2.0.0.10falseFAIR VALUE OF FINANCIAL INSTRUMENTS10601 - Disclosure - FAIR VALUE OF FINANCIAL INSTRUMENTStruefalsefalsefalse1usd$falsefalseUnit1Standardhttp://www.xbrl.org/2003/iso4217USDiso42170Unit12Standardhttp://www.xbrl.org/2003/instancesharesxbrli0Unit13Dividehttp://www.xbrl.org/2003/iso4217USDiso4217http://www.xbrl.org/2003/instancesharesxbrli053us-gaap_FairValueByBalanceSheetGroupingTextBlockus-gaaptruenadurationstringNo definition available.falsefalsefalsefalsefalsefalsefalsefalsefalsefalsefalsefalse1falsefalsefalsefalse00<div> <div>
<div
style="font-family: 'Times New Roman',Times,serif;">
<div
style="margin-top: 12pt; font-size: 10pt;" align="left"><b>6. FAIR VALUE OF FINANCIAL INSTRUMENTS</b> </div>
<div
style="margin-top: 6pt; font-size: 10pt;" align="left"> In accordance with U.S. GAAP, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. There is a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon whether the inputs to the valuation of an asset or liability are observable or unobservable in the market at the measurement date, with quoted market prices being the highest level (Level 1) and unobservable inputs being the lowest level (Level 3). A fair value measurement will fall within the level of the hierarchy based on the input that is significant to determining such measurement. The three levels are defined as follows: </div>
<div
style="margin-top: 6pt;">
<table
style="font-size: 10pt;" cellspacing="0" cellpadding="0" width="100%" border="0">
<tr
style="font-size: 10pt; background: none transparent scroll repeat 0% 0%; color: #000000;" valign="top">
<td
style="background: none transparent scroll repeat 0% 0%;" width="2%"> </td>
<td nowrap="nowrap" align="left" width="3%"><b>•</b></td>
<td width="1%"> </td>
<td><b>Level 1</b>: Observable inputs to the valuation methodology that are quoted prices (unadjusted) for identical assets or liabilities in active markets.</td></tr>
<tr>
<td
style="font-size: 6pt;"> </td></tr>
<tr
style="font-size: 10pt; background: none transparent scroll repeat 0% 0%; color: #000000;" valign="top">
<td
style="background: none transparent scroll repeat 0% 0%;" width="2%"> </td>
<td nowrap="nowrap" align="left" width="3%"><b>•</b></td>
<td width="1%"> </td>
<td><b>Level 2</b>: Observable inputs to the valuation methodology other than quoted market prices (unadjusted) for identical assets or liabilities in active markets. Level 2 inputs include quoted prices for similar assets and liabilities in active markets, quoted</td></tr></table></div></div>
<div
style="font-family: 'Times New Roman',Times,serif;">
<div
style="margin-top: 6pt;">
<table
style="font-size: 10pt;" cellspacing="0" cellpadding="0" width="100%" border="0">
<tr
style="font-size: 10pt; background: none transparent scroll repeat 0% 0%;" valign="top">
<td
style="background: none transparent scroll repeat 0% 0%;" width="2%"> </td>
<td nowrap="nowrap" align="left" width="3%"> </td>
<td width="1%"> </td>
<td>prices for identical assets in markets that are not active and inputs other than quoted prices that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the asset or liability.</td></tr></table></div>
<div
style="margin-top: 6pt;">
<table
style="font-size: 10pt;" cellspacing="0" cellpadding="0" width="100%" border="0">
<tr
style="font-size: 10pt; background: none transparent scroll repeat 0% 0%; color: #000000;" valign="top">
<td
style="background: none transparent scroll repeat 0% 0%;" width="2%"> </td>
<td nowrap="nowrap" align="left" width="3%"><b>•</b></td>
<td width="1%"> </td>
<td><b>Level 3</b>: Inputs to the valuation methodology that are unobservable for the asset or liability.</td></tr></table></div>
<div
style="margin-top: 6pt; font-size: 10pt;" align="left"> The following table shows the fair value of the Company's financial instruments and where in the fair value hierarchy the fair value measurements are included as of March 31, 2010. </div>
<div>
<table
style="font-size: 10pt;" cellspacing="0" cellpadding="0" width="100%" border="0">
<tr valign="bottom">
<td width="40%"> </td>
<td width="5%"> </td>
<td width="1%"> </td>
<td width="5%"> </td>
<td width="1%"> </td>
<td width="5%"> </td>
<td width="1%"> </td>
