a) Fixed Maturities and Equities

The amortized cost or cost and fair values of our fixed maturities and equities were as follows:



	Amortized Cost or Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value		Non-credit OTTI in AOCI⁽⁵⁾

At September 30, 2014
Fixed maturities
U.S. government and agency	$	1,545,328	$	1,564	$	(27,424	)	$	1,519,468	$	—
Non-U.S. government	1,175,260		9,122		(45,460		)	1,138,922		—
Corporate debt	4,240,910		47,065		(37,179		)	4,250,796		—
Agency RMBS⁽¹⁾	2,103,587		28,931		(11,571		)	2,120,947		—
CMBS⁽²⁾	945,134		12,212		(2,829		)	954,517		—
Non-Agency RMBS	75,452		3,531		(588		)	78,395		(888		)
ABS⁽³⁾	1,443,932		3,775		(11,842		)	1,435,865		—
Municipals⁽⁴⁾	910,669		36,181		(1,076		)	945,774		—
Total fixed maturities	$	12,440,272	$	142,381	$	(137,969	)	$	12,444,684	$	(888	)

Equity securities
Common stocks	$	49,426	$	14,367	$	(648	)	$	63,145
Exchange-traded funds	420,219		31,506		(1,049		)	450,676
Non-U.S. bond mutual funds	113,651		2,030		—			115,681
Total equity securities	$	583,296	$	47,903	$	(1,697	)	$	629,502

At December 31, 2013
Fixed maturities
U.S. government and agency	$	1,421,245	$	1,405	$	(33,952	)	$	1,388,698	$	—
Non-U.S. government	1,208,384		17,990		(49,992		)	1,176,382		—
Corporate debt	3,533,585		84,881		(10,228		)	3,608,238		—
Agency RMBS⁽¹⁾	2,485,139		21,979		(58,291		)	2,448,827		—
CMBS⁽²⁾	790,095		11,285		(3,966		)	797,414		—
Non-Agency RMBS	65,590		2,375		(398		)	67,567		(868		)
ABS⁽³⁾	955,274		6,871		(8,694		)	953,451		—
Municipals⁽⁴⁾	1,527,834		32,432		(14,516		)	1,545,750		—
Total fixed maturities	$	11,987,146	$	179,218	$	(180,037	)	$	11,986,327	$	(868	)

Equity securities
Common stocks	$	345,759	$	98,742	$	(6,183	)	$	438,318
Exchange-traded funds	106,762		32,085		—			138,847
Non-U.S. bond mutual funds	113,698		11,124		—			124,822
Total equity securities	$	566,219	$	141,951	$	(6,183	)	$	701,987


(1)	Residential mortgage-backed securities (RMBS) originated by U.S. agencies.


(2)	Commercial mortgage-backed securities (CMBS).


(3)	Asset-backed securities (ABS) include debt tranched securities collateralized primarily by auto loans, student loans, credit cards, and other asset types. This asset class also includes collateralized loan obligations (CLOs) and collateralized debt obligations (CDOs).


(4)	Municipals include bonds issued by states, municipalities and political subdivisions.


(5)	Represents the non-credit component of the other-than-temporary impairment (OTTI) losses, adjusted for subsequent sales of securities. It does not include the change in fair value subsequent to the impairment measurement date.

In the normal course of investing activities, we actively manage allocations to non-controlling tranches of structured securities (variable interests) issued by VIEs. These structured securities include RMBS, CMBS and ABS and are included in the above table. Additionally, within our other investments portfolio, we also invest in limited partnerships (hedge funds) and CLO equity tranched securities, which are all variable interests issued by VIEs (see Note 3(b)). For these variable interests, we do not have the power to direct the activities that are most significant to the economic performance of the VIEs and accordingly we are not the primary beneficiary for any of these VIEs. Our maximum exposure to loss on these interests is limited to the amount of our investment. We have not provided financial or other support with respect to these structured securities other than our original investment.

Contractual Maturities

The contractual maturities of fixed maturities are shown below. Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.



