v2.4.0.6

INVESTMENTS | 12 Months Ended
--- | ---
Dec. 31, 2011
INVESTMENTS [Abstract] |
INVESTMENTS [Text Block] | 5. INVESTMENTS
a) Fixed Maturities and Equities |  |  |  |  |  |  |  |  |  |  |  |  |
The amortized cost or cost and fair values of our fixed maturities and equities were as follows:
|  |  |  | Amortized |  |  | Gross |  |  | Gross |  |  |  |  |  | Non-credit |
|  |  |  | Cost or |  |  | Unrealized |  |  | Unrealized |  |  | Fair |  |  | OTTI |
|  |  | Cost |  |  | Gains |  |  | Losses |  |  | Value |  |  | in AOCI(5) |
| At December 31, 2011 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | U.S. government and agency | $ | 1,142,732 |  | $ | 5,669 |  | $ | (134) |  | $ | 1,148,267 |  | $ | - |
|  | Non-U.S. government |  | 1,241,664 |  |  | 7,359 |  |  | (36,572) |  |  | 1,212,451 |  |  | - |
|  | Corporate debt |  | 3,581,320 |  |  | 85,766 |  |  | (57,495) |  |  | 3,609,591 |  |  | - |
|  | Agency RMBS(1) |  | 2,568,053 |  |  | 69,073 |  |  | (492) |  |  | 2,636,634 |  |  | - |
|  | CMBS(2) |  | 298,138 |  |  | 14,816 |  |  | (263) |  |  | 312,691 |  |  | - |
|  | Non-Agency RMBS |  | 177,529 |  |  | 1,431 |  |  | (13,247) |  |  | 165,713 |  |  | (1,120) |
|  | ABS(3) |  | 639,949 |  |  | 7,094 |  |  | (15,001) |  |  | 632,042 |  |  | - |
|  | Municipals(4) |  | 1,171,953 |  |  | 52,438 |  |  | (1,680) |  |  | 1,222,711 |  |  | - |
|  | Total fixed maturities | $ | 10,821,338 |  | $ | 243,646 |  | $ | (124,884) |  | $ | 10,940,100 |  | $ | (1,120) |
| Equity securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Common stocks |  | 341,603 |  |  | 25,143 |  |  | (19,291) |  |  | 347,455 |  |  |  |
|  | Exchange-traded funds |  | 239,411 |  |  | 77 |  |  | (25,507) |  |  | 213,981 |  |  |  |
|  | Foreign bond mutual funds |  | 118,552 |  |  | - |  |  | (2,428) |  |  | 116,124 |  |  |  |
|  | Total equity securities | $ | 699,566 |  | $ | 25,220 |  | $ | (47,226) |  | $ | 677,560 |  |  |  |
| At December 31, 2010 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | U.S. government and agency | $ | 856,711 |  | $ | 7,101 |  | $ | (3,692) |  | $ | 860,120 |  | $ | - |
|  | Non-U.S. government |  | 777,236 |  |  | 9,321 |  |  | (13,759) |  |  | 772,798 |  |  | - |
|  | Corporate debt |  | 4,054,048 |  |  | 144,956 |  |  | (36,096) |  |  | 4,162,908 |  |  | - |
|  | Agency RMBS(1) |  | 2,571,124 |  |  | 43,160 |  |  | (20,702) |  |  | 2,593,582 |  |  | - |
|  | CMBS(2) |  | 454,288 |  |  | 21,998 |  |  | (1,501) |  |  | 474,785 |  |  | - |
|  | Non-Agency RMBS |  | 252,460 |  |  | 3,287 |  |  | (11,545) |  |  | 244,202 |  |  | (7,443) |
|  | ABS(3) |  | 668,037 |  |  | 8,856 |  |  | (15,050) |  |  | 661,843 |  |  | (1,275) |
|  | Municipals(4) |  | 712,339 |  |  | 11,870 |  |  | (11,550) |  |  | 712,659 |  |  | (350) |
|  | Total fixed maturities | $ | 10,346,243 |  | $ | 250,549 |  | $ | (113,895) |  | $ | 10,482,897 |  | $ | (9,068) |
| Equity securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Common stocks |  | 247,693 |  |  | 26,761 |  |  | (3,004) |  |  | 271,450 |  |  |  |
|  | Exchange-traded funds |  | - |  |  | - |  |  | - |  |  | - |  |  |  |
|  | Foreign bond mutual fund |  | 79,514 |  |  | - |  |  | (1,710) |  |  | 77,804 |  |  |  |
|  | Total equity securities | $ | 327,207 |  | $ | 26,761 |  | $ | (4,714) |  | $ | 349,254 |  |  |  |