<td width="5%"> </td>
<td width="1%"> </td>
<td width="5%"> </td>
<td width="1%"> </td>
<td width="5%"> </td>
<td width="1%"> </td>
<td width="5%"> </td>
<td width="1%"> </td>
<td width="5%"> </td>
<td width="1%"> </td>
<td width="5%"> </td>
<td width="1%"> </td>
<td width="5%"> </td>
<td width="1%"> </td></tr>
<tr
style="font-size: 8pt;" valign="bottom">
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td
style="border-bottom: #000000 1px solid;" nowrap="nowrap" align="center" colspan="10"><b>Fair value measurement using:</b></td>
<td> </td></tr>
<tr
style="font-size: 8pt;" valign="bottom">
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td nowrap="nowrap" align="center" colspan="2"><b>Quoted prices</b></td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td nowrap="nowrap" align="center" colspan="2"> </td>
<td> </td></tr>
<tr
style="font-size: 8pt;" valign="bottom">
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td nowrap="nowrap" align="center" colspan="2"><b>in active</b></td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td nowrap="nowrap" align="center" colspan="2"><b>Significant</b></td>
<td> </td></tr>
<tr
style="font-size: 8pt;" valign="bottom">
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td nowrap="nowrap" align="center" colspan="2"><b>markets for</b></td>
<td> </td>
<td> </td>
<td nowrap="nowrap" align="center" colspan="2"><b>Significant other</b></td>
<td> </td>
<td> </td>
<td nowrap="nowrap" align="center" colspan="2"><b>unobservable</b></td>
<td> </td></tr>
<tr
style="font-size: 8pt;" valign="bottom">
<td> </td>
<td> </td>
<td nowrap="nowrap" align="center" colspan="2"><b>Carrying</b></td>
<td> </td>
<td> </td>
<td nowrap="nowrap" align="center" colspan="2"><b>Total fair</b></td>
<td> </td>
<td> </td>
<td nowrap="nowrap" align="center" colspan="2"><b>identical assets</b></td>
<td> </td>
<td> </td>
<td nowrap="nowrap" align="center" colspan="2"><b>observable inputs</b></td>
<td> </td>
<td> </td>
<td nowrap="nowrap" align="center" colspan="2"><b>inputs</b></td>
<td> </td></tr>
<tr
style="font-size: 8pt;" valign="bottom">
<td> </td>
<td> </td>
<td
style="border-bottom: #000000 1px solid;" nowrap="nowrap" align="center" colspan="2"><b>amount</b></td>
<td> </td>
<td> </td>
<td
style="border-bottom: #000000 1px solid;" nowrap="nowrap" align="center" colspan="2"><b>value</b></td>
<td> </td>
<td> </td>
<td
style="border-bottom: #000000 1px solid;" nowrap="nowrap" align="center" colspan="2"><b>(Level 1)</b></td>
<td> </td>
<td> </td>
<td
style="border-bottom: #000000 1px solid;" nowrap="nowrap" align="center" colspan="2"><b>(Level 2)</b></td>
<td> </td>
<td> </td>
<td
style="border-bottom: #000000 1px solid;" nowrap="nowrap" align="center" colspan="2"><b>(Level 3)</b></td>
<td> </td></tr>
<tr
style="background: #cceeff;" valign="bottom">
<td>
<div
style="margin-left: 0px; text-indent: 0px;"><b>Available for sale securities:</b></div></td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr valign="bottom">
<td>
<div
style="margin-left: 0px; text-indent: 0px;">U.S. Government and Government agencies</div></td>
<td> </td>
<td align="left">$</td>
<td align="right">417,230</td>
<td> </td>
<td> </td>
<td align="left">$</td>
<td align="right">417,230</td>
<td> </td>
<td> </td>
<td align="left">$</td>
<td align="right">205,096</td>
<td> </td>
<td> </td>
<td align="left">$</td>
<td align="right">212,134</td>
<td> </td>
<td> </td>
<td align="left">$</td>
<td align="right">—</td>
<td> </td></tr>
<tr
style="background: #cceeff;" valign="bottom">
<td>
<div
style="margin-left: 0px; text-indent: 0px;">Non-U.S. Government and Government agencies</div></td>
<td> </td>
<td> </td>
<td align="right">143,722</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">143,722</td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">143,722</td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr valign="bottom">
<td>
<div
style="margin-left: 0px; text-indent: 0px;">States, municipalities and political</div></td>
<td> </td>
<td> </td>
<td align="right">185,775</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">185,775</td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">185,775</td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr
style="background: #cceeff;" valign="bottom">
<td>
<div
style="margin-left: 0px; text-indent: 0px;">Corporate debt</div></td>
<td> </td>
<td> </td>
<td align="right">1,393,643</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">1,393,643</td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">1,393,643</td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr valign="bottom">
<td>
<div
style="margin-left: 0px; text-indent: 0px;">Mortgage-backed</div></td>
<td> </td>
<td> </td>
<td align="right">996,652</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">996,652</td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">860,954</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">135,698</td>
<td> </td></tr>
<tr
style="background: #cceeff;" valign="bottom">
<td>
<div
style="margin-left: 0px; text-indent: 0px;">Asset-backed</div></td>
<td> </td>
<td> </td>
<td align="right">90,867</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">90,867</td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">84,764</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">6,103</td>
<td> </td></tr>
<tr
style="font-size: 1px;">
<td>
<div
style="margin-left: 0px; text-indent: 0px;"> </div></td>
<td> </td>
<td
style="border-top: #000000 1px solid;" nowrap="nowrap" align="right" colspan="2"> </td>
<td> </td>
<td> </td>
<td
style="border-top: #000000 1px solid;" nowrap="nowrap" align="right" colspan="2"> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr valign="bottom">
<td>
<div
style="margin-left: 0px; text-indent: 0px;">Total available for sale fixed maturity investments</div></td>
<td> </td>
<td> </td>
<td align="right">3,227,889</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">3,227,889</td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr
style="font-size: 1px;">
<td>
<div
style="margin-left: 0px; text-indent: 0px;"> </div></td>
<td> </td>
<td
style="border-top: #000000 1px solid;" nowrap="nowrap" align="right" colspan="2"> </td>
<td> </td>
<td> </td>
<td
style="border-top: #000000 1px solid;" nowrap="nowrap" align="right" colspan="2"> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr
style="background: #cceeff;" valign="bottom">
<td>
<div
style="margin-left: 0px; text-indent: 0px;"><b>Trading securities:</b></div></td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr valign="bottom">
<td>
<div
style="margin-left: 0px; text-indent: 0px;">U.S. Government and Government agencies</div></td>
<td> </td>
<td align="left">$</td>
<td align="right">1,648,683</td>
<td> </td>
<td> </td>
<td align="left">$</td>
<td align="right">1,648,683</td>
<td> </td>
<td> </td>
<td align="left">$</td>
<td align="right">1,539,451</td>
<td> </td>
<td> </td>
<td align="left">$</td>
<td align="right">109,232</td>
<td> </td>
<td> </td>
<td align="left">$</td>
<td align="right">—</td>
<td> </td></tr>
<tr
style="background: #cceeff;" valign="bottom">
<td>
<div
style="margin-left: 0px; text-indent: 0px;">Non-U.S. Government and Government agencies</div></td>
<td> </td>
<td> </td>
<td align="right">251,836</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">251,836</td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">251,836</td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr valign="bottom">
<td>
<div
style="margin-left: 0px; text-indent: 0px;">States, municipalities and political subdivisions</div></td>
<td> </td>
<td> </td>
<td align="right">45,919</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">45,919</td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">45,919</td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr
style="background: #cceeff;" valign="bottom">
<td>
<div
style="margin-left: 0px; text-indent: 0px;">Corporate debt</div></td>
<td> </td>
<td> </td>
<td align="right">943,529</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">943,529</td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">943,529</td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr valign="bottom">
<td>
<div
style="margin-left: 0px; text-indent: 0px;">Mortgage-backed</div></td>
<td> </td>
<td> </td>