	Amortized Cost		Fair Value		% of Total Fair Value

At September 30, 2014
Maturity
Due in one year or less	$	550,351	$	549,150	4.5	%
Due after one year through five years	5,250,453		5,266,397		42.3	%
Due after five years through ten years	1,822,740		1,788,151		14.4	%
Due after ten years	248,623		251,262		2.0	%
	7,872,167		7,854,960		63.2	%
Agency RMBS	2,103,587		2,120,947		17.0	%
CMBS	945,134		954,517		7.7	%
Non-Agency RMBS	75,452		78,395		0.6	%
ABS	1,443,932		1,435,865		11.5	%
Total	$	12,440,272	$	12,444,684	100.0	%

At December 31, 2013
Maturity
Due in one year or less	$	710,079	$	717,052	5.9	%
Due after one year through five years	5,030,728		5,116,060		42.7	%
Due after five years through ten years	1,852,877		1,791,835		14.9	%
Due after ten years	97,364		94,121		0.8	%
	7,691,048		7,719,068		64.3	%
Agency RMBS	2,485,139		2,448,827		20.4	%
CMBS	790,095		797,414		6.7	%
Non-Agency RMBS	65,590		67,567		0.6	%
ABS	955,274		953,451		8.0	%
Total	$	11,987,146	$	11,986,327	100.0	%

Gross Unrealized Losses

The following table summarizes fixed maturities and equities in an unrealized loss position and the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position:



	12 months or greater					Less than 12 months					Total
	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses

At September 30, 2014
Fixed maturities
U.S. government and agency	$	392,084	$	(23,150	)	$	864,003	$	(4,274	)	$	1,256,087	$	(27,424	)
Non-U.S. government	148,526		(25,903		)	395,307		(19,557		)	543,833		(45,460		)
Corporate debt	35,841		(2,608		)	2,006,740		(34,571		)	2,042,581		(37,179		)
Agency RMBS	335,687		(9,617		)	469,445		(1,954		)	805,132		(11,571		)
CMBS	77,827		(1,066		)	310,078		(1,763		)	387,905		(2,829		)
Non-Agency RMBS	8,217		(524		)	3,087		(64		)	11,304		(588		)
ABS	378,668		(8,122		)	640,305		(3,720		)	1,018,973		(11,842		)
Municipals	39,450		(1,047		)	8,226		(29		)	47,676		(1,076		)
Total fixed maturities	$	1,416,300	$	(72,037	)	$	4,697,191	$	(65,932	)	$	6,113,491	$	(137,969	)

Equity securities
Common stocks	$	1,828	$	(249	)	$	10,401	$	(399	)	$	12,229	$	(648	)
Exchange-traded funds	—		—			56,074		(1,049		)	56,074		(1,049		)
Total equity securities	$	1,828	$	(249	)	$	66,475	$	(1,448	)	$	68,303	$	(1,697	)

At December 31, 2013
Fixed maturities
U.S. government and agency	$	—	$	—		$	982,307	$	(33,952	)	$	982,307	$	(33,952	)
Non-U.S. government	35,577		(3,430		)	420,622		(46,562		)	456,199		(49,992		)
Corporate debt	27,696		(802		)	606,592		(9,426		)	634,288		(10,228		)
Agency RMBS	144,468		(5,247		)	1,478,527		(53,044		)	1,622,995		(58,291		)
CMBS	13,319		(116		)	298,863		(3,850		)	312,182		(3,966		)
Non-Agency RMBS	4,287		(315		)	5,319		(83		)	9,606		(398		)
ABS	37,765		(2,941		)	553,803		(5,753		)	591,568		(8,694		)
Municipals	8,408		(615		)	543,474		(13,901		)	551,882		(14,516		)
Total fixed maturities	$	271,520	$	(13,466	)	$	4,889,507	$	(166,571	)	$	5,161,027	$	(180,037	)

Equity securities
Common stocks	$	3,499	$	(398	)	$	48,828	$	(5,785	)	$	52,327	$	(6,183	)
Exchange-traded funds	—		—			—		—			—		—
Total equity securities	$	3,499	$	(398	)	$	48,828	$	(5,785	)	$	52,327	$	(6,183	)

Fixed Maturities

At September 30, 2014, 1,306 fixed maturities (2013: 1,127) were in an unrealized loss position of $138 million (2013: $180 million), of which $14 million (2013: $2 million) was related to securities below investment grade or not rated.

