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Investments (Tables)

9 Months Ended

Sep. 30, 2012

Available For Sale Securities And Held To Maturity Securities [Table Text Block]

				Included in AOCI
						Gross Unrealized Losses
							Related to
		Cost or		Gross			Changes in		Non-credit
September 30, 2012		Amortized		Unrealized			Estimated		Related
(U.S. dollars in thousands)		Cost		Gains			Fair Value		OTTI		Fair Value
Fixed maturities - AFS
	U.S. Government and Government- Related/Supported (1)	$	1,996,119	$	142,683		$	(3,434)	$	-	$	2,135,368
	Corporate (2) (3) (4)		9,392,587		738,040			(109,187)		(14,303)		10,007,137
	RMBS – Agency		5,126,903		252,738			(2,738)		-		5,376,903
	RMBS – Non-Agency		705,785		38,297			(2,716)		(105,041)		636,325
	CMBS		963,365		75,031			(1,123)		(2,864)		1,034,409
	CDO		791,737		9,735			(114,017)		(4,889)		682,566
	Other asset-backed securities (2)		1,421,005		57,025			(12,573)		(6,913)		1,458,544
	U.S. States and political subdivisions of the States		1,665,392		156,366			(1,653)		-		1,820,105
	Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported (1)		4,087,627		196,732			(9,423)		-		4,274,936
	Total fixed maturities - AFS	$	26,150,520	$	1,666,647		$	(256,864)	$	(134,010)	$	27,426,293
	Total short-term investments (1)	$	323,039	$	1,124		$	(458)	$	-	$	323,705
	Total equity securities	$	554,962	$	16,218		$	(5,253)	$	-	$	565,927
Total investments - AFS		$	27,028,521	$	1,683,989		$	(262,575)	$	(134,010)	$	28,315,925
Fixed maturities - HTM
	U.S. Government and Government- Related/Supported (1)	$	10,845	$	1,859		$	-	$	-	$	12,704
	Corporate (2)		1,430,220		192,803			(2,932)		-		1,620,091
	RMBS – Non-Agency		83,896		9,582			-		-		93,478
	CMBS		12,917		2,109			-		-		15,026
	Other asset-backed securities (2)		224,508		29,218			(295)		-		253,431
	Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported (1)		1,043,410		187,562			(2,802)		-		1,228,170
Total investments - HTM		$	2,805,796	$	423,133		$	(6,029)	$	-	$	3,222,900

_______________

(1) U.S. Government and Government-Related/Supported, Non-U.S. Sovereign Government, Provincials, Supranationals and Government-Related/Supported and Total short-term investments includes government-related securities with an amortized cost of $2,182.5 million and fair value of $2,258.6 million and U.S. Agencies with an amortized cost of $453.8 million and fair value of $499.5 million.

(2) At September 30, 2012, Covered Bonds within Fixed maturities – AFS with an amortized cost of $561.5 million and a fair value of $599.9 million and Covered Bonds within Fixed maturities – HTM with an amortized cost of $8.4 million and a fair value of $8.3 million have been included within Other asset-backed securities to align the Company's classification to market indices. Covered Bonds were included in Corporate prior to January 1, 2012.

(3) Included within Corporate are certain medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage. The notes have a fair value of $192.3 million and an amortized cost of $199.8 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, which are senior to the common and preferred equities of the financial institutions. These securities have a fair value of $348.8 million and an amortized cost of $402.1 million at September 30, 2012.


