural catastrophes, we impose limits at a 1% exceedance probability. If we were to deploy the full limit, for any given event type, there would be a 1% probability that an event would occur during the next year that would result in a net underwriting loss in excess of the limit.

3.	We also impose limits for certain other event types at a 0.4% exceedance probability as described in further detail below. If we were to deploy the full limit, for any such given event type, there would be a 0.4% probability that an event would occur during the next year that would result in a net underwriting loss in excess of the limit.

•	Anticipated risk adjusted returns;

•	Strategic risk preferences;

•	Relativity to peers;

•	Shareholder expectations;

•	Robustness of exposure assessment methodology; and

•	Projected enterprise loss potential.

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•	Correlation of underwriting risk with other risks (e.g., asset/investment risk, operational risk, etc.);

•	Model risk and robustness of data;

•	Geographical concentrations;

•	Exposures at lower return periods;

•	Expected payback period associated with losses;

•	Projected share of industry loss; and

•	Annual aggregate losses for natural catastrophes at various return periods including a 1% exceedance probability and a 1% TVaR level on both a peril region basis and a portfolio basis.

•	Inaccurate assumptions of event frequency and severity;

•	Inaccurate or incomplete data;

•	Changing climate conditions that may add to the unpredictability of frequency and severity of natural catastrophes in certain parts of the world and create additional uncertainty as to future trends and exposures;

•	Future possible increases in property values and the effects of inflation that may increase the severity of catastrophic events to levels above the modeled levels;

•

Natural catastrophe models that incorporate and are critically dependent on meteorological, seismological and other earth science assumptions and related statistical relationships that may not be representative of prevailing conditions and risks, and may therefore misstate how particular events actually materialize, causing a material deviation between forecasted and actual damages associated with such events; and

•	A change in the judicial climate.

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(1)	Detailed analyses of aggregated in-force exposures and maximum loss levels are done periodically. The measurement dates represent the date of the last completed detailed analysis by geographical zone.

(2)	Probable maximum losses, which include secondary uncertainty that incorporates variability around the expected probable maximum loss for each event, do not represent our maximum potential exposures and are pre-tax.

(3)	Adjusted Tangible Capital is defined as Total Shareholders’ Equity plus (i) outstanding subordinated notes due 2025 and 2045 less (ii) Goodwill and Other Intangible Assets and less (iii) Accumulated Other Comprehensive Income (excluding certain net balances associated with Life Funds Withheld Assets).

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Professional - increase of 13.8% is mainly driven by the Catlin Acquisition. Excluding the impact of the acquired business, the division experienced an increase of 1.9% due to increases in renewals in our cybertech, international financial lines and North American businesses, as well as new business and favorable pricing in cybertech, partially offset by decreases in new business within our select professional and international financial lines businesses.

▪

Casualty - increase of 12.8% is largely attributable to the Catlin Acquisition. Excluding the impact of the acquired business, the division experienced a decrease of 5.2% which is largely attributable to adverse foreign exchange rates in international casualty due to the weakening of the Euro against the U.S. dollar and lower pricing in several business lines, partially offset by increased renewals in North American construction casualty, excess casualty and global risk management.

▪

EPC - increase of 98.0% is due to the Catlin Acquisition. Excluding the impact of the acquired business, the division experienced a decrease of 13.1% which is mainly attributable to adverse foreign exchange rates in international property and international construction, as well as decreases in renewals in energy business and North American property and decreases in new business in international property, North American property and international construction.

▪	Specialty - increase of 79.3% is mainly attributable to the Catlin Acquisition. Excluding the impact of the acquired business, the division experienced a decrease of 0.2% due to decreases in renewals in fine art and specie and lower pricing in several business lines, partially offset by new business in marine.

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For Professional lines, net prior year development was $5.3 million unfavorable predominantly as a result of worse than expected loss experience reported in the core U.S. and select books that drove deteriorations of $40.2 million and $15.8 million, respectively. This was partially offset by reductions of $34.5 million in the core Bermuda book and $15.6 million in the design book due mainly to better than expected loss experience reported on the 2008 and 2010 report years, respectively.

