2.2.0.7 false INVESTMENTS 10401 - Disclosure - INVESTMENTS true false false false 1 USD false false Unit1 Standard http://www.xbrl.org/2003/iso4217 USD iso4217 0 Unit13 Divide http://www.xbrl.org/2003/iso4217 USD iso4217 http://www.xbrl.org/2003/instance shares xbrli 0 Unit12 Standard http://www.xbrl.org/2003/instance shares xbrli 0 $ 2 INVESTMENTS 0 us-gaap_InvestmentsAbstract us-gaap true na duration No definition available. false false false false false true false false false false false false 1 false false false false 0 0 false false false xbrli:stringItemType string No definition available. false 3 INVESTMENTS 1 us-gaap_InvestmentsInDebtAndMarketableEquitySecuritiesAndCertainTradingAssetsDisclosureTextBlock us-gaap true na duration No definition available. false false false false false false false false false false false terselabel false 1 false false false false 0 0 <div> <div style="font-family: 'Times New Roman',Times,serif;"> <div style="margin-top: 12pt; font-size: 10pt;" align="left"><b>4. INVESTMENTS</b> </div> <div style="margin-top: 6pt; font-size: 10pt;" align="left"><b><i>a) Available for Sale Securities</i></b> </div> <div style="margin-top: 6pt; font-size: 10pt;" align="left">     The amortized cost, gross unrealized gains, unrealized losses, other-than-temporary-impairment charges ("OTTI") recorded through other comprehensive income ("OCI") and fair value of the Company's available for sale investments by category as of September 30, 2010 and December 31, 2009 are as follows: </div></div> <div style="font-family: 'Times New Roman',Times,serif;"> <div align="center"> <table style="font-size: 10pt;" border="0" cellspacing="0" cellpadding="0" width="100%"> <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 colspan="2" nowrap="nowrap" align="center"><b>Gross</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"><b>Gross</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"> </td> <td> </td></tr> <tr style="font-size: 8pt;" valign="bottom"><td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"><b>Unrealized</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"><b>Unrealized</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"> </td> <td> </td></tr> <tr style="font-size: 8pt;" valign="bottom"><td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>Cost</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>Gains</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>Losses</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>OTTI OCI</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>Fair Value</b></td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;"><b>September 30, 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> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">U.S. Government and Government agencies</div></td> <td> </td> <td align="left">$</td> <td align="right">149,915</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">11,317</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> <td> </td> <td align="left">$</td> <td align="right">161,232</td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Non-U.S. Government and Government agencies</div></td> <td> </td> <td> </td> <td align="right">137,556</td> <td> </td> <td> </td> <td> </td> <td align="right">12,623</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,406</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">148,773</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">States, municipalities and political subdivisions</div></td> <td> </td> <td> </td> <td align="right">118,985</td> <td> </td> <td> </td> <td> </td> <td align="right">14,797</td> <td> </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">133,782</td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Corporate debt:</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="text-indent: -15px; margin-left: 30px;">Financial institutions</div></td> <td> </td> <td> </td> <td align="right">283,055</td> <td> </td> <td> </td> <td> </td> <td align="right">18,454</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(586</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">300,923</td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 30px;">Industrials</div></td> <td> </td> <td> </td> <td align="right">601,460</td> <td> </td> <td> </td> <td> </td> <td align="right">52,228</td> <td> </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">653,688</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 30px;">Utilities</div></td> <td> </td> <td> </td> <td align="right">154,172</td> <td> </td> <td> </td> <td> </td> <td align="right">17,574</td> <td> </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">171,746</td> <td> </td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Total fixed maturity investments, available for sale</div></td> <td> </td> <td align="left">$</td> <td align="right">1,445,143</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">126,993</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(1,992</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,570,144</td> <td> </td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 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> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;"><b>December 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> <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="text-indent: -15px; margin-left: 15px;">U.S. Government and Government agencies</div></td> <td> </td> <td align="left">$</td> <td align="right">689,858</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">34,831</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(1,389</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">723,300</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Non-U.S. Government and Government agencies</div></td> <td> </td> <td> </td> <td align="right">271,528</td> <td> </td> <td> </td> <td> </td> <td align="right">13,752</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,590</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">283,690</td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">States, municipalities and political subdivisions</div></td> <td> </td> <td> </td> <td align="right">210,315</td> <td> </td> <td> </td> <td> </td> <td align="right">17,429</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(336</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">227,408</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Corporate debt:</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 style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 30px;">Financial institutions</div></td> <td> </td> <td> </td> <td align="right">684,386</td> <td> </td> <td> </td> <td> </td> <td align="right">27,695</td> <td> </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">710,330</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 30px;">Industrials</div></td> <td> </td> <td> </td> <td align="right">879,905</td> <td> </td> <td> </td> <td> </td> <td align="right">46,489</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(184</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">926,210</td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 30px;">Utilities</div></td> <td> </td> <td> </td> <td align="right">143,773</td> <td> </td> <td> </td> <td> </td> <td align="right">10,479</td> <td> </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">154,252</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Residential mortgage-backed:</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 style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 30px;">Non-agency residential</div></td> <td> </td> <td> </td> <td align="right">172,000</td> <td> </td> <td> </td> <td> </td> <td