Edgar Filing: RENAISSANCERE HOLDINGS LTD

FORM 10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF

THE SECURITIES EXCHANGE ACT OF 1934

For The Quarterly Period Ended June 30, 2010

¨ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF

THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission File No. 001-14428

RENAISSANCERE HOLDINGS LTD.

(Exact name of registrant as specified in its charter)


Bermuda		98-014-1974
(State or Other Jurisdiction of		(I.R.S. Employer
Incorporation or Organization)		Identification Number)

Renaissance House, 12 Crow Lane, Pembroke HM 19 Bermuda

(Address of principal executive offices)

(441) 295-4513

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No ¨

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x No ¨

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer x, Accelerated filer ¨, Non-accelerated filer ¨, Smaller reporting company ¨.

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ¨ No x

The number of outstanding shares of RenaissanceRe Holdings Ltd.’s common shares, par value US $1.00 per share, as of July 26, 2010 was 54,864,228.

Total number of pages in this report: 98

RenaissanceRe Holdings Ltd.

INDEX TO FORM 10-Q


Part I — FINANCIAL INFORMATION

	Item 1 —	Financial Statements

		Consolidated Balance Sheets at June 30, 2010 (Unaudited) and December 31, 2009	3

		Unaudited Consolidated Statements of Operations for the three and six months ended June 30, 2010 and 2009	4

		Unaudited Consolidated Statements of Changes in Shareholders’ Equity for the three and six months ended June 30, 2010 and 2009	5

		Unaudited Consolidated Statements of Comprehensive Income for the three and six months ended June 30, 2010 and 2009	6

		Unaudited Consolidated Statements of Cash Flows for the six months ended June 30, 2010 and 2009	7

		Notes to Unaudited Consolidated Financial Statements	8

	Item 2 —	Management’s Discussion and Analysis of Financial Condition and Results of Operations	48

	Item 3 —	Quantitative and Qualitative Disclosures About Market Risk	94

	Item 4 —	Controls and Procedures	94

Part II — OTHER INFORMATION			95

	Item 1 —	Legal Proceedings	95

	Item 1A —	Risk Factors	95

	Item 2 —	Unregistered Sales of Equity Securities and Use of Proceeds	95

	Item 3 —	Defaults Upon Senior Securities	96

	Item 5 —	Other Information	96

	Item 6 —	Exhibits	96

Signatures —		RenaissanceRe Holdings Ltd.	98

PART I — FINANCIAL INFORMATION

Item 1.

FINANCIAL STATEMENTS

RenaissanceRe Holdings Ltd. and Subsidiaries

Consolidated Balance Sheets

(in thousands of United States Dollars)


	June 30, 2010		December 31, 2009
	(Unaudited)		(Audited)
Assets
Fixed maturity investments available for sale, at fair value
(Amortized cost $697,771 and $3,513,183 at June 30, 2010 and December 31, 2009, respectively)	$	725,730	$	3,559,197
Fixed maturity investments trading, at fair value
(Amortized cost $3,822,606 and $747,983 at June 30, 2010 and December 31, 2009, respectively)		3,847,759		736,595
Short term investments, at fair value		792,308		1,002,306
Other investments, at fair value		782,345		858,026
Investments in other ventures, under equity method		86,448		97,287

Total investments		6,234,590		6,253,411
Cash and cash equivalents		285,054		260,716
Premiums receivable		1,021,496		589,827
Ceded reinsurance balances		276,296		91,852
Losses recoverable		179,841		194,241
Accrued investment income		34,649		31,928
Deferred acquisition costs		100,725		61,870
Receivable for investments sold		153,923		7,431
Other secured assets		17,418		27,730
Other assets		174,924		205,347
Goodwill and other intangibles		74,143		76,688

*Total assets*	$	8,553,059	$	7,801,041


Liabilities, Redeemable Noncontrolling Interest and Shareholders’ Equity
Liabilities
Reserve for claims and claim expenses	$	1,682,083	$	1,702,006
Reserve for unearned premiums		994,990		446,649
Debt		549,109		300,000
Reinsurance balances payable		406,891		381,548
Payable for investments purchased		202,562		59,236
Other secured liabilities		17,500		27,500
Other liabilities		217,141		256,669

*Total liabilities*		4,070,276		3,173,608

Commitments and Contingencies

Redeemable noncontrolling interest - DaVinciRe		707,541		786,647

Shareholders’ Equity
Preference shares		650,000		650,000
Common shares		54,872		61,745
Additional paid-in capital		—		—
Accumulated other comprehensive income		22,153		41,438
Retained earnings		3,048,217		3,087,603

*Total shareholders’ equity*		3,775,242		3,840,786

*Total liabilities, redeemable noncontrolling interest and shareholders’ equity*	$	8,553,059	$	7,801,041

The accompanying notes are an integral part of these consolidated financial statements.

RenaissanceRe Holdings Ltd. and Subsidiaries

Consolidated Statements of Operations

For the three and six months ended June 30, 2010 and 2009

(in thousands of United States Dollars, except per share amounts)

(Unaudited)


	Three months ended						Six months ended
	June 30, 2010			June 30, 2009			June 30, 2010			June 30, 2009
Revenues
Gross premiums written	$	841,506		$	855,172		$	1,404,971		$	1,453,473

Net premiums written	$	552,562		$	631,370		$	968,545		$	1,078,206
Increase in unearned premiums		(226,040	)		(251,553	)		(363,897	)		(396,641	)

Net premiums earned		326,522			379,817			604,648			681,565
Net investment income		27,607			114,293			94,788			156,419
Net foreign exchange losses		(609	)		(4,162	)		(11,951	)		(14,317	)
Equity in earnings of other ventures		3,160			5,432			5,316			7,168
Other loss		(3,094	)		(3,656	)		(8,825	)		(18,451	)
Net realized and unrealized gains on fixed maturity investments		71,106			18,889			119,704			41,015
Total other-than-temporary impairments		(798	)		(5,289	)		(831	)		(24,311	)
Portion recognized in other comprehensive income, before taxes		2			3,456			2			3,456

Net other-than-temporary impairments		(796	)		(1,833	)		(829	)		(20,855	)

*Total revenues*		423,896			508,780			802,851			832,544

Expenses
Net claims and claim expenses incurred		47,667			66,823			126,724			153,020
Acquisition expenses		39,944			52,495			84,619			97,099
Operational expenses		50,376			46,865			114,927			86,622
Corporate expenses		4,824			6,339			10,383			12,927
Interest expense		6,206			4,200			9,362			8,336

*Total expenses*		149,017			176,722			346,015			358,004

Income before taxes		274,879			332,058			456,836			474,540
Income tax (expense) benefit		(2,148	)		(652	)		2,067			200

*Net income*		272,731			331,406			458,903			474,740
Net income attributable to redeemable noncontrolling interest - DaVinciRe		(51,915	)		(49,652	)		(62,465	)		(85,127	)

*Net income attributable to RenaissanceRe*		220,816			281,754			396,438			389,613
Dividends on preference shares		(10,575	)		(10,575	)		(21,150	)		(21,150	)

*Net income available to RenaissanceRe common shareholders*	$	210,241		$	271,179		$	375,288		$	368,463


Net income available to RenaissanceRe common shareholders per common share - basic	$	3.69		$	4.35		$	6.42		$	5.94

Net income available to RenaissanceRe common shareholders per common share - diluted	$	3.66		$	4.32		$	6.37		$	5.90

Dividends per common share	$	0.25		$	0.24		$	0.50		$	0.48

The accompanying notes are an integral part of these consolidated financial statements.

Consolidated Statements of Changes in Shareholders’ Equity

For the six months ended June 30, 2010 and 2009

(in thousands of United States Dollars)

(Unaudited)


	Six months ended
	June 30, 2010			June 30, 2009
Preference shares
Balance - January 1	$	650,000		$	650,000
Repurchase of shares		—			—

Balance - June 30		650,000			650,000


Common shares
Balance - January 1		61,745			61,503
Repurchase of shares		(7,417	)		—
Exercise of options and issuance of restricted stock and awards		544			842

Balance - June 30		54,872			62,345


Additional paid-in capital
Balance - January 1		—			—
Repurchase of shares		(17,979	)		—
Change in redeemable noncontrolling interest - DaVinciRe		5,267			3,505
Exercise of options and issuance of restricted stock and awards		12,712			15,095

Balance - June 30		—			18,600


Accumulated other comprehensive income
Balance - January 1		41,438			75,387
Cumulative effect of change in accounting principle, net of taxes (1)		—			(76,198	)
Change in net unrealized gains (losses) on investments		(19,283	)		16,332
Portion of other-than-temporary impairments recognized in other comprehensive income		(2	)		(3,456	)

Balance - June 30		22,153			12,065


Retained earnings
Balance - January 1		3,087,603			2,245,853
Cumulative effect of change in accounting principle, net of taxes (1)		—			76,198
Net income		458,903			474,740
Net income attributable to redeemable noncontrolling interest - DaVinciRe		(62,465	)		(85,127	)
Repurchase of shares		(385,939	)		—
Dividends on common shares		(28,735	)		(29,922	)
Dividends on preference shares		(21,150	)		(21,150	)

Balance - June 30		3,048,217			2,660,592

Total shareholders’ equity	$	3,775,242		$	3,403,602

(1)	Cumulative effect adjustment to opening retained earnings as of April 1, 2009, related to the recognition and presentation of other-than-temporary impairments, as required by the Investments - Debt and Equity Securities Topic of the FASB ASC.

The accompanying notes are an integral part of these consolidated financial statements.

RenaissanceRe Holdings Ltd. and Subsidiaries

Consolidated Statements of Comprehensive Income

For the three and six months ended June 30, 2010 and 2009

(in thousands of United States Dollars)

(Unaudited)


	Three months ended						Six months ended
	June 30, 2010			June 30, 2009			June 30, 2010			June 30, 2009
Comprehensive income
Net income	$	272,731		$	331,406		$	458,903		$	474,740
Change in net unrealized gains on fixed maturity investments available for sale		(10,178	)		22,294			(19,107	)		15,922
Portion of other-than-temporary impairments recognized in other comprehensive income		(2	)		(3,456	)		(2	)		(3,456	)

Comprehensive income		262,551			350,244			439,794			487,206
Net income attributable to redeemable noncontrolling interest - DaVinciRe		(51,915	)		(49,652	)		(62,465	)		(85,127	)
Change in net unrealized gains on investments attributable to redeemable noncontrolling interest - DaVinciRe		1,562			(105	)		(176	)		410

Comprehensive income attributable to redeemable noncontrolling interest - DaVinciRe		(50,353	)		(49,757	)		(62,641	)		(84,717	)

Comprehensive income attributable to RenaissanceRe	$	212,198		$	300,487		$	377,153		$	402,489

Disclosure regarding net unrealized gains
Total realized and net unrealized holding (losses) gains on fixed maturity investments available for sale and net other-than-temporary impairments	$	7,412		$	39,245		$	41,616		$	36,492
Net realized gains (losses) on fixed maturity investments available for sale		(16,824	)		(18,889	)		(61,728	)		(41,015	)
Net other-than-temporary impairments recognized in earnings		796			1,833			829			20,855

Change in net unrealized gains on fixed maturity investments available for sale	$	(8,616	)	$	22,189		$	(19,283	)	$	16,332

The accompanying notes are an integral part of these consolidated financial statements.

RenaissanceRe Holdings Ltd. and Subsidiaries

Consolidated Statements of Cash Flows

For the six months ended June 30, 2010 and 2009

(in thousands of United States dollars)

(Unaudited)


	Six months ended
	June 30, 2010			June 30 2009
*Cash flows provided by operating activities*

Net income	$	458,903		$	474,740

*Adjustments to reconcile net income to net cash provided by operating activities*
Amortization, accretion and depreciation		26,703			(1,604	)
Equity in undistributed losses of other ventures		7,601			4,619
Net realized and unrealized gains on fixed maturity investments		(119,704	)		(41,015	)
Net other-than-temporary impairments		829			20,855
Net unrealized gains included in net investment income		(5,693	)		(52,283	)
Net unrealized losses included in other loss		13,212			6,263
Change in:
Premiums receivable		(431,669	)		(506,036	)
Ceded reinsurance balances		(184,444	)		(162,206	)
Deferred acquisition costs		(38,855	)		(32,932	)
Reserve for claims and claim expenses, net		(5,523	)		(189,776	)
Reserve for unearned premiums		548,341			558,847
Reinsurance balances payable		25,343			184,036
Other		(6,526	)		(50,814	)

*Net cash provided by operating activities*		288,518			212,694


*Cash flows provided by (used in) investing activities*

Proceeds from sales and maturities of investments available for sale		3,158,885			4,390,895
Purchases of investments available for sale		(316,717	)		(5,585,341	)
Proceeds from sales and maturities of investments trading		3,583,799			—
Purchases of investments trading		(6,621,127	)		—
Net sales of short term investments		209,998			1,097,874
Net sales of other investments		66,639			46,342
Net sales (purchases) of other assets		2,729			(1,157	)

*Net cash provided by (used in) investing activities*		84,206			(51,387	)


*Cash flows used in financing activities*

Dividends paid - RenaissanceRe common shares		(28,735	)		(29,922	)
Dividends paid - preference shares		(21,150	)		(21,150	)
RenaissanceRe common share repurchases		(411,335	)		—
Third party DaVinciRe share transactions		(131,370	)		(123,718	)
Reverse repurchase agreement		—			(50,042	)
Issuance of 5.75% Senior Notes		249,046			—

*Net cash used in financing activities*		(343,544	)		(224,832	)

Effect of exchange rate changes on foreign currency cash		(4,842	)		(1,234	)

*Net increase (decrease) in cash and cash equivalents*		24,338			(64,759	)

*Cash and cash equivalents, beginning of period*		260,716			274,692

*Cash and cash equivalents, end of period*	$	285,054		$	209,933

The accompanying notes are an integral part of these consolidated financial statements.