•

For Casualty lines, net prior year development was $10.4 million favorable. This was primarily due to a reduction of $17.8 million in the Bermuda excess casualty lines mainly as a result of reflecting the better than expected loss experience reported across most accident years. This reduction was partially offset by a deterioration of $7.5 million in the global risk management lines driven by worse than expected loss experience primarily on the 2011 to 2013 accident years.

•	For EPC lines, net prior year development was $0.4 million unfavorable.

•

For Specialty lines, net prior year development was $40.0 million favorable driven by a release of $18.8 million in the discontinued Bermuda political risk portfolio arising predominantly from the favorable settlement of a loss on the 2009 accident year and the lapse of the exposure for this account. There were further reductions of $11.7 million in the marine book and $5.7 million in fine art and specie to reflect better than expected loss experience reported across the 2009 to 2013 and 2014 accident years, respectively.

•	For other lines, net prior year development was $6.6 million unfavorable due primarily to a $5.0 million deterioration in the discontinued surety book relating to reinsurance bad debt.

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▪	Acquisition expense ratio - increase mainly attributable to the EPC business acquired from Catlin, whose acquisition ratio was higher than the ratio in our legacy business mix.

▪	Operating expense ratio - decreased as a result of initial synergies realized from the Catlin Acquisition.

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▪	Bermuda - increase of 48.4% due to the Catlin Acquisition. Excluding the impact of the acquired business, the region experienced a decrease of 4.3% mainly driven by lower property catastrophe renewals due to rate reductions.

▪	North America - increase of 88.9% largely attributable to the Catlin Acquisition. Excluding the impact of the acquired business, the region experienced an increase of 28.7% as a result of a large new casualty quota share.

▪	London - significant increase is a result of the Catlin Acquisition. Excluding the impact of the acquired business, the region experienced an increase of 10.0% mainly driven by premium adjustments on prior incepting casualty policies and new property facultative business.

▪	Europe and MENA - decrease of 21.9% is mainly attributable to the adverse effects of foreign exchange as noted above, plus lower property catastrophe renewals due to rate reductions, lower reinstatement premiums, and premium adjustments on prior incepting casualty policies.

▪	Emerging markets - increase of 73.4% due to the Catlin Acquisition. Excluding the impact of the acquired business, the region experienced a decrease of 45.8%, which is a result of estimated premium reductions in Asia on the 2014 underwriting year for property treaty in the current quarter, and unfavorable renewals in Latin America.

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▪	Net favorable prior year development for the short-tail lines totaled $44.0 million. Details of the significant components are as follows:

▪	For property catastrophe lines, net prior year development was $9.1 million favorable due to better than expected development on attritional losses mainly in Europe and a reduction on a 2012 storm being partially offset by a strengthening on 2010 and 2011 catastrophe losses.

▪	For property other lines, net prior year development was $34.3 million favorable driven primarily by better than expected development on attritional losses in the North America, Europe and Asia Pacific books being partially offset by worse than expected development on attritional losses in Latin America.

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▪	For marine and aviation lines, net prior year development was $0.6 million favorable.

▪	Net favorable prior year development for the long-tail lines totaled $26.7 million and details of the significant components are as follows:

•	For casualty lines, net prior year development was $15.4 million favorable due to better than expected development on attritional losses in North America and London.

•	For other lines, net prior year development was $11.3 million favorable due to better than expected development on attritional losses mainly in Bermuda and North America.

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(1)

The performance of investment portfolios is measured on a local currency basis and is not annualized. For the aggregate performance calculation, respective local currency balances are translated to U.S. dollars using quarter end exchange rates to calculate composite portfolio results. Performance represents the P&C operations and Run-Off Life Operations for the three months ended June 30, 2015 and the two months ending June 30, 2014.

(2)	Performance on Other Portfolios is included in the Total Return on Investments.