align="right">4,206</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(11,517</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,856</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">162,833</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 30px;">Agency residential</div></td> <td> </td> <td> </td> <td align="right">708,652</td> <td> </td> <td> </td> <td> </td> <td align="right">28,882</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,095</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">736,439</td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Commercial mortgage-backed</div></td> <td> </td> <td> </td> <td align="right">406,236</td> <td> </td> <td> </td> <td> </td> <td align="right">6,482</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(7,915</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">404,803</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Asset-backed</div></td> <td> </td> <td> </td> <td align="right">94,191</td> <td> </td> <td> </td> <td> </td> <td align="right">3,762</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(146</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">97,807</td> <td> </td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Total fixed maturity investments, available for sale</div></td> <td> </td> <td align="left">$</td> <td align="right">4,260,844</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">194,007</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(25,923</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(1,856</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">4,427,072</td> <td> </td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr></table></div> <div style="margin-top: 12pt; font-size: 10pt;" align="left"><b><i>b) Trading Securities</i></b> </div> <div style="margin-top: 6pt; font-size: 10pt;" align="left">     Securities accounted for at fair value with changes in fair value recognized in the consolidated income statements by category as of September 30, 2010 and December 31, 2009 are as follows: </div> <div align="center"> <table style="font-size: 10pt;" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr valign="bottom"><td width="76%"> </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 style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>September 30, 2010</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>December 31, 2009</b></td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">U.S. Government and Government agencies</div></td> <td> </td> <td align="left">$</td> <td align="right">1,045,755</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">655,266</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Non-U.S. Government and Government agencies</div></td> <td> </td> <td> </td> <td align="right">239,489</td> <td> </td> <td> </td> <td> </td> <td align="right">227,310</td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">States, municipalities and political subdivisions</div></td> <td> </td> <td> </td> <td align="right">106,566</td> <td> </td> <td> </td> <td> </td> <td align="right">15,810</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Corporate debt</div></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="text-indent: -15px; margin-left: 30px;">Financial institutions</div></td> <td> </td> <td> </td> <td align="right">943,042</td> <td> </td> <td> </td> <td> </td> <td align="right">590,130</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 30px;">Industrials</div></td> <td> </td> <td> </td> <td align="right">393,189</td> <td> </td> <td> </td> <td> </td> <td align="right">191,729</td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 30px;">Utilities</div></td> <td> </td> <td> </td> <td align="right">77,406</td> <td> </td> <td> </td> <td> </td> <td align="right">11,934</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Residential mortgage-backed</div></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="text-indent: -15px; margin-left: 30px;">Non-agency residential</div></td> <td> </td> <td> </td> <td align="right">424,124</td> <td> </td> <td> </td> <td> </td> <td align="right">259,055</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 30px;">Agency residential</div></td> <td> </td> <td> </td> <td align="right">1,112,192</td> <td> </td> <td> </td> <td> </td> <td align="right">139,858</td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Commercial mortgage-backed</div></td> <td> </td> <td> </td> <td align="right">213,282</td> <td> </td> <td> </td> <td> </td> <td align="right">18,266</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Asset-backed</div></td> <td> </td> <td> </td> <td align="right">676,313</td> <td> </td> <td> </td> <td> </td> <td align="right">434,964</td> <td> </td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Total fixed maturity investments, trading</div></td> <td> </td> <td> </td> <td align="right">5,231,358</td> <td> </td> <td> </td> <td> </td> <td align="right">2,544,322</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Hedge funds</div></td> <td> </td> <td> </td> <td align="right">328,275</td> <td> </td> <td> </td> <td> </td> <td align="right">184,725</td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Equity securities</div></td> <td> </td> <td> </td> <td align="right">121,740</td> <td> </td> <td> </td> <td> </td> <td align="right">144</td> <td> </td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Total</div></td> <td> </td> <td align="left">$</td> <td align="right">5,681,373</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">2,729,191</td> <td> </td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr></table></div></div> <div style="font-family: 'Times New Roman',Times,serif;"> <div style="margin-top: 12pt; font-size: 10pt;" align="left"><b><i>c) Contractual Maturity Dates</i></b> </div> <div style="margin-top: 6pt; font-size: 10pt;" align="left">     The contractual maturity dates of available for sale fixed maturity investments as of September 30, 2010 are as follows: </div> <div align="center"> <table style="font-size: 10pt;" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr valign="bottom"><td width="76%"> </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 style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>Amortized Cost</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>Fair Value</b></td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Due within one year</div></td> <td> </td> <td align="left">$</td> <td align="right">141,803</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">144,347</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Due after one year through five years</div></td> <td> </td> <td> </td> <td align="right">1,079,748</td> <td> </td> <td> </td> <td> </td> <td align="right">1,171,869</td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Due after five years through ten years</div></td> <td> </td> <td> </td> <td align="right">165,654</td> <td> </td> <td> </td> <td> </td> <td align="right">183,880</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Due after ten years</div></td> <td> </td> <td> </td> <td align="right">57,938</td> <td> </td> <td> </td> <td> </td> <td align="right">70,048</td> <td> </td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td align="left">$</td> <td align="right">1,445,143</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,570,144</td> <td> </td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr></table></div> <div style="margin-top: 6pt; font-size: 10pt;" align="left">     Expected maturities may differ from contractual maturities because borrowers may have the right to prepay obligations with or without prepayment penalties. </div> <div style="margin-top: 12pt; font-size: 10pt;" align="left"><b><i>d) Other Invested Assets</i></b> </div> <div style="margin-top: 6pt; font-size: 10pt;" align="left">     As of September 30, 