Summary of Investments

9 Months Ended

Sep. 30, 2011

Summary of Investments

Summary of Investments

4.  Summary of Investments

The following tables summarize fixed maturity investments and equity securities classified as available-for-sale and the amount of other-than-temporary impairments (“OTTI”) classified as the non-credit-related component of previously impaired fixed maturity investments that the Company does not intend to sell included in accumulated other comprehensive income (loss) (“AOCI”) at September 30, 2011 and December 31, 2010:

	September 30, 2011
	Amortized		Gross unrealized		Gross unrealized		Estimated fair value		OTTI (gain) loss
	cost		gains		losses		and carrying value		included in AOCI (1)
Fixed maturities:
U.S. government direct obligations and U.S. agencies	$	2,289,211	$	111,533	$	2,840	$	2,397,904	$	—
Obligations of U.S. states and their subdivisions	1,784,866		300,269		—		2,085,135		—
Corporate debt securities	8,056,869		753,763		150,773		8,659,859		4,880
Asset-backed securities (2)	2,041,544		84,955		122,883		2,003,616		(23,391		)
Residential mortgage-backed securities	617,588		20,274		2,133		635,729		336
Commercial mortgage-backed securities	728,902		34,488		6,394		756,996		—
Collateralized debt obligations	25,618		2		3,044		22,576		—
Total fixed maturities	$	15,544,598	$	1,305,284	$	288,067	$	16,561,815	$	(18,175	)
Equity investments:
Financial services	$	1,610	$	112	$	280	$	1,442	$	—
Asset allocation mutual funds	586		24		43		567		—
Total equity investments	$	2,196	$	136	$	323	$	2,009	$	—

(1) Indicates the amount of any OTTI (gain) loss included in AOCI that is included in gross unrealized gains and losses.

(2) OTTI (gain) loss included in AOCI, as presented above, includes both the initial recognition of non-credit losses and the effects of subsequent increases and decreases in estimated fair value for those fixed maturity securities that had previous non-credit impairment.  The non-credit loss component of OTTI (gain) loss for asset-backed securities was in an unrealized gain position of $23,391 at September 30, 2011 due to increases in estimated fair value subsequent to initial recognition of non-credit losses on such securities.

	December 31, 2010
	Amortized		Gross unrealized		Gross unrealized		Estimated fair value		OTTI (gain) loss
	cost		gains		losses		and carrying value		included in AOCI (1)
Fixed Maturities:
U.S. government direct obligations and U.S. agencies	$	2,289,010	$	96,924	$	14,784	$	2,371,150	$	—
Obligations of U.S. states and their subdivisions	1,784,299		173,567		15,603		1,942,263		—
Corporate debt securities	7,625,810		557,104		144,486		8,038,428		5,439
Asset-backed securities (2)	2,104,420		51,663		154,157		2,001,926		(22,284		)
Residential mortgage-backed securities	730,293		20,888		12,119		739,062		505
Commercial mortgage-backed securities	812,915		28,049		20,615		820,349		—
Collateralized debt obligations	35,655		5		5,781		29,879		—
Total fixed maturities	$	15,382,402	$	928,200	$	367,545	$	15,943,057	$	(16,340	)
Equity investments:
Financial services	$	192	$	533	$	—	$	725	$	—
Equity mutual funds	432		119		—		551		—
Airline industry	689		—		77		612		—
Total equity investments	$	1,313	$	652	$	77	$	1,888	$	—

(1) Indicates the amount of any OTTI (gain) loss included in AOCI that is included in gross unrealized gains and losses.

(2) OTTI (gain) loss included in AOCI, as presented above, includes both the initial recognition of non-credit losses and the effects of subsequent increases and decreases in estimated fair value for those fixed maturity securities that had previous non-credit impairment.  The non-credit loss component of OTTI (gain) loss for asset-backed securities was in an unrealized gain position of $22,284 at December 31, 2010 due to increases in estimated fair value subsequent to initial recognition of non-credit losses on such securities.

See Note 6 for additional information on policies regarding estimated fair value of fixed maturity and equity investments.

The amortized cost and estimated fair value of fixed maturity investments classified as available-for-sale at September 30, 2011, based on estimated cash flows, are shown in the table below.  Actual maturities will likely differ from these projections because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

	September 30, 2011
	Amortized cost		Estimated fair value
Maturing in one year or less	$	459,612	$	491,731
Maturing after one year through five years	2,970,792		3,220,499
Maturing after five years through ten years	3,547,597		3,961,987
Maturing after ten years	2,981,056		3,207,749
Mortgage-backed and asset-backed securities	5,585,541		5,679,849
	$	15,544,598	$	16,561,815

Mortgage-backed (commercial and residential) and asset-backed securities, including those issued by U.S. government and U.S. agencies, include collateralized mortgage obligations that consist primarily of sequential and planned amortization classes with legal final stated maturities of up to thirty years and expected average lives of up to eighteen years.

The following table summarizes information regarding the sales of fixed maturity investments classified as available-for-sale for the three and nine-month periods ended September 30, 2011 and 2010:

	Three months ended September 30,				Nine months ended September 30,
	2011		2010		2011		2010
Proceeds from sales	$	991,790	$	670,774	$	3,563,490	$	2,342,438
Gross realized gains from sales	41,893		21,044		89,130		42,251
Gross realized losses from sales	122		2		21,696		19

Gross realized gains and losses from sales were primarily attributable to changes in interest rates and gains and losses on repurchase agreement transactions.

Included in net investment income are unrealized gains of $15,304 and $9,587 on held-for-trading fixed maturity investments still held at September 30, 2011 and December 31, 2010, respectively.

The Company has a corporate fixed maturity security with a fair value of $9,210 and $8,845 that has been non-income producing for the twelve months preceding September 30, 2011 and December 31, 2010, respectively. This security was written down to its fair value in the period it was deemed to be other-than-temporarily impaired.  No additional impairment has been recognized since the period in which it was deemed impaired.

The Company holds certain performing securities subject to deferred coupons in which the issuer has exercised its contractual right to defer the payment of the coupons.  At September 30, 2011 and December 31, 2010, the Company had total coupon payment receivables of $763 and $457, respectively.  The Company expects to receive these payments in 2012.  Based on the information presently available, management believes there is reasonable assurance of collection of the deferred coupons at the end of the deferral period.

Mortgage loans on real estate - The Company’s mortgage loans on real estate are comprised exclusively of domestic commercial collateralized real estate loans.  The following table summarizes the carry value of the mortgage loan portfolio by component as of September 30, 2011 and December 31, 2010:

	September 30, 2011			December 31, 2010
Principal	$	2,196,152		$	1,709,075
Unamortized premium (discount)	24,599			29,647
Allowance for credit loss	(21,130		)	(16,300		)
Total mortgage loans	$	2,199,621		$	1,722,422

Of the total principal balance in the mortgage loan portfolio, $2,067 and $8,470 related to impaired loans at September 30, 2011 and December 31, 2010, respectively.  The change in the impaired loans balance was due to four loans that were foreclosed upon, one loan that was paid in full, and one loan that was deemed non-performing during the nine months ended September 30, 2011.

The Company uses an internal risk assessment process as a primary credit quality indicator, which is updated quarterly, with regard to impairment review and credit loss calculations.  The Company follows a comprehensive approach with the management of mortgage loans that includes ongoing analysis of factors such as debt service coverage ratios, loan-to-value ratios, payment status, default or legal status, annual collateral property evaluations and general market conditions.  Management’s risk assessment process is subjective and includes the categorization of all loans, based on the above mentioned credit quality indicators, into one of the following categories:

·    Performing - generally indicates the loan has standard market risk and is within its original underwriting guidelines.

·    Non-performing - generally indicates that there is a potential for loss due to the deterioration of financial/monetary default indicators or potential foreclosure.  Due to the potential for loss, these loans are disclosed as impaired.

