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Investments (Tables)

6 Months Ended

Jun. 30, 2011

Fair Value Hierarchy-Allocation of investments

At June 30, 2011, the Company’s investments were allocated between Levels 1, 2 and 3 as follows:


	Level 1		Level 2		Level 3		Total
U.S. Government and Government Agency	$	—	$	838,912	$	—	$	838,912
Non-U.S. Government and Government Agency		—		476,590		—		476,590
States, municipalities, political subdivision		—		29,576		—		29,576
Agency residential mortgage-backed securities		—		470,933		—		470,933
Non-Agency residential mortgage-backed securities		—		51,223		—		51,223
U.S. corporate		—		1,406,591		—		1,406,591
Non-U.S. corporate		—		628,045		—		628,045
Bank Loans		—		387,201		—		387,201
Catastrophe bonds		—		29,934		—		29,934
Asset-backed securities		—		276,273		—		276,273
Commercial mortgage-backed securities		—		8,256		—		8,256

Total fixed maturities		—		4,603,534		—		4,603,534
Short-term investments		679,184		46,074		—		725,258
Hedge fund		—		—		9,776		9,776
Mutual funds		—		8,970		—		8,970

Total	$	679,184	$	4,658,578	$	9,776	$	5,347,538

At December 31, 2010, the Company’s investments were allocated between Levels 1, 2 and 3 as follows:


	Level 1		Level 2		Level 3		Total
U.S. Government and Government Agency	$	—	$	1,677,166	$	—	$	1,677,166
Non-U.S. Government and Government Agency		—		554,199		—		554,199
States, municipalities, political subdivision		—		26,285		—		26,285
Agency residential mortgage-backed securities		—		445,859		—		445,859
Non-Agency residential mortgage-backed securities		—		56,470		—		56,470
U.S. corporate		—		1,308,406		—		1,308,406
Non-U.S. corporate		—		502,067		—		502,067
Bank loans		—		52,566		—		52,566
Catastrophe bonds		—		58,737		—		58,737
Asset-backed securities		—		123,569		—		123,569
Commercial mortgage-backed securities		—		18,543		—		18,543

Total fixed maturities		—		4,823,867		—		4,823,867
Short-term investments		259,261		14,253		—		273,514
Hedge fund		—		—		12,892		12,892
Mutual funds		—		8,586		—		8,586

Total	$	259,261	$	4,846,706	$	12,892	$	5,118,859

Reconciliation of beginning and ending balances for all Level 3 investments measured at fair value on recurring basis

The following tables present a reconciliation of the beginning and ending balances for all investments measured at fair value on a recurring basis using Level 3 inputs during the three and six month periods ending June 30, 2011 and 2010:


	Three Months Ended June 30, 2011
	Fixed Maturity					Total Fair Market
	Investments		Other Investments			Value
Level 3 investments - Beginning of period	$	—	$	10,713		$	10,713
Purchases		—		—			—
Sales		—		(1,247	)		(1,247	)
Issuances		—		—			—
Settlements		—		—			—
Realized gains		—		175			175
Unrealized gains		—		135			135
Amortization		—		—			—
Transfers		—		—			—

Level 3 investments — End of period	$	—	$	9,776		$	9,776


	Three Months Ended June 30, 2010
	Fixed Maturity						Total Fair Market
	Investments			Other Investments			Value
Level 3 investments - Beginning of period	$	76,943		$	21,919		$	98,862
Purchases		—			—			—
Sales		—			(2,710	)		(2,710	)
Issuances		—			—			—
Settlements		—			—			—
Realized gains		—			170			170
Unrealized gains (losses)		2,632			(249	)		2,383
Amortization		(3,997	)		—			(3,997	)
Transfers		—			—			—

Level 3 investments — End of period	$	75,578		$	19,130		$	94,708


	Six Months Ended June 30, 2011
	Fixed Maturity					Total Fair Market
	Investments		Other Investments			Value
Level 3 investments - Beginning of period	$	—	$	12,892		$	12,892
Purchases		—		—			—
Sales		—		(3,809	)		(3,809	)
Issuances		—		—			—
Settlements		—		—			—
Realized gains		—		435			435
Unrealized gains		—		258			258
Amortization		—		—			—
Transfers		—		—			—

