Financial Derivatives (Tables)

9 Months Ended

Sep. 30, 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 and nine month periods ended September 30, 2014 and 2013 are summarized in the tables below:

September 30, 2014:

Derivative Type	Primary Risk Exposure	Net Realized Gain/(Loss) for the Three Month Period Ended September 30, 2014			Change in Net Unrealized Gain/(Loss) for the Three Month Period Ended September 30, 2014			Net Realized Gain/(Loss) for the Nine Month Period Ended September 30, 2014			Change in Net Unrealized Gain/(Loss) for the Nine Month Period Ended September 30, 2014
(In thousands)
Financial derivatives–assets
Credit default swaps on asset-backed securities	Credit	$	(2,860	)	$	3,004		$	(2,135	)	$	2,379
Credit default swaps on asset-backed indices	Credit	(2,145		)	2,327			(4,261		)	2,367
Credit default swaps on corporate bond indices	Credit	(1,459		)	414			653			(361		)
Total return swaps	Equity Market	1,079			4			8,846			24
Interest rate swaps	Interest Rates	1,953			191			1,904			(3,940		)
Futures	Interest Rates	299			(2,023		)	1,266			550
Forwards	Currency	2,218			345			2,722			396
Other	Credit/ Interest Rates	(60		)	(97		)	48			504
		(975		)	4,165			9,043			1,919
Financial derivatives–liabilities
Credit default swaps on asset-backed securities	Credit	(20		)	(28		)	(59		)	(28		)
Credit default swaps on asset-backed indices	Credit	166			(55		)	2,608			(1,180		)
Credit default swaps on corporate bond indices	Credit	(1,878		)	5,034			(7,639		)	8,948
Credit default swaps on corporate bonds	Credit	369			(395		)	510			(620		)
Total return swaps	Equity Market	(4,067		)	3			(5,041		)	27
Interest rate swaps	Interest Rates	(2,218		)	174			(6,075		)	(7,539		)
Futures	Interest Rates	39			2,650			14			2,315
Forwards	Currency	(997		)	314			(1,926		)	38
Other	Credit/ Interest Rates/Equity Market	104			194			(510		)	(35		)
		(8,502		)	7,891			(18,118		)	1,926
Total		$	(9,477	)	$	12,056		$	(9,075	)	$	3,845

September 30, 2013:

Derivative Type	Primary Risk Exposure	Net Realized Gain/(Loss) for the Three Month Period Ended September 30, 2013			Change in Net Unrealized Gain/(Loss) for the Three Month Period Ended September 30, 2013			Net Realized Gain/(Loss) for the Nine Month Period Ended September 30, 2013			Change in Net Unrealized Gain/(Loss) for the Nine Month Period Ended September 30, 2013
(In thousands)
Financial derivatives–assets
Credit default swaps on asset-backed securities	Credit	$	(3,113	)	$	2,995		$	(404	)	$	(1,497	)
Credit default swaps on asset-backed indices	Credit	(181		)	(1,011		)	(4,302		)	2,503
Credit default swaps on corporate bond indices	Credit	(84		)	44			(3		)	—
Total return swaps	Equity Market	907			(112		)	911			15
Interest rate swaps	Interest Rates	(512		)	(195		)	(229		)	15,768
Futures	Interest Rates	255			970			103			975
Other	Interest Rates	67			(41		)	67			(41		)
		(2,661		)	2,650			(3,857		)	17,723
Financial derivatives–liabilities
Credit default swaps on asset-backed securities	Credit	(2		)	222			(59		)	(318		)
Credit default swaps on asset-backed indices	Credit	339			959			539			1,772
Credit default swaps on corporate bond indices	Credit	(2,985		)	(1,959		)	(7,517		)	(1,759		)
Total return swaps	Equity Market	(53		)	96			(448		)	43
Interest rate swaps	Interest Rates	(10		)	(4,099		)	282			(2,997		)
Futures	Interest Rates	(1,029		)	82			(1,673		)	70
Other	Interest Rates/ Equity Market	(41		)	44			(41		)	44
		(3,781		)	(4,655		)	(8,917		)	(3,145		)
Total		$	(6,442	)	$	(2,005	)	$	(12,774	)	$	14,578

Schedule of Credit Derivatives

Written credit derivatives held by the Company at September 30, 2014 and December 31, 2013, are summarized below:

Credit Derivatives	Amount at September 30, 2014			Amount at December 31, 2013
(In thousands)
Fair Value of Written Credit Derivatives, Net	$	12,041		$	1,421
Fair Value of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1)	$	334		$	57
Notional Amount of Written Credit Derivatives (2)	$	(140,013	)	$	(120,497	)
Notional Amount of Purchased Credit Derivatives Offsetting Written Credit Derivatives with Third Parties (1)	$	1,910		$	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.