RenaissanceRe Holdings Ltd. and Subsidiaries

Notes to Unaudited Consolidated Financial Statements

(Expressed in U.S. Dollars) (Unaudited)

NOTE 1.

ORGANIZATION AND BASIS OF PRESENTATION

The consolidated financial statements have been prepared on the basis of accounting principles generally accepted in the United States (“GAAP”) for interim financial information and in conformity with the instructions to Form 10-Q and Article 10 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, these unaudited consolidated financial statements reflect all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation of the Company’s financial position and results of operations as at the end of and for the periods presented. All significant intercompany accounts and transactions have been eliminated from these statements. The preparation of unaudited consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. The major estimates reflected in the Company’s consolidated financial statements include, but are not limited to, the reserve for claims and claim expenses; losses recoverable, including allowances for losses recoverable deemed uncollectible; estimates of written and earned premiums; the fair value of investments and financial instruments, including derivative instruments; premiums and other accounts receivable, including allowances for amounts deemed uncollectible; and estimates relating to the Company’s deferred tax asset valuation allowance. This report on Form 10-Q should be read in conjunction with the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2009.

RenaissanceRe Holdings Ltd. (“RenaissanceRe”) was formed under the laws of Bermuda on June 7, 1993. Together with its wholly owned and majority-owned subsidiaries and DaVinciRe (as defined below), which are collectively referred to herein as the “Company”, RenaissanceRe provides reinsurance and insurance coverages and related services to a broad range of customers.

•

Renaissance Reinsurance Ltd. (“Renaissance Reinsurance”), the Company’s principal reinsurance subsidiary, provides property catastrophe and specialty reinsurance coverages to insurers and reinsurers on a worldwide basis.

•

The Company also manages property catastrophe and specialty reinsurance business written on behalf of joint ventures, which principally include Top Layer Reinsurance Ltd. (“Top Layer Re”), recorded under the equity method of accounting, and DaVinci Reinsurance Ltd. (“DaVinci”). Because the Company owns a noncontrolling equity interest in, but controls a majority of the outstanding voting power of, DaVinci’s parent, DaVinciRe Holdings Ltd. (“DaVinciRe”), the results of DaVinci and DaVinciRe are consolidated in the Company’s financial statements. Redeemable noncontrolling interest – DaVinciRe represents the interests of external parties with respect to the net income and shareholders’ equity of DaVinciRe. Renaissance Underwriting Managers Ltd. (“RUM”), a wholly owned subsidiary, acts as exclusive underwriting manager for these joint ventures in return for fee-based income and profit participation.

•

RenaissanceRe Syndicate 1458 (“Syndicate 1458”) is the Company’s Lloyd’s syndicate which was licensed to start writing certain lines of insurance and reinsurance business effective June 1, 2009. RenaissanceRe Corporate Capital (UK) Limited (“RenaissanceRe CCL”), a wholly owned subsidiary of the Company, is Syndicate 1458’s sole corporate member and RenaissanceRe Syndicate Management Ltd. (“RSML”), a wholly owned subsidiary of the Company from November 2, 2009, is the managing agent for Syndicate 1458.

•

The Company’s Insurance operations include direct insurance and quota share reinsurance written through the operating subsidiaries of RenRe Insurance Holdings Ltd. (“RenRe Insurance”). These operating subsidiaries principally include Stonington Insurance Company (“Stonington”), which writes business in the U.S. on an admitted basis, and Glencoe Insurance Ltd. (“Glencoe”) and Lantana Insurance Ltd. (“Lantana”), which write business in the U.S. on an excess and surplus lines basis, and also provide reinsurance coverage, principally through quota share contracts, which are analyzed on an individual risk basis. The Insurance operations also include the results of Agro National Inc. (“Agro National”), a managing general underwriter of crop insurance.

•

The Company, through Renaissance Trading Ltd. (“Renaissance Trading”) and RenRe Energy Advisors Ltd. (“REAL”), provides certain derivative-based risk management products primarily to its clients to address weather and energy risk. The Company also engages in hedging and trading activities related to those transactions and provides fee-based consulting services.

Certain comparative information has been reclassified to conform to the current presentation. Because of the seasonality of the Company’s business, the results of operations and cash flows for any interim period will not necessarily be indicative of the results of operations and cash flows for the full fiscal year or subsequent quarters.

NOTE 2.

CEDED REINSURANCE

The Company purchases reinsurance and other protection to manage its risk portfolio and to reduce its exposure to large losses. The Company currently has in place contracts that provide for recovery of a portion of certain claims and claim expenses, generally in excess of various retentions or on a proportional basis. The earned reinsurance premiums ceded were $134.5 million and $122.9 million for the three months ended June 30, 2010 and 2009, respectively, and $252.0 million and $213.1 million for the six months ended June 30, 2010 and 2009, respectively. In addition to loss recoveries, certain of the Company’s ceded reinsurance contracts provide for recoveries of additional premiums, reinstatement premiums and for lost no-claims bonuses, which are incurred when losses are ceded to other reinsurance contracts. Total reinsurance recoveries netted against claims and claim expenses incurred were $30.2 million and $53.2 million for the three months ended June 30, 2010 and 2009, respectively, and $65.1 million for both the six months ended June 30, 2010 and 2009. The Company remains liable to the extent that any reinsurance company fails to meet its obligations.

NOTE 3.

EARNINGS PER SHARE

The Company accounts for its weighted average shares in accordance with FASB ASC Topic Earnings per Share. Basic earnings per common share is based on weighted average common shares and excludes any dilutive effects of stock options and restricted stock. Diluted earnings per common share assumes the exercise of all dilutive stock options and restricted stock grants.

The following tables set forth the computation of basic and diluted earnings per common share for the three and six months ended June 30, 2010 and 2009:


Three months ended June 30,	2010			2009
(in thousands of U.S. dollars, except per share data)
Numerator:
Net income available to RenaissanceRe common shareholders	$	210,241		$	271,179
Amount allocated to participating common shareholders (1)		(5,322	)		(6,007	)

	$	204,919		$	265,172

Denominator (in thousands):
Denominator for basic income per RenaissanceRe common share -
Weighted average common shares		55,538			60,963

Per common share equivalents of employee stock options and restricted shares		506			359


Denominator for diluted income per RenaissanceRe common share -
Adjusted weighted average common shares and assumed conversions		56,044			61,322


Basic income per RenaissanceRe common share	$	3.69		$	4.35

Diluted income per RenaissanceRe common share	$	3.66		$	4.32

(1)	Represents earnings attributable to holders of unvested restricted shares issued under the Company’s 2001 Stock Incentive Plan, Non-Employee Director Stock Incentive Plan and for the three months ended June 30, 2010, the 2010 Performance-Based Equity Incentive Plan.


Six months ended June 30,	2010			2009
(in thousands of U.S. dollars, except per share data)
Numerator:
Net income available to RenaissanceRe common shareholders	$	375,288		$	368,463
Amount allocated to participating common shareholders (1)		(9,486	)		(7,424	)

	$	365,802		$	361,039

Denominator (in thousands):
Denominator for basic income per RenaissanceRe common share -
Weighted average common shares		56,972			60,799

Per common share equivalents of employee stock options and restricted shares		493			356


Denominator for diluted income per RenaissanceRe common share -
Adjusted weighted average common shares and assumed conversions		57,465			61,155


Basic income per RenaissanceRe common share	$	6.42		$	5.94

Diluted income per RenaissanceRe common share	$	6.37		$	5.90

(1)	Represents earnings attributable to holders of unvested restricted shares issued under the Company’s 2001 Stock Incentive Plan, Non-Employee Director Stock Incentive Plan and for the six months ended June 30, 2010, the 2010 Performance-Based Equity Incentive Plan.

NOTE 4.

DIVIDENDS AND COMMON SHARE REPURCHASES

The Board of Directors of RenaissanceRe declared, and RenaissanceRe paid, a dividend of $0.25 per common share to shareholders of record on each of March 15, 2010 and June 15, 2010.

On May 18, 2010, the Board of Directors approved an increase in the Company’s authorized share repurchase program to an aggregate amount of $500.0 million. Unless terminated earlier by resolution of the Company’s Board of Directors, the program will expire when the Company has repurchased the full value of the shares authorized. The Company repurchased 7.4 million shares in open market transactions during the six months ended June 30, 2010, at an aggregate cost of $411.3 million and at an average share price of $55.44. Future repurchases of common shares will depend on, among other matters, the market price of the common shares and the capital requirements of the Company. See “Part II, Item 2 – Unregistered Sales of Equity Securities and Use of Proceeds” for additional information.

NOTE 5.

SEGMENT REPORTING

The Company has two reportable segments: Reinsurance and Insurance.

The Reinsurance segment consists of: 1) property catastrophe reinsurance, primarily written through Renaissance Reinsurance and DaVinci; 2) specialty reinsurance, primarily written through Renaissance Reinsurance and DaVinci; 3) Lloyd’s, which includes reinsurance and insurance business written through Syndicate 1458; and 4) certain other activities of ventures as described herein. The Reinsurance segment is managed by the Global Chief Underwriting Officer, who leads a team of underwriters, risk modelers and other industry professionals, who have access to the Company’s proprietary risk management, underwriting and modeling resources and tools.

The Insurance segment, formerly known as the Individual Risk segment, includes underwriting that involves understanding the characteristics of the original underlying insurance policy. The Company’s Insurance segment is also managed by the Global Chief Underwriting Officer. The Insurance segment currently provides insurance written on both an admitted basis and an excess and surplus lines basis, and also provides some reinsurance which is written on a quota share basis.

The Company’s financial results relating to the operating subsidiaries managed by the ventures unit include the financial results of Renaissance Trading and are included in the Other category of the Company’s segment results. Also included in the Other category of the Company’s segment results are the Company’s investments in other ventures, including Top Layer Re, Tower Hill Holdings Inc. and Tower Hill Insurance Group, LLC (collectively the “Tower Hill Companies”), and in respect of the Company’s ownership of a warrant to purchase 2.5 million common shares of Platinum Underwriters Holdings Ltd. (“Platinum”).

The Company does not manage its assets by segment; accordingly, net investment income and total assets are not allocated to the segments.

A summary of the significant components of the Company’s revenues and expenses for the three and six months ended June 30, 2010 and 2009 is as follows:


Three months ended June 30, 2010	Reinsurance			Insurance			Eliminations (1)			Other			Total
(in thousands of U.S. dollars, except ratios)
Gross premiums written	$	531,358		$	331,224		$	(21,076	)	$	—		$	841,506

Net premiums written	$	351,330		$	201,232						—		$	552,562

Net premiums earned	$	214,853		$	111,669						—		$	326,522
Net claims and claim expenses incurred		(22,580	)		70,247						—			47,667
Acquisition expenses		21,113			18,831						—			39,944
Operational expenses		34,822			15,554						—			50,376

Underwriting income	$	181,498		$	7,037						—			188,535

Net investment income											27,607			27,607
Equity in earnings of other ventures											3,160			3,160
Other loss											(3,094	)		(3,094	)
Interest and preference share dividends											(16,781	)		(16,781	)
Redeemable noncontrolling interest - DaVinciRe											(51,915	)		(51,915	)
Other items, net											(7,581	)		(7,581	)
Net realized and unrealized gains on fixed maturity investments											71,106			71,106
Net other-than-temporary impairments											(796	)		(796	)

Net income available to RenaissanceRe common shareholders										$	21,706		$	210,241

Net claims and claim expenses incurred - current accident year	$	58,808		$	75,274								$	134,082
Net claims and claim expenses incurred - prior accident years		(81,388	)		(5,027	)								(86,415	)

Net claims and claim expenses incurred - total	$	(22,580	)	$	70,247								$	47,667

Net claims and claim expense ratio - current accident year		27.4	%		67.4	%								41.1	%
Net claims and claim expense ratio - prior accident years		(37.9	%)		(4.5	%)								(26.5	%)

Net claims and claim expense ratio - calendar year		(10.5	%)		62.9	%								14.6	%
Underwriting expense ratio		26.0	%		30.8	%								27.7	%

Combined ratio		15.5	%		93.7	%								42.3	%

(1)	Represents gross premiums ceded from the Insurance segment to the Reinsurance segment.


Three months ended June 30, 2009	Reinsurance			Insurance			Eliminations (1)		Other			Total
(in thousands of U.S. dollars, except ratios)
Gross premiums written	$	555,632		$	298,731		$	809	$	—		$	855,172

Net premiums written	$	394,981		$	236,389					—		$	631,370

Net premiums earned	$	227,912		$	151,905					—		$	379,817
Net claims and claim expenses incurred		(40,789	)		107,612					—			66,823
Acquisition expenses		21,136			31,359					—			52,495
Operational expenses		35,189			11,676					—			46,865

Underwriting income	$	212,376		$	1,258					—			213,634

Net investment income										114,293			114,293
Equity in earnings of other ventures										5,432			5,432
Other loss										(3,656	)		(3,656	)
Interest and preference share dividends										(14,775	)		(14,775	)
Redeemable noncontrolling interest - DaVinciRe										(49,652	)		(49,652	)
Other items, net										(11,153	)		(11,153	)
Net realized gains on investments										18,889			18,889
Net other-than-temporary impairments										(1,833	)		(1,833	)

Net income available to RenaissanceRe common shareholders									$	57,545		$	271,179

Net claims and claim expenses incurred - current accident year	$	55,575		$	117,465							$	173,040
Net claims and claim expenses incurred - prior accident years		(96,364	)		(9,853	)							(106,217	)

Net claims and claim expenses incurred - total	$	(40,789	)	$	107,612							$	66,823

Net claims and claim expense ratio - current accident year		24.4	%		77.3	%							45.6	%
Net claims and claim expense ratio - prior accident years		(42.3	%)		(6.5	%)							(28.0	%)

Net claims and claim expense ratio - calendar year		(17.9	%)		70.8	%							17.6	%
Underwriting expense ratio		24.7	%		28.4	%							26.2	%

Combined ratio		6.8	%		99.2	%							43.8	%

(1)	Represents gross premiums ceded from the Insurance segment to the Reinsurance segment.


Six months ended June 30, 2010	Reinsurance			Insurance			Eliminations (1)			Other			Total
(in thousands of U.S. dollars, except ratios)
Gross premiums written	$	1,043,750		$	383,104		$	(21,883	)	$	—		$	1,404,971

Net premiums written	$	753,639		$	214,906						—		$	968,545

Net premiums earned	$	464,893		$	139,755						—		$	604,648
Net claims and claim expenses incurred		78,954			47,770						—			126,724
Acquisition expenses		44,931			39,688						—			84,619
Operational expenses		74,973			39,954						—			114,927

Underwriting income	$	266,035		$	12,343						—			278,378

Net investment income											94,788			94,788
Equity in earnings of other ventures											5,316			5,316
Other loss											(8,825	)		(8,825	)
Interest and preference share dividends											(30,512	)		(30,512	)
Redeemable noncontrolling interest - DaVinciRe											(62,465	)		(62,465	)
Other items, net											(20,267	)		(20,267	)
Net realized and unrealized gains on fixed maturity investments											119,704			119,704
Net other-than-temporary impairments											(829	)		(829	)

Net income available to RenaissanceRe common shareholders										$	96,910		$	375,288

Net claims and claim expenses incurred - current accident year	$	265,559		$	109,279								$	374,838
Net claims and claim expenses incurred - prior accident years		(186,605	)		(61,509	)								(248,114	)

Net claims and claim expenses incurred - total	$	78,954		$	47,770								$	126,724

Net claims and claim expense ratio - current accident year		57.1	%		78.2	%								62.0	%
Net claims and claim expense ratio - prior accident years		(40.1	%)		(44.0	%)								(41.0	%)

Net claims and claim expense ratio - calendar year		17.0	%		34.2	%								21.0	%
Underwriting expense ratio		25.8	%		57.0	%								33.0	%

Combined ratio		42.8	%		91.2	%								54.0	%

(1)	Represents gross premiums ceded from the Insurance segment to the Reinsurance segment.


Six months ended June 30, 2009	Reinsurance			Insurance			Eliminations (1)		Other			Total
(in thousands of U.S. dollars, except ratios)
Gross premiums written	$	1,088,548		$	363,880		$	1,045	$	—		$	1,453,473

Net premiums written	$	809,768		$	268,438					—		$	1,078,206

Net premiums earned	$	453,883		$	227,682					—		$	681,565
Net claims and claim expenses incurred		(24,218	)		177,238					—			153,020
Acquisition expenses		40,157			56,942					—			97,099
Operational expenses		64,304			22,318					—			86,622

Underwriting income (loss)	$	373,640		$	(28,816	)				—			344,824

Net investment income										156,419			156,419
Equity in earnings of other ventures										7,168			7,168
Other loss										(18,451	)		(18,451	)
Interest and preference share dividends										(29,486	)		(29,486	)
Redeemable noncontrolling interest - DaVinciRe										(85,127	)		(85,127	)
Other items, net										(27,044	)		(27,044	)
Net realized gains on investments										41,015			41,015
Net other-than-temporary impairments										(20,855	)		(20,855	)

Net income available to RenaissanceRe common shareholders									$	23,639		$	368,463

Net claims and claim expenses incurred - current accident year	$	96,881		$	155,094							$	251,975
Net claims and claim expenses incurred - prior accident years		(121,099	)		22,144								(98,955	)

Net claims and claim expenses incurred - total	$	(24,218	)	$	177,238							$	153,020

Net claims and claim expense ratio - current accident year		21.3	%		68.1	%							37.0	%
Net claims and claim expense ratio - prior accident years		(26.6	%)		9.7	%							(14.5	%)

Net claims and claim expense ratio - calendar year		(5.3	%)		77.8	%							22.5	%
Underwriting expense ratio		23.0	%		34.9	%							26.9	%

Combined ratio		17.7	%		112.7	%							49.4	%

(1)	Represents gross premiums ceded from the Insurance segment to the Reinsurance segment.

NOTE 6.

INVESTMENTS

Fixed Maturity Investments Available For Sale

The following table summarizes the amortized cost, fair value and related unrealized gains and losses and non-credit other-than-temporary impairments of fixed maturity investments available for sale at June 30, 2010 and December 31, 2009:


			Included in Accumulated Other Comprehensive Income
At June 30, 2010	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value		Non-Credit Other-Than- Temporary Impairments (1)
(in thousands of U.S. dollars)
U.S. treasuries	$	12,665	$	654	$	—		$	13,319	$	—
Agencies		15,765		567		—			16,332		—
Non-U.S. government (Sovereign debt)		32,718		3,247		(363	)		35,602		—
FDIC guaranteed corporate		167,339		2,714		—			170,053		—
Non-U.S. government-backed corporate		38,894		776		—			39,670		—
Corporate		181,541		9,705		(826	)		190,420		(2,137	)
Agency mortgage-backed		46,769		2,137		(6	)		48,900		—
Non-agency mortgage-backed		27,346		3,096		(64	)		30,378		(2,227	)
Commercial mortgage-backed		126,415		5,272		(218	)		131,469		—
Asset-backed		48,319		1,339		(71	)		49,587		(598	)

Total	$	697,771	$	29,507	$	(1,548	)	$	725,730	$	(4,962	)

(1)

Represents the non-credit component of other-than-temporary impairments recognized in accumulated other comprehensive income since the adoption of guidance related to the recognition and presentation of other-than-temporary impairments under FASB ASC Topic Financial Instruments - Debt and Equity Securities, during the second quarter of 2009, adjusted for subsequent sales of securities. It does not include the change in fair value subsequent to the impairment measurement date.


			Included in Accumulated Other Comprehensive Income
At December 31, 2009	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value		Non-Credit Other-Than- Temporary Impairments (1)
(in thousands of U.S. dollars)
U.S. treasuries	$	599,930	$	691	$	(2,689	)	$	597,932	$	—
Agencies		164,071		1,627		(121	)		165,577		—
Non-U.S. government (Sovereign debt)		171,137		8,706		(557	)		179,286		(88	)
FDIC guaranteed corporate		850,193		6,175		(380	)		855,988		—
Non-U.S. government-backed corporate		248,888		1,557		(1,699	)		248,746		—
Corporate		811,304		32,128		(4,556	)		838,876		(4,659	)
Agency mortgage-backed		289,433		4,521		(1,526	)		292,428		—
Non-agency mortgage-backed		35,071		1,888		(576	)		36,383		(2,949	)
Commercial mortgage-backed		253,713		2,183		(4,424	)		251,472		—
Asset-backed		89,443		3,598		(532	)		92,509		(1,531	)

Total fixed maturity investments available for sale	$	3,513,183	$	63,074	$	(17,060	)	$	3,559,197	$	(9,227	)

(1)

Represents the non-credit component of other-than-temporary impairments recognized in accumulated other comprehensive income since the adoption of guidance related to the recognition and presentation of other-than-temporary impairments under FASB ASC Topic Financial Instruments - Debt and Equity Securities, during the second quarter of 2009, adjusted for subsequent sales of securities. It does not include the change in fair value subsequent to the impairment measurement date.

Fixed Maturity Investments Trading

During the fourth quarter of 2009, the Company started designating, upon acquisition, certain fixed maturity investments as trading, rather than as available for sale. The Company made this change, due in part to the new authoritative other-than-temporary impairment GAAP guidance that became effective on April 1, 2009, which has resulted in additional accounting judgments required to be made on a quarterly basis, combined with an effort to report the Company’s fixed maturity investment portfolio results in the Company’s consolidated statements of operations in a manner consistent with the way in which the Company manages the portfolio, which is on a total investment return basis. The Company currently expects to continue to designate, in future periods, upon acquisition, certain fixed maturity investments as trading, rather than as available for sale, and, as a result, the Company currently expects its fixed maturity investments available for sale balance to decrease and its fixed maturity trading balance to increase over time, resulting in a reduction in other-than-temporary accounting judgments the Company makes. This change will over time result in additional volatility in the Company’s net income (loss) in future periods as net unrealized gains and losses on these fixed maturity investments will be recorded currently in net income (loss), rather than as a component of accumulated other comprehensive income (loss) in shareholders’ equity.

The following table summarizes the fair value of fixed maturity investments trading at June 30, 2010 and December 31, 2009:


	June 30, 2010		December 31, 2009
(in thousands of U.S. dollars)
U.S. treasuries	$	1,445,933	$	320,225
Agencies		155,173		—
Non-U.S. government (Sovereign debt)		89,864		18,773
FDIC guaranteed corporate		340,980		—
Non-U.S. government-backed corporate		371,233		—
Corporate		1,237,063		296,628
Agency mortgage-backed		139,541		100,969
Non-agency mortgage-backed securities		6,282		—
Commercial mortgage-backed securities		61,690		—

Total fixed maturity investments trading, at fair value	$	3,847,759	$	736,595

Contractual maturities of fixed maturity investments are as follows. Expected maturities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.


	Available for Sale				Trading				Total Fixed Maturity Investments
At June 30, 2010	Amortized Cost		Fair Value		Amortized Cost		Fair Value		Amortized Cost		Fair Value
(in thousands of U.S. dollars)
Due in less than one year	$	20,815	$	21,051	$	1,997	$	1,999	$	22,812	$	23,050
Due after one through five years		318,707		328,366		2,787,676		2,804,908		3,106,383		3,133,274
Due after five through ten years		88,879		93,155		718,360		719,484		807,239		812,639
Due after ten years		20,521		22,824		109,890		113,855		130,411		136,679
Mortgage-backed		200,530		210,747		204,683		207,513		405,213		418,260
Asset-backed		48,319		49,587		—		—		48,319		49,587

Total	$	697,771	$	725,730	$	3,822,606	$	3,847,759	$	4,520,377	$	4,573,489

Net Investment Income

The components of net investment income are as follows:


Three months ended June 30,	2010			2009
(in thousands of U.S. dollars)
Fixed maturity investments	$	27,742		$	40,007
Short term investments		2,458			2,741
Other investments
Hedge funds and private equity investments		8,188			12,327
Other		(8,184	)		61,740
Cash and cash equivalents		65			157

		30,269			116,972
Investment expenses		(2,662	)		(2,679	)

Net investment income	$	27,607		$	114,293


Six months ended June 30,	2010			2009
(in thousands of U.S. dollars)
Fixed maturity investments	$	56,385		$	79,134
Short term investments		4,742			5,812
Other investments
Hedge funds and private equity investments		25,724			(7,414	)
Other		13,034			83,561
Cash and cash equivalents		131			530

		100,016			161,623
Investment expenses		(5,228	)		(5,204	)

Net investment income	$	94,788		$	156,419

Net realized gains on the sale of investments are determined on the basis of the first in, first out cost method and for fixed maturity investments available for sale include adjustments to the cost basis of investments for declines in value that are considered to be other-than-temporary. During the fourth quarter of 2009, the Company started designating upon acquisition, certain fixed maturity investments as trading. As a result, unrealized gains (losses) on fixed maturity investments designated as trading, are recorded in net realized and unrealized gains (losses) on the Company’s consolidated statement of operations. Unrealized gains (losses) on the Company’s fixed maturity investments available for sale, are recorded in accumulated other comprehensive income on the Company’s consolidated balance sheet.