Level 3 investments — End of period	$	—	$	9,776		$	9,776


	Six Months Ended June 30, 2010
	Fixed Maturity						Total Fair Market
	Investments			Other Investments			Value
Level 3 investments - Beginning of period	$	85,336		$	25,670		$	111,006
Purchases		—			—			—
Sales		—			(7,094	)		(7,094	)
Issuances		—			—			—
Settlements		—			—			—
Realized gains		—			344			344
Unrealized (losses) gains		(1,634	)		210			(1,424	)
Amortization		(8,124	)		—			(8,124	)
Transfers		—			—			—

Level 3 investments — End of period	$	75,578		$	19,130		$	94,708

Net investment income

Net investment income was derived from the following sources:


	Three Months Ended						Six Months Ended
	June 30,			June 30,			June 30,			June 30,
	2011			2010			2011			2010
Fixed maturities and short-term investments	$	27,535		$	36,346		$	56,470		$	72,101
Cash and cash equivalents		687			311			3,268			897
Securities lending income		8			49			24			119

Total gross investment income		28,230			36,706			59,762			73,117
Investment expenses		(1,736	)		(1,897	)		(3,293	)		(4,009	)

Net investment income	$	26,494		$	34,809		$	56,469		$	69,108

Analysis of net realized gains (losses) and change in unrealized gains on investments

The following represents an analysis of net realized gains and the change in net unrealized gains on investments:


	Three Months Ended						Six Months Ended
	June 30,			June 30,			June 30,			June 30,
	2011			2010			2011			2010
Fixed maturities, short-term and other investments and cash equivalents
Gross realized gains	$	13,032		$	15,120		$	28,797		$	27,885
Gross realized (losses)		(1,480	)		(2,679	)		(10,866	)		(4,046	)

Net realized gains on investments		11,552			12,441			17,931			23,839
Net unrealized gains (losses) on securities lending		11			(6	)		41			(1,020	)
Change in net unrealized gains on investments		18,515			41,646			5,657			58,073

Total net realized gains and change in net unrealized gains on investments	$	30,078		$	54,081		$	23,629		$	80,892

Amortized cost, gross unrealized gains and (losses) and estimated fair value of investments

The amortized cost, gross unrealized gains and (losses) and estimated fair value of investments at June 30, 2011 were as follows:


			Gross Unrealized		Gross Unrealized
	Amortized Cost		Gains		Losses			Estimated Fair Value
U.S. Government and Government Agency	$	828,627	$	10,656	$	(371	)	$	838,912
Non-U.S. Government and Government Agency		470,438		9,551		(3,399	)		476,590
States, municipalities, political subdivision		29,199		394		(17	)		29,576
Agency residential mortgage-backed securities		454,517		16,899		(483	)		470,933
Non-Agency residential mortgage-backed securities		57,678		148		(6,603	)		51,223
U.S. corporate		1,378,760		29,227		(1,396	)		1,406,591
Non-U.S. corporate		618,411		10,615		(981	)		628,045
Bank loans		389,193		702		(2,694	)		387,201
Catastrophe bonds		29,550		445		(61	)		29,934
Asset-backed securities		275,417		1,142		(286	)		276,273
Commercial mortgage-backed securities		8,208		48		—			8,256


Total fixed maturities		4,539,998		79,827		(16,291	)		4,603,534
Total short-term investments		725,230		57		(29	)		725,258
Total other investments		15,018		3,728		—			18,746

Total	$	5,280,246	$	83,612	$	(16,320	)	$	5,347,538

The amortized cost, gross unrealized gains and (losses) and estimated fair value of investments at December 31, 2010 were as follows:


			Gross Unrealized		Gross Unrealized
	Amortized Cost		Gains		Losses			Estimated Fair Value
U.S. Government and Government Agency	$	1,665,050	$	20,134	$	(8,018	)	$	1,677,166
Non-U.S. Government and Government Agency		550,759		11,635		(8,195	)		554,199
States, municipalities, political subdivision		26,365		90		(170	)		26,285
Agency residential mortgage-backed securities		430,873		15,491		(505	)		445,859
Non-Agency residential mortgage-backed securities		62,020		64		(5,614	)		56,470