At September 30, 2014, 281 (2013: 99) securities had been in a continuous unrealized loss position for 12 months or greater and had a fair value of $1,416 million (2013: $272 million). Following our credit impairment review, we concluded that these securities as well as the remaining securities in an unrealized loss position in the above table were temporarily impaired at September 30, 2014, and were expected to recover in value as the securities approach maturity. Further, at September 30, 2014, we did not intend to sell these securities in an unrealized loss position and it is more likely than not that we will not be required to sell these securities before the anticipated recovery of their amortized costs.

Equity Securities

At September 30, 2014, 9 securities (2013: 63) were in an unrealized loss position of $2 million (2013: $6 million).

At September 30, 2014, 2 (2013: 9) securities had been in a continuous unrealized loss position for 12 months or greater and had a fair value of $2 million (2013: $3 million). Based on our impairment review process and our ability and intent to hold these securities for a reasonable period of time sufficient for a full recovery, we concluded that the above equities in an unrealized loss position were temporarily impaired at September 30, 2014.

b) Other Investments

The following table provides a breakdown of our investments in hedge funds, direct lending funds and CLO Equities, together with additional information relating to the liquidity of each category:



	Fair Value				Redemption Frequency (if currently eligible)	Redemption Notice Period

At September 30, 2014
Long/short equity funds	$	292,086	31	%	Quarterly, Semi-annually	45-60 days
Multi-strategy funds	315,480		33	%	Quarterly, Semi-annually	60-95 days
Event-driven funds	188,397		20	%	Quarterly, Annually	45-60 days
Leveraged bank loan funds	9,904		1	%	Quarterly	65 days
Direct lending funds	43,836		5	%	n/a	n/a
CLO - Equities	97,133		10	%	n/a	n/a
Total other investments	$	946,836	100	%

At December 31, 2013
Long/short equity funds	$	425,444	41	%	Monthly, Quarterly, Semi-annually	30-60 days
Multi-strategy funds	285,155		27	%	Quarterly, Semi-annually	60-95 days
Event-driven funds	190,458		18	%	Quarterly, Annually	45-60 days
Leveraged bank loan funds	48,753		5	%	Quarterly	65 days
Direct lending funds	22,134		2	%	n/a	n/a
CLO - Equities	73,866		7	%	n/a	n/a
Total other investments	$	1,045,810	100	%

n/a - not applicable

The investment strategies for the above funds are as follows:


•	Long/short equity funds: Seek to achieve attractive returns primarily by executing an equity trading strategy involving both long and short investments in publicly-traded equities.


•	Multi-strategy funds: Seek to achieve above-market returns by pursuing multiple investment strategies to diversify risks and reduce volatility. This category includes funds of hedge funds which invest in a large pool of hedge funds across a diversified range of hedge fund strategies.


•	Event-driven funds: Seek to achieve attractive returns by exploiting situations where announced or anticipated events create opportunities.


•	Leveraged bank loan funds: Seek to achieve attractive returns by investing primarily in bank loan collateral that has limited interest rate risk exposure.


•	Direct lending funds: Seek to achieve attractive risk-adjusted returns, including current income generation, by investing in funds which provide financing directly to borrowers.

Two common redemption restrictions which may impact our ability to redeem our hedge funds are gates and lockups. A gate is a suspension of redemptions which may be implemented by the general partner or investment manager of the fund in order to defer, in whole or in part, the redemption request in the event the aggregate amount of redemption requests exceeds a predetermined percentage of the fund's net assets which may otherwise hinder the general partner or investment manager's ability to liquidate holdings in an orderly fashion in order to generate the cash necessary to fund extraordinarily large redemption payouts. A lockup period is the initial amount of time an investor is contractually required to hold the security before having the ability to redeem. During 2014 and 2013, neither of these restrictions impacted our redemption requests. At September 30, 2014, $71 million (2013: $99 million), representing 9% (2013: 10%) of our total hedge funds, relate to holdings where we are still within the lockup period. The expiration of these lockup periods range from September 2014 to April 2016.

At September 30, 2014, $6 million (2013: $11 million) was invested in hedge funds that are not accepting redemption requests. Of this amount, substantially all relates to a leveraged bank loan fund in a period of planned principal distributions. Based on market conditions and payments made to date, management's current expectation is that the distribution process will be completed in 2015.

At September 30, 2014, we have $67 million (2013: $88 million) of unfunded commitments within our other investments portfolio relating to our future investments in direct lending funds. Once the full amount of committed capital has been called by the General Partner of each of these funds, the assets will not be fully returned until the completion of the fund's investment term. These funds have investment terms ranging from 5-10 years and the General Partners of certain funds have the option to extend the term by up to three years.

