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Investments
 12 Months Ended
Dec. 31, 2011
Investments

Note 4. Investments

The following tables set forth the Company’s cash and investments as of December 31, 2011 and 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,
       December 31, 2011  
                Gross        Gross               OTTI  
                Unrealized        Unrealized      Amortized        Recognized  

In thousands

      Fair Value        Gains        Losses      Cost        in OCI  

Fixed maturities:

                       

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

      $ 336,070         $ 8,979         $ (383 )     $ 327,474         $ —     

States, municipalities and political subdivisions

        410,836           28,887           (108 )       382,057           —     

Mortgage-backed and asset-backed securities:

                       

Agency mortgage-backed securities

        395,860           17,321           (3 )       378,542           —     

Residential mortgage obligations

        23,148           8           (2,848 )       25,988           (1,682 ) 

Asset-backed securities

        48,934           695           (75 )       48,314           —     

Commercial mortgage-backed securities

        216,034           10,508           (593 )       206,119           —     
    

 

 

       

 

 

       

 

 

     

 

 

       

 

 

  

Subtotal

      $ 683,976         $ 28,532         $ (3,519 )     $ 658,963         $ (1,682 ) 

Corporate bonds

        457,187           15,743           (6,772 )       448,216           —     
    

 

 

       

 

 

       

 

 

     

 

 

       

 

 

  

Total fixed-maturities

      $ 1,888,069         $ 82,141         $ (10,782 )     $ 1,816,710         $ (1,682 ) 

Equity securities - common stocks

        95,849           23,240           (958 )       73,567           —     

Short-term investments

        122,220           —             —           122,220           —     

Cash

        127,360           —             —           127,360        
    

 

 

       

 

 

       

 

 

     

 

 

       

 

 

  

Total

      $ 2,233,498         $ 105,381         $ (11,740 )     $ 2,139,857         $ (1,682 ) 
    

 

 

       

 

 

       

 

 

     

 

 

       

 

 

  

 

 

September 30, September 30, September 30, September 30, September 30,
       December 31, 2010  
                Gross        Gross               OTTI  
                Unrealized        Unrealized      Amortized        Recognized  

In thousands

      Fair Value        Gains        Losses      Cost        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           —     

Commercial 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           —     

Short-term investments

        153,057           —             —           153,057           —     

Cash

        31,768           —             —           31,768           —     
    

 

 

       

 

 

       

 

 

     

 

 

       

 

 

  

Total

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

 

 

       

 

 

       

 

 

     

 

 

       

 

 

  

The fair value of the Company’s investment portfolio may fluctuate significantly in response to various factors such as changes in interest rates, investment quality ratings, equity prices, foreign exchange rates and credit spreads. The Company does not have the intent to sell nor is it more likely than not that it will have to sell debt securities in unrealized loss positions that are not other-than-temporarily impaired before recovery. The Company may realize investment losses to the extent its liquidity needs require the disposition of fixed maturity securities in unfavorable interest rate, liquidity or credit spread environments. Significant changes in the factors the Company considers when evaluating investment for impairment losses could result in a significant change in impairment losses reported in the consolidated financial statements.

The contractual maturity dates for fixed maturity securities categorized by the number of years until maturity as of December 31, 2011 are shown in the following table:

 

September 30, September 30,
       December 31, 2011  
                Amortized  

In thousands

      Fair Value        Cost  

Due in one year or less

      $ 65,454         $ 64,925   

Due after one year through five years

        551,225           542,238   

Due after five years through ten years

        372,275           349,061   

Due after ten years

        215,139           201,523   

Mortgage- and asset-backed securities

        683,976           658,963   
    

 

 

       

 

 

  

Total

      $ 1,888,069         $ 1,816,710   
    

 

 

       

 

 

  

Expected maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations with or without call or prepayment penalties. Due to the periodic repayment of principal, the mortgage-backed and asset-backed securities are estimated to have an effective maturity of approximately 3.6 years.

 

The following table shows the amount and percentage of the Company’s fixed maturities and short-term investments at December 31, 2011 by S&P credit rating or, if an S&P rating is not available, the equivalent Moody’s rating. The table includes fixed maturities and short-term investments at fair value, and the total rating is the weighted average quality rating.