2010, the Company held sixteen hedge fund and private equity investments with a total fair value of $328,275, which comprised 4.1% of the total fair value of its investments and cash and cash equivalents and are summarized as follows by type of investment strategy: </div> <div align="center"> <table style="font-size: 10pt;" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr valign="bottom"><td width="28%"> </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> <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 colspan="2" nowrap="nowrap" align="center"><b>Long</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"><b>Short</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"> </td> <td> </td></tr> <tr style="font-size: 8pt;" valign="bottom"><td nowrap="nowrap" align="center"><b>Hedge Fund</b></td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"><b>Fair Value as of</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"><b>Unfunded</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"><b>Exposure</b><sup style="font-size: 85%; vertical-align: text-top;"><b>(1)</b></sup></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"><b>Exposure</b><sup style="font-size: 85%; vertical-align: text-top;"><b>(2)</b></sup></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"><b>Gross</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"><b>Net</b></td> <td> </td></tr> <tr style="font-size: 8pt;" valign="bottom"><td style="border-bottom: #000000 1px solid;" nowrap="nowrap" align="center"><b>Type</b></td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>September 30, 2010</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>Commitments</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>(% of funded)</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>(% of funded)</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>Exposure</b><sup style="font-size: 85%; vertical-align: text-top;"><b>(3)</b></sup></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>Exposure</b><sup style="font-size: 85%; vertical-align: text-top;"><b>(4)</b></sup></td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Secondary private equity funds</div></td> <td> </td> <td align="left">$</td> <td align="right">20,470</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">41,546</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">100</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">0</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">100</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">100</td> <td nowrap="nowrap">%</td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Distressed</div></td> <td> </td> <td> </td> <td align="right">70,309</td> <td> </td> <td> </td> <td> </td> <td align="right">38,192</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">66</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">9</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">75</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">57</td> <td nowrap="nowrap">%</td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Equity long/short</div></td> <td> </td> <td> </td> <td align="right">78,330</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">75</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">44</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">119</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">31</td> <td nowrap="nowrap">%</td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Multi-strategy</div></td> <td> </td> <td> </td> <td align="right">108,029</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">129</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">64</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">193</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">65</td> <td nowrap="nowrap">%</td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Event driven</div></td> <td> </td> <td> </td> <td align="right">51,137</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">114</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">66</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">180</td> <td nowrap="nowrap">%</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">48</td> <td nowrap="nowrap">%</td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </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="text-indent: -15px; margin-left: 15px;">Total</div></td> <td> </td> <td align="left">$</td> <td align="right">328,275</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">79,738</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 style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </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></table></div> <div align="left"> <div style="margin-top: 16pt; width: 18%; font-size: 3pt; border-top: #000000 1px solid;"> </div></div> <table style="font-size: 10pt;" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr><td width="3%"> </td> <td width="1%"> </td> <td width="96%"> </td></tr> <tr valign="top"><td nowrap="nowrap" align="left">(1)</td> <td> </td> <td>Long exposure represents the ratio of the fund's long investments in securities to the fund's equity capital (over 100% may denote explicit borrowing).</td></tr> <tr style="font-size: 3pt;"><td> </td></tr> <tr valign="top"><td nowrap="nowrap" align="left">(2)</td> <td> </td> <td>Short exposure represents the ratio of the securities sold short to the fund's equity capital.</td></tr> <tr style="font-size: 3pt;"><td> </td></tr> <tr valign="top"><td nowrap="nowrap" align="left">(3)</td> <td> </td> <td>Gross exposure is the addition of the long and short exposures (over 100% may denote explicit borrowing).</td></tr> <tr style="font-size: 3pt;"><td> </td></tr> <tr valign="top"><td nowrap="nowrap" align="left">(4)</td> <td> </td> <td>Net exposure is the subtraction of the short exposure from the long exposure.</td></tr></table> <div style="margin-top: 6pt;"> <table style="font-size: 10pt;" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr style="background: none transparent scroll repeat 0% 0%; color: #000000; font-size: 10pt;" valign="top"><td style="background: none transparent scroll repeat 0% 0%;" width="2%"> </td> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td><b>Secondary private equity funds: </b>These funds buy limited partnership interests from existing limited partners of primary private equity funds. As owners of private equity funds seek liquidity, they can sell their existing investments, plus any remaining commitment, to secondary market participants. The Company has invested in two secondary private equity funds to purchase those primary limited partnership interests. The fair values of the investments in this class have been estimated using the net asset value per share of the investments. These funds cannot be redeemed because the investments include restrictions that do not allow for redemption until termination of the fund. The remaining restriction period for these funds ranges from seven to eight years.