v2.3.0.15

Investments

9 Months Ended

Sep. 30, 2011

Investments

Investments

NOTE 8. INVESTMENTS

Fixed Maturity Investments Trading

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

(in thousands of U.S. dollars)		September 30, 2011				December 31, 2010
U.S. treasuries		$	428,865			$	761,461
Agencies			127,063				216,963
Non-U.S. government (Sovereign debt)			390,637				157,867
FDIC guaranteed corporate			183,314				388,468
Non-U.S. government-backed corporate			594,573				356,119
Corporate			1,273,432				1,476,029
Agency mortgage-backed			347,387				383,403
Non-agency mortgage-backed			80,503				5,765
Commercial mortgage-backed			247,509				125,705
Asset-backed			14,386				—
Total fixed maturity investments trading, at fair value		$	3,687,669			$	3,871,780

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, 2011		Amortized Cost				Gross Unrealized Gains				Gross Unrealized Losses				Fair Value				Non-Credit Other-Than- Temporary Impairments (1)
(in thousands of U.S. dollars)
Non-U.S. government (Sovereign debt)		$	10,685			$	998			$	(32	)		$	11,651			$	—
Non-U.S. government-backed corporate			313				11				—				324				—
Corporate			20,308				1,297				(595	)			21,010				(147	)
Agency mortgage-backed			15,184				1,243				—				16,427				—
Non-agency mortgage-backed			22,027				2,097				(86	)			24,038				(1,901	)
Commercial mortgage-backed			65,774				5,537				(15	)			71,296				—
Asset-backed			4,992				231				—				5,223				—
Total fixed maturity investments available for sale		$	139,283			$	11,414			$	(728	)		$	149,969			$	(2,048	)

(1) Represents the non-credit component of other-than-temporary impairments recognized in accumulated other comprehensive income since the adoption of guidance related to the recognition and presentation of other-than-temporary impairments under FASB ASC Topic Investments - Debt and Equity Securities, during the second quarter of 2009, adjusted for subsequent sales of securities. It does not include the change in fair value subsequent to the impairment measurement date.

						Included in Accumulated Other Comprehensive Income
December 31, 2010		Amortized Cost				Gross Unrealized Gains				Gross Unrealized Losses				Fair Value				Non-Credit Other-Than- Temporary Impairments (1)
(in thousands of U.S. dollars)
Non-U.S. government (Sovereign debt)		$	23,836			$	2,830			$	(146	)		$	26,520			$	—
Non-U.S. government-backed corporate			1,332				53				—				1,385				—
Corporate			33,018				3,768				(404	)			36,382				(1,818	)
Agency mortgage-backed			17,159				1,245				—				18,404				—
Non-agency mortgage-backed			24,972				3,452				(40	)			28,384				(2,063	)
Commercial mortgage-backed			86,194				7,570				(29	)			93,735				—
Asset-backed			39,038				1,124				(55	)			40,107				(598	)
Total fixed maturity investments available for sale		$	225,549			$	20,042			$	(674	)		$	244,917			$	(4,479	)

(1) Represents the non-credit component of other-than-temporary impairments recognized in accumulated other comprehensive income since the adoption of guidance related to the recognition and presentation of other-than-temporary impairments under FASB ASC Topic Investments - Debt and Equity Securities, during the second quarter of 2009, 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 as follows. 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, 2011		Amortized Cost				Fair Value				Amortized Cost				Fair Value				Amortized Cost				Fair Value
(in thousands of U.S. dollars)
Due in less than one year		$	167,947			$	168,432			$	174			$	125			$	168,121			$	168,557
Due after one through five years			1,876,919				1,880,559				11,869				12,857				1,888,788				1,893,416
Due after five through ten years			815,283				817,714				13,172				13,482				828,455				831,196
Due after ten years			127,583				131,180				6,090				6,520				133,673				137,700
Mortgage-backed			669,592				675,399				102,985				111,761				772,577				787,160
Asset-backed			14,404				14,385				4,993				5,224				19,397				19,609
Total		$	3,671,728			$	3,687,669			$	139,283			$	149,969			$	3,811,011			$	3,837,638

Equity Investments Trading

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

(in thousands of U.S. dollars)		September 30, 2011				December 31, 2010
Financial institution securities		$	45,607			$	—

Pledged Investments

At September 30, 2011, $895.5 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 principal letter of credit facility. Of this amount, $78.9 million is on deposit with, or in trust accounts for the benefit of, U.S. state regulatory authorities.