The Company’s allowance for credit loss is reviewed quarterly.  The determination of the calculation and the adequacy of the mortgage credit loss allowance and mortgage impairments involve judgments that incorporate qualitative and quantitative Company and industry mortgage performance data.  Management’s periodic evaluation and assessment of the adequacy of the allowance for credit losses and the need for mortgage impairments is based on known and inherent risks in the portfolio, adverse situations that may affect the borrower’s ability to repay, the fair value of the underlying collateral, composition of the loan portfolio, current economic conditions, loss experience and other relevant factors.  Loans that meet the non-performing category and other loans with certain substandard credit quality indicators are individually reviewed to determine if a specific impairment is required.  Loans reviewed for specific impairment are excluded from the analysis to estimate the credit loss allowance for the loans categorized as performing in the portfolio.

The recorded investment in impaired mortgage loans was $2,067 and $9,576 at September 30, 2011 and December 31, 2010, respectively.  The Company estimated no loss and therefore no specific allowance was recorded at September 30, 2011 or 2010.

The table below summarizes the average recorded investment, interest income earned and recognized and interest income collected for the impaired commercial mortgage loans for the three and nine-month periods ended September 30, 2011 and 2010:

	Three months ended September 30,					Nine months ended September 30,
	2011		2010			2011		2010
Impaired commercial mortgage loans:
Average recorded investment	$	4,624	$	9,822		$	5,822	$	5,197
Interest income earned and recognized	41		(63		)	113		35
Interest income collected	33		—			105		223

The following table summarizes the recorded investment of the mortgage loan portfolio by risk assessment category as of September 30, 2011 and December 31, 2010:

	September 30, 2011		December 31, 2010
Performing	$	2,218,684	$	1,729,146
Non-performing	2,067		9,576
Total	$	2,220,751	$	1,738,722

The following table summarizes activity in the allowance for mortgage loan credit losses for the nine months ended September 30, 2011 and the year ended December 31, 2010:

	Nine months ended		Year ended
	September 30, 2011		December 31, 2010
	Commercial mortgages		Commercial mortgages
Beginning balance	$	16,300	$	14,854
Provision increases	4,830		1,446
Ending balance	$	21,130	$	16,300
Allowance ending balance by basis of impairment method:
Collectively evaluated for impairment	$	21,130	$	16,300
Recorded investment balance in the mortgage loan portfolio, gross of allowance, by basis of impairment method:	$	2,220,751	$	1,738,722
Individually evaluated for impairment	21,337		27,250
Collectively evaluated for impairment	2,199,414		1,711,472

The tables below summarize the recorded investment of the mortgage loan portfolio by aging category as of September 30, 2011 and December 31, 2010:

	September 30, 2011
	Current		Loan balances 31-60 days past due		Loan balances 61-89 days past due		Loan balances greater than 90 days past due or in process of foreclosure		Total portfolio balance
Commercial mortgages	$	2,220,751	$	—	$	—	$	—	$	2,220,751

	December 31, 2010
	Current		Loan balances 31-60 days past due		Loan balances 61-89 days past due		Loan balances greater than 90 days past due or in process of foreclosure (1)		Total portfolio balance
Commercial mortgages	$	1,733,922	$	2,642	$	—	$	2,158	$	1,738,722

(1) Includes four loans in the amount of $2,158 in process of foreclosure.

Loan balances are considered past due when payment has not been received based on contractually agreed upon terms.  For loan balances greater than 90 days past due or in the process of foreclosure, all accrual of interest was discontinued.  There were no loans greater than 90 days past due and accruing interest at September 30, 2011 or at December 31, 2010.  The Company resumes interest accrual on loans when a loan returns to current status.  Interest accrual may also resume under new terms when loans are restructured or modified.

Occasionally, the Company elects to grant a concession to a debtor with financial difficulties in an attempt to protect as much of its investment as possible.  At September 30, 2011, the Company had no loans classified as troubled debt restructurings.  At December 31, 2010, the Company had one loan, with a principal balance of $6,355, classified as a troubled debt restructuring with loan modifications which primarily reduced the interest rate for the life of the loan, but did not extend the maturity date or forgive any principal.  The Company did not create a specific allowance for the restructured loan.  As of December 31, 2010, the Company had no commitments to lend additional funds to the debtors with loans modified as troubled debt restructurings.

