Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2011

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

	(Unaudited) June 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	$	84,498	$	—	$	—		$	161,028	$	74,368	$	—	$	—
Foreign exchange contracts		1,690,280		19,079		688,629		(27,259	)		1,850,092		43,226		244,731		(12,161	)
Total derivatives designated as hedging instruments	$	1,849,336	$	103,577	$	688,629		(27,259	)	$	2,011,120	$	117,594	$	244,731		(12,161	)
Derivatives not designated as hedging instruments:
Investment Related Derivatives:
Interest rate exposure	$	132,584	$	89	$	9,114	$	(21	)	$	117,689	$	281	$	41,063	$	—
Foreign exchange exposure		204,023		2,687		441,898		(5,692	)		82,395		1,377		272,724		(6,329	)
Credit exposure		92,500		1,036		539,513		(9,106	)		128,450		8,143		532,000		(5,295	)
Financial market exposure		134,596		410		12,669		—			135,912		705		4,575		(27	)
Commodity futures		3,912		—		—		—			—		—		—		—
Financial Operations Derivatives: (3)
Credit exposure (2)		—		—		175,231		(25,887	)		—		—		246,292		(25,887	)
Other Non-Investment Derivatives:
Contingent capital facility		350,000		—		—		—			350,000		—		—		—
Guaranteed minimum income benefit contract		—		—		71,431		(20,011	)		—		—		80,025		(21,190	)
Modified coinsurance funds withheld contract		—		—		68,705		—			—		—		72,509		—
Total derivatives not designated as hedging instruments	$	917,615	$	4,222	$	1,318,561	$	(60,717	)	$	814,446	$	10,506	$	1,249,188	$	(58,728	)

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

Three Months Ended June 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	$	5,726
Foreign exchange exposure		(877	)
Total	$	4,849		$	(6,672	)	$	866	$	—	$	(957	)

Three Months Ended June 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	$	85,900
Foreign exchange exposure		13,312
Total	$	99,212	$	(85,918	)	$	(11,668	)	$	(6,209	)	$	(4,583	)

Six Months Ended June 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	$	4,852
Foreign exchange exposure		(21,303	)
Total	$	(16,451	)	$	(4,291	)	$	21,006	$	—	$	264

Six Months Ended June 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	$	92,036
Foreign exchange exposure		48,556
Total	$	140,592	$	(86,742	)	$	(46,334	)	$	(15,940	)	$	(8,424	)

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

(U.S. dollars in thousands) (Unaudited)	Amount of Gain (Loss) Recognized in Income on Derivative
	Three Months Ended June 30,						Six Months Ended June 30,
	2011			2010			2011			2010
Derivatives not designated as hedging instruments:
Investment Related Derivatives:
Interest rate exposure	$	(4,319	)	$	2,909		$	(4,151	)	$	4,906
Foreign exchange exposure		11,014			(14,574	)		17,451			(28,011	)
Credit exposure		(12,693	)		2,414			(13,659	)		1,143
Financial market exposure		(32	)		(376	)		837			135
Financial Operations Derivatives:
Credit exposure		124			(3,340	)		306			(7,342	)
Other Non-Investment Derivatives:
Contingent capital facility		(2,053	)		(2,053	)		(4,083	)		(4,083	)
Guaranteed minimum income benefit contract		(1,130	)		(2,688	)		1,179			(1,075	)
Modified coinsurance funds withheld contract		(904	)		2,395			(5,527	)		2,375
Total derivatives not designated as hedging instruments		(9,993	)		(15,313	)		(7,647	)		(31,952	)
Amount of gain (loss) recognized in income from ineffective portion of fair value hedges		(957	)		(4,583	)		264			(8,424	)
Net realized and unrealized gains (losses) on derivative instruments	$	(10,950	)	$	(19,896	)	$	(7,383	)	$	(40,376	)