Net Investment (Loss) Income

The components of net investment (loss) income are as follows:

Three months ended September 30,		2011				2010
(in thousands of U.S. dollars)
Fixed maturity investments		$	11,435			$	35,219
Short term investments			281				635
Equity investments trading			171				—
Other investments
Hedge funds and private equity investments			(25,702	)			7,491
Other			(11,665	)			18,979
Cash and cash equivalents			66				74
			(25,414	)			62,398
Investment expenses			(2,526	)			(2,828	)
Net investment (loss) income		$	(27,940	)		$	59,570

Nine months ended September 30,		2011				2010
(in thousands of U.S. dollars)
Fixed maturity investments		$	63,774			$	92,108
Short term investments			1,309				1,803
Equity investments trading			297				—
Other investments
Hedge funds and private equity investments			6,035				33,215
Other			2,000				32,013
Cash and cash equivalents			152				157
			73,567				159,296
Investment expenses			(7,898	)			(7,844	)
Net investment income		$	65,669			$	151,452

The Company's net realized and unrealized gains on investments and net other-than-temporary impairments are as follows:

Three months ended September 30,		2011				2010
(in thousands of U.S. dollars)
Gross realized gains		$	38,054			$	30,959
Gross realized losses			(6,099	)			(748	)
Net realized gains on fixed maturity investments			31,955				30,211
Net unrealized (losses) gains on fixed maturity investments trading			(13,007	)			62,131
Net unrealized losses on equity investments trading			(1,965	)			—
Net realized and unrealized gains on investments		$	16,983			$	92,342
Total other-than-temporary impairments		$	(498	)		$	—
Portion recognized in other comprehensive income, before taxes			49				—
Net other-than-temporary impairments		$	(449	)		$	—

Nine months ended September 30,		2011				2010
(in thousands of U.S. dollars)
Gross realized gains		$	64,046			$	108,560
Gross realized losses			(22,872	)			(11,880	)
Net realized gains on fixed maturity investments			41,174				96,680
Net unrealized gains on fixed maturity investments trading			7,963				113,913
Net unrealized losses on equity investments trading			(2,389	)			—
Net realized and unrealized gains on investments		$	46,748			$	210,593
Total other-than-temporary impairments		$	(498	)		$	(831	)
Portion recognized in other comprehensive income, before taxes			49				2
Net other-than-temporary impairments		$	(449	)		$	(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
September 30, 2011		Fair Value				Unrealized Losses				Fair Value				Unrealized Losses				Fair Value				Unrealized Losses
(in thousands of U.S. dollars)
Non-U.S. government (Sovereign debt)		$	1,442			$	(30	)		$	44			$	(2	)		$	1,486			$	(32	)
Corporate			6,887				(334	)			572				(261	)			7,459				(595	)
Non-agency mortgage-backed			4,238				(33	)			850				(53	)			5,088				(86	)
Commercial mortgage-backed			3,374				(13	)			470				(2	)			3,844				(15	)
Total		$	15,941			$	(410	)		$	1,936			$	(318	)		$	17,877			$	(728	)
		Less than 12 Months								12 Months or Greater								Total
December 31, 2010		Fair Value				Unrealized Losses				Fair Value				Unrealized Losses				Fair Value				Unrealized Losses
(in thousands of U.S. dollars)
Non-U.S. government (Sovereign debt)		$	2,363			$	(129	)		$	291			$	(17	)		$	2,654			$	(146	)
Corporate			2,581				(285	)			801				(119	)			3,382				(404	)
Non-agency mortgage-backed			—				—				1,645				(40	)			1,645				(40	)
Commercial mortgage-backed			2,199				(29	)			—				—				2,199				(29	)
Asset-backed			3,172				(39	)			3,196				(16	)			6,368				(55	)
Total		$	10,315			$	(482	)		$	5,933			$	(192	)		$	16,248			$	(674	)

At September 30, 2011, the Company held 24 fixed maturity investments available for sale securities that were in an unrealized loss position for twelve months or greater. 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 investments for the nine months ended September 30, 2011 and 2010, respectively, in order to determine whether declines in the fair value below the amortized cost basis of its fixed maturity investments available for sale 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 are less than the amortized cost basis of the security.

In assessing the Company's intent to sell securities, the Company's procedures may include actions such as discussing planned sales with its third party investment managers, reviewing sales that have occurred shortly after the balance sheet date, and consideration of other qualitative factors that may be indicative of the Company's intent to sell or hold the relevant securities. For the nine months ended September 30, 2011, the Company recognized $Nil of other-than-temporary impairments due to the Company's intent to sell securities as of September 30, 2011 (September 30, 2010 - $Nil).

In assessing whether it is more likely than not that the Company will be required to sell a security before its anticipated recovery, the Company considers various factors including its future cash flow forecasts and requirements, legal and regulatory requirements, the level of its cash, cash equivalents, short term investments, fixed maturity investments trading and fixed maturity investments available for sale in an unrealized gain position, and other relevant factors. For the nine months ended September 30, 2011, the Company recognized $Nil of other-than-temporary impairments due to required sales (September 30, 2010 - $Nil).

In evaluating credit losses, the Company considers a variety of factors in the assessment of a security including: (i) the time period during which there has been a significant decline below cost; (ii) the extent of the decline below cost and par; (iii) the potential for the security to recover in value; (iv) an analysis of the financial condition of the issuer; (v) the rating of the issuer; (vi) the implied rating of the issuer based on an analysis of option adjusted spreads; (vii) the absolute level of the option adjusted spread for the issuer; and (viii) an analysis of the collateral structure and credit support of the security, if applicable.

