5. Funds Held – Directly Managed

Following Paris Re’s acquisition of substantially all of the reinsurance operations of Colisée Re (previously known as AXA RE), a subsidiary of AXA SA (AXA), in 2006, Paris Re and its subsidiaries entered into an issuance agreement and a quota share retrocession agreement to assume business written by Colisée Re from January 1, 2006 to September 30, 2007 as well as the in-force business at December 31, 2005. The agreements provided that the premium related to the transferred business was retained by Colisée Re and credited to a funds held account. The decrease from $473 million at December 31, 2014 to $400 million at December 31, 2015 in the fair value of the investment portfolio underlying the funds held – directly managed account was primarily related to the run-off of the underlying loss reserves associated with this account and, to a lesser extent, the impact of the strengthening of the U.S. dollar against most major currencies.

The assets underlying the funds held – directly managed account are maintained by Colisée Re in a segregated investment portfolio and managed by the Company. The segregated investment portfolio underlying the funds held – directly managed account is carried at fair value. Realized and unrealized investment gains and losses and net investment income related to the underlying investment portfolio in the funds held – directly managed account inure to the benefit of the Company.

(a) Fixed Maturities, Short-Term Investments, Other Invested Assets and Other Assets and Liabilities

The cost, gross unrealized gains, gross unrealized losses and fair value of investments underlying the funds held – directly managed account at December 31, 2015 and 2014 were as follows (in thousands of U.S. dollars):



December 31, 2015	Cost ⁽¹⁾		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Fixed maturities
U.S. government and government sponsored enterprises	$	168,197	$	2,209	$	(455	)	$	169,951
Non-U.S. sovereign government, supranational and government related	112,724		6,827		(64		)	119,487
Corporate	94,725		4,624		—			99,349
Fixed maturities	$	375,646	$	13,660	$	(519	)	$	388,787
Short-term investments	966		—		—			966
Other invested assets	21,231		—		(11,059		)	10,172
Total	$	397,843	$	13,660	$	(11,578	)	$	399,925



December 31, 2014	Cost ⁽¹⁾		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Fixed maturities
U.S. government and government sponsored enterprises	$	150,242	$	3,302	$	(61	)	$	153,483
U.S. states, territories and municipalities	214		—		(82		)	132
Non-U.S. sovereign government, supranational and government related	119,732		8,536		(35		)	128,233
Corporate	168,697		8,650		—			177,347
Fixed maturities	$	438,885	$	20,488	$	(178	)	$	459,195
Other invested assets	25,388		—		(11,837		)	13,551
Total	$	464,273	$	20,488	$	(12,015	)	$	472,746


(1)	Cost is amortized cost for fixed maturities and short-term investments.

In addition to the investments underlying the funds held – directly managed account in the above table at December 31, 2015 and 2014, were cash and cash equivalents of $64.6 million and $42.3 million, respectively, other assets and liabilities of $70.7 million and $88.2 million, respectively, and accrued investment income of $4.5 million and $5.7 million, respectively. The other assets and liabilities represent working capital assets held by Colisée Re related to the underlying business.

(b) Maturity Distribution of Fixed Maturities

The distribution of fixed maturities underlying the funds held – directly managed account at December 31, 2015, by contractual maturity date, is shown below (in thousands of U.S. dollars). Actual maturities may differ from contractual maturities because certain borrowers have the right to call or prepay certain obligations with or without call or prepayment penalties.



	Amortized Cost		Fair Value
One year or less	$	72,450	$	73,144
More than one year through five years	187,504		195,500
More than five years through ten years	96,533		100,700
More than ten years	20,125		20,409
Total	$	376,612	$	389,753

The components of the net realized and unrealized investment (losses) gains on the funds held – directly managed account for the years ended December 31, 2015, 2014 and 2013 were as follows (in thousands of U.S. dollars):



	2015			2014			2013
Net realized investment gains on fixed maturities and short-term investments	$	64		$	1,959		$	6,021
Net realized investment gains on other invested assets	472			53			19
Change in net unrealized investment (losses) gains on fixed maturities and short-term investments	(5,774		)	1,938			(24,176		)
Change in net unrealized investment losses on other invested assets	(389		)	(517		)	(3,656		)
Net realized and unrealized investment (losses) gains on funds held – directly managed	$	(5,627	)	$	3,433		$	(21,792	)

(d) Net Investment Income

The components of net investment income underlying the funds held – directly managed account for the years ended December 31, 2015, 2014 and 2013 were as follows (in thousands of U.S. dollars):



	2015			2014			2013
Fixed maturities	$	10,528		$	12,789		$	18,804
Short-term investments and cash and cash equivalents	81			59			1,246
Other	1,776			1,760			1,287
Investment expenses	(709		)	(767		)	(835		)
Net investment income on funds held – directly managed	$	11,676		$	13,841		$	20,502