The Company’s net realized and unrealized gains on fixed maturity investments and net other-than-temporary impairments are as follows:


Three months ended June 30,	2010			2009
(in thousands of U.S. dollars)
Gross realized gains	$	29,058		$	33,213
Gross realized losses		(5,962	)		(14,324	)

Net realized gains on fixed maturity investments		23,096			18,889
Net unrealized gains on fixed maturity investments, trading		48,010			—

Net realized and unrealized gains on fixed maturity investments	$	71,106		$	18,889

Total other-than-temporary impairments	$	(798	)	$	(5,289	)
Portion recognized in other comprehensive income, before taxes		2			3,456

Net other-than-temporary impairments	$	(796	)	$	(1,833	)


Six months ended June 30,	2010			2009
(in thousands of U.S. dollars)
Gross realized gains	$	77,945		$	64,636
Gross realized losses		(11,132	)		(23,621	)

Net realized gains on fixed maturity investments		66,813			41,015
Net unrealized gains on fixed maturity investments, trading		52,891			—

Net realized and unrealized gains on fixed maturity investments	$	119,704		$	41,015

Total other-than-temporary impairments	$	(831	)	$	(24,311	)
Portion recognized in other comprehensive income, before taxes		2			3,456

Net other-than-temporary impairments	$	(829	)	$	(20,855	)

The following tables provide an analysis of the length of time the Company’s fixed maturity investments available for sale in an unrealized loss have been in a continual unrealized loss position.


	Less than 12 Months					12 Months or Greater					Total
At June 30, 2010	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
(in thousands of U.S. dollars)
U.S. treasuries	$	—	$	—		$	—	$	—		$	—	$	—
Agencies		—		—			—		—			—		—
Non-U.S. government (Sovereign debt)		5,967		(353	)		110		(10	)		6,077		(363	)
FDIC guaranteed corporate		—		—			—		—			—		—
Non-U.S. government-backed corporate		—		—			—		—			—		—
Corporate		18,946		(607	)		1,936		(219	)		20,882		(826	)
Agency mortgage-backed		531		(6	)		—		—			531		(6	)
Non-agency mortgage-backed		421		(9	)		1,352		(55	)		1,773		(64	)
Commercial mortgage-backed		19,381		(114	)		11,082		(104	)		30,463		(218	)
Asset-backed		9,565		(53	)		3,195		(18	)		12,760		(71	)

Total	$	54,811	$	(1,142	)	$	17,675	$	(406	)	$	72,486	$	(1,548	)


	Less than 12 Months					12 Months or Greater					Total
At December 31, 2009	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
(in thousands of U.S. dollars)
U.S. treasuries	$	551,203	$	(2,689	)	$	—	$	—		$	551,203	$	(2,689	)
Agencies		75,537		(121	)		—		—			75,537		(121	)
Non-U.S. government (Sovereign debt)		39,119		(540	)		209		(17	)		39,328		(557	)
FDIC guaranteed corporate		156,989		(380	)		—		—			156,989		(380	)
Non-U.S. government-backed corporate		106,971		(1,699	)		—		—			106,971		(1,699	)
Corporate		253,828		(4,069	)		7,893		(487	)		261,721		(4,556	)
Agency mortgage-backed		156,288		(1,348	)		3,818		(178	)		160,106		(1,526	)
Non-agency mortgage-backed		2,558		(54	)		9,120		(522	)		11,678		(576	)
Commercial mortgage-backed		77,796		(1,089	)		32,184		(3,335	)		109,980		(4,424	)
Asset-backed		4,605		(18	)		14,407		(514	)		19,012		(532	)

Total	$	1,424,894	$	(12,007	)	$	67,631	$	(5,053	)	$	1,492,525	$	(17,060	)

At June 30, 2010, the Company held 33 fixed maturity investments available for sale securities that were in an unrealized loss position for twelve months or greater and does not intend to sell these securities and it is not more likely than not that the Company will be required to sell these securities before the anticipated recovery of the remaining amortized cost basis. The Company performed reviews of its investments for the six months ended June 30, 2010 and 2009, respectively, in order to determine whether declines in the fair value below the amortized cost basis of its fixed maturity investments available for sale were considered other-than-temporary in accordance with the applicable guidance, as discussed below.

At June 30, 2010, $1.3 billion of cash and investments at fair value were on deposit with, or in trust accounts for the benefit of various counterparties, including with respect to the Company’s principal letter of credit facility. Of this amount, $61.4 million are on deposit, or in trust accounts for the benefit of U.S. state regulatory authorities.

Other-Than-Temporary Impairment Process Prior to April 1, 2009

Under the pre-existing guidance, which was in effect for the three months ended March 31, 2009, the Company assessed, on a quarterly basis, whether declines in the fair value of its fixed maturity investments available for sale represented impairments that were other-than-temporary based on several factors. The factors the Company considered in the assessment of a security included: (i) the time period during which there had been a significant decline below cost; (ii) the extent of the decline below cost; (iii) the Company’s intent and ability to hold the security; (iv) the potential for the security to recover in value; (v) an analysis of the financial condition of the issuer; and (vi) an analysis of the collateral structure and credit support of the security, if applicable. Where the Company determined that there was an other-than-temporary decline in the fair value of the security, the cost of the security was written down to its fair value and the unrealized loss at the time of determination was reflected in the Company’s consolidated statements of operations.

The majority of the Company’s fixed maturity investments available for sale are managed by external investment managers in accordance with specific investment mandates and guidelines. The investment managers are directed to manage the Company’s investments to maximize total investment return in accordance with these investment mandates and guidelines. While the Company has adequate capital and liquidity to support its operations and to hold its fixed maturity investments available for sale which were in an unrealized loss position until they recover in value, the Company has not prohibited or restricted its investment managers from selling these investments and its investment managers actively traded the Company’s investments. The Company was therefore unable to represent or certify that it had the intent or ability to hold these investments until they recovered in value. As a consequence, under the pre-existing guidance, the Company impaired essentially all of its fixed maturity investments available for sale that were in an unrealized loss position at each quarterly reporting date. For the three months ended March 31, 2009, the Company recorded other-than-temporary impairments of $19.0 million. As of March 31, 2009, the Company had essentially no fixed maturity investments available for sale in an unrealized loss position.

Other-Than-Temporary Impairment Process Effective April 1, 2009

Pursuant to the guidance effective April 1, 2009, the Company revised its quarterly process for assessing whether declines in the fair value of its fixed maturity investments available for sale represent impairments that are other-than-temporary. The process now includes reviewing each fixed maturity investment available for sale that is impaired and determining: (i) if the Company has the intent to sell the debt security or (ii) if it is more likely than not that the Company will be required to sell the debt security before its anticipated recovery; and (iii) assessing whether a credit loss exists, that is, where the Company expects that the present value of the cash flows expected to be collected from the security are less than the amortized cost basis of the security.

In assessing the Company’s intent to sell securities, the Company’s procedures may include actions such as discussing planned sales with its third party investment managers, reviewing sales that have occurred shortly after the balance sheet date, and consideration of other qualitative factors that may be indicative of the Company’s intent to sell or hold the relevant securities. For the six months ended June 30, 2010, the Company recognized $nil, of other-than-temporary impairments due to the Company’s intent to sell these securities as of June 30, 2010.

In assessing whether it is more likely than not that the Company will be required to sell a security before its anticipated recovery, the Company considers various factors including its future cash flow forecasts and requirements, legal and regulatory requirements, the level of its cash, cash equivalents, short term investments, fixed maturity investments trading and fixed maturity investments available for sale in an unrealized gain position, and other relevant factors. For the six months ended June 30, 2010, the Company recognized $nil of other-than-temporary impairments due to required sales.

In evaluating credit losses, the Company considers a variety of factors in the assessment of a security including: (i) the time period during which there has been a significant decline below cost; (ii) the extent of the decline below cost and par; (iii) the potential for the security to recover in value; (iv) an analysis of the financial condition of the issuer; (v) the rating of the issuer; (vi) the implied rating of the issuer based on an analysis of option adjusted spreads; (vii) the absolute level of the option adjusted spread for the issuer; and (viii) an analysis of the collateral structure and credit support of the security, if applicable.

Once the Company determines that it is possible that a credit loss may exist for a security, the Company performs a detailed review of the cash flows expected to be collected from the issuer. The Company estimates expected cash flows by applying estimated default probabilities and recovery rates to the contractual cash flows of the issuer, with such default and recovery rates reflecting long-term historical averages adjusted to reflect current credit, economic and market conditions, giving due consideration to collateral and credit support, if applicable, and discounting the expected cash flows at the purchase yield on the security. In instances in which a determination is made that an impairment exists but the Company does not intend to sell the security and it is not more likely than not that the Company will be required to sell the security before the anticipated recovery of its remaining amortized cost basis, the impairment is separated into: (i) the amount of the total other-than-temporary impairment related to the credit loss; and (ii) the amount of the total other-than-temporary impairment related to all other factors. The amount of the other-than-temporary impairment related to the credit loss is recognized in earnings. The amount of the other-than-temporary impairment related to all other factors is recognized in other comprehensive income. For the three and six months ended June 30, 2010, the Company recognized $0.8 million and $0.8 million, respectively, of credit related other-than-temporary impairments which were recognized in earnings and $2 thousand and $2 thousand, respectively, related to other factors.

The following table provides a rollforward of the amount of other-than-temporary impairments related to credit losses recognized in earnings for which a portion of an other-than-temporary impairment was recognized in accumulated other comprehensive income for the three and six months ended June 30, 2010:


Three months ended June 30, 2010
(in thousands of U.S. dollars)
Balance - April 1	$	4,064
Additions:
Amount related to credit loss for which an other-than-temporary impairment was not previously recognized		—
Amount related to credit loss for which an other-than-temporary impairment was previously recognized		39
Reductions:
Securities sold during the period		(505	)
Securities for which the amount previously recognized in other comprehensive income was recognized in earnings, because the Company intends to sell the security or is more likely than not the Company will be required to sell the security		—
Increases in cash flows expected to be collected that are recognized over the remaining life of the security		—

Balance - June 30	$	3,598


Six months ended June 30, 2010
(in thousands of U.S. dollars)
Balance - January 1	$	9,987
Additions:
Amount related to credit loss for which an other-than-temporary impairment was not previously recognized		—
Amount related to credit loss for which an other-than-temporary impairment was previously recognized		70
Reductions:
Securities sold during the period		(6,459	)
Securities for which the amount previously recognized in other comprehensive income was recognized in earnings, because the Company intends to sell the security or is more likely than not the Company will be required to sell the security		—
Increases in cash flows expected to be collected that are recognized over the remaining life of the security		—

Balance - June 30	$	3,598

NOTE 7.

FAIR VALUE MEASUREMENTS

The use of fair value to measure certain assets and liabilities with resulting unrealized gains or losses is pervasive within the Company’s financial statements, and is a critical accounting policy and estimate for the Company. Fair value is defined under accounting guidance currently applicable to the Company to be the price that would be received upon the sale of an asset or paid to transfer a liability in an orderly transaction between open market participants at the measurement date. The Company recognizes the change in unrealized gains and losses arising from changes in fair value in its consolidated statements of operations, with the exception of changes in unrealized gains and losses on its fixed maturity investments available for sale, which are recognized as a component of accumulated other comprehensive income in shareholders’ equity.

FASB ASC Topic Fair Value Measurements and Disclosures prescribes a fair value hierarchy that prioritizes the inputs to the respective valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are described below:

•

Fair values determined by Level 1 inputs utilize unadjusted quoted prices obtained from active markets for identical assets or liabilities for which the Company has access. The fair value is determined by multiplying the quoted price by the quantity held by the Company;

•

Fair values determined by Level 2 inputs utilize inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. Level 2 inputs include quoted prices for similar assets and liabilities in active markets, and inputs other than quoted prices that are observable for the asset or liability, such as interest rates and yield curves that are observable at commonly quoted intervals, broker quotes and certain pricing indices; and

•

Level 3 inputs are based on unobservable inputs for the asset or liability, and include situations where there is little, if any, market activity for the asset or liability. In these cases, significant management assumptions can be used to establish management’s best estimate of the assumptions used by other market participants in determining the fair value of the asset or liability.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, the level in the fair value hierarchy within which the fair value measurement in its entirety falls has been determined based on the lowest level input that is significant to the fair value measurement of the asset or liability. The Company’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and the Company considers factors specific to the asset or liability.