Once the Company determines that it is possible that a credit loss may exist for a security, the Company performs a detailed review of the cash flows expected to be collected from the issuer. The Company estimates expected cash flows by applying estimated default probabilities and recovery rates to the contractual cash flows of the issuer, with such default and recovery rates reflecting long-term historical averages adjusted to reflect current credit, economic and market conditions, giving due consideration to collateral and credit support, if applicable, and discounting the expected cash flows at the purchase yield on the security. In instances in which a determination is made that an impairment exists but the Company does not intend to sell the security and it is not more likely than not that the Company will be required to sell the security before the anticipated recovery of its remaining amortized cost basis, the impairment is separated into: (i) the amount of the total other-than-temporary impairment related to the credit loss; and (ii) the amount of the total other-than-temporary impairment related to all other factors. The amount of the other-than-temporary impairment related to the credit loss is recognized in earnings. The amount of the other-than-temporary impairment related to all other factors is recognized in other comprehensive income. For the nine months ended September 30, 2011 and 2010, the Company recognized $0.4 million and $0.8 million of credit related other-than-temporary impairments, respectively, which were recognized in earnings and $49 thousand and $2 thousand, respectively, related to other factors.

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:

			0,0000				0,0000
Three months ended September 30,		2011				2010
(in thousands of U.S. dollars)
Balance - July 1		$	2,629			$	3,598
Additions:
Amount related to credit loss for which an other-than-temporary impairment was not previously recognized			30				—
Amount related to credit loss for which an other-than-temporary impairment was previously recognized			134				—
Reductions:
Securities sold during the period			(2,256	)			—
Securities for which the amount previously recognized in other comprehensive income was recognized in earnings, because the Company intends to sell the security or is more likely than not the Company will be required to sell the security			—				—
Increases in cash flows expected to be collected that are recognized over the remaining life of the security			—				—
Balance - September 30		$	537			$	3,598
			0,0000				0,0000
Nine months ended September 30,		2011				2010
(in thousands of U.S. dollars)
Balance - January 1		$	3,098			$	9,987
Additions:
Amount related to credit loss for which an other-than-temporary impairment was not previously recognized			30				—
Amount related to credit loss for which an other-than-temporary impairment was previously recognized			134				70
Reductions:
Securities sold during the period			(2,725	)			(6,459	)
Securities for which the amount previously recognized in other comprehensive income was recognized in earnings, because the Company intends to sell the security or is more likely than not the Company will be required to sell the security			—				—
Increases in cash flows expected to be collected that are recognized over the remaining life of the security			—				—
Balance - September 30		$	537			$	3,598

X

- Details

Name:	us-gaap_InvestmentsAbstract
Namespace Prefix:	us-gaap
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of investments in certain debt and equity securities (and certain other trading assets) which include all debt and equity securities (other than those equity securities accounted for under the equity or cost methods of accounting) with readily determinable fair values. Other trading assets include assets that are carried on the balance sheet at fair value and held for trading purposes. A debt security represents a creditor relationship with an enterprise that is in the form of a security. Debt securities include, among other items, US Treasury securities, US government securities, municipal securities, corporate bonds, convertible debt, commercial paper, and all securitized debt instruments. An equity security represents an ownership interest in an enterprise or the right to acquire or dispose of an ownership interest in an enterprise at fixed or determinable prices. Equity securities include, among other things, common stock, certain preferred stock, warrant rights, call options, and put options, but do not include convertible debt. An entity may opt to provide the reader with additional narrative text to better understand the nature of investments in debt and equity securities (and other trading assets).

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 320

-SubTopic 10

-Section 50

-Paragraph 10

-URI http://asc.fasb.org/extlink&oid=6872113&loc=d3e27405-111563



Reference 2: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 310

-SubTopic 30

-Section 50

-Paragraph 2

-URI http://asc.fasb.org/extlink&oid=6379141&loc=d3e15032-111544



Reference 3: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Glossary Equity Security

-URI http://asc.fasb.org/extlink&oid=6511694

-Topic 320



Reference 4: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 320

-SubTopic 10

-Section 50

-Paragraph 2

-URI http://asc.fasb.org/extlink&oid=6872113&loc=d3e27161-111563



Reference 5: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Glossary Debt Security

-URI http://asc.fasb.org/extlink&oid=6509901

-Topic 320



Reference 6: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 115

-Paragraph 3, 19, 20, 21, 22, 137

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.



Reference 7: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 320

-SubTopic 10

-Section 50

-Paragraph 5

-URI http://asc.fasb.org/extlink&oid=6872113&loc=d3e27232-111563



Reference 8: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 320

-SubTopic 10

-Section 50

-Paragraph 9

-URI http://asc.fasb.org/extlink&oid=6872113&loc=d3e27357-111563



Reference 9: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 942

-SubTopic 320

-Section 50

-Paragraph 2

-URI http://asc.fasb.org/extlink&oid=6957658&loc=d3e62557-112803



Reference 10: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 320

-SubTopic 10

-Section 50

-Paragraph 6

-URI http://asc.fasb.org/extlink&oid=6872113&loc=d3e27290-111563

+ Details

Name:	us-gaap_InvestmentsInDebtAndMarketableEquitySecuritiesAndCertainTradingAssetsDisclosureTextBlock
Namespace Prefix:	us-gaap
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration