INVESTMENTS

Fixed Maturity Investments Trading

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




	September 30, 2015		December 31, 2014
U.S. treasuries	$	1,984,841	$	1,671,471
Agencies	131,524		96,208
Municipal	675,349		—
Non-U.S. government (Sovereign debt)	393,320		280,651
Non-U.S. government-backed corporate	172,548		146,467
Corporate	2,141,859		1,610,442
Agency mortgage-backed	496,213		312,333
Non-agency mortgage-backed	259,193		241,590
Commercial mortgage-backed	545,424		373,117
Asset-backed	105,031		24,406
Total fixed maturity investments trading	$	6,905,302	$	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
September 30, 2015	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value		Non-Credit Other-Than- Temporary Impairments (1)
Agency mortgage-backed	$	876	$	11	$	(8	)	$	879	$	—
Non-agency mortgage-backed	7,533		1,666		(3		)	9,196		580
Commercial mortgage-backed	6,796		397		—			7,193		—
Asset-backed	2,573		64		—			2,637		—
Total fixed maturity investments available for sale	$	17,778	$	2,138	$	(11	)	$	19,905	$	580




			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
September 30, 2015	Amortized Cost		Fair Value		Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in less than one year	$	267,608	$	265,366	$	—	$	—	$	267,608	$	265,366
Due after one through five years	3,882,884		3,876,482		—		—		3,882,884		3,876,482
Due after five through ten years	1,045,139		1,028,728		—		—		1,045,139		1,028,728
Due after ten years	329,869		328,865		—		—		329,869		328,865
Mortgage-backed	1,285,202		1,300,830		15,205		17,268		1,300,407		1,318,098
Asset-backed	104,801		105,031		2,573		2,637		107,374		107,668
Total	$	6,915,503	$	6,905,302	$	17,778	$	19,905	$	6,933,281	$	6,925,207

Equity Investments Trading

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




	September 30, 2015		December 31, 2014
Financials	$	217,150	$	222,190
Communications and technology	79,478		31,376
Industrial, utilities and energy	64,547		28,859
Consumer	50,540		19,522
Healthcare	42,904		16,582
Basic materials	7,579		3,569
Total	$	462,198	$	322,098

Pledged Investments

At September 30, 2015, $2,445.0 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, $667.8 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 September 30, 2015, the Company held $55.4 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 and Net Realized and Unrealized Gains on Investments

The components of net investment income are as follows:




	Three months ended						Nine months ended
	September 30, 2015			September 30, 2014			September 30, 2015			September 30, 2014
Fixed maturity investments	$	37,023		$	24,519		$	96,753		$	74,751
Short term investments	267			251			761			727
Equity investments	1,791			736			6,308			2,311
Other investments
Hedge funds and private equity investments	(14,505		)	(3,320		)	1,333			17,337
Other	7,261			5,547			11,443			11,558
Cash and cash equivalents	80			116			355			300
	31,917			27,849			116,953			106,984
Investment expenses	(3,579		)	(2,908		)	(10,304		)	(8,554		)
Net investment income	$	28,338		$	24,941		$	106,649		$	98,430

Net realized and unrealized (losses) gains on investments are as follows:




	Three months ended						Nine months ended
	September 30, 2015			September 30, 2014			September 30, 2015			September 30, 2014
Gross realized gains	$	9,160		$	7,962		$	39,364		$	33,595
Gross realized losses	(13,720		)	(2,720		)	(40,143		)	(10,871		)
Net realized (losses) gains on fixed maturity investments	(4,560		)	5,242			(779		)	22,724
Net unrealized gains (losses) on fixed maturity investments trading	10,208			(36,600		)	(11,924		)	21,200
Net realized and unrealized losses on investments-related derivatives	(16,612		)	(1,868		)	(1,004		)	(19,651		)
Net realized (losses) gains on equity investments trading	(114		)	3,523			16,199			8,578
Net unrealized losses on equity investments trading	(30,060		)	(1,394		)	(28,593		)	(21,893		)
Net realized and unrealized (losses) gains on investments	$	(41,138	)	$	(31,097	)	$	(26,101	)	$	10,958

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




	Three months ended September 30, 2015
	Investments in other ventures			Fixed maturity investments available for sale			Total
Beginning balance	$	623		$	2,370		$	2,993
Other comprehensive loss before reclassifications	(490		)	(243		)	(733		)
Ending balance	$	133		$	2,127		$	2,260



	Nine months ended September 30, 2015
	Investments in other ventures			Fixed maturity investments available for sale			Total
Beginning balance	$	303		$	3,113		$	3,416
Other comprehensive loss before reclassifications	(170		)	(648		)	(818		)
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	—			(338		)	(338		)
Net current-period other comprehensive loss	(170		)	(986		)	(1,156		)
Ending balance	$	133		$	2,127		$	2,260




	Three months ended September 30, 2014
	Investments in other ventures		Fixed maturity investments available for sale			Total
Beginning balance	$	211	$	3,707		$	3,918
Other comprehensive income (loss) before reclassifications	213		(302		)	(89		)
Ending balance	$	424	$	3,405		$	3,829



	Nine months ended September 30, 2014
	Investments in other ventures		Fixed maturity investments available for sale			Total
Beginning balance	$	163	$	3,968		$	4,131
Other comprehensive income (loss) before reclassifications	261		(563		)	(302		)
Ending balance	$	424	$	3,405		$	3,829

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 September 30, 2015	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
Agency mortgage-backed	$	550	$	(8	)	$	—	$	—		$	550	$	(8	)
Non-agency mortgage-backed	—		—			60		(3		)	60		(3		)
Total	$	550	$	(8	)	$	60	$	(3	)	$	610	$	(11	)




	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 September 30, 2015, the Company held three 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 nine months ended September 30, 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 nine months ended September 30, 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						Nine months ended
	September 30, 2015			September 30, 2014			September 30, 2015			September 30, 2014
Beginning balance	$	466		$	529		$	498		$	561
Reductions:
Securities sold during the period	(26		)	(15		)	(58		)	(47		)
Ending balance	$	440		$	514		$	440		$	514