Investments

6 Months Ended

Jun. 30, 2011

Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block]

5. Investments

          The cost (amortized cost for fixed maturities and short-term investments), fair value, gross unrealized gains, gross unrealized (losses), and other-than-temporary impairments (“OTTI”) recorded in accumulated other comprehensive income (“AOCI”) of the Company’s available for sale investments at June 30, 2011 and December 31, 2010 were as follows:

			Included in Accumulated Other Comprehensive Income (“AOCI”)
					Gross Unrealized Losses
June 30, 2011 (U.S. dollars in thousands) (Unaudited)	Cost or Amortized Cost		Gross Unrealized Gains		Related to Changes In Estimated Fair Value			OTTI Included In Other Comprehensive Income (Loss)(1)			Fair Value
Fixed maturities
U.S. Government and Government- Related/Supported (2)	$	1,454,860	$	79,258	$	(15,306	)	$	—		$	1,518,812
Corporate (3) (4)		10,196,731		366,054		(223,974	)		(69,220	)		10,269,591
Residential mortgage-backed securities – Agency		5,506,311		181,501		(11,472	)		—			5,676,340
Residential mortgage-backed securities – Non-Agency		970,742		22,885		(108,719	)		(111,622	)		773,286
Commercial mortgage-backed securities		1,097,687		61,737		(5,529	)		(7,493	)		1,146,402
Collateralized debt obligations		884,809		10,816		(152,647	)		(7,021	)		735,957
Other asset-backed securities		992,550		13,341		(15,032	)		(7,086	)		983,773
U.S. States and political subdivisions of the States		1,445,473		32,450		(14,120	)		—			1,463,803
Non-U.S. Sovereign Government, Supranational and Government-Related/Supported (2)		2,556,325		58,694		(31,297	)		—			2,583,722
Total fixed maturities	$	25,105,488	$	826,736	$	(578,096	)	$	(202,442	)	$	25,151,686
Total short-term investments (3)	$	2,855,542	$	35,049	$	(38,768	)	$	—		$	2,851,823
Total equity securities	$	282,128	$	36,788	$	(221	)	$	—		$	318,695

(1)	Represents the amount of OTTI losses in AOCI, which from April 1, 2009 was not included in earnings under authoritative accounting guidance.
(2)	U.S. Government and Government-Related/Supported and Non-U.S. Sovereign Government, Supranationals and Government-Related/Supported includes government-related securities with an amortized cost of $2,014.9 million and fair value of $2,025.0 million and U.S. Agencies with an amortized cost of $699.6 million and fair value of $726.1 million.
(3)	Included within Corporate are certain medium term notes supported primarily by pools of European credit with varying degrees of leverage. The notes have a fair value of $491.3 million and an amortized cost of $503.9 million. These notes allow the investor to participate in cash flows of the underlying bonds including certain residual values, which could serve to either decrease or increase the ultimate values of these notes.
(4)	Included within Corporate are Tier One and Upper Tier Two securities, representing committed term debt and hybrid instruments senior to the common and preferred equities of the financial institutions. These securities have a fair value of $641.9 million and an amortized cost of $746.1 million at June 30, 2011.

			Included in Accumulated Other Comprehensive Income (“AOCI”)
					Gross Unrealized Losses
December 31, 2010 (U.S. dollars in thousands)	Cost or Amortized Cost		Gross Unrealized Gains		Related to Changes In Estimated Fair Value			OTTI Included In Other Comprehensive Income (Loss)(1)			Fair Value
Fixed maturities
U.S. Government and Government- Related/Supported (2)	$	2,052,551	$	98,889	$	(23,949	)	$	—		$	2,127,491
Corporate (3) (4)		10,352,806		353,308		(272,093	)		(73,138	)		10,360,883
Residential mortgage-backed securities – Agency		5,020,469		152,905		(8,628	)		—			5,164,746
Residential mortgage-backed securities – Non-Agency		1,256,741		26,356		(133,758	)		(128,251	)		1,021,088
Commercial mortgage-backed securities		1,135,075		55,852		(7,960	)		(10,460	)		1,172,507
Collateralized debt obligations		920,080		10,960		(188,563	)		(8,814	)		733,663
Other asset-backed securities		964,129		16,084		(23,218	)		(8,164	)		948,831
U.S. States and political subdivisions of the States		1,370,378		16,746		(35,447	)		—			1,351,677
Non-U.S. Sovereign Government, Supranational and Government- Related/Supported (2)		2,642,657		63,511		(42,875	)		—			2,663,293
Total fixed maturities	$	25,714,886	$	794,611	$	(736,491	)	$	(228,827	)	$	25,544,179
Total short-term investments (3)	$	2,058,447	$	19,606	$	(29,446	)	$	—		$	2,048,607
Total equity securities	$	56,737	$	28,083	$	(53	)	$	—		$	84,767

(1)	Represents the amount of OTTI losses in AOCI, which from April 1, 2009 was not included in earnings under authoritative accounting guidance.
(2)	U.S. Government and Government-Related/Supported and Non-U.S. Sovereign Government, Supranationals and Government-Related/Supported includes government-related securities with an amortized cost of $2,101.0 million and fair value of $2,131.2 million and U.S. Agencies with an amortized cost of $1,019.2 million and fair value of $1,072.6 million.
(3)	Included within Corporate are certain medium term notes supported primarily by pools of European credit with varying degrees of leverage. The notes have a fair value of $454.8 million and an amortized cost of $504.6 million. These notes allow the investor to participate in cash flows of the underlying bonds including certain residual values, which could serve to either decrease or increase the ultimate values of these notes.
(4)	Included within Corporate are Tier One and Upper Tier Two securities, representing committed term debt and hybrid instruments senior to the common and preferred equities of the financial institutions. These securities have a fair value of $757.8 million and an amortized cost of $883.0 million at December 31, 2010.

          The Company had gross unrealized losses totaling $819.5 million at June 30, 2011 on its available for sale portfolio and $48.3 million on its held-to-maturity portfolio, which it considers to be temporarily impaired. Individual security positions comprising this balance have been evaluated by management, based on specified criteria, to determine if these impairments should be considered other than temporary. These criteria include an assessment of the severity of impairment along with management’s assessment as to whether it is likely to sell these securities.

          At June 30, 2011 and December 31, 2010, approximately 2.9% and 3.5%, respectively, of the Company’s fixed income investment portfolio at fair value was invested in securities which were below investment grade or not rated. Approximately 27.6% and 29.4% of the gross unrealized losses in the Company’s fixed income securities portfolio at June 30, 2011 and December 31, 2010, respectively, related to securities that were below investment grade or not rated.

          The following is an analysis of how long the available for sale securities at June 30, 2011 had been in a continual unrealized loss position:

	Less than 12 months					Equal to or greater than 12 months
June 30, 2011 (U.S. dollars in thousands) (Unaudited)	Fair Value		Gross Unrealized Losses (1)			Fair Value		Gross Unrealized Losses (1)
Fixed maturities and short-term investments:
U.S. Government and Government-Related/Supported	$	418,953	$	(16,616	)	$	126,530	$	(17,873	)
Corporate (2) (3)		2,429,908		(86,771	)		1,374,319		(214,481	)
Residential mortgage-backed securities – Agency		948,527		(8,417	)		13,606		(3,099	)
Residential mortgage-backed securities – Non-Agency		98,770		(27,038	)		573,274		(193,306	)
Commercial mortgage-backed securities		106,076		(3,694	)		43,771		(9,328	)
Collateralized debt obligations		3,597		(2,239	)		713,897		(157,429	)
Other asset-backed securities		183,539		(2,107	)		191,212		(22,226	)
U.S. States and political subdivisions of the States		554,520		(10,783	)		50,105		(3,337	)
Non-U.S. Sovereign Government, Supranational and Government-Related		822,154		(7,510	)		368,376		(33,052	)
Total fixed maturities and short-term investments	$	5,566,044	$	(165,175	)	$	3,455,090	$	(654,131	)
Total equity securities	$	10,343	$	(221	)	$	—	$	—

(1)	On securities impacted by the April 1, 2009 changes to OTTI values, length of time of impairment is measured from the point at which securities returned to a net unrealized loss position (i.e., from April 1, 2009).
(2)	Included within Corporate are certain medium term notes supported primarily by pools of European credit with varying degrees of leverage. The notes, which are in a gross unrealized loss position, have a fair value of $491.3 million and an amortized cost of $503.9 million. These notes allow the investor to participate in cash flows of the underlying bonds including certain residual values, which could serve to either decrease or increase the ultimate values of these notes.
(3)	Included within Corporate are Tier One and Upper Tier Two securities, representing committed term debt and hybrid instruments senior to the common and preferred equities of the financial institutions. These securities, which are in a gross unrealized loss position, have a fair value of $641.9 million and an amortized cost of $746.1 million at June 30, 2011.

The following is an analysis of how long each of those available for sale securities at December 31, 2010 had been in a continual unrealized loss position:

	Less than 12 months					Equal to or greater than 12 months
December 31, 2010 (U.S. dollars in thousands)	Fair Value		Gross Unrealized Losses (1)			Fair Value		Gross Unrealized Losses (1)
Fixed maturities and short-term investments:
U.S. Government and Government-Related/Supported	$	307,082	$	(25,482	)	$	117,394	$	(10,417	)
Corporate (2) (3)		2,271,887		(80,276	)		1,627,083		(275,023	)
Residential mortgage-backed securities – Agency		280,390		(6,736	)		34,186		(1,913	)
Residential mortgage-backed securities – Non-Agency		40,052		(2,574	)		843,168		(259,715	)
Commercial mortgage-backed securities		46,419		(2,472	)		69,475		(15,967	)
Collateralized debt obligations		2,500		(51	)		715,295		(197,535	)
Other asset-backed securities		122,548		(1,619	)		226,946		(33,546	)
U.S. States and political subdivisions of the States		734,893		(30,033	)		40,907		(5,452	)
Non-U.S. Sovereign Government, Supranational and Government-Related		459,686		(5,116	)		418,322		(40,837	)
Total fixed maturities and short-term investments	$	4,265,457	$	(154,359	)	$	4,092,776	$	(840,405	)
Total equity securities	$	158	$	(53	)	$	—	$	—

(1)	On securities impacted by the April 1, 2009 changes to OTTI values, length of time of impairment is measured from the point at which securities returned to a net unrealized loss position (i.e., from April 1, 2009).
(2)	Included within Corporate are certain medium term notes supported primarily by pools of European credit with varying degrees of leverage. The notes, which are in a gross unrealized loss position, have a fair value of $370.8 million and an amortized cost of $423.9 million. These notes allow the investor to participate in cash flows of the underlying bonds including certain residual values, which could serve to either decrease or increase the ultimate values of these notes.
(3)	Included within Corporate are Tier One and Upper Tier Two securities, representing committed term debt and hybrid instruments senior to the common and preferred equities of the financial institutions. These securities, which are in a gross unrealized loss position, have a fair value of $757.8 million and an amortized cost of $883.0 million at December 31, 2010.

          The contractual maturities of available for sale fixed income securities are shown below. Actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

	(Unaudited) June 30, 2011 (1)				December 31, 2010 (1)
(U.S. dollars in thousands)	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due after 1 through 5 years	$	8,381,553	$	8,543,992	$	8,807,515	$	8,936,246
Due after 5 through 10 years		3,614,498		3,728,269		3,733,842		3,857,055
Due after 10 years		3,657,338		3,563,667		3,877,035		3,710,043
		15,653,389		15,835,928		16,418,392		16,503,344
Residential mortgage-backed securities – Agency		5,506,311		5,676,340		5,020,469		5,164,746
Residential mortgage-backed securities – Non-Agency		970,742		773,286		1,256,741		1,021,088
Commercial mortgage-backed securities		1,097,687		1,146,402		1,135,075		1,172,507
Collateralized debt obligations		884,809		735,957		920,080		733,663
Other asset-backed securities		992,550		983,773		964,129		948,831
Total mortgage and asset-backed securities		9,452,099		9,315,758		9,296,494		9,040,835
Total	$	25,105,488	$	25,151,686	$	25,714,886	$	25,544,179

(1) Included in the table above are Tier One and Upper Tier Two securities, representing committed term debt and hybrid instruments senior to the common and preferred equities of the financial institutions, at their fair value of $641.9 million and $757.8 million at June 30, 2011 and December 31, 2010, respectively. These securities are reflected in the table based on their call date and have net unrealized losses of $104.2 million and $143.7 million at June 30, 2011 and December 31, 2010, respectively.

          Factors considered in determining that the remaining gross unrealized loss is not other-than-temporarily impaired include management’s consideration of current and near term liquidity needs and other available sources, an evaluation of the factors and time necessary for recovery and an assessment of whether the Company has the intention to sell or considers it more likely than not that it will be forced to sell a security.

