Investments (Tables)

6 Months Ended

Jun. 30, 2011

Investments

Schedule of Available for Sale Securities

			Gross		Gross
			Unrealized		Unrealized
	Amortized Cost		Gains		Losses			Fair Value
June 30, 2011
U.S. Government and Government agencies	$	37,597	$	1,419	$	—		$	39,016
States, municipalities and political subdivisions		43,343		5,323		—			48,666
Corporate debt:
Financial institutions		41,186		2,365		—			43,551
Industrials		95,583		7,656		—			103,239
Utilities		101,002		10,077		—			111,079
Total fixed maturity investments, available for sale	$	318,711	$	26,840	$	—		$	345,551
December 31, 2010
U.S. Government and Government agencies	$	85,030	$	6,923	$	—		$	91,953
Non-U.S. Government and Government agencies		138,386		9,539		(2,541	)		145,384
States, municipalities and political subdivisions		107,289		10,901		(13	)		118,177
Corporate debt:
Financial institutions		66,660		6,776		(38	)		73,398
Industrials		310,664		20,548		(2	)		331,210
Utilities		120,515		11,212		—			131,727
Total fixed maturity investments, available for sale	$	828,544	$	65,899	$	(2,594	)	$	891,849

Schedule of Trading Securities

	June 30, 2011		December 31, 2010
U.S. Government and Government agencies	$	982,274	$	1,229,720
Non-U.S. Government and Government agencies		177,529		120,793
States, municipalities and political subdivisions		108,256		127,436
Corporate debt:
Financial institutions		1,440,554		1,261,219
Industrials		772,829		627,524
Utilities		135,492		101,472
Residential mortgage-backed:
Non-agency residential		363,408		371,935
Agency residential		1,229,647		1,195,905
Commercial mortgage-backed		311,509		184,043
Asset-backed		679,536		549,050
Total fixed maturity investments, trading		6,201,034		5,769,097
Equity securities		393,913		174,976
Hedge funds (1)		562,267		347,632
Total	$	7,157,214	$	6,291,705

⁽¹⁾ Within the Company's financial statements and footnotes "hedge funds" include the Company's investments in both hedge funds and private equity funds.

Schedule of Contractual Maturity Dates of Available for Sale Fixed Maturity Investments

	June 30, 2011
	Amortized Cost		Fair Value
Due within one year	$	33,343	$	33,999
Due after one year through five years		233,119		252,903
Due after five years through ten years		49,168		55,314
Due after ten years		3,081		3,335
	$	318,711	$	345,551

Schedule of Investments and Cash and Cash Equivalents

					Long			Short
Hedge Fund	Fair Value as of		Unfunded		Exposure(1)			Exposure(2)			Gross			Net
Type	June 30, 2011		Commitments		(% of funded)			(% of funded)			Exposure(3)			Exposure(4)
Private equity (primary and secondary)	$	56,707	$	182,296		100	%		0	%		100	%		100	%
Mezzanine debt		1,978		113,022		100	%		0	%		100	%		100	%
Distressed		62,498		37,289		73	%		10	%		83	%		63	%
Total private equity		121,183		332,607
Equity long/short		186,142		—		104	%		67	%		171	%		37	%
Multi-strategy		170,168		—		101	%		60	%		161	%		41	%
Event driven		84,774		—		115	%		75	%		190	%		40	%
Total	$	562,267	$	332,607

(1)	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).
(2)	Short exposure represents the ratio of the securities sold short to the fund's equity capital.
(3)	Gross exposure is the addition of the long and short exposures (over 100% may denote explicit borrowing).
(4)	Net exposure is the subtraction of the short exposure from the long exposure.

