Financial Derivatives (Tables)

3 Months Ended

Mar. 31, 2014

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, 2014 and 2013 are summarized in the tables below:

March 31, 2014:



Derivative Type	Primary Risk Exposure	Net Realized Gain/(Loss) for the Three Month Period Ended March 31, 2014			Change in Net Unrealized Gain/(Loss) for the Three Month Period Ended March 31, 2014
(In thousands)
Financial derivatives–assets
Credit default swaps on asset-backed securities	Credit	$	1,190		$	(1,210	)
Credit default swaps on asset-backed indices	Credit	(1,302		)	145
Credit default swaps on corporate bond indices	Credit	652			(315		)
Total return swaps	Equity Market	5,925			10
Interest rate swaps	Interest Rates	1,472			(6,080		)
Futures	Interest Rates	41			2,435
Forwards	Currency	10			167
Other	Credit/ Interest Rates	53			288
		8,041			(4,560		)
Financial derivatives–liabilities
Credit default swaps on asset-backed securities	Credit	(19		)	—
Credit default swaps on asset-backed indices	Credit	2,603			(1,486		)
Credit default swaps on corporate bond indices	Credit	(3,804		)	4,571
Total return swaps	Equity Market	(1,417		)	36
Interest rate swaps	Interest Rates	(3,765		)	(468		)
Futures	Interest Rates	128			(139		)
Forwards	Currency	(492		)	(4		)
Other	Interest Rates	(57		)	(389		)
		(6,823		)	2,121
Total		$	1,218		$	(2,439	)

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		)
Futures	Interest Rates	(22		)	22
		(2,914		)	(121		)
Total		$	(1,405	)	$	(5,254	)

Schedule of Credit Derivatives

Written credit derivatives held by the Company at March 31, 2014 and December 31, 2013, are summarized below:



Credit Default Swaps on Credit Indices	Amount at March 31, 2014			Amount at December 31, 2013
(In thousands)
Fair Value of Written Credit Derivatives, Net	$	10,940		$	1,421
Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties ⁽¹⁾	$	375		$	57
Notional Amount of Written Credit Derivatives ⁽²⁾	$	(133,107	)	$	(120,497	)
Notional Amount of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties ⁽¹⁾	$	3,784		$	249


(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 credit protection 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 credit derivative contracts with an International Swaps and Derivatives Association, or "ISDA," counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional amount of written credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional amount of any contracts where the Company has purchased credit protection on the same reference asset or index 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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