</td></tr></table></div> <div style="margin-top: 6pt;"> <table style="font-size: 10pt;" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr style="background: none transparent scroll repeat 0% 0%; color: #000000; font-size: 10pt;" valign="top"><td style="background: none transparent scroll repeat 0% 0%;" width="2%"> </td> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td><b>Distressed funds: </b>In distressed debt investing, managers take positions in the debt of companies experiencing significant financial difficulties, including bankruptcy, or in certain positions of the capital structure of structured securities. The manager relies on the fundamental analysis of these securities, including the claims on the assets and the likely return to bondholders. The fair values of the funds in this class have been estimated using the net asset value per share of the funds. The Company has invested in five distressed funds, three of which (representing approximately 34% of the value of the funds in this class) are not currently eligible for redemption due to imposed lock-up periods with remaining periods ranging from nine months to seven years. Funds representing approximately 42% of the value of the funds in this class are currently eligible for quarterly redemption with a 65-day notification period, subject to redemption limitations. Funds representing approximately 24% of the value of the funds in this class are currently eligible for quarterly redemption with a 45-day notification period and redemption fee if redeemed prior to January 2012.</td></tr></table></div></div> <div style="font-family: 'Times New Roman',Times,serif;"> <div style="margin-top: 6pt;"> <table style="font-size: 10pt;" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr style="background: none transparent scroll repeat 0% 0%; font-size: 10pt;" valign="top"><td style="background: none transparent scroll repeat 0% 0%;" width="2%"> </td> <td width="3%" nowrap="nowrap" align="left"> </td> <td width="1%"> </td> <td> </td></tr></table></div> <div style="margin-top: 6pt;"> <table style="font-size: 10pt;" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr style="background: none transparent scroll repeat 0% 0%; color: #000000; font-size: 10pt;" valign="top"><td style="background: none transparent scroll repeat 0% 0%;" width="2%"> </td> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td><b>Equity long/short funds: </b>In equity long/short funds, managers take long positions in companies they deem to be undervalued and short positions in companies they deem to be overvalued. Long/short managers may invest in countries, regions or sectors and vary by their use of leverage and target net long position. The fair values of the funds in this class have been estimated using the net asset value per share of the funds. The Company has invested in three equity long/short funds, one of which (representing approximately 36% of the value of the funds in this class) is not currently eligible for redemption due to an imposed lock-up period with a remaining period of three months, at which time the funds will be eligible for quarterly redemption with a 60-day notification period. The remaining two funds, representing approximately 64% of the value of the funds in this class, are currently eligible for quarterly redemption, one with a 30-day notification period or monthly redemption with a 30-day notification period and redemption fee and one with a 60-day notification period.</td></tr></table></div> <div style="margin-top: 6pt;"> <table style="font-size: 10pt;" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr style="background: none transparent scroll repeat 0% 0%; color: #000000; font-size: 10pt;" valign="top"><td style="background: none transparent scroll repeat 0% 0%;" width="2%"> </td> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td><b>Multi-strategy funds: </b>These funds may utilize many strategies employed by specialized funds including distressed investing, equity long/short, merger arbitrage, convertible arbitrage, fixed income arbitrage and macro trading. The fair values of the funds in this class have been estimated using the net asset value per share of the funds. The Company has invested in four multi-strategy funds. Funds representing approximately 24% of the value of the funds in this class currently are not eligible for redemption due to imposed lock-up periods with remaining periods of approximately five months. Funds representing approximately 29% of the value of the funds in this class are currently eligible for quarterly redemption with a 60-day notification period. Funds representing approximately 23% of the value of the funds in this class are currently eligible for quarterly redemption with a 45-day notification period and redemption fee if redeemed prior to December 2010. Funds representing approximately 24% of the value of the funds in this class are currently eligible for redemption of one third of the net asset value. The remaining portion of the net asset value is not currently eligible for redemption due to a three year lock-up period.</td></tr></table></div> <div style="margin-top: 6pt;"> <table style="font-size: 10pt;" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr style="background: none transparent scroll repeat 0% 0%; color: #000000; font-size: 10pt;" valign="top"><td style="background: none transparent scroll repeat 0% 0%;" width="2%"> </td> <td width="3%" nowrap="nowrap" align="left"><b>•</b></td> <td width="1%"> </td> <td><b>Event driven funds: </b>Event driven strategies seek to deploy capital into specific securities whose returns are affected by a specific event that affects the value of one or more securities of a company. Returns for such securities are linked primarily to the specific outcome of the events and not by the overall direction of the bond or stock markets. Examples could include mergers and acquisitions (arbitrage), corporate restructurings and spin-offs and capital structure arbitrage. The fair values of the funds in this class have been estimated using the net asset value per share of the funds. The Company has invested in two event driven funds. Approximately 50% of the value of the funds is not currently eligible for redemption due to an imposed two year lock-up period. The remaining 50% of the value of the funds in this class is currently eligible for quarterly redemption, but is subject to redemption fees and limitations.</td></tr></table></div> <div style="margin-top: 6pt; font-size: 10pt;" align="left">     Three of the Company's hedge funds, one multi-strategy fund and two event driven funds, had long exposure greater than 100% of the funds' net asset value (indicating explicit leverage) of 268%, 125% and 103%, respectively, as of September 30, 2010. </div> <div style="margin-top: 6pt; font-size: 10pt;" align="left">     In addition to the sixteen hedge funds outlined above, the Company has committed $50,000 and $25,000 for two new investments, respectively. </div> <div style="margin-top: 12pt; font-size: 10pt;" align="left"><b><i>e) Net Investment Income</i></b> </div> <div align="center"> <table style="font-size: 10pt;" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr valign="bottom"><td width="52%"> </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 colspan="6" nowrap="nowrap" align="center"><b>For the Three Months Ended</b></td> <td> </td> <td> </td> <td colspan="6" nowrap="nowrap" align="center"><b>For the Nine Months Ended</b></td> <td> </td></tr> <tr style="font-size: 8pt;" valign="bottom"><td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="6" nowrap="nowrap" align="center"><b>September 30,</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="6" nowrap="nowrap" align="center"><b>September 30,</b></td> <td> </td></tr> <tr style="font-size: 8pt;" valign="bottom"><td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>2010</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>2009</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>2010</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>2009</b></td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Fixed maturities and other investments</div></td> <td> </td> <td align="left">$</td> <td align="right">55,165</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">74,857</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">193,815</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">230,438</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Other invested assets</div></td> <td> </td> <td> </td> <td