During the fourth quarter of 2013, we made a $60 million commitment as a limited partner in a multi-strategy hedge fund. Once the full amount of committed capital has been called by the General Partner, the assets will not be fully returned until the completion of the fund's investment term which ends in December, 2018. The General Partner then has the option to extend the term by up to three years. At September 30, 2014, $41 million of our commitment remains unfunded and the current fair value of the funds called to date are included in the multi-strategy funds line of the table above.

During the third quarter of 2013, we made a $60 million commitment as a limited partner in a fund that invests primarily in CLO equities ("CLO fund"). We will not be eligible to redeem our investment until December 2017 but expect to receive interest distributions on a quarterly basis. At September 30, 2014, the full amount of our commitment was funded and the current fair value of the funds called to date are included in the CLO - Equities line of the table above. The CLO - Equities line also includes direct investment in the equity tranches of CLOs.

c) Net Investment Income

Net investment income was derived from the following sources:



	Three months ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013

Fixed maturities	$	74,996		$	74,691		$	226,475		$	218,877
Other investments	(3,384		)	32,127			45,868			87,406
Equity securities	2,022			3,871			9,609			8,419
Cash and cash equivalents	2,081			382			9,127			2,915
Short-term investments	141			127			600			1,056
Gross investment income	75,856			111,198			291,679			318,673
Investment expenses	(9,294		)	(7,769		)	(27,508		)	(23,223		)
Net investment income	$	66,562		$	103,429		$	264,171		$	295,450

d) Net Realized Investment Gains (Losses)

The following table provides an analysis of net realized investment gains (losses):



	Three months ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013

Gross realized gains
Fixed maturities and short-term investments	$	17,638		$	27,631		$	78,057		$	94,617
Equities	81,888			11,985			133,764			48,266
Gross realized gains	99,526			39,616			211,821			142,883
Gross realized losses
Fixed maturities and short-term investments	(8,527		)	(26,454		)	(56,623		)	(73,266		)
Equities	(7,120		)	(2,001		)	(12,104		)	(9,011		)
Gross realized losses	(15,647		)	(28,455		)	(68,727		)	(82,277		)
Net OTTI recognized in earnings	(9,431		)	(2,811		)	(12,121		)	(8,836		)
Change in fair value of investment derivatives⁽¹⁾	3,000			(13,058		)	(9,644		)	4,234
Net realized investment gains (losses)	$	77,448		$	(4,708	)	$	121,329		$	56,004

(1) Refer to Note 5 – Derivative Instruments

The following table summarizes the OTTI recognized in earnings by asset class:



	Three months ended September 30,				Nine months ended September 30,
	2014		2013		2014		2013

Fixed maturities:
Non-U.S. government	$	3,380	$	94	$	5,192	$	120
Corporate debt	1,031		1,811		1,112		5,761
Non-Agency RMBS	—		57		—		57
ABS	—		—		56		129
Municipals	418		639		418		639
	4,829		2,601		6,778		6,706
Equity Securities
Common stocks	—		207		741		1,607
Exchange-traded funds	4,602		3		4,602		523
	4,602		210		5,343		2,130
Total OTTI recognized in earnings	$	9,431	$	2,811	$	12,121	$	8,836

The following table provides a roll forward of the credit losses, before income taxes, for which a portion of the OTTI was recognized in AOCI:



	Three months ended September 30,						Nine months ended September 30,
	2014			2013			2014			2013

Balance at beginning of period	$	1,581		$	1,699		$	1,594		$	1,809
Credit impairments recognized on securities not previously impaired	—			—			—			—
Additional credit impairments recognized on securities previously impaired	—			—			—			—
Change in timing of future cash flows on securities previously impaired	—			—			—			—
Intent to sell of securities previously impaired	—			—			—			—
Securities sold/redeemed/matured	(23		)	(110		)	(36		)	(220		)
Balance at end of period	$	1,558		$	1,589		$	1,558		$	1,589

e) Reverse Repurchase Agreements

At September 30, 2014, we held $101 million (2013: $34 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 cash and cash equivalents on our consolidated balance sheet. The required collateral for these loans is either cash or U.S. Treasuries at a minimum rate of 102% of the loan principal. Upon maturity, we receive principal and interest income.