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Investments (Tables)
9 Months Ended
Sep. 30, 2011
Cash and Investments Including Other-Than-Temporarily Impaired ("OTTI") Securities Recognized within Other Comprehensive Income ("OCI")

The following tables set forth the Company’s cash and investments as of September 30, 2011 and December 31, 2010. The table below includes other-than-temporarily impaired (“OTTI”) securities recognized within other comprehensive income (“OCI”).

 

September 30, September 30, September 30, September 30, September 30,
       As of September 30, 2011  

In thousands

      Fair Value        Gross
Unrealized
Gains		        Gross
Unrealized
Losses		      Amortized
Cost		        OTTI
Recognized
in OCI		  

Fixed-maturities:

                       

U.S. Government Treasury bonds, agency bonds, and foreign government bonds

      $ 301,757         $ 8,656         $ (487 )     $ 293,588         $ —     

States, municipalities and political subdivisions

        386,167           23,394           (195 )       362,968           —     

Mortgage-backed and asset-backed securities:

                       

Agency mortgage-backed securities

        377,465           16,932           (20 )       360,553           —     

Residential mortgage obligations

        24,525           30           (2,232 )       26,727           (1,260 ) 

Asset-backed securities

        49,915           779           (86 )       49,222           —     

Commerical mortgage-backed securities

        215,033           6,673           (909 )       209,269           —     
    

 

 

       

 

 

       

 

 

     

 

 

       

 

 

  

Subtotal

      $ 666,938         $ 24,414         $ (3,247 )     $ 645,771         $ (1,260 ) 

Corporate bonds

        473,111           15,008           (7,998 )       466,101           —     
    

 

 

       

 

 

       

 

 

     

 

 

       

 

 

  

Total fixed-maturities

      $ 1,827,973         $ 71,472         $ (11,927 )     $ 1,768,428         $ (1,260 ) 

Equity securities - common stocks

        147,794           18,597           (4,419 )       133,616           —     

Cash

        58,935           —             —           58,935           —     

Short-term investments

        159,549           —             —           159,549           —     
    

 

 

       

 

 

       

 

 

     

 

 

       

 

 

  

Total

      $ 2,194,251         $ 90,069         $ (16,346 )     $ 2,120,528         $ (1,260 ) 
    

 

 

       

 

 

       

 

 

     

 

 

       

 

 

  
       As of December 31, 2010  

In thousands

      Fair Value        Gross
Unrealized
Gains		        Gross
Unrealized
Losses		      Amortized
Cost		        OTTI
Recognized
in OCI		  

Fixed-maturities:

                       

U.S. Government Treasury bonds, agency bonds, and foreign government bonds

      $ 324,145         $ 5,229         $ (4,499 )     $ 323,415         $ —     

States, municipalities and political subdivisions

        392,250           11,903           (3,805 )       384,152           —     

Mortgage-backed and asset-backed securities:

                       

Agency mortgage-backed securities

        382,628           10,127           (2,434 )       374,935           —     

Residential mortgage obligations

        20,463           24           (2,393 )       22,832           (1,646 ) 

Asset-backed securities

        46,093           247           (292 )       46,138           —     

Commerical mortgage-backed securities

        190,015           4,804           (1,794 )       187,005           —     
    

 

 

       

 

 

       

 

 

     

 

 

       

 

 

  

Subtotal

      $ 639,199         $ 15,202         $ (6,913 )     $ 630,910         $ (1,646 ) 

Corporate bonds

        526,651           15,075           (5,545 )       517,121           —     
    

 

 

       

 

 

       

 

 

     

 

 

       

 

 

  

Total fixed-maturities

      $ 1,882,245         $ 47,409         $ (20,762 )     $ 1,855,598         $ (1,646 ) 

Equity securities - common stocks

        87,258           22,475           (10 )       64,793           —     

Cash

        31,768           —             —           31,768           —     

Short-term investments

        153,057           —             —           153,057           —     
    

 

 

       

 

 

       

 

 

     

 

 

       

 

 

  

Total

      $ 2,154,328         $ 69,884         $ (20,772 )     $ 2,105,216         $ (1,646 ) 
    

 

 

       

 

 

       

 

 

     

 

 

       

 

 

  
Scheduled Maturity Dates for Fixed Maturity Securities by Number of Years Until Maturity

The contractual maturity dates for fixed maturity securities categorized by the number of years until maturity as of September 30, 2011 are shown in the following table:

 

September 30, September 30,
       As of September 30, 2011  

In thousands

      Fair Value        Amortized
Cost		  

Due in one year or less

      $ 86,286         $ 85,378   

Due after one year through five years

        516,118           506,889   

Due after five years through ten years

        353,019           335,229   

Due after ten years

        205,612           195,161   

Mortgage- and asset-backed securities

        666,938           645,771   
    

 

 

       

 

 

  

Total

      $ 1,827,973         $ 1,768,428   
    

 

 

       

 

 

  
Summary of Aggregate Fair Value and Gross Unrealized Loss by the Length of Time those Securities had Continuously been in a Gross Unrealized Loss Position as Well as the Number of Securities

The following table summarizes all securities in a gross unrealized loss position as of September 30, 2011 and December 31, 2010, showing the aggregate fair value and gross unrealized loss by the length of time those securities had continuously been in a gross unrealized loss position as well as the relevant number of securities.

