Investments

12 Months Ended

Dec. 31, 2011

Disclosure - Investments [Abstract]

Investments Disclosure

4. Investments

(a) Fixed Maturities, Short-Term Investments and Equities

The cost, gross unrealized gains, gross unrealized losses and fair value of investments classified as trading securities at December 31, 2011 and 2010 were as follows (in thousands of U.S. dollars):

						Gross		Gross
						Unrealized		Unrealized		Fair
December 31, 2011			Cost(1)		Gains		Losses		Value
Fixed maturities
	U.S. government and government sponsored enterprises		$	1,084,533	$	31,283	$	(39)	$	1,115,777
	U.S. states, territories and municipalities			117,528		6,169		(13)		123,684
	Non-U.S. sovereign government, supranational and
		government related		2,807,363		158,900		(2,172)		2,964,091
	Corporate			5,461,478		319,090		(33,571)		5,746,997
	Asset-backed securities			626,508		11,558		(4,267)		633,799
	Residential mortgage-backed securities			3,224,850		94,781		(36,730)		3,282,901
	Other mortgage-backed securities			72,144		2,833		(397)		74,580
Total fixed maturities				13,394,404		624,614		(77,189)		13,941,829
Short-term investments				42,563		22		(14)		42,571
Equities				917,613		99,152		(72,074)		944,691
Total			$	14,354,580	$	723,788	$	(149,277)	$	14,929,091
						Gross		Gross
						Unrealized		Unrealized		Fair
December 31, 2010			Cost(1)		Gains		Losses		Value
Fixed maturities
	U.S. government and government sponsored enterprises		$	895,862	$	15,584	$	(5,414)	$	906,032
	U.S. states, territories and municipalities			66,548		271		(127)		66,692
	Non-U.S. sovereign government, supranational and
		government related		2,743,922		82,984		(7,713)		2,819,193
	Corporate			5,876,392		286,463		(19,008)		6,143,847
	Asset-backed securities			554,326		11,707		(9,376)		556,657
	Residential mortgage-backed securities			2,227,938		92,534		(14,947)		2,305,525
	Other mortgage-backed securities			29,809		1,787		(5,153)		26,443
Total fixed maturities				12,394,797		491,330		(61,738)		12,824,389
Short-term investments				49,132		283		(18)		49,397
Equities				942,745		146,700		(17,769)		1,071,676
Total			$	13,386,674	$	638,313	$	(79,525)	$	13,945,462
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(1)       Cost is amortized cost for fixed maturities and short-term investments and cost for equity securities. For investments acquired from Paris Re, cost is based on the fair value at the date of acquisition and subsequently adjusted for amortization of fixed maturities and short-term investments.

(b) Maturity Distribution of Fixed Maturities and Short-Term Investments

The distribution of fixed maturities and short-term investments at December 31, 2011, by contractual maturity date, is shown below (in thousands of U.S. dollars). Actual maturities may differ from contractual maturities because certain borrowers have the right to call or prepay certain obligations with or without call or prepayment penalties.

		Cost		Fair Value
One year or less	$	566,515	$	570,829
More than one year through five years		4,792,769		4,923,116
More than five years through ten years		3,471,876		3,713,242
More than ten years		682,305		785,933
Subtotal		9,513,465		9,993,120
Mortgage/asset-backed securities		3,923,502		3,991,280
Total	$	13,436,967	$	13,984,400

(c) Change in Net Unrealized Gains or Losses on Investments

The change in net unrealized gains or losses on investments reflected in change in other accumulated comprehensive (loss) income for the years ended December 31, 2011, 2010 and 2009 was $(0.9) million, $(4.9) million and $8.1 million, respectively.The related tax impact for all years was $nil.

(d) Net Realized and Unrealized Investment Gains

The components of the net realized and unrealized investment gains for the years ended December 31, 2011, 2010 and 2009wereas follows (in thousands of U.S. dollars):

			2011		2010		2009
Net realized investment gains on fixed maturities and short-term investments		$	157,207	$	173,426	$	105,249
Net realized investment gains (losses) on equities			90,866		44,736		(45,258)
Net realized losses on other invested assets			(176,295)		(68,568)		(35,426)
Change in net unrealized (losses) gains on other invested assets			(46,278)		3,742		58,196
Change in net unrealized investment gains on fixed maturities and
	short-term investments		128,224		142,634		322,944
Change in net unrealized investment (losses) gains on equities			(101,860)		64,825		185,925
Net other realized and unrealized investment gains			3,617		13,335		1,777
Net realized and unrealized investment gains (losses)
	on funds held – directly managed		11,211		27,352		(1,700)
Total net realized and unrealized investment gains		$	66,692	$	401,482	$	591,707

Included in net realized investment gains (losses) on equities for the year ended December 31, 2009 is a gain of $18.3 million related to the Company's equity investment in Paris Re prior to the Acquisition Date (see Note 7).

(e) Net Investment Income

The components of net investment income for the years ended December 31, 2011, 2010 and 2009 were as follows (in thousands of U.S. dollars):

		2011		2010		2009
Fixed maturities	$	561,576	$	580,258	$	559,330
Short-term investments, cash and cash equivalents		3,843		8,541		11,799
Equities		19,815		20,794		13,861
Funds held and other		49,502		52,794		32,793
Funds held – directly managed		37,919		51,775		17,766
Investment expenses		(43,507)		(41,380)		(39,478)
Net investment income	$	629,148	$	672,782	$	596,071

Other than the funds held – directly managed account, the Company generally earns investment income on funds held by reinsured companies based upon a predetermined interest rate, either fixed contractually at the inception of the contract or based upon a recognized index (e.g., LIBOR). Interest rates ranged from 2.0% to 5.0%for the year endedDecember 31, 2011 andfrom 3.0% to 6.0% for the year endedDecember 31, 2010. See Note 5for additional information on the funds held – directly managed account.

(f) Pledged Assets

At December 31, 2011 and 2010, approximately $21.3million and $271.2 million, respectively, of cash and cash equivalents and approximately $2,314.7million and $1,679.2 million, respectively, of securities were deposited, pledged or held in escrow accounts in favor of ceding companies and other counterparties or government authorities to comply with reinsurance contract provisions and insurance laws.

(g) Net Payable for Securities Purchased/Sold

Included within Accounts payable, accrued expenses and other in the Consolidated Balance Sheets at December 31, 2011 and 2010 were amounts of gross receivable balances for securities soldand gross payable balances for securities purchased as follows (in thousands of U.S. dollars):

		2011		2010
Receivable for securities sold	$	71,477	$	16,669
Payable for securities purchased		(86,557)		(23,802)
Net payable for securities purchased/sold	$	(15,080)	$	(7,133)