Financial Derivatives (Tables)

3 Months Ended

Mar. 31, 2013

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Gains and Losses on Derivative Contracts

Gains and losses on the Company's derivative contracts for the three month periods ended March 31, 2013 and 2012 are summarized in the tables below:

March 31, 2013:



Derivative Type	Primary Risk Exposure	Net Realized Gain/(Loss) for the Three Month Period Ended March 31, 2013			Change in Net Unrealized Gain/(Loss) for the Three Month Period Ended March 31, 2013
(In thousands)
Financial derivatives - assets
Credit default swaps on asset-backed securities	Credit	$	3,251		$	(5,599	)
Credit default swaps on asset-backed indices	Credit	(1,487		)	25
Total return swaps	Equity Market	(38		)	61
Interest rate swaps	Interest Rates	(217		)	380
		1,509			(5,133		)
Financial derivatives - liabilities
Credit default swaps on asset-backed securities	Credit	(28		)	(1		)
Credit default swaps on asset-backed indices	Credit	178			359
Credit default swaps on corporate bond indices	Credit	(3,627		)	(178		)
Total return swaps	Equity Market	(32		)	37
Interest rate swaps	Interest Rates	617			(360		)
Eurodollar futures	Interest Rates	(22		)	22
		(2,914		)	(121		)
Total		$	(1,405	)	$	(5,254	)

March 31, 2012:



Derivative Type	Primary Risk Exposure	Net Realized Gain/(Loss) for the Three Month Period Ended March 31, 2012			Change in Net Unrealized Gain/(Loss) for the Three Month Period Ended March 31, 2012
(In thousands)
Financial derivatives - assets
Credit default swaps on asset-backed securities	Credit	$	(4,744	)	$	6,799
Credit default swaps on asset-backed indices	Credit	(5,493		)	(3,790		)
Credit default swaps on corporate bond indices	Credit	(1,548		)	570
Interest rate swaps	Interest Rates	—			(8		)
Eurodollar futures	Interest Rates	(8		)	(11		)
		(11,793		)	3,560
Financial derivatives - liabilities
Credit default swaps on asset-backed indices	Credit	4,309			34
Credit default swaps on corporate bond indices	Credit	3			66
Total return swaps	Equity Market	(2,056		)	25
Interest rate swaps	Interest Rates	(10,399		)	11,121
Eurodollar futures	Interest Rates	—			(52		)
		(8,143		)	11,194
Total		$	(19,936	)	$	14,754

Schedule of Credit Derivatives

Written credit derivatives held by the Company at March 31, 2013 and December 31, 2012, respectively, are summarized below:



Credit Default Swaps on Asset-Backed Indices	Amount at March 31, 2013			Amount at December 31, 2012
(In thousands)
Fair Value of Written Credit Derivatives, Net	$	(14,092	)	$	(11,986	)
Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties ⁽¹⁾	$	—		$	(717	)
Notional Amount of Written Credit Derivatives ⁽²⁾	$	(39,935	)	$	(40,216	)
Notional Amount of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties ⁽¹⁾	$	—		$	7,792


(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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