Equity investments - The carrying value of the Company’s equity investments was $2,009 and $1,888 at September 30, 2011 and December 31, 2010, respectively.

Limited partnership and other corporation interests - The Company invests in limited partnership interests, which include limited partnerships established for the purpose of investing in low-income housing that qualify for federal and state tax credits, and other corporation interests.  At September 30, 2011 and December 31, 2010, the Company had $178,796 and $210,146, respectively, invested in limited partnership and other corporation interests.

In the normal course of its activities, the Company is involved with other entities that are considered variable interest entities (“VIE”).  An entity would be determined to be a primary beneficiary, and thus consolidated when the entity has both (a) the power to direct the activities of a VIE that most significantly impact the entity’s economic performance and (b) the obligation to absorb losses of the entity that could potentially be significant to the VIE or the right to receive benefits from the entity that could potentially be significant to the VIE.  When the Company becomes involved with a VIE and when the nature of the Company’s involvement with the entity changes, in order to determine if the Company is the primary beneficiary and must consolidate the entity, it evaluates:

· The structure and purpose of the entity;

· The risks and rewards created by and shared through the entity and

· The entity’s participants’ ability to direct the activities, receive its benefits and absorb its losses.

Accordingly, the Company has determined its investment in low-income housing limited partnerships (“LIHLP”) to be considered a VIE.  The purpose of an LIHLP is to provide financing of affordable housing by making certain tax credits available to investors.  Beginning in 2002, the Company made initial cash investments for the various tax credits.  The Company is a 99% limited partner in various upper-tier LIHLPs.  The general partner is most closely involved in the development and management of the LIHLP project.  As limited partner, the Company has few or no voting rights, but expects to receive the tax credits allocated to the partnership and operating losses from depreciation and interest expense.  The Company is only an equity investor and views the LIHLP as a single investment.   The general partner has a small ownership of the partnership, which requires a de minimus capital contribution.  This equity investment is reduced based on fees paid at inception by the limited partner; therefore, the general partner does not qualify as having an equity investment at risk in the LIHLP project.  However, the limited partner does not have the direct or indirect ability through voting rights or similar rights to make decisions about the general partner’s activities that have a significant effect on the success of the partnership.

Although the Company is involved with the VIE, it determined that consolidation was not required because it has no power to direct the activities that most significantly impact the entities’ economic performance (exert influence over the entity’s operations).

The Company performs ongoing qualitative analyses of its involvement with VIEs to determine if consolidation is required.

The following tables present information about the nature and activities of the VIEs and the effect on the Company’s financial statements as of September 30, 2011 and December 31, 2010 as follows:

September 30, 2011
Limited partnership and
other corporation interests		Liabilities		Maximum exposure to loss
$	119,696	$	—	$	119,696

December 31, 2010
Limited partnership and
other corporation interests		Liabilities		Maximum exposure to loss
$	151,158	$	—	$	151,158

All of the Company’s investments in LIHLPs are guaranteed by third parties.  One of the guarantors, guaranteeing 6% and 7% of the LIHLPs at September 30, 2011 and December 31, 2010, respectively, filed for bankruptcy protection in 2009; however, the bankruptcy does not currently impact the guarantee.  At September 30, 2011, $99,766 of the interests, or 83%, are backed by third party guarantors with an investment grade rating.  At December 31, 2010, $123,853 of the interests, or 82%, are backed by third party guarantors with an investment grade rating.

The Company is not required to provide any additional funding to the LIHLPs unless the investment exceeds the minimum yield guarantee.  During the nine months ended September 30, 2011 and the year ended December 31, 2010, the Company did not provide any additional financial or other support that it was not previously contractually required to provide.

Securities pledged, special deposits and securities lending - The Company pledges investment securities it owns to unaffiliated parties to meet initial margin requirements for exchange-traded futures contracts.  The fair value of margin deposits related to futures contracts was approximately $5,265 and $5,979 at September 30, 2011 and December 31, 2010, respectively.  These pledged securities are included in short-term investments in the accompanying condensed consolidated balance sheets.

