INVESTMENTS (TABLES)

9 Months Ended

Sep. 30, 2011

AMORTIZED COST/COST AND FAIR VALUES OF FIXED MATURITIES AND EQUITIES

a) Fixed Maturities and Equities

The amortized cost or cost and fair values of our fixed maturities and equities were as follows:

				Amortized		Gross		Gross				Non-credit
				Cost or		Unrealized		Unrealized		Fair		OTTI
				Cost		Gains		Losses		Value		in AOCI⁽⁵⁾

	At September 30, 2011
	Fixed maturities
		U.S. government and agency	$	1,103,869	$	6,856	$	(1,282)	$	1,109,443	$	-
		Non-U.S. government		1,015,795		7,061		(22,278)		1,000,578		-
		Corporate debt		3,716,760		78,168		(74,828)		3,720,100		-
		Agency RMBS⁽¹⁾		2,538,293		73,876		(1,100)		2,611,069		-
		CMBS⁽²⁾		273,278		10,987		(1,105)		283,160		-
		Non-Agency RMBS		186,480		1,509		(11,203)		176,786		(874)
		ABS⁽³⁾		643,332		9,046		(13,836)		638,542		-
		Municipals⁽⁴⁾		1,163,380		35,894		(2,223)		1,197,051		-
		Total fixed maturities	$	10,641,187	$	223,397	$	(127,855)	$	10,736,729	$	(874)

	Equity securities		$	634,268	$	11,703	$	(78,090)	$	567,881

	At December 31, 2010
	Fixed maturities
		U.S. government and agency	$	856,711	$	7,101	$	(3,692)	$	860,120	$	-
		Non-U.S. government		777,236		9,321		(13,759)		772,798		-
		Corporate debt		4,054,048		144,956		(36,096)		4,162,908		-
		Agency RMBS		2,571,124		43,160		(20,702)		2,593,582		-
		CMBS		454,288		21,998		(1,501)		474,785		-
		Non-Agency RMBS		252,460		3,287		(11,545)		244,202		(7,443)
		ABS		668,037		8,856		(15,050)		661,843		(1,275)
		Municipals		712,339		11,870		(11,550)		712,659		(350)
		Total fixed maturities	$	10,346,243	$	250,549	$	(113,895)	$	10,482,897	$	(9,068)

	Equity securities		$	327,207	$	26,761	$	(4,714)	$	349,254

(1) Residential mortgage-backed securities (RMBS) originated by U.S. agencies.
(2) Commercial mortgage-backed securities (CMBS).
(3) Asset-backed securities (ABS) include debt tranched securities collateralized primarily by auto loans, student loans, credit cards, and other asset types. This asset class also includes an insignificant position in collateralized loan obligations (CLOs) and collateralized debt obligations (CDOs).

(4) Municipals include bonds issued by states, municipalities and political subdivisions.
(5) Represents the non-credit component of the other-than-temporary impairment (OTTI) losses, adjusted for subsequent sales of securities. It does not include the change in fair value subsequent to the impairment measurement date.

CONTRACTUAL MATURITIES OF FIXED MATURITIES

Contractual Maturities

The contractual maturities of fixed maturities are shown below. Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.


			Amortized		Fair	% of Total
			Cost		Value	Fair Value
	At September 30, 2011
	Maturity
	Due in one year or less	$	454,659	$	454,403	4.2	%
	Due after one year through five years		4,687,362		4,672,568	43.6	%
	Due after five years through ten years		1,694,606		1,734,473	16.2	%
	Due after ten years		163,177		165,728	1.5	%
			6,999,804		7,027,172	65.5	%
	Agency RMBS		2,538,293		2,611,069	24.3	%
	CMBS		273,278		283,160	2.6	%
	Non-Agency RMBS		186,480		176,786	1.7	%
	ABS		643,332		638,542	5.9	%
	Total	$	10,641,187	$	10,736,729	100.0	%