 

September 30, September 30, September 30, September 30, September 30, September 30,
       As of September 30, 2011        As of December 31, 2010  

In thousands except # of securities

      Number of
Securities		        Fair
Value		        Gross
Unrealized
Loss		        Number of
Securities		        Fair
Value		        Gross
Unrealized
Loss		  

Fixed maturities:

                              

U.S. Government Treasury bonds, agency bonds, and foreign government bonds

                              

0-6 months

        8         $ 80,840         $ 230           36         $ 163,253         $ 4,499   

7-12 months

        2           6,916           257           —             —             —     

> 12 months

        —             —             —             —             —             —     
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Subtotal

        10         $ 87,756         $ 487           36         $ 163,253         $ 4,499   

States, municipalities and political subdivisions

                              

0-6 months

        7         $ 6,133         $ 26           57         $ 112,291         $ 3,749   

7-12 months

        4           8,809           131           1           1,004           20   

> 12 months

        5           3,196           38           4           1,317           36   
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Subtotal

        16         $ 18,138         $ 195           62         $ 114,612         $ 3,805   

Agency mortgage-backed securities

                              

0-6 months

        4         $ 8,049         $ 20           36         $ 139,226         $ 2,434   

7-12 months

        —             —             —             —             —             —     

> 12 months

        —             —             —             —             —             —     
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Subtotal

        4         $ 8,049         $ 20           36         $ 139,226         $ 2,434   

Residential mortgage obligations

                              

0-6 months

        7         $ 9,407         $ 124           3         $ 3,215         $ 20   

7-12 months

        3           1,520           111           —             —             —     

> 12 months

        47           11,716           1,997           52           15,939           2,373   
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Subtotal

        57         $ 22,643         $ 2,232           55         $ 19,154         $ 2,393   

Asset-backed securities

                              

0-6 months

        7         $ 14,216         $ 86           7         $ 28,175         $ 292   

7-12 months

        —             —             —             —             —             —     

> 12 months

        1           2           —             1           2           —     
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Subtotal

        8         $ 14,218         $ 86           8         $ 28,177         $ 292   

Commercial mortgage-backed securities

                              

0-6 months

        23         $ 53,115         $ 772           16         $ 78,212         $ 1,755   

7-12 months

        6           7,078           120           —             —             —     

> 12 months

        1           220           17           2           491           39   
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Subtotal

        30         $ 60,413         $ 909           18         $ 78,703         $ 1,794   

Corporate bonds

                              

0-6 months

        81         $ 168,290         $ 6,819           98         $ 214,180         $ 5,545   

7-12 months

        15           22,737           1,179           —             —             —     

> 12 months

        —             —             —             —             —             —     
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Subtotal

        96         $ 191,027         $ 7,998           98         $ 214,180         $ 5,545   
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total fixed maturities

        221         $ 402,244         $ 11,927           313         $ 757,305         $ 20,762   
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Equity securities - common stocks

                              

0-6 months

        25         $ 59,039         $ 4,419           1         $ 322         $ 10   

7-12 months

        —             —             —             —             —             —     

> 12 months

        —             —             —             —             —             —     
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total equity securities

        25         $ 59,039         $ 4,419           1         $ 322         $ 10   
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  
Summary of Activity Related to OTTI Losses

The table below summarizes the Company’s activity related to OTTI losses for the periods indicated:

 

September 30, September 30, September 30, September 30, September 30, September 30, September 30, September 30,
    Three Months Ended September 30,     Nine Months Ended September 30,  
    2011     2010     2011     2010  

In thousands except # of securities

   Number of
Securities		     Amount     Number of
Securities		     Amount
     Number of
Securities		     Amount     Number of
Securities		     Amount  

Total other than temporary impairment losses:

                

Corporate and other bonds

     —        $ —          —        $ —          —        $ —          —        $ —     

Commercial mortgage-backed securities

     —          —          —          —          —          —          —          —     

Residential mortgage-backed securities

     10        1,241        10        674        15        1,791        12        1,387   

Asset-backed securities

     —          —          —          —          —          —          —          —     

Equities

     —          —          1        360        1        547        2        387   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

     10      $ 1,241        11      $ 1,034        16      $ 2,338        14      $ 1,774   

