XML 46 R22.htm IDEA: XBRL DOCUMENT

Investments (Tables)

6 Months Ended

Jun. 30, 2012

Available For Sale Securities And Held To Maturity Securities [Table Text Block]

				Included in AOCI
						Gross Unrealized Losses
							Related to
		Cost or		Gross			Changes in		Non-credit
June 30, 2012		Amortized		Unrealized			Estimated		Related
(U.S. dollars in thousands)		Cost		Gains			Fair Value		OTTI		Fair Value
Fixed maturities - AFS
	U.S. Government and Government- Related/Supported (1)	$	1,971,384	$	133,040		$	(2,799)	$	-	$	2,101,625
	Corporate (2) (3) (4)		9,297,657		597,211			(157,659)		(16,056)		9,721,153
	RMBS – Agency		5,001,023		203,766			(2,476)		-		5,202,313
	RMBS – Non-Agency		728,309		21,822			(52,341)		(113,247)		584,543
	CMBS		842,802		66,058			(487)		(3,581)		904,792
	CDO		796,018		8,095			(149,211)		(4,884)		650,018
	Other asset-backed securities (2)		1,392,065		44,974			(19,486)		(9,815)		1,407,738
	U.S. States and political subdivisions of the States		1,640,991		125,221			(1,781)		-		1,764,431
	Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported (1)		3,772,530		148,569			(14,910)		-		3,906,189
	Total fixed maturities - AFS	$	25,442,779	$	1,348,756		$	(401,150)	$	(147,583)	$	26,242,802
	Total short-term investments (1)	$	227,321	$	293		$	(234)	$	-	$	227,380
	Total equity securities	$	553,715	$	3,212		$	(27,871)	$	-	$	529,056
Total investments - AFS		$	26,223,815	$	1,352,261		$	(429,255)	$	(147,583)	$	26,999,238
Fixed maturities - HTM
	U.S. Government and Government- Related/Supported (1)	$	10,458	$	1,753		$	-	$	-	$	12,211
	Corporate (2)		1,387,033		131,267			(8,847)		-		1,509,453
	RMBS – Non-Agency		81,028		6,077			(15)		-		87,090
	CMBS		12,546		1,667			-		-		14,213
	Other asset-backed securities (2)		217,347		20,156			(464)		-		237,039
	Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported (1)		1,007,945		142,215			(3,174)		-		1,146,986
Total investments - HTM		$	2,716,357	$	303,135		$	(12,500)	$	-	$	3,006,992

_______________

(1) U.S. Government and Government-Related/Supported, Non-U.S. Sovereign Government, Provincials, Supranationals and Government-Related/Supported and Total short-term investments includes government-related securities with an amortized cost of $2,012.4 million and fair value of $2,066.0 million and U.S. Agencies with an amortized cost of $455.0 million and fair value of $500.5 million.

(2) At June 30, 2012, Covered Bonds within Fixed maturities – AFS with an amortized cost of $478.1 million and a fair value of $500.5 million and Covered Bonds within Fixed maturities – HTM with an amortized cost of $8.1 million and a fair value of $7.8 million have been included within Other asset-backed securities to align the Company's classification to market indices. Covered Bonds were included in Corporate prior to January 1, 2012.

(3) Included within Corporate are certain medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage. The notes have a fair value of $186.1 million and an amortized cost of $199.1 million. 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.

(4) Included within Corporate are Tier One and Upper Tier Two securities, representing committed term debt and hybrid instruments, which are senior to the common and preferred equities of the financial institutions. These securities have a fair value of $346.2 million and an amortized cost of $420.3 million at June 30, 2012.


