INVESTMENTS

Fixed Maturity Investments Trading

The following table summarizes the fair value of fixed maturity investments trading:




	March 31, 2015		December 31, 2014
U.S. treasuries	$	1,535,746	$	1,671,471
Agencies	152,272		96,208
Municipals	1,220,206		—
Non-U.S. government (Sovereign debt)	329,626		280,651
Non-U.S. government-backed corporate	151,446		146,467
Corporate	1,603,024		1,610,442
Agency mortgage-backed	339,279		312,333
Non-agency mortgage-backed	257,114		241,590
Commercial mortgage-backed	353,944		373,117
Asset-backed	40,186		24,406
Total fixed maturity investments trading	$	5,982,843	$	4,756,685

Fixed Maturity Investments Available For Sale

The following table summarizes the amortized cost, fair value and related unrealized gains and losses and non-credit other-than-temporary impairments of fixed maturity investments available for sale:




			Included in Accumulated Other Comprehensive Income
March 31, 2015	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value		Non-Credit Other-Than- Temporary Impairments (1)
Agency mortgage-backed	$	2,877	$	305	$	—		$	3,182	$	—
Non-agency mortgage-backed	9,054		1,937		(3		)	10,988		640
Commercial mortgage-backed	7,287		581		—			7,868		—
Asset-backed	2,938		110		—			3,048		—
Total fixed maturity investments available for sale	$	22,156	$	2,933	$	(3	)	$	25,086	$	640




			Included in Accumulated Other Comprehensive Income
December 31, 2014	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value		Non-Credit Other-Than- Temporary Impairments (1)
Agency mortgage-backed	$	3,928	$	359	$	—		$	4,287	$	—
Non-agency mortgage-backed	9,478		1,985		(3		)	11,460		656
Commercial mortgage-backed	7,291		643		—			7,934		—
Asset-backed	3,075		129		—			3,204		—
Total fixed maturity investments available for sale	$	23,772	$	3,116	$	(3	)	$	26,885	$	656


(1)	Represents the non-credit component of other-than-temporary impairments recognized in accumulated other comprehensive income adjusted for subsequent sales of securities. It does not include the change in fair value subsequent to the impairment measurement date.

Contractual maturities of fixed maturity investments are described in the following table. Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.




	Trading				Available for Sale				Total Fixed Maturity Investments
March 31, 2015	Amortized Cost		Fair Value		Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in less than one year	$	211,238	$	209,392	$	—	$	—	$	211,238	$	209,392
Due after one through five years	3,219,374		3,220,154		—		—		3,219,374		3,220,154
Due after five through ten years	1,018,158		1,018,252		—		—		1,018,158		1,018,252
Due after ten years	538,096		544,522		—		—		538,096		544,522
Mortgage-backed	933,152		950,337		19,218		22,038		952,370		972,375
Asset-backed	40,091		40,186		2,938		3,048		43,029		43,234
Total	$	5,960,109	$	5,982,843	$	22,156	$	25,086	$	5,982,265	$	6,007,929

Equity Investments Trading

The following table summarizes the fair value of equity investments trading:




	March 31, 2015		December 31, 2014
Financials	$	204,540	$	222,190
Communications and technology	17,905		31,376
Industrial, utilities and energy	15,735		28,859
Consumer	11,346		19,522
Healthcare	10,042		16,582
Basic materials	2,088		3,569
Total	$	261,656	$	322,098

Pledged Investments

At March 31, 2015, $2,549.8 million of cash and investments at fair value were on deposit with, or in trust accounts for the benefit of various counterparties, including with respect to the Company’s standby letter of credit facility and bilateral letter of credit facility (December 31, 2014 - $2,379.4 million). Of this amount, $700.4 million is on deposit with, or in trust accounts for the benefit of, U.S. state regulatory authorities (December 31, 2014 - $691.9 million).

Reverse Repurchase Agreements

At March 31, 2015, the Company held $116.1 million (December 31, 2014 - $49.3 million) of reverse repurchase agreements. These loans are fully collateralized, are generally outstanding for a short period of time and are presented on a gross basis as part of short term investments on the Company’s consolidated balance sheets. The required collateral for these loans typically include high-quality, readily marketable instruments at a minimum amount of 102% of the loan principal. Upon maturity, the Company receives principal and interest income.