(3)	Performance on the alternative portfolio reflects the three months ended May 31, 2015 and 2014, respectively for both equity and non-equity alternative funds.

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(1)	Net investment income includes: Net investment income - excluding Life Funds Withheld Assets and net investment income related to the net results from structured products.

(2)	We generally record the income related to alternative fund affiliates on a one-month lag and the private investment fund affiliates on a three-month lag based upon the availability of the information provided by the investees.

*	N/M - Not Meaningful

▪	Net realized gains of $20.9 million resulted primarily from sales of U.S. Government and Government Related fixed maturities and equities, partially offset by losses in corporate securities.

▪	Realized losses of approximately $16.6 million related to the OTTI write-down of certain of our available for sale ("AFS") investments. The main components of the net impairment charges were:

•	$6.5 million related to certain Other Investments that we no longer intend to hold for a period sufficient to recover their fair value to amortized cost.

•	$4.8 million related to certain high yield securities that we no longer intend to hold for a period sufficient to recover their fair value to amortized cost.

•	$4.0 million related to certain Alternatives that were in a loss position for more than 11 months.

•	$0.3 million related to certain equities that were in a loss position for more than 11 months.

•	$0.2 million for structured securities, principally non-Agency residential mortgage-backed securities ("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.

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•	$0.8 million related to foreign exchange losses.

(1)	The Company generally records the income related to certain operating affiliates on a three-month lag based upon the availability of the information provided by the investees.

(2)	Interest expense includes costs related to our debt and collateral facilities and does not include deposit liability accretion, which is included in Net investment results - structured products.

*	N/M - Not Meaningful

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▪

Professional - increase of 8.7% driven mainly by the Catlin Acquisition. Excluding the impact of the acquired business, the division experienced an increase of 2.2% due to new business in cybertech and international financial lines, as well as increased pricing and renewals in cybertech, partially offset by decreases in pricing in North America and Bermuda. The acquired Catlin business also experienced decreases in premium during the current year, mainly due to decreases in renewals in international financial lines

▪

Casualty - increase of 12.1% largely driven by the Catlin Acquisition. Excluding the impact of the acquired business, the division experienced an increase of 3.0% which is largely attributable to new business and increases in renewals in global risk management, North American construction casualty, casualty excess and surplus, and an increase in renewals in North American excess casualty, partially offset by adverse foreign exchange in international casualty as noted above.

▪

EPC - increase of 41.7% largely attributable to the Catlin Acquisition. Excluding the impact of the acquired business, the division experienced a decrease of 11.7% which is mainly attributable to adverse foreign exchange affecting international property and international construction as noted above. Additionally contributing to the adverse variance are decreases in pricing in international property and North American property and a decrease in renewals in energy. The acquired Catlin business also experienced a decrease in premiums during the current year as a result of decreases in renewal premiums in energy business, mainly due to decreases in pricing.

▪	Specialty - increase of 43.7% due to the Catlin Acquisition. Excluding the impact of the acquired businesses, the division experienced an increase of 5.1% mainly due to new business in marine, partially offset by a decrease in renewals in fine arts and specie.

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(1)	Other includes programs, excess and surplus, surety, structured indemnity and certain discontinued lines.

▪

For professional lines, net prior year development was $7.0 million unfavorable primarily as a result of worse than expected loss experience reported in the core U.S. and select businesses that drove deteriorations of $40.5 million and $15.8 million respectively. This was partially offset by reductions of $34.8 million in the core Bermuda book and $15.5 million in the design book due mainly to better than expected loss experience reported on the 2008 and 2010 report years respectively.

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▪

For casualty lines, net prior year development was $14.9 million favorable. This was driven by a reduction of $17.4 million in the Bermuda excess casualty lines mainly as a result of reflecting the better than expected loss experience reported across most accident years. This reduction was partially offset by a deterioration of $7.5 million in the global risk management lines driven by worse than expected loss experience primarily on the 2011 to 2013 accident years.

▪	For property lines, net prior year development was $1.2 million unfavorable.