<td align="right">593,381</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">593,381</td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">495,412</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">97,969</td>
<td> </td></tr>
<tr
style="background: #cceeff;" valign="bottom">
<td>
<div
style="margin-left: 0px; text-indent: 0px;">Asset-backed</div></td>
<td> </td>
<td> </td>
<td align="right">384,696</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">384,696</td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">354,267</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">30,429</td>
<td> </td></tr>
<tr
style="font-size: 1px;">
<td>
<div
style="margin-left: 0px; text-indent: 0px;"> </div></td>
<td> </td>
<td
style="border-top: #000000 1px solid;" nowrap="nowrap" align="right" colspan="2"> </td>
<td> </td>
<td> </td>
<td
style="border-top: #000000 1px solid;" nowrap="nowrap" align="right" colspan="2"> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr valign="bottom">
<td>
<div
style="margin-left: 0px; text-indent: 0px;">Total trading fixed maturity investments</div></td>
<td> </td>
<td> </td>
<td align="right">3,868,044</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">3,868,044</td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr
style="font-size: 1px;">
<td>
<div
style="margin-left: 0px; text-indent: 0px;"> </div></td>
<td> </td>
<td
style="border-top: #000000 1px solid;" nowrap="nowrap" align="right" colspan="2"> </td>
<td> </td>
<td> </td>
<td
style="border-top: #000000 1px solid;" nowrap="nowrap" align="right" colspan="2"> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr
style="background: #cceeff;" valign="bottom">
<td>
<div
style="margin-left: 0px; text-indent: 0px;">Total fixed maturity investments</div></td>
<td> </td>
<td> </td>
<td align="right">7,095,933</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">7,095,933</td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr valign="bottom">
<td>
<div
style="margin-left: 0px; text-indent: 0px;">Hedge funds</div></td>
<td> </td>
<td> </td>
<td align="right">242,135</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">242,135</td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">242,135</td>
<td> </td></tr>
<tr
style="background: #cceeff;" valign="bottom">
<td>
<div
style="margin-left: 0px; text-indent: 0px;">Equity securities</div></td>
<td> </td>
<td> </td>
<td align="right">19,795</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">19,795</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">19,795</td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr
style="font-size: 1px;">
<td>
<div
style="margin-left: 0px; text-indent: 0px;"> </div></td>
<td> </td>
<td
style="border-top: #000000 1px solid;" nowrap="nowrap" align="right" colspan="2"> </td>
<td> </td>
<td> </td>
<td
style="border-top: #000000 1px solid;" nowrap="nowrap" align="right" colspan="2"> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr valign="bottom">
<td>
<div
style="margin-left: 0px; text-indent: 0px;">Total investments</div></td>
<td> </td>
<td> </td>
<td align="right">7,357,863</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">7,338,068</td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr
style="font-size: 1px;">
<td>
<div
style="margin-left: 0px; text-indent: 0px;"> </div></td>
<td> </td>
<td
style="border-top: #000000 1px solid;" nowrap="nowrap" align="right" colspan="2"> </td>
<td> </td>
<td> </td>
<td
style="border-top: #000000 1px solid;" nowrap="nowrap" align="right" colspan="2"> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr
style="background: #cceeff;" valign="bottom">
<td>
<div
style="margin-left: 0px; text-indent: 0px;">Senior notes</div></td>
<td> </td>
<td> </td>
<td align="right">498,951</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">546,250</td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">546,250</td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr></table></div>
<div
style="margin-top: 6pt; font-size: 10pt;" align="left"> The following describes the valuation techniques used by the Company to determine the fair value of financial instruments held as of March 31, 2010. </div>
<div
