XML 46 R30.htm IDEA: XBRL DOCUMENT  v2.3.0.11
Fair Value Measurements (Detail) - Schedule of assets and liabilities that were accounted for at fair value (USD $)
In Thousands
Jun. 30, 2011
Dec. 31, 2010
Assets    
Fixed maturities, at fair value $ 25,151,686 [1] $ 25,544,179 [1]
Equity securities, at fair value 318,695 84,767
Short-term investments, at fair value 2,851,823 [2],[3] 2,048,607
Total investments available for sale 28,322,204 27,677,553
Cash equivalents (3) 1,642,540 [4] 1,899,265
Other investments (4) 642,270 [5] 624,037 [4]
Other assets (5)(6) 72,737 [6],[7] 92,943
Total assets accounted for at fair value 30,679,751 30,293,798 [6],[7]
Liabilities    
Financial instruments sold, but not yet purchased (7) 26,149 21,526
Other liabilities (5)(6) 749,210 835,590
Total liabilities accounted for at fair value 111,994 [6],[7] 82,194 [6],[7]
Fair Value, Inputs, Level 1 [Member]
   
Assets    
Equity securities, at fair value 244,798 71,284
Short-term investments, at fair value   [2],[3]  
Total investments available for sale 244,798 71,284
Cash equivalents (3) 1,030,924 [4] 1,358,619
Other investments (4)   [5]   [4]
Other assets (5)(6)   [6],[7]  
Total assets accounted for at fair value 1,275,722 1,429,903 [6],[7]
Liabilities    
Financial instruments sold, but not yet purchased (7)   256
Total liabilities accounted for at fair value   [6],[7] 256 [6],[7]
Fair Value, Inputs, Level 1 [Member] | Fair Value Other Liabilities [Member]
   
Liabilities    
Other liabilities (5)(6)   [8]   [8]
Fair Value, Inputs, Level 1 [Member] | US Government-sponsored Enterprises Debt Securities [Member]
   
Assets    
Fixed maturities, at fair value   [2]  
Fair Value, Inputs, Level 1 [Member] | Corporate Debt Securities [Member]
   
Assets    
Fixed maturities, at fair value   [2]  
Fair Value, Inputs, Level 2 [Member]
   
Assets    
Fixed maturities, at fair value 24,390,224 24,722,765
Equity securities, at fair value 73,897 13,483
Short-term investments, at fair value 2,841,070 [2],[3] 2,046,424
Total investments available for sale 27,305,191 26,782,672
Cash equivalents (3) 611,616 [4] 540,646
Other investments (4) 527,730 [5] 490,320 [4]
Other assets (5)(6) 109,270 [6],[7] 108,056
Total assets accounted for at fair value 28,553,807 27,921,694 [6],[7]
Liabilities    
Financial instruments sold, but not yet purchased (7) 26,149 21,270
Total liabilities accounted for at fair value 65,951 [6],[7] 34,861 [6],[7]
Fair Value, Inputs, Level 2 [Member] | Fair Value Other Liabilities [Member]
   
Liabilities    
Other liabilities (5)(6) 39,802 [8] 13,591 [8]
Fair Value, Inputs, Level 2 [Member] | Commercial Mortgage Backed Securities [Member]
   
Assets    
Fixed maturities, at fair value 1,141,839 1,170,884
Fair Value, Inputs, Level 2 [Member] | Collateralized Debt Obligations [Member]
   
Assets    
Fixed maturities, at fair value 8,718 12,566
Fair Value, Inputs, Level 2 [Member] | US Government-sponsored Enterprises Debt Securities [Member]
   
Assets    
Fixed maturities, at fair value 1,518,812 2,127,491
Fair Value, Inputs, Level 2 [Member] | Corporate Debt Securities [Member]
   
Assets    
Fixed maturities, at fair value 10,264,823 [2] 10,325,725
Fair Value, Inputs, Level 2 [Member] | Residential Mortgage Backed Securities Agency [Member]
   
Assets    
Fixed maturities, at fair value 5,660,955 5,134,491
Fair Value, Inputs, Level 2 [Member] | Residential Mortgage Backed Securities Non Agency [Member]
   
Assets    
Fixed maturities, at fair value 770,092 1,016,124
Fair Value, Inputs, Level 2 [Member] | Other Asset Backed Securities [Member]
   
Assets    
Fixed maturities, at fair value 977,460 924,181
Fair Value, Inputs, Level 2 [Member] | US States and Political Subdivisions Debt Securities [Member]
   
Assets    
Fixed maturities, at fair value 1,463,803 1,351,677
Fair Value, Inputs, Level 2 [Member] | Foreign Government Debt Securities [Member]
   
Assets    
Fixed maturities, at fair value 2,583,722 2,659,626
Fair Value, Inputs, Level 3 [Member]
   
Assets    
Fixed maturities, at fair value 761,462 821,414
Short-term investments, at fair value 10,753 [2],[3] 2,183
Total investments available for sale 772,215 823,597
Cash equivalents (3)   [4]  
Other investments (4) 114,540 [5] 133,717 [4]
Other assets (5)(6) 409 [6],[7] 7,882
Total assets accounted for at fair value 887,164 965,196 [6],[7]
Liabilities    
Total liabilities accounted for at fair value 50,054 [6],[7] 47,077 [6],[7]
Fair Value, Inputs, Level 3 [Member] | Fair Value Other Liabilities [Member]
   