▪

For specialty lines, net prior year development was $41.5 million favorable driven by a release of $18.8 million in the discontinued Bermuda political risk portfolio arising predominantly from the favorable settlement of a loss on the 2009 accident year and the lapse of the exposure for this account. There were further reductions of $12.4 million in the marine book and $5.8 million in fine art and specie to reflect better than expected loss experience reported across the 2009 to 2013 and 2014 accident years respectively.

▪	For other lines, net prior year development was $6.5 million unfavorable due primarily to a $5.0 million deterioration in the discontinued surety book relating to reinsurance bad debt.

▪	Acquisition expense ratio - increased as a result of increased acquisition costs mainly attributable to the EPC business acquired from Catlin, which was a result of new business, partially offset by the favorable impact of the modification of our reinsurance structure mentioned above and a change in the mix of business.

▪	Operating expense ratio - increased 0.3 percentage points largely due to business expansion in the prior year, partially offset by initial synergies realized from the Catlin Acquisition.

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▪	Bermuda - increase of 22.8% due to the Catlin Acquisition. Excluding the impact of the acquired business, the region experienced a decrease of 3.3% due to reduced rates and cancellations on property catastrophe business plus the unfavorable impact of foreign exchange rates.

▪	North America - increase of 48.8% largely attributable to the Catlin Acquisition. Excluding the impact of the acquired business, the region experienced an increase of 24.4% as a result of increased new business and business volume, including a significant increase in our agricultural business and a large new casualty quota share.

▪	London - increase of 50.2% is a result of the Catlin Acquisition. Excluding the impact of the acquired business, the region experienced a decrease of 2.4% mainly driven by unfavorable foreign exchange rates particularly on the casualty lines of business.

▪	Europe and MENA - decrease of 16.9% is mainly attributable to unfavorable foreign exchange rates particularly on the property and casualty lines of business.

▪	Emerging markets - increase of 19.0% due to the Catlin Acquisition. Excluding the impact of the acquired businesses, the region experienced a decrease of 17.9%, which is a result of unfavorable foreign exchange rates, as well as estimated premium reductions in Asia on the 2014 underwriting year for property treaty, and unfavorable renewals in Latin America.

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▪	Net favorable prior year development for the short-tail lines totaled $86.3 million. Details of the significant components are as follows:

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▪	For property catastrophe lines, net prior year development was $26.7 million favorable due to better than expected development on attritional losses mainly in Bermuda and Europe along with reductions on a 2012 storm and a 2013 catastrophe being partially offset by strengthening on other events.

▪	For property other lines, net prior year development was $51.2 million favorable primarily due to better than expected attritional loss development across all books.

▪	For marine and aviation lines, net prior year development was $8.5 million favorable due to better than expected attritional loss development mainly in Europe and a reduction on a 2005 hurricane.

▪	Net favorable prior year development for the long-tail lines totaled $26.9 million. Details of the significant components are as follows:

▪	For casualty lines, net prior year development was $16.1 million favorable due to better than expected attritional loss development across all books and reductions on a 2001 large loss being partially offset by strengthening on a 2008 large loss.

▪	For other lines, net prior year development was $10.8 million favorable due to better than expected development on attritional losses mainly in Bermuda and North America.

▪

Acquisition expense ratio - increased riven by an increase in acquisition expenses due to the amortization of fair value adjustments recognized as a result of the Catlin Acquisition. We also experienced increases in commissions in Asia and Bermuda as a result of adding the acquired businesses to our business mix, partially offset by changes to the commission structure of our agricultural business in North America.

▪	Operating expense ratio - increased in the six months ended June 30, 2015 compared to the same period in 2014 due to higher compensation costs, which includes the expansion of our agricultural business in North America in the prior year.

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(1)	The underwriting profit of $0.6 million relates to a premium adjustment during the six months ended June 30, 2015 relating to the Life Retro Arrangements transaction which was completed on May 30, 2014.

