Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2011

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]

	(Unaudited) September 30, 2011									December 31, 2010
(U.S. dollars in thousands)	Asset Derivative Notional Amount		Asset Derivative Fair Value (1)		Liability Derivative Notional Amount		Liability Derivative Fair Value (1)			Asset Derivative Notional Amount		Asset Derivative Fair Value (1)		Liability Derivative Notional Amount		Liability Derivative Fair Value (1)
Derivatives designated as hedging instruments:
Interest rate contracts (2)	$	159,056	$	107,707	$	—	$	—		$	161,028	$	74,368	$	—	$	—
Foreign exchange contracts		2,526,764		84,936		41,630		(1,368	)		1,850,092		43,226		244,731		(12,161	)
Total derivatives designated as hedging instruments	$	2,685,820	$	192,643	$	41,630		(1,368	)	$	2,011,120	$	117,594	$	244,731		(12,161	)
Derivatives not designated as hedging instruments:
Investment Related Derivatives:
Interest rate exposure	$	104,614	$	1,390	$	4,128	$	(49	)	$	117,689	$	281	$	41,063	$	—
Foreign exchange exposure		95,626		3,023		372,456		(14,254	)		82,395		1,377		272,724		(6,329	)
Credit exposure		212,500		6,004		419,513		(7,847	)		128,450		8,143		532,000		(5,295	)
Financial market exposure		121,107		653		22,668		(2,334	)		135,912		705		4,575		(27	)
Commodity futures		4,456		—		—		—			—		—		—		—
Financial Operations Derivatives: (3)
Credit exposure (2)		—		—		174,936		(25,887	)		—		—		246,292		(25,887	)
Other Non-Investment Derivatives:
Contingent capital facility		350,000		—		—		—			350,000		—		—		—
Guaranteed minimum income benefit contract		—		—		83,957		(22,050	)		—		—		80,025		(21,190	)
Modified coinsurance funds withheld contract		—		—		69,175		—			—		—		72,509		—
Total derivatives not designated as hedging instruments	$	888,303	$	11,070	$	1,146,833	$	(72,421	)	$	814,446	$	10,506	$	1,249,188	$	(58,728	)

Gain (loss) recongnized in income attributable to risk, hedged items [Text Block]

Three Months Ended September 30, 2011 (U.S. dollars in thousands) (Unaudited)			Hedged Items – Amount of Gain/(Loss) Recognized in Income Attributable to Risk
Derivatives Designated as Fair Value Hedges:	Gain/(Loss) Recognized in Income on Derivative		Deposit Liabilities			Fixed Maturity Investments			Notes Payable and Debt		Ineffective Portion of Hedging Relationship – Gain/ (Loss)
Interest rate exposure	$	20,514
Foreign exchange exposure		18,219
Total	$	38,733	$	(21,659	)	$	(18,116	)	$	—	$	(1,042	)

Three Months Ended September 30, 2010 (U.S. dollars in thousands) (Unaudited)				Hedged Items – Amount of Gain/(Loss) Recognized in Income Attributable to Risk
Derivatives Designated as Fair Value Hedges:	Gain/(Loss) Recognized in Income on Derivative			Deposit Liabilities		Fixed Maturity Investments		Notes Payable and Debt		Ineffective Portion of Hedging Relationship – Gain/ (Loss)
Interest rate exposure	$	(43,698	)
Foreign exchange exposure		(33,124	)
Total	$	(76,822	)	$	53,417	$	23,646	$	—	$	241

Nine Months Ended September 30, 2011 (U.S. dollars in thousands) (Unaudited)				Hedged Items – Amount of Gain/(Loss) Recognized in Income Attributable to Risk
Derivatives Designated as Fair Value Hedges:	Gain/(Loss) Recognized in Income on Derivative			Deposit Liabilities			Fixed Maturity Investments		Notes Payable and Debt		Ineffective Portion of Hedging Relationship – Gain/ (Loss)
Interest rate exposure	$	25,366
Foreign exchange exposure		(3,084	)
Total	$	22,282		$	(25,950	)	$	2,890	$	—	$	(778	)

Nine Months Ended September 30, 2010 (U.S. dollars in thousands) (Unaudited)			Hedged Items – Amount of Gain/(Loss) Recognized in Income Attributable to Risk
Derivatives Designated as Fair Value Hedges:	Gain/(Loss) Recognized in Income on Derivative		Deposit Liabilities			Fixed Maturity Investments			Notes Payable and Debt			Ineffective Portion of Hedging Relationship – Gain/ (Loss)
Interest rate exposure	$	48,339
Foreign exchange exposure		15,432
Total	$	63,771	$	(33,326	)	$	(22,688	)	$	(15,940	)	$	(8,183	)

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance (Not Formally Designated as Hedges) [Text Block]

(U.S. dollars in thousands)	Amount of Gain (Loss) Recognized in Income on Derivative
(Unaudited)	Three Months Ended September 30,						Nine Months Ended September 30,
	2011			2010			2011			2010
Derivatives not designated as hedging instruments:
Investment Related Derivatives:
Interest rate exposure	$	2,559		$	(3,500	)	$	(1,720	)	$	1,406
Foreign exchange exposure		(23,214	)		16,339			(5,763	)		(11,672	)
Credit exposure		5,207			(3,393	)		(8,452	)		(2,250	)
Financial market exposure		(6,914	)		58			(6,077	)		193
Commodity exposure		(390	)		—			(262	)		—
Financial Operations Derivatives:
Credit exposure		25			25			331			(7,317	)
Other Non-Investment Derivatives:
Contingent capital facility		(2,075	)		(2,075	)		(6,158	)		(6,158	)
Guaranteed minimum income benefit contract		(2,038	)		173			(860	)		(902	)
Modified coinsurance funds withheld contract		966			4,605			(4,560	)		6,980
Total derivatives not designated as hedging instruments		(25,874	)		12,232			(33,521	)		(19,720	)
Amount of gain (loss) recognized in income from ineffective portion of fair value hedges		(1,042	)		241			(778	)		(8,183	)
Net realized and unrealized gains (losses) on derivative instruments	$	(26,916	)	$	12,473		$	(34,299	)	$	(27,903	)