align="right">6,438</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">7,684</td> <td> </td> <td> </td> <td> </td> <td align="right">1,487</td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Cash and cash equivalents</div></td> <td> </td> <td> </td> <td align="right">183</td> <td> </td> <td> </td> <td> </td> <td align="right">287</td> <td> </td> <td> </td> <td> </td> <td align="right">346</td> <td> </td> <td> </td> <td> </td> <td align="right">1,474</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Expenses</div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(2,307</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(2,112</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(7,870</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(5,976</td> <td nowrap="nowrap">)</td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Net investment income</div></td> <td> </td> <td align="left">$</td> <td align="right">59,479</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">73,032</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">193,975</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">227,423</td> <td> </td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr></table></div></div> <div style="font-family: 'Times New Roman',Times,serif;"> <div style="margin-top: 12pt; font-size: 10pt;" align="left"><b><i>f) Components of Realized Gains and Losses</i></b> </div> <div style="margin-top: 6pt; font-size: 10pt;" align="left">     Components of realized gains for the three and nine months ended September 30, 2010 and 2009 are summarized in the following table: </div> <div align="center"> <table style="font-size: 10pt;" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr valign="bottom"><td width="52%"> </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 colspan="6" nowrap="nowrap" align="center"><b>For the Three Months Ended</b></td> <td> </td> <td> </td> <td colspan="6" nowrap="nowrap" align="center"><b>For the Nine Months Ended</b></td> <td> </td></tr> <tr style="font-size: 8pt;" valign="bottom"><td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="6" nowrap="nowrap" align="center"><b>September 30,</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="6" nowrap="nowrap" align="center"><b>September 30,</b></td> <td> </td></tr> <tr style="font-size: 8pt;" valign="bottom"><td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>2010</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>2009</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>2010</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>2009</b></td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Gross realized gains on sale of securities</div></td> <td> </td> <td align="left">$</td> <td align="right">33,222</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">19,438</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">163,461</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">113,710</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Gross realized losses on sale of securities</div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(2,533</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(943</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(15,663</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(60,904</td> <td nowrap="nowrap">)</td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Treasury yield hedge</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 nowrap="nowrap" align="left"> </td> <td align="right">(3,958</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Mark-to-market changes: debt securities trading</div></td> <td> </td> <td> </td> <td align="right">73,563</td> <td> </td> <td> </td> <td> </td> <td align="right">7,203</td> <td> </td> <td> </td> <td> </td> <td align="right">134,040</td> <td> </td> <td> </td> <td> </td> <td align="right">15,015</td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Mark-to-market changes: hedge funds and equity securities</div></td> <td> </td> <td> </td> <td align="right">10,818</td> <td> </td> <td> </td> <td> </td> <td align="right">21,163</td> <td> </td> <td> </td> <td> </td> <td align="right">9,610</td> <td> </td> <td> </td> <td> </td> <td align="right">20,735</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Gain on sale of Program Administrator</div></td> <td> </td> <td> </td> <td align="right">1,860</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">1,860</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Net realized investment gains</div></td> <td> </td> <td align="left">$</td> <td align="right">116,930</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">46,861</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">289,350</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">88,556</td> <td> </td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Proceeds from sale of available for sale securities</div></td> <td> </td> <td align="left">$</td> <td align="right">208,473</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,616,967</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">2,054,547</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">6,982,261</td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Proceeds from sale of trading securities</div></td> <td> </td> <td align="left">$</td> <td align="right">2,517,784</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,249,780</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">7,815,137</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,317,185</td> <td> </td></tr></table></div> <div style="margin-top: 6pt; font-size: 10pt;" align="left">     The Company recognized a realized loss of $3,958 related to a U.S. treasury yield hedge transaction that was purchased in May 2010 and terminated in June 2010. In July 2010, the Company sold its program administrator and wholesale brokerage operations for $2,395 in cash and recognized a gain on the sale of $1,860. </div> <div style="margin-top: 12pt; font-size: 10pt;" align="left"><b><i>g) Pledged Assets</i></b> </div> <div style="margin-top: 6pt; font-size: 10pt;" align="left">     As of September 30, 2010 and December 31, 2009, $407,052 and $323,681, respectively, of cash and cash equivalents and investments were on deposit with various state or government insurance departments or pledged in favor of ceding companies in order to comply with relevant insurance regulations. In addition, the Company has set up trust accounts to meet security requirements for inter-company reinsurance transactions. These trusts contained assets of $1,215,207 and $701,843 as of September 30, 2010 and December 31, 2009, respectively, and are included in fixed maturity investments. </div> <div style="margin-top: 6pt; font-size: 10pt;" align="left">     The Company also has facilities available for the issuance of letters of credit collateralized against the Company's investment portfolio. The collateralized portion of these facilities is up to $1,300,000 as of September 30, 2010 and December 31, 2009. See Note 8 "Debt and Financing Arrangements" for details on the facilities. </div> <div style="margin-top: 6pt; font-size: 10pt;" align="left">     The following table shows the Company's trust accounts on deposit, as well as outstanding and remaining letters of credit facilities, and the collateral committed to support the letters of credit facilities as of September 30, 2010 and December 31, 2009: </div> <div align="center"> <table style="font-size: 10pt;" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr valign="bottom"><td width="76%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td> <td width="5%"> </td> <td width="1%"> </td></tr> <tr style="font-size: 8pt;" valign="bottom"><td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"><b>As