Portion of loss in accumulated other comprehensive income (loss):

                

Corporate and other bonds

     $ —          $ —          $ —          $ —     

Commercial mortgage-backed securities

       —            —            —            —     

Residential mortgage-backed securities

       618          365          941          870   

Asset-backed securities

       —            —            —            —     

Equities

       —            —            —            —     
   

 

 

      

 

 

      

 

 

      

 

 

  

Total

     $ 618        $ 365        $ 941        $ 870   

Impairment losses recognized in earnings

                

Corporate and other bonds

     $ —          $ —          $ —          $ —     

Commercial mortgage-backed securities

       —            —            —            —     

Residential mortgage-backed securities

       623          309          850          517   

Asset-backed securities

       —            —            —            —     

Equities

       —            360          547          387   
   

 

 

      

 

 

      

 

 

      

 

 

  

Total

     $ 623        $ 669        $ 1,397        $ 904   
   

 

 

      

 

 

      

 

 

      

 

 

  
Summary of Cumulative Amounts Related to Credit Loss Portion of the OTTI Losses on Debt Securities

The following table summarizes the cumulative amounts related to the Company’s credit loss portion of the OTTI losses on debt securities for the three and nine months ended September 30, 2011 and 2010 that it does not intend to sell and it is more likely than not that it will not be required to sell the securities prior to recovery of the amortized cost basis and for which the non-credit loss portion is included in other comprehensive income:

 

September 30, September 30, September 30, September 30,
       Three Months Ended
September 30,		      Nine Months Ended
September 30,		  

In thousands

      2011        2010      2011        2010  

Beginning balance

      $ 1,885         $ 2,731       $ 1,658         $ 2,523   

Additions for credit loss impairments recognized in the current period on securities not previously impaired

        623           309         850           517   

Additions for credit loss impairments recognized in the current period on securities previously impaired

        —             —           —             —     

Reductions for credit loss impairments previously recognized on securities sold during the period

        —             (935 )       —             (935 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Ending balance

      $ 2,508         $ 2,105       $ 2,508         $ 2,105   
    

 

 

       

 

 

     

 

 

       

 

 

  
Contractual Maturity by Number of Years Until Maturity for Fixed Maturity Securities with a Gross Unrealized Loss

The contractual maturity dates for fixed maturity securities categorized by the number of years until maturity, with a gross unrealized loss as of September 30, 2011 is presented in the following table:

 

September 30, September 30, September 30, September 30,
       As of September 30, 2011  
       Gross Unrealized Losses     Fair Value  

In thousands

      Amount        Percent of
Total		     Amount        Percent of
Total		  

Due in one year or less

      $ 3           0 %    $ 4,509           1 % 

Due after one year through five years

        5,229           44 %      204,736           51 % 

Due after five years through ten years

        2,592           22 %      57,144           14 % 

Due after ten years

        856           7 %      30,532           8 % 

Mortgage- and asset-backed securities

        3,247           27 %      105,323           26 % 
    

 

 

       

 

 

    

 

 

       

 

 

  

Total

      $ 11,927           100 %    $ 402,244           100 % 
    

 

 

       

 

 

    

 

 

       

 

 

  
Change in Net Unrealized Gains/(Losses)

The change in net unrealized gains/(losses), inclusive of the change in the non credit portion of other-than-temporary impairment losses, consisted of:

 

September 30, September 30,
       Nine Months Ended
September 30,		  

In thousands

      2011      2010  

Fixed maturities

      $ 32,898       $ 54,257   

Equity securities

        (8,287 )       4,227   
    

 

 

     

 

 

  

Gross unrealized gains (losses)

        24,611         58,484   

Deferred income tax charge (credit)

        8,251         20,160   
    

 

 

     

 

 

  

Change in net unrealized gains (losses), net

      $ 16,360       $ 38,324   
    

 

 

     

 

 

  
Realized Gains and Losses Excluding Net Other-Than-Temporary Impairment Losses Recognized in Earnings

Realized gains/(losses), excluding net other-than-temporary impairment losses recognized in earnings, for the periods indicated were as follows:

 

September 30, September 30, September 30, September 30,
       Three Months Ended
September 30,		      Nine Months Ended
September 30,		  

In thousands

      2011      2010      2011      2010  

Fixed maturities:

              

Gains

      $ 3,315       $ 4,790       $ 10,625       $ 22,440   

Losses

        (77 )       (1,036 )       (6,610 )       (1,319 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Fixed maturities, net

      $ 3,238       $ 3,754       $ 4,015       $ 21,121   

Equity securities:

              

Gains

      $ —         $ 773       $ 841       $ 773   

Losses

        —           (6 )          (241 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Equity securities, net

      $ —         $ 767       $ 841       $ 532   
    

 

 

     

 

 

     

 