U.S. corporate		1,288,078		28,526		(8,198	)		1,308,406
Non-U.S. corporate		497,689		7,939		(3,561	)		502,067
Bank loans		52,612		58		(104	)		52,566
Catastrophe bonds		56,991		2,042		(296	)		58,737
Asset-backed securities		123,354		605		(390	)		123,569
Commercial mortgage-backed securities		18,246		299		(2	)		18,543


Total fixed maturities		4,772,037		86,883		(35,053	)		4,823,867
Total short-term investments		273,444		70		—			273,514
Total other investments		18,392		3,086		—			21,478

Total	$	5,063,873	$	90,039	$	(35,053	)	$	5,118,859

Investment ratings on fixed maturities


	June 30, 2011					December 31, 2010
	Estimated Fair					Estimated Fair
	Value		% of Total			Value		% of Total
AAA	$	2,237,017		48.6	%	$	2,946,514		61.2	%
AA		400,177		8.7	%		428,972		8.9	%
A		1,193,431		25.9	%		1,077,389		22.3	%
BBB		331,145		7.2	%		219,523		4.6	%

Investment grade		4,161,770		90.4	%		4,672,398		97.0	%
BB		218,227		4.7	%		74,475		1.5	%
B		199,649		4.3	%		45,660		0.9	%
CCC		21,548		0.5	%		29,219		0.6	%
CC		—		0.0	%		—		0.0	%
D/NR		2,340		0.1	%		2,115		0.0	%

Non-Investment grade		441,764		9.6	%		151,469		3.0	%

Total Fixed Maturities	$	4,603,534		100.0	%	$	4,823,867		100.0	%

Fixed maturities investments by contractual maturity


	June 30, 2011				December 31, 2010
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Due in one year or less	$	427,713	$	431,200	$	424,327	$	426,167
Due after one year through five years		2,965,528		3,015,190		3,498,334		3,540,408
Due after five years through ten years		344,337		343,859		207,918		206,317
Due after ten years		6,600		6,600		6,965		6,534

		3,744,178		3,796,849		4,137,544		4,179,426
Asset-backed and mortgage-backed securities		795,820		806,685		634,493		644,441

Total	$	4,539,998	$	4,603,534	$	4,772,037	$	4,823,867

Fair Value Hierarchy - Allocation of securities lending collateral reinvested

Securities lending collateral reinvested includes corporate floating rate securities and overnight repo with an average reset period of 1.1 days (December 31, 2010: 17.6 days). As at June 30, 2011, the securities lending collateral reinvested by the Company in connection with its securities lending program was allocated between Levels 1, 2 and 3 as follows:


	Level 1		Level 2		Level 3		Total
Corporate	$	—	$	257	$	—	$	257
Asset-backed securities		—		—		—		—
Short-term investments		20,979		173		—		21,152

Total	$	20,979	$	430	$	—	$	21,409

As at December 31, 2010, the securities lending collateral reinvested by the Company in connection with its securities program was allocated between Levels 1, 2 and 3 as follows:


	Level 1		Level 2		Level 3		Total
Corporate	$	—	$	229	$	—	$	229
Asset-backed securities		—		5,005		—		5,005
Short-term investments		2,644		14,450		—		17,094

Total	$	2,644	$	19,684	$	—	$	22,328

Investment ratings on securities lending collateral reinvested


	June 30, 2011					December 31, 2010
	Estimated Fair Value		% of Total			Estimated Fair Value		% of Total
AAA	$	173		0.8	%	$	5,454		24.4	%
AA+		—		0.0	%		11,003		49.3	%
AA		—		0.0	%		—		0.0	%
AA-		—		0.0	%		2,998		13.5	%
A+		—		0.0	%		—		0.0	%
A		—		0.0	%		—		0.0	%
NR		257		1.2	%		229		1.0	%

		430		2.0	%		19,684		88.2	%
NR- Short-term investments (a)		20,979		98.0	%		2,644		11.8	%

Total	$	21,409		100.0	%	$	22,328		100.0	%


(a)		This amount relates to short-term investments and is therefore not a rated security.

Securities lending collateral reinvested, by contractual maturity


	June 30, 2011				December 31, 2010
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Due in one year or less	$	21,133	$	21,152	$	17,093	$	17,095
Due after one year through five years		1,000		257		6,000		5,233

Total	$	22,133	$	21,409	$	23,093	$	22,328