of</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"><b>As of</b></td> <td> </td></tr> <tr style="font-size: 8pt;" valign="bottom"><td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"><b>September 30,</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"><b>December 31,</b></td> <td> </td></tr> <tr style="font-size: 8pt;" valign="bottom"><td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>2010</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>2009</b></td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Total trust accounts on deposit</div></td> <td> </td> <td align="left">$</td> <td align="right">1,622,259</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,025,524</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Total letters of credit facilities:</div></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="text-indent: -15px; margin-left: 30px;">Citibank Europe plc</div></td> <td> </td> <td> </td> <td align="right">900,000</td> <td> </td> <td> </td> <td> </td> <td align="right">900,000</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 30px;">Credit Facility</div></td> <td> </td> <td> </td> <td align="right">800,000</td> <td> </td> <td> </td> <td> </td> <td align="right">800,000</td> <td> </td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 30px;">Total letters of credit facilities</div></td> <td> </td> <td> </td> <td align="right">1,700,000</td> <td> </td> <td> </td> <td> </td> <td align="right">1,700,000</td> <td> </td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Total letters of credit facilities outstanding:</div></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="text-indent: -15px; margin-left: 30px;">Citibank Europe plc</div></td> <td> </td> <td> </td> <td align="right">786,347</td> <td> </td> <td> </td> <td> </td> <td align="right">794,609</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 30px;">Credit Facility</div></td> <td> </td> <td> </td> <td align="right">197,446</td> <td> </td> <td> </td> <td> </td> <td align="right">376,658</td> <td> </td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 30px;">Total letters of credit facilities outstanding</div></td> <td> </td> <td> </td> <td align="right">983,793</td> <td> </td> <td> </td> <td> </td> <td align="right">1,171,267</td> <td> </td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Total letters of credit facilities remaining:</div></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="text-indent: -15px; margin-left: 30px;">Citibank Europe plc</div></td> <td> </td> <td> </td> <td align="right">113,653</td> <td> </td> <td> </td> <td> </td> <td align="right">105,391</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 30px;">Credit Facility</div></td> <td> </td> <td> </td> <td align="right">602,554</td> <td> </td> <td> </td> <td> </td> <td align="right">423,342</td> <td> </td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 30px;">Total letters of credit facilities remaining</div></td> <td> </td> <td> </td> <td align="right">716,207</td> <td> </td> <td> </td> <td> </td> <td align="right">528,733</td> <td> </td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Collateral committed to support the letter of credit facilities</div></td> <td> </td> <td align="left">$</td> <td align="right">1,217,792</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,208,359</td> <td> </td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr></table></div></div> <div style="font-family: 'Times New Roman',Times,serif;"> <div style="margin-top: 6pt; font-size: 10pt;" align="left">     Total trust accounts on deposit includes available for sale securities, trading securities and cash and cash equivalents. The fair values of the combined total cash and cash equivalents and investments held under trust were $2,840,051 and $2,233,883 as of September 30, 2010 and December 31, 2009, respectively. Of the total letters of credit facilities outstanding as of September 30, 2010 and December 31, 2009, $7,295 and $263,297 was used to meet security requirements for inter-company transactions and the remaining letters of credit facilities outstanding of $976,498 and $907,970 was used for third-party ceding companies, respectively. Trust accounts were substituted for inter-company letters of credit during 2010. </div> <div style="margin-top: 12pt; font-size: 10pt;" align="left"><b><i>h) Analysis of Unrealized Losses</i></b> </div> <div style="margin-top: 6pt; font-size: 10pt;" align="left">     The Company's primary investment objective is the preservation of capital. Although the Company has been successful in meeting this objective, shifts in interest rates and credit spreads affecting valuation can temporarily place some investments in an unrealized loss position. </div> <div style="margin-top: 6pt; font-size: 10pt;" align="left">     The following table summarizes the market value of those investments in an unrealized loss position for periods less than and greater than 12 months as of September 30, 2010 and December 31, 2009: </div> <div align="center"> <table style="font-size: 10pt;" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr valign="bottom"><td width="28%"> </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> <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 style="border-bottom: #000000 1px solid;" colspan="10" nowrap="nowrap" align="center"><b>September 30, 2010</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="10" nowrap="nowrap" align="center"><b>December 31, 2009</b></td> <td> </td></tr> <tr style="font-size: 8pt;" valign="bottom"><td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"><b>Gross Fair</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"><b>Unrealized</b></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"><b>Gross Fair</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"><b>Unrealized</b></td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="center"> </td> <td> </td></tr> <tr style="font-size: 8pt;" valign="bottom"><td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>Value</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>Loss</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>OTTI OCI</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>Value</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>Loss</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>OTTI OCI</b></td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;"><b>Less than 12 months</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> <td> </td> <td> </td> <td> </td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">U.S. Government and Government agencies</div></td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">112,349</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(1,367</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Non-U.S. Government and Government agencies</div></td> <td> </td> <td> </td> <td align="right">43,038</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(794</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td align="right">40,450</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,079</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">States, municipalities and political subdivisions</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> <td> </td> <td> </td> <td align="right">7,637</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(336</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="text-indent: -15px; margin-left: 15px;">Corporate debt</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> <td> </td> <td> </td> <td> </td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 30px;">Financial institutions</div></td> <td> </td> <td> </td> <td