style="margin-top: 6pt; font-size: 10pt;" align="left"> <b>U.S. government and U.S. government agencies: </b>Comprised primarily of bonds issued by the U.S. Treasury, the Federal Home Loan Bank, the Federal Home Loan Mortgage Corporation and the Federal National Mortgage Association. The fair values of the Company's U.S. government securities are based on quoted market prices in active markets and are included in the Level 1 fair value hierarchy. The Company believes the market for U.S. Treasury securities is an actively traded market given the high level of daily trading volume. The fair values of U.S. government agency securities are priced using the spread above the risk-free yield curve. As the yields for the risk-free yield curve and the spreads for these securities are observable market inputs, the fair values of U.S. government agency securities are included in the Level 2 fair value hierarchy. </div></div>
<div
style="font-family: 'Times New Roman',Times,serif;">
<div
style="margin-top: 6pt; font-size: 10pt;" align="left"> <b>Non-U.S. government and government agencies: </b>Comprised of fixed income obligations of non-U.S. governmental entities. The fair values of these securities are based on prices obtained from international indices and are included in the Level 2 fair value hierarchy. </div>
<div
style="margin-top: 6pt; font-size: 10pt;" align="left"> <b>States, municipalities and political subdivisions: </b>Comprised of fixed income obligations of U.S. domiciled state and municipality entities. The fair values of these securities are based on prices obtained from the new issue market, and are included in the Level 2 fair value hierarchy. </div>
<div
style="margin-top: 6pt; font-size: 10pt;" align="left"> <b>Corporate debt: </b>Comprised of bonds issued by corporations that are diversified across a wide range of issuers and industries. The fair values of corporate bonds that are short-term are priced using spread above the London Interbank Offered Rate yield curve, and the fair value of corporate bonds that are long-term are priced using the spread above the risk-free yield curve. The spreads are sourced from broker-dealers, trade prices and the new issue market. As the significant inputs used to price corporate bonds are observable market inputs, the fair values of corporate bonds are included in the Level 2 fair value hierarchy. </div>
<div
style="margin-top: 6pt; font-size: 10pt;" align="left"> <b>Mortgage-backed: </b>Primarily comprised of pools of residential and commercial mortgages originated by both agency (such as the Federal National Mortgage Association) and non-agency originators. The fair values of mortgage-backed securities originated by U.S. government agencies and non-U.S. government agencies are based on a pricing model that incorporates prepayment speeds and spreads to determine appropriate average life of mortgage-backed securities. The spreads are sourced from broker-dealers, trade prices and the new issue market. As the significant inputs used to price the mortgage-backed securities are observable market inputs, the fair values of these securities are included in the Level 2 fair value hierarchy, unless the significant inputs used to price the mortgage-backed securities are broker-dealer quotes and the Company is not able to determine if those quotes are based on observable market inputs, in which case the fair value is included in the Level 3 hierarchy. </div>
<div
style="margin-top: 6pt; font-size: 10pt;" align="left"> <b>Asset-backed: </b>Principally comprised of bonds backed by pools of automobile loan receivables, home equity loans, credit card receivables and collateralized loan obligations originated by a variety of financial institutions. The fair values of asset-backed securities are priced using prepayment speed and spread inputs that are sourced from the new issue market. As the significant inputs used to price the asset-backed securities are observable market inputs, the fair values of these securities are included in the Level 2 fair value hierarchy, unless the significant inputs used to price the asset-backed securities are broker-dealer quotes and the Company is not able to determine if those quotes are based on observable market inputs, in which case the fair value is included in the Level 3 hierarchy. </div>