          Gross unrealized losses of $819.5 million on available for sale and $48.3 million on held to maturity assets at June 30, 2011 can be attributed to the following significant drivers:

• gross unrealized losses of $220.3 million related to the non-Agency residential mortgage-backed securities (“RMBS”) portfolio (which consists of the Company’s holdings of sub-prime non-agency securities, second liens, asset-backed securities (“ABS”) CDOs with sub-prime collateral, Alt-A mortgage exposures and Prime RMBS), which had a fair value of $858.5 million at June 30, 2011. The Company, in conjunction with its investment manager service providers, undertook a security level review of these securities and recognized charges to the extent it believed the discounted cash flow value of any security was below its amortized cost. The Company has recognized realized losses, consisting of charges for OTTI and realized losses from sales, of approximately $1.4 billion since the beginning of 2007 through June 30, 2011 on these asset classes.

• gross unrealized losses of $250.1 million related to the Company’s Life operations investment portfolio, which had a fair value of $6.8 billion at June 30, 2011. Of this, $111.9 million of gross unrealized losses related to $1.5 billion of exposures to corporate financial institutions including $489.7 million Tier One and Upper Tier Two securities. At June 30, 2011, this portfolio had an average interest rate duration of 8.1 years, primarily denominated in U.K. sterling and Euros. As a result of the long duration, significant gross losses have arisen as the fair values of these securities are more sensitive to prevailing government interest rates and credit spreads. This portfolio is generally matched to corresponding long duration liabilities. A hypothetical parallel increase in interest rates and credit spreads of 50 and 25 basis points, respectively, would increase the unrealized losses related to this portfolio at June 30, 2011 by approximately $260.2 million and $101.8 million, respectively, on both the available for sale and held to maturity portfolios. Given the long term nature of this portfolio, and the level of credit spreads on financial institutions at June 30, 2011 relative to historical averages within the U.K. and Euro-zone, as well as the Company’s liquidity needs at June 30, 2011, the Company believes that these assets will continue to be held until such time as they mature, or credit spreads on financial institutions revert to levels more consistent with historical averages.

• gross unrealized losses of $159.5 million related to the non-life portfolio of Core CDO holdings (defined by the Company as investments in non-subprime CDOs), which consisted primarily of collateral loan obligations (“CLOs”) and had a fair value of $733.8 million at June 30, 2011. The Company evaluated each of these securities in conjunction with its investment manager service providers and recognized charges to the extent it believed the discounted cash flow value of the security was below the amortized cost. The Company believes that the level of impairment is primarily a function of continually wide spreads in the CDO market, driven by the level of illiquidity in this market. The Company believes it is likely these securities will be held until either maturity or a recovery of value.

• gross unrealized losses of $169.7 million related to the corporate holdings within the Company’s non-life fixed income portfolios, which had a fair value of $8.8 billion at June 30, 2011. During the year ended June 30, 2011, as a result of declining credit spreads, the gross unrealized losses on these holdings has decreased. Of the gross unrealized losses noted above, $71.1 million relate to financial institutions. In addition, $23.4 million relate to medium term notes primarily supported by pools of investment grade European credit with varying degrees of leverage. These had a fair value of $461.5 million at June 30, 2011. Management believes that expected cash flows over the expected holding period from these bonds will be sufficient to support the remaining reported amortized cost.

          Management, in its assessment of whether securities in a gross unrealized loss position are temporarily impaired, considers the significance of the impairments. The Company had structured credit securities with gross unrealized losses of $75.6 million, with a fair value of $39.6 million, which at June 30, 2011 were impaired by greater than 50% of amortized costs. All of these are mortgage and asset-backed securities. The Company in conjunction with its investment manager service providers, undertook a security level review of these securities and recognized charges to the extent it believed the discounted cash flow value of any security was below its amortized cost. These securities include gross unrealized losses of $51.7 million on non-Agency RMBS, $21.6 million of Core CDOs and $2.3 million of commercial mortgage-backed security (“CMBS”) holdings.

          The Company recorded net impairment charges of $27.2 million for the three months ended June 30, 2011. The components of the impairments include:

• For structured credit securities, the Company recorded net impairments of $14.0 million principally on non-Agency RMBS. The Company determined that the likely recovery on these securities was below the carrying value, and, accordingly, recorded an impairment on the securities to the discounted value of the cash flows of these securities.

• For medium term notes backed primarily by investment grade European credit, the Company recorded net impairments of $11.1 million. The Company adjusted the estimated remaining holding period of certain notes resulting in a shorter reinvestment spectrum.

• The Company recorded impairments of $2.1 million related to currency losses.