The Company had securities on deposit with governmental authorities as required by certain insurance laws with fair values in the amounts of $16,586 and $14,144 at September 30, 2011 and December 31, 2010, respectively.  These deposits are included in short-term and fixed maturity investments classified as available-for-sale in the accompanying condensed consolidated balance sheets.

The Company participates in a securities lending program whereby securities, which are included in fixed maturity investments in the accompanying condensed consolidated balance sheets, are loaned to third parties.  Securities with a cost or amortized cost in the amounts of $5,105 and $45,000 and estimated fair values in the amounts of $5,209 and $50,807 were on loan under the program at September 30, 2011 and December 31, 2010, respectively.  The Company received restricted cash collateral in the amounts of $5,411 and $51,749 at September 30, 2011 and December 31, 2010, respectively.

Impairment of fixed maturity and equity investments classified as available-for-sale - The Company classifies the majority of its fixed maturity investments and all of its equity investments as available-for-sale and records them at fair value with the related net unrealized gain or loss, net of policyholder related amounts and deferred taxes, in accumulated other comprehensive income (loss) in the stockholder’s equity section in the accompanying condensed consolidated balance sheets.  All available-for-sale securities with gross unrealized losses at the condensed consolidated balance sheet date are subjected to the Company’s process for the identification and evaluation of other-than-temporary impairments.

The assessment of whether an other-than-temporary impairment has occurred on fixed maturity investments where management does not intend to sell the fixed maturity investment and it is not more likely than not the Company will be required to sell the fixed maturity investment before recovery of its amortized cost basis, is based upon management’s case-by-case evaluation of the underlying reasons for the decline in fair value.  Management considers a wide range of factors, as described below, regarding the security issuer and uses its best judgment in evaluating the cause of the decline in its estimated fair value and in assessing the prospects for near-term recovery.  Inherent in management’s evaluation of the security are assumptions and estimates about the issuer’s operations and ability to generate future cash flows.  While all available information is taken into account, it is difficult to predict the ultimate recoverable amount from a distressed or impaired security.

Considerations used by the Company in the impairment evaluation process include, but are not limited to, the following:

· Fair value is below cost;

· The decline in fair value is attributable to specific adverse conditions affecting a particular instrument, its issuer, an industry or geographic area;

· The decline in fair value has existed for an extended period of time;

· A fixed maturity investment has been downgraded by a credit rating agency;

· The financial condition of the issuer has deteriorated;

· The payment structure of the fixed maturity investment and the likelihood of the issuer being able to make payments in the future and

· Dividends have been reduced or eliminated or scheduled interest payments have not been made.

Unrealized losses on fixed maturity and equity investments classified as available-for-sale

The following tables summarize unrealized investment losses, including the non-credit-related portion of other-than-temporary impairment losses reported in accumulated other comprehensive income (loss), by class of investment at September 30, 2011 and December 31, 2010:

	September 30, 2011
	Less than twelve months				Twelve months or longer				Total
	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
	fair value		loss and OTTI		fair value		loss and OTTI		fair value		loss and OTTI
Fixed maturities:
U.S. government direct obligations and U.S. agencies	749,379		2,468		18,013		372		$	767,392	$	2,840
Corporate debt securities	523,391		24,760		425,341		126,013		948,732		150,773
Asset-backed securities	294,974		10,138		720,474		112,745		1,015,448		122,883
Residential mortgage-backed securities	3,786		58		104,431		2,075		108,217		2,133
Commercial mortgage-backed securities	45,582		178		70,281		6,216		115,863		6,394
Collateralized debt obligations	22,556		3,043		—		1		22,556		3,044
Total fixed maturities	$	1,639,668	$	40,645	$	1,338,540	$	247,422	$	2,978,208	$	288,067
Equity investments:
Financial services	$	1,264	$	280	$	—	$	—	$	1,264	$	280
Asset allocation mutual funds	441		43		—		—		441		43
Total equity investments	$	1,705	$	323	$	—	$	—	$	1,705	$	323
Total number of securities in an unrealized loss position			166				149				315