 

September 30, September 30, September 30,
       December 31, 2011  
                       Percent of  

In thousands

      Rating      Fair Value        Total  

Rating description:

               

Extremely strong

      AAA      $ 291,600           15 % 

Very strong

      AA        1,048,922           56 % 

Strong

      A        422,777           22 % 

Adequate

      BBB        108,299           6 % 

Speculative

      BB & Below        11,665           1 % 

Not rated

      NR        4,806           0 % 
         

 

 

       

 

 

  

Total

      AA      $ 1,888,069           100 % 
         

 

 

       

 

 

  

 

The following table summarizes all securities in a gross unrealized loss position as of December 31, 2011 and 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,
       December 31, 2011        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

        7         $ 58,587         $ 98           36         $ 163,253         $ 4,499   

7-12 months

             —             —             —             —             —     

> 12 months

        2           6,883           285           —             —             —     
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Subtotal

        9         $ 65,470         $ 383           36         $ 163,253         $ 4,499   

States, municipalities and political subdivisions

                              

0-6 months

        7         $ 5,894         $ 72           57         $ 112,291         $ 3,749   

7-12 months

        1           216           1           1           1,004           20   

> 12 months

        5           2,420           35           4           1,317           36   
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Subtotal

        13         $ 8,530         $ 108           62         $ 114,612         $ 3,805   

Agency mortgage-backed securities

                              

0-6 months

        3         $ 5,087         $ 3           36         $ 139,226         $ 2,434   

7-12 months

             —             —             —             —             —     

> 12 months

             —             —             —             —             —     
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Subtotal

        3         $ 5,087         $ 3           36         $ 139,226         $ 2,434   

Residential mortgage obligations

                              

0-6 months

        6         $ 6,672         $ 184           3         $ 3,215         $ 20   

7-12 months

        7           5,250           313           —             —             —     

> 12 months

        47           10,749           2,351           52           15,939           2,373   
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Subtotal

        60         $ 22,671         $ 2,848           55         $ 19,154         $ 2,393   

Asset-backed securities

                              

0-6 months

        2         $ 4,933         $ 12           7         $ 28,175         $ 292   

7-12 months

        5           6,645           63           —             —             —     

> 12 months

        1           2           —             1           2           —     
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Subtotal

        8         $ 11,580         $ 75           8         $ 28,177         $ 292   

Commercial mortgage-backed securities

                              

0-6 months

        6         $ 5,465         $ 29           16         $ 78,212         $ 1,755   

7-12 months

        3           6,840           550           —             —             —     

> 12 months

        3           1,503           14           2           491           39   
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Subtotal

        12         $ 13,808         $ 593           18         $ 78,703         $ 1,794   

Corporate bonds

                              

0-6 months

        52         $ 135,516         $ 4,539           98         $ 214,180         $ 5,545   

7-12 months

        18           27,561           1,457           —             —             —     

> 12 months

        8           14,898           776           —             —             —     
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Subtotal

        78         $ 177,975         $ 6,772           98         $ 214,180         $ 5,545   
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total fixed maturities

        183         $ 305,121         $ 10,782           313         $ 757,305         $ 20,762   
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Equity securities - common stocks

                              

0-6 months

        4         $ 3,320         $ 587           1         $ 322         $ 10   

7-12 months

        1           1,629           371           —             —             —     

> 12 months

        —             —             —             —             —             —     
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total equity securities

        5         $ 4,949         $ 958           1         $ 322         $ 10   
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

 

As of December 31, 2011 and 2010, the largest single unrealized loss by a non-government backed issuer in the fixed maturities was $1.4 million and $0.7 million, respectively.

We analyze the unrealized losses quarterly to determine if any are other-than-temporary. The above unrealized losses have been determined to be temporary based on our policies.

For debt securities, when assessing whether the amortized cost basis of the security will be recovered, the Company compares the present value of cash flows expected to be collected in relation to the current book value. Any shortfalls of the present value of the cash flows expected to be collected in relation to the amortized cost basis is considered the credit loss portion of OTTI losses and is recognized in earnings. All non-credit losses are recognized as changes in OTTI losses within OCI.

To determine whether the unrealized loss on structured securities is other-than-temporary, the Company analyzes the projections provided by its investment managers with respect to an expected principal loss under a range of scenarios and utilizes the most likely outcomes. The analysis relies on actual collateral performance measures such as default rate, prepayment rate and loss severity. These assumptions are applied throughout the remaining term of the deal, incorporating the transaction structure and priority of payments, to generate loss adjusted cash flows. Results of the analysis will indicate whether the security ultimately incurs a loss or whether there is a material impact on yield due to either a projected loss or a change in cash flow timing. A break even default rate is also calculated. A comparison of the break even default rate to the actual default rate provides an indication of the level of cushion or coverage to the first dollar principal loss. The analysis applies the stated assumptions throughout the remaining term of the transaction to forecast cash flows, which are then applied through the transaction structure to determine whether there is a loss to the security. For securities in which a tranche loss is present, and the net present value of loss adjusted cash flows is less than book value, impairment is recognized. The output data also includes a number of additional metrics such as average life remaining, original and current credit support, over 60 day delinquency and security rating.