				Included in AOCI
						Gross Unrealized Losses
							Related to
		Cost or		Gross			Changes in		Non-credit
December 31, 2011		Amortized		Unrealized			Estimated		Related
(U.S. dollars in thousands)		Cost		Gains			Fair Value		OTTI		Fair Value
Fixed maturities - AFS
	U.S. Government and Government- Related/Supported (1)	$	1,864,354	$	130,874		$	(4,245)	$	-	$	1,990,983
	Corporate (2) (3) (4)		9,866,677		527,192			(233,581)		(51,666)		10,108,622
	RMBS – Agency		5,189,473		193,782			(3,849)		-		5,379,406
	RMBS – Non-Agency		851,557		19,667			(112,867)		(116,542)		641,815
	CMBS		927,684		56,704			(2,405)		(7,148)		974,835
	CDO		843,553		6,624			(186,578)		(4,997)		658,602
	Other asset-backed securities (2)		1,341,309		30,731			(25,486)		(6,305)		1,340,249
	U.S. States and political subdivisions of the States		1,698,573		101,025			(2,220)		-		1,797,378
	Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported (1)		3,188,535		127,439			(17,839)		-		3,298,135
	Total fixed maturities - AFS	$	25,771,715	$	1,194,038		$	(589,070)	$	(186,658)	$	26,190,025
	Total short-term investments (1)	$	359,378	$	519		$	(834)	$	-	$	359,063
	Total equity securities	$	480,685	$	27,947		$	(40,435)	$	-	$	468,197
Total investments - AFS		$	26,611,778	$	1,222,504		$	(630,339)	$	(186,658)	$	27,017,285
Fixed maturities - HTM
	U.S. Government and Government- Related/Supported (2)	$	10,399	$	1,510		$	-	$	-	$	11,909
	Corporate (2)		1,290,209		91,313			(14,433)		-		1,367,089
	RMBS – Non-Agency		80,955		6,520			(32)		-		87,443
	Other asset-backed securities (2)		288,741		20,875			(320)		-		309,296
	Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported (1)		998,674		127,227			(5,950)		-		1,119,951
Total investments - HTM		$	2,668,978	$	247,445		$	(20,735)	$	-	$	2,895,688

_______________

(1) U.S. Government and Government-Related/Supported, Non-U.S. Sovereign Government, Provincials, Supranationals and Government-Related/Supported and Total short-term investments includes government-related securities with an amortized cost of $1,878.3 million and fair value of $1,915.6 million and U.S. Agencies with an amortized cost of $494.0 million and fair value of $541.2 million.

(2) Covered Bonds within Fixed maturities – AFS with an amortized cost of $345.4 million and a fair value of $353.9 million and Covered Bonds within Fixed maturities – HTM with an amortized cost of $8.1 million and a fair value of $7.7 million at December 31, 2011 have been reclassified from Corporate to Other asset-backed securities to align the Company's classification to market indices and conform to current period presentation.

(3) Included within Corporate are certain medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage. The notes have a fair value of $266.0 million and an amortized cost of $297.7 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, which are senior to the common and preferred equities of the financial institutions. These securities have a fair value of $386.1 million and an amortized cost of $494.9 million at December 31, 2011.

Contractual Maturities Of Available For Sale Securities And Held To Maturity Income Securities [Table Text Block]

		September 30,2012 (1)				December 31,2011 (1)
		Amortized		Fair		Amortized		Fair
(U.S. dollars in thousands)		Cost		Value		Cost		Value
Fixed maturities - AFS
Due less than one year		$	2,165,727	$	2,176,654	$	2,004,395	$	2,020,361
Due after 1 through 5 years			8,413,665		8,787,679		7,736,717		7,909,354
Due after 5 through 10 years			4,252,492		4,609,302		3,619,141		3,777,073
Due after 10 years			2,309,841		2,663,911		3,257,886		3,488,330
		$	17,141,725	$	18,237,546	$	16,618,139	$	17,195,118
RMBS – Agency			5,126,903		5,376,903		5,189,473		5,379,406
RMBS – Non-Agency			705,785		636,325		851,557		641,815
CMBS			963,365		1,034,409		927,684		974,835
CDO			791,737		682,566		843,553		658,602
Other asset-backed securities			1,421,005		1,458,544		1,341,309		1,340,249
Total mortgage and asset-backed securities		$	9,008,795	$	9,188,747	$	9,153,576	$	8,994,907
	Total fixed maturities - AFS	$	26,150,520	$	27,426,293	$	25,771,715	$	26,190,025
Fixed maturities - HTM
Due less than one year		$	25,392	$	25,615	$	11,796	$	11,768
Due after 1 through 5 years			171,077		180,080		122,091		123,871
Due after 5 through 10 years			407,520		447,813		393,865		402,424
Due after 10 years			1,880,486		2,207,457		1,771,530		1,960,886
		$	2,484,475	$	2,860,965	$	2,299,282	$	2,498,949
RMBS – Non-Agency			83,896		93,478		80,955		87,443
CMBS			12,917		15,026		-		-
Other asset-backed securities			224,508		253,431		288,741		309,296
Total mortgage and asset-backed securities		$	321,321	$	361,935	$	369,696	$	396,739
	Total fixed maturities - HTM	$	2,805,796	$	3,222,900	$	2,668,978	$	2,895,688

_______________

(1) Included in the table above are Tier One and Upper Tier Two securities, representing committed term debt and hybrid instruments, which are senior to the common and preferred equities of the financial institutions, at their fair value of $348.8 million and $386.1 million at September 30, 2012 and December 31, 2011, respectively. These securities are reflected in the table based on their call date and have net unrealized losses of $53.3 million and $108.8 million at September 30, 2012 and December 31, 2011, respectively.

Schedule of Unrealized Loss on Investments [Table Text Block]

						Equal to or greater
		Less than 12 months				than 12 months
				Gross				Gross
September 30, 2012		Fair		Unrealized		Fair		Unrealized
(U.S. dollars in thousands)		Value		Losses		Value		Losses
Fixed maturities and short-term investments - AFS
	U.S. Government and Government-Related/Supported	$	248,665	$	(2,246)	$	25,692	$	(1,478)
	Corporate (1) (2) (3)		178,324		(4,239)		821,415		(119,408)
	RMBS – Agency		145,444		(1,698)		14,888		(1,040)
	RMBS – Non-Agency		10,119		(200)		466,064		(107,557)
	CMBS		90,884		(485)		24,571		(3,502)
	CDO		13,919		(2,242)		655,280		(116,664)
	Other asset-backed securities (3)		64,400		(192)		105,520		(19,294)
	U.S. States and political subdivisions of the States		13,136		(137)		13,788		(1,516)
	Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported		281,234		(1,146)		191,321		(8,288)
Total fixed maturities and short-term investments - AFS		$	1,046,125	$	(12,585)	$	2,318,539	$	(378,747)
Total equity securities (4)		$	272,543	$	(5,253)	$	-	$	-
Fixed maturities -HTM
	Corporate (3)	$	890	$	(31)	$	41,547	$	(2,901)
	Other asset-backed securities (3)		1,236		(151)		8,273		(144)
	Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported		-		-		9,483		(2,802)
Total fixed maturities - HTM		$	2,126	$	(182)	$	59,303	$	(5,847)

_______________

(1) Included within Corporate are certain medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage. The notes, which are in a gross unrealized loss position, have a fair value of $192.3 million and an amortized cost of $199.8 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.

(2) Included within Corporate are Tier One and Upper Tier Two securities, representing committed term debt and hybrid instruments, which are 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 $348.8 million and an amortized cost of $402.1 million at September 30, 2012.

(3) Covered Bonds within Fixed maturities and short-term investments – AFS with a fair value of $599.9 million and Covered Bonds within Fixed Maturities – HTM with a fair value of $8.3 million have been included within Other asset-backed securities to align the Company's classification to market indices. Covered Bonds were included in Corporate prior to January 1, 2012.

(4) Included within equity securities are investments in fixed income funds with a fair value of $99.3 million and an amortized cost of $100.0 million at September 30, 2012.

						Equal to or greater
		Less than 12 months				than 12 months
				Gross				Gross
December 31, 2011		Fair		Unrealized		Fair		Unrealized
(U.S. dollars in thousands)		Value		Losses		Value		Losses
Fixed maturities and short-term investments - AFS
	U.S. Government and Government-Related/Supported	$	289,260	$	(332)	$	43,622	$	(3,984)
	Corporate (1) (2) (3)		1,078,664		(42,151)		1,185,535		(243,683)
	RMBS – Agency		310,318		(849)		36,960		(3,000)
	RMBS – Non-Agency		106,294		(31,714)		449,138		(197,695)
	CMBS		69,109		(2,716)		39,444		(6,837)
	CDO		3,357		(2,261)		636,362		(189,456)
	Other asset-backed securities (3)		227,098		(3,324)		161,312		(28,467)
	U.S. States and political subdivisions of the States		25,309		(199)		27,646		(2,021)
	Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported		265,766		(4,707)		202,890		(13,166)
Total fixed maturities and short-term investments - AFS		$	2,375,175	$	(88,253)	$	2,782,909	$	(688,309)
Total equity securities (4)		$	361,585	$	(40,435)	$	-	$	-
Fixed maturities -HTM
	Corporate (3)	$	147,836	$	(7,770)	$	62,343	$	(6,663)
	RMBS – Non-Agency		9,372		(32)		-		-
	Other asset-backed securities (3)		7,743		(314)		1,106		(6)
	Non-U.S. Sovereign Government, Provincial, Supranational and Government-Related/Supported		79,242		(1,206)		18,330		(4,744)
Total fixed maturities - HTM		$	244,193	$	(9,322)	$	81,779	$	(11,413)

_______________

(1) Included within Corporate are certain medium term notes supported primarily by pools of European investment grade credit with varying degrees of leverage. The notes, which are in a gross unrealized loss position, have a fair value of $266.0 million and an amortized cost of $297.7 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.