          As discussed in Note 2, portions of certain OTTI losses on fixed income securities and short-term investments are recognized in “other comprehensive income (loss)” (“OCI”). Under final authoritative accounting guidance effective April 1, 2009, other than in a situation in which the Company has the intent to sell a security or more likely than not will be required to sell a security, the amount of the OTTI related to a credit loss is recognized in earnings, and the amount of the OTTI related to other factors (i.e., interest rates, market conditions, etc.) is recorded as a component of OCI. The net amount recognized in earnings (“credit loss impairments”) represents the difference between the amortized cost of the security and the net present value of its projected future cash flows discounted at the effective interest rate implicit in the debt security prior to impairment. Any remaining difference between the fair value and amortized cost is recognized in OCI. The following table sets forth the amount of credit loss impairments on fixed income securities held by the Company at the dates indicated, for which a portion of the OTTI loss was recognized in OCI, and the corresponding changes in such amounts.

	OTTI related to Credit Losses recognized in earnings
(U.S. dollars in thousands) (Unaudited)	Three Months Ended June 30,						Six Months Ended June 30,
	2011			2010			2011			2010
Opening balance	$	330,170		$	551,748		$	426,372		$	537,121
Credit loss impairment recognized in the current period on securities not previously impaired		11,333			9,384			15,906			19,458
Credit loss impairments previously recognized on securities that matured, paid down, prepaid or were sold during the period		(38,316	)		(22,003	)		(164,027	)		(37,978	)
Credit loss impairments previously recognized on securities impaired to fair value during the period		—			(130,891	)		—			(130,891	)
Additional credit loss impairments recognized in the current period on securities previously impaired		13,339			22,591			38,798			50,218
Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected		(682	)		(7,788	)		(1,205	)		(14,887	)
Balance, June 30	$	315,844		$	423,041		$	315,844		$	423,041

          The determination of credit losses is based on detailed analyses of underlying cash flows. Such analyses require the use of certain assumptions in developing the estimated performance of underlying collateral. Key assumptions used include, but are not limited to, items such as RMBS default rates based on collateral duration in arrears, severity of losses on default by collateral class, collateral reinvestment rates and expected future general corporate default rates.

          The $38.3 million and $164.0 million of credit loss impairment previously recognized on securities that matured, or were paid down, prepaid or sold during the three and six months ended June 30, 2011 includes $20.9 million and $112.6 million, respectively, of non-Agency RMBS.

          The following represents an analysis of net realized gains (losses) on investments:

	Three Months Ended June 30,						Six Months Ended June 30,
(U.S. dollars in thousands) (Unaudited)	2011			2010			2011			2010
Gross realized gains	$	61,037		$	28,969		$	88,179		$	63,142
Gross realized losses		(70,581	)		(90,355	)		(164,160	)		(160,704	)
Net realized (losses) on investments	$	(9,544	)	$	(61,386	)	$	(75,981	)	$	(97,562	)

          On November 1, 2009 and August 1, 2010, the Company elected to hold certain fixed income securities to maturity. Consistent with this intention, the Company reclassified these securities from available for sale to held to maturity in the consolidated financial statements. As a result of this classification, these fixed income securities are reflected in the held to maturity portfolio and recorded at amortized cost in the consolidated balance sheets and not fair value. The held to maturity portfolio is comprised of long duration non-U.S. securities which are Euro and U.K. sterling denominated. The Company believes this held to maturity strategy is achievable due to the relatively stable and predictable cash flows of the Company’s long-term liabilities within its Life operations segment along with its ability to substitute other assets at a future date in the event that liquidity was required due to changes in expected cash flows or other transactions entered into related to the long-term liabilities supported by the held to maturity portfolio. At June 30, 2011, 99.2% of the held to maturity securities were rated A or higher. The unrealized appreciation at the dates of these reclassifications continues to be reported as a separate component of shareholders’ equity and is being amortized over the remaining lives of the securities as an adjustment to yield in a manner consistent with the amortization of any premium or discount. On November 1, 2009 and August 1, 2010 the unrealized U.S. dollar equivalent appreciation related to securities reclassified at each date was $51.2 million and $76.2 million, respectively, with $122.0 million and $119.0 million unamortized at June 30, 2011 and December 31, 2010, respectively.