 

     

 

 

  

Net realized gains (losses)

      $ 3,238       $ 4,521       $ 4,856       $ 21,653   
    

 

 

     

 

 

     

 

 

     

 

 

  
Fixed Maturities and Equity Securities by Asset Class that are Measured at Fair Value

The following tables present, for each of the fair value hierarchy levels as defined in ASC 820, Fair Value Measurements, the Company’s fixed maturities and equity securities by asset class that are measured at fair value as of September 30, 2011 and December 31, 2010:

 

September 30, September 30, September 30, September 30,
       As of September 30, 2011  

In thousands

      Level 1        Level 2        Level 3        Total  

Fixed-maturities:

                    

U.S. Government Treasury bonds, agency bonds, and foreign government bonds

      $ 100,325         $ 201,432         $ —           $ 301,757   

States, municipalities and political subdivisions

        —             386,167           —             386,167   

Mortgage-backed and asset-backed securities:

                       —     

Agency mortgage-backed securities

        —             377,465           —             377,465   

Residential mortgage obligations

        —             24,525           —             24,525   

Asset-backed securities

        —             49,915           —             49,915   

Commercial mortgage-backed securities

        —             215,033           —             215,033   
    

 

 

       

 

 

       

 

 

       

 

 

  

Subtotal

      $ —           $ 666,938         $ —           $ 666,938   

Corporate bonds

        —             473,111           —             473,111   
    

 

 

       

 

 

       

 

 

       

 

 

  

Total fixed-maturities

      $ 100,325         $ 1,727,648         $ —           $ 1,827,973   

Equity securities - common stocks

        147,794           —             —             147,794   
    

 

 

       

 

 

       

 

 

       

 

 

  

Total

      $ 248,119         $ 1,727,648         $ —           $ 1,975,767   
    

 

 

       

 

 

       

 

 

       

 

 

  

 

September 30, September 30, September 30, September 30,
       As of December 31, 2010  

In thousands

      Level 1        Level 2        Level 3        Total  

Fixed-maturities:

                    

U.S. Government Treasury bonds, agency bonds, and foreign government bonds

      $ 212,933         $ 111,212         $ —           $ 324,145   

States, municipalities and political subdivisions

        —             392,250           —             392,250   

Mortgage-backed and asset-backed securities:

                       —     

Agency mortgage-backed securities

        —             382,628           —             382,628   

Residential mortgage obligations

        —             20,463           —             20,463   

Asset-backed securities

        —             46,093           —             46,093   

Commercial mortgage-backed securities

        —             188,178           1,837           190,015   
    

 

 

       

 

 

       

 

 

       

 

 

  

Subtotal

      $ —           $ 637,362         $ 1,837         $ 639,199   

Corporate bonds

        —             526,651           —             526,651   
    

 

 

       

 

 

       

 

 

       

 

 

  

Total fixed-maturities

      $ 212,933         $ 1,667,475         $ 1,837         $ 1,882,245   

Equity securities - common stocks

        87,258           —             —             87,258   
    

 

 

       

 

 

       

 

 

       

 

 

  

Total

      $ 300,191         $ 1,667,475         $ 1,837         $ 1,969,503   
    

 

 

       

 

 

       

 

 

       

 

 

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

The following tables present a reconciliation of the beginning and ending balances for all investments measured at fair value using Level 3 inputs during the three and nine months ended September 30, 2011.

 

September 30, September 30, September 30, September 30, September 30, September 30, September 30, September 30, September 30,
    For The Three Months Ended September 30, 2011  

In thousands

   Beginning
Balance		     Realized
Gains
(Losses)		     Unrealized
Gains
(Losses)		     Purchases     Sales     Settlements     Transfers
into
Level 3		     Transfers
out of
Level 3		     Ending
Balance		  

Assets:

                  

Commercial Mortgage

                  

Obligations

   $ 4,821      $ —        $ —        $ —        $ —        $ —        $ —        $ (4,821 )    $ —     
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

   $ 4,821      $ —        $ —        $ —        $ —        $ —        $ —        $ (4,821 )    $ —     
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

 

September 30, September 30, September 30, September 30, September 30, September 30, September 30, September 30, September 30,
    For The Nine Months Ended September 30, 2011  

In thousands

   Beginning
Balance		     Realized
Gains
(Losses)		     Unrealized
Gains
(Losses)		     Purchases     Sales     Settlements     Transfers
into
Level 3		     Transfers
out of
Level 3		     Ending
Balance		  

Assets:

                  

Commercial Mortgage

                  

Obligations

   $ 1,837      $ —        $ —        $ 4,821      $ —        $ —        $ —        $ (6,658 )    $ —     
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

   $ 1,837      $ —        $ —        $ 4,821      $ —        $ —        $ —        $ (6,658 )    $ —