Liabilities    
Other liabilities (5)(6) 50,054 [8] 47,077 [8]
Fair Value, Inputs, Level 3 [Member] | Commercial Mortgage Backed Securities [Member]
   
Assets    
Fixed maturities, at fair value 4,563 1,623
Fair Value, Inputs, Level 3 [Member] | Collateralized Debt Obligations [Member]
   
Assets    
Fixed maturities, at fair value 727,239 721,097
Fair Value, Inputs, Level 3 [Member] | Corporate Debt Securities [Member]
   
Assets    
Fixed maturities, at fair value 4,768 [2] 35,158
Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Backed Securities Agency [Member]
   
Assets    
Fixed maturities, at fair value 15,385 30,255
Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Backed Securities Non Agency [Member]
   
Assets    
Fixed maturities, at fair value 3,194 4,964
Fair Value, Inputs, Level 3 [Member] | Other Asset Backed Securities [Member]
   
Assets    
Fixed maturities, at fair value 6,313 24,650
Fair Value, Inputs, Level 3 [Member] | Foreign Government Debt Securities [Member]
   
Assets    
Fixed maturities, at fair value   3,667
Collateral And Counterparty Netting [Member]
   
Assets    
Short-term investments, at fair value   [2],[3]  
Cash equivalents (3)   [4]  
Other investments (4)   [5]   [4]
Other assets (5)(6) (36,942) [6],[7] (22,995)
Total assets accounted for at fair value (36,942) (22,995) [6],[7]
Liabilities    
Total liabilities accounted for at fair value (4,011) [6],[7]   [6],[7]
Collateral And Counterparty Netting [Member] | Fair Value Other Liabilities [Member]
   
Liabilities    
Other liabilities (5)(6) (4,011) [8]   [8]
Collateral And Counterparty Netting [Member] | Corporate Debt Securities [Member]
   
Assets    
Fixed maturities, at fair value   [2]  
Fair Value Other Liabilities [Member]
   
Liabilities    
Other liabilities (5)(6) 85,845 [8] 60,668 [8]
Commercial Mortgage Backed Securities [Member]
   
Assets    
Fixed maturities, at fair value 1,146,402 [1] 1,172,507 [1]
Collateralized Debt Obligations [Member]
   
Assets    
Fixed maturities, at fair value 735,957 [1] 733,663 [1]
US Government-sponsored Enterprises Debt Securities [Member]
   
Assets    
Fixed maturities, at fair value 1,518,812 2,127,491
Corporate Debt Securities [Member]
   
Assets    
Fixed maturities, at fair value 10,269,591 [2] 10,360,883
Residential Mortgage Backed Securities Agency [Member]
   
Assets    
Fixed maturities, at fair value 5,676,340 5,164,746
Residential Mortgage Backed Securities Non Agency [Member]
   
Assets    
Fixed maturities, at fair value 773,286 1,021,088
Other Asset Backed Securities [Member]
   
Assets    
Fixed maturities, at fair value 983,773 948,831
US States and Political Subdivisions Debt Securities [Member]
   
Assets    
Fixed maturities, at fair value 1,463,803 1,351,677
Foreign Government Debt Securities [Member]
   
Assets    
Fixed maturities, at fair value $ 2,583,722 $ 2,663,293
[1] Included in the table above are Tier One and Upper Tier Two securities, representing committed term debt and hybrid instruments senior to the common and preferred equities of the financial institutions, at their fair value of $641.9 million and $757.8 million at June 30, 2011 and December 31, 2010, respectively. These securities are reflected in the table based on their call date and have net unrealized losses of $104.2 million and $143.7 million at June 30, 2011 and December 31, 2010, respectively.
[2] Included within Corporate are certain medium term notes supported primarily by pools of European credit with varying degrees of leverage. The notes, which are in a gross unrealized loss position, had a fair value of $491.3 million and $454.8 million and an amortized cost of $503.9 million and $504.6 million at June 30, 2011 and December 31, 2010, respectively. These notes allow the investor to participate in cash flows of the underlying bonds including certain residual values, which could serve to either decrease or increase the ultimate values of these notes.
[3] Short-term investments consist primarily of Corporate, U.S. Government and Government-Related/Supported securities and Non-U.S. Sovereign Government, Supranational and Government-Related securities.
[4] Cash equivalents balances subject to fair value measurement include certificates of deposit and money market funds. Operating cash balances are not subject to fair value measurement guidance.
[5] The Other investments balance excludes certain structured transactions including certain investments in project finance transactions, a payment obligation and liquidity financing provided to a structured credit vehicle as a part of a third party medium term note facility. These investments are carried at amortized cost that totaled $325.9 million at June 30, 2011 and $327.7 million at December 31, 2010.
[6] Other assets and other liabilities include derivative instruments.
[7] The derivative balances included in each category above are reported on a gross basis by level with a netting adjustment presented separately in the "Collateral and Counterparty Netting" column. The Company often enters into different types of derivative contracts with a single counterparty and these contracts are covered under a netting agreement. In addition, the Company held net cash collateral related to derivative positions of approximately $32.9 million and $23.0 million at June 30, 2011 and December 31, 2010, respectively. This balance is included within cash and cash equivalents and the corresponding liability to return the collateral has been offset against the derivative positions within the balance sheet as appropriate under the netting agreement. The fair value of the individual derivative contracts are reported gross in their respective levels based on the fair value hierarchy.
[8] Financial instruments sold, but not yet purchased represent "short sales" and are included within "Net payable for investments purchased" on the balance sheet.