	At December 31, 2010
	Maturity
	Due in one year or less	$	476,807	$	489,190	4.7	%
	Due after one year through five years		4,096,477		4,144,144	39.5	%
	Due after five years through ten years		1,605,419		1,655,061	15.8	%
	Due after ten years		221,631		220,090	2.1	%
			6,400,334		6,508,485	62.1	%
	Agency RMBS		2,571,124		2,593,582	24.7	%
	CMBS		454,288		474,785	4.5	%
	Non-Agency RMBS		252,460		244,202	2.4	%
	ABS		668,037		661,843	6.3	%
	Total	$	10,346,243	$	10,482,897	100.0	%

FIXED MATURITIES AND EQUITIES IN AN UNREALIZED LOSS POSITION

Gross Unrealized Losses

The following tables summarize fixed maturities and equities in an unrealized loss position and the aggregate fair value and gross unrealized loss by length of time the security has continuously been in an unrealized loss position:


				12 months or greater				Less than 12 months				Total
				Fair		Unrealized		Fair		Unrealized		Fair		Unrealized
				Value		Losses		Value		Losses		Value		Losses

	At September 30, 2011
	Fixed maturities
	U.S. government and agency		$	-	$	-	$	621,060	$	(1,282)	$	621,060	$	(1,282)
	Non-U.S. government			-		-		669,817		(22,278)		669,817		(22,278)
	Corporate debt			49,282		(2,530)		1,759,460		(72,298)		1,808,742		(74,828)
	Agency RMBS			-		-		284,510		(1,100)		284,510		(1,100)
	CMBS			20,237		(585)		41,834		(520)		62,071		(1,105)
	Non-Agency RMBS			43,727		(7,382)		93,518		(3,821)		137,245		(11,203)
	ABS			47,099		(9,752)		206,310		(4,084)		253,409		(13,836)
	Municipals			7,269		(1,469)		109,084		(754)		116,353		(2,223)
		Total fixed maturities	$	167,614	$	(21,718)	$	3,785,593	$	(106,137)	$	3,953,207	$	(127,855)

	Equity securities		$	3,022	$	(990)	$	460,598	$	(77,100)	$	463,620	$	(78,090)

	At December 31, 2010
	Fixed maturities
	U.S. government and agency		$	-	$	-	$	453,207	$	(3,692)	$	453,207	$	(3,692)
	Non-U.S. government			83,572		(6,062)		302,431		(7,697)		386,003		(13,759)
	Corporate debt			160,161		(13,123)		1,087,683		(22,973)		1,247,844		(36,096)
	Agency RMBS			735		(42)		1,308,690		(20,660)		1,309,425		(20,702)
	CMBS			1,164		(59)		48,701		(1,442)		49,865		(1,501)
	Non-Agency RMBS			100,074		(10,030)		57,095		(1,515)		157,169		(11,545)
	ABS			40,617		(12,871)		155,491		(2,179)		196,108		(15,050)
	Municipals			23,681		(3,118)		288,130		(8,432)		311,811		(11,550)
		Total fixed maturities	$	410,004	$	(45,305)	$	3,701,428	$	(68,590)	$	4,111,432	$	(113,895)

	Equity securities		$	4,347	$	(601)	$	122,317	$	(4,113)	$	126,664	$	(4,714)

PORTFOLIO OF OTHER INVESTMENTS

b) Other Investments

The table below shows our portfolio of other investments reported at fair value:


			September 30, 2011			December 31, 2010

	Hedge funds	$	267,055	42%	$	123,036	24%
	Funds of hedge funds		230,187	36%		235,240	45%
	Long/short credit funds		66,823	10%		82,846	16%
	Distressed securities		20,563	3%		21,911	4%
	CLO - equity tranched securities		58,642	9%		56,263	11%
	Total other investments	$	643,270	100%	$	519,296	100%

NET INVESTMENT INCOME

c) Net Investment Income

Net investment income was derived from the following sources:

		Three months ended September 30,				Nine months ended September 30,
			2011		2010		2011		2010

