Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2012

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

		September 30, 2012								December 31, 2011
(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 designed as hedging instruments:
	Interest rate contracts (2)	$	-	$	-	$	-	$	-	$	156,271	$	109,761	$	-	$	-
	Foreign exchange contracts		532,583		8,173		2,237,428		(78,246)		2,033,428		25,387		457,892		(4,518)
Total derivatives designed as hedging instruments		$	532,583	$	8,173	$	2,237,428	$	(78,246)	$	2,189,699	$	135,148	$	457,892	$	(4,518)

Derivatives not designed as hedging instruments:
Investment Related Derivatives:
	Interest rate exposure	$	83,265	$	2,402	$	26,878	$	(292)	$	70,978	$	1,946	$	55,033	$	(43)
	Foreign exchange exposure		77,366		484		19,902		(710)		232,422		3,759		384,592		(11,737)
	Credit exposure		62,000		906		397,574		(15,627)		172,500		5,271		449,513		(13,986)
	Financial market exposure		72,707		787		17,528		(191)		23,874		615		14,321		-
Financial Operations Derivatives: (3)
	Credit exposure (2)		-		-		58,149		(3,626)		-		-		81,678		(10,288)
Other Non-Investment Derivatives:
	Guaranteed minimum income benefit contract		-		-		67,528		(20,519)		-		-		78,777		(22,490)
	Modified coinsurance funds withheld contract		77,023		-		-		-		77,200		-		-		-
Total derivatives not designed as hedging instruments		$	372,361	$	4,579	$	587,559	$	(40,965)	$	576,974	$	11,591	$	1,063,914	$	(58,544)

_______________

(1) Derivative instruments in an asset or liability position are included within Other assets or Other liabilities, respectively, in the balance sheet on a net basis where the Company has both a legal right of offset and the intentions to settle the contracts on a net basis.

(2) At September 30, 2012 the Company paid net cash collateral related to these derivative positions of $41.5 million. The assets related to the net collateral paid have been recorded as Other assets within the balance sheet. At December 31, 2011, the Company held net cash collateral of $77.1 million. The collateral balance is included within Cash and cash equivalents and the corresponding liability to return the collateral has been offset against the derivative asset within the balance sheet as appropriate under the netting agreement.

(3) Financial operations derivatives represent interests in variable interest entities as described in Note 10, “Variable Interest Entities.”

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

	Hedged Items - Amount of Gain/(Loss)
	Recognized in Income Attributable to Risk
							Ineffective
	Gain/(Loss)						Portion of
Derivatives Designated as Fair Value Hedges:	Recognized						Hedging
Three Months Ended September 30, 2012	in Income on		Deposit		Fixed Maturity		Relationship -
(U.S. dollars in thousands)	Derivative		Liabilities		Investments		Gain/(Loss)
Interest rate exposure	$	-
Foreign exchange exposure		(22,323)
Total	$	(22,323)	$	-	$	22,126	$	(197)

Three Months Ended September 30, 2011
(U.S. dollars in thousands)
Interest rate exposure	$	20,514
Foreign exchange exposure		18,219
Total	$	38,733	$	(21,659)	$	(18,116)	$	(1,042)

Nine Months Ended September 30, 2012
(U.S. dollars in thousands)
Interest rate exposure	$	1,813
Foreign exchange exposure		(30,126)
Total	$	(28,313)	$	(6,182)	$	29,665	$	(4,830)

Nine Months Ended September 30, 2011
(U.S. dollars in thousands)
Interest rate exposure	$	25,366
Foreign exchange exposure		(3,084)
Total	$	22,282	$	(25,950)	$	2,890	$	(778)

Schedule Of Settlement of Fair Values Hedges [Table Text Block]

	Fair Value Hedges - Notes				Fair Value Hedges - Deposit
	Payable and Debt				Liabilities
Settlement of Fair Value Hedges - Summary	September 30,				September 30,
(U.S. dollars in thousands, except years)	2012		2011			2012	2011
Cumulative reduction to interest expense	$	13,973	$	9,173	$	17,060	$	7,511
Remaining balance	$	7,651	$	12,451	$	216,135	$	141,974
Weighted average years remaining to maturity		2.0		2.8		25.9		34.3

Schedule of Derivative Instruments Designated as Hedges of the Net Investment in a Foreign Operation [Table Text Block]

Derivative Instruments Designated as Hedges of the	Three Months Ended				Nine Months Ended
Net Investment in a Foreign Operation - Summary	September 30,				September 30,
(U.S. dollars in thousands)	2012		2011		2012		2011
Weighted average of U.S. dollar equivalent of foreign denominated net assets	$	1,920,421	$	1,972,176	$	1,892,964	$	1,686,045
Derivative gains (losses) (1)	$	(40,784)	$	75,083	$	(21,879)	$	5,876

_______________

(1) Derivative gains (losses) from derivative instruments designated as hedges of the net investment in a foreign operation are recorded in the cumulative translation adjustment account within AOCI for each period.

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

Net Realized and Unrealized Gains (Losses)		Three Months Ended				Nine Months Ended
on Derivative Instruments		September 30,				September 30,
(U.S. dollars in thousands)		2012		2011		2012		2011
Investment Related Derivatives:
	Interest rate exposure	$	243	$	2,559	$	860	$	(1,720)
	Foreign exchange exposure		1,218		(23,214)		1,547		(5,763)
	Credit exposure		(2,281)		5,207		343		(8,452)
	Financial market exposure		2,337		(7,304)		312		(6,339)
Financial Operations Derivatives:
	Credit exposure		-		25		143		331
Other Non-Investment Derivatives:
	Contingent credit facility		-		(2,075)		-		(6,158)
	Guaranteed minimum income benefit contract		885		(2,038)		1,971		(860)
	Modified coinsurance funds withheld contract		4,049		966		2,310		(4,560)
Total derivatives not designated as hedging instruments		$	6,451	$	(25,874)	$	7,486	$	(33,521)
Amount of gain (loss) recognized in income from ineffective portion of fair value hedges			(197)		(1,042)		(4,830)		(778)
Net realized and unrealized gains (losses) on derivative instruments		$	6,254	$	(26,916)	$	2,656	$	(34,299)

Schedule Of Financial Operations Derivatives Credit Exposure [Table Text Block]

Financial Operations Derivatives - Credit Exposure Summary:	September 30,		December 31,
(U.S. dollars in thousands, except term to maturity)	2012		2011
Principal outstanding	$	55,484	$	78,425
Interest outstanding		2,665		3,253
Aggregate outstanding exposure	$	58,149	$	81,678
Total liability recorded	$	3,626	$	10,288
Weighted average contractual term to maturity		4.5 years		5.0 years
Underlying obligations credit rating		BBB-		BB

Summary of Contingent Credit Features [Table Text Block

Contingent Credit Features - Summary:	September 30,		December 31,
(U.S. dollars in thousands)	2012		2011
Aggregate fair value of derivative agreements with downgrade provisions in a net liability position	$	10,152	$	15,763
Collateral posted to counterparty	$	-	$	809

- Definition

Tabular disclosure of the location and amount of gains and losses reported in the statement of financial performance, or when applicable, the statement of financial position. For example, (a) gains and losses recognized in the income statement on derivative instruments designated and qualifying as hedging instruments in fair value hedges and related hedged items designated and qualifying in fair value hedges and (b) gains and losses initially recognized in other comprehensive income on derivative instruments designated and qualifying as cash flow hedges.

+ References+ Details

- Definition

Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

+ References+ Details