align="right">16,164</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(586</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">45,697</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(560</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="text-indent: -15px; margin-left: 30px;">Industrials</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> <td> </td> <td> </td> <td align="right">18,409</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(184</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Residential mortgage-backed</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> <td> </td> <td> </td> <td> </td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 30px;">Non-agency residential</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> <td> </td> <td> </td> <td align="right">82,544</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(8,797</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,527</td> <td nowrap="nowrap">)</td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 30px;">Agency residential</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> <td> </td> <td> </td> <td align="right">70,525</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,057</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="text-indent: -15px; margin-left: 15px;">Commercial mortgage-backed</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> <td> </td> <td> </td> <td align="right">56,396</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(511</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Asset-backed</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> <td> </td> <td> </td> <td align="right">8,516</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(120</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td align="left">$</td> <td align="right">59,202</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(1,380</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">442,523</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(14,011</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(1,527</td> <td nowrap="nowrap">)</td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;"><b>More than 12 months</b></div></td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">U.S. Government and Government agencies</div></td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">271</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(22</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Non-U.S. Government and Government agencies</div></td> <td> </td> <td> </td> <td align="right">2,802</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(612</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3,700</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(511</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="text-indent: -15px; margin-left: 15px;">Corporate debt</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> <td> </td> <td> </td> <td> </td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 30px;">Financial institutions</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> <td> </td> <td> </td> <td align="right">23,462</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,191</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="text-indent: -15px; margin-left: 15px;">Residential mortgage-backed</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> <td> </td> <td> </td> <td> </td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 30px;">Non-agency residential</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> <td> </td> <td> </td> <td align="right">27,265</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(2,720</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(329</td> <td nowrap="nowrap">)</td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 30px;">Agency residential</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> <td> </td> <td> </td> <td align="right">214</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(38</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Commercial mortgage-backed</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> <td> </td> <td> </td> <td align="right">149,074</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(7,404</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="text-indent: -15px; margin-left: 15px;">Asset-backed</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> <td> </td> <td> </td> <td align="right">419</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(26</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td align="left">$</td> <td align="right">2,802</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(612</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">204,405</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(11,912</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(329</td> <td nowrap="nowrap">)</td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td align="left">$</td> <td align="right">62,004</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(1,992</td> <td nowrap="nowrap">)</td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">646,928</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(25,923</td> <td nowrap="nowrap">)</td> <td> </td> <td nowrap="nowrap" align="left">$</td> <td align="right">(1,856</td> <td nowrap="nowrap">)</td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr></table></div> <div align="center"> </div></div> <div style="font-family: 'Times New Roman',Times,serif;"> <div style="margin-top: 6pt; font-size: 10pt;" align="left">     As of September 30, 2010 and December 31, 2009, there were approximately 4 and 159 securities, respectively, in an unrealized loss position. The gross unrealized loss of $1,992 as of September 30, 2010 was primarily the result of widening credit spreads related to increases in market risk premium and reduced market liquidity since the acquisition of these securities. The decrease in the gross unrealized loss from December 31, 2009 to September 30, 2010 is primarily due to selling available for sale debt securities and reinvesting proceeds in trading debt securities thereby reducing unrealized gains/losses recognized in accumulated other comprehensive income. </div> <div style="margin-top: 12pt; font-size: 10pt;" align="left"><b><i>i) Other-than-temporary impairment charges</i></b> </div> <div style="margin-top: 6pt; font-size: 10pt;" align="left">     Following the Company's review of the securities in the investment portfolio during the three and nine months ended September 30, 2010, none and one mortgage-backed security, respectively, was considered to be other-than-temporarily impaired due to the present value of the expected cash flows being lower than the amortized cost. The $168 of OTTI during the nine months ended September 30, 2010 was recognized through earnings due to credit related losses. </div> <div style="margin-top: 6pt; font-size: 10pt;" align="left">     For the mortgage-backed security for which OTTI was recognized due to credit loss during the nine months ended September 30, 2010, the significant inputs utilized to determine a credit loss were the estimated frequency and severity of losses of the underlying mortgages that comprise the mortgage-backed security. The frequency of losses was measured as the credit default rate, which includes such factors such as loan-to-value ratios and credit scores of borrowers. The severity of losses includes such factors as trends in overall housing prices and house prices that are obtained at foreclosure. The frequency and severity inputs were used in projecting the future cash flows of the mortgage backed security. For the security in which the Company recognized an OTTI due to credit loss, the credit default rate was 10.3% and the severity rate was 49.0%. </div> <div style="margin-top: 6pt; font-size: 10pt;" align="left">     Following the Company's review of the securities in the