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(1)

The performance of investment portfolios is measured on a local currency basis and is not annualized. For the aggregate performance calculation, respective local currency balances are translated to U.S. dollars using quarter end exchange rates to calculate composite portfolio results. Performance represents the P&C operations and Run-Off Life Operations for the six months ended June 30, 2015 and the two months ending June 30, 2014.

(2)	Performance on Other Portfolios is included in the Total Return on Investments.

(3)	Performance on the alternative portfolio reflects the six months ended May 31, 2015 and 2014, respectively, for both equity and non-equity alternative funds.

(1)	Net investment income includes: Net investment income - excluding Life Funds Withheld Assets and net investment income related to the net results from structured products.

(2)	We generally record the income related to alternative fund affiliates on a one-month lag and the private investment fund affiliates on a three-month lag based upon the availability of the information provided by the investees.

*	N/M - Not Meaningful

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▪	Net realized gains of $36.1 million resulted primarily from sales of U.S. Government and Government Related fixed maturities and equities, partially offset by losses in corporate securities and other investments.

▪	Realized losses of approximately $27.2 million related to the OTTI write-down of certain of our AFS investments. The main components of the net impairment charges were:

▪	$12.4 million related to certain high yield securities which we no longer intend to hold for a period sufficient to recover fair value to amortized cost.

▪	$6.5 million related to Other Investments that we no longer intend to hold for a period sufficient to recover fair value to amortized cost.

▪	$4.0 million related to certain Alternatives that were in a loss position for more than 11 months.

▪	$0.6 million related to certain equities as the holdings were in a loss position for more than 11 months.

▪	$0.3 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.

▪	$3.4 million related to foreign exchange losses.

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(1)	The Company generally records the income related to certain operating affiliates on a three-month lag based upon the availability of the information provided by the investees.

(2)	Interest expense includes costs related to our debt and collateral facilities and does not include deposit liability accretion, which is included in Net investment results - structured products.

*	N/M - Not Meaningful

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(1)	Carrying value represents the fair value for AFS fixed maturities.

(2)

Includes certain floating rate medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage. The notes have a carrying value of $75.3 million and $79.9 million and an amortized cost of $64.5 million and $68.4 million as of June 30, 2015 and December 31, 2014, respectively. These securities have been allocated ratings based on the underlying pool of securities. These notes allow the investor to participate in cash flows of the underlying bonds including certain residual values, which could serve to either decrease or increase the ultimate values of these notes.

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(1)

The credit rating for each asset reflected above was principally determined based on the weighted average rating of the individual securities from Standard & Poor's, Moody's Investors Service and Fitch Ratings (when available). U.S. Agency debt and related mortgage-backed securities, whether with implicit or explicit government support, reflect the credit quality rating of the U.S. government for the purpose of these calculations.

(2)	Excludes Life Funds Withheld Assets.

•	gross unrealized losses of $88.9 million related to Government and Government Related holdings. Securities in a gross unrealized loss position had a fair value of $4.0 billion as of June 30, 2015.

•	gross unrealized losses of $71.7 million related to the Corporate holdings. Securities in a gross unrealized loss position had a fair value of $3.6 billion as of June 30, 2015.

•

gross unrealized losses of $17.9 million related to Non-Agency RMBS securities (which consists of our holdings of sub-prime Non-Agency RMBS, second liens, asset backed securities collateralized debt obligations ("ABS CDOs") with sub-prime collateral, Alt-A and Prime RMBS). Securities in an unrealized loss position had a fair value of $242.3 million as of June 30, 2015. The Company has incurred realized losses, consisting of charges for OTTI and realized losses from sales, of approximately $1.4 billion since the beginning of 2007 through June 30, 2015 on these asset classes.

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(1)	Excludes Life Funds Withheld Assets.

(1)	Excludes Life Funds Withheld Assets.

(2)

Tier One and Upper Tier Two securities, representing committed term debt and hybrid instruments senior to the common and preferred equities of the financial institutions, are allocated based on the call date unless such security is not called on such date, in which case it is allocated the final or longest expected maturity. Medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage are allocated based on contractual maturity.