<div
style="margin-top: 6pt; font-size: 10pt;" align="left"> <b>Hedge funds: </b>Comprised of hedge funds invested in a range of diversified strategies. In accordance with U.S. GAAP, the fair values of the hedge funds are based on the net asset value of the funds as reported by the fund manager, and as such, the fair values of those hedge funds are included in the Level 3 fair value hierarchy. </div>
<div
style="margin-top: 6pt; font-size: 10pt;" align="left"> <b>Equity securities: </b>The fair value of the equity securities are prices from market exchanges and therefore included in the Level 1 fair value hierarchy. </div>
<div
style="margin-top: 6pt; font-size: 10pt;" align="left"> <b>Senior notes: </b>The fair value of the senior notes is based on trades as reported in Bloomberg, which was 109.3% of their principal amount, providing an effective yield of 5.73% as of March 31, 2010. The fair value of the senior notes is included in the Level 2 fair value hierarchy. </div></div>
<div
style="font-family: 'Times New Roman',Times,serif;">
<div
style="margin-top: 6pt; font-size: 10pt;" align="left"> The following is a reconciliation of the beginning and ending balance of financial instruments using significant unobservable inputs (Level 3) for the year ended March 31, 2010. </div>
<div>
<table
style="font-size: 10pt;" cellspacing="0" cellpadding="0" width="100%" border="0">
<tr valign="bottom">
<td width="64%"> </td>
<td width="5%"> </td>
<td width="1%"> </td>
<td width="5%"> </td>
<td width="1%"> </td>
<td width="5%"> </td>
<td width="1%"> </td>
<td width="5%"> </td>
<td width="1%"> </td>
<td width="5%"> </td>
<td width="1%"> </td>
<td width="5%"> </td>
<td width="1%"> </td></tr>
<tr
style="font-size: 8pt;" valign="bottom">
<td> </td>
<td> </td>
<td nowrap="nowrap" align="center" colspan="10"><b>Fair value measurement using significant</b></td>
<td> </td></tr>
<tr
style="font-size: 8pt;" valign="bottom">
<td> </td>
<td> </td>
<td
style="border-bottom: #000000 1px solid;" nowrap="nowrap" align="center" colspan="10"><b>unobservable inputs (Level 3):</b></td>
<td> </td></tr>
<tr
style="font-size: 8pt;" valign="bottom">
<td> </td>
<td> </td>
<td
style="border-bottom: #000000 1px solid;" nowrap="nowrap" align="center" colspan="2"><b>Hedge funds</b></td>
<td> </td>
<td> </td>
<td
style="border-bottom: #000000 1px solid;" nowrap="nowrap" align="center" colspan="2"><b>Mortgage-backed</b></td>
<td> </td>
<td> </td>
<td
style="border-bottom: #000000 1px solid;" nowrap="nowrap" align="center" colspan="2"><b>Asset-backed</b></td>
<td> </td></tr>
<tr
style="background: #cceeff;" valign="bottom">
<td>
<div
style="margin-left: 15px; text-indent: -15px;"><b>Three Months Ended March 31, 2010</b></div></td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr valign="bottom">
<td>
<div
style="margin-left: 15px; text-indent: -15px;">Opening balance</div></td>
<td> </td>
<td align="left">$</td>
<td align="right">184,725</td>
<td> </td>
<td> </td>
<td align="left">$</td>
<td align="right">253,979</td>
<td> </td>
<td> </td>
<td align="left">$</td>
<td align="right">104,871</td>
<td> </td></tr>
<tr
style="background: #cceeff;" valign="bottom">
<td>
<div
style="margin-left: 15px; text-indent: -15px;">Total gains or losses included in earnings:</div></td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr valign="bottom">
<td>
<div
style="margin-left: 30px; text-indent: -15px;">Realized losses</div></td>
<td> </td>
<td> </td>
<td align="right">—</td>
<td> </td>
<td> </td>
<td nowrap="nowrap" align="left"> </td>
<td align="right">(1,358</td>
<td nowrap="nowrap">)</td>
<td> </td>
<td> </td>
<td align="right">—</td>
<td> </td></tr>
<tr
style="background: #cceeff;" valign="bottom">
<td>
<div
style="margin-left: 30px; text-indent: -15px;">Change in fair value of investments</div></td>
<td> </td>
<td> </td>
<td align="right">4,362</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">4,646</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">142</td>
<td> </td></tr>
<tr valign="bottom">
<td>
<div
style="margin-left: 15px; text-indent: -15px;">Total unrealized gains included in OCI</div></td>