				Included in AOCI
						Gross Unrealized Losses
							Related to
		Cost or		Gross			Changes in		Non-credit
December 31, 2011		Amortized		Unrealized			Estimated		Related
(U.S. dollars in thousands)		Cost		Gains			Fair Value		OTTI		Fair Value
Fixed maturities - AFS
	U.S. Government and Government- Related/Supported (1)	$	1,864,354	$	130,874		$	(4,245)	$	-	$	1,990,983
	Corporate (2) (3) (4)		9,866,677		527,192			(233,581)		(51,666)		10,108,622
	RMBS – Agency		5,189,473		193,782			(3,849)		-		5,379,406
	RMBS – Non-Agency		851,557		19,667			(112,867)		(116,542)		641,815
	CMBS		927,684		56,704			(2,405)		(7,148)		974,835
	CDO		843,553		6,624			(186,578)		(4,997)		658,602
	Other asset-backed securities (2)		1,341,309		30,731			(25,486)		(6,305)		1,340,249
	U.S. States and political subdivisions of the States		1,698,573		101,025			(2,220)		-		1,797,378
	Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported (1)		3,188,535		127,439			(17,839)		-		3,298,135
	Total fixed maturities - AFS	$	25,771,715	$	1,194,038		$	(589,070)	$	(186,658)	$	26,190,025
	Total short-term investments (1)	$	359,378	$	519		$	(834)	$	-	$	359,063
	Total equity securities	$	480,685	$	27,947		$	(40,435)	$	-	$	468,197
Total investments - AFS		$	26,611,778	$	1,222,504		$	(630,339)	$	(186,658)	$	27,017,285
Fixed maturities - HTM
	U.S. Government and Government- Related/Supported (2)	$	10,399	$	1,510		$	-	$	-	$	11,909
	Corporate (2)		1,290,209		91,313			(14,433)		-		1,367,089
	RMBS – Non-Agency		80,955		6,520			(32)		-		87,443
	Other asset-backed securities (2)		288,741		20,875			(320)		-		309,296
	Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported (1)		998,674		127,227			(5,950)		-		1,119,951
Total investments - HTM		$	2,668,978	$	247,445		$	(20,735)	$	-	$	2,895,688

_______________

(1) U.S. Government and Government-Related/Supported, Non-U.S. Sovereign Government, Provincials, Supranationals and Government-Related/Supported and Total short-term investments includes government-related securities with an amortized cost of $1,878.3 million and fair value of $1,915.6 million and U.S. Agencies with an amortized cost of $494.0 million and fair value of $541.2 million.

(2) Covered Bonds within Fixed maturities – AFS with an amortized cost of $345.4 million and a fair value of $353.9 million and Covered Bonds within Fixed maturities – HTM with an amortized cost of $8.1 million and a fair value of $7.7 million at December 31, 2011 have been reclassified from Corporate to Other asset-backed securities to align the Company's classification to market indices and conform to current period presentation.

(3) Included within Corporate are certain medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage. The notes have a fair value of $266.0 million and an amortized cost of $297.7 million. 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.

(4) Included within Corporate are Tier One and Upper Tier Two securities, representing committed term debt and hybrid instruments, which are senior to the common and preferred equities of the financial institutions. These securities have a fair value of $386.1 million and an amortized cost of $494.9 million at December 31, 2011.

Contractual Maturities Of Available For Sale Securities And Held To Maturity Income Securities [Table Text Block]