	Fixed maturities	$	81,900	$	89,580	$	259,683	$	267,471
	Equities		2,079		917		6,977		2,837
	Other investments		(30,376)		25,094		6,732		39,374
	Cash and cash equivalents		1,148		1,517		4,803		4,241
	Short-term investments		302		308		1,161		735
	Gross investment income		55,053		117,416		279,356		314,658
	Investment expenses		(5,657)		(5,616)		(19,288)		(15,654)
	Net investment income	$	49,396	$	111,800	$	260,068	$	299,004

NET REALIZED INVESTMENT GAINS (LOSSES)

d) Net Realized Investment Gains

The following table provides an analysis of net realized investment gains:

		Three months ended September 30,				Nine months ended September 30,
			2011		2010		2011		2010

	Gross realized gains	$	86,341	$	105,701	$	223,264	$	224,661
	Gross realized losses		(33,595)		(17,559)		(86,235)		(93,138)
	Net OTTI recognized in earnings		(9,273)		(2,363)		(12,686)		(15,297)
	Net realized gains on fixed maturities
	and equities		43,473		85,779		124,343		116,226

	Change in fair value of investment derivatives⁽¹⁾		18,825		(6,333)		5,364		(3,503)

	Fair value hedges⁽¹⁾		(4,741)		(2,915)		(4,530)		4,602

	Net realized investment gains	$	57,557	$	76,531	$	125,177	$	117,325

(1) Refer to Note 6 – Derivative Instruments

OTTI RECOGNIZED IN EARNINGS BY ASSET CLASS

The following table summarizes the OTTI recognized in earnings by asset class:

		Three months ended September 30,				Nine months ended September 30,
			2011		2010		2011		2010

	Fixed maturities:
	Corporate debt	$	928	$	-	$	1,954	$	1,650
	CMBS		-		88		-		413
	Non-Agency RMBS		347		772		717		4,715
	ABS		-		-		61		1,126
	Municipals		-		-		483		19
			1,275		860		3,215		7,923

	Equities		7,998		1,503		9,471		7,374
	Total OTTI recognized in earnings	$	9,273	$	2,363	$	12,686	$	15,297

ROLL FORWARD OF CREDIT LOSSES FOR WHICH A PORTION OF OTTI RECOGNIZED IN AOCI

The following table provides a roll forward of the credit losses, before income taxes, for which a portion of the OTTI was recognized in AOCI:


		Three months ended				Nine months ended
		September 30,				September 30,
			2011		2010		2011		2010

	Balance at beginning of period	$	1,894	$	146,963	$	57,498	$	162,390
	Credit impairments recognized on securities not previously impaired		448		167		448		1,355
	Additional credit impairments recognized on securities previously impaired		-		1,396		(96)		2,173
	Change in timing of future cash flows on securities previously impaired		-		(141)		(5)		(116)
	Intent to sell of securities previously impaired		-		(764)		-		(829)
	Securities sold/redeemed/matured		(30)		(44,682)		(55,533)		(62,034)
	Balance at end of period	$	2,312	$	102,939	$	2,312	$	102,939

- Definition

Tabular disclosure of available-for-sale securities which consist of all investments in certain debt and equity securities neither classified as trading or held-to-maturity securities. A debt security represents a creditor relationship with an enterprise. 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.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

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Reference 3: http://www.xbrl.org/2003/role/presentationRef

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+ Details

- Definition

Tabular disclosure of the amount of other than temporary impairment (OTTI) related to credit losses recognized in earnings including: (a) the beginning balance of the amount related to credit losses on debt securities held by the investor at the beginning of the period for which a portion of an OTTI was recognized in other comprehensive income; (b) additions for the amount related to the credit loss for which an OTTI was not previously recognized; (c) reductions for securities sold during the period (realized); (d) reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the investor intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis; (e) additional increases to the amount related to the credit loss for which an OTTI was previously recognized when the investor does not intend to sell the security and it is not more likely than not that the investor will be required to sell the security before recovery of its amortized cost basis; (f) reductions for increases in cash flows expected to be collected that are recognized over the remaining life of the security; and (g) the ending balance of the amount related to credit losses on debt securities held by the entity at the end of the period for which a portion of an OTTI was recognized in other comprehensive income.

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