In order to determine if a market is active or inactive for a security, the Company considers a number of factors, including, but not limited to, the spread between what a seller is asking for a security and what a buyer is bidding for the same security, the volume of trading activity for the security in question, the price of the security compared to its par value (for fixed maturity investments), and other factors that may be indicative of market activity.

There have been no material changes in the Company’s valuation techniques in the period represented by these consolidated financial statements.

Below is a summary of the assets and liabilities that are measured at fair value on a recurring basis and also represents the carrying amount on the Company’s consolidated balance sheet:


At June 30, 2010	Total			Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
(in thousands of U.S. dollars)
Fixed maturity investments
U.S. treasuries	$	1,459,252		$	1,459,252		$	—	$	—
Agencies		171,505			—			171,505		—
Non-U.S. government (Sovereign debt)		125,466			—			125,466		—
FDIC guaranteed corporate		511,033			—			511,033		—
Non-U.S. government-backed corporate		410,903			—			410,903		—
Corporate		1,427,483			—			1,427,483		—
Agency mortgage-backed		188,441			—			188,441		—
Non-agency mortgage-backed		36,660			—			36,660		—
Commercial mortgage-backed		193,159			—			193,159		—
Asset-backed		49,587			—			49,587		—

Total fixed maturity investments		4,573,489			1,459,252			3,114,237		—
Short term investments		792,308			—			792,308		—
Other investments
Private equity partnerships		298,306			—			—		298,306
Catastrophe bonds		183,793			—			183,569		224
Senior secured bank loan funds		167,132			—			150,999		16,133
Non-U.S. fixed income funds		66,190			—			66,190		—
Hedge funds		43,639			—			43,639		—
Miscellaneous other investments		23,285			—			23,285		—

Total other investments		782,345			—			467,682		314,663

Other secured assets		17,418			—			17,418		—

Other assets and (liabilities)
Platinum warrants		29,506			—			29,506		—
Weather and energy risk management operations		1,196			1,695			—		(499	)
Assumed and ceded (re)insurance contracts		(3,643	)		—			—		(3,643	)
Derivatives		(363	)		(776	)		413		—
Other		14,590			(1,597	)		—		16,187

Total other assets and (liabilities)		41,286			(678	)		29,919		12,045

	$	6,206,846		$	1,458,574		$	4,421,564	$	326,708

Fixed Maturity Investments

Fixed maturity investments included in Level 1 consist of the Company’s investments in U.S. treasuries. Fixed maturity investments included in Level 2 are U.S. agencies, non-U.S. government, corporate, FDIC guaranteed corporate, non-U.S. government-backed corporate, agency mortgage-backed, mortgage-backed and asset-backed fixed maturity investments.

The Company’s fixed maturity investments portfolios are priced using broker quotations and pricing services, such as index providers and pricing vendors. The pricing vendors provide pricing for a high volume of liquid securities

that are actively traded. For securities that do not trade on an exchange, the pricing services generally utilize market data and other observable inputs in matrix pricing models to determine prices. Prices are generally verified using third party data. Prices obtained from broker quotations are considered non-binding, however they are based on observable inputs and by observing secondary trading of similar securities obtained from active, non-distressed markets. The Company considers these Level 2 inputs as they are corroborated with other externally obtained information. The techniques generally used to determine the fair value of our fixed maturity investments are detailed below by asset class.

U.S. treasuries

At June 30, 2010, the Company’s U.S. treasuries fixed maturity investments had a weighted average yield to maturity of 1.3%, a weighted average credit quality of AAA, and are primarily priced by pricing vendors. When pricing these securities, the vendor may utilize daily data from many real time market sources, including active broker dealers, as such, the Company considers its U.S. treasuries fixed maturity investments Level 1. All data sources are constantly reviewed for accuracy to ensure the most reliable price source is used for each issue and maturity date.

Agencies

At June 30, 2010, the Company’s agencies fixed maturity investments had a weighted average yield to maturity of 0.9% and a weighted average credit quality of AAA. The issuers of the Company’s agencies fixed maturity investments primarily consist of the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation and other agencies. Fixed maturity investments included in agencies, are primarily priced by pricing vendors. When evaluating these securities, the vendor may gather information from market sources and integrate other observations from markets and sector news. Evaluations are updated by obtaining broker dealer quotes and other market information including actual trade volumes, when available. The dollar value for each security is individually computed using analytical models which incorporate option adjusted spreads and other daily interest rate data. The Company considers its agencies fixed maturity investments Level 2.

Non-U.S. government (Sovereign debt)

Non-U.S. government fixed maturity investments held by the Company at June 30, 2010, had a weighted average yield to maturity of 3.6% and a weighted average credit quality of AA. The issuers for securities in this sector are generally non-U.S. governments and agencies as well as supranational organizations. Securities held in these sectors, are primarily priced by pricing vendors who employ proprietary discounted cash flow models to value the securities. Key quantitative inputs for these models are daily observed benchmark curves for treasury, swap and high issuance credits. The pricing vendor may then apply a credit spread for each security which is developed by in-depth and real time market analysis. For securities in which trade volume is low, the pricing vendor may also utilize data from more frequently traded securities with similar attributes. These models may also be supplemented by daily market and credit research for international markets. The Company considers its non-U.S. government fixed maturity investments Level 2.

FDIC guaranteed corporate

The Company’s FDIC guaranteed corporate fixed maturity investments had a weighted average yield to maturity of 0.7% and a weighted average credit quality of AAA at June 30, 2010. The issuers consist of well known corporate issuers who participate in the FDIC program. The Company’s FDIC guaranteed corporate fixed maturity investments, are primarily priced by pricing vendors. When evaluating these securities, the vendor may gather information from market sources regarding the issuer of the security, obtain credit data, as well as other observations from markets and sector news. Evaluations are updated by obtaining broker dealer quotes and other market information including actual trade volumes, when available. The pricing vendor may also consider the specific terms and conditions of the securities, including any specific features which may influence risk. Each security is individually evaluated using a spread model which is added to the U.S. treasury curve. The Company considers its FDIC guaranteed corporate fixed maturity investments Level 2.

Non-U.S. government-backed corporate

Non-U.S. government-backed corporate fixed maturity investments are considered Level 2 by the Company and had a weighted average yield to maturity of 1.8% and a weighted average credit quality of AAA at June 30, 2010. Non-U.S. government-backed fixed maturity investments are primarily priced by pricing vendors who employ proprietary discounted cash flow models to value the securities. Key quantitative inputs for these models are daily observed benchmark curves for treasury, swap and high issuance credits. The pricing vendor may then apply a credit spread for each security which is developed by in-depth and real time market analysis. For securities in which trade volume is low, the pricing vendor may also utilize data from more frequently traded securities with similar attributes. These models may also be supplemented by daily market and credit research for international markets.

Corporate

At June 30, 2010, the Company’s corporate fixed maturity investments had a weighted average yield to maturity of 3.7% and a weighted average credit quality of A, and principally consist of U.S. and international corporations. The Company’s corporate fixed maturity investments are primarily priced by pricing vendors, and are considered Level 2 by the Company. When evaluating these securities, the vendor may gather information from market sources regarding the issuer of the security, obtain credit data, as well as other observations from markets and sector news. Evaluations are updated by obtaining broker dealer quotes and other market information including actual trade volumes, when available. The pricing vendor may also consider the specific terms and conditions of the securities, including any specific features which may influence risk. Each security is individually evaluated using a spread model which is added to the U.S. treasury curve.

Agency mortgage-backed

At June 30, 2010, the Company’s agency mortgage-backed fixed maturity investments included agency residential mortgage-backed securities with a weighted average yield to maturity of 2.6%, a weighted average credit quality of AAA and a weighted average life of 3.1 years. The majority of the Company’s agency mortgage-backed fixed maturity investments held at June 30, 2010 are from vintage years 2009 and prior. The Company’s agency mortgage-backed fixed maturity investments are primarily priced by pricing vendors using a mortgage pool specific model which utilizes daily inputs from the active TBA market which is extremely liquid, as well as the U.S. treasury market. The vendor model may also utilize additional information, such as the weighted average maturity, weighted average coupon and other available pool level data which is provided by the sponsoring agency. Valuations may also be corroborated by daily active market quotes. The Company considers its agency mortgage-backed fixed maturity investments Level 2.

Non-agency mortgage-backed

The Company’s non-agency mortgage-backed fixed maturity investments include non-agency prime residential mortgage-backed and non-agency Alt-A fixed maturity investments, and considers these fixed maturity investments Level 2. The Company has no fixed maturity investments classified as sub-prime held in its fixed maturity investments portfolio. At June 30, 2010, the Company’s non-agency prime residential mortgage-backed fixed maturity investments have a weighted average yield to maturity of 4.9%, a weighted average credit quality of AA and a weighted average life of 2.9 years. The Company’s non-agency Alt-A fixed maturity investments held at June 30, 2010, have a weighted average yield to maturity of 7.5%, a weighted average credit quality of AA, a weighted average life of 3.9 years, and are from vintage years 2005 and prior. Securities held in these sectors, are primarily priced by pricing vendors using a mortgage pool specific model which utilizes daily inputs from the active TBA market which is extremely liquid, as well as the U.S. treasury market. The vendor model may also utilize additional information, such as the weighted average maturity, weighted average coupon and other available pool level data which is provided by the sponsoring agency. Valuations may also be corroborated by daily active market quotes.

Commercial mortgage-backed

The Company’s commercial mortgage-backed fixed maturity investments held at June 30, 2010 have a weighted average yield to maturity of 3.5%, a weighted average credit quality of AA and a weighted average life of 3.7 years. Securities held in these sectors, are primarily priced by pricing vendors and are considered Level 2 by the Company. The pricing vendor may apply dealer quotes and other available trade information such as bid and offers, prepayment speeds which may be adjusted for the underlying collateral or current price data, the U.S. treasury curve, swap curve and TBA values as well as cash settlement. The model utilizes a single cash flow stream and computes both a yield to call and weighted average yield to maturity. The model generates a derived price for the bond by applying the most likely scenario.

Asset-backed

At June 30, 2010, the Company’s asset-backed fixed maturity investments had a weighted average yield to maturity of 1.2%, a weighted average credit quality of AAA and a weighted average life of 3.2 years. The underlying collateral for the Company’s asset-backed fixed maturity investments primarily consists of student loans, automobile loans and credit card receivables. Securities held in these sectors, are primarily priced by pricing vendors and are considered Level 2 by the Company. The pricing vendor may apply dealer quotes and other available trade information such as bid and offers, prepayment speeds which may be adjusted for the underlying collateral or current price data, the U.S. treasury curve, swap curve and TBA values as well as cash settlement. The model utilizes a single cash flow stream and computes both a yield to call and weighted average yield to maturity. The model generates a derived price for the bond by applying the most likely scenario.

Short term investments

Short term investments are considered Level 2 and fair values are generally determined using amortized cost which approximates fair value and, in certain cases, in a manner similar to the Company’s fixed maturity investments noted above.

Other Investments

Private equity partnerships

Included in the Company’s investments in private equity partnerships at June 30, 2010 are alternative asset limited partnerships that invest in certain private equity asset classes including U.S. and global leveraged buyouts; mezzanine investments; distressed securities; real estate; oil, gas and power; and secondaries. The fair value of private equity partnership investments is based on net asset values obtained from the investment manager or general partner of the respective entity. The type of underlying investments held by the investee which form the basis of the net asset valuation include assets such as private business ventures, for which the Company does not have access to, and as a result, is unable to corroborate the fair value measurement and therefore requires significant management judgment to determine the underlying value of the private equity partnership and accordingly the fair value of the Company’s investment in each private equity partnership is considered Level 3. The Company also considers factors such as recent financial information, the value of capital transactions with the partnership and management’s judgment regarding whether any adjustments should be made to the net asset value. The Company regularly reviews the performance of its private equity partnerships directly with the fund managers.

Catastrophe bonds

The Company’s other investments include investments in catastrophe bonds which are recorded at fair value based on quoted market prices, or when such prices are not available, by reference to broker or underwriter bid indications. As such, the Company considers its catastrophe bonds Level 2.