investment portfolio, 8 securities (7 mortgage-backed securities and 1 corporate bond) were considered to be other-than-temporarily impaired for the three months ended September 30, 2009 due to the present value of the expected cash flows being lower than the amortized cost. Of the $9,861 recognized as OTTI, $1,953 was recognized through earnings in the consolidated income statement due to credit related losses and $7,908 was recognized in "accumulated other comprehensive income" in the consolidated balance sheets. </div> <div style="margin-top: 6pt; font-size: 10pt;" align="left">     For the nine months ended September 30, 2009, 15 securities (13 mortgage-backed securities and 2 corporate bonds) were considered to be other-than-temporarily impaired due to the present value of the expected cash flows being lower than the amortized cost as determined by the Company's review of the securities in the investment portfolio. Of the $68,049 recognized as OTTI, $49,390 was recognized through earnings in the consolidated income statement due to credit related losses and $18,659 was recognized in "accumulated other comprehensive income" in the consolidated balance sheets. </div> <div style="margin-top: 6pt; font-size: 10pt;" align="left">     The following table shows the range of the credit default rates and severity rates for the mortgage-backed securities for which an OTTI was recognized through earnings during the nine months ended September 30, 2009 as well as the weighted average rates. </div> <div align="center"> <table style="font-size: 10pt;" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr valign="bottom"><td width="34%"> </td> <td width="5%"> </td> <td width="33%"> </td> <td width="5%"> </td> <td width="23%"> </td></tr> <tr style="font-size: 8pt;" valign="bottom"><td style="border-bottom: #000000 0px solid;" nowrap="nowrap" align="left"><u><b>Significant Input</b></u></td> <td> </td> <td style="border-bottom: #000000 0px solid;" nowrap="nowrap" align="left"><u><b>Range of Inputs</b></u></td> <td> </td> <td style="border-bottom: #000000 0px solid;" nowrap="nowrap" align="left"><u><b>Weighted Average of Input</b></u></td></tr> <tr valign="bottom"><td valign="top"> <div style="text-indent: 0px; margin-left: 0px;"> </div></td> <td> </td> <td valign="top" align="left"> </td> <td> </td> <td valign="top" align="left"> </td></tr> <tr valign="bottom"><td valign="top"> <div style="text-indent: 0px; margin-left: 0px;">Credit default rate </div></td> <td> </td> <td valign="top" align="left">0.6% - 11.0% </td> <td> </td> <td valign="top" align="left">6.1% </td></tr> <tr valign="bottom"><td valign="top"> <div style="text-indent: 0px; margin-left: 0px;"> </div></td> <td> </td> <td valign="top" align="left"> </td> <td> </td> <td valign="top" align="left"> </td></tr> <tr valign="bottom"><td valign="top"> <div style="text-indent: 0px; margin-left: 0px;">Severity rate </div></td> <td> </td> <td valign="top" align="left">30.1% - 100.0% </td> <td> </td> <td valign="top" align="left">37.2% </td></tr></table></div> <div style="margin-top: 6pt; font-size: 10pt;" align="left">     The following table summarizes the amounts related to credit losses on debt securities for which a portion of the OTTI was recognized in other comprehensive income in the consolidated income statements for the three and nine months ended September 30, 2010 and 2009: </div></div> <div style="font-family: 'Times New Roman',Times,serif;"> <div align="center"> <table style="font-size: 10pt;" border="0" cellspacing="0" cellpadding="0" width="100%"> <tr valign="bottom"><td width="52%"> </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 colspan="6" nowrap="nowrap" align="center"><b>For the Three Months</b></td> <td> </td> <td> </td> <td colspan="6" nowrap="nowrap" align="center"><b>For the Nine Months</b></td> <td> </td></tr> <tr style="font-size: 8pt;" valign="bottom"><td> </td> <td> </td> <td style="border-bottom: #000000 0px solid;" colspan="6" nowrap="nowrap" align="center"><b>ended September 30,</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 0px solid;" colspan="6" nowrap="nowrap" align="center"><b>ended September 30,</b></td> <td> </td></tr> <tr style="font-size: 8pt;" valign="bottom"><td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>2010</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>2009</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>2010</b></td> <td> </td> <td> </td> <td style="border-bottom: #000000 1px solid;" colspan="2" nowrap="nowrap" align="center"><b>2009</b></td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Beginning balance of credit losses</div></td> <td> </td> <td align="left">$</td> <td align="right">1,264</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">12,614</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">1,096</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">7,140</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Additions for credit loss for which OTTI was not previously recognized</div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">1,135</td> <td> </td> <td> </td> <td> </td> <td align="right">168</td> <td> </td> <td> </td> <td> </td> <td align="right">4,302</td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Reductions for securities sold during the period (realized)</div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,826</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,826</td> <td nowrap="nowrap">)</td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Reductions for OTTI previously recognized due to intent to sell</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> <td> </td> <td> </td> <td align="right">—</td> <td> </td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Additions resulting from the increase in credit losses</div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">818</td> <td> </td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td> </td> <td align="right">3,125</td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Reductions resulting from the improvement in expected cash flows</div></td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(2,230</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(2,230</td> <td nowrap="nowrap">)</td></tr> <tr style="background: #cceeff;" valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Adoption of ASU 2010-11</div></td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,264</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td> <td> </td> <td nowrap="nowrap" align="left"> </td> <td align="right">(1,264</td> <td nowrap="nowrap">)</td> <td> </td> <td> </td> <td align="right">—</td> <td> </td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 1px solid;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr> <tr valign="bottom"><td> <div style="text-indent: -15px; margin-left: 15px;">Ending balance of credit losses</div></td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">10,511</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">—</td> <td> </td> <td> </td> <td align="left">$</td> <td align="right">10,511</td> <td> </td></tr> <tr style="font-size: 1px;"><td> <div style="text-indent: -15px; margin-left: 15px;"> </div></td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td> <td> </td> <td style="border-top: #000000 3px double;" colspan="2" nowrap="nowrap" align="right"> </td> <td> </td></tr></table></div></div> </div> 4. INVESTMENTS a) Available for Sale Securities      The amortized cost, gross unrealized gains, unrealized losses, false false false us-types:textBlockItemType textblock This item represents the entire disclosure related to 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). Reference 1: 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 false 1 2 false UnKnown UnKnown UnKnown false true