The significant inputs used to measure the amount of credit loss recognized in earnings were actual delinquency rates, default probability assumptions, severity assumptions and prepayment assumptions. Projected losses are a function of both loss severity and probability of default. Default probability and severity assumptions differ based on property type, vintage and the stress of the collateral. The Company does not intend to sell any of these securities and it is more likely than not that it will not be required to sell these securities before the recovery of the amortized cost basis.

For equity securities, in general, the Company focuses its attention on those securities with a fair value less than 80% of their cost for six or more consecutive months. If warranted as the result of conditions relating to a particular security, the Company will focus on a significant decline in fair value regardless of the time period involved. Factors considered in evaluating potential impairment include, but are not limited to, the current fair value as compared to cost of the security, the length of time the investment has been below cost and by how much. If an equity security is deemed to be other-than-temporarily impaired, the cost is written down to fair value with the loss recognized in earnings.

For equity securities, the Company also considers its intent to hold securities as part of the process of evaluating whether a decline in fair value represents an other-than-temporary decline in value. For fixed maturity securities, the Company considers its intent to sell a security and whether it is more likely than not that the Company will be required to sell a security before the anticipated recovery as part of the process of evaluating whether a security’s unrealized loss represents an other-than-temporary decline. The Company’s ability to hold such securities is supported by sufficient cash flow from its operations and from maturities within its investment portfolio in order to meet its claims payment and other disbursement obligations arising from its underwriting operations without selling such investments. With respect to securities where the decline in value is determined to be temporary and the security’s value is not written down, a subsequent decision may be made to sell that security and realize a loss. Subsequent decisions on security sales are made within the context of overall risk monitoring, changing information and market conditions.

 

The following table summarizes the gross unrealized investment losses as of December 31, 2011 by length of time where the fair value is less than 80% of amortized cost.

 

September 30, September 30, September 30, September 30, September 30,
       Period for Which Fair Value is Less than 80% of Amortized Cost  

In thousands

      Less than 3
months		      Longer than 3
months, less
than 6 months		      6 months
or longer,
less than 12
months		        12 months
or longer		      Total  

Fixed maturities

      $ —         $ —         $ —           $ (1,039 )     $ (1,039 ) 

Equity securities

        (243 )       (103 )       —             —           (346 ) 
    

 

 

     

 

 

     

 

 

       

 

 

     

 

 

  

Total

      $ (243 )     $ (103 )     $ —           $ (1,039 )     $ (1,385 ) 
    

 

 

     

 

 

     

 

 

       

 

 

     

 

 

  

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,
       Year Ended December 31,  
       2011        2010        2009  

In thousands, except # of securities

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

Total other than temporary impairment losses:

                              

Corporate and other bonds

        1         $ 109           —           $ —             2         $ 564   

Commercial mortgage-backed securities

        —             —             —             —             —             —     

Residential mortgage-backed securities

        19           2,616           18           1,835           39           19,783   

Asset-backed securities

        —             —             —             —             1           143   

Equities

        2           892           2           387           56           8,775   
    

 

 

       

 

 

       

 

 

       

 

 

       

 

 

       

 

 

  

Total

        22         $ 3,617           20         $ 2,222           98         $ 29,265   

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

                              

Corporate and other bonds

           $ —                $ —                $ —     

Commercial mortgage-backed securities

             —                  —                  —     

Residential mortgage-backed securities

             1,632                1,142                17,324   

Asset-backed securities

             —                  —                  64   

Equities

             —                  —                  —     
         

 

 

            

 

 

            

 

 

  

Total

           $ 1,632              $ 1,142              $ 17,388   

Impairment losses recognized in earnings:

                              

Corporate and other bonds

           $ 109              $ —                $ 564   

Commercial mortgage-backed securities

             —                  —                  —     

Residential mortgage-backed securities

             984                693                2,458   

Asset-backed securities

             —                  —                  80   

Equities

             892                387                8,775   
         

 

 

            

 

 

            

 

 

  

Total

           $ 1,985              $ 1,080              $ 11,877   
         

 