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(1)	Cash equivalents balances subject to fair value measurements include certificates of deposit and money market funds.

(2)

The Other investments balances exclude certain structured transactions including certain investments in project finance transactions and a payment obligation (for further information, see Item 8, Note 8, "Other Investments," to the Consolidated Financial Statements included in our Annual Report on Form 10-K for the year ended December 31, 2014) that has provided liquidity financing to a structured credit vehicle as a part of a third party medium term note facility. These Other investments are carried at amortized cost, which totaled $348.2 million at June 30, 2015.

(3)	Other assets include derivative instruments, reported on a gross basis.

(4)	Financial instruments sold, but not yet purchased, are included within "Payable for investments purchased" on the balance sheets.

(5)	Other liabilities include derivative instruments, reported on a gross basis.

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•	debt;

•	XL-Cayman and Catlin Insurance Company Ltd ("Catlin-Bermuda") preference shares;

•	letter of credit facilities and other sources of collateral; and

•	revolving credit facilities.

▪	sufficient capital to maintain our financial strength and credit ratings, as issued by several ratings agencies, at levels considered necessary by management to enable our key operating subsidiaries to compete;

▪	sufficient capital to enable our regulated subsidiaries to meet the regulatory capital levels required in the United States, the U.K., Bermuda, Ireland, Switzerland and other key markets;

▪	letters of credit and other forms of collateral that are required to be posted or deposited, as the case may be, by our 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. We also use letters of credit to support our operations at Lloyd's; and

▪	revolving credit facilities to meet short-term liquidity needs.

▪	the credit available from banks may be reduced due to market conditions resulting in our need to pledge our investment portfolio to customers, which could result in a lower investment yield;

▪	we may be downgraded by one or more rating agencies, which could materially and negatively impact our business, financial condition, results of operations and/or liquidity; and

▪	the volume of business that our subsidiaries that are not admitted in the United States are able to transact could be reduced if we are unable to obtain letter of credit facilities at an appropriate amount.

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▪	available revolving credit capacity of approximately $1.0 billion; and

▪	senior and subordinated unsecured notes of approximately $2.6 billion issued by XL-Cayman. These notes require XL-Cayman to pay a fixed rate of interest during their terms. As of June 30, 2015, the outstanding issues of unsecured notes is as follows:

▪	$300 million senior notes due December 2018, with a fixed coupon of 2.30%. The notes are listed on the New York Stock Exchange. The notes were issued at 99.69% of the face amount and net proceeds were $296.6 million. Related expenses of the offering amounted to $2.5 million.

▪	$400 million senior notes due October 2021, with a fixed coupon of 5.75%. The notes are listed on the New York Stock Exchange. The notes were issued at 100.0% of the face amount and net proceeds were $395.7 million. Related expenses of the offering amounted to $4.3 million.

▪	$350 million senior notes due November 2024, with a fixed coupon of 6.375%. The notes are publicly traded. The notes were issued at 100.0% of the face amount and net proceeds were $347.8 million. Related expenses of the offering amounted to $2.2 million.

▪	$500 million subordinated notes due March 2025, with a fixed coupon of 4.45%. The notes are listed on the New York Stock Exchange. The notes were issued at 99.633% of the face amount and net proceeds were $492.2 million. Related expenses of the offering amounted to $5.9 million.

▪	$325 million senior notes due May 2027, with a fixed coupon of 6.25%. The notes are publicly traded. The notes were issued at 99.805% of the face amount and net proceeds were $321.9 million. Related expenses of the offering amounted to $2.5 million.

▪	$300 million senior notes due December 2043, with a fixed coupon of 5.25%. The notes are listed on the New York Stock Exchange. The notes were issued at 99.77% of the face amount and net proceeds were $296.0 million. Related expenses of the offering amounted to $3.3 million.

