v2.4.0.6
INVESTMENTS (TABLES)
12 Months Ended
Dec. 31, 2011
INVESTMENTS [Abstract]  
AMORTIZED COST/COST AND FAIR VALUES OF FIXED MATURITIES AND EQUITIES [Table Text Box]
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.
                 
CONTRACTUAL MATURITIES OF FIXED MATURITIES [Table Text Block]
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% 
           
FIXED MATURITIES AND EQUITIES IN AN UNREALIZED LOSS POSITION [Table Text Block]
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) 
                      
PORTFOLIO OF OTHER INVESTMENTS [Table Text Block]
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            
NET INVESTMENT INCOME [Table Text Block]
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 
              
NET REALIZED INVESTMENT GAINS (LOSSES) [Table Text Block]
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            
OTTI RECOGNIZED IN EARNINGS BY ASSET CLASS [Table Text Block]
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 
               
ROLL FORWARD OF CREDIT LOSSES FOR WHICH A PORTION OF OTTI RECOGNIZED IN AOCI [Table Text Block]
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 
         
ABS CREDIT LOSS ESTIMATE SIGNIFICANT INPUTS [Table Text Block]
           
 At December 31,    2011 2010 
           
 Default rate4.0% 3.8% 
 Loss severity rate53.5% 65.0% 
 Collateral spreads2.6% - 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.
RESTRICTED INVESTMENTS [Table Text Block]
        
 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