INVESTMENTS (Tables)

9 Months Ended

Sep. 30, 2012

Amortized Cost and Estimated Fair Values of Fixed Maturity Securities Classified as Available for Sale

The amortized cost and estimated fair values of the Company’s fixed maturity securities classified as available-for-sale were as follows:

	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses Non-OTTI			Fair Value
As at September 30, 2012
U.S. government and agency	$	4,532	$	494	$	—		$	5,026
Non-U.S. government		122,844		4,290		(222	)		126,912
Corporate		169,117		3,436		(538	)		172,015
Residential mortgage-backed		4,701		270		(80	)		4,891
Commercial mortgage-backed		1,376		45		—			1,421
Asset-backed		384		9		(16	)		377
	$	302,954	$	8,544	$	(856	)	$	310,642

	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses Non-OTTI			Fair Value
As at December 31, 2011
U.S. government and agency	$	17,816	$	546	$	(433	)	$	17,929
Non-U.S. government		160,128		9,227		(828	)		168,527
Corporate		366,954		7,937		(2,578	)		372,313
Residential mortgage-backed		13,544		276		(108	)		13,712
Commercial mortgage-backed		12,680		3,044		(7	)		15,717
Asset-backed		19,466		65		(413	)		19,118
	$	590,588	$	21,095	$	(4,367	)	$	607,316

Summary of Investments Classified as Available for Sale in Unrealized Loss Position as Well as Aggregate Fair Value and Gross Unrealized Loss by Length of Time

The following tables summarize the Company’s fixed maturity securities classified as available-for-sale in an unrealized loss position as well as 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
As at September 30, 2012	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
U.S. government and agency	$	—	$	—		$	—	$	—		$	—	$	—
Non-U.S. government		2,599		(133	)		3,770		(89	)		6,369		(222	)
Corporate		15,372		(113	)		18,371		(425	)		33,743		(538	)
Residential mortgage-backed		1,129		(80	)		1		—			1,130		(80	)
Commercial mortgage-backed		—		—			—		—			—		—
Asset-backed		212		(16	)		—		—			212		(16	)
	$	19,312	$	(342	)	$	22,142	$	(514	)	$	41,454	$	(856	)

	12 Months or Greater					Less Than 12 Months					Total
As at December 31, 2011	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
U.S. government and agency	$	—	$	—		$	8,318	$	(433	)	$	8,318	$	(433	)
Non-U.S. government		14,982		(466	)		16,305		(362	)		31,287		(828	)
Corporate		47,197		(1,367	)		54,106		(1,211	)		101,303		(2,578	)
Residential mortgage-backed		1,299		(105	)		36		(3	)		1,335		(108	)
Commercial mortgage-backed		—		—			215		(7	)		215		(7	)
Asset-backed		7,577		(187	)		6,491		(226	)		14,068		(413	)
	$	71,055	$	(2,125	)	$	85,471	$	(2,242	)	$	156,526	$	(4,367	)

Contractual Maturities of Fixed Maturity Securities and Short-Term Investments Classified as Available for Sale

The contractual maturities of the Company’s fixed maturity securities classified as available-for-sale are shown below. Actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

As at September 30, 2012	Amortized Cost		Fair Value		% of Total Fair Value
Due in one year or less	$	225,146	$	227,225		73.1	%
Due after one year through five years		68,264		73,299		23.6	%
Due after five years through ten years		—		—		—
Due after ten years		3,083		3,429		1.1	%
		296,493		303,953		97.8	%
Residential mortgage-backed		4,701		4,891		1.6	%
Commercial mortgage-backed		1,376		1,421		0.5	%
Asset-backed		384		377		0.1	%
	$	302,954	$	310,642		100.0	%

As at December 31, 2011	Amortized Cost		Fair Value		% of Total Fair Value
Due in one year or less	$	230,550	$	230,377		37.9	%
Due after one year through five years		308,062		322,131		53.0	%
Due after five years through ten years		3,296		3,367		0.6	%
Due after ten years		2,990		2,894		0.5	%
		544,898		558,769		92.0	%
Residential mortgage-backed		13,544		13,712		2.3	%
Commercial mortgage-backed		12,680		15,717		2.6	%
Asset-backed		19,466		19,118		3.1	%
	$	590,588	$	607,316		100.0	%

Credit Ratings of Fixed Maturity Securities and Short Term Investments Classified as Available for Sale

The following tables set forth certain information regarding the credit ratings (provided by major rating agencies) of the Company’s fixed maturity securities classified as available-for-sale:

As at September 30, 2012	Amortized Cost		Fair Value		% of Total Fair Value
AAA	$	111,505	$	115,607		37.2	%
AA		82,714		84,430		27.2	%
A		99,310		100,912		32.5	%
BBB or lower		9,085		8,971		2.9	%
Not Rated		340		722		0.2	%
	$	302,954	$	310,642		100.0	%

As at December 31, 2011	Amortized Cost		Fair Value		% of Total Fair Value
AAA	$	204,967	$	214,873		35.4	%
AA		131,092		132,971		21.9	%
A		210,040		215,225		35.4	%
BBB or lower		44,100		43,526		7.2	%
Not Rated		389		721		0.1	%
	$	590,588	$	607,316		100.0	%

Estimated Fair Values of Investments in Fixed Maturity Securities, Short Term Investments and Equities Classified as Trading Securities

The estimated fair values of the Company’s investments in fixed maturity securities, short-term investments and equities classified as trading securities were as follows:

	September 30, 2012		December 31, 2011
U.S. government and agency	$	375,150	$	400,908
Non-U.S. government		269,376		212,251
Corporate		1,767,571		1,595,930
Municipal		20,568		25,416
Residential mortgage-backed		119,462		97,073
Commercial mortgage-backed		135,740		70,977
Asset-backed		54,779		43,083
Equities		101,072		89,981
	$	2,843,718	$	2,535,619

Credit Ratings of Fixed Maturity Securities and Short Term Investments Classified as Trading

The following tables set forth certain information regarding the credit ratings (provided by major rating agencies) of the Company’s fixed maturity securities and short-term investments classified as trading:

As at September 30, 2012	Fair Value		% of Total Fair Value
AAA	$	404,395		14.7	%
AA		1,057,034		38.5	%
A		893,069		32.6	%
BBB or lower		370,240		13.5	%
Not Rated		17,908		0.7	%
	$	2,742,646		100.0	%

As at December 31, 2011	Fair Value		% of Total Fair Value
AAA	$	881,951		36.0	%
AA		400,394		16.4	%
A		796,608		32.6	%
BBB or lower		341,307		14.0	%
Not Rated		25,378		1.0	%
	$	2,445,638		100.0	%

Other Investments

The estimated fair values of the Company’s other investments were as follows:

	September 30, 2012		December 31, 2011
Private equity funds	$	115,199	$	107,388
Bond funds		147,609		54,537
Fixed income hedge funds		52,322		24,395
Equity fund		53,889		—
Real estate debt fund		15,861		—
Other		4,848		5,944
	$	389,728	$	192,264

Summary of Fair Value, Commitments, and Redemption Frequency

The following table presents the total fair value, unfunded commitments and redemption frequency for all other investments. These investments are all valued at net asset value as at September 30, 2012:

	Total Fair Value		Gated/Side Pocket Investments		Investments without Gates or Side Pockets		Unfunded Commitments		Redemption Frequency
Private equity funds	$	115,199	$	—	$	115,199	$	63,099	Not eligible
Bond funds		147,609		—		147,609		—	Daily to monthly
Fixed income hedge funds		52,322		—		52,322		—	Quarterly after lock-up periods expire
Equity funds		53,889		—		53,889		—	Bi-monthly
Real estate debt fund		15,861		—		15,861		—	10 days notice after monthly valuation
Other		4,848		—		4,848		696	Not eligible
	$	389,728	$	—	$	389,728	$	63,795

Categorized Investments Recorded at Fair Value among Levels

In accordance with the provisions of the Fair Value Measurement and Disclosure topic of the FASB Accounting Standards Codification (“ASC”) 820, the Company has categorized its investments that are recorded at fair value among levels as follows:

	September 30, 2012
	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total Fair Value
U.S. government and agency	$	—	$	380,176	$	—	$	380,176
Non-U.S. government		—		396,288		—		396,288
Corporate		—		1,939,022		564		1,939,586
Municipal		—		20,568		—		20,568
Residential mortgage-backed		—		124,353		—		124,353
Commercial mortgage-backed		—		137,161		—		137,161
Asset-backed		—		55,156		—		55,156
Equities		92,955		4,825		3,292		101,072
Other investments		—		201,499		188,229		389,728
Total investments	$	92,955	$	3,259,048	$	192,085	$	3,544,088