▪	$500 million subordinated notes due March 2045, with a fixed coupon of 5.5%. The notes are listed on the New York Stock Exchange. The notes were issued at 99.115% of the face amount and net proceeds were $488.4 million. Related expenses of the offering amounted to $7.2 million.

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▪	subordinated unsecured notes of approximately $82.5 million issued by Catlin Underwriting (formerly Wellington Underwriting plc). These notes require Catlin Underwriting to pay a variable rate of interest based on the rate on three-month deposits in U.S. dollars plus a margin of basis points. As of June 30, 2015, the outstanding subordinated unsecured notes are as follows:

▪	€7 million subordinated notes due March 2035, with the variable rate based on the three-month deposits in U.S. dollars plus a margin of 295 basis points. Interest is payable quarterly in arrears. The notes are redeemable at the discretion of the issuer.

▪	$27 million subordinated notes due March 2036, with the variable rate based on the three-month deposits in U.S. dollars plus a margin of 317 basis points. Interest is payable quarterly in arrears. The notes are redeemable at the discretion of the issuer.

▪	$31 million subordinated notes due September 2036, with the variable rate based on the three-month deposits in U.S. dollars plus a margin of 310 basis points. Interest is payable quarterly in arrears. The notes are redeemable at the discretion of the issuer.

▪	$10 million subordinated notes due September 2036, with the variable rate based on the three-month deposits in U.S. dollars plus a margin of 300 basis points. Interest is payable quarterly in arrears. The notes are redeemable at the discretion of the issuer.

▪	€11 million subordinated notes due September 2036, with the variable rate based on the three-month deposits in U.S. dollars plus a margin of 300 basis points. Interest is payable quarterly in arrears. The notes are redeemable at the discretion of the issuer.

(1)	The unused portion of this credit facility of $976.1 million is available as revolving credit capacity as noted within our discussion of Debt above. See also the discussion regarding the Syndicated Credit Agreements (defined below).

(2)	We have the option to increase the size of the facilities under the Syndicated Credit Agreements by an additional $500 million across both such facilities.

(3)	We have the option to increase the maximum amount of letters of credit and revolving credit loans available under the 2013 Citi Agreements (defined below), with the lender's and issuing lender's consent.

(4)	The unused portions of these credit facilities of $56.0 million is available as revolving credit capacity as noted within our discussion of Debt above.

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•	A $450 million unsecured multi-bank facility available for utilization by certain subsidiaries of the Company and guaranteed by Green Holdings. The facility has a termination date of December 31, 2016.

•	A bilateral facility available for utilization by Catlin-Bermuda, collateralized by pledged financial assets. As of June 30, 2015, $147 million of letters of credit were issued under this facility.

•	A bilateral facility available for utilization by Catlin Re Switzerland Ltd, collateralized by pledged financial assets. As of June 30, 2015, $49 million of letters of credit were issued under this facility.

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•	Four unsecured bilateral facilities available for utilization by Catlin-Bermuda and guaranteed by Green Holdings for Funds at Lloyd's purposes, amounting to a total of $375 million. One of the facilities has an expiration date of December 31, 2017, while the other three have expiration dates of December 31, 2018.

•	An unsecured bilateral facility valued in Australian dollars at A$50 million, available for utilization by certain subsidiaries of Catlin and guaranteed by Green Holdings, for the purpose of providing collateral to Australian beneficiaries.

•	Two unsecured bilateral revolving credit and letter of credit facilities, available for utilization by certain subsidiaries of Catlin and guaranteed by Green Holdings amounting to $150 million.

•	A facility managed by Lloyd's, acting for Catlin Syndicate 2003. As of June 30, 2015, $8 million of letters of credit were issued under this facility.

•	Catlin, Inc. has letters of credit amounting to $1 million issued for the benefit of various parties.

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(1)

The credit ratings above were principally determined based on the weighted average rating of the individual securities from Standard & Poor's, Moody's Investors Service and Fitch Ratings (where available). The credit ratings for U.S. Agency debt and related mortgage-backed securities, whether with implicit or explicit government support, reflect the credit quality rating of the U.S. government for the purpose of these calculations.