		June 30,2012 (1)				December 31,2011 (1)
		Amortized		Fair		Amortized		Fair
(U.S. dollars in thousands)		Cost		Value		Cost		Value
Fixed maturities - AFS
Due less than one year		$	1,983,583	$	1,999,239	$	2,004,395	$	2,020,361
Due after 1 through 5 years			7,976,631		8,243,009		7,736,717		7,909,354
Due after 5 through 10 years			3,401,824		3,610,915		3,619,141		3,777,073
Due after 10 years			3,320,524		3,640,235		3,257,886		3,488,330
		$	16,682,562	$	17,493,398	$	16,618,139	$	17,195,118
RMBS – Agency			5,001,023		5,202,313		5,189,473		5,379,406
RMBS – Non-Agency			728,309		584,543		851,557		641,815
CMBS			842,802		904,792		927,684		974,835
CDO			796,018		650,018		843,553		658,602
Other asset-backed securities			1,392,065		1,407,738		1,341,309		1,340,249
Total mortgage and asset-backed securities		$	8,760,217	$	8,749,404	$	9,153,576	$	8,994,907
	Total fixed maturities - AFS	$	25,442,779	$	26,242,802	$	25,771,715	$	26,190,025
Fixed maturities - HTM
Due less than one year		$	30,847	$	31,138	$	11,796	$	11,768
Due after 1 through 5 years			165,678		172,104		122,091		123,871
Due after 5 through 10 years			365,103		386,251		393,865		402,424
Due after 10 years			1,843,808		2,079,157		1,771,530		1,960,886
		$	2,405,436	$	2,668,650	$	2,299,282	$	2,498,949
RMBS – Non-Agency			81,028		87,090		80,955		87,443
CMBS			12,546		14,213		-		-
Other asset-backed securities			217,347		237,039		288,741		309,296
Total mortgage and asset-backed securities		$	310,921	$	338,342	$	369,696	$	396,739
	Total fixed maturities - HTM	$	2,716,357	$	3,006,992	$	2,668,978	$	2,895,688

_______________

(1) Included in the table above are Tier One and Upper Tier Two securities, representing committed term debt and hybrid instruments, which are senior to the common and preferred equities of the financial institutions, at their fair value of $346.2 million and $386.1 million at June 30, 2012 and December 31, 2011, respectively. These securities are reflected in the table based on their call date and have net unrealized losses of $74.7 million and $108.8 million at June 30, 2012 and December 31, 2011, respectively.

Schedule of Unrealized Loss on Investments [Table Text Block]

						Equal to or greater
		Less than 12 months				than 12 months
				Gross				Gross
June 30, 2012		Fair		Unrealized		Fair		Unrealized
(U.S. dollars in thousands)		Value		Losses		Value		Losses
Fixed maturities and short-term investments - AFS
	U.S. Government and Government-Related/Supported	$	311,939	$	(1,902)	$	10,518	$	(1,014)
	Corporate (1) (2) (3)		422,004		(12,834)		903,366		(160,988)
	RMBS – Agency		100,286		(1,496)		14,405		(980)
	RMBS – Non-Agency		29,190		(1,745)		462,704		(163,843)
	CMBS		13,945		(281)		30,996		(3,787)
	CDO		13,727		(2,651)		627,018		(151,444)
	Other asset-backed securities (3)		97,511		(972)		139,949		(28,329)
	U.S. States and political subdivisions of the States		10,227		(121)		16,029		(1,660)
	Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported		296,340		(4,296)		163,791		(10,624)
Total fixed maturities and short-term investments - AFS		$	1,295,169	$	(26,298)	$	2,368,776	$	(522,669)
Total equity securities (4)		$	422,204	$	(27,871)	$	-	$	-
Fixed maturities -HTM
	Corporate (3)	$	23,418	$	(374)	$	49,617	$	(8,473)
	RMBS – Non-Agency		4,996		(15)		-		-
	Other asset-backed securities (3)		8,972		(464)		-		-
	Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported		20,173		(71)		8,725		(3,103)
Total fixed maturities - HTM		$	57,559	$	(924)	$	58,342	$	(11,576)

_______________

(1) Included within Corporate are certain medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage. The notes, which are in a gross unrealized loss position, have a fair value of $186.1 million and an amortized cost of $199.1 million. 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.

(2) Included within Corporate are Tier One and Upper Tier Two securities, representing committed term debt and hybrid instruments, which are senior to the common and preferred equities of the financial institutions. These securities, which are in a gross unrealized loss position, have a fair value of $346.2 million and an amortized cost of $420.3 million at June 30, 2012.

(3) Covered Bonds within Fixed maturities and short-term investments – AFS with a fair value of $34.3 million and Covered Bonds within Fixed Maturities – HTM with a fair value of $8.1 million have been included within Other asset-backed securities to align the Company's classification to market indices. Covered Bonds were included in Corporate prior to January 1, 2012.