	December 31, 2011
	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total Fair Value
U.S. government and agency	$	—	$	418,837	$	—	$	418,837
Non-U.S. government		—		380,778		—		380,778
Corporate		—		1,967,724		519		1,968,243
Municipal		—		25,416		—		25,416
Residential mortgage-backed		—		110,785		—		110,785
Commercial mortgage-backed		—		86,694		—		86,694
Asset-backed		—		62,201		—		62,201
Equities		82,381		4,625		2,975		89,981
Other investments		—		54,537		137,727		192,264
Total investments	$	82,381	$	3,111,597	$	141,221	$	3,335,199

Reconciliation of Beginning and Ending Balances for All Investments Measured at Fair Value on a Recurring Basis Using Level 3 Inputs

The following table presents 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 months ended September 30, 2012:

	Fixed Maturity Investments		Other Investments			Equity Securities			Total
Level 3 investments as of July 1, 2012	$	562	$	181,740		$	3,310		$	185,612
Purchases		—		7,084			—			7,084
Sales		—		(1,171	)		—			(1,171	)
Net realized and unrealized gains (losses) through earnings		2		576			(18	)		560
Net transfers into and/or (out of) Level 3		—		—			—			—
Level 3 investments as of September 30, 2012	$	564	$	188,229		$	3,292		$	192,085

	Fixed Maturity Investments			Other Investments			Equity Securities			Total
Level 3 investments as of July 1, 2011	$	552		$	148,840		$	4,431		$	153,823
Purchases		—			2,196			—			2,196
Sales		—			(62	)		—			(62	)
Net realized and unrealized losses through earnings		(42	)		(1,501	)		(731	)		(2,274	)
Net transfers into and/or (out of) Level 3		—			—			—			—
Level 3 investments as of September 30, 2011	$	510		$	149,473		$	3,700		$	153,683

	Fixed Maturity Investments		Other Investments			Equity Securities		Total
Level 3 investments as of January 1, 2012	$	519	$	137,727		$	2,975	$	141,221
Purchases		—		57,246			—		57,246
Sales		—		(14,335	)		—		(14,335	)
Net realized and unrealized gains through earnings		45		7,591			317		7,953
Net transfers into and/or (out of) Level 3		—		—			—		—
Level 3 investments as of September 30, 2012	$	564	$	188,229		$	3,292	$	192,085

	Fixed Maturity Investments			Other Investments			Equity Securities		Total
Level 3 investments as of January 1, 2011	$	1,444		$	132,435		$	3,575	$	137,454
Purchases		—			12,760			—		12,760
Sales		(1,043	)		(1,728	)		—		(2,771	)
Net realized and unrealized gains through earnings		109			6,006			125		6,240
Net transfers into and/or (out of) Level 3		—			—			—		—
Level 3 investments as of September 30, 2011	$	510		$	149,473		$	3,700	$	153,683

Components of Net Realized and Unrealized Gains/(Losses)

Components of net realized and unrealized gains (losses) are as follows:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Gross realized gains on available-for-sale securities	$	3,735		$	201		$	5,209		$	769
Gross realized losses on available-for-sale securities		(27	)		(19	)		(450	)		(329	)
Net realized gains on trading securities		3,824			1,317			12,684			4,463
Net unrealized gains (losses) on trading securities		13,059			(10,479	)		25,382			(5,251	)
Net unrealized gains on other investments		7,689			468			12,528			7,331
Net realized and unrealized gains (losses)	$	28,280		$	(8,512	)	$	55,353		$	6,983
Proceeds from sales and maturities of available-for-sale securities	$	112,928		$	70,583		$	296,537		$	332,560

Major Categories of Net Investment Income

Major categories of net investment income are summarized as follows:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
Interest from fixed maturities	$	20,027		$	20,765		$	62,019		$	52,471
Amortization of bond premiums and discounts		(6,208	)		(7,710	)		(22,634	)		(16,717	)
Dividends from equities		593			393			1,904			1,097
Interest from cash and cash equivalents and short-term investments		4,525			2,994			11,684			8,743
Interest on other receivables		1,027			871			6,242			4,971
Other income		733			1,378			4,091			2,723
Interest on deposits held with clients		377			317			988			1,013
Investment expenses		(1,416	)		(510	)		(3,299	)		(1,196	)
	$	19,658		$	18,498		$	60,995		$	53,105

Carrying Value of Restricted Investments

trusts as collateral are primarily highly rated fixed maturity securities. The carrying value of the Company’s restricted investments as of September 30, 2012 and December 31, 2011 was as follows:

	September 30, 2012		December 31, 2011
Assets used for collateral in trust for third-party agreements	$	482,699	$	571,041
Deposits with regulatory authorities		196,799		200,136
Others		54,643		59,763
	$	734,141	$	830,940