Senior secured bank loan funds

At June 30, 2010, the Company’s investments in senior secured bank loan funds include funds that invest primarily in bank loans and other senior debt instruments. The fair values of the Company’s senior secured bank loan funds are estimated using the net asset value per share of the funds. Investments of $151.0 million are redeemable, in whole or in part, on a monthly basis, and are valued at the net asset value of the fund and are considered Level 2. In addition, the Company has a $16.1 million investment in a bank loan fund for which it has no right to redeem its investment in advance of dissolution of the fund. Instead, the nature of this investment is that distributions are received by the Company in connection with the liquidation of the underlying assets of the fund. The Company’s investment in this bank loan fund is valued using monthly net asset valuations received from the investment manager. The underlying investments in this bank loan fund are relatively liquid and prices can be obtained on a daily basis. However, the lock up provisions in this fund result in a lack of current observable market transactions between the fund participants and the fund, and therefore, the Company considers the fair value of its investment in this fund to be determined using Level 3 inputs. The management of the senior secured bank loan funds which previously could generally not be redeemed has restructured these investments during 2010 to a fund structure which would liquidate in the near term, and the Company has elected to transfer its investment to the new fund structure. Subsequently, the Company has received $84.3 million in distributions from the new fund structure.

Non-U.S. fixed income funds

The Company considers its investments in non-U.S. fixed income funds Level 2. The Company’s non-U.S. fixed income funds invest primarily in European high yield bonds, non-U.S. convertible securities and high income convertible securities. The fair values of the investments in this category have been estimated using the net asset value per share of the investments which are provided by third parties such as the relevant investment manager or administrator, recent financial information issued by the applicable investee entity or available market data to estimate fair value.

Hedge funds

The Company invests in hedge funds that pursue multiple strategies without limiting itself to a predefined strategy or set of strategies. The strategies employed include, among others, the following: fundamentally driven long/short; event oriented; credit, distressed credit and structured credit investments and arbitrage; capital structure arbitrage; and private investments. The fair values of the Company’s hedge funds have been estimated using the net asset value per share of the investments which are provided by third parties such as the relevant investment manager or administrator, recent financial information issued by the applicable investee entity or available market data to estimate fair value. The Company considers its hedge fund investments Level 2.

Other secured assets

Other secured assets represent contractual rights under a purchase agreement, contingent purchase agreement and credit derivatives agreement with a major bank to sell certain securities within the Company’s catastrophe-linked securities portfolio. The Company’s other secured assets are accounted for at fair value based on quoted market prices, or when such prices are not available, by reference to broker or underwriter bid indications. As such, the Company considers its catastrophe bonds Level 2.

Other assets and liabilities

Included in other assets and liabilities measured at fair value is the Company’s investment in a warrant to purchase 2.5 million common shares of Platinum, estimated using the Black-Scholes option pricing model, which the Company has considered Level 2 as the inputs to the option pricing model are based on observable market inputs. Other assets and liabilities also include the Company’s weather and energy risk management operations, which principally includes certain derivative-based risk management products primarily to address weather and energy risks, and hedging and trading activities related to these risks. The trading markets for these derivatives are generally linked to energy and agriculture commodities, weather and other natural phenomena and the fair value of these contracts is obtained through the use of exchange traded market prices, or in the absence of such market prices,

industry or internal valuation models, as such, these products are considered Level 1 and Level 3, respectively. The Company considers assumed and ceded (re)insurance contracts accounted for at fair value as Level 3, as the fair value of these contracts is obtained through the use of internal valuation models with the inputs to the internal valuation model based on proprietary data as observable market inputs are not available. In addition, other assets and liabilities include certain other derivatives entered into by the Company, the fair value of these transactions include certain exchange traded foreign currency forward contracts which are considered Level 1, and the fair value of certain credit derivatives, determined using industry valuation models and considered Level 2, as the inputs to the valuation model are based on observable market inputs.

Below is a reconciliation of the beginning and ending balances, for the periods shown, of assets and liabilities measured at fair value on a recurring basis using Level 3 inputs. Interest and dividend income are included in net investment income and are excluded from the reconciliation.


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
Three months ended June 30, 2010	Other investments			Other assets and (liabilities)			Total
(in thousands of U.S. dollars)
Balance — April 1	$	393,388		$	6,831		$	400,219

Total net unrealized (losses) gains
Included in net investment income		(5,724	)		—			(5,724	)
Included in other loss		—			9,542			9,542

Total net realized gains
Included in net investment income		—			—			—
Included in other loss		—			7,350			7,350

Total net foreign exchange losses		(1,051	)		(217	)		(1,268	)

Net purchases, issuances, and settlements		(71,950	)		(11,461	)		(83,411	)
Net transfers in and/or out of Level 3		—			—			—

Balance — June 30	$	314,663		$	12,045		$	326,708


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
Six months ended June 30, 2010	Other investments			Other assets and (liabilities)			Total
(in thousands of U.S. dollars)
Balance — January 1	$	393,913		$	3,567		$	397,480

Total net unrealized losses
Included in net investment income		3,167			—			3,167
Included in other loss		—			(594	)		(594	)

Total net realized gains
Included in net investment income		—			—			—
Included in other loss		—			14,965			14,965

Total net foreign exchange losses		(3,266	)		(701	)		(3,967	)

Net purchases, issuances, and settlements		(79,151	)		(5,192	)		(84,343	)
Net transfers in and/or out of Level 3		—			—			—

Balance — June 30	$	314,663		$	12,045		$	326,708

Reinsurance Contracts Accounted for at Fair Value

The Company assumes and cedes certain reinsurance contracts that are accounted for at fair value under the fair value option. The fair value of these contracts is obtained through the use of internal valuation models. These contracts are recorded on the Company’s balance sheet in other assets and other liabilities and totaled $0.2 million and $0.7 million, respectively, at June 30, 2010 (December 31, 2009 – $2.2 million and $nil, respectively). During the three and six months ended June 30, 2010, the Company recorded losses of $0.9 million and $2.3 million, respectively, which are included in other loss and represent changes in the fair value of these contracts (June 30, 2009 – $6.5 million and $7.4 million, respectively).

Insurance Contracts Accounted for at Fair Value

The Company enters into certain insurance contracts that are accounted for at fair value under the fair value option. The fair value of these contracts is obtained through the use of internal valuation models. These contracts are recorded on the Company’s balance sheet in other liabilities and totaled $3.1 million at June 30, 2010 (December 31, 2009 – $13.5 million). During the three and six months ended June 30, 2010, the Company recorded unrealized gains of $0.6 million and unrealized losses of $0.6 million, respectively (June 30, 2009 – unrealized gains of $8 thousand and $0.1 million, respectively), and realized losses of $43 thousand and realized gains of $1.9 million, respectively (June 30, 2009 – realized losses of $nil and $30 thousand, respectively) which are included in other loss and represent changes in the fair value and realized gains of these contracts.

Weather and Energy Transactions Accounted for at Fair Value

Through the business conducted by Renaissance Trading on a regular basis and otherwise from time to time, the Company enters into certain weather and energy insurance type contracts through its trading activities that it has elected to account for at fair value under the fair value option. These contracts are recorded on the Company’s balance sheet in other liabilities and totaled $1.2 million at June 30, 2010 (December 31, 2009 – $0.5 million). During the three and six months ended June 30, 2010, the Company recorded unrealized gains of $2.5 million and $2.5 million, respectively, which are included in other loss and represent changes in the fair value of these contracts (June 30, 2009 – $nil and $nil, respectively).

Senior Notes

In January 2003, RenaissanceRe issued $100.0 million, which represents the carrying amount on the Company’s consolidated balance sheet, of 5.875% Senior Notes due February 15, 2013, with interest on the notes payable on February 15 and August 15 of each year. The notes can be redeemed by RenaissanceRe prior to maturity subject to payment of a “make-whole” premium. The notes, which are senior obligations, contain various covenants, including limitations on mergers and consolidations, restrictions as to the disposition of the stock of designated subsidiaries and limitations on liens of the stock of designated subsidiaries. At June 30, 2010, the fair value of the 5.875% Senior Notes was $104.5 million (December 31, 2009 – $103.7 million).

In March 2010, RenRe North America Holdings Inc. (“RRNAH”) issued $250.0 million of 5.75% Senior Notes due March 15, 2020, with interest on the notes payable on March 15 and September 15 of each year. The notes are guaranteed by RenaissanceRe and can be redeemed by RRNAH prior to maturity subject to payment of a “make-whole” premium. The notes, which are senior obligations, contain various covenants, including limitations on mergers and consolidations, restrictions as to the disposition of the stock of designated subsidiaries and limitations on liens of the stock of designated subsidiaries. At June 30, 2010, the fair value of the 5.75% Senior Notes was $248.0 million.

The fair value of RenaissanceRe’s 5.875% Senior Notes and RRNAH’s 5.75% Senior Notes is determined using indicative market pricing obtained from third-party service providers.

The Fair Value Option for Financial Assets and Financial Liabilities

The Company has elected to account for certain assets and liabilities at fair value under FASB ASC Topic Financial Instruments. The Company has elected to use the guidance under FASB ASC Topic Financial Instruments, as it represents the most current authoritative GAAP. Below is a summary of the balances the Company has elected to account for at fair value:


(in thousands of U.S. dollars)	June 30, 2010		December 31, 2009
Other investments	$	782,345	$	858,026

Other secured assets	$	17,418	$	27,730

Other assets and (liabilities) (1)	$	12,543	$	9,102

(1)	Balance at June 30, 2010 includes $16.4 million of other assets and $3.8 million of other liabilities. Balance at December 31, 2009 includes $22.6 million of other assets and $13.5 million of other liabilities.

Included in net investment income for the three and six months ended June 30, 2010 is $(19.2) million and $5.7 million, respectively, of net unrealized (losses) gains related to the changes in fair value of other investments (June 30, 2009 – $69.3 million and $52.3 million, respectively, of net unrealized gains). Net unrealized losses related to the changes in the fair value of other secured assets recorded in other loss was $0.2 million and $0.3 million for the three and six months ended June 30, 2010, respectively (June 30, 2009 – net unrealized gains of $0.2 million and $0.1 million, respectively). Net unrealized gains (losses) related to the changes in the fair value of other assets and liabilities recorded in other loss was $0.4 million and $(1.6) million for the three and six months ended June 30, 2010, respectively (June 30, 2009 – net unrealized losses of $0.7 million and $0.2 million, respectively).

Measuring the Fair Value of Other Investments Using Net Asset Valuations

The table below shows the Company’s portfolio of other investments measured using net asset valuations:


At June 30, 2010	Fair Value		Unfunded Commitments		Redemption Frequency	Redemption Notice Period
(in thousands of U.S. dollars)
Private equity partnerships	$	298,306	$	162,017	See below	See below
Senior secured bank loan funds		167,132		—	See below	See below
Non-U.S. fixed income funds		66,190		—	Monthly, bi-monthly	5 - 20 days
Hedge funds		43,639		—	Annually, bi-annually	45 - 90 days

Total other investments measured using net asset valuations	$	575,267	$	162,017

Private equity partnerships – Included in the Company’s investments in private equity partnerships are alternative asset limited partnerships that invest in certain private equity asset classes including U.S. and global leveraged buyouts; mezzanine investments; distressed securities; real estate; oil, gas and power; and secondaries. The fair values of the investments in this category have been estimated using the net asset value per share of the investments. The Company generally has no right to redeem its interest in any of these private equity partnerships in advance of dissolution of the applicable partnership. Instead, the nature of these investments is that distributions are received by the Company in connection with the liquidation of the underlying assets of the applicable limited partnership. If these investments were held, it is estimated that the majority of the underlying assets of the limited partnerships would liquidate over 7 to 10 years.

Senior secured bank loan funds – The Company’s investment in senior secured bank loan funds includes funds that invest primarily in bank loans and other senior debt instruments. The fair values of the investments in this category have been estimated using the net asset value per share of the funds. Investments of $151.0 million are redeemable, in whole or in part, on a monthly basis. Currently, the Company generally has no right to redeem its remaining $16.1 million investment in bank loan funds in advance of dissolution of the applicable funds. Instead, the nature of these investments is that distributions are received by the Company in connection with the liquidation of the underlying assets of the applicable fund. If these investments were held, it is estimated that the majority of the underlying assets of the funds would liquidate over 6 to 8 years. The management of the senior secured bank loan funds which previously could generally not be redeemed has restructured these investments during 2010 to a fund structure which would liquidate in the near term, and the Company has elected to transfer its investment to the new fund structure. Subsequently, the Company has received $84.3 million in distributions from the new fund structure.

Non-U.S. fixed income funds – The Company’s non-U.S. fixed income funds invest primarily in European high yield bonds, non-U.S. convertible securities and high income convertible securities. The fair values of the investments in this category have been estimated using the net asset value per share of the investments. Investments of $38.3 million are redeemable, in whole or in part, on a bi-monthly basis. The remaining $27.9 million can generally only be redeemed by the Company at a rate of 10% per month. These investments may permit redemptions which exceed this amount, but they are not obliged to do so.

