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Investments (Tables)
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6 Months Ended |
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Jun. 30, 2012
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| Investments [Abstract] |
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| Schedule Of Fair Value Of Fixed Maturity Investments Trading |
The following table summarizes the fair value of fixed maturity investments trading: | | | | | | | | | | | | | | | | | | | June 30,
2012 | | December 31,
2011 | | | U.S. treasuries | $ | 1,126,759 |
| | $ | 885,152 |
| | | Agencies | 436,691 |
| | 158,561 |
| | | Non-U.S. government (Sovereign debt) | 172,008 |
| | 216,916 |
| | | FDIC guaranteed corporate | 29,386 |
| | 423,630 |
| | | Non-U.S. government-backed corporate | 393,875 |
| | 640,757 |
| | | Corporate | 1,652,007 |
| | 1,187,437 |
| | | Agency mortgage-backed | 580,971 |
| | 428,042 |
| | | Non-agency mortgage-backed | 135,268 |
| | 82,096 |
| | | Commercial mortgage-backed | 414,524 |
| | 255,885 |
| | | Asset-backed | 7,466 |
| | 12,989 |
| | | Total fixed maturity investments trading | $ | 4,948,955 |
| | $ | 4,291,465 |
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| Schedule Of Fair Value Of 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 | | | | | | | At June 30, 2012 | Amortized Cost | | Gross Unrealized Gains | | Gross Unrealized Losses | | Fair Value | | Non-Credit Other-Than- Temporary Impairments (1) | | | Non-U.S. government (Sovereign debt) | $ | 5,000 |
| | $ | 223 |
| | $ | — |
| | $ | 5,223 |
| | $ | — |
| | | Corporate | 11,815 |
| | 1,010 |
| | (110 | ) | | 12,715 |
| | 75 |
| | | Agency mortgage-backed | 10,478 |
| | 906 |
| | — |
| | 11,384 |
| | — |
| | | Non-agency mortgage-backed | 15,929 |
| | 2,496 |
| | (19 | ) | | 18,406 |
| | 891 |
| | | Commercial mortgage-backed | 48,926 |
| | 6,717 |
| | — |
| | 55,643 |
| | — |
| | | Asset-backed | 4,499 |
| | 232 |
| | — |
| | 4,731 |
| | — |
| | | Total fixed maturity investments available for sale | $ | 96,647 |
| | $ | 11,584 |
| | $ | (129 | ) | | $ | 108,102 |
| | $ | 966 |
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| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Included in Accumulated Other Comprehensive Income | | | | | | | At December 31, 2011 | Amortized Cost | | Gross Unrealized Gains | | Gross Unrealized Losses | | Fair Value | | Non-Credit Other-Than- Temporary Impairments (1) | | | Non-U.S. government (Sovereign debt) | $ | 10,087 |
| | $ | 921 |
| | $ | (12 | ) | | $ | 10,996 |
| | $ | — |
| | | Non-U.S. government-backed corporate | 312 |
| | 13 |
| | — |
| | 325 |
| | — |
| | | Corporate | 18,449 |
| | 1,535 |
| | (517 | ) | | 19,467 |
| | (176 | ) | | | Agency mortgage-backed | 12,636 |
| | 1,071 |
| | — |
| | 13,707 |
| | — |
| | | Non-agency mortgage-backed | 21,097 |
| | 1,862 |
| | (284 | ) | | 22,675 |
| | (1,837 | ) | | | Commercial mortgage-backed | 63,269 |
| | 6,576 |
| | (1 | ) | | 69,844 |
| | — |
| | | Asset-backed | 4,819 |
| | 219 |
| | — |
| | 5,038 |
| | — |
| | | Total fixed maturity investments available for sale | $ | 130,669 |
| | $ | 12,197 |
| | $ | (814 | ) | | $ | 142,052 |
| | $ | (2,013 | ) | | | | | | | | | | | | | |
| | (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 Financial Instruments – 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. |
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| Schedule Of Contractual Maturities Of Fixed Maturity Investments |