<td> </td>
<td> </td>
<td align="right">—</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">3,696</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">23</td>
<td> </td></tr>
<tr
style="background: #cceeff;" valign="bottom">
<td>
<div
style="margin-left: 15px; text-indent: -15px;">Purchases or sales</div></td>
<td> </td>
<td> </td>
<td align="right">53,048</td>
<td> </td>
<td> </td>
<td nowrap="nowrap" align="left"> </td>
<td align="right">(69,687</td>
<td nowrap="nowrap">)</td>
<td> </td>
<td> </td>
<td align="right">1,044</td>
<td> </td></tr>
<tr valign="bottom">
<td>
<div
style="margin-left: 15px; text-indent: -15px;">Transfers in and/or out of Level 3</div></td>
<td> </td>
<td> </td>
<td align="right">—</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">42,391</td>
<td> </td>
<td> </td>
<td nowrap="nowrap" align="left"> </td>
<td align="right">(69,548</td>
<td nowrap="nowrap">)</td></tr>
<tr
style="font-size: 1px;">
<td>
<div
style="margin-left: 15px; text-indent: -15px;"> </div></td>
<td> </td>
<td
style="border-top: #000000 1px solid;" nowrap="nowrap" align="right" colspan="2"> </td>
<td> </td>
<td> </td>
<td
style="border-top: #000000 1px solid;" nowrap="nowrap" align="right" colspan="2"> </td>
<td> </td>
<td> </td>
<td
style="border-top: #000000 1px solid;" nowrap="nowrap" align="right" colspan="2"> </td>
<td> </td></tr>
<tr
style="background: #cceeff;" valign="bottom">
<td>
<div
style="margin-left: 15px; text-indent: -15px;">Ending balance</div></td>
<td> </td>
<td align="left">$</td>
<td align="right">242,135</td>
<td> </td>
<td> </td>
<td align="left">$</td>
<td align="right">233,667</td>
<td> </td>
<td> </td>
<td align="left">$</td>
<td align="right">36,532</td>
<td> </td></tr>
<tr
style="font-size: 1px;">
<td>
<div
style="margin-left: 15px; text-indent: -15px;"> </div></td>
<td> </td>
<td
style="border-top: #000000 3px double;" nowrap="nowrap" align="right" colspan="2"> </td>
<td> </td>
<td> </td>
<td
style="border-top: #000000 3px double;" nowrap="nowrap" align="right" colspan="2"> </td>
<td> </td>
<td> </td>
<td
style="border-top: #000000 3px double;" nowrap="nowrap" align="right" colspan="2"> </td>
<td> </td></tr>
<tr valign="bottom">
<td>
<div
style="margin-left: 15px; text-indent: -15px;"> </div></td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr valign="bottom">
<td>
<div
style="margin-left: 15px; text-indent: -15px;"><b>Three Months Ended March 31, 2009</b></div></td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr
style="background: #cceeff;" valign="bottom">
<td>
<div
style="margin-left: 15px; text-indent: -15px;">Opening balance</div></td>
<td> </td>
<td align="left">$</td>
<td align="right">48,573</td>
<td> </td>
<td> </td>
<td align="left">$</td>
<td align="right">—</td>
<td> </td>
<td> </td>
<td align="left">$</td>
<td align="right">—</td>
<td> </td></tr>
<tr valign="bottom">
<td>
<div
style="margin-left: 15px; text-indent: -15px;">Total gains or losses included in earnings:</div></td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td></tr>
<tr
style="background: #cceeff;" valign="bottom">
<td>
<div
style="margin-left: 30px; text-indent: -15px;">Realized losses</div></td>
<td> </td>
<td nowrap="nowrap" align="left"> </td>
<td align="right">(1,751</td>
<td nowrap="nowrap">)</td>
<td> </td>
<td> </td>
<td align="right">—</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">—</td>
<td> </td></tr>
<tr valign="bottom">
<td>
<div
style="margin-left: 30px; text-indent: -15px;">Change in fair value of investments</div></td>
<td> </td>
<td> </td>
<td align="right">2,567</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">—</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">—</td>
<td> </td></tr>
<tr
style="background: #cceeff;" valign="bottom">
<td>
<div
style="margin-left: 15px; text-indent: -15px;">Total unrealized gains (losses) included in OCI</div></td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">—</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">—</td>
<td> </td></tr>
<tr valign="bottom">
<td>
<div
style="margin-left: 15px; text-indent: -15px;">Purchases or sales</div></td>
<td> </td>
<td> </td>