Net Investment Income, Net Realized and Unrealized Gains on Investments and Net Other-Than-Temporary Impairments

The components of net investment income are as follows:




	Three months ended
	March 31, 2015			March 31, 2014
Fixed maturity investments	$	25,939		$	23,860
Short term investments	197			190
Equity investments	2,604			796
Other investments
Hedge funds and private equity investments	10,413			12,317
Other	3,508			4,528
Cash and cash equivalents	148			91
	42,809			41,782
Investment expenses	(3,102		)	(2,834		)
Net investment income	$	39,707		$	38,948

Net realized and unrealized gains on investments are as follows:




	Three months ended
	March 31, 2015			March 31, 2014
Gross realized gains	$	21,532		$	13,467
Gross realized losses	(4,871		)	(5,564		)
Net realized gains on fixed maturity investments	16,661			7,903
Net unrealized gains on fixed maturity investments trading	25,972			27,882
Net realized and unrealized losses on investments-related derivatives	(4,208		)	(10,899		)
Net realized gains (losses) on equity investments trading	7,481			(79		)
Net unrealized gains (losses) on equity investments trading	(4,157		)	(9,880		)
Net realized and unrealized gains on investments	$	41,749		$	14,927

The following tables provide an analysis of the components of other comprehensive income and reclassifications out of accumulated other comprehensive income.




	Three months ended March 31, 2015
	Investments in other ventures		Fixed maturity investments available for sale			Total
Beginning balance	$	303	$	3,113		$	3,416
Other comprehensive income (loss) before reclassifications	109		(132		)	(23		)
Amounts reclassified from accumulated other comprehensive income by statement of operations line item:
Realized gains reclassified from accumulated other comprehensive income to net realized and unrealized gains on investments	—		(51		)	(51		)
Net current-period other comprehensive income (loss)	109		(183		)	(74		)
Ending balance	$	412	$	2,930		$	3,342




	Three months ended March 31, 2014
	Investments in other ventures			Fixed maturity investments available for sale			Total
Beginning balance	$	163		$	3,968		$	4,131
Other comprehensive loss before reclassifications	(3		)	(165		)	(168		)
Ending balance	$	160		$	3,803		$	3,963

The following tables provide an analysis of the length of time the Company’s fixed maturity investments available for sale in an unrealized loss have been in a continual unrealized loss position.




	Less than 12 Months				12 Months or Greater					Total
At March 31, 2015	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
Non-agency mortgage-backed	$	—	$	—	$	68	$	(3	)	$	68	$	(3	)
Total	$	—	$	—	$	68	$	(3	)	$	68	$	(3	)




	Less than 12 Months				12 Months or Greater					Total
December 31, 2014	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
Non-agency mortgage-backed	$	—	$	—	$	69	$	(3	)	$	69	$	(3	)
Total	$	—	$	—	$	69	$	(3	)	$	69	$	(3	)

At March 31, 2015, the Company held two fixed maturity investments available for sale securities that were in an unrealized loss position (December 31, 2014 - two), including two fixed maturity investments available for sale securities that were in an unrealized loss position for twelve months or greater (December 31, 2014 - two). The Company does not intend to sell these securities and it is not more likely than not that the Company will be required to sell these securities before the anticipated recovery of the remaining amortized cost basis. The Company performed reviews of its fixed maturity investments available for sale for the three months ended March 31, 2015 and 2014, respectively, in order to determine whether declines in the fair value below the amortized cost basis were considered other-than-temporary in accordance with the applicable guidance, as discussed below.

Other-Than-Temporary Impairment Process

The Company’s process for assessing whether declines in the fair value of its fixed maturity investments available for sale represent impairments that are other-than-temporary includes reviewing each fixed maturity investment available for sale that is impaired and determining: (i) if the Company has the intent to sell the debt security or (ii) if it is more likely than not that the Company will be required to sell the debt security before its anticipated recovery; and (iii) whether a credit loss exists, that is, where the Company expects that the present value of the cash flows expected to be collected from the security is less than the amortized cost basis of the security.

For the three months ended March 31, 2015, the Company recognized $Nil of other-than-temporary impairments which were recognized in earnings and $Nil related to other factors which were recognized in other comprehensive income (2014 – $Nil and $Nil, respectively).

The following table provides a rollforward of the amount of other-than-temporary impairments related to credit losses recognized in earnings for which a portion of an other-than-temporary impairment was recognized in accumulated other comprehensive income:




	Three months ended
	March 31, 2015			March 31, 2014
Beginning balance	$	498		$	561
Reductions:
Securities sold during the period	(13		)	(16		)
Ending balance	$	485		$	545