 

            

 

 

            

 

 

  

 

The following table summarizes the cumulative amounts related to the Company’s credit loss portion of the OTTI losses on debt securities for the periods ended December 31, 2011, 2010 and 2009. The Company 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,
       Year Ended December 31,  

In thousands

      2011        2010      2009  

Beginning balance

      $ 2,228         $ 2,523       $ —     

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

        109           271         3,102   

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

        984           422         —     

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

        —             (988 )       (579 ) 
    

 

 

       

 

 

     

 

 

  

Ending balance

      $ 3,321         $ 2,228       $ 2,523   
    

 

 

       

 

 

     

 

 

  

The contractual maturity dates for fixed maturity securities categorized by the number of years until maturity, with a gross unrealized loss as of December 31, 2011 is presented in the following table:

 

September 30, September 30, September 30, September 30,
       December 31, 2011  
       Gross Unrealized Losses     Fair Value  

In thousands

      Amount        Percent
of Total		     Amount        Percent of
Total		  

Due in one year or less

      $ 8           0 %    $ 5,570           2 % 

Due after one year through five years

        4,992           46 %      190,234           62 % 

Due after five years through ten years

        1,786           17 %      42,649           14 % 

Due after ten years

        477           4 %      13,522           4 % 

Mortgage- and asset-backed securities

        3,519           33 %      53,146           18 % 
    

 

 

       

 

 

    

 

 

       

 

 

  

Total

      $ 10,782           100 %    $ 305,121           100 % 
    

 

 

       

 

 

    

 

 

       

 

 

  

The Company’s net investment income was derived from the following sources:

 

September 30, September 30, September 30,
       Year Ended December 31,  

In thousands

      2011      2010      2009  

Fixed maturities

      $ 65,060       $ 69,996       $ 74,779   

Equity securities

        5,071         3,028         2,464   

Short-term investments

        964         965         811   
    

 

 

     

 

 

     

 

 

  
       71,095         73,989         78,054   

Investment expenses

        (7,595 )       (2,327 )       (2,542 ) 
    

 

 

     

 

 

     

 

 

  

Net investment income

      $ 63,500       $ 71,662       $ 75,512   
    

 

 

     

 

 

     

 

 

  

Investment expenses in 2011 included $4.7 million of estimated interest expense related to a summary judgment order entered against the Company in its dispute with Resolute in which the Court awarded $4.7 million in interest to Resolute on previously paid balances that were allegedly overdue under certain reinsurance agreements. The Company is appealing the Court’s ruling. Refer to Note 12, Commitments and Contingencies.

 

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, September 30,
       Year Ended December 31,  

In thousands

      2011      2010      2009  

Fixed maturities

      $ 44,712       $ (12,039 )     $ 59,667   

Equity securities

        (183 )       7,231         15,955   
    

 

 

     

 

 

     

 

 

  

Gross unrealized gains (losses)

        44,529         (4,808 )       75,622   

Deferred income tax

        15,143         (1,324 )       25,602   
    

 

 

     

 

 

     

 

 

  

Change in net unrealized gains (losses), net

      $ 29,386       $ (3,484 )     $ 50,020   
    

 

 

     

 

 

     

 

 

  

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,
       Year Ended December 31,  

In thousands

      2011      2010      2009  

Fixed maturities:

           

Gains

      $ 11,678       $ 42,932       $ 18,312   

Losses

        (7,044 )       (3,239 )       (9,676 ) 
    

 

 

     

 

 

     

 

 

  

Fixed maturities, net

      $ 4,634       $ 39,693       $ 8,636   

Equity securities:

           

Gains

      $ 9,319       $ 1,867       $ 2,110   

Losses

        (1,957 )       (241 )       (1,529 ) 
    

 

 

     

 

 

     

 

 

  

Equity securities, net

      $ 7,362       $ 1,626       $ 581   
    

 

 

     

 

 

     

 

 

  

Net realized gains (losses)

      $ 11,996       $ 41,319       $ 9,217   
    

 

 

     

 

 

     

 

 

  

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 December 31, 2011 and 2010:

 

September 30, September 30, September 30, September 30,
        December 31, 2011  

In thousands

      Level 1        Level 2        Level 3        Total  

Fixed-maturities:

                    

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

      $ 136,625         $ 199,445         $ —           $ 336,070   

States, municipalities and political subdivisions

        —             410,836           —             410,836   

Mortgage-backed and asset-backed securities:

                       —     

Agency mortgage-backed securities

        —             395,860           —             395,860   

Residential mortgage obligations

        —             23,148           —             23,148   

Asset-backed securities

        —             48,934           —             48,934   

Commercial mortgage-backed securities

        —             216,034           —             216,034   
    

 

 

       

 

 

       

 

 

       

 

 

  

Subtotal

      $ —           $ 683,976         $ —           $ 683,976   

Corporate bonds

        —             457,187           —             457,187   
    

 

 

       

 

 

       

 

 

       

 

 

  

Total fixed-maturities

      $ 136,625         $ 1,751,444         $ —           $ 1,888,069   

Equity securities - common stocks

        95,849           —             —             95,849   
    

 

 

       

 

 

       

 

 

       

 

 

  

Total

      $ 232,474         $ 1,751,444         $ —           $ 1,983,918   
    

 

 

       

 

 

       

 

 

       

 

 

  

 

 

September 30, September 30, September 30, September 30,
       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   
    

 

 

       

 

 

       

 

 

       

 

 

  

The fair value of financial instruments is determined based on the following fair value hierarchy:

Level 1 – Quoted prices for identical instruments in active markets. Examples are listed equity and fixed income securities traded on an exchange. Treasury securities would generally be considered level 1.

Level 2 – Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets. Examples are asset-backed and mortgage-backed securities which are similar to other asset-backed or mortgage-backed securities observed in the market.

Level 3 – Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable. An example would be a private placement with minimal liquidity.

The Company did not have any significant transfers between Level 1 and 2 for the years ended December 31, 2011 and 2010.

There were no significant judgments made in classifying instruments in the fair value hierarchy.

As of December 31, 2011, the company did not have any Level 3 assets. Any pricing where the input is based solely on a broker price is deemed to be a Level 3 price.

 

The following tables present a reconciliation of the beginning and ending balances for all investments measured at fair value using Level 3 inputs for the years ended December 31, 2011, 2010, and 2009.

 

xxxxxx xxxxxx xxxxxx xxxxxx xxxxxx xxxxxx xxxxxx xxxxxx xxxxxx
    Year Ended December 31, 2011  
          Realized     Unrealized                       Transfers     Transfers        
    Beginning     Gains     Gains                       into     out of     Ending  

In thousands

   Balance     (Losses)     (Losses)     Purchases     Sales     Settlements     Level 3     Level 3     Balance  

Assets:

                  

Commercial

                  

Mortgage Obligations

   $ 1,837      $ —        $ 94      $ —        $ —        $ —        $ —        $ (1,931 )    $ —     
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

   $ 1,837      $ —        $ 94      $ —        $ —        $ —        $ —        $ (1,931 )    $ —     
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
     Year Ended December 31, 2010  
     Beginning    

Realized

Gains

    

Unrealized

Gains

                      

Transfers

into

    

Transfers

out of

     Ending  

In thousands

   Balance     (Losses)     (Losses)     Purchases     Sales     Settlements     Level 3     Level 3     Balance  

Assets:

                  

Commercial

                  

Mortgage Obligations

   $ —        $ —        $ (19 )    $ 1,856      $ —        $ —        $ —        $ —        $ 1,837   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

   $ —        $ —        $ (19 )    $ 1,856      $ —        $ —        $ —        $ —        $ 1,837   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
     Year Ended December 31, 2009  
     Beginning    

Realized

Gains

    

Unrealized

Gains

                      

Transfers

into

    

Transfers

out of

     Ending  

In thousands

   Balance     (Losses)     (Losses)     Purchases     Sales     Settlements     Level 3     Level 3     Balance  

Assets:

                  

Commercial

                  

Mortgage Obligations

   $ 156      $ —        $ 23      $ —        $ (23 )    $ —        $ —        $ (156 )    $ —     
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

   $ 156      $ —        $ 23      $ —        $ (23 )    $ —        $ —        $ (156 )    $ —     
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

As of December 31, 2011 and 2010, fixed maturities with amortized values of $10.2 million and $10.9 million, respectively, were on deposit with various state insurance departments. In addition, at December 31, 2011, investments of $1.2 million were on deposit at a U.K. bank to comply with the regulatory requirements of the Financial Services Authority for Navigators Insurance Company’s U.K. Branch. In addition, at both December 31, 2011 and 2010, $0.3 million of investments were pledged as security under a reinsurance treaty.

As of December 31, 2011 and 2010, the Company did not have a concentration of greater than 5% of invested assets in a single non-U.S. government-backed issuer.