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 March 31, 2015
Fixed maturities
U.S. government and agency	$	1,490,502	$	9,183	$	(5,528	)	$	1,494,157	$	—
Non-U.S. government	932,741		7,041		(66,685		)	873,097		—
Corporate debt	4,549,974		58,133		(73,829		)	4,534,278		—
Agency RMBS⁽¹⁾	2,150,598		51,061		(1,416		)	2,200,243		—
CMBS⁽²⁾	1,111,327		21,219		(1,223		)	1,131,323		—
Non-Agency RMBS	77,185		2,560		(1,744		)	78,001		(865		)
ABS⁽³⁾	1,500,493		3,438		(8,102		)	1,495,829		—
Municipals⁽⁴⁾	199,813		6,649		(496		)	205,966		—
Total fixed maturities	$	12,012,633	$	159,284	$	(159,023	)	$	12,012,894	$	(865	)

Equity securities
Exchange-traded funds	453,978		46,224		(2,155		)	498,047
Non-U.S. bond mutual funds	118,339		—		(15,057		)	103,282
Total equity securities	$	572,317	$	46,224	$	(17,212	)	$	601,329

At December 31, 2014
Fixed maturities
U.S. government and agency	$	1,645,068	$	3,337	$	(28,328	)	$	1,620,077	$	—
Non-U.S. government	1,080,601		7,383		(54,441		)	1,033,543		—
Corporate debt	4,386,432		40,972		(66,280		)	4,361,124		—
Agency RMBS⁽¹⁾	2,241,581		40,762		(4,235		)	2,278,108		—
CMBS⁽²⁾	1,085,618		13,289		(2,019		)	1,096,888		—
Non-Agency RMBS	71,236		2,765		(915		)	73,086		(889		)
ABS⁽³⁾	1,475,026		2,748		(16,188		)	1,461,586		—
Municipals⁽⁴⁾	200,411		5,282		(832		)	204,861		—
Total fixed maturities	$	12,185,973	$	116,538	$	(173,238	)	$	12,129,273	$	(889	)

Equity securities
Exchange-traded funds	416,063		43,583		(4,756		)	454,890
Non-U.S. bond mutual funds	115,585		—		(2,768		)	112,817
Total equity securities	$	531,648	$	43,583	$	(7,524	)	$	567,707


(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 March 31, 2015
Maturity
Due in one year or less	$	508,448	$	503,179	4.2	%
Due after one year through five years	4,387,194		4,349,800		36.2	%
Due after five years through ten years	2,042,045		2,016,713		16.8	%
Due after ten years	235,343		237,806		2.0	%
	7,173,030		7,107,498		59.2	%
Agency RMBS	2,150,598		2,200,243		18.3	%
CMBS	1,111,327		1,131,323		9.4	%
Non-Agency RMBS	77,185		78,001		0.6	%
ABS	1,500,493		1,495,829		12.5	%
Total	$	12,012,633	$	12,012,894	100.0	%

At December 31, 2014
Maturity
Due in one year or less	$	424,077	$	423,265	3.5	%
Due after one year through five years	4,925,780		4,892,411		40.3	%
Due after five years through ten years	1,755,248		1,695,641		14.0	%
Due after ten years	207,407		208,288		1.7	%
	7,312,512		7,219,605		59.5	%
Agency RMBS	2,241,581		2,278,108		18.8	%
CMBS	1,085,618		1,096,888		9.0	%
Non-Agency RMBS	71,236		73,086		0.6	%
ABS	1,475,026		1,461,586		12.1	%
Total	$	12,185,973	$	12,129,273	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 March 31, 2015
Fixed maturities
U.S. government and agency	$	94,248	$	(4,525	)	$	329,487	$	(1,003	)	$	423,735	$	(5,528	)
Non-U.S. government	112,581		(31,924		)	349,284		(34,761		)	461,865		(66,685		)
Corporate debt	53,901		(5,679		)	1,263,181		(68,150		)	1,317,082		(73,829		)
Agency RMBS	55,492		(748		)	208,699		(668		)	264,191		(1,416		)
CMBS	54,293		(719		)	145,716		(504		)	200,009		(1,223		)
Non-Agency RMBS	5,685		(762		)	17,917		(982		)	23,602		(1,744		)
ABS	449,335		(6,367		)	544,239		(1,735		)	993,574		(8,102		)
Municipals	14,528		(139		)	16,297		(357		)	30,825		(496		)
Total fixed maturities	$	840,063	$	(50,863	)	$	2,874,820	$	(108,160	)	$	3,714,883	$	(159,023	)

Equity securities
Exchange-traded funds	—		—			80,230		(2,155		)	80,230		(2,155		)
Non-U.S. bond mutual funds	—		—			103,282		(15,057		)	103,282		(15,057		)
Total equity securities	$	—	$	—		$	183,512	$	(17,212	)	$	183,512	$	(17,212	)