(4) Included within equity securities are investments in fixed income funds with a fair value of $95.8 million and an amortized cost of $100.0 million at June 30, 2012.

						Equal to or greater
		Less than 12 months				than 12 months
				Gross				Gross
December 31, 2011		Fair		Unrealized		Fair		Unrealized
(U.S. dollars in thousands)		Value		Losses		Value		Losses
Fixed maturities and short-term investments - AFS
	U.S. Government and Government-Related/Supported	$	289,260	$	(332)	$	43,622	$	(3,984)
	Corporate (1) (2) (3)		1,078,664		(42,151)		1,185,535		(243,683)
	RMBS – Agency		310,318		(849)		36,960		(3,000)
	RMBS – Non-Agency		106,294		(31,714)		449,138		(197,695)
	CMBS		69,109		(2,716)		39,444		(6,837)
	CDO		3,357		(2,261)		636,362		(189,456)
	Other asset-backed securities (3)		227,098		(3,324)		161,312		(28,467)
	U.S. States and political subdivisions of the States		25,309		(199)		27,646		(2,021)
	Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported		265,766		(4,707)		202,890		(13,166)
Total fixed maturities and short-term investments - AFS		$	2,375,175	$	(88,253)	$	2,782,909	$	(688,309)
Total equity securities (4)		$	361,585	$	(40,435)	$	-	$	-
Fixed maturities -HTM
	Corporate (3)	$	147,836	$	(7,770)	$	62,343	$	(6,663)
	RMBS – Non-Agency		9,372		(32)		-		-
	Other asset-backed securities (3)		7,743		(314)		1,106		(6)
	Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported		79,242		(1,206)		18,330		(4,744)
Total fixed maturities - HTM		$	244,193	$	(9,322)	$	81,779	$	(11,413)

_______________

(1) Included within Corporate are certain medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage. The notes, which are in a gross unrealized loss position, have a fair value of $266.0 million and an amortized cost of $297.7 million. 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.

(2) Included within Corporate are Tier One and Upper Tier Two securities, representing committed term debt and hybrid instruments, which are senior to the common and preferred equities of the financial institutions. These securities, which are in a gross unrealized loss position, have a fair value of $386.1 million and an amortized cost of $494.9 million at December 31, 2011.

(3) Covered Bonds within Fixed maturities and short-term investments – AFS with a fair value of $44.7 million and Covered Bonds within Fixed Maturities – HTM with a fair value of $7.7 million have been included within Other asset-backed securities to align the Company's classification to market indices and to conform to current period presentation. Covered Bonds were included in Corporate prior to January 1, 2012.

(4) Included within equity securities are investments in fixed income funds with a fair value of $91.6 million and an amortized cost of $100.0 million at December 31, 2011.

Gain (Loss) on Investments [Table Text Block]

	Three Months Ended				Six Months Ended
Net Realized Gains (Losses) on Investments	June 30,				June 30,
(U.S. dollars in thousands)	2012		2011		2012		2011
Gross realized gains	$	53,732	$	61,037	$	120,621	$	88,179
Gross realized losses on investments sold		(37,932)		(43,405)		(63,053)		(99,539)
OTTI on investments, net of amounts transferred to other comprehensive income		(28,193)		(27,176)		(49,158)		(64,621)
Net realized gains (losses) on investments	$	(12,393)	$	(9,544)	$	8,410	$	(75,981)

Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block]

	Three Months Ended				Six Months Ended
Credit Loss Impairments	June 30,				June 30,
(U.S. dollars in thousands)	2012		2011		2012		2011
Opening balance	$	314,805	$	330,170	$	333,379	$	426,372
Credit loss impairment recognized in the current period on securities not previously impaired		4,043		11,333		5,878		15,906
Credit loss impairments previously recognized on securities which matured, paid down, prepaid or were sold during the period		(40,797)		(38,316)		(59,737)		(164,027)
Credit loss impairments previously recognized on securities impaired to fair value during the period		-		-		(16,384)		-
Additional credit loss impairments recognized in the current period on securities previously impaired		21,952		13,339		36,882		38,798
Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected		(283)		(682)		(298)		(1,205)
Balance at June 30,	$	299,720	$	315,844	$	299,720	$	315,844