Hedge funds – The Company invests in hedge funds that pursue multiple strategies without limiting itself to a pre-defined strategy or set of strategies. The strategies employed include, among others, the following: fundamentally driven long/short; event oriented; credit, distressed credit and structured credit investments and arbitrage; capital structure arbitrage; and private investments. The fair values of the investments in this category have been estimated using the net asset value per share of the investments. Included in the Company’s hedge fund investments is $10.0 million of so called “side pocket” investments which are not redeemable at the option of the shareholder. As to each investment in a hedge fund that includes side pocket investments, if the investment is otherwise fully redeemed, the Company will still retain its interest in the side pocket investments until the underlying investments attributable to such side pockets are liquidated, realized or deemed realized at the discretion of the fund manager.

NOTE 8.

REDEEMABLE NONCONTROLLING INTEREST

In October 2001, the Company formed DaVinciRe and DaVinci with other equity investors. RenaissanceRe owns a noncontrolling economic interest in DaVinciRe; however, because RenaissanceRe controls a majority of DaVinciRe’s outstanding voting rights, the consolidated financial statements of DaVinciRe are included in the consolidated financial statements of the Company. The portion of DaVinciRe’s earnings owned by third parties for the three and six months ended June 30, 2010 and 2009 is recorded in the consolidated statements of operations as redeemable noncontrolling interest.

DaVinciRe shareholders are party to a shareholders agreement (the “Shareholders Agreement”) which provides DaVinciRe shareholders, excluding RenaissanceRe, with certain redemption rights that enable each shareholder to notify DaVinciRe of such shareholder’s desire for DaVinciRe to repurchase up to half of such shareholder’s initial aggregate number of shares held, subject to certain limitations, such as limiting the aggregate of all share repurchase requests to 25% of DaVinciRe’s capital in any given year and satisfying all applicable regulatory requirements. If total shareholder requests exceed 25% of DaVinciRe’s capital, the number of shares repurchased will be reduced among the requesting shareholders pro-rata, based on the amounts desired to be repurchased. Shareholders desiring to have DaVinci repurchase their shares must notify DaVinciRe before March 1 of each year. The repurchase price will be based on GAAP book value as of the end of the year in which the shareholder notice is given, and the repurchase will be effective as of such date. Payment will be made by April 1 of the following year, following delivery of the audited financial statements for the year in which the repurchase was effective. The repurchase price is subject to a true-up for development on outstanding loss reserves after settlement of all claims relating to the applicable years. RenaissanceRe’s ownership in DaVinciRe was 41.2% at June 30, 2010 (December 31, 2009 – 38.2%).

Certain third party shareholders of DaVinciRe submitted repurchase notices on or before the required annual redemption notice date of March 1, 2010, in accordance with the third amended and restated shareholders agreement, which provides shareholders, excluding RenaissanceRe, with certain redemption rights such as allowing each shareholder to notify DaVinciRe of such shareholder’s desire for DaVinciRe to repurchase up to half of their initial aggregate number of shares held, subject to certain limitations. The repurchase notices submitted on or before March 1, 2010, were for shares of DaVinciRe with a GAAP book value of $82.6 million at June 30, 2010.

The Company expects its ownership in DaVinciRe to fluctuate over time.

The activity in the Company’s redeemable noncontrolling interest – DaVinciRe is detailed in the table below for the three and six months ended June 30, 2010 and 2009:


	Redeemable noncontrolling interest - DaVinciRe
Three months ended June 30,	2010			2009
(in thousands of U.S. dollars)
Balance - April 1	$	658,525		$	650,763
Cumulative effect of change in accounting principle, net of taxes (1)		—			42
Net purchase of shares from redeemable noncontrolling interest		(1,337	)		—
Comprehensive income:
Net income attributable to redeemable noncontrolling interest		51,915			49,652
Other comprehensive income attributable to noncontrolling interest		(1,562	)		105

Balance - June 30	$	707,541		$	700,562

(1)	Cumulative effect adjustment to opening retained earnings as of April 1, 2009, related to the recognition and presentation of other-than-temporary impairments, as required by the Investments - Debt and Equity Securities Topic of the FASB ASC.


Six months ended June 30,	2010			2009
(in thousands of U.S. dollars)
Balance - January 1	$	786,647		$	768,531
Cumulative effect of change in accounting principle, net of taxes (1)		—			42
Purchase of shares from redeemable noncontrolling interest		(141,747	)		(152,728	)
Comprehensive income:
Net income attributable to redeemable noncontrolling interest		62,465			85,127
Other comprehensive income attributable to noncontrolling interest		176			(410	)

Balance - June 30	$	707,541		$	700,562

(1)	Cumulative effect adjustment to opening retained earnings as of April 1, 2009, related to the recognition and presentation of other-than-temporary impairments, as required by the Investments - Debt and Equity Securities Topic of the FASB ASC.

NOTE 9.

DERIVATIVE INSTRUMENTS

The Company enters into derivative instruments such as futures, options, swaps, forward contracts and other derivative contracts in order to manage its foreign currency exposure, obtain exposure to a particular financial market, for yield enhancement, or for trading and speculation. The Company accounts for its derivatives in accordance with FASB ASC Topic Derivatives and Hedging, which requires all derivatives to be recorded at fair value on the Company’s balance sheet as either assets or liabilities, depending on the rights or obligations of the derivatives, with changes in fair value reflected in current earnings. The Company does not currently apply hedge accounting in respect of any positions reflected in its consolidated financial statements. The fair value of the Company’s derivatives are estimated by reference to quoted prices or broker quotes, where available, or in the absence of quoted prices or broker quotes, the use of industry or internal valuation models. Where the Company has entered into master netting agreements with counterparties, or the Company has the legal and contractual right to offset positions, the derivative positions are generally netted by counterparty and are reported accordingly in other assets and other liabilities.

The Company’s guidelines permit investments in derivative instruments such as futures, forward contracts, options, swap agreements and other derivative contracts which may be used to assume risk or for hedging purposes. The Company principally has exposure to derivatives related to the following types of risks: interest rate risk; foreign currency risk; credit risk; energy and weather-related risk; and equity price risk.

The table below shows the location on the consolidated balance sheets and fair value of the Company’s principal derivative instruments:


	Derivative Assets
	At June 30, 2010			At December 31, 2009
(in thousands of U.S. dollars)	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Interest rate futures	Other assets	$	302	Other assets	$	862
Foreign currency forward contracts (1)	Other assets		851	Other assets		—
Foreign currency forward contracts (2)	Other assets		2,400	Other assets		3,292
Foreign currency forward contracts (3)	Other assets		—	Other assets		49
Credit default swaps	Other assets		34	Other assets		—
Energy and weather contracts (4)	Other assets		5,868	Other assets		17,006
Platinum warrant	Other assets		29,506	Other assets		34,871

Total		$	38,961		$	56,080


	Derivative Liabilities
	At June 30, 2010			At December 31, 2009
(in thousands of U.S. dollars)	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Interest rate futures	Other liabilities	$	72	Other liabilities	$	143
Foreign currency forward contracts (1)	Other liabilities		—	Other liabilities		776
Foreign currency forward contracts (2)	Other liabilities		—	Other liabilities		—
Foreign currency forward contracts (3)	Other liabilities		960	Other liabilities		—
Credit default swaps	Other liabilities		438	Other liabilities		549
Energy and weather contracts (4)	Other liabilities		6,403	Other liabilities		25,086
Platinum warrant	Other liabilities		—	Other liabilities		—

Total		$	7,873		$	26,554

(1)	Contracts used to manage foreign currency risks in underwriting and non-investment operations.

(2)	Contracts used to manage foreign currency risks in investment operations.

(3)	Contracts used to manage foreign currency risks in energy and risk operations.

(4)

Included in other assets is $9.3 million of derivative assets and $3.4 million of derivative liabilities at June 30, 2010 (December 31, 2009 - $22.7 million and $5.7 million, respectively). Included in other liabilities is $9.6 million of derivative assets and $16.0 million of derivative liabilities at June 30, 2010 (December 31, 2009 - $55.9 million and $81.0 million, respectively).

The location and amount of the gain (loss) recognized in the Company’s consolidated statements of operations related to its derivative instruments is shown in the following table:


		Amount of gain (loss) recognized on derivatives
Three months ended June 30,	Location of gain (loss) recognized on derivatives	2010			2009
(in thousands of U.S. dollars)
Interest rate futures	Net investment income	$	88		$	(2,879	)
Foreign currency forward contracts (1)	Net foreign exchange losses		2,182			3,052
Foreign currency forward contracts (2)	Net foreign exchange losses		23,357			(7,512	)
Foreign currency forward contracts (3)	Net foreign exchange losses		3,899			—
Credit default swaps	Other loss		(369	)		(536	)
Energy and weather contracts	Other loss		4,095			9,731
Platinum warrant	Other loss		(1,668	)		424

Total		$	31,584		$	2,280

(1)	Contracts used to manage foreign currency risks in underwriting operations.

(2)	Contracts used to manage foreign currency risks in investment operations.

(3)	Contracts used to manage foreign currency risks in energy and risk operations.


		Amount of gain (loss) recognized on derivatives
Six months ended June 30,	Location of gain (loss) recognized on derivatives	2010			2009
(in thousands of U.S. dollars)
Interest rate futures	Net investment income	$	(465	)	$	(1,552	)
Foreign currency forward contracts (1)	Net foreign exchange losses		474			1,702
Foreign currency forward contracts (2)	Net foreign exchange losses		38,809			(3,206	)
Foreign currency forward contracts (3)	Net foreign exchange losses		916			—
Credit default swaps	Other loss		(87	)		76
Energy and weather contracts	Other loss		7,185			17,177
Platinum warrant	Other loss		(5,365	)		(13,300	)

Total		$	41,467		$	897

(1)	Contracts used to manage foreign currency risks in underwriting operations.

(2)	Contracts used to manage foreign currency risks in investment operations.

(3)	Contracts used to manage foreign currency risks in energy and risk operations.

The Company is not aware of the existence of any credit-risk related contingent features that it believes would be triggered in its derivative instruments that are in a net liability position at June 30, 2010.

Interest Rate Futures

The Company uses interest rate futures within its portfolio of fixed maturity investments to manage its exposure to interest rate risk, which can include increasing or decreasing its exposure to this risk. At June 30, 2010, the Company had $555.8 million of notional long positions and $108.7 million of notional short positions of primarily Eurodollar and U.S. Treasury and non-U.S. dollar futures contracts. The fair value of these derivatives is determined using exchange traded prices.

Foreign Currency Derivatives

The Company’s functional currency is the U.S. dollar. The Company writes a portion of its business in currencies other than U.S. dollars and may, from time to time, experience foreign exchange gains and losses in the Company’s consolidated financial statements. All changes in exchange rates, with the exception of non-U.S. dollar denominated investments classified as available for sale, are recognized currently in the Company’s consolidated statements of operations.

Underwriting Operations Related Foreign Currency Contracts

The Company’s foreign currency policy with regard to its underwriting operations is generally to hold foreign currency assets, including cash, investments and receivables that approximate the foreign currency liabilities, including claims and claim expense reserves and reinsurance balances payable. When necessary, the Company may use foreign currency forward and option contracts to minimize the effect of fluctuating foreign currencies on the value of non-U.S. dollar denominated assets and liabilities associated with its underwriting operations. At June 30, 2010, the total notional amount in U.S. dollars of the Company’s underwriting related foreign currency contracts was $53.5 million.

Investment Portfolio Related Foreign Currency Forward Contracts

The Company’s investment operations are exposed to currency fluctuations through its investments in non-U.S. dollar fixed maturity investments, short term investments and other investments. To economically hedge its exposure to currency fluctuations from these investments, the Company has entered into foreign currency forward contracts. Foreign exchange gains (losses) associated with the Company’s hedging of these non-U.S. dollar investments are recorded in net foreign exchange losses in its consolidated statements of operations. At June 30, 2010, the Company had outstanding investment portfolio related foreign currency contracts of $70.1 million in long positions and $314.0 million in short positions, denominated in U.S. dollars.

Energy and Risk Operations Related Foreign Currency Contracts

The Company’s energy and risk operations are exposed to currency fluctuations through certain derivative transactions it enters into that are denominated in non-U.S. dollars. The Company may, from time to time, use foreign currency forward and option contracts to minimize the effect of fluctuating foreign currencies on the value of non-U.S. dollar denominated assets and liabilities associated with these operations. At June 30, 2010, the total notional amount in United States dollars of the Company’s energy and risk management operations related to foreign currency contracts was $32.0 million.