At December 31, 2014
Fixed maturities
U.S. government and agency	$	388,551	$	(24,319	)	$	786,850	$	(4,009	)	$	1,175,401	$	(28,328	)
Non-U.S. government	143,602		(29,171		)	435,670		(25,270		)	579,272		(54,441		)
Corporate debt	26,708		(2,221		)	2,199,672		(64,059		)	2,226,380		(66,280		)
Agency RMBS	259,914		(3,084		)	333,288		(1,151		)	593,202		(4,235		)
CMBS	68,624		(925		)	256,225		(1,094		)	324,849		(2,019		)
Non-Agency RMBS	6,689		(613		)	13,442		(302		)	20,131		(915		)
ABS	425,663		(10,325		)	750,679		(5,863		)	1,176,342		(16,188		)
Municipals	34,462		(644		)	25,284		(188		)	59,746		(832		)
Total fixed maturities	$	1,354,213	$	(71,302	)	$	4,801,110	$	(101,936	)	$	6,155,323	$	(173,238	)

Equity securities
Exchange-traded funds	—		—			91,275		(4,756		)	91,275		(4,756		)
Non-U.S. bond mutual funds	—		—			112,817		(2,768		)	112,817		(2,768		)
Total equity securities	$	—	$	—		$	204,092	$	(7,524	)	$	204,092	$	(7,524	)

Fixed Maturities

At March 31, 2015, 1,004 fixed maturities (2014: 1,388) were in an unrealized loss position of $159 million (2014: $173 million), of which $17 million (2014: $36 million) was related to securities below investment grade or not rated.

At March 31, 2015, 180 (2014: 223) securities had been in a continuous unrealized loss position for 12 months or greater and had a fair value of $840 million (2014: $1,354 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 March 31, 2015, and were expected to recover in value as the securities approach maturity. Further, at March 31, 2015, 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 March 31, 2015, 8 securities (2014: 9) were in an unrealized loss position of $17 million (2014: $8 million).

At March 31, 2015 and December 31, 2014, there were no securities that had been in a continuous unrealized loss position for 12 months or greater. 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 March 31, 2015.

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 March 31, 2015
Long/short equity funds	$	242,096	26	%	Quarterly, Semi-annually	30-60 days
Multi-strategy funds	336,342		36	%	Quarterly, Semi-annually	60-95 days
Event-driven funds	189,212		20	%	Quarterly, Annually	45-60 days
Leveraged bank loan funds	9,616		1	%	Quarterly	65 days
Direct lending funds	69,682		7	%	n/a	n/a
CLO - Equities	92,058		10	%	n/a	n/a
Total other investments	$	939,006	100	%

At December 31, 2014
Long/short equity funds	$	298,907	31	%	Quarterly, Semi-annually	30-60 days
Multi-strategy funds	324,020		34	%	Quarterly, Semi-annually	60-95 days
Event-driven funds	185,899		19	%	Quarterly, Annually	45-60 days
Leveraged bank loan funds	9,713		1	%	Quarterly	65 days
Direct lending funds	54,438		6	%	n/a	n/a
CLO - Equities	92,488		9	%	n/a	n/a
Total other investments	$	965,465	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 2015 and 2014, neither of these restrictions impacted our redemption requests. At March 31, 2015, $95 million (2014: $87 million), representing 12% (2014: 11%) of our total hedge funds, relate to holdings where we are still within the lockup period. The expiration of these lockup periods range from June 2015 to March 2016.

At March 31, 2015, $6 million (2014: $6 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 March 31, 2015, we have $72 million (2014: $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 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 March 31, 2015, $29 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 2015, we made a $100 million commitment as a limited partner in a fund which invests in real estate and real estate securities and businesses. The fund is subject to a 3 year commitment period and a total fund life of 8 years during which time we are not eligible to redeem our investment. At March 31, 2015 our commitment remains unfunded.

c) Net Investment Income

Net investment income was derived from the following sources:



	Three months ended March 31,
	2015			2014

Fixed maturities	$	66,101		$	72,957
Other investments	30,935			16,760
Equity securities	1,676			2,286
Cash and cash equivalents	1,102			863
Short-term investments	69			214
Gross investment income	99,883			93,080
Investment expenses	(7,773		)	(10,336		)
Net investment income	$	92,110		$	82,744

d) Net Realized Investment Gains (Losses)

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



	Three months ended March 31,
	2015			2014

Gross realized gains
Fixed maturities and short-term investments	$	15,661		$	33,770
Equities	38			19,267
Gross realized gains	15,699			53,037
Gross realized losses
Fixed maturities and short-term investments	(43,091		)	(33,704		)
Equities	(124		)	(2,438		)
Gross realized losses	(43,215		)	(36,142		)
Net OTTI recognized in earnings	(17,568		)	(786		)
Change in fair value of investment derivatives⁽¹⁾	2,531			(5,489		)
Net realized investment gains (losses)	$	(42,553	)	$	10,620

(1) Refer to Note 5 – Derivative Instruments

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



	Three months ended March 31,
	2015		2014

Fixed maturities:
Non-U.S. government	$	1,422	$	38
Corporate debt	16,120		15
Non-Agency RMBS	4		—
ABS	22		56
	17,568		109
Equity Securities
Common stocks	—		677
	—		677
Total OTTI recognized in earnings	$	17,568	$	786

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 March 31,
	2015		2014

Balance at beginning of period	$	1,531	$	1,594
Credit impairments recognized on securities not previously impaired	—		—
Additional credit impairments recognized on securities previously impaired	10		—
Change in timing of future cash flows on securities previously impaired	—		—
Intent to sell of securities previously impaired	—		—
Securities sold/redeemed/matured	—		(4		)
Balance at end of period	$	1,541	$	1,590

e) Reverse Repurchase Agreements

At March 31, 2015, we held $123 million (2014: $110 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.