Schedule of Other Investments [Table Text Block]

Project Finance Loans	June 30,		December 31,
(U.S. dollars in thousands)	2012		2011
Aggregate loan value	$	36,536	$	49,650
Aggregate loan net carrying value	$	30,953	$	40,483

Opening allowance for loan losses	$	(9,167)	$	(9,167)
Amounts charged off during the period		3,584		-
Closing allowance for loan losses	$	(5,583)	$	(9,167)

Number of individual loan participations		4		6
Number of individual loan participations relating to the allowance for loan losses		1		2
Weighted average contractual term to maturity		1.1 years		2.1 years
Weighted average credit rating		BB		BB-
Range of individual credit ratings		BB+ to BB-		BB+ to CCC

- Definition

Tabular disclosure of the realized and unrealized gains and losses reported in the statement of income which have resulted from the sale and holding of marketable securities, respectively, as well as the sale or disposal of cost method investments. Such amounts would include realized gains and losses on the sale or disposal of trading, available-for-sale, and held-to-maturity securities, unrealized gains and losses on trading securities, unrealized gains and losses on available-for-sale and held-to-maturity securities transferred to the trading securities category, realized gains and losses on the sale or disposal of cost method investments, and losses recognized for other than temporary impairments (OTTI) of such investments.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 320

-SubTopic 10

-Section 50

-Paragraph 9

-Subparagraph (c)-(e)

-URI http://asc.fasb.org/extlink&oid=6872113&loc=d3e27357-111563

Reference 2: http://www.xbrl.org/2003/role/presentationRef

-Publisher AICPA

-Name Accounting Principles Board Opinion (APB)

-Number 18

-Paragraph 5

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 3: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 115

-Paragraph 12

-Subparagraph a, b

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 4: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 320

-SubTopic 10

-Section S99

-Paragraph 1

-Subparagraph (SAB TOPIC 5.M)

-URI http://asc.fasb.org/extlink&oid=6784337&loc=d3e87990-122713

Reference 5: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 115

-Paragraph 21

-Subparagraph d

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 6: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 320

-SubTopic 10

-Section 50

-Paragraph 10

-Subparagraph (c)

-URI http://asc.fasb.org/extlink&oid=6872113&loc=d3e27405-111563

Reference 7: http://www.xbrl.org/2003/role/presentationRef

-Publisher SEC

-Name Staff Accounting Bulletin (SAB)

-Number Topic 5

-Section M

Reference 8: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 115

-Paragraph 7, 13, 16, 22

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 9: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 320

-SubTopic 10

-Section 25

-Paragraph 1

-URI http://asc.fasb.org/extlink&oid=6379932&loc=d3e22054-111558

+ Details

- Definition

Tabular disclosure of the amount of other than temporary impairment (OTTI) related to credit losses recognized in earnings including: (a) the beginning balance of the amount related to credit losses on debt securities held by the investor at the beginning of the period for which a portion of an OTTI was recognized in other comprehensive income; (b) additions for the amount related to the credit loss for which an OTTI was not previously recognized; (c) reductions for securities sold during the period (realized); (d) reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the investor intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis; (e) additional increases to the amount related to the credit loss for which an OTTI was previously recognized when the investor does not intend to sell the security and it is not more likely than not that the investor will be required to sell the security before recovery of its amortized cost basis; (f) reductions for increases in cash flows expected to be collected that are recognized over the remaining life of the security; and (g) the ending balance of the amount related to credit losses on debt securities held by the entity at the end of the period for which a portion of an OTTI was recognized in other comprehensive income.

+ References+ Details