	December 31, 2010
	Less than twelve months				Twelve months or longer				Total
	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
	fair value		loss and OTTI		fair value		loss and OTTI		fair value		loss and OTTI
Fixed maturities:
U.S. government direct obligations and U.S. agencies	$	892,025	$	14,551	$	22,471	$	233	$	914,496	$	14,784
Obligations of U.S. states and their subdivisions	391,101		11,332		99,720		4,271		490,821		15,603
Corporate debt securities	477,059		15,486		819,627		129,000		1,296,686		144,486
Asset-backed securities	52,814		1,505		1,071,557		152,652		1,124,371		154,157
Residential mortgage-backed securities	26,142		509		146,532		11,610		172,674		12,119
Commercial mortgage-backed securities	53,462		2,086		79,429		18,529		132,891		20,615
Collateralized debt obligations	5,745		29		23,112		5,752		28,857		5,781
Total fixed maturities	$	1,898,348	$	45,498	$	2,262,448	$	322,047	$	4,160,796	$	367,545
Equity investments:
Equity mutual funds	$	6	$	—	$	3	$	—	$	9	$	—
Airline industry	612		77		—		—		612		77
Total equity investments	$	618	$	77	$	3	$	—	$	621	$	77
Total number of securities in an unrealized loss position			183				237				420

Fixed maturity investments - Total unrealized losses and other-than-temporary impairment losses decreased by $79,478, or 22%, from December 31, 2010 to September 30, 2011.  This decrease in unrealized losses was across most asset classes and reflects recovery in market liquidity and lower interest rates, although the economic uncertainty in certain asset classes still remains.

Unrealized losses on corporate debt securities increased by $6,287 from December 31, 2010 to September 30, 2011.  The valuation of these securities has been influenced by market conditions with widening credit spreads in the finance sector resulting in generally lower valuations of these fixed income securities.  Management has classified the losses on these corporate debt securities by sector, calculated as a percentage of total unrealized losses, as follows:

Sector	September 30, 2011		December 31, 2010
Finance	89	%	78	%
Utility	3	%	8	%
Natural resources	2	%	4	%
Consumer	3	%	4	%
Transportation	1	%	1	%
Other	2	%	5	%
	100	%	100	%

Unrealized losses on asset-backed and residential mortgage-backed securities decreased by $31,274, and $9,986, respectively, since December 31, 2010, generally due to lower interest rates, increased market liquidity and other-than-temporary impairments recognized during the period.

Asset-backed securities account for 46% of the unrealized losses and OTTI greater than twelve months.  Of the $112,745 of unrealized losses and OTTI over twelve months on asset-backed securities, 72% of the losses are on securities which continue to be rated investment grade.  Of the securities which are not rated investment grade, 84% of the losses are on securities guaranteed by monoline insurers.  The present value of the cash flows expected to be collected is not less than amortized cost.  Management does not have the intent to sell these assets prior to a full recovery; therefore, an OTTI was not recognized in earnings.  Accordingly, unless otherwise noted below in the other-than-temporary impairment recognition section, the underlying collateral on the asset-backed securities within the portfolio along with credit enhancement is sufficient to expect full repayment of the principal.

Of the $126,013 of unrealized losses and OTTI over twelve months on corporate debt securities, 60% are on securities which continue to be rated investment grade.  Of the $49,847 of unrealized losses and OTTI greater than twelve months on non-investment grade corporate debt securities, $37,823 of the losses are on investments held in banks in the United Kingdom.  The prices of securities held in foreign banks have been impacted by their long duration combined with widening spreads and the low London Interbank Offering Rate (“LIBOR”) based floating rates.  Although foreign banks have suffered from the weak credit and economic environment, they benefit from central bank support.  Management does not have the intent to sell these assets prior to a full recovery; therefore, an OTTI was not recognized in earnings.

See Note 6 for additional discussion regarding fair value measurements.

