Investments

12 Months Ended

Dec. 31, 2012

Disclosure - Investments [Abstract]

Investments Disclosure

4. Investments

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

The cost, gross unrealized gains, gross unrealized losses and fair value of investments classified as trading securities at December 31, 2012 and 2011 were as follows (in thousands of U.S. dollars):

						Gross		Gross
						Unrealized		Unrealized		Fair
December 31, 2012			Cost (1)		Gains		Losses		Value
Fixed maturities
	U.S. government and government sponsored enterprises		$	1,108,513	$	23,173	$	(762)	$	1,130,924
	U.S. states, territories and municipalities			232,433		11,057		(104)		243,386
	Non-U.S. sovereign government, supranational and
		government related		2,221,272		155,144		(743)		2,375,673
	Corporate			6,197,594		463,221		(4,977)		6,655,838
	Asset-backed securities			701,264		23,972		(1,766)		723,470
	Residential mortgage-backed securities			3,128,618		118,988		(47,682)		3,199,924
	Other mortgage-backed securities			63,921		2,850		(671)		66,100
Total fixed maturities				13,653,615		798,405		(56,705)		14,395,315
Short-term investments				150,634		9		(91)		150,552
Equities				1,000,326		115,351		(21,675)		1,094,002
Total			$	14,804,575	$	913,765	$	(78,471)	$	15,639,869
						Gross		Gross
						Unrealized		Unrealized		Fair
December 31, 2011			Cost (1)		Gains		Losses		Value
Fixed maturities
	U.S. government and government sponsored enterprises		$	1,084,533	$	31,283	$	(39)	$	1,115,777
	U.S. states, territories and municipalities			117,528		6,169		(13)		123,684
	Non-U.S. sovereign government, supranational and
		government related		2,807,363		158,900		(2,172)		2,964,091
	Corporate			5,461,478		319,090		(33,571)		5,746,997
	Asset-backed securities			626,508		11,558		(4,267)		633,799
	Residential mortgage-backed securities			3,224,850		94,781		(36,730)		3,282,901
	Other mortgage-backed securities			72,144		2,833		(397)		74,580
Total fixed maturities				13,394,404		624,614		(77,189)		13,941,829
Short-term investments				42,563		22		(14)		42,571
Equities				917,613		99,152		(72,074)		944,691
Total			$	14,354,580	$	723,788	$	(149,277)	$	14,929,091
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(1)Cost is amortized cost for fixed maturities and short-term investments and cost for equity securities.

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

The distribution of fixed maturities and short-term investments at December 31, 2012, by contractual maturity date, is shown below (in thousands of U.S. dollars). Actual maturities may differ from contractual maturities because certain borrowers have the right to call or prepay certain obligations with or without call or prepayment penalties.

		Cost		Fair Value
One year or less	$	1,072,406	$	1,080,952
More than one year through five years		4,022,402		4,198,061
More than five years through ten years		3,999,711		4,336,243
More than ten years		815,927		941,117
Subtotal		9,910,446		10,556,373
Mortgage/asset-backed securities		3,893,803		3,989,494
Total	$	13,804,249	$	14,545,867

(c) Net Realized and Unrealized Investment Gains

The components of the net realized and unrealized investment gains for the years ended December 31, 2012, 2011 and 2010wereas follows (in thousands of U.S. dollars):

		2012		2011		2010
Net realized investment gains on fixed maturities and short-term investments	$	172,987	$	157,207	$	173,426
Net realized investment gains on equities		72,155		90,866		44,736
Net realized losses on other invested assets		(16,691)		(176,295)		(68,568)
Change in net unrealized (losses) gains on other invested assets		(9,568)		(46,278)		3,742
Change in net unrealized investment gains on fixed maturities and short-term investments		186,063		128,224		142,634
Change in net unrealized investment gains (losses) on equities		66,253		(101,860)		64,825
Net other realized and unrealized investment gains		5,843		3,617		13,335
Net realized and unrealized investment gains on funds held – directly managed		16,367		11,211		27,352
Total net realized and unrealized investment gains	$	493,409	$	66,692	$	401,482

(d) Net Investment Income

The components of net investment income for the years ended December 31, 2012, 2011 and 2010 were as follows (in thousands of U.S. dollars):

		2012		2011		2010
Fixed maturities	$	512,833	$	561,576	$	580,258
Short-term investments, cash and cash equivalents		2,905		3,843		8,541
Equities		26,207		19,815		20,794
Funds held and other		44,109		49,502		52,794
Funds held – directly managed		29,031		37,919		51,775
Investment expenses		(43,747)		(43,507)		(41,380)
Net investment income	$	571,338	$	629,148	$	672,782

Other than the funds held – directly managed account, the Company generally earns investment income on funds held by reinsured companies based upon a predetermined interest rate, either fixed contractually at the inception of the contract or based upon a recognized index (e.g., LIBOR). Interest rates ranged from 2.0% to 5.0% for the years endedDecember 31, 2012 and 2011and from3.0% to 6.0% for the year endedDecember 31, 2010. See Note 5 for additional information on the funds held – directly managed account.

(e) Pledged Assets

At December 31, 2012 and 2011, approximately $167.5million and $21.3 million, respectively, of cash and cash equivalents and approximately $2,532.0million and $2,314.7 million, respectively, of securities were deposited, pledged or held in escrow accounts in favor of ceding companies and other counterparties or government authorities to comply with reinsurance contract provisions and insurance laws.

(f) Net Payable for Securities Purchased/Sold

Included within Accounts payable, accrued expenses and other in the Consolidated Balance Sheets at December 31, 2012 and 2011 were amounts of gross receivable balances for securities soldand gross payable balances for securities purchased as follows (in thousands of U.S. dollars):

		2012		2011
Receivable for securities sold	$	22,133	$	71,477
Payable for securities purchased		(32,944)		(86,557)
Net payable for securities purchased/sold	$	(10,811)	$	(15,080)