Financial Derivatives (Tables)

6 Months Ended

Jun. 30, 2012

Schedule Of Gains And Losses On Derivative Contracts

June 30, 2012:


						Change in Net						Change in Net
			Net Realized			Unrealized			Net Realized			Unrealized
			Gain/(Loss) for			Gain/(Loss) for			Gain/(Loss) for			Gain/(Loss) for
			the Three Month			the Three Month			the Six Month			the Six Month
	Primary Risk		Period Ended			Period Ended			Period Ended			Period Ended
Derivative Type	Exposure		June 30, 2012			June 30, 2012			June 30, 2012			June 30, 2012
(In thousands)
Financial derivatives - assets
Credit default swaps on asset-backed securities	Credit	$	(734	)	$	1,308		$	(5,477	)	$	8,107
Credit default swaps on asset-backed indices	Credit		(1,573	)		1,522			(7,066	)		(2,268	)
Credit default swaps on corporate bond indices	Credit		(12	)		602			(1,560	)		1,173
Interest rate swaps	Interest Rates		49			(69	)		49			(78	)
Eurodollar futures	Interest Rates		(9	)		0			(17	)		(12	)
			(2,279	)		3,363			(14,071	)		6,922

Financial derivatives - liabilities
Credit default swaps on asset-backed indices	Credit		253			(927	)		4,562			(893	)
Credit default swaps on corporate bond indices	Credit		301			(66	)		304			0
Total return swaps	Equity Market		(1,273	)		(4	)		(3,328	)		21
Interest rate swaps	Interest Rates		(5,548	)		562			(15,948	)		11,683
Eurodollar futures	Interest Rates		0			(2	)		0			(54	)
			(6,267	)		(437	)		(14,410	)		10,757
Total		$	(8,546	)	$	2,926		$	(28,481	)	$	17,679

June 30, 2011:


						Change in Net						Change in Net
			Net Realized			Unrealized			Net Realized			Unrealized
			Gain/(Loss) for			Gain/(Loss) for			Gain/(Loss) for			Gain/(Loss) for
			the Three Month			the Three Month			the Six Month			the Six Month
	Primary Risk		Period Ended			Period Ended			Period Ended			Period Ended
Derivative Type	Exposure		June 30, 2011			June 30, 2011			June 30, 2011			June 30, 2011
(In thousands)
Financial derivatives - assets
Credit default swaps on asset-backed securities	Credit	$	2,628		$	(1,490	)	$	5,308		$	(4,740	)
Credit default swaps on asset-backed indices	Credit		3,820			1,096			(1,226	)		1,974
Interest rate swaps	Interest Rates		(385	)		(1,637	)		(652	)		(835	)
			6,063			(2,031	)		3,430			(3,601	)
Financial derivatives - liabilities
Credit default swaps on asset-backed indices	Credit		2,442			(208	)		8,863			(217	)
Credit default swaps on corporate bond indices	Credit		(50	)		0			(100	)		(34	)
Interest rate swaps	Interest Rates		(1,002	)		(3,141	)		(1,001	)		(3,691	)
Eurodollar futures	Interest Rates		(348	)		202			(719	)		521
			1,042			(3,147	)		7,043			(3,421	)
Total		$	7,105		$	(5,178	)	$	10,473		$	(7,022	)

Schedule Of Credit Derivatives


		Amount at			Amount at
Credit Default Swaps on Asset Backed Indices		June 30, 2012			December 31, 2011
(In thousands)
Fair Value of Written Credit Derivatives, Net	$	(21,942	)	$	(9,548	)
Fair Value of Purchased Credit Derivatives Offsetting Written
Credit Derivatives with Third Parties⁽¹⁾	$	4,297			0
Notional Amount of Written Credit Derivatives⁽²⁾	$	(77,167	)	$	(22,615	)
Notional Amount of Purchased Credit Derivatives Offsetting
Written Credit Derivatives with Third Parties⁽¹⁾	$	25,719			0

(1) Offsetting transactions with third parties include purchased credit derivatives which have the same reference obligation.

(2) The notional value is the maximum amount that a seller of ABS indices would be obligated to pay, and a buyer of credit protection would receive upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under an ABS index contract may be offset against amounts due or owed on another ABS index contract with the same ISDA counterparty.

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

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- 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.

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