(2)	Excludes Life Funds Withheld Assets.

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(1)	Includes Covered Bonds.

(2)	Excludes Life Funds Withheld Assets.

(3)

The credit rating for each asset reflected above was principally determined based on the weighted average rating of the individual securities from Standard & Poor's, Moody's Investors Service and Fitch Ratings (where available). U.S. Agency debt and related mortgage-backed securities, whether with implicit or explicit government support, reflect the credit quality rating of the U.S. government for the purpose of these calculations

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(1)	Corporate issuers include Covered Bonds.

(2)	Excludes Life Funds Withheld Assets.

(1)	Excludes Life Funds Withheld Assets.

(2)	Government-guaranteed securities and Covered Bonds have been excluded from the above figures.

(1)	Excludes Life Funds Withheld Assets.

(2)	Includes Covered Bonds.

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(1)	The estimated impact on the fair value of our fixed income portfolio of an immediate hypothetical +100 bps adverse parallel shift in global bond curves.

(2)

The estimated impact on the fair value of our investment portfolio of an immediate hypothetical -10% change in the value of equity exposures in our equity portfolio, certain equity-sensitive alternative investments and private equity investments. This includes our estimate of equity risk embedded in the alternatives and private investment portfolio with such estimates utilizing market exposures provided to us by certain individual fund investments, internal statistical analyses, and/or various assumptions regarding illiquidity and concentrations.

(3)	The estimated impact on the fair value of our fixed income portfolio of an immediate hypothetical +100 basis point increase in all global government related, corporate and structured security spreads to which our fixed income portfolio is exposed. This excludes exposure to credit spreads in our alternative investments, private investments and counterparty exposure.

(4)	The estimated impact on the fair value of our fixed income portfolio of an immediate hypothetical +10% increase in all global government related, corporate and structured security spreads to which our fixed income portfolio is exposed. This excludes exposure to credit spreads in our alternative investments, private investments and counterparty exposure.

(5)	The VaR results are based on a 95% confidence interval, with a one-year holding period, excluding foreign exchange rate risk. Our investment portfolio VaR as of June 30, 2015 is not necessarily indicative of future VaR levels as these are based on statistical estimates of possible price changes and, therefore, exclude other sources of investment return such as coupon and dividend income.

(6)

The VaR results are the standalone VaRs, based on the prescribed methodology, for each component of our Total Investment Portfolio. The standalone VaRs of the individual components are non-additive, with the difference between the summation of the individual component VaRs and their respective aggregations being due to diversification benefits across the individual components. In the case of the VaR results for our Total Investment Portfolio, the results also include the impact associated with our Business and Other investments.

(7)	Our Total Investment Portfolio also includes our Business and Other investments that do not form part of our Fixed Income Portfolio or Non-Fixed Income Portfolio. The individual results reported in the above table for our Total Investment Portfolio therefore represent the aggregate impact on our Fixed Income Portfolio, Non-Fixed Income Portfolio and the majority of our Other investments.

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(1)

The credit ratings above were principally determined based on the weighted average rating of the individual securities from Standard & Poor's, Moody's Investors Service and Fitch Ratings (where available). The credit ratings for U.S. Agency debt and related mortgage-backed securities, whether with implicit or explicit government support, reflect the credit quality rating of the U.S. government for the purpose of these calculations.

(1)	Government-guaranteed securities and Covered Bonds have been excluded from the above figures.

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(1)	Shares purchased in connection with the vesting of restricted shares granted under our restricted stock plan do not represent shares purchased as part of publicly announced plans or programs. All such purchases were made in connection with satisfying tax withholding obligations of those employees.

(2)	For information regarding our share buyback activity see Part I, Item 2, "Management's Discussion and Analysis of Financial Condition and Results of Operations - Other Key Focuses of Management - Capital Management - Buybacks of Ordinary Shares," included herein.

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*	Filed herewith.

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