Credit Derivatives

The Company’s exposure to credit risk is primarily due to its fixed maturity investments, short term investments, premiums receivable and ceded reinsurance balances. From time to time, the Company purchases credit derivatives to hedge its exposures in the insurance industry, to assist in managing the credit risk associated with ceded reinsurance, or to assume credit risk. The fair value of the credit derivatives is determined using industry valuation models. The fair value of these credit derivatives can change based on a variety of factors including changes in credit spreads, default rates and recovery rates, the correlation of credit risk between the referenced credit and the counterparty, and market rate inputs such as interest rates. At June 30, 2010, the Company had outstanding credit derivatives of $15.0 million in long positions and $22.0 million in short positions, denominated in U.S. dollars.

Energy and Weather-Related Derivatives

The Company regularly transacts certain derivative-based risk management products primarily to address weather and energy risks and engages in hedging and trading activities related to these risks. The trading markets for these derivatives are generally linked to energy and agriculture commodities, weather and other natural phenomena. Currently, a significant percentage of the Company’s derivative-based risk management products are transacted on a dual-trigger basis combining weather or other natural phenomenon, with prices for commodities or securities related

to energy or agriculture. The fair value of these contracts is obtained through the use of quoted market prices, or in the absence of such quoted prices, industry or internal valuation models. Generally, the Company’s current portfolio of such derivative contracts is of comparably short duration and are predominantly seasonal in nature. Over time, the Company currently expects that its participation in these markets, and the impact of these operations on its financial results, is likely to increase on both an absolute and relative basis.

At June 30, 2010, the Company had the following gross derivative contract positions outstanding relating to its energy and weather derivatives trading activities.


Trading activity	Quantity (1)	Unit of measurement
Temperature	6,080,791	$ per Degree Day Fahrenheit
Energy	102,084,151	One million British thermal units (“MMBTUs”)
Agriculture	3,570,000	Bushels

(1)	Represents the sum of gross long and gross short derivative contracts.

The Company uses value-at-risk (“VaR”) analysis to monitor the risks associated with its energy and weather derivatives trading portfolio. VaR is a tool that measures the potential loss that could occur if the Company’s trading positions were maintained over a defined period of time, calculated at a given statistical confidence level. Due to the seasonal nature of the Company’s energy and weather derivatives trading activities, the VaR is based on a rolling two season (one-year) holding period assuming no dynamic trading during the holding period. A 99% confidence level is used for the VaR analysis. A 99% confidence level implies that within a one-year period, the potential loss in the Company’s portfolio is not expected to exceed the VaR estimate in 99% of the possible modeled outcomes. In the remaining estimated 1% of the possible outcomes, the anticipated potential loss is expected to be higher than the VaR figure, and on average substantially higher.

The VaR model, based on a Monte Carlo simulation methodology, seeks to take into account correlations between different positions and potential for movements to offset one another within the portfolio. The expected value of the risk factors in the Company’s portfolio are generally obtained from exchange-traded futures markets. For most of the risk factors, the volatility is derived from exchange-traded options markets. For those risk factors for which exchange-traded options might not exist, the volatility is based on historical analysis matched to broker quotes from the over-the-counter market, where available. The joint distribution of outcomes is based on the Company’s estimate of the historical seasonal dependence among the underlying risk factors, scaled to the current market levels. The Company then estimates the expected outcomes by applying a Monte Carlo simulation to these risk factors. The joint distribution of the simulated risk factors is then filtered through the portfolio positions, and then the distribution of the outcomes is realized. The 99^th percentile of this distribution is then calculated as the portfolio VaR. The major limitation of this methodology is that the market data used to forecast parameters of the model may not be an appropriate proxy of those parameters. The VaR methodology uses a number of assumptions, such as (i) risks are measured under average market conditions, assuming normal distribution of market risk factors, (ii) future movements in market risk factors follow estimated historical movements, and (iii) the assessed exposures do not change during the holding period. There is no guarantee that these assumptions will prove correct. The Company expects that, for any given period, its actual results will differ from its assumptions, including with respect to previously estimated potential losses and that such losses could be substantially higher than the estimated VaR.

At June 30, 2010, the estimated VaR for the Company’s portfolio of energy and weather-related derivatives, as described above, calculated at an estimated 99% confidence level, was $19.8 million. The average, low and high amounts calculated by the Company’s VaR analysis during the six months ended June 30, 2010 were $12.0 million, $0.4 million and $25.6 million, respectively.

At June 30, 2010, RenaissanceRe had provided guarantees in the amount of $150.8 million to certain counterparties of the weather and energy risk operations of Renaissance Trading. In the future, RenaissanceRe may issue guarantees for other purposes or increase the amount of guarantees issued to counterparties of Renaissance Trading.

Platinum Warrant

The Company holds a warrant, which expires on October 30, 2012, to purchase up to 2.5 million common shares of Platinum for $27.00 per share. The Company has recorded its investment in the Platinum warrant at fair value. The fair value of the warrant is estimated using the Black-Scholes option pricing model.

NOTE 10.

CONDENSED CONSOLIDATING FINANCIAL INFORMATION PROVIDED IN CONNECTION WITH OUTSTANDING DEBT OF SUBSIDIARIES

The following tables present condensed consolidating balance sheets at June 30, 2010 and December 31, 2009, condensed consolidating statements of operations for the three and six months ended June 30, 2010 and 2009, and statements of cash flows for the six months ended June 30, 2010 and 2009, respectively, for RenaissanceRe, RRNAH and RenaissanceRe’s other subsidiaries. RRNAH is a wholly owned subsidiary of RenaissanceRe.

On March 17, 2010, RRNAH issued, and RenaissanceRe guaranteed, $250.0 million of 5.75% Senior Notes due March 15, 2020, with interest on the notes payable on March 15 and September 15. The notes can be redeemed by RRNAH prior to maturity subject to payment of a “make-whole” premium. The notes, which are senior obligations, contain various covenants, including limitations on mergers and consolidations, restrictions as to the disposition of the stock of designated subsidiaries and limitations on liens of the stock of designated subsidiaries.


Condensed Consolidating Balance Sheet June 30, 2010	RenaissanceRe Holdings Ltd. (Parent Guarantor)		RenRe North America Holdings Inc. (Subsidiary Issuer)		Other RenaissanceRe Holdings Ltd. Subsidiaries and Eliminations (Non-guarantor Subsidiaries) (1)		Consolidating Adjustments (2)			RenaissanceRe Consolidated
Assets
Total investments	$	446,672	$	545	$	5,787,373	$	—		$	6,234,590
Cash and cash equivalents		2,952		13,509		268,593		—			285,054
Investments in subsidiaries		3,573,158		368,255		—		(3,941,413	)		—
Due from subsidiaries and affiliates		164,963		—		—		(164,963	)		—
Premiums receivable		—		—		1,021,496		—			1,021,496
Ceded reinsurance balances		—		—		276,296		—			276,296
Losses recoverable		—		—		179,841		—			179,841
Accrued investment income		2,560		—		32,089		—			34,649
Deferred acquisition costs		—		—		100,725		—			100,725
Other assets		16,231		2,432		402,916		(1,171	)		420,408

*Total assets*	$	4,206,536	$	384,741	$	8,069,329	$	(4,107,547	)	$	8,553,059


Liabilities, Redeemable Noncontrolling Interest and Shareholders’ Equity
Liabilities
Reserve for claims and claim expenses	$	—	$	—	$	1,682,083	$	—		$	1,682,083
Reserve for unearned premiums		—		—		994,990		—			994,990
Debt		370,344		249,109		200,000		(270,344	)		549,109
Amounts due to subsidiaries and affiliates		—		438		—		(438	)		—
Reinsurance balances payable		—		—		406,891		—			406,891
Other liabilities		60,950		5,874		375,134		(4,755	)		437,203

*Total liabilities*		431,294		255,421		3,659,098		(275,537	)		4,070,276


Redeemable noncontrolling interest - DaVinciRe		—		—		707,541		—			707,541

Shareholders’ Equity
*Total shareholders’ equity*		3,775,242		129,320		3,702,690		(3,832,010	)		3,775,242

*Total liabilities, redeemable noncontrolling interest and shareholders’ equity*	$	4,206,536	$	384,741	$	8,069,329	$	(4,107,547	)	$	8,553,059

(1)	Includes all other subsidiaries of RenaissanceRe Holdings Ltd. and eliminations.

(2)	Includes Parent Guarantor and Subsidiary Issuer consolidating adjustments.


Condensed Consolidating Balance Sheet December 31, 2009	RenaissanceRe Holdings Ltd. (Parent Guarantor)		RenRe North America Holdings Inc. (Subsidiary Issuer)		Other RenaissanceRe Holdings Ltd. Subsidiaries and Eliminations (Non-guarantor Subsidiaries) (1)		Consolidating Adjustments (2)			RenaissanceRe Consolidated
Assets
Total investments	$	484,560	$	410	$	5,768,441	$	—		$	6,253,411
Cash and cash equivalents		15,206		7,606		237,904		—			260,716
Investments in subsidiaries		3,310,916		369,997		—		(3,680,913	)		—
Due from subsidiaries and affiliates		182,565		—		—		(182,565	)		—
Premiums receivable		—		—		589,827		—			589,827
Ceded reinsurance balances		—		—		91,852		—			91,852
Losses recoverable		—		—		194,241		—			194,241
Accrued investment income		1,727		—		30,201		—			31,928
Deferred acquisition costs		—		—		61,870		—			61,870
Other assets		17,199		—		304,863		(4,866	)		317,196

*Total assets*	$	4,012,173	$	378,013	$	7,279,199	$	(3,868,344	)	$	7,801,041


Liabilities, Redeemable Noncontrolling Interest and Shareholders’ Equity
Liabilities
Reserve for claims and claim expenses	$	—	$	—	$	1,702,006	$	—		$	1,702,006
Reserve for unearned premiums		—		—		446,649		—			446,649
Debt		124,000		80,000		200,000		(104,000	)		300,000
Amounts due to subsidiaries and affiliates		12,522		1,155		—		(13,677	)		—
Reinsurance balances payable		—		—		381,548		—			381,548
Other liabilities		34,865		15,138		293,402		—			343,405

*Total liabilities*		171,387		96,293		3,023,605		(117,677	)		3,173,608


Redeemable noncontrolling interest - DaVinciRe		—		—		786,647		—			786,647

Shareholders’ Equity
*Total shareholders’ equity*		3,840,786		281,720		3,468,947		(3,750,667	)		3,840,786

*Total liabilities, redeemable noncontrolling interest and shareholders’ equity*	$	4,012,173	$	378,013	$	7,279,199	$	(3,868,344	)	$	7,801,041

(1)	Includes all other subsidiaries of RenaissanceRe Holdings Ltd. and eliminations.

(2)	Includes Parent Guarantor and Subsidiary Issuer consolidating adjustments.


Condensed Consolidating Statement of Operations For the three months ended June 30, 2010	RenaissanceRe Holdings Ltd. (Parent Guarantor)			RenRe North America Holdings Inc. (Subsidiary Issuer)			Other RenaissanceRe Holdings Ltd. Subsidiaries and Eliminations (Non-guarantor Subsidiaries) (1)			Consolidating Adjustments (2)			RenaissanceRe Consolidated
Revenues
Net premiums earned	$	—		$	—		$	326,522		$	—		$	326,522
Net investment (loss) income		(2,589	)		550			29,646			—			27,607
Net foreign exchange losses		(530	)		—			(79	)		—			(609	)
Equity in earnings of other ventures		—			—			3,160			—			3,160
Other loss		(374	)		—			(2,720	)		—			(3,094	)
Net realized and unrealized gains on fixed maturity investments		2,406			993			67,707			—			71,106
Net other-than-temporary impairments		—			—			(796	)		—			(796	)

*Total revenues*		(1,087	)		1,543			423,440			—			423,896

Expenses
Net claims and claim expenses incurred		—			—			47,667			—			47,667
Acquisition expenses		—			—			39,944			—			39,944
Operational expenses		(1,429	)		1,326			48,863			1,616			50,376
Corporate expenses		3,720			61			1,043			—			4,824
Interest expense		1,469			4,353			5,340			(4,956	)		6,206

*Total expenses*		3,760			5,740			142,857			(3,340	)		149,017

(Loss) income before equity in net income of subsidiaries and taxes		(4,847	)		(4,197	)		280,583			3,340			274,879
Equity in net income of subsidiaries		225,663			5,632			—			(231,295	)		—

Income before taxes		220,816			1,435			280,583			(227,955	)		274,879
Income tax benefit (expense)		—			1,020			(3,168	)		—			(2,148	)

*Net income*		220,816			2,455			277,415			(227,955	)		272,731
Net income attributable to redeemable noncontrolling interest - DaVinciRe		—			—			(51,915	)		—			(51,915	)

*Net income attributable to RenaissanceRe*		220,816			2,455			225,500			(227,955	)		220,816
Dividends on preference shares		(10,575	)		—			—			—

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