Schedule of Net Investment Income

	For the Three Months Ended						For the Six Months Ended
	June 30,						June 30,
	2011			2010			2011			2010
Fixed maturity investments	$	50,648		$	67,552		$	101,594		$	138,650
Equity securities and other invested assets		5,015			940			7,211			1,246
Cash and cash equivalents		127			111			445			163
Expenses		(3,422	)		(3,009	)		(6,674	)		(5,563	)
Net investment income	$	52,368		$	65,594		$	102,576		$	134,496

Schedule of Realized Gains and Losses

	For the Three Months Ended						For the Six Months Ended
	June 30,						June 30,
	2011			2010			2011			2010
Gross realized gains on sale of securities	$	34,611		$	78,572		$	78,168		$	130,239
Gross realized losses on sale of securities		(3,330	)		(6,724	)		(25,262	)		(13,130	)
Treasury yield hedge		—			(3,958	)		—			(3,958	)
Futures not designated as hedges		(15,755	)		—			(20,410	)		—
Foreign exchange forwards not designated as hedges		(560	)		—			(560	)		—
Mark-to-market changes: debt securities trading		31,872			32,746			45,336			60,477
Mark-to-market changes: foreign exchange forwards and futures not designated as hedges		6,275			—			5,434			—
Mark-to-market changes: hedge funds and equity securities		5,765			(5,703	)		26,548		$	(1,208	)
Net realized investment gains	$	58,878		$	94,933		$	109,254		$	172,420
Proceeds from sale of available for sale securities	$	202,671		$	1,306,625		$	546,191		$	1,846,074
Proceeds from sale of trading securities	$	1,432,148		$	1,215,553		$	3,418,548		$	5,297,353

Schedule of Company's Trust Accounts on Deposits, Outstanding and Remaining Letter of Credit Facilities, Collateral Committed to Support the Letter of Credit Facilities

	As of		As of
	June 30,		December 31,
	2011		2010
Total trust accounts on deposit	$	1,608,143	$	1,657,441
Total letter of credit facilities:
Citibank Europe plc		900,000		900,000
Credit Facility		800,000		800,000
Total letter of credit facilities		1,700,000		1,700,000
Total letter of credit facilities outstanding:
Citibank Europe plc		712,454		689,851
Credit Facility		158,983		158,983
Total letter of credit facilities outstanding		871,437		848,834
Total letter of credit facilities remaining:
Citibank Europe plc		187,546		210,149
Credit Facility (1)		641,017		641,017
Total letter of credit facilities remaining		828,563		851,166
Collateral committed to support the letter of credit facilities	$	1,054,206	$	1,121,345

(1) Net of any borrowing or repayments under the Unsecured Facility (as defined in Note 8). See Note 8 for further details on the Unsecured Facility.

Summarizes the Market Value of those Investments in an Unrealized Loss Position for Periods Less Than and Greater Than 12 Months

	December 31, 2010
	Gross Fair		Unrealized
	Value		Loss
Less than 12 months
U.S. Government and Government agencies	$	—	$	—
Non-U.S. Government and Government agencies		34,204		(1,116	)
States, municipalities and political subdivisions		472		(13	)
Corporate debt:
Financial institutions		2,796		(38	)
Industrials		2,150		(2	)
	$	39,622	$	(1,169	)
More than 12 months
Non-U.S. Government and Government agencies	$	10,998	$	(1,425	)
	$	10,998	$	(1,425	)
	$	50,620	$	(2,594	)

Schedule of Amounts Related to Credit Losses on Debt Securities for which Portion of the OTTI was Recognized in Other Comprehensive Income

	For the Three Months		For the Six Months
	Ended June 30,		Ended June 30,
	2010		2010
Beginning balance of credit losses	$	1,264	$	1,096
Additions for credit loss for which OTTI was not previously recognized		—		168
Reductions for securities sold during the period (realized)		—		—
Reductions for OTTI previously recognized due to intent to sell		—		—
Additions resulting from the increase in credit losses		—		—
Reductions resulting from the improvement in expected cash flows		—		—
Ending balance of credit losses	$	1,264	$	1,264