Other-than-temporary impairment recognition - The Company recorded other-than-temporary impairments on fixed maturities, equity investments and limited partnership investments for the three and nine-month periods ended September 30, 2011 and 2010 as follows:

	Three months ended September 30, 2011
	OTTI recognized in realized gains/(losses)				OTTI recognized in AOCI (2)
	Credit related (1)		Non-credit related		Non-credit related		Total
Fixed maturities:
Asset-backed securities	$	6,264	$	—	$	10,004	$	16,268
Limited partnership investments:
Limited partnership interests	$	1,006	$	—	$	—	$	1,006
Total OTTI impairments	$	7,270	$	—	$	10,004	$	17,274

(1) Of the $6,264 in total fixed maturities, all is bifurcated credit loss recognized on securities.

(2) Amounts are recognized in AOCI in the period incurred.

	Nine months ended September 30, 2011
	OTTI recognized in realized gains/(losses)				OTTI recognized in AOCI (2)
	Credit related (1)		Non-credit related		Non-credit related		Total
Fixed maturities:
Asset-backed securities	$	6,264	$	—	$	10,004	$	16,268
Equity investments:
Airline industry	$	287	$	—	$	—	$	287
Limited partnership investments:
Limited partnership interests	$	2,410	$	—	$	—	$	2,410
Total OTTI impairments	$	8,961	$	—	$	10,004	$	18,965

(1) Of the $6,264 in total fixed maturities, all is bifurcated credit loss recognized on securities.

(2) Amounts are recognized in AOCI in the period incurred.

	Three months ended September 30, 2010
	OTTI recognized in realized gains/(losses)				OTTI recognized in AOCI (2)
	Credit related (1)		Non-credit related		Non-credit related		Total
Fixed maturities:
U.S. government direct obligations and U.S. agencies	$	—	$	444	$	—	$	444
Asset-backed securities	646		—		3		649
Total OTTI impairments	$	646	$	444	$	3	$	1,093

(1) Of the $646 in total fixed maturities, all is bifurcated credit loss recognized on securities.

(2) Amounts are recognized in AOCI in the period incurred.

	Nine months ended September 30, 2010
	OTTI recognized in realized gains/(losses)				OTTI recognized in AOCI (2)
	Credit related (1)		Non-credit related		Non-credit related		Total
Fixed maturities:
U.S. government direct obligations and U.S. agencies	$	—	$	2,527	$	—	$	2,527
Corporate debt securities	—		1,410		—		1,410
Asset-backed securities	54,006		—		15,707		69,713
Residential mortgage-backed securities	876		—		—		876
Total fixed maturities	$	54,882	$	3,937	$	15,707	$	74,526
Equity investments:
Financial services	$	490	$	—	$	—	$	490
Total OTTI impairments	$	55,372	$	3,937	$	15,707	$	75,016

(1) Of the credit-related other-than-temporary impairment on asset-backed securities, $53,327 was related to Ambac Financial Group, Inc. for the nine months ended September 30, 2010.  Of the $54,882 in total fixed maturities, $54,849 is the bifurcated credit loss recognized on securities.

(2) Amounts are recognized in AOCI in the period incurred.

The other-than-temporary impairments of fixed maturity securities where the loss portion is bifurcated and the credit related component is recognized in realized investment gains (losses) is summarized as follows:

	Three months ended September 30,					Nine months ended September 30,
	2011			2010		2011			2010
Bifurcated credit loss:
Beginning balance	$	181,611		$	169,528	$	181,611		$	115,325
Additions:
Initial impairments - credit loss on securities not previously impaired	6,264			646		6,264			54,849
Reductions:
Due to sales, maturities, or payoffs during the period	(876		)	—		(876		)	—
Ending balance	$	186,999		$	170,174	$	186,999		$	170,174

The credit loss portion on fixed maturities was determined as the difference between the securities’ amortized cost and the present value of expected future cash flows.  These expected cash flows were determined using judgment and the best information available to the Company and were discounted at the securities’ original effective interest rate.  Inputs used to derive expected cash flows included default rates, credit ratings, collateral characteristics and current levels of subordination.