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 | | | At June 30, 2012 | Amortized Cost | | Fair Value | | Amortized Cost | | Fair Value | | Amortized Cost | | Fair Value | | | Due in less than one year | $ | 405,210 |
| | $ | 405,547 |
| | $ | 112 |
| | $ | 89 |
| | $ | 405,322 |
| | $ | 405,636 |
| | | Due after one through five years | 2,606,528 |
| | 2,615,915 |
| | 8,358 |
| | 8,761 |
| | 2,614,886 |
| | 2,624,676 |
| | | Due after five through ten years | 625,279 |
| | 646,130 |
| | 6,200 |
| | 6,779 |
| | 631,479 |
| | 652,909 |
| | | Due after ten years | 130,574 |
| | 143,134 |
| | 2,145 |
| | 2,309 |
| | 132,719 |
| | 145,443 |
| | | Mortgage-backed | 1,115,304 |
| | 1,130,763 |
| | 75,333 |
| | 85,433 |
| | 1,190,637 |
| | 1,216,196 |
| | | Asset-backed | 7,356 |
| | 7,466 |
| | 4,499 |
| | 4,731 |
| | 11,855 |
| | 12,197 |
| | | Total | $ | 4,890,251 |
| | $ | 4,948,955 |
| | $ | 96,647 |
| | $ | 108,102 |
| | $ | 4,986,898 |
| | $ | 5,057,057 |
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| Schedule Of Fair Value Of Equity Investments Trading |
The following table summarizes the fair value of equity investments trading: | | | | | | | | | | | | | | | | | | | June 30,
2012 | | December 31,
2011 | | | Financial institution securities | $ | 55,381 |
| | $ | 50,560 |
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| Schedule Of Net Investment Income |
The components of net investment income are as follows: | | | | | | | | | | | | | | | | | | Three months ended June 30, | 2012 | | 2011 | | | Fixed maturity investments | $ | 22,436 |
| | $ | 24,426 |
| | | Short term investments | 234 |
| | 433 |
| | | Equity investments | 181 |
| | 112 |
| | | Other investments | | | | | | Hedge funds and private equity investments | (10,413 | ) | | 8,230 |
| | | Other | 4,975 |
| | 2,838 |
| | | Cash and cash equivalents | 54 |
| | 45 |
| | | | 17,467 |
| | 36,084 |
| | | Investment expenses | (2,724 | ) | | (2,756 | ) | | | Net investment income | $ | 14,743 |
| | $ | 33,328 |
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| | | | | | | | | | | | | | | | | | Six months ended June 30, | 2012 | | 2011 | | | Fixed maturity investments | $ | 48,769 |
| | $ | 52,339 |
| | | Short term investments | 734 |
| | 1,028 |
| | | Equity investments | 351 |
| | 126 |
| | | Other investments | | | | | | Hedge funds and private equity investments | 18,060 |
| | 31,737 |
| | | Other | 19,145 |
| | 13,665 |
| | | Cash and cash equivalents | 80 |
| | 86 |
| | | | 87,139 |
| | 98,981 |
| | | Investment expenses | (5,425 | ) | | (5,372 | ) | | | Net investment income | $ | 81,714 |
| | $ | 93,609 |
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| Schedule Of Net Realized And Unrealized Gains On Investments And Net Other-Than-Temporary Impairments |
Net realized and unrealized gains on investments and net other-than-temporary impairments are as follows: | | | | | | | | | | | | | | | | | | Three months ended June 30, | 2012 | | 2011 | | | Gross realized gains | $ | 19,458 |
| | $ | 15,430 |
| | | Gross realized losses | (3,294 | ) | | (4,156 | ) | | | Net realized gains on fixed maturity investments | 16,164 |
| | 11,274 |
| | | Net unrealized gains on fixed maturity investments trading | 12,538 |
| | 24,728 |
| | | Net unrealized gains (losses) on equity investments trading | 2,301 |
| | (1,023 | ) | | | Net realized and unrealized gains on investments | $ | 31,003 |
| | $ | 34,979 |
| | | Total other-than-temporary impairments | $ | (234 | ) | | $ | — |
| | | Portion recognized in other comprehensive income, before taxes | 25 |
| | — |
| | | Net other-than-temporary impairments | $ | (209 | ) | | $ | — |
