v2.3.0.15

Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2011

Fair Value Measurements

Assets And Liabilities Measured At Fair Value On A Recurring Basis

September 30, 2011		Total				Level 1				Level 2				Level 3
(in thousands of U.S. dollars)
Fixed maturity investments
U.S. treasuries		$	428,865			$	428,865			$	—			$	—
Agencies			127,063				—				127,063				—
Non-U.S. government (Sovereign debt)			402,288				—				402,288				—
FDIC guaranteed corporate			183,314				—				183,314				—
Non-U.S. government-backed corporate			594,897				—				594,897				—
Corporate			1,294,442				—				1,273,528				20,914
Agency mortgage-backed			363,814				—				363,814				—
Non-agency mortgage-backed			104,541				—				104,541				—
Commercial mortgage-backed			318,805				—				318,805				—
Asset-backed			19,609				—				19,609				—
Total fixed maturity investments			3,837,638				428,865				3,387,859				20,914
Short term investments			1,557,937				—				1,557,937				—
Equity investments trading			45,607				45,607				—				—
Other investments
Private equity partnerships			345,986				—				—				345,986
Senior secured bank loan funds			243,766				—				231,251				12,515
Catastrophe bonds			85,800				—				85,619				181
Non-U.S. fixed income funds			29,440				—				29,440				—
Hedge funds			26,810				—				26,810				—
Miscellaneous other investments			4,955				—				—				4,955
Total other investments			736,757				—				373,120				363,637
Other assets and (liabilities)
Assumed and ceded (re)insurance contracts			4,418				—				—				4,418
Derivatives			2,720				(773	)			950				2,543
Other			13,375				(4,241	)			—				17,616
Total other assets and (liabilities)			20,513				(5,014	)			950				24,577
		$	6,198,452			$	469,458			$	5,319,866			$	409,128

December 31, 2010		Total				Level 1				Level 2				Level 3
(in thousands of U.S. dollars)
Fixed maturity investments
U.S. treasuries		$	761,461			$	761,461			$	—			$	—
Agencies			216,963				—				216,963				—
Non-U.S. government (Sovereign debt)			184,387				—				184,387				—
FDIC guaranteed corporate			388,468				—				388,468				—
Non-U.S. government-backed corporate			357,504				—				357,504				—
Corporate			1,512,411				—				1,490,626				21,785
Agency mortgage-backed			401,807				—				401,807				—
Non-agency mortgage-backed			34,149				—				34,149				—
Commercial mortgage-backed			219,440				—				219,440				—
Asset-backed			40,107				—				40,107				—
Total fixed maturity investments			4,116,697				761,461				3,333,451				21,785
Short term investments			1,110,364				—				1,110,364				—
Other investments
Private equity partnerships			347,556				—				—				347,556
Senior secured bank loan funds			166,106				—				158,386				7,720
Catastrophe bonds			123,961				—				123,961				—
Non-U.S. fixed income funds			80,224				—				80,224				—
Hedge funds			41,005				—				41,005				—
Miscellaneous other investments			28,696				—				21,870				6,826
Total other investments			787,548				—				425,446				362,102
Other secured assets			14,250				—				14,250				—
Other assets and (liabilities)
Platinum warrants			44,925				—				44,925				—
Assumed and ceded (re)insurance contracts			1,772				—				—				1,772
Derivatives			2,693				(51	)			6,245				(3,501	)
Other			13,629				(4,599	)			—				18,228
Total other assets and (liabilities)			63,019				(4,650	)			51,170				16,499
		$	6,091,878			$	756,811			$	4,934,681			$	400,386

Assets And Liabilities Measured At Fair Value On A Recurring Basis Using Level 3 Inputs

		Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
Three months ended September 30, 2011		Fixed maturity investments trading				Other investments				Other assets and (liabilities)				Total
(in thousands of U.S. dollars)
Balance - July 1		$	21,264			$	381,123			$	72,992			$	475,379
Total unrealized losses
Included in net investment (loss) income			(350	)			(25,262	)			—				(25,612	)
Included in other (loss) income			—				—				(46,116	)			(46,116	)
Total realized gains
Included in net investment (loss) income			—				—				—				—
Included in other (loss) income			—				—				48,393				48,393
Total foreign exchange losses			—				(2,511	)			(55	)			(2,566	)
Purchases			—				19,460				26,224				45,684
Sales			—				—				(19,860	)			(19,860	)
Settlements			—				(9,173	)			(57,001	)			(66,174	)
Net transfers in and/or out of Level 3			—				—				—				—
Balance - September 30		$	20,914			$	363,637			$	24,577			$	409,128

		Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
Nine months ended September 30, 2011		Fixed maturity investments trading				Other investments				Other assets and (liabilities)				Total
(in thousands of U.S. dollars)
Balance - January 1		$	21,785			$	362,102			$	16,499			$	400,386
Total unrealized (losses) gains
Included in net investment (loss) income			(871	)			4,630				—				3,759
Included in other (loss) income			—				—				(4,517	)			(4,517	)
Total realized gains
Included in net investment (loss) income			—				—				—				—
Included in other (loss) income			—				—				61,215				61,215
Total foreign exchange losses			—				(589	)			(197	)			(786	)
Purchases			—				48,144				36,839				84,983
Sales			—				—				(30,884	)			(30,884	)
Settlements			—				(50,650	)			(54,378	)			(105,028	)
Net transfers in and/or out of Level 3			—				—				—				—
Balance - September 30		$	20,914			$	363,637			$	24,577			$	409,128

		Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
Three months ended September 30, 2010		Other investments				Other assets and (liabilities)				Total
(in thousands of U.S. dollars)
Balance - July 1		$	314,663			$	15,153			$	329,816
Total unrealized losses
Included in net investment (loss) income			156				—				156
Included in other (loss) income			—				(6,496	)			(6,496	)
Total realized gains
Included in net investment (loss) income			—				—				—
Included in other (loss) income			—				18,237				18,237
Total foreign exchange losses			2,354				(16	)			2,338
Purchases			31,727				8,147				39,874
Issuances			—				(12,181	)			(12,181	)
Settlements			(15,035	)			(10,396	)			(25,431	)
Net transfers in and/or out of Level 3			—				—				—
Balance - September 30		$	333,865			$	12,448			$	346,313

		Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
Nine months ended September 30, 2010		Other investments				Other assets and (liabilities)				Total
(in thousands of U.S. dollars)
Balance - January 1		$	393,913			$	17,026			$	410,939
Total unrealized losses
Included in net investment (loss) income			3,323				—				3,323
Included in other (loss) income			—				(6,482	)			(6,482	)
Total realized gains
Included in net investment (loss) income			—				—				—
Included in other (loss) income			—				31,349				31,349
Total foreign exchange losses			(912	)			(717	)			(1,629	)
Purchases			51,401				12,448				63,849
Issuances			—				(39,414	)			(39,414	)
Settlements			(113,860	)			(1,762	)			(115,622	)
Net transfers in and/or out of Level 3			—				—				—
Balance - September 30		$	333,865			$	12,448			$	346,313

Summary Of The Balances Company Has Elected To Account For At Fair Value

(in thousands of U.S. dollars)		September 30, 2011				December 31, 2010
Other investments		$	736,757			$	787,548
Other secured assets		$	—			$	14,250
Other assets and (liabilities)		$	22,034			$	20,000

Company's Portfolio Of Other Investments Measured Using Net Asset Valuations

September 30, 2011		Fair Value				Unfunded Commitments				Redemption Frequency		Redemption Notice Period
(in thousands of U.S. dollars)
Private equity partnerships		$	345,986			$	155,373			See below		See below
Senior secured bank loan funds			243,766				12,050			See below		See below
Non-U.S. fixed income funds			29,440				—			Monthly, bi-monthly		5 - 20 days
Hedge funds			26,810				—			Annually, bi-annually		45 - 90 days
Total other investments measured using net asset valuations		$	646,002			$	167,423

X

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income, and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issuances, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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Tabular disclosure of the fair value of investees that calculate net asset value per share (including by unit, membership interest, or other equity (ownership interest) unit measure) (alternative investments), whether measured at fair value on a recurring or nonrecurring basis, by major category of assets and liabilities (as defined), including, for example, (i) fair value measurements at the reporting date, (ii) the level within the fair value hierarchy in which the fair value measurements fall, (iii) a reconciliation of beginning and ending balances for those alternative investments that are measured at fair value using unobservable inputs (Level 3 - fair value hierarchy fair value measurement inputs), (iv) the inputs and valuation techniques used to measure fair value, (v) a discussion of changes to valuation techniques and inputs, if any, during the period, (vi) a description of the nature and risk associated with the alternative investments, and (vii) a discussion of the probability that any of the alternative investments are to be sold.

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Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, provide the aggregate carrying amount of ineligible items included in each line item in the balance sheet, if any; (b) the difference between the aggregate fair value and the aggregate unpaid principal balance (assuming contractual principal amounts and fair value option elected) of: (i) loans and long-term receivables (other than securities otherwise reported at fair value) and (ii) long-term debt instruments; (c) for loans held as assets for which the fair value option has been elected: (i) the aggregate fair value of loans that are 90 days or more past due, (ii) if the policy is to recognize interest income separately from other changes in fair value, the aggregate fair value of loans in nonaccrual status, and (iii) the difference between the aggregate fair value and the aggregate unpaid principal balance for loans that are 90 days or more past due, in nonaccrual status, or both; (2) for items included in the income statement: (a) the amounts of gains and losses from fair value changes included in earnings and in which line in the income statement those gains and losses are reported whether or not combined with gains and losses from items required to be accounted for at fair value; (b) for loans and other receivables held as assets, the estimated amount of gains or losses included in earnings attributable to changes in instrument-specific credit risk; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk, the estimated amount of gains and losses from fair value changes included in earnings that are attributable to changes in the instrument-specific credit risk; and (3) certain other disclosures as required or determined to be provided.

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