(2) Included within Corporate are Tier One and Upper Tier Two securities, representing committed term debt and hybrid instruments, which are 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 $386.1 million and an amortized cost of $494.9 million at December 31, 2011.

(3) Covered Bonds within Fixed maturities and short-term investments – AFS with a fair value of $353.9 million and Covered Bonds within Fixed Maturities – HTM with a fair value of $7.7 million have been included within Other asset-backed securities to align the Company's classification to market indices and to conform to current period presentation. Covered Bonds were included in Corporate prior to January 1, 2012.

(4) Included within equity securities are investments in fixed income funds with a fair value of $91.6 million and an amortized cost of $100.0 million at December 31, 2011.

Realized Gain (Loss) on Investments [Table Text Block]

	Three Months Ended				Nine Months Ended
Net Realized Gains (Losses) on Investments	September 30,				September 30,
(U.S. dollars in thousands)	2012		2011		2012		2011
Gross realized gains	$	33,136	$	55,625	$	153,757	$	143,804
Gross realized losses on investments sold		(26,000)		(51,164)		(89,053)		(150,703)
OTTI on investments, net of amounts transferred to other comprehensive income		(12,629)		(66,815)		(61,787)		(131,436)
Net realized gains (losses) on investments	$	(5,493)	$	(62,354)	$	2,917	$	(138,335)

Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block]

	Three Months Ended				Nine Months Ended
Credit Loss Impairments	September 30,				September 30,
(U.S. dollars in thousands)	2012		2011		2012		2011
Opening balance	$	299,720	$	315,844	$	333,379	$	426,372
Credit loss impairment recognized in the current period on securities not previously impaired		2,805		10,478		8,683		26,384
Credit loss impairments previously recognized on securities which matured, paid down, prepaid or were sold during the period		(33,114)		(14,611)		(87,092)		(173,056)
Credit loss impairments previously recognized on securities impaired to fair value during the period		-		-		(12,891)		-
Additional credit loss impairments recognized in the current period on securities previously impaired		4,834		35,574		41,716		74,372
Accretion of credit loss impairments previously recognized due to an increase in cash flows expected to be collected		(2,773)		(4,010)		(12,323)		(10,797)
Balance at September 30,	$	271,472	$	343,275	$	271,472	$	343,275

Schedule of Other Investments [Table Text Block]

Project Finance Loans	September 30,		December 31,
(U.S. dollars in thousands)	2012		2011
Aggregate loan value	$	36,960	$	49,650
Aggregate loan net carrying value	$	31,377	$	40,483

Opening allowance for loan losses	$	(9,167)	$	(9,167)
Amounts charged off during the period		3,584		-
Closing allowance for loan losses	$	(5,583)	$	(9,167)

Number of individual loan participations		4		6
Number of individual loan participations relating to the allowance for loan losses		1		2
Weighted average contractual term to maturity		0.9 years		2.1 years
Weighted average credit rating		BB		BB-
Range of individual credit ratings		BB+ to BB-		BB+ to CCC

- Definition

Tabular disclosure of marketable securities. This may consist of investments in certain debt and equity securities, short-term investments and other assets.

+ References+ Details

- Definition

Tabular disclosure of the amount of other than temporary impairment (OTTI) related to credit losses recognized in earnings including: (a) the beginning balance of the amount related to credit losses on debt securities held by the investor at the beginning of the period for which a portion of an OTTI was recognized in other comprehensive income; (b) additions for the amount related to the credit loss for which an OTTI was not previously recognized; (c) reductions for securities sold during the period (realized); (d) reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the investor intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis; (e) additional increases to the amount related to the credit loss for which an OTTI was previously recognized when the investor does not intend to sell the security and it is not more likely than not that the investor will be required to sell the security before recovery of its amortized cost basis; (f) reductions for increases in cash flows expected to be collected that are recognized over the remaining life of the security; and (g) the ending balance of the amount related to credit losses on debt securities held by the entity at the end of the period for which a portion of an OTTI was recognized in other comprehensive income.

+ References+ Details