          The fair values and amortized cost of held to maturity fixed maturities at June 30, 2011 and December 31, 2010 were:

June 30, 2011 (U.S. dollars in thousands) (Unaudited)	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Fixed maturities
U.S. Government and Government Related/Supported	$	10,832	$	61	$	(2	)	$	10,891
Corporate		1,369,317		6,349		(25,531	)		1,350,135
Residential mortgage-backed securities – Non-Agency		84,730		321		(257	)		84,794
Other asset-backed securities		293,700		3,345		(1,266	)		295,779
Non-U.S. Sovereign Government, Supranational and Government-Related		1,084,792		14,318		(21,204	)		1,077,906
Total fixed maturities held to maturity	$	2,843,371	$	24,394	$	(48,260	)	$	2,819,505

December 31, 2010 (U.S. dollars in thousands)	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Fixed maturities
U.S. Government and Government Related/Supported	$	10,541	$	164	$	(9	)	$	10,696
Corporate		1,337,797		6,370		(16,325	)		1,327,842
Residential mortgage-backed securities – Non-Agency		82,763		634		(546	)		82,851
Other asset-backed securities		287,109		1,134		(1,410	)		286,833
Non-U.S. Sovereign Government, Supranational and Government- Related		1,010,125		30,680		(6,401	)		1,034,404
Total fixed maturities held to maturity	$	2,728,335	$	38,982	$	(24,691	)	$	2,742,626

          The Company had gross unrealized losses at June 30, 2011 and December 31, 2010 totaling $48.3 million and $24.7 million, respectively, on the above held to maturity fixed income securities which it considered to be temporarily impaired as these holdings are predominantly highly rated quality corporate and government holdings and the loss has principally arisen due to an interest rate increase in U.K. sterling and Euro currency.

          The contractual maturities of held to maturity income securities are shown below.

	(Unaudited) June 30, 2011				December 31, 2010
(U.S. dollars in thousands)	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due less than 1 year	$	5,071	$	5,117	$	—	$	—
Due after 1 through 5 years		132,267		133,449		125,449		125,416
Due after 5 through 10 years		414,130		412,748		348,797		346,494
Due after 10 years		1,913,473		1,887,618		1,884,217		1,901,032
		2,464,941		2,438,932		2,358,463		2,372,942
Residential mortgage-backed securities – Non-Agency		84,730		84,794		82,763		82,851
Other asset-backed securities		293,700		295,779		287,109		286,833
Total mortgage and asset-backed securities		378,430		380,573		369,872		369,684
Total	$	2,843,371	$	2,819,505	$	2,728,335	$	2,742,626

          Other Investments

          The Company has investments in senior tranches of Synthetic CDOs as well as certain CDO Squared structures, which in turn hold Synthetic CDOs that were required to be evaluated for embedded credit derivatives at July 1, 2010. Investments in these securities were entered into in the normal course of portfolio investing and were considered from a risk management perspective to be consistent with traditional ABS CDOs. While the performance of the underlying securitized credit exposures varies, in management’s judgment, the contractual subordination within the securitized interest is sufficient to absorb the current expected losses.

          There is no obligation for the Company to fund any future payments under the embedded credit obligations in excess of the original invested amount. Upon initial adoption of this guidance during 2010, the Company elected the fair value option for impacted securities, which resulted in a decrease being recorded to opening retained earnings of $31.9 million. These securities were previously classified as CDOs within available for sale securities, however, they are now included within “Other Investments.” These securities are carried at fair value with changes in fair value recorded within “Net realized gains and losses on investments” each period. The following tables detail certain features of the instruments at June 30, 2011 and December 31, 2010:

June 30, 2011 (U.S. dollars in thousands)	Weighted Average Life	Amortized Cost		Fair Value		Average Rating	Change in Fair Value during the six months ended June 30, 2011
Synthetic CDO	1.80	$	8,942	$	10,880	B	$	(8,392	)
CDO Squared	6.00		8,982		15,754	B		967
	4.29	$	17,924	$	26,634	B	$	(7,425	)

December 31, 2010 (U.S. dollars in thousands)	Weighted Average Life	Amortized Cost		Fair Value		Average Rating	Change in Fair Value during the six months ended December 31, 2010
Synthetic CDO	3.87	$	32,175	$	41,105	BB	$	8,930
CDO Squared	6.04		8,491		12,198	B		3,707
	4.37	$	40,666	$	53,303	BB	$	12,637

          Affiliate Investments

          Subsequent to June 30, 2011, the Company sold its interests in an investment manager affiliate for total proceeds of $35.0 million. This sale will result in a gain of approximately $21.8 million being recorded in the third quarter of 2011. In addition, this transaction includes the potential for an additional amount to be paid to the Company during 2013 subject to the investment manager meeting certain performance requirements.