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| | | | | | | | | | | | | | | | | | Six months ended June 30, | 2012 | | 2011 | | | Gross realized gains | $ | 55,744 |
| | $ | 25,992 |
| | | Gross realized losses | (10,244 | ) | | (16,773 | ) | | | Net realized gains on fixed maturity investments | 45,500 |
| | 9,219 |
| | | Net unrealized gains on fixed maturity investments trading | 26,795 |
| | 20,970 |
| | | Net unrealized gains on equity investments trading | 4,821 |
| | (424 | ) | | | Net realized and unrealized gains on investments | $ | 77,116 |
| | $ | 29,765 |
| | | Total other-than-temporary impairments | $ | (395 | ) | | $ | — |
| | | Portion recognized in other comprehensive income, before taxes | 52 |
| | — |
| | | Net other-than-temporary impairments | $ | (343 | ) | | $ | — |
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| Schedule Of Fixed Maturity Investments Available For Sale In Continual Unrealized Loss Position |
The following table provides 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 | | | At June 30, 2012 | Fair Value | | Unrealized Losses | | Fair Value | | Unrealized Losses | | Fair Value | | Unrealized Losses | | | Corporate | $ | 1,424 |
| | $ | (49 | ) | | $ | 513 |
| | $ | (61 | ) | | $ | 1,937 |
| | $ | (110 | ) | | | Non-agency mortgage-backed | — |
| | — |
| | 98 |
| | (19 | ) | | 98 |
| | (19 | ) | | | Total | $ | 1,424 |
| | $ | (49 | ) | | $ | 611 |
| | $ | (80 | ) | | $ | 2,035 |
| | $ | (129 | ) | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Less than 12 Months | | 12 Months or Greater | | Total | | | At December 31, 2011 | Fair Value | | Unrealized Losses | | Fair Value | | Unrealized Losses | | Fair Value | | Unrealized Losses | | | Non-U.S. government (Sovereign debt) | $ | 915 |
| | $ | (9 | ) | | $ | 42 |
| | $ | (3 | ) | | $ | 957 |
| | $ | (12 | ) | | | Corporate | 3,935 |
| | (385 | ) | | 412 |
| | (132 | ) | | 4,347 |
| | (517 | ) | | | Non-agency mortgage-backed | 8,024 |
| | (224 | ) | | 798 |
| | (60 | ) | | 8,822 |
| | (284 | ) | | | Commercial mortgage-backed | — |
| | — |
| | 455 |
| | (1 | ) | | 455 |
| | (1 | ) | | | Total | $ | 12,874 |
| | $ | (618 | ) | | $ | 1,707 |
| | $ | (196 | ) | | $ | 14,581 |
| | $ | (814 | ) | | | | | | | | | | | | | | | |
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| 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 |
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: | | | | | | | | | | | | | | | | | | | 2012 | | 2011 | | | Balance – April 1 | $ | 520 |
| | $ | 2,875 |
| | | Additions: | | | | | | Amount related to credit loss for which an other-than-temporary impairment was not previously recognized | 11 |
| | — |
| | | Amount related to credit loss for which an other-than-temporary impairment was previously recognized | 41 |
| | — |
| | | Reductions: | | | | | | Securities sold during the period | (396 | ) | | (246 | ) | | | 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 – June 30 | $ | 176 |
| | $ | 2,629 |
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| | | | | | | | | | | | | | | | | | | 2012 | | 2011 | | | Balance – January 1 | $ | 564 |
| | $ | 3,098 |
| | | Additions: | | | | | | Amount related to credit loss for which an other-than-temporary impairment was not previously recognized | 11 |
| | — |
| | | Amount related to credit loss for which an other-than-temporary impairment was previously recognized | 50 |
| | — |
| | | Reductions: | | | | | | Securities sold during the period | (449 | ) | | (469 | ) | | | 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 – June 30 | $ | 176 |
| | $ | 2,629 |
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