<td align="right">71,319</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">—</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">—</td>
<td> </td></tr>
<tr
style="background: #cceeff;" valign="bottom">
<td>
<div
style="margin-left: 15px; text-indent: -15px;">Transfers in and/or out of Level 3</div></td>
<td> </td>
<td> </td>
<td align="right">—</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">—</td>
<td> </td>
<td> </td>
<td> </td>
<td align="right">—</td>
<td> </td></tr>
<tr
style="font-size: 1px;">
<td>
<div
style="margin-left: 15px; text-indent: -15px;"> </div></td>
<td> </td>
<td
style="border-top: #000000 1px solid;" nowrap="nowrap" align="right" colspan="2"> </td>
<td> </td>
<td> </td>
<td
style="border-top: #000000 1px solid;" nowrap="nowrap" align="right" colspan="2"> </td>
<td> </td>
<td> </td>
<td
style="border-top: #000000 1px solid;" nowrap="nowrap" align="right" colspan="2"> </td>
<td> </td></tr>
<tr valign="bottom">
<td>
<div
style="margin-left: 15px; text-indent: -15px;">Ending balance</div></td>
<td> </td>
<td align="left">$</td>
<td align="right">120,708</td>
<td> </td>
<td> </td>
<td align="left">$</td>
<td align="right">—</td>
<td> </td>
<td> </td>
<td align="left">$</td>
<td align="right">—</td>
<td> </td></tr>
<tr
style="font-size: 1px;">
<td>
<div
style="margin-left: 15px; text-indent: -15px;"> </div></td>
<td> </td>
<td
style="border-top: #000000 3px double;" nowrap="nowrap" align="right" colspan="2"> </td>
<td> </td>
<td> </td>
<td
style="border-top: #000000 3px double;" nowrap="nowrap" align="right" colspan="2"> </td>
<td> </td>
<td> </td>
<td
style="border-top: #000000 3px double;" nowrap="nowrap" align="right" colspan="2"> </td>
<td> </td></tr></table></div>
<div
style="margin-top: 6pt; font-size: 10pt;" align="left"> The Company attempts to verify the significant inputs used by broker-dealers in determining the fair value of the securities priced by them. If the Company could not obtain sufficient information to determine if the broker-dealers were using significant observable inputs such securities have been transferred to Level 3 fair value hierarchy. The Company believes the prices obtained from the broker-dealers are the best estimate of fair value of the securities being priced as the broker-dealers are typically involved in the initial pricing of the security and the Company has compared the price per the broker-dealer to other pricing sources and noted no material differences. </div>
<div
style="margin-top: 6pt; font-size: 10pt;" align="left"> During the three months ended March 31, 2010, the Company transferred $24,571 of mortgage-backed and $87,669 of asset-backed securities from Level 3 to Level 2 in the fair value hierarchy. The Company transferred those securities as they no longer utilized broker-dealer quotes and instead used other pricing sources that have significant observable inputs. The Company recognizes transfers between levels at the end of the reporting period. </div></div></div> </div>6. FAIR VALUE OF FINANCIAL INSTRUMENTS
In accordance with U.S. GAAP, fair value is defined as the price that would be receivedfalsefalsefalseThis item represents certain of the disclosures concerning the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments, assets, and liabilities. Such certain disclosures about the financial instruments, assets, and liabilities include: (1) the fair value of the required items together with their carrying amounts (as appropriate) and (2) the methodology and assumptions used in developing such estimates of fair value.Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 157
-Paragraph 32
-Subparagraph a, c(1), c(2), c(3), d
Reference 2: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 159
-Paragraph 18
-Subparagraph c(2), d, e, f
Reference 3: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 107
-Paragraph 10
Reference 4: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 159
-Paragraph 19
-Subparagraph a, b, c(1), d(1)
Reference 5: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 107
-Paragraph 14
-Subparagraph a
Reference 6: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 107
-Paragraph 15
-Subparagraph b-d
falsefalse11falseUnKnownUnKnownUnKnownfalsetrue