(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 an insignificant position in 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 ma nage 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, w ithin our other investment s portfolio, we also invest in limited partnerships (hedge and credit funds) and CLO equity tranched securities, which are all variable interests issued by VIEs (see Note 5(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 |  |  | Fair |  | % of Total |
|  |  | Cost |  |  | Value |  | Fair Value |
| At December 31, 2011 |  |  |  |  |  |  |  |  |
| Maturity |  |  |  |  |  |  |  |  |
| Due in one year or less | $ | 543,100 |  | $ | 539,009 |  | 4.9 | % |
| Due after one year through five years |  | 4,694,832 |  |  | 4,685,866 |  | 42.8 | % |
| Due after five years through ten years |  | 1,779,811 |  |  | 1,845,054 |  | 16.9 | % |
| Due after ten years |  | 119,926 |  |  | 123,091 |  | 1.1 | % |
|  |  | 7,137,669 |  |  | 7,193,020 |  | 65.7 | % |
| Agency RMBS |  | 2,568,053 |  |  | 2,636,634 |  | 24.1 | % |
| CMBS |  | 298,138 |  |  | 312,691 |  | 2.9 | % |
| Non-Agency RMBS |  | 177,529 |  |  | 165,713 |  | 1.5 | % |
| ABS |  | 639,949 |  |  | 632,042 |  | 5.8 | % |
| Total | $ | 10,821,338 |  | $ | 10,940,100 |  | 100.0 | % |
| At December 31, 2010 |  |  |  |  |  |  |  |  |
| Maturity |  |  |  |  |  |  |  |  |
| Due in one year or less | $ | 476,807 |  | $ | 489,190 |  | 4.7 | % |
| Due after one year through five years |  | 4,096,477 |  |  | 4,144,144 |  | 39.5 | % |
| Due after five years through ten years |  | 1,605,419 |  |  | 1,655,061 |  | 15.8 | % |
| Due after ten years |  | 221,631 |  |  | 220,090 |  | 2.1 | % |
|  |  | 6,400,334 |  |  | 6,508,485 |  | 62.1 | % |
| Agency RMBS |  | 2,571,124 |  |  | 2,593,582 |  | 24.7 | % |
| CMBS |  | 454,288 |  |  | 474,785 |  | 4.5 | % |
| Non-Agency RMBS |  | 252,460 |  |  | 244,202 |  | 2.4 | % |
| ABS |  | 668,037 |  |  | 661,843 |  | 6.3 | % |
| Total | $ | 10,346,243 |  | $ | 10,482,897 |  | 100.0 | % |
Gross Unrealized Losses |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
The following tables summarize 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 |  |  | Unrealized |  |  | Fair |  |  | Unrealized |  |  | Fair |  |  | Unrealized |
|  |  |  |  | Value |  |  | Losses |  |  | Value |  |  | Losses |  |  | Value |  |  | Losses |
| At December 31, 2011 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| U.S. government and agency | $ | - |  | $ | - |  | $ | 233,816 |  | $ | (134) |  | $ | 233,816 |  | $ | (134) |
| Non-U.S. government |  | - |  |  | - |  |  | 786,034 |  |  | (36,572) |  |  | 786,034 |  |  | (36,572) |
| Corporate debt |  | 54,843 |  |  | (2,437) |  |  | 1,228,479 |  |  | (55,058) |  |  | 1,283,322 |  |  | (57,495) |
| Agency RMBS |  | - |  |  | - |  |  | 105,059 |  |  | (492) |  |  | 105,059 |  |  | (492) |
| CMBS |  | 5,155 |  |  | (17) |  |  | 11,243 |  |  | (246) |  |  | 16,398 |  |  | (263) |
| Non-Agency RMBS | 43,348 |  |  | (8,127) |  |  | 85,053 |  |  | (5,120) |  |  | 128,401 |  |  | (13,247) |
| ABS |  | 65,096 |  |  | (9,497) |  |  | 201,569 |  |  | (5,504) |  |  | 266,665 |  |  | (15,001) |
| Municipals |  | 8,450 |  |  | (1,467) |  |  | 38,590 |  |  | (213) |  |  | 47,040 |  |  | (1,680) |
|  | Total fixed maturities | $ | 176,892 |  | $ | (21,545) |  | $ | 2,689,843 |  | $ | (103,339) |  | $ | 2,866,735 |  | $ | (124,884) |
| Equity securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Common stocks |  | $ | 4,445 |  | $ | (2,105) |  | $ | 124,481 |  | $ | (17,186) |  | $ | 128,926 |  | $ | (19,291) |
|  | Exchange-traded funds |  |  | - |  |  | - |  |  | 212,050 |  |  | (25,507) |  |  | 212,050 |  |  | (25,507) |
|  | Foreign bond mutual funds |  |  | - |  |  | - |  |  | 116,124 |  |  | (2,428) |  |  | 116,124 |  |  | (2,428) |
|  | Total equity securities | $ | 4,445 |  | $ | (2,105) |  | $ | 452,655 |  | $ | (45,121) |  | $ | 457,100 |  | $ | (47,226) |
| At December 31, 2010 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Fixed maturities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| U.S. government and agency | $ | - |  | $ | - |  | $ | 453,207 |  | $ | (3,692) |  | $ | 453,207 |  | $ | (3,692) |
| Non-U.S. government |  | 83,572 |  |  | (6,062) |  |  | 302,431 |  |  | (7,697) |  |  | 386,003 |  |  | (13,759) |
| Corporate debt |  | 160,161 |  |  | (13,123) |  |  | 1,087,683 |  |  | (22,973) |  |  | 1,247,844 |  |  | (36,096) |
| Agency RMBS |  | 735 |  |  | (42) |  |  | 1,308,690 |  |  | (20,660) |  |  | 1,309,425 |  |  | (20,702) |
| CMBS |  | 1,164 |  |  | (59) |  |  | 48,701 |  |  | (1,442) |  |  | 49,865 |  |  | (1,501) |
| Non-Agency RMBS |  |  | 100,074 |  |  | (10,030) |  |  | 57,095 |  |  | (1,515) |  |  | 157,169 |  |  | (11,545) |
| ABS |  | 40,617 |  |  | (12,871) |  |  | 155,491 |  |  | (2,179) |  |  | 196,108 |  |  | (15,050) |
| Municipals |  | 23,681 |  |  | (3,118) |  |  | 288,130 |  |  | (8,432) |  |  | 311,811 |  |  | (11,550) |
|  | Total fixed maturities | $ | 410,004 |  | $ | (45,305) |  | $ | 3,701,428 |  | $ | (68,590) |  | $ | 4,111,432 |  | $ | (113,895) |
| Equity securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Common stocks |  | $ | 4,347 |  | $ | (601) |  | $ | 44,513 |  | $ | (2,403) |  | $ | 48,860 |  | $ | (3,004) |
|  | Exchange-traded funds |  |  | - |  |  | - |  |  | - |  |  | - |  |  | - |  |  | - |
|  | Foreign bond mutual fund |  |  | - |  |  | - |  |  | 77,804 |  |  | (1,710) |  |  | 77,804 |  |  | (1,710) |
|  | Total equity securities | $ | 4,347 |  | $ | (601) |  | $ | 122,317 |  | $ | (4,113) |  | $ | 126,664 |  | $ | (4,714) |
Fixed Maturities At December 31, 2011, 791 fixed maturities (2010: 1,150) were in an unrealized loss position of $1 25 million (2010: $1 1 4 million) of which $18 million (2010: $15 million) was related to securities below investment grade or not rated. At December 31, 2011, 138 securities (2010: 206) have been in a continuous unrealized loss position for 12 months or greater and have a fair value of $177 million (2010: $410 million). Following our credit impairment review, w e concluded that these securities as well as the remaining securities in an unrealized loss position in the above table were temporarily depressed at December 31, 2011, and a re expected to recover in value as the securities approach maturity. Further, at December 31, 2011, 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 December 31, 2011, 128 securities (2010: 71) were in an u nrealized loss position of $4 7 million (2010: $5 million). At December 31, 2011, 1 0 (2010: 12) securities have been in a continuous unrealized loss position for 12 months or greater and have a fair value of $4 million (2010: $4 million). 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 December 31, 2011 and 2010.
b) Other Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |
The following tables provide a breakdown of our investments in hedge and credit funds and CLO equity tranched securities (CLO Equities), together with additional information relating to the liquidity of each category:
|  |  |  |  |  |  |  |  | Redemption Frequency |  | Redemption |  | % Subject |
|  | Fair Value |  |  | (if currently eligible) |  | Notice Period |  | to Lockups |
| At December 31, 2011 |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Multi-strategy funds | $ | 230,750 |  | 33 | % |  |  | Quarterly, Semi-annually |  | 60-95 days |  | - | % |
| Long/short equity funds |  | 214,498 |  | 31 | % |  |  | Quarterly, Semi-annually |  | 30-60 days |  | 13 | % |
| Event-driven funds |  | 118,380 |  | 17 | % |  |  | Quarterly, Annually |  | 45-95 days |  | - | % |
| Leveraged bank loan funds |  | 69,132 |  | 10 | % |  |  | Quarterly |  | 65 days |  | - | % |
| CLO - Equities |  | 66,560 |  | 9 | % |  |  | n/a |  | n/a |  | - | % |
| Total other investments | $ | 699,320 |  | 100 | % |  |  |  |  |  |  | 13 | % |
| At December 31, 2010 |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Multi-strategy funds | $ | 256,392 |  | 49 | % |  |  | Quarterly, Semi-annually |  | 60-95 days |  | 4 | % |
| Leveraged bank loan funds |  | 82,761 |  | 16 | % |  |  | Quarterly, Semi-annually |  | 65-75 days |  | - | % |
| Event-driven funds |  | 73,096 |  | 14 | % |  |  | Quarterly, Annually |  | 45-95 days |  | 4 | % |
| Long/short equity funds |  | 50,784 |  | 10 | % |  |  | Quarterly |  | 45-60 days |  | - | % |
| CLO - Equities |  | 56,263 |  | 11 | % |  |  | n/a |  | n/a |  | - | % |
| Total other investments | $ | 519,296 |  | 100 | % |  |  |  |  |  |  | 8 | % |
n/a - not applicable |  |  |  |  |  |  |  |  |  |  |  |
The investment strategies for the above funds are as follows: Multi-strategy funds: Seek to achieve above-market return s 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. Long/short equity funds: Seek to achieve attractive returns by executing an equity trading strategy involving both long and short investments in publicly-traded equities. 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 ha s limited interest duration exposure. Two common redemption restrictions which may impact our ability to redeem our hedge and credit 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 2011 and 2010, neither of these restrictions impacted our redemption requests. At December 31, 2011, $45 million (2010: $58 million) of our hedge and credit fund investments were invested in funds currently in liquidation (a side pocket or otherwise not accepting redemption requests) or in a period of planned principal distributions. At December 31, 2011 and 2010, we have no unfunded commitments relating to our investments in hedge and credit funds.
c) Net Investment Income |  |  |  |  |  |  |  |  |  |  |  |
Net investment income was derived from the following sources: |
| Year ended December 31, |  |  |  |  | 2011 |  |  | 2010 |  |  | 2009 |
| Fixed maturities |  |  |  | $ | 337,616 |  | $ | 352,357 |  | $ | 385,418 |
| Other investments |  |  |  |  | 31,856 |  |  | 64,765 |  |  | 82,042 |
| Equities |  |  |  |  | 11,186 |  |  | 2,900 |  |  | 3,765 |
| Cash and cash equivalents |  |  |  |  | 5,697 |  |  | 5,836 |  |  | 8,302 |
| Short-term investments |  |  |  |  | 1,592 |  |  | 1,441 |  |  | 651 |
| Gross investment income |  |  |  |  | 387,947 |  |  | 427,299 |  |  | 480,178 |
| Investment expenses |  |  |  |  | (25,517) |  |  | (20,407) |  |  | (15,700) |
| Net investment income |  |  |  | $ | 362,430 |  | $ | 406,892 |  | $ | 464,478 |
d) Net Realized Investment Gains (Losses) |  |  |  |  |  |  |  |  |  |
The following table provides an analysis of net realized investment gains (losses):
| Year ended December 31, |  |  |  | 2011 |  | 2010 |  | 2009 |
| Gross realized gains |  |  |  | $ | 260,288 |  | $ | 326,930 |  | $ | 181,075 |
| Gross realized losses |  |  |  |  | (123,016) |  |  | (116,082) |  |  | (157,102) |
| Net OTTI recognized in earnings |  |  |  |  | (15,861) |  |  | (17,932) |  |  | (337,435) |
| Net realized gains (losses) on fixed maturities and equities |  |  |  |  | 121,411 |  |  | 192,916 |  |  | (313,462) |
| Change in fair value of investment derivatives(1) |  |  |  |  | 4,431 |  |  | (3,641) |  |  | (1,032) |
| Fair value hedges(1) |  |  |  |  | (4,403) |  |  | 5,823 |  |  | 2,910 |
| Net realized investment gains (losses) |  |  |  | $ | 121,439 |  | $ | 195,098 |  | $ | (311,584) |
(1) Refer to Note 7 – Derivative Instruments |  |  |  |  |  |  |  |  |  |  |  |
The following table summarizes the OTTI recognized in earnings by asset class:
| Year ended December 31, |  |  |  |  |  | 2011 |  |  | 2010 |  |  | 2009 |
| Fixed maturities: |  |  |  |  |  |  |  |  |  |  |  |  |
| Corporate debt |  |  |  |  | $ | 1,954 |  | $ | 3,156 |  | $ | 277,979 |
| Agency RMBS |  |  |  |  |  | - |  |  | - |  |  | 345 |
| CMBS |  |  |  |  |  | - |  |  | 413 |  |  | 10,843 |
| Non-Agency RMBS |  |  |  |  |  | 717 |  |  | 4,715 |  |  | 24,249 |
| ABS |  |  |  |  |  | 61 |  |  | 1,126 |  |  | 2,384 |
| Municipals |  |  |  |  |  | 483 |  |  | 19 |  |  | 1,280 |
|  |  |  |  |  |  | 3,215 |  |  | 9,429 |  |  | 317,080 |
| Equities |  |  |  |  |  | 12,646 |  |  | 8,503 |  |  | 20,355 |
| Total OTTI recognized in earnings |  |  |  |  | $ | 15,861 |  | $ | 17,932 |  | $ | 337,435 |
As disclosed in Note 2(a), we adopted an updated accounting standard related to the presentation and recognition of OTTI for fixed maturities in the second quarter of 2009. Because this standard does not allow for retrospective application, the $26 million of OTTI charge for the first quarter of 2009 was calculated based on the full difference between the fair value and carrying value of the impaired fixed maturities. The cumulative effect of the adoption resulted in a $38 million net after-tax increase to retained earnings with a corresponding decrease to AOCI, resulting in no change to our shareholders' equity. Fixed Maturities
The following table provides a roll forward of the credit losses, ("credit loss table"), before income taxes, for which a portion of the OTTI was recognized in AOCI:
| Year ended December 31, |  |  | 2011 |  |  | 2010 |
| Balance at beginning of period |  | $ | 57,498 |  | $ | 162,390 |
| Credit impairments recognized on securities not previously impaired |  |  | 448 |  |  | 1,355 |
| Additional credit impairments recognized on securities previously impaired |  |  | - |  |  | 1,826 |
| Change in timing of future cash flows on securities previously impaired |  |  | (101) |  |  | - |
| Intent to sell of securities previously impaired |  |  | - |  |  | (829) |
| Securities sold/redeemed/matured |  |  | (55,784) |  |  | (107,244) |
| Balance at end of period |  | $ | 2,061 |  | $ | 57,498 |
Credit losses are calculated based on the difference between the amortized cost of the security and the net present value of its projected future cash flows discounted at the effective interest rate implicit in the debt security prior to the impairment. The following provides a summary of the credit loss activities by asset class for the above table as well as the significant inputs and the methodology used to estimate the se credit losses. Non-U.S. Government: Foreign government obligations are evaluated for credit loss primarily through qualitative assessments of the likelihood of credit loss using information such as cred it ratings and yield. At December 31, 2011, our holdings in sovereign debt, including $634 million (2010: $451 million) relating to the eurozone countries, were all highly rated securities. The gross unrealized losses of $37 million at December 31, 2011 were due to foreign exchange loss es, mainly on e uro-denominated securities. W e have concluded there w ere no credit losses anticipated for these securities at December 31, 2011. Corporate Debt: C ertain previously impaired medium-term notes (MTNs) held matured during 2011, resulting in a $52 million (2010: $85 million) decrease in the accumulated credit loss impairments in the above credit loss table. These maturitie s also resulted in $15 million of realized gains (2010: $29 million of realized gains). A t December 31, 2011, we no longer hold any MTNs. To estimate credit losses for corporate debt securities, o ur projected cash flows are primarily driven by our assumptions regarding the probability of default and the severity associated with those defaults. Our default and loss severity rate s are based on credit rating, credit analysis, industry analyst reports and forecasts, Moody's historical default data and any other data relevant to the recoverability of the security. In 2011, the OTTI charges on corporate debt securities were related to our intent to sell, as well as unrealized foreign exchange losses on certain securities where forecasted recovery was uncertain. In 2010, the weighted average default rate and loss severity rate w ere 3 5% and 100%, respectively, for determining the credit losses on our impai red corporate debt securities. Non-agency CMBS: Our investment s in C MBS are diversified and highly rated, with a weighted average estimated subo rdination percentage of 2 5% at December 31, 2011 (2010: 27%). Based on discounted cash flows at December 31, 2011, the current level of subordination is sufficient to cover the estimated loan losses on the underlying collateral of the CMBS. Non-agency RMBS: For non-agency R MBS, our projected cash flows incorporat ed underlying data from widely accepted third-party data sources along with certain internal assumptions and judgments regarding the future performance of the security. These assumptions included the following: default, delinquency, loss severity and prepayment rates. The assumptions used to calculate the credit losses in 2011 have not changed significantly since December 31, 2010. At December 31, 2011, the fair value of our non-agency R MBS was $166 million (2010: $2 44 million), consisting primarily of $1 28 million (2010: $174 million) of Pri me and $23 million (2010: $52 million) of Alt-A MBS. A t December 31, 2011, we had gross unrealized losses of $13 million (2010: $12 million) on these securities. ABS: The majority of the unrealized losses on ABS at December 31, 2011, and 2010, were related to CLO debt tranched securities (“CLO Debt”) with a carrying value of $48 million (2010: $43 million). We used the following significant inputs to estimate the credit loss for these securities:
| At December 31, |  |  |  |  | 2011 |  | 2010 |
| Default rate | 4.0% |  | 3.8% |
| Loss severity rate | 53.5% |  | 65.0% |
| Collateral spreads | 2.6% - 3.8% |  | 2.9% - 3.7% |
Our assumptions on default and loss severity rates are established based on an assessment of actual experience to date for each CLO Debt and review of recent credit rating agencies’ default and loss severity forecasts. Based on the underlying collateral values and our projected cash flows at December 31, 2011, our CLO Debt had sufficient credit protection levels to receive all contractually obligated principal and interest payments.
Equities The OTTI losses on equities in 2011 and 2010 are primarily due to the severity and duration of their unrealized loss positions, for which we concluded the forecasted recovery period was uncertain. The recognition of such losses does not necessarily indicate that sales will occur or that sales are imminent or planned. At December 31, 2011, the fair value of our equities was $678 million (2010: $349 million), which included $47 million (2010: $5 million) of gross unrealized losses. e) Restricted Investments To support our (re)insurance operations we provide collateral (fixed maturities and short-term investments) in various forms. We primarily utilize trust arrangements for U.S. insurance obligations and, to a lesser extent, issue letters of credit for reinsurance business. The letter of credit facility is secured with fixed maturity investments (see Note 10(b)). We are also required to maintain securities on deposit with various regulatory authorities. The fair value of our restricted investments was as follows:
| At December 31, |  | 2011 |  |  | 2010 |
| Collateral in Trust for inter-company agreements | $ | 1,921,586 |  | $ | 1,785,961 |
| Collateral for secured letter of credit facility |  | 441,229 |  |  | 405,037 |
| Collateral in Trust for third party agreements |  | 238,395 |  |  | 217,905 |
| Securities on deposit with regulatory authorities |  | 49,543 |  |  | 87,657 |
| Total restricted investments | $ | 2,650,753 |  | $ | 2,496,560 |

X
- Details
Name: | us-